Schedule of investments
Optimum Fixed Income Fund
June 30, 2023 (Unaudited)
Principal amount° | Value (US $) | ||
Agency Collateralized Mortgage Obligations — 2.11% | |||
Fannie Mae Grantor Trust | |||
Series 1999-T2 A1 7.50% 1/19/39 • | 2,857 | $ 2,878 | |
Series 2004-T1 1A2 6.50% 1/25/44 | 2,690 | 2,728 | |
Fannie Mae REMIC Trust | |||
Series 2004-W11 1A2 6.50% 5/25/44 | 20,393 | 20,643 | |
Series 2004-W15 1A1 6.00% 8/25/44 | 13,842 | 13,781 | |
Fannie Mae REMICs | |||
Series 1999-19 PH 6.00% 5/25/29 | 21,508 | 21,504 | |
Series 2001-14 Z 6.00% 5/25/31 | 1,414 | 1,401 | |
Series 2007-30 OE 1.784% 4/25/37 Ω, ^ | 1,184,716 | 873,825 | |
Series 2008-24 ZA 5.00% 4/25/38 | 3,840,270 | 3,792,818 | |
Series 2009-2 AS 0.55% (5.70% minus LIBOR01M, Cap 5.70%) 2/25/39 Σ, • | 236,042 | 12,621 | |
Series 2009-68 SA 1.60% (6.75% minus LIBOR01M, Cap 6.75%) 9/25/39 Σ, • | 84,256 | 8,735 | |
Series 2011-118 DC 4.00% 11/25/41 | 228,947 | 213,491 | |
Series 2017-40 GZ 3.50% 5/25/47 | 410,607 | 373,993 | |
Series 2017-95 FA 4.153% (LIBOR01M + 0.35%, Floor 0.35%) 11/25/47 • | 217,361 | 211,633 | |
Freddie Mac REMICs | |||
Series 2165 PE 6.00% 6/15/29 | 21,370 | 21,426 | |
Series 3143 BC 5.50% 2/15/36 | 645,207 | 648,456 | |
Series 3289 SA 1.557% (6.75% minus LIBOR01M, Cap 6.75%) 3/15/37 Σ, • | 264,573 | 23,145 |
Principal amount° | Value (US $) | ||
Agency Collateralized Mortgage Obligations (continued) | |||
Freddie Mac REMICs | |||
Series 4676 KZ 2.50% 7/15/45 | 361,959 | $ 311,386 | |
Freddie Mac Structured Agency Credit Risk REMIC Trust | |||
Series 2019-DNA4 M2 144A 7.10% (LIBOR01M + 1.95%) 10/25/49 #, • | 54,960 | 55,029 | |
Series 2019-HQA4 M2 144A 7.20% (LIBOR01M + 2.05%) 11/25/49 #, • | 9,841 | 9,841 | |
Series 2020-DNA2 M2 144A 7.00% (LIBOR01M + 1.85%) 2/25/50 #, • | 188,407 | 188,993 | |
Series 2020-DNA6 M2 144A 7.067% (SOFR + 2.00%) 12/25/50 #, • | 2,827,055 | 2,834,982 | |
Series 2021-DNA1 M2 144A 6.867% (SOFR + 1.80%) 1/25/51 #, • | 5,273,849 | 5,263,325 | |
Series 2021-DNA3 M2 144A 7.167% (SOFR + 2.10%) 10/25/33 #, • | 2,500,000 | 2,452,223 | |
Series 2021-DNA5 M2 144A 6.717% (SOFR + 1.65%) 1/25/34 #, • | 2,551,800 | 2,547,679 | |
Series 2021-HQA1 M2 144A 7.317% (SOFR + 2.25%) 8/25/33 #, • | 6,732,382 | 6,631,727 | |
Series 2021-HQA2 M2 144A 7.117% (SOFR + 2.05%) 12/25/33 #, • | 5,000,000 | 4,850,000 | |
Series 2022-DNA1 M2 144A 7.567% (SOFR + 2.50%) 1/25/42 #, • | 3,000,000 | 2,902,696 | |
Series 2022-DNA2 M2 144A 8.817% (SOFR + 3.75%) 2/25/42 #, • | 1,000,000 | 1,006,245 |
NQ- OPTFI [0623] 0823 (3054830) 1
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Agency Collateralized Mortgage Obligations (continued) | |||
Freddie Mac Structured Pass Through Certificates | |||
Series T-54 2A 6.50% 2/25/43 ♦ | 9,370 | $ 9,755 | |
Series T-58 2A 6.50% 9/25/43 ♦ | 3,198 | 3,207 | |
GNMA | |||
Series 2008-65 SB 0.854% (6.00% minus LIBOR01M, Cap 6.00%) 8/20/38 Σ, • | 227,340 | 6,069 | |
Series 2009-2 SE 0.674% (5.82% minus LIBOR01M, Cap 5.82%) 1/20/39 Σ, • | 746,591 | 30,561 | |
Series 2011-H21 FT 5.265% (H15T1Y + 0.70%, Cap 15.25%, Floor 0.70%) 10/20/61 • | 2,507,229 | 2,501,955 | |
Series 2011-H23 FA 5.794% (LIBOR01M + 0.70%, Cap 11.00%, Floor 0.70%) 10/20/61 • | 1,792,388 | 1,787,433 | |
Series 2012-H08 FB 5.694% (LIBOR01M + 0.60%, Cap 11.00%, Floor 0.60%) 3/20/62 • | 197,001 | 196,232 | |
Series 2012-H18 NA 5.614% (LIBOR01M + 0.52%, Cap 10.50%, Floor 0.52%) 8/20/62 • | 126,218 | 125,480 | |
Series 2012-H29 SA 5.609% (LIBOR01M + 0.515%, Cap 12.00%, Floor 0.515%) 10/20/62 • | 2,622,059 | 2,606,573 | |
Series 2013-113 LY 3.00% 5/20/43 | 173,000 | 154,296 |
Principal amount° | Value (US $) | ||
Agency Collateralized Mortgage Obligations (continued) | |||
GNMA | |||
Series 2015-H10 FA 5.344% (LIBOR01M + 0.60%, Cap 7.50%) 4/20/65 • | 7,452,960 | $ 7,356,688 | |
Series 2015-H11 FC 5.644% (LIBOR01M + 0.55%, Cap 7.50%, Floor 0.55%) 5/20/65 • | 867,900 | 857,413 | |
Series 2015-H12 FB 5.694% (LIBOR01M + 0.60%, Cap 7.50%, Floor 0.60%) 5/20/65 • | 3,667,494 | 3,628,534 | |
Series 2015-H20 FB 4.517% (LIBOR01M + 0.60%, Cap 7.50%, Floor 0.60%) 8/20/65 • | 976,323 | 966,606 | |
Series 2015-H30 FD 5.694% (LIBOR01M + 0.60%, Cap 11.00%, Floor 0.60%) 10/20/65 • | 46,781 | 46,566 | |
Series 2016-H06 FD 5.12% (LIBOR01M + 0.92%, Cap 7.50%, Floor 0.92%) 7/20/65 • | 977,705 | 973,940 | |
Series 2017-163 ZK 3.50% 11/20/47 | 2,618,751 | 2,414,142 | |
Total Agency Collateralized Mortgage Obligations (cost $60,288,995) | 58,962,654 | ||
Agency Commercial Mortgage-Backed Securities — 0.05% | |||
Freddie Mac Multifamily Structured Pass Through Certificates Series X3FX A2FX 3.00% 6/25/27 ♦ | 1,070,000 | 1,004,918 |
2 NQ- OPTFI [0623] 0823 (3054830)
(Unaudited)
Principal amount° | Value (US $) | ||
Agency Commercial Mortgage-Backed Securities (continued) | |||
FREMF Mortgage Trust Series 2017-K71 B 144A 3.88% 11/25/50 #, • | 470,000 | $ 432,360 | |
Total Agency Commercial Mortgage-Backed Securities (cost $1,521,406) | 1,437,278 | ||
Agency Mortgage-Backed Securities — 31.34% | |||
Fannie Mae 5.50% 3/1/37 | 4,589 | 4,552 | |
Fannie Mae S.F. 15 yr | |||
2.00% 3/1/36 | 3,003,464 | 2,678,143 | |
2.50% 7/1/36 | 5,585,417 | 5,096,737 | |
4.50% 9/1/37 | 919,129 | 901,502 | |
Fannie Mae S.F. 20 yr | |||
2.00% 3/1/41 | 2,812,259 | 2,379,869 | |
2.00% 5/1/41 | 2,581,043 | 2,197,048 | |
3.00% 9/1/37 | 1,241,207 | 1,158,686 | |
Fannie Mae S.F. 30 yr | |||
2.00% 12/1/50 | 7,603,605 | 6,252,670 | |
2.00% 1/1/51 | 952,972 | 787,514 | |
2.00% 2/1/51 | 3,585,214 | 2,955,862 | |
2.00% 8/1/51 | 1,333,968 | 1,095,478 | |
2.00% 1/1/52 | 3,758,829 | 3,092,944 | |
2.50% 8/1/50 | 3,239,045 | 2,787,222 | |
2.50% 10/1/50 | 5,786,250 | 4,919,909 | |
2.50% 1/1/51 | 2,758,630 | 2,355,546 | |
2.50% 4/1/51 | 2,271,657 | 1,936,233 | |
2.50% 7/1/51 | 1,221,550 | 1,043,693 | |
2.50% 8/1/51 | 6,943,324 | 5,938,705 | |
2.50% 2/1/52 | 11,353,518 | 9,666,831 | |
2.50% 4/1/52 | 63,109 | 53,798 | |
3.00% 10/1/42 | 1,154,094 | 1,041,846 | |
3.00% 4/1/43 | 398,256 | 359,744 | |
3.00% 1/1/47 | 1,581,884 | 1,428,124 | |
3.00% 11/1/48 | 622,403 | 557,004 | |
3.00% 12/1/49 | 3,438,214 | 3,068,167 | |
3.00% 3/1/50 | 1,543,542 | 1,370,066 | |
3.00% 7/1/50 | 743,509 | 658,490 | |
3.00% 5/1/51 | 524,028 | 465,760 | |
3.00% 7/1/51 | 4,246,894 | 3,771,605 | |
3.00% 8/1/51 | 1,608,832 | 1,424,387 | |
3.00% 12/1/51 | 7,555,463 | 6,701,060 | |
3.00% 2/1/52 | 3,010,359 | 2,662,336 | |
3.50% 2/1/47 | 2,136,489 | 1,997,241 | |
3.50% 7/1/47 | 1,712,102 | 1,602,465 | |
3.50% 1/1/48 | 5,107,967 | 4,722,163 | |
3.50% 2/1/48 | 1,495,447 | 1,380,166 | |
3.50% 11/1/48 | 936,131 | 863,969 | |
3.50% 3/1/50 | 555,586 | 515,896 |
Principal amount° | Value (US $) | ||
Agency Mortgage-Backed Securities (continued) | |||
Fannie Mae S.F. 30 yr | |||
3.50% 7/1/50 | 3,592,886 | $ 3,344,316 | |
3.50% 8/1/50 | 6,254,310 | 5,772,356 | |
3.50% 1/1/52 | 943,571 | 861,529 | |
3.50% 3/1/52 | 3,255,762 | 2,995,506 | |
3.50% 5/1/52 | 3,192,448 | 2,931,121 | |
3.50% 6/1/52 | 16,138,068 | 14,709,074 | |
4.00% 10/1/40 | 8,409 | 8,085 | |
4.00% 11/1/40 | 34,129 | 32,646 | |
4.00% 3/1/46 | 53,587 | 51,202 | |
4.00% 3/1/47 | 2,910,797 | 2,779,000 | |
4.00% 4/1/47 | 448,044 | 427,722 | |
4.00% 6/1/48 | 2,133,944 | 2,035,898 | |
4.00% 9/1/48 | 2,529,917 | 2,412,034 | |
4.00% 10/1/48 | 2,270,376 | 2,170,033 | |
4.00% 1/1/49 | 40,693 | 38,797 | |
4.00% 3/1/49 | 115,120 | 109,756 | |
4.00% 6/1/49 | 518,427 | 495,676 | |
4.00% 5/1/51 | 2,821,074 | 2,682,466 | |
4.00% 9/1/52 | 4,801,294 | 4,506,336 | |
4.50% 5/1/35 | 24,964 | 24,530 | |
4.50% 8/1/35 | 41,484 | 40,768 | |
4.50% 9/1/35 | 50,540 | 49,786 | |
4.50% 5/1/39 | 166,976 | 164,894 | |
4.50% 7/1/40 | 152,567 | 145,959 | |
4.50% 4/1/41 | 12,524 | 12,287 | |
4.50% 5/1/46 | 111,317 | 109,929 | |
4.50% 4/1/48 | 628,625 | 623,498 | |
4.50% 7/1/48 | 124,939 | 122,529 | |
4.50% 8/1/48 | 88,217 | 86,113 | |
4.50% 9/1/48 | 196,071 | 191,343 | |
4.50% 12/1/48 | 174,786 | 170,956 | |
4.50% 1/1/49 | 4,892,638 | 4,790,666 | |
4.50% 1/1/50 | 3,704,590 | 3,650,484 | |
4.50% 4/1/50 | 666,245 | 652,776 | |
4.50% 9/1/52 | 617,650 | 593,922 | |
4.50% 10/1/52 | 18,372,778 | 17,666,065 | |
4.50% 2/1/53 | 12,182,766 | 11,713,989 | |
4.50% 5/1/53 | 5,039,442 | 4,861,788 | |
5.00% 3/1/34 | 779 | 784 | |
5.00% 4/1/34 | 4,024 | 4,052 | |
5.00% 8/1/34 | 7,220 | 7,272 | |
5.00% 4/1/35 | 1,629 | 1,626 | |
5.00% 12/1/37 | 672 | 671 | |
5.00% 3/1/38 | 41,278 | 41,327 | |
5.00% 5/1/40 | 64,150 | 64,609 | |
5.00% 7/1/47 | 316,353 | 318,611 | |
5.00% 1/1/51 | 3,419,069 | 3,397,776 | |
5.00% 7/1/52 | 3,495,153 | 3,428,667 | |
5.00% 10/1/52 | 10,226,689 | 10,076,381 | |
5.50% 12/1/33 | 7,408 | 7,384 |
NQ- OPTFI [0623] 0823 (3054830) 3
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Agency Mortgage-Backed Securities (continued) | |||
Fannie Mae S.F. 30 yr | |||
5.50% 2/1/35 | 120,860 | $ 124,372 | |
5.50% 5/1/44 | 4,165,375 | 4,271,234 | |
5.50% 10/1/52 | 8,597,726 | 8,587,391 | |
5.50% 11/1/52 | 4,615,868 | 4,625,463 | |
5.50% 3/1/53 | 14,894,981 | 14,824,852 | |
6.00% 9/1/36 | 6,111 | 6,170 | |
6.00% 8/1/38 | 12,486 | 12,601 | |
6.00% 12/1/38 | 2,545 | 2,642 | |
6.00% 1/1/42 | 3,495,927 | 3,630,100 | |
6.00% 12/1/52 | 3,153,703 | 3,187,563 | |
6.00% 6/1/53 | 7,592,758 | 7,659,265 | |
6.50% 11/1/33 | 1,512 | 1,545 | |
6.50% 2/1/36 | 24,828 | 25,901 | |
6.50% 3/1/36 | 44,803 | 45,849 | |
6.50% 6/1/36 | 32,430 | 33,535 | |
6.50% 2/1/38 | 9,249 | 9,540 | |
6.50% 11/1/38 | 1,923 | 1,998 | |
Fannie Mae S.F. 30 yr TBA | |||
2.00% 8/1/53 | 50,200,000 | 40,993,399 | |
2.50% 7/1/53 | 49,200,000 | 41,716,219 | |
3.00% 7/1/53 | 135,800,000 | 119,509,310 | |
3.50% 7/1/53 | 72,100,000 | 65,698,306 | |
4.00% 8/15/52 | 70,500,000 | 66,212,169 | |
4.50% 7/1/53 | 15,000,000 | 14,421,094 | |
4.50% 8/1/53 | 18,100,000 | 17,409,937 | |
5.00% 8/1/53 | 113,200,000 | 110,936,000 | |
Freddie Mac ARM | |||
4.00% (LIBOR12M + 1.625%, Cap 10.50%, Floor 1.625%) 2/1/38 • | 11,876 | 11,597 | |
5.555% (LIBOR12M + 2.18%, Cap 10.529%, Floor 2.18%) 5/1/37 • | 38,152 | 37,343 | |
Freddie Mac S.F. 15 yr | |||
2.00% 12/1/35 | 2,219,482 | 1,984,520 | |
3.00% 3/1/35 | 6,524,665 | 6,098,460 | |
Freddie Mac S.F. 20 yr | |||
2.00% 3/1/41 | 3,216,174 | 2,752,367 | |
2.50% 6/1/41 | 5,742,530 | 5,030,764 | |
3.00% 4/1/42 | 1,691,300 | 1,518,554 | |
5.00% 11/1/42 | 3,122,421 | 3,088,049 | |
5.50% 10/1/23 | 291 | 290 | |
5.50% 8/1/24 | 654 | 652 | |
Freddie Mac S.F. 30 yr | |||
2.00% 9/1/51 | 4,680,814 | 3,837,886 | |
2.00% 3/1/52 | 1,899,030 | 1,550,903 | |
2.50% 11/1/50 | 2,207,370 | 1,881,728 | |
2.50% 10/1/51 | 6,366,687 | 5,445,489 |
Principal amount° | Value (US $) | ||
Agency Mortgage-Backed Securities (continued) | |||
Freddie Mac S.F. 30 yr | |||
2.50% 12/1/51 | 3,049,598 | $ 2,612,429 | |
3.00% 11/1/46 | 2,180,103 | 1,953,479 | |
3.00% 1/1/47 | 1,616,662 | 1,446,522 | |
3.00% 11/1/49 | 2,124,056 | 1,884,944 | |
3.00% 1/1/50 | 567,669 | 506,341 | |
3.00% 7/1/50 | 883,069 | 787,644 | |
3.00% 12/1/50 | 165,075 | 147,241 | |
3.00% 5/1/51 | 5,334,839 | 4,777,648 | |
3.00% 8/1/51 | 1,439,927 | 1,274,854 | |
3.00% 1/1/52 | 552,058 | 486,613 | |
3.00% 8/1/52 | 4,077,150 | 3,617,313 | |
3.50% 8/1/48 | 17,663 | 16,319 | |
3.50% 9/1/48 | 1,558,130 | 1,439,558 | |
3.50% 11/1/48 | 4,248,810 | 3,932,278 | |
3.50% 4/1/52 | 1,989,843 | 1,821,809 | |
4.00% 12/1/45 | 410,748 | 392,711 | |
4.00% 10/1/47 | 1,294,003 | 1,224,498 | |
4.00% 9/1/52 | 11,544,899 | 10,868,908 | |
4.50% 8/1/48 | 750,848 | 737,452 | |
4.50% 1/1/49 | 2,631,783 | 2,573,027 | |
4.50% 3/1/49 | 159,373 | 155,953 | |
4.50% 8/1/49 | 1,422,448 | 1,395,119 | |
4.50% 10/1/52 | 5,649,070 | 5,431,903 | |
5.00% 7/1/52 | 5,896,143 | 5,795,027 | |
5.00% 6/1/53 | 7,084,000 | 6,963,434 | |
5.50% 9/1/41 | 1,194,067 | 1,228,030 | |
5.50% 9/1/52 | 5,119,188 | 5,135,959 | |
5.50% 11/1/52 | 3,406,815 | 3,403,387 | |
5.50% 2/1/53 | 4,057,483 | 4,051,651 | |
5.50% 3/1/53 | 4,950,522 | 4,978,664 | |
5.50% 6/1/53 | 5,561,442 | 5,535,259 | |
6.00% 1/1/53 | 1,077,088 | 1,101,999 | |
6.00% 5/1/53 | 6,277,237 | 6,341,151 | |
6.50% 11/1/33 | 13,137 | 13,527 | |
6.50% 1/1/35 | 39,204 | 41,281 | |
7.00% 1/1/38 | 4,921 | 4,824 | |
GNMA I S.F. 30 yr | |||
3.00% 8/15/45 | 4,394,836 | 3,976,287 | |
3.00% 3/15/50 | 350,380 | 313,906 | |
5.50% 10/15/42 | 2,019,139 | 2,077,617 | |
GNMA II S.F. 30 yr | |||
3.00% 8/20/50 | 683,638 | 623,050 | |
3.00% 12/20/51 | 1,743,478 | 1,561,047 | |
5.00% 9/20/52 | 1,641,913 | 1,613,868 | |
5.50% 5/20/37 | 47,601 | 49,058 | |
5.50% 6/20/49 | 3,286,339 | 3,315,929 | |
6.00% 4/20/34 | 1,270 | 1,252 | |
4 NQ- OPTFI [0623] 0823 (3054830)
(Unaudited)
Principal amount° | Value (US $) | ||
Agency Mortgage-Backed Securities (continued) | |||
GNMA II S.F. 30 yr TBA 4.00% 8/20/53 | 6,000,000 | $ 5,681,015 | |
Total Agency Mortgage-Backed Securities (cost $901,353,604) | 873,755,268 | ||
Collateralized Debt Obligations — 5.39% | |||
522 Funding CLO Series 2018-3A AR 144A 6.29% (LIBOR03M + 1.04%, Floor 1.04%) 10/20/31 #, • | 1,200,000 | 1,182,845 | |
Adagio V CLO DAC Series V-A ARR 144A 3.897% (EUR003M + 0.72%, Floor 0.72%) 10/15/31 #, • | EUR | 1,100,000 | 1,173,468 |
AMMC CLO 16 Series 2015-16A AR2 144A 6.231% (LIBOR03M + 0.98%, Floor 0.98%) 4/14/29 #, • | 172,027 | 171,797 | |
Anchorage Capital CLO 9 Series 2016-9A AR2 144A 6.40% (LIBOR03M + 1.14%, Floor 1.14%) 7/15/32 #, • | 1,800,000 | 1,773,587 | |
Anchorage Capital CLO 11 Series 2019-11A AR 144A 6.413% (LIBOR03M + 1.14%, Floor 1.14%) 7/22/32 #, • | 1,200,000 | 1,179,161 | |
Apex Credit CLO Series 2018-1A A2 144A 6.285% (LIBOR03M + 1.03%) 4/25/31 #, • | 2,400,000 | 2,360,285 | |
Apidos CLO XXIV Series 2016-24A A1AL 144A 6.20% (LIBOR03M + 0.95%, Floor 0.95%) 10/20/30 #, • | 1,350,000 | 1,333,831 |
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Aqueduct European CLO DAC Series 2017-1A AR 144A 3.84% (EUR003M + 0.64%, Floor 0.64%) 7/20/30 #, • | EUR | 1,459,319 | $ 1,566,381 |
Ares European CLO Series 7A A1RR 144A 3.837% (EUR003M + 0.66%, Floor 0.66%) 10/15/30 #, • | EUR | 1,291,767 | 1,381,151 |
Ares European CLO X DAC Series 10A AR 144A 3.957% (EUR003M + 0.78%, Floor 0.78%) 10/15/31 #, • | EUR | 2,700,000 | 2,889,386 |
Ares European CLO XII DAC Series 12A AR 144A 4.05% (EUR003M + 0.85%, Floor 0.85%) 4/20/32 #, • | EUR | 300,000 | 319,505 |
Ares European CLO XIV DAC Series 14A A 144A 4.325% (EUR003M + 1.12%, Floor 1.12%) 10/21/33 #, • | EUR | 3,750,000 | 4,033,824 |
Ares XL CLO Series 2016-40A A1RR 144A 6.13% (LIBOR03M + 0.87%, Floor 0.87%) 1/15/29 #, • | 1,415,352 | 1,403,888 | |
Ares XXXIX CLO Series 2016-39A A1R2 144A 6.312% (LIBOR03M + 1.05%, Floor 1.05%) 4/18/31 #, • | 1,500,000 | 1,480,077 | |
Atrium XII Series 12A AR 144A 6.103% (LIBOR03M + 0.83%) 4/22/27 #, • | 1,363,947 | 1,350,316 | |
Aurium CLO IV DAC Series 4A AR 144A 3.907% (EUR003M + 0.73%, Floor 0.73%) 1/16/31 #, • | EUR | 2,995,632 | 3,203,444 |
NQ- OPTFI [0623] 0823 (3054830) 5
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Bain Capital Euro CLO DAC Series 2018-2A AR 144A 3.94% (EUR003M + 0.74%, Floor 0.74%) 1/20/32 #, • | EUR | 1,292,415 | $ 1,369,914 |
Benefit Street Partners CLO XII Series 2017-12A A1R 144A 6.21% (LIBOR03M + 0.95%, Floor 0.95%) 10/15/30 #, • | 471,890 | 467,615 | |
Benefit Street Partners CLO XVII Series 2019-17A AR 144A 6.34% (LIBOR03M + 1.08%, Floor 1.08%) 7/15/32 #, • | 700,000 | 691,001 | |
Black Diamond CLO DAC Series 2019-1A A1R 144A 4.303% (EUR003M + 0.98%, Floor 0.98%) 5/15/32 #, • | EUR | 300,000 | 321,724 |
Blackrock European CLO VII DAC Series 7A AR 144A 3.797% (EUR003M + 0.62%, Floor 0.62%) 10/15/31 #, • | EUR | 2,200,000 | 2,345,949 |
BlueMountain Fuji EUR CLO III DAC Series 3A A1R 144A 3.897% (EUR003M + 0.72%, Floor 0.72%) 1/15/31 #, • | EUR | 1,391,839 | 1,485,446 |
BNPP AM Euro CLO DAC | |||
Series 2018-1A AR 144A 3.777% (EUR003M + 0.60%, Floor 0.60%) 4/15/31 #, • | EUR | 250,000 | 265,571 |
Series 2019-1A AR 144A 4.031% (EUR003M + 0.82%, Floor 0.82%) 7/22/32 #, • | EUR | 1,000,000 | 1,063,814 |
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Cairn CLO IV DAC Series 2014-4A ARRR 144A 3.842% (EUR003M + 0.60%, Floor 0.60%) 4/30/31 #, • | EUR | 1,576,948 | $ 1,682,931 |
Cairn CLO X DAC Series 2018-10A AR 144A 3.957% (EUR003M + 0.78%, Floor 0.78%) 10/15/31 #, • | EUR | 1,400,000 | 1,492,501 |
Carlyle Euro CLO DAC | |||
Series 2017-3A A1R 144A 3.877% (EUR003M + 0.70%, Floor 0.70%) 1/15/31 #, • | EUR | 1,891,533 | 2,006,978 |
Series 2019-2A A1R 144A 4.213% (EUR003M + 0.89%, Floor 0.89%) 8/15/32 #, • | EUR | 600,000 | 638,735 |
Carlyle Global Market Strategies CLO Series 2013-1A A1RR 144A 6.271% (LIBOR03M + 0.95%, Floor 0.95%) 8/14/30 #, • | 2,275,253 | 2,245,718 | |
Carlyle Global Market Strategies Euro CLO Series 2014-2A AR1 144A 4.073% (EUR003M + 0.75%, Floor 0.75%) 11/15/31 #, • | EUR | 1,500,000 | 1,604,436 |
CARLYLE US CLO Series 2017-1A A1R 144A 6.25% (LIBOR03M + 1.00%, Floor 1.00%) 4/20/31 #, • | 1,500,000 | 1,482,245 | |
CVC Cordatus Loan Fund VII DAC Series 7A ARR 144A 4.156% (EUR003M + 0.63%, Floor 0.63%) 9/15/31 #, • | EUR | 1,199,700 | 1,280,072 |
6 NQ- OPTFI [0623] 0823 (3054830)
(Unaudited)
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Dryden 27 R Euro CLO DAC Series 2017-27A AR 144A 3.837% (EUR003M + 0.66%, Floor 0.66%) 4/15/33 #, • | EUR | 2,200,000 | $ 2,341,817 |
Dryden 36 Senior Loan Fund Series 2014-36A AR3 144A 6.268% (TSFR03M + 1.28%, Floor 1.02%) 4/15/29 #, • | 2,925,109 | 2,906,175 | |
Dryden 52 Euro CLO DAC Series 2017-52A AR 144A 4.183% (EUR003M + 0.86%, Floor 0.86%) 5/15/34 #, • | EUR | 2,200,000 | 2,341,716 |
Euro-Galaxy III CLO DAC Series 2013-3A ARRR 144A 3.831% (EUR003M + 0.62%, Floor 0.62%) 4/24/34 #, • | EUR | 4,000,000 | 4,249,670 |
FS Rialto Series 2022-FL4 A 144A 6.966% (SOFR + 1.90%, Floor 1.90%) 1/19/39 #, • | 3,500,000 | 3,444,609 | |
Galaxy XXI CLO Series 2015-21A AR 144A 6.27% (LIBOR03M + 1.02%) 4/20/31 #, • | 1,650,000 | 1,626,256 | |
GoldenTree Loan Management EUR CLO DAC Series 3A AR 144A 4.10% (EUR003M + 0.90%, Floor 0.90%) 1/20/32 #, • | EUR | 300,000 | 320,262 |
Goldentree Loan Management US CLO 2 Series 2017-2A AR 144A 6.16% (LIBOR03M + 0.91%, Floor 0.91%) 11/20/30 #, • | 3,300,000 | 3,266,568 |
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Harvest CLO XI DAC Series 11A ARR 144A 4.25% (EUR003M + 0.65%, Floor 0.65%) 6/26/30 #, • | 1,506,551 | $ 1,604,114 | |
Harvest CLO XVI DAC Series 16A ARR 144A 3.817% (EUR003M + 0.64%, Floor 0.64%) 10/15/31 #, • | EUR | 2,000,000 | 2,129,245 |
Harvest CLO XXI DAC Series 21A A2R 144A 1.04% 7/15/31 # | EUR | 250,000 | 247,996 |
HGI CRE CLO Series 2022-FL3 A 144A 6.767% (SOFR + 1.70%, Floor 1.70%) 4/20/37 #, • | 3,000,000 | 2,939,871 | |
Invesco Euro CLO I DAC Series 1A A1R 144A 3.827% (EUR003M + 0.65%, Floor 0.65%) 7/15/31 #, • | EUR | 250,000 | 265,449 |
Jubilee CLO DAC | |||
Series 2014-11A ARR 144A 3.787% (EUR003M + 0.61%, Floor 0.61%) 4/15/30 #, • | EUR | 1,700,000 | 1,814,793 |
Series 2014-12A ARRR 144A 3.777% (EUR003M + 0.60%, Floor 0.60%) 4/15/30 #, • | EUR | 600,000 | 642,105 |
Series 2016-17A A1RR 144A 3.827% (EUR003M + 0.65%, Floor 0.65%) 4/15/31 #, • | EUR | 1,400,000 | 1,488,646 |
Series 2016-17A A2RR 144A 3.827% (EUR003M + 0.65%, Floor 0.65%) 4/15/31 #, • | EUR | 500,000 | 533,850 |
KKR CLO 18 Series 18 AR 144A 6.202% (LIBOR03M + 0.94%, Floor 0.94%) 7/18/30 #, • | 410,849 | 406,639 |
NQ- OPTFI [0623] 0823 (3054830) 7
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Laurelin DAC Series 2016-1A ARR 144A 3.92% (EUR003M + 0.72%, Floor 0.72%) 10/20/31 #, • | EUR | 2,100,000 | $ 2,238,233 |
LCM XIII Series 13A AR3 144A 6.135% (LIBOR03M + 0.87%, Floor 0.87%) 7/19/27 #, • | 2,230,916 | 2,210,066 | |
LCM XV Series 15A AR2 144A 6.25% (LIBOR03M + 1.00%, Floor 1.00%) 7/20/30 #, • | 2,755,093 | 2,724,944 | |
Man GLG Euro CLO III DAC Series 3A AR 144A 3.857% (EUR003M + 0.68%, Floor 0.68%) 10/15/30 #, • | EUR | 806,014 | 861,752 |
Man GLG Euro CLO V DAC Series 5A A1R 144A 4.216% (EUR003M + 0.69%, Floor 0.69%) 12/15/31 #, • | EUR | 1,898,157 | 2,031,101 |
Man GLG US CLO Series 2018-1A A1R 144A 6.39% (LIBOR03M + 1.14%) 4/22/30 #, • | 3,000,000 | 2,950,833 | |
Marathon CLO Series 2021-16A A1A 144A 6.46% (LIBOR03M + 1.20%, Floor 1.20%) 4/15/34 #, • | 1,250,000 | 1,223,739 | |
Oak Hill European Credit Partners IV DAC Series 2015-4A A1RE 144A 3.93% (EUR003M + 0.73%, Floor 0.73%) 1/20/32 #, • | EUR | 278,190 | 296,528 |
Oaktree CLO Series 2019-4A A1R 144A 6.37% (LIBOR03M + 1.12%, Floor 1.12%) 10/20/32 #, • | 500,000 | 492,045 |
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
OCP Euro CLO DAC Series 2020-4A AR 144A 4.091% (EUR003M + 0.88%, Floor 0.88%) 9/22/34 #, • | EUR | 1,900,000 | $ 2,021,440 |
OZLM IX Series 2014-9A A1A3 144A 6.35% (LIBOR03M + 1.10%, Floor 1.10%) 10/20/31 #, • | 500,000 | 492,883 | |
OZLM XVI Series 2017-16A A1R 144A 6.348% (LIBOR03M + 1.03%, Floor 1.03%) 5/16/30 #, • | 1,925,164 | 1,905,350 | |
OZLM XXIV Series 2019-24A A1AR 144A 6.41% (LIBOR03M + 1.16%, Floor 1.16%) 7/20/32 #, • | 2,100,000 | 2,055,012 | |
Palmer Square European Loan Funding DAC Series 2021-1A A 144A 3.957% (EUR003M + 0.78%, Floor 0.78%) 4/15/31 #, • | EUR | 1,706,798 | 1,823,840 |
Palmer Square Loan Funding | |||
Series 2021-3A A1 144A 6.05% (LIBOR03M + 0.80%, Floor 0.80%) 7/20/29 #, • | 455,303 | 449,308 | |
Series 2021-4A A1 144A 6.06% (LIBOR03M + 0.80%, Floor 0.80%) 10/15/29 #, • | 1,886,336 | 1,865,111 | |
Sculptor European CLO V DAC Series 5A AR 144A 3.916% (EUR003M + 0.79%, Floor 0.79%) 1/14/32 #, • | EUR | 3,300,000 | 3,521,375 |
8 NQ- OPTFI [0623] 0823 (3054830)
(Unaudited)
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Segovia European CLO DAC Series 2019-6A AR 144A 4.08% (EUR003M + 0.88%, Floor 0.88%) 7/20/32 #, • | EUR | 1,600,000 | $ 1,707,225 |
Signal Peak CLO 5 Series 2018-5A A 144A 6.365% (LIBOR03M + 1.11%, Floor 1.11%) 4/25/31 #, • | 1,800,000 | 1,781,446 | |
Sound Point CLO IX Series 2015-2A ARRR 144A 6.46% (LIBOR03M + 1.21%, Floor 1.21%) 7/20/32 #, • | 2,600,000 | 2,552,888 | |
Sound Point CLO XIV Series 2016-3A AR2 144A 6.263% (LIBOR03M + 0.99%, Floor 0.99%) 1/23/29 #, • | 728,207 | 726,112 | |
Sound Point CLO XVI Series 2017-2A AR 144A 6.235% (LIBOR03M + 0.98%) 7/25/30 #, • | 3,959,262 | 3,913,857 | |
Stratus CLO Series 2021-3A A 144A 6.20% (LIBOR03M + 0.95%, Floor 0.95%) 12/29/29 #, • | 1,600,451 | 1,584,965 | |
Symphony Static CLO I Series 2021-1A A 144A 6.085% (LIBOR03M + 0.83%, Floor 0.83%) 10/25/29 #, • | 414,288 | 409,109 | |
TCI-Symphony CLO Series 2017-1A AR 144A 6.19% (LIBOR03M + 0.93%, Floor 0.93%) 7/15/30 #, • | 945,427 | 932,515 | |
THL Credit Wind River CLO Series 2019-3A AR 144A 6.34% (LIBOR03M + 1.08%, Floor 1.08%) 4/15/31 #, • | 3,100,000 | 3,043,822 |
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Tikehau CLO DAC Series 2015-1A ARR 144A 4.144% (EUR003M + 0.87%, Floor 0.87%) 8/4/34 #, • | EUR | 2,000,000 | $ 2,123,442 |
Toro European CLO 6 DAC Series 6A AR 144A 3.995% (EUR003M + 0.92%, Floor 0.92%) 1/12/32 #, • | EUR | 300,000 | 319,107 |
Toro European CLO 7 DAC Series 7A ARE 144A 4.133% (EUR003M + 0.81%, Floor 0.81%) 2/15/34 #, • | EUR | 1,900,000 | 2,014,635 |
Venture 32 CLO Series 2018-32A A1 144A 6.362% (LIBOR03M + 1.10%, Floor 1.10%) 7/18/31 #, • | 500,000 | 491,832 | |
Venture 34 CLO Series 2018-34A A 144A 6.49% (LIBOR03M + 1.23%, Floor 1.23%) 10/15/31 #, • | 2,500,000 | 2,463,262 | |
Venture 38 CLO Series 2019-38A A1R 144A 6.459% (LIBOR03M + 1.16%, Floor 1.16%) 7/30/32 #, • | 2,900,000 | 2,855,096 | |
Venture 42 CLO Series 2021-42A A1A 144A 6.39% (LIBOR03M + 1.13%, Floor 1.13%) 4/15/34 #, • | 1,300,000 | 1,259,817 | |
Venture XVII CLO Series 2014-17A ARR 144A 6.14% (LIBOR03M + 0.88%) 4/15/27 #, • | 194,155 | 192,949 | |
Venture XXIV CLO Series 2016-24A ARR 144A 6.15% (LIBOR03M + 0.90%, Floor 0.90%) 10/20/28 #, • | 320,459 | 317,434 |
NQ- OPTFI [0623] 0823 (3054830) 9
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Venture XXVI CLO Series 2017-26A AR 144A 6.35% (LIBOR03M + 1.10%, Floor 1.10%) 1/20/29 #, • | 2,919,183 | $ 2,892,764 | |
Vibrant CLO IV Series 2016-4A A1RR 144A 6.37% (LIBOR03M + 1.12%, Floor 1.12%) 7/20/32 #, • | 1,300,000 | 1,282,096 | |
Vibrant CLO VI Series 2017-6A AR 144A 6.46% (LIBOR03M + 0.95%) 6/20/29 #, • | 1,259,108 | 1,247,917 | |
Vibrant CLO VII Series 2017-7A A1R 144A 6.29% (LIBOR03M + 1.04%, Floor 1.04%) 9/15/30 #, • | 3,763,353 | 3,726,762 | |
Vibrant CLO XI Series 2019-11A A1R1 144A 6.37% (LIBOR03M + 1.12%, Floor 1.12%) 7/20/32 #, • | 1,500,000 | 1,469,093 | |
Voya Series 2012-4A A1R3 144A 6.248% (TSFR03M + 1.26%) 10/15/30 #, • | 1,305,031 | 1,290,383 | |
Voya CLO Series 2014-4A A1RA 144A 6.351% (LIBOR03M + 1.10%) 7/14/31 #, • | 842,321 | 832,621 | |
Total Collateralized Debt Obligations (cost $159,542,928) | 150,412,086 | ||
Convertible Bonds — 0.14% | |||
Kaman 3.25% exercise price $65.26, maturity date 5/1/24 | 2,540,000 | 2,458,720 | |
Spirit Airlines 1.00% exercise price $42.36, maturity date 5/15/26 | 1,906,000 | 1,549,578 | |
Total Convertible Bonds (cost $4,289,916) | 4,008,298 | ||
Principal amount° | Value (US $) | ||
Corporate Bonds — 29.69% | |||
Banking — 8.45% | |||
Access Bank 144A 6.125% 9/21/26 # | 500,000 | $ 424,350 | |
Akbank TAS | |||
144A 6.80% 2/6/26 # | 370,000 | 353,960 | |
6.80% 6/22/31 μ | 200,000 | 182,824 | |
Banco Bilbao Vizcaya Argentaria 5.875% 9/24/23 μ, ψ | EUR | 800,000 | 866,029 |
Banco Continental 144A 2.75% 12/10/25 # | 365,000 | 330,203 | |
Banco de Credito e Inversiones 144A 3.50% 10/12/27 # | 435,000 | 401,905 | |
Banco do Brasil 144A 6.25% 4/18/30 # | 445,000 | 442,664 | |
Banco GNB Sudameris 144A 7.50% 4/16/31 #, μ | 570,000 | 468,449 | |
Banco Industrial 144A 4.875% 1/29/31 #, μ | 320,000 | 293,642 | |
Banco Mercantil del Norte 144A 8.375% 10/14/30 #, μ, ψ | 275,000 | 256,877 | |
Banco Nacional de Panama 144A 2.50% 8/11/30 # | 200,000 | 157,549 | |
Banco Santander | |||
2.958% 3/25/31 | 1,000,000 | 825,485 | |
3.496% 3/24/25 | 1,000,000 | 958,058 | |
3.892% 5/24/24 | 1,400,000 | 1,373,053 | |
4.175% 3/24/28 μ | 1,200,000 | 1,124,062 | |
Bancolombia 6.909% 10/18/27 μ | 315,000 | 298,843 | |
Bangkok Bank 144A 5.00% 9/23/25 #, μ, ψ | 280,000 | 265,613 | |
Bank Hapoalim 144A 3.255% 1/21/32 #, μ | 395,000 | 339,594 | |
Bank Leumi Le-Israel | |||
144A 5.125% 7/27/27 # | 335,000 | 333,119 | |
144A 7.129% 7/18/33 #, μ | 465,000 | 460,802 | |
Bank of America | |||
2.482% 9/21/36 μ | 5,625,000 | 4,305,851 | |
3.384% 4/2/26 μ | 500,000 | 479,531 | |
3.864% 7/23/24 μ | 2,200,000 | 2,197,351 | |
3.974% 2/7/30 μ | 3,400,000 | 3,150,696 | |
4.125% 1/22/24 | 200,000 | 198,300 | |
4.30% 1/28/25 μ, ψ | 900,000 | 812,844 | |
5.288% 4/25/34 μ | 3,520,000 | 3,488,869 |
10 NQ- OPTFI [0623] 0823 (3054830)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Bank of America | |||
6.204% 11/10/28 μ | 3,000,000 | $ 3,085,980 | |
Bank of New York Mellon | |||
4.70% 9/20/25 μ, ψ | 2,560,000 | 2,492,800 | |
5.802% 10/25/28 μ | 581,000 | 592,595 | |
Barclays | |||
3.33% 11/24/42 μ | 1,300,000 | 914,140 | |
3.375% 4/2/25 μ | EUR | 500,000 | 539,309 |
4.972% 5/16/29 μ | 3,000,000 | 2,837,806 | |
5.501% 8/9/28 μ | 1,600,000 | 1,561,638 | |
6.224% 5/9/34 μ | 1,430,000 | 1,425,263 | |
6.375% 12/15/25 μ, ψ | GBP | 500,000 | 549,624 |
7.125% μ | GBP | 1,800,000 | 2,079,003 |
7.385% 11/2/28 μ | 764,000 | 796,454 | |
7.437% 11/2/33 μ | 3,000,000 | 3,247,267 | |
7.75% 9/15/23 μ, ψ | 400,000 | 392,960 | |
BBVA Bancomer 144A 5.875% 9/13/34 #, μ | 400,000 | 356,466 | |
BNP Paribas | |||
144A 1.904% 9/30/28 #, μ | 1,800,000 | 1,534,983 | |
144A 2.159% 9/15/29 #, μ | 600,000 | 500,252 | |
144A 2.871% 4/19/32 #, μ | 300,000 | 245,960 | |
144A 3.052% 1/13/31 #, μ | 2,600,000 | 2,222,041 | |
144A 7.375% 8/19/25 #, μ, ψ | 700,000 | 680,451 | |
7.375% 8/19/25 μ, ψ | 500,000 | 486,037 | |
BPCE 144A 5.748% 7/19/33 #, μ | 5,000,000 | 4,886,507 | |
CIMB Bank 144A 2.125% 7/20/27 # | 550,000 | 492,417 | |
Citigroup | |||
3.20% 10/21/26 | 1,000,000 | 936,728 | |
4.075% 4/23/29 μ | 2,400,000 | 2,261,512 | |
5.61% 9/29/26 μ | 3,070,000 | 3,067,466 | |
6.174% 5/25/34 μ | 1,590,000 | 1,604,718 | |
Citizens Bank 6.064% 10/24/25 μ | 2,130,000 | 2,019,548 | |
Cooperatieve Rabobank | |||
3.75% 7/21/26 | 1,350,000 | 1,261,397 | |
4.375% 8/4/25 | 2,000,000 | 1,931,364 | |
Credit Agricole 144A 5.514% 7/5/33 # | 2,725,000 | 2,743,411 | |
Credit Suisse 7.95% 1/9/25 | 655,000 | 668,620 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Credit Suisse Group | |||
144A 6.25% 12/18/24 #, μ, ψ | 2,000,000 | $ 84,660 | |
144A 6.375% 8/21/26 #, μ, ψ | 1,900,000 | 80,427 | |
144A 6.442% 8/11/28 #, μ | 1,750,000 | 1,757,924 | |
7.50% 12/11/23 μ, ψ | 400,000 | 16,932 | |
Deutsche Bank | |||
2.129% 11/24/26 μ | 700,000 | 623,127 | |
3.547% 9/18/31 μ | 1,500,000 | 1,246,620 | |
3.729% 1/14/32 μ | 2,331,000 | 1,764,112 | |
3.742% 1/7/33 μ | 789,000 | 579,154 | |
3.961% 11/26/25 μ | 5,700,000 | 5,437,681 | |
6.119% 7/14/26 μ | 3,000,000 | 2,967,745 | |
6.72% 1/18/29 μ | 1,790,000 | 1,793,938 | |
Emirates NBD Bank PJSC | |||
2.625% 2/18/25 | 295,000 | 281,682 | |
6.125% 4/9/26 μ, ψ | 305,000 | 302,046 | |
Fifth Third Bancorp | |||
2.55% 5/5/27 | 1,000 | 884 | |
3.95% 3/14/28 | 4,000 | 3,683 | |
Fifth Third Bank 5.852% 10/27/25 μ | 1,575,000 | 1,534,956 | |
First Abu Dhabi Bank 4.50% 4/5/26 μ, ψ | 325,000 | 305,846 | |
Goldman Sachs Group | |||
1.431% 3/9/27 μ | 2,000,000 | 1,788,006 | |
1.542% 9/10/27 μ | 3,993,000 | 3,512,041 | |
3.615% 3/15/28 μ | 2,000,000 | 1,878,139 | |
4.223% 5/1/29 μ | 4,700,000 | 4,442,120 | |
Hana Bank 144A 1.25% 12/16/26 # | 345,000 | 297,333 | |
HSBC Holdings | |||
1.589% 5/24/27 μ | 2,200,000 | 1,942,753 | |
2.848% 6/4/31 μ | 2,700,000 | 2,241,886 | |
2.871% 11/22/32 μ | 2,000,000 | 1,613,986 | |
4.70% 3/9/31 μ, ψ | 500,000 | 375,206 | |
5.21% 8/11/28 μ | 500,000 | 489,323 | |
5.875% 9/28/26 μ, ψ | GBP | 500,000 | 555,292 |
6.254% 3/9/34 μ | 1,100,000 | 1,128,173 | |
Huntington National Bank | |||
4.552% 5/17/28 μ | 395,000 | 368,791 | |
5.65% 1/10/30 | 855,000 | 817,236 | |
ICICI Bank 144A 4.00% 3/18/26 # | 335,000 | 320,450 | |
ING Groep 3.875% 5/16/27 μ, ψ | 3,000,000 | 2,150,361 |
NQ- OPTFI [0623] 0823 (3054830) 11
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Intesa Sanpaolo | |||
144A 4.00% 9/23/29 # | 1,300,000 | $ 1,130,529 | |
144A 6.625% 6/20/33 # | 2,600,000 | 2,592,756 | |
7.75% 1/11/27 μ, ψ | EUR | 200,000 | 211,365 |
JPMorgan Chase & Co. | |||
1.764% 11/19/31 μ | 2,335,000 | 1,848,741 | |
1.953% 2/4/32 μ | 1,170,000 | 932,613 | |
2.595% 2/24/26 μ | 1,500,000 | 1,423,085 | |
2.947% 2/24/28 μ | 1,100,000 | 1,010,807 | |
2.963% 1/25/33 μ | 500,000 | 421,373 | |
3.109% 4/22/51 μ | 455,000 | 318,428 | |
3.22% 3/1/25 μ | 500,000 | 490,237 | |
4.005% 4/23/29 μ | 900,000 | 848,233 | |
5.00% 8/1/24 μ, ψ | 400,000 | 391,000 | |
KeyBank | |||
4.15% 8/8/25 | 250,000 | 231,136 | |
5.00% 1/26/33 | 640,000 | 554,176 | |
5.85% 11/15/27 | 995,000 | 937,762 | |
Lloyds Banking Group | |||
2.438% 2/5/26 μ | 300,000 | 282,607 | |
3.50% 4/1/26 μ | EUR | 200,000 | 213,563 |
3.75% 3/18/28 μ | 1,400,000 | 1,294,196 | |
Mitsubishi UFJ Financial Group | |||
2.193% 2/25/25 | 1,700,000 | 1,602,924 | |
2.559% 2/25/30 | 1,800,000 | 1,529,436 | |
Mizuho Financial Group | |||
2.226% 5/25/26 μ | 1,600,000 | 1,484,502 | |
2.564% 9/13/31 | 1,400,000 | 1,102,751 | |
2.591% 5/25/31 μ | 2,000,000 | 1,658,914 | |
3.261% 5/22/30 μ | 3,100,000 | 2,738,344 | |
Morgan Stanley | |||
0.495% 10/26/29 μ | EUR | 2,000,000 | 1,781,517 |
1.928% 4/28/32 μ | 1,415,000 | 1,105,261 | |
2.484% 9/16/36 μ | 4,730,000 | 3,590,870 | |
3.625% 1/20/27 | 4,000,000 | 3,801,170 | |
5.25% 4/21/34 μ | 1,850,000 | 1,827,650 | |
6.138% 10/16/26 μ | 865,000 | 874,078 | |
6.296% 10/18/28 μ | 1,717,000 | 1,765,890 | |
6.342% 10/18/33 μ | 715,000 | 760,946 | |
Nationwide Building Society | |||
144A 2.972% 2/16/28 #, μ | 800,000 | 719,362 | |
144A 4.302% 3/8/29 #, μ | 5,200,000 | 4,822,602 | |
NatWest Group | |||
4.80% 4/5/26 | 5,000,000 | 4,856,738 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
NatWest Group | |||
5.125% 5/12/27 μ, ψ | GBP | 500,000 | $ 525,002 |
NBK SPC 144A 1.625% 9/15/27 #, μ | 710,000 | 634,036 | |
Nykredit Realkredit 2.00% 10/1/53 | DKK | 1 | 0 |
PNC Bank 4.05% 7/26/28 | 2,400,000 | 2,212,963 | |
PNC Financial Services Group 5.671% 10/28/25 μ | 1,250,000 | 1,240,201 | |
Popular 7.25% 3/13/28 | 855,000 | 855,000 | |
QNB Finance 2.625% 5/12/25 | 455,000 | 432,276 | |
Rizal Commercial Banking 6.50% 8/27/25 μ, ψ | 305,000 | 271,443 | |
Santander UK Group Holdings 3.823% 11/3/28 μ | 3,200,000 | 2,883,229 | |
Shinhan Bank 3.875% 3/24/26 | 345,000 | 324,474 | |
Shinhan Financial Group 144A 3.34% 2/5/30 #, μ | 210,000 | 201,127 | |
Societe Generale | |||
144A 4.25% 4/14/25 # | 3,600,000 | 3,434,526 | |
144A 4.677% 6/15/27 # | 3,500,000 | 3,375,192 | |
144A 6.691% 1/10/34 #, μ | 4,000,000 | 4,075,137 | |
7.875% 12/18/23 μ, ψ | 500,000 | 490,212 | |
Standard Chartered 144A 6.301% 1/9/29 #, μ | 385,000 | 387,443 | |
Sumitomo Mitsui Financial Group | |||
1.474% 7/8/25 | 2,600,000 | 2,388,710 | |
2.222% 9/17/31 | 2,300,000 | 1,838,674 | |
SVB Financial Group | |||
1.80% 2/2/31 ‡ | 775,000 | 492,896 | |
4.00% 5/15/26 μ, ‡, ψ | 2,110,000 | 154,874 | |
4.57% 4/29/33 μ, ‡ | 2,164,000 | 1,452,836 | |
Toronto-Dominion Bank 4.108% 6/8/27 | 786,000 | 752,024 | |
Truist Bank 2.636% 9/17/29 μ | 5,182,000 | 4,785,529 | |
Truist Financial | |||
1.887% 6/7/29 μ | 3,485,000 | 2,899,598 |
12 NQ- OPTFI [0623] 0823 (3054830)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Truist Financial | |||
4.95% 9/1/25 μ, ψ | 1,465,000 | $ 1,358,787 | |
6.123% 10/28/33 μ | 755,000 | 766,629 | |
Turkiye Garanti Bankasi 144A 7.177% 5/24/27 #, μ | 405,000 | 371,781 | |
UBS 5.125% 5/15/24 | 200,000 | 196,946 | |
UBS Group | |||
0.25% 11/5/28 μ | EUR | 1,000,000 | 895,823 |
144A 3.126% 8/13/30 #, μ | 2,000,000 | 1,687,179 | |
144A 4.194% 4/1/31 #, μ | 2,500,000 | 2,226,450 | |
UniCredit | |||
7.50% 6/3/26 μ, ψ | EUR | 600,000 | 644,567 |
144A 7.83% 12/4/23 # | 2,900,000 | 2,917,434 | |
US Bancorp | |||
2.491% 11/3/36 μ | 3,400,000 | 2,489,264 | |
3.60% 9/11/24 | 1,275,000 | 1,239,665 | |
3.95% 11/17/25 | 2,820,000 | 2,712,309 | |
4.653% 2/1/29 μ | 246,000 | 235,221 | |
4.839% 2/1/34 μ | 800,000 | 747,639 | |
5.727% 10/21/26 μ | 734,000 | 733,889 | |
5.836% 6/12/34 μ | 890,000 | 896,848 | |
US Bank 3.40% 7/24/23 | 815,000 | 813,916 | |
Wells Fargo & Co. | |||
3.196% 6/17/27 μ | 900,000 | 845,636 | |
3.584% 5/22/28 μ | 5,300,000 | 4,939,701 | |
3.90% 3/15/26 μ, ψ | 1,000,000 | 881,025 | |
5.389% 4/24/34 μ | 5,000,000 | 4,970,390 | |
235,741,816 | |||
Basic Industry — 0.87% | |||
Anglo American Capital 144A 5.50% 5/2/33 # | 495,000 | 483,872 | |
AngloGold Ashanti Holdings 3.375% 11/1/28 | 305,000 | 267,426 | |
Antofagasta 144A 5.625% 5/13/32 # | 355,000 | 353,279 | |
Braskem Netherlands Finance 144A 7.25% 2/13/33 # | 430,000 | 422,853 | |
Celanese US Holdings | |||
6.05% 3/15/25 | 590,000 | 587,885 | |
6.165% 7/15/27 | 2,095,000 | 2,085,622 | |
Corp Nacional del Cobre de Chile | |||
144A 3.70% 1/30/50 # | 225,000 | 170,709 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Basic Industry (continued) | |||
Corp Nacional del Cobre de Chile | |||
144A 4.25% 7/17/42 # | 200,000 | $ 171,858 | |
CSN Resources | |||
144A 5.875% 4/8/32 # | 385,000 | 310,487 | |
144A 7.625% 4/17/26 # | 260,000 | 258,084 | |
First Quantum Minerals | |||
144A 6.875% 10/15/27 # | 360,000 | 351,725 | |
144A 7.50% 4/1/25 # | 210,000 | 210,034 | |
144A 8.625% 6/1/31 # | 2,390,000 | 2,452,451 | |
FMG Resources August 2006 144A 6.125% 4/15/32 # | 7,300,000 | 6,967,452 | |
Freeport Indonesia | |||
144A 5.315% 4/14/32 # | 435,000 | 412,418 | |
144A 6.20% 4/14/52 # | 200,000 | 180,772 | |
ICL Group 144A 6.375% 5/31/38 # | 210,000 | 212,396 | |
INEOS Styrolution Group 2.25% 1/16/27 | EUR | 500,000 | 468,831 |
Metinvest 144A 7.75% 10/17/29 # | 627,000 | 379,335 | |
Newmont | |||
2.25% 10/1/30 | 1,875,000 | 1,537,378 | |
2.60% 7/15/32 | 1,160,000 | 948,391 | |
2.80% 10/1/29 | 76,000 | 65,412 | |
Novelis 144A 4.75% 1/30/30 # | 835,000 | 742,868 | |
OCP | |||
144A 3.75% 6/23/31 # | 200,000 | 165,906 | |
144A 5.125% 6/23/51 # | 240,000 | 175,498 | |
144A 6.875% 4/25/44 # | 250,000 | 230,241 | |
Sasol Financing USA | �� | ||
6.50% 9/27/28 | 265,000 | 237,205 | |
144A 8.75% 5/3/29 # | 340,000 | 331,570 | |
Sherwin-Williams 3.30% 5/15/50 | 3,495,000 | 2,490,197 | |
Stillwater Mining 144A 4.50% 11/16/29 # | 385,000 | 313,053 |
NQ- OPTFI [0623] 0823 (3054830) 13
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Basic Industry (continued) | |||
Vale Overseas 6.125% 6/12/33 | 415,000 | $ 416,262 | |
24,401,470 | |||
Brokerage — 0.13% | |||
Jefferies Financial Group | |||
2.625% 10/15/31 | 2,925,000 | 2,270,333 | |
6.45% 6/8/27 | 331,000 | 342,161 | |
6.50% 1/20/43 | 880,000 | 882,505 | |
3,494,999 | |||
Capital Goods — 0.94% | |||
Abertis Infraestructuras Finance 3.248% 11/24/25 μ, ψ | EUR | 1,500,000 | 1,474,503 |
Aeropuerto Internacional de Tocumen 144A 5.125% 8/11/61 # | 200,000 | 154,392 | |
Aeropuertos Argentina 2000 144A 8.50% 8/1/31 # | 365,723 | 340,663 | |
Ardagh Metal Packaging Finance USA 144A 3.25% 9/1/28 # | 4,600,000 | 3,956,450 | |
Boeing | |||
1.95% 2/1/24 | 2,000,000 | 1,954,764 | |
3.25% 2/1/28 | 1,545,000 | 1,419,546 | |
3.75% 2/1/50 | 5,355,000 | 4,024,976 | |
Caterpillar 2.60% 4/9/30 | 25,000 | 22,211 | |
Cellnex Finance 144A 3.875% 7/7/41 # | 4,299,000 | 3,153,718 | |
Embraer Netherlands Finance 5.40% 2/1/27 | 450,000 | 432,338 | |
GCC 144A 3.614% 4/20/32 # | 390,000 | 331,703 | |
Hutama Karya Persero 144A 3.75% 5/11/30 # | 454,000 | 414,372 | |
IHS Holding 144A 5.625% 11/29/26 # | 440,000 | 385,088 | |
Lockheed Martin 4.75% 2/15/34 | 1,425,000 | 1,422,393 | |
Rolls-Royce 144A 5.75% 10/15/27 # | 1,000,000 | 978,849 | |
SAN Miguel Industrias 144A 3.50% 8/2/28 # | 505,000 | 429,503 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Capital Goods (continued) | |||
Standard Industries 144A 3.375% 1/15/31 # | 1,568,000 | $ 1,264,033 | |
Summit Digitel Infrastructure 144A 2.875% 8/12/31 # | 535,000 | 423,319 | |
Teledyne Technologies | |||
2.25% 4/1/28 | 1,980,000 | 1,729,682 | |
2.75% 4/1/31 | 1,730,000 | 1,446,153 | |
UltraTech Cement 144A 2.80% 2/16/31 # | 420,000 | 345,468 | |
26,104,124 | |||
Communications — 2.96% | |||
Alibaba Group Holding 2.70% 2/9/41 | 465,000 | 310,980 | |
Altice Financing 144A 5.00% 1/15/28 # | 345,000 | 276,069 | |
Altice France | |||
2.125% 2/15/25 | EUR | 1,900,000 | 1,908,713 |
144A 5.50% 10/15/29 # | 1,375,000 | 984,696 | |
Amazon.com | |||
1.50% 6/3/30 | 1,000,000 | 822,704 | |
2.50% 6/3/50 | 1,460,000 | 972,385 | |
America Movil 4.70% 7/21/32 | 420,000 | 405,436 | |
AT&T | |||
2.55% 12/1/33 | 2,673,000 | 2,100,500 | |
3.50% 6/1/41 | 1,680,000 | 1,291,337 | |
3.50% 9/15/53 | 8,615,000 | 6,104,799 | |
5.40% 2/15/34 | 1,150,000 | 1,152,542 | |
Axian Telecom 144A 7.375% 2/16/27 # | 380,000 | 349,600 | |
CCO Holdings | |||
144A 4.25% 1/15/34 # | 5,700,000 | 4,313,747 | |
144A 4.50% 8/15/30 # | 500,000 | 416,796 | |
144A 5.00% 2/1/28 # | 900,000 | 820,926 | |
Charter Communications Operating | |||
2.80% 4/1/31 | 4,000,000 | 3,220,131 | |
3.85% 4/1/61 | 4,755,000 | 2,880,020 | |
4.40% 12/1/61 | 4,252,000 | 2,873,846 | |
4.908% 7/23/25 | 430,000 | 421,807 | |
5.05% 3/30/29 | 3,800,000 | 3,625,309 | |
Comcast | |||
2.80% 1/15/51 | 475,000 | 314,840 | |
4.55% 1/15/29 | 3,640,000 | 3,576,408 |
14 NQ- OPTFI [0623] 0823 (3054830)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Communications (continued) | |||
Comcast | |||
4.80% 5/15/33 | 1,685,000 | $ 1,668,104 | |
Connect Finco 144A 6.75% 10/1/26 # | 2,835,000 | 2,756,234 | |
CSC Holdings 144A 4.625% 12/1/30 # | 890,000 | 396,920 | |
CT Trust 144A 5.125% 2/3/32 # | 485,000 | 389,693 | |
Directv Financing 144A 5.875% 8/15/27 # | 2,135,000 | 1,936,040 | |
Discovery Communications 4.00% 9/15/55 | 9,190,000 | 6,117,449 | |
Frontier Communications Holdings | |||
144A 5.00% 5/1/28 # | 2,170,000 | 1,874,392 | |
144A 5.875% 10/15/27 # | 1,165,000 | 1,070,339 | |
Liberty Costa Rica Senior Secured Finance 144A 10.875% 1/15/31 # | 350,000 | 346,777 | |
Sprint 7.625% 3/1/26 | 200,000 | 207,935 | |
Sprint Capital 6.875% 11/15/28 | 3,275,000 | 3,474,426 | |
Sprint Spectrum 144A 4.738% 9/20/29 # | 640,938 | 632,783 | |
Tencent Holdings | |||
144A 2.88% 4/22/31 # | 200,000 | 170,225 | |
144A 3.68% 4/22/41 # | 400,000 | 309,995 | |
Time Warner Cable 7.30% 7/1/38 | 2,120,000 | 2,162,274 | |
T-Mobile USA | |||
1.50% 2/15/26 | 2,100,000 | 1,898,306 | |
3.00% 2/15/41 | 3,445,000 | 2,520,683 | |
3.30% 2/15/51 | 1,500,000 | 1,053,574 | |
3.375% 4/15/29 | 2,305,000 | 2,083,600 | |
3.75% 4/15/27 | 2,150,000 | 2,036,241 | |
3.875% 4/15/30 | 1,400,000 | 1,290,612 | |
5.05% 7/15/33 | 1,525,000 | 1,498,035 | |
Turkcell Iletisim Hizmetleri 144A 5.80% 4/11/28 # | 350,000 | 311,567 | |
Verizon Communications | |||
2.10% 3/22/28 | 1,100,000 | 966,873 | |
2.55% 3/21/31 | 800,000 | 668,182 | |
2.875% 11/20/50 | 1,100,000 | 717,602 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Communications (continued) | |||
Verizon Communications | |||
6.421% (LIBOR03M + 1.10%) 5/15/25 • | 3,200,000 | $ 3,227,500 | |
Vmed O2 UK Financing I 144A 4.25% 1/31/31 # | 1,885,000 | 1,525,829 | |
82,455,781 | |||
Consumer Cyclical — 1.48% | |||
Alsea 144A 7.75% 12/14/26 # | 200,000 | 198,611 | |
Aptiv 3.10% 12/1/51 | 4,171,000 | 2,626,030 | |
Arcos Dorados 144A 6.125% 5/27/29 # | 405,000 | 394,275 | |
Carnival | |||
144A 4.00% 8/1/28 # | 730,000 | 647,816 | |
144A 7.625% 3/1/26 # | 1,553,000 | 1,522,443 | |
CK Hutchison International 23 | |||
144A 4.75% 4/21/28 # | 310,000 | 306,708 | |
144A 4.875% 4/21/33 # | 550,000 | 544,779 | |
Ford Motor Credit | |||
1.744% 7/19/24 | EUR | 300,000 | 316,907 |
2.30% 2/10/25 | 345,000 | 322,834 | |
2.33% 11/25/25 | EUR | 200,000 | 205,146 |
2.386% 2/17/26 | EUR | 500,000 | 512,826 |
2.70% 8/10/26 | 700,000 | 625,618 | |
2.748% 6/14/24 | GBP | 100,000 | 121,548 |
2.90% 2/16/28 | 765,000 | 655,932 | |
2.90% 2/10/29 | 500,000 | 414,251 | |
3.25% 9/15/25 | EUR | 1,000,000 | 1,049,330 |
4.535% 3/6/25 | GBP | 1,100,000 | 1,328,470 |
4.542% 8/1/26 | 1,514,000 | 1,424,515 | |
5.125% 6/16/25 | 600,000 | 584,058 | |
6.95% 6/10/26 | 1,070,000 | 1,076,334 | |
Future Retail 144A 5.60% 1/22/25 #, ‡ | 565,000 | 16,272 | |
General Motors Financial 5.85% 4/6/30 | 4,215,000 | 4,182,203 | |
Hilton Domestic Operating | |||
144A 3.625% 2/15/32 # | 700,000 | 584,284 | |
144A 4.00% 5/1/31 # | 700,000 | 608,574 | |
Hilton Grand Vacations Borrower Escrow 144A 5.00% 6/1/29 # | 900,000 | 799,560 |
NQ- OPTFI [0623] 0823 (3054830) 15
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Cyclical (continued) | |||
Hyatt Hotels 1.80% 10/1/24 | 300,000 | $ 285,655 | |
Hyundai Capital Services 144A 0.75% 9/15/23 # | 1,800,000 | 1,780,937 | |
InRetail Consumer 144A 3.25% 3/22/28 # | 530,000 | 455,652 | |
Kia 144A 2.375% 2/14/25 # | 395,000 | 374,642 | |
Marriott International 3.50% 10/15/32 | 900,000 | 778,027 | |
Melco Resorts Finance | |||
144A 5.375% 12/4/29 # | 200,000 | 166,165 | |
5.75% 7/21/28 | 200,000 | 177,000 | |
MGM China Holdings | |||
144A 4.75% 2/1/27 # | 725,000 | 660,522 | |
144A 5.25% 6/18/25 # | 600,000 | 575,848 | |
Nemak 144A 3.625% 6/28/31 # | 365,000 | 285,561 | |
Nissan Motor | |||
144A 3.043% 9/15/23 # | 1,800,000 | 1,787,403 | |
144A 4.345% 9/17/27 # | 1,400,000 | 1,274,303 | |
144A 4.81% 9/17/30 # | 600,000 | 526,755 | |
Nissan Motor Acceptance | |||
144A 2.45% 9/15/28 # | 300,000 | 239,759 | |
144A 3.875% 9/21/23 # | 3,000,000 | 2,983,467 | |
Royal Caribbean Cruises 144A 5.50% 4/1/28 # | 940,000 | 877,523 | |
Sands China | |||
2.80% 3/8/27 | 200,000 | 173,737 | |
3.35% 3/8/29 | 400,000 | 333,716 | |
3.75% 8/8/31 | 525,000 | 427,763 | |
4.30% 1/8/26 | 400,000 | 376,387 | |
5.90% 8/8/28 | 1,800,000 | 1,717,471 | |
Studio City Finance 144A 5.00% 1/15/29 # | 675,000 | 500,857 | |
Turkiye Sise ve Cam Fabrikalari 144A 6.95% 3/14/26 # | 300,000 | 292,500 | |
Warnermedia Holdings | |||
3.638% 3/15/25 | 400,000 | 386,028 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Cyclical (continued) | |||
Warnermedia Holdings | |||
3.755% 3/15/27 | 400,000 | $ 373,267 | |
5.05% 3/15/42 | 800,000 | 674,737 | |
5.141% 3/15/52 | 1,825,000 | 1,487,212 | |
Wynn Macau | |||
5.50% 1/15/26 | 200,000 | 185,990 | |
5.50% 10/1/27 | 200,000 | 178,245 | |
41,406,453 | |||
Consumer Non-Cyclical — 2.93% | |||
AbbVie | |||
3.75% 11/14/23 | 1,200,000 | 1,191,696 | |
4.05% 11/21/39 | 3,193,000 | 2,781,620 | |
Amgen | |||
2.20% 2/21/27 | 3,300,000 | 2,999,663 | |
5.15% 3/2/28 | 730,000 | 729,864 | |
5.25% 3/2/30 | 720,000 | 721,987 | |
5.25% 3/2/33 | 10,975,000 | 10,994,237 | |
Ashtead Capital 144A 1.50% 8/12/26 # | 665,000 | 581,586 | |
Bacardi 144A 4.45% 5/15/25 # | 500,000 | 486,861 | |
Bausch Health 144A 11.00% 9/30/28 # | 887,000 | 632,254 | |
Baxter International 3.132% 12/1/51 | 2,336,000 | 1,543,066 | |
Becton Dickinson Euro Finance 1.336% 8/13/41 | EUR | 700,000 | 488,879 |
Bellis Acquisition 3.25% 2/16/26 | GBP | 3,300,000 | 3,517,837 |
Bidvest Group UK 144A 3.625% 9/23/26 # | 530,000 | 473,754 | |
Centene 3.375% 2/15/30 | 1,000,000 | 860,340 | |
Central American Bottling 144A 5.25% 4/27/29 # | 335,000 | 309,843 | |
Coca-Cola Icecek 144A 4.50% 1/20/29 # | 400,000 | 357,680 | |
Coty 144A 5.00% 4/15/26 # | 1,500,000 | 1,438,994 | |
CVS Health | |||
2.70% 8/21/40 | 2,755,000 | 1,925,190 | |
5.25% 1/30/31 | 630,000 | 628,221 | |
CVS Pass Through Trust 144A 5.773% 1/10/33 #, ♦ | 58,956 | 56,746 | |
Danone 144A 2.589% 11/2/23 # | 1,500,000 | 1,484,504 |
16 NQ- OPTFI [0623] 0823 (3054830)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Non-Cyclical (continued) | |||
DaVita | |||
144A 3.75% 2/15/31 # | 850,000 | $ 680,686 | |
144A 4.625% 6/1/30 # | 1,500,000 | 1,289,382 | |
Global Payments 3.20% 8/15/29 | 2,150,000 | 1,870,397 | |
Haleon UK Capital 3.125% 3/24/25 | 500,000 | 477,965 | |
Haleon US Capital 3.375% 3/24/29 | 500,000 | 454,661 | |
HCA | |||
3.50% 7/15/51 | 1,062,000 | 735,804 | |
4.125% 6/15/29 | 3,400,000 | 3,148,067 | |
5.20% 6/1/28 | 750,000 | 744,426 | |
Humana 5.75% 3/1/28 | 523,000 | 532,535 | |
Indofood CBP Sukses Makmur | |||
3.541% 4/27/32 | 465,000 | 391,763 | |
4.805% 4/27/52 | 200,000 | 148,987 | |
International Container Terminal Services 4.75% 6/17/30 | 745,000 | 723,581 | |
JBS USA Lux | |||
144A 3.00% 2/2/29 # | 1,466,000 | 1,246,833 | |
144A 3.75% 12/1/31 # | 195,000 | 160,231 | |
144A 5.50% 1/15/30 # | 350,000 | 336,018 | |
MHP Lux 144A 6.25% 9/19/29 # | 425,000 | 225,250 | |
Mondelez International 2.125% 3/17/24 | 500,000 | 487,866 | |
Natura Cosmeticos 144A 4.125% 5/3/28 # | 405,000 | 350,658 | |
Pfizer Investment Enterprises | |||
4.75% 5/19/33 | 1,545,000 | 1,539,780 | |
5.11% 5/19/43 | 1,075,000 | 1,078,130 | |
5.30% 5/19/53 | 895,000 | 931,217 | |
Pilgrim's Pride 144A 5.875% 9/30/27 # | 1,458,000 | 1,442,140 | |
Regeneron Pharmaceuticals 2.80% 9/15/50 | 18,000 | 11,605 | |
Royalty Pharma | |||
1.75% 9/2/27 | 7,625,000 | 6,542,946 | |
3.35% 9/2/51 | 1,568,000 | 1,011,445 | |
3.55% 9/2/50 | 1,250,000 | 845,236 | |
Takeda Pharmaceutical 3.175% 7/9/50 | 4,797,000 | 3,382,881 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Non-Cyclical (continued) | |||
Tenet Healthcare | |||
4.25% 6/1/29 | 3,920,000 | $ 3,545,199 | |
6.125% 10/1/28 | 1,815,000 | 1,749,043 | |
Teva Pharmaceutical Finance Netherlands III | |||
5.125% 5/9/29 | 365,000 | 331,479 | |
6.75% 3/1/28 | 385,000 | 379,661 | |
United Rentals North America 3.875% 2/15/31 | 869,000 | 753,161 | |
UnitedHealth Group | |||
3.70% 5/15/27 | 600,000 | 578,800 | |
4.20% 5/15/32 | 1,746,000 | 1,667,555 | |
4.50% 4/15/33 | 4,650,000 | 4,531,694 | |
5.05% 4/15/53 | 2,685,000 | 2,670,787 | |
Zoetis 5.40% 11/14/25 | 420,000 | 421,396 | |
81,624,087 | |||
Energy — 2.92% | |||
Acu Petroleo Luxembourg 144A 7.50% 7/13/35 # | 496,940 | 428,862 | |
BP Capital Markets 4.875% 3/22/30 μ, ψ | 2,750,000 | 2,508,344 | |
BP Capital Markets America | |||
2.721% 1/12/32 | 1,465,000 | 1,244,633 | |
4.812% 2/13/33 | 1,305,000 | 1,286,650 | |
Canacol Energy 144A 5.75% 11/24/28 # | 325,000 | 278,229 | |
Cheniere Energy Partners 144A 5.95% 6/30/33 # | 4,200,000 | 4,217,472 | |
CNX Resources 144A 6.00% 1/15/29 # | 2,275,000 | 2,110,943 | |
Crestwood Midstream Partners 144A 6.00% 2/1/29 # | 1,737,000 | 1,623,687 | |
Diamondback Energy | |||
3.125% 3/24/31 | 3,265,000 | 2,798,282 | |
4.25% 3/15/52 | 3,678,000 | 2,825,235 | |
Ecopetrol | |||
5.875% 11/2/51 | 320,000 | 212,071 | |
6.875% 4/29/30 | 430,000 | 392,595 | |
EIG Pearl Holdings 144A 4.387% 11/30/46 # | 345,000 | 271,130 | |
Enbridge 5.70% 3/8/33 | 5,000,000 | 5,070,933 |
NQ- OPTFI [0623] 0823 (3054830) 17
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Energy (continued) | |||
Energean Israel Finance | |||
144A 4.875% 3/30/26 # | 325,000 | $ 302,471 | |
144A 8.50% 9/30/33 # | 255,000 | 254,841 | |
Energy Transfer | |||
4.95% 5/15/28 | 700,000 | 677,771 | |
5.50% 6/1/27 | 3,200,000 | 3,184,777 | |
6.25% 4/15/49 | 4,420,000 | 4,321,647 | |
6.50% 11/15/26 μ, ψ | 3,380,000 | 3,078,572 | |
Enterprise Products Operating | |||
3.20% 2/15/52 | 4,365,000 | 3,072,338 | |
3.30% 2/15/53 | 3,980,000 | 2,845,119 | |
5.35% 1/31/33 | 2,695,000 | 2,741,707 | |
EQT 6.125% 2/1/25 | 609,000 | 606,126 | |
Galaxy Pipeline Assets Bidco 144A 2.94% 9/30/40 # | 474,925 | 382,173 | |
Geopark 144A 5.50% 1/17/27 # | 320,000 | 260,043 | |
Greensaif Pipelines Bidco 144A 6.51% 2/23/42 # | 585,000 | 608,813 | |
Guara Norte 144A 5.198% 6/15/34 # | 574,769 | 503,943 | |
Indika Energy Capital IV 144A 8.25% 10/22/25 # | 395,000 | 393,321 | |
KazMunayGas National | |||
144A 4.75% 4/19/27 # | 200,000 | 190,131 | |
144A 5.375% 4/24/30 # | 320,000 | 297,731 | |
Kinder Morgan 5.20% 6/1/33 | 1,010,000 | 979,249 | |
Kosmos Energy 144A 7.75% 5/1/27 # | 625,000 | 536,940 | |
Medco Laurel Tree 144A 6.95% 11/12/28 # | 405,000 | 371,959 | |
MPLX 1.75% 3/1/26 | 685,000 | 622,112 | |
Murphy Oil 5.875% 12/1/27 | 1,730,000 | 1,682,225 | |
NuStar Logistics | |||
5.625% 4/28/27 | 205,000 | 197,169 | |
6.375% 10/1/30 | 2,337,000 | 2,232,282 | |
Occidental Petroleum 6.125% 1/1/31 | 1,643,000 | 1,669,970 | |
Oil and Gas Holding 7.50% 10/25/27 | 200,000 | 203,347 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Energy (continued) | |||
ONEOK 4.35% 3/15/29 | 1,500,000 | $ 1,395,733 | |
PDC Energy 5.75% 5/15/26 | 1,205,000 | 1,201,260 | |
Pertamina Persero 144A 3.65% 7/30/29 # | 197,000 | 182,349 | |
Petroleos Mexicanos | |||
5.95% 1/28/31 | 600,000 | 438,780 | |
6.70% 2/16/32 | 76,000 | 57,854 | |
6.75% 9/21/47 | 390,000 | 245,261 | |
7.69% 1/23/50 | 240,000 | 162,875 | |
144A 10.00% 2/7/33 # | 455,000 | 417,177 | |
Petronas Capital | |||
144A 2.48% 1/28/32 # | 200,000 | 167,198 | |
144A 3.50% 4/21/30 # | 440,000 | 406,362 | |
PTTEP Treasury Center 144A 2.587% 6/10/27 # | 495,000 | 450,543 | |
QazaqGaz JSC 144A 4.375% 9/26/27 # | 630,000 | 588,127 | |
SA Global Sukuk 144A 2.694% 6/17/31 # | 165,000 | 142,300 | |
Sabine Pass Liquefaction 5.75% 5/15/24 | 5,501,000 | 5,493,090 | |
Santos Finance 144A 3.649% 4/29/31 # | 1,700,000 | 1,412,816 | |
Saudi Arabian Oil | |||
144A 3.50% 11/24/70 # | 220,000 | 146,651 | |
144A 4.25% 4/16/39 # | 430,000 | 380,073 | |
Sweihan PV Power PJSC 144A 3.625% 1/31/49 # | 418,639 | 338,822 | |
Targa Resources 4.20% 2/1/33 | 300,000 | 265,778 | |
Targa Resources Partners 5.00% 1/15/28 | 2,525,000 | 2,412,000 | |
Tennessee Gas Pipeline 144A 2.90% 3/1/30 # | 6,275,000 | 5,363,207 | |
Thaioil Treasury Center 144A 2.50% 6/18/30 # | 410,000 | 335,261 | |
TMS Issuer 144A 5.78% 8/23/32 # | 310,000 | 319,814 |
18 NQ- OPTFI [0623] 0823 (3054830)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Energy (continued) | |||
Transportadora de Gas del Sur 144A 6.75% 5/2/25 # | 470,000 | $ 446,089 | |
Tullow Oil 144A 10.25% 5/15/26 # | 410,000 | 312,010 | |
Uzbekneftegaz 144A 4.75% 11/16/28 # | 200,000 | 165,274 | |
Woodside Finance 144A 3.70% 9/15/26 # | 400,000 | 376,466 | |
YPF 144A 6.95% 7/21/27 # | 355,000 | 291,776 | |
81,400,789 | |||
Finance Companies — 1.91% | |||
AerCap Ireland Capital DAC | |||
1.65% 10/29/24 | 500,000 | 470,087 | |
2.45% 10/29/26 | 1,445,000 | 1,291,717 | |
3.00% 10/29/28 | 4,503,000 | 3,897,058 | |
3.40% 10/29/33 | 592,000 | 476,111 | |
3.50% 1/15/25 | 300,000 | 287,399 | |
4.45% 10/1/25 | 1,200,000 | 1,154,960 | |
4.45% 4/3/26 | 150,000 | 143,375 | |
4.50% 9/15/23 | 157,000 | 156,423 | |
6.50% 7/15/25 | 1,350,000 | 1,357,553 | |
Air Lease | |||
2.875% 1/15/26 | 2,050,000 | 1,897,565 | |
2.875% 1/15/32 | 2,380,000 | 1,912,834 | |
3.00% 2/1/30 | 7,215,000 | 6,041,604 | |
3.375% 7/1/25 | 670,000 | 635,399 | |
4.125% 12/15/26 μ, ψ | 715,000 | 466,193 | |
4.25% 2/1/24 | 900,000 | 890,670 | |
4.625% 10/1/28 | 2,115,000 | 1,989,489 | |
5.85% 12/15/27 | 735,000 | 734,714 | |
Aircastle 4.125% 5/1/24 | 2,500,000 | 2,433,374 | |
Aviation Capital Group | |||
144A 3.50% 11/1/27 # | 3,905,000 | 3,452,255 | |
144A 6.25% 4/15/28 # | 2,802,000 | 2,798,146 | |
Avolon Holdings Funding 144A 2.528% 11/18/27 # | 116,000 | 97,925 | |
BOC Aviation USA 144A 4.875% 5/3/33 # | 690,000 | 672,028 | |
Brookfield Capital Finance 6.087% 6/14/33 | 3,800,000 | 3,860,641 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Finance Companies (continued) | |||
Country Garden Holdings | |||
4.20% 2/6/26 | 254,000 | $ 80,986 | |
7.25% 4/8/26 | 285,000 | 100,263 | |
DAE Funding | |||
144A 1.55% 8/1/24 # | 200,000 | 189,926 | |
144A 1.625% 2/15/24 # | 1,500,000 | 1,446,295 | |
3.375% 3/20/28 | 2,700,000 | 2,436,307 | |
Gaci First Investment 4.875% 2/14/35 | 264,000 | 253,440 | |
GE Capital UK Funding Unlimited 5.875% 1/18/33 | GBP | 300,000 | 368,892 |
GLP 3.875% 6/4/25 | 315,000 | 218,232 | |
Goodman HK Finance 4.375% 6/19/24 | 550,000 | 540,092 | |
Huarong Finance 2019 3.875% 11/13/29 | 350,000 | 270,274 | |
Indigo Group 1.625% 4/19/28 | EUR | 1,700,000 | 1,635,654 |
Jyske Realkredit 1.50% 10/1/53 | DKK | 1 | 0 |
KeyCorp 4.789% 6/1/33 μ | 139,000 | 116,594 | |
Logicor Financing 3.25% 11/13/28 | EUR | 3,400,000 | 3,176,645 |
MAF Global Securities 7.875% 6/30/27 μ, ψ | 215,000 | 218,222 | |
OneMain Finance 6.125% 3/15/24 | 1,500,000 | 1,496,233 | |
Owl Rock Capital 2.875% 6/11/28 | 500,000 | 407,955 | |
Realkredit Danmark | |||
1.00% 10/1/50 | DKK | 1 | 0 |
1.00% 10/1/53 | DKK | 1 | 0 |
1.50% 10/1/53 | DKK | 1 | 0 |
2.00% 10/1/53 | DKK | 1 | 0 |
RKPF Overseas 5.125% 7/26/26 | 245,000 | 112,313 | |
Samhallsbyggnadsbolaget i Norden 1.125% 9/4/26 | EUR | 900,000 | 690,893 |
Sino-Ocean Land Treasure IV | |||
2.70% 1/13/25 | 275,000 | 87,312 | |
4.75% 8/5/29 | 275,000 | 56,131 | |
Sirius Real Estate 1.125% 6/22/26 | EUR | 2,400,000 | 2,165,494 |
53,185,673 |
NQ- OPTFI [0623] 0823 (3054830) 19
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Industrials — 0.21% | |||
Burlington Northern Santa Fe 2.875% 6/15/52 | 1,615,000 | $ 1,106,251 | |
Cemex 144A 9.125% 3/14/28 #, μ, ψ | 420,000 | 425,879 | |
General Electric 8.882% (LIBOR03M + 3.33%) 9/15/23 ψ, • | 92,000 | 92,345 | |
Georgian Railway 4.00% 6/17/28 | 595,000 | 516,005 | |
Holcim Finance Luxembourg | |||
0.50% 4/23/31 | EUR | 1,100,000 | 915,033 |
0.625% 4/6/30 | EUR | 1,000,000 | 872,565 |
Mauser Packaging Solutions Holding 144A 7.875% 8/15/26 # | 1,890,000 | 1,879,772 | |
West China Cement 4.95% 7/8/26 | 215,000 | 165,001 | |
5,972,851 | |||
Insurance — 0.72% | |||
AIA Group | |||
144A 3.375% 4/7/30 # | 375,000 | 343,268 | |
144A 3.90% 4/6/28 # | 1,000,000 | 956,943 | |
American International Group 5.125% 3/27/33 | 2,275,000 | 2,223,371 | |
Aon | |||
2.90% 8/23/51 | 4,930,000 | 3,225,373 | |
5.00% 9/12/32 | 1,005,000 | 992,755 | |
Athene Holding | |||
3.45% 5/15/52 | 2,510,000 | 1,529,393 | |
3.95% 5/25/51 | 1,120,000 | 751,836 | |
Athora Netherlands 2.375% 5/17/24 | EUR | 2,100,000 | 2,224,667 |
Brighthouse Financial | |||
3.85% 12/22/51 | 2,472,000 | 1,567,203 | |
4.70% 6/22/47 | 469,000 | 359,553 | |
Fairfax Financial Holdings 4.625% 4/29/30 | 1,000,000 | 938,085 | |
Jones Deslauriers Insurance Management 144A 8.50% 3/15/30 # | 3,205,000 | 3,273,443 | |
Prudential Financial 3.70% 3/13/51 | 1,660,000 | 1,273,948 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Insurance (continued) | |||
Sagicor Financial 144A 5.30% 5/13/28 # | 330,000 | $ 311,949 | |
19,971,787 | |||
Real Estate Investment Trusts — 0.71% | |||
American Homes 4 Rent 3.625% 4/15/32 | 1,685,000 | 1,457,789 | |
American Tower | |||
2.30% 9/15/31 | 1,600,000 | 1,274,726 | |
3.375% 5/15/24 | 500,000 | 489,663 | |
3.65% 3/15/27 | 300,000 | 281,171 | |
CIBANCO Institucion de Banca Multiple Trust 144A 4.375% 7/22/31 # | 580,000 | 434,691 | |
Cromwell Ereit Lux Finco 2.125% 11/19/25 | EUR | 600,000 | 565,076 |
Crown Castle | |||
1.05% 7/15/26 | 1,380,000 | 1,209,175 | |
2.10% 4/1/31 | 5,236,000 | 4,194,020 | |
EPR Properties 4.50% 6/1/27 | 1,700,000 | 1,526,986 | |
GLP Capital 4.00% 1/15/30 | 2,600,000 | 2,255,650 | |
Iron Mountain 144A 5.25% 7/15/30 # | 966,000 | 871,322 | |
Iron Mountain Information Management Services 144A 5.00% 7/15/32 # | 3,080,000 | 2,663,354 | |
VICI Properties | |||
4.75% 2/15/28 | 100,000 | 94,788 | |
4.95% 2/15/30 | 2,440,000 | 2,291,123 | |
144A 5.75% 2/1/27 # | 145,000 | 142,058 | |
19,751,592 | |||
Technology — 1.27% | |||
Apple 4.30% 5/10/33 | 905,000 | 900,591 | |
Autodesk 2.40% 12/15/31 | 2,390,000 | 1,957,197 | |
Broadcom | |||
144A 3.137% 11/15/35 # | 2,789,000 | 2,140,327 | |
144A 3.419% 4/15/33 # | 1,600,000 | 1,338,753 | |
144A 3.469% 4/15/34 # | 6,257,000 | 5,134,907 | |
144A 4.926% 5/15/37 # | 115,000 | 104,140 |
20 NQ- OPTFI [0623] 0823 (3054830)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Technology (continued) | |||
CDW | |||
2.67% 12/1/26 | 465,000 | $ 418,044 | |
3.276% 12/1/28 | 4,143,000 | 3,601,527 | |
Entegris Escrow 144A 4.75% 4/15/29 # | 1,230,000 | 1,142,985 | |
Fiserv 3.50% 7/1/29 | 3,500,000 | 3,196,348 | |
Micron Technology 5.875% 9/15/33 | 3,525,000 | 3,494,905 | |
NCR | |||
144A 5.00% 10/1/28 # | 365,000 | 326,160 | |
144A 5.125% 4/15/29 # | 455,000 | 403,217 | |
NXP | |||
3.125% 2/15/42 | 925,000 | 648,630 | |
3.25% 5/11/41 | 1,740,000 | 1,267,971 | |
3.875% 6/18/26 | 3,250,000 | 3,123,301 | |
5.55% 12/1/28 | 440,000 | 442,992 | |
Oracle | |||
3.60% 4/1/50 | 1,556,000 | 1,112,759 | |
4.65% 5/6/30 | 455,000 | 439,902 | |
5.55% 2/6/53 | 1,479,000 | 1,433,249 | |
SK Hynix | |||
144A 1.50% 1/19/26 # | 265,000 | 234,874 | |
144A 6.50% 1/17/33 # | 365,000 | 368,749 | |
TD SYNNEX | |||
2.375% 8/9/28 | 800,000 | 656,172 | |
2.65% 8/9/31 | 1,200,000 | 921,030 | |
TSMC Global 144A 4.625% 7/22/32 # | 535,000 | 531,989 | |
35,340,719 | |||
Transportation — 1.18% | |||
Air Canada 144A 3.875% 8/15/26 # | 300,000 | 278,326 | |
American Airlines 144A 5.50% 4/20/26 # | 891,676 | 884,177 | |
American Airlines 2015-1 Class A Pass Through Trust 3.375% 11/1/28 ♦ | 1,080,892 | 968,678 | |
American Airlines 2016-1 Class AA Pass Through Trust 3.575% 7/15/29 ♦ | 483,444 | 447,686 | |
American Airlines 2016-3 Class AA Pass Through Trust 3.00% 4/15/30 ♦ | 906,480 | 804,921 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Transportation (continued) | |||
American Airlines 2019-1 Class AA Pass Through Trust 3.15% 8/15/33 ♦ | 167,457 | $ 145,774 | |
American Airlines 2021-1 Class A Pass Through Trust 2.875% 1/11/36 ♦ | 97,319 | 81,268 | |
Azul Investments | |||
144A 5.875% 10/26/24 # | 430,000 | 363,625 | |
144A 7.25% 6/15/26 # | 400,000 | 318,235 | |
British Airways 2018-1 Class AA Pass Through Trust 144A 3.80% 3/20/33 #, ♦ | 1,020,618 | 928,573 | |
British Airways 2019-1 Class AA Pass Through Trust 144A 3.30% 6/15/34 #, ♦ | 259,216 | 224,733 | |
Delta Air Lines | |||
144A 7.00% 5/1/25 # | 5,349,000 | 5,466,917 | |
7.375% 1/15/26 | 1,858,000 | 1,938,604 | |
ERAC USA Finance | |||
144A 2.70% 11/1/23 # | 300,000 | 296,941 | |
144A 4.90% 5/1/33 # | 710,000 | 694,362 | |
144A 5.40% 5/1/53 # | 445,000 | 444,616 | |
Grupo Aeromexico 144A 8.50% 3/17/27 # | 2,470,000 | 2,212,304 | |
Lima Metro Line 2 Finance 144A 4.35% 4/5/36 # | 626,241 | 553,756 | |
Mileage Plus Holdings 144A 6.50% 6/20/27 # | 4,000,000 | 4,013,587 | |
MISC Capital Two Labuan 144A 3.75% 4/6/27 # | 515,000 | 482,286 | |
Penske Truck Leasing | |||
144A 3.95% 3/10/25 # | 1,000,000 | 961,704 | |
144A 4.45% 1/29/26 # | 2,100,000 | 2,012,409 | |
Rumo Luxembourg 144A 5.25% 1/10/28 # | 465,000 | 432,450 |
NQ- OPTFI [0623] 0823 (3054830) 21
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Transportation (continued) | |||
United Airlines | |||
144A 4.375% 4/15/26 # | 2,005,000 | $ 1,906,766 | |
144A 4.625% 4/15/29 # | 4,961,000 | 4,524,768 | |
United Airlines 2020-1 Class A Pass Through Trust 5.875% 4/15/29 ♦ | 1,365,498 | 1,353,772 | |
US Airways 2012-2 Class A Pass Through Trust 4.625% 12/3/26 ♦ | 285,488 | 267,559 | |
US Airways 2013-A Class A Pass Through Trust 3.95% 5/15/27 ♦ | 41,102 | 38,334 | |
33,047,131 | |||
Utilities — 3.01% | |||
Abu Dhabi National Energy PJSC 144A 2.00% 4/29/28 # | 425,000 | 378,545 | |
AEP Texas 5.40% 6/1/33 | 2,805,000 | 2,792,353 | |
AES Andes 144A 7.125% 3/26/79 #, μ | 300,000 | 277,624 | |
Alfa Desarrollo 144A 4.55% 9/27/51 # | 497,535 | 365,541 | |
Appalachian Power 4.50% 8/1/32 | 3,500,000 | 3,282,771 | |
Atmos Energy 2.85% 2/15/52 | 975,000 | 659,734 | |
Baltimore Gas and Electric 4.55% 6/1/52 | 1,395,000 | 1,243,007 | |
Berkshire Hathaway Energy 2.85% 5/15/51 | 4,385,000 | 2,840,405 | |
Boston Gas 144A 3.757% 3/16/32 # | 500,000 | 440,962 | |
Calpine | |||
144A 4.50% 2/15/28 # | 453,000 | 410,554 | |
144A 5.00% 2/1/31 # | 1,535,000 | 1,271,522 | |
144A 5.125% 3/15/28 # | 454,000 | 405,777 | |
Cikarang Listrindo 144A 4.95% 9/14/26 # | 540,000 | 515,340 | |
Colbun 144A 3.95% 10/11/27 # | 345,000 | 327,037 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Utilities (continued) | |||
Consorcio Transmantaro 144A 5.20% 4/11/38 # | 280,000 | $ 260,236 | |
Duke Energy 4.875% 9/16/24 μ, ψ | 1,630,000 | 1,569,527 | |
Duke Energy Carolinas 4.95% 1/15/33 | 4,950,000 | 4,915,845 | |
Duke Energy Indiana 3.25% 10/1/49 | 1,265,000 | 907,962 | |
Enel Finance America 144A 2.875% 7/12/41 # | 2,085,000 | 1,373,895 | |
ENN Energy Holdings 144A 2.625% 9/17/30 # | 405,000 | 338,996 | |
Entergy Arkansas 4.20% 4/1/49 | 870,000 | 730,794 | |
Entergy Louisiana 4.95% 1/15/45 | 235,000 | 217,619 | |
Entergy Texas 3.55% 9/30/49 | 700,000 | 519,617 | |
Essential Utilities | |||
2.704% 4/15/30 | 695,000 | 589,361 | |
3.351% 4/15/50 | 675,000 | 470,295 | |
Evergy Kansas Central 3.45% 4/15/50 | 1,185,000 | 866,165 | |
Exelon 5.30% 3/15/33 | 645,000 | 643,292 | |
FirstEnergy Transmission 144A 4.55% 4/1/49 # | 5,000 | 4,178 | |
Georgia Power 4.70% 5/15/32 | 3,200,000 | 3,096,060 | |
Greenko Power II 144A 4.30% 12/13/28 # | 435,925 | 379,980 | |
Israel Electric 144A 3.75% 2/22/32 # | 390,000 | 333,747 | |
JSW Hydro Energy 144A 4.125% 5/18/31 # | 277,200 | 234,123 | |
Louisville Gas and Electric 4.25% 4/1/49 | 2,685,000 | 2,239,326 | |
Minejesa Capital 144A 5.625% 8/10/37 # | 200,000 | 157,227 | |
Mong Duong Finance Holdings 144A 5.125% 5/7/29 # | 500,000 | 441,250 | |
National Rural Utilities Cooperative Finance 5.80% 1/15/33 | 215,000 | 225,005 | |
Nevada Power 5.90% 5/1/53 | 1,670,000 | 1,742,884 |
22 NQ- OPTFI [0623] 0823 (3054830)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Utilities (continued) | |||
NextEra Energy Capital Holdings 3.00% 1/15/52 | 1,105,000 | $ 728,238 | |
Oglethorpe Power 3.75% 8/1/50 | 1,620,000 | 1,207,838 | |
Oryx Funding 144A 5.80% 2/3/31 # | 420,000 | 406,214 | |
Pacific Gas & Electric | |||
3.00% 6/15/28 | 800,000 | 690,314 | |
3.30% 3/15/27 | 700,000 | 635,921 | |
3.50% 6/15/25 | 400,000 | 378,877 | |
3.50% 8/1/50 | 4,510,000 | 2,874,969 | |
4.20% 3/1/29 | 3,200,000 | 2,878,724 | |
4.40% 3/1/32 | 1,300,000 | 1,127,631 | |
4.50% 7/1/40 | 1,100,000 | 856,595 | |
Pacific Gas and Electric | |||
2.10% 8/1/27 | 1,400,000 | 1,196,937 | |
3.30% 8/1/40 | 7,168,000 | 4,838,769 | |
4.95% 7/1/50 | 516,000 | 405,955 | |
Pedernales Electric Cooperative 144A 6.202% 11/15/32 # | 620,000 | 615,937 | |
Perusahaan Listrik Negara | |||
144A 4.125% 5/15/27 # | 300,000 | 286,028 | |
144A 5.25% 5/15/47 # | 185,000 | 162,577 | |
PG&E 5.25% 7/1/30 | 1,625,000 | 1,457,971 | |
Public Service of Colorado 5.25% 4/1/53 | 780,000 | 750,132 | |
Sempra Energy 4.875% 10/15/25 μ, ψ | 575,000 | 536,227 | |
Sociedad de Transmision Austral 144A 4.00% 1/27/32 # | 220,000 | 188,454 | |
Southern 5.70% 10/15/32 | 900,000 | 932,147 | |
Southern California Edison | |||
3.45% 2/1/52 | 3,037,000 | 2,177,581 | |
3.65% 2/1/50 | 1,525,000 | 1,136,441 | |
4.00% 4/1/47 | 880,000 | 700,010 | |
4.875% 3/1/49 | 2,330,000 | 2,097,034 | |
Southern California Gas | |||
2.95% 4/15/27 | 2,600,000 | 2,427,176 | |
5.20% 6/1/33 | 1,345,000 | 1,327,931 | |
5.75% 6/1/53 | 580,000 | 586,882 | |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Utilities (continued) | |||
Southern Co. Gas Capital 5.15% 9/15/32 | 1,901,000 | $ 1,890,115 | |
System Energy Resources 2.14% 12/9/25 | 800,000 | 726,208 | |
Virginia Electric and Power 5.00% 4/1/33 | 4,000,000 | 3,955,645 | |
Vistra 144A 7.00% 12/15/26 #, μ, ψ | 1,500,000 | 1,310,438 | |
Vistra Operations 144A 5.125% 5/13/25 # | 4,980,000 | 4,860,460 | |
83,820,932 | |||
Total Corporate Bonds (cost $917,557,738) | 827,720,204 | ||
Municipal Bonds — 0.75% | |||
American Municipal Power, Ohio | |||
(Combined Hydroelectric Projects - Build America Bonds) Series B 8.084% 2/15/50 | 1,500,000 | 2,033,895 | |
Chicago, Illinois Transit Authority Sales Tax Receipts Revenue | |||
(Pension Funding) Series A 6.899% 12/1/40 | 1,750,000 | 1,986,565 | |
(Retire Health care Funding) Series B 6.899% 12/1/40 | 1,750,000 | 1,986,565 | |
Commonwealth of Puerto Rico | |||
(Restructured) | |||
Series A-1 2.993% 7/1/24 ^ | 162,917 | 156,099 | |
Series A-1 4.00% 7/1/35 | 355,609 | 331,438 | |
Series A-1 4.00% 7/1/37 | 377,735 | 340,045 | |
GDB Debt Recovery Authority of Puerto Rico Revenue | |||
(Taxable) 7.50% 8/20/40 | 7,412,615 | 6,133,939 | |
Golden State, California Tobacco Securitization | |||
(Senior) Series A1 2.587% 6/1/29 | 1,700,000 | 1,454,792 |
NQ- OPTFI [0623] 0823 (3054830) 23
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Municipal Bonds (continued) | |||
Municipal Electric Authority of Georgia | |||
(Build America Bonds Plant Vogtle Units 3 & 4 Project) 6.655% 4/1/57 | 1,707,000 | $ 1,959,363 | |
New Jersey Transportation Trust Fund Authority | |||
(Build America Bonds) Series C 5.754% 12/15/28 | 1,590,000 | 1,606,218 | |
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 | 729,449 | |
New York State Urban Development | |||
(Build America Bonds) Series E 5.77% 3/15/39 | 800,000 | 837,720 | |
Pennsylvania Higher Education Assistance Agency Revenue | |||
(Student Loans) Series 2006-2 A-3 5.385% (LIBOR03M + 0.13%) 10/25/36 • | 203,253 | 202,083 | |
West Virginia Tobacco Settlement Finance Authority | |||
(Class 1 Senior Current Interest Bonds) | |||
Series A 1.82% 6/1/26 | 250,000 | 225,122 | |
Series A 2.351% 6/1/28 | 300,000 | 260,463 | |
Series A 2.551% 6/1/29 | 300,000 | 256,296 | |
Series A 2.951% 6/1/31 | 500,000 | 417,995 | |
Total Municipal Bonds (cost $22,664,324) | 20,918,047 | ||
Non-Agency Asset-Backed Securities — 1.76% | |||
ABFC Trust Series 2006-HE1 A2D 5.37% (LIBOR01M + 0.22%, Floor 0.22%) 1/25/37 • | 247,579 | 141,934 |
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
Argent Securities Trust | |||
Series 2006-M1 A2C 5.45% (LIBOR01M + 0.30%, Floor 0.30%) 7/25/36 • | 1,082,060 | $ 278,734 | |
Series 2006-W4 A2C 5.47% (LIBOR01M + 0.32%, Floor 0.32%) 5/25/36 • | 567,219 | 136,773 | |
Bear Stearns Asset-Backed Securities I Trust Series 2005-FR1 M2 6.155% (LIBOR01M + 1.01%, Floor 1.01%) 6/25/35 • | 1,008,907 | 961,680 | |
Bear Stearns Asset-Backed Securities Trust Series 2007-SD1 22A1 3.945% 10/25/36 • | 97,565 | 44,170 | |
Centex Home Equity Loan Trust Series 2002-A AF6 5.54% 1/25/32 | 174 | 168 | |
CIT Mortgage Loan Trust Series 2007-1 1M1 144A 6.65% (LIBOR01M + 1.50%, Floor 1.50%) 10/25/37 #, • | 3,600,000 | 3,495,041 | |
Citicorp Residential Mortgage Trust Series 2006-3 A5 4.71% 11/25/36 ~ | 164,550 | 161,070 | |
Countrywide Asset-Backed Certificates Trust | |||
Series 2004-3 2A 5.55% (LIBOR01M + 0.40%, Floor 0.40%) 8/25/34 • | 26,563 | 24,598 | |
Series 2005-3 MV7 7.10% (LIBOR01M + 1.95%, Floor 1.95%) 8/25/35 • | 4,200,000 | 3,839,733 | |
Series 2006-1 AF6 4.473% 7/25/36 • | 24,664 | 23,108 | |
Series 2006-11 1AF6 6.15% 9/25/46 • | 30,133 | 27,033 | |
Series 2006-17 2A2 5.45% (LIBOR01M + 0.30%, Floor 0.30%) 3/25/47 • | 565,652 | 550,642 |
24 NQ- OPTFI [0623] 0823 (3054830)
(Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
Countrywide Asset-Backed Certificates Trust | |||
Series 2006-26 2A4 5.37% (LIBOR01M + 0.22%, Floor 0.22%) 6/25/37 • | 954,587 | $ 911,625 | |
Series 2007-6 2A4 5.46% (LIBOR01M + 0.31%, Floor 0.31%) 9/25/37 • | 932,938 | 765,389 | |
DataBank Issuer Series 2021-1A A2 144A 2.06% 2/27/51 # | 1,600,000 | 1,401,954 | |
Diamond Infrastructure Funding Series 2021-1A A 144A 1.76% 4/15/49 # | 4,700,000 | 4,034,707 | |
Domino's Pizza Master Issuer Series 2021-1A A2I 144A 2.662% 4/25/51 # | 7,252,000 | 6,147,644 | |
EquiFirst Mortgage Loan Trust Series 2004-2 M7 8.15% (LIBOR01M + 3.00%, Floor 3.00%) 10/25/34 • | 662,361 | 617,148 | |
First Franklin Mortgage Loan Trust Series 2006-FF5 2A3 5.47% (LIBOR01M + 0.32%, Floor 0.32%) 4/25/36 • | 585,899 | 557,812 | |
Fremont Home Loan Trust Series 2004-B M1 6.02% (LIBOR01M + 0.87%, Floor 0.87%) 5/25/34 • | 1,892,341 | 1,740,968 | |
GE-WMC Mortgage Securities Trust Series 2006-1 A2B 5.45% (LIBOR01M + 0.30%, Floor 0.30%) 8/25/36 • | 1,642,974 | 705,547 | |
GSAMP Trust | |||
Series 2006-FM3 A2D 5.38% (LIBOR01M + 0.23%, Floor 0.23%) 11/25/36 • | 759,484 | 361,455 |
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
GSAMP Trust | |||
Series 2007-SEA1 A 144A 5.45% (LIBOR01M + 0.30%, Floor 0.30%) 12/25/36 #, • | 417,908 | $ 393,667 | |
Hardee's Funding Series 2018-1A A2II 144A 4.959% 6/20/48 # | 476,250 | 443,824 | |
Home Equity Mortgage Loan Asset-Backed Trust Series 2007-A 2A3 5.39% (LIBOR01M + 0.24%, Floor 0.24%) 4/25/37 • | 1,052,577 | 679,224 | |
HSI Asset Securitization Trust Series 2006-HE1 2A1 5.25% (LIBOR01M + 0.10%, Floor 0.10%) 10/25/36 • | 21,363 | 8,431 | |
JPMorgan Chase Bank Series 2021-3 B 144A 0.76% 2/26/29 # | 490,491 | 467,055 | |
JPMorgan Mortgage Acquisition Trust Series 2006-CW2 AV5 5.39% (LIBOR01M + 0.24%, Floor 0.24%) 8/25/36 • | 163,267 | 159,587 | |
Long Beach Mortgage Loan Trust | |||
Series 2006-1 2A4 5.75% (LIBOR01M + 0.60%, Floor 0.60%) 2/25/36 • | 2,367,700 | 1,933,780 | |
Series 2006-7 1A 5.46% (LIBOR01M + 0.31%, Floor 0.31%) 8/25/36 • | 2,239,783 | 1,192,856 | |
Morgan Stanley ABS Capital I Trust | |||
Series 2007-HE1 A2C 5.30% (LIBOR01M + 0.15%, Floor 0.15%) 11/25/36 • | 3,575,300 | 1,939,361 |
NQ- OPTFI [0623] 0823 (3054830) 25
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
Morgan Stanley ABS Capital I Trust | |||
Series 2007-HE5 A2D 5.49% (LIBOR01M + 0.34%, Floor 0.34%) 3/25/37 • | 2,677,653 | $ 1,161,043 | |
New Century Home Equity Loan Trust Series 2005-1 M2 5.87% (LIBOR01M + 0.72%, Cap 12.50%, Floor 0.72%) 3/25/35 • | 233,599 | 223,856 | |
Option One Mortgage Loan Trust | |||
Series 2005-1 M1 5.93% (LIBOR01M + 0.78%, Floor 0.78%) 2/25/35 • | 982,350 | 921,227 | |
Series 2007-4 2A4 5.46% (LIBOR01M + 0.31%, Floor 0.31%) 4/25/37 • | 4,677,589 | 2,603,188 | |
PFS Financing Series 2021-A A 144A 0.71% 4/15/26 # | 1,800,000 | 1,724,078 | |
RAAC Trust Series 2005-SP2 2A 5.75% (LIBOR01M + 0.60%, Cap 14.00%, Floor 0.60%) 6/25/44 • | 172,934 | 142,572 | |
Sofi Professional Loan Program Series 2016-F A2 144A 3.02% 2/25/40 # | 83,938 | 79,342 | |
Soundview Home Loan Trust Series 2006-OPT1 2A4 5.69% (LIBOR01M + 0.54%, Floor 0.54%) 3/25/36 • | 98,495 | 96,574 | |
Structured Asset Investment Loan Trust Series 2003-BC2 M1 6.53% (LIBOR01M + 1.38%, Floor 1.38%) 4/25/33 • | 15,778 | 15,405 |
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
Structured Asset Securities Mortgage Loan Trust | |||
Series 2006-BC1 A6 5.42% (LIBOR01M + 0.27%, Floor 0.27%) 3/25/36 • | 924,791 | $ 846,883 | |
Series 2006-BC2 A1 5.305% (LIBOR01M + 0.16%, Floor 0.16%) 9/25/36 • | 2,961,383 | 1,839,531 | |
Towd Point Mortgage Trust | |||
Series 2017-1 A1 144A 2.75% 10/25/56 #, • | 66,890 | 65,899 | |
Series 2017-2 A1 144A 2.75% 4/25/57 #, • | 7,339 | 7,255 | |
Series 2017-4 M1 144A 3.25% 6/25/57 #, • | 615,000 | 528,951 | |
Series 2018-1 A1 144A 3.00% 1/25/58 #, • | 128,432 | 122,938 | |
Series 2019-4 A1 144A 2.90% 10/25/59 #, • | 5,101,065 | 4,685,877 | |
Total Non-Agency Asset-Backed Securities (cost $57,501,830) | 49,211,337 | ||
Non-Agency Collateralized Mortgage Obligations — 1.29% | |||
Alternative Loan Trust Resecuritization Series 2008-2R 3A1 6.00% 8/25/37 • | 806,362 | 413,304 | |
ARM Trust | |||
Series 2005-10 3A31 3.285% 1/25/36 • | 34,157 | 30,930 | |
Series 2006-2 1A4 4.189% 5/25/36 • | 319,485 | 279,182 | |
Banc of America Funding Trust | |||
Series 2005-E 7A1 5.406% (12MTA + 1.43%, Floor 1.43%) 6/20/35 • | 64,474 | 52,687 | |
Series 2006-I 1A1 4.215% 12/20/36 • | 72,744 | 70,471 | |
Banc of America Mortgage Trust Series 2003-D 2A1 5.348% 5/25/33 • | 24,636 | 23,081 |
26 NQ- OPTFI [0623] 0823 (3054830)
(Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
Bear Stearns ARM Trust Series 2003-5 2A1 4.108% 8/25/33 • | 13,792 | $ 12,875 | |
Chase Mortgage Finance Trust Series 2005-A1 3A1 3.938% 12/25/35 • | 38,755 | 32,993 | |
CHL Mortgage Pass Through Trust Series 2007-4 1A1 6.00% 5/25/37 ♦ | 662,394 | 314,240 | |
Connecticut Avenue Securities Trust | |||
Series 2018-R07 1M2 144A 7.55% (LIBOR01M + 2.40%) 4/25/31 #, • | 37,342 | 37,458 | |
Series 2019-R01 2M2 144A 7.60% (LIBOR01M + 2.45%) 7/25/31 #, • | 32,747 | 32,878 | |
Series 2019-R02 1M2 144A 7.45% (LIBOR01M + 2.30%) 8/25/31 #, • | 28,643 | 28,643 | |
Series 2019-R07 1M2 144A 7.25% (LIBOR01M + 2.10%) 10/25/39 #, • | 108,911 | 109,081 | |
Series 2020-R01 1M2 144A 7.20% (LIBOR01M + 2.05%) 1/25/40 #, • | 646,394 | 648,818 | |
Series 2022-R01 1M2 144A 6.967% (SOFR + 1.90%) 12/25/41 #, • | 1,500,000 | 1,461,570 | |
Series 2022-R02 2M2 144A 8.067% (SOFR + 3.00%) 1/25/42 #, • | 900,000 | 891,865 | |
CSMC Mortgage-Backed Trust | |||
Series 2005-1R 2A5 144A 5.75% 12/26/35 # | 482,554 | 348,199 | |
Series 2007-1 5A14 6.00% 2/25/37 | 141,283 | 83,560 | |
Series 2007-3 4A12 1.60% (6.75% minus LIBOR01M, Cap 6.75%) 4/25/37 Σ, • | 73,033 | 9,067 | |
Series 2007-3 4A15 5.50% 4/25/37 | 32,429 | 26,557 |
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
CSMC Mortgage-Backed Trust | |||
Series 2007-3 4A6 5.40% (LIBOR01M + 0.25%, Cap 7.00%, Floor 0.25%) 4/25/37 • | 73,033 | $ 57,221 | |
Flagstar Mortgage Trust Series 2021-2 A6 144A 2.50% 4/25/51 #, • | 788,921 | 672,647 | |
GMACM Mortgage Loan Trust Series 2006-J1 A1 5.75% 4/25/36 | 15,072 | 12,846 | |
GS Mortgage-Backed Securities Trust | |||
Series 2021-PJ4 A8 144A 2.50% 9/25/51 #, • | 2,080,410 | 1,779,660 | |
Series 2021-PJ7 A2 144A 2.50% 1/25/52 #, • | 2,183,504 | 1,758,147 | |
GSR Mortgage Loan Trust Series 2007-AR1 2A1 3.575% 3/25/47 • | 357,081 | 231,132 | |
JPMorgan Alternative Loan Trust Series 2007-A2 11A1 5.51% (LIBOR01M + 0.36%, Cap 11.50%, Floor 0.36%) 6/25/37 • | 2,877,807 | 1,552,380 | |
JPMorgan Mortgage Trust | |||
Series 2006-A6 2A4L 4.051% 10/25/36 • | 157,789 | 126,998 | |
Series 2006-A7 2A2 3.881% 1/25/37 • | 30,239 | 24,350 | |
Series 2007-A1 6A1 4.366% 7/25/35 • | 34,089 | 32,231 | |
Series 2014-2 B1 144A 3.414% 6/25/29 #, • | 21,186 | 18,482 | |
Series 2014-2 B2 144A 3.414% 6/25/29 #, • | 21,186 | 18,323 | |
Series 2015-4 B1 144A 3.547% 6/25/45 #, • | 444,801 | 392,573 | |
Series 2015-4 B2 144A 3.547% 6/25/45 #, • | 190,108 | 167,456 |
NQ- OPTFI [0623] 0823 (3054830) 27
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
JPMorgan Mortgage Trust | |||
Series 2016-4 B1 144A 3.816% 10/25/46 #, • | 173,394 | $ 156,027 | |
Series 2016-4 B2 144A 3.816% 10/25/46 #, • | 316,865 | 283,422 | |
Series 2017-1 B3 144A 3.45% 1/25/47 #, • | 807,969 | 668,653 | |
Series 2017-2 A3 144A 3.50% 5/25/47 #, • | 50,125 | 44,208 | |
Series 2020-2 A3 144A 3.50% 7/25/50 #, • | 141,296 | 121,718 | |
Series 2020-7 A3 144A 3.00% 1/25/51 #, • | 441,430 | 370,646 | |
Series 2021-1 A3 144A 2.50% 6/25/51 #, • | 695,875 | 559,445 | |
Series 2021-10 A3 144A 2.50% 12/25/51 #, • | 1,466,696 | 1,180,976 | |
Series 2021-13 B1 144A 3.142% 4/25/52 #, • | 1,919,660 | 1,504,581 | |
JPMorgan Trust | |||
Series 2015-5 B2 144A 6.347% 5/25/45 #, • | 262,264 | 250,514 | |
Series 2015-6 B1 144A 3.521% 10/25/45 #, • | 174,545 | 159,472 | |
Series 2015-6 B2 144A 3.521% 10/25/45 #, • | 169,827 | 154,735 | |
Lehman Mortgage Trust Series 2007-10 2A2 6.50% 1/25/38 | 1,141,854 | 345,948 | |
Ludgate Funding | |||
Series 2006-1X A2A 5.068% (BP0003M + 0.19%) 12/1/60 • | GBP | 922,307 | 1,118,945 |
Series 2008-W1X A1 5.03% (BP0003M + 0.60%) 1/1/61 • | GBP | 404,487 | 489,479 |
Mansard Mortgages Series 2007-1X A2 4.765% (SONIA + 0.299%) 4/15/47 • | GBP | 425,076 | 519,654 |
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
MASTR Alternative Loan Trust | |||
Series 2004-3 8A1 7.00% 4/25/34 | 1,056 | $ 1,063 | |
Series 2004-5 6A1 7.00% 6/25/34 | 15,729 | 15,595 | |
MASTR ARM Trust Series 2004-4 4A1 3.883% 5/25/34 • | 31,903 | 29,749 | |
Merrill Lynch Mortgage Investors Trust Series 2004-A1 2A2 4.059% 2/25/34 • | 1,699 | 1,561 | |
Morgan Stanley Residential Mortgage Loan Trust | |||
Series 2020-1 A2A 144A 2.50% 12/25/50 #, • | 722,225 | 582,904 | |
Series 2021-1 A2 144A 2.50% 3/25/51 #, • | 644,328 | 519,615 | |
Series 2021-4 A3 144A 2.50% 7/25/51 #, • | 731,357 | 588,885 | |
New Residential Mortgage Loan Trust | |||
Series 2018-RPL1 A1 144A 3.50% 12/25/57 #, • | 115,726 | 108,017 | |
Series 2019-RPL3 A1 144A 2.75% 7/25/59 #, • | 2,800,708 | 2,581,634 | |
RALI Series Trust | |||
Series 2007-QA5 2A1 6.02% 9/25/37 • | 1,927,966 | 1,403,285 | |
Series 2007-QH8 A 4.646% 10/25/37 • | 1,057,594 | 933,813 | |
RCKT Mortgage Trust | |||
Series 2021-1 A1 144A 2.50% 3/25/51 #, • | 705,401 | 567,985 | |
Series 2021-6 A1 144A 2.50% 12/25/51 #, • | 1,494,728 | 1,199,810 | |
28 NQ- OPTFI [0623] 0823 (3054830)
(Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
Reperforming Loan REMIC Trust Series 2006-R1 AF1 144A 5.49% (LIBOR01M + 0.34%, Cap 9.50%, Floor 0.34%) 1/25/36 #, • | 425,235 | $ 388,447 | |
RFMSI Trust Series 2004-S9 2A1 4.75% 12/25/19 | 28 | 28 | |
Sequoia Mortgage Trust | |||
Series 2004-5 A3 6.226% (LIBOR06M + 0.56%, Cap 11.50%, Floor 0.56%) 6/20/34 • | 74,763 | 68,129 | |
Series 2007-1 4A1 3.483% 9/20/46 • | 210,059 | 144,096 | |
Series 2015-1 B2 144A 3.92% 1/25/45 #, • | 113,921 | 106,680 | |
Series 2017-5 B2 144A 3.779% 8/25/47 #, • | 2,754,199 | 2,491,239 | |
Series 2020-4 A2 144A 2.50% 11/25/50 #, • | 561,641 | 454,898 | |
Structured ARM Loan Trust Series 2006-1 7A4 3.392% 2/25/36 • | 41,227 | 37,281 | |
Structured Asset Mortgage Investments II Trust Series 2005-AR5 A2 5.646% (LIBOR01M + 0.50%, Cap 11.00%, Floor 0.50%) 7/19/35 • | 103,078 | 98,413 | |
Trinity Square Series 2021-1A A 144A 5.316% (SONIA + 0.85%) 7/15/59 #, • | GBP | 2,676,322 | 3,397,097 |
WaMu Mortgage Pass Through Certificates Trust | |||
Series 2005-AR16 1A3 3.875% 12/25/35 ♦, • | 162,357 | 147,602 | |
Series 2007-HY1 3A3 3.704% 2/25/37 ♦, • | 108,805 | 90,662 |
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
WaMu Mortgage Pass Through Certificates Trust | |||
Series 2007-HY7 4A1 4.081% 7/25/37 ♦, • | 219,929 | $ 204,500 | |
Wells Fargo Mortgage-Backed Securities Trust | |||
Series 2006-AR11 A6 4.89% 8/25/36 • | 101,661 | 94,728 | |
Series 2020-1 A1 144A 3.00% 12/25/49 #, • | 132,596 | 112,155 | |
Total Non-Agency Collateralized Mortgage Obligations (cost $43,608,109) | 36,050,199 | ||
Non-Agency Commercial Mortgage-Backed Securities — 4.45% | |||
BANK | |||
Series 2017-BNK5 B 3.896% 6/15/60 • | 605,000 | 527,242 | |
Series 2017-BNK7 A5 3.435% 9/15/60 | 1,120,000 | 1,025,793 | |
Series 2019-BN20 A3 3.011% 9/15/62 | 8,000,000 | 6,890,056 | |
Series 2019-BN21 A5 2.851% 10/17/52 | 2,100,000 | 1,791,319 | |
Series 2022-BNK39 A4 2.928% 2/15/55 | 9,802,000 | 8,183,333 | |
Series 2022-BNK39 B 3.348% 2/15/55 • | 1,353,000 | 1,006,042 | |
Series 2022-BNK39 C 3.379% 2/15/55 • | 797,000 | 529,459 | |
Series 2022-BNK40 B 3.507% 3/15/64 • | 1,800,000 | 1,373,125 | |
Series 2022-BNK41 A4 3.916% 4/15/65 • | 2,000,000 | 1,794,346 | |
Benchmark Mortgage Trust | |||
Series 2020-B17 A5 2.289% 3/15/53 | 3,460,000 | 2,786,023 | |
Series 2020-B20 A5 2.034% 10/15/53 | 13,250,000 | 10,273,168 | |
Series 2020-B21 A5 1.978% 12/17/53 | 1,300,000 | 1,023,631 | |
Series 2020-B22 A5 1.973% 1/15/54 | 6,600,000 | 5,162,082 | |
Series 2021-B24 A5 2.584% 3/15/54 | 6,790,000 | 5,412,277 | |
Series 2021-B29 A5 2.388% 9/15/54 | 6,000,000 | 4,815,108 |
NQ- OPTFI [0623] 0823 (3054830) 29
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||
Benchmark Mortgage Trust | |||
Series 2022-B32 B 3.202% 1/15/55 • | 1,800,000 | $ 1,355,812 | |
Series 2022-B32 C 3.572% 1/15/55 • | 2,200,000 | 1,509,446 | |
Series 2022-B33 B 3.735% 3/15/55 • | 900,000 | 715,172 | |
Series 2022-B33 C 3.735% 3/15/55 • | 900,000 | 643,707 | |
BMO Mortgage Trust Series 2022-C1 A5 3.374% 2/15/55 • | 600,000 | 518,915 | |
Cantor Commercial Real Estate Lending | |||
Series 2019-CF1 A5 3.786% 5/15/52 | 2,340,000 | 2,116,242 | |
Series 2019-CF2 A5 2.874% 11/15/52 | 4,000,000 | 3,341,527 | |
Series 2019-CF3 A4 3.006% 1/15/53 | 800,000 | 684,870 | |
CD Mortgage Trust | |||
Series 2017-CD6 B 3.911% 11/13/50 • | 440,000 | 357,979 | |
Series 2019-CD8 A4 2.912% 8/15/57 | 11,575,000 | 9,832,461 | |
CFCRE Commercial Mortgage Trust Series 2016-C7 A3 3.838% 12/10/54 | 3,100,000 | 2,914,785 | |
Citigroup Commercial Mortgage Trust | |||
Series 2014-GC25 A4 3.635% 10/10/47 | 785,000 | 754,774 | |
Series 2015-GC27 A5 3.137% 2/10/48 | 1,400,000 | 1,334,555 | |
Series 2016-P3 A4 3.329% 4/15/49 | 1,305,000 | 1,211,716 | |
Series 2017-C4 A4 3.471% 10/12/50 | 635,000 | 583,015 | |
COMM Mortgage Trust | |||
Series 2014-CR20 AM 3.938% 11/10/47 | 2,225,000 | 2,105,680 | |
Series 2015-3BP A 144A 3.178% 2/10/35 # | 605,000 | 561,478 | |
Series 2015-CR23 A4 3.497% 5/10/48 | 780,000 | 739,493 |
Principal amount° | Value (US $) | ||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||
COMM Mortgage Trust | |||
Series 2016-CR28 A4 3.762% 2/10/49 | 2,330,000 | $ 2,200,950 | |
DB-JPM Mortgage Trust Series 2016-C1 A4 3.276% 5/10/49 | 900,000 | 835,800 | |
GS Mortgage Securities Trust | |||
Series 2017-GS5 A4 3.674% 3/10/50 | 1,280,000 | 1,162,397 | |
Series 2017-GS6 A3 3.433% 5/10/50 | 1,935,000 | 1,768,429 | |
Series 2019-GC39 A4 3.567% 5/10/52 | 1,250,000 | 1,120,410 | |
Series 2019-GC42 A4 3.001% 9/10/52 | 5,000,000 | 4,307,604 | |
Series 2020-GC47 A5 2.377% 5/12/53 | 3,716,000 | 3,021,163 | |
JPM-BB Commercial Mortgage Securities Trust Series 2015-C31 A3 3.801% 8/15/48 | 7,784,753 | 7,332,254 | |
JPM-DB Commercial Mortgage Securities Trust | |||
Series 2016-C2 A4 3.144% 6/15/49 | 1,640,000 | 1,511,591 | |
Series 2016-C4 A3 3.141% 12/15/49 | 1,065,000 | 962,977 | |
Series 2017-C7 A5 3.409% 10/15/50 | 2,395,000 | 2,173,789 | |
JPMorgan Chase Commercial Mortgage Securities Trust | |||
Series 2013-LC11 B 3.499% 4/15/46 | 355,000 | 309,738 | |
Series 2016-JP2 AS 3.056% 8/15/49 | 1,250,000 | 1,110,913 | |
Morgan Stanley Bank of America Merrill Lynch Trust | |||
Series 2015-C26 A5 3.531% 10/15/48 | 960,000 | 906,765 | |
Series 2015-C27 ASB 3.557% 12/15/47 | 942,853 | 913,735 | |
Series 2016-C29 A4 3.325% 5/15/49 | 1,445,000 | 1,346,634 |
30 NQ- OPTFI [0623] 0823 (3054830)
(Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||
Morgan Stanley Capital I Trust | |||
Series 2019-L3 A4 3.127% 11/15/52 | 1,000,000 | $ 861,489 | |
Series 2020-HR8 A4 2.041% 7/15/53 | 4,415,000 | 3,532,077 | |
UBS-Barclays Commercial Mortgage Trust Series 2013-C5 B 144A 3.649% 3/10/46 #, • | 119,840 | 109,355 | |
VMC Finance Series 2021-FL4 A 144A 6.257% (LIBOR01M + 1.10%, Floor 1.10%) 6/16/36 #, • | 1,062,820 | 1,031,845 | |
Wells Fargo Commercial Mortgage Trust | |||
Series 2014-LC18 A5 3.405% 12/15/47 | 275,000 | 262,807 | |
Series 2015-NXS3 A4 3.617% 9/15/57 | 510,000 | 480,346 | |
Series 2016-BNK1 A3 2.652% 8/15/49 | 1,220,000 | 1,103,520 | |
Series 2020-C58 A4 2.092% 7/15/53 | 2,300,000 | 1,823,389 | |
Total Non-Agency Commercial Mortgage-Backed Securities (cost $146,025,014) | 124,064,608 | ||
Loan Agreements — 1.71% | |||
Amentum Government Services Holdings Tranche 3 9.147% (SOFR01M + 4.00%) 2/15/29 • | 3,435,300 | 3,366,594 | |
Applied Systems 9.742% (SOFR03M + 4.50%) 9/18/26 • | 824,226 | 826,286 | |
Applied Systems 2nd Lien 11.992% (SOFR03M + 6.75%) 9/17/27 • | 2,041,869 | 2,046,974 | |
Bausch & Lomb 8.592% (SOFR03M + 3.35%) 5/10/27 • | 506,243 | 492,638 | |
Berry Global Tranche Z 6.972% (LIBOR01M + 1.75%) 7/1/26 • | 590,960 | 590,762 |
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
Calpine | |||
7.20% (LIBOR01M + 2.00%) 4/5/26 • | 240,000 | $ 240,041 | |
7.70% (LIBOR01M + 2.50%) 12/16/27 • | 252,354 | 252,483 | |
Castlelake Aviation One Designated Activity Company | |||
8.302% (LIBOR03M + 2.75%) 10/22/26 • | 680,856 | 678,539 | |
8.004% (SOFR03M + 2.75%) 10/22/27 • | 950,225 | 947,510 | |
Charter Communications Operating Tranche B2 6.795% (SOFR03M + 1.75%) 2/1/27 • | 472,578 | 470,313 | |
Connect US Finco 8.70% (LIBOR01M + 3.50%) 12/11/26 • | 627,908 | 628,823 | |
Core & Main Tranche B-1 7.684% - 7.691% (SOFR01M + 2.60%) 7/27/28 • | 527,521 | 526,202 | |
Delta Air Lines 8.798% (SOFR03M + 3.75%) 10/20/27 • | 450,000 | 467,888 | |
Entegris Tranche B 7.852% - 7.992% (SOFR01M + 2.75%) 7/6/29 • | 1,150,433 | 1,152,282 | |
Epicor Software 2nd Lien 12.952% (SOFR01M + 7.85%) 7/31/28 • | 735,000 | 738,216 | |
Epicor Software Tranche C 8.467% (SOFR01M + 3.36%) 7/30/27 • | 779,950 | 771,446 | |
Frontier Communications Tranche B 9.00% (LIBOR01M + 3.75%) 5/1/28 • | 1,710,625 | 1,667,859 | |
Hamilton Projects Acquiror 9.717% (SOFR01M + 4.61%) 6/17/27 • | 783,538 | 775,311 | |
Hexion Holdings 1st Lien 9.779% (SOFR03M + 4.65%) 3/15/29 • | 2,291,850 | 2,169,481 |
NQ- OPTFI [0623] 0823 (3054830) 31
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
Hilton Worldwide Finance Tranche B-2 6.939% (SOFR01M + 1.75%) 6/22/26 • | 1,088,891 | $ 1,089,076 | |
Informatica 8.00% (LIBOR01M + 2.75%) 10/27/28 • | 627,062 | 627,324 | |
IRB Holding Tranche B 8.202% (SOFR01M + 3.10%) 12/15/27 • | 3,524,584 | 3,506,228 | |
LSF9 Atlantis Holdings Tranche B 12.492% (SOFR03M + 7.25%) 3/31/29 • | 1,403,125 | 1,390,263 | |
Mileage Plus Holdings 10.764% (LIBOR03M + 5.25%) 6/21/27 • | 800,000 | 832,550 | |
MPH Acquisition Holdings 9.726% (LIBOR03M + 4.25%) 9/1/28 • | 1,768,500 | 1,581,039 | |
Olympus Water Us Holding TBD 11/9/28 X | 1,000,000 | 968,750 | |
Organon & Co. 8.25% (LIBOR01M + 3.00%) 6/2/28 • | 1,694,659 | 1,695,541 | |
Peraton Tranche B 1st Lien 8.952% (SOFR01M + 3.85%) 2/1/28 • | 1,012,391 | 996,663 | |
PG&E Tranche B 8.217% (SOFR01M + 3.11%) 6/23/25 • | 1,417,991 | 1,418,877 | |
Prestige Brands Tranche B5 7.193% (LIBOR01M + 2.00%) 7/3/28 • | 6,583 | 6,597 | |
RealPage 1st Lien 8.217% (SOFR01M + 3.11%) 4/24/28 • | 982,500 | 961,798 | |
Ryan Specialty Group Tranche B-1 8.202% (SOFR01M + 3.10%) 9/1/27 • | 578,637 | 578,999 | |
Scientific Games International Tranche B 8.248% (SOFR01M + 3.10%) 4/13/29 • | 1,883,832 | 1,883,999 | |
Sinclair Television Group Tranche B-4 8.952% (SOFR01M + 3.85%) 4/21/29 • | 2,153,250 | 1,631,087 |
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
Standard Industries 7.692% (SOFR01M + 2.50%) 9/22/28 • | 2,441,181 | $ 2,443,386 | |
UKG 1st Lien 8.271% (SOFR03M + 3.35%) 5/4/26 • | 1,628,548 | 1,600,429 | |
United Airlines Tranche B 9.292% (LIBOR03M + 3.75%) 4/21/28 • | 233,988 | 234,222 | |
Vantage Specialty Chemicals 1st Lien 9.897% (SOFR01M + 4.75%) 10/26/26 • | 2,197,516 | 2,142,578 | |
Viasat 9.602% (SOFR01M + 4.50%) 3/2/29 • | 2,762,100 | 2,682,690 | |
Virgin Media Bristol 8.311% (SOFR03M + 3.35%) 3/31/31 • | 215,000 | 213,723 | |
Vistra Operations 6.896% - 6.943% (LIBOR01M + 1.75%) 12/31/25 • | 505,726 | 505,059 | |
Total Loan Agreements (cost $48,456,322) | 47,800,526 | ||
Sovereign Bonds — 2.59%Δ | |||
Albania — 0.01% | |||
Albania Government International Bond 144A 3.50% 6/16/27 # | EUR | 150,000 | 151,404 |
151,404 | |||
Angola — 0.01% | |||
Angolan Government International Bonds | |||
8.25% 5/9/28 | 200,000 | 177,954 | |
144A 8.75% 4/14/32 # | 200,000 | 168,815 | |
346,769 | |||
Argentina — 0.01% | |||
Argentine Republic Government International Bonds | |||
0.50% 7/9/30 ~ | 300,000 | 100,370 | |
1.00% 7/9/29 | 31,833 | 10,384 | |
1.50% 7/9/35 ~ | 674,580 | 202,918 | |
313,672 |
32 NQ- OPTFI [0623] 0823 (3054830)
(Unaudited)
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Armenia — 0.01% | |||
Republic of Armenia International Bond 144A 3.60% 2/2/31 # | 200,000 | $ 157,280 | |
157,280 | |||
Bahrain — 0.01% | |||
Bahrain Government International Bond 144A 7.375% 5/14/30 # | 300,000 | 307,361 | |
307,361 | |||
Bermuda — 0.02% | |||
Bermuda Government International Bonds | |||
144A 5.00% 7/15/32 # | 400,000 | 391,000 | |
5.00% 7/15/32 | 255,000 | 249,262 | |
640,262 | |||
Brazil — 0.01% | |||
Brazilian Government International Bonds | |||
4.75% 1/14/50 | 233,000 | 172,118 | |
6.00% 10/20/33 | 200,000 | 198,081 | |
370,199 | |||
Chile — 0.01% | |||
Chile Government International Bonds | |||
3.10% 5/7/41 | 323,000 | 243,213 | |
3.50% 1/25/50 | 200,000 | 150,736 | |
393,949 | |||
Colombia — 0.01% | |||
Colombia Government International Bonds | |||
5.00% 6/15/45 | 200,000 | 139,734 | |
5.20% 5/15/49 | 200,000 | 137,900 | |
277,634 | |||
Dominican Republic — 0.02% | |||
Dominican Republic International Bonds | |||
144A 4.875% 9/23/32 # | 500,000 | 426,822 | |
144A 5.50% 2/22/29 # | 200,000 | 187,635 | |
614,457 | |||
Ecuador — 0.01% | |||
Ecuador Government International Bonds | |||
144A 1.50% 7/31/40 #, ~ | 278,501 | 87,031 |
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Ecuador (continued) | |||
Ecuador Government International Bonds | |||
144A 2.50% 7/31/35 #, ~ | 328,384 | $ 114,780 | |
144A 5.50% 7/31/30 #, ~ | 125,307 | 60,878 | |
144A 6.61% 7/31/30 #, ^ | 35,470 | 10,389 | |
273,078 | |||
Egypt — 0.01% | |||
Egypt Government International Bond 144A 8.70% 3/1/49 # | 359,000 | 194,545 | |
194,545 | |||
El Salvador — 0.01% | |||
El Salvador Government International Bond 6.375% 1/18/27 | 200,000 | 140,493 | |
140,493 | |||
Gabon — 0.01% | |||
Gabon Government International Bond 144A 6.625% 2/6/31 # | 200,000 | 159,572 | |
159,572 | |||
Georgia — 0.01% | |||
Georgia Government International Bond 144A 2.75% 4/22/26 # | 200,000 | 180,057 | |
180,057 | |||
Ghana — 0.00% | |||
Ghana Government International Bond 144A 7.75% 4/7/29 #, • | 230,000 | 99,026 | |
99,026 | |||
Guatemala — 0.01% | |||
Guatemala Government Bond 144A 4.875% 2/13/28 # | 400,000 | 381,461 | |
381,461 | |||
Honduras — 0.01% | |||
Honduras Government International Bond 6.25% 1/19/27 | 200,000 | 182,569 | |
182,569 |
NQ- OPTFI [0623] 0823 (3054830) 33
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Hong Kong — 0.01% | |||
Airport Authority 144A 2.50% 1/12/32 # | 430,000 | $ 366,993 | |
366,993 | |||
Ivory Coast — 0.01% | |||
Ivory Coast Government International Bond 144A 6.125% 6/15/33 # | 200,000 | 175,745 | |
175,745 | |||
Japan — 1.98% | |||
Japan Treasury Discount Bills | |||
6.163% 8/28/23 ≠ | JPY | 977,000,000 | 6,772,568 |
11.91% 7/31/23 ≠ | JPY | 7,000,000,000 | 48,518,050 |
55,290,618 | |||
Jordan — 0.01% | |||
Jordan Government International Bond 144A 4.95% 7/7/25 # | 200,000 | 194,016 | |
194,016 | |||
Kazakhstan — 0.01% | |||
Kazakhstan Government International Bond 144A 6.50% 7/21/45 # | 207,000 | 219,047 | |
219,047 | |||
Kenya — 0.01% | |||
Republic of Kenya Government International Bond 144A 8.00% 5/22/32 # | 200,000 | 169,463 | |
169,463 | |||
Lebanon — 0.00% | |||
Lebanon Government International Bond 6.25% 5/27/22 ‡ | 582,000 | 39,063 | |
39,063 | |||
Mexico — 0.01% | |||
Mexico Government International Bond 6.338% 5/4/53 | 200,000 | 204,232 | |
204,232 |
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Morocco — 0.01% | |||
Morocco Government International Bond 144A 2.375% 12/15/27 # | 300,000 | $ 262,577 | |
262,577 | |||
Nigeria — 0.02% | |||
Nigeria Government International Bonds | |||
7.375% 9/28/33 | 320,000 | 252,771 | |
144A 7.875% 2/16/32 # | 337,000 | 283,470 | |
536,241 | |||
Oman — 0.01% | |||
Oman Government International Bond 144A 6.75% 1/17/48 # | 343,000 | 330,399 | |
330,399 | |||
Pakistan — 0.00% | |||
Pakistan Government International Bond 144A 7.375% 4/8/31 # | 200,000 | 92,500 | |
92,500 | |||
Panama — 0.01% | |||
Panama Bonos del Tesoro 3.362% 6/30/31 | 200,000 | 172,150 | |
172,150 | |||
Paraguay — 0.01% | |||
Paraguay Government International Bond 144A 5.40% 3/30/50 # | 403,000 | 345,279 | |
345,279 | |||
Peru — 0.01% | |||
Peruvian Government International Bonds | |||
2.844% 6/20/30 | 312,000 | 273,817 | |
5.625% 11/18/50 | 35,000 | 36,222 | |
310,039 | |||
Poland — 0.01% | |||
Bank Gospodarstwa Krajowego Bond 144A 5.375% 5/22/33 # | 370,000 | 368,511 | |
368,511 |
34 NQ- OPTFI [0623] 0823 (3054830)
(Unaudited)
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Qatar — 0.01% | |||
Qatar Government International Bond 144A 4.40% 4/16/50 # | 200,000 | $ 182,360 | |
182,360 | |||
Republic of North Macedonia — 0.01% | |||
North Macedonia Government International Bond 144A 3.675% 6/3/26 # | EUR | 150,000 | 153,453 |
153,453 | |||
Romania — 0.06% | |||
Romanian Government International Bonds | |||
144A 1.75% 7/13/30 # | EUR | 1,800,000 | 1,501,630 |
144A 2.625% 12/2/40 # | EUR | 123,000 | 81,966 |
144A 3.375% 1/28/50 # | EUR | 109,000 | 74,761 |
1,658,357 | |||
Saudi Arabia — 0.01% | |||
Saudi Government International Bond 4.50% 10/26/46 | 470,000 | 412,871 | |
412,871 | |||
Senegal — 0.01% | |||
Senegal Government International Bond 144A 5.375% 6/8/37 # | EUR | 200,000 | 146,384 |
146,384 | |||
Serbia — 0.01% | |||
Serbia International Bonds | |||
144A 1.00% 9/23/28 # | EUR | 200,000 | 169,300 |
144A 3.125% 5/15/27 # | EUR | 100,000 | 98,230 |
267,530 | |||
South Africa — 0.12% | |||
Republic of South Africa Government International Bonds | |||
4.85% 9/30/29 | 3,200,000 | 2,821,113 | |
5.65% 9/27/47 | 200,000 | 141,967 | |
5.75% 9/30/49 | 242,000 | 171,905 |
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
South Africa (continued) | |||
Republic of South Africa Government International Bonds | |||
5.875% 6/22/30 | 268,000 | $ 245,153 | |
3,380,138 | |||
Sri Lanka — 0.00% | |||
Sri Lanka Government International Bond 144A 6.20% 5/11/27 #, • | 253,000 | 116,483 | |
116,483 | |||
Turkey — 0.03% | |||
Turkey Government International Bonds | |||
7.625% 4/26/29 | 300,000 | 283,905 | |
9.125% 7/13/30 | 200,000 | 198,746 | |
Turkiye Ihracat Kredi Bankasi 144A 5.75% 7/6/26 # | 350,000 | 317,052 | |
799,703 | |||
Ukraine — 0.01% | |||
State Agency of Roads of Ukraine 144A 6.25% 6/24/30 #, • | 575,000 | 125,925 | |
Ukraine Government International Bond 144A 7.75% 9/1/28 #, • | 804,000 | 194,765 | |
320,690 | |||
Uzbekistan — 0.01% | |||
Republic of Uzbekistan International Bonds | |||
144A 3.90% 10/19/31 # | 200,000 | 161,250 | |
144A 5.375% 2/20/29 # | 248,000 | 227,503 | |
388,753 | |||
Total Sovereign Bonds (cost $80,835,178) | 72,087,383 | ||
Supranational Bank — 0.01% | |||
Banque Ouest Africaine de Developpement 144A 2.75% 1/22/33 # | EUR | 200,000 | 159,326 |
Total Supranational Bank (cost $240,998) | 159,326 | ||
NQ- OPTFI [0623] 0823 (3054830) 35
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
US Treasury Obligations — 13.92% | |||
US Treasury Bonds | |||
1.375% 11/15/40 | 100,000 | $ 66,984 | |
1.625% 11/15/50 | 13,500,000 | 8,391,357 | |
1.75% 8/15/41 ∞ | 1,800,000 | 1,265,906 | |
1.875% 2/15/41 | 52,800,000 | 38,385,188 | |
1.875% 2/15/51 | 2,700,000 | 1,789,172 | |
1.875% 11/15/51 | 5,100,000 | 3,368,789 | |
2.00% 2/15/50 | 16,000,000 | 10,977,187 | |
2.00% 8/15/51 | 5,000 | 3,410 | |
2.25% 8/15/46 ∞ | 14,955,000 | 10,934,383 | |
2.25% 8/15/49 | 850,000 | 618,109 | |
2.25% 2/15/52 | 2,600,000 | 1,880,023 | |
2.50% 2/15/45 | 37,100,000 | 28,743,080 | |
2.75% 8/15/42 | 900,000 | 742,061 | |
2.75% 11/15/42 | 1,400,000 | 1,152,430 | |
2.875% 5/15/43 | 2,200,000 | 1,841,555 | |
2.875% 8/15/45 | 16,700,000 | 13,791,199 | |
3.00% 5/15/47 | 900,000 | 758,514 | |
3.00% 8/15/48 | 3,770,000 | 3,183,073 | |
3.00% 2/15/49 | 700,000 | 592,443 | |
3.125% 5/15/48 | 1,490,000 | 1,286,318 | |
3.625% 2/15/53 | 23,265,000 | 22,334,400 | |
3.625% 5/15/53 | 31,140,000 | 29,933,325 | |
3.875% 2/15/43 | 24,430,000 | 23,826,884 | |
US Treasury Floating Rate Notes | |||
4.931% (USBMMY3M + 0.20%) 1/31/25 • | 5,925,000 | 5,935,582 | |
5.389% (USBMMY3M + 0.14%) 10/31/24 • | 21,815,000 | 21,835,351 | |
5.418% (USBMMY3M + 0.17%) 4/30/25 • | 2,280,000 | 2,281,873 | |
US Treasury Inflation Indexed Notes 0.625% 7/15/32 | 13,991,074 | 12,867,153 | |
US Treasury Notes | |||
0.50% 10/31/27 | 13,200,000 | 11,269,500 | |
1.875% 8/31/24 ∞ | 2,170,000 | 2,085,489 | |
2.00% 6/30/24 ∞ | 7,700,000 | 7,446,498 | |
2.125% 3/31/24 ∞ | 2,010,000 | 1,962,019 | |
2.125% 11/30/24 ∞ | 11,130,000 | 10,661,541 | |
2.25% 11/15/24 | 11,030,000 | 10,594,616 | |
2.375% 2/29/24 ∞ | 4,000,000 | 3,921,220 | |
2.375% 8/15/24 ∞ | 1,820,000 | 1,761,597 | |
2.50% 1/31/24 ∞ | 2,790,000 | 2,743,759 | |
2.625% 3/31/25 | 12,700,000 | 12,192,744 | |
2.875% 11/30/23 ∞ | 2,500,000 | 2,474,561 | |
3.375% 5/15/33 | 10,160,000 | 9,799,638 | |
3.50% 1/31/30 | 20,815,000 | 20,202,745 |
Principal amount° | Value (US $) | ||
US Treasury Obligations (continued) | |||
US Treasury Notes | |||
3.50% 4/30/30 | 12,010,000 | $ 11,662,837 | |
3.625% 5/31/30 | 1,545,000 | 1,523,636 | |
4.00% 6/30/28 | 16,560,000 | 16,470,732 | |
4.125% 11/15/32 | 6,220,000 | 6,357,035 | |
4.375% 10/31/24 | 2,645,000 | 2,613,539 | |
4.625% 6/30/25 | 910,000 | 905,894 | |
US Treasury STRIP Principal 2.774% 5/15/44 ^ | 5,940,000 | 2,564,168 | |
Total US Treasury Obligations (cost $406,588,575) | 387,999,517 |
Number of shares | |||
Common Stock — 0.03% | |||
Industrials — 0.03% | |||
Grupo Aeromexico =, † | 50,210 | 733,335 | |
Total Common Stock (cost $820,682) | 733,335 |
Notional amount* | |||
Options Purchased — 0.18% | |||
Put Swaptions — 0.18% | |||
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 (BAML) | 15,500,000 | 3,940,247 | |
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 (MS) | 4,800,000 | 1,198,233 | |
Total Options Purchased (premium paid $1,145,185) | 5,138,480 |
36 NQ- OPTFI [0623] 0823 (3054830)
(Unaudited)
Number of shares | Value (US $) | ||
Short-Term Investments — 41.22% | |||
Money Market Mutual Funds — 1.72% | |||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99%) | 12,003,122 | $ 12,003,122 | |
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99%) | 12,003,122 | 12,003,122 | |
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14%) | 12,003,122 | 12,003,122 | |
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03%) | 12,003,122 | 12,003,122 | |
48,012,488 |
Principal amount° | |||
Repurchase Agreements — 39.50% | |||
US Treasury repurchase agreement with Nomura Securities International 5.04%, dated 6/29/23, to be repurchased 7/3/23, repurchase price $552,231,840 (collateralized by US government obligations; 1.25% - 3.75%; market value $557,622,317) | 552,000,000 | 552,000,000 |
Principal amount° | Value (US $) | ||
Repurchase Agreements (continued) | |||
US Treasury repurchase agreement with Nomura Securities International 5.05%, dated 6/30/23, to be repurchased 7/5/23, repurchase price $549,454,109 (collateralized by US government obligations; 2.25% - 3.75%; market value $560,033,882) | 549,300,000 | $ 549,300,000 | |
1,101,300,000 | |||
Total Short-Term Investments (cost $1,149,312,488) | 1,149,312,488 | ||
Total Value of Securities Before Options Written—136.63% (cost $4,001,753,292) | 3,809,771,034 |
Notional amount* | |||
Options Written — (0.35%) | |||
Call Swaptions — (0.00%) | |||
1 yr IRS pay a fixed rate 2.841% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/27/23 (GS) | (1,800,000) | (238) | |
1 yr IRS pay a fixed rate 2.92% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/13/23 (DB) | (3,000,000) | (293) | |
1 yr IRS pay a fixed rate 2.92% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/13/23 (GS) | (2,600,000) | (254) |
NQ- OPTFI [0623] 0823 (3054830) 37
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Notional amount* | Value (US $) | ||
Options Written (continued) | |||
Call Swaptions (continued) | |||
1 yr IRS pay a fixed rate 2.973% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/25/23 (GS) | (1,800,000) | $ (266) | |
1 yr IRS pay a fixed rate 3.018% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/20/23 (GS) | (1,700,000) | (233) | |
1 yr IRS pay a fixed rate 3.14% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/23/23 (GS) | (1,700,000) | (295) | |
1 yr IRS pay a fixed rate 3.19% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/23/23 (GS) | (1,700,000) | (315) | |
1 yr IRS pay a fixed rate 3.225% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/23/23 (GS) | (1,700,000) | (330) | |
7 yr IRS pay a fixed rate 3.35% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 7/27/23 (GS) | (2,800,000) | (1) |
Notional amount* | Value (US $) | ||
Options Written (continued) | |||
Call Swaptions (continued) | |||
10 yr IRS pay a fixed rate 3.25% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 7/20/23 (JPMCB) | (2,900,000) | $ (0) | |
10 yr IRS pay a fixed rate 3.26% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 7/26/23 (GS) | (2,200,000) | (1) | |
10 yr IRS pay a fixed rate 3.27% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 7/24/23 (MS) | (700,000) | (0) | |
10 yr IRS pay a fixed rate 3.33% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 8/1/23 (DB) | (2,500,000) | (3) | |
10 yr IRS pay a fixed rate 3.38% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 7/31/23 (BAML) | (4,200,000) | (5) | |
(2,234) | |||
Put Swaptions — (0.35%) | |||
1 yr IRS pay a fixed rate 2.841% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/27/23 (GS) | (1,800,000) | (39,555) |
38 NQ- OPTFI [0623] 0823 (3054830)
(Unaudited)
Notional amount* | Value (US $) | ||
Options Written (continued) | |||
Put Swaptions (continued) | |||
1 yr IRS pay a fixed rate 2.92% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/13/23 (DB) | (3,000,000) | $ (64,811) | |
1 yr IRS pay a fixed rate 2.92% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/13/23 (GS) | (2,600,000) | (56,169) | |
1 yr IRS pay a fixed rate 2.973% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/25/23 (GS) | (1,800,000) | (37,616) | |
1 yr IRS pay a fixed rate 3.018% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/20/23 (GS) | (1,700,000) | (34,875) | |
1 yr IRS pay a fixed rate 3.14% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/23/23 (GS) | (1,700,000) | (32,909) | |
1 yr IRS pay a fixed rate 3.19% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/23/23 (GS) | (1,700,000) | (32,122) |
Notional amount* | Value (US $) | ||
Options Written (continued) | |||
Put Swaptions (continued) | |||
1 yr IRS pay a fixed rate 3.225% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/23/23 (GS) | (1,700,000) | $ (31,571) | |
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 (MS) | (24,000,000) | (2,271,896) | |
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 (BAML) | (77,500,000) | (7,012,608) | |
7 yr IRS pay a fixed rate 3.85% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 7/27/23 (GS) | (2,800,000) | (40,218) | |
10 yr IRS pay a fixed rate 3.65% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 7/20/23 (JPMCB) | (2,900,000) | (47,512) | |
10 yr IRS pay a fixed rate 3.66% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 7/26/23 (GS) | (2,200,000) | (35,791) |
NQ- OPTFI [0623] 0823 (3054830) 39
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Notional amount* | Value (US $) | ||
Options Written (continued) | |||
Put Swaptions (continued) | |||
10 yr IRS pay a fixed rate 3.67% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 7/24/23 (MS) | (700,000) | $ (11,319) | |
10 yr IRS pay a fixed rate 3.73% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 8/1/23 (DB) | (2,500,000) | (38,819) | |
10 yr IRS pay a fixed rate 3.78% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 7/31/23 (BAML) | (4,200,000) | (63,017) | |
(9,850,808) | |||
Total Options Written (premium received $1,461,140) | (9,853,042) | ||
Liabilities Net of Receivables and Other Assets—(36.28%)★ | (1,011,647,520) | ||
Net Assets Applicable to 341,066,882 Shares Outstanding—100.00% | $2,788,270,472 |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
† | Non-income producing security. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security. |
∞ | Fully or partially pledged as collateral for futures and swap contracts. |
≠ | The rate shown is the effective yield at the time of purchase. |
Δ | Securities have been classified by country of risk. |
X | This loan will settle after June 30, 2023, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
~ | Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Stated rate in effect at June 30, 2023. |
* | Notional amount shown is stated in USD unless noted that the swap is denominated in another currency. |
‡ | Non-income producing security. Security is currently in default. |
μ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at June 30, 2023. 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. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2023, the aggregate value of Rule 144A securities was $466,734,885, which represents 16.74% of the Fund's net assets. |
Σ | Interest only security. An interest only security is the interest only portion of a fixed income security, which is separated and sold individually from the principal portion of the security. |
^ | Zero-coupon security. The rate shown is the effective yield at the time of purchase. |
Ω | Principal only security. A principal only security is the principal only portion of a fixed income security which is separated and sold individually from the interest portion of the security. |
• | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at June 30, 2023. 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. |
ψ | Perpetual security. Maturity date represents next call date. |
★ | Includes $15,924,000 cash collateral held at brokers for certain open derivatives and $5,461,142 cash collateral due to brokers for certain open derivatives. |
40 NQ- OPTFI [0623] 0823 (3054830)
(Unaudited)
The following foreign currency exchange contracts, futures contracts, and swap contracts were outstanding at June 30, 2023:
Foreign Currency Exchange Contracts | ||||||||||||
Counterparty | Currency to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||
BAML | AUD | 4,524,012 | USD | (2,934,767) | 7/5/23 | $79,314 | $— | |||||
BAML | EUR | (200,000) | USD | 218,567 | 7/5/23 | 275 | — | |||||
BAML | GBP | (909,000) | USD | 1,127,650 | 7/5/23 | — | (26,813) | |||||
BAML | JPY | 241,300,000 | USD | (1,732,377) | 7/5/23 | — | (58,872) | |||||
BAML | JPY | (635,898,000) | USD | 4,611,850 | 8/28/23 | 163,437 | — | |||||
BAML | KRW | (25,611,799) | USD | 20,215 | 9/20/23 | 689 | — | |||||
BAML | ZAR | (20,660,551) | USD | 1,072,754 | 8/15/23 | — | (19,672) | |||||
BAML | ZAR | (10,193,869) | USD | 545,914 | 9/12/23 | 8,423 | — | |||||
BNP | AUD | 3,905,614 | USD | (2,588,993) | 8/2/23 | 15,460 | — | |||||
BNP | EUR | (479,000) | USD | 514,929 | 7/5/23 | — | (7,880) | |||||
BNP | EUR | (90,895,000) | USD | 99,733,539 | 8/2/23 | 374,179 | — | |||||
BNP | GBP | (11,539,000) | USD | 14,272,428 | 7/5/23 | — | (382,523) | |||||
BNP | JPY | 427,700,039 | USD | (3,077,020) | 7/5/23 | — | (110,762) | |||||
BNP | JPY | 1,281,563,784 | USD | (8,904,381) | 8/2/23 | 25,536 | — | |||||
BNP | PLN | (20,981,743) | USD | 4,872,236 | 7/21/23 | — | (282,078) | |||||
BNP | ZAR | 20,505,407 | USD | (1,101,861) | 8/15/23 | — | (17,638) | |||||
CITI | AUD | 618,398 | USD | (409,676) | 8/2/23 | 2,702 | — | |||||
CITI | BRL | 41,554,483 | USD | (8,644,757) | 8/2/23 | — | (21,008) | |||||
CITI | CAD | (892) | USD | 655 | 7/5/23 | — | (19) | |||||
CITI | CAD | (1,458,700) | USD | 1,101,507 | 8/2/23 | — | (201) | |||||
CITI | INR | 11,449,769 | USD | (139,340) | 9/20/23 | — | (216) | |||||
CITI | JPY | (7,000,000,000) | USD | 53,027,692 | 7/31/23 | 4,266,540 | — | |||||
CITI | JPY | (341,102,000) | USD | 2,474,928 | 8/28/23 | 88,755 | — | |||||
CITI | KRW | (100,632,098) | USD | 78,261 | 9/20/23 | 1,540 | — | |||||
CITI | ZAR | 10,804,000 | USD | (611,521) | 9/12/23 | — | (41,859) | |||||
JPMCB | EUR | 679,000 | USD | (741,471) | 7/5/23 | — | (371) | |||||
JPMCB | EUR | (1,001,000) | USD | 1,104,095 | 7/14/23 | 11,016 | — | |||||
JPMCB | EUR | (5,652,285) | USD | 6,215,553 | 8/25/23 | 30,085 | — | |||||
JPMCB | GBP | 12,448,000 | USD | (15,739,251) | 7/5/23 | 70,162 | — | |||||
JPMCB | GBP | (12,448,000) | USD | 15,742,587 | 8/2/23 | — | (70,163) | |||||
JPMCB | INR | 13,627,980 | USD | (165,358) | 9/20/23 | 233 | — | |||||
JPMCB | JPY | (666,106,114) | USD | 4,657,759 | 7/5/23 | 38,067 | — | |||||
JPMCB | JPY | 663,275,594 | USD | (4,657,759) | 8/2/23 | — | (36,065) | |||||
JPMCB | MXN | (867,000) | USD | 50,351 | 7/14/23 | — | (156) | |||||
Total Foreign Currency Exchange Contracts | $5,176,413 | $(1,076,296) |
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 | |||||||
(177) | Euro-Bobl | $(22,348,507) | $(22,671,023) | 9/7/23 | $322,516 | $— | $3,195 | ||||||
(135) | Euro-Bund | (19,701,507) | (19,893,471) | 9/7/23 | 191,964 | — | (13,917) | ||||||
(49) | Euro-Schatz | (5,606,204) | (5,653,118) | 9/7/23 | 46,914 | — | 2,049 | ||||||
(28) | Long 10 yr Gilt | (3,388,868) | (3,419,954) | 9/27/23 | 31,086 | — | 12,219 | ||||||
(69) | US Treasury 2 yr Notes | (14,030,719) | (14,230,017) | 9/29/23 | 199,298 | — | (22,875) | ||||||
732 | US Treasury 2 yr Notes | 148,847,625 | 150,407,396 | 9/29/23 | — | (1,559,771) | 2,156 |
NQ- OPTFI [0623] 0823 (3054830) 41
Schedule of investments
Optimum Fixed Income Fund (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 | |||||||
2,943 | US Treasury 5 yr Notes | $315,176,906 | $320,001,499 | 9/29/23 | $— | $(4,824,593) | $(22,661) | ||||||
(264) | US Treasury 10 yr Notes | (29,638,126) | (30,191,579) | 9/20/23 | 553,453 | — | (76,361) | ||||||
193 | US Treasury 10 yr Notes | 21,667,267 | 21,970,848 | 9/20/23 | — | (303,581) | 74,253 | ||||||
(103) | US Treasury 10 yr Ultra Notes | (12,199,062) | (12,343,730) | 9/20/23 | 144,668 | — | (27,015) | ||||||
(2) | US Treasury Long Bonds | (253,813) | (253,667) | 9/20/23 | — | (146) | (1,500) | ||||||
513 | US Treasury Long Bonds | 65,102,906 | 64,838,788 | 9/20/23 | 264,118 | — | 384,750 | ||||||
121 | US Treasury Ultra Bonds | 16,482,469 | 16,428,946 | 9/20/23 | 53,523 | — | 115,000 | ||||||
Total Futures Contracts | $464,990,918 | $1,807,540 | $(6,688,091) | $429,293 |
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 Sold/Moody's Ratings: | ||||||||||||||
AT&T 2.45% 5/15/18 Baa2 6/20/24-Quarterly | 1,800,000 | 1.000% | $7,666 | $10,025 | $— | $(2,359) | $(36,699) | |||||||
Boeing 2.60% 10/20/25 Baa3 12/20/26-Quarterly | 4,100,000 | 1.000% | 33,575 | (15,971) | 49,546 | — | (84,070) | |||||||
Boeing 2.60% 10/30/25 Baa2 6/26/26-Quarterly | 700,000 | 1.000% | 6,169 | (3,077) | 9,246 | — | (19,877) | |||||||
British Telecom 2.70% 10/9/22 Baa1 12/20/28-Quarterly | EUR 1,600,000 | 1.000% | (18,511) | (64,008) | 45,497 | — | 40,406 | |||||||
British Telecom 5.75% 12/7/28 Baa2 12/20/24-Quarterly | EUR 2,800,000 | 1.000% | 26,515 | 31,843 | — | (5,328) | 38,280 | |||||||
CDX.ITRX.EUR.394 6/20/28-Quarterly | EUR 100,000 | 1.000% | 1,286 | 218 | 1,068 | — | 7,559 | |||||||
CDX.NA.IG.355 12/20/25-Quarterly | 400,000 | 1.000% | 5,715 | 5,223 | 492 | — | (415,709) | |||||||
CDX.NA.IG.365 6/20/26-Quarterly | 1,900,000 | 1.000% | 28,398 | 28,051 | 347 | — | (437,145) |
42 NQ- OPTFI [0623] 0823 (3054830)
(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 | |||||||
Centrally Cleared:Protection Sold/Moody's Ratings (continued): | ||||||||||||||
CDX.NA.IG.375 12/20/26-Quarterly | 300,000 | 1.000% | $4,564 | $4,616 | $— | $(52) | $41,872 | |||||||
General Electric 2.70% 10/9/22 Baa1 12/20/26-Quarterly | 1,200,000 | 1.000% | 13,489 | 9,026 | 4,463 | — | (15,056) | |||||||
General Electric 2.70% 10/9/22 Baa1 6/20/26-Quarterly | 600,000 | 1.000% | 7,024 | 3,448 | 3,576 | — | (10,503) | |||||||
General Motors 5.70% 10/9/22 Baa1 12/20/26-Quarterly | 240,000 | 5.000% | 27,954 | 31,442 | — | (3,488) | (49,105) | |||||||
General Motors 5.70% 10/9/22 Baa1 6/20/28-Quarterly | 275,000 | 5.000% | 38,693 | 31,877 | 6,816 | — | (83,132) | |||||||
Tesco 1.00% 6/25/19 Baa3 6/20/28-Quarterly | EUR 2,700,000 | 1.000% | 18,590 | 597 | 17,993 | — | (54,231) | |||||||
201,127 | 73,310 | 139,044 | (11,227) | (1,077,410) | ||||||||||
Over-The-Counter: | ||||||||||||||
Protection Purchased/Moody’s Ratings: | ||||||||||||||
JPMCB Mexico 1/28/33 Baa2 6/20/28-Quarterly | 1,275,000 | 1.000% | 1,682 | 5,326 | — | (3,644) | — | |||||||
JPMCB Mexico 10.375% 1/28/33 Baa2 6/22/26-Quarterly | 2,085,000 | 1.000% | (27,824) | 9,282 | — | (37,106) | — | |||||||
JPMCB Republic of Brazil 4.25% 1/7/25 Ba2 6/20/26-Quarterly | 2,570,000 | 1.000% | (10,451) | 48,319 | — | (58,770) | — | |||||||
Protection Sold/Moody's Ratings: | ||||||||||||||
DB CMBX.NA.AAA6 10/17/57-Monthly | 14,200,000 | 0.500% | (4,055) | (789,403) | 785,348 | — | — | |||||||
JPMCB HOCHTIEF 1.00% 3/7/25 BBB 12/20/26-Quarterly | EUR 1,100,000 | 5.000% | 154,027 | 181,698 | — | (27,671) | — | |||||||
JPMCB HOCHTIEF 5.00% 3/7/25 BBB 12/20/26-Quarterly | EUR 1,100,000 | 5.000% | 154,027 | 180,270 | — | (26,243) | — |
NQ- OPTFI [0623] 0823 (3054830) 43
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Counterparty/ Reference Obligation/ Termination Date/ Payment Frequency | Notional Amount2 | Annual Protection Payments | Value | Upfront Payments Paid (Received) | Unrealized Appreciation3 | Unrealized Depreciation3 | Variation Margin Due from (Due to) Brokers | |||||||
Over-The-Counter:Protection Sold/Moody's Ratings (continued): | ||||||||||||||
JPMCB Republic of South Africa 5.50% 3/9/20 Baa3 12/20/23-Quarterly | 700,000 | 1.000% | $746 | $(3,187) | $3,933 | $— | $— | |||||||
268,152 | (367,695) | 789,281 | (153,434) | — | ||||||||||
Total CDS Contracts | $469,279 | $(294,385) | $928,325 | $(164,661) | $(1,077,410) |
IRS Contracts7 | ||||||||||||||
Reference Obligation/ Termination Date/ Payment Frequency (Fixed Rate/ Floating Rate) | Notional Amount2 | Fixed/ Floating Interest Rate Paid (Received) | Value | Upfront Payments Paid (Received) | Unrealized Appreciation3 | Unrealized Depreciation3 | Variation Margin Due from (Due to) Brokers | |||||||
Centrally Cleared: | ||||||||||||||
1 yr IRS8 8/4/23- (Quarterly/Quarterly) | 156,100,000 | 0.00%/ 5.545% | $(799,315) | $— | $— | $(799,315) | $2,905,144 | |||||||
1 yr IRS9 8/4/23- (Quarterly/Quarterly) | 156,100,000 | 5.09%/ 0.00% | 773,079 | — | 773,079 | — | (2,452,760) | |||||||
1 yr IRS8 8/18/23- (At Maturity/ Quarterly) | 42,100,000 | (0.64)%/ 5.545% | (267,274) | 3,611 | — | (270,885) | 382,808 | |||||||
1 yr IRS8 10/1/23- (At Maturity/ Quarterly) | 8,600,000 | (1.80)%/ 5.545% | (83,807) | 455 | — | (84,262) | 127,401 | |||||||
1 yr IRS9 11/4/23- (At Maturity/ Quarterly) | 156,100,000 | (1.27)%/ 5.09% | (2,234,175) | — | — | (2,234,175) | 5,244,488 | |||||||
1 yr IRS10 4/28/24- (Annually/Quarterly) | EUR 4,200,000 | (2.25)%/ 3.577% | (62,332) | — | — | (62,332) | 116,934 | |||||||
1 yr IRS10 5/3/24- (At Maturity/ Quarterly) | EUR 4,300,000 | (2.25)%/ 3.577% | (64,651) | — | — | (64,651) | 137,668 | |||||||
3 yr IRS11 1/2/25- (At Maturity/ At Maturity) | BRL 36,000,000 | 11.835%/ (13.65)% | 14,666 | — | 14,666 | — | (86,734) | |||||||
3 yr IRS11 1/2/25- (At Maturity/ At Maturity) | BRL 37,000,000 | 11.80%/ (13.65)% | 8,747 | — | 8,747 | — | 152,030 | |||||||
3 yr IRS11 1/2/25- (At Maturity/ At Maturity) | BRL 37,000,000 | 11.734%/ (13.65)% | (3,174) | — | — | (3,174) | 169,192 | |||||||
3 yr IRS8 2/18/26- (Semiannually/Quarterly) | 42,100,000 | (0.64)%/ 5.545% | (3,816,958) | (321,908) | — | (3,495,050) | 7,432,852 | |||||||
5 yr IRS12 9/16/25- (Annually/ Annually) | GBP 5,700,000 | 0.50%/ (4.929)% | 790,986 | (28,569) | 819,555 | — | (1,937,400) | |||||||
5 yr IRS11 1/4/27- (At Maturity/At Maturity) | BRL 6,600,000 | 10.12%/ (13.65)% | (54,237) | — | — | (54,237) | 176,162 |
44 NQ- OPTFI [0623] 0823 (3054830)
(Unaudited)
IRS Contracts7 | ||||||||||||||
Reference Obligation/ Termination Date/ Payment Frequency (Fixed Rate/ Floating Rate) | Notional Amount2 | Fixed/ Floating Interest Rate Paid (Received) | Value | Upfront Payments Paid (Received) | Unrealized Appreciation3 | Unrealized Depreciation3 | Variation Margin Due from (Due to) Brokers | |||||||
Centrally Cleared (continued): | ||||||||||||||
5 yr IRS11 1/4/27- (At Maturity/At Maturity) | BRL 43,000,000 | 11.115%/ (13.65)% | $109,416 | $(200,649) | $310,065 | $— | $256,294 | |||||||
5 yr IRS13 4/11/27- (Annually/ Semiannually) | EUR 1,900,000 | (0.70)%/ 3.90% | (196,197) | — | — | (196,197) | 416,218 | |||||||
5 yr IRS13 4/12/27- (Annually/ Semiannually) | EUR 3,800,000 | (0.65)%/ 3.90% | (399,537) | — | — | (399,537) | 775,087 | |||||||
5 yr IRS13 5/13/27- (Annually/ Semiannually) | EUR 4,100,000 | (1.00)%/ 3.90% | (384,231) | — | — | (384,231) | 813,186 | |||||||
5 yr IRS13 5/18/27- (Annually/ Semiannually) | EUR 2,000,000 | (1.00)%/ 3.90% | (187,911) | — | — | (187,911) | 396,158 | |||||||
5 yr IRS12 9/20/28- (Annually/Annually) | GBP 27,000,000 | 3.75%/ (4.929)% | 1,853,514 | 117,486 | 1,736,028 | — | (3,514,805) | |||||||
6 yr IRS11 1/4/27- (At Maturity/ At Maturity) | BRL 67,700,000 | 10.995%/ (13.65)% | 604,158 | — | 604,158 | — | 268,769 | |||||||
6 yr IRS11 1/4/27- (At Maturity/ At Maturity) | BRL 32,400,000 | 11.098%/ (13.65)% | 76,625 | — | 76,625 | — | 323,053 | |||||||
6 yr IRS11 1/4/27- (At Maturity/ At Maturity) | BRL 32,100,000 | 11.065%/ (13.65)% | 78,246 | — | 78,246 | — | 322,092 | |||||||
8 yr IRS8 10/1/31- (Semiannually/Quarterly) | 8,600,000 | (1.80)%/ 5.545% | (1,718,156) | 126,163 | — | (1,844,319) | (1,120,672) | |||||||
10 yr IRS9 6/21/33- (Annually/Annually) | 34,500,000 | 5.09%/ (3.00)% | 1,595,552 | 1,513,456 | 82,096 | — | (2,920,385) | |||||||
10 yr IRS13 9/20/23- (Annually/Semiannually) | EUR 14,600,000 | (3.00)%/ 3.90% | 9,406 | (99,180) | 108,585 | — | 33,061 | |||||||
10 yr IRS12 9/20/33- (Annually/Annually) | GBP 29,800,000 | (3.50)%/ 4.929% | (2,413,416) | (2,057,699) | — | (355,718) | 2,800,212 | |||||||
10 yr IRS9 7/15/32- (Annually/Annually) | 15,120,000 | (1.857)%/ 5.09% | (1,994,128) | — | — | (1,994,128) | 500,101 | |||||||
30 yr IRS9 12/21/52- (Annually/ Annually) | 17,000,000 | 1.75%/ (5.09)% | 4,586,213 | 3,426,028 | 1,160,185 | — | (9,555,887) | |||||||
Total IRS Contracts | $(4,178,891) | $2,479,194 | $5,772,035 | $(12,430,122) | $2,160,267 |
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 the schedule of investments. 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.
NQ- OPTFI [0623] 0823 (3054830) 45
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
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 $(953,978). |
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 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. |
6 | 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. |
7 | 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. |
8 | Rate resets based on LIBOR03M. |
9 | Rate resets based on SOFR. |
10 | Rate resets based on EUR003M. |
11 | Rate paid based on Brazil CETIP Interbank Deposit. |
12 | Rate resets based on SONIA. |
13 | Rate resets based on EUR006M. |
Summary of abbreviations: |
12MTA – 12 Month Treasury Average |
ABS – Asset-Backed Security |
ARM – Adjustable Rate Mortgage |
BAML – Bank of America Merrill Lynch |
BB – Barclays Bank |
BNP – BNP Paribas |
BP0003M – 3 Month Sterling LIBOR Interest Rate |
CDX.ITRX.EUR – Credit Default Swap Index iTraxx Europe |
CDX.NA.IG – Credit Default Swap Index North America Investment Grade |
CITI – Citigroup |
CLO – Collateralized Loan Obligation |
CMBX.NA – Commercial Mortgage-Backed Index North America |
DAC – Designated Activity Company |
DB – Deutsche Bank |
EUR003M – EURIBOR EUR 3 Month |
EUR006M – EURIBOR EUR 6 Month |
EURIBOR – Euro interbank offered rate |
FREMF – Freddie Mac Multifamily |
GNMA – Government National Mortgage Association |
GS – Goldman Sachs |
H15T1Y – US Treasury Yield Curve Rate T Note Constant Maturity 1 Year |
ICE – Intercontinental Exchange, Inc. |
IRS – Interest Rate Swap |
JPM – JPMorgan |
JPMCB – JPMorgan Chase Bank |
JSC – Joint Stock Company |
LIBOR – London Interbank Offered Rate |
LIBOR01M – ICE LIBOR USD 1 Month |
LIBOR03M – ICE LIBOR USD 3 Month |
LIBOR06M – ICE LIBOR USD 6 Month |
LIBOR12M – ICE LIBOR USD 12 Month |
MASTR – Mortgage Asset Securitization Transactions, Inc. |
MS – Morgan Stanley |
PJSC – Private Joint Stock Company |
REMIC – Real Estate Mortgage Investment Conduit |
S.F. – Single Family |
SOFR – Secured Overnight Financing Rate |
SOFR01M – Secured Overnight Financing Rate 1 Month |
SOFR03M – Secured Overnight Financing Rate 3 Month |
SONIA – Sterling Overnight Indexed Average |
46 NQ- OPTFI [0623] 0823 (3054830)
(Unaudited)
Summary of abbreviations: (continued) |
STRIP – Separate Trading of Registered Interest and Principal |
TBA – To be announced |
TBD – To be determined |
TSFR03M – 3 Month Term Secured Overnight Financing Rate |
USBMMY3M – US Treasury 3 Month Bill Money Market Yield |
yr – Year |
Summary of currencies: |
AUD – Australian Dollar |
BRL – Brazilian Real |
CAD – Canadian Dollar |
Summary of currencies: (continued) |
DKK – Danish Krone |
EUR – European Monetary Unit |
GBP – British Pound Sterling |
INR – Indian Rupee |
JPY – Japanese Yen |
KRW – South Korean Won |
MXN – Mexican Peso |
PLN – Polish Zloty |
USD – US Dollar |
ZAR – South African Rand |
NQ- OPTFI [0623] 0823 (3054830) 47