FROST GROWTH EQUITY FUND OCTOBER 31, 2022 (UNAUDITED)
|
Description | Shares | Value | ||||||
COMMON STOCK§ — 96.3% | ||||||||
Communication Services — 7.1% | ||||||||
Alphabet, Cl A * | 105,080 | $ | 9,931,111 | |||||
Alphabet, Cl C * | 105,400 | 9,977,164 | ||||||
Match Group * | 2,000 | 86,400 | ||||||
Meta Platforms, Cl A * | 9,690 | 902,720 | ||||||
|
| |||||||
20,897,395 | ||||||||
|
| |||||||
Consumer Discretionary — 19.1% | ||||||||
Airbnb, Cl A * | 12,500 | 1,336,375 | ||||||
Amazon.com * | 217,420 | 22,272,505 | ||||||
Booking Holdings * | 2,020 | 3,776,350 | ||||||
Chipotle Mexican Grill, Cl A * | 3,150 | 4,719,739 | ||||||
Floor & Decor Holdings, Cl A * | 5,000 | 366,850 | ||||||
Home Depot | 24,590 | 7,281,837 | ||||||
Lululemon Athletica * | 2,500 | 822,600 | ||||||
NIKE, Cl B | 22,500 | 2,085,300 | ||||||
O’Reilly Automotive * | 6,450 | 5,399,746 | ||||||
Starbucks | 29,050 | 2,515,440 | ||||||
Tesla * | 19,845 | 4,515,531 | ||||||
TJX | 20,500 | 1,478,050 | ||||||
|
| |||||||
56,570,323 | ||||||||
|
| |||||||
Consumer Staples — 2.2% | ||||||||
Coca-Cola | 50,000 | 2,992,500 | ||||||
Costco Wholesale | 6,882 | 3,451,323 | ||||||
|
| |||||||
6,443,823 | ||||||||
|
| |||||||
Energy — 1.1% | ||||||||
Diamondback Energy | 21,500 | 3,377,865 | ||||||
|
| |||||||
Financials — 2.3% | ||||||||
JPMorgan Chase | 21,500 | 2,706,420 | ||||||
Moody’s | 12,905 | 3,418,148 | ||||||
S&P Global | 2,500 | 803,125 | ||||||
|
| |||||||
6,927,693 | ||||||||
|
| |||||||
Health Care — 15.9% | ||||||||
Abbott Laboratories | 35,000 | 3,462,900 | ||||||
AbbVie | 15,000 | 2,196,000 | ||||||
Boston Scientific * | 60,500 | 2,608,155 | ||||||
Danaher | 22,500 | 5,662,575 | ||||||
Edwards Lifesciences * | 36,000 | 2,607,480 | ||||||
Eli Lilly | 28,000 | 10,138,520 | ||||||
Humana | 6,500 | 3,627,520 | ||||||
Intuitive Surgical * | 7,500 | 1,848,525 | ||||||
Merck | 20,000 | 2,024,000 | ||||||
Seagen * | 16,000 | 2,034,560 | ||||||
UnitedHealth Group | 15,300 | 8,493,795 | ||||||
Zoetis, Cl A | 17,235 | 2,598,693 | ||||||
|
| |||||||
47,302,723 | ||||||||
|
| |||||||
Industrials — 3.7% | ||||||||
Canadian Pacific Railway | 55,200 | 4,111,848 | ||||||
Fortive | 32,000 | 2,044,800 | ||||||
Uber Technologies * | 5,000 | 132,850 | ||||||
Union Pacific | 23,000 | 4,534,220 | ||||||
|
| |||||||
10,823,718 | ||||||||
|
| |||||||
Information Technology — 43.5% | ||||||||
Adobe * | 13,300 | 4,236,050 | ||||||
Advanced Micro Devices * | 49,500 | 2,972,970 | ||||||
Apple | 216,084 | 33,134,321 | ||||||
Intuit | 5,500 | 2,351,250 | ||||||
Lam Research | 500 | 202,390 | ||||||
Marvell Technology | 149,535 | 5,933,549 | ||||||
Mastercard, Cl A | 34,660 | 11,374,719 | ||||||
Microsoft | 153,550 | 35,643,561 |
Description | Shares | Value | ||||||
NVIDIA | 33,000 | $ | 4,454,010 | |||||
PayPal Holdings * | 29,270 | 2,446,386 | ||||||
QUALCOMM | 27,500 | 3,235,650 | ||||||
Salesforce * | 26,135 | 4,249,290 | ||||||
ServiceNow * | 10,000 | 4,207,400 | ||||||
Snowflake, Cl A * | 17,000 | 2,725,100 | ||||||
Visa, Cl A | 53,100 | 11,000,196 | ||||||
Workday, Cl A * | 6,500 | 1,012,830 | ||||||
|
| |||||||
129,179,672 | ||||||||
|
| |||||||
Materials — 1.0% | 13,500 | 3,037,905 | ||||||
|
| |||||||
Real Estate — 0.4% | 6,000 | 1,243,140 | ||||||
|
| |||||||
Total Common Stock | 285,804,257 | |||||||
|
| |||||||
Total Investments — 96.3% | $ | 285,804,257 | ||||||
|
|
Percentages are based on Net Assets of $296,934,200.
* | Non-income producing security. |
§ | Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
‡ | Real Estate Investment Trust |
See “Glossary” for abbreviations.
As of October 31, 2022, all of the Fund’s investments in securities were considered Level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.
For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.
FIA-QH-001-3000
1 |
FROST TOTAL RETURN BOND FUND OCTOBER 31, 2022 (UNAUDITED)
|
Description | Face Amount | Value | ||||||
U.S. TREASURY OBLIGATIONS — 30.2% |
| |||||||
U.S. Treasury Bill 4.306%, 04/13/23 (A)(B) | $ | 500,000 | $ | 490,181 | ||||
U.S. Treasury Bond 3.375%, 08/15/42 | 85,000,000 | 73,325,781 | ||||||
3.250%, 05/15/42 | 190,000,000 | 160,639,062 | ||||||
U.S. Treasury Notes 4.125%, 09/30/27 | 145,000,000 | 144,207,031 | ||||||
3.250%, 08/31/24 | 195,000,000 | 190,551,563 | ||||||
3.000%, 07/31/24 | 100,000,000 | 97,332,031 | ||||||
2.875%, 05/15/28 | 128,000,000 | 119,145,000 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 785,690,649 | |||||||
|
| |||||||
COLLATERALIZED LOAN OBLIGATIONS — 18.8% |
| |||||||
Apidos CLO Funding RR Subsidiary, Ser 2018-12RR, Cl A | ||||||||
5.609%, ICE LIBOR USD | 3,000,000 | 2,958,660 | ||||||
Apidos CLO XI, Ser 2021-11A, Cl CR3 | ||||||||
6.079%, ICE LIBOR USD | 13,750,000 | 12,397,646 | ||||||
Apidos CLO XI, Ser 2021-11A, Cl ER3 10.649%, ICE LIBOR USD 3 Month + 6.570%, 04/17/34 (C)(D) | 5,000,000 | 4,209,105 | ||||||
Apidos CLO XXVIII, Ser 2017-28A, 5.643%, ICE LIBOR USD 3 Month + 1.400%, 01/20/31 (C)(D) | 15,000,000 | 14,247,900 | ||||||
Audax Senior Debt CLO 6, Ser 2021-6A, Cl B 6.193%, ICE LIBOR USD 3 Month + 1.950%, 10/20/33 (C)(D) | 8,000,000 | 7,133,176 | ||||||
Battalion CLO 17, Ser 2021-17A, Cl B 5.843%, ICE LIBOR USD 3 Month + 1.600%, 03/09/34 (C)(D) | 5,000,000 | 4,693,425 | ||||||
BCC Middle Market CLO, 5.793%, ICE LIBOR USD 3 Month + 1.550%, 10/20/30 (C)(D) | 21,000,000 | 20,608,266 | ||||||
Benefit Street Partners CLO III, 10.843%, ICE LIBOR USD 3 Month + 6.600%, 07/20/29 (C)(D) | 5,000,000 | 4,343,295 | ||||||
Benefit Street Partners CLO III, 6.643%, ICE LIBOR USD 3 Month + 2.400%, 07/20/29 (C)(D) | 15,000,000 | 14,274,525 |
Description | Face Amount | Value | ||||||
Benefit Street Partners CLO IV, 5.793%, ICE LIBOR USD 3 Month + 1.550%, 01/20/32 (C)(D) | $ | 8,750,000 | $ | 8,288,324 | ||||
Benefit Street Partners CLO VIII, 5.343%, ICE LIBOR USD 3 Month + 1.100%, 01/20/31 (C)(D) | 5,450,000 | 5,327,331 | ||||||
BlueMountain CLO XXX, Ser 2022-30A, Cl BR 5.764%, TSFR3M + 1.900%, 04/15/35 (C)(D) | 2,250,000 | 2,097,133 | ||||||
BlueMountain CLO XXX, Ser 2022-30A, Cl DR 7.164%, TSFR3M + 3.300%, 04/15/35 (C)(D) | 1,250,000 | 1,086,039 | ||||||
BlueMountain CLO XXX, Ser 2022-30A, Cl ER 10.564%, TSFR3M + 6.700%, 04/15/35 | 2,350,000 | 1,960,581 | ||||||
BlueMountain CLO, Ser 2021-2A, Cl A2R2 4.684%, ICE LIBOR USD 3 Month + 1.700%, 08/20/32 (C)(D) | 10,000,000 | 9,398,340 | ||||||
Carlyle Global Market Strategies, Ser 2018-1A, Cl CR2 5.879%, ICE LIBOR USD 3 Month + 1.800%, 04/17/31 (C)(D) | 4,500,000 | 4,094,352 | ||||||
Carlyle Global Market Strategies, 5.191%, ICE LIBOR USD 3 Month + 1.180%, 01/14/32 (C)(D) | 24,855,641 | 24,222,991 | ||||||
Carlyle Global Market Strategies, 5.861%, ICE LIBOR USD 3 Month + 1.850%, 01/14/32 (C)(D) | 7,000,000 | 6,704,418 | ||||||
Carlyle Global Market Strategies, 5.408%, ICE LIBOR USD 3 Month + 1.050%, 07/27/31 (C)(D) | 14,877,491 | 14,464,328 | ||||||
Carlyle Global Market Strategies, 5.908%, ICE LIBOR USD 3 Month + 1.550%, 07/27/31 (C)(D) | 9,000,000 | 8,575,434 | ||||||
Carlyle Global Market Strategies, 5.219%, ICE LIBOR USD 3 Month + 1.140%, 07/15/31 (C)(D) | 15,834,091 | 15,484,933 | ||||||
CIFC Funding 2022-II, Ser 2022-2A, Cl A1 5.275%, TSFR3M + 1.320%, 04/19/35 (C)(D) | 4,500,000 | 4,291,411 |
2 |
FROST TOTAL RETURN BOND FUND OCTOBER 31, 2022 (UNAUDITED)
|
Description | Face Amount | Value | ||||||
CIFC Funding 2022-II, Ser 2022-2A, 5.805%, TSFR3M + 1.850%, 04/19/35 (C)(D) | $ | 9,125,000 | $ | 8,524,849 | ||||
CIFC Funding, Ser 2018-1A, Cl A 5.194%, ICE LIBOR USD 3 Month + 1.000%, 04/18/31 (C)(D) | 10,000,000 | 9,781,740 | ||||||
CIFC Funding, Ser 2018-1A, Cl C 5.944%, ICE LIBOR USD 3 Month + 1.750%, 04/18/31 (C)(D) | 2,000,000 | 1,824,290 | ||||||
Dryden 68 CLO, Ser 2021-68A, Cl BR 5.779%, ICE LIBOR USD 3 Month + 1.700%, 07/15/35 (C)(D) | 11,750,000 | 10,999,022 | ||||||
Elmwood CLO 20, Ser 2022-7A, Cl B1 7.158%, TSFR3M + 2.750%, 10/17/34 (C)(D) | 5,625,000 | 5,589,799 | ||||||
Galaxy XV CLO, Ser 2021-15A, Cl CRR 5.929%, ICE LIBOR USD 3 Month + 1.850%, 10/15/30 (C)(D) | 4,814,000 | 4,449,908 | ||||||
Galaxy XXI, Ser 2015-21A, Cl AR 5.263%, ICE LIBOR USD 3 Month + 1.020%, 04/20/31 (C)(D) | 5,000,000 | 4,888,620 | ||||||
GoldenTree Credit Opportunities Financing, Ser 2018-1A, Cl A1R 4.973%, ICE LIBOR USD 3 Month + 1.680%, 06/15/34 (C)(D) | 5,408,480 | 5,333,599 | ||||||
Golub Capital Partners, Ser 2017-17A, Cl A1R 6.008%, ICE LIBOR USD 3 Month + 1.650%, 10/25/30 (C)(D) | 9,000,000 | 8,845,020 | ||||||
Golub Capital Partners, Ser 2017-21A, Cl AR 5.828%, ICE LIBOR USD 3 Month + 1.470%, 01/25/31 (C)(D) | 11,000,000 | 10,659,110 | ||||||
Golub Capital Partners, Ser 2017-22A, Cl AR 5.423%, ICE LIBOR USD 3 Month + 1.180%, 01/20/31 (C)(D) | 9,000,000 | 8,840,961 | ||||||
Golub Capital Partners, Ser 2017-23A, Cl AR 5.443%, ICE LIBOR USD 3 Month + 1.200%, 01/20/31 (C)(D) | 20,000,000 | 19,632,580 | ||||||
Golub Capital Partners, Ser 2017-24A, Cl AR 4.432%, ICE LIBOR USD 3 Month + 1.600%, 11/05/29 (C)(D) | 9,500,000 | 9,233,069 |
Description | Face Amount | Value | ||||||
Golub Capital Partners, Ser 2017-24A, Cl DR 6.732%, ICE LIBOR USD 3 Month + 3.900%, 11/05/29 (C)(D) | $ | 3,000,000 | $ | 2,625,603 | ||||
Golub Capital Partners, Ser 2018-26A, Cl BR 5.793%, ICE LIBOR USD 3 Month + 1.550%, 04/20/31 (C)(D) | 12,000,000 | 11,453,220 | ||||||
Golub Capital Partners, Ser 2018-36A, Cl A 4.132%, ICE LIBOR USD 3 Month + 1.300%, 02/05/31 (C)(D) | 11,000,000 | 10,721,678 | ||||||
Golub Capital Partners, Ser 2019-34A, Cl AR 4.532%, ICE LIBOR USD 3 Month + 1.700%, 03/14/31 (C)(D) | 7,000,000 | 6,811,350 | ||||||
Golub Capital Partners, Ser 2021-19RA, Cl B1R2 5.793%, ICE LIBOR USD 3 Month + 1.550%, 04/20/34 (C)(D) | 20,000,000 | 18,767,380 | ||||||
LCM Loan Income Fund I Income Note Issuer, Ser 2018-27A, Cl A 1 5.159%, ICE LIBOR USD 3 Month + 1.080%, 07/16/31 (C)(D) | 13,000,000 | 12,747,501 | ||||||
NXT Capital CLO, Ser 2021-1A, Cl BRR 6.278%, ICE LIBOR USD 3 Month + 2.000%, 07/20/33 (C)(D) | 9,000,000 | 8,144,271 | ||||||
NXT Capital, Ser 2020-1A, Cl B 6.643%, ICE LIBOR USD 3 Month + 2.400%, 01/20/31 (C)(D) | 2,250,000 | 2,099,734 | ||||||
Oak Hill Credit Partners X-R, Ser 2021-10RA, Cl BR 5.793%, ICE LIBOR USD 3 Month + 1.550%, 04/20/34 (C)(D) | 8,000,000 | 7,382,600 | ||||||
Oak Hill Credit Partners X-R, Ser 2021-10RA, Cl CR 6.243%, ICE LIBOR USD 3 Month + 2.000%, 04/20/34 (C)(D) | 5,100,000 | 4,635,548 | ||||||
Oaktree CLO, Ser 2021-3A, Cl BR 5.993%, ICE LIBOR USD 3 Month + 1.750%, 10/20/34 (C)(D) | 13,500,000 | 12,519,900 | ||||||
OHA Credit Funding 7, Ser 2022-7A, Cl AR 5.255%, TSFR3M + 1.300%, 02/24/37 (C)(D) | 25,000,000 | 23,916,125 | ||||||
OHA Credit Funding 7, Ser 2022-7A, Cl ER 10.205%, TSFR3M + 6.250%, 02/24/37 | 2,500,000 | 2,079,492 |
3 |
FROST TOTAL RETURN BOND FUND OCTOBER 31, 2022 (UNAUDITED)
|
Description | Face Amount | Value | ||||||
OZLM Funding IV, Ser 2017-4A, Cl A2R 6.025%, ICE LIBOR USD | $ | 5,000,000 | $ | 4,785,445 | ||||
Thayer Park CLO, Ser 2021-1A, Cl A2AR 5.643%, ICE LIBOR USD | 9,250,000 | 8,606,922 | ||||||
Thayer Park CLO, Ser 2021-1A, Cl BR 6.043%, ICE LIBOR USD | 9,500,000 | 8,653,702 | ||||||
Venture 37 CLO, Ser 2021-37A, Cl BR 5.829%, ICE LIBOR USD | 10,000,000 | 9,502,660 | ||||||
Venture XIX, Ser 2018-19A, Cl ARR 5.339%, ICE LIBOR USD | 19,250,000 | 18,821,437 | ||||||
Zais, Ser 2017-1A, Cl A2 5.579%, ICE LIBOR USD | 11,250,000 | 10,929,195 | ||||||
Zais, Ser 2018-1A, Cl B 5.529%, ICE LIBOR USD | 5,000,000 | 4,677,540 | ||||||
|
| |||||||
Total Collateralized Loan Obligations | 489,345,483 | |||||||
|
| |||||||
CORPORATE OBLIGATIONS — 17.9% |
| |||||||
Consumer Discretionary — 3.9% |
| |||||||
Choice Hotels International 3.700%, 12/01/29 | 8,000,000 | 6,701,920 | ||||||
3.700%, 01/15/31 | 3,000,000 | 2,462,979 | ||||||
Expedia 3.800%, 02/15/28 | 5,915,000 | 5,259,505 | ||||||
Ford Motor 4.346%, 12/08/26 | 15,033,000 | 13,981,291 | ||||||
General Motors Financial 1.200%, 10/15/24 | 6,333,000 | 5,786,659 | ||||||
Jaguar Land Rover Automotive 4.500%, 10/01/27 (D) | 6,000,000 | 4,252,947 | ||||||
MajorDrive Holdings IV 6.375%, 06/01/29 (D) | 21,750,000 | 15,327,225 | ||||||
Marriott International 3.500%, 10/15/32 | 3,000,000 | 2,396,065 | ||||||
2.850%, 04/15/31 | 3,000,000 | 2,334,187 | ||||||
NES Fircroft Bondco 11.750%, 09/29/26 (D) | 7,750,000 | 7,475,751 | ||||||
Scientific Games International 8.625%, 07/01/25 (D) | 5,750,000 | 5,907,259 | ||||||
STL Holding 7.500%, 02/15/26 (D) | 15,275,000 | 13,310,024 | ||||||
VistaJet Malta Finance 7.875%, 05/01/27 (D) | 14,863,000 | 13,398,224 |
Description | Face Amount | Value | ||||||
6.375%, 02/01/30 (D) | $ | 2,000,000 | $ | 1,660,690 | ||||
|
| |||||||
100,254,726 | ||||||||
|
| |||||||
Energy — 6.8% |
| |||||||
Apache 7.750%, 12/15/29 | 4,138,000 | 4,215,032 | ||||||
Colonial Pipeline 8.375%, 11/01/30 (D) | 500,000 | 562,938 | ||||||
Intesa Sanpaolo 4.000%, 09/23/29 (D) | 5,000,000 | 4,071,559 | ||||||
Marathon Oil 4.400%, 07/15/27 | 3,000,000 | 2,794,760 | ||||||
New England Power 2.807%, 10/06/50 (D) | 5,000,000 | 2,770,301 | ||||||
Noble Finance 11.000%, 02/15/28 | 1,893,334 | 2,035,334 | ||||||
11.000%, 02/15/28 (D) | 869,000 | 934,175 | ||||||
Paratus Energy Services 10.000%, 07/15/26 (D) | 83,857,549 | 79,664,672 | ||||||
Petroleos Mexicanos 6.700%, 02/16/32 (D) | 6,352,000 | 4,803,700 | ||||||
Reliance Industries 2.875%, 01/12/32 (D) | 2,000,000 | 1,507,439 | ||||||
Seadrill New Finance 10.000%, 07/15/26 | 16,843,642 | 16,001,459 | ||||||
Seamex Finance Ltd. 12.000%, 08/31/24 | 7,801,736 | 8,338,105 | ||||||
Tiger Holdco Pte 13.000%, 06/10/23 (D) | 19,751,730 | 19,554,213 | ||||||
Transocean 11.500%, 01/30/27 (D) | 20,000,000 | 20,091,400 | ||||||
Transocean Sentry 5.375%, 05/15/23 (D) | 8,297,030 | 8,151,832 | ||||||
|
| |||||||
175,496,919 | ||||||||
|
| |||||||
Financials — 2.4% |
| |||||||
BAC Capital Trust XIV 5.630%, ICE LIBOR USD | 9,870,000 | 7,081,725 | ||||||
Bank of Ireland Group 6.253%, US Treas Yield Curve | 7,000,000 | 6,752,278 | ||||||
Charles Schwab 4.000%, US Treas Yield Curve | 2,000,000 | 1,485,500 | ||||||
Credit Suisse Group 5.100%, US Treas Yield Curve | 10,000,000 | 6,134,544 | ||||||
Credit Suisse NY 4.750%, 08/09/24 | 2,530,000 | 2,401,422 | ||||||
Deutsche Bank MTN 4.296%, USD Swap Semi | 12,000,000 | 10,982,937 | ||||||
Enova International | 11,007,000 | 9,874,412 | ||||||
Farmers Exchange Capital | 6,075,000 | 6,169,892 |
4 |
FROST TOTAL RETURN BOND FUND OCTOBER 31, 2022 (UNAUDITED)
|
Description | Face Amount | Value | ||||||
SBL Holdings 7.000%, US Treas Yield Curve | $ | 2,500,000 | $ | 2,012,500 | ||||
Synchrony Bank 5.400%, 08/22/25 | 5,000,000 | 4,833,261 | ||||||
Wachovia 6.605%, 10/01/25 | 5,650,000 | 5,816,589 | ||||||
|
| |||||||
63,545,060 | ||||||||
|
| |||||||
Industrials — 1.8% | ||||||||
AerCap Ireland Capital DAC 1.750%, 10/29/24 | 4,000,000 | 3,624,854 | ||||||
Airswift Global 11.423%, ICE LIBOR USD | 16,900,000 | 16,815,500 | ||||||
American Airlines Group 3.750%, 03/01/25 (D) | 10,000,000 | 8,798,600 | ||||||
Boeing 2.950%, 02/01/30 | 3,344,000 | 2,678,807 | ||||||
Brundage-Bone Concrete Pumping Holdings 6.000%, 02/01/26 (D) | 3,100,000 | 2,805,500 | ||||||
Burlington Northern Santa Fe 7.290%, 06/01/36 | 5,000,000 | 5,539,107 | ||||||
Equifax 3.100%, 05/15/30 | 3,000,000 | 2,450,281 | ||||||
Flowserve 3.500%, 10/01/30 | 4,000,000 | 3,184,654 | ||||||
Leidos 2.300%, 02/15/31 | 3,291,000 | 2,426,759 | ||||||
|
| |||||||
48,324,062 | ||||||||
|
| |||||||
Information Technology — 1.9% | ||||||||
Amkor Technology 6.625%, 09/15/27 (D) | 10,372,000 | 10,238,927 | ||||||
Apple 3.850%, 05/04/43 | 2,000,000 | 1,627,730 | ||||||
Avaya 6.125%, 09/15/28 (D) | 9,325,000 | 3,918,272 | ||||||
Avnet 3.000%, 05/15/31 | 7,000,000 | 5,206,376 | ||||||
Jabil 3.600%, 01/15/30 | 4,496,000 | 3,769,205 | ||||||
Kyndryl Holdings 4.100%, 10/15/41 | 7,620,000 | 4,175,344 | ||||||
Motorola Solutions 4.600%, 05/23/29 | 21,435,000 | 19,705,145 | ||||||
|
| |||||||
48,640,999 | ||||||||
|
| |||||||
Materials — 0.3% | ||||||||
Mineral Resources 8.125%, 05/01/27 (D) | 8,136,000 | 8,095,320 | ||||||
Nacional del Cobre de Chile 3.150%, 01/15/51 (D) | 500,000 | 303,310 | ||||||
|
| |||||||
8,398,630 | ||||||||
|
| |||||||
Real Estate — 0.2% | ||||||||
GLP Capital 3.250%, 01/15/32 ‡ | 750,000 | 559,058 | ||||||
Invitation Homes Operating Partnership 2.000%, 08/15/31 ‡ | 2,000,000 | 1,403,959 |
Description | Face Amount | Value | ||||||
Sabra Health Care 3.200%, 12/01/31 ‡ | $ | 3,920,000 | $ | 2,825,755 | ||||
|
| |||||||
4,788,772 | ||||||||
|
| |||||||
Utilities — 0.6% | ||||||||
Georgia Power 3.250%, 03/15/51 | 8,000,000 | 5,180,744 | ||||||
Pacific Gas and Electric 4.500%, 07/01/40 | 11,000,000 | 8,202,610 | ||||||
3.750%, 08/15/42 | 5,000,000 | 3,166,695 | ||||||
|
| |||||||
16,550,049 | ||||||||
|
| |||||||
Total Corporate Obligations | 465,999,217 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 14.7% |
| |||||||
Agency Mortgage-Backed Obligation — 3.1% |
| |||||||
FHLMC 3.063%, ICE LIBOR USD 12 Month + 1.620%, 01/01/45 (C) | 2,847,736 | 2,766,948 | ||||||
2.297%, ICE LIBOR USD 12 Month + 1.650%, 06/01/43 (C) | 2,049,247 | 2,050,198 | ||||||
FHLMC, Ser 2011-3898, Cl FC 3.922%, LIBOR USD 1 Month + 0.510%, 11/15/36 (C) | 1,206,369 | 1,191,451 | ||||||
FHLMC, Ser 2012-293, Cl IO, IO 4.000%, 11/15/32 | 607,107 | 65,161 | ||||||
FHLMC, Ser 2012-3996, Cl QL 4.000%, 02/15/42 | 5,190,017 | 4,967,921 | ||||||
FHLMC, Ser 2012-4029, Cl LI, IO 3.000%, 01/15/27 | 1,508,923 | 42,991 | ||||||
FHLMC, Ser 2012-4077, Cl AI, IO 3.000%, 01/15/27 | 1,769,047 | 34,619 | ||||||
FHLMC, Ser 2012-4106, Cl YI, IO 2.500%, 09/15/27 | 1,294,774 | 57,135 | ||||||
FHLMC, Ser 2012-4116, Cl MI, IO 4.000%, 10/15/42 | 13,225,206 | 2,059,404 | ||||||
FHLMC, Ser 2012-4116, Cl PI, IO 4.000%, 10/15/42 | 4,246,670 | 938,943 | ||||||
FHLMC, Ser 2012-4134, Cl BI, IO 2.500%, 11/15/27 | 3,825,172 | 166,256 | ||||||
FHLMC, Ser 2012-4136, Cl PI, IO 3.000%, 11/15/32 | 8,679,866 | 952,929 | ||||||
FHLMC, Ser 2012-4148, Cl LI, IO 2.500%, 12/15/27 | 2,537,182 | 114,429 | ||||||
FHLMC, Ser 2013-4213, Cl IG, IO 4.000%, 06/15/43 | 6,597,103 | 854,147 | ||||||
FHLMC, Ser 2014-4349, Cl KI, IO 3.000%, 04/15/33 | 4,604,955 | 292,272 | ||||||
FHLMC, Ser 2015-4457, Cl EI, IO 3.500%, 02/15/45 | 267,983 | 26,223 | ||||||
FHLMC, Ser 2017-4675, Cl VE 3.500%, 08/15/37 | 4,707,000 | 4,452,958 | ||||||
FHLMC, Ser 2019-4908, Cl AS, IO 2.514%, ICE LIBOR USD | 10,648,727 | 1,135,613 | ||||||
FHLMC, Ser 2021-5085, Cl IG, IO 2.500%, 03/25/51 | 22,022,031 | 3,069,550 | ||||||
FHLMC, Ser 2022-5202, Cl KI, IO 3.500%, 06/25/49 | 17,012,280 | 2,962,520 |
5 |
FROST TOTAL RETURN BOND FUND OCTOBER 31, 2022 (UNAUDITED)
|
Description | Face Amount | Value | ||||||
FNMA | $ | 3,831,089 | $ | 3,924,406 | ||||
5.234%, ICE LIBOR USD | 920,404 | 937,536 | ||||||
4.500%, 08/01/41 | 2,197,886 | 2,127,044 | ||||||
3.000%, 10/01/32 to 11/01/46 | 5,706,686 | 5,063,956 | ||||||
1.997%, ICE LIBOR USD | 706,468 | 709,103 | ||||||
FNMA STRIPS, Ser 2009-397, Cl 2, IO | ||||||||
5.000%, 09/25/39 | 1,222,127 | 223,224 | ||||||
FNMA STRIPS, Ser 2009-400, Cl 2, IO | ||||||||
4.500%, 11/25/39 | 937,630 | 159,030 | ||||||
FNMA STRIPS, Ser 2010-404, Cl 2, IO | ||||||||
4.500%, 05/25/40 | 1,719,123 | 376,883 | ||||||
FNMA STRIPS, Ser 2011-407, Cl 2, IO | ||||||||
4.000%, 03/25/41 | 1,649,722 | 279,111 | ||||||
FNMA, Ser 2011-103, Cl GI, IO | 830,561 | 27,739 | ||||||
FNMA, Ser 2011-146, Cl AY | 2,377,629 | 2,261,551 | ||||||
FNMA, Ser 2012-410, Cl C5, IO | 3,709,550 | 142,513 | ||||||
FNMA, Ser 2012-61, Cl KI, IO | 3,275,131 | 278,371 | ||||||
FNMA, Ser 2012-68, Cl GY | 5,000,000 | 4,575,853 | ||||||
FNMA, Ser 2013-104, Cl TI, IO | 1,392,376 | 65,617 | ||||||
FNMA, Ser 2013-36, Cl MH | 176,352 | 175,665 | ||||||
FNMA, Ser 2014-40, Cl GI, IO | 4,664,262 | 483,843 | ||||||
FNMA, Ser 2015-421, Cl C1, IO | 2,649,691 | 221,299 | ||||||
FNMA, Ser 2017-52, Cl DI, IO | 7,880,507 | 1,409,236 | ||||||
FNMA, Ser 2019-44, Cl CI, IO | 6,082,403 | 1,371,025 | ||||||
FNMA, Ser 2019-44, Cl PI, IO | 5,071,276 | 865,025 | ||||||
GNMA, Ser 2011-125, Cl BI, IO | 212,536 | 617 | ||||||
GNMA, Ser 2013-170, Cl QI, IO | 7,983,716 | 1,335,495 | ||||||
GNMA, Ser 2013-42, Cl MI, IO | 521,236 | 12,681 | ||||||
GNMA, Ser 2013-62, Cl NI, IO | 2,929,830 | 201,025 | ||||||
GNMA, Ser 2014-32, Cl CI, IO | 2,330,410 | 205,612 | ||||||
GNMA, Ser 2014-44, Cl IO, IO | 3,262,037 | 123,566 | ||||||
GNMA, Ser 2015-103, Cl CI, IO | 11,514,522 | 1,772,087 |
Description | Face Amount | Value | ||||||
GNMA, Ser 2015-17, Cl JI, IO | $ | 2,941,345 | $ | 101,510 | ||||
GNMA, Ser 2016-99, Cl ID, IO | 15,404,223 | 3,604,810 | ||||||
GNMA, Ser 2017-137, Cl DI, IO | 979,522 | 23,435 | ||||||
GNMA, Ser 2019-137, Cl GI, IO | 57,143,595 | 9,642,822 | ||||||
GNMA, Ser 2020-189, Cl IJ, IO | 22,010,527 | 2,629,853 | ||||||
GNMA, Ser 2020-191, Cl CT 1. | 4,270,737 | 3,242,234 | ||||||
GNMA, Ser 2021-8, Cl IG, IO 2.500%, 01/20/51 | 29,582,327 | 3,325,122 | ||||||
|
| |||||||
80,100,567 | ||||||||
|
| |||||||
Commercial Mortgage-Backed Obligation — 7.5% | ||||||||
280 Park Avenue Mortgage Trust, | ||||||||
6.128%, ICE LIBOR USD | 12,500,000 | 11,407,583 | ||||||
Bear Stearns Commercial | ||||||||
5.566%, 01/12/45 (C) | 131,129 | 126,029 | ||||||
Benchmark Mortgage Trust, 2.250%, 07/15/53 (D) | 8,000,000 | 4,505,328 | ||||||
Benchmark Mortgage Trust, 2.000%, 12/17/53 (D) | 13,000,000 | 7,509,042 | ||||||
Benchmark Mortgage Trust, 2.437%, 09/15/48 (D) | 10,000,000 | 7,964,896 | ||||||
BX Commercial Mortgage Trust, 3.544%, 03/09/44 (C)(D) | 8,000,000 | 6,284,464 | ||||||
BXMT, Ser 2020-FL2, Cl A 4.390%, TSFR1M + 1.014%, | 10,311,245 | 10,178,756 | ||||||
Citigroup Commercial Mortgage Trust, 4.038%, 06/10/48 (C) | 5,000,000 | 4,354,001 | ||||||
Commercial Mortgage Trust, 4.905%, 08/15/45 (C) | 1,000,000 | 960,000 | ||||||
Commercial Mortgage Trust, 4.905%, 08/15/45 (C)(D) | 224,200 | 207,721 | ||||||
Commercial Mortgage Trust, 5.002%, 04/10/47 (C)(D) | 9,500,000 | 8,741,494 | ||||||
Commercial Mortgage Trust, 4.439%, 12/10/47 (C) | 4,000,000 | 3,658,314 | ||||||
Commercial Mortgage Trust, 4.298%, 02/10/48 (C)(D) | 9,000,000 | 7,276,451 |
6 |
FROST TOTAL RETURN BOND FUND OCTOBER 31, 2022 (UNAUDITED)
|
Description
| Face Amount | Value | ||||||
Credit Suisse First Boston 3.662%, ICE LIBOR USD 1 Month + 0.250%, 04/15/37 (C) | $ | 47,284 | $ | 46,970 | ||||
Credit Suisse First Boston 4.877%, 04/15/37 | 4,226 | 4,144 | ||||||
CSMC Trust, Ser 2019-AFC1, Cl A1 2.573%, 07/25/49 (D)(E) | 2,682,168 | 2,465,695 | ||||||
DROP Mortgage Trust, Ser 2021- 6.160%, ICE LIBOR USD | 15,000,000 | 13,760,615 | ||||||
FHLMC Military Housing 5.941%, 11/25/52 (C)(D) | 33,405,074 | 27,766,331 | ||||||
FNMA, Ser 2020-44, Cl MI, IO 2.500%, 01/25/57 | 12,950,395 | 2,090,883 | ||||||
Fontainebleau Miami Beach Trust, 3.144%, 12/10/36 (D) | 10,000,000 | 9,213,089 | ||||||
FREMF Mortgage Trust, Ser 2016- 4.053%, 04/25/48 (C)(D) | 5,000,000 | 4,643,866 | ||||||
FREMF Mortgage Trust, Ser 2016- 3.918%, 08/25/49 (C)(D) | 8,840,000 | 8,052,427 | ||||||
Hudson Yards Mortgage Trust, 3.380%, 07/10/39 (C)(D) | 2,500,000 | 2,027,035 | ||||||
JPMDB Commercial Mortgage 3.335%, 06/15/49 (C) | 4,328,000 | 3,485,272 | ||||||
JPMorgan Chase Commercial 6.507%, 02/15/51 (C) | 1,763,153 | 1,646,949 | ||||||
JPMorgan Chase Commercial 5.994%, 02/15/51 (C)(F)(G) | 1,000,000 | — | ||||||
LStar Commercial Mortgage Trust, 3.188%, 03/10/49 (D) | 3,000,000 | 2,740,339 | ||||||
MFRA Trust, Ser 2022-INV1, Cl A3 4.250%, 04/25/66 (C)(D) | 4,000,000 | 3,398,104 | ||||||
Morgan Stanley Bank of America 4.728%, 05/15/49 (C) | 2,413,000 | 2,123,878 | ||||||
Morgan Stanley Capital I, 5.574%, 11/12/49 (C) | 85,782 | 85,673 |
Description
| Face Amount | Value | ||||||
UBS-Barclays Commercial 4.387%, 12/10/45 (C)(D) | $ | 13,624,000 | $ | 13,355,076 | ||||
Wells Fargo Commercial Mortgage 4.726%, 01/15/59 (C) | 5,000,000 | 4,524,521 | ||||||
Wells Fargo Commercial Mortgage 3.788%, 01/15/59 (C)(D) | 2,000,000 | 1,610,815 | ||||||
Wells Fargo Commercial Mortgage 4.089%, 06/15/49 | 5,000,000 | 4,387,079 | ||||||
Wells Fargo Commercial Mortgage 4.058%, 08/17/36 (C)(D) | 5,000,000 | 4,531,781 | ||||||
WFRBS Commercial Mortgage 5.024%, 03/15/46 (C) | 3,000,000 | 2,900,704 | ||||||
WFRBS Commercial Mortgage 3.803%, 11/15/47 (C)(D) | 7,310,000 | 6,235,105 | ||||||
|
| |||||||
194,270,430 | ||||||||
|
| |||||||
Non-Agency Residential Mortgage-Backed Obligation — 4.1% | ||||||||
510 Asset Backed Trust, Ser 2021- 3.967%, 06/25/61 (D)(E) | 20,000,000 | 17,413,936 | ||||||
510 Asset Backed Trust, Ser 2021- 4.090%, 06/25/61 (D)(E) | 7,000,000 | 5,816,387 | ||||||
Angel Oak Mortgage Trust, 1.446%, 01/20/65 (C)(D) | 2,308,769 | 1,661,387 | ||||||
Arroyo Mortgage Trust, Ser 2019- 3.498%, 04/25/49 (C)(D) | 2,438,299 | 2,256,338 | ||||||
CAFL, Ser 2021-RTL1, Cl A1 2.239%, 03/28/29 (D)(E) | 2,000,000 | 1,797,485 | ||||||
CAFL, Ser 2022-RTL1, Cl A1 4.250%, 05/28/29 (E) | 7,000,000 | 6,488,898 | ||||||
Carrington Mortgage Loan Trust, 2.461%, ICE LIBOR USD | 1,000,000 | — | ||||||
FirstKey Mortgage Trust, Ser 2015- 3.500%, 03/25/45 (C)(D) | 880,767 | 776,517 | ||||||
Galton Funding Mortgage Trust, 4.000%, 02/25/59 (C)(D) | 147,132 | 140,989 | ||||||
Galton Funding Mortgage Trust, 4.000%, 06/25/59 (C)(D) | 1,494,348 | 1,405,452 | ||||||
PRET, Ser 2021-NPL3, Cl A2 3.721%, 07/25/51 (D)(E) | 2,000,000 | 1,738,601 | ||||||
PRET, Ser 2021-NPL5, Cl A2 4.704%, 10/25/51 (D)(E) | 7,000,000 | 6,291,740 | ||||||
PRET, Ser 2021-RN3, Cl A1 1.843%, 09/25/51 (D)(E) | 7,479,240 | 6,731,131 | ||||||
PRET, Ser 2021-RN4, Cl A2 5.194%, 10/25/51 (C)(D) | 6,000,000 | 5,530,788 |
7 |
FROST TOTAL RETURN BOND FUND OCTOBER 31, 2022 (UNAUDITED)
|
Description | Face Amount | Value | ||||||
Pretium Mortgage Credit Partners 4.213%, 09/27/60 (D)(E) | $ | 9,000,000 | $ | 8,376,099 | ||||
Pretium Mortgage Credit Partners 3.844%, 06/27/60 (D)(E) | 2,750,000 | 2,397,228 | ||||||
PRPM, Ser 2021-10, Cl A2 4.826%, 10/25/26 (D)(E) | 8,000,000 | 6,548,722 | ||||||
PRPM, Ser 2021-5, Cl A2 3.721%, 06/25/26 (D)(E) | 5,000,000 | 4,071,195 | ||||||
PSMC Trust, Ser 2020-2, Cl A2 3.000%, 05/25/50 (C)(D) | 648,234 | 559,323 | ||||||
RCO VI Mortgage, Ser 2022-1, Cl A2 5.250%, 01/25/27 (D)(E) | 5,000,000 | 4,519,062 | ||||||
Sequoia Mortgage Trust, 0.849%, 04/25/43 (C)(D) | 51,316,194 | 1,560,017 | ||||||
Sequoia Mortgage Trust, Ser 2017- 3.500%, 08/25/47 (C)(D) | 100,364 | 91,880 | ||||||
Sequoia Mortgage Trust, 4.000%, 10/25/48 (C)(D) | 63,703 | 62,830 | ||||||
Toorak Mortgage, Ser 2021-1, Cl M1 5.805%, 06/25/24 (D)(E) | 15,000,000 | 13,627,296 | ||||||
VOLT, Ser 2021-CF2, Cl A2 5.316%, 11/27/51 (D)(E) | 4,000,000 | 3,291,406 | ||||||
Wells Fargo Mortgage Backed 3.000%, 12/25/49 (C)(D) | 2,623,074 | 2,140,379 | ||||||
WinWater Mortgage Loan Trust, 3.948%, 06/20/44 (C)(D) | 486,270 | 447,180 | ||||||
WinWater Mortgage Loan Trust, 4.000%, 09/20/44 (C)(D) | 146,325 | 131,834 | ||||||
WinWater Mortgage Loan Trust, 3.500%, 11/20/44 (C)(D) | 404,941 | 359,618 | ||||||
WinWater Mortgage Loan Trust, 3.500%, 02/20/45 (C)(D) | 451,925 | 391,084 | ||||||
WinWater Mortgage Loan Trust, 03/20/45 (C)(D) | 604,486 | 535,146 | ||||||
|
| |||||||
107,159,948 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities | 381,530,945 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 13.3% |
| |||||||
Automotive — 8.5% | ||||||||
ACC Auto Trust, Ser 2021-A, Cl D 6.100%, 06/15/29 (D) | 13,000,000 | 12,112,655 | ||||||
American Credit Acceptance 7.600%, 02/16/27 (D) | 13,750,000 | 13,754,058 |
Description | Face Amount | Value | ||||||
American Credit Acceptance 2.400%, 06/15/26 (D) | $ | 6,500,000 | $ | 6,318,283 | ||||
American Credit Acceptance 3.650%, 12/14/26 (D) | 4,000,000 | 3,808,833 | ||||||
American Credit Acceptance 4.410%, 06/13/28 (D) | 5,000,000 | 4,814,292 | ||||||
American Credit Acceptance 4.860%, 10/13/28 (D) | 1,000,000 | 964,808 | ||||||
Amur Equipment Finance 2.300%, 11/22/27 (D) | 1,250,000 | 1,116,358 | ||||||
Amur Equipment Finance 9.320%, 10/22/29 (D) | 2,600,000 | 2,542,162 | ||||||
Avid Automobile Receivables Trust, 4.030%, 07/15/26 (D) | 1,300,000 | 1,287,095 | ||||||
CarNow Auto Receivables Trust, 1.690%, 03/15/27 (D) | 3,330,000 | 3,134,353 | ||||||
CarNow Auto Receivables Trust, 4.450%, 02/15/28 (D) | 4,000,000 | 3,558,540 | ||||||
Carvana Auto Receivables Trust, 4.700%, 10/15/26 (D) | 1,000,000 | 933,095 | ||||||
CIG Auto Receivables Trust, 4.450%, 05/12/28 (D) | 7,000,000 | 6,354,081 | ||||||
CPS Auto Receivables Trust, 7.480%, 06/15/26 (D) | 6,055,000 | 5,973,305 | ||||||
CPS Auto Receivables Trust, 2.720%, 09/15/25 (D) | 2,136,917 | 2,114,217 | ||||||
CPS Auto Receivables Trust, 3.860%, 10/15/25 (D) | 6,000,000 | 5,811,813 | ||||||
DT Auto Owner Trust, Ser 2020- 3.480%, 02/16/27 (D) | 4,500,000 | 4,292,313 | ||||||
DT Auto Owner Trust, Ser 2020- 1.840%, 06/15/26 (D) | 2,000,000 | 1,870,403 | ||||||
DT Auto Owner Trust, Ser 2021- 2.380%, 01/18/28 (D) | 1,000,000 | 913,281 | ||||||
DT Auto Owner Trust, Ser 2021- 1.310%, 05/17/27 (D) | 5,500,000 | 4,854,321 |
8 |
FROST TOTAL RETURN BOND FUND OCTOBER 31, 2022 (UNAUDITED)
|
Description | Face Amount | Value | ||||||
Exeter Automobile Receivables 2.730%, 12/15/25 (D) | $ | 2,500,000 | $ | 2,459,818 | ||||
First Investors Auto Owner Trust, 3.150%, 04/15/26 (D) | 4,000,000 | 3,899,654 | ||||||
First Investors Auto Owner Trust, 4.630%, 06/16/26 (D) | 5,510,000 | 5,366,747 | ||||||
First Investors Auto Owner Trust, 7.070%, 06/15/27 (D) | 5,300,000 | 5,240,710 | ||||||
First Investors Auto Owner Trust, 5.410%, 06/15/29 (D) | 2,280,000 | 2,037,282 | ||||||
Flagship Credit Auto Trust, 3.530%, 05/15/25 (D) | 5,190,000 | 5,016,955 | ||||||
Flagship Credit Auto Trust, 3.520%, 06/15/27 (D) | 7,931,000 | 7,037,126 | ||||||
Flagship Credit Auto Trust, 8.220%, 09/15/27 (D) | 8,000,000 | 8,036,084 | ||||||
Foursight Capital Automobile 3.490%, 04/15/26 (D) | 1,300,000 | 1,269,431 | ||||||
Foursight Capital Automobile 4.690%, 08/15/29 (D) | 4,230,000 | 3,710,099 | ||||||
GLS Auto Receivables Issuer Trust, 3.840%, 05/15/26 (D) | 6,000,000 | 5,805,526 | ||||||
GLS Auto Receivables Issuer Trust, 3.680%, 11/16/26 (D) | 5,000,000 | 4,793,680 | ||||||
GLS Auto Receivables Issuer Trust, 3.510%, 10/15/27 (D) | 650,000 | 607,063 | ||||||
GLS Auto Receivables Issuer Trust, 8.350%, 10/15/29 (D) | 1,990,000 | 1,872,687 | ||||||
GLS Auto Receivables Trust, 5.640%, 05/15/29 (D) | 4,000,000 | 3,527,267 | ||||||
Hertz Vehicle Financing, Ser 2021- 3.980%, 12/26/25 (D) | 10,000,000 | 8,739,735 | ||||||
Invesco CLO 2022-3, Ser 2022- 2.750%, 10/22/35 (C)(D) | 6,000,000 | 5,867,226 | ||||||
Santander Consumer Auto 7.690%, 05/15/26 (D) | 9,006,000 | 8,917,563 | ||||||
Santander Consumer Auto 10.120%, 01/16/29 (D) | 27,740,000 | 28,651,714 |
Description | Face Amount | Value | ||||||
Santander Consumer Auto 7.030%, 08/15/28 (D) | $ | 6,250,000 | $ | 6,183,949 | ||||
Santander Consumer Auto 3.280%, 03/15/27 (D) | 1,000,000 | 902,367 | ||||||
Tricolor Auto Securitization Trust, 1.330%, 09/16/24 (D) | 2,000,000 | 1,961,651 | ||||||
Tricolor Auto Securitization Trust, 9.800%, 07/16/29 (D) | 4,000,000 | 3,795,353 | ||||||
United Auto Credit Securitization 6.840%, 01/10/28 (D) | 5,389,000 | 5,237,463 | ||||||
Veros Auto Receivables Trust, 3.640%, 08/15/28 (D) | 4,320,000 | 3,998,596 | ||||||
|
| |||||||
221,464,012 | ||||||||
|
| |||||||
Credit Card — 0.3% | ||||||||
Master Credit Card Trust II, 2.590%, 09/21/24 (D) | 2,000,000 | 1,971,974 | ||||||
Mercury Financial Credit Card 2.500%, 09/21/26 (D) | 3,000,000 | 2,830,231 | ||||||
Mercury Financial Credit Card 5.200%, 09/21/26 (D) | 1,780,000 | 1,606,908 | ||||||
|
| |||||||
6,409,113 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 3.9% |
| |||||||
BHG Securitization Trust, 6.690%, 06/18/35 (D) | 5,993,367 | 5,320,671 | ||||||
CAL Funding IV, Ser 2020-1A, Cl B 3.500%, 09/25/45 (D) | 1,398,958 | 1,218,157 | ||||||
CF Hippolyta Issuer, Ser 2020-1, 1.990%, 07/15/60 (D) | 5,370,382 | 4,383,142 | ||||||
CP EF Asset Securitization I, 5.960%, 04/15/30 (D) | 4,366,895 | 4,291,214 | ||||||
Diamond Resorts Owner Trust, 2.890%, 02/20/32 (D) | 1,148,780 | 1,118,346 | ||||||
Global SC Finance VII Srl, 2.170%, 10/17/40 (D) | 3,074,267 | 2,699,843 | ||||||
Harley Marine Financing, 6.682%, 05/15/43 (D)(E) | 9,826,489 | 9,539,280 | ||||||
Harley Marine Financing, Ser 2018- 8.869%, 05/15/43 (D)(E) | 6,000,000 | 5,664,510 | ||||||
Harvest SBA Loan Trust, Ser 2018- 5.334%, ICE LIBOR USD | 2,003,815 | 1,981,031 |
9 |
FROST TOTAL RETURN BOND FUND OCTOBER 31, 2022 (UNAUDITED)
|
Description | Face Amount | Value | ||||||
JG Wentworth XXI LLC, Ser 2010- 7.450%, 01/15/50 (D) | $ | 1,198,447 | $ | 1,198,030 | ||||
JGWPT XXV LLC, Ser 2012-1A, Cl B 7.140%, 02/15/67 (D) | 546,949 | 545,808 | ||||||
JGWPT XXVI LLC, Ser 2012-2A, 6.770%, 10/17/61 (D) | 1,458,522 | 1,455,813 | ||||||
Kapitus Asset Securitization, 3.382%, 07/10/28 (D) | 8,000,000 | 7,352,578 | ||||||
Marlette Funding Trust, Ser 2020- 3.540%, 03/15/30 (D) | 1,379,282 | 1,337,160 | ||||||
Mosaic Solar Loan Trust, 2.210%, 08/20/46 (D) | 2,958,492 | 2,497,041 | ||||||
Octane Receivables Trust, 2.020%, 09/20/28 (D) | 3,000,000 | 2,673,733 | ||||||
Oportun Issuance Trust, Ser 2022- 7.400%, 06/09/31 (D) | 3,000,000 | 2,700,881 | ||||||
Orange Lake Timeshare Trust, 3.610%, 04/09/38 (D) | 1,494,141 | 1,399,220 | ||||||
Orange Lake Timeshare Trust, 4.930%, 04/09/38 (D) | 246,537 | 226,665 | ||||||
Pawnee Equipment Receivables, 2.860%, 10/15/24 (D) | 5,500,000 | 5,334,124 | ||||||
Pawnee Equipment Receivables, 3.800%, 01/15/26 (D) | 2,500,000 | 2,420,115 | ||||||
Pawneee Equipment Receivables, 2.300%, 07/15/27 (D) | 4,700,000 | 4,119,227 | ||||||
Pawneee Equipment Receivables, 6.010%, 07/17/28 (D) | 4,000,000 | 3,812,688 | ||||||
Sapphire Aviation Finance I, 5.926%, 03/15/40 (D) | 1,715,776 | 986,605 | ||||||
Stack Infrastructure Issuer Series, 4.540%, 02/25/44 (D) | 3,468,000 | 3,376,859 | ||||||
Textainer Marine Containers VII, 3.340%, 09/20/45 (D) | 1,600,877 | 1,373,384 | ||||||
Triton Container Finance VIII, 3.740%, 09/20/45 (D) | 822,917 | 706,093 | ||||||
TRTX Issuer, Ser 2021-FL4, Cl C 5.812%, ICE LIBOR USD | 10,000,000 | 9,494,040 | ||||||
VOLT CIII, Ser 2021-CF1, Cl A2 3.967%, 08/25/51 (D)(E) | 3,303,000 | 3,098,092 | ||||||
VR Funding, Ser 2020-1A, Cl A 2.790%, 11/15/50 (D) | 6,699,819 | 5,836,860 |
Description | Face Amount | Value | ||||||
VR Funding, Ser 2020-1A, Cl C 6.420%, 11/15/50 (D) | $ | 4,000,625 | $ | 3,673,075 | ||||
|
| |||||||
101,834,285 | ||||||||
|
| |||||||
Student Loan — 0.6% | ||||||||
College Ave Student Loans, 4.786%, ICE LIBOR USD | 1,829,512 | 1,786,146 | ||||||
Commonbond Student Loan Trust, 2.550%, 05/25/41 (D) | 1,382,848 | 1,349,394 | ||||||
Nelnet Student Loan Trust, 5.086%, ICE LIBOR USD | 10,000,000 | 9,368,288 | ||||||
SLM Student Loan Trust, 5.386%, ICE LIBOR USD | 5,000,000 | 4,666,121 | ||||||
|
| |||||||
17,169,949 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 346,877,359 | |||||||
|
| |||||||
MUNICIPAL BONDS — 1.8% | ||||||||
GDB Debt Recovery Authority of 7.500%, 08/20/40 | 6,536,496 | 5,629,557 | ||||||
Mission, Economic Development, 8.550%, 12/01/21(F)(G) | 2,125,000 | 21,250 | ||||||
Mission, Economic Development, 10.875%, 12/01/28(F)(G) | 3,315,000 | 33,150 | ||||||
9.750%, 12/01/25(F)(G) | 3,045,000 | 30,450 | ||||||
North Texas Tollway Authority, RB 8.410%, 02/01/30 | 2,005,000 | 2,179,580 | ||||||
Northwest Independent School 1.776%, 02/15/31 | 2,000,000 | 1,547,397 | ||||||
1.836%, 02/15/32 | 1,890,000 | 1,421,517 | ||||||
Rhode Island State, Health & 8.000%, 05/15/29 | 5,000,000 | 5,004,436 | ||||||
San Juan, Higher Education 8.250%, 08/15/29 | 4,400,000 | 4,407,397 | ||||||
State of Illinois, Ser A, GO 3.140%, 10/01/24 | 14,460,000 | 13,892,509 | ||||||
Texas State, Public Finance 8.125%, 02/15/27 | 1,900,000 | 1,967,485 | ||||||
Texas State, Transportation 4.000%, 10/01/33 | 3,000,000 | 2,600,986 |
10 |
FROST TOTAL RETURN BOND FUND OCTOBER 31, 2022 (UNAUDITED)
|
Description | Face Amount | Value | ||||||
Texas State, Transportation 5.178%, 04/01/30 | $ | 3,980,000 | $ | 3,918,681 | ||||
TransJamaican Highway 5.750%, 10/10/36(D) | 1,428,603 | 1,122,168 | ||||||
University of Texas, Build America Bonds, Ser D, RB 5.134%, 08/15/42 | 3,000,000 | 2,899,544 | ||||||
|
| |||||||
Total Municipal Bonds | 46,676,107 | |||||||
| ||||||||
SOVEREIGN DEBT — 1.0% | ||||||||
Argentine Republic Government International Bond | ||||||||
1.500%, 07/09/35 (E) | 8,925,940 | 1,771,549 | ||||||
1.000%, 07/09/29 | 717,588 | 147,135 | ||||||
0.500%, 07/09/30 (E) | 5,141,000 | 1,083,601 | ||||||
Colombia Government International Bond 3.250%, 04/22/32 | 5,000,000 | 3,318,256 | ||||||
Oman Government International Bond 6.500%, 03/08/47 (D) | 15,000,000 | 12,340,410 | ||||||
Provincia de Buenos Aires 5.250%, 09/01/37 (D)(E) | 333,959 | 100,571 | ||||||
Suriname Government 12.875%, 12/30/23 | 8,000,000 | 6,440,000 | ||||||
Ukraine Government International Bond 7.750%, 09/01/24 (G) | 5,000,000 | 1,176,820 | ||||||
|
| |||||||
Total Sovereign Debt | 26,378,342 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.0% |
| |||||||
FAMC 6.125%, 10/27/32 | 3,000,000 | 2,993,533 | ||||||
FFCB 5.490%, 09/22/42 | 1,000,000 | 929,647 | ||||||
2.920%, 04/29/26 | 5,635,000 | 5,329,912 | ||||||
2.070%, 12/21/40 | 5,000,000 | 3,020,172 | ||||||
FHLB 2.625%, 12/08/36 | 1,000,000 | 734,390 | ||||||
2.375%, 01/14/37 | 3,000,000 | 2,124,610 | ||||||
2.150%, 09/23/36 | 1,500,000 | 1,038,468 | ||||||
FNMA 2.250%, 10/30/24 | 10,000,000 | 9,546,247 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 25,716,979 | ||||||
|
| |||||||
Shares | ||||||||
COMMON STOCK — 0.6% | ||||||||
Paratus Energy Services Ltd.*(F) | 27,367 | 14,943,203 | ||||||
Seadrill Ltd* | 305 | 9,740 | ||||||
|
| |||||||
Total Common Stock | 14,952,943 | |||||||
|
| |||||||
Total Investments — 99.3% | $ | 2,583,168,024 | ||||||
|
| |||||||
Percentages are based on Net Assets of $2,600,438,752. |
|
* | Non-income producing security. |
‡ | Real Estate Investment Trust |
(A) | At amortized cost |
(B) | Rate shown represents the bond equivalent yield to maturity at date of purchase. |
(C) | Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates. |
(D) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” The total value of such securities at October 31, 2022 was $1,388,895,793 and represents 53.4% of Net Assets. |
(E) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on October 31, 2022. The coupon on a step bond changes on a specific date. |
(F) | Level 3 security in accordance with fair value hierarchy. |
(G) | Security in default on interest payments. |
See “Glossary” for abbreviations.
The following is a summary of the level of inputs used as of October 31, 2022, in valuing the Fund’s investments carried at value:
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
U.S. Treasury | ||||||||||||||||
Obligations | $ | 377,116,093 | $ | 408,574,556 | $ | — | $ | 785,690,649 | ||||||||
Collateralized Loan | ||||||||||||||||
Obligations | — | 489,345,483 | — | 489,345,483 | ||||||||||||
Corporate Obligations | — | 465,999,217 | — | 465,999,217 | ||||||||||||
Mortgage-Backed | ||||||||||||||||
Securities | — | 381,530,945 | — | 381,530,945 | ||||||||||||
Asset-Backed | ||||||||||||||||
Securities | — | 346,877,359 | — | 346,877,359 | ||||||||||||
Municipal Bonds | — | 46,591,257 | 84,850 | 46,676,107 | ||||||||||||
Sovereign Debt | — | 26,378,342 | — | 26,378,342 | ||||||||||||
U.S. Government | ||||||||||||||||
Agency Obligations | — | 25,716,979 | — | 25,716,979 | ||||||||||||
Common Stock | 9,740 | — | 14,943,203 | 14,952,943 | ||||||||||||
Total Investments in | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||
Securities | $ | 377,125,833 | $ | 2,191,014,138 | $ | 15,028,053 | $ | 2,583,168,024 | ||||||||
|
|
|
|
|
|
|
|
(1) A reconciliation of Level 3 investments is presented when the fund has significant amount of Level 3 investments at the end of the period in relation to the net assets. Management has concluded that Level 3 investments are not material in relation to net assets.
11 |
FROST TOTAL RETURN BOND FUND OCTOBER 31, 2022 (UNAUDITED)
|
The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value as of October 31, 2022.
| ||||||||||||||||||||
Common Stock | Municipal Bond | Warrants | Total | |||||||||||||||||
| ||||||||||||||||||||
Balance as of July 31, 2022 | $ | 14,943,121 | $ | 84,850 | $ | 6,456,216 | $ | 21,484,187 | ||||||||||||
Realized gain/(loss) | — | — | 1,408,229 | 1,408,229 | ||||||||||||||||
Change in unrealized appreciation/(depreciation) | 82 | — | — | 82 | ||||||||||||||||
Purchases | — | — | — | — | ||||||||||||||||
Sales | — | — | (7,864,445 | ) | (7,864,445 | ) | ||||||||||||||
Net transfer into Level 3 | — | — | — | — | ||||||||||||||||
Net transfer out of Level 3 | — | — | — | — | ||||||||||||||||
|
| |||||||||||||||||||
Ending Balance as of October 31, 2022 | $ | 14,943,203 | $ | 84,850 | $ | — | $ | 15,028,053 | ||||||||||||
|
| |||||||||||||||||||
Change in unrealized gains/(losses) included in | $ | 82 | $ | — | $ | — | $ | 82 | ||||||||||||
|
|
Amounts designated as “—” are $0 or have been rounded to $0.
For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.
FIA-QH-001-3000
12 |
FROST CREDIT FUND OCTOBER 31, 2022 (UNAUDITED)
|
| ||||||||
Description | Face Amount | Value | ||||||
| ||||||||
CORPORATE OBLIGATIONS — 41.2% | ||||||||
Communication Services — 4.6% | ||||||||
ANGI Group 3.875%, 08/15/28 (A) | $ | 2,000,000 | $ | 1,465,060 | ||||
LCPR Senior Secured Financing DAC 6.750%, 10/15/27 (A) | 900,000 | 839,250 | ||||||
Photo Holdings Merger Sub 8.500%, 10/01/26 (A) | 1,500,000 | 987,105 | ||||||
Sprint 7.875%, 09/15/23 | 1,500,000 | 1,524,604 | ||||||
T-Mobile USA 3.500%, 04/15/31 | 3,000,000 | 2,522,421 | ||||||
|
| |||||||
7,338,440 | ||||||||
|
| |||||||
Consumer Discretionary — 14.0% | ||||||||
APX Group 5.750%, 07/15/29 (A) | 2,000,000 | 1,574,700 | ||||||
Beazer Homes USA 7.250%, 10/15/29 (A) | 1,000,000 | 827,500 | ||||||
Bloomin’ Brands 5.125%, 04/15/29 (A) | 2,500,000 | 2,126,563 | ||||||
Choice Hotels International 3.700%, 12/01/29 | 2,000,000 | 1,675,480 | ||||||
Dillard’s 7.000%, 12/01/28 | 500,000 | 483,332 | ||||||
Empire Resorts 7.750%, 11/01/26 (A) | 2,000,000 | 1,640,476 | ||||||
Expedia 3.800%, 02/15/28 | 2,000,000 | 1,778,362 | ||||||
Imperial Brands Finance 6.125%, 07/27/27 (A) | 500,000 | 482,549 | ||||||
Jaguar Land Rover Automotive 4.500%, 10/01/27 (A) | 2,000,000 | 1,417,649 | ||||||
MajorDrive Holdings IV 6.375%, 06/01/29 (A) | 3,000,000 | 2,114,100 | ||||||
Marriott International 3.500%, 10/15/32 | 2,000,000 | 1,597,377 | ||||||
NES Fircroft Bondco 11.750%, 09/29/26 (A) | 500,000 | 482,307 | ||||||
Rent-A-Center 6.375%, 02/15/29 (A) | 1,000,000 | 779,030 | ||||||
Scientific Games International 8.625%, 07/01/25 (A) | 2,000,000 | 2,054,699 | ||||||
STL Holding 7.500%, 02/15/26 (A) | 1,500,000 | 1,307,040 | ||||||
Under Armour 3.250%, 06/15/26 | 2,000,000 | 1,725,000 | ||||||
|
| |||||||
22,066,164 | ||||||||
|
| |||||||
Energy — 3.8% | ||||||||
Colonial Pipeline 8.375%, 11/01/30 (A) | 1,500,000 | 1,688,814 | ||||||
Murphy Oil 5.750%, 08/15/25 | 768,000 | 757,164 | ||||||
Tiger Holdco Pte 13.000%, 06/10/23 (A) | 2,084,434 | 2,063,590 | ||||||
VistaJet Malta Finance 7.875%, 05/01/27 (A) | 1,500,000 | 1,352,172 | ||||||
|
| |||||||
5,861,740 | ||||||||
|
| |||||||
Financials — 3.9% | ||||||||
Athene Holding 6.150%, 04/03/30 | 500,000 | 485,200 |
| ||||||||
Description | Face Amount | Value | ||||||
| ||||||||
Credit Suisse Group 6.373%, U.S. SOFR + 3.340%, | ||||||||
07/15/26 (A)(B) | $ | 1,000,000 | $ | 930,385 | ||||
Deutsche Bank MTN 4.296%, USD Swap Semi | ||||||||
30/360 5 Yr Curr + 2.248%, 05/24/28 (B) | 2,500,000 | 2,288,112 | ||||||
UBS 5.125%, 05/15/24 | 1,500,000 | 1,445,868 | ||||||
Westpac Banking 2.894%, US Treas Yield Curve | ||||||||
Rate T Note Const Mat 5 Yr + 1.350%, 02/04/30 (B) | 1,000,000 | 912,954 | ||||||
|
| |||||||
6,062,519 | ||||||||
|
| |||||||
Industrials — 7.2% | ||||||||
Airswift Global | ||||||||
11.423%, ICE LIBOR USD 3 | 2,000,000 | 1,990,000 | ||||||
Boeing | ||||||||
5.150%, 05/01/30 | 2,000,000 | 1,847,969 | ||||||
2.196%, 02/04/26 | 1,000,000 | 883,695 | ||||||
Brundage-Bone Concrete Pumping | ||||||||
6.000%, 02/01/26 (A) | 2,500,000 | 2,262,500 | ||||||
Flowserve 3.500%, 10/01/30 | 2,000,000 | 1,592,327 | ||||||
Lockheed Martin 5.250%, 01/15/33 | 1,500,000 | 1,504,528 | ||||||
Masco 7.750%, 08/01/29 | 1,088,000 | 1,173,954 | ||||||
|
| |||||||
11,254,973 | ||||||||
|
| |||||||
Information Technology — 4.8% | ||||||||
Amkor Technology 6.625%, 09/15/27 (A) | 1,000,000 | 987,170 | ||||||
Apple 3.850%, 05/04/43 | 2,000,000 | 1,627,730 | ||||||
Castle US Holding 9.500%, 02/15/28 (A) | 1,000,000 | 453,750 | ||||||
Consensus Cloud Solutions 6.000%, 10/15/26 (A) | 1,000,000 | 900,750 | ||||||
Kyndryl Holdings 4.100%, 10/15/41 | 1,829,000 | 1,002,192 | ||||||
VeriSign 4.750%, 07/15/27 | 1,000,000 | 958,753 | ||||||
Western Digital 2.850%, 02/01/29 | 2,000,000 | 1,546,360 | ||||||
|
| |||||||
7,476,705 | ||||||||
|
| |||||||
Materials — 0.3% | ||||||||
Mineral Resources 8.125%, 05/01/27 (A) | 420,000 | 417,900 | ||||||
|
| |||||||
Real Estate — 2.1% | ||||||||
GLP Capital 3.250%, 01/15/32 ‡ | 2,500,000 | 1,863,525 | ||||||
Sabra Health Care 3.200%, 12/01/31 ‡ | 2,000,000 | 1,441,712 | ||||||
|
| |||||||
3,305,237 | ||||||||
|
| |||||||
Utilities — 0.5% | ||||||||
Pacific Gas and Electric 4.500%, 07/01/40 | 1,000,000 | 745,692 | ||||||
|
| |||||||
Total Corporate Obligations | 64,529,370 | |||||||
|
|
13 |
FROST CREDIT FUND OCTOBER 31, 2022 (UNAUDITED)
|
Description | Face Amount | Value | ||||||
COLLATERALIZED LOAN OBLIGATIONS —25.0% | ||||||||
Apidos CLO XI, Ser 2021-11A, | ||||||||
10.649%, ICE LIBOR USD | $ | 1,000,000 | $ | 841,821 | ||||
Audax Senior Debt CLO 6, | ||||||||
6.193%, ICE LIBOR USD | 1,000,000 | 891,647 | ||||||
BCC Middle Market, Ser 2018-1A, | ||||||||
7.243%, ICE LIBOR USD | 1,000,000 | 921,851 | ||||||
Benefit Street Partners CLO III, | ||||||||
10.843%, ICE LIBOR USD | 2,500,000 | 2,171,647 | ||||||
Benefit Street Partners III, | ||||||||
8.143%, ICE LIBOR USD | 2,000,000 | 1,854,172 | ||||||
BlueMountain CLO XXX, Ser 2022- | ||||||||
10.564%, TSFR3M + 6.700%, | 2,000,000 | 1,668,580 | ||||||
Carlyle Global Market Strategies, | ||||||||
5.879%, ICE LIBOR USD | 1,250,000 | 1,137,320 | ||||||
CARLYLE US, Ser 2018-1A, Cl B | ||||||||
6.093%, ICE LIBOR USD | 2,000,000 | 1,823,198 | ||||||
Chenango Park, Ser 2018-1A, Cl B | ||||||||
5.929%, ICE LIBOR USD | 1,000,000 | 916,637 | ||||||
CIFC Funding, Ser 2018-1A, Cl C | ||||||||
5.944%, ICE LIBOR USD | 500,000 | 456,072 | ||||||
Golub Capital Partners, Ser 2017- | ||||||||
7.258%, ICE LIBOR USD | 1,500,000 | 1,384,643 | ||||||
Golub Capital Partners, Ser 2017- | ||||||||
6.808%, ICE LIBOR USD | 3,000,000 | 2,707,503 | ||||||
Golub Capital Partners, Ser 2017- | ||||||||
6.093%, ICE LIBOR USD | 1,500,000 | 1,374,104 |
Description | Face Amount | Value | ||||||
Golub Capital Partners, Ser 2017- | ||||||||
5.793%, ICE LIBOR USD | $ | 1,000,000 | $ | 928,220 | ||||
Golub Capital Partners, Ser 2017- | ||||||||
6.043%, ICE LIBOR USD | 2,000,000 | 1,830,034 | ||||||
Golub Capital Partners, Ser 2017- | ||||||||
6.732%, ICE LIBOR USD | 2,000,000 | 1,750,402 | ||||||
Golub Capital Partners, Ser 2018- | ||||||||
5.793%, ICE LIBOR USD | 1,000,000 | 954,435 | ||||||
Golub Capital Partners, Ser 2018- | ||||||||
4.482%, ICE LIBOR USD | 2,000,000 | 1,873,980 | ||||||
Golub Capital Partners, Ser 2018- | ||||||||
4.932%, ICE LIBOR USD | 1,500,000 | 1,355,061 | ||||||
Jay Park, Ser 2018-1A, Cl BR | ||||||||
6.243%, ICE LIBOR USD | 1,000,000 | 945,417 | ||||||
LCM XXII, Ser 2018-22A, Cl BR | ||||||||
6.243%, ICE LIBOR USD | 1,500,000 | 1,388,772 | ||||||
MCF VIII, Ser 2018-1A, Cl B | ||||||||
5.944%, ICE LIBOR USD | 3,000,000 | 2,824,158 | ||||||
OZLM Funding IV, Ser 2017-4A, Cl BR | ||||||||
6.525%, ICE LIBOR USD | 2,000,000 | 1,874,810 | ||||||
Race Point IX, Ser 2017-9A, Cl BR | ||||||||
6.229%, ICE LIBOR USD | 4,000,000 | 3,671,592 | ||||||
Race Point IX, Ser 2017-9A, Cl DR | ||||||||
10.979%, ICE LIBOR USD | 2,000,000 | 1,665,678 | ||||||
|
| |||||||
Total Collateralized Loan Obligations | ||||||||
(Cost $43,075,129) | 39,211,754 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 21.7% | ||||||||
Automotive — 12.4% | ||||||||
ACC Auto Trust, Ser 2021-A, Cl D | ||||||||
6.100%, 06/15/29 (A) | 1,000,000 | 931,743 |
14 |
FROST CREDIT FUND OCTOBER 31, 2022 (UNAUDITED)
|
Description | Face Amount | Value | ||||||
American Credit Acceptance | ||||||||
Receivables Trust, Ser 2022-1, Cl F | $ | 2,600,000 | $ | 2,291,924 | ||||
Amur Equipment Finance | ||||||||
Receivables X, Ser 2022-1A, Cl E | 1,348,000 | 1,214,693 | ||||||
Avid Automobile Receivables Trust, | ||||||||
Ser 2019-1, Cl E | 1,000,000 | 989,083 | ||||||
Avid Automobile Receivables Trust, | ||||||||
Ser 2021-1, Cl F | 2,000,000 | 1,753,172 | ||||||
CarNow Auto Receivables Trust, | ||||||||
Ser 2021-2A, Cl E | 1,000,000 | 889,635 | ||||||
Carvana Auto Receivables Trust, | ||||||||
Ser 2021-N2, Cl E | 2,000,000 | 1,716,357 | ||||||
CIG Auto Receivables Trust, | ||||||||
Ser 2021-1A, Cl E | 1,590,000 | 1,443,284 | ||||||
CPS Auto Receivables Trust, | ||||||||
Ser 2019-B, Cl F | 500,000 | 493,254 | ||||||
DT Auto Owner Trust, Ser 2019- | 2,000,000 | 1,924,369 | ||||||
DT Auto Owner Trust, Ser 2020- | 1,500,000 | 1,406,907 | ||||||
Exeter Automobile Receivables | ||||||||
Trust, Ser 2022-2A, Cl E | 1,443,000 | 1,282,668 | ||||||
Foursight Capital Automobile | ||||||||
Receivables Trust, Ser 2022-1, Cl E | ||||||||
4.690%, 08/15/29 (A) | 1,000,000 | 877,092 | ||||||
GLS Auto Receivables Issuer Trust, | ||||||||
Ser 2021-4A, Cl E | 1,500,000 | 1,251,091 | ||||||
Tricolor Auto Securitization Trust, | ||||||||
Ser 2022-1A, Cl F | 1,000,000 | 948,838 | ||||||
|
| |||||||
19,414,110 | ||||||||
|
| |||||||
Credit Card — 1.8% | ||||||||
Mercury Financial Credit Card | ||||||||
Master Trust, Ser 2022-1A, Cl C | 2,000,000 | 1,805,514 | ||||||
Mission Lane Credit Card Master | ||||||||
Trust, Ser 2021-A, Cl B | 1,000,000 | 959,949 | ||||||
|
| |||||||
2,765,463 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 7.5% | ||||||||
BHG Securitization Trust, | ||||||||
Ser 2022-B, Cl D | 998,895 | 886,778 | ||||||
CP EF Asset Securitization I, | ||||||||
Ser 2022-1A, Cl A | 873,379 | 858,243 |
Description | Face Amount | Value | ||||||
Credibly Asset Securitization II, | ||||||||
Ser 2021-1A, Cl B | $ | 524,000 | $ | 475,318 | ||||
Harley Marine Financing, | ||||||||
Ser 2018-1A, Cl A2 | 1,723,945 | 1,673,558 | ||||||
Kapitus Asset Securitization, | ||||||||
Ser 2022-1A, Cl A | 1,500,000 | 1,378,608 | ||||||
Mosaic Solar Loans, Ser 2017-2A, Cl B 4.770%, 06/22/43 (A) | 214,186 | 196,861 | ||||||
NMEF Funding, Ser 2021-A, Cl D | 1,300,000 | 1,248,823 | ||||||
Pawnee Equipment Receivables, | ||||||||
Ser 2019-1, Cl E | 1,500,000 | 1,452,069 | ||||||
Pawneee Equipment Receivables, | ||||||||
Ser 2021-1, Cl E | 353,000 | 309,219 | ||||||
Pawneee Equipment Receivables, | ||||||||
Ser 2022-1, Cl C | 1,000,000 | 953,172 | ||||||
Sapphire Aviation Finance I, | ||||||||
Ser 2018-1A, Cl B | 285,963 | 164,434 | ||||||
SCF Equipment Leasing, | ||||||||
Ser 2021-1A, Cl D | 1,500,000 | 1,301,160 | ||||||
Stack Infrastructure Issuer Series, | ||||||||
Ser 2019-1A, Cl A2 | 963,333 | 938,016 | ||||||
|
| |||||||
11,836,259 | ||||||||
|
| |||||||
Total Asset-Backed Securities | ||||||||
(Cost $36,933,184) | 34,015,832 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 8.0% |
| |||||||
Automotive — 1.1% | ||||||||
PRET, Ser 2021-RN4, Cl A2 | 1,850,000 | 1,705,326 | ||||||
|
| |||||||
Commercial Mortgage-Backed Obligation — 3.9% |
| |||||||
Benchmark Mortgage Trust, 2.000%, 12/17/53 (A) | 1,000,000 | 577,619 | ||||||
BXMT, Ser 2020-FL2, Cl A 4.390%, TSFR1M + 1.014%, | 793,173 | 782,981 | ||||||
Cold Storage Trust, Ser 2020-ICE5, 6.178%, ICE LIBOR USD | 982,991 | 933,668 | ||||||
Commercial Mortgage Trust, 4.439%, 12/10/47 (B) | 1,000,000 | 914,579 | ||||||
Commercial Mortgage Trust, 4.298%, 02/10/48 (A)(B) | 1,517,000 | 1,226,486 | ||||||
FREMF Mortgage Trust, Ser 2016- 4.053%, 04/25/48 (A)(B) | 1,000,000 | 928,773 |
15 |
FROST CREDIT FUND OCTOBER 31, 2022 (UNAUDITED)
|
Description | Face Amount | Value | ||||||
WFRBS Commercial Mortgage 3.803%, 11/15/47 (A)(B) | $ | 1,000,000 | $ | 852,955 | ||||
|
| |||||||
6,217,061 | ||||||||
|
| |||||||
Non-Agency Residential Mortgage-Backed Obligation — 3.0% |
| |||||||
PRET, Ser 2021-NPL3, Cl A2 | ||||||||
3.721%, 07/25/51 (A)(C) | 500,000 | 434,650 | ||||||
PRET, Ser 2021-RN3, Cl A1 1.843%, 09/25/51 (A)(C) | 832,000 | 748,780 | ||||||
Pretium Mortgage Credit Partners 4.213%, 09/27/60 (A)(C) | 1,000,000 | 930,678 | ||||||
PRPM, Ser 2021-10, Cl A2 4.826%, 10/25/26 (A)(C) | 1,000,000 | 818,590 | ||||||
RCO VI Mortgage, Ser 2022-1, 5.250%, 01/25/27 (A)(C) | 1,000,000 | 903,813 | ||||||
VOLT, Ser 2021-CF2, Cl A2 5.316%, 11/27/51 (A)(C) | 1,000,000 | 822,851 | ||||||
|
| |||||||
4,659,362 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities | ||||||||
(Cost $13,809,043) | 12,581,749 | |||||||
|
| |||||||
Shares | ||||||||
PREFERRED STOCK — 0.1% | ||||||||
Communication Services — 0.1% | ||||||||
MYT Holding LLC | 64,528 | 58,075 | ||||||
|
| |||||||
Total Preferred Stock | 58,075 | |||||||
|
| |||||||
COMMON STOCK — 0.0% | ||||||||
Erickson*(D) | 3,761 | 6,838 | ||||||
|
| |||||||
Total Common Stock | 6,838 | |||||||
|
| |||||||
Total Investments — 96.0% | $ | 150,403,618 | ||||||
|
|
Percentages are based on Net Assets of $156,748,742.
* | Non-income producing security. |
‡ | Real Estate Investment Trust |
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” The total value of such securities at October 31, 2022 was $116,097,890 and represents 74.1% of Net Assets. |
(B) | Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates. |
(C) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on October 31, 2022. The coupon on a step bond changes on a specific date. |
(D) | Level 3 security in accordance with fair value hierarchy. |
See “Glossary” for abbreviations.
16 |
FROST CREDIT FUND OCTOBER 31, 2022 (UNAUDITED)
|
The following is a summary of the level of inputs used as of October 31, 2022, in valuing the Fund’s investments carried at value:
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Corporate Obligations | $ | — | $ | 64,529,370 | $ | — | $ | 64,529,370 | ||||||||
Collateralized Loan | ||||||||||||||||
Obligations | — | 39,211,754 | — | 39,211,754 | ||||||||||||
Asset-Backed | ||||||||||||||||
Securities | — | 34,015,832 | — | 34,015,832 | ||||||||||||
Mortgage-Backed | ||||||||||||||||
Securities | — | 12,581,749 | — | 12,581,749 | ||||||||||||
Preferred Stock | — | 58,075 | — | 58,075 | ||||||||||||
Common Stock | — | — | 6,838 | 6,838 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | — | $ | 150,396,780 | $ | 6,838 | $ | 150,403,618 | ||||||||
|
|
|
|
|
|
|
|
(1) A reconciliation of Level 3 investments is presented when the fund has significant amount of Level 3 investments at the end of the period in relation to the net assets. Management has concluded that Level 3 investments are not material in relation to net assets.
Amounts designated as “—” are $0 or have been rounded to $0.
For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.
FIA-QH-001-3000
17 |
FROST LOW DURATION BOND FUND OCTOBER 31, 2022 (UNAUDITED)
|
Description | Face Amount | Value | ||||||
ASSET-BACKED SECURITIES — 52.7% | ||||||||
Automotive — 29.5% | ||||||||
ACC Auto Trust, Ser 2021-A, Cl A 1.080%, 04/15/27 (A)(B) | $ | 522,096 | $ | 513,208 | ||||
American Credit Acceptance 0.450%, 09/15/25 (B) | 416,439 | 414,002 | ||||||
American Credit Acceptance 4.410%, 06/13/28 (B) | 2,000,000 | 1,925,717 | ||||||
Arivo Acceptance Auto Loan 1.190%, 01/15/27 (B) | 562,934 | 541,382 | ||||||
Arivo Acceptance Auto Loan Receivables Trust, Ser 2022-1A, Cl A 3.930%, 05/15/28 (B) | 761,744 | 735,496 | ||||||
Avid Automobile Receivables Trust, 1.990%, 04/17/28 (B) | 1,300,000 | 1,155,958 | ||||||
Canadian Pacer Auto Receivables Trust, 2.490%, 05/19/26 (B) | 5,000,000 | 4,802,187 | ||||||
Canadian Pacer Auto Receivables Trust, Ser 2021-1A, Cl A3 0.500%, 10/20/25 (B) | 2,500,000 | 2,393,761 | ||||||
Canadian Pacer Auto Receivables Trust, 0.820%, 07/20/26 (B) | 3,070,000 | 2,764,873 | ||||||
Canadian Pacer Auto Receivables Trust, 1.460%, 12/20/27 (B) | 2,000,000 | 1,802,473 | ||||||
Carmax Auto Owner Trust, 6.490%, 07/17/28 | 3,500,000 | 3,492,783 | ||||||
CarNow Auto Receivables Trust, 1.300%, 01/15/26 (B) | 5,403,293 | 5,285,528 | ||||||
Credit Acceptance Auto Loan Trust, Ser 2021-3A, Cl A 1.000%, 05/15/30 (B) | 2,590,000 | 2,432,283 | ||||||
Credit Acceptance Auto Loan Trust, 1.630%, 09/16/30 (B) | 1,700,000 | 1,500,593 | ||||||
DT Auto Owner Trust, 2.550%, 11/17/25 (B) | 5,500,000 | 5,342,848 | ||||||
DT Auto Owner Trust, Ser 2020- 1.470%, 06/15/26 (B) | 1,410,000 | 1,361,655 | ||||||
DT Auto Owner Trust, Ser 2022- | ||||||||
5.460%, 03/15/28 (B) | 4,000,000 | 3,719,082 | ||||||
Exeter Automobile Receivables 1.080%, 11/16/26 | 2,500,000 | 2,344,118 | ||||||
Exeter Automobile Receivables 0.570%, 09/15/25 | 374,314 | 370,268 |
Description | Face Amount | Value | ||||||
First Investors Auto Owner Trust, 2.030%, 01/15/27 (B) | $ | 1,641,974 | $ | 1,596,323 | ||||
Flagship Credit Auto Trust, 6.780%, 10/15/27 (B) | 1,500,000 | — | ||||||
Foursight Capital Automobile Receivables Trust, Ser 2020-1, Cl D 2.600%, 01/15/26 (B) | 2,100,000 | 2,047,591 | ||||||
Foursight Capital Automobile Receivables Trust, Ser 2021-2, Cl D 1.920%, 09/15/27 (B) | 5,500,000 | 4,925,906 | ||||||
Foursight Capital Automobile Receivables Trust, Ser 2022-1, Cl D 3.070%, 05/15/28 (B) | 4,780,000 | 4,169,825 | ||||||
GLS Auto Receivables Issuer Trust, 1.680%, 01/15/27 (B) | 6,000,000 | 5,655,161 | ||||||
GLS Auto Receivables Issuer Trust, 1.420%, 04/15/27 (B) | 1,020,000 | 915,893 | ||||||
GLS Auto Receivables Issuer Trust, 1.480%, 07/15/27 (B) | 3,000,000 | 2,651,674 | ||||||
GLS Auto Receivables Issuer Trust, 0.840%, 07/15/25 (B) | 842,339 | 828,186 | ||||||
Hertz Vehicle Financing III, 1.680%, 12/27/27 (B) | 11,000,000 | 9,275,718 | ||||||
Hertz Vehicle Financing, Ser 2021-1A, Cl A 1.210%, 12/26/25 (B) | 3,000,000 | 2,725,682 | ||||||
Octane Receivables Trust, Ser 2021-1A, Cl A 0.930%, 03/22/27 (B) | 1,004,701 | 967,229 | ||||||
Octane Receivables Trust, Ser 2021-2A, Cl A 1.210%, 09/20/28 (B) | 1,072,652 | 1,021,177 | ||||||
Prestige Auto Receivables Trust, Ser 2021-1A, Cl D 2.080%, 02/15/28 (B) | 4,000,000 | 3,501,867 | ||||||
Santander Drive Auto Receivables Trust, 3.760%, 07/16/29 | 3,000,000 | 2,850,575 | ||||||
United Auto Credit Securitization Trust, 6.840%, 01/10/28 (B) | 3,000,000 | 2,915,641 | ||||||
Westlake Automobile Receivables Trust, 2.760%, 01/15/26 (B) | 4,500,000 | 4,347,310 | ||||||
Westlake Automobile Receivables Trust, 1.240%, 11/17/25 (B) | 1,000,000 | 969,117 | ||||||
Westlake Automobile Receivables Trust, 1.230%, 04/15/26 (B) | 11,000,000 | 10,269,338 |
18 |
FROST LOW DURATION BOND FUND OCTOBER 31, 2022 (UNAUDITED)
|
Description | Face Amount | Value | ||||||
Westlake Automobile Receivables | ||||||||
Trust, Ser 2022-3A, Cl D 6.680%, 04/17/28 (B) | $ | 7,000,000 | $ | 6,949,826 | ||||
|
| |||||||
111,482,254 | ||||||||
|
| |||||||
Credit Card — 7.1% | ||||||||
American Express Credit Account Master Trust, Ser 2022-4, Cl A 4.950%, 10/15/27 | 500,000 | — | ||||||
Avant Credit Card Master Trust, 1.370%, 04/15/27 (B) | 1,220,000 | 1,103,548 | ||||||
Capital One Multi-Asset Execution Trust, 2.060%, 08/15/28 | 5,000,000 | 4,488,362 | ||||||
CARDS II Trust, Ser 2021-1A, Cl B 0.931%, 04/15/27 (B) | 7,250,000 | 6,769,673 | ||||||
Continental Finance Credit Card 2.550%, 12/17/29 (B) | 5,000,000 | 4,577,179 | ||||||
Genesis Sales Finance Master 1.200%, 12/21/26 (B) | 2,000,000 | 1,858,180 | ||||||
Master Credit Card Trust II, 2.590%, 09/21/24 (B) | 2,519,000 | 2,483,701 | ||||||
Trillium Credit Card Trust II, 2.026%, 10/26/29 (B) | 6,500,000 | 5,673,859 | ||||||
|
| |||||||
26,954,502 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 12.7% |
| |||||||
Amur Equipment Finance 1.750%, 06/21/27 (B) | 2,000,000 | 1,829,001 | ||||||
Amur Equipment Finance 2.500%, 03/20/26 (B) | 1,384,090 | 1,361,245 | ||||||
Amur Equipment Finance 2.370%, 04/20/28 (B) | 2,000,000 | 1,785,422 | ||||||
Amur Equipment Finance 2.910%, 08/21/28 (B) | 2,000,000 | 1,782,435 | ||||||
Aqua Finance Trust, Ser 2021-A, Cl B 2.400%, 07/17/46 (B) | 1,000,000 | 824,210 | ||||||
BHG Securitization Trust, 0.900%, 10/17/34 (B) | 1,170,660 | 1,097,396 | ||||||
BHG Securitization Trust, Ser 2022-B, Cl A 3.750%, 06/18/35 (B) | 813,362 | 800,545 | ||||||
CLI Funding VI, Ser 2020-1A, Cl A 2.080%, 09/18/45 (B) | 1,956,875 | 1,679,178 | ||||||
CP EF Asset Securitization I, 5.960%, 04/15/30 (B) | 3,493,516 | 3,432,971 | ||||||
Diamond Resorts Owner Trust, 2.890%, 02/20/32 (B) | 459,512 | 447,338 |
Description | Face Amount | Value | ||||||
Marlette Funding Trust, Ser 2021- 2A, Cl C 1.500%, 09/15/31 (B) | $ | 2,000,000 | $ | 1,830,857 | ||||
Mosaic Solar Loan Trust, 1.920%, 06/20/52 (B) | 837,197 | 671,345 | ||||||
Mosaic Solar Loans, Ser 2017-1A, Cl A 4.450%, 06/20/42 (B) | 218,585 | 207,420 | ||||||
New Economy Assets Phase 1 1.910%, 10/20/61 (B) | 2,000,000 | 1,675,726 | ||||||
Oportun Issuance Trust, Ser 2021- B, Cl A 1.470%, 05/08/31 (B) | 1,750,000 | 1,526,986 | ||||||
Oportun Issuance Trust, Ser 2022- A, Cl C 7.400%, 06/09/31 (B) | 2,030,000 | 1,827,596 | ||||||
Pawnee Equipment Receivables, 2.860%, 10/15/24 (B) | 5,000,000 | 4,849,204 | ||||||
Pawnee Equipment Receivables, 1.370%, 11/17/25 (B) | 722,793 | 711,294 | ||||||
Pawneee Equipment Receivables, 6.010%, 07/17/28 (B) | 5,000,000 | 4,765,860 | ||||||
SCF Equipment Leasing, 2.020%, 03/20/28 (B) | 2,000,000 | 1,850,108 | ||||||
SCF Equipment Leasing, 1.930%, 09/20/30 (B) | 2,600,000 | 2,255,344 | ||||||
Sierra Timeshare Receivables 1.800%, 09/20/38 (B) | 2,541,299 | 2,301,969 | ||||||
Vantage Data Centers Issuer, 4.196%, 11/15/43 (B) | 3,843,333 | 3,758,146 | ||||||
VFI ABS, Ser 2022-1A, Cl A 2.230%, 03/24/28 (B) | 1,991,096 | 1,929,084 | ||||||
Westgate Resorts, Ser 2022-1A, Cl C 2.488%, 08/20/36 (B) | 3,176,341 | 2,972,659 | ||||||
|
| |||||||
48,173,339 | ||||||||
|
| |||||||
Student Loan — 3.4% | ||||||||
AccessLex Institute, Ser 2002-A, Cl A2 4.313%, 09/25/37 (A) | 50,000 | 49,820 | ||||||
Commonbond Student Loan Trust, 2.550%, 05/25/41 (B) | 534,833 | 521,894 | ||||||
Commonbond Student Loan Trust, 1.640%, 09/25/51 (B) | 908,344 | 773,750 | ||||||
Nelnet Student Loan Trust, 5.086%, ICE LIBOR USD 1 Month + 1.500%, 08/26/52 (A)(B) | 3,000,000 | 2,870,409 |
19 |
FROST LOW DURATION BOND FUND OCTOBER 31, 2022 (UNAUDITED)
|
Description | Face Amount | Value | ||||||
Nelnet Student Loan Trust, 5.086%, ICE LIBOR USD | $ | 4,000,000 | $ | 3,747,315 | ||||
Nelnet Student Loan Trust, 5.086%, ICE LIBOR USD | 3,000,000 | 2,795,495 | ||||||
Prodigy Finance DAC, Ser 2021- 4.836%, ICE LIBOR USD | 503,048 | 484,634 | ||||||
SLM Student Loan Trust, 5.086%, ICE LIBOR USD | 2,000,000 | 1,812,693 | ||||||
|
| |||||||
13,056,010 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 199,666,105 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 23.4% |
| |||||||
U.S. Treasury Notes 4.250%, 09/30/24 | 40,000,000 | 39,796,875 | ||||||
3.500%, 09/15/25 | 10,000,000 | 9,748,438 | ||||||
3.000%, 07/31/24 | 40,000,000 | 38,932,812 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | ||||||||
(Cost $89,604,902) | 88,478,125 | |||||||
|
| |||||||
CORPORATE OBLIGATIONS — 18.7% |
| |||||||
Consumer Discretionary — 1.6% |
| |||||||
Hyatt Hotels 5.625%, 04/23/25 | 6,000,000 | 5,894,672 | ||||||
|
| |||||||
Financials — 6.5% |
| |||||||
Bank of America MTN 1.319%, U.S. SOFR + 1.150%, | 5,000,000 | 4,414,500 | ||||||
Capital One Financial 4.200%, 10/29/25 | 10,000,000 | 9,488,956 | ||||||
Danske Bank 3.875%, 09/12/23 (B) | 4,205,000 | 4,116,751 | ||||||
Deutsche Bank 2.222%, U.S. SOFR + 2.159%, | 2,000,000 | 1,894,853 | ||||||
Wells Fargo MTN 2.406%, U.S. SOFR + 1.087%, | 5,000,000 | 4,656,916 | ||||||
|
| |||||||
24,571,976 | ||||||||
|
| |||||||
Industrials — 4.7% |
| |||||||
AerCap Ireland Capital DAC 1.750%, 01/30/26 | 5,000,000 | 4,257,682 | ||||||
1.750%, 10/29/24 | 1,000,000 | 906,213 | ||||||
Boeing 4.875%, 05/01/25 | 4,000,000 | 3,903,185 | ||||||
3.100%, 05/01/26 | 4,290,000 | 3,873,730 | ||||||
Delta Air Lines 7.000%, 05/01/25 (B) | 5,000,000 | 5,068,935 | ||||||
|
| |||||||
18,009,745 | ||||||||
|
|
Description | Face Amount | Value | ||||||
Information Technology — 4.1% | ||||||||
Kyndryl Holdings 2.050%, 10/15/26 | $ | 8,000,000 | $ | 6,256,162 | ||||
Molex Electronic Technologies 3.900%, 04/15/25 (B) | 9,675,000 | 9,166,627 | ||||||
|
| |||||||
15,422,789 | ||||||||
|
| |||||||
Real Estate — 1.8% | ||||||||
Corporate Office Properties 2.250%, 03/15/26 ‡ | 3,000,000 | 2,599,703 | ||||||
Equinix 1.000%, 09/15/25 ‡ | 5,000,000 | 4,385,569 | ||||||
|
| |||||||
6,985,272 | ||||||||
|
| |||||||
Total Corporate Obligations | 70,884,454 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.6% |
| |||||||
FFCB 5.480%, 10/25/27 | 5,000,000 | 4,987,954 | ||||||
FHLMC 5.375%, 11/15/24 | 5,000,000 | 4,997,256 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 9,985,210 | ||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 1.7% |
| |||||||
Commercial Mortgage-Backed Obligation — 1.7% |
| |||||||
Benchmark Mortgage Trust, 1.691%, 09/15/53 | 1,305,000 | 1,162,687 | ||||||
Cold Storage Trust, Ser 2020-ICE5, 4.312%, ICE LIBOR USD | 5,406,448 | 5,241,118 | ||||||
|
| |||||||
Total Mortgage-Backed Securities | 6,403,805 | |||||||
|
| |||||||
Total Investments — 99.1% | $ | 375,417,699 | ||||||
|
|
Percentages are based on Net Assets of $378,666,995.
‡ | Real Estate Investment Trust |
(A) | Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates. |
(B) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” The total value of such securities at October 31, 2022 was $207,850,917 and represents 54.9% of Net Assets. |
See “Glossary” for abbreviations.
20 |
FROST LOW DURATION BOND FUND OCTOBER 31, 2022 (UNAUDITED)
|
The following is a summary of the level of inputs used as of October 31, 2022, in valuing the Fund’s investments carried at value:
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Asset-Backed | ||||||||||||||||
Securities | $ | — | $ | 199,666,105 | $ | — | $ | 199,666,105 | ||||||||
U.S. Treasury | ||||||||||||||||
Obligations | 38,932,812 | 49,545,313 | — | 88,478,125 | ||||||||||||
Corporate Obligations | — | 70,884,454 | — | 70,884,454 | ||||||||||||
U.S. Government | ||||||||||||||||
Agency Obligations | — | 9,985,210 | — | 9,985,210 | ||||||||||||
Mortgage-Backed | ||||||||||||||||
Securities | — | 6,403,805 | — | 6,403,805 | ||||||||||||
Total Investments in | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||
Securities | $ | 38,932,812 | $ | 336,484,887 | $ | — | $ | 375,417,699 | ||||||||
|
|
|
|
|
|
|
|
Amounts designated as “—” are $0 or have been rounded to $0.
For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.
FIA-QH-001-3000
21 |
FROST MUNICIPAL BOND FUND OCTOBER 31, 2022 (UNAUDITED)
|
Description | Face Amount | Value | ||||||
MUNICIPAL BONDS — 87.0% | ||||||||
California — 3.8% | ||||||||
California State, Municipal Finance | ||||||||
Authority, Ser A, RB | $ | 930,000 | $ | 914,319 | ||||
California State, School Finance | ||||||||
Authority, RB | 195,000 | 198,493 | ||||||
Mount Diablo Unified School | ||||||||
District, Ser A, GO | 100,000 | 102,620 | ||||||
|
| |||||||
1,215,432 | ||||||||
|
| |||||||
Colorado — 4.4% | ||||||||
El Paso County, School District No. 5.000%, 12/15/24 | 525,000 | 541,711 | ||||||
El Paso County, School District No. 5.000%, 12/15/24 | 300,000 | 309,549 | ||||||
5.000%, 12/15/26 | 500,000 | 528,481 | ||||||
|
| |||||||
1,379,741 | ||||||||
|
| |||||||
Idaho — 1.2% | ||||||||
Idaho State, Housing & Finance | ||||||||
Association, RB 4.000%, 07/01/26(A) | 400,000 | 389,683 | ||||||
|
| |||||||
Illinois — 2.4% | ||||||||
Lee & Ogle Counties, School | ||||||||
District No. 170 Dixon, GO, BAM 4.000%, 01/30/25 | 760,000 | 769,026 | ||||||
|
| |||||||
Kansas — 4.3% | ||||||||
Geary County, GO 5.000%, 09/01/25 | 1,300,000 | 1,352,059 | ||||||
|
| |||||||
Louisiana — 1.5% | ||||||||
Louisiana State, Gasoline & Fuels | ||||||||
Tax Revenue, Ser A, RB | 500,000 | 490,465 | ||||||
|
| |||||||
Michigan — 3.7% | ||||||||
Taylor, Brownfield Redevelopment | ||||||||
Authority, RB, NATL | 1,175,000 | 1,179,422 | ||||||
|
| |||||||
Minnesota — 0.6% | ||||||||
Minnesota State, Housing Finance | ||||||||
Agency, Ser A, RB, GNMA 2.600%, 09/01/42 | 219,280 | 204,564 | ||||||
|
| |||||||
Ohio — 0.5% | ||||||||
City of Medina Ohio, GO 4.000%, 12/01/32 | 140,000 | 141,776 | ||||||
|
| |||||||
Oklahoma — 3.2% | ||||||||
University of Oklahoma, Ser C, RB 5.000%, 07/01/35 | 1,000,000 | 1,025,305 | ||||||
|
| |||||||
South Carolina — 4.0% | ||||||||
Hilton Head Island, Ser C, GO, ST | ||||||||
AID WITHHLDG | 530,000 | 425,161 | ||||||
2.125%, 03/01/32 | 520,000 | 423,669 | ||||||
2.000%, 03/01/30 | 495,000 | 420,813 | ||||||
|
| |||||||
1,269,643 | ||||||||
|
|
Description | Face Amount | Value | ||||||
Texas — 57.4% | ||||||||
Azle Independent School District, | ||||||||
GO, PSF-GTD 4.000%, 02/15/47 | $ | 500,000 | $ | 434,925 | ||||
Board of Regents of the University of Texas System, Ser A, RB 2.000%, 08/15/36 | 1,000,000 | 691,258 | ||||||
Central Texas Turnpike System, | ||||||||
Sub-Ser C, RB 5.000%, 08/15/42 | 1,000,000 | 1,003,062 | ||||||
Clifton, Higher Education Finance, | ||||||||
RB, PSF-GTD | 700,000 | 718,030 | ||||||
Clifton, Higher Education Finance, | ||||||||
Ser A, RB | 780,000 | 753,769 | ||||||
Clifton, Higher Education Finance, | ||||||||
Ser B, RB | 460,000 | 472,119 | ||||||
4.000%, 08/15/23 | 500,000 | 500,951 | ||||||
Crandall Independent School | ||||||||
District, GO, PSF-GTD | 500,000 | 434,085 | ||||||
Cypress-Fairbanks Independent | ||||||||
School District, Ser A, GO, | ||||||||
PSF-GTD | 1,000,000 | 1,084,651 | ||||||
Dallas Area, Rapid Transit, Ser A, | ||||||||
RB | 1,000,000 | 1,001,499 | ||||||
Downtown Redevelopment | ||||||||
Authority, TA, BAM | 1,000,000 | 1,029,431 | ||||||
Downtown Redevelopment | ||||||||
Authority, TA, BAM | 1,000,000 | 1,038,629 | ||||||
El Paso County, Hospital District, | ||||||||
GO | 1,070,000 | 1,089,424 | ||||||
Georgetown Independent School | ||||||||
District, Ser B-REMK, GO, | ||||||||
PSF-GTD | 500,000 | 494,032 | ||||||
La Vernia, Higher Education | ||||||||
Finance, Ser A, RB | 1,435,000 | 1,479,673 | ||||||
La Vernia, Higher Education | ||||||||
Finance, Ser A, RB | 325,000 | 328,529 | ||||||
Liberty Hill Independent School | ||||||||
District, Ser A, GO, | 500,000 | 527,901 | ||||||
Love Field Airport Modernization, | ||||||||
RB, AMT | 1,000,000 | 1,000,000 | ||||||
Lower Colorado River Authority, RB 5.000%, 05/15/39 | 1,000,000 | 1,035,871 | ||||||
New Braunfels Independent | ||||||||
School District, Ser B, GO, | ||||||||
PSF-GTD | 500,000 | 491,863 |
22 |
FROST MUNICIPAL BOND FUND OCTOBER 31, 2022 (UNAUDITED)
|
Description | Face Amount | Value | ||||||
Plainview Independent School | ||||||||
District, Ser A, GO, PSF-GTD 5.000%, 02/15/46 | $ | 525,000 | $ | 546,040 | ||||
Pottsboro Independent School | ||||||||
District, GO, PSF-GTD | 500,000 | 518,502 | ||||||
Seminole, Hospital District, GO 4.000%, 02/15/31 | 545,000 | 542,961 | ||||||
Texas A&M University, Permanent | ||||||||
University Fund, Ser B, RB | ||||||||
5.000%, 07/01/34 | 1,000,000 | 1,032,458 | ||||||
|
| |||||||
18,249,663 | ||||||||
|
| |||||||
Total Municipal Bonds | 27,666,779 | |||||||
|
| |||||||
Total Investments — 87.0% | $ | 27,666,779 | ||||||
|
|
Percentages are based on Net Assets of $31,816,120.
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” The total value of such securities at October 31, 2022 was $3,310,697 and represents 10.4% of Net Assets. |
(B) | Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates. |
(C) | Escrowed to Maturity |
See “Glossary” for abbreviations.
As of October 31, 2022, all of the Fund’s investments in securities were considered Level 2, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.
For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.
FIA-QH-001-3000
23 |
GLOSSARY OCTOBER 31, 2022 (UNAUDITED)
|
Portfolio Abbreviations | Currency Abbreviations | |
ABS — Asset-Backed Security | USD — U.S. Dollar | |
AMT — Alternative Minimum Tax (subject to) | ||
BAM — Build America Mutual | ||
Cl — Class | ||
CLO — Collateralized Loan Obligation | ||
COP — Certificate of Participation | ||
FAMC — Federal Agricultural Mortgage Corporation | ||
FFCB — Federal Farm Credit Bank | ||
FHLB — Federal Home Loan Bank | ||
FHLMC — Federal Home Loan Mortgage Corporation | ||
FNMA — Federal National Mortgage Association | ||
GNMA — Government National Mortgage Association | ||
GO — General Obligation | ||
ICE — Intercontinental Exchange | ||
IO — Interest Only-face amount represents notional amount | ||
LIBOR — London Interbank Offered Rate | ||
LLC — Limited Liability Company | ||
MTN — Medium Term Note | ||
NATL — National Public Finance Guaranty Corporation | ||
PSF - GTD — Texas Public School Fund Guarantee | ||
RB — Revenue Bond | ||
Ser — Series | ||
SOFR — Secured Overnight Financing Rate | ||
STRIPS — Separately Traded Registered Interest and Principal Securities | ||
TA — Tax Allocation |
24 |