Schedule of investments
Optimum Fixed Income Fund
June 30, 2024 (Unaudited)
Principal amount° | Value (US $) | ||
Agency Collateralized Mortgage Obligations — 1.60% | |||
Connecticut Avenue Securities Trust | |||
Series 2019-R01 2M2 144A 7.90% (SOFR + 2.56%) 7/25/31 #, • | 5,143 | $ 5,143 | |
Series 2022-R01 1M2 144A 7.235% (SOFR + 1.90%) 12/25/41 #, • | 1,500,000 | 1,517,823 | |
Series 2022-R02 2M2 144A 8.335% (SOFR + 3.00%) 1/25/42 #, • | 900,000 | 923,842 | |
Series 2024-R04 1M1 144A 6.424% (SOFR + 1.10%) 5/25/44 #, • | 4,852,978 | 4,856,102 | |
Fannie Mae Grantor Trust | |||
Series 1999-T2 A1 7.50% 1/19/39 • | 2,536 | 2,543 | |
Series 2004-T1 1A2 6.50% 1/25/44 | 2,265 | 2,282 | |
Fannie Mae REMIC Trust | |||
Series 2004-W11 1A2 6.50% 5/25/44 | 17,984 | 18,081 | |
Series 2004-W15 1A1 6.00% 8/25/44 | 11,120 | 11,225 | |
Fannie Mae REMICs | |||
Series 1999-19 PH 6.00% 5/25/29 | 14,099 | 14,078 | |
Series 2001-14 Z 6.00% 5/25/31 | 955 | 966 | |
Series 2007-30 OE 1.784% 4/25/37 Ω, ^ | 1,019,963 | 750,948 | |
Series 2008-24 ZA 5.00% 4/25/38 | 3,267,458 | 3,264,359 | |
Series 2009-2 AS 0.25% (5.59% minus SOFR, Cap 5.70%) 2/25/39 Σ, =, • | 191,602 | 8,853 | |
Series 2009-68 SA 1.30% (6.64% minus SOFR, Cap 6.75%) 9/25/39 Σ, =, • | 76,637 | 6,901 | |
Series 2017-40 GZ 3.50% 5/25/47 | 386,442 | 347,859 |
Principal amount° | Value (US $) | ||
Agency Collateralized Mortgage Obligations (continued) | |||
Fannie Mae REMICs | |||
Series 2017-95 FA 5.793% (SOFR + 0.46%, Floor 0.35%) 11/25/47 • | 171,812 | $ 168,976 | |
Series 2024-38 FA 6.124% (SOFR + 0.80%, Floor 0.80%) 1/25/51 • | 1,940,432 | 1,938,563 | |
Freddie Mac REMICs | |||
Series 2165 PE 6.00% 6/15/29 | 15,153 | 15,151 | |
Series 3143 BC 5.50% 2/15/36 | 555,131 | 566,852 | |
Series 3289 SA 1.302% (6.64% minus SOFR, Cap 6.75%) 3/15/37 Σ, =, • | 166,262 | 9,985 | |
Series 4676 KZ 2.50% 7/15/45 | 338,196 | 288,706 | |
Freddie Mac Structured Agency Credit Risk REMIC Trust | |||
Series 2021-DNA5 M2 144A 6.985% (SOFR + 1.65%) 1/25/34 #, • | 1,865,707 | 1,877,855 | |
Series 2021-HQA2 M2 144A 7.385% (SOFR + 2.05%) 12/25/33 #, • | 4,784,418 | 4,882,723 | |
Series 2022-DNA1 M2 144A 7.835% (SOFR + 2.50%) 1/25/42 #, • | 3,000,000 | 3,056,603 | |
Series 2022-DNA2 M2 144A 9.085% (SOFR + 3.75%) 2/25/42 #, • | 1,000,000 | 1,049,992 | |
Freddie Mac Structured Pass Through Certificates | |||
Series T-54 2A 6.50% 2/25/43 ♦ | 8,834 | 8,876 | |
Series T-58 2A 6.50% 9/25/43 ♦ | 2,866 | 2,857 |
NQ- OPTFI [0624] 0824 (3775194) 1
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Agency Collateralized Mortgage Obligations (continued) | |||
GNMA | |||
Series 2008-65 SB 0.547% (5.89% minus TSFR01M, Cap 6.00%) 8/20/38 Σ, =, • | 199,755 | $ 3,183 | |
Series 2009-2 SE 0.367% (5.71% minus TSFR01M, Cap 5.82%) 1/20/39 Σ, =, • | 667,895 | 23,447 | |
Series 2011-H21 FT 5.88% (H15T1Y + 0.70%, Cap 15.25%, Floor 0.70%) 10/20/61 • | 913,452 | 911,555 | |
Series 2011-H23 FA 6.137% (TSFR01M + 0.81%, Cap 11.00%, Floor 0.70%) 10/20/61 • | 1,011,404 | 1,012,677 | |
Series 2012-H08 FB 6.037% (TSFR01M + 0.71%, Cap 11.00%, Floor 0.60%) 3/20/62 • | 96,252 | 96,261 | |
Series 2012-H18 NA 5.957% (TSFR01M + 0.63%, Cap 10.50%, Floor 0.52%) 8/20/62 • | 71,941 | 71,820 | |
Series 2012-H29 SA 5.952% (TSFR01M + 0.63%, Cap 12.00%, Floor 0.52%) 10/20/62 • | 1,502,820 | 1,500,834 | |
Series 2013-113 LY 3.00% 5/20/43 | 541,330 | 481,802 | |
Series 2015-H10 FA 6.037% (TSFR01M + 0.71%, Cap 7.50%) 4/20/65 • | 5,687,326 | 5,666,320 | |
Series 2015-H11 FC 5.987% (TSFR01M + 0.66%, Cap 7.50%, Floor 0.55%) 5/20/65 • | 733,097 | 730,322 |
Principal amount° | Value (US $) | ||
Agency Collateralized Mortgage Obligations (continued) | |||
GNMA | |||
Series 2015-H12 FB 6.037% (TSFR01M + 0.71%, Cap 7.50%, Floor 0.60%) 5/20/65 • | 2,674,057 | $ 2,666,070 | |
Series 2015-H20 FB 6.037% (TSFR01M + 0.71%, Cap 7.50%, Floor 0.60%) 8/20/65 • | 738,181 | 735,728 | |
Series 2015-H30 FD 6.037% (TSFR01M + 0.71%, Cap 11.00%, Floor 0.60%) 10/20/65 • | 30,114 | 30,115 | |
Series 2016-H06 FD 6.357% (TSFR01M + 1.03%, Cap 7.50%, Floor 0.92%) 7/20/65 • | 721,173 | 721,716 | |
Series 2017-163 ZK 3.50% 11/20/47 | 2,536,224 | 2,301,425 | |
Total Agency Collateralized Mortgage Obligations (cost $42,932,407) | 42,551,419 | ||
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 | 1,022,163 | |
FREMF Mortgage Trust Series 2017-K71 B 144A 3.88% 11/25/50 #, • | 470,000 | 444,083 | |
Total Agency Commercial Mortgage-Backed Securities (cost $1,526,223) | 1,466,246 | ||
Agency Mortgage-Backed Securities — 43.03% | |||
Fannie Mae 5.50% 3/1/37 | 4,367 | 4,338 | |
Fannie Mae S.F. 15 yr | |||
2.00% 3/1/37 | 6,297,911 | 5,575,502 | |
2.50% 7/1/36 | 4,931,097 | 4,460,285 | |
2.50% 8/1/36 | 731,012 | 661,216 | |
4.50% 9/1/37 | 785,030 | 767,995 |
2 NQ- OPTFI [0624] 0824 (3775194)
(Unaudited)
Principal amount° | Value (US $) | ||
Agency Mortgage-Backed Securities (continued) | |||
Fannie Mae S.F. 20 yr | |||
2.00% 3/1/41 | 2,923,968 | $ 2,455,488 | |
2.00% 5/1/41 | 2,384,401 | 1,994,357 | |
3.00% 9/1/37 | 1,070,076 | 993,288 | |
4.00% 8/1/42 | 580,632 | 540,280 | |
5.50% 8/1/43 | 1,648,402 | 1,651,419 | |
Fannie Mae S.F. 30 yr | |||
2.00% 6/1/50 | 10,014,386 | 7,917,538 | |
2.00% 12/1/50 | 5,174,079 | 4,094,478 | |
2.00% 1/1/51 | 880,116 | 700,923 | |
2.00% 2/1/51 | 3,335,146 | 2,651,266 | |
2.00% 3/1/51 | 112,118 | 88,069 | |
2.00% 8/1/51 | 1,249,635 | 991,304 | |
2.00% 9/1/51 | 7,631,722 | 5,991,117 | |
2.00% 1/1/52 | 3,432,003 | 2,731,815 | |
2.50% 8/1/50 | 3,016,872 | 2,517,973 | |
2.50% 1/1/51 | 2,480,560 | 2,048,553 | |
2.50% 7/1/51 | 1,132,565 | 936,795 | |
2.50% 8/1/51 | 6,399,665 | 5,309,236 | |
2.50% 2/1/52 | 20,227,525 | 16,607,771 | |
2.50% 4/1/52 | 59,819 | 49,180 | |
3.00% 10/1/42 | 1,041,898 | 919,200 | |
3.00% 4/1/43 | 367,205 | 323,840 | |
3.00% 11/1/48 | 573,002 | 500,177 | |
3.00% 12/1/49 | 3,139,259 | 2,712,989 | |
3.00% 3/1/50 | 1,407,903 | 1,220,613 | |
3.00% 5/1/51 | 453,754 | 392,286 | |
3.00% 7/1/51 | 3,688,911 | 3,178,820 | |
3.00% 12/1/51 | 6,914,068 | 5,962,092 | |
3.00% 6/1/52 | 3,478,969 | 2,983,932 | |
3.50% 2/1/47 | 8,390,339 | 7,633,711 | |
3.50% 7/1/47 | 1,553,084 | 1,414,961 | |
3.50% 1/1/48 | 2,076,585 | 1,882,212 | |
3.50% 2/1/48 | 1,353,032 | 1,219,341 | |
3.50% 1/1/50 | 1,678,347 | 1,518,071 | |
3.50% 3/1/50 | 515,905 | 464,087 | |
3.50% 7/1/50 | 3,294,792 | 2,969,459 | |
3.50% 8/1/50 | 4,368,876 | 3,943,504 | |
3.50% 1/1/52 | 848,202 | 751,999 | |
3.50% 3/1/52 | 2,800,450 | 2,506,240 | |
3.50% 5/1/52 | 3,000,088 | 2,682,323 | |
3.50% 6/1/52 | 5,572,431 | 4,935,649 | |
3.50% 9/1/52 | 6,425,419 | 5,742,609 | |
4.00% 10/1/40 | 7,305 | 6,894 | |
4.00% 11/1/40 | 30,366 | 28,657 | |
4.00% 3/1/46 | 52,053 | 48,751 | |
4.00% 3/1/47 | 2,705,573 | 2,531,499 | |
4.00% 4/1/47 | 404,160 | 378,545 | |
4.00% 6/1/48 | 1,954,450 | 1,825,372 | |
4.00% 9/1/48 | 2,431,754 | 2,256,733 | |
4.00% 10/1/48 | 2,066,802 | 1,935,905 |
Principal amount° | Value (US $) | ||
Agency Mortgage-Backed Securities (continued) | |||
Fannie Mae S.F. 30 yr | |||
4.00% 1/1/49 | 36,732 | $ 34,105 | |
4.00% 3/1/49 | 102,763 | 95,230 | |
4.00% 6/1/49 | 469,787 | 439,058 | |
4.00% 8/1/51 | 2,628,388 | 2,470,109 | |
4.00% 9/1/52 | 4,559,080 | 4,176,577 | |
4.50% 5/1/35 | 21,361 | 20,620 | |
4.50% 8/1/35 | 35,402 | 34,260 | |
4.50% 9/1/35 | 43,801 | 42,389 | |
4.50% 5/1/39 | 151,094 | 146,770 | |
4.50% 7/1/40 | 137,253 | 132,959 | |
4.50% 4/1/41 | 11,830 | 11,492 | |
4.50% 5/1/46 | 96,627 | 93,862 | |
4.50% 4/1/48 | 555,362 | 541,868 | |
4.50% 9/1/48 | 181,766 | 173,664 | |
4.50% 12/1/48 | 158,284 | 151,088 | |
4.50% 1/1/49 | 4,231,927 | 4,060,194 | |
4.50% 1/1/50 | 7,657,611 | 7,421,165 | |
4.50% 4/1/50 | 590,308 | 565,846 | |
4.50% 10/1/52 | 11,527,658 | 10,883,414 | |
4.50% 2/1/53 | 6,639,934 | 6,262,932 | |
5.00% 3/1/34 | 650 | 641 | |
5.00% 4/1/34 | 3,716 | 3,666 | |
5.00% 8/1/34 | 6,196 | 6,111 | |
5.00% 4/1/35 | 1,526 | 1,508 | |
5.00% 12/1/37 | 624 | 617 | |
5.00% 3/1/38 | 38,421 | 38,016 | |
5.00% 5/1/40 | 60,983 | 60,302 | |
5.00% 7/1/47 | 271,355 | 268,332 | |
5.00% 1/1/51 | 2,962,256 | 2,912,249 | |
5.50% 12/1/33 | 6,790 | 6,823 | |
5.50% 2/1/35 | 102,075 | 103,169 | |
5.50% 5/1/44 | 3,575,428 | 3,590,475 | |
5.50% 10/1/52 | 7,838,475 | 7,761,125 | |
5.50% 11/1/52 | 4,263,522 | 4,236,805 | |
5.50% 7/1/53 | 511,693 | 504,735 | |
6.00% 9/1/36 | 5,680 | 5,749 | |
6.00% 8/1/38 | 11,943 | 12,070 | |
6.00% 12/1/38 | 2,238 | 2,289 | |
6.00% 1/1/42 | 3,008,030 | 3,075,342 | |
6.00% 5/1/53 | 2,896,000 | 2,920,749 | |
6.00% 9/1/53 | 7,231,652 | 7,253,921 | |
6.50% 11/1/33 | 954 | 982 | |
6.50% 2/1/36 | 19,684 | 20,404 | |
6.50% 3/1/36 | 31,727 | 32,655 | |
6.50% 6/1/36 | 20,942 | 21,717 | |
6.50% 2/1/38 | 4,065 | 4,172 | |
6.50% 11/1/38 | 1,777 | 1,820 | |
Fannie Mae S.F. 30 yr TBA | |||
2.00% 7/15/54 = | 50,200,000 | 39,254,047 |
NQ- OPTFI [0624] 0824 (3775194) 3
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Agency Mortgage-Backed Securities (continued) | |||
Fannie Mae S.F. 30 yr TBA | |||
2.50% 8/15/54 = | 49,200,000 | $ 40,211,391 | |
3.00% 8/15/54 | 54,100,000 | 46,056,850 | |
3.50% 7/1/54 | 72,100,000 | 63,808,500 | |
4.00% 7/1/54 | 70,500,000 | 64,504,743 | |
4.50% 7/1/54 | 130,300,000 | 122,833,198 | |
5.00% 7/1/54 | 110,400,000 | 106,691,256 | |
5.00% 8/15/54 | 99,000,000 | 95,666,482 | |
5.50% 8/15/54 | 142,100,000 | 140,129,471 | |
6.00% 8/15/54 | 32,300,000 | 32,376,964 | |
6.50% 8/1/54 | 28,600,000 | 29,091,562 | |
Freddie Mac ARM | |||
6.00% (RFUCCT1Y + 1.625%, Cap 10.50%, Floor 1.625%) 2/1/38 • | 11,228 | 11,249 | |
7.555% (RFUCCT1Y + 2.18%, Cap 10.461%, Floor 2.18%) 5/1/37 • | 27,242 | 27,496 | |
Freddie Mac S.F. 15 yr 3.00% 3/1/35 | 5,608,480 | 5,221,976 | |
Freddie Mac S.F. 20 yr | |||
2.00% 3/1/41 | 2,966,647 | 2,505,755 | |
2.00% 5/1/42 | 954,510 | 797,811 | |
2.00% 8/1/42 | 3,421,672 | 2,862,795 | |
2.50% 6/1/41 | 5,237,259 | 4,553,389 | |
2.50% 3/1/42 | 3,540,971 | 3,052,257 | |
3.00% 4/1/42 | 1,539,079 | 1,361,200 | |
3.00% 6/1/42 | 1,941,079 | 1,716,341 | |
5.00% 11/1/42 | 2,759,923 | 2,706,601 | |
5.50% 8/1/24 | 38 | 38 | |
Freddie Mac S.F. 30 yr | |||
2.00% 3/1/52 | 2,282,178 | 1,787,967 | |
2.50% 5/1/51 | 891,146 | 741,032 | |
2.50% 10/1/51 | 6,521,261 | 5,408,012 | |
2.50% 12/1/51 | 2,830,817 | 2,350,658 | |
2.50% 5/1/52 | 3,181,073 | 2,599,421 | |
3.00% 11/1/46 | 2,011,511 | 1,759,657 | |
3.00% 1/1/47 | 1,487,114 | 1,297,650 | |
3.00% 11/1/49 | 1,997,953 | 1,724,521 | |
3.00% 1/1/50 | 509,011 | 441,207 | |
3.00% 7/1/50 | 798,521 | 692,798 | |
3.00% 12/1/50 | 151,819 | 131,621 | |
3.00% 5/1/51 | 4,854,518 | 4,223,863 | |
3.00% 8/1/51 | 207,661 | 178,438 | |
3.00% 8/1/52 | 3,754,361 | 3,233,381 | |
3.50% 8/1/48 | 15,999 | 14,451 | |
3.50% 9/1/48 | 1,503,496 | 1,354,144 | |
3.50% 11/1/48 | 3,811,735 | 3,443,474 | |
3.50% 4/1/52 | 1,824,037 | 1,622,926 |
Principal amount° | Value (US $) | ||
Agency Mortgage-Backed Securities (continued) | |||
Freddie Mac S.F. 30 yr | |||
4.00% 10/1/47 | 1,184,685 | $ 1,097,089 | |
4.00% 9/1/52 | 10,786,298 | 9,924,057 | |
4.50% 8/1/48 | 680,074 | 653,863 | |
4.50% 1/1/49 | 2,334,180 | 2,230,861 | |
4.50% 3/1/49 | 144,697 | 138,404 | |
4.50% 8/1/49 | 1,265,252 | 1,214,753 | |
4.50% 7/1/52 | 1,787,528 | 1,688,596 | |
4.50% 10/1/52 | 12,056,214 | 11,375,038 | |
5.00% 7/1/52 | 2,907,440 | 2,829,624 | |
5.00% 9/1/52 | 4,665,538 | 4,546,298 | |
5.00% 6/1/53 | 19,163,036 | 18,563,147 | |
5.50% 9/1/41 | 1,036,384 | 1,041,509 | |
5.50% 9/1/52 | 4,845,329 | 4,804,735 | |
5.50% 11/1/52 | 3,140,782 | 3,116,979 | |
5.50% 2/1/53 | 3,714,850 | 3,685,435 | |
5.50% 3/1/53 | 4,700,206 | 4,673,161 | |
5.50% 9/1/53 | 5,557,704 | 5,530,168 | |
6.00% 1/1/53 | 974,819 | 990,739 | |
6.00% 5/1/53 | 3,419,592 | 3,444,128 | |
6.50% 11/1/33 | 10,710 | 11,080 | |
6.50% 1/1/35 | 36,017 | 37,811 | |
7.00% 1/1/38 | 4,700 | 4,839 | |
GNMA I S.F. 30 yr | |||
3.00% 8/15/45 | 4,037,533 | 3,560,563 | |
3.00% 3/15/50 | 319,362 | 278,790 | |
5.50% 10/15/42 | 1,787,153 | 1,819,552 | |
GNMA II S.F. 30 yr | |||
3.00% 8/20/50 | 640,420 | 569,521 | |
3.00% 12/20/51 | 1,584,089 | 1,381,171 | |
5.00% 9/20/52 | 1,503,257 | 1,465,155 | |
5.50% 6/20/49 | 2,857,682 | 2,873,976 | |
6.00% 4/20/34 | 1,142 | 1,143 | |
GNMA II S.F. 30 yr TBA 4.00% 7/15/54 | 6,000,000 | 5,544,140 | |
Total Agency Mortgage-Backed Securities (cost $1,168,789,889) | 1,144,757,621 | ||
Collateralized Debt Obligations — 4.81% | |||
522 Funding CLO Series 2018-3A AR 144A 6.626% (TSFR03M + 1.30%, Floor 1.04%) 10/20/31 #, • | 945,558 | 946,676 | |
Adagio V CLO DAC Series V-A ARR 144A 4.626% (EUR003M + 0.72%, Floor 0.72%) 10/15/31 #, • | EUR | 1,068,156 | 1,138,925 |
4 NQ- OPTFI [0624] 0824 (3775194)
(Unaudited)
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Anchorage Capital CLO 6 Series 2015-6A AR3 144A 6.765% (TSFR03M + 1.44%, Floor 1.44%) 4/22/34 #, • | 4,000,000 | $ 4,004,712 | |
Anchorage Capital CLO 9 Series 2016-9A AR2 144A 6.73% (TSFR03M + 1.40%, Floor 1.14%) 7/15/32 #, • | 1,800,000 | 1,804,473 | |
Apex Credit CLO Series 2018-1A A2 144A 6.615% (TSFR03M + 1.29%) 4/25/31 #, • | 2,211,473 | 2,211,752 | |
Apidos CLO XXIV Series 2016-24A A1AL 144A 6.536% (TSFR03M + 1.21%, Floor 0.95%) 10/20/30 #, • | 1,250,094 | 1,252,937 | |
Aqueduct European CLO DAC Series 2017-1A AR 144A 4.537% (EUR003M + 0.64%, Floor 0.64%) 7/20/30 #, • | EUR | 791,972 | 846,889 |
Ares European CLO Series 7A A1RR 144A 4.566% (EUR003M + 0.66%, Floor 0.66%) 10/15/30 #, • | EUR | 684,527 | 730,484 |
Ares European CLO X DAC Series 10A AR 144A 4.686% (EUR003M + 0.78%, Floor 0.78%) 10/15/31 #, • | EUR | 2,286,224 | 2,444,522 |
Ares European CLO XII DAC Series 12A AR 144A 4.747% (EUR003M + 0.85%, Floor 0.85%) 4/20/32 #, • | EUR | 300,000 | 320,772 |
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Ares European CLO XIV DAC Series 14A A 144A 5.017% (EUR003M + 1.12%, Floor 1.12%) 10/21/33 #, • | EUR | 3,716,409 | $ 3,975,496 |
Ares XL CLO Series 2016-40A A1RR 144A 6.46% (TSFR03M + 1.13%, Floor 0.87%) 1/15/29 #, • | 595,433 | 595,789 | |
Ares XXXIV CLO Series 2015-2A AR3 144A 6.637% (TSFR03M + 1.32%, Floor 1.32%) 4/17/33 #, • | 2,600,000 | 2,606,802 | |
Aurium CLO IV DAC Series 4A AR 144A 4.653% (EUR003M + 0.73%, Floor 0.73%) 1/16/31 #, • | EUR | 2,989,743 | 3,196,425 |
Bain Capital Euro CLO DAC Series 2018-2A AR 144A 4.637% (EUR003M + 0.74%, Floor 0.74%) 1/20/32 #, • | EUR | 1,224,293 | 1,308,777 |
Benefit Street Partners CLO XII Series 2017-12A A1R 144A 6.54% (TSFR03M + 1.21%, Floor 0.95%) 10/15/30 #, • | 277,208 | 277,729 | |
Benefit Street Partners CLO XVII Series 2019-17A AR 144A 6.67% (TSFR03M + 1.34%, Floor 1.08%) 7/15/32 #, • | 700,000 | 700,634 | |
Black Diamond CLO DAC Series 2019-1A A1R 144A 4.808% (EUR003M + 0.98%, Floor 0.98%) 5/15/32 #, • | EUR | 263,042 | 281,179 |
NQ- OPTFI [0624] 0824 (3775194) 5
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Blackrock European CLO VII DAC Series 7A AR 144A 4.526% (EUR003M + 0.62%, Floor 0.62%) 10/15/31 #, • | EUR | 2,133,851 | $ 2,275,666 |
BlueMountain Fuji EUR CLO III DAC Series 3A A1R 144A 4.626% (EUR003M + 0.72%, Floor 0.72%) 1/15/31 #, • | EUR | 1,389,374 | 1,483,318 |
BNPP AM Euro CLO DAC | |||
Series 2018-1A AR 144A 4.506% (EUR003M + 0.60%, Floor 0.60%) 4/15/31 #, • | EUR | 249,899 | 265,845 |
Series 2019-1A AR 144A 4.717% (EUR003M + 0.82%, Floor 0.82%) 7/22/32 #, • | EUR | 1,000,000 | 1,066,725 |
Cairn CLO X DAC Series 2018-10A AR 144A 4.686% (EUR003M + 0.78%, Floor 0.78%) 10/15/31 #, • | EUR | 1,398,260 | 1,492,627 |
Carlyle Euro CLO DAC | |||
Series 2017-3A A1R 144A 4.606% (EUR003M + 0.70%, Floor 0.70%) 1/15/31 #, • | EUR | 1,652,920 | 1,765,746 |
Series 2019-2A A1R 144A 4.718% (EUR003M + 0.89%, Floor 0.89%) 8/15/32 #, • | EUR | 599,712 | 639,827 |
Carlyle Global Market Strategies CLO Series 2013-1A A1RR 144A 6.534% (TSFR03M + 1.21%, Floor 0.95%) 8/14/30 #, • | 735,872 | 736,490 | |
Carlyle Global Market Strategies Euro CLO Series 2014-2A AR1 144A 4.578% (EUR003M + 0.75%, Floor 0.75%) 11/15/31 #, • | EUR | 1,391,382 | 1,483,800 |
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
CARLYLE US CLO Series 2017-1A A1R 144A 6.586% (TSFR03M + 1.26%, Floor 1.00%) 4/20/31 #, • | 950,855 | $ 952,646 | |
CVC Cordatus Loan Fund VII DAC Series 7A ARR 144A 4.349% (EUR003M + 0.63%, Floor 0.63%) 9/15/31 #, • | EUR | 1,129,775 | 1,203,612 |
Dryden 27 R Euro CLO DAC Series 2017-27A AR 144A 4.566% (EUR003M + 0.66%, Floor 0.66%) 4/15/33 #, • | EUR | 2,168,960 | 2,312,332 |
Dryden 36 Senior Loan Fund Series 2014-36A AR3 144A 6.61% (TSFR03M + 1.28%, Floor 1.02%) 4/15/29 #, • | 1,894,877 | 1,897,162 | |
Dryden 52 Euro CLO DAC Series 2017-52A AR 144A 4.688% (EUR003M + 0.86%, Floor 0.86%) 5/15/34 #, • | EUR | 2,091,849 | 2,234,714 |
Dryden Senior Loan Fund Series 2017-54A AR 144A 6.477% (TSFR03M + 1.15%, Floor 1.15%) 10/19/29 #, • | 2,673,777 | 2,678,264 | |
Euro-Galaxy III CLO DAC Series 2013-3A ARRR 144A 4.511% (EUR003M + 0.62%, Floor 0.62%) 4/24/34 #, • | EUR | 3,991,924 | 4,250,607 |
FS Rialto Series 2022-FL4 A 144A 7.233% (SOFR + 1.90%, Floor 1.90%) 1/19/39 #, • | 3,500,000 | 3,513,391 |
6 NQ- OPTFI [0624] 0824 (3775194)
(Unaudited)
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Galaxy XXI CLO Series 2015-21A AR 144A 6.606% (TSFR03M + 1.28%) 4/20/31 #, • | 1,148,598 | $ 1,149,852 | |
GoldenTree Loan Management EUR CLO DAC Series 3A AR 144A 4.797% (EUR003M + 0.90%, Floor 0.90%) 1/20/32 #, • | EUR | 272,748 | 291,688 |
Harvest CLO XVI DAC Series 16A ARR 144A 4.546% (EUR003M + 0.64%, Floor 0.64%) 10/15/31 #, • | EUR | 1,893,953 | 2,018,855 |
Harvest CLO XXI DAC Series 21A A2R 144A 1.04% 7/15/31 # | EUR | 248,211 | 252,310 |
HGI CRE CLO Series 2022-FL3 A 144A 7.033% (SOFR + 1.70%, Floor 1.70%) 4/20/37 #, • | 2,960,940 | 2,960,916 | |
Invesco Euro CLO I DAC Series 1A A1R 144A 4.556% (EUR003M + 0.65%, Floor 0.65%) 7/15/31 #, • | EUR | 250,000 | 265,721 |
Jubilee CLO DAC | |||
Series 2014-11A ARR 144A 4.516% (EUR003M + 0.61%, Floor 0.61%) 4/15/30 #, • | EUR | 680,507 | 726,986 |
Series 2014-12A ARRR 144A 4.506% (EUR003M + 0.60%, Floor 0.60%) 4/15/30 #, • | EUR | 384,169 | 409,887 |
Series 2016-17A A1RR 144A 4.556% (EUR003M + 0.65%, Floor 0.65%) 4/15/31 #, • | EUR | 1,400,000 | 1,490,192 |
Series 2016-17A A2RR 144A 4.556% (EUR003M + 0.65%, Floor 0.65%) 4/15/31 #, • | EUR | 500,000 | 532,211 |
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
KKR CLO 18 Series 18 AR 144A 6.529% (TSFR03M + 1.20%, Floor 0.94%) 7/18/30 #, • | 266,079 | $ 266,039 | |
Laurelin DAC Series 2016-1A ARR 144A 4.617% (EUR003M + 0.72%, Floor 0.72%) 10/20/31 #, • | EUR | 1,210,307 | 1,294,761 |
LCM XV Series 15A AR2 144A 6.586% (TSFR03M + 1.26%, Floor 1.00%) 7/20/30 #, • | 1,112,105 | 1,113,083 | |
Man GLG Euro CLO III DAC Series 3A AR 144A 4.586% (EUR003M + 0.68%, Floor 0.68%) 10/15/30 #, • | EUR | 353,323 | 377,497 |
Man GLG Euro CLO V DAC Series 5A A1R 144A 4.409% (EUR003M + 0.69%, Floor 0.69%) 12/15/31 #, • | EUR | 1,670,527 | 1,783,093 |
Man GLG US CLO Series 2018-1A A1R 144A 6.726% (TSFR03M + 1.40%) 4/22/30 #, • | 2,069,779 | 2,072,362 | |
Marathon CLO Series 2021-16A A1A 144A 6.79% (TSFR03M + 1.46%, Floor 1.20%) 4/15/34 #, • | 1,250,000 | 1,251,899 | |
Marathon Static CLO Series 2022-18A A1R2 144A 6.475% (SOFR + 1.15%, Floor 1.15%) 7/20/30 #, • | 2,301,433 | 2,300,750 | |
MF1 Series 2024-FL14 A 144A 7.076% (TSFR01M + 1.74%, Floor 1.74%) 3/19/39 #, • | 900,000 | 899,697 |
NQ- OPTFI [0624] 0824 (3775194) 7
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Oak Hill European Credit Partners IV DAC Series 2015-4A A1RE 144A 4.627% (EUR003M + 0.73%, Floor 0.73%) 1/20/32 #, • | EUR | 205,524 | $ 219,588 |
OCP Euro CLO DAC Series 2020-4A AR 144A 4.777% (EUR003M + 0.88%, Floor 0.88%) 9/22/34 #, • | EUR | 1,900,000 | 2,027,754 |
OZLM IX Series 2014-9A A1A4 144A 6.525% (TSFR03M + 1.20%, Floor 1.20%) 10/20/31 #, • | 842,905 | 844,250 | |
OZLM XXIV Series 2019-24A A1AR 144A 6.746% (TSFR03M + 1.42%, Floor 1.42%) 7/20/32 #, • | 2,100,000 | 2,101,936 | |
Palmer Square European Loan Funding DAC Series 2021-1A A 144A 4.686% (EUR003M + 0.78%, Floor 0.78%) 4/15/31 #, • | EUR | 1,231,020 | 1,315,995 |
Palmer Square Loan Funding | |||
Series 2021-3A A1 144A 6.386% (TSFR03M + 1.06%, Floor 1.06%) 7/20/29 #, • | 237,071 | 237,167 | |
Series 2021-4A A1 144A 6.39% (TSFR03M + 1.06%, Floor 1.06%) 10/15/29 #, • | 1,155,939 | 1,156,666 | |
Sculptor European CLO V DAC Series 5A AR 144A 4.696% (EUR003M + 0.79%, Floor 0.79%) 1/14/32 #, • | EUR | 3,246,421 | 3,465,796 |
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Segovia European CLO DAC Series 2019-6A AR 144A 4.777% (EUR003M + 0.88%, Floor 0.88%) 7/20/32 #, • | EUR | 1,597,564 | $ 1,708,239 |
Signal Peak CLO 5 Series 2018-5A A1R 144A 6.876% (TSFR03M + 1.55%, Floor 1.55%) 4/25/37 #, • | 1,800,000 | 1,804,095 | |
Sound Point CLO IX Series 2015-2A ARRR 144A 6.796% (TSFR03M + 1.47%, Floor 1.21%) 7/20/32 #, • | 2,600,000 | 2,603,375 | |
Sound Point CLO XVI Series 2017-2A AR 144A 6.565% (TSFR03M + 1.24%) 7/25/30 #, • | 1,431,525 | 1,433,087 | |
Symphony CLO XXIV Series 2020-24A AR 144A 6.526% (TSFR03M + 1.20%, Floor 1.20%) 1/23/32 #, • | 1,707,777 | 1,709,276 | |
Symphony Static CLO I Series 2021-1A A 144A 6.415% (TSFR03M + 1.09%, Floor 0.83%) 10/25/29 #, • | 286,552 | 286,788 | |
TCI-Symphony CLO Series 2017-1A AR 144A 6.52% (TSFR03M + 1.19%, Floor 0.93%) 7/15/30 #, • | 745,183 | 746,168 | |
THL Credit Wind River CLO Series 2019-3A AR 144A 6.67% (TSFR03M + 1.34%, Floor 1.08%) 7/15/31 #, • | 3,100,000 | 3,103,673 | |
Tikehau CLO DAC Series 2015-1A ARR 144A 4.723% (EUR003M + 0.87%, Floor 0.87%) 8/4/34 #, • | EUR | 1,732,663 | 1,853,213 |
8 NQ- OPTFI [0624] 0824 (3775194)
(Unaudited)
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Toro European CLO 6 DAC Series 6A AR 144A 4.832% (EUR003M + 0.92%, Floor 0.92%) 1/12/32 #, • | EUR | 300,000 | $ 320,776 |
Toro European CLO 7 DAC Series 7A ARE 144A 4.638% (EUR003M + 0.81%, Floor 0.81%) 2/15/34 #, • | EUR | 1,900,000 | 2,026,896 |
Venture 32 CLO Series 2018-32A A1 144A 6.689% (TSFR03M + 1.36%, Floor 1.10%) 7/18/31 #, • | 468,522 | 468,394 | |
Venture 34 CLO Series 2018-34A AR 144A 6.57% (TSFR03M + 1.28%, Floor 1.28%) 10/15/31 #, • | 2,500,000 | 2,500,000 | |
Venture 38 CLO Series 2019-38A A1R 144A 6.751% (TSFR03M + 1.42%, Floor 1.16%) 7/30/32 #, • | 2,900,000 | 2,905,849 | |
Venture 42 CLO Series 2021-42A A1A 144A 6.72% (TSFR03M + 1.39%, Floor 1.13%) 4/15/34 #, • | 1,300,000 | 1,299,669 | |
Venture CLO Series 2018-34A A 144A 6.82% (TSFR03M + 1.49%, Floor 1.23%) 10/15/31 #, • | 2,449,677 | 2,451,212 | |
Venture XVII CLO Series 2014-17A ARR 144A 6.47% (TSFR03M + 1.14%) 4/15/27 #, • | 1,212 | 1,211 | |
Venture XXIV CLO Series 2016-24A ARR 144A 6.486% (TSFR03M + 1.16%, Floor 0.90%) 10/20/28 #, • | 105,468 | 105,455 |
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Venture XXIX CLO Series 2017-29A AR 144A 6.574% (TSFR03M + 1.25%, Floor 0.99%) 9/7/30 #, • | 2,435,999 | $ 2,437,930 | |
Venture XXVI CLO Series 2017-26A AR 144A 6.686% (TSFR03M + 1.36%, Floor 1.10%) 1/20/29 #, • | 960,785 | 960,967 | |
Vibrant CLO IV Series 2016-4A A1RR 144A 6.706% (TSFR03M + 1.38%, Floor 1.12%) 7/20/32 #, • | 1,300,000 | 1,301,135 | |
Vibrant CLO VII Series 2017-7A A1R 144A 6.626% (TSFR03M + 1.30%, Floor 1.04%) 9/15/30 #, • | 1,397,279 | 1,397,537 | |
Vibrant CLO XI Series 2019-11A A1R1 144A 6.706% (TSFR03M + 1.38%, Floor 1.12%) 7/20/32 #, • | 1,500,000 | 1,501,556 | |
Voya Series 2012-4A A1R3 144A 6.59% (TSFR03M + 1.26%) 10/15/30 #, • | 791,578 | 792,455 | |
Voya CLO Series 2014-4A A1RA 144A 6.69% (TSFR03M + 1.36%) 7/14/31 #, • | 597,656 | 598,960 | |
Total Collateralized Debt Obligations (cost $134,622,793) | 128,042,612 | ||
Corporate Bonds — 31.56% | |||
Banking — 11.29% | |||
ABN AMRO Bank 144A 2.47% 12/13/29 #, μ | 4,000,000 | 3,520,481 | |
Access Bank 144A 6.125% 9/21/26 # | 300,000 | 285,645 | |
Akbank TAS 6.80% 6/22/31 μ, ■ | 200,000 | 195,564 | |
Banco de Credito del Peru 144A 5.85% 1/11/29 # | 330,000 | 334,237 |
NQ- OPTFI [0624] 0824 (3775194) 9
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Banco de Credito e Inversiones 144A 8.75% 2/8/29 #, μ, ψ | 350,000 | $ 366,879 | |
Banco GNB Sudameris 144A 7.50% 4/16/31 #, μ | 370,000 | 329,438 | |
Banco Industrial 144A 4.875% 1/29/31 #, μ | 170,000 | 164,575 | |
Banco Internacional del Peru 144A 7.625% 1/16/34 #, μ | 295,000 | 311,668 | |
Banco Mercantil del Norte 144A 8.375% 10/14/30 #, μ, ψ | 200,000 | 202,073 | |
Banco Nacional de Panama 144A 2.50% 8/11/30 # | 200,000 | 154,477 | |
Banco Santander | |||
3.496% 3/24/25 | 1,000,000 | 985,373 | |
4.175% 3/24/28 μ | 1,200,000 | 1,157,054 | |
4.875% 10/18/31 ■ | EUR | 800,000 | 905,780 |
5.588% 8/8/28 | 1,000,000 | 1,009,605 | |
Banco Santander Mexico 144A 7.525% 10/1/28 #, μ | 215,000 | 223,665 | |
Bangkok Bank 144A 5.00% 9/23/25 #, μ, ψ | 280,000 | 273,241 | |
Bank Leumi Le-Israel 144A 7.129% 7/18/33 #, μ | 265,000 | 258,666 | |
Bank of America | |||
2.482% 9/21/36 μ | 5,625,000 | 4,488,860 | |
3.384% 4/2/26 μ | 500,000 | 491,133 | |
3.974% 2/7/30 μ | 6,900,000 | 6,536,228 | |
4.30% 1/28/25 μ, ψ | 900,000 | 885,731 | |
5.202% 4/25/29 μ | 700,000 | 699,063 | |
5.288% 4/25/34 μ | 5,000,000 | 4,950,484 | |
5.468% 1/23/35 μ | 1,180,000 | 1,179,241 | |
5.819% 9/15/29 μ | 2,639,000 | 2,694,744 | |
6.204% 11/10/28 μ | 3,670,000 | 3,780,715 | |
Bank of Montreal 7.70% 5/26/84 μ | 1,570,000 | 1,607,507 | |
Bank of New York Mellon 4.70% 9/20/25 μ, ψ | 3,385,000 | 3,333,769 | |
Barclays | |||
3.33% 11/24/42 μ | 1,300,000 | 934,109 | |
4.972% 5/16/29 μ | 3,000,000 | 2,937,325 | |
5.501% 8/9/28 μ | 1,600,000 | 1,597,533 | |
6.224% 5/9/34 μ | 812,000 | 832,513 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Barclays | |||
6.375% 12/15/25 μ, ψ, ■ | GBP | 500,000 | $ 615,972 |
7.125% 6/15/25 μ, ψ | GBP | 1,800,000 | 2,258,474 |
7.385% 11/2/28 μ | 1,989,000 | 2,096,469 | |
7.437% 11/2/33 μ | 3,000,000 | 3,301,190 | |
BBVA Bancomer | |||
144A 5.875% 9/13/34 #, μ | 200,000 | 185,563 | |
144A 8.125% 1/8/39 #, μ | 230,000 | 233,068 | |
BNP Paribas | |||
144A 1.904% 9/30/28 #, μ | 1,800,000 | 1,608,357 | |
144A 2.159% 9/15/29 #, μ | 600,000 | 523,867 | |
144A 2.871% 4/19/32 #, μ | 300,000 | 251,608 | |
144A 3.052% 1/13/31 #, μ | 2,600,000 | 2,278,355 | |
144A 7.375% 8/19/25 #, μ, ψ | 700,000 | 700,004 | |
7.375% 8/19/25 μ, ψ, ■ | 500,000 | 500,003 | |
BPCE | |||
144A 5.748% 7/19/33 #, μ | 5,000,000 | 4,956,069 | |
144A 6.612% 10/19/27 #, μ | 3,350,000 | 3,402,997 | |
Citibank 5.488% 12/4/26 | 2,545,000 | 2,559,817 | |
Citigroup | |||
3.20% 10/21/26 | 1,000,000 | 953,871 | |
4.075% 4/23/29 μ | 2,400,000 | 2,301,453 | |
5.174% 2/13/30 μ | 1,900,000 | 1,889,316 | |
5.61% 9/29/26 μ | 897,000 | 896,759 | |
Citizens Bank 6.064% 10/24/25 μ | 2,130,000 | 2,129,018 | |
Cooperatieve Rabobank | |||
3.75% 7/21/26 | 1,350,000 | 1,299,953 | |
4.375% 8/4/25 | 2,000,000 | 1,969,220 | |
144A 5.447% 3/5/30 #, μ | 3,300,000 | 3,301,427 | |
Credit Agricole 144A 6.316% 10/3/29 #, μ | 2,645,000 | 2,717,619 | |
Credit Suisse Group | |||
144A 6.25% #, ψ | 2,000,000 | 240,000 | |
144A 6.375% #, ψ | 1,900,000 | 228,000 | |
144A 6.442% 8/11/28 #, μ | 1,750,000 | 1,794,908 |
10 NQ- OPTFI [0624] 0824 (3775194)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Credit Suisse Group | |||
7.50% ψ, ■ | 400,000 | $ 48,000 | |
Danske Bank 144A 5.705% 3/1/30 #, μ | 3,400,000 | 3,410,831 | |
Deutsche Bank | |||
2.129% 11/24/26 μ | 700,000 | 664,524 | |
3.547% 9/18/31 μ | 1,500,000 | 1,321,105 | |
3.729% 1/14/32 μ | 2,331,000 | 1,966,283 | |
3.961% 11/26/25 μ | 5,700,000 | 5,652,072 | |
6.119% 7/14/26 μ | 3,000,000 | 3,003,368 | |
6.72% 1/18/29 μ | 2,030,000 | 2,095,712 | |
6.819% 11/20/29 μ | 1,559,000 | 1,621,875 | |
7.146% 7/13/27 μ | 1,130,000 | 1,157,741 | |
Fifth Third Bancorp | |||
2.55% 5/5/27 | 1,000 | 927 | |
3.95% 3/14/28 | 4,000 | 3,819 | |
Fifth Third Bank 5.852% 10/27/25 μ | 1,575,000 | 1,573,760 | |
Goldman Sachs Bank USA 5.283% 3/18/27 μ | 2,030,000 | 2,024,060 | |
Goldman Sachs Group | |||
1.431% 3/9/27 μ | 2,000,000 | 1,866,936 | |
3.615% 3/15/28 μ | 3,400,000 | 3,251,766 | |
4.223% 5/1/29 μ | 6,100,000 | 5,873,472 | |
6.484% 10/24/29 μ | 5,195,000 | 5,424,829 | |
HSBC Holdings | |||
2.013% 9/22/28 μ | 3,800,000 | 3,413,755 | |
2.848% 6/4/31 μ | 2,700,000 | 2,334,814 | |
2.871% 11/22/32 μ | 2,000,000 | 1,663,957 | |
4.70% 3/9/31 μ, ψ | 500,000 | 427,430 | |
5.21% 8/11/28 μ | 500,000 | 496,865 | |
5.546% 3/4/30 μ | 1,800,000 | 1,803,822 | |
5.875% 9/28/26 μ, ψ | GBP | 500,000 | 611,508 |
6.254% 3/9/34 μ | 1,100,000 | 1,145,969 | |
Huntington Bancshares 6.208% 8/21/29 μ | 1,770,000 | 1,807,637 | |
ICICI Bank 144A 4.00% 3/18/26 # | 200,000 | 195,471 | |
ING Groep | |||
3.875% 5/16/27 μ, ψ | 3,000,000 | 2,549,070 | |
5.55% 3/19/35 μ | 4,000,000 | 3,950,953 | |
6.083% 9/11/27 μ | 840,000 | 849,699 | |
Intesa Sanpaolo | |||
144A 4.00% 9/23/29 # | 1,300,000 | 1,199,677 | |
144A 6.625% 6/20/33 # | 2,600,000 | 2,682,340 | |
144A 7.20% 11/28/33 # | 800,000 | 855,946 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Intesa Sanpaolo | |||
7.75% 1/11/27 μ, ψ, ■ | EUR | 200,000 | $ 220,120 |
JPMorgan Chase & Co. | |||
2.522% 4/22/31 μ | 5,500,000 | 4,755,549 | |
2.595% 2/24/26 μ | 1,500,000 | 1,470,390 | |
2.947% 2/24/28 μ | 1,100,000 | 1,036,317 | |
2.963% 1/25/33 μ | 500,000 | 426,482 | |
4.005% 4/23/29 μ | 900,000 | 860,781 | |
4.452% 12/5/29 μ | 1,500,000 | 1,456,577 | |
4.851% 7/25/28 μ | 1,400,000 | 1,385,995 | |
5.00% 11/1/24 μ, ψ | 400,000 | 399,106 | |
5.012% 1/23/30 μ | 1,290,000 | 1,280,364 | |
6.254% 10/23/34 μ | 910,000 | 965,656 | |
JPMorgan Chase Bank 5.11% 12/8/26 | 4,000,000 | 4,000,070 | |
KeyBank | |||
4.15% 8/8/25 | 890,000 | 872,998 | |
5.85% 11/15/27 | 995,000 | 992,047 | |
Lloyds Banking Group | |||
2.438% 2/5/26 μ | 300,000 | 293,988 | |
3.50% 4/1/26 μ, ■ | EUR | 200,000 | 213,690 |
3.75% 3/18/28 μ | 1,400,000 | 1,339,320 | |
5.462% 1/5/28 μ | 3,600,000 | 3,593,634 | |
Mitsubishi UFJ Financial Group | |||
2.193% 2/25/25 | 1,700,000 | 1,663,201 | |
2.559% 2/25/30 | 1,800,000 | 1,570,856 | |
Mizuho Financial Group | |||
2.226% 5/25/26 μ | 1,600,000 | 1,550,800 | |
2.564% 9/13/31 | 1,400,000 | 1,139,694 | |
2.591% 5/25/31 μ | 2,000,000 | 1,708,769 | |
3.261% 5/22/30 μ | 3,100,000 | 2,822,762 | |
Morgan Stanley | |||
0.495% 10/26/29 μ | EUR | 2,000,000 | 1,873,116 |
2.484% 9/16/36 μ | 4,730,000 | 3,743,848 | |
3.625% 1/20/27 | 4,000,000 | 3,857,560 | |
3.79% 3/21/30 μ | EUR | 4,400,000 | 4,718,070 |
4.21% 4/20/28 μ | 1,400,000 | 1,360,750 | |
5.123% 2/1/29 μ | 4,100,000 | 4,084,940 | |
6.138% 10/16/26 μ | 865,000 | 870,952 | |
6.296% 10/18/28 μ | 1,717,000 | 1,772,132 | |
6.407% 11/1/29 μ | 1,688,000 | 1,761,640 | |
6.627% 11/1/34 μ | 1,625,000 | 1,755,707 | |
Nationwide Building Society | |||
144A 2.972% 2/16/28 #, μ | 800,000 | 750,138 | |
144A 4.302% 3/8/29 #, μ | 5,200,000 | 4,980,132 |
NQ- OPTFI [0624] 0824 (3775194) 11
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
NatWest Group | |||
4.80% 4/5/26 | 5,000,000 | $ 4,941,000 | |
5.125% 5/12/27 μ, ψ | GBP | 500,000 | 587,807 |
5.778% 3/1/35 μ | 3,800,000 | 3,814,224 | |
NBK SPC 144A 1.625% 9/15/27 #, μ | 500,000 | 460,313 | |
Nykredit Realkredit 2.00% 10/1/53 ■ | DKK | 1 | 0 |
Oversea-Chinese Banking 144A 1.832% 9/10/30 #, μ | 225,000 | 215,198 | |
PNC Bank 4.05% 7/26/28 | 2,400,000 | 2,282,425 | |
PNC Financial Services Group | |||
5.676% 1/22/35 μ | 1,090,000 | 1,096,281 | |
6.875% 10/20/34 μ | 1,645,000 | 1,793,659 | |
Popular 7.25% 3/13/28 | 855,000 | 878,782 | |
Rizal Commercial Banking 6.50% 8/27/25 μ, ψ, ■ | 305,000 | 301,162 | |
Santander UK Group Holdings | |||
3.823% 11/3/28 μ | 3,200,000 | 3,025,339 | |
6.534% 1/10/29 μ | 3,350,000 | 3,443,504 | |
Shinhan Financial Group 144A 5.00% 7/24/28 # | 200,000 | 198,164 | |
Standard Chartered 144A 6.301% 1/9/29 #, μ | 385,000 | 393,137 | |
Sumitomo Mitsui Financial Group | |||
1.474% 7/8/25 | 2,600,000 | 2,496,740 | |
2.222% 9/17/31 | 2,300,000 | 1,871,800 | |
Sumitomo Mitsui Trust Bank 144A 5.20% 3/7/27 # | 2,700,000 | 2,700,976 | |
SVB Financial Group | |||
1.80% 2/2/31 ‡ | 775,000 | 473,645 | |
4.00% 5/15/26 ‡, ψ | 2,110,000 | 21,100 | |
4.57% 4/29/33 ‡ | 2,164,000 | 1,301,841 | |
Toronto-Dominion Bank 4.108% 6/8/27 | 786,000 | 763,047 | |
Truist Bank 2.636% 9/17/29 μ | 5,182,000 | 5,071,080 | |
Truist Financial 4.95% 9/1/25 μ, ψ | 1,465,000 | 1,438,668 | |
Turkiye Garanti Bankasi | |||
144A 7.177% 5/24/27 #, μ | 205,000 | 202,970 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Turkiye Garanti Bankasi | |||
144A 8.375% 2/28/34 #, μ | 320,000 | $ 319,590 | |
UBS Group | |||
0.25% 11/5/28 μ, ■ | EUR | 1,000,000 | 956,889 |
144A 3.126% 8/13/30 #, μ | 2,000,000 | 1,795,330 | |
144A 4.194% 4/1/31 #, μ | 2,500,000 | 2,334,659 | |
144A 5.699% 2/8/35 #, μ | 4,525,000 | 4,522,222 | |
UniCredit 7.50% 6/3/26 μ, ψ, ■ | EUR | 600,000 | 658,233 |
US Bancorp | |||
2.491% 11/3/36 μ | 3,400,000 | 2,677,927 | |
4.653% 2/1/29 μ | 1,136,000 | 1,111,928 | |
5.384% 1/23/30 μ | 495,000 | 496,425 | |
5.678% 1/23/35 μ | 1,115,000 | 1,119,714 | |
5.727% 10/21/26 μ | 194,000 | 194,396 | |
6.787% 10/26/27 μ | 720,000 | 741,519 | |
Wells Fargo & Co. | |||
3.196% 6/17/27 μ | 900,000 | 861,921 | |
3.584% 5/22/28 μ | 5,300,000 | 5,049,253 | |
3.90% 3/15/26 μ, ψ | 1,000,000 | 957,551 | |
5.198% 1/23/30 μ | 2,200,000 | 2,191,202 | |
5.389% 4/24/34 μ | 5,000,000 | 4,944,824 | |
Wells Fargo Bank 5.254% 12/11/26 | 2,100,000 | 2,102,559 | |
Yapi ve Kredi Bankasi 144A 9.25% 1/17/34 #, μ | 310,000 | 318,130 | |
300,446,011 | |||
Basic Industry — 0.54% | |||
Anglo American Capital 144A 5.50% 5/2/33 # | 295,000 | 288,940 | |
CSN Resources 144A 8.875% 12/5/30 # | 310,000 | 308,197 | |
First Quantum Minerals 144A 9.375% 3/1/29 # | 275,000 | 287,684 | |
FMG Resources August 2006 144A 6.125% 4/15/32 # | 4,985,000 | 4,932,756 | |
Freeport-McMoRan 5.45% 3/15/43 | 1,050,000 | 998,082 | |
INEOS Styrolution Group 2.25% 1/16/27 ■ | EUR | 300,000 | 302,010 |
12 NQ- OPTFI [0624] 0824 (3775194)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Basic Industry (continued) | |||
LYB International Finance III | |||
3.625% 4/1/51 | 1,275,000 | $ 877,687 | |
5.50% 3/1/34 | 2,255,000 | 2,232,100 | |
Novelis 144A 4.75% 1/30/30 # | 570,000 | 529,345 | |
Samarco Mineracao PIK, 144A 9.00% 6/30/31 #, >> | 231,307 | 215,220 | |
Sasol Financing USA 144A 8.75% 5/3/29 # | 340,000 | 346,112 | |
Sherwin-Williams 3.30% 5/15/50 | 3,495,000 | 2,383,199 | |
Sociedad Quimica y Minera de Chile 144A 6.50% 11/7/33 # | 300,000 | 313,664 | |
Vale Overseas 6.125% 6/12/33 | 315,000 | 317,622 | |
14,332,618 | |||
Basic Materials — 0.03% | |||
Antofagasta 144A 6.25% 5/2/34 # | 310,000 | 321,260 | |
OCP 144A 7.50% 5/2/54 # | 415,000 | 423,849 | |
745,109 | |||
Brokerage — 0.20% | |||
Jefferies Financial Group | |||
2.625% 10/15/31 | 2,925,000 | 2,361,843 | |
5.875% 7/21/28 | 1,761,000 | 1,779,311 | |
6.45% 6/8/27 | 331,000 | 339,008 | |
6.50% 1/20/43 | 880,000 | 923,167 | |
5,403,329 | |||
Capital Goods — 0.65% | |||
Aeropuerto Internacional de Tocumen 144A 5.125% 8/11/61 # | 200,000 | 147,644 | |
Aeropuertos Argentina 2000 144A 8.50% 8/1/31 # | 265,724 | 272,292 | |
Ardagh Metal Packaging Finance USA 144A 3.25% 9/1/28 # | 3,140,000 | 2,762,381 | |
Boeing 2.196% 2/4/26 | 2,930,000 | 2,755,210 | |
Cellnex Finance 144A 3.875% 7/7/41 # | 4,299,000 | 3,398,838 | |
Foxconn Far East 2.50% 10/28/30 ■ | 270,000 | 231,809 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Capital Goods (continued) | |||
IHS Holding | |||
144A 5.625% 11/29/26 # | 240,000 | $ 227,984 | |
5.625% 11/29/26 ■ | 200,000 | 189,986 | |
Northrop Grumman 5.20% 6/1/54 | 2,825,000 | 2,647,345 | |
Rolls-Royce 144A 5.75% 10/15/27 # | 1,000,000 | 1,005,486 | |
SAN Miguel Industrias 144A 3.50% 8/2/28 # | 200,000 | 176,082 | |
Standard Industries 144A 3.375% 1/15/31 # | 1,073,000 | 905,204 | |
Summit Digitel Infrastructure 144A 2.875% 8/12/31 # | 335,000 | 277,908 | |
TAV Havalimanlari Holding 144A 8.50% 12/7/28 # | 615,000 | 630,221 | |
Teledyne Technologies 2.75% 4/1/31 | 1,730,000 | 1,481,561 | |
UltraTech Cement 144A 2.80% 2/16/31 # | 220,000 | 186,191 | |
17,296,142 | |||
Communications — 2.14% | |||
Alibaba Group Holding 2.70% 2/9/41 | 265,000 | 178,209 | |
Altice France 2.125% 2/15/25 ■ | EUR | 780,000 | 769,558 |
America Movil 4.70% 7/21/32 | 320,000 | 308,326 | |
AT&T | |||
2.55% 12/1/33 | 2,673,000 | 2,126,285 | |
3.50% 6/1/41 | 1,345,000 | 1,028,223 | |
3.50% 9/15/53 | 3,925,000 | 2,666,517 | |
CCO Holdings 144A 4.25% 1/15/34 # | 3,895,000 | 2,959,723 | |
Charter Communications Operating | |||
2.80% 4/1/31 | 4,000,000 | 3,271,012 | |
3.85% 4/1/61 | 4,755,000 | 2,779,470 | |
4.40% 12/1/61 | 4,252,000 | 2,776,646 | |
5.05% 3/30/29 | 3,800,000 | 3,656,001 | |
Comcast | |||
2.80% 1/15/51 | 475,000 | 293,672 | |
4.55% 1/15/29 | 3,640,000 | 3,583,730 | |
Connect Finco 144A 6.75% 10/1/26 # | 1,935,000 | 1,869,231 | |
CSC Holdings 144A 4.625% 12/1/30 # | 610,000 | 222,737 |
NQ- OPTFI [0624] 0824 (3775194) 13
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Communications (continued) | |||
CT Trust 144A 5.125% 2/3/32 # | 285,000 | $ 251,315 | |
Directv Financing 144A 5.875% 8/15/27 # | 1,460,000 | 1,374,475 | |
Frontier Communications Holdings | |||
144A 5.00% 5/1/28 # | 1,480,000 | 1,395,817 | |
144A 5.875% 10/15/27 # | 795,000 | 776,941 | |
Millicom International Cellular 144A 7.375% 4/2/32 # | 286,000 | 285,374 | |
Prosus 144A 4.193% 1/19/32 # | 395,000 | 348,612 | |
Rogers Communications | |||
5.00% 2/15/29 | 1,865,000 | 1,842,388 | |
5.30% 2/15/34 | 2,075,000 | 2,036,861 | |
Silknet JSC 144A 8.375% 1/31/27 # | 250,000 | 249,687 | |
Sprint 7.625% 3/1/26 | 200,000 | 205,688 | |
Sprint Capital 6.875% 11/15/28 | 3,275,000 | 3,474,192 | |
Sprint Spectrum 144A 4.738% 9/20/29 # | 274,688 | 273,012 | |
Tencent Holdings | |||
144A 2.88% 4/22/31 # | 200,000 | 173,970 | |
144A 3.68% 4/22/41 # | 200,000 | 155,722 | |
Time Warner Cable 7.30% 7/1/38 | 2,120,000 | 2,147,016 | |
T-Mobile USA | |||
1.50% 2/15/26 | 2,100,000 | 1,972,342 | |
3.00% 2/15/41 | 3,445,000 | 2,466,534 | |
3.30% 2/15/51 | 1,500,000 | 1,013,527 | |
3.75% 4/15/27 | 2,150,000 | 2,066,928 | |
3.875% 4/15/30 | 1,400,000 | 1,309,090 | |
5.75% 1/15/34 | 755,000 | 776,471 | |
Verizon Communications | |||
2.10% 3/22/28 | 1,100,000 | 989,502 | |
2.55% 3/21/31 | 537,000 | 456,377 | |
2.875% 11/20/50 | 1,100,000 | 692,562 | |
5.50% 2/23/54 | 760,000 | 744,516 | |
Vmed O2 UK Financing I 144A 4.25% 1/31/31 # | 1,290,000 | 1,072,548 | |
57,040,807 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Cyclical — 1.55% | |||
Alsea 144A 7.75% 12/14/26 # | 200,000 | $ 201,883 | |
Carnival | |||
144A 4.00% 8/1/28 # | 500,000 | 469,871 | |
144A 7.625% 3/1/26 # | 1,063,000 | 1,074,257 | |
CK Hutchison International 23 | |||
144A 4.75% 4/21/28 # | 200,000 | 197,530 | |
144A 4.875% 4/21/33 # | 350,000 | 337,929 | |
Ford Motor Credit | |||
1.744% 7/19/24 | EUR | 300,000 | 320,936 |
2.33% 11/25/25 | EUR | 200,000 | 209,515 |
2.386% 2/17/26 | EUR | 500,000 | 522,973 |
2.70% 8/10/26 | 700,000 | 657,689 | |
2.90% 2/16/28 | 525,000 | 475,063 | |
2.90% 2/10/29 | 300,000 | 264,638 | |
3.25% 9/15/25 | EUR | 1,000,000 | 1,062,377 |
4.535% 3/6/25 | GBP | 1,100,000 | 1,380,029 |
4.542% 8/1/26 | 1,034,000 | 1,006,728 | |
5.125% 6/16/25 | 600,000 | 595,659 | |
5.80% 3/5/27 | 6,190,000 | 6,192,635 | |
5.80% 3/8/29 | 1,080,000 | 1,076,713 | |
6.125% 3/8/34 | 850,000 | 841,333 | |
6.798% 11/7/28 | 535,000 | 553,007 | |
Future Retail 144A 5.60% 1/22/25 #, ‡ | 565,000 | 3,955 | |
General Motors | |||
5.40% 4/1/48 | 1,300,000 | 1,164,131 | |
5.95% 4/1/49 | 433,000 | 420,545 | |
General Motors Financial | |||
5.60% 6/18/31 | 590,000 | 585,790 | |
5.75% 2/8/31 | 4,100,000 | 4,112,359 | |
5.95% 4/4/34 | 585,000 | 585,729 | |
Hilton Domestic Operating | |||
144A 3.625% 2/15/32 # | 700,000 | 606,355 | |
144A 4.00% 5/1/31 # | 700,000 | 627,232 | |
Hilton Grand Vacations Borrower Escrow 144A 5.00% 6/1/29 # | 900,000 | 839,884 | |
Home Depot | |||
4.85% 6/25/31 | 460,000 | 456,523 | |
4.875% 6/25/27 | 535,000 | 534,061 | |
4.95% 6/25/34 | 1,375,000 | 1,361,198 | |
Hyatt Hotels 1.80% 10/1/24 | 300,000 | 296,853 |
14 NQ- OPTFI [0624] 0824 (3775194)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Cyclical (continued) | |||
Hyundai Capital America | |||
144A 5.275% 6/24/27 # | 775,000 | $ 771,833 | |
144A 5.40% 6/24/31 # | 835,000 | 828,267 | |
Marriott International 3.50% 10/15/32 | 900,000 | 779,644 | |
Melco Resorts Finance | |||
144A 5.375% 12/4/29 # | 200,000 | 179,604 | |
5.75% 7/21/28 ■ | 200,000 | 187,544 | |
144A 7.625% 4/17/32 # | 315,000 | 312,845 | |
MGM China Holdings | |||
144A 4.75% 2/1/27 # | 495,000 | 471,926 | |
144A 5.25% 6/18/25 # | 400,000 | 395,556 | |
Nissan Motor | |||
144A 4.345% 9/17/27 # | 1,400,000 | 1,337,249 | |
144A 4.81% 9/17/30 # | 600,000 | 557,644 | |
Nissan Motor Acceptance 144A 2.45% 9/15/28 # | 300,000 | 260,449 | |
Royal Caribbean Cruises 144A 5.50% 4/1/28 # | 640,000 | 632,271 | |
Sands China | |||
2.30% 3/8/27 | 200,000 | 182,334 | |
2.85% 3/8/29 | 400,000 | 352,320 | |
3.25% 8/8/31 | 425,000 | 358,354 | |
4.375% 6/18/30 | 300,000 | 276,583 | |
5.40% 8/8/28 | 1,800,000 | 1,763,557 | |
Studio City Finance 144A 5.00% 1/15/29 # | 475,000 | 418,467 | |
Warnermedia Holdings | |||
3.638% 3/15/25 | 400,000 | 393,873 | |
3.755% 3/15/27 | 400,000 | 379,863 | |
5.05% 3/15/42 | 800,000 | 651,080 | |
5.141% 3/15/52 | 500,000 | 389,557 | |
Wynn Macau | |||
5.50% 1/15/26 ■ | 200,000 | 195,943 | |
5.50% 10/1/27 ■ | 200,000 | 190,737 | |
41,302,880 | |||
Consumer Non-Cyclical — 2.36% | |||
AbbVie | |||
4.05% 11/21/39 | 3,193,000 | 2,774,957 | |
4.95% 3/15/31 | 6,230,000 | 6,215,866 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Non-Cyclical (continued) | |||
AbbVie | |||
5.35% 3/15/44 | 735,000 | $ 727,074 | |
Adani Ports & Special Economic Zone 144A 4.375% 7/3/29 # | 235,000 | 210,585 | |
Amgen 2.20% 2/21/27 | 3,300,000 | 3,061,973 | |
Astrazeneca Finance 1.75% 5/28/28 | 4,600,000 | 4,081,562 | |
Bacardi 144A 4.45% 5/15/25 # | 500,000 | 494,111 | |
Bayer US Finance | |||
144A 6.125% 11/21/26 # | 800,000 | 808,752 | |
144A 6.25% 1/21/29 # | 200,000 | 204,279 | |
144A 6.375% 11/21/30 # | 600,000 | 615,094 | |
144A 6.50% 11/21/33 # | 400,000 | 409,353 | |
Bayer US Finance II 144A 4.375% 12/15/28 # | 200,000 | 190,012 | |
Becton Dickinson Euro Finance 1.336% 8/13/41 | EUR | 700,000 | 495,716 |
Bidvest Group UK 144A 3.625% 9/23/26 # | 215,000 | 200,842 | |
Bimbo Bakeries USA 144A 6.40% 1/15/34 # | 310,000 | 328,064 | |
Campbell Soup 5.20% 3/19/27 | 5,395,000 | 5,404,996 | |
Cardinal Health 5.125% 2/15/29 | 3,365,000 | 3,357,767 | |
Cencosud 144A 5.95% 5/28/31 # | 360,000 | 361,793 | |
Central American Bottling 144A 5.25% 4/27/29 # | 221,000 | 205,763 | |
Coty 144A 5.00% 4/15/26 # | 1,500,000 | 1,481,371 | |
CVS Pass Through Trust 144A 5.773% 1/10/33 #, ♦ | 54,211 | 53,748 | |
DaVita | |||
144A 3.75% 2/15/31 # | 580,000 | 495,305 | |
144A 4.625% 6/1/30 # | 550,000 | 497,458 | |
Elevance Health | |||
5.15% 6/15/29 | 1,225,000 | 1,228,566 |
NQ- OPTFI [0624] 0824 (3775194) 15
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Non-Cyclical (continued) | |||
Elevance Health | |||
5.375% 6/15/34 | 780,000 | $ 783,999 | |
Global Payments 3.20% 8/15/29 | 2,150,000 | 1,932,469 | |
Haleon UK Capital 3.125% 3/24/25 | 500,000 | 491,011 | |
Haleon US Capital 3.375% 3/24/29 | 500,000 | 464,422 | |
HCA | |||
3.50% 9/1/30 | 4,500,000 | 4,060,385 | |
3.50% 7/15/51 | 3,592,000 | 2,403,164 | |
4.125% 6/15/29 | 3,400,000 | 3,220,525 | |
5.45% 4/1/31 | 2,555,000 | 2,553,879 | |
Indofood CBP Sukses Makmur | |||
3.541% 4/27/32 ■ | 265,000 | 229,059 | |
4.805% 4/27/52 ■ | 200,000 | 166,109 | |
International Container Terminal Services 4.75% 6/17/30 ■ | 445,000 | 427,429 | |
JBS USA Holding Lux 5.50% 1/15/30 | 250,000 | 246,346 | |
MHP Lux 144A 6.95% 4/3/26 # | 365,000 | 304,420 | |
Minerva Luxembourg 144A 8.875% 9/13/33 # | 415,000 | 428,866 | |
Movida Europe 144A 7.85% 4/11/29 # | 320,000 | 301,368 | |
Royalty Pharma | |||
1.75% 9/2/27 | 2,975,000 | 2,673,433 | |
3.35% 9/2/51 | 1,568,000 | 1,004,967 | |
5.90% 9/2/54 | 1,250,000 | 1,203,659 | |
Tenet Healthcare | |||
4.25% 6/1/29 | 2,680,000 | 2,497,971 | |
6.125% 10/1/28 | 1,240,000 | 1,234,736 | |
Teva Pharmaceutical Finance Netherlands III | |||
5.125% 5/9/29 | 200,000 | 192,564 | |
6.75% 3/1/28 | 265,000 | 271,514 | |
United Rentals North America 3.875% 2/15/31 | 594,000 | 530,478 | |
UnitedHealth Group | |||
3.70% 5/15/27 | 600,000 | 580,803 | |
4.50% 4/15/33 | 644,000 | 615,764 | |
62,724,347 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Energy — 2.90% | |||
3R Lux 144A 9.75% 2/5/31 # | 410,000 | $ 430,600 | |
BP Capital Markets 4.875% 3/22/30 μ, ψ | 2,750,000 | 2,601,187 | |
BP Capital Markets America | |||
2.721% 1/12/32 | 1,465,000 | 1,245,045 | |
4.812% 2/13/33 | 1,305,000 | 1,265,767 | |
5.227% 11/17/34 | 995,000 | 987,946 | |
Canacol Energy 144A 5.75% 11/24/28 # | 500,000 | 264,817 | |
Cheniere Energy Partners | |||
4.50% 10/1/29 | 4,950,000 | 4,718,673 | |
144A 5.75% 8/15/34 # | 1,615,000 | 1,622,444 | |
Diamondback Energy | |||
5.20% 4/18/27 | 670,000 | 670,341 | |
5.40% 4/18/34 | 2,844,000 | 2,816,754 | |
5.75% 4/18/54 | 5,523,000 | 5,357,963 | |
EIG Pearl Holdings 144A 4.387% 11/30/46 # | 345,000 | 273,054 | |
Enbridge | |||
5.25% 4/5/27 | 1,325,000 | 1,325,287 | |
5.70% 3/8/33 | 5,000,000 | 5,041,162 | |
5.75% 7/15/80 μ | 585,000 | 552,932 | |
Energean Israel Finance 144A 4.875% 3/30/26 # | 140,000 | 132,286 | |
Energy Transfer | |||
4.95% 5/15/28 | 700,000 | 689,636 | |
5.50% 6/1/27 | 3,200,000 | 3,210,051 | |
5.95% 5/15/54 | 1,095,000 | 1,066,961 | |
6.10% 12/1/28 | 2,655,000 | 2,737,597 | |
6.25% 4/15/49 | 4,420,000 | 4,400,859 | |
6.50% 11/15/26 μ, ψ | 3,380,000 | 3,342,315 | |
Eni | |||
144A 5.50% 5/15/34 # | 1,055,000 | 1,045,688 | |
144A 5.95% 5/15/54 # | 1,120,000 | 1,100,797 | |
Enterprise Products Operating | |||
3.30% 2/15/53 | 3,560,000 | 2,399,549 | |
5.35% 1/31/33 | 2,695,000 | 2,718,992 | |
Galaxy Pipeline Assets Bidco 144A 2.94% 9/30/40 # | 260,997 | 209,123 |
16 NQ- OPTFI [0624] 0824 (3775194)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Energy (continued) | |||
Geopark 144A 5.50% 1/17/27 # | 320,000 | $ 291,184 | |
Greensaif Pipelines Bidco 144A 6.51% 2/23/42 # | 450,000 | 468,568 | |
Kinder Morgan | |||
5.00% 2/1/29 | 525,000 | 519,286 | |
5.20% 6/1/33 | 1,010,000 | 980,579 | |
Kosmos Energy 144A 7.75% 5/1/27 # | 425,000 | 415,857 | |
Medco Maple Tree 144A 8.96% 4/27/29 # | 400,000 | 419,437 | |
Murphy Oil 5.875% 12/1/27 | 1,180,000 | 1,179,629 | |
NuStar Logistics | |||
5.625% 4/28/27 | 140,000 | 138,910 | |
6.375% 10/1/30 | 1,597,000 | 1,624,927 | |
Occidental Petroleum 6.125% 1/1/31 | 2,042,000 | 2,091,324 | |
ONEOK | |||
4.35% 3/15/29 | 1,500,000 | 1,445,940 | |
5.65% 11/1/28 | 700,000 | 710,774 | |
6.05% 9/1/33 | 489,000 | 503,697 | |
Pertamina Persero 144A 3.65% 7/30/29 # | 197,000 | 183,358 | |
Pluspetrol Camisea 144A 6.24% 7/3/36 #, = | 420,000 | 421,470 | |
Puma International Financing 144A 7.75% 4/25/29 # | 432,000 | 435,985 | |
Raizen Fuels Finance | |||
144A 6.45% 3/5/34 # | 200,000 | 203,285 | |
144A 6.95% 3/5/54 # | 430,000 | 437,689 | |
Santos Finance 144A 3.649% 4/29/31 # | 1,700,000 | 1,487,205 | |
SierraCol Energy Andina 144A 6.00% 6/15/28 # | 380,000 | 339,975 | |
Southern Gas Corridor CJSC 6.875% 3/24/26 ■ | 200,000 | 201,343 | |
Targa Resources 4.20% 2/1/33 | 300,000 | 269,888 | |
Targa Resources Partners 5.00% 1/15/28 | 2,525,000 | 2,474,861 | |
Tennessee Gas Pipeline 144A 2.90% 3/1/30 # | 6,275,000 | 5,486,020 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Energy (continued) | |||
Thaioil Treasury Center 144A 2.50% 6/18/30 # | 210,000 | $ 177,486 | |
TMS Issuer 144A 5.78% 8/23/32 # | 200,000 | 204,075 | |
TotalEnergies Capital 5.488% 4/5/54 | 1,165,000 | 1,149,709 | |
Transportadora de Gas del Sur 144A 6.75% 5/2/25 # | 220,000 | 217,225 | |
Woodside Finance 144A 3.70% 9/15/26 # | 400,000 | 384,927 | |
77,092,439 | |||
Finance Companies — 1.63% | |||
AerCap Ireland Capital DAC | |||
1.65% 10/29/24 | 500,000 | 493,273 | |
2.45% 10/29/26 | 1,445,000 | 1,348,438 | |
3.00% 10/29/28 | 4,503,000 | 4,093,762 | |
3.50% 1/15/25 | 300,000 | 296,293 | |
4.45% 10/1/25 | 1,200,000 | 1,183,710 | |
4.45% 4/3/26 | 150,000 | 147,322 | |
6.50% 7/15/25 | 1,350,000 | 1,360,697 | |
Air Lease | |||
2.875% 1/15/26 | 2,050,000 | 1,967,674 | |
3.00% 2/1/30 | 6,050,000 | 5,361,918 | |
4.125% 12/15/26 μ, ψ | 715,000 | 648,121 | |
4.625% 10/1/28 | 1,884,000 | 1,827,682 | |
5.10% 3/1/29 | 1,363,000 | 1,349,058 | |
Aviation Capital Group 144A 3.50% 11/1/27 # | 3,905,000 | 3,657,316 | |
Avolon Holdings Funding 144A 2.528% 11/18/27 # | 116,000 | 104,389 | |
Brookfield Capital Finance 6.087% 6/14/33 | 3,800,000 | 3,909,632 | |
Cantor Fitzgerald 144A 7.20% 12/12/28 # | 2,800,000 | 2,880,869 | |
DAE Funding 3.375% 3/20/28 ■ | 2,700,000 | 2,483,842 | |
GE Capital UK Funding Unlimited 5.875% 1/18/33 ■ | GBP | 300,000 | 390,719 |
Indigo Group 1.625% 4/19/28 ■ | EUR | 1,700,000 | 1,687,787 |
Jefferies Financial Group 6.05% 3/12/25 | 1,580,000 | 1,579,114 |
NQ- OPTFI [0624] 0824 (3775194) 17
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Finance Companies (continued) | |||
Jyske Realkredit 1.50% 10/1/53 | DKK | 1 | $ 0 |
Logicor Financing 3.25% 11/13/28 ■ | EUR | 3,400,000 | 3,457,812 |
MAF Global Securities 7.875% 6/30/27 μ, ψ, ■ | 215,000 | 220,483 | |
Owl Rock Capital 2.875% 6/11/28 | 500,000 | 442,446 | |
Realkredit Danmark | |||
1.00% 10/1/50 | DKK | 1 | 0 |
1.50% 10/1/53 ■ | DKK | 1 | 0 |
2.00% 10/1/53 ■ | DKK | 1 | 0 |
Sirius Real Estate 1.125% 6/22/26 ■ | EUR | 2,400,000 | 2,413,339 |
43,305,696 | |||
Financials — 1.27% | |||
Abu Dhabi Developmental Holding PJSC 144A 5.50% 5/8/34 # | 1,500,000 | 1,541,696 | |
AIA Group 144A 5.375% 4/5/34 # | 310,000 | 302,564 | |
Athene Global Funding 4.823% ((EUR003M + 1.00%)) 2/23/27 ■, • | EUR | 2,500,000 | 2,681,644 |
Aviation Capital Group 144A 5.375% 7/15/29 # | 1,400,000 | 1,384,122 | |
Banco de Credito del Peru 144A 3.125% 7/1/30 #, μ | 280,000 | 269,954 | |
Citibank 5.438% 4/30/26 | 955,000 | 958,688 | |
Development Bank of Kazakhstan JSC 144A 5.50% 4/15/27 # | 200,000 | 199,167 | |
Encore Capital Group 144A 8.50% 5/15/30 # | 400,000 | 407,698 | |
Goldman Sachs Group | |||
5.727% 4/25/30 μ | 1,040,000 | 1,058,700 | |
5.851% 4/25/35 μ | 1,220,000 | 1,250,170 | |
HDFC Bank 5.18% 2/15/29 ■ | 320,000 | 318,765 | |
JPMorgan Chase & Co. | |||
5.571% 4/22/28 μ | 1,340,000 | 1,351,139 | |
5.766% 4/22/35 μ | 2,570,000 | 2,637,824 | |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Financials (continued) | |||
Kookmin Bank 144A 2.50% 11/4/30 # | 305,000 | $ 256,326 | |
Lloyds Banking Group 5.721% 6/5/30 μ | 885,000 | 892,563 | |
Morgan Stanley | |||
5.652% 4/13/28 μ | 1,200,000 | 1,212,159 | |
5.656% 4/18/30 μ | 1,200,000 | 1,220,611 | |
5.831% 4/19/35 μ | 3,007,000 | 3,083,546 | |
6.374% (SOFR + 1.02%) 4/13/28 • | 4,500,000 | 4,518,475 | |
NBK SPC 144A 5.50% 6/6/30 #, μ | 310,000 | 313,200 | |
Shinhan Bank 144A 5.75% 4/15/34 # | 255,000 | 251,860 | |
TBC Bank JSC 144A 10.25% 7/30/29 #, μ, ψ | 395,000 | 389,197 | |
Turkiye Is Bankasi 144A 7.75% 6/12/29 # | 400,000 | 400,712 | |
Wells Fargo & Co. | |||
5.707% 4/22/28 μ | 3,800,000 | 3,833,758 | |
6.428% (SOFR + 1.07%) 4/22/28 • | 2,900,000 | 2,915,629 | |
XP 144A 6.75% 7/2/29 # | 250,000 | 248,125 | |
33,898,292 | |||
Healthcare — 0.40% | |||
CVS Health 3.75% 4/1/30 | 4,400,000 | 4,050,597 | |
UnitedHealth Group | |||
4.90% 4/15/31 | 4,000,000 | 3,964,282 | |
5.375% 4/15/54 | 2,755,000 | 2,678,275 | |
10,693,154 | |||
Industrials — 0.39% | |||
Aeropuertos Dominicanos Siglo XXI 144A 7.00% 6/30/34 # | 245,000 | 248,357 | |
Amphenol | |||
2.20% 9/15/31 | 710,000 | 583,173 | |
5.05% 4/5/27 | 705,000 | 704,620 | |
5.25% 4/5/34 | 825,000 | 822,725 | |
Boeing | |||
144A 6.259% 5/1/27 # | 500,000 | 503,569 | |
144A 6.298% 5/1/29 # | 700,000 | 710,057 | |
144A 6.388% 5/1/31 # | 600,000 | 611,082 |
18 NQ- OPTFI [0624] 0824 (3775194)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Industrials (continued) | |||
Boeing | |||
144A 6.528% 5/1/34 # | 500,000 | $ 512,206 | |
144A 6.858% 5/1/54 # | 700,000 | 718,898 | |
144A 7.008% 5/1/64 # | 400,000 | 409,853 | |
Cemex 144A 9.125% 3/14/28 #, μ, ψ | 220,000 | 235,075 | |
Holcim Finance Luxembourg | |||
0.50% 4/23/31 ■ | EUR | 1,100,000 | 946,109 |
0.625% 4/6/30 ■ | EUR | 1,000,000 | 903,963 |
HTA Group 144A 7.50% 6/4/29 # | 365,000 | 363,663 | |
Mauser Packaging Solutions Holding 144A 7.875% 4/15/27 # | 1,290,000 | 1,317,401 | |
MV24 Capital 144A 6.748% 6/1/34 # | 315,320 | 301,483 | |
Sisecam UK 144A 8.25% 5/2/29 # | 330,000 | 335,526 | |
West China Cement 4.95% 7/8/26 ■ | 260,000 | 213,213 | |
10,440,973 | |||
Insurance — 0.53% | |||
AIA Group | |||
144A 3.375% 4/7/30 # | 200,000 | 182,212 | |
144A 3.90% 4/6/28 # | 1,000,000 | 961,757 | |
Aon | |||
2.90% 8/23/51 | 4,930,000 | 3,011,965 | |
5.00% 9/12/32 | 1,005,000 | 978,174 | |
Aon North America | |||
5.30% 3/1/31 | 2,295,000 | 2,289,500 | |
5.75% 3/1/54 | 375,000 | 367,099 | |
Athene Holding | |||
3.45% 5/15/52 | 2,510,000 | 1,606,554 | |
3.95% 5/25/51 | 1,120,000 | 802,177 | |
6.25% 4/1/54 | 760,000 | 761,152 | |
Fairfax Financial Holdings 4.625% 4/29/30 | 1,000,000 | 954,024 | |
Jones Deslauriers Insurance Management 144A 8.50% 3/15/30 # | 2,190,000 | 2,285,926 | |
14,200,540 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Real Estate Investment Trusts — 1.13% | |||
American Tower | |||
2.30% 9/15/31 | 5,975,000 | $ 4,877,312 | |
3.65% 3/15/27 | 300,000 | 287,397 | |
3.95% 3/15/29 | 2,150,000 | 2,029,786 | |
5.20% 2/15/29 | 1,610,000 | 1,605,027 | |
5.45% 2/15/34 | 885,000 | 877,632 | |
CIBANCO Institucion de Banca Multiple Trust 144A 4.375% 7/22/31 # | 380,000 | 304,208 | |
Cromwell Ereit Lux Finco 2.125% 11/19/25 ■ | EUR | 600,000 | 618,069 |
Crown Castle 2.25% 1/15/31 | 5,000,000 | 4,113,958 | |
EPR Properties 4.50% 6/1/27 | 1,700,000 | 1,626,881 | |
Extra Space Storage 5.40% 2/1/34 | 2,340,000 | 2,292,010 | |
GLP Capital 4.00% 1/15/30 | 2,600,000 | 2,384,065 | |
Iron Mountain 144A 5.25% 7/15/30 # | 661,000 | 628,777 | |
Iron Mountain Information Management Services 144A 5.00% 7/15/32 # | 2,105,000 | 1,924,572 | |
Starwood Property Trust 144A 7.25% 4/1/29 # | 3,315,000 | 3,354,685 | |
Sunac China Holdings | |||
PIK, 144A 6.00% 9/30/26 #, >> | 468,650 | 62,096 | |
PIK, 144A 6.25% 9/30/27 #, >> | 273,281 | 31,783 | |
Trust Fibra Uno 144A 7.375% 2/13/34 # | 305,000 | 301,248 | |
VICI Properties | |||
4.75% 2/15/28 | 100,000 | 97,759 | |
4.95% 2/15/30 | 2,440,000 | 2,355,772 | |
144A 5.75% 2/1/27 # | 145,000 | 145,113 | |
29,918,150 | |||
Technology — 1.01% | |||
Broadcom | |||
144A 3.137% 11/15/35 # | 2,789,000 | 2,234,418 | |
144A 3.419% 4/15/33 # | 1,600,000 | 1,379,976 | |
144A 3.469% 4/15/34 # | 6,362,000 | 5,425,743 |
NQ- OPTFI [0624] 0824 (3775194) 19
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Technology (continued) | |||
Broadcom | |||
144A 4.926% 5/15/37 # | 115,000 | $ 108,214 | |
CDW | |||
2.67% 12/1/26 | 2,450,000 | 2,294,550 | |
3.276% 12/1/28 | 4,143,000 | 3,768,493 | |
Entegris 144A 4.75% 4/15/29 # | 1,230,000 | 1,177,759 | |
Fiserv 3.50% 7/1/29 | 3,500,000 | 3,237,222 | |
NXP 3.875% 6/18/26 | 3,250,000 | 3,157,507 | |
Oracle | |||
3.60% 4/1/50 | 1,952,000 | 1,367,427 | |
4.65% 5/6/30 | 455,000 | 446,024 | |
TD SYNNEX | |||
2.375% 8/9/28 | 800,000 | 712,953 | |
2.65% 8/9/31 | 1,200,000 | 987,917 | |
TSMC Arizona 2.50% 10/25/31 | 350,000 | 296,391 | |
TSMC Global 144A 2.25% 4/23/31 # | 245,000 | 206,808 | |
26,801,402 | |||
Transportation — 0.62% | |||
Air Canada 144A 3.875% 8/15/26 # | 300,000 | 285,694 | |
American Airlines 144A 5.50% 4/20/26 # | 333,333 | 330,679 | |
American Airlines 2015-1 Class A Pass Through Trust 3.375% 11/1/28 ♦ | 989,868 | 934,511 | |
American Airlines 2016-1 Class AA Pass Through Trust 3.575% 7/15/29 ♦ | 450,205 | 425,323 | |
American Airlines 2016-3 Class AA Pass Through Trust 3.00% 4/15/30 ♦ | 841,853 | 775,635 | |
American Airlines 2019-1 Class AA Pass Through Trust 3.15% 8/15/33 ♦ | 156,600 | 139,568 | |
American Airlines 2021-1 Class A Pass Through Trust 2.875% 1/11/36 ♦ | 91,957 | 78,779 | |
Azul Secured Finance 144A 11.93% 8/28/28 # | 200,000 | 194,290 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Transportation (continued) | |||
British Airways 2018-1 Class AA Pass Through Trust 144A 3.80% 3/20/33 #, ♦ | 900,299 | $ 846,051 | |
British Airways 2019-1 Class AA Pass Through Trust 144A 3.30% 6/15/34 #, ♦ | 242,492 | 218,015 | |
Delta Air Lines 7.375% 1/15/26 | 900,000 | 918,844 | |
ERAC USA Finance | |||
144A 4.90% 5/1/33 # | 710,000 | 691,305 | |
144A 5.00% 2/15/29 # | 730,000 | 728,349 | |
Grupo Aeromexico 144A 8.50% 3/17/27 # | 395,000 | 395,539 | |
Mileage Plus Holdings 144A 6.50% 6/20/27 # | 420,000 | 421,172 | |
Penske Truck Leasing | |||
144A 3.95% 3/10/25 # | 1,000,000 | 987,968 | |
144A 4.45% 1/29/26 # | 2,100,000 | 2,063,785 | |
United Airlines | |||
144A 4.375% 4/15/26 # | 1,370,000 | 1,325,019 | |
144A 4.625% 4/15/29 # | 3,486,000 | 3,249,388 | |
United Airlines 2020-1 Class A Pass Through Trust 5.875% 4/15/29 ♦ | 1,046,821 | 1,049,789 | |
US Airways 2012-2 Class A Pass Through Trust 4.625% 12/3/26 ♦ | 255,358 | 252,458 | |
US Airways 2013-A Class A Pass Through Trust 3.95% 5/15/27 ♦ | 34,835 | 34,021 | |
16,346,182 | |||
Utilities — 2.92% | |||
AEP Texas 5.40% 6/1/33 | 2,805,000 | 2,732,976 | |
AES Andes | |||
144A 6.30% 3/15/29 # | 315,000 | 317,450 | |
144A 8.15% 6/10/55 #, μ | 315,000 | 315,630 | |
20 NQ- OPTFI [0624] 0824 (3775194)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Utilities (continued) | |||
Alfa Desarrollo 144A 4.55% 9/27/51 # | 297,882 | $ 223,911 | |
Appalachian Power 4.50% 8/1/32 | 2,045,000 | 1,892,317 | |
Berkshire Hathaway Energy 2.85% 5/15/51 | 4,385,000 | 2,675,701 | |
Boston Gas 144A 3.757% 3/16/32 # | 500,000 | 436,463 | |
Calpine | |||
144A 4.50% 2/15/28 # | 308,000 | 292,882 | |
144A 5.00% 2/1/31 # | 1,050,000 | 980,623 | |
144A 5.125% 3/15/28 # | 309,000 | 297,412 | |
Constellation Energy Generation 5.75% 3/15/54 | 1,595,000 | 1,547,154 | |
DTE Energy 5.10% 3/1/29 | 1,415,000 | 1,403,922 | |
Duke Energy 4.875% 9/16/24 μ, ψ | 1,630,000 | 1,619,973 | |
Duke Energy Carolinas 4.95% 1/15/33 | 4,950,000 | 4,868,214 | |
Duke Energy Indiana 3.25% 10/1/49 | 1,265,000 | 847,576 | |
Engie | |||
144A 5.25% 4/10/29 # | 970,000 | 968,698 | |
144A 5.625% 4/10/34 # | 915,000 | 911,245 | |
Engie Energia Chile 144A 6.375% 4/17/34 # | 380,000 | 385,267 | |
Entergy Arkansas 4.20% 4/1/49 | 870,000 | 692,875 | |
Entergy Louisiana 4.95% 1/15/45 | 235,000 | 206,998 | |
Entergy Texas 3.55% 9/30/49 | 700,000 | 501,107 | |
Exelon 5.45% 3/15/34 | 645,000 | 640,752 | |
Georgia Power 4.70% 5/15/32 | 3,200,000 | 3,094,758 | |
Infraestructura Energetica Nova 144A 4.75% 1/15/51 # | 300,000 | 217,572 | |
JSW Hydro Energy 144A 4.125% 5/18/31 # | 250,800 | 222,998 | |
Minejesa Capital 144A 5.625% 8/10/37 # | 200,000 | 180,970 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Utilities (continued) | |||
Mong Duong Finance Holdings 144A 5.125% 5/7/29 # | 421,641 | $ 401,096 | |
Nevada Power 5.90% 5/1/53 | 1,670,000 | 1,671,714 | |
NextEra Energy Capital Holdings | |||
1.90% 6/15/28 | 4,500,000 | 3,980,291 | |
5.55% 3/15/54 | 2,695,000 | 2,580,978 | |
5.749% 9/1/25 | 3,395,000 | 3,403,553 | |
Oglethorpe Power | |||
3.75% 8/1/50 | 1,620,000 | 1,149,966 | |
6.20% 12/1/53 | 355,000 | 364,589 | |
Pacific Gas & Electric | |||
2.10% 8/1/27 | 1,400,000 | 1,263,787 | |
3.00% 6/15/28 | 800,000 | 731,779 | |
3.30% 3/15/27 | 700,000 | 663,421 | |
3.30% 8/1/40 | 7,168,000 | 5,110,780 | |
3.50% 6/15/25 | 400,000 | 391,385 | |
3.50% 8/1/50 | 1,100,000 | 718,868 | |
4.20% 3/1/29 | 3,200,000 | 3,029,061 | |
4.40% 3/1/32 | 1,300,000 | 1,189,756 | |
4.50% 7/1/40 | 1,100,000 | 906,916 | |
PacifiCorp | |||
5.10% 2/15/29 | 360,000 | 359,885 | |
5.45% 2/15/34 | 610,000 | 602,825 | |
5.80% 1/15/55 | 560,000 | 542,706 | |
Pedernales Electric Cooperative 144A 6.202% 11/15/32 # | 520,000 | 513,114 | |
PG&E 5.25% 7/1/30 | 1,110,000 | 1,060,922 | |
Sempra 4.875% 10/15/25 μ, ψ | 575,000 | 565,407 | |
Southern California Edison | |||
4.00% 4/1/47 | 880,000 | 674,403 | |
5.20% 6/1/34 | 1,340,000 | 1,308,947 | |
Southern California Gas 2.95% 4/15/27 | 2,600,000 | 2,448,890 | |
Star Energy Geothermal Wayang Windu 144A 6.75% 4/24/33 # | 254,475 | 256,210 | |
System Energy Resources 2.14% 12/9/25 | 800,000 | 756,836 | |
Virginia Electric and Power 5.00% 4/1/33 | 4,000,000 | 3,896,161 | |
Vistra 144A 7.00% 12/15/26 #, μ, ψ | 1,500,000 | 1,488,399 |
NQ- OPTFI [0624] 0824 (3775194) 21
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Utilities (continued) | |||
Vistra Operations | |||
144A 6.00% 4/15/34 # | 595,000 | $ 596,824 | |
144A 6.95% 10/15/33 # | 6,060,000 | 6,490,236 | |
77,595,149 | |||
Total Corporate Bonds (cost $882,081,910) | 839,583,220 | ||
Government Agency Obligations — 0.42% | |||
Abu Dhabi National Energy PJSC 144A 2.00% 4/29/28 # | 200,000 | 179,169 | |
Bapco Energies 7.50% 10/25/27 ■ | 200,000 | 203,722 | |
BOC Aviation USA 144A 5.25% 1/14/30 # | 535,000 | 532,881 | |
CIMB Bank 144A 2.125% 7/20/27 # | 350,000 | 319,570 | |
Consorcio Transmantaro 144A 5.20% 4/11/38 # | 280,000 | 262,794 | |
Corp Nacional del Cobre de Chile | |||
144A 3.70% 1/30/50 # | 225,000 | 155,120 | |
144A 4.25% 7/17/42 # | 200,000 | 158,257 | |
Ecopetrol | |||
5.875% 11/2/51 | 220,000 | 152,919 | |
8.375% 1/19/36 | 250,000 | 245,718 | |
Emirates NBD Bank PJSC 2.625% 2/18/25 ■ | 295,000 | 288,775 | |
First Abu Dhabi Bank PJSC 4.50% 4/5/26 μ, ψ, ■ | 325,000 | 313,838 | |
Freeport Indonesia | |||
144A 5.315% 4/14/32 # | 235,000 | 228,068 | |
144A 6.20% 4/14/52 # | 200,000 | 197,597 | |
Gaci First Investment 4.875% 2/14/35 ■ | 264,000 | 249,734 | |
Georgian Railway JSC 4.00% 6/17/28 ■ | 595,000 | 529,333 |
Principal amount° | Value (US $) | ||
Government Agency Obligations (continued) | |||
Huarong Finance 2017 4.75% 4/27/27 ■ | 295,000 | $ 278,406 | |
Hutama Karya Persero 144A 3.75% 5/11/30 # | 454,000 | 415,696 | |
KazMunayGas National | |||
144A 4.75% 4/19/27 # | 200,000 | 193,640 | |
144A 5.375% 4/24/30 # | 270,000 | 263,601 | |
MISC Capital Two Labuan 144A 3.75% 4/6/27 # | 315,000 | 301,153 | |
OCP | |||
144A 3.75% 6/23/31 # | 200,000 | 172,825 | |
144A 5.125% 6/23/51 # | 415,000 | 312,856 | |
Oryx Funding 144A 5.80% 2/3/31 # | 420,000 | 415,385 | |
Perusahaan Listrik Negara | |||
144A 4.125% 5/15/27 # | 300,000 | 289,370 | |
144A 5.25% 5/15/47 # | 185,000 | 163,554 | |
Petroleos Mexicanos | |||
5.95% 1/28/31 | 600,000 | 483,894 | |
6.70% 2/16/32 | 76,000 | 63,681 | |
6.75% 9/21/47 | 390,000 | 256,783 | |
7.69% 1/23/50 | 505,000 | 365,434 | |
10.00% 2/7/33 | 100,000 | 100,427 | |
Petronas Capital | |||
144A 2.48% 1/28/32 # | 200,000 | 166,566 | |
144A 3.50% 4/21/30 # | 440,000 | 404,410 | |
PTTEP Treasury Center 144A 2.587% 6/10/27 # | 400,000 | 370,741 | |
QazaqGaz JSC 144A 4.375% 9/26/27 # | 430,000 | 403,934 | |
QNB Finance 2.625% 5/12/25 ■ | 255,000 | 248,323 | |
Saudi Arabian Oil | |||
144A 3.50% 11/24/70 # | 220,000 | 142,797 | |
144A 4.25% 4/16/39 # | 430,000 | 374,955 | |
22 NQ- OPTFI [0624] 0824 (3775194)
(Unaudited)
Principal amount° | Value (US $) | ||
Government Agency Obligations (continued) | |||
Sweihan PV Power PJSC 144A 3.625% 1/31/49 # | 218,309 | $ 175,170 | |
Turk Telekomunikasyon 144A 7.375% 5/20/29 # | 310,000 | 311,328 | |
YPF 144A 9.50% 1/17/31 # | 415,000 | 422,010 | |
Total Government Agency Obligations (cost $11,991,102) | 11,114,434 | ||
Municipal Bonds — 0.71% | |||
American Municipal Power, Ohio | |||
(Combined Hydroelectric Projects - Build America Bonds) Series B 8.084% 2/15/50 | 1,500,000 | 1,958,250 | |
Chicago, Illinois Transit Authority Sales Tax Receipts Revenue | |||
(Pension Funding) Series A 6.899% 12/1/40 | 1,698,022 | 1,877,571 | |
(Retiree Health Care) Series B 6.899% 12/1/40 | 1,698,032 | 1,877,582 | |
Commonwealth of Puerto Rico | |||
(Restructured) Series A-1 1.118% 7/1/24 ^ | 79,443 | 79,443 | |
GDB Debt Recovery Authority of Puerto Rico Revenue | |||
7.50% 8/20/40 | 5,661,141 | 5,505,460 | |
Golden State, California Tobacco Securitization | |||
(Senior) Series A1 2.587% 6/1/29 | 1,700,000 | 1,510,212 | |
Municipal Electric Authority of Georgia | |||
(Build America Bonds Plant Vogtle Units 3 & 4 Project) 6.655% 4/1/57 | 1,685,000 | 1,839,632 |
Principal amount° | Value (US $) | ||
Municipal Bonds (continued) | |||
New Jersey Transportation Trust Fund Authority | |||
(Build America Bonds) Series C 5.754% 12/15/28 | 1,590,000 | $ 1,598,347 | |
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 | 697,942 | |
New York State Urban Development | |||
(Build America Bonds) Series E 5.77% 3/15/39 | 715,000 | 724,953 | |
West Virginia Tobacco Settlement Finance Authority | |||
(Class 1 Senior Current Interest Bonds) | |||
Series A 1.82% 6/1/26 | 250,000 | 233,463 | |
Series A 2.351% 6/1/28 | 300,000 | 269,649 | |
Series A 2.551% 6/1/29 | 300,000 | 265,188 | |
Series A 2.951% 6/1/31 | 500,000 | 428,545 | |
Total Municipal Bonds (cost $19,704,408) | 18,866,237 | ||
Non-Agency Asset-Backed Securities — 3.95% | |||
ABFC Trust Series 2006-HE1 A2D 5.90% (TSFR01M + 0.55%, Floor 0.44%) 1/25/37 • | 233,712 | 128,952 | |
Argent Securities Trust | |||
Series 2006-M1 A2C 5.76% (TSFR01M + 0.41%, Floor 0.30%) 7/25/36 • | 1,058,733 | 280,259 | |
Series 2006-W4 A2C 5.78% (TSFR01M + 0.43%, Floor 0.32%) 5/25/36 • | 553,346 | 131,828 | |
NQ- OPTFI [0624] 0824 (3775194) 23
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
Bear Stearns Asset-Backed Securities I Trust Series 2005-FR1 M2 6.465% (TSFR01M + 1.12%, Floor 1.01%) 6/25/35 • | 886,486 | $ 867,175 | |
Bear Stearns Asset-Backed Securities Trust Series 2007-SD1 22A1 4.992% 10/25/36 • | 90,897 | 39,961 | |
Carvana Auto Receivables Trust | |||
Series 2024-N2 A2 144A 5.90% 8/10/27 # | 300,000 | 300,184 | |
Series 2024-P2 A3 5.33% 7/10/29 | 4,000,000 | 4,005,479 | |
Centex Home Equity Loan Trust Series 2002-A AF6 5.54% 1/25/32 | 118 | 116 | |
Chase Auto Owner Trust Series 2024-2A A3 144A 5.52% 6/25/29 # | 2,900,000 | 2,917,743 | |
Chesapeake Funding II Series 2024-1A A1 144A 5.52% 5/15/36 # | 3,197,422 | 3,196,034 | |
CIT Mortgage Loan Trust Series 2007-1 1M1 144A 6.96% (TSFR01M + 1.61%, Floor 1.50%) 10/25/37 #, • | 3,195,802 | 3,197,325 | |
Citicorp Residential Mortgage Trust Series 2006-3 A5 4.576% 11/25/36 ~ | 76,082 | 75,169 | |
Citizens Auto Receivables Trust | |||
Series 2023-1 A3 144A 5.84% 1/18/28 # | 3,800,000 | 3,816,476 | |
Series 2024-1 A2A 144A 5.43% 10/15/26 # | 2,500,000 | 2,496,968 |
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
Countrywide Asset-Backed Certificates Trust | |||
Series 2004-3 2A 5.86% (TSFR01M + 0.51%, Floor 0.40%) 8/25/34 • | 25,299 | $ 24,124 | |
Series 2005-3 MV7 7.41% (TSFR01M + 2.06%, Floor 1.95%) 8/25/35 • | 4,200,000 | 3,758,688 | |
Series 2006-1 AF6 4.513% 7/25/36 • | 19,182 | 18,416 | |
Series 2006-11 1AF6 6.15% 9/25/46 • | 22,107 | 20,127 | |
Series 2006-17 2A2 5.76% (TSFR01M + 0.41%, Floor 0.30%) 3/25/47 • | 458,378 | 446,063 | |
Series 2006-26 2A4 5.68% (TSFR01M + 0.33%, Floor 0.22%) 6/25/37 • | 767,276 | 739,351 | |
Series 2007-6 2A4 5.77% (TSFR01M + 0.42%, Floor 0.31%) 9/25/37 • | 934,995 | 752,974 | |
CyrusOne Data Centers Issuer I Series 2024-2A A2 144A 4.50% 5/20/49 # | 5,000,000 | 4,632,781 | |
DataBank Issuer Series 2021-1A A2 144A 2.06% 2/27/51 # | 1,600,000 | 1,484,995 | |
Diamond Infrastructure Funding Series 2021-1A A 144A 1.76% 4/15/49 # | 4,700,000 | 4,240,440 | |
Domino's Pizza Master Issuer Series 2021-1A A2I 144A 2.662% 4/25/51 # | 7,196,500 | 6,386,984 | |
EquiFirst Mortgage Loan Trust Series 2004-2 M7 8.46% (TSFR01M + 3.11%, Floor 3.00%) 10/25/34 • | 662,361 | 577,540 |
24 NQ- OPTFI [0624] 0824 (3775194)
(Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
First Franklin Mortgage Loan Trust Series 2006-FF5 2A3 5.78% (TSFR01M + 0.43%, Floor 0.32%) 4/25/36 • | 515,394 | $ 495,678 | |
Ford Credit Auto Owner Trust Series 2024-B A3 5.10% 4/15/29 | 4,500,000 | 4,494,609 | |
Ford Credit Floorplan Master Owner Trust Series 2024-1 A1 144A 5.29% 4/15/29 # | 6,500,000 | 6,523,889 | |
Fremont Home Loan Trust Series 2004-B M1 6.33% (TSFR01M + 0.98%, Floor 0.87%) 5/25/34 • | 1,767,243 | 1,664,465 | |
Frontier Issuer Series 2024-1 A2 144A 6.19% 6/20/54 # | 1,350,000 | 1,349,746 | |
GE-WMC Mortgage Securities Trust Series 2006-1 A2B 5.76% (TSFR01M + 0.41%, Floor 0.30%) 8/25/36 • | 1,589,787 | 656,922 | |
GLS Auto Select Receivables Trust Series 2024-3A A2 144A 5.59% 10/15/29 # | 500,000 | 500,324 | |
GM Financial Consumer Automobile Receivables Trust Series 2024-2 A2A 5.33% 3/16/27 | 4,000,000 | 3,995,335 | |
Golden Credit Card Trust Series 2022-4A A 144A 4.31% 9/15/27 # | 2,000,000 | 1,971,635 | |
GreenState Auto Receivables Trust Series 2024-1A A2 144A 5.53% 8/16/27 # | 4,000,000 | 3,995,500 |
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
GSAMP Trust | |||
Series 2006-FM3 A2D 5.69% (TSFR01M + 0.34%, Floor 0.23%) 11/25/36 • | 734,053 | $ 344,384 | |
Series 2007-SEA1 A 144A 5.76% (TSFR01M + 0.41%, Floor 0.30%) 12/25/36 #, • | 356,216 | 348,762 | |
Home Equity Mortgage Loan Asset-Backed Trust Series 2007-A 2A3 5.70% (TSFR01M + 0.35%, Floor 0.24%) 4/25/37 • | 995,746 | 661,190 | |
HSI Asset Securitization Trust Series 2006-HE1 2A1 5.56% (TSFR01M + 0.21%, Floor 0.10%) 10/25/36 • | 20,803 | 8,157 | |
JPMorgan Chase Bank Series 2021-3 B 144A 0.76% 2/26/29 # | 184,095 | 179,836 | |
JPMorgan Mortgage Acquisition Trust Series 2006-CW2 AV5 5.70% (TSFR01M + 0.35%, Floor 0.24%) 8/25/36 • | 61,365 | 60,569 | |
Long Beach Mortgage Loan Trust | |||
Series 2006-1 2A4 6.06% (TSFR01M + 0.71%, Floor 0.60%) 2/25/36 • | 2,288,796 | 1,881,168 | |
Series 2006-7 1A 5.77% (TSFR01M + 0.42%, Floor 0.31%) 8/25/36 • | 2,103,148 | 1,061,192 | |
Morgan Stanley ABS Capital I Trust | |||
Series 2007-HE1 A2C 5.61% (TSFR01M + 0.26%, Floor 0.15%) 11/25/36 • | 3,429,906 | 1,945,373 | |
Series 2007-HE5 A2D 5.80% (TSFR01M + 0.45%, Floor 0.34%) 3/25/37 • | 2,593,904 | 1,085,487 | |
NQ- OPTFI [0624] 0824 (3775194) 25
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
New Century Home Equity Loan Trust Series 2005-1 M2 6.18% (TSFR01M + 0.83%, Cap 12.50%, Floor 0.83%) 3/25/35 • | 233,599 | $ 229,504 | |
Nissan Master Owner Trust Receivables Series 2024-B A 144A 5.05% 2/15/29 # | 8,000,000 | 7,968,671 | |
Option One Mortgage Loan Trust | |||
Series 2005-1 M1 6.24% (TSFR01M + 0.89%, Floor 0.78%) 2/25/35 • | 741,729 | 691,546 | |
Series 2007-4 2A4 5.77% (TSFR01M + 0.42%, Floor 0.31%) 4/25/37 • | 4,500,805 | 2,525,038 | |
RAAC Trust Series 2005-SP2 2A 6.06% (TSFR01M + 0.71%, Cap 14.00%, Floor 0.60%) 6/25/44 • | 140,062 | 116,685 | |
Sofi Professional Loan Program Series 2016-F A2 144A 3.02% 2/25/40 # | 62,435 | 60,173 | |
Soundview Home Loan Trust Series 2006-OPT1 2A4 6.00% (TSFR01M + 0.65%, Floor 0.54%) 3/25/36 • | 38,932 | 38,519 | |
Structured Asset Investment Loan Trust Series 2003-BC2 M1 6.84% (TSFR01M + 1.49%, Floor 1.38%) 4/25/33 • | 15,778 | 15,493 | |
Structured Asset Securities Mortgage Loan Trust | |||
Series 2006-BC1 A6 5.73% (TSFR01M + 0.38%, Floor 0.27%) 3/25/36 • | 846,503 | 781,042 |
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
Structured Asset Securities Mortgage Loan Trust | |||
Series 2006-BC2 A1 5.615% (TSFR01M + 0.27%, Floor 0.16%) 9/25/36 • | 2,790,887 | $ 1,683,547 | |
Towd Point Mortgage Trust | |||
Series 2017-4 M1 144A 3.25% 6/25/57 #, • | 615,000 | 544,625 | |
Series 2018-1 A1 144A 3.00% 1/25/58 #, • | 83,412 | 81,073 | |
Series 2019-4 A1 144A 2.90% 10/25/59 #, • | 4,256,725 | 3,978,477 | |
Toyota Auto Receivables Owner Trust Series 2024-B A3 5.33% 1/16/29 | 5,500,000 | 5,521,759 | |
United Auto Credit Securitization Trust Series 2024-1 A 144A 6.17% 8/10/26 # | 1,546,889 | 1,547,434 | |
World Omni Auto Receivables Trust Series 2024-B A2B 5.763% (SOFR + 0.43%, Floor 0.43%) 9/15/27 • | 1,500,000 | 1,500,419 | |
Total Non-Agency Asset-Backed Securities (cost $112,958,870) | 105,044,378 | ||
Non-Agency Collateralized Mortgage Obligations — 2.30% | |||
Alternative Loan Trust Resecuritization Series 2008-2R 3A1 6.00% 8/25/37 • | 800,587 | 377,166 | |
Angel Oak Mortgage Trust Series 2024-2 A1 144A 5.985% 1/25/69 #, ~ | 1,329,534 | 1,323,288 | |
ARM Trust | |||
Series 2005-10 3A31 4.094% 1/25/36 • | 18,911 | 17,164 | |
Series 2006-2 1A4 4.826% 5/25/36 • | 278,286 | 235,966 |
26 NQ- OPTFI [0624] 0824 (3775194)
(Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
Banc of America Funding Trust | |||
Series 2005-E 7A1 6.583% (12MTA + 1.43%, Floor 1.43%) 6/20/35 • | 59,009 | $ 48,706 | |
Series 2006-I 1A1 5.95% 12/20/36 • | 62,424 | 59,784 | |
Banc of America Mortgage Trust Series 2003-D 2A1 6.85% 5/25/33 • | 466 | 442 | |
Bear Stearns ARM Trust Series 2003-5 2A1 5.021% 8/25/33 • | 12,217 | 10,994 | |
Chase Home Lending Mortgage Trust | |||
Series 2024-RPL1 A1A 144A 3.25% 3/25/64 #, • | 1,751,771 | 1,526,735 | |
Series 2024-RPL3 A1A 144A 3.25% 9/25/64 #, • | 3,300,000 | 2,882,603 | |
Chase Mortgage Finance Trust Series 2005-A1 3A1 4.649% 12/25/35 • | 30,731 | 26,003 | |
CHL Mortgage Pass Through Trust Series 2007-4 1A1 6.00% 5/25/37 ♦ | 659,671 | 323,409 | |
COLT Mortgage Loan Trust Series 2024-3 A1 144A 6.393% 6/25/69 #, ~ | 2,893,531 | 2,911,392 | |
Cross Mortgage Trust Series 2024-H3 A1 144A 6.272% 6/25/69 #, ~ | 4,056,101 | 4,066,566 | |
CSMC Mortgage-Backed Trust | |||
Series 2005-1R 2A5 144A 5.75% 12/26/35 # | 482,633 | 295,988 | |
Series 2007-1 5A14 6.00% 2/25/37 | 136,200 | 71,098 | |
Series 2007-3 4A12 1.29% (6.64% minus TSFR01M, Cap 6.75%) 4/25/37 Σ, =, • | 61,558 | 6,445 |
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
CSMC Mortgage-Backed Trust | |||
Series 2007-3 4A15 5.50% 4/25/37 | 27,334 | $ 21,354 | |
Series 2007-3 4A6 5.71% (TSFR01M + 0.36%, Cap 7.00%, Floor 0.25%) 4/25/37 • | 61,558 | 46,926 | |
Flagstar Mortgage Trust Series 2021-2 A6 144A 2.50% 4/25/51 #, • | 741,312 | 639,160 | |
GCAT Trust Series 2024-NQM2 A1 144A 6.085% 6/25/59 #, ~ | 4,263,288 | 4,267,722 | |
GMACM Mortgage Loan Trust Series 2006-J1 A1 5.75% 4/25/36 | 13,532 | 11,472 | |
GS Mortgage-Backed Securities Trust | |||
Series 2021-PJ4 A8 144A 2.50% 9/25/51 #, • | 1,876,528 | 1,625,295 | |
Series 2021-PJ7 A2 144A 2.50% 1/25/52 #, • | 2,075,124 | 1,647,535 | |
GSR Mortgage Loan Trust Series 2007-AR1 2A1 4.307% 3/25/47 • | 342,624 | 204,825 | |
JPMorgan Alternative Loan Trust Series 2007-A2 11A1 5.82% (TSFR01M + 0.47%, Cap 11.50%, Floor 0.36%) 6/25/37 • | 2,712,564 | 1,364,638 | |
JPMorgan Mortgage Trust | |||
Series 2006-A6 2A4L 5.234% 10/25/36 • | 143,037 | 111,419 | |
Series 2006-A7 2A2 4.458% 1/25/37 • | 26,302 | 19,594 | |
Series 2007-A1 6A1 5.338% 7/25/35 • | 28,082 | 25,926 | |
Series 2014-2 B1 144A 3.41% 6/25/29 #, • | 21,186 | 19,603 | |
Series 2014-2 B2 144A 3.41% 6/25/29 #, • | 21,186 | 19,522 |
NQ- OPTFI [0624] 0824 (3775194) 27
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
JPMorgan Mortgage Trust | |||
Series 2015-4 B1 144A 3.532% 6/25/45 #, • | 399,407 | $ 362,664 | |
Series 2015-4 B2 144A 3.532% 6/25/45 #, • | 170,707 | 154,419 | |
Series 2016-4 B1 144A 3.799% 10/25/46 #, • | 154,686 | 141,580 | |
Series 2016-4 B2 144A 3.799% 10/25/46 #, • | 282,678 | 258,241 | |
Series 2017-1 B3 144A 3.449% 1/25/47 #, • | 760,629 | 660,003 | |
Series 2017-2 A3 144A 3.50% 5/25/47 #, • | 45,424 | 39,670 | |
Series 2020-2 A3 144A 3.50% 7/25/50 #, • | 126,161 | 109,787 | |
Series 2020-7 A3 144A 3.00% 1/25/51 #, • | 410,566 | 344,655 | |
Series 2021-1 A3 144A 2.50% 6/25/51 #, • | 656,777 | 523,908 | |
Series 2021-10 A3 144A 2.50% 12/25/51 #, • | 1,382,013 | 1,098,969 | |
Series 2021-13 B1 144A 3.14% 4/25/52 #, • | 1,875,236 | 1,513,262 | |
JPMorgan Trust | |||
Series 2015-5 B2 144A 6.79% 5/25/45 #, • | 180,395 | 182,341 | |
Series 2015-6 B1 144A 3.505% 10/25/45 #, • | 147,963 | 137,837 | |
Series 2015-6 B2 144A 3.505% 10/25/45 #, • | 143,964 | 133,932 | |
Lehman Mortgage Trust Series 2007-10 2A2 6.50% 1/25/38 | 1,141,753 | 326,729 | |
Ludgate Funding | |||
Series 2006-1X A2A 5.542% (SONIA + 0.309%) 12/1/60 ■, • | GBP | 787,333 | 974,366 |
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
Ludgate Funding | |||
Series 2008-W1X A1 5.953% (BP0003M + 0.60%) 1/1/61 ■, • | GBP | 331,025 | $ 411,964 |
Mansard Mortgages Series 2007-1X A2 5.532% (SONIA + 0.299%) 4/15/47 ■, • | GBP | 357,082 | 444,512 |
MASTR Alternative Loan Trust | |||
Series 2004-3 8A1 7.00% 4/25/34 | 924 | 925 | |
Series 2004-5 6A1 7.00% 6/25/34 | 11,881 | 11,777 | |
MASTR ARM Trust Series 2004-4 4A1 5.73% 5/25/34 • | 21,353 | 20,030 | |
Merrill Lynch Mortgage Investors Trust Series 2004-A1 2A2 5.759% 2/25/34 • | 1,472 | 1,326 | |
Morgan Stanley Residential Mortgage Loan Trust | |||
Series 2020-1 A2A 144A 2.50% 12/25/50 #, • | 665,311 | 533,116 | |
Series 2021-1 A2 144A 2.50% 3/25/51 #, • | 605,148 | 480,999 | |
Series 2021-4 A3 144A 2.50% 7/25/51 #, • | 677,696 | 538,460 | |
New Residential Mortgage Loan Trust | |||
Series 2018-RPL1 A1 144A 3.50% 12/25/57 #, • | 100,221 | 94,851 | |
Series 2019-RPL3 A1 144A 2.75% 7/25/59 #, • | 2,290,307 | 2,149,516 | |
OBX Trust Series 2024-NQM8 A1 144A 6.233% 5/25/64 #, ~ | 3,174,019 | 3,188,576 | |
PRKCM Series 2024-AFC1 A1 144A 6.333% 3/25/59 #, ~ | 940,239 | 942,267 | |
PRPM Series 2024-RPL1 A1 144A 4.20% 12/25/64 #, ~ | 3,105,753 | 2,982,554 |
28 NQ- OPTFI [0624] 0824 (3775194)
(Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
RALI Series Trust | |||
Series 2007-QA5 2A1 6.17% 9/25/37 • | 1,850,762 | $ 1,229,487 | |
Series 2007-QH8 A 6.02% 10/25/37 • | 1,006,510 | 818,955 | |
RCKT Mortgage Trust | |||
Series 2021-1 A1 144A 2.50% 3/25/51 #, • | 654,351 | 519,601 | |
Series 2021-6 A1 144A 2.50% 12/25/51 #, • | 1,424,678 | 1,131,116 | |
Reperforming Loan REMIC Trust Series 2006-R1 AF1 144A 5.80% (TSFR01M + 0.45%, Cap 9.50%, Floor 0.34%) 1/25/36 #, • | 343,223 | 316,855 | |
Sequoia Mortgage Trust | |||
Series 2004-5 A3 6.257% (TSFR06M + 0.99%, Cap 11.50%, Floor 0.56%) 6/20/34 • | 45,880 | 41,320 | |
Series 2007-1 4A1 3.914% 9/20/46 • | 188,211 | 125,216 | |
Series 2015-1 B2 144A 3.93% 1/25/45 #, • | 97,539 | 91,979 | |
Series 2017-5 B2 144A 3.783% 8/25/47 #, • | 2,585,751 | 2,342,305 | |
Series 2020-4 A2 144A 2.50% 11/25/50 #, • | 533,678 | 427,056 | |
Stratton Mortgage Funding Series 2024-2A A 144A 6.134% (SONIA + 0.90%) 6/28/50 #, • | GBP | 945,319 | 1,196,180 |
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
Structured ARM Loan Trust Series 2006-1 7A4 3.948% 2/25/36 • | 30,167 | $ 25,088 | |
Structured Asset Mortgage Investments II Trust Series 2005-AR5 A2 5.953% (TSFR01M + 0.61%, Cap 11.00%, Floor 0.50%) 7/19/35 • | 68,686 | 66,455 | |
Verus Securitization Trust | |||
Series 2023-7 A1 144A 7.07% 10/25/68 #, ~ | 5,291,731 | 5,378,632 | |
Series 2024-4 A1 144A 6.218% 6/25/69 #, ~ | 3,840,708 | 3,854,864 | |
WaMu Mortgage Pass Through Certificates Trust | |||
Series 2005-AR16 1A3 4.824% 12/25/35 ♦, • | 136,952 | 120,847 | |
Series 2007-HY1 3A3 4.171% 2/25/37 ♦, • | 100,334 | 82,273 | |
Series 2007-HY7 4A1 4.669% 7/25/37 ♦, • | 204,616 | 174,875 | |
Wells Fargo Mortgage-Backed Securities Trust | |||
Series 2006-AR11 A6 6.589% 8/25/36 • | 85,089 | 74,168 | |
Series 2020-1 A1 144A 3.00% 12/25/49 #, • | 123,897 | 103,887 | |
Total Non-Agency Collateralized Mortgage Obligations (cost $68,076,902) | 61,093,135 | ||
Non-Agency Commercial Mortgage-Backed Securities — 4.73% | |||
BANK | |||
Series 2017-BNK5 B 3.896% 6/15/60 • | 605,000 | 562,213 | |
Series 2017-BNK7 A5 3.435% 9/15/60 | 1,120,000 | 1,054,575 | |
Series 2019-BN20 A3 3.011% 9/15/62 | 8,000,000 | 7,009,909 | |
Series 2019-BN21 A5 2.851% 10/17/52 | 2,100,000 | 1,840,529 |
NQ- OPTFI [0624] 0824 (3775194) 29
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||
BANK | |||
Series 2022-BNK39 B 3.348% 2/15/55 • | 1,353,000 | $ 1,110,139 | |
Series 2022-BNK39 C 3.379% 2/15/55 • | 797,000 | 611,230 | |
Series 2022-BNK40 B 3.506% 3/15/64 • | 1,800,000 | 1,486,591 | |
Benchmark Mortgage Trust | |||
Series 2020-B17 A5 2.289% 3/15/53 | 3,460,000 | 2,892,971 | |
Series 2020-B20 A5 2.034% 10/15/53 | 13,250,000 | 10,580,846 | |
Series 2020-B21 A5 1.978% 12/17/53 | 1,300,000 | 1,059,831 | |
Series 2020-B22 A5 1.973% 1/15/54 | 6,600,000 | 5,361,275 | |
Series 2021-B24 A5 2.584% 3/15/54 | 6,790,000 | 5,617,042 | |
Series 2021-B29 A5 2.388% 9/15/54 | 6,000,000 | 4,947,388 | |
Series 2022-B32 B 3.202% 1/15/55 • | 1,800,000 | 1,398,200 | |
Series 2022-B32 C 3.571% 1/15/55 • | 2,200,000 | 1,645,092 | |
Series 2022-B33 B 3.735% 3/15/55 • | 900,000 | 727,699 | |
Series 2022-B33 C 3.735% 3/15/55 • | 900,000 | 702,130 | |
Series 2022-B35 A5 4.592% 5/15/55 • | 2,000,000 | 1,847,396 | |
BMO Mortgage Trust Series 2022-C1 A5 3.374% 2/15/55 • | 600,000 | 525,816 | |
Cantor Commercial Real Estate Lending | |||
Series 2019-CF1 A5 3.786% 5/15/52 | 2,340,000 | 2,128,903 | |
Series 2019-CF2 A5 2.874% 11/15/52 | 4,000,000 | 3,457,384 | |
Series 2019-CF3 A4 3.006% 1/15/53 | 800,000 | 696,333 | |
CD Mortgage Trust | |||
Series 2017-CD6 B 3.911% 11/13/50 • | 440,000 | 385,791 | |
Series 2019-CD8 A4 2.912% 8/15/57 | 11,575,000 | 10,096,882 | |
CFCRE Commercial Mortgage Trust Series 2016-C7 A3 3.838% 12/10/54 | 3,100,000 | 2,953,506 |
Principal amount° | Value (US $) | ||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||
Citigroup Commercial Mortgage Trust | |||
Series 2014-GC25 A4 3.635% 10/10/47 | 785,000 | $ 781,568 | |
Series 2015-GC27 A5 3.137% 2/10/48 | 1,400,000 | 1,383,502 | |
Series 2016-P3 A4 3.329% 4/15/49 | 1,305,000 | 1,248,528 | |
Series 2017-C4 A4 3.471% 10/12/50 | 635,000 | 598,224 | |
COMM Mortgage Trust | |||
Series 2014-CR20 AM 3.938% 11/10/47 | 2,225,000 | 2,173,645 | |
Series 2015-3BP A 144A 3.178% 2/10/35 # | 605,000 | 554,616 | |
Series 2015-CR23 A4 3.497% 5/10/48 | 780,000 | 764,150 | |
Series 2016-CR28 A4 3.762% 2/10/49 | 2,330,000 | 2,259,781 | |
Series 2018-HCLV A 144A 6.625% (TSFR01M + 1.30%, Floor 1.00%) 9/15/33 #, • | 2,900,000 | 2,697,001 | |
DB-JPM Mortgage Trust Series 2016-C1 A4 3.276% 5/10/49 | 900,000 | 858,935 | |
GS Mortgage Securities Trust | |||
Series 2017-GS5 A4 3.674% 3/10/50 | 1,280,000 | 1,203,802 | |
Series 2017-GS6 A3 3.433% 5/10/50 | 1,935,000 | 1,808,526 | |
Series 2019-GC39 A4 3.567% 5/10/52 | 1,250,000 | 1,134,503 | |
Series 2019-GC42 A4 3.00% 9/10/52 | 5,000,000 | 4,467,962 | |
Series 2020-GC47 A5 2.377% 5/12/53 | 3,716,000 | 3,158,382 | |
Hilton USA Trust Series 2016-SFP A 144A 2.828% 11/5/35 # | 2,500,000 | 2,164,062 | |
JPM-BB Commercial Mortgage Securities Trust Series 2015-C31 A3 3.801% 8/15/48 | 7,482,198 | 7,304,491 |
30 NQ- OPTFI [0624] 0824 (3775194)
(Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||
JPM-DB Commercial Mortgage Securities Trust | |||
Series 2016-C2 A4 3.144% 6/15/49 | 1,640,000 | $ 1,551,161 | |
Series 2016-C4 A3 3.141% 12/15/49 | 1,065,000 | 988,984 | |
Series 2017-C7 A5 3.409% 10/15/50 | 2,395,000 | 2,233,684 | |
JPMorgan Chase Commercial Mortgage Securities Trust | |||
Series 2013-LC11 B 3.499% 4/15/46 | 355,000 | 307,002 | |
Series 2016-JP2 AS 3.056% 8/15/49 | 1,250,000 | 1,142,341 | |
Morgan Stanley Bank of America Merrill Lynch Trust | |||
Series 2015-C26 A5 3.531% 10/15/48 | 960,000 | 931,531 | |
Series 2015-C27 ASB 3.557% 12/15/47 | 423,024 | 418,704 | |
Series 2016-C29 A4 3.325% 5/15/49 | 1,445,000 | 1,381,374 | |
Morgan Stanley Capital I Trust | |||
Series 2014-150E A 144A 3.912% 9/9/32 # | 3,700,000 | 3,219,000 | |
Series 2019-L3 A4 3.127% 11/15/52 | 1,000,000 | 898,977 | |
Series 2020-HR8 A4 2.041% 7/15/53 | 4,415,000 | 3,681,557 | |
VMC Finance Series 2021-FL4 A 144A 6.546% (TSFR01M + 1.21%, Floor 1.21%) 6/16/36 #, • | 122,974 | 122,266 | |
Wells Fargo Commercial Mortgage Trust | |||
Series 2014-LC18 A5 3.405% 12/15/47 | 275,000 | 271,423 | |
Series 2015-NXS3 A4 3.617% 9/15/57 | 510,000 | 494,640 | |
Series 2016-BNK1 A3 2.652% 8/15/49 | 1,220,000 | 1,142,938 |
Principal amount° | Value (US $) | ||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||
Wells Fargo Commercial Mortgage Trust | |||
Series 2020-C58 A4 2.092% 7/15/53 | 2,300,000 | $ 1,892,465 | |
Total Non-Agency Commercial Mortgage-Backed Securities (cost $143,211,530) | 125,939,396 | ||
Loan Agreements — 1.77% | |||
Capital Goods — 0.12% | |||
Berry Global Tranche AA 7.191% (SOFR01M + 1.86%) 7/1/29 • | 550,877 | 551,830 | |
Standard Industries 7.344% (SOFR01M + 2.00%) 9/22/28 • | 1,024,529 | 1,028,080 | |
SunSource Borrower 9.444% (SOFR01M + 4.10%) 3/25/31 • | 1,531,162 | 1,535,948 | |
3,115,858 | |||
Communications — 0.27% | |||
Charter Communications Operating | |||
Tranche B2 7.052% (SOFR03M + 1.75%) 2/1/27 • | 467,668 | 467,841 | |
Tranche B-4 7.302% (SOFR03M + 2.00%) 12/7/30 • | 1,840,750 | 1,821,960 | |
Connect US Finco 9.844% (SOFR01M + 4.50%) 9/27/29 • | 623,101 | 588,830 | |
Frontier Communications Holdings Tranche B TBD 6/20/31 X | 1,992,918 | 1,997,900 | |
Frontier Communications Tranche B 9.208% (SOFR01M + 3.86%) 10/8/27 • | 1,000,286 | 1,001,849 | |
Viasat 9.844% (SOFR01M + 4.50%) 3/2/29 • | 1,348,341 | 1,210,979 | |
Virgin Media Bristol 8.656% (SOFR06M + 3.35%) 3/31/31 • | 215,000 | 203,520 | |
7,292,879 |
NQ- OPTFI [0624] 0824 (3775194) 31
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
Consumer Non-Cyclical — 0.60% | |||
Concentra Health Services Tranche B TBD 6/26/31 X | 1,540,000 | $ 1,545,775 | |
Flutter Entertainment Public Limited Tranche B 7.585% (SOFR03M + 2.25%) 11/25/30 • | 1,537,275 | 1,539,965 | |
Hilton Worldwide Finance Tranche B4 7.100% (SOFR01M + 1.75%) 8/27/24 • | 1,088,891 | 1,091,953 | |
IRB Holding Tranche B 8.190% (SOFR01M + 2.85%) 7/31/24 • | 3,506,736 | 3,509,475 | |
Marriott Ownership Resorts TBD 4/1/31 X | 1,900,000 | 1,909,500 | |
MPH Acquisition Holdings 9.860% (SOFR03M + 4.51%) 8/30/24 • | 1,750,500 | 1,464,293 | |
Scientific Games International Tranche B-1 8.080% (SOFR01M + 2.75%) 4/14/29 • | 1,869,631 | 1,876,351 | |
Staples 11.084% (SOFR03M + 5.75%) 9/4/29 • | 1,530,000 | 1,409,274 | |
TransUnion Intermediate Holdings Tranche B-8 7.094% (SOFR01M + 1.75%) 6/5/31 • | 1,485,000 | 1,485,309 | |
15,831,895 | |||
Finance Companies — 0.19% | |||
Castlelake Aviation One Designated Activity 8.089% (SOFR03M + 2.75%) 10/22/27 • | 1,617,241 | 1,622,462 | |
Peer Holding III Tranche B5 TBD 6/21/31 X | 3,345,000 | 3,352,667 | |
4,975,129 | |||
Industrial — 0.07% | |||
Roper Industrial Product TBD 11/22/29 X | 1,975,050 | 1,985,233 | |
1,985,233 |
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
Insurance — 0.22% | |||
Ardonagh Group Finco 1st Lien TBD 2/27/31 X, = | 2,840,000 | $ 2,838,225 | |
DaVita Tranche B-1 7.344% (SOFR01M + 2.00%) 5/9/31 • | 2,345,000 | 2,342,362 | |
USI 8.085% (SOFR03M + 2.75%) 9/27/30 • | 699,721 | 700,596 | |
5,881,183 | |||
Technology — 0.24% | |||
Broadcom TBD 11/20/26 X | 2,700,000 | 2,686,500 | |
Entegris Tranche B 7.085% (SOFR03M + 1.75%) 7/6/29 • | 768,192 | 769,345 | |
Epicor Software | |||
TBD 5/23/31 X | 79,992 | 80,428 | |
Tranche E 8.594% (SOFR01M + 3.25%) 5/23/31 • | 773,935 | 778,157 | |
Informatica Tranche B 7.594% (SOFR01M + 2.25%) 10/27/28 • | 620,713 | 623,040 | |
UKG Tranche B 8.576% (SOFR01M + 3.25%) 2/10/31 • | 1,302,848 | 1,309,227 | |
6,246,697 | |||
Transportation — 0.03% | |||
Delta Air Lines 9.078% (SOFR03M + 3.75%) 10/20/27 • | 214,638 | 220,171 | |
Mileage Plus Holdings 10.744% (SOFR03M + 5.40%) 6/21/27 • | 600,000 | 613,013 | |
833,184 | |||
Utilities — 0.03% | |||
Calpine | |||
7.344% (SOFR01M + 2.00%) 12/16/27 • | 181,177 | 181,565 | |
7.344% (SOFR01M + 2.00%) 1/31/31 • | 238,153 | 237,826 | |
Vistra Operations 7.344% (SOFR01M + 2.00%) 12/20/30 • | 501,765 | 503,450 | |
922,841 | |||
Total Loan Agreements (cost $47,365,240) | 47,084,899 | ||
32 NQ- OPTFI [0624] 0824 (3775194)
(Unaudited)
Principal amount° | Value (US $) | ||
Sovereign Bonds — 1.46%Δ | |||
Albania — 0.01% | |||
Albania Government International Bond 144A 3.50% 6/16/27 # | EUR | 150,000 | $ 155,911 |
155,911 | |||
Angola — 0.01% | |||
Angolan Government International Bonds | |||
8.25% 5/9/28 ■ | 200,000 | 188,392 | |
144A 8.75% 4/14/32 # | 200,000 | 177,498 | |
365,890 | |||
Argentina — 0.01% | |||
Argentine Republic Government International Bonds | |||
0.75% 7/9/30 ~ | 300,000 | 169,653 | |
1.00% 7/9/29 | 31,833 | 18,304 | |
3.625% 7/9/35 ~ | 461,150 | 194,276 | |
382,233 | |||
Bahrain — 0.01% | |||
Bahrain Government International Bond 144A 7.375% 5/14/30 # | 300,000 | 312,812 | |
312,812 | |||
Benin — 0.01% | |||
Benin Government International Bond 144A 7.96% 2/13/38 # | 200,000 | 186,352 | |
186,352 | |||
Bermuda — 0.02% | |||
Bermuda Government International Bonds | |||
144A 5.00% 7/15/32 # | 400,000 | 386,560 | |
5.00% 7/15/32 ■ | 255,000 | 246,432 | |
632,992 | |||
Brazil — 0.30% | |||
Brazil Letras do Tesouro Nacional | |||
10.327% 1/1/25 ^ | BRL | 22,200,000 | 3,772,177 |
10.404% 4/1/25 ^ | BRL | 17,000,000 | 2,814,734 |
Brazilian Government International Bonds | |||
4.75% 1/14/50 | 233,000 | 167,667 | |
6.00% 10/20/33 | 200,000 | 192,601 |
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Brazil (continued) | |||
Brazilian Government International Bonds | |||
7.125% 5/13/54 | 1,200,000 | $ 1,161,921 | |
8,109,100 | |||
Chile — 0.01% | |||
Chile Government International Bonds | |||
3.10% 5/7/41 | 323,000 | 237,114 | |
3.50% 1/25/50 | 200,000 | 144,369 | |
381,483 | |||
Colombia — 0.02% | |||
Colombia Government International Bonds | |||
5.00% 6/15/45 | 200,000 | 141,072 | |
5.20% 5/15/49 | 200,000 | 141,365 | |
8.75% 11/14/53 | 200,000 | 210,823 | |
493,260 | |||
Dominican Republic — 0.03% | |||
Dominican Republic International Bonds | |||
144A 4.875% 9/23/32 # | 500,000 | 448,815 | |
5.30% 1/21/41 ■ | 231,000 | 196,565 | |
144A 5.50% 2/22/29 # | 200,000 | 193,685 | |
839,065 | |||
Ecuador — 0.01% | |||
Ecuador Government International Bonds | |||
144A 2.50% 7/31/40 #, ~ | 278,501 | 127,832 | |
144A 6.00% 7/31/30 #, ~ | 125,307 | 79,683 | |
144A 6.61% 7/31/30 #, ^ | 35,471 | 17,026 | |
224,541 | |||
Egypt — 0.02% | |||
Egypt Government International Bonds | |||
5.80% 9/30/27 ■ | 211,000 | 190,427 | |
144A 8.70% 3/1/49 # | 359,000 | 270,681 | |
461,108 | |||
El Salvador — 0.01% | |||
El Salvador Government International Bonds | |||
144A 0.25% 4/17/30 # | 150,000 | 4,639 |
NQ- OPTFI [0624] 0824 (3775194) 33
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
El Salvador (continued) | |||
El Salvador Government International Bonds | |||
6.375% 1/18/27 ■ | 119,000 | $ 106,415 | |
144A 9.25% 4/17/30 # | 150,000 | 133,683 | |
244,737 | |||
Gabon — 0.01% | |||
Gabon Government International Bond 144A 6.625% 2/6/31 # | 200,000 | 151,026 | |
151,026 | |||
Georgia — 0.01% | |||
Georgia Government International Bond 144A 2.75% 4/22/26 # | 200,000 | 183,920 | |
183,920 | |||
Ghana — 0.00% | |||
Ghana Government International Bond 144A 7.75% 4/7/29 # | 230,000 | 117,154 | |
117,154 | |||
Hungary — 0.01% | |||
MFB Magyar Fejlesztesi Bank 6.50% 6/29/28 ■ | 215,000 | 218,999 | |
218,999 | |||
Indonesia — 0.01% | |||
Indonesia Government International Bond 5.45% 9/20/52 | 200,000 | 198,243 | |
198,243 | |||
Israel — 0.05% | |||
Israel Government International Bond 5.375% 3/12/29 | 1,400,000 | 1,375,261 | |
1,375,261 | |||
Italy — 0.25% | |||
Cassa Depositi e Prestiti 144A 5.875% 4/30/29 # | 6,600,000 | 6,705,072 | |
6,705,072 |
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Ivory Coast — 0.02% | |||
Ivory Coast Government International Bonds | |||
144A 6.125% 6/15/33 # | 200,000 | $ 177,813 | |
144A 7.625% 1/30/33 # | 270,000 | 262,713 | |
440,526 | |||
Japan — 0.19% | |||
Japan Government Thirty Year Bond 0.40% 3/20/50 | JPY | 1,212,850,000 | 5,045,947 |
5,045,947 | |||
Jordan — 0.01% | |||
Jordan Government International Bond 144A 4.95% 7/7/25 # | 200,000 | 194,989 | |
194,989 | |||
Kazakhstan — 0.01% | |||
Kazakhstan Government International Bond 144A 6.50% 7/21/45 # | 207,000 | 239,246 | |
239,246 | |||
Mexico — 0.02% | |||
Mexico Government International Bonds | |||
4.875% 5/19/33 | 395,000 | 364,793 | |
6.338% 5/4/53 | 200,000 | 189,071 | |
553,864 | |||
Nigeria — 0.02% | |||
Nigeria Government International Bonds | |||
7.375% 9/28/33 ■ | 320,000 | 262,031 | |
144A 7.875% 2/16/32 # | 337,000 | 291,836 | |
553,867 | |||
Oman — 0.01% | |||
Oman Government International Bond 144A 6.75% 1/17/48 # | 343,000 | 350,000 | |
350,000 |
34 NQ- OPTFI [0624] 0824 (3775194)
(Unaudited)
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Panama — 0.01% | |||
Panama Bonos del Tesoro 3.362% 6/30/31 | 200,000 | $ 160,750 | |
160,750 | |||
Paraguay — 0.01% | |||
Paraguay Government International Bond 144A 5.40% 3/30/50 # | 403,000 | 353,062 | |
353,062 | |||
Peru — 0.01% | |||
Peruvian Government International Bond 2.844% 6/20/30 | 312,000 | 272,782 | |
272,782 | |||
Poland — 0.02% | |||
Bank Gospodarstwa Krajowego 144A 5.375% 5/22/33 # | 370,000 | 366,700 | |
Republic of Poland Government International Bond 5.50% 4/4/53 | 203,000 | 199,468 | |
566,168 | |||
Qatar — 0.01% | |||
Qatar Government International Bond 144A 4.40% 4/16/50 # | 411,000 | 360,167 | |
360,167 | |||
Republic of North Macedonia — 0.01% | |||
North Macedonia Government International Bond 144A 3.675% 6/3/26 # | EUR | 150,000 | 156,272 |
156,272 | |||
Romania — 0.07% | |||
Romanian Government International Bonds | |||
144A 1.75% 7/13/30 # | EUR | 1,800,000 | 1,577,113 |
144A 2.625% 12/2/40 # | EUR | 123,000 | 85,752 |
144A 3.375% 1/28/50 # | EUR | 109,000 | 77,730 |
7.125% 1/17/33 ■ | 176,000 | 185,664 | |
1,926,259 |
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Saudi Arabia — 0.01% | |||
Saudi Government International Bond 4.50% 10/26/46 ■ | 200,000 | $ 169,730 | |
169,730 | |||
Serbia — 0.02% | |||
Serbia International Bonds | |||
144A 1.00% 9/23/28 # | EUR | 200,000 | 182,530 |
144A 3.125% 5/15/27 # | EUR | 100,000 | 102,784 |
144A 6.00% 6/12/34 # | 200,000 | 197,125 | |
482,439 | |||
South Africa — 0.13% | |||
Republic of South Africa Government International Bonds | |||
4.85% 9/30/29 | 3,200,000 | 2,934,748 | |
5.65% 9/27/47 | 200,000 | 151,475 | |
5.875% 6/22/30 | 268,000 | 255,095 | |
3,341,318 | |||
South Korea — 0.03% | |||
Export-Import Bank of Korea 5.125% 1/11/33 | 200,000 | 202,370 | |
Korea Housing Finance 144A 4.625% 2/24/33 # | 255,000 | 244,530 | |
Korea Hydro & Nuclear Power 144A 5.00% 7/18/28 # | 260,000 | 259,643 | |
706,543 | |||
Sri Lanka — 0.00% | |||
Sri Lanka Government International Bond 144A 6.20% 5/11/27 # | 253,000 | 149,129 | |
149,129 | |||
Turkey — 0.03% | |||
Turkey Government International Bonds | |||
7.625% 4/26/29 | 300,000 | 306,758 | |
9.125% 7/13/30 | 200,000 | 218,276 | |
Turkiye Ihracat Kredi Bankasi 144A 5.75% 7/6/26 # | 350,000 | 340,881 | |
865,915 |
NQ- OPTFI [0624] 0824 (3775194) 35
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Ukraine — 0.01% | |||
Ukraine Government International Bond 144A 7.75% 9/1/28 # | 505,000 | $ 155,463 | |
155,463 | |||
Venezuela — 0.00% | |||
Venezuela Government International Bond 7.75% 10/13/19 ‡, ■ | 370,000 | 56,333 | |
56,333 | |||
Total Sovereign Bonds (cost $42,287,007) | 38,839,928 | ||
Supranational Banks — 0.03% | |||
African Development Bank 5.75% 5/7/34 μ, ψ | 325,000 | 314,431 | |
Banque Ouest Africaine de Developpement 144A 2.75% 1/22/33 # | EUR | 200,000 | 172,755 |
Corp Andina de Fomento 5.00% 1/24/29 | 200,000 | 199,667 | |
Total Supranational Banks (cost $756,458) | 686,853 | ||
US Treasury Obligations — 16.60% | |||
US Treasury Bonds | |||
1.375% 11/15/40 | 100,000 | 63,137 | |
1.625% 11/15/50 | 13,500,000 | 7,393,623 | |
1.75% 8/15/41 | 1,800,000 | 1,189,934 | |
1.875% 2/15/41 | 52,800,000 | 36,148,406 | |
1.875% 2/15/51 | 2,700,000 | 1,577,285 | |
1.875% 11/15/51 | 5,100,000 | 2,961,187 | |
2.00% 2/15/50 | 16,000,000 | 9,720,626 | |
2.25% 8/15/46 | 13,695,000 | 9,131,784 | |
2.25% 8/15/49 | 850,000 | 549,545 | |
2.25% 2/15/52 | 2,600,000 | 1,656,789 | |
2.50% 2/15/45 | 37,100,000 | 26,475,777 | |
2.75% 8/15/42 | 900,000 | 692,508 | |
2.75% 11/15/42 | 1,400,000 | 1,073,352 | |
2.875% 5/15/43 | 2,200,000 | 1,709,125 | |
2.875% 8/15/45 | 16,700,000 | 12,689,391 | |
3.00% 5/15/47 | 900,000 | 688,641 | |
3.00% 8/15/48 | 3,770,000 | 2,861,224 | |
3.00% 2/15/49 | 700,000 | 530,359 | |
3.125% 5/15/48 | 1,490,000 | 1,159,028 | |
3.625% 5/15/53 | 24,300,000 | 20,682,527 | |
3.875% 2/15/43 | 23,845,000 | 21,561,097 | |
4.25% 2/15/54 | 11,830,000 | 11,267,151 |
Principal amount° | Value (US $) | ||
US Treasury Obligations (continued) | |||
US Treasury Bonds | |||
4.625% 5/15/44 | 10,275,000 | $ 10,257,340 | |
US Treasury Floating Rate Notes | |||
5.46% (USBMMY3M + 0.15%) 4/30/26 • | 18,635,000 | 18,638,611 | |
5.545% (USBMMY3M + 0.25%) 1/31/26 • | 8,110,000 | 8,123,252 | |
US Treasury Inflation Indexed Notes | |||
0.625% 7/15/32 | 35,288,532 | 31,657,391 | |
1.125% 1/15/33 | 19,473,285 | 18,025,310 | |
US Treasury Notes | |||
0.50% 10/31/27 | 13,200,000 | 11,589,188 | |
2.125% 11/30/24 ∞ | 11,130,000 | 10,987,294 | |
2.25% 11/15/24 | 1,526,000 | 1,508,383 | |
2.625% 3/31/25 | 12,700,000 | 12,461,337 | |
3.50% 1/31/30 | 15,650,000 | 14,990,378 | |
4.00% 2/15/34 | 15,940,000 | 15,475,499 | |
4.375% 5/15/34 | 20,330,000 | 20,337,941 | |
4.50% 5/15/27 | 14,060,000 | 14,042,975 | |
4.50% 9/30/28 | 12,620,000 | 12,728,700 | |
4.50% 5/31/29 | 34,585,000 | 34,825,473 | |
4.50% 5/31/31 | 16,005,000 | 16,267,583 | |
4.625% 4/30/31 | 15,225,000 | 15,473,595 | |
US Treasury STRIP Principal 2.774% 5/15/44 ^ | 5,940,000 | 2,369,098 | |
Total US Treasury Obligations (cost $464,446,867) | 441,541,844 |
Number of shares | |||
Common Stock — 0.04% | |||
Industrials — 0.04% | |||
Grupo Aeromexico =, † | 50,210 | 960,563 | |
Total Common Stock (cost $739,329) | 960,563 |
36 NQ- OPTFI [0624] 0824 (3775194)
(Unaudited)
Notional amount* | Value (US $) | ||
Options Purchased — 0.03% | |||
Call Swaptions — 0.01% | |||
1 yr IRS pay a fixed rate 2.73% and receive a floating rate based on 6-month EUR-ICE SOFR expiration date 11/14/24 (GS) | 28,100,000 | $ 12,861 | |
1 yr IRS pay a fixed rate 2.75% and receive a floating rate based on 6-month EUR-ICE SOFR expiration date 11/13/24 (GS) | 42,300,000 | 20,308 | |
1 yr IRS pay a fixed rate 2.75% and receive a floating rate based on 6-month EUR-ICE SOFR expiration date 11/15/24 (GS) | 19,900,000 | 10,042 | |
1 yr IRS pay a fixed rate 2.77% and receive a floating rate based on 6-month EUR-ICE SOFR expiration date 11/18/24 (GS) | 13,600,000 | 7,377 | |
1 yr IRS pay a fixed rate 2.80% and receive a floating rate based on 6-month EUR-ICE SOFR expiration date 11/20/24 (GS) | 19,000,000 | 11,875 | |
1 yr IRS pay a fixed rate 2.80% and receive a floating rate based on 6-month EUR-ICE SOFR expiration date 12/17/24 (GS) | 19,000,000 | 17,497 |
Notional amount* | Value (US $) | ||
Options Purchased (continued) | |||
Call Swaptions (continued) | |||
1 yr IRS pay a fixed rate 2.82% and receive a floating rate based on 6-month EUR-ICE SOFR expiration date 11/21/24 (GS) | 18,800,000 | $ 12,615 | |
1 yr IRS pay a fixed rate 2.85% and receive a floating rate based on 6-month EUR-ICE SOFR expiration date 11/22/24 (GS) | 14,600,000 | 10,805 | |
1 yr IRS pay a fixed rate 2.92% and receive a floating rate based on 6-month EUR-ICE SOFR expiration date 11/25/24 (GS) | 20,800,000 | 19,316 | |
122,696 |
Number of contracts | |||
Foreign Currency Call Options — 0.02% | |||
USD vs CNH strike price $7.275, expiration date 12/6/24, notional amount $4,365,000 (BNP) | 600,000 | 155,186 | |
USD vs CNH strike price $7.30, expiration date 1/14/25, notional amount $2,044,000 (CITI) | 280,000 | 52,864 | |
USD vs CNH strike price $7.325, expiration date 12/6/24, notional amount $3,662,500 (BNP) | 500,000 | 97,718 |
NQ- OPTFI [0624] 0824 (3775194) 37
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Number of contracts | Value (US $) | ||
Foreign Currency Call Options (continued) | |||
USD vs CNH strike price $7.325, expiration date 1/14/25, notional amount $2,197,500 (BNP) | 300,000 | $ 49,877 | |
USD vs CNH strike price $7.40, expiration date 12/6/24, notional amount $2,072,000 (BNP) | 280,000 | 40,771 | |
USD vs CNH strike price $7.40, expiration date 1/14/25, notional amount $2,072,000 (BNP) | 280,000 | 36,227 | |
USD vs CNH strike price $7.40, expiration date 1/23/25, notional amount $2,072,000 (BNP) | 280,000 | 37,881 | |
USD vs CNH strike price $7.45, expiration date 2/14/25, notional amount $2,086,000 (CITI) | 280,000 | 30,088 | |
500,612 | |||
Total Options Purchased (premium paid $293,898) | 623,308 |
Number of shares | |||
Short-Term Investments — 25.04% | |||
Money Market Mutual Funds — 1.23% | |||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 5.21%) | 8,214,326 | 8,214,326 |
Number of shares | Value (US $) | ||
Short-Term Investments (continued) | |||
Money Market Mutual Funds (continued) | |||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 5.21%) | 8,214,326 | $ 8,214,326 | |
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.35%) | 8,214,326 | 8,214,326 | |
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.22%) | 8,214,326 | 8,214,326 | |
32,857,304 |
Principal amount° | |||
Repurchase Agreements — 23.81% | |||
US Treasury repurchase agreement with JPMorgan Securities 5.32%, dated 3/11/24, to be repurchased 3/11/26, repurchase price $190,645,224 (collateralized by US government obligations; 1.875%-2.25%; market value $175,896,632) | 172,104,415 | 172,104,415 |
38 NQ- OPTFI [0624] 0824 (3775194)
(Unaudited)
Principal amount° | Value (US $) | ||
Repurchase Agreements (continued) | |||
US Treasury repurchase agreement with Standard Chartered Bank 5.43%, dated 6/27/24, to be repurchased 7/1/24, repurchase price $229,603,849 (collateralized by US government obligations; 0.125% - 2.375%; market value $233,280,243) | 229,500,000 | $ 229,500,000 | |
US Treasury repurchase agreement with Standard Chartered Bank 5.44%, dated 6/28/24, to be repurchased 7/2/24, repurchase price $231,735,012 (collateralized by US government obligations; 0.125%-3.625%; market value $235,426,691) | 231,700,000 | 231,700,000 | |
633,304,415 | |||
Total Short-Term Investments (cost $666,161,719) | 666,161,719 | ||
Total Value of Securities Before Options Written—138.13% (cost $3,807,946,552) | 3,674,357,812 |
Notional amount* | |||
Options Written — (0.01%) | |||
Call Swaptions — (0.01%) | |||
5 yr IRS pay a fixed rate 3.85% and receive a floating rate based on 1-month USD-ICE SOFR expiration date 7/5/24 (JPMCB) | (3,300,000) | (759) |
Notional amount* | Value (US $) | ||
Options Written (continued) | |||
Call Swaptions (continued) | |||
10 yr IRS pay a fixed rate 2.30% and receive a floating rate based on 6-month EUR-ICE SOFR expiration date 11/14/24 (GS) | (3,100,000) | $ (13,324) | |
10 yr IRS pay a fixed rate 2.31% and receive a floating rate based on 6-month EUR-ICE SOFR expiration date 11/13/24 (GS) | (4,700,000) | (20,597) | |
10 yr IRS pay a fixed rate 2.31% and receive a floating rate based on 6-month EUR-ICE SOFR expiration date 11/15/24 (GS) | (2,200,000) | (9,867) | |
10 yr IRS pay a fixed rate 2.31% and receive a floating rate based on 6-month EUR-ICE SOFR expiration date 11/18/24 (GS) | (1,500,000) | (6,937) | |
10 yr IRS pay a fixed rate 2.35% and receive a floating rate based on 6-month EUR-ICE SOFR expiration date 11/20/24 (GS) | (2,100,000) | (11,224) | |
10 yr IRS pay a fixed rate 2.353% and receive a floating rate based on 6-month EUR-ICE SOFR expiration date 12/17/24 (GS) | (2,100,000) | (14,275) |
NQ- OPTFI [0624] 0824 (3775194) 39
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Notional amount* | Value (US $) | ||
Options Written (continued) | |||
Call Swaptions (continued) | |||
10 yr IRS pay a fixed rate 2.357% and receive a floating rate based on 6-month EUR-ICE SOFR expiration date 11/21/24 (GS) | (2,100,000) | $ (11,596) | |
10 yr IRS pay a fixed rate 2.36% and receive a floating rate based on 6-month EUR-ICE SOFR expiration date 11/22/24 (GS) | (1,600,000) | (9,000) | |
10 yr IRS pay a fixed rate 2.40% and receive a floating rate based on 6-month EUR-ICE SOFR expiration date 11/25/24 (GS) | (2,300,000) | (14,977) | |
10 yr IRS pay a fixed rate 2.55% and receive a floating rate based on 1-month EUR-ICE SOFR expiration date 7/15/24 (GS) | (1,000,000) | (340) | |
10 yr IRS pay a fixed rate 3.54% and receive a floating rate based on 1-month USD-ICE SOFR expiration date 7/24/24 (GS) | (100,000) | (72) | |
10 yr IRS pay a fixed rate 3.628% and receive a floating rate based on 1-month USD-ICE SOFR expiration date 7/18/24 (GS) | (1,400,000) | (1,151) |
Notional amount* | Value (US $) | ||
Options Written (continued) | |||
Call Swaptions (continued) | |||
10 yr IRS pay a fixed rate 3.63% and receive a floating rate based on 1-month USD-ICE SOFR expiration date 7/29/24 (MS) | (1,500,000) | $ (2,767) | |
10 yr IRS pay a fixed rate 3.64% and receive a floating rate based on 1-month USD-ICE SOFR expiration date 7/23/24 (JPMCB) | (6,200,000) | (8,469) | |
10 yr IRS pay a fixed rate 3.648% and receive a floating rate based on 1-month USD-ICE SOFR expiration date 7/24/24 (GS) | (4,500,000) | (6,951) | |
10 yr IRS pay a fixed rate 3.68% and receive a floating rate based on 1-month USD-ICE SOFR expiration date 7/22/24 (GS) | (100,000) | (169) | |
10 yr IRS pay a fixed rate 3.69% and receive a floating rate based on 1-month USD-ICE SOFR expiration date 7/29/24 (MS) | (1,400,000) | (3,681) | |
10 yr IRS pay a fixed rate 3.71% and receive a floating rate based on 1-month USD-ICE SOFR expiration date 7/29/24 (GS) | (1,000,000) | (2,948) |
40 NQ- OPTFI [0624] 0824 (3775194)
(Unaudited)
Notional amount* | Value (US $) | ||
Options Written (continued) | |||
Call Swaptions (continued) | |||
10 yr IRS pay a fixed rate 3.765% and receive a floating rate based on 2-month USD-ICE SOFR expiration date 7/22/24 (MS) | (2,200,000) | $ (6,579) | |
10 yr IRS pay a fixed rate 3.80% and receive a floating rate based on 2-month USD-ICE SOFR expiration date 7/8/24 (BAML) | (3,300,000) | (4,302) | |
10 yr IRS pay a fixed rate 3.88% and receive a floating rate based on 1-month USD-ICE SOFR expiration date 7/8/24 (GS) | (1,300,000) | (3,826) | |
(153,811) | |||
Put Swaptions — (0.00%) | |||
5 yr IRS pay a fixed rate 4.25% and receive a floating rate based on 1-month USD-ICE SOFR expiration date 7/5/24 (JPMCB) | (3,300,000) | (888) | |
10 yr IRS pay a fixed rate 2.88% and receive a floating rate based on 1-month EUR-ICE SOFR expiration date 7/15/24 (GS) | (1,000,000) | (4,103) | |
10 yr IRS pay a fixed rate 3.978% and receive a floating rate based on 1-month USD-ICE SOFR expiration date 7/18/24 (GS) | (1,400,000) | (8,488) |
Notional amount* | Value (US $) | ||
Options Written (continued) | |||
Put Swaptions (continued) | |||
10 yr IRS pay a fixed rate 3.99% and receive a floating rate based on 1-month USD-ICE SOFR expiration date 7/23/24 (JPMCB) | (6,200,000) | $ (40,088) | |
10 yr IRS pay a fixed rate 3.998% and receive a floating rate based on 1-month USD-ICE SOFR expiration date 7/24/24 (GS) | (4,500,000) | (28,540) | |
10 yr IRS pay a fixed rate 4.00% and receive a floating rate based on 1-month USD-ICE SOFR expiration date 7/24/24 (GS) | (100,000) | (627) | |
10 yr IRS pay a fixed rate 4.03% and receive a floating rate based on 1-month USD-ICE SOFR expiration date 7/22/24 (GS) | (100,000) | (505) | |
10 yr IRS pay a fixed rate 4.04% and receive a floating rate based on 1-month USD-ICE SOFR expiration date 7/29/24 (MS) | (1,400,000) | (8,012) | |
10 yr IRS pay a fixed rate 4.09% and receive a floating rate based on 1-month USD-ICE SOFR expiration date 7/29/24 (MS) | (1,500,000) | (6,621) |
NQ- OPTFI [0624] 0824 (3775194) 41
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 4.11% and receive a floating rate based on 1-month USD-ICE SOFR expiration date 7/29/24 (GS) | (1,000,000) | $ (3,962) | |
10 yr IRS pay a fixed rate 4.23% and receive a floating rate based on 1-month USD-ICE SOFR expiration date 7/8/24 (GS) | (1,300,000) | (308) | |
10 yr IRS pay a fixed rate 4.265% and receive a floating rate based on 2-month USD-ICE SOFR expiration date 7/22/24 (MS) | (2,200,000) | (2,310) | |
10 yr IRS pay a fixed rate 4.35% and receive a floating rate based on 2-month USD-ICE SOFR expiration date 7/8/24 (BAML) | (3,300,000) | (126) | |
(104,578) | |||
Total Options Written (premium received $198,644) | (258,389) | ||
Liabilities Net of Receivables and Other Assets—(38.12%)★ | (1,013,960,633) | ||
Net Assets Applicable to 326,048,679 Shares Outstanding—100.00% | $2,660,138,790 |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
† | Non-income producing security. |
∞ | Fully or partially pledged as collateral for futures and swap contracts. |
Δ | Securities have been classified by country of risk. |
X | This loan will settle after June 30, 2024, at which time the interest rate, based on the SOFR 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, 2024. |
>> | PIK. 100% of the income received was in the form of principal. |
‡ | Non-income producing security. Security is currently in default. |
ψ | Perpetual security. Maturity date represents next call date. |
■ | Regulation S security. Security is offered and sold outside of the United States; therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
μ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at June 30, 2024. Rate will reset at a future date. |
♦ | Pass Through Agreement. Security represents the contractual right to receive a proportionate amount of underlying payments due to the counterparty pursuant to various agreements related to the rescheduling of obligations and the exchange of certain notes. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security. |
Σ | Interest only security. An interest only security is the interest only portion of a fixed income security, which is separated and sold individually from the principal portion of the security. |
^ | Zero-coupon security. The rate shown is the effective yield at the time of purchase. |
Ω | Principal only security. A principal only security is the principal only portion of a fixed income security which is separated and sold individually from the interest portion of the security. |
• | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at June 30, 2024. 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. SOFR01M, SOFR03M, etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2024, the aggregate value of Rule 144A securities was $480,918,511, which represents 18.08% of the Fund’s net assets. |
* | Notional amount shown is stated in USD unless noted that the swap is denominated in another currency. |
★ | Includes $3,369,174 cash collateral held at brokers for certain open derivatives, $2,369,000 cash collateral pledged for TBA transactions, and $XXXXX cash collateral due to brokers for certain open derivatives. |
42 NQ- OPTFI [0624] 0824 (3775194)
(Unaudited)
The following forward foreign currency exchange contracts, futures contracts, and swap contracts were outstanding at June 30, 2024:
Forward Foreign Currency Exchange Contracts | ||||||||||||
Counterparty | Currency to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||
BAML | EUR | (88,942,000) | USD | 96,564,258 | 7/2/24 | $1,294,342 | $— | |||||
BAML | INR | 8,954,272 | USD | (106,894) | 9/24/24 | 195 | — | |||||
BAML | KRW | (36,637,383) | USD | 26,774 | 7/22/24 | 194 | — | |||||
BAML | MXN | (114,924,000) | USD | 6,032,774 | 9/18/24 | — | (167,874) | |||||
BNP | AUD | (5,210,224) | USD | 3,471,600 | 7/2/24 | — | (4,482) | |||||
BNP | AUD | 5,210,224 | USD | (3,474,555) | 8/2/24 | 4,591 | — | |||||
BNP | BRL | (22,200,000) | USD | 3,997,731 | 1/3/25 | 109,076 | — | |||||
BNP | CAD | (3,761) | USD | 2,755 | 7/2/24 | 6 | — | |||||
BNP | CAD | (1,816,942) | USD | 1,328,860 | 8/2/24 | — | (371) | |||||
BNP | EUR | (87,907,000) | USD | 94,162,638 | 8/2/24 | — | (142,877) | |||||
BNP | GBP | (6,902,000) | USD | 8,729,070 | 8/2/24 | 2,262 | — | |||||
BNP | KRW | (39,457,040) | USD | 28,748 | 7/22/24 | 121 | — | |||||
BNP | PLN | (476,044) | USD | 117,479 | 7/22/24 | — | (744) | |||||
CITI | BRL | (36,933,755) | USD | 6,755,392 | 8/2/24 | 176,096 | — | |||||
CITI | BRL | 37,237,202 | USD | (6,775,794) | 10/2/24 | — | (186,985) | |||||
CITI | EUR | (390,000) | USD | 418,176 | 7/2/24 | 429 | — | |||||
CITI | INR | 14,485,127 | USD | (173,260) | 9/24/24 | — | (23) | |||||
CITI | MXN | (3,264,000) | USD | 177,178 | 7/15/24 | — | (761) | |||||
CITI | MXN | (130,255) | USD | 6,939 | 9/18/24 | — | (89) | |||||
CITI | TRY | 105,907,773 | USD | (3,141,499) | 7/24/24 | 8,420 | — | |||||
DB | AUD | 5,210,224 | USD | (3,459,016) | 7/2/24 | 17,067 | — | |||||
DB | BRL | 43,876,904 | USD | (8,242,441) | 8/2/24 | — | (426,308) | |||||
DB | KRW | (21,564,603) | USD | 15,674 | 7/22/24 | 29 | — | |||||
JPMCB | BRL | (17,000,000) | USD | 3,024,481 | 4/2/25 | 80,122 | — | |||||
JPMCB | EUR | 1,425,000 | USD | (1,553,681) | 7/2/24 | — | (27,298) | |||||
JPMCB | EUR | (866,000) | USD | 925,937 | 7/12/24 | — | (2,124) | |||||
JPMCB | INR | 1,975,805 | USD | (23,581) | 9/24/24 | 49 | — | |||||
JPMCB | JPY | (476,150) | USD | 3,042 | 7/2/24 | 81 | — | |||||
JPMCB | JPY | (133,771,502) | USD | 838,292 | 8/2/24 | 2,248 | — | |||||
JPMCB | JPY | (1,437,040,000) | USD | 9,126,806 | 8/23/24 | 115,241 | — | |||||
JPMCB | JPY | 606,900,000 | USD | (3,941,159) | 8/23/24 | — | (135,336) | |||||
JPMCB | KRW | (26,616,226) | USD | 19,296 | 7/22/24 | — | (15) | |||||
JPMCB | MXN | 118,449,891 | USD | (6,545,459) | 9/18/24 | — | (154,574) | |||||
JPMCB | TRY | 111,423,049 | USD | (3,302,598) | 7/3/24 | 91,623 | — | |||||
JPMCB | TRY | 12,561,818 | USD | (369,107) | 7/12/24 | 9,674 | — | |||||
JPMCB | TRY | 94,631,095 | USD | (2,779,719) | 7/29/24 | 18,760 | — | |||||
JPMCB | TRY | 15,172,600 | USD | (422,635) | 8/8/24 | 20,820 | — | |||||
JPMCB | TRY | 29,086,750 | USD | (797,225) | 8/26/24 | 35,414 | — | |||||
TD | EUR | (4,728,330) | USD | 5,158,703 | 8/23/24 | 80,755 | — | |||||
Total Forward Foreign Currency Exchange Contracts | $2,067,615 | $(1,249,861) |
NQ- OPTFI [0624] 0824 (3775194) 43
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 | |||||||
166 | Canadian Treasury 10 yr Bonds | $14,569,365 | $14,465,336 | 9/18/24 | $104,029 | $— | $(37,471) | ||||||
(176) | Euro-Bobl | (21,947,450) | (21,757,994) | 9/6/24 | — | (189,456) | 28,151 | ||||||
(140) | Euro-Bund | (19,734,181) | (19,478,123) | 9/6/24 | — | (256,058) | 62,793 | ||||||
(50) | Euro-Schatz | (5,659,971) | (5,635,223) | 9/6/24 | — | (24,748) | 1,859 | ||||||
(33) | Long 10 yr Gilt | (4,070,162) | (4,056,779) | 9/26/24 | — | (13,383) | 17,930 | ||||||
1,745 | US Treasury 5 yr Notes | 185,978,828 | 185,053,505 | 9/30/24 | 925,323 | — | (190,850) | ||||||
(1,335) | US Treasury 10 yr Notes | (146,829,140) | (145,465,360) | 9/19/24 | — | (1,363,780) | 354,603 | ||||||
97 | US Treasury 10 yr Ultra Notes | 11,012,531 | 11,087,641 | 9/19/24 | — | (75,110) | (46,985) | ||||||
(71) | US Treasury 10 yr Ultra Notes | (8,060,718) | (7,982,399) | 9/19/24 | — | (78,319) | 34,391 | ||||||
830 | US Treasury Long Bonds | 98,199,375 | 98,163,126 | 9/19/24 | 36,249 | — | (830,000) | ||||||
164 | US Treasury Ultra Bonds | 20,556,375 | 20,683,189 | 9/19/24 | — | (126,814) | (271,625) | ||||||
Total Futures Contracts | $125,076,919 | $1,065,601 | $(2,127,668) | $(877,204) |
Swap Contracts
CDS Contracts1 | ||||||||||||||
Counterparty/ Reference Obligation/ Termination Date/ Payment Frequency | Notional Amount2 | Annual Protection Payments | Value | Amortized Upfront Payments Paid (Received) | Unrealized Appreciation3 | Unrealized Depreciation3 | Variation Margin Due from (Due to) Brokers | |||||||
Centrally Cleared: | ||||||||||||||
Protection Sold/Moody's Ratings: | ||||||||||||||
Boeing 2.60% 10/30/25 Baa2 6/26/26-Quarterly | 700,000 | 1.000% | $2,237 | $(2,039) | $4,276 | $— | $95 | |||||||
Boeing 7.25% 6/15/25 Baa3 12/20/26-Quarterly | 4,100,000 | 1.000% | 5,118 | (11,360) | 16,479 | — | 885 | |||||||
British Telecom 2.70% 10/9/22 Baa1 12/20/28-Quarterly | EUR 1,600,000 | 1.000% | 24,565 | (52,886) | 77,451 | — | (47) | |||||||
British Telecom 5.75% 12/7/28 Baa2 12/20/24-Quarterly | EUR 2,800,000 | 1.000% | 12,035 | 15,077 | — | (3,042) | (137) | |||||||
CDX.ITRX.EUR.414 6/20/29-Quarterly | EUR 100,000 | 1.000% | 1,905 | 2,245 | — | (340) | 60 | |||||||
CDX.NA.IG.355 12/20/25-Quarterly | 400,000 | 1.000% | 4,636 | 3,106 | 1,530 | — | 15 |
44 NQ- OPTFI [0624] 0824 (3775194)
(Unaudited)
Counterparty/ Reference Obligation/ Termination Date/ Payment Frequency | Notional Amount2 | Annual Protection Payments | Value | Amortized Upfront Payments Paid (Received) | Unrealized Appreciation3 | Unrealized Depreciation3 | Variation Margin Due from (Due to) Brokers | |||||||
Centrally Cleared: (continued) | ||||||||||||||
Protection Sold/Moody's Ratings (continued): | ||||||||||||||
CDX.NA.IG.365 6/20/26-Quarterly | 1,900,000 | 1.000% | $27,424 | $18,588 | $8,836 | $— | $174 | |||||||
CDX.NA.IG.375 12/20/26-Quarterly | 300,000 | 1.000% | 4,938 | 3,284 | 1,654 | — | (5) | |||||||
General Electric 2.70% 10/9/22 Baa1 12/20/26-Quarterly | 1,200,000 | 1.000% | 24,048 | 6,421 | 17,627 | — | 85 | |||||||
General Electric 2.70% 10/9/22 Baa1 6/20/26-Quarterly | 600,000 | 1.000% | 10,170 | 2,285 | 7,885 | — | 25 | |||||||
General Motors 4.875% 10/2/23 Baa2 12/20/26-Quarterly | 240,000 | 5.000% | 25,454 | 22,366 | 3,088 | — | (19) | |||||||
General Motors 4.875% 10/2/23 Baa2 6/20/28-Quarterly | 275,000 | 5.000% | 41,342 | 25,452 | 15,889 | — | (86) | |||||||
Tesco 1.00% 6/25/19 Baa3 6/20/28-Quarterly | EUR 2,700,000 | 1.000% | 60,101 | 495 | 59,606 | — | (180) | |||||||
243,973 | 33,034 | 214,321 | (3,382) | 865 | ||||||||||
Over-The-Counter: | ||||||||||||||
Protection Purchased/Moody’s Ratings: | ||||||||||||||
JPMCB Mexico 10.375% 1/28/33 Baa2 6/20/26-Quarterly | 2,085,000 | 1.000% | (19,591) | 6,157 | — | (25,748) | — | |||||||
JPMCB Mexico 10.375% 1/28/33 Baa2 6/20/28-Quarterly | 1,275,000 | 1.000% | (5,073) | 4,252 | — | (9,325) | — | |||||||
JPMCB Republic of South Africa 1.00% 9/20/28 Ba2 6/20/28- Quarterly | 401,000 | 1.000% | 10,080 | 19,496 | — | (9,416) | — | |||||||
(14,584) | 29,905 | — | (44,489) | — | ||||||||||
Protection Sold/Moody's Ratings: | ||||||||||||||
CITI Israel 2.875% 3/16/26 A2 6/20/27-Quarterly | 2,200,000 | 1.000% | (10,133) | (9,862) | — | (271) | — | |||||||
DB CMBX.NA.AAA6 10/17/57-Monthly | 9,762,525 | 0.500% | (2,993) | (522,852) | 519,859 | — | — | |||||||
JPMCB HOCHTIEF 1.00% 3/7/25 BBB 12/20/26-Quarterly | EUR 1,100,000 | 5.000% | 127,304 | 135,721 | — | (8,417) | — |
NQ- OPTFI [0624] 0824 (3775194) 45
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Counterparty/ Reference Obligation/ Termination Date/ Payment Frequency | Notional Amount2 | Annual Protection Payments | Value | Amortized Upfront Payments Paid (Received) | Unrealized Appreciation3 | Unrealized Depreciation3 | Variation Margin Due from (Due to) Brokers | |||||||
Over-The-Counter (continued): | ||||||||||||||
Protection Sold/Moody's Ratings (continued): | ||||||||||||||
JPMCB HOCHTIEF 5.00% 3/7/25 BBB 12/20/26-Quarterly | EUR 1,100,000 | 5.000% | $127,304 | $134,708 | $— | $(7,404) | $— | |||||||
241,482 | (262,285) | 519,859 | (16,092) | — | ||||||||||
226,898 | (232,380) | 519,859 | (60,581) | — | ||||||||||
Total CDS Contracts | $470,871 | $(199,346) | $734,180 | $(63,963) | $865 |
IRS Contracts7 | ||||||||||||||
Reference Obligation/ Termination Date/ Payment Frequency (Fixed Rate/ Floating Rate) | Notional Amount | Fixed/ Floating Interest Rate Paid (Received) | Value | Amortized Upfront Payments Paid (Received) | Unrealized Appreciation3 | Unrealized Depreciation3 | Variation Margin Due from (Due to) Brokers | |||||||
Centrally Cleared: | ||||||||||||||
1 yr IRS8 10/17/24- (At Maturity/ At Maturity) | 5,600,000 | (2.92)%/ 5.42% | $(42,572) | $— | $— | $(42,572) | $390 | |||||||
1 yr IRS8 10/24/24- (At Maturity/ At Maturity) | 1,700,000 | (3.018)%/ 5.418% | (13,167) | — | — | (13,167) | 111 | |||||||
1 yr IRS8 10/25/24- (At Maturity/ At Maturity) | 1,700,000 | (3.225)%/ 5.418% | (12,166) | — | — | (12,166) | 102 | |||||||
1 yr IRS8 10/25/24- (At Maturity/ At Maturity) | 1,700,000 | (3.19)%/ 5.418% | (12,352) | — | — | (12,352) | 104 | |||||||
1 yr IRS8 10/25/24- (At Maturity/ At Maturity) | 1,700,000 | (3.14)%/ 5.417% | (12,618) | — | — | (12,618) | 106 | |||||||
1 yr IRS8 10/27/24- (At Maturity/ At Maturity) | 1,800,000 | (2.973)%/ 5.417% | (14,637) | — | — | (14,637) | 119 | |||||||
1 yr IRS8 10/31/24- (At Maturity/ At Maturity) | 1,800,000 | (2.841)%/ 5.416% | (15,748) | — | — | (15,748) | 125 | |||||||
1 yr IRS8 12/18/25- (At Maturity/ At Maturity) | 14,800,000 | 3.50%/ (5.33)% | 144,225 | 8,322 | 135,903 | — | (721) | |||||||
1 yr IRS9 12/18/25- (At Maturity/ At Maturity) | CAD 20,400,000 | (3.50)%/ 4.80% | (65,309) | (12,780) | — | (52,529) | 3,042 |
46 NQ- OPTFI [0624] 0824 (3775194)
(Unaudited)
IRS Contracts7 | ||||||||||||||
Reference Obligation/ Termination Date/ Payment Frequency (Fixed Rate/ Floating Rate) | Notional Amount | Fixed/ Floating Interest Rate Paid (Received) | Value | Amortized Upfront Payments Paid (Received) | Unrealized Appreciation3 | Unrealized Depreciation3 | Variation Margin Due from (Due to) Brokers | |||||||
Centrally Cleared (continued): | ||||||||||||||
3 yr IRS10 2/18/26- (Semiannually/ Quarterly) | 42,100,000 | (0.64)%/ 5.593% | $(2,866,507) | $(199,563) | $— | $(2,666,944) | $7,423 | |||||||
3 yr IRS11 1/4/27- (At Maturity/ At Maturity) | BRL 196,500,000 | 11.496%/ (10.40)% | (301,326) | — | — | (301,326) | (171,525) | |||||||
3 yr IRS11 1/4/27- (At Maturity/ At Maturity) | BRL 2,900,000 | 11.566%/ (10.40)% | (3,630) | — | — | (3,630) | (2,545) | |||||||
5 yr IRS12 9/16/25- (Annually/ Annually) | GBP 5,700,000 | 0.50%/ (5.299)% | 358,822 | (18,001) | 376,823 | — | (812) | |||||||
5 yr IRS13 4/11/27- (Annually/ Semiannually) | EUR 1,900,000 | (0.70)%/ 3.862% | (127,699) | — | — | (127,699) | (1,400) | |||||||
5 yr IRS13 4/12/27- (Annually/ Semiannually) | EUR 3,800,000 | (0.65)%/ 3.865% | (260,356) | — | — | (260,356) | (2,797) | |||||||
5 yr IRS13 5/13/27- (Annually/ Semiannually) | EUR 4,100,000 | (1.00)%/ 3.80% | (246,399) | — | — | (246,399) | (3,177) | |||||||
5 yr IRS13 5/18/27- (Annually/ Semiannually) | EUR 2,000,000 | (1.00)%/ 3.787% | (120,635) | — | — | (120,635) | (1,559) | |||||||
5 yr IRS14 9/14/28- (Annually/ Annually) | JPY 17,640,000,000 | 0.55%/ (0.016)% | 368,540 | (253,214) | 621,754 | — | 57,971 | |||||||
5 yr IRS8 9/19/28- (Annually/ Annually) | 24,000,000 | (1.70)%/ 5.431% | (2,248,831) | (2,247,514) | — | (1,317) | (25,751) | |||||||
5 yr IRS8 10/27/28- (Semiannually/ Quarterly) | 77,500,000 | (2.00)%/ 5.343% | (7,312,921) | — | — | (7,312,921) | (88,262) | |||||||
5 yr IRS12 9/18/29- (Annually/ Annually) | GBP 22,300,000 | (4.00)%/ 5.20% | 114,376 | 235,031 | — | (120,655) | (27,759) | |||||||
5 yr IRS8 12/18/29- (Annually/ Annually) | 30,600,000 | 3.75%/ (5.33)% | 211,956 | 67,663 | 144,293 | — | 64,645 | |||||||
7 yr IRS8 10/31/30- (Annually/ Annually) | 15,300,000 | 3.595%/ (5.364)% | 350,351 | — | 350,351 | — | 42,780 | |||||||
7 yr IRS8 10/31/30- (Annually/ Annually) | 9,800,000 | 3.601%/ (5.365)% | 221,249 | — | 221,249 | — | 27,407 | |||||||
7 yr IRS8 10/31/30- (Annually/ Annually) | 4,400,000 | 3.601%/ (5.364)% | 99,358 | — | 99,358 | — | 12,305 | |||||||
7 yr IRS8 10/31/30- (Annually/ Annually) | 2,200,000 | 3.545%/ (5.365)% | 56,428 | — | 56,428 | — | 6,142 | |||||||
7 yr IRS8 10/31/30- (Annually/ Annually) | 21,800,000 | 3.582%/ (5.365)% | 515,494 | — | 515,494 | — | 60,931 | |||||||
7 yr IRS8 10/31/30- (Annually/ Annually) | 4,300,000 | 3.623%/ (5.364)% | 91,740 | — | 91,740 | — | 12,033 |
NQ- OPTFI [0624] 0824 (3775194) 47
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
IRS Contracts7 | ||||||||||||||
Reference Obligation/ Termination Date/ Payment Frequency (Fixed Rate/ Floating Rate) | Notional Amount | Fixed/ Floating Interest Rate Paid (Received) | Value | Amortized Upfront Payments Paid (Received) | Unrealized Appreciation3 | Unrealized Depreciation3 | Variation Margin Due from (Due to) Brokers | |||||||
Centrally Cleared (continued): | ||||||||||||||
7 yr IRS8 10/31/30- (Annually/ Annually) | 9,900,000 | 3.689%/ (5.365)% | $175,185 | $— | $175,185 | $— | $27,759 | |||||||
7 yr IRS8 10/31/30- (Annually/ Annually) | 2,900,000 | 3.664%/ (5.365)% | 55,367 | — | 55,367 | — | 8,125 | |||||||
7 yr IRS8 10/31/30- (Annually/ Annually) | 2,300,000 | 3.677%/ (5.365)% | 42,272 | — | 42,272 | — | 6,447 | |||||||
7 yr IRS8 10/31/30- (Annually/ Annually) | 47,400,000 | 3.589%/ (5.364)% | 1,101,971 | — | 1,101,971 | — | 132,510 | |||||||
8 yr IRS10 10/1/31- (Semiannually/ Quarterly) | 8,600,000 | (1.80)%/ 5.593% | (1,318,715) | 110,843 | — | (1,429,558) | (28,244) | |||||||
8 yr IRS9 6/1/32- (Semiannually/ Semiannually) | CAD 16,200,000 | 3.50%/ (4.78)% | (81,285) | 69,810 | — | (151,095) | 21,219 | |||||||
10 yr IRS8 7/15/32- (Annually/ Annually) | 15,120,000 | (1.857)%/ 5.447% | (2,177,943) | — | — | (2,177,943) | (57,722) | |||||||
10 yr IRS8 6/21/33- (Annually/ Annually) | 34,500,000 | 3.00%/ (5.339)% | 2,483,217 | 1,361,404 | 1,121,813 | — | 169,535 | |||||||
10 yr IRS8 8/3/33- (Annually/ Annually) | 2,500,000 | (3.73)%/ 5.448% | (43,854) | — | — | (43,854) | (12,843) | |||||||
10 yr IRS8 8/23/33- (Annually/ Annually) | 6,800,000 | (3.76)%/ 5.44% | (104,448) | — | — | (104,448) | (35,260) | |||||||
10 yr IRS8 8/30/33- (Annually/ Annually) | 4,900,000 | (3.80)%/ 5.439% | (60,479) | — | — | (60,479) | (25,517) | |||||||
10 yr IRS8 9/13/33- (Annually/ Annually) | 6,600,000 | (3.95)%/ 5.434% | (6,134) | — | — | (6,134) | (34,751) | |||||||
10 yr IRS8 9/27/33- (Annually/ Annually) | 8,900,000 | (4.165)%/ 5.429% | 138,386 | — | 138,386 | — | (47,487) | |||||||
10 yr IRS8 10/4/33- (Annually/ Annually) | 3,700,000 | (4.03)%/ 5.425% | 19,275 | — | 19,275 | — | (19,696) | |||||||
10 yr IRS8 10/12/33- (Annually/ Annually) | 1,600,000 | (4.15)%/ 5.423% | 23,126 | — | 23,126 | — | (8,581) | |||||||
10 yr IRS8 10/23/33- (Annually/ Annually) | 1,400,000 | (4.23)%/ 5.419% | 28,946 | — | 28,946 | — | (7,564) | |||||||
10 yr IRS8 10/23/33- (Annually/ Annually) | 1,400,000 | (4.255)%/ 5.419% | 31,647 | — | 31,647 | — | (7,571) | |||||||
10 yr IRS8 10/31/33- (Annually/ Annually) | 1,600,000 | (4.45)%/ 5.415% | 60,354 | — | 60,354 | — | (8,737) | |||||||
10 yr IRS8 11/1/33- (Annually/ Annually) | 4,000,000 | (4.45)%/ 5.415% | 150,918 | — | 150,918 | — | (21,849) | |||||||
10 yr IRS8 11/22/33- (Annually/ Annually) | 1,500,000 | 4.25%/ (5.407)% | (33,598) | — | — | (33,598) | 8,193 | |||||||
10 yr IRS9 12/20/33- (Semiannually/ Semiannually) | CAD 4,900,000 | 3.75%/ (4.78)% | (92,077) | (16,924) | — | (75,153) | 9,390 | |||||||
10 yr IRS8 12/26/33- (Annually/ Annually) | 1,300,000 | 3.842%/ (5.393)% | 12,136 | — | 12,136 | — | 7,071 |
48 NQ- OPTFI [0624] 0824 (3775194)
(Unaudited)
IRS Contracts7 | ||||||||||||||
Reference Obligation/ Termination Date/ Payment Frequency (Fixed Rate/ Floating Rate) | Notional Amount | Fixed/ Floating Interest Rate Paid (Received) | Value | Amortized Upfront Payments Paid (Received) | Unrealized Appreciation3 | Unrealized Depreciation3 | Variation Margin Due from (Due to) Brokers | |||||||
Centrally Cleared (continued): | ||||||||||||||
10 yr IRS8 12/29/33- (Annually/ Annually) | 2,500,000 | 3.854%/ (5.39)% | $20,993 | $— | $20,993 | $— | $13,617 | |||||||
10 yr IRS8 1/3/34- (Annually/ Annually) | 2,300,000 | 3.684%/ (5.386)% | 50,008 | — | 50,008 | — | 12,465 | |||||||
10 yr IRS8 1/8/34- (Annually/ Annually) | 2,100,000 | 3.648%/ (5.384)% | 51,730 | — | 51,730 | — | 11,386 | |||||||
10 yr IRS8 1/9/34- (Annually/ Annually) | 1,700,000 | 3.594%/ (5.384)% | 49,023 | — | 49,023 | — | 9,198 | |||||||
10 yr IRS8 1/24/34- (Annually/ Annually) | 1,100,000 | (3.655)%/ 5.378% | (26,509) | — | — | (26,509) | (5,992) | |||||||
10 yr IRS8 1/24/34- (Annually/ Annually) | 3,300,000 | (3.665)%/ 5.377% | (76,923) | — | — | (76,923) | (17,984) | |||||||
10 yr IRS8 1/31/34- (Annually/ Annually) | 2,800,000 | (3.62)%/ 5.375% | (75,288) | — | — | (75,288) | (15,264) | |||||||
10 yr IRS8 3/5/34- (Annually/ Annually) | 3,800,000 | (3.71)%/ 5.363% | (75,433) | — | — | (75,433) | (20,986) | |||||||
10 yr IRS8 3/5/34- (Annually/ Annually) | 200,000 | (3.70)%/ 5.363% | (4,129) | — | — | (4,129) | (1,104) | |||||||
10 yr IRS8 3/5/34- (Annually/ Annually) | 3,200,000 | (3.65)%/ 5.363% | (78,818) | — | — | (78,818) | (17,631) | |||||||
10 yr IRS13 4/3/34- (Annually/ Semiannually) | EUR 2,600,000 | 2.67%/ (3.851)% | 39,549 | — | 39,549 | — | 8,415 | |||||||
10 yr IRS8 4/15/34- (Annually/ Annually) | 3,300,000 | (3.90)%/ 5.348% | (15,295) | — | — | (15,295) | (18,564) | |||||||
10 yr IRS8 4/16/34- (Annually/ Annually) | 6,800,000 | (3.95)%/ 5.347% | (4,117) | — | — | (4,117) | (38,329) | |||||||
10 yr IRS8 4/30/34- (Annually/ Annually) | 3,400,000 | (4.09)%/ 5.343% | 36,494 | — | 36,494 | — | (19,325) | |||||||
10 yr IRS8 6/20/34- (Annually/ Annually) | 36,200,000 | 3.75%/ (5.328)% | 604,670 | (739,177) | 1,343,847 | — | 205,605 | |||||||
10 yr IRS8 7/2/34- (Annually/ Annually) | 2,000,000 | 3.994%/ (5.33)% | (6,876) | — | — | (6,876) | (6,876) | |||||||
10 yr IRS8 7/2/34- (Annually/ Annually) | 1,300,000 | 4.06%/ (5.33)% | (11,490) | — | — | (11,490) | (11,490) | |||||||
10 yr IRS12 9/18/34- (Annually/ Annually) | GBP 4,800,000 | (3.75)%/ 5.20% | (43,723) | 49,412 | — | (93,135) | (21,457) | |||||||
10 yr IRS13 9/18/34- (Annually/ Semiannually) | EUR 33,400,000 | (2.75)%/ 3.682% | (189,875) | 403,360 | — | (593,235) | (114,486) | |||||||
30 yr IRS8 12/21/52- (Annually/ Annually) | 17,000,000 | 1.75%/ (5.392)% | 5,898,749 | 3,309,556 | 2,589,193 | — | 213,350 | |||||||
30 yr IRS8 9/19/53- (Annually/ Annually) | 4,800,000 | 1.842%/ (5.431)% | 1,601,518 | 1,539,745 | 61,773 | — | 61,828 | |||||||
30 yr IRS8 10/27/53- (Semiannually/ Quarterly) | 15,500,000 | 2.06%/ (5.343)% | 5,332,246 | — | 5,332,246 | — | 197,386 |
NQ- OPTFI [0624] 0824 (3775194) 49
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
IRS Contracts7 | ||||||||||||||
Reference Obligation/ Termination Date/ Payment Frequency (Fixed Rate/ Floating Rate) | Notional Amount | Fixed/ Floating Interest Rate Paid (Received) | Value | Amortized Upfront Payments Paid (Received) | Unrealized Appreciation3 | Unrealized Depreciation3 | Variation Margin Due from (Due to) Brokers | |||||||
Centrally Cleared (continued): | ||||||||||||||
30 yr IRS8 3/5/54- (Annually/ Annually) | 1,400,000 | (3.555)%/ 5.363% | $(47,694) | $— | $— | $(47,694) | $(22,615) | |||||||
30 yr IRS13 9/18/54- (Annually/ Semiannually) | EUR 6,000,000 | 2.50%/ (3.682)% | 35,964 | (131,943) | 167,907 | — | 47,502 | |||||||
30 yr IRS8 6/20/54- (Annually/ Annually) | 8,400,000 | 3.50%/ (5.328)% | 359,059 | (3,267) | 362,326 | — | 135,808 | |||||||
30 yr IRS14 9/18/54- (Annually/ Annually) | JPY 180,000,000 | (1.50)%/ 0.076% | (72,548) | (63,748) | — | (8,800) | (5,482) | |||||||
Total IRS Contracts | $2,611,218 | $3,469,015 | $15,679,878 | $(16,537,675) | $622,830 |
The use of forward 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 forward foreign currency exchange contracts and notional amounts presented above represent the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) and variation margin are reflected in the Fund’s net assets.
1 | A CDS contract is a risk-transfer instrument through which one party (purchaser of protection) transfers to another party (seller of protection) the financial risk of a credit event (as defined in the CDS agreement), as it relates to a particular reference security or basket of securities (such as an index). Periodic payments (receipts) on such contracts are accrued daily and recorded as unrealized losses (gains) on swap contracts. Upon payment (receipt), such amounts are recorded as realized losses (gains) on swap contracts. Upfront payments made or received in connection with CDS contracts are amortized over the expected life of the CDS contracts as unrealized losses (gains) on swap contracts. The change in value of CDS contracts is recorded daily as unrealized appreciation or depreciation. A realized gain or loss is recorded upon a credit event (as defined in the CDS agreement) or the maturity or termination of the CDS agreement. |
2 | Notional amount shown is stated in USD unless noted that the swap is denominated in another currency. |
3 | Unrealized appreciation (depreciation) does not include periodic interest payments (receipt) on swap contracts accrued daily in the amount of $(1,520,118). |
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 | Rates resets based on SOFR. |
9 | Rates resets based on CORRA. |
10 | Rate resets based on LIBOR03M. |
11 | Rates resets based on Brazil CETIP Interbank Deposit. |
12 | Rate resets based on SONIA. |
13 | Rate resets based on EUR006M. |
14 | Rate resets based on MUTKCALM. |
Summary of abbreviations: |
12MTA – 12 Month Treasury Average |
ABS – Asset-Backed Security |
ARM – Adjustable Rate Mortgage |
50 NQ- OPTFI [0624] 0824 (3775194)
(Unaudited)
Summary of abbreviations: (continued) |
BAML – Bank of America Merrill Lynch |
BNP – BNP Paribas |
BP0003M – 3 Month Sterling LIBOR Interest Rate |
CDS – Credit Default Swap |
CDX.ITRX.EUR – Credit Default Swap Index iTraxx Europe |
CDX.NA.IG – Credit Default Swap Index North America Investment Grade |
CETIP – Central de Custódia de Liquidação Financeira de Títulos |
CITI – Citigroup |
CJSC – Closed Joint Stock Company |
CLO – Collateralized Loan Obligation |
CMBX.NA – Commercial Mortgage-Backed Index North America |
CORRA – Canadian Overnight Repo Rate Average |
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 |
GE – General Electric |
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 |
LIBOR03M – ICE LIBOR USD 3 Month |
MASTR – Mortgage Asset Securitization Transactions, Inc. |
MS – Morgan Stanley |
MUTKCALM – Japan Overnight Call Rate |
Summary of abbreviations: (continued) |
PIK – Payment-in-kind |
PJSC – Private Joint Stock Company |
REMIC – Real Estate Mortgage Investment Conduit |
RFUCCT1Y – Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year |
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 |
STRIP – Separate Trading of Registered Interest and Principal |
TBA – To be announced |
TBD – To be determined |
TD – TD Bank |
TSFR01M – 1 Month Term Secured Overnight Financing Rate |
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 |
CNH – Chinese Yuan Renminbi |
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 |
TRY – Turkish Lira |
USD – US Dollar |
NQ- OPTFI [0624] 0824 (3775194) 51