As filed with the Securities and Exchange Commission on July 2, 2024
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-03802
NEUBERGER BERMAN INCOME FUNDS
(Exact Name of Registrant as specified in charter)
c/o Neuberger Berman Investment Advisers LLC
1290 Avenue of the Americas
New York, New York 10104-0002
(Address of Principal Executive Offices – Zip Code)
Joseph V. Amato
Chief Executive Officer and President
Neuberger Berman Income Funds
c/o Neuberger Berman Investment Advisers LLC
1290 Avenue of the Americas
New York, New York 10104-0002
Lori L. Schneider, Esq.
K&L Gates LLP
1601 K Street, N.W.
Washington, D.C. 20006-1600
(Names and Addresses of agents for service)
Registrant's telephone number, including area code: (212) 476-8800
Date of fiscal year end: October 31
Date of reporting period: April 30, 2024
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549-1090. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Report to Shareholders.
| (a) | Following is a copy of the semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Act. |
Neuberger Berman
Income Funds
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Institutional Class Shares | |
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Emerging Markets Debt Fund |
Floating Rate Income Fund |
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Municipal High Income Fund |
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Municipal Intermediate Bond Fund |
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The Securities and Exchange Commission has adopted new regulations that will result in changes to the design and delivery of annual and semi-annual reports beginning in July 2024.
Unless you have elected to receive shareholder reports and other communications from the Funds electronically, instead of by mail, paper copies of the Funds' new, streamlined shareholder reports will be mailed to you beginning in July 2024. If you would like to receive shareholder reports and other communications from the Funds electronically instead of by mail, you may make that request at any time by contacting your financial intermediary or investment provider (such as an insurance company, broker-dealer or bank) or, if you are a direct investor, by logging into your account at https://www.nb.com/en/us/funds or calling 800.877.9700. If you are a direct investor and have previously elected to receive shareholder reports electronically, you will continue to receive reports electronically and need not take any action.
The "Neuberger Berman" name and logo and "Neuberger Berman Investment Advisers LLC" name are registered service marks of Neuberger Berman Group LLC. The individual Fund names in this piece are either service marks or registered service marks of Neuberger Berman Investment Advisers LLC, an affiliate of Neuberger Berman BD LLC, distributor, member FINRA. ©2024 Neuberger Berman BD LLC, distributor. All rights reserved.
President’s Letter
I am pleased to present this semi-annual shareholder report for the Neuberger Berman Income Funds covering the six-month period ended April 30, 2024 (the reporting period).
The fixed income market overcame several challenges and generated positive results over the reporting period. While inflation moderated, it remained "sticky" and led to changing expectations for monetary policy easing. Investor sentiment was also impacted by tighter credit conditions, wars in Ukraine and the Middle East, and numerous other geopolitical events. Despite these and other factors, the global economy was largely resilient, especially in the U.S.
When the reporting period began, there were hopes that inflation would continue easing and the U.S. Federal Reserve Board (Fed) would begin lowering interest rates early in 2024. However, with inflation remaining above the Fed’s target, it held the federal funds rate at 5.25%-5.50% throughout the reporting period—the highest level since 2001. The central bank has remained steadfast in its goal of reining in inflation, leading to expectations that rates may remain "higher for longer."
During the reporting period, short-, intermediate- and long-term Treasury yields moved lower, pushing their prices higher (yields and bond prices generally move in the opposite direction). Meanwhile, credit spreads, including corporate, emerging markets sovereign, and mortgage-backed securities spreads tightened over the reporting period. All told, the broad taxable investment-grade bond market, as measured by the Bloomberg U.S. Aggregate Bond Index, returned 4.97% during the reporting period. The broad tax-free investment-grade market also rallied, with the Bloomberg Municipal Bond Index gaining 7.06% during the reporting period.
Investors continue to wait for clear signals as to the timing and extent of interest rate cuts. After last year’s significant progress on prices, recent inflation data point to a slowing decline toward target levels. That said, although the timing remains uncertain, we believe that the Fed will likely begin its downward journey sometime this year. We continue to believe that interest-rate declines are a matter of when, not if. But getting caught up in the "when" may prove counterproductive, given the conflicting nature of the data and imbedded liquidity in the system.
In our view, there are ample opportunities in the fixed income market for flexible investors. Yields in the two- to five-year range remain compelling given current levels. Corporate credits remain at tight levels, but deservedly so in our view given resilient fundamentals and extended maturities. A long-awaited increase in mergers and acquisitions could provide openings for research-driven managers. Across loans and securitized products like mortgage-backed securities and collateralized loan obligations, income-generation potential may be substantial. Finally, we believe that after the outflows of 2022 and 2023, emerging markets debt has the wind at its back. Patience and directional thinking may be the watchwords as this year progresses.
Thank you for your support and trust. We look forward to continuing to serve your investment needs in the years to come.
Joseph V. Amato
President and CEO
Neuberger Berman Income Funds
Core Bond Fund Commentary (Unaudited)
Neuberger Berman Core Bond Fund Institutional Class delivered a 5.80% total return for the six-month period ended April 30, 2024 (the reporting period) and outperformed its benchmark, the Bloomberg U.S. Aggregate Bond Index (the Index), which provided a 4.97% total return for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
The taxable investment-grade fixed income market, as measured by the Index, posted a positive return during the reporting period. Several factors impacted the market, including a resilient U.S. economy, "sticky" inflation, changing investor sentiment regarding future U.S. Federal Reserve Board (Fed) monetary policy, and several geopolitical events. All told, short-, intermediate- and long-term Treasury yields declined (yields and bond prices generally move in the opposite direction) and credit spreads largely narrowed during the reporting period.
In terms of relative performance, security selection in investment-grade credit and securitized sectors—including agency mortgage-backed securities (MBS), asset-backed securities (ABS), commercial mortgage-backed securities (CMBS) and mortgage credit—were positive contributors during the reporting period. Higher yields in CMBS, agency MBS and ABS also added significant value. The Fund’s allocation to collateralized loan obligations (CLOs) and overweight exposure to investment-grade credit versus the Index were modest contributors. The Fund’s yield curve positioning slightly detracted; however, this was offset by a positive impact from the Fund’s duration underweight relative to the Index.
The Fund’s use of futures contracts contributed positively to performance during the reporting period.
We made some relative value positioning adjustments during the reporting period. We slightly reduced the Fund’s ABS, agency MBS, mortgage credit and CMBS exposure, realizing profits. We increased exposure to nominal U.S. Treasuries, and we initiated a small position in U.S. Treasury Inflation-Protected Securities. As of the end of the reporting period, the Fund was overweight versus the Index in a diversified mix of securitized sectors—including ABS, mortgage credit, agency MBS, CMBS and CLOs—balanced by underweight exposure in nominal U.S. Treasuries.
Looking ahead, we continue to anticipate moderation in U.S. economic activity that is consistent with an economic soft landing, possibly with gross domestic product growth of between 1.5% and 2% in 2024, with risks to both the up- and downsides. Coming into the year, the consensus believed that, outside of Japan, developed-market central bankers were done with interest rate hikes and poised for rate cuts on the back of accelerated disinflation. However, recent inflation overshoots, the healthy labor market and generally robust economic data (reflecting unique strengths within the U.S.) turned policymakers less dovish and pushed back the expected start of the rate cutting cycle. This has contributed to wild swings in market pricing, but we believe that rate cuts are on the way. In the U.S., we believe this would be driven by moderating (albeit irregular) disinflation, the Fed’s mandate to support employment and its desire to achieve a soft landing. Although rebalancing of the labor market has been slower than expected, with normalization being driven by shrinking vacancies rather than the typical increase in joblessness, we do not anticipate this will hinder interest rate cuts if inflation continues to ease. Moreover, the Fed could very well choose to initiate "insurance" rate cuts in advance of hitting its target to achieve its policy goals.
Thanos Bardas, David M. Brown, Nathan Kush, Olumide Owolabi and Brad Tank*
Portfolio Managers
*As previously announced, Brad Tank will transition from Co-CIO of Fixed Income to a Senior Advisor role as of December 31, 2024, and thereafter will no longer provide portfolio management services.
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change without notice.
The opinions expressed are those of the Fund’s portfolio managers. The opinions are as of the date of this report and are subject to change without notice.
Core Bond Fund (Unaudited)
PORTFOLIO BY INVESTMENT TYPE |
(as a % of Total Net Assets) |
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Foreign Government Securities | |
Mortgage-Backed Securities | |
U.S. Government Agency Securities | |
U.S. Treasury Obligations | |
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Liabilities Less Other Assets | |
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| Includes the impact of the Fund's open positions in derivatives (other than options purchased), if any. |
PERFORMANCE HIGHLIGHTS1,2 | | | | |
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Period Ended
04/30/2024 | Average Annual Total Return
Ended 04/30/2024 |
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Bloomberg U.S. Aggregate Bond Index5,6 | | | | | |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For current performance data, including current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Investment Advisers LLC ("NBIA") had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by NBIA) will decrease the class’s returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund’s most recent prospectus, the total annual operating expense ratios for fiscal year 2023 were 0.93%, 0.43%, 0.80%, 1.57% and 0.34% for Investor Class, Institutional Class, Class A, Class C and Class R6 shares, respectively (before expense reimbursements and/or fee waivers, if any). The expense ratios were 0.78%, 0.38%, 0.78%, 1.53% and 0.28% for Investor Class, Institutional Class, Class A, Class C and Class R6 shares, respectively, after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ended April 30, 2024, can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 4.25% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1.00%, which is reduced to 0% after 1 year. The performance of the Fund’s share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
Emerging Markets Debt Fund Commentary (Unaudited)
Neuberger Berman Emerging Markets Debt Fund Institutional Class generated a 7.57% total return for the six-month period ended April 30, 2024 (the reporting period), and outperformed its benchmark, a blend consisting of 50% J.P. Morgan Government Bond Index—Emerging Markets (GBI-EM) Global Diversified, 25% J.P. Morgan Emerging Markets Bond Index (EMBI®)—Global Diversified, and 25% J.P. Morgan Corporate Emerging Markets Bond Index (CEMBI)—Diversified (collectively, the Index), which delivered a 6.72% total return for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
Fixed income markets rallied early in the reporting period. Unexpected declines in inflation and a shift towards more dovish stances by central banks collectively enhanced market sentiment. In December, the U.S. Federal Reserve Board (Fed) unexpectedly signaled interest rate cuts totaling 75 basis points (bps). 10-year U.S. Treasury yields dropped by 80 bps to 3.88% by the end of 2023. The momentum continued into the beginning of the calendar year with better-than-expected economic data in the U.S. and China, supporting risk sentiment and reducing global recession fears. Major equity indices reached record highs while credit spreads tightened. However, this environment was less benign for rates markets, where strong economic data and U.S. inflation figures exceeding forecasts prompted a sharp adjustment in expectations for the Fed’s easing measures in 2024. By April, increasing signs of persistent U.S. inflation raised doubts about the timing and scale of Fed easing measures this year and emerging markets (EM) debt performance started to weaken.
During the reporting period, the Fund outperformed the Index driven by bottom-up positioning while tactical asset allocation was also positive. Bottom-up relative performance was positive across hard currency and corporates. Asset allocation delivered negative returns in the reporting period largely due to the defensive hedges as markets rallied strongly. The overweight in local currency versus hard currency versus the Index also detracted from performance as hard currency outperformed over the reporting period.
Performance was positive across both underlying hard currency and corporate sub-asset classes, led by overweight positions in frontier and high-yielding countries, and strategic instrument selection in investment-grade countries like Indonesia and Romania. However, an underweight position in Pakistan versus the Index, which avoided default with International Monetary Fund support, detracted from hard currency performance. In the corporate space, selections in India, Chile, and Mexico drove gains, while a position in a Singaporean airline detracted from performance. Finally, local currency detracted from overall performance due to rates positioning, yet foreign currency (FX) exposure was additive. The primary driver from rates positioning came from overweights to frontier markets including Zambia, Kenya, and Uruguay, while Mexico detracted. In FX positioning, overweights to the Mexican peso, Kenyan shilling and Thai baht were the primary drivers. The overweights to the Brazilian real and Zambian kwacha detracted from performance.
The Fund’s aggregate use of futures, forward foreign currency, and swap contracts, detracted from performance during the reporting period.
Over the reporting period, there were a number of changes across the portfolio. From a top-down perspective we continued to focus on risk-adjusted positioning for the portfolio. Early in the reporting period we deployed cash into the local currency sleeve as markets shifted to a risk-on stance. We maintained an underweight in hard currency as our assessment determined we had sufficient idiosyncratic hard currency exposure to high-yield assets in the overall portfolio. At the end of March 2024, we moved the hard currency sovereign exposure from underweight to slightly overweight compared to the Index. In terms of duration, we targeted neutral to small underweight in January 2024, further reduced the duration in February after the yield drop and turned to targeting neutral at the end of March. We maintained a long duration position in German bunds and a short position in U.S. Treasuries in the overlay as a part of the interest rate duration hedging strategy. In January 2024, we also opened a modest protective position through a credit default swap (CDX EM) as we sought to balance the risk in high-yield and distressed assets within the hard currency sleeve.
Emerging Markets Debt Fund Commentary (Unaudited)
From the bottom-up perspective, we favored high-yield and frontier hard currency sovereigns, looking to capture profits as valuations improved and shifted towards mid-curve positions in select investment-grade nations where we saw better valuations. In the corporate space, we added to financials throughout the reporting period as well as to metals and mining companies as we saw prices, especially in copper, improving. In local currency, we started the reporting period with an overweight in FX, then moved to a neutral stance, remaining focused on relative value opportunities. We favored high carry (where the implied yield differential of the EM currency is higher than the base) and frontier market currencies (Brazilian real, Colombian peso, Mexican peso, South African rand, Zambian kwacha) over lower-yielding Asian currencies (Chinese yuan, Thai baht), and adjusted our local duration strategy towards investment-grade markets and U.S. Treasuries for hedging. Our strategy included maintaining overweight positions in EM durations with what we believed to be sound fundamentals or valuations.
Looking ahead, in our view, the EM debt asset class should benefit this year from slower but not recessionary U.S. growth, less hawkish central banks, and stronger growth in EM compared to developed countries. Broadly we anticipate inflation moving towards central bank comfort zones across most EM countries, supporting monetary easing cycles and return potential for local bonds. Against that backdrop, real yields in various local bond markets appear very attractive in our view. We believe EM FX should benefit from robust EM macro fundamentals and high carry, outside Asia, despite potential volatility from uncertainties around Fed easing strategies. Within hard currency EM debt, we believe valuations have become relatively expensive in parts of the asset class, such as in different investment grade credits. We continue to identify opportunities for spread compression across various issuers, particularly in the high-yield space.
The key risks to our constructive view are either a global resurgence in inflation, which could result in a more hawkish turn by central banks and higher interest rates, or a return to a more aggressively protectionist stance in the U.S. in the event of a change in government.
Rob Drijkoningen, Gorky Urquieta, Vera Kartseva, Bart Van der Made, Raoul Luttik,
Jennifer Gorgoll and Nish Popat
Portfolio Co-Managers
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change without notice.
The opinions expressed are those of the Fund’s portfolio managers. The opinions are as of the date of this report and are subject to change without notice.
Emerging Markets Debt Fund (Unaudited)
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Period Ended
04/30/2024 | Average Annual Total Return
Ended 04/30/2024 |
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*
Blended Benchmark is composed of 50% J.P. Morgan Government Bond Index—Emerging Markets (GBI-EM) Global Diversified, 25% J.P. Morgan Emerging Markets Bond Index (EMBI®)—Global Diversified, and 25% J.P. Morgan Corporate Emerging Markets Bond Index (CEMBI)—Diversified, and is rebalanced monthly.
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For current performance data, including current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Investment Advisers LLC ("NBIA") had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by NBIA) will decrease the class’s returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund’s most recent prospectus, the total annual operating expense ratios for fiscal year 2023 were 1.05%, 1.61% and 2.20% for Institutional Class, Class A and Class C shares, respectively (before expense reimbursements and/or fee waivers, if any). The expense ratios were 0.79%, 1.16% and 1.91% for Institutional Class, Class A and Class C shares, respectively, after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ended April 30, 2024, can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 4.25% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1.00%, which is reduced to 0% after 1 year. The performance of the Fund’s share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
Floating Rate Income Fund Commentary (Unaudited)
Neuberger Berman Floating Rate Income Fund Institutional Class generated a 6.16% total return for the six-month period ended April 30, 2024 (the reporting period), outperforming its benchmark, the Morningstar LSTA US Leveraged Loan Index (the Index), which provided a 6.05% total return for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
The senior floating rate bank loan market, as measured by the Index, rallied during the reporting period. Several factors impacted the market, including a resilient U.S. economy, solid earnings and fundamentals for most issuers, "sticky" inflation, changing investor sentiment regarding future U.S. Federal Reserve Board monetary policy and several geopolitical events. All told, base rates (secured overnight financing rates) remained elevated over the reporting period and the loan market’s weighted average bid prices increased, allowing investors to benefit from high income during this time. A supply shortage with strong collateralized loan obligation production and solid retail demand also helped lift the loan market’s returns.
We have the flexibility to allocate up to 20% of the Fund’s net assets to non-floating rate securities, usually to fixed-rate senior bonds. Over the reporting period, the Fund slightly reduced its position in non-floating rate securities, as floating rate loans offered attractive relative value compared to fixed-rate bonds. The Fund's non-floating rate allocation ended the reporting period at approximately 6.0% of net assets, compared to 7.1% of net assets at beginning of the reporting period.
During the reporting period, from a sector perspective on a relative basis versus the Index, security selection within Diversified Telecommunications Services and Diversified Financial Services, along with security selection within Software and Construction & Engineering, were the best performers. Conversely, security selection within Information Technology services, security selection within and an underweight to Health Care Providers & Services, and security selection within and an underweight to Auto Components were the worst performers.
In terms of the Fund's credit quality ratings on a relative basis versus the Index, security selection within B and BB, and an underweight to and security selection within BBB and above, were the best performers. Conversely, an overweight to BB, an underweight to B and security selection within CCC and below were the worst performers.
With yields around 9% on the U.S. senior floating rate loan market, we believe valuations are providing more-than-adequate compensation for the around average default outlook by the market. In addition, we believe they should continue to provide steady income and are attractive compared to other fixed income alternatives. Despite solid economic growth, higher-than-desired inflation and tight labor markets, most market participants anticipate interest rate normalization coming sometime later this year. That said, even if interest rates are cut by 50–100 basis points, the yield on the loan market would likely still be very attractive compared to other fixed income categories. We continue to be focused on the specific fundamentals of individual issuers, assessing the base and downside cases. Relatively healthy consumer and business balance sheets and nominal gross domestic product growth should continue to provide support for most issuers’ fundamentals, in our view. While the incoming macroeconomic data and overall credit cycle dynamics can move the loan market day-to-day, we remain sharply focused on industry-specific trends and idiosyncratic risks faced by individual issuers. Despite the potential for short-term volatility resulting from uncertainty on interest rate policy, we believe our bottom-up, fundamental credit research that focuses on security selection, avoiding credit deterioration, and putting only our "best ideas" into portfolios, can help position us well to take advantage of market volatility.
Joseph P. Lynch and Stephen J. Casey
Portfolio Managers
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change without notice.
The opinions expressed are those of the Fund’s portfolio managers. The opinions are as of the date of this report and are subject to change without notice.
The loan ratings noted above represent segments of the Morningstar LSTA US Leveraged Loan Index, which are determined based on the ratings issued by S&P Global.
Floating Rate Income Fund (Unaudited)
PORTFOLIO BY MATURITY DISTRIBUTION |
(as a % of Total Investments*) |
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One to less than Five Years | |
Five to less than Ten Years | |
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| Does not include Short-Term Investments or the impact of the Fund’s open positions in derivatives, if any. |
| Common stock and Exchange-Traded Fund |
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| | Six Month
Period Ended
04/30/2024 | Average Annual Total Return
Ended 04/30/2024 |
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The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For current performance data, including current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Investment Advisers LLC ("NBIA") had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by NBIA) will decrease the class’s returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund’s most recent prospectus, the total annual operating expense ratios for fiscal year 2023 were 0.72%, 1.12% and 1.84% for Institutional Class, Class A and Class C shares, respectively (before expense reimbursements and/or fee waivers, if any, and after restatement). The expense ratios were 0.61%, 0.98% and 1.73% for Institutional Class, Class A and Class C shares, respectively, after expense reimbursements and/or fee waivers and restatement. The expense ratios for the semi-annual period ended April 30, 2024, can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 4.25% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1.00%, which is reduced to 0% after 1 year. The performance of the Fund’s share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
High Income Bond Fund Commentary (Unaudited)
Neuberger Berman High Income Bond Fund Investor Class generated an 8.77% total return for the six-month period ended April 30, 2024 (the reporting period), underperforming its benchmark, the ICE BofA U.S. High Yield Constrained Index (the Index), which provided an 8.96% total return for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
The high-yield market, as measured by the Index, rallied sharply during the reporting period. Several factors impacted the market, including a resilient U.S. economy, solid earnings and fundamentals for most issuers, "sticky" inflation, changing investor sentiment regarding future U.S. Federal Reserve Board monetary policy and several geopolitical events. All told, over the reporting period, short- and long-term U.S. Treasury yields declined (yields and bond prices generally move in the opposite direction), high-yield credit spreads tightened, and high-yield bond prices rose.
During the reporting period, from a sector perspective on a relative basis versus the Index, security selection within and an underweight to Telecommunications, and security selection within and overweights to Support-Services and Chemicals, were the best performers. In contrast, security selection within and an underweight to Health Care, security selection within and an underweight to Super Retail, and security selection within and an underweight to Diversified Financial Services, were the worst performers.
In terms of the Fund's credit quality ratings on a relative basis versus the Index, security selection within and an overweight to B, security selection within and an underweight to BB, security selection within BBB and above and a slight overweight to CCC and below, were the best performers. Conversely, security selection within CCC and below and an overweight to BBB and above were the worst performers.
We remain constructive on U.S. high-yield securities. In our view, U.S. high-yield valuations and yields are attractive and compensating investors for the relatively benign default outlook by the market. Despite solid economic growth, higher-than-desired inflation and tight labor markets, most market participants anticipate interest rate normalization coming at some point later in the year. We continue to be focused on the specific fundamentals of individual issuers, assessing the base and downside cases. Relatively healthy consumer and business balance sheets and positive nominal gross domestic product growth should continue to provide support for most issuers’ fundamentals, in our view. While the incoming macroeconomic data, geopolitical concerns and overall credit cycle dynamics can move the high-yield market day-to-day, we remain sharply focused on industry-specific trends and idiosyncratic risks to individual issuers. Despite the potential for short-term volatility resulting from uncertainty on the trajectory of monetary policy and economic activity, we believe our bottom-up, fundamental credit research that focuses on security selection, avoiding credit deterioration, and putting only our "best ideas" into portfolios, can help position us well to take advantage of market volatility.
Joe Lind and Christopher Kocinski
Portfolio Co-Managers
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change without notice.
The opinions expressed are those of the Fund’s portfolio managers. The opinions are as of the date of this report and are subject to change without notice.
The performance of certain rated bonds within the benchmark, as noted above, represent issues that are rated Ba1/BB+ through Ba3/BB-, B1/B+ through B3/B- and Caa1/CCC+ or lower, based on an average of Moody’s, S&P and Fitch, as calculated by ICE BofA. Issues rated Baa3/BBB- and higher are not in the Index.
High Income Bond Fund (Unaudited)
PORTFOLIO BY MATURITY DISTRIBUTION |
(as a % of Total Investments*) |
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One to less than Five Years | |
Five to less than Ten Years | |
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| Does not include Short-Term Investments or the impact of the Fund’s open positions in derivatives, if any. |
PERFORMANCE HIGHLIGHTS8,9 | | | | |
| | Six Month
Period Ended
04/30/2024 | Average Annual Total Return
Ended 04/30/2024 |
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The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For current performance data, including current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Investment Advisers LLC ("NBIA") had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by NBIA) will decrease the class’s returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund’s most recent prospectus, the total annual operating expense ratios for fiscal year 2023 were 0.88%, 0.72%, 1.12%, 1.86%, 1.37%, 0.62% and 0.57% for Investor Class, Institutional Class, Class A, Class C, Class R3, Class R6 and Class E shares, respectively. The expense ratio for fiscal year 2023 is 0.09% for Class E after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ended April 30, 2024, can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 4.25% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1.00%, which is reduced to 0% after 1 year. The performance of the Fund’s share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
Municipal High Income Fund Commentary (Unaudited)
Neuberger Berman Municipal High Income Fund Institutional Class generated a 10.49% total return for the six-month period ended April 30, 2024 (the reporting period) and outperformed its benchmark, a blend consisting of 65% Bloomberg Municipal Bond Index and 35% Bloomberg Municipal High Yield Index (collectively, the Index), which provided an 8.76% total return for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
The investment-grade municipal (muni) bond market generated a positive return and outperformed the taxable investment-grade bond market during the reporting period. All told, the Bloomberg Municipal Bond Index returned 7.06% for the reporting period, whereas the overall taxable investment-grade bond market, as measured by the Bloomberg U.S. Aggregate Bond Index, returned 4.97%. Several factors impacted the market, including a resilient U.S. economy, "sticky" inflation, changing investor sentiment regarding future U.S. Federal Reserve Board (Fed) monetary policy, and several geopolitical events. All told, short-, intermediate- and long-term U.S. Treasury yields declined (yields and bond prices generally move in the opposite direction) during the reporting period.
In terms of the Fund’s relative performance versus the Index during the reporting period, duration positioning was among the largest contributors to returns. In particular, having a duration that was longer than the Index was beneficial as interest rates moved lower over the reporting period. Security selection was also meaningfully additive for returns, led by longer duration, lower quality revenue bonds, as they outperformed their shorter duration, higher quality counterparts. Examples included the Fund’s exposures to charter schools and continuing care facilities. The Fund’s positioning on the yield curve was also rewarded. On the downside, a smaller project-specific holding detracted from performance.
Despite a strong rally during the reporting period, we believe investors should not feel like they’ve missed the opportunity to invest in munis. To the contrary, yields on investment-grade munis are still over 2% higher than they were at the end of 2021, and close to the yields that existed at the end of 2022. With more certainty around the Fed’s monetary policy, we believe it is time for some investors to seek the higher yields available in today’s market and to do so for a longer period of time. In our view, there will continue to be pockets of volatility in 2024 as the market pours over every economic data point and tries to discern how the Fed will react. Those moments should provide an opportunity to deploy capital. Views will change as to when the Fed eases and what the pace of interest rate cuts could be, but we believe the path of interest rates is less important than the level where they may ultimately go. In our view, the Fed will likely move from a federal funds rate of 5.25% to 5.50% currently to something that ultimately is closer to 3%, presenting a meaningful opportunity to take advantage of a higher-yielding market.
James L. Iselin, S. Blake Miller and Eric J. Pelio
Portfolio Managers
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change without notice.
The opinions expressed are those of the Fund’s portfolio managers. The opinions are as of the date of this report and are subject to change without notice.
The bond ratings noted above represent segments of the Bloomberg Municipal Bond Index and Bloomberg Municipal High Yield Index, which are determined based on the average ratings issued by S&P Global, Moody’s and Fitch.
Municipal High Income Fund (Unaudited)
PORTFOLIO BY STATE, TERRITORY OR SECTOR |
(as a % of Total Net Assets) |
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Liabilities Less Other Assets | |
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| Includes the impact of the Fund's open positions in derivatives (other than options purchased), if any. |
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| | Six Month
Period Ended
04/30/2024 | Average Annual Total Return
Ended 04/30/2024 |
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*
Blended benchmark is composed of 65% Bloomberg Municipal Bond Index and 35% Bloomberg Municipal High Yield Index and is rebalanced monthly.
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For current performance data, including current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Investment Advisers LLC ("NBIA") had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by NBIA) will decrease the class’s returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund’s most recent prospectus, the total annual operating expense ratios for fiscal year 2023 were 0.97%, 1.33% and 2.00% for Institutional Class, Class A and Class C shares, respectively (before expense reimbursements and/or fee waivers, if any). The expense ratios were 0.51%, 0.88% and 1.63% for Institutional Class, Class A and Class C shares, respectively, after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ended April 30, 2024, can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 4.25% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1.00%, which is reduced to 0% after 1 year. The performance of the Fund’s share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
Municipal Impact Fund Commentary (Unaudited)
Neuberger Berman Municipal Impact Fund Institutional Class generated a 5.96% total return for the six-month period ended April 30, 2024 (the reporting period) and underperformed its benchmark, the Bloomberg Municipal Bond Index (the Index), which provided a 7.06% total return for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
The investment-grade municipal (muni) bond market generated a positive return and outperformed the taxable investment-grade bond market during the reporting period. All told, the Index returned 7.06% for the reporting period, whereas the overall taxable investment-grade bond market, as measured by the Bloomberg U.S. Aggregate Bond Index, returned 4.97%. Several factors impacted the fixed income market, including a resilient U.S. economy, "sticky" inflation, changing investor sentiment regarding future U.S. Federal Reserve Board (Fed) monetary policy, and several geopolitical events. All told, short-, intermediate- and long-term U.S. Treasury yields declined (yields and bond prices generally move in the opposite direction) during the reporting period.
In terms of the Fund’s relative performance versus the Index during the reporting period, duration positioning detracted from results. In particular, having a duration that was shorter than the Index was not rewarded as interest rates moved lower over the reporting period. From a sector positioning perspective, an allocation to single family housing was a headwind for results. On the upside, an out-of-benchmark allocation to lower grade, higher yielding securities was beneficial. An example was a project-specific Detroit general obligation bond, as it performed well. Active trading activity was also rewarded.
There were no significant changes to the portfolio during the reporting period. That said, we continued to actively seek impactful projects that we believed were beneficial for their communities. We also continued to focus on issuers with what we view as having best-in-class operations, with managements that make sound financial decisions.
Despite a strong rally during the reporting period, we believe investors should not feel like they’ve missed the opportunity to invest in munis. To the contrary, yields on investment-grade munis are still over 2% higher than they were at the end of 2021, and close to the yields that existed at the end of 2022. With more certainty around the Fed’s monetary policy, we believe it is time for some investors to seek the higher yields available in today’s market and to do so for a longer period of time. In our view, there will continue to be pockets of volatility in 2024 as the market pours over every economic data point and tries to discern how the Fed will react. Those moments should provide an opportunity to deploy capital. Views will change as to when the Fed eases and what the pace of interest rate cuts could be, but we believe the path of interest rates is less important than the level where they may ultimately go. In our view, the Fed will likely move from a federal funds rate of 5.25% to 5.50% currently to something that ultimately is closer to 3%, presenting a meaningful opportunity to take advantage of a higher-yielding market.
James L. Iselin, S. Blake Miller and Jeffrey Hunn
Portfolio Managers
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change without notice.
The opinions expressed are those of the Fund’s portfolio managers. The opinions are as of the date of this report and are subject to change without notice.
The bond ratings noted above represent segments of the Bloomberg Municipal Bond Index, which are determined based on the average ratings issued by S&P Global, Moody’s and Fitch.
Municipal Impact Fund (Unaudited)
PORTFOLIO BY STATE AND TERRITORY |
(as a % of Total Net Assets) |
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Liabilities Less Other Assets | |
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| Includes the impact of the Fund's open positions in derivatives (other than options purchased), if any. |
PERFORMANCE HIGHLIGHTS12,13 | | | | |
| | Six Month
Period Ended
04/30/2024 | Average Annual Total Return
Ended 04/30/2024 |
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Bloomberg Municipal Bond Index5,6 | | | | | |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For current performance data, including current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Investment Advisers LLC ("NBIA") had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by NBIA) will decrease the class’s returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund’s most recent prospectus, the total annual operating expense ratios for fiscal year 2023 were 0.85%, 1.07%, and 1.86% for Institutional Class, Class A and Class C shares, respectively (before expense reimbursements and/or fee waivers, if any). The expense ratios were 0.43%, 0.80% and 1.55% for Institutional Class, Class A and Class C shares, respectively, after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ended April 30, 2024, can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 4.25% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1.00%, which is reduced to 0% after 1 year. The performance of the Fund’s share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
Municipal Intermediate Bond Fund Commentary (Unaudited)
Neuberger Berman Municipal Intermediate Bond Fund Investor Class generated a 5.60% total return for the six-month period ended April 30, 2024 (the reporting period) and outperformed its benchmark, the Bloomberg 7-Year General Obligation (G.O.) Index (the Index), which provided a 4.67% total return for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
The investment-grade municipal (muni) bond market generated a positive return and outperformed the taxable investment-grade bond market during the reporting period. All told, the Bloomberg Municipal Bond Index returned 7.06% for the reporting period, whereas the overall taxable investment-grade bond market, as measured by the Bloomberg U.S. Aggregate Bond Index, returned 4.97%. Several factors impacted the market, including a resilient U.S. economy, "sticky" inflation, changing investor sentiment regarding future U.S. Federal Reserve Board (Fed) monetary policy, and several geopolitical events. All told, short-, intermediate- and long-term U.S. Treasury yields declined (yields and bond prices generally move in the opposite direction) during the reporting period.
In terms of the Fund’s relative performance, duration positioning contributed to performance during the reporting period. In particular, having a duration that was longer than the Index was beneficial as interest rates moved lower over the reporting period. An overweight to bonds rated BBB and below was beneficial, as these higher-yielding securities outperformed the Index. For example, a position in the charter school’s sector was rewarded, as it rallied sharply. Security selection also modestly contributed to returns. On the downside, sector positioning, overall, was a small detractor from returns. For example, an allocation to the single family housing sector was a headwind for results.
Despite a strong rally during the reporting period, we believe investors should not feel like they’ve missed the opportunity to invest in munis. To the contrary, yields on investment-grade munis are still over 2% higher than they were at the end of 2021, and close to the yields that existed at the end of 2022. With more certainty around the Fed’s monetary policy, we believe it is time for some investors to seek the higher yields available in today’s market and to do so for a longer period of time. In our view, there will continue to be pockets of volatility in 2024 as the market pours over every economic data point and tries to discern how the Fed will react. Those moments should provide an opportunity to deploy capital. Views will change as to when the Fed eases and what the pace of interest rate cuts could be, but we believe the path of interest rates is less important than the level where they may ultimately go. In our view, the Fed will likely move from a federal funds rate of 5.25% to 5.50% currently to something that ultimately is closer to 3%, presenting a meaningful opportunity to take advantage of a higher-yielding market.
James L. Iselin and S. Blake Miller
Portfolio Managers
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change without notice.
The opinions expressed are those of the Fund’s portfolio managers. The opinions are as of the date of this report and are subject to change without notice.
The bond ratings noted above represent segments of the Bloomberg 7-Year General Obligation (G.O.) Index, which are determined based on the average ratings issued by S&P Global, Moody’s and Fitch.
Municipal Intermediate Bond Fund (Unaudited)
PORTFOLIO BY STATE AND TERRITORY |
(as a % of Total Net Assets) |
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Liabilities Less Other Assets | |
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| Includes the impact of the Fund's open positions in derivatives (other than options purchased), if any. |
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| | Six Month
Period Ended
04/30/2024 | Average Annual Total Return
Ended 04/30/2024 |
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Bloomberg 7-Year G.O. Index5,6 | | | | | |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For current performance data, including current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Investment Advisers LLC ("NBIA") had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by NBIA) will decrease the class’s returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund’s most recent prospectus, the total annual operating expense ratios for fiscal year 2023 were 0.66%, 0.48%, 0.84% and 1.48% for Investor Class, Institutional Class, Class A and Class C shares, respectively (before expense reimbursements and/or fee waivers, if any). The expense ratios were 0.45%, 0.30%, 0.67% and 1.42% for Investor Class, Institutional Class, Class A and Class C shares, respectively, after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ended April 30, 2024, can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 4.25% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1.00%, which is reduced to 0% after 1 year. The performance of the Fund’s share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
Short Duration Bond Fund* Commentary (Unaudited)
Neuberger Berman Short Duration Bond Fund Investor Class generated a 4.19% total return for the six-month period ended April 30, 2024 (the reporting period) and outperformed its benchmark, the Bloomberg 1–3 Year U.S. Government/Credit Bond Index (the Index), which provided a 2.46% total return for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
The taxable investment-grade fixed income market, as measured by the Bloomberg U.S. Aggregate Bond Index, posted a positive return during the reporting period. Several factors impacted the market, including a resilient U.S. economy, "sticky" inflation, changing investor sentiment regarding future U.S. Federal Reserve Board (Fed) monetary policy, and several geopolitical events. All told, short-, intermediate- and long-term Treasury yields declined (yields and bond prices generally move in the opposite direction) and credit spreads largely narrowed during the reporting period.
The largest contributors to the Fund’s performance during the reporting period were its credit and securitized exposures. Within credit, the Fund’s investment-grade corporate bonds were beneficial. Security selection within the industrials sector was the most additive for returns. An allocation to non-investment-grade corporates was also rewarded. In terms of securitized sectors, allocations to commercial mortgage-backed securities, mortgage credit, and asset-backed securities (ABS) were the largest contributors. There were no significant detractors from relative returns during the reporting period.
The Fund’s aggregate use of futures and swap contracts detracted from performance during the reporting period.
We made several adjustments to the Fund’s sector positioning over the reporting period. We reduced its allocation to investment-grade corporates in favor of ABS, as we felt the latter offered more attractive relative value.
Looking ahead, we continue to anticipate moderation in U.S. economic activity that is consistent with the "lower bound" of an economic soft landing, possibly with gross domestic product growth of between 1.5% and 2% in 2024, with risks to both the up- and downsides. Coming into the year, the consensus believed that, outside of Japan, developed-market central bankers were done with interest rate hikes and poised for rate cuts on the back of accelerated disinflation. However, recent inflation overshoots, the healthy labor market and generally robust economic data (reflecting unique strengths within the U.S.) turned policymakers less dovish and pushed back the expected start of the cutting cycle. This has contributed to swings in market pricing, but we believe that rate cuts are on the way. In the U.S., we believe this would be driven by moderating (albeit irregular) disinflation, the Fed’s mandate to support employment and its desire to achieve a soft landing. Although rebalancing of the labor market has been slower than expected, with normalization being driven by shrinking vacancies rather than the typical increase in joblessness, we do not anticipate this will hinder interest rate cuts if inflation continues to ease. Moreover, the Fed could very well choose to initiate "insurance" rate cuts in advance of hitting its target to achieve its policy goals.
Michael Foster, Matthew McGinnis, Ashok Bhatia and David M. Brown
Portfolio Managers
*As previously disclosed in a supplement to the Fund's Summary Prospectus, Prospectus and Statement of Additional Information dated December 18, 2023 (the "Supplement"), the Neuberger Berman Short Duration Bond Fund is currently expected to be reorganized into an exchange-traded fund in June 2024. Class A, C, Investor Class, and Trust Class Shares of the Fund were converted into Institutional Class Shares after the close of business on May 30, 2024. Please read the Supplement and information statement on Form N-14, for important information about the expected reorganization.
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change without notice.
The opinions expressed are those of the Fund’s portfolio managers. The opinions are as of the date of this report and are subject to change without notice.
Short Duration Bond Fund (Unaudited)
PORTFOLIO BY INVESTMENT TYPE |
(as a % of Total Net Assets) |
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Mortgage-Backed Securities | |
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Liabilities Less Other Assets | |
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| Includes the impact of the Fund's open positions in derivatives (other than options purchased), if any. |
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| | Six Month
Period Ended
04/30/2024 | Average Annual Total Return
Ended 04/30/2024 |
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Bloomberg 1-3 Year U.S.
Government/Credit Bond Index5,6 | | | | | |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For current performance data, including current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Investment Advisers LLC ("NBIA") had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by NBIA) will decrease the class’s returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund’s most recent prospectus, the total annual operating expense ratios for fiscal year 2023 were 0.81%, 0.96%, 0.57%, 0.96% and 1.71% for Investor Class, Trust Class, Institutional Class, Class A and Class C shares, respectively (before expense reimbursements and/or fee waivers, if any). The expense ratios were 0.55%, 0.65%, 0.35%, 0.72% and 1.47% for Investor Class, Trust Class, Institutional Class, Class A and Class C shares, respectively, after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ended April 30, 2024, can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 2.50% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1.00%, which is reduced to 0% after 1 year. The performance of the Fund’s share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
Strategic Income Fund Commentary (Unaudited)
Neuberger Berman Strategic Income Fund Institutional Class delivered a 7.53% total return for the six-month period ended April 30, 2024 (the reporting period), outperforming its benchmark, the Bloomberg U.S. Aggregate Bond Index (the Index), which provided a 4.97% total return for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
The taxable investment-grade fixed income market, as measured by the Index, posted a positive return during the reporting period. Several factors impacted the market, including a resilient U.S. economy, "sticky" inflation, changing investor sentiment regarding future U.S. Federal Reserve Board (Fed) monetary policy, and several geopolitical events. All told, short-, intermediate- and long-term Treasury yields declined (yields and bond prices generally move in the opposite direction) and credit spreads largely narrowed during the reporting period.
Over the reporting period, the Fund’s duration underweight versus the Index, allocations to investment-grade credit and collateralized loan obligations, security selection in investment-grade credit and securitized credit, and overweight exposures to agency mortgage-backed securities, securitized credit and emerging markets debt were the primary contributors to relative performance. The Fund’s yield curve positioning and underweight exposure to investment-grade credit detracted from relative performance.
The Fund's aggregate use of futures, swap, forward foreign currency and bond forward contracts detracted from performance during the reporting period.
We made some relative value positioning adjustments during the reporting period. We reduced exposure to U.S. investment-grade credit, deeply subordinated financial securities, and nominal U.S. Treasuries, and we increased exposure to securitized credit and European investment-grade credit. We were active in managing the Fund’s interest rate exposure amid heightened interest rate volatility. Entering the reporting period the Fund’s duration was approximately 5.6 years; we took it down as low as 3.5 years in December 2023 and ultimately ended the reporting period with approximately 5.2 years duration. We will continue to dynamically manage the Fund’s interest rate positioning as the macroeconomic environment and monetary policy evolves.
Looking ahead, we continue to anticipate moderation in U.S. economic activity that is consistent with an economic soft landing, possibly with gross domestic product growth of between 1.5% and 2% in 2024, with risks to both the up- and downsides. Coming into the year, the consensus believed that, outside of Japan, developed-market central bankers were done with interest rate hikes and poised for rate cuts on the back of accelerated disinflation. However, recent inflation overshoots, the healthy labor market and generally robust economic data (reflecting unique strengths within the U.S.) turned policymakers less dovish and pushed back the expected start of the rate cutting cycle. This has contributed to wild swings in market pricing, but we believe that rate cuts are on the way. In the U.S., we believe this would be driven by moderating (albeit irregular) disinflation, the Fed’s mandate to support employment and its desire to achieve a soft landing. Although rebalancing of the labor market has been slower than expected, with normalization being driven by shrinking vacancies rather than the typical increase in joblessness, we do not anticipate this hindering interest rate cuts if inflation continues to ease. Moreover, the Fed could very well choose to initiate "insurance" rate cuts in advance of hitting its target to achieve its policy goals.
Thanos Bardas, Ashok Bhatia, David M. Brown and Brad Tank*
Portfolio Managers
* As previously announced, Brad Tank will transition from Co-CIO of Fixed Income to a Senior Advisor role as of December 31, 2024, and thereafter will no longer provide portfolio management services.
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change without notice.
The opinions expressed are those of the Fund’s portfolio managers. The opinions are as of the date of this report and are subject to change without notice.
Strategic Income Fund (Unaudited)
PORTFOLIO BY INVESTMENT TYPE |
(as a % of Total Net Assets) |
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Liabilities Less Other Assets | |
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| Includes the impact of the Fund's open positions in derivatives (other than options purchased), if any. |
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Period Ended
04/30/2024 | Average Annual Total Return
Ended 04/30/2024 |
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Bloomberg U.S. Aggregate Bond Index5,6 | | | | | |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For current performance data, including current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Investment Advisers LLC ("NBIA") had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by NBIA) will decrease the class’s returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund’s most recent prospectus, the total annual operating expense ratios for fiscal year 2023 were 1.01%, 0.62%, 0.99%, 1.74% and 0.52% for Trust Class, Institutional Class, Class A, Class C and Class R6 shares, respectively (before expense reimbursements and/or fee waivers, if any). The expense ratios were 0.96%, 0.61%, 0.99%, 1.71% and 0.51% for Trust Class, Institutional Class, Class A, Class C and Class R6 shares, respectively, after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ended April 30, 2024, can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the maximum initial sales charge of 4.25% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares as of April 30, 2024. Effective May 6, 2024, the initial sales charge for Class A shares was lowered from a maximum of 4.25% to 2.50%. The CDSC for Class C shares is 1.00%, which is reduced to 0% after 1 year. The performance of the Fund’s share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
| The Fund had a different goal, to maximize total return through a combination of income and capital appreciation, and investment strategy, which did not include investments in derivatives and non-U.S. dollar denominated securities, prior to February 28, 2008. Its performance prior to that date might have been different if the current goal and investment strategy had been in effect. |
| The performance information for periods prior to June 13, 2005, is that of the Fund’s predecessor, Ariel Premier Bond Fund ("Ariel Fund"). The investment policies, guidelines and restrictions of the Fund are in all material respects equivalent to those of Ariel Fund. Returns would have been lower if Ariel Fund’s manager had not waived certain of its fees during these periods. |
| The performance information for Institutional Class is that of Ariel Fund Institutional Class for the period October 1, 1995 (inception date) through June 10, 2005. The performance information for Investor Class is that of Ariel Fund Institutional Class for the period October 1, 1995 through January 31, 1997 (the period prior to the Investor Class’ inception date), and that of Ariel Fund Investor Class for the period February 1, 1997 through June 10, 2005. Ariel Fund Institutional Class had lower expenses and typically higher returns than Ariel Fund Investor Class. |
| The performance information for Class A, Class C and Class R6 prior to the classes’ inception date is that of the Institutional Class of Neuberger Berman Core Bond Fund (please see Endnote 3). The performance information for the Institutional Class has been adjusted to reflect the appropriate sales charges applicable to Class A and Class C shares, but has not been adjusted to take into account differences in class specific operating expenses (such as 12b-1 fees). The Institutional Class has lower expenses and typically higher returns than Class A and Class C. The Institutional Class has higher expenses and typically lower returns than Class R6. |
| Please see "Glossary of Indices" on page 24 for a description of indices. Please note that individuals cannot invest directly in any index. The indices described in this report do not take into account any fees, expenses or tax consequences of investing in the individual securities that they track. Data about the performance of an index are prepared or obtained by Neuberger Berman Investment Advisers LLC ("NBIA") and reflect the reinvestment of income dividends and other distributions, if any. The Fund may invest in securities not included in a described index and generally does not invest in all securities included in a described index. |
| The date used to calculate Life of Fund performance for the index is the inception date of the oldest share class. |
| The performance information for Institutional Class and Class C prior to the classes’ inception date is that of Class A of Neuberger Berman Floating Rate Income Fund. The performance information (at NAV) of Class A has been adjusted to reflect the appropriate sales charge applicable to Class C shares, but has not been adjusted to take into account differences in class specific operating expenses (such as 12b-1 fees). Class A has higher expenses and typically lower returns (at NAV) than Institutional Class. Class A has lower expenses and typically higher returns (at NAV) than Class C. |
| The performance information for the period April 1, 1996 through September 6, 2002, is that of the Fund’s predecessor, Lipper High Income Bond Fund ("Lipper Fund"), and the performance information for the period February 1, 1992 through March 31, 1996, is that of Lipper Fund’s predecessor partnership. The investment policies, objectives, guidelines and restrictions of the Fund are in all material respects equivalent to those of Lipper Fund, and the investment policies, objectives, guidelines and restrictions of Lipper Fund were in all material respects equivalent to those of its predecessor partnership. As mutual funds registered under the Investment Company Act of 1940, as amended ("1940 Act"), the Fund is, and Lipper Fund was, subject to certain restrictions under the 1940 Act and the Internal Revenue Code of 1986, as amended ("Code"), to which Lipper Fund’s predecessor partnership was not subject. Had Lipper Fund’s predecessor partnership been registered under the 1940 Act and been subject to the provisions of the 1940 Act and the Code, its investment performance may have been adversely affected. Returns would have been lower if Lipper Fund’s manager had not waived certain of its fees during these periods. |
Endnotes (Unaudited) (cont’d)
| The Fund’s policies limited its ability to invest in bonds rated below "B" prior to July 6, 2006. Its performance prior to that date might have been different if current policies had been in effect. |
| The performance information for Investor Class is that of Lipper Fund Premier Class for the period April 1, 1996 through September 6, 2002, and that of Lipper Fund’s predecessor partnership for the period February 1, 1992 (inception date) through March 31, 1996 (please see Endnote 8). |
| The performance information for Institutional Class, Class A, Class C, Class R3, Class R6 and Class E prior to the classes’ respective inception dates is that of the Investor Class of Neuberger Berman High Income Bond Fund (please see Endnote 10). The performance information of the Investor Class has been adjusted to reflect the appropriate sales charges applicable to Class A and Class C shares, but has not been adjusted to take into account differences in class specific operating expenses (such as 12b-1 fees). The Investor Class has lower expenses and typically higher returns than Class A, Class C and Class R3. The Investor Class has higher expenses and typically lower returns than Institutional Class, Class R6 and Class E. |
| A portion of the Fund’s income may be a tax preference item for purposes of the federal alternative minimum tax for certain shareholders. |
| The Fund had a different goal and different principal investment strategies, which included a policy to invest 80% of its net assets in securities of municipal issuers that provide interest income that is exempt from New York State and New York City personal income taxes and invest in only investment grade securities, prior to June 16, 2018. Its performance prior to that date might have been different if the current goal and investment strategy had been in effect. |
| This date reflects when NBIA first became the investment manager to the Fund. |
| The performance information for Class A and Class C prior to the classes’ inception date is that of the Institutional Class of Neuberger Berman Municipal Impact Fund (formerly, Neuberger Berman New York Municipal Income Fund). The performance information for the Institutional Class has been adjusted to reflect the appropriate sales charges applicable to Class A and Class C shares, but has not been adjusted to take into account differences in class specific operating expenses (such as 12b-1 fees). The Institutional Class has lower expenses and typically higher returns than Class A and Class C. |
| The performance information for Institutional Class, Class A and Class C prior to the classes’ inception date is that of the Investor Class of Neuberger Berman Municipal Intermediate Bond Fund. The performance information of the Investor Class has been adjusted to reflect the appropriate sales charges applicable to Class A and Class C shares, but has not been adjusted to take into account differences in class specific operating expenses (such as 12b-1 fees). The Investor Class has lower expenses and typically higher returns than Class A and Class C. The Investor Class has higher expenses and typically lower returns than Institutional Class. |
| The investments for the Fund are managed by the same portfolio manager(s) who manage(s) one or more other registered funds that have names, investment objectives and investment styles that are similar to those of the Fund. You should be aware that the Fund is likely to differ from the other mutual fund(s) in size, cash flow pattern and tax matters. Accordingly, the holdings and performance of the Fund can be expected to vary from those of the other mutual fund(s). |
| The performance information for Trust Class, Institutional Class, Class A and Class C prior to the classes’ respective inception dates is that of the Investor Class of Neuberger Berman Short Duration Bond Fund. The performance information of the Investor Class has been adjusted to reflect the appropriate sales charges applicable to Class A and Class C shares, but has not been adjusted to take into account differences in class specific operating expenses (such as 12b-1 fees). The Investor Class has lower expenses and typically higher returns than Trust Class, Class A and Class C. The Investor Class has higher expenses and typically lower returns than Institutional Class. |
Endnotes (Unaudited) (cont’d)
| The Fund had a different goal, to maximize income without undue risk to principal, and investment strategy, which included managing assets by an asset allocation committee, prior to February 28, 2008. Its performance prior to that date might have been different if the current goal and investment strategy had been in effect. |
| The performance information for Trust Class, Class A, Class C and Class R6 prior to the classes’ respective inception dates is that of the Institutional Class of Neuberger Berman Strategic Income Fund. The performance information of the Institutional Class has been adjusted to reflect the appropriate sales charges applicable to Class A and Class C shares, but has not been adjusted to take into account differences in class specific operating expenses (such as 12b-1 fees). The Institutional Class has lower expenses and typically higher returns than Trust Class, Class A and Class C. The Institutional Class has higher expenses and typically lower returns than Class R6. |
For more complete information on any of the Neuberger Berman Income Funds, call us at (800) 877-9700, or visit our website at www.nb.com.
Glossary of Indices (Unaudited)
Bloomberg 7-Year General Obligation (G.O.) Index: | The index is the 7-year (6-8 years to maturity) component of the Bloomberg G.O. Index. The Bloomberg G.O. Index measures the investment grade, U.S. dollar-denominated, long-term, tax-exempt state and local general obligation bond market. Effective August 24, 2021 all Bloomberg Barclays fixed income indices were rebranded as "Bloomberg indices". |
Bloomberg U.S. Aggregate Bond Index: | The index measures the investment grade, U.S. dollar-denominated, fixed-rate, taxable bond market and includes Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid adjustable rate mortgage (ARM) pass-throughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS) (agency and nonagency). Effective August 24, 2021 all Bloomberg Barclays fixed income indices were rebranded as "Bloomberg indices". |
Bloomberg Municipal Bond Index: | The index is a rules-based, market-value-weighted index engineered for the long-term tax-exempt bond market. To be included in the index, bonds must be rated investment-grade (Baa3/BBB- or higher) by at least two of the following ratings agencies: Moody’s, S&P, Fitch. If only two of the three agencies rate the security, the lower rating is used to determine index eligibility. If only one of the three agencies rates a security, the rating must be investment-grade. They must have an outstanding par value of at least $7 million and be issued as part of a transaction of at least $75 million. The bonds must be fixed rate, have a dated date after December 31, 1990, and must be at least one year from their maturity date. Remarketed issues, taxable municipal bonds, bonds with floating rates, and derivatives, are excluded from the benchmark. Effective August 24, 2021 all Bloomberg Barclays fixed income indices were rebranded as "Bloomberg indices". |
Bloomberg Municipal High Yield Index: | The index measures the performance of the high yield municipal bond market. To be included in the index, bonds must be rated non-investment-grade (Ba1/BB+ or lower) by at least two of the following ratings agencies: Moody’s, S&P, Fitch. If only two of the three agencies rate the security, the lower rating is used to determine index eligibility. If only one of the three agencies rates a security, the rating must be non-investment-grade. They must have an outstanding par value of at least $7 million and be issued as part of a transaction of at least $75 million. The bonds must be fixed rate, have a dated date after December 31, 1990, and must be at least one year from their maturity date. Remarketed issues, taxable municipal bonds, bonds with floating rates, and derivatives, are excluded from the benchmark. Effective August 24, 2021 all Bloomberg Barclays fixed income indices were rebranded as "Bloomberg indices". |
65% Bloomberg Municipal Bond Index and 35% Bloomberg Municipal High Yield Index: | The blended index is composed of 65% Bloomberg Municipal Bond Index and 35% Bloomberg Municipal High Yield Index (both described above) and is rebalanced monthly. Effective August 24, 2021 all Bloomberg Barclays fixed income indices were rebranded as "Bloomberg indices". |
Bloomberg 1-3 Year U.S. Government/Credit Bond Index: | The index is the 1-3 year component of the Bloomberg U.S. Government/Credit Index. The Bloomberg U.S. Government/Credit Index is the non-securitized component of the Bloomberg U.S. Aggregate Bond Index and includes Treasuries and government-related (agency, sovereign, supranational, and local authority debt guaranteed by the U.S. government) and investment grade corporate securities. Effective August 24, 2021 all Bloomberg Barclays fixed income indices were rebranded as "Bloomberg indices". |
Glossary of Indices (Unaudited) (cont’d)
ICE BofA U.S. High Yield Constrained Index: | The index tracks the performance of U.S. dollar-denominated below investment grade corporate debt publicly issued in the U.S. domestic market. In addition to meeting other criteria, qualifying securities must have a below investment grade rating (based on an average of Moody’s, S&P and Fitch ratings), and have risk exposure to countries that are members of the FX-G10, Western Europe or territories of the U.S. and Western Europe. Securities in legal default are excluded from the index. Index constituents are capitalization-weighted, provided the total allocation to an individual issuer does not exceed 2%. Transaction costs are incorporated into the calculation of total return for ICE fixed income indices beginning in July 2022. |
J.P. Morgan Corporate Emerging Markets Bond Index (CEMBI)—Diversified: | The index tracks the performance of U.S. dollar-denominated corporate emerging market bonds, including emerging market countries from Asia, Europe, Latin America and the Middle East/Africa. The Diversified version of the index is market capitalization-weighted and limits the weights of those index countries with larger corporate debt stocks by including only specified portions of those countries’ eligible current face amounts of debt outstanding. Effective March 31, 2022, Russia and Belarus were excluded from the J.P. Morgan fixed income indices. The index market value for all Russian and Belarus debt was set to zero, reflecting a total return loss due to market disruption. |
J.P. Morgan Emerging Markets Bond Index (EMBI®)—Global Diversified: | The index tracks the performance of U.S. dollar-denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities (Brady bonds, loans and Eurobonds), including emerging market countries from Asia, Europe, Latin America and the Middle East/Africa. The Global version of the index captures a broad, comprehensive universe of emerging market issues. The Diversified version of the index is market capitalization-weighted and limits the weights of those index countries with larger debt stocks by including only specified portions of those countries’ eligible current face amounts of debt outstanding. Effective March 31, 2022, Russia and Belarus were excluded from the J.P. Morgan fixed income indices. The index market value for all Russian and Belarus debt was set to zero, reflecting a total return loss due to market disruption. |
J.P. Morgan Government Bond Index (GBI)—Emerging Markets Global Diversified: | The index tracks the performance of local currency denominated bonds issued by emerging market governments, including emerging market countries from Asia, Europe, Latin America and the Middle East/Africa. The Global version of the index includes only countries that are accessible by most of the international investor base, while countries with explicit capital controls are excluded. The Diversified version of the index is market capitalization-weighted, with a maximum weight to a country capped at 10%. Effective March 31, 2022, Russia and Belarus were excluded from the J.P. Morgan fixed income indices. The index market value for all Russian and Belarus debt was set to zero, reflecting a total return loss due to market disruption. |
50% J.P. Morgan GBI—Emerging Markets Global Diversified, 25% J.P. Morgan EMBI—Global Diversified, and 25% J.P. Morgan CEMBI—Diversified: | The blended index is composed of 50% J.P. Morgan GBI—Emerging Markets Global Diversified, 25% J.P. Morgan EMBI—Global Diversified, and 25% J.P. Morgan CEMBI—Diversified (all described above) and is rebalanced monthly. Effective March 31, 2022, Russia and Belarus were excluded from the J.P. Morgan fixed income indices. The index market value for all Russian and Belarus debt was set to zero, reflecting a total return loss due to market disruption. |
Morningstar LSTA US Leveraged Loan Index: | The index is a market-value weighted index designed to measure the performance of the US leveraged loan market. The starting universe consists of senior secured, USD denominated syndicated term leveraged loans with a minimum initial term of one year, a minimum initial spread of base rate (LIBOR/SOFR) plus 125 basis points, and a minimum initial issue size of $50 million. The index is rebalanced on a weekly basis every Friday. The index was renamed from S&P/LSTA Leveraged Loan Index to Morningstar LSTA US Leveraged Loan Index effective 8/29/2022. |
Information About Your Fund’s Expenses (Unaudited)
As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds (if applicable); and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees (if applicable), and other Fund expenses. This example is intended to help you understand your ongoing costs (in U.S. dollars) of investing in a Fund and compare these costs with the ongoing costs of investing in other mutual funds.
This table is designed to provide information regarding costs related to your investments. The following examples are based on an investment of $1,000 made at the beginning of the six month period ended April 30, 2024 and held for the entire period. The table illustrates each Fund’s costs in two ways:
Actual Expenses and Performance: | The first section of the table provides information about actual account values and actual expenses in dollars, based on the Fund’s actual performance during the period indicated. You may use the information in this line, together with the amount you invested, to estimate the expenses you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section of the table under the heading entitled "Expenses Paid During the Period" to estimate the expenses you paid over the period. |
Hypothetical Example for Comparison Purposes: | The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return at 5% per year before expenses. This return is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund versus other funds. To do so, compare the expenses shown in this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. |
Please note that the expenses in the table are meant to highlight your ongoing costs only and do not include any transaction costs, such as sales charges (loads) (if applicable). Therefore, the information under the heading "Hypothetical (5% annual return before expenses)" is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Expense Example (Unaudited)
Neuberger Berman Income Funds
| | HYPOTHETICAL (5% ANNUAL RETURN BEFORE EXPENSES) |
| Beginning
Account
Value
11/1/23 | Ending
Account
Value
4/30/24 | Expenses Paid
During the
11/1/23 – 4/30/24 | | Beginning
Account
Value
11/1/23 | Ending
Account
Value
4/30/24 | Expenses Paid
During the
Period(2)
11/1/23 – 4/30/24 | |
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Emerging Markets Debt Fund |
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Floating Rate Income Fund |
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Municipal Intermediate Bond Fund |
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| For each class, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period shown), unless otherwise indicated. |
Expense Example (Unaudited) (cont’d)
Neuberger Berman Income Funds
| Hypothetical expenses are equal to the annualized expense ratios for each class, multiplied by the average account value over the period (assuming a 5% annual return), multiplied by 182/366 (to reflect the one-half year period shown). |
Legend April 30, 2024 (Unaudited)
Neuberger Berman Income Funds
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| = Goldman Sachs International |
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| = JPMorgan Chase Bank N.A. |
| = Morgan Stanley Capital Services LLC |
| = Standard Chartered Bank |
| = State Street Bank and Trust Company |
Index Periods/Payment Frequencies: |
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| = New Zealand Bank Bill Rate |
| = Budapest Interbank Offered Rate |
| = Canadian Dollar Offered Rate |
| = Overnight Brazil Interbank Deposit Rate |
| = Sinacofi Chile Interbank Rate Average |
| = China Fixing Rate Repo Rates 7 Day |
| = Eurostat Eurozone Harmonised Indices of Consumer Prices Ex Tobacco Unrevised Series NSA |
| = US CPI Urban Consumers NSA |
| = Euro Interbank Offered Rate |
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| = Colombia Overnight Interbank Reference Rate |
| = Kuala Lumpur Interbank Offered Rate |
| = London Interbank Offered Rate |
| = Mumbai Interbank Offered Rate |
| = Nigerian Interbank Offered Rate |
| = Prague Interbank Offered Rate |
| = Secured Overnight Financing Rate |
| = Sterling Overnight Index Average |
| = Stockholm Interbank Offer Rate |
| = Mexican Interbank Equilibrium Interest Rate |
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| = Poland Warsaw Interbank Offered Rate |
Legend April 30, 2024 (Unaudited) (cont’d)
Non-Deliverable Forward Contracts: |
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| = Neuberger Berman Investment Advisers LLC |
| = Public Joint Stock Company |
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Legend April 30, 2024 (Unaudited) (cont’d)
Currency Abbreviations (cont’d): |
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(a)
There is one official currency held in China, the Chinese Yuan Renminbi. CNY is traded onshore, in mainland China and CNH is traded offshore, mainly in the Hong Kong market, each at a different exchange rate.
Schedule of Investments Core Bond Fund^ (Unaudited) April 30, 2024
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U.S. Treasury Obligations 22.7% |
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| | U.S. Treasury Inflation-Indexed Bonds, 1.50%, due 2/15/2053 | |
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| | 4.13%, due 10/31/2027 - 3/31/2031 | |
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| | 3.75%, due 12/31/2028 - 5/31/2030 | |
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Total U.S. Treasury Obligations (Cost $175,620,189) | |
U.S. Government Agency Securities 0.6% |
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| | Federal National Mortgage Association Principal Strips, 0.00%, due 7/15/2037 | |
| | Tennessee Valley Authority, 5.25%, due 9/15/2039 | |
Total U.S. Government Agency Securities (Cost $5,222,153) | |
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Mortgage-Backed Securities 38.6% |
Collateralized Mortgage Obligations 5.1% |
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| | Series 2019-6, Class A1, 2.62%, due 11/25/2059 | |
| | Series 2021-3, Class A1, 1.07%, due 5/25/2066 | |
| | Series 2022-5, Class A1, 4.50%, due 5/25/2067 | |
| | Chase Home Lending Mortgage Trust | |
| | Series 2024-2, Class A6A, 6.00%, due 2/25/2055 | |
| | Series 2024-4, Class A6, 6.00%, due 3/25/2055 | |
| | Ellington Financial Mortgage Trust, Series 2022-1, Class A1, 2.21%, due 1/25/2067 | |
| | Federal Home Loan Mortgage Corp. REMICS | |
| | Series 4018, Class HS, (6.34% - 30 day USD SOFR Average), 1.01%, due 3/15/2042 | |
| | Series 4159, Class KS, (6.04% - 30 day USD SOFR Average), 0.71%, due 1/15/2043 | |
| | Series 5013, Class ID, 3.00%, due 9/25/2050 | |
| | Federal Home Loan Mortgage Corp. STACR REMICS Trust | |
| | Series 2021-DNA7, Class M2, (30 day USD SOFR Average + 1.80%), 7.13%, due 11/25/2041 | |
| | Series 2022-DNA1, Class M2, (30 day USD SOFR Average + 2.50%), 7.83%, due 1/25/2042 | |
See Notes to Financial Statements
Schedule of Investments Core Bond Fund^ (Unaudited) (cont’d)
| |
|
Collateralized Mortgage Obligations – cont'd |
|
| | Series 2022-DNA2, Class M1B, (30 day USD SOFR Average + 2.40%), 7.73%, due 2/25/2042 | |
| | Series 2022-HQA1, Class M1B, (30 day USD SOFR Average + 3.50%), 8.83%, due 3/25/2042 | |
| | Series 2022-DNA3, Class M1B, (30 day USD SOFR Average + 2.90%), 8.23%, due 4/25/2042 | |
| | Series 2022-DNA4, Class M1B, (30 day USD SOFR Average + 3.35%), 8.68%, due 5/25/2042 | |
| | Federal Home Loan Mortgage Corp. STACR Trust | |
| | Series 2017-DNA1, Class M2, (30 day USD SOFR Average + 3.36%), 8.69%, due 7/25/2029 | |
| | Series 2017-HQA3, Class M2, (30 day USD SOFR Average + 2.46%), 7.79%, due 4/25/2030 | |
| | Federal Home Loan Mortgage Corp. Strips, Series 312, Class S1, (5.84% - 30 day USD SOFR Average), 0.51%, due 9/15/2043 | |
| | Federal National Mortgage Association Connecticut Avenue Securities | |
| | Series 2022-R01, Class 1M2, (30 day USD SOFR Average + 1.90%), 7.23%, due 12/25/2041 | |
| | Series 2022-R04, Class 1M2, (30 day USD SOFR Average + 3.10%), 8.43%, due 3/25/2042 | |
| | Series 2022-R03, Class 1M2, (30 day USD SOFR Average + 3.50%), 8.83%, due 3/25/2042 | |
| | Series 2022-R07, Class 1M2, (30 day USD SOFR Average + 4.65%), 9.98%, due 6/25/2042 | |
| | Series 2022-R08, Class 1M2, (30 day USD SOFR Average + 3.60%), 8.93%, due 7/25/2042 | |
| | Series 2023-R01, Class 1M1, (30 day USD SOFR Average + 2.40%), 7.73%, due 12/25/2042 | |
| | Series 2023-R02, Class 1M1, (30 day USD SOFR Average + 2.30%), 7.63%, due 1/25/2043 | |
| | Federal National Mortgage Association Interest Strip, Series 418, Class C24, 4.00%, due 8/25/2043 | |
| | Federal National Mortgage Association REMICS | |
| | Series 2012-70, Class HS, (5.89% - 30 day USD SOFR Average), 0.56%, due 7/25/2042 | |
| | Series 2017-100, Class S, (6.04% - 30 day USD SOFR Average), 0.71%, due 12/25/2042 | |
| | Series 2012-140, Class PI, 3.50%, due 12/25/2042 | |
| | Series 2013-6, Class SB, (5.99% - 30 day USD SOFR Average), 0.66%, due 2/25/2043 | |
| | Series 2015-32, Class SA, (6.09% - 30 day USD SOFR Average), 0.76%, due 5/25/2045 | |
| | Series 2016-32, Class LI, 3.50%, due 6/25/2046 | |
| | Series 2016-95, Class US, (5.89% - 30 day USD SOFR Average), 0.56%, due 12/25/2046 | |
| | Series 2018-7, Class CI, 4.00%, due 2/25/2048 | |
| | | |
| | Series 2019-NQM3, Class A1, 3.69%, due 11/25/2059 | |
| | Series 2021-NQM5, Class A1, 1.26%, due 7/25/2066 | |
| | Government National Mortgage Association REMICS | |
| | Series 2013-5, Class BI, 3.50%, due 1/20/2043 | |
| | Series 2013-23, Class IT, 3.50%, due 2/20/2043 | |
| | Series 2018-124, Class DS, (5.99% - 1 mo. USD Term SOFR), 0.67%, due 12/16/2043 | |
| | Series 2016-77, Class TS, (6.04% - 1 mo. USD Term SOFR), 0.72%, due 12/20/2044 | |
| | Series 2019-22, Class SA, (5.49% - 1 mo. USD Term SOFR), 0.17%, due 2/20/2045 | |
| | Series 2020-107, Class AB, 1.00%, due 7/20/2050 | |
| | Series 2020-112, Class KA, 1.00%, due 8/20/2050 | |
| | Series 2020-173, Class MI, 2.50%, due 11/20/2050 | |
| | Series 2021-26, Class AI, 2.00%, due 2/20/2051 | |
| | Series 2021-103, Class HE, 2.00%, due 6/20/2051 | |
| | Series 2021-116, Class IA, 2.50%, due 6/20/2051 | |
| | | |
| | Series 2024-2, Class A6A, 6.00%, due 8/25/2054 | |
| | Series 2024-HE1, Class A1, (30 day USD SOFR Average + 1.50%), 6.83%, due 8/25/2054 | |
| | Series 2024-4, Class A6A, 6.00%, due 10/25/2054 | |
| | New Residential Mortgage Loan Trust, Series 2019-NQM5, Class A1, 2.71%, due 11/25/2059 | |
| | OBX Trust, Series 2024-NQM4, Class A1, 6.07%, due 1/25/2064 | |
| | Starwood Mortgage Residential Trust | |
| | Series 2021-3, Class A1, 1.13%, due 6/25/2056 | |
| | Series 2021-6, Class A1, 1.92%, due 11/25/2066 | |
See Notes to Financial Statements
Schedule of Investments Core Bond Fund^ (Unaudited) (cont’d)
| |
|
Collateralized Mortgage Obligations – cont'd |
|
| | Towd Point Mortgage Trust | |
| | Series 2017-5, Class A1, (1 mo. USD Term SOFR + 0.71%), 6.03%, due 2/25/2057 | |
| | Series 2017-2, Class A2, 3.25%, due 4/25/2057 | |
| | Series 2022-4, Class A1, 3.75%, due 9/25/2062 | |
| | Verus Securitization Trust | |
| | Series 2019-4, Class A1, 3.64%, due 11/25/2059 | |
| | Series 2021-3, Class A1, 1.05%, due 6/25/2066 | |
| | Series 2021-6, Class A1, 1.63%, due 10/25/2066 | |
| | | |
Commercial Mortgage-Backed 3.9% |
|
| | | |
| | Series 2022-BNK39, Class A4, 2.93%, due 2/15/2055 | |
| | Series 2023-BNK45, Class B, 6.15%, due 2/15/2056 | |
| | BBCMS Mortgage Trust, Series 2023-C22, Class A5, 6.80%, due 11/15/2056 | |
| | BB-UBS Trust, Series 2012-SHOW, Class A, 3.43%, due 11/5/2036 | |
| | | |
| | Series 2021-B26, Class XA, 1.00%, due 6/15/2054 | |
| | Series 2021-B31, Class A5, 2.67%, due 12/15/2054 | |
| | Series 2021-B31, Class C, 3.20%, due 12/15/2054 | |
| | Series 2023-B40, Class AS, 6.59%, due 12/15/2056 | |
| | Series 2024-V5, Class A3, 5.81%, due 1/10/2057 | |
| | BMO Mortgage Trust, Series 2023-C7, Class A5, 6.16%, due 12/15/2056 | |
| | BX Commercial Mortgage Trust | |
| | Series 2021-VOLT, Class D, (1 mo. USD Term SOFR + 1.76%), 7.09%, due 9/15/2036 | |
| | Series 2024-XL4, Class A, (1 mo. USD Term SOFR + 1.44%), 6.76%, due 2/15/2039 | |
| | Series 2024-XL4, Class B, (1 mo. USD Term SOFR + 1.79%), 7.11%, due 2/15/2039 | |
| | BX Trust, Series 2019-OC11, Class A, 3.20%, due 12/9/2041 | |
| | CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class B, (1 mo. USD Term SOFR + 1.55%), 6.87%, due 12/15/2037 | |
| | Citigroup Commercial Mortgage Trust | |
| | Series 2014-GC23, Class B, 4.18%, due 7/10/2047 | |
| | Series 2014-GC25, Class XA, 1.09%, due 10/10/2047 | |
| | Series 2015-GC27, Class XA, 1.45%, due 2/10/2048 | |
| | Series 2022-GC48, Class A5, 4.74%, due 5/15/2054 | |
| | | |
| | Series 2012-CR4, Class AM, 3.25%, due 10/15/2045 | |
| | Series 2014-CR16, Class XA, 0.91%, due 4/10/2047 | |
| | Series 2014-CR17, Class XA, 0.87%, due 5/10/2047 | |
| | Series 2014-UBS3, Class XA, 1.01%, due 6/10/2047 | |
| | Series 2014-CR18, Class XA, 1.02%, due 7/15/2047 | |
| | Series 2014-UBS6, Class XA, 0.96%, due 12/10/2047 | |
| | Series 2014-CR21, Class AM, 3.99%, due 12/10/2047 | |
| | CSAIL Commercial Mortgage Trust | |
| | Series 2016-C5, Class XA, 1.04%, due 11/15/2048 | |
| | Series 2015-C1, Class B, 4.04%, due 4/15/2050 | |
| | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | |
| | Series KW03, Class X1, 0.93%, due 6/25/2027 | |
| | Series K088, Class XAM, 0.57%, due 1/25/2029 | |
| | Series K090, Class X1, 0.85%, due 2/25/2029 | |
| | Series K098, Class XAM, 1.52%, due 8/25/2029 | |
| | FIVE Mortgage Trust, Series 2023-V1, Class B, 6.51%, due 2/10/2056 | |
See Notes to Financial Statements
Schedule of Investments Core Bond Fund^ (Unaudited) (cont’d)
| |
|
Commercial Mortgage-Backed – cont'd |
|
| | GS Mortgage Securities Trust | |
| | Series 2019-GC42, Class A4, 3.00%, due 9/10/2052 | |
| | Series 2019-GSA1, Class A4, 3.05%, due 11/10/2052 | |
| | Hilton USA Trust, Series 2016-HHV, Class A, 3.72%, due 11/5/2038 | |
| | JP Morgan Chase Commercial Mortgage Securities Trust | |
| | Series 2016-NINE, Class A, 2.95%, due 9/6/2038 | |
| | Series 2022-OPO, Class B, 3.38%, due 1/5/2039 | |
| | JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class AS, 4.02%, due 12/15/2048 | |
| | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C16, Class XA, 0.98%, due 6/15/2047 | |
| | MSWF Commercial Mortgage Trust, Series 2023-2, Class A5, 6.01%, due 12/15/2056 | |
| | ORL Trust, Series 2023-GLKS, Class A, (1 mo. USD Term SOFR + 2.35%), 7.67%, due 10/19/2036 | |
| | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS4, Class C, 4.84%, due 12/15/2048 | |
| | WF-RBS Commercial Mortgage Trust | |
| | Series 2014-C25, Class XA, 0.93%, due 11/15/2047 | |
| | Series 2014-C22, Class XA, 0.90%, due 9/15/2057 | |
| | Series 2014-C22, Class AS, 4.07%, due 9/15/2057 | |
| | | |
Federal Home Loan Mortgage Corp. 10.5% |
|
| | Pass-Through Certificates | |
| | 2.00%, due 12/1/2050 - 4/1/2052 | |
| | 2.50%, due 7/1/2050 - 5/1/2052 | |
| | 3.00%, due 8/1/2046 - 9/1/2053 | |
| | 3.50%, due 7/1/2042 - 12/1/2052 | |
| | 4.00%, due 3/1/2045 - 9/1/2053 | |
| | 4.50%, due 6/1/2039 - 12/1/2052 | |
| | 5.00%, due 3/1/2038 - 6/1/2053 | |
| | 5.50%, due 9/1/2052 - 4/1/2054 | |
| | 6.00%, due 12/1/2052 - 4/1/2054 | |
| | 6.50%, due 7/1/2053 - 2/1/2054 | |
| | | |
Federal National Mortgage Association 15.6% |
|
| | Pass-Through Certificates | |
| | 2.00%, due 9/1/2050 - 5/1/2052 | |
| | 2.50%, due 8/1/2050 - 9/1/2052 | |
| | 3.00%, due 10/1/2041 - 6/1/2052 | |
| | 3.50%, due 12/1/2041 - 5/1/2053 | |
| | 4.00%, due 5/1/2046 - 12/1/2052 | |
| | 4.50%, due 4/1/2034 - 2/1/2053 | |
| | 5.00%, due 6/1/2033 - 11/1/2053 | |
| | 5.50%, due 11/1/2052 - 12/1/2053 | |
| | 6.00%, due 4/1/2053 - 3/1/2054 | |
| | 6.50%, due 12/1/2053 - 3/1/2054 | |
| | | |
Government National Mortgage Association 3.5% |
|
| | Pass-Through Certificates | |
| | 2.00%, due 2/20/2051 - 3/20/2052 | |
| | 2.50%, due 2/20/2051 - 3/20/2052 | |
| | 3.50%, due 1/20/2043 - 6/20/2052 | |
| | 4.50%, due 3/20/2052 - 10/20/2053 | |
See Notes to Financial Statements
Schedule of Investments Core Bond Fund^ (Unaudited) (cont’d)
| |
|
Government National Mortgage Association – cont'd |
|
| | 5.00%, due 9/20/2052 - 1/20/2054 | |
| | 5.50%, due 11/20/2052 - 4/20/2054 | |
| | 6.00%, due 12/20/2052 - 2/20/2054 | |
| | | |
Total Mortgage-Backed Securities (Cost $325,201,944) | |
Asset-Backed Securities 8.6% |
|
| | 522 Funding CLO Ltd., Series 2019-5A, Class AR, (3 mo. USD Term SOFR + 1.33%), 6.66%, due 4/15/2035 | |
| | Amur Equipment Finance Receivables XI LLC, Series 2022-2A, Class A2, 5.30%, due 6/21/2028 | |
| | Aqua Finance Trust, Series 2021-A, Class A, 1.54%, due 7/17/2046 | |
| | Avis Budget Rental Car Funding AESOP LLC | |
| | Series 2021-2A, Class A, 1.66%, due 2/20/2028 | |
| | Series 2021-2A, Class B, 1.90%, due 2/20/2028 | |
| | Bain Capital Credit CLO Ltd., Series 2024-2A, Class A1, (3 mo. USD Term SOFR + 1.52%), 1.52%, due 7/15/2037 | |
| | Beacon Container Finance II LLC, Series 2021-1A, Class A, 2.25%, due 10/22/2046 | |
| | BOF VII AL Funding Trust I, Series 2023-CAR3, Class A2, 6.29%, due 7/26/2032 | |
| | Business Jet Securities LLC, Series 2024-1A, Class A, 6.20%, due 5/15/2039 | |
| | Carmax Auto Owner Trust, Series 2023-3, Class A3, 5.28%, due 5/15/2028 | |
| | CCG Receivables Trust, Series 2023-1, Class A2, 5.82%, due 9/16/2030 | |
| | Chase Funding Trust, Series 2004-1, Class 2A2, (1 mo. USD Term SOFR + 0.57%), 5.89%, due 12/25/2033 | |
| | Clover CLO LLC, Series 2021-2A, Class A, (3 mo. USD Term SOFR + 1.43%), 6.76%, due 7/20/2034 | |
| | Crown Castle Towers LLC, 4.24%, due 7/15/2028 | |
| | CyrusOne Data Centers Issuer I LLC | |
| | Series 2023-2A, Class A2, 5.56%, due 11/20/2048 | |
| | Series 2024-1A, Class A2, 4.76%, due 3/22/2049 | |
| | Dell Equipment Finance Trust, Series 2023-3, Class A3, 5.93%, due 4/23/2029 | |
| | Eaton Vance CLO Ltd., Series 2013-1A, Class A13R, (3 mo. USD Term SOFR + 1.51%), 6.84%, due 1/15/2034 | |
| | Elmwood CLO III Ltd., Series 2019-3A, Class AR, (3 mo. USD Term SOFR + 1.42%), 6.75%, due 10/20/2034 | |
| | Halseypoint CLO 5 Ltd., Series 2021-5A, Class A1A, (3 mo. USD Term SOFR + 1.47%), 6.80%, due 1/30/2035 | |
| | Hilton Grand Vacations Trust, Series 2024-1B, Class A, 5.75%, due 9/15/2039 | |
| | | |
| | Series 2023-HE2, Class A1, (30 day USD SOFR Average + 1.70%), 7.03%, due 3/25/2054 | |
| | Series 2023-HE3, Class A1, (30 day USD SOFR Average + 1.60%), 6.93%, due 5/25/2054 | |
| | JPMorgan Chase Bank NA, Series 2021-3, Class B, 0.76%, due 2/26/2029 | |
| | Katayma CLO II Ltd., Series 2024-2A, Class A1, (3 mo. USD Term SOFR + 1.65%), 6.94%, due 4/20/2037 | |
| | Kubota Credit Owner Trust, Series 2024-1A, Class A3, 5.19%, due 7/17/2028 | |
| | Magnetite XXIII Ltd., Series 2019-23A, Class AR, (3 mo. USD Term SOFR + 1.39%), 6.72%, due 1/25/2035 | |
| | Magnetite XXIV Ltd., Series 2019-24A, Class AR, (3 mo. USD Term SOFR + 1.31%), 6.64%, due 4/15/2035 | |
| | MetroNet Infrastructure Issuer LLC, Series 2024-1A, Class A2, 6.23%, due 4/20/2054 | |
| | MMAF Equipment Finance LLC, Series 2023-A, Class A3, 5.54%, due 12/13/2029 | |
| | | |
| | Series 2021-2A, Class A, 1.43%, due 5/20/2039 | |
| | Series 2021-2A, Class B, 1.83%, due 5/20/2039 | |
See Notes to Financial Statements
Schedule of Investments Core Bond Fund^ (Unaudited) (cont’d)
| |
Asset-Backed Securities – cont'd |
|
| | Series 2024-1A, Class A, 5.32%, due 2/20/2043 | |
| | Navient Private Education Refi Loan Trust | |
| | Series 2021-BA, Class A, 0.94%, due 7/15/2069 | |
| | Series 2021-CA, Class A, 1.06%, due 10/15/2069 | |
| | Series 2021-EA, Class A, 0.97%, due 12/16/2069 | |
| | Series 2021-GA, Class A, 1.58%, due 4/15/2070 | |
| | Oaktree CLO Ltd., Series 2021-2A, Class A, (3 mo. USD Term SOFR + 1.44%), 6.77%, due 1/15/2035 | |
| | OneMain Financial Issuance Trust, Series 2023-2A, Class A1, 5.84%, due 9/15/2036 | |
| | | |
| | Series 2021-B, Class A, 0.77%, due 8/15/2026 | |
| | Series 2022-C, Class A, 3.89%, due 5/15/2027 | |
| | Series 2024-D, Class A, 5.34%, due 4/16/2029 | |
| | PPM CLO 3 Ltd., Series 2019-3A, Class AR, (3 mo. USD Term SOFR + 1.35%), 6.67%, due 4/17/2034 | |
| | Regatta XXVIII Funding Ltd., Series 2024-2A, Class A1, (3 mo. USD Term SOFR + 1.55%), 6.88%, due 4/25/2037 | |
| | Residential Asset Securities Corporation Trust, Series 2005-KS12, Class M2, (1 mo. USD Term SOFR + 0.57%), 6.12%, due 1/25/2036 | |
| | Saxon Asset Securities Trust, Series 2004-1, Class A, (1 mo. USD Term SOFR + 0.65%), 2.17%, due 3/25/2035 | |
| | | |
| | | |
| | | |
| | Sierra Timeshare Receivables Funding LLC | |
| | Series 2019-2A, Class A, 2.59%, due 5/20/2036 | |
| | Series 2020-2A, Class A, 1.33%, due 7/20/2037 | |
| | Series 2020-2A, Class C, 3.51%, due 7/20/2037 | |
| | Series 2021-2A, Class A, 1.35%, due 9/20/2038 | |
| | Series 2022-1A, Class B, 3.55%, due 10/20/2038 | |
| | Series 2023-2A, Class A, 5.80%, due 4/20/2040 | |
| | Series 2023-3A, Class A, 6.10%, due 9/20/2040 | |
| | Series 2024-1A, Class A, 5.15%, due 1/20/2043 | |
| | SoFi Consumer Loan Program Trust, Series 2023-1S, Class A, 5.81%, due 5/15/2031 | |
| | SoFi Professional Loan Program LLC | |
| | Series 2018-A, Class A2B, 2.95%, due 2/25/2042 | |
| | Series 2018-B, Class A2FX, 3.34%, due 8/25/2047 | |
| | Sotheby's Artfi Master Trust, Series 2024-1A, Class A1, 6.43%, due 12/22/2031 | |
| | Stack Infrastructure Issuer LLC, Series 2023-3A, Class A2, 5.90%, due 10/25/2048 | |
| | | |
| | Series 2016-1A, Class A23, 4.97%, due 5/25/2046 | |
| | Series 2021-1A, Class A2I, 1.95%, due 8/25/2051 | |
| | TCI-Flatiron CLO Ltd., Series 2018-1A, Class ANR, (3 mo. USD Term SOFR + 1.32%), 6.65%, due 1/29/2032 | |
| | Thayer Park CLO Ltd., Series 2017-1A, Class A1R, (3 mo. USD Term SOFR + 1.30%), 6.63%, due 4/20/2034 | |
| | Towd Point Mortgage Trust, Series 2024-CES2, Class A1A, 6.13%, due 2/25/2064 | |
| | TRESTLES CLO Ltd., Series 2017-1A, Class A1R, (3 mo. USD Term SOFR + 1.25%), 6.58%, due 4/25/2032 | |
| | TRESTLES CLO V Ltd., Series 2021-5A, Class A1, (3 mo. USD Term SOFR + 1.43%), 6.76%, due 10/20/2034 | |
See Notes to Financial Statements
Schedule of Investments Core Bond Fund^ (Unaudited) (cont’d)
| |
Asset-Backed Securities – cont'd |
|
| | Whitebox CLO III Ltd., Series 2021-3A, Class A1, (3 mo. USD Term SOFR + 1.48%), 6.81%, due 10/15/2034 | |
| | Ziply Fiber Issuer LLC, Series 2024-1A, Class A2, 6.64%, due 4/20/2054 | |
Total Asset-Backed Securities (Cost $66,845,257) | |
|
|
|
|
| | | |
| | | |
| | | |
| | Boeing Co., 5.04%, due 5/1/2027 | |
| | RTX Corp., 6.40%, due 3/15/2054 | |
| | | |
|
|
| | Philip Morris International, Inc. | |
| | | |
| | | |
| | | |
|
|
| | United Airlines Pass-Through Trust, 5.88%, due 10/15/2027 | |
|
|
| | | |
| | | |
| | | |
| | | |
|
|
| | Banco Santander SA, 6.92%, due 8/8/2033 | |
| | Barclays PLC, 7.12%, due 6/27/2034 | |
| | Citibank N.A., 5.57%, due 4/30/2034 | |
| | Citigroup, Inc., 3.89%, due 1/10/2028 | |
| | Fifth Third Bancorp, 4.34%, due 4/25/2033 | |
| | HSBC Holdings PLC, 6.00%, due 5/22/2027 | |
| | JPMorgan Chase & Co., 6.25%, due 10/23/2034 | |
| | Kreditanstalt fuer Wiederaufbau | |
| | | |
| | | |
| | Lloyds Banking Group PLC, 5.68%, due 1/5/2035 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | PNC Financial Services Group, Inc., 6.88%, due 10/20/2034 | |
| | Societe Generale SA, 1.49%, due 12/14/2026 | |
| | Truist Financial Corp., 5.71%, due 1/24/2035 | |
| | UBS AG, 5.65%, due 9/11/2028 | |
See Notes to Financial Statements
Schedule of Investments Core Bond Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | Wells Fargo & Co., 5.50%, due 1/23/2035 | |
| | | |
|
|
| | Anheuser-Busch InBev Worldwide, Inc., 5.00%, due 6/15/2034 | |
| | Constellation Brands, Inc., 4.90%, due 5/1/2033 | |
| | | |
|
|
| | Amgen, Inc., 5.75%, due 3/2/2063 | |
|
|
| | Carrier Global Corp., 5.90%, due 3/15/2034 | |
|
|
| | IBM International Capital Pte. Ltd., 5.30%, due 2/5/2054 | |
Diversified Financial Services 1.0% |
|
| | | |
| | | |
| | | |
| | | |
| | Capital One Financial Corp. | |
| | | |
| | | |
| | | |
|
|
| | Constellation Energy Generation LLC, 5.75%, due 3/15/2054 | |
| | Enel Finance International NV, 7.75%, due 10/14/2052 | |
| | Eversource Energy, 5.50%, due 1/1/2034 | |
| | Indianapolis Power & Light Co., 5.70%, due 4/1/2054 | |
| | Interstate Power & Light Co., 2.30%, due 6/1/2030 | |
| | National Grid PLC, 5.42%, due 1/11/2034 | |
| | NextEra Energy Capital Holdings, Inc. | |
| | | |
| | | |
| | Pacific Gas & Electric Co. | |
| | | |
| | | |
| | | |
| | PPL Electric Utilities Corp., 4.85%, due 2/15/2034 | |
| | Southern Co., 5.20%, due 6/15/2033 | |
| | Tampa Electric Co., 4.90%, due 3/1/2029 | |
| | Xcel Energy, Inc., 5.50%, due 3/15/2034 | |
| | | |
|
|
| | TD SYNNEX Corp., 6.10%, due 4/12/2034 | |
|
|
| | Warnermedia Holdings, Inc., 5.14%, due 3/15/2052 | |
|
|
| | Campbell Soup Co., 4.80%, due 3/15/2048 | |
See Notes to Financial Statements
Schedule of Investments Core Bond Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | Southern Co. Gas Capital Corp., 1.75%, due 1/15/2031 | |
Hand - Machine Tools 0.5% |
|
| | | |
| | | |
| | | |
| | | |
Healthcare - Services 0.1% |
|
| | UnitedHealth Group, Inc., 5.38%, due 4/15/2054 | |
|
|
| | American International Group, Inc., 5.13%, due 3/27/2033 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Corebridge Financial, Inc., 5.75%, due 1/15/2034 | |
| | Marsh & McLennan Cos., Inc. | |
| | | |
| | | |
| | Travelers Cos., Inc., 5.45%, due 5/25/2053 | |
| | | |
|
|
| | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.90%, due 6/1/2052 | |
|
|
| | Anglo American Capital PLC | |
| | | |
| | | |
| | | |
|
|
| | | |
| | | |
| | | |
| | Asian Infrastructure Investment Bank, 4.25%, due 3/13/2034 | |
| | Corp. Andina de Fomento, 5.00%, due 1/24/2029 | |
| | Council of Europe Development Bank, 4.13%, due 1/24/2029 | |
| | European Bank for Reconstruction & Development, 4.25%, due 3/13/2034 | |
| | | |
| | | |
| | | |
| | Inter-American Investment Corp., 4.25%, due 2/14/2029 | |
| | International Bank for Reconstruction & Development, 4.50%, due 4/10/2031 | |
| | Nordic Investment Bank, 4.25%, due 2/28/2029 | |
| | | |
Office - Business Equipment 0.1% |
|
| | CDW LLC/CDW Finance Corp., 2.67%, due 12/1/2026 | |
See Notes to Financial Statements
Schedule of Investments Core Bond Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | BP Capital Markets America, Inc., 4.81%, due 2/13/2033 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Marathon Petroleum Corp., 4.70%, due 5/1/2025 | |
| | Occidental Petroleum Corp. | |
| | | |
| | | |
| | | |
| | | |
| | Ovintiv, Inc., 7.10%, due 7/15/2053 | |
| | Phillips 66, 1.30%, due 2/15/2026 | |
| | | |
| | | |
| | | |
| | | |
| | | |
|
|
| | | |
| | | |
| | | |
| | | |
| | | |
| | Bristol-Myers Squibb Co., 5.65%, due 2/22/2064 | |
| | | |
| | | |
| | | |
| | Pfizer Investment Enterprises Pte. Ltd., 5.34%, due 5/19/2063 | |
| | | |
|
|
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Northern Natural Gas Co., 5.63%, due 2/1/2054 | |
| | | |
Real Estate Investment Trusts 0.4% |
|
| | American Tower Trust 1, 5.49%, due 3/15/2028 | |
| | Simon Property Group LP, 6.25%, due 1/15/2034 | |
| | | |
|
|
| | Analog Devices, Inc., 5.30%, due 4/1/2054 | |
See Notes to Financial Statements
Schedule of Investments Core Bond Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Marvell Technology, Inc., 2.95%, due 4/15/2031 | |
| | | |
|
|
| | | |
| | | |
| | | |
| | Oracle Corp., 3.60%, due 4/1/2050 | |
| | | |
|
|
| | AT&T, Inc., 3.50%, due 9/15/2053 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Verizon Communications, Inc., 5.05%, due 5/9/2033 | |
| | Vodafone Group PLC, 4.38%, due 2/19/2043 | |
| | | |
Total Corporate Bonds (Cost $214,156,616) | |
Foreign Government Securities 1.4% |
|
| | Japan Bank for International Cooperation, 4.63%, due 4/17/2034 | |
| | Province of Alberta, 4.50%, due 1/24/2034 | |
| | Province of British Columbia, 4.90%, due 4/24/2029 | |
| | Province of Ontario, 5.05%, due 4/24/2034 | |
| | Province of Quebec, 4.50%, due 4/3/2029 | |
|
Total Foreign Government Securities (Cost $10,836,374) | |
|
|
|
Short-Term Investments 0.6% |
Investment Companies 0.6% |
|
| | State Street Institutional U.S. Government Money Market Fund Premier Class, 5.25%(l) (Cost $4,071,420) | |
Total Investments 100.1% (Cost $801,953,953) | |
Liabilities Less Other Assets (0.1)% | |
| |
See Notes to Financial Statements
Schedule of Investments Core Bond Fund^ (Unaudited) (cont’d)
| Index-linked bond whose principal amount adjusts according to a government retail price index. |
| Principal only security. This security entitles the holder to receive principal payments from an underlying pool of assets or on the security itself. |
| Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At April 30, 2024, these securities amounted to $122,062,037, which represents 16.0% of net assets of the Fund. |
| Variable or floating rate security where the stated interest rate is not based on a published reference rate and spread. Rather, the interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of April 30, 2024. |
| Variable or floating rate security. The interest rate shown was the current rate as of April 30, 2024 and changes periodically. |
| Interest only security. These securities represent the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the "interest only" holding. |
| All or a portion of this security was purchased on a delayed delivery basis. |
| When-issued security. Total value of all such securities at April 30, 2024 amounted to $3,001,548, which represents 0.4% of net assets of the Fund. |
| Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate shown is the rate in effect as of period end. |
| Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer. The date shown reflects the next call date. |
| Represents less than 0.05% of net assets of the Fund. |
| Represents 7-day effective yield as of April 30, 2024. |
| Includes the impact of the Fund’s open positions in derivatives at April 30, 2024. |
See Notes to Financial Statements
Schedule of Investments Core Bond Fund^ (Unaudited) (cont’d)
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Short-Term Investments and Other Liabilities—Net | | |
| | |
See Notes to Financial Statements
Schedule of Investments Core Bond Fund^ (Unaudited) (cont’d)
Derivative Instruments
Futures contracts ("futures")
At April 30, 2024, open positions in futures for the Fund were as follows:
| | | | Value and
Unrealized
Appreciation/
(Depreciation) |
| | | | |
| | U.S. Treasury Note, 2 Year | | |
| | U.S. Treasury Note, 5 Year | | |
| | | | |
| | |
| | | | Value and
Unrealized
Appreciation/
(Depreciation) |
| | U.S. Treasury Note, 10 Year | | |
| | U.S. Treasury Note, Ultra 10 Year | | |
| | |
|
| |
At April 30, 2024, the Fund had $1,119,331 deposited in a segregated account to cover margin requirements on open futures.
For the six months ended April 30, 2024, the average notional value for the months where the Fund had futures outstanding was $94,506,060 for long positions and $(20,619,866) for short positions.
The following is a summary, categorized by Level (see Note A of the Notes to Financial Statements), of inputs used to value the Fund’s investments as of April 30, 2024:
| | | | |
| | | | |
U.S. Treasury Obligations | | | | |
U.S. Government Agency Securities | | | | |
Mortgage-Backed Securities# | | | | |
| | | | |
| | | | |
Foreign Government Securities | | | | |
| | | | |
| | | | |
| The Schedule of Investments provides information on the industry or sector categorization as well as a Positions by Country summary. |
See Notes to Financial Statements
Schedule of Investments Core Bond Fund^ (Unaudited) (cont’d)
The following is a summary, categorized by Level (see Note A of the Notes to Financial Statements), of inputs used to value the Fund’s derivatives as of April 30, 2024:
Other Financial Instruments | | | | |
|
|
|
|
|
| | | | |
| | | | |
| | | | |
| Futures are reported at the cumulative unrealized appreciation/(depreciation) of the instrument. |
^
A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Financial Statements
Schedule of Investments Emerging Markets Debt Fund^ (Unaudited) April 30, 2024
| |
|
| |
|
| | Transportadora de Gas del Sur SA, 6.75%, due 5/2/2025 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
|
| | Southern Gas Corridor CJSC | |
| | | |
| | | |
| | | |
| |
|
| | Bapco Energies BSCC, 8.38%, due 11/7/2028 | |
| |
|
| | 3R Lux SARL, 9.75%, due 2/5/2031 | |
| | Aegea Finance SARL, 9.00%, due 1/20/2031 | |
| | Banco BTG Pactual SA, 6.25%, due 4/8/2029 | |
| | Banco do Brasil SA, 8.75%, due 10/15/2024 | |
| | Braskem Netherlands Finance BV, 4.50%, due 1/31/2030 | |
| | BRF SA, 4.88%, due 1/24/2030 | |
| | CSN Resources SA, 4.63%, due 6/10/2031 | |
| | FS Luxembourg SARL, 8.88%, due 2/12/2031 | |
| | Guara Norte SARL, 5.20%, due 6/15/2034 | |
| | Klabin Austria GmbH, 3.20%, due 1/12/2031 | |
| | MARB BondCo PLC, 3.95%, due 1/29/2031 | |
| | MC Brazil Downstream Trading SARL, 7.25%, due 6/30/2031 | |
| | Minerva Luxembourg SA, 4.38%, due 3/18/2031 | |
| | Movida Europe SA, 7.85%, due 4/11/2029 | |
| | MV24 Capital BV, 6.75%, due 6/1/2034 | |
| | Nexa Resources SA, 6.75%, due 4/9/2034 | |
| | Petrobras Global Finance BV, 5.50%, due 6/10/2051 | |
| | Raizen Fuels Finance SA, 6.95%, due 3/5/2054 | |
| | Rede D'or Finance SARL, 4.50%, due 1/22/2030 | |
| | | |
| | 9.00% Cash/0.50% PIK, due 6/30/2031 | |
| | 9.00% Cash/0.50% PIK, due 6/30/2031 | |
| | St. Mary's Cement, Inc., 5.75%, due 4/2/2034 | |
| | Suzano Austria GmbH, 3.75%, due 1/15/2031 | |
| | Vale Overseas Ltd., 6.88%, due 11/21/2036 | |
| | | |
| |
|
| | Agrosuper SA, 4.60%, due 1/20/2032 | |
| | Antofagasta PLC, 5.63%, due 5/13/2032 | |
| | Banco de Chile, 2.99%, due 12/9/2031 | |
| | Banco de Credito e Inversiones SA, 8.75%, due 2/8/2029 | |
| | Banco Santander Chile, 3.18%, due 10/26/2031 | |
See Notes to Financial Statements
Schedule of Investments Emerging Markets Debt Fund^ (Unaudited) (cont’d)
| |
| |
|
| | Celulosa Arauco y Constitucion SA, 5.15%, due 1/29/2050 | |
| | Cencosud SA, 4.38%, due 7/17/2027 | |
| | Corp. Nacional del Cobre de Chile, 3.70%, due 1/30/2050 | |
| | Empresa Nacional del Petroleo, 3.45%, due 9/16/2031 | |
| | | |
| | | |
| | | |
| | VTR Finance NV, 6.38%, due 7/15/2028 | |
| | | |
| |
|
| | | |
| | | |
| | | |
| | China Hongqiao Group Ltd., 6.25%, due 6/8/2024 | |
| | China Overseas Finance Cayman VI Ltd., 5.95%, due 5/8/2024 | |
| | ENN Clean Energy International Investment Ltd., 3.38%, due 5/12/2026 | |
| | Franshion Brilliant Ltd., 4.25%, due 7/23/2029 | |
| | Huarong Finance 2017 Co. Ltd., 4.25%, due 11/7/2027 | |
| | Lenovo Group Ltd., 3.42%, due 11/2/2030 | |
| | | |
| | | |
| | | |
| | | |
| | SF Holding Investment 2021 Ltd., 3.13%, due 11/17/2031 | |
| | Tencent Holdings Ltd., 3.68%, due 4/22/2041 | |
| | | |
| |
|
| | Banco Davivienda SA, 6.65%, due 4/22/2031 | |
| | Bancolombia SA, 4.63%, due 12/18/2029 | |
| | | |
| | | |
| | | |
| | | |
| | Empresas Publicas de Medellin ESP | |
| | | |
| | | |
| | Financiera de Desarrollo Territorial SA Findeter, 7.88%, due 8/12/2024 | |
| | Grupo Aval Ltd., 4.38%, due 2/4/2030 | |
| | Grupo de Inversiones Suramericana SA, 5.50%, due 4/29/2026 | |
| | SierraCol Energy Andina LLC, 6.00%, due 6/15/2028 | |
| | | |
| |
|
| | Kosmos Energy Ltd., 7.13%, due 4/4/2026 | |
| | Tullow Oil PLC, 10.25%, due 5/15/2026 | |
| | | |
| |
|
| | Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL | |
| | | |
| | | |
See Notes to Financial Statements
Schedule of Investments Emerging Markets Debt Fund^ (Unaudited) (cont’d)
| |
| |
|
| | CT Trust, 5.13%, due 2/3/2032 | |
| | Investment Energy Resources Ltd., 6.25%, due 4/26/2029 | |
| | Millicom International Cellular SA, 6.25%, due 3/25/2029 | |
| | | |
| |
|
| | | |
| | | |
| | | |
| | FWD Group Holdings Ltd., 6.38%, due 9/13/2024 | |
| | Melco Resorts Finance Ltd., 5.75%, due 7/21/2028 | |
| | Prudential Funding Asia PLC, 2.95%, due 11/3/2033 | |
| | Sun Hung Kai Properties Capital Market Ltd., 2.88%, due 1/21/2030 | |
| | | |
| |
|
| | Adani Ports & Special Economic Zone Ltd., 4.20%, due 8/4/2027 | |
| | Axis Bank Ltd./Gandhinagar, 4.10%, due 9/8/2026 | |
| | Greenko Dutch BV, 3.85%, due 3/29/2026 | |
| | HDFC Bank Ltd., 3.70%, due 8/25/2026 | |
| | Indian Railway Finance Corp. Ltd., 3.25%, due 2/13/2030 | |
| | JSW Steel Ltd., 5.05%, due 4/5/2032 | |
| | Network i2i Ltd., 5.65%, due 1/15/2025 | |
| | Power Finance Corp. Ltd., 3.95%, due 4/23/2030 | |
| | Reliance Industries Ltd., 2.88%, due 1/12/2032 | |
| | ReNew Wind Energy AP2/ReNew Power Pvt Ltd. other 9 Subsidiaries, 4.50%, due 7/14/2028 | |
| | Vedanta Resources Finance II PLC, 13.88%, due 12/9/2028 | |
| | | |
| |
|
| | Bank Negara Indonesia Persero Tbk. PT | |
| | | |
| | | |
| | Indofood CBP Sukses Makmur Tbk. PT, 3.54%, due 4/27/2032 | |
| | Medco Oak Tree Pte. Ltd., 7.38%, due 5/14/2026 | |
| | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
|
| | Bank Leumi Le-Israel BM, 3.28%, due 1/29/2031 | |
| | Energean Israel Finance Ltd. | |
| | | |
| | | |
| | Teva Pharmaceutical Finance Netherlands III BV | |
| | | |
| | | |
| | | |
See Notes to Financial Statements
Schedule of Investments Emerging Markets Debt Fund^ (Unaudited) (cont’d)
| |
| |
|
| | KazMunayGas National Co. JSC | |
| | | |
| | | |
| | | |
| | Tengizchevroil Finance Co. International Ltd., 3.25%, due 8/15/2030 | |
| | | |
| |
|
| | Hanwha Life Insurance Co. Ltd., 3.38%, due 2/4/2032 | |
| | Kookmin Bank, 2.50%, due 11/4/2030 | |
| | Kyobo Life Insurance Co. Ltd., 5.90%, due 6/15/2052 | |
| | Shinhan Bank Co. Ltd., 4.38%, due 4/13/2032 | |
| | | |
| | | |
| | | |
| | | |
| |
|
| | MEGlobal BV, 2.63%, due 4/28/2028 | |
| | MEGlobal Canada ULC, 5.88%, due 5/18/2030 | |
| | NBK Tier 1 Financing 2 Ltd., 4.50%, due 8/27/2025 | |
| | | |
| |
|
| | Altice Financing SA, 5.75%, due 8/15/2029 | |
| |
|
| | Sands China Ltd., 5.40%, due 8/8/2028 | |
| | Studio City Finance Ltd., 6.50%, due 1/15/2028 | |
| | Wynn Macau Ltd., 5.63%, due 8/26/2028 | |
| | | |
| |
|
| | Axiata Spv5 Labuan Ltd., 3.06%, due 8/19/2050 | |
| | TNB Global Ventures Capital Bhd., 4.85%, due 11/1/2028 | |
| | | |
| |
|
| | Alfa SAB de CV, 6.88%, due 3/25/2044 | |
| | America Movil SAB de CV, 3.63%, due 4/22/2029 | |
| | Banco Mercantil del Norte SA | |
| | | |
| | | |
| | BBVA Bancomer SA, 8.13%, due 1/8/2039 | |
| | Bimbo Bakeries USA, Inc., 5.38%, due 1/9/2036 | |
| | Braskem Idesa SAPI, 7.45%, due 11/15/2029 | |
| | Buffalo Energy Mexico Holdings/Buffalo Energy Infrastructure/Buffalo Energy, 7.88%, due 2/15/2039 | |
| | | |
| | | |
| | | |
| | Cibanco SA Ibm/PLA Administradora Industrial S de Real de CV, 4.96%, due 7/18/2029 | |
| | Comision Federal de Electricidad | |
| | | |
See Notes to Financial Statements
Schedule of Investments Emerging Markets Debt Fund^ (Unaudited) (cont’d)
| |
| |
|
| | | |
| | | |
| | Orbia Advance Corp. SAB de CV, 5.88%, due 9/17/2044 | |
| | | |
| | | |
| | | |
| | Trust Fibra Uno, 7.38%, due 2/13/2034 | |
| | | |
| |
|
| | IHS Netherlands Holdco BV, 8.00%, due 9/18/2027 | |
| | SEPLAT Energy PLC, 7.75%, due 4/1/2026 | |
| | | |
| |
|
| | Bank Muscat SAOG, 4.75%, due 3/17/2026 | |
| | Oztel Holdings SPC Ltd., 6.63%, due 4/24/2028 | |
| | | |
| |
|
| | Empresa de Transmision Electrica SA, 5.13%, due 5/2/2049 | |
| | Telecomunicaciones Digitales SA, 4.50%, due 1/30/2030 | |
| | | |
| |
|
| | Telefonica Celular del Paraguay SA, 5.88%, due 4/15/2027 | |
| |
|
| | Banco de Credito del Peru SA, 3.13%, due 7/1/2030 | |
| | Cia de Minas Buenaventura SAA, 5.50%, due 7/23/2026 | |
| | Hunt Oil Co. of Peru LLC Sucursal Del Peru, 8.55%, due 9/18/2033 | |
| | Minsur SA, 4.50%, due 10/28/2031 | |
| | | |
| | | |
| | | |
| | | |
| |
|
| | Globe Telecom, Inc., 4.20%, due 8/2/2026 | |
| |
|
| | | |
| | | |
| | | |
| | Commercial Bank PSQC, 4.50%, due 3/3/2026 | |
| | Ooredoo International Finance Ltd., 2.63%, due 4/8/2031 | |
| | | |
| | | |
| | | |
| | QNB Finance Ltd., 2.63%, due 5/12/2025 | |
| | | |
| |
|
| | Vnesheconombank Via VEB Finance PLC, 6.80%, due 11/22/2025 | |
See Notes to Financial Statements
Schedule of Investments Emerging Markets Debt Fund^ (Unaudited) (cont’d)
| |
| |
|
| | BSF Finance, 5.50%, due 11/23/2027 | |
| | EIG Pearl Holdings SARL, 4.39%, due 11/30/2046 | |
| | | |
| | | |
| | | |
| | | |
| |
|
| | United Overseas Bank Ltd., 2.00%, due 10/14/2031 | |
| |
|
| | Anglo American Capital PLC, 3.88%, due 3/16/2029 | |
| | Bidvest Group U.K. PLC, 3.63%, due 9/23/2026 | |
| | Sasol Financing USA LLC, 8.75%, due 5/3/2029 | |
| | | |
| |
|
| | Africa Finance Corp., 2.88%, due 4/28/2028 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Asian Infrastructure Investment Bank, 0.00%, due 2/8/2038 | |
| | Banque Ouest Africaine de Developpement | |
| | | |
| | | |
| | International Bank for Reconstruction & Development | |
| | | |
| | | |
| | International Finance Corp., 0.00%, due 8/16/2028 | |
| | | |
| |
|
| | Consolidated Energy Finance SA, 12.00%, due 2/15/2031 | |
| |
|
| | TSMC Arizona Corp., 4.25%, due 4/22/2032 | |
| |
|
| | | |
| | | |
| | | |
| | | |
| | Kasikornbank PCL, 3.34%, due 10/2/2031 | |
| | Thaioil Treasury Center Co. Ltd., 3.75%, due 6/18/2050 | |
| | | |
| |
|
| | Akbank TAS, 9.37%, due 3/14/2029 | |
| | Turk Telekomunikasyon AS, 4.88%, due 6/19/2024 | |
| | Turkiye Vakiflar Bankasi TAO | |
| | | |
| | | |
See Notes to Financial Statements
Schedule of Investments Emerging Markets Debt Fund^ (Unaudited) (cont’d)
| |
| |
|
| | WE Soda Investments Holding PLC, 9.50%, due 10/6/2028 | |
| | | |
| | | |
| | | |
| | | |
| |
|
| | NAK Naftogaz Ukraine via Kondor Finance PLC, 7.13%, due 7/19/2026 | |
United Arab Emirates 1.4% | |
|
| | Abu Dhabi Commercial Bank PJSC, 4.50%, due 9/14/2027 | |
| | Abu Dhabi Crude Oil Pipeline LLC, 4.60%, due 11/2/2047 | |
| | Abu Dhabi National Energy Co. PJSC, 2.00%, due 4/29/2028 | |
| | DIB Sukuk Ltd., 2.95%, due 1/16/2026 | |
| | DP World Ltd., 6.85%, due 7/2/2037 | |
| | Emirates NBD Bank PJSC, 6.13%, due 3/20/2025 | |
| | Galaxy Pipeline Assets Bidco Ltd. | |
| | | |
| | | |
| | Shelf Drilling Holdings Ltd., 9.63%, due 4/15/2029 | |
| | | |
| |
|
| | CK Hutchison International 23 Ltd., 4.88%, due 4/21/2033 | |
| | CK Hutchison International 24 Ltd., 5.50%, due 4/26/2034 | |
| | Standard Chartered PLC, 6.30%, due 7/6/2034 | |
| | | |
| |
|
| | Petroleos de Venezuela SA | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
|
| | First Quantum Minerals Ltd. | |
| | | |
| | | |
| | | |
|
Total Corporate Bonds (Cost $48,135,640) | |
Foreign Government Securities 63.2% |
| |
|
| | Angolan Government International Bonds | |
| | | |
| | | |
| | | |
| | | |
See Notes to Financial Statements
Schedule of Investments Emerging Markets Debt Fund^ (Unaudited) (cont’d)
| |
| |
|
| | Argentine Republic Government International Bonds | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Provincia de Buenos Aires/Government Bonds, 4.50%, due 9/1/2037 | |
| | | |
| |
|
| | Republic of Armenia International Bonds, 3.60%, due 2/2/2031 | |
| |
|
| | Republic of Azerbaijan International Bonds | |
| | | |
| | | |
| | State Oil Co. of the Azerbaijan Republic | |
| | | |
| | | |
| | | |
| |
|
| | Bahamas Government International Bonds, 6.00%, due 11/21/2028 | |
| |
|
| | Benin Government International Bonds, 4.95%, due 1/22/2035 | |
| |
|
| | Bermuda Government International Bonds | |
| | | |
| | | |
| | | |
| |
|
| | Brazil Government International Bonds | |
| | | |
| | | |
| | | |
| | Brazil Letras do Tesouro Nacional, 9.59%, due 7/1/2025 | |
| | Brazil Minas SPE via State of Minas Gerais, 5.33%, due 2/15/2028 | |
| | Brazil Notas do Tesouro Nacional | |
| | | |
| | | |
| | | |
| | | |
| | | |
Cameroon, Republic of 0.1% | |
|
| | Republic of Cameroon International Bonds, 5.95%, due 7/7/2032 | |
| |
|
| | Bonos de la Tesoreria de la Republica, 1.90%, due 9/1/2030 | |
| | Bonos de la Tesoreria de la Republica en pesos | |
| | | |
| | | |
See Notes to Financial Statements
Schedule of Investments Emerging Markets Debt Fund^ (Unaudited) (cont’d)
| |
| |
|
| | | |
| | | |
| | | |
| | | |
| | Chile Government International Bonds | |
| | | |
| | | |
| | | |
| |
|
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
|
| | Colombia Government International Bonds | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
See Notes to Financial Statements
Schedule of Investments Emerging Markets Debt Fund^ (Unaudited) (cont’d)
| |
| |
|
| | Costa Rica Government International Bonds | |
| | | |
| | | |
| | | |
| | | |
| |
|
| | Ivory Coast Government International Bonds | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
|
| | Czech Republic Government Bonds | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
|
| | Dominican Republic International Bonds | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
|
| | Ecuador Government International Bonds | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
See Notes to Financial Statements
Schedule of Investments Emerging Markets Debt Fund^ (Unaudited) (cont’d)
| |
| |
|
| | Egypt Government International Bonds | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
|
| | El Salvador Government International Bonds | |
| | | |
| | | |
| | | |
| |
|
| | Ethiopia International Bonds, 6.63%, due 12/11/2024 | |
| |
|
| | Ghana Government International Bonds | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Republic of Ghana Government Bonds | |
| | 5.00% Cash/3.35% PIK, due 2/16/2027 | |
| | 5.00% Cash/3.50% PIK, due 2/15/2028 | |
| | 5.00% Cash/3.65% PIK, due 2/13/2029 | |
| | 5.00% Cash/3.80% PIK, due 2/12/2030 | |
| | 5.00% Cash/3.95% PIK, due 2/11/2031 | |
| | 5.00% Cash/4.10% PIK, due 2/10/2032 | |
| | 5.00% Cash/4.25% PIK, due 2/8/2033 | |
| | | |
| |
|
| | Guatemala Government Bonds | |
| | | |
| | | |
| | | |
| |
|
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
See Notes to Financial Statements
Schedule of Investments Emerging Markets Debt Fund^ (Unaudited) (cont’d)
| |
| |
|
| | | |
| | | |
| | | |
| | | |
| | | |
| |
|
| | Indonesia Government International Bonds | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
|
| | Israel Government International Bonds | |
| | | |
| | | |
| | | |
| |
|
| | Kazakhstan Government International Bonds, 1.50%, due 9/30/2034 | |
| |
|
| | Republic of Kenya Infrastructure Bonds, 18.46%, due 8/9/2032 | |
| |
|
| | Lebanon Government International Bonds | |
| | | |
| | | |
| | | |
| | | |
See Notes to Financial Statements
Schedule of Investments Emerging Markets Debt Fund^ (Unaudited) (cont’d)
| |
| |
|
| | | |
| | | |
| |
|
| | Malaysia Government Bonds | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Malaysia Government Investment Issue | |
| | | |
| | | |
| | | |
| |
|
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Mexico Government International Bonds | |
| | | |
| | | |
| | | |
| |
|
| | Mongolia Government International Bonds, 3.50%, due 7/7/2027 | |
| |
|
| | Morocco Government International Bonds, 3.00%, due 12/15/2032 | |
| |
|
| | Nigeria Government International Bonds | |
| | | |
| | | |
See Notes to Financial Statements
Schedule of Investments Emerging Markets Debt Fund^ (Unaudited) (cont’d)
| |
| |
|
| | | |
| | | |
| | | |
| |
|
| | Oman Government International Bonds | |
| | | |
| | | |
| | | |
| |
|
| | Panama Government International Bonds | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
|
| | Papua New Guinea Government International Bonds, 8.38%, due 10/4/2028 | |
| |
|
| | Paraguay Government International Bonds, 6.10%, due 8/11/2044 | |
| |
|
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Peruvian Government International Bonds | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
|
| | Philippine Government International Bonds, 1.75%, due 4/28/2041 | |
| | Philippines Government Bonds | |
| | | |
| | | |
| | | |
| | | |
| |
|
| | Bank Gospodarstwa Krajowego, 5.13%, due 2/22/2033 | |
| | Republic of Poland Government Bonds | |
| | | |
| | | |
| | | |
| | | |
See Notes to Financial Statements
Schedule of Investments Emerging Markets Debt Fund^ (Unaudited) (cont’d)
| |
| |
|
| | | |
| | | |
| | | |
| | | |
| | | |
| | Republic of Poland Government International Bonds | |
| | | |
| | | |
| | | |
| | | |
| |
|
| | Qatar Government International Bonds, 4.82%, due 3/14/2049 | |
| |
|
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Romania Government International Bonds | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
|
| | Senegal Government International Bonds, 5.38%, due 6/8/2037 | |
| |
|
| | Serbia International Bonds | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
See Notes to Financial Statements
Schedule of Investments Emerging Markets Debt Fund^ (Unaudited) (cont’d)
| |
| |
|
| | Republic of South Africa Government Bonds | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Republic of South Africa Government International Bonds | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
|
| | Sri Lanka Government Bonds, 11.50%, due 12/15/2028 | |
| | Sri Lanka Government International Bonds | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Sri Lanka Treasury Bills, 9.60%, due 9/20/2024 | |
| | | |
| |
|
| | Thailand Government Bonds | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
|
| | Hazine Mustesarligi Varlik Kiralama AS, 8.51%, due 1/14/2029 | |
| | | |
| | | |
| | | |
| | | |
| | Turkiye Government International Bonds | |
| | | |
See Notes to Financial Statements
Schedule of Investments Emerging Markets Debt Fund^ (Unaudited) (cont’d)
| |
| |
|
| | | |
| | | |
| | | |
| |
|
| | Republic of Uganda Government Bonds | |
| | | |
| | | |
| | | |
| |
|
| | Ukraine Government International Bonds | |
| | | |
| | | |
| | | |
| | | |
| | | |
| |
|
| | Uruguay Government International Bonds | |
| | | |
| | | |
| | | |
| | | |
| |
|
| | Uzbekneftegaz JSC, 4.75%, due 11/16/2028 | |
| |
|
| | Venezuela Government International Bonds, 8.25%, due 10/13/2024 | |
| |
|
| | Zambia Government Bonds, 13.00%, due 1/25/2031 | |
| | Zambia Government International Bonds | |
| | | |
| | | |
| | | |
| | | |
Total Foreign Government Securities (Cost $100,356,404) | |
U.S. Treasury Obligations 1.5% |
|
| | U.S. Treasury Bills, 5.16%, due 10/10/2024 (Cost $2,283,292) | |
See Notes to Financial Statements
Schedule of Investments Emerging Markets Debt Fund^ (Unaudited) (cont’d)
| |
|
Short-Term Investments 4.8% |
Investment Companies 4.8% |
|
| | State Street Institutional U.S. Government Money Market Fund Premier Class, 5.25%(n) (Cost $7,136,286) | |
Total Investments 98.8% (Cost $157,911,622) | |
Other Assets Less Liabilities 1.2% | |
| |
| Principal amount is stated in the currency in which the security is denominated. |
| Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve directed selling efforts in the United States and as such may have restrictions on resale. Total value of all such securities at April 30, 2024 amounted to $44,845,541, which represents 30.0% of net assets of the Fund. |
| Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At April 30, 2024, these securities amounted to $16,961,322, which represents 11.4% of net assets of the Fund. |
| Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate shown is the rate in effect as of period end. |
| Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer. The date shown reflects the next call date. |
| Payment-in-kind (PIK) security. |
| Step Bond. Coupon rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown was the current rate as of April 30, 2024. |
| Represents less than 0.05% of net assets of the Fund. |
| |
| Rate shown was the discount rate at the date of purchase. |
| Index-linked bond whose principal amount adjusts according to a government retail price index. |
| All or a portion of this security was purchased on a delayed delivery basis. |
| Variable or floating rate security. The interest rate shown was the current rate as of April 30, 2024 and changes periodically. |
| Represents 7-day effective yield as of April 30, 2024. |
| Includes the impact of the Fund’s open positions in derivatives at April 30, 2024. |
See Notes to Financial Statements
Schedule of Investments Emerging Markets Debt Fund^ (Unaudited) (cont’d)
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
U.S. Treasury Obligations | | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Diversified Financial Services | | |
| | |
| | |
| | |
| | |
| | |
| | |
Energy - Alternate Sources | | |
| | |
| | |
| | |
| | |
Real Estate Investment Trusts | | |
Engineering & Construction | | |
| | |
| | |
| | |
| | |
Holding Companies - Diversified | | |
| | |
| | |
| | |
| | |
| | |
Short-Term Investments and Other Assets—Net | | |
| | |
| Foreign Governments do not constitute an industry. |
See Notes to Financial Statements
Schedule of Investments Emerging Markets Debt Fund^ (Unaudited) (cont’d)
Derivative Instruments
Futures contracts ("futures")
At April 30, 2024, open positions in futures for the Fund were as follows:
| | | | Value and
Unrealized
Appreciation/
(Depreciation) |
| | | | |
| | | | |
| | | | |
| | U.S. Treasury Note, 10 Year | | |
| | U.S. Treasury Note, 2 Year | | |
| | U.S. Treasury Note, 5 Year | | |
| | | | |
| | |
| | | | Value and
Unrealized
Appreciation/
(Depreciation) |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | U.S. Treasury Note, 10 Year | | |
| | U.S. Treasury Note, 5 Year | | |
| | | | |
| | |
|
| |
At April 30, 2024, the Fund had $802,058 deposited in a segregated account to cover margin requirements on open futures.
For the six months ended April 30, 2024, the average notional value for the months where the Fund had futures outstanding was $20,093,298 for long positions and $(11,614,980) for short positions.
Forward foreign currency contracts ("forward FX contracts")
At April 30, 2024, open forward FX contracts for the Fund were as follows:
| | | | Net
Unrealized
Appreciation/
(Depreciation) |
| | | | | | |
| | | | | | |
See Notes to Financial Statements
Schedule of Investments Emerging Markets Debt Fund^ (Unaudited) (cont’d)
| | | | Net Unrealized Appreciation/ (Depreciation) |
| | | | | | |
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See Notes to Financial Statements
Schedule of Investments Emerging Markets Debt Fund^ (Unaudited) (cont’d)
| | | | Net Unrealized Appreciation/ (Depreciation) |
| | | | | | |
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| | | | | | |
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See Notes to Financial Statements
Schedule of Investments Emerging Markets Debt Fund^ (Unaudited) (cont’d)
| | | | Net Unrealized Appreciation/ (Depreciation) |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
Total unrealized appreciation |
| |
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See Notes to Financial Statements
Schedule of Investments Emerging Markets Debt Fund^ (Unaudited) (cont’d)
| | | | Net Unrealized Appreciation/ (Depreciation) |
| | | | | | |
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See Notes to Financial Statements
Schedule of Investments Emerging Markets Debt Fund^ (Unaudited) (cont’d)
| | | | Net Unrealized Appreciation/ (Depreciation) |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
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| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
Total unrealized depreciation |
| |
Total net unrealized depreciation |
| |
For the six months ended April 30, 2024, the average notional value for the months where the Fund had forward FX contracts outstanding was $137,422,603.
See Notes to Financial Statements
Schedule of Investments Emerging Markets Debt Fund^ (Unaudited) (cont’d)
Credit default swap contracts ("credit default swaps")
At April 30, 2024, the Fund had outstanding credit default swaps as follows:
Centrally Cleared Credit Default Swaps — Buy Protection |
| | | Financing
Rate
Paid
by
the Fund | | | Upfront
Payments/
(Receipts) | Unrealized
Appreciation/
(Depreciation) | Accrued
Net
Interest
Receivable/
(Payable) | |
| CDX Emerging
Markets Index,
Ser. 41 V.1 | | | | | | | | | |
For the six months ended April 30, 2024, the average notional value for the months where the Fund had credit default swaps outstanding was $3,068,915 for buy protection.
Interest rate swap contracts ("interest rate swaps")
At April 30, 2024, the Fund had outstanding interest rate swaps as follows:
Centrally cleared interest rate swaps
| | Fund
Receives/
Pays
Floating
Rate | | | | Frequency
of Fund
Receipt/
Payment | | Unrealized
Appreciation/
(Depreciation) | Accrued
Net
Interest
Receivable/
(Payable) | |
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See Notes to Financial Statements
Schedule of Investments Emerging Markets Debt Fund^ (Unaudited) (cont’d)
| | Fund Receives/ Pays Floating Rate | | | | Frequency of Fund Receipt/ Payment | | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | |
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| Forward swap. Effective date, if any, reflects the date interest accruals will commence. |
At April 30, 2024, the Fund had $960,274 deposited in a segregated account to cover margin requirements for centrally cleared swaps.
Over-the-counter interest rate swaps
| | Fund
Receives/
Pays
Floating
Rate | | | Frequency
of Fund
Receipt/
Payment | | Unrealized
Appreciation/
(Depreciation) | Accrued
Net
Interest
Receivable/
(Payable) | |
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For the six months ended April 30, 2024, the average notional value for the months where the Fund had interest rate swaps outstanding was $6,644,225 when the Fund paid the fixed rate and $20,373,272 when the Fund received the fixed rate.
At April 30, 2024, the Fund had cash collateral of $250,000 deposited in a segregated account for Goldman Sachs International to cover collateral requirements on over-the-counter derivatives.
See Notes to Financial Statements
Schedule of Investments Emerging Markets Debt Fund^ (Unaudited) (cont’d)
The following is a summary, categorized by Level (see Note A of the Notes to Financial Statements), of inputs used to value the Fund’s investments as of April 30, 2024:
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Foreign Government Securities# | | | | |
U.S. Treasury Obligations | | | | |
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| The Schedule of Investments provides a geographic categorization as well as a Positions by Industry summary. |
The following is a summary, categorized by Level (see Note A of the Notes to Financial Statements), of inputs used to value the Fund’s derivatives as of April 30, 2024:
Other Financial Instruments | | | | |
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| Futures and forward FX contracts are reported at the cumulative unrealized appreciation/(depreciation) of the instrument. |
^
A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Financial Statements
Schedule of Investments Floating Rate Income Fund^ (Unaudited) April 30, 2024
| |
Mortgage-Backed Securities 0.2% |
Commercial Mortgage-Backed 0.2% |
| Med Trust, Series 2021-MDLN, Class F, (1 mo. USD Term SOFR + 4.11%), 9.44%, due 11/15/2038 (Cost $994,965) | |
Asset-Backed Securities 0.8% |
| 37 Capital CLO 1 Ltd., Series 2021-1A, Class E, (3 mo. USD Term SOFR + 7.46%), 12.79%, due 10/15/2034 | |
| Galaxy XV CLO Ltd., Series 2013-15A, Class ER, (3 mo. USD Term SOFR + 6.91%), 12.24%, due 10/15/2030 | |
| Palmer Square Loan Funding Ltd., Series 2022-1A, Class D, (3 mo. USD Term SOFR + 5.00%), 10.33%, due 4/15/2030 | |
| Stratus CLO Ltd., Series 2021-3A, Class F, (3 mo. USD Term SOFR + 7.96%), 13.29%, due 12/29/2029 | |
Total Asset-Backed Securities (Cost $3,668,315) | |
|
|
|
| American Airlines, Inc./AAdvantage Loyalty IP Ltd. | |
| | |
| | |
| | |
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| SCIH Salt Holdings, Inc., 4.88%, due 5/1/2028 | |
| SCIL IV LLC/SCIL USA Holdings LLC, 5.38%, due 11/1/2026 | |
| WR Grace Holdings LLC, 4.88%, due 6/15/2027 | |
| | |
|
| Garda World Security Corp., 4.63%, due 2/15/2027 | |
| Prime Security Services Borrower LLC/Prime Finance, Inc. | |
| | |
| | |
| | |
|
| Raptor Acquisition Corp./Raptor Co.-Issuer LLC, 4.88%, due 11/1/2026 | |
Environmental Control 0.1% |
| Madison IAQ LLC, 4.13%, due 6/30/2028 | |
Forest Products & Paper 0.1% |
| Ahlstrom Holding 3 Oyj, 4.88%, due 2/4/2028 | |
Healthcare - Services 0.4% |
| Legacy LifePoint Health LLC, 4.38%, due 2/15/2027 | |
| Team Health Holdings, Inc., 9.00% Cash/4.50% PIK, due 6/30/2028 | |
| | |
|
| NCL Corp. Ltd., 5.88%, due 2/15/2027 | |
See Notes to Financial Statements
Schedule of Investments Floating Rate Income Fund^ (Unaudited) (cont’d)
| |
|
Machinery - Diversified 0.2% |
| TK Elevator U.S. Newco, Inc., 5.25%, due 7/15/2027 | |
|
| Altice Financing SA, 5.00%, due 1/15/2028 | |
| Cumulus Media New Holdings, Inc., 6.75%, due 7/1/2026 | |
| | |
Packaging & Containers 0.2% |
| Trivium Packaging Finance BV, 5.50%, due 8/15/2026 | |
|
| Bausch Health Cos., Inc., 5.50%, due 11/1/2025 | |
|
| Cheniere Energy, Inc., 4.63%, due 10/15/2028 | |
|
| Rackspace Finance LLC, 3.50%, due 5/15/2028 | |
|
| Altice France SA, 5.50%, due 1/15/2028 | |
| Connect Finco SARL/Connect U.S. Finco LLC, 6.75%, due 10/1/2026 | |
| Consolidated Communications, Inc., 5.00%, due 10/1/2028 | |
| | |
| | |
| | |
| | |
Total Corporate Bonds (Cost $16,818,679) | |
|
Loan Assignments(b) 88.8% |
|
| Brown Group Holding LLC, Term Loan B2, (1 mo. USD Term SOFR + 3.00%, 3 mo. USD Term SOFR + 3.00%), 8.32% – 8.34%, due 7/2/2029 | |
| Cobham Ultra SeniorCo SARL, Term Loan B, (6 mo. USD Term SOFR + 3.50%), 9.01%, due 8/3/2029 | |
| | |
| Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.17%, due 2/1/2028 | |
| Second Lien Term Loan B1, (3 mo. USD Term SOFR + 7.75%), 13.18%, due 2/1/2029 | |
| Propulsion (BC) Finco SARL, Term Loan, (3 mo. USD Term SOFR + 3.75%), 9.06%, due 9/14/2029 | |
| TransDigm, Inc., Term Loan J, (1 mo. USD Term SOFR + 3.25%), 8.56%, due 2/28/2031 | |
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| American Airlines, Inc., Term Loan, (3 mo. USD Term SOFR + 4.75%), 10.34%, due 4/20/2028 | |
Auto Parts & Equipment 0.5% |
| BBB Industries LLC, Term Loan, (1 mo. USD Term SOFR + 5.25%), 10.67%, due 7/25/2029 | |
| Dealer Tire Financial LLC, Term Loan B3, (1 mo. USD Term SOFR + 3.75%), 9.07% – 9.07%, due 12/14/2027 | |
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|
| American Trailer World Corp., Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.17%, due 3/3/2028 | |
| | |
| Term Loan, (3 mo. USD Term SOFR + 5.00%), 10.59%, due 3/30/2027 | |
See Notes to Financial Statements
Schedule of Investments Floating Rate Income Fund^ (Unaudited) (cont’d)
| |
|
|
| Second Lien Term Loan, (3 mo. USD Term SOFR + 8.50%), 14.14%, due 3/30/2028 | |
| Wand NewCo 3, Inc., Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.07%, due 1/30/2031 | |
| | |
Building & Development 3.3% |
| Beacon Roofing Supply, Inc., Term Loan B, (1 mo. USD Term SOFR + 2.00%), 7.32%, due 5/19/2028 | |
| Cornerstone Building Brands, Inc., Term Loan B, (1 mo. USD Term SOFR + 3.25%), 8.67%, due 4/12/2028 | |
| Cushman & Wakefield U.S. Borrower LLC, Term Loan, (1 mo. USD Term SOFR + 3.75%), 9.07%, due 1/31/2030 | |
| GYP Holdings III Corp., Term Loan, (1 mo. USD Term SOFR + 2.25%), 7.57%, due 5/12/2030 | |
| MI Windows & Doors LLC, Term Loan B2, (1 mo. USD Term SOFR), due 3/28/2031 | |
| | |
| Term Loan, (1 mo. USD Term SOFR + 3.25%), 8.67%, due 6/2/2028 | |
| Term Loan B, (1 mo. USD Term SOFR + 3.50%), 8.93%, due 6/2/2028 | |
| | |
| Term Loan, (1 mo. USD Term SOFR + 4.00%), 9.43%, due 4/10/2028 | |
| Term Loan B, (1 mo. USD Term SOFR + 4.25%), 9.68%, due 4/10/2028 | |
| White Cap Buyer LLC, Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.07%, due 10/19/2027 | |
| Wilsonart LLC, Term Loan E, (3 mo. USD Term SOFR + 3.25%), 8.65%, due 12/31/2026 | |
| | |
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| Term Loan B, (1 mo. USD Term SOFR + 3.25%), 8.67%, due 11/3/2028 | |
| Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.07%, due 11/3/2028 | |
| Emrld Borrower LP, Term Loan B, (1 mo. USD Term SOFR + 2.50%), 7.82%, due 5/31/2030 | |
| Oscar AcquisitionCo LLC, Term Loan B, (3 mo. USD Term SOFR + 4.50%), 9.90%, due 4/29/2029 | |
| Solis IV BV, Term Loan B1, (3 mo. USD Term SOFR + 3.50%), 8.82%, due 2/26/2029 | |
| Vector WP Holdco, Inc., Term Loan B, (1 mo. USD Term SOFR + 5.00%), 10.43%, due 10/12/2028 | |
| | |
Business Equipment & Services 6.6% |
| Allied Universal Holdco LLC, Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.17%, due 5/12/2028 | |
| Anticimex International AB, Term Loan B1, (3 mo. USD Term SOFR + 3.15%), 8.46%, due 11/16/2028 | |
| | |
| Term Loan, (1 mo. USD Term SOFR + 2.50%), 7.82%, due 10/25/2028 | |
| Term Loan, (1 mo. USD Term SOFR + 2.50%), 7.82%, due 8/16/2030 | |
| BrightView Landscapes LLC, Term Loan B, (3 mo. USD Term SOFR + 3.00%), 8.33%, due 4/20/2029 | |
| Brock Holdings III, Inc., Term Loan B, (1 mo. USD Term SOFR), due 4/26/2030 | |
| Cast & Crew Payroll LLC, First Lien Term Loan, (1 mo. USD Term SOFR + 3.75%), due 12/29/2028 | |
| | |
| Term Loan, (3 mo. USD Term SOFR + 4.00%), 9.56%, due 2/10/2028 | |
| Term Loan, (3 mo. USD Term SOFR + 4.00%), 9.57%, due 2/10/2028 | |
| ConvergeOne Holdings, Inc., Second Lien Term Loan, (3 mo. USD Term LIBOR + 7.50%), 16.00%, due 1/4/2027 | |
| Cyxtera DC Holdings, Inc., Term Loan B, (3 mo. USD Term SOFR + 2.00%), 10.50%, due 1/16/2025 | |
| Deerfield Dakota Holding LLC | |
| Term Loan B, (3 mo. USD Term SOFR + 3.75%), 9.06%, due 4/9/2027 | |
| Second Lien Term Loan, (3 mo. USD Term SOFR + 6.75%), 12.32%, due 4/7/2028 | |
| Element Materials Technology Group U.S. Holdings, Inc. | |
| Term Loan, (3 mo. USD Term SOFR + 4.25%), 9.66%, due 7/6/2029 | |
See Notes to Financial Statements
Schedule of Investments Floating Rate Income Fund^ (Unaudited) (cont’d)
| |
|
Business Equipment & Services – cont'd |
| Term Loan, (3 mo. USD Term SOFR + 4.25%), 9.66%, due 7/6/2029 | |
| Endure Digital, Inc., Term Loan, (1 mo. USD Term SOFR + 3.50%), 8.94%, due 2/10/2028 | |
| Garda World Security Corp., Term Loan B, (3 mo. USD Term SOFR + 4.25%), 9.58%, due 2/1/2029 | |
| Genesys Cloud Services Holdings II LLC, Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.18%, due 12/1/2027 | |
| ION Trading Finance Ltd., Term Loan, (3 mo. USD Term SOFR + 4.75%), 10.15%, due 4/1/2028 | |
| Iron Mountain, Inc., Term Loan B, (1 mo. USD Term SOFR + 2.25%), 7.57%, due 1/31/2031 | |
| Legence Holdings LLC, Term Loan, (1 mo. USD Term SOFR + 3.50%), 8.92%, due 12/16/2027 | |
| Loire Finco Luxembourg SARL | |
| Term Loan B, (1 mo. USD Term SOFR + 3.50%), 8.92%, due 4/21/2027 | |
| Term Loan B2, (1 mo. USD Term SOFR + 3.75%), 9.17%, due 4/21/2027 | |
| MX Holdings U.S., Inc., Term Loan B, (1 mo. USD Term SOFR + 2.75%), 8.18%, due 7/31/2028 | |
| Nuvei Technologies Corp., Term Loan, (1 mo. USD Term SOFR + 3.00%), 8.42%, due 12/19/2030 | |
| Packaging Coordinators Midco, Inc., First Lien Term Loan, (3 mo. USD Term SOFR + 3.50%), 9.07%, due 11/30/2027 | |
| Tempo Acquisition LLC, Term Loan B, (1 mo. USD Term SOFR + 2.75%), 8.07%, due 8/31/2028 | |
| Veritiv Corp., Term Loan B, (3 mo. USD Term SOFR + 5.00%), 10.31%, due 11/30/2030 | |
| Vertiv Group Corp., Term Loan B, (1 mo. USD Term SOFR + 2.50%), 7.94%, due 3/2/2027 | |
| | |
|
| EP Purchaser LLC, Term Loan B, (3 mo. USD Term SOFR + 4.50%), 10.07%, due 11/6/2028 | |
Cable & Satellite Television 1.3% |
| Altice Financing SA, First Lien Term Loan, (3 mo. USD LIBOR + 2.75%), 8.34%, due 1/31/2026 | |
| Altice France SA, Term Loan B13, (3 mo. USD LIBOR + 4.00%), 9.57%, due 8/14/2026 | |
| | |
| Term Loan B5, (1 mo. USD LIBOR + 2.50%), 7.94%, due 4/15/2027 | |
| Term Loan B6, (1 mo. USD Term SOFR + 4.50%), 9.82%, due 1/18/2028 | |
| McGraw-Hill Global Education Holdings LLC, Term Loan, (1 mo. USD Term SOFR + 4.75%), 10.18%, due 7/28/2028 | |
| Radiate Holdco LLC, Term Loan B, (1 mo. USD Term SOFR + 3.25%), 8.68%, due 9/25/2026 | |
| | |
|
| AqGen Island Holdings, Inc., Term Loan, (1 mo. USD Term SOFR + 3.50%), 8.93%, due 8/2/2028 | |
|
| Nouryon Finance BV, Term Loan B, (3 mo. USD Term SOFR + 4.00%), 9.42%, due 4/3/2028 | |
| Olympus Water U.S. Holding Corp., Term Loan B, (3 mo. USD Term SOFR + 3.75%), 9.32%, due 11/9/2028 | |
| PEARLS (Netherlands) Bidco BV, Term Loan B, (3 mo. USD Term SOFR + 4.00%), 9.33%, due 2/26/2029 | |
| PMHC II, Inc., Term Loan B, (3 mo. USD Term SOFR + 4.25%), 9.71%, due 4/23/2029 | |
| Touchdown Acquirer, Inc., Term Loan, (3 mo. USD Term SOFR + 4.00%), 9.31%, due 2/21/2031 | |
| Tronox Finance LLC, Term Loan B, (1 mo. USD Term SOFR + 3.50%), 8.82%, due 8/16/2028 | |
| Valcour Packaging LLC, Second Lien Term Loan, (1 mo. USD Term SOFR + 7.00%), 12.44%, due 10/4/2029 | |
| | |
Chemicals & Plastics 2.3% |
| HB Fuller Co., Term Loan B, (1 mo. USD Term SOFR + 2.00%), 7.32%, due 2/15/2030 | |
| Illuminate Buyer LLC, Term Loan B, (1 mo. USD Term SOFR + 3.50%), 8.93%, due 12/31/2029 | |
See Notes to Financial Statements
Schedule of Investments Floating Rate Income Fund^ (Unaudited) (cont’d)
| |
|
Chemicals & Plastics – cont'd |
| INEOS Quattro Holdings U.K. Ltd., Term Loan, (1 mo. USD Term SOFR + 3.75%), 9.18%, due 3/14/2030 | |
| | |
| Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.18%, due 11/8/2027 | |
| Term Loan B, (1 mo. USD Term SOFR + 3.50%), 8.93%, due 2/18/2030 | |
| SCIH Salt Holdings, Inc., Term Loan B, (3 mo. USD Term SOFR + 3.50%), 8.83%, due 3/16/2027 | |
| Sparta U.S. HoldCo LLC, Term Loan, (1 mo. USD Term SOFR + 3.25%), 8.69%, due 8/2/2028 | |
| | |
|
| | |
| Term Loan, (1 mo. USD Term SOFR + 5.00%), 10.42%, due 3/11/2028 | |
| Second Lien Term Loan, (1 mo. USD Term SOFR + 8.75%), 14.17%, due 3/9/2029 | |
| | |
|
| Foundational Education Group, Inc., Second Lien Term Loan, (3 mo. USD Term SOFR + 6.50%), 12.09%, due 8/31/2029 | |
| Neptune Bidco U.S., Inc., Term Loan B, (3 mo. USD Term SOFR + 5.00%), 10.41%, due 4/11/2029 | |
| | |
Commercial Services & Supplies 1.3% |
| Belfor Holdings, Inc., Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.07%, due 11/1/2030 | |
| Crash Champions LLC, Term Loan B, (3 mo. USD Term SOFR + 4.75%), 10.07%, due 2/23/2029 | |
| EnergySolutions LLC, Term Loan B, (1 mo. USD Term SOFR + 4.00%), 9.32%, due 9/20/2030 | |
| GTCR W Merger Sub LLC, Term Loan B, (1 mo. USD Term SOFR + 3.00%), 8.31%, due 1/31/2031 | |
| | |
Communication Services 0.2% |
| Foundational Education Group, Inc., First Lien Term Loan, (3 mo. USD Term SOFR + 3.75%), 9.34%, due 8/31/2028 | |
|
| Bright Bidco BV, Term Loan, (3 mo. USD Term SOFR + 1.00%), 6.33%, due 10/31/2027 | |
| Conair Holdings LLC, Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.18%, due 5/17/2028 | |
| | |
Construction & Engineering 0.3% |
| Brand Industrial Services, Inc., Term Loan B, (3 mo. USD Term SOFR + 4.50%), 9.82%, due 8/1/2030 | |
Containers & Glass Products 1.3% |
| Anchor Packaging, Inc., Term Loan B, (1 mo. USD Term SOFR + 3.50%), 8.92%, due 7/18/2026 | |
| Mauser Packaging Solutions Holding Co., Term Loan B, (3 mo. USD Term SOFR + 3.50%), 8.82%, due 4/15/2027 | |
| Reynolds Consumer Products LLC, Term Loan, (1 mo. USD Term SOFR + 1.75%), 7.17%, due 2/4/2027 | |
| Spa Holdings 3 Oy, Term Loan B, (3 mo. USD Term SOFR + 4.00%), 9.57%, due 2/4/2028 | |
| Trident TPI Holdings, Inc. | |
| Term Loan B6, (3 mo. USD Term SOFR + 4.00%), 9.30%, due 9/15/2028 | |
| Term Loan B3, (3 mo. USD Term SOFR + 4.00%), 9.57%, due 9/15/2028 | |
| | |
Containers & Packaging 0.3% |
| Supplyone, Inc., Term Loan B, (1 mo. USD Term SOFR), due 3/27/2031 | |
See Notes to Financial Statements
Schedule of Investments Floating Rate Income Fund^ (Unaudited) (cont’d)
| |
|
Diversified Capital Markets 0.4% |
| Belron Finance US LLC, First Lien Term Loan, (3 mo. USD Term SOFR + 2.25%), 7.68%, due 4/18/2029 | |
Diversified Consumer Services 0.2% |
| Mister Car Wash Holdings, Inc., Term Loan B, (1 mo. USD Term SOFR + 3.00%), 8.32%, due 3/21/2031 | |
Diversified Financial Services 1.3% |
| Avolon TLB Borrower 1 (US) LLC, Term Loan B6, (1 mo. USD Term SOFR + 2.00%), 7.32%, due 6/22/2028 | |
| Eisner Advisory Group LLC, Term Loan B, (1 mo. USD Term SOFR + 4.00%), 9.32%, due 2/28/2031 | |
| LSF11 Trinity Bidco, Inc., Term Loan, (1 mo. USD Term SOFR + 4.00%), 9.32%, due 6/14/2030 | |
| Superannuation & Investments U.S. LLC, Term Loan, (1 mo. USD Term SOFR + 3.75%), 9.18%, due 12/1/2028 | |
| | |
Diversified Insurance 0.4% |
| Gainwell Acquisition Corp., Term Loan B, (3 mo. USD Term SOFR + 4.00%), 9.41%, due 10/1/2027 | |
|
| Generation Bridge Northeast LLC, Term Loan B, (1 mo. USD Term SOFR + 3.50%), 8.82%, due 8/22/2029 | |
Electronic Components 0.3% |
| II-VI Inc., Term Loan B, (1 mo. USD Term SOFR + 2.50%), 7.83%, due 7/2/2029 | |
Electronics - Electrical 8.5% |
| | |
| Term Loan B, (3 mo. USD Term SOFR + 3.75%), 9.16%, due 10/18/2027 | |
| Term Loan B, (3 mo. USD Term SOFR + 4.25%), 9.56%, due 2/1/2031 | |
| | |
| First Lien Term Loan, (3 mo. USD Term SOFR + 3.50%), 8.81%, due 2/24/2031 | |
| Second Lien Term Loan, (3 mo. USD Term SOFR + 5.25%), 10.56%, due 2/23/2032 | |
| Cloudera, Inc., Term Loan, (1 mo. USD Term SOFR + 3.75%), 9.17%, due 10/8/2028 | |
| CommScope, Inc., Term Loan B, (1 mo. USD Term SOFR + 3.25%), 8.68%, due 4/6/2026 | |
| Epicor Software Corp., Term Loan, (1 mo. USD Term SOFR + 3.25%), 8.68%, due 7/30/2027 | |
| Flexera Software LLC, Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.18%, due 3/3/2028 | |
| Go Daddy Operating Co. LLC, Term Loan B6, (1 mo. USD Term SOFR + 2.00%), 7.32%, due 11/9/2029 | |
| Helios Software Holdings, Inc., Term Loan, (3 mo. USD Term SOFR + 3.75%), 9.05%, due 7/18/2030 | |
| Imagine Learning LLC, Term Loan, (1 mo. USD Term SOFR + 3.50%), 8.82%, due 12/21/2029 | |
| Imprivata, Inc., Term Loan, (3 mo. USD Term SOFR + 3.50%), 9.09%, due 12/1/2027 | |
| Ingram Micro, Inc., Term Loan, (3 mo. USD Term SOFR + 3.00%), 8.57%, due 6/30/2028 | |
| Ivanti Software, Inc., Term Loan B, (3 mo. USD Term SOFR + 4.25%), 9.81%, due 12/1/2027 | |
| | |
| Term Loan, (3 mo. USD Term SOFR + 3.75%), 9.23%, due 5/18/2028 | |
| Second Lien Term Loan, (3 mo. USD Term SOFR + 6.75%), 12.23%, due 5/18/2029 | |
| McAfee LLC, Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.18%, due 3/1/2029 | |
| MH Sub I LLC, Term Loan, (1 mo. USD Term SOFR + 4.25%), 9.57%, due 5/3/2028 | |
| Netsmart Technologies, Inc., Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.18%, due 10/1/2027 | |
| Polaris Newco LLC, Term Loan B, (3 mo. USD Term SOFR + 4.00%), 9.59%, due 6/2/2028 | |
| Rackspace Technology Global, Inc. | |
| First Lien Term Loan, (1 mo. USD Term SOFR + 2.75%), 8.19%, due 5/15/2028 | |
| First Lien Term Loan, (1 mo. USD Term SOFR + 6.25%), 11.55%, due 5/15/2028 | |
See Notes to Financial Statements
Schedule of Investments Floating Rate Income Fund^ (Unaudited) (cont’d)
| |
|
Electronics - Electrical – cont'd |
| Redstone Holdco 2 LP, Term Loan, (1 mo. USD Term SOFR + 4.75%), 10.18%, due 4/27/2028 | |
| Riverbed Technology, Inc., Term Loan, (3 mo. USD Term SOFR + 2.50%), 9.81%, due 7/1/2028 | |
| S2P Acquisition Borrower, Inc., Term Loan, (1 mo. USD Term SOFR + 4.00%), 9.42%, due 8/14/2026 | |
| Sophia LP, Term Loan B, (1 mo. USD Term SOFR + 3.50%), 8.92%, due 10/9/2029 | |
| Storable, Inc., Term Loan B, (1 mo. USD Term SOFR + 3.50%, 3 mo. USD Term SOFR + 3.50%), 8.68% – 8.82%, due 4/17/2028 | |
| Uber Technologies, Inc., Term Loan B, (3 mo. USD Term SOFR + 2.75%), 8.08%, due 3/3/2030 | |
| UKG, Inc., Term Loan B, (3 mo. USD Term SOFR + 3.50%), 8.81%, due 2/10/2031 | |
| | |
| Term Loan, (3 mo. USD Term SOFR + 3.25%), 11.75%, due 4/24/2028 | |
| Second Lien Term Loan, (3 mo. USD Term SOFR + 7.25%), 12.84%, due 4/23/2029 | |
| VS Buyer LLC, Term Loan B, (1 mo. USD Term SOFR + 3.25%), 8.57%, due 4/14/2031 | |
| ZoomInfo LLC, Term Loan, (1 mo. USD Term SOFR + 2.25%), 7.57%, due 2/28/2030 | |
| | |
Energy Equipment & Services 0.4% |
| PG Investment Co. 59 SARL, Term Loan B, (3 mo. USD Term SOFR + 3.50%), 8.81%, due 3/26/2031 | |
|
| 888 Acquisitions Ltd., Term Loan B, (3 mo. USD Term SOFR + 5.25%), 10.58%, due 7/1/2028 | |
| Caesars Entertainment, Inc., Term Loan B1, (1 mo. USD Term SOFR + 2.75%), 8.07%, due 2/6/2031 | |
| Delta 2 (LUX) SARL, Term Loan B, (3 mo. USD Term SOFR + 2.25%), 7.56%, due 1/15/2030 | |
| Great Canadian Gaming Corp., Term Loan, (3 mo. USD Term SOFR + 4.00%), 9.59%, due 11/1/2026 | |
| | |
Financial Intermediaries 4.6% |
| Apex Group Treasury LLC, Term Loan, (3 mo. USD Term SOFR + 3.75%), 9.33%, due 7/27/2028 | |
| Citadel Securities LP, Term Loan B, (1 mo. USD Term SOFR + 2.25%), 7.57%, due 7/29/2030 | |
| Citco Funding LLC, Term Loan B, (3 mo. USD Term SOFR + 3.50%), 8.67%, due 4/27/2028 | |
| Edelman Financial Center LLC | |
| Second Lien Term Loan, (1 mo. USD Term SOFR + 6.75%), 12.18%, due 7/20/2026 | |
| Term Loan B, (1 mo. USD Term SOFR + 3.50%), 8.93%, due 4/7/2028 | |
| FinCo I LLC, Term Loan, (3 mo. USD Term SOFR + 3.00%), 8.33%, due 6/27/2029 | |
| Focus Financial Partners LLC, Term Loan B7, (1 mo. USD Term SOFR + 2.75%), 8.07%, due 6/30/2028 | |
| Galaxy U.S. Opco, Inc., Term Loan, (3 mo. USD Term SOFR + 4.75%), 10.08%, due 4/29/2029 | |
| Guggenheim Partners LLC, Term Loan B, (3 mo. USD Term SOFR + 3.25%), 8.55%, due 12/12/2029 | |
| Harbourvest Partners LLC, Term Loan B, (3 mo. USD Term SOFR + 2.50%), 7.84%, due 4/18/2030 | |
| OEG Borrower LLC, Term Loan, (3 mo. USD Term SOFR + 5.00%), 10.43%, due 6/18/2029 | |
| Orion Advisor Solutions, Inc., Term Loan, (3 mo. USD Term SOFR + 3.75%), 9.34%, due 9/24/2027 | |
| Sedgwick Claims Management Services, Inc., Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.07%, due 2/24/2028 | |
| Starwood Property Trust, Inc., Term Loan B, (1 mo. USD Term SOFR + 3.25%), 8.57%, due 11/18/2027 | |
| | |
Food & Staples Retailing 0.5% |
| Cardenas Markets, Inc., Term Loan, (3 mo. USD Term SOFR + 6.75%), 12.16%, due 8/1/2029 | |
| Northeast Grocery, Inc., Term Loan B, (3 mo. USD Term SOFR + 7.50%), 12.83%, due 12/13/2028 | |
| | |
|
| Nomad Foods U.S. LLC, Term Loan B4, (6 mo. USD Term SOFR + 3.00%), 8.27%, due 11/13/2029 | |
See Notes to Financial Statements
Schedule of Investments Floating Rate Income Fund^ (Unaudited) (cont’d)
| |
|
|
| WOOF Holdings, Inc., First Lien Term Loan, (3 mo. USD Term SOFR + 3.75%), 9.32%, due 12/21/2027 | |
| | |
|
| 1011778 B.C. Unlimited Liability Co., Term Loan B5, (1 mo. USD Term SOFR + 2.25%), 7.57%, due 9/20/2030 | |
| U.S. Foods, Inc., Term Loan B, (1 mo. USD Term SOFR + 2.00%), 7.32%, due 11/22/2028 | |
| | |
|
| Agiliti Health, Inc., Term Loan B, (1 mo. USD Term SOFR), due 5/1/2030 | |
| Athenahealth Group, Inc., Term Loan B, (1 mo. USD Term SOFR + 3.25%), 8.57%, due 2/15/2029 | |
| Auris Luxembourg III SARL, Term Loan B2, (1 mo. USD Term SOFR), due 2/27/2029 | |
| | |
| Term Loan B, (3 mo. USD Term SOFR + 3.75%), 9.19%, due 7/17/2028 | |
| Second Lien Term Loan, (3 mo. USD Term SOFR + 7.00%), 12.49%, due 12/10/2029 | |
| CHG Healthcare Services, Inc., Term Loan, (1 mo. USD Term SOFR + 3.75%, 3 mo. USD Term SOFR + 3.75%), 9.07% – 9.09%, due 9/29/2028 | |
| Ensemble RCM LLC, Term Loan B, (3 mo. USD Term SOFR + 3.00%), 8.33%, due 8/1/2029 | |
| Impala Bidco 0 Ltd., Term Loan, (3 mo. USD Term SOFR + 4.60%), 9.91%, due 6/8/2028 | |
| IQVIA, Inc., Term Loan B4, (3 mo. USD Term SOFR + 2.00%), 7.31%, due 1/2/2031 | |
| Medical Solutions Holdings, Inc., First Lien Term Loan, (1 mo. USD Term SOFR + 3.25%), 8.67%, due 11/1/2028 | |
| Medline Borrower LP, Term Loan B, (1 mo. USD Term SOFR + 2.75%), 8.07%, due 10/23/2028 | |
| National Mentor Holdings, Inc. | |
| Term Loan, (1 mo. USD Term SOFR + 3.75%, 3 mo. USD Term SOFR + 3.75%), 9.16% – 9.17%, due 3/2/2028 | |
| Term Loan C, (3 mo. USD Term SOFR + 3.75%), 9.16%, due 3/2/2028 | |
| Second Lien Term Loan, (3 mo. USD Term SOFR + 7.25%), 12.66%, due 3/2/2029 | |
| Parexel International Corp., First Lien Term Loan, (1 mo. USD Term SOFR + 3.25%), 8.68%, due 11/15/2028 | |
| Quantum Health, Inc., Term Loan, (3 mo. USD Term SOFR + 4.50%), 10.10%, due 12/22/2027 | |
| Select Medical Corp., Term Loan B1, (1 mo. USD Term SOFR + 3.00%), 8.32%, due 3/6/2027 | |
| Sound Inpatient Physicians, Second Lien Term Loan, (3 mo. USD Term SOFR + 6.75%), 12.34%, due 6/26/2026 | |
| Southern Veterinary Partners LLC, Term Loan, (1 mo. USD Term SOFR + 4.00%), 9.43%, due 10/5/2027 | |
| Summit Behavioral Healthcare LLC, Term Loan B, (3 mo. USD Term SOFR + 4.25%), 9.57%, due 11/24/2028 | |
| Team Health Holdings, Inc., Term Loan B, (1 mo. USD Term SOFR + 5.25%, 3 mo. USD Term SOFR + 5.25%), 10.57% – 10.58%, due 3/2/2027 | |
| | |
| Term Loan, (3 mo. USD Term SOFR + 5.00%), 10.58%, due 12/20/2027 | |
| Second Lien Term Loan, (3 mo. USD Term SOFR + 9.00%), 14.58%, due 12/18/2028 | |
| U.S. Anesthesia Partners, Inc., Second Lien Term Loan, (1 mo. USD Term SOFR + 7.50%), 12.94%, due 10/1/2029 | |
| Waystar Technologies, Inc., Term Loan B, (1 mo. USD Term SOFR + 4.00%), 9.32%, due 10/22/2029 | |
| | |
Health Care Equipment & Supplies 0.6% |
| Bausch & Lomb Corp., Term Loan, (1 mo. USD Term SOFR + 4.00%), 9.32%, due 9/29/2028 | |
See Notes to Financial Statements
Schedule of Investments Floating Rate Income Fund^ (Unaudited) (cont’d)
| |
|
Health Care Equipment & Supplies – cont'd |
| Sharp Services LLC, Term Loan, (3 mo. USD Term SOFR + 3.75%), 9.05%, due 12/31/2028 | |
| | |
Health Care Providers & Services 0.6% |
| AEA International Holdings (Lux) SARL, Term Loan B, (2 mo. USD Term SOFR + 3.50%, 3 mo. USD Term SOFR + 3.50%), 8.81%, due 9/7/2028 | |
| Outcomes Group Holdings, Inc., Term Loan, (1 mo. USD Term SOFR), due 4/2/2031 | |
| | |
Health Care Technology 0.5% |
| Cotiviti Corp., Term Loan, (1 mo. USD Term SOFR), due 2/21/2031 | |
|
| AmWINS Group, Inc., Term Loan B, (1 mo. USD Term SOFR + 2.75%), 8.18%, due 2/19/2028 | |
|
| Weber-Stephen Products LLC, Term Loan B, (1 mo. USD Term SOFR + 3.25%), 8.68%, due 10/30/2027 | |
|
| Restoration Hardware, Inc., Term Loan B, (1 mo. USD Term SOFR + 2.50%), 7.93%, due 10/20/2028 | |
Independent Power & Renewable Electricity Producers 0.1% |
| | |
| Term Loan B, (3 mo. USD Term SOFR + 4.75%), 10.34%, due 2/18/2029 | |
| Term Loan C, (3 mo. USD Term SOFR + 4.75%), 10.34%, due 2/18/2029 | |
| | |
Industrial Equipment 3.8% |
| BCPE Empire Holdings, Inc., Term Loan, (1 mo. USD Term SOFR + 4.00%), 9.32%, due 12/11/2028 | |
| Columbus McKinnon Corp., Term Loan, (3 mo. USD Term SOFR + 2.50%), 7.81%, due 5/14/2028 | |
| Crosby U.S. Acquisition Corp., Term Loan B, (1 mo. USD Term SOFR + 4.00%), 9.32%, due 8/16/2029 | |
| Eagle Parent Corp., Term Loan B, (3 mo. USD Term SOFR + 4.25%), 9.55%, due 4/2/2029 | |
| Engineered Machinery Holdings, Inc. | |
| Term Loan, (3 mo. USD Term SOFR + 3.75%), 9.32%, due 5/19/2028 | |
| Second Lien Term Loan, (3 mo. USD Term SOFR + 6.00%), 11.57%, due 5/21/2029 | |
| Second Lien Term Loan, (3 mo. USD Term SOFR + 6.50%), 12.07%, due 5/21/2029 | |
| Fluid-Flow Products, Inc. | |
| Term Loan, (3 mo. USD Term SOFR + 3.75%), 9.32%, due 3/31/2028 | |
| Second Lien Term Loan, (3 mo. USD Term SOFR + 6.75%), 12.17%, due 3/30/2029 | |
| Gates Global LLC, Term Loan B4, (1 mo. USD Term SOFR + 3.00%), 8.32%, due 11/16/2029 | |
| Groupe Solmax, Inc., Term Loan, (1 mo. USD Term SOFR + 4.75%, 3 mo. USD Term SOFR + 4.75%), 10.18% – 10.31%, due 5/29/2028 | |
| Star U.S. Bidco LLC, Term Loan B, (1 mo. USD Term SOFR + 4.25%), 9.67%, due 3/17/2027 | |
| TK Elevator U.S. Newco, Inc., Term Loan B, (1 mo. USD Term SOFR), due 4/30/2030 | |
| WEC U.S. Holdings Ltd., Term Loan, (1 mo. USD Term SOFR + 2.75%), 8.07%, due 1/27/2031 | |
| | |
|
| Truist Insurance Holdings LLC, First Lien Term Loan, (1 mo. USD Term SOFR), due 3/24/2031 | |
| USI, Inc., Term Loan, (3 mo. USD Term SOFR + 3.25%), 8.55%, due 9/27/2030 | |
| | |
See Notes to Financial Statements
Schedule of Investments Floating Rate Income Fund^ (Unaudited) (cont’d)
| |
|
|
| WatchGuard Technologies, Inc., Term Loan, (1 mo. USD Term SOFR + 5.25%), 10.57%, due 7/2/2029 | |
IT Consulting & Other Services 0.4% |
| World Wide Technology Holding Co. LLC, Term Loan, (1 mo. USD Term SOFR + 2.75%), 8.17%, due 3/1/2030 | |
Leisure Goods - Activities - Movies 0.9% |
| Carnival Corp., Term Loan B1, (3 mo. USD Term SOFR + 2.75%), 8.07%, due 10/18/2028 | |
| Creative Artists Agency LLC, Term Loan B, (1 mo. USD Term SOFR + 3.25%), 8.57%, due 11/27/2028 | |
| Motion Finco SARL, Term Loan B, (3 mo. USD Term SOFR + 3.50%), 9.07%, due 11/12/2029 | |
| | |
Life Sciences Tools & Services 0.5% |
| Star Parent, Inc., Term Loan B, (3 mo. USD Term SOFR + 4.00%), 9.31%, due 9/27/2030 | |
|
| | |
| Term Loan B4, (1 yr. USD Term SOFR + 3.25%), 8.58%, due 8/17/2028 | |
| Term Loan B5, (1 mo. USD Term SOFR + 3.50%), 8.83%, due 5/31/2030 | |
| Flutter Financing BV, Term Loan B, (3 mo. USD Term SOFR + 2.25%), 7.56%, due 11/25/2030 | |
| Four Seasons Hotels Ltd., Term Loan B, (3 mo. USD Term SOFR + 2.00%), 7.32%, due 11/30/2029 | |
| Golden Entertainment, Inc., Term Loan B, (1 mo. USD Term SOFR + 2.75%), 8.17%, due 5/28/2030 | |
| GVC Holdings (Gibraltar) Ltd., Term Loan B2, (3 mo. USD Term SOFR + 3.50%), 8.91%, due 10/31/2029 | |
| Scientific Games Holdings LP, Term Loan B, (3 mo. USD Term SOFR + 3.25%), 8.56%, due 4/4/2029 | |
| Wyndham Hotels & Resorts, Inc., Term Loan B, (1 mo. USD Term SOFR + 2.25%), 7.67%, due 5/24/2030 | |
| | |
|
| Barnes Group, Inc., Term Loan, (1 mo. USD Term SOFR + 2.50%), 7.82%, due 9/3/2030 | |
Machinery Diversified 0.4% |
| Chart Industries, Inc., Term Loan, (1 mo. USD Term SOFR + 3.25%), 8.67%, due 3/15/2030 | |
|
| Arsenal AIC Parent LLC, Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.07%, due 8/18/2030 | |
| Trulite Holding Corp., Term Loan, (1 mo. USD Term SOFR + 6.00%), 11.33%, due 3/1/2030 | |
| | |
Nonferrous Metals - Minerals 0.9% |
| Covia Holdings Corp., Term Loan, (3 mo. USD Term SOFR + 4.26%), 9.57%, due 7/31/2026 | |
| Ozark Holdings LLC, Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.18%, due 12/16/2027 | |
| U.S. Silica Co., Term Loan B, (1 mo. USD Term SOFR + 4.00%), 9.32%, due 3/25/2030 | |
| | |
|
| AL GCX Holdings LLC, Term Loan B, (1 mo. USD Term SOFR + 3.25%), 8.57%, due 5/17/2029 | |
| AL NGPL Holdings LLC, Term Loan B, (3 mo. USD Term SOFR + 3.25%), 8.56%, due 4/13/2028 | |
| BANGL LLC, Term Loan B, (3 mo. USD Term SOFR + 4.50%), 9.80%, due 2/1/2029 | |
| BCP Renaissance Parent LLC, Term Loan B, (3 mo. USD Term SOFR + 3.50%), 8.83%, due 10/31/2028 | |
| Brazos Delaware II LLC, Term Loan B, (1 mo. USD Term SOFR + 3.50%), 8.82%, due 2/11/2030 | |
| | |
| Term Loan B3, (1 mo. USD Term SOFR + 2.00%), 7.32%, due 11/1/2026 | |
See Notes to Financial Statements
Schedule of Investments Floating Rate Income Fund^ (Unaudited) (cont’d)
| |
|
|
| Term Loan B, (1 mo. USD Term SOFR + 2.50%), 7.82%, due 11/22/2030 | |
| CQP Holdco LP, Term Loan, (3 mo. USD Term SOFR + 3.00%), 8.30%, due 12/31/2030 | |
| Freeport LNG Investments LLLP, Term Loan B, (3 mo. USD Term SOFR + 3.50%), 9.09%, due 12/21/2028 | |
| GIP III Stetson I LP, Term Loan B, (1 mo. USD Term SOFR + 4.25%), 9.67%, due 10/31/2028 | |
| Oryx Midstream Services Permian Basin LLC, Term Loan B, (1 mo. USD Term SOFR + 3.00%), 8.44%, due 10/5/2028 | |
| Prairie ECI Acquiror LP, Term Loan, (1 mo. USD Term SOFR + 4.75), 10.07%, due 8/1/2029 | |
| Traverse Midstream Partners LLC, Term Loan, (3 mo. USD Term SOFR + 3.50%), 8.83%, due 2/16/2028 | |
| Waterbridge Midstream Operating LLC, Term Loan B, (3 mo. USD Term SOFR + 5.75%), 11.34%, due 6/22/2026 | |
| | |
Oil & Gas Storage & Transportation 0.3% |
| Whitewater Whistler Holdings LLC, Term Loan B, (3 mo. USD Term SOFR + 2.75%), 8.06%, due 2/15/2030 | |
Oil, Gas & Consumable Fuels 1.0% |
| Epic Y-Grade Services LP, Term Loan B, (3 mo. USD Term SOFR + 5.75%), 11.05%, due 6/29/2029 | |
| GIP Pilot Acquisition Partners LP, Term Loan, (3 mo. USD Term SOFR + 3.00%), 8.31%, due 10/4/2030 | |
| NGL Energy Partners LP, Term Loan B, (1 mo. USD Term SOFR + 4.50%), 9.82%, due 2/2/2031 | |
| | |
|
| Reynolds Group Holdings, Inc., Term Loan B, (1 mo. USD Term SOFR + 3.25%), 8.68% – 8.69%, due 9/24/2028 | |
| Ring Container Technologies Group LLC, Term Loan B, (1 mo. USD Term SOFR + 3.50%), 8.93%, due 8/12/2028 | |
| | |
|
| New Fortress Energy, Inc., Term Loan, (3 mo. USD Term SOFR + 5.00%), 10.33%, due 10/27/2028 | |
Professional Services 1.8% |
| Crisis Prevention Institute, Inc., Term Loan, (3 mo. USD Term SOFR + 4.75%), 10.04%, due 4/9/2031 | |
| Dun & Bradstreet Corp., Term Loan B, (1 mo. USD Term SOFR + 2.75%), 8.07%, due 1/18/2029 | |
| Genuine Financial Holdings LLC, Term Loan B, (1 mo. USD Term SOFR + 4.00%), 9.32%, due 9/27/2030 | |
| Ryan LLC, Term Loan, (1 mo. USD Term SOFR + 4.50%), 9.82%, due 11/14/2030 | |
| Trans Union LLC, Term Loan B5, (1 mo. USD Term SOFR + 1.75%), 7.07%, due 11/16/2026 | |
| Vaco Holdings LLC, Term Loan, (3 mo. USD Term SOFR + 5.00%), 10.43%, due 1/21/2029 | |
| | |
Property & Casualty Insurance 0.3% |
| Broadstreet Partners, Inc., Term Loan B2, (1 mo. USD Term SOFR + 3.25%), 8.68%, due 1/27/2027 | |
|
| | |
| Term Loan, (1 mo. USD Term SOFR + 3.50%), 8.92% – 8.93%, due 12/11/2028 | |
| Second Lien Term Loan, (1 mo. USD Term SOFR + 5.75%), 11.18%, due 12/10/2029 | |
| Cengage Learning, Inc., Term Loan B, (1 mo. USD Term SOFR + 4.25%), 9.57%, due 3/22/2031 | |
| | |
See Notes to Financial Statements
Schedule of Investments Floating Rate Income Fund^ (Unaudited) (cont’d)
| |
|
|
| Sinclair Television Group, Inc., Term Loan B2B, (3 mo. USD Term SOFR + 2.50%), 8.09%, due 9/30/2026 | |
Real Estate Investment Trusts 0.2% |
| RHP Hotel Properties, LP, Term Loan B, (1 mo. USD Term SOFR + 2.25%), 7.57%, due 5/18/2030 | |
Real Estate Management & Development 0.4% |
| Greystar Real Estate Partners LLC, Term Loan B, (3 mo. USD Term SOFR + 3.25%), 8.58%, due 8/21/2030 | |
|
| LIDS Holdings, Inc., Term Loan, (3 mo. USD Term SOFR + 5.50%), 10.98%, due 12/14/2026 | |
Retailers (except food & drug) 2.0% |
| CNT Holdings I Corp., Term Loan, (3 mo. USD Term SOFR + 3.50%), 8.83%, due 11/8/2027 | |
| Great Outdoors Group LLC, Term Loan B1, (1 mo. USD Term SOFR + 3.75%), 9.18%, due 3/6/2028 | |
| Peer Holding III BV, Term Loan B4, (3 mo. USD Term SOFR + 3.25%), 8.56%, due 10/28/2030 | |
| Petco Health & Wellness Co., Inc., Term Loan B, (3 mo. USD Term SOFR + 3.25%), 8.82%, due 3/3/2028 | |
| PetSmart, Inc., Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.17%, due 2/11/2028 | |
| Sally Holdings LLC, Term Loan B, (1 mo. USD Term SOFR + 2.25%), 7.57%, due 2/28/2030 | |
| | |
|
| Central Parent, Inc., Term Loan B, (3 mo. USD Term SOFR + 4.00%), 9.31%, due 7/6/2029 | |
| Cloudera, Inc., Second Lien Term Loan, (1 mo. USD Term SOFR + 6.00%), 11.42%, due 10/8/2029 | |
| ConnectWise LLC, Term Loan B, (3 mo. USD Term SOFR + 3.50%), 9.06%, due 9/29/2028 | |
| | |
|
| Tailored Brands, Inc., Term Loan, (3 mo. USD Term SOFR + 6.50%), 11.82%, due 2/26/2029 | |
|
| Zekelman Industries, Inc., Term Loan B, (1 mo. USD Term SOFR + 2.25%), 7.57%, due 1/24/2031 | |
|
| | |
| Term Loan B, (1 mo. USD Term SOFR + 3.25%), 8.68%, due 6/30/2028 | |
| Term Loan C, (1 mo. USD Term SOFR + 3.25%), 8.68%, due 6/30/2028 | |
| ITT Holdings LLC, Term Loan B, (1 mo. USD Term SOFR + 3.00%), 8.42%, due 10/11/2030 | |
| Kenan Advantage Group, Inc., Term Loan B3, (1 mo. USD Term SOFR + 3.75%), 9.07%, due 1/25/2029 | |
| PAI Holdco, Inc., Term Loan B, (3 mo. USD Term SOFR + 3.75%), 9.34%, due 10/28/2027 | |
| | |
|
| Consolidated Communications, Inc., Term Loan B, (1 mo. USD Term SOFR + 3.50%), 8.93%, due 10/2/2027 | |
| Frontier Communications Corp., First Lien Term Loan, (1 mo. USD Term SOFR + 3.75%), 9.18%, due 10/8/2027 | |
| | |
| Term Loan, (1 mo. USD Term SOFR + 1.10%), 6.42%, due 12/30/2027 | |
| Term Loan, (3 mo. USD Term SOFR + 9.10%), 14.41%, due 6/30/2028 | |
| Iridium Satellite LLC, Term Loan B, (1 mo. USD Term SOFR + 2.50%), 7.82%, due 9/20/2030 | |
| | |
| Term Loan B1, (1 mo. USD Term SOFR + 6.56%), 11.88%, due 4/15/2029 | |
See Notes to Financial Statements
Schedule of Investments Floating Rate Income Fund^ (Unaudited) (cont’d)
| |
|
Telecommunications – cont'd |
| Term Loan B2, (1 mo. USD Term SOFR + 6.56%), 11.88%, due 4/15/2030 | |
| | |
| Term Loan A, (1 mo. USD Term SOFR), due 6/1/2028 | |
| Term Loan B1, (1 yr. USD Term SOFR + 2.35%), 7.78%, due 4/15/2029 | |
| Term Loan B2, (1 mo. USD Term SOFR + 2.35%), 7.78%, due 4/15/2030 | |
| Telesat Canada, Term Loan B5, (3 mo. USD Term SOFR + 2.75%), 8.35%, due 12/7/2026 | |
| Voyage Australia Pty. Ltd., Term Loan B, (3 mo. USD Term SOFR + 3.50%), 9.09%, due 7/20/2028 | |
| Zayo Group Holdings, Inc. | |
| Term Loan, (1 mo. USD Term SOFR + 3.00%), 8.32%, due 3/9/2027 | |
| Term Loan B, (1 mo. USD Term SOFR + 4.33%), 9.64%, due 3/9/2027 | |
| | |
Trading Companies & Distributors 1.4% |
| Barentz International BV, Term Loan B, (2 mo. USD Term SOFR + 4.00%), 9.33%, due 3/3/2031 | |
| CD&R Hydra Buyer, Inc., Term Loan B, (3 mo. USD Term SOFR + 4.00%), 9.42%, due 3/25/2031 | |
| Fastlane Parent Co., Inc., Term Loan B, (1 mo. USD Term SOFR + 4.50%), 9.82%, due 9/29/2028 | |
| Foundation Building Materials Holding Co. LLC, Term Loan B2, (1 mo. USD Term SOFR + 4.00%, 3 mo. USD Term SOFR + 4.00%), 9.32% – 9.33%, due 1/29/2031 | |
| | |
|
| ASP Dream Acquisition Co. LLC, Term Loan B, (1 mo. USD Term SOFR + 4.00%), 9.42%, due 12/15/2028 | |
| Latam Airlines Group SA, Term Loan B, (3 mo. USD Term SOFR + 9.50%), 14.95%, due 10/12/2027 | |
| Worldwide Express Operations LLC | |
| First Lien Term Loan, (3 mo. USD Term SOFR + 4.00%), 9.57%, due 7/26/2028 | |
| Second Lien Term Loan, (3 mo. USD Term SOFR + 7.00%), 12.57%, due 7/26/2029 | |
| | |
Transportation Infrastructure 0.3% |
| Radar Bidco SARL, Term Loan B, (3 mo. USD Term SOFR + 4.25%), 9.56%, due 3/4/2031 | |
|
| APX Group, Inc., Term Loan B, (3 mo. USD Term SOFR + 1.75%, 3 mo. USD Term SOFR + 2.75%), 8.07% – 10.25%, due 7/10/2028 | |
| Artera Services LLC, Term Loan, (3 mo. USD Term SOFR + 4.50%), 9.81%, due 2/15/2031 | |
| Calpine Corp., Term Loan B9, (1 mo. USD Term SOFR + 2.00%), 7.32%, due 1/31/2031 | |
| Carroll County Energy LLC, Term Loan B, (3 mo. USD Term SOFR + 3.50%), 8.90%, due 2/13/2026 | |
| Eastern Power LLC, Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.18%, due 10/2/2025 | |
| Granite Generation LLC, Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.18%, due 11/9/2026 | |
| Kestrel Acquisition LLC, Term Loan B, (1 mo. USD Term SOFR + 4.25%), 9.68%, due 6/2/2025 | |
| | |
| Term Loan B, (3 mo. USD Term SOFR + 5.75%), 11.08%, due 1/29/2027 | |
| Term Loan C, (3 mo. USD Term SOFR + 5.75%), 11.08%, due 1/29/2027 | |
| Nautilus Power LLC, Term Loan B, (3 mo. USD Term SOFR + 5.25%), 10.81%, due 11/16/2026 | |
| NRG Energy, Inc., Term Loan, (3 mo. USD Term SOFR + 2.00%), 7.33%, due 3/27/2031 | |
| | |
| Term Loan B, (3 mo. USD Term SOFR + 4.25%), 5.50%, due 3/27/2026 | |
| Term Loan C, (1 mo. USD Term SOFR + 4.25%), 9.71%, due 3/27/2026 | |
| | |
| Term Loan C, (3 mo. USD Term SOFR + 4.50%), 9.83%, due 5/17/2030 | |
| Term Loan B, (3 mo. USD Term SOFR + 4.50%), 9.83%, due 5/17/2030 | |
See Notes to Financial Statements
Schedule of Investments Floating Rate Income Fund^ (Unaudited) (cont’d)
| |
|
|
| | |
| Term Loan, (3 mo. USD Term SOFR + 3.50%), 9.06% – 9.07%, due 5/12/2028 | |
| Second Lien Term Loan, (3 mo. USD Term SOFR + 6.50%), 12.06%, due 5/14/2029 | |
| | |
|
Total Loan Assignments (Cost $396,882,982) | |
|
|
|
|
Business Equipment & Services 0.2% |
| | |
|
| | |
Electrical Equipment 0.0%(k) |
| Lumileds Exit Private Equity | |
|
| Riverbed Technology, Inc. | |
|
| | |
Total Common Stocks (Cost $1,841,870) | |
Exchange-Traded Funds 2.0% |
| SPDR Blackstone Senior Loan ETF | |
|
Short-Term Investments 5.5% |
Investment Companies 5.5% | |
|
| State Street Institutional U.S. Government Money Market Fund Premier Class, 5.25(l) (Cost $24,454,605) | |
Total Investments 101.3% (Cost $453,604,335) | |
Liabilities Less Other Assets (1.3)% | |
| |
| Non-income producing security. |
| Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At April 30, 2024, these securities amounted to $19,168,333, which represents 4.3% of net assets of the Fund. |
| Variable or floating rate security. The interest rate shown was the current rate as of April 30, 2024 and changes periodically. |
| Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve directed selling efforts in the United States and as such may have restrictions on resale. Total value of all such securities at April 30, 2024 amounted to $780,763, which represents 0.2% of net assets of the Fund. |
See Notes to Financial Statements
Schedule of Investments Floating Rate Income Fund^ (Unaudited) (cont’d)
| Payment-in-kind (PIK) security. |
| The stated interest rates represent the range of rates at April 30, 2024 of the underlying contracts within the Loan Assignment. |
| Value determined using significant unobservable inputs. |
| All or a portion of this security was purchased on a delayed delivery basis. |
| All or a portion of this security had not settled as of April 30, 2024 and thus may not have an interest rate in effect. Interest rates do not take effect until settlement. |
| |
| Security fair valued as of April 30, 2024 in accordance with procedures approved by the valuation designee. Total value of all such securities at April 30, 2024 amounted to $884,376, which represents 0.2% of net assets of the Fund. |
| Represents less than 0.05% of net assets of the Fund. |
| Represents 7-day effective yield as of April 30, 2024. |
| As of April 30, 2024, the value of unfunded loan commitments was $880,171 for the Fund (see Note A of the Notes to Financial Statements). |
See Notes to Financial Statements
Schedule of Investments Floating Rate Income Fund^ (Unaudited) (cont’d)
#
This security is subject to restrictions on resale. Total value of all such securities at April 30, 2024 amounted to $884,336, which represents 0.2% of net assets of the Fund. Acquisition dates shown with a range, if any, represent securities that were acquired over the period shown in the table.
| | | | Fair Value
Percentage
of Net Assets
as of
4/30/2024 |
| | | | |
See Notes to Financial Statements
Schedule of Investments Floating Rate Income Fund^ (Unaudited) (cont’d)
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Short-Term Investments and Other Liabilities—Net | | |
| | |
See Notes to Financial Statements
Schedule of Investments Floating Rate Income Fund^ (Unaudited) (cont’d)
The following is a summary, categorized by Level (see Note A of the Notes to Financial Statements), of inputs used to value the Fund’s investments as of April 30, 2024:
| | | | |
| | | | |
Mortgage-Backed Securities# | | | | |
| | | | |
| | | | |
|
|
|
|
|
| | | | |
| | | | |
| | | | |
| | | | |
Business Equipment & Services | | | | |
Cable & Satellite Television | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Health Care Equipment & Supplies | | | | |
Health Care Providers & Services | | | | |
| | | | |
IT Consulting & Other Services | | | | |
Leisure Goods - Activities - Movies | | | | |
| | | | |
Real Estate Management & Development | | | | |
| | | | |
| | | | |
| | | | |
Transportation Infrastructure | | | | |
| | | | |
| | | | |
|
|
|
|
|
Business Equipment & Services | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| The Schedule of Investments provides information on the industry or sector categorization as well as a Positions by Country summary. |
See Notes to Financial Statements
Schedule of Investments Floating Rate Income Fund^ (Unaudited) (cont’d)
| The following is a reconciliation between the beginning and ending balances of investments in which significant unobservable inputs (Level 3) were used in determining value: |
| Beginning
balance as
of 11/1/2023 | Accrued
discounts/
(premiums) | | Change
in unrealized
appreciation/
(depreciation) | | | | | | Net change in
unrealized
appreciation/
(depreciation)
from
investments
still held as of
4/30/2024 |
Investments in
Securities: | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
(1) Securities categorized as Level 3 were valued using a single quotation obtained from a dealer. The Fund does not have access to significant unobservable inputs and therefore cannot disclose such inputs used in formulating such quotation. |
(2) Quantitative Information about Level 3 Fair Value Measurements: |
| | | Significant unobservable
input(s) | | | Impact to
valuation
from
increase
in input(b) |
| | | | | | |
(a) The weighted averages disclosed in the table above were weighted by relative fair value. |
(b) Represents the expected directional change in the fair value of the Level 3 investments that would result from an increase or decrease in the corresponding input. Significant changes in these inputs could result in significantly higher or lower fair value measurements. |
^
A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Financial Statements
Schedule of Investments High Income Bond Fund^ (Unaudited) April 30, 2024
| |
Mortgage-Backed Securities 0.4% |
Commercial Mortgage-Backed 0.4% |
|
| | Med Trust, Series 2021-MDLN, Class F, (1 mo. USD Term SOFR + 4.11%), 9.44%, due 11/15/2038 (Cost $2,489,216) | |
Asset-Backed Securities 2.2% |
|
| | AGL CLO 9 Ltd., Series 2020-9A, Class DR, (3 mo. USD Term SOFR + 3.55%), 8.87%, due 4/20/2037 | |
| | Barings CLO Ltd., Series 2020-2A, Class ER, (3 mo. USD Term SOFR + 6.41%), 11.74%, due 10/15/2033 | |
| | GoldenTree Loan Management U.S. CLO 20 Ltd., Series 2024-20A, Class D, (3 mo. USD Term SOFR + 3.15%), 3.15%, due 7/20/2037 | |
| | Invesco U.S. CLO Ltd., Series 2023-1A, Class ER, (3 mo. USD Term SOFR + 6.90%), 12.19%, due 4/22/2037 | |
| | KKR CLO 23 Ltd., Series 23, Class D, (3 mo. USD Term SOFR + 3.36%), 8.69%, due 10/20/2031 | |
| | Oaktree CLO Ltd., Series 2024-25A, Class E, (3 mo. USD Term SOFR + 6.59%), 11.89%, due 4/20/2037 | |
| | Octagon Investment Partners 39 Ltd., Series 2018-3A, Class D, (3 mo. USD Term SOFR + 3.21%), 8.54%, due 10/20/2030 | |
| | OHA Credit Funding 18 Ltd., Series 2024-18A, Class E, (3 mo. USD Term SOFR + 6.40%), 11.69%, due 4/20/2037 | |
| | Sandstone Peak Ltd., Series 2021-1A, Class E, (3 mo. USD Term SOFR + 7.06%), 12.39%, due 10/15/2034 | |
| | Symphony CLO 42 Ltd., Series 2024-42A, Class E, (3 mo. USD Term SOFR + 6.75%), 12.06%, due 4/17/2037 | |
| | Trinitas CLO XXVIII Ltd., Series 2024-28A, Class D, (3 mo. USD Term SOFR + 4.00%), 4.00%, due 4/25/2037 | |
| | Voya CLO Ltd., Series 2019-2A, Class E, (3 mo. USD Term SOFR + 6.86%), 12.19%, due 7/20/2032 | |
Total Asset-Backed Securities (Cost $13,389,207) | |
|
|
|
|
| | Clear Channel Outdoor Holdings, Inc. | |
| | | |
| | | |
| | | |
| | | |
| | Summer BC Bidco B LLC, 5.50%, due 10/31/2026 | |
| | | |
|
|
| | AAR Escrow Issuer LLC, 6.75%, due 3/15/2029 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
See Notes to Financial Statements
Schedule of Investments High Income Bond Fund^ (Unaudited) (cont’d)
| |
|
Aerospace & Defense – cont'd |
|
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
|
|
| | American Airlines, Inc., 7.25%, due 2/15/2028 | |
| | American Airlines, Inc./AAdvantage Loyalty IP Ltd. | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | VistaJet Malta Finance PLC/Vista Management Holding, Inc., 6.38%, due 2/1/2030 | |
| | | |
|
|
| | William Carter Co., 5.63%, due 3/15/2027 | |
|
|
| | | |
| | | |
| | | |
| | Ford Motor Credit Co. LLC, 3.63%, due 6/17/2031 | |
| | Jaguar Land Rover Automotive PLC | |
| | | |
| | | |
| | | |
Auto Parts & Equipment 2.0% |
|
| | Adient Global Holdings Ltd., 8.25%, due 4/15/2031 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Dornoch Debt Merger Sub, Inc., 6.63%, due 10/15/2029 | |
| | Goodyear Tire & Rubber Co. | |
| | | |
| | | |
| | | |
| | 4.75% Cash/5.50% PIK, due 9/15/2026 | |
| | 6.38% Cash/7.13% PIK, due 5/15/2029 | |
See Notes to Financial Statements
Schedule of Investments High Income Bond Fund^ (Unaudited) (cont’d)
| |
|
Auto Parts & Equipment – cont'd |
|
| | ZF North America Capital, Inc. | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
|
|
| | Bank of New York Mellon Corp., 3.70%, due 3/20/2026 | |
| | JPMorgan Chase & Co., 4.60%, due 2/1/2025 | |
| | | |
|
|
| | Builders FirstSource, Inc. | |
| | | |
| | | |
| | Camelot Return Merger Sub, Inc., 8.75%, due 8/1/2028 | |
| | Cornerstone Building Brands, Inc., 6.13%, due 1/15/2029 | |
| | EMRLD Borrower LP/Emerald Co.-Issuer, Inc., 6.63%, due 12/15/2030 | |
| | Jeld-Wen, Inc., 4.88%, due 12/15/2027 | |
| | Knife River Corp., 7.75%, due 5/1/2031 | |
| | Miter Brands Acquisition Holdco, Inc./MIWD Borrower LLC, 6.75%, due 4/1/2032 | |
| | MIWD Holdco II LLC/MIWD Finance Corp., 5.50%, due 2/1/2030 | |
| | Oscar AcquisitionCo LLC/Oscar Finance, Inc., 9.50%, due 4/15/2030 | |
| | Standard Industries, Inc., 4.38%, due 7/15/2030 | |
| | Summit Materials LLC/Summit Materials Finance Corp. | |
| | | |
| | | |
| | | |
|
|
| | Ashland, Inc., 3.38%, due 9/1/2031 | |
| | Avient Corp., 7.13%, due 8/1/2030 | |
| | Axalta Coating Systems Dutch Holding B BV, 7.25%, due 2/15/2031 | |
| | Consolidated Energy Finance SA, 12.00%, due 2/15/2031 | |
| | Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, due 7/1/2028 | |
| | | |
| | | |
| | | |
| | INEOS Quattro Finance 2 PLC, 9.63%, due 3/15/2029 | |
| | | |
| | | |
| | | |
| | Olympus Water U.S. Holding Corp. | |
| | | |
| | | |
| | | |
| | | |
| | SCIL IV LLC/SCIL USA Holdings LLC, 5.38%, due 11/1/2026 | |
See Notes to Financial Statements
Schedule of Investments High Income Bond Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | | |
| | | |
| | | |
| | Tronox, Inc., 4.63%, due 3/15/2029 | |
| | Vibrantz Technologies, Inc., 9.00%, due 2/15/2030 | |
| | | |
| | | |
| | | |
| | | |
|
|
| | | |
| | | |
| | | |
| | Allied Universal Holdco LLC, 7.88%, due 2/15/2031 | |
| | Allied Universal Holdco LLC/Allied Universal Finance Corp. | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Boost Newco Borrower LLC, 7.50%, due 1/15/2031 | |
| | Champions Financing, Inc., 8.75%, due 2/15/2029 | |
| | Garda World Security Corp. | |
| | | |
| | | |
| | Herc Holdings, Inc., 5.50%, due 7/15/2027 | |
| | Neptune Bidco U.S., Inc., 9.29%, due 4/15/2029 | |
| | Prime Security Services Borrower LLC/Prime Finance, Inc. | |
| | | |
| | | |
| | United Rentals North America, Inc. | |
| | | |
| | | |
| | | |
| | Wand NewCo 3, Inc., 7.63%, due 1/30/2032 | |
| | | |
| | | |
| | | |
| | ZipRecruiter, Inc., 5.00%, due 1/15/2030 | |
| | | |
|
|
| | Ahead DB Holdings LLC, 6.63%, due 5/1/2028 | |
| | ASGN, Inc., 4.63%, due 5/15/2028 | |
| | McAfee Corp., 7.38%, due 2/15/2030 | |
| | Presidio Holdings, Inc., 8.25%, due 2/1/2028 | |
| | | |
Cosmetics - Personal Care 0.6% |
|
| | Coty, Inc., 5.00%, due 4/15/2026 | |
See Notes to Financial Statements
Schedule of Investments High Income Bond Fund^ (Unaudited) (cont’d)
| |
|
Cosmetics - Personal Care – cont'd |
|
| | Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC | |
| | | |
| | | |
| | | |
Distribution - Wholesale 2.0% |
|
| | BCPE Empire Holdings, Inc., 7.63%, due 5/1/2027 | |
| | Dealer Tire LLC/DT Issuer LLC, 8.00%, due 2/1/2028 | |
| | H&E Equipment Services, Inc., 3.88%, due 12/15/2028 | |
| | Resideo Funding, Inc., 4.00%, due 9/1/2029 | |
| | Ritchie Bros Holdings, Inc. | |
| | | |
| | | |
| | Verde Purchaser LLC, 10.50%, due 11/30/2030 | |
| | Windsor Holdings III LLC, 8.50%, due 6/15/2030 | |
| | | |
Diversified Financial Services 1.0% |
|
| | Ally Financial, Inc., 5.75%, due 11/20/2025 | |
| | Avolon Holdings Funding Ltd., 6.38%, due 5/4/2028 | |
| | GGAM Finance Ltd., 6.88%, due 4/15/2029 | |
| | Jane Street Group/JSG Finance, Inc., 7.13%, due 4/30/2031 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
|
|
| | | |
| | | |
| | | |
| | | |
| | Electricite de France SA, 9.13%, due 3/15/2033 | |
| | Leeward Renewable Energy Operations LLC, 4.25%, due 7/1/2029 | |
| | | |
| | | |
| | | |
| | TransAlta Corp., 7.75%, due 11/15/2029 | |
| | Vistra Corp., 7.00%, due 12/15/2026 | |
| | Vistra Operations Co. LLC | |
| | | |
| | | |
| | | |
| | | |
Electrical Components & Equipment 0.6% |
|
| | Energizer Holdings, Inc., 6.50%, due 12/31/2027 | |
| | EnerSys, 6.63%, due 1/15/2032 | |
See Notes to Financial Statements
Schedule of Investments High Income Bond Fund^ (Unaudited) (cont’d)
| |
|
Electrical Components & Equipment – cont'd |
|
| | | |
| | | |
| | | |
| | | |
|
|
| | | |
| | | |
| | | |
| | Imola Merger Corp., 4.75%, due 5/15/2029 | |
| | | |
| | | |
| | | |
| | TTM Technologies, Inc., 4.00%, due 3/1/2029 | |
| | | |
Engineering & Construction 1.1% |
|
| | Artera Services LLC, 8.50%, due 2/15/2031 | |
| | Brand Industrial Services, Inc., 10.38%, due 8/1/2030 | |
| | Global Infrastructure Solutions, Inc., 5.63%, due 6/1/2029 | |
| | VM Consolidated, Inc., 5.50%, due 4/15/2029 | |
| | | |
|
|
| | Allwyn Entertainment Financing U.K. PLC, 7.88%, due 4/30/2029 | |
| | Banijay Entertainment SASU, 8.13%, due 5/1/2029 | |
| | Caesars Entertainment, Inc. | |
| | | |
| | | |
| | Cedar Fair LP, 5.25%, due 7/15/2029 | |
| | Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp./Millennium Op | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | International Game Technology PLC, 4.13%, due 4/15/2026 | |
| | Light & Wonder International, Inc. | |
| | | |
| | | |
| | | |
| | Live Nation Entertainment, Inc., 6.50%, due 5/15/2027 | |
| | Merlin Entertainments Group U.S. Holdings, Inc., 7.38%, due 2/15/2031 | |
| | Merlin Entertainments Ltd., 5.75%, due 6/15/2026 | |
| | Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, due 5/1/2029 | |
| | Motion Bondco DAC, 6.63%, due 11/15/2027 | |
| | | |
| | | |
| | | |
| | Raptor Acquisition Corp./Raptor Co.-Issuer LLC, 4.88%, due 11/1/2026 | |
| | Scientific Games Holdings LP/Scientific Games U.S. FinCo, Inc., 6.63%, due 3/1/2030 | |
See Notes to Financial Statements
Schedule of Investments High Income Bond Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | SeaWorld Parks & Entertainment, Inc., 5.25%, due 8/15/2029 | |
| | Six Flags Entertainment Corp. | |
| | | |
| | | |
| | Six Flags Entertainment Corp./Six Flags Theme Parks, Inc., 6.63%, due 5/1/2032 | |
| | | |
| | | |
| | | |
| | | |
Environmental Control 0.6% |
|
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
|
|
| | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC | |
| | | |
| | | |
| | Performance Food Group, Inc. | |
| | | |
| | | |
| | | |
| | TreeHouse Foods, Inc., 4.00%, due 9/1/2028 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
|
|
| | TKC Holdings, Inc., 6.88%, due 5/15/2028 | |
Forest Products & Paper 0.1% |
|
| | Ahlstrom Holding 3 Oyj, 4.88%, due 2/4/2028 | |
Healthcare - Products 1.4% |
|
| | Bausch & Lomb Corp., 8.38%, due 10/1/2028 | |
| | | |
| | | |
| | | |
| | Medline Borrower LP/Medline Co.-Issuer, Inc., 6.25%, due 4/1/2029 | |
| | | |
See Notes to Financial Statements
Schedule of Investments High Income Bond Fund^ (Unaudited) (cont’d)
| |
|
Healthcare - Services 4.2% |
|
| | CHS/Community Health Systems, Inc. | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Fortrea Holdings, Inc., 7.50%, due 7/1/2030 | |
| | HealthEquity, Inc., 4.50%, due 10/1/2029 | |
| | IQVIA, Inc., 5.00%, due 5/15/2027 | |
| | Legacy LifePoint Health LLC, 4.38%, due 2/15/2027 | |
| | | |
| | | |
| | | |
| | Molina Healthcare, Inc., 4.38%, due 6/15/2028 | |
| | RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, due 12/1/2026 | |
| | Star Parent, Inc., 9.00%, due 10/1/2030 | |
| | Surgery Center Holdings, Inc., 7.25%, due 4/15/2032 | |
| | Team Health Holdings, Inc., 9.00% Cash/4.50% PIK, due 6/30/2028 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | U.S. Acute Care Solutions LLC | |
| | | |
| | | |
| | | |
Holding Companies - Diversified 0.3% |
|
| | Benteler International AG, 10.50%, due 5/15/2028 | |
|
|
| | Beazer Homes USA, Inc., 7.50%, due 3/15/2031 | |
| | KB Home, 7.25%, due 7/15/2030 | |
| | | |
| | | |
| | | |
| | Shea Homes LP/Shea Homes Funding Corp. | |
| | | |
| | | |
| | Taylor Morrison Communities, Inc., 5.13%, due 8/1/2030 | |
| | Thor Industries, Inc., 4.00%, due 10/15/2029 | |
| | Tri Pointe Homes, Inc., 5.25%, due 6/1/2027 | |
| | | |
See Notes to Financial Statements
Schedule of Investments High Income Bond Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | | |
| | | |
| | | |
| | | |
|
|
| | Acrisure LLC/Acrisure Finance, Inc., 8.25%, due 2/1/2029 | |
| | Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | BroadStreet Partners, Inc., 5.88%, due 4/15/2029 | |
| | Howden U.K. Refinance PLC/Howden U.K. Refinance 2 PLC/Howden U.S. Refinance LLC | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Panther Escrow Issuer LLC, 7.13%, due 6/1/2031 | |
| | USI, Inc., 7.50%, due 1/15/2032 | |
| | | |
|
|
| | | |
| | | |
| | | |
| | Go Daddy Operating Co. LLC/GD Finance Co., Inc., 5.25%, due 12/1/2027 | |
| | Match Group Holdings II LLC, 4.63%, due 6/1/2028 | |
| | Newfold Digital Holdings Group, Inc., 6.00%, due 2/15/2029 | |
| | Ziff Davis, Inc., 4.63%, due 10/15/2030 | |
| | | |
|
|
| | | |
| | | |
| | | |
| | | |
| | Carpenter Technology Corp., 7.63%, due 3/15/2030 | |
| | TMS International Corp., 6.25%, due 4/15/2029 | |
| | | |
|
|
| | Acushnet Co., 7.38%, due 10/15/2028 | |
See Notes to Financial Statements
Schedule of Investments High Income Bond Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | | |
| | | |
| | | |
| | | |
| | | |
| | Carnival Holdings Bermuda Ltd., 10.38%, due 5/1/2028 | |
| | Lindblad Expeditions Holdings, Inc., 9.00%, due 5/15/2028 | |
| | Lindblad Expeditions LLC, 6.75%, due 2/15/2027 | |
| | | |
| | | |
| | | |
| | NCL Finance Ltd., 6.13%, due 3/15/2028 | |
| | Royal Caribbean Cruises Ltd. | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Viking Ocean Cruises Ship VII Ltd., 5.63%, due 2/15/2029 | |
| | VOC Escrow Ltd., 5.00%, due 2/15/2028 | |
| | | |
|
|
| | Station Casinos LLC, 4.63%, due 12/1/2031 | |
Machinery - Construction & Mining 0.4% |
|
| | Manitowoc Co., Inc., 9.00%, due 4/1/2026 | |
| | Terex Corp., 5.00%, due 5/15/2029 | |
| | | |
Machinery - Diversified 1.4% |
|
| | ATS Corp., 4.13%, due 12/15/2028 | |
| | | |
| | | |
| | | |
| | Esab Corp., 6.25%, due 4/15/2029 | |
| | SPX FLOW, Inc., 8.75%, due 4/1/2030 | |
| | TK Elevator Holdco GmbH, 7.63%, due 7/15/2028 | |
| | TK Elevator U.S. Newco, Inc., 5.25%, due 7/15/2027 | |
| | | |
|
|
| | | |
| | | |
| | | |
| | Cable One, Inc., 4.00%, due 11/15/2030 | |
See Notes to Financial Statements
Schedule of Investments High Income Bond Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | CCO Holdings LLC/CCO Holdings Capital Corp. | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | DISH Network Corp., 11.75%, due 11/15/2027 | |
| | McGraw-Hill Education, Inc. | |
| | | |
| | | |
| | Midcontinent Communications/Midcontinent Finance Corp., 5.38%, due 8/15/2027 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Sunrise FinCo I BV, 4.88%, due 7/15/2031 | |
| | Ziggo Bond Co. BV, 5.13%, due 2/28/2030 | |
| | Ziggo BV, 4.88%, due 1/15/2030 | |
| | | |
Metal Fabricate - Hardware 0.2% |
|
| | Advanced Drainage Systems, Inc., 6.38%, due 6/15/2030 | |
|
|
| | Alcoa Nederland Holding BV, 7.13%, due 3/15/2031 | |
See Notes to Financial Statements
Schedule of Investments High Income Bond Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | | |
| | | |
| | | |
| | First Quantum Minerals Ltd. | |
| | | |
| | | |
| | FMG Resources August 2006 Pty. Ltd. | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Kaiser Aluminum Corp., 4.50%, due 6/1/2031 | |
| | Novelis Corp., 4.75%, due 1/30/2030 | |
| | Taseko Mines Ltd., 8.25%, due 5/1/2030 | |
| | | |
Miscellaneous Manufacturer 0.4% |
|
| | Amsted Industries, Inc., 5.63%, due 7/1/2027 | |
| | Calderys Financing LLC, 11.25%, due 6/1/2028 | |
| | Hillenbrand, Inc., 6.25%, due 2/15/2029 | |
| | | |
|
|
| | Ascent Resources Utica Holdings LLC/ARU Finance Corp. | |
| | | |
| | | |
| | Borr IHC Ltd./Borr Finance LLC | |
| | | |
| | | |
| | Chesapeake Energy Corp., 6.75%, due 4/15/2029 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Crescent Energy Finance LLC, 7.63%, due 4/1/2032 | |
| | Diamond Foreign Asset Co./Diamond Finance LLC, 8.50%, due 10/1/2030 | |
| | Hilcorp Energy I LP/Hilcorp Finance Co. | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
See Notes to Financial Statements
Schedule of Investments High Income Bond Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Permian Resources Operating LLC | |
| | | |
| | | |
| | | |
| | Rockcliff Energy II LLC, 5.50%, due 10/15/2029 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
|
|
| | Solaris Midstream Holdings LLC, 7.63%, due 4/1/2026 | |
| | USA Compression Partners LP/USA Compression Finance Corp., 7.13%, due 3/15/2029 | |
| | | |
Packaging & Containers 2.0% |
|
| | Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, 4.00%, due 9/1/2029 | |
| | Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 4.13%, due 8/15/2026 | |
| | Berry Global, Inc., 5.63%, due 7/15/2027 | |
| | Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, due 2/1/2026 | |
| | Mauser Packaging Solutions Holding Co. | |
| | | |
| | | |
| | Pactiv Evergreen Group Issuer LLC/Pactiv Evergreen Group Issuer, Inc., 4.38%, due 10/15/2028 | |
| | Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer LLC, 4.00%, due 10/15/2027 | |
| | Trident TPI Holdings, Inc., 12.75%, due 12/31/2028 | |
| | Trivium Packaging Finance BV | |
| | | |
| | | |
| | | |
|
|
| | 180 Medical, Inc., 3.88%, due 10/15/2029 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Teva Pharmaceutical Finance Netherlands III BV, 7.88%, due 9/15/2029 | |
| | | |
See Notes to Financial Statements
Schedule of Investments High Income Bond Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | Antero Midstream Partners LP/Antero Midstream Finance Corp. | |
| | | |
| | | |
| | | |
| | CQP Holdco LP/BIP-V Chinook Holdco LLC | |
| | | |
| | | |
| | DT Midstream, Inc., 4.13%, due 6/15/2029 | |
| | EQM Midstream Partners LP | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Genesis Energy LP/Genesis Energy Finance Corp. | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Hess Midstream Operations LP, 5.50%, due 10/15/2030 | |
| | Howard Midstream Energy Partners LLC | |
| | | |
| | | |
| | ITT Holdings LLC, 6.50%, due 8/1/2029 | |
| | Kinetik Holdings LP, 5.88%, due 6/15/2030 | |
| | New Fortress Energy, Inc. | |
| | | |
| | | |
| | NGL Energy Operating LLC/NGL Energy Finance Corp. | |
| | | |
| | | |
| | NuStar Logistics LP, 6.00%, due 6/1/2026 | |
| | Prairie Acquiror LP, 9.00%, due 8/1/2029 | |
| | Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Venture Global Calcasieu Pass LLC | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
See Notes to Financial Statements
Schedule of Investments High Income Bond Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | Cushman & Wakefield U.S. Borrower LLC, 8.88%, due 9/1/2031 | |
| | Greystar Real Estate Partners LLC, 7.75%, due 9/1/2030 | |
| | Realogy Group LLC/Realogy Co.-Issuer Corp., 5.75%, due 1/15/2029 | |
| | | |
Real Estate Investment Trusts 4.2% |
|
| | Blackstone Mortgage Trust, Inc., 3.75%, due 1/15/2027 | |
| | EPR Properties, 3.75%, due 8/15/2029 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | MPT Operating Partnership LP/MPT Finance Corp. | |
| | | |
| | | |
| | Necessity Retail REIT, Inc./American Finance Operating Partner LP, 4.50%, due 9/30/2028 | |
| | Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co.-Issuer | |
| | | |
| | | |
| | RHP Hotel Properties LP/RHP Finance Corp. | |
| | | |
| | | |
| | | |
| | RLJ Lodging Trust LP, 4.00%, due 9/15/2029 | |
| | | |
| | | |
| | | |
| | | |
| | Starwood Property Trust, Inc. | |
| | | |
| | | |
| | Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 10.50%, due 2/15/2028 | |
| | VICI Properties LP/VICI Note Co., Inc., 4.13%, due 8/15/2030 | |
| | | |
| | | |
| | | |
| | | |
|
|
| | 1011778 BC ULC/New Red Finance, Inc. | |
| | | |
| | | |
| | Asbury Automotive Group, Inc., 4.63%, due 11/15/2029 | |
| | Bath & Body Works, Inc., 6.63%, due 10/1/2030 | |
| | Beacon Roofing Supply, Inc., 6.50%, due 8/1/2030 | |
| | Carvana Co., 9.00% Cash/12.00% PIK, due 12/1/2028 | |
| | Foundation Building Materials, Inc., 6.00%, due 3/1/2029 | |
| | Gap, Inc., 3.63%, due 10/1/2029 | |
| | GYP Holdings III Corp., 4.63%, due 5/1/2029 | |
See Notes to Financial Statements
Schedule of Investments High Income Bond Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | LCM Investments Holdings II LLC | |
| | | |
| | | |
| | Macy's Retail Holdings LLC | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Nordstrom, Inc., 5.00%, due 1/15/2044 | |
| | PetSmart, Inc./PetSmart Finance Corp. | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Walgreens Boots Alliance, Inc. | |
| | | |
| | | |
| | | |
| | White Cap Buyer LLC, 6.88%, due 10/15/2028 | |
| | White Cap Parent LLC, 8.25% Cash/9.00% PIK, due 3/15/2026 | |
| | | |
| | | |
| | | |
| | | |
|
|
| | Amkor Technology, Inc., 6.63%, due 9/15/2027 | |
|
|
| | AthenaHealth Group, Inc., 6.50%, due 2/15/2030 | |
| | Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc., 8.00%, due 6/15/2029 | |
| | Central Parent, Inc./CDK Global, Inc., 7.25%, due 6/15/2029 | |
| | Cloud Software Group, Inc. | |
| | | |
| | | |
| | Fair Isaac Corp., 5.25%, due 5/15/2026 | |
| | Helios Software Holdings, Inc./ION Corporate Solutions Finance SARL, 8.75%, due 5/1/2029 | |
| | | |
| | | |
| | | |
| | Rackspace Finance LLC, 3.50%, due 5/15/2028 | |
| | UKG, Inc., 6.88%, due 2/1/2031 | |
| | ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, due 2/1/2029 | |
| | | |
|
|
| | Altice France Holding SA, 6.00%, due 2/15/2028 | |
See Notes to Financial Statements
Schedule of Investments High Income Bond Fund^ (Unaudited) (cont’d)
| |
|
Telecommunications – cont'd |
|
| | | |
| | | |
| | | |
| | | |
| | Ciena Corp., 4.00%, due 1/31/2030 | |
| | CommScope Technologies LLC | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Frontier Communications Holdings LLC | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Telecom Italia Capital SA | |
| | | |
| | | |
| | | |
| | U.S. Cellular Corp., 6.70%, due 12/15/2033 | |
| | | |
| | | |
| | | |
| | Vmed O2 U.K. Financing I PLC, 4.75%, due 7/15/2031 | |
| | Zayo Group Holdings, Inc., 4.00%, due 3/1/2027 | |
| | | |
|
|
| | Genesee & Wyoming, Inc., 6.25%, due 4/15/2032 | |
| | XPO, Inc., 7.13%, due 2/1/2032 | |
| | | |
|
|
| | AerCap Global Aviation Trust, 6.50%, due 6/15/2045 | |
| | Fortress Transportation & Infrastructure Investors LLC, 7.00%, due 5/1/2031 | |
| | | |
Total Corporate Bonds (Cost $550,468,940) | |
See Notes to Financial Statements
Schedule of Investments High Income Bond Fund^ (Unaudited) (cont’d)
| |
|
|
|
|
| | First Brands Group LLC, Second Lien Term Loan, (3 mo. USD Term SOFR + 8.50%), 14.14%, due 3/30/2028 | |
Business Equipment & Services 0.1% |
|
| | Cyxtera DC Holdings, Inc., Term Loan B, (3 mo. USD Term SOFR + 2.00%), 10.50%, due 1/16/2025 | |
| | Veritiv Corp., Term Loan B, (3 mo. USD Term SOFR + 5.00%), 10.31%, due 11/30/2030 | |
| | | |
Commercial Services 0.1%(h) |
|
| | Neptune Bidco U.S., Inc., Term Loan B, (3 mo. USD Term SOFR), due 4/11/2029 | |
Construction & Engineering 0.1% |
|
| | | |
| | Term Loan, (1 mo. USD Term SOFR + 3.50%), 8.82%, due 3/14/2031 | |
| | Term Loan, (1 mo. USD Term SOFR + 3.50%), 8.82%, due 3/14/2031 | |
| | | |
Containers & Glass Products 0.2% |
|
| | Trident TPI Holdings, Inc., Term Loan B6, (3 mo. USD Term SOFR + 4.00%), 9.30%, due 9/15/2028 | |
Diversified Insurance 0.1% |
|
| | Gainwell Acquisition Corp., Term Loan B, (3 mo. USD Term SOFR + 4.00%), 9.41%, due 10/1/2027 | |
Electronics - Electrical 0.4% |
|
| | Cloudera, Inc., Term Loan, (1 mo. USD Term SOFR + 3.75%), 9.17%, due 10/8/2028 | |
| | Rackspace Technology Global, Inc., First Lien Term Loan, (1 mo. USD Term SOFR + 6.25%), 11.55%, due 5/15/2028 | |
| | VS Buyer LLC, Term Loan B, (1 mo. USD Term SOFR + 3.25%), 8.57%, due 4/14/2031 | |
| | | |
Energy Equipment & Services 0.1% |
|
| | PG Investment Co. 59 SARL, Term Loan B, (3 mo. USD Term SOFR + 3.50%), 8.81%, due 3/26/2031 | |
|
|
| | Aveanna Healthcare LLC, Term Loan B, (3 mo. USD Term SOFR + 3.75%), 9.19%, due 7/17/2028 | |
| | National Mentor Holdings, Inc. | |
| | Term Loan, (1 mo. USD Term SOFR + 3.75%, 3 mo. USD Term SOFR + 3.75%), 9.16% – 9.17%, due 3/2/2028 | |
| | Term Loan C, (3 mo. USD Term SOFR + 3.75%), 9.16%, due 3/2/2028 | |
| | Parexel International Corp., First Lien Term Loan, (1 mo. USD Term SOFR + 3.25%), 8.68%, due 11/15/2028 | |
| | | |
Health Care Technology 0.4% |
|
| | Cotiviti Corp., Term Loan B, due 2/21/2031 | |
Industrial Equipment 0.3% |
|
| | Engineered Machinery Holdings, Inc., Second Lien Term Loan, (3 mo. USD Term SOFR + 6.00%), 11.57%, due 5/21/2029 | |
|
|
| | Truist Insurance Holdings LLC, Second Lien Term Loan, (1 mo. USD Term SOFR), due 3/8/2032 | |
Life Sciences Tools & Services 0.2% |
|
| | Star Parent, Inc., Term Loan B, (3 mo. USD Term SOFR + 4.00%), 9.31%, due 9/27/2030 | |
See Notes to Financial Statements
Schedule of Investments High Income Bond Fund^ (Unaudited) (cont’d)
| |
|
Nonferrous Metals - Minerals 0.3% |
|
| | U.S. Silica Co., Term Loan B, (1 mo. USD Term SOFR + 4.00%), 9.32%, due 3/25/2030 | |
|
|
| | Prairie ECI Acquiror LP, Term Loan, (1 mo. USD Term SOFR), due 8/1/2029 | |
| | Waterbridge Midstream Operating LLC, Term Loan B, (3 mo. USD Term SOFR + 5.75%), 11.34%, due 6/22/2026 | |
| | | |
|
|
| | New Fortress Energy, Inc., Term Loan, (3 mo. USD Term SOFR + 5.00%), 10.33%, due 10/27/2028 | |
Telecommunications 0.0%(h) |
|
| | Lumen Technologies, Inc., Term Loan A, (1 mo. USD Term SOFR), due 6/1/2028 | |
Trading Companies & Distributors 0.2% |
|
| | Fastlane Parent Co., Inc., Term Loan B, (1 mo. USD Term SOFR + 4.50%), 9.82%, due 9/29/2028 | |
|
|
| | Calpine Corp., Term Loan B10, (1 mo. USD Term SOFR), due 1/31/2031 | |
| | | |
| | Term Loan B, (3 mo. USD Term SOFR + 5.75%), 11.08%, due 1/29/2027 | |
| | Term Loan C, (3 mo. USD Term SOFR + 5.75%), 11.08%, due 1/29/2027 | |
| | | |
Total Loan Assignments (Cost $25,897,205) | |
|
|
|
|
| | DISH Network Corp., 3.38%, due 8/15/2026 (Cost $1,353,399) | |
|
|
|
Short-Term Investments 4.9% |
Investment Companies 4.9% |
|
| | State Street Institutional U.S. Government Money Market Fund Premier Class, 5.25%(n) (Cost $30,106,026) | |
Total Investments 100.8% (Cost $623,703,993) | |
Liabilities Less Other Assets (0.8)% | |
| |
| Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At April 30, 2024, these securities amounted to $509,663,173, which represents 82.5% of net assets of the Fund. |
| Variable or floating rate security. The interest rate shown was the current rate as of April 30, 2024 and changes periodically. |
| Security fair valued as of April 30, 2024 in accordance with procedures approved by the valuation designee. Total value of all such securities at April 30, 2024 amounted to $2,051,442, which represents 0.3% of net assets of the Fund. |
See Notes to Financial Statements
Schedule of Investments High Income Bond Fund^ (Unaudited) (cont’d)
| When-issued security. Total value of all such securities at April 30, 2024 amounted to $5,707,041, which represents 0.9% of net assets of the Fund. |
| Payment-in-kind (PIK) security. |
| Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate shown is the rate in effect as of period end. |
| Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer. The date shown reflects the next call date. |
| Represents less than 0.05% of net assets of the Fund. |
| All or a portion of this security was purchased on a delayed delivery basis. |
| Value determined using significant unobservable inputs. |
| |
| All or a portion of this security had not settled as of April 30, 2024 and thus may not have an interest rate in effect. Interest rates do not take effect until settlement. |
| The stated interest rates represent the range of rates at April 30, 2024 of the underlying contracts within the Loan Assignment. |
| Represents 7-day effective yield as of April 30, 2024. |
| As of April 30, 2024, the value of unfunded loan commitments was $95,603 for the Fund (see Note A of the Notes to Financial Statements). |
See Notes to Financial Statements
Schedule of Investments High Income Bond Fund^ (Unaudited) (cont’d)
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Short-Term Investments and Other Liabilities—Net | | |
| | |
See Notes to Financial Statements
Schedule of Investments High Income Bond Fund^ (Unaudited) (cont’d)
The following is a summary, categorized by Level (see Note A of the Notes to Financial Statements), of inputs used to value the Fund’s investments as of April 30, 2024:
| | | | |
| | | | |
Mortgage-Backed Securities# | | | | |
| | | | |
| | | | |
|
|
|
|
|
| | | | |
Business Equipment & Services | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| The Schedule of Investments provides information on the industry or sector categorization as well as a Positions by Country summary. |
| The following is a reconciliation between the beginning and ending balances of investments in which significant unobservable inputs (Level 3) were used in determining value: |
| Beginning
balance as
of 11/1/2023 | Accrued
discounts/
(premiums) | | Change
in unrealized
appreciation/
(depreciation) | | | | | | Net change in
unrealized
appreciation/
(depreciation)
from
investments
still held as of
4/30/2024 |
Investments in
Securities: | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
(1) Securities categorized as Level 3 were valued using a single quotation obtained from a dealer. The Fund does not have access to significant unobservable inputs and therefore cannot disclose such inputs used in formulating such quotation. |
^
A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Financial Statements
Schedule of Investments Municipal High Income Fund^ (Unaudited) April 30, 2024
| |
|
Oil, Gas & Consumable Fuels 0.1% |
|
| | Rialto Bioenergy Facility LLC | |
| | Term Loan, (1 mo. USD Term SOFR + 10.00%), 15.32%, due 6/6/2024 | |
| | Term Loan DIP, (1 mo. USD Term SOFR + 10.00%), 15.32%, due 6/6/2024 | |
| | | |
|
Total Loan Assignments (Cost $102,446) | |
|
|
|
| | Black Belt Energy Gas District (Alabama Gas Prepay Gas Supply Revenue Project No. 7), Series 2021-C-1, 4.00%, due 12/1/2026 | |
| | Energy Southeast A Cooperative District Revenue, Series 2024-B, 5.25%, due 7/1/2054 Putable 6/1/2032 | |
| | Mobile Industrial Development Board Revenue (Alabama Power Co. Barry Plant Project), Series 2009-A, 3.70%, due 6/1/2034 | |
| | | |
|
|
| | American Samoa Economic Development Authority General Revenue, Series 2021-A, 5.00%, due 9/1/2038 | |
|
|
| | Arizona Industrial Development Authority Revenue Refunding (Phoenix Children's Hospital), (LOC: JP Morgan Chase Bank N.A.), Series 2019-A, 3.70%, due 2/1/2048 | |
| | Maricopa County Industrial Development Authority Education Refunding Revenue (Paradise School Project Paragon Management, Inc.), Series 2016, 5.00%, due 7/1/2036 | |
| | Maricopa County Industrial Development Authority Exempt Facility Revenue (Commercial Metals Co. Project), Series 2022, 4.00%, due 10/15/2047 | |
| | Navajo Nation Refunding Revenue, Series 2015-A, 5.00%, due 12/1/2025 | |
| | Phoenix Industrial Development Authority Education Refunding Revenue (Great Hearts Academies), Series 2016-A, 5.00%, due 7/1/2046 | |
| | Pima County Industrial Development Authority Education Refunding Revenue (American Leadership Academy Project), Series 2015, 5.38%, due 6/15/2035 | |
| | | |
|
|
| | California County Tobacco Securitization Agency Refunding Revenue, Series 2020-B-1, 5.00%, due 6/1/2049 | |
| | California Housing Finance Agency Municipal Certificate | |
| | Series 2019-A, 4.25%, due 1/15/2035 | |
| | Series 2021-1-A, 3.50%, due 11/20/2035 | |
| | California Municipal Finance Authority Charter School Lease Revenue (Santa Rosa Academy Project), Series 2015, 5.13%, due 7/1/2035 | |
| | California Municipal Finance Authority Charter School Revenue (John Adams Academics Project) | |
| | Series 2015-A, 4.50%, due 10/1/2025 | |
| | Series 2019-A, 5.00%, due 10/1/2049 | |
| | California Municipal Finance Authority Charter School Revenue (Palmdale Aerospace Academy Project), Series 2016, 5.00%, due 7/1/2031 | |
| | California Municipal Finance Authority Revenue (Baptist University), Series 2015-A, 5.00%, due 11/1/2030 | |
| | California State Pollution Control Financing Authority Solid Waste Disposal Revenue (Aemerage Redak Services Southern California LLC Project), Series 2016, 7.00%, due 12/1/2027 | |
See Notes to Financial Statements
Schedule of Investments Municipal High Income Fund^ (Unaudited) (cont’d)
| |
|
|
| | California State Pollution Control Financing Authority Solid Waste Disposal Revenue (Calplant I Green Bond Project), Series 2019, 7.50%, due 12/1/2039 | |
| | California State Pollution Control Financing Authority Solid Waste Disposal Revenue (Green Bond-Rialto Bioenergy Facility LLC Project), Series 2019, 7.50%, due 12/1/2040 | |
| | California State School Finance Authority Charter School Revenue (Downtown College Prep-Obligation Group), Series 2016, 4.75%, due 6/1/2036 | |
| | California State School Finance Authority Charter School Revenue (Rocketship Education), Series 2016-A, 5.00%, due 6/1/2031 | |
| | California Statewide Communities Development Authority Revenue Refunding (Lancer Education Student Housing Project), Series 2016-A, 5.00%, due 6/1/2036 | |
| | California Statewide Communities Development Authority Special Tax Revenue Refunding (Community Facility District No. 2007-01 Orinda Wilder Project), Series 2015, 4.50%, due 9/1/2025 | |
| | Chino Valley Unified School District General Obligation, Series 2020-B, (AGM Insured), 3.38%, due 8/1/2050 | |
| | | |
|
|
| | Crystal Crossing Metropolitan District Refunding General Obligation, Series 2016, 4.50%, due 12/1/2026 | |
| | Park Creek Metropolitan District Refunding Tax Allocation Revenue (Senior Ltd. Property Tax Supported) | |
| | Series 2015-A, 5.00%, due 12/1/2034 | |
| | Series 2015-A, 5.00%, due 12/1/2035 | |
| | Series 2015-A, 5.00%, due 12/1/2045 | |
| | Platte River Metropolitan District General Obligation Refunding, Series 2023-A, 6.50%, due 8/1/2053 | |
| | Pueblo Urban Renewal Authority Tax Increment Revenue (Evraz Project), Series 2021-A, 4.75%, due 12/1/2045 | |
| | | |
|
|
| | Capital Trust Agency Senior Living Revenue (H-Bay Ministries, Inc. Superior Residences-Third Tier), Series 2018-C, 7.50%, due 7/1/2053 | |
| | Capital Trust Agency Senior Living Revenue (Wonderful Foundations School Project), Series 2020-A-1, 5.00%, due 1/1/2055 | |
| | Florida Development Finance Corp. Education Facilities Revenue Refunding (Pepin Academies, Inc.), Series 2016-A, 5.00%, due 7/1/2036 | |
| | Florida Development Finance Corp. Revenue Refunding (Brightline Florida Passenger Rail Expansion Project), Series 2024, 5.50%, due 7/1/2053 | |
| | Florida State Development Finance Corp. Education Facilities Revenue (Renaissance Charter School, Inc. Project), Series 2015-A, 6.00%, due 6/15/2035 | |
| | Florida State Housing Finance Corp. Revenue, Series 2015-1, (GNMA/FNMA/FHLMC Insured), 3.75%, due 7/1/2035 | |
| | Village Community Development District No. 13 Special Assessment Revenue, Series 2019, 3.70%, due 5/1/2050 | |
| | | |
|
|
| | Main Street Natural Gas, Inc. Gas Supply Revenue, Series 2022-C, 4.00%, due 8/1/2052 Putable 11/1/2027 | |
| | Municipal Electric Authority of Georgia Revenue (Plant Vogtle Units 3 & 4 Project M Bonds), Series 2023-A, 5.50%, due 7/1/2064 | |
| | | |
|
|
| | Guam Power Authority Revenue, Series 2022-A, 5.00%, due 10/1/2034 | |
See Notes to Financial Statements
Schedule of Investments Municipal High Income Fund^ (Unaudited) (cont’d)
| |
|
|
| | Hawaii State Department of Budget & Finance Special Purpose Revenue Refunding, Series 2015-A, 5.00%, due 1/1/2035 | |
|
|
| | Chicago General Obligation, Series 2023-A, 5.50%, due 1/1/2043 | |
| | Chicago O'Hare International Airport Special Facility Revenue (Trips Obligated Group), Series 2018, 5.00%, due 7/1/2048 | |
| | Chicago Waterworks Revenue (Second Lien Project), Series 2014, 5.00%, due 11/1/2027 | |
| | Illinois Finance Authority Charter School Revenue (Intrinsic School-Belmont School Project), Series 2015-A, 5.75%, due 12/1/2035 | |
| | Illinois Finance Authority Revenue Refunding (Rosalind Franklin University of Medicine & Science), Series 2017-A, 5.00%, due 8/1/2047 | |
| | Upper Illinois River Valley Development Authority Revenue Refunding (Cambridge Lakes Learning Center), Series 2017-A, 5.25%, due 12/1/2047 | |
| | | |
|
|
| | Indiana State Finance Authority Revenue (Greencroft Obligation Group), Series 2021-A, 4.00%, due 11/15/2043 | |
| | Indianapolis Local Public Improvement Bond Bank Revenue (Convention Center Hotel), Series 2023-E, 6.00%, due 3/1/2053 | |
| | | |
|
|
| | Goddard Kansas Sales Tax Special Obligation Revenue (Olympic Park Star Bond Project), Series 2019, 3.60%, due 6/1/2030 | |
|
|
| | Kentucky Economic Development Finance Authority (Senior Next Generation Information Highway Project), Series 2015-A, 4.00%, due 7/1/2029 | |
| | Kentucky Economic Development Finance Authority Revenue Refunding (Owensboro Health), Series 2017-A, 5.00%, due 6/1/2041 | |
| | Kentucky Municipal Power Agency Power System Revenue Refunding (Prairie Saint Project), Series 2019, 4.00%, due 9/1/2045 | |
| | | |
|
|
| | Louisiana Local Government Environmental Facilities & Community Development Authority Revenue (Lafourche Parish Gomesa Project), Series 2019, 3.95%, due 11/1/2043 | |
| | Louisiana Local Government Environmental Facilities & Community Development Authority Revenue Refunding (Westside Habilitation Center Project), Series 2017-A, 5.75%, due 2/1/2032 | |
| | | |
|
|
| | Maine State Finance Authority (Green Bond-Go Lab Madison LLC Project), Series 2021, 8.00%, due 12/1/2051 | |
| | Maine State Finance Authority Solid Waste Disposal Revenue (Casella Waste System Project), Series 2015, 5.13%, due 8/1/2035 Putable 8/1/2025 | |
| | | |
|
|
| | Baltimore Special Obligation Refunding Revenue Senior Lien (Harbor Point Project) | |
| | Series 2019-A, 3.63%, due 6/1/2046 | |
| | Series 2022, 5.00%, due 6/1/2051 | |
| | | |
See Notes to Financial Statements
Schedule of Investments Municipal High Income Fund^ (Unaudited) (cont’d)
| |
|
|
| | Massachusetts State Education Financing Authority Revenue | |
| | Series 2023-B, 4.25%, due 7/1/2044 | |
| | Series 2023-C, 5.00%, due 7/1/2053 | |
| | | |
|
|
| | Saint Paul Housing & Redevelopment Authority Charter School Lease Revenue (Academia Cesar Chavez School Project), Series 2015-A, 5.25%, due 7/1/2050 | |
| | Saint Paul Housing & Redevelopment Authority Charter School Lease Revenue (Twin Cities Academy Project), Series 2015-A, 5.00%, due 7/1/2035 | |
| | | |
|
|
| | Mississippi Development Bank Special Obligation (Jackson Co. Gomesa Project), Series 2021, 3.63%, due 11/1/2036 | |
|
|
| | Gallatin County Industrial Development Revenue (Bozeman Fiber Project), Series 2021-A, 4.00%, due 10/15/2051 | |
|
|
| | Director of the State of Nevada Department of Business & Industrial Revenue (Somerset Academy), Series 2015-A, 5.13%, due 12/15/2045 | |
|
|
| | New Hampshire Business Finance Authority Revenue (Green Bond), Series 2020-B, 3.75%, due 7/1/2045 Putable 7/2/2040 | |
|
|
| | Nassau County Industrial Development Agency Revenue Refunding (Cold Spring), (LOC: TD Bank N.A.), Series 1999, 3.75%, due 1/1/2034 | |
| | New York City Municipal Water Finance Authority Water & Sewer System Refunding Revenue (Second General Resolution Revenue Bonds), Series 2022-DD, 3.90%, due 6/15/2033 | |
| | New York General Obligation, (LOC: U.S. Bank N.A.), Series 2008-L4, 3.75%, due 4/1/2038 | |
| | New York State Transportation Development Corp. Special Facility Revenue (Delta Airlines, Inc.-LaGuardia Airport Terminal C & D Redevelopment), Series 2018, 5.00%, due 1/1/2028 | |
| | New York State Transportation Development Corp. Special Facility Revenue Refunding (American Airlines, Inc., John F. Kennedy International Airport Project), Series 2021, 3.00%, due 8/1/2031 | |
| | Oneida Indian Nation of New York Revenue, Series 2024-B, 6.00%, due 9/1/2043 | |
| | Westchester County Local Development Corp. Revenue (Purchase Senior Learning Community, Inc. Project), Series 2021-A, 5.00%, due 7/1/2056 | |
| | Westchester County Local Development Corp. Revenue Refunding (Kendal on Hudson Project), Series 2022-B, 5.00%, due 1/1/2051 | |
| | Yonkers Economic Development Corp. Education Revenue (Charter School of Education Excellence Project), Series 2019-A, 5.00%, due 10/15/2039 | |
| | | |
|
|
| | Akron Bath Copley Joint Township Hospital District (Summa Health Systems Obligation), Series 2020, 4.00%, due 11/15/2035 | |
| | Buckeye Tobacco Settlement Finance Authority Asset-Backed Senior Refunding Revenue, Series 2020-B-2, 5.00%, due 6/1/2055 | |
| | Cleveland-Cuyahoga County Port Authority Tax Increment Finance Revenue Refunding (Senior-Flats East Bank Project), Series 2021-A, 4.00%, due 12/1/2055 | |
| | Ohio State Air Quality Development Authority (Ohio Valley Electric Corp. Project), Series 2009-B, 1.38%, due 2/1/2026 Putable 11/1/2024 | |
See Notes to Financial Statements
Schedule of Investments Municipal High Income Fund^ (Unaudited) (cont’d)
| |
|
|
| | Ohio State Air Quality Development Authority Exempt Facilities Revenue (AMG Vanadium LLC), Series 2019, 5.00%, due 7/1/2049 | |
| | Ohio State Air Quality Development Authority Revenue (Ohio Valley Electric Corp. Project), Series 2014-B, 2.60%, due 6/1/2041 Putable 10/1/2029 | |
| | Ohio State Air Quality Development Authority Revenue Refunding (Ohio Valley Electric Corp. Project), Series 2019-A, 3.25%, due 9/1/2029 | |
| | | |
|
|
| | Portland General Obligation (Transportation Project), Series 2022-A, 2.25%, due 10/1/2041 | |
| | Yamhill County Hospital Authority Refunding Revenue (Friends View), Series 2021-A, 5.00%, due 11/15/2051 | |
| | | |
|
|
| | Pennsylvania Economic Development Financing Authority Revenue (Bridges Finco LP), Series 2016, 5.00%, due 12/31/2038 | |
| | Pennsylvania Economic Development Financing Authority Revenue Refunding (Tapestry Moon Senior Housing Project), Series 2018-A, 6.75%, due 12/1/2053 | |
| | | |
|
|
| | Puerto Rico Commonwealth General Obligation (Restructured) | |
| | Series 2021-A, 0.00%, due 7/1/2024 | |
| | Series 2021-A, 0.00%, due 7/1/2033 | |
| | Series 2021-A1, 5.38%, due 7/1/2025 | |
| | Series 2021-A1, 5.63%, due 7/1/2027 | |
| | Series 2021-A1, 5.63%, due 7/1/2029 | |
| | Series 2021-A1, 5.75%, due 7/1/2031 | |
| | Series 2021-A1, 4.00%, due 7/1/2033 | |
| | Series 2021-A1, 4.00%, due 7/1/2035 | |
| | Series 2021-A1, 4.00%, due 7/1/2037 | |
| | Series 2021-A1, 4.00%, due 7/1/2041 | |
| | Series 2021-A1, 4.00%, due 7/1/2046 | |
| | Puerto Rico Electric Power Authority Revenue | |
| | Series 2010-XX, 5.25%, due 7/1/2035 | |
| | Series 2012-A, 5.00%, due 7/1/2042 | |
| | Puerto Rico Industrial Tourist Education Medical & Environmental Control Facilities Authority Revenue (Hospital Auxilio Mutuo Obligation Group Project) | |
| | Series 2021, 5.00%, due 7/1/2030 | |
| | Series 2021, 5.00%, due 7/1/2034 | |
| | | |
|
|
| | Rhode Island Health and Educational Building Corp. Revenue (Lifespan Obligation Group), Series 2024, 5.25%, due 5/15/2054 | |
|
|
| | Lancaster County Assessment Revenue Refunding (Walnut Creek Improvement District), Series 2016-A-1, 5.00%, due 12/1/2031 | |
| | South Carolina Jobs Economic Development Authority Economic Development Revenue (River Park Senior Living Project), Series 2017-A, 7.75%, due 10/1/2057 | |
| | South Carolina Jobs Economic Development Authority Solid Waste Disposal Revenue (AMT-Green Bond-Last Step Recycling LLC Project), Series 2021-A, 6.50%, due 6/1/2051 | |
See Notes to Financial Statements
Schedule of Investments Municipal High Income Fund^ (Unaudited) (cont’d)
| |
|
|
| | South Carolina Jobs Economic Development Authority Solid Waste Disposal Revenue (Green Bond-Jasper Pellets LLC Project), Series 2018-A, 7.00%, due 11/1/2038 | |
| | South Carolina Jobs Economic Development Authority Solid Waste Disposal Revenue (RePower South Berkeley LLC Project), Series 2017, 6.25%, due 2/1/2045 | |
| | | |
|
|
| | Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board Revenue (Blakeford At Green Hills), Series 2020-A, 4.00%, due 11/1/2045 | |
|
|
| | Anson Educational Facilities Corp. Educational Revenue (Arlington Classics Academy), Series 2016-A, 5.00%, due 8/15/2045 | |
| | Dallas Independent School District General Obligation, Series 2022, (PSF-GTD Insured), 2.75%, due 2/15/2052 | |
| | Fort Bend County Industrial Development Corp. Revenue (NRG Energy, Inc.), Series 2012-A, 4.75%, due 5/1/2038 | |
| | Hale Center Education Facilities Corp. Revenue Refunding (Wayland Baptist University Project), Series 2022, 5.00%, due 3/1/2033 | |
| | Harris County Municipal Utility District No. 489 General Obligation, Series 2023, (AGM Insured), 4.00%, due 9/1/2036 | |
| | Hidalgo County Regional Mobility Authority Toll & Vehicle Registration Junior Lien Refunding | |
| | Series 2022-B, 4.00%, due 12/1/2039 | |
| | Series 2022-B, 4.00%, due 12/1/2040 | |
| | Houston Airport System Revenue (United Airlines, Inc. Terminal Improvement Project) | |
| | Series 2015-B-1, 5.00%, due 7/15/2030 | |
| | Series 2021-B-1, 4.00%, due 7/15/2041 | |
| | New Hope Cultural Education Facilities Finance Corp. Revenue (Beta Academy), Series 2019-A, 5.00%, due 8/15/2049 | |
| | New Hope Cultural Education Facilities Finance Corp. Senior Living Revenue (Cardinal Bay, Inc. Village On The Park Carriage), Series 2016-C, 5.50%, due 7/1/2046 | |
| | New Hope Cultural Education Facilities Finance Corp. Student Housing Revenue (NCCD-College Station Properties LLC), Series 2015-A, 5.00%, due 7/1/2047 | |
| | Port Beaumont Navigation District Dock & Wharf Facility Revenue Refunding (Jefferson Gulf Coast Energy Project), Series 2020-A, 3.63%, due 1/1/2035 | |
| | Texas State Private Activity Bond Surface Transportation Corp. Revenue (Senior Lien-Blueridge Transportation Group LLC), Series 2016, 5.00%, due 12/31/2040 | |
| | | |
|
|
| | Utah Infrastructure Agency Telecommunication Revenue | |
| | Series 2019-A, 4.00%, due 10/15/2036 | |
| | Series 2021-A, 3.00%, due 10/15/2045 | |
| | | |
|
|
| | Vermont Economic Development Authority Solid Waste Disposal Revenue (Casella Waste System, Inc.), Series 2013, 4.63%, due 4/1/2036 Putable 4/3/2028 | |
| | Vermont Student Assistant Corp. Education Loan Revenue, Series 2015-A, 4.13%, due 6/15/2028 | |
| | | |
|
|
| | West Virginia Hospital Finance Authority Revenue (Vandalia Health Group) | |
| | Series 2023-B, 6.00%, due 9/1/2053 | |
See Notes to Financial Statements
Schedule of Investments Municipal High Income Fund^ (Unaudited) (cont’d)
| |
|
|
| | Series 2023-B, (AGM Insured), 5.38%, due 9/1/2053 | |
| | | |
|
|
| | Public Finance Authority Education Revenue (Resh Triangle High School Project), Series 2015-A, 5.38%, due 7/1/2035 | |
| | Public Finance Authority Hospital Revenue (Carson Valley Medical Center), Series 2021-A, 4.00%, due 12/1/2051 | |
| | Public Finance Authority Revenue (Goodwill Industries of Southern Nevada Project), Series 2015-A, 5.50%, due 12/1/2038 | |
| | Public Finance Authority Revenue (Miami Worldcenter Project), Series 2024-A, 5.00%, due 6/1/2041 | |
| | Public Finance Authority Revenue Refunding (Celanese Project), Series 2016-C, 4.30%, due 11/1/2030 | |
| | Public Finance Authority Special Facility Revenue (Sky Harbour Capital LLC Aviation Facility Project) | |
| | Series 2021, 4.00%, due 7/1/2041 | |
| | Series 2021, 4.25%, due 7/1/2054 | |
| | Saint Croix Chippewa Indians of Wisconsin Refunding, Series 2021, 5.00%, due 9/30/2041 | |
| | University of Wisconsin Hospitals & Clinics Revenue Refunding, (LOC: U.S. Bank N.A.), Series 2009-B, 3.70%, due 4/1/2029 | |
| | Wisconsin State Health & Education Facility Authority Revenue Refunding (Three Pillars Senior Living Communities), Series 2024-A, 5.75%, due 8/15/2059 | |
| | | |
Total Municipal Notes (Cost $72,048,292) | |
Total Investments 101.3% (Cost $72,150,738) | |
Liabilities Less Other Assets (1.3)% | |
| |
| Variable or floating rate security. The interest rate shown was the current rate as of April 30, 2024 and changes periodically. |
| Value determined using significant unobservable inputs. |
| Security fair valued as of April 30, 2024 in accordance with procedures approved by the valuation designee. Total value of all such securities at April 30, 2024 amounted to $132,517, which represents 0.2% of net assets of the Fund. |
| Variable rate demand obligation where the stated interest rate is not based on a published reference rate and spread. Rather, the interest rate generally resets daily or weekly and is determined by the remarketing agent. The rate shown represents the rate in effect at April 30, 2024. |
| Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At April 30, 2024, these securities amounted to $20,009,246, which represents 31.5% of net assets of the Fund. |
| |
| When-issued security. Total value of all such securities at April 30, 2024 amounted to $1,035,588, which represents 1.6% of net assets of the Fund. |
See Notes to Financial Statements
Schedule of Investments Municipal High Income Fund^ (Unaudited) (cont’d)
#
This security is subject to restrictions on resale. Total value of all such securities at April 30, 2024 amounted to $132,517, which represents 0.2% of net assets of the Fund. Acquisition dates shown with a range, if any, represent securities that were acquired over the period shown in the table.
| | | | Fair Value
Percentage
of Net Assets
as of
4/30/2024 |
California State Pollution Control Financing Authority Solid Waste Disposal Revenue (Green Bond-Rialto Bioenergy Facility LLC Project) | | | | |
Rialto Bioenergy Facility LLC | | | | |
Rialto Bioenergy Facility LLC | | | | |
South Carolina Jobs Economic Development Authority Solid Waste Disposal Revenue (Green Bond-Jasper Pellets LLC Project) | | | | |
|
| | | |
See Notes to Financial Statements
Schedule of Investments Municipal High Income Fund^ (Unaudited) (cont’d)
The following is a summary, categorized by Level (see Note A of the Notes to Financial Statements), of inputs used to value the Fund’s investments as of April 30, 2024:
| The Schedule of Investments provides information on the industry, state/territory or sector categorization. |
| The following is a reconciliation between the beginning and ending balances of investments in which significant unobservable inputs (Level 3) were used in determining value: |
| Beginning
balance as
of 11/1/2023 | Accrued
discounts/
(premiums) | | Change
in unrealized
appreciation/
(depreciation) | | | | | | Net change in
unrealized
appreciation/
(depreciation)
from
investments
still held as of
4/30/2024 |
Investments in
Securities: | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
(1) Quantitative Information about Level 3 Fair Value Measurements: |
| | | Significant unobservable
input(s) | | | Impact to
valuation
from
increase
in input(b) |
| | | Recovery Value (of Par Value) | | | |
| | | Recovery Value (of Par Value) | | | |
(a) The weighted averages disclosed in the table above were weighted by relative fair value. |
(b) Represents the expected directional change in the fair value of the Level 3 investments that would result from an increase or decrease in the corresponding input. Significant changes in these inputs could result in significantly higher or lower fair value measurements. |
^
A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Financial Statements
Schedule of Investments Municipal Impact Fund^ (Unaudited) April 30, 2024
| |
|
|
|
| | Fort Payne City General Obligation (School Warrants), Series 2018-B, (AGM Insured), 5.00%, due 5/1/2027 | |
|
|
| | Arizona Health Facilities Authority Revenue (Banner Health), Series 2015-C, (LOC: Bank of America N.A.), 3.70%, due 1/1/2046 | |
|
|
| | Benton Washington Regional Public Water Authority Revenue Green Bond, Series 2022, (BAM Insured), 4.00%, due 10/1/2033 | |
| | Pulaski County Revenue (Arkansas Children's Hospital), Series 2023, 5.25%, due 3/1/2053 | |
| | Russellville Water & Sewer Revenue, Series 2018, (AGM Insured), 4.00%, due 7/1/2028 | |
| | | |
|
|
| | Glendale Water Revenue Refunding, Series 2020, 2.00%, due 2/1/2033 | |
|
|
| | University of Colorado Enterprise System Revenue Refunding (University Enterprise Green Bond), Series 2021-C-3A, 2.00%, due 6/1/2051 Putable 10/15/2026 | |
District of Columbia 1.1% |
|
| | District of Columbia Revenue Refunding (Gallaudet University), Series 2021-A, 5.00%, due 4/1/2051 | |
|
|
| | Florida Development Finance Corp. Revenue Refunding (Brightline Florida Passenger Rail Expansion Project), Series 2024, 5.50%, due 7/1/2053 | |
| | Miami-Dade County (Building Better Community Program), Series 2015-D, 5.00%, due 7/1/2026 | |
| | | |
|
|
| | Metropolitan Atlanta Rapid Transit Authority Sales Tax Revenue Refunding, Series 2016-B, 5.00%, due 7/1/2035 | |
|
|
| | Cook County Community Consolidated School District No. 21 General Obligation (Wheeling School Building), Series 2019-A, (AGM Insured), 4.00%, due 12/1/2035 | |
| | Illinois State General Obligation | |
| | Series 2016, 4.00%, due 1/1/2031 | |
| | Series 2023-B, 5.00%, due 5/1/2028 | |
| | Series 2023-B, 5.00%, due 5/1/2036 | |
| | Sales Tax Securitization Corp. Senior Lien Revenue Refunding (Social Bonds) | |
| | Series 2023-A, 5.00%, due 1/1/2033 | |
| | Series 2023-A, 4.00%, due 1/1/2042 | |
| | | |
|
|
| | Anderson School Building Corp. (First Mortgage), Series 2018, 5.00%, due 1/15/2026 | |
| | Indiana Finance Authority Revenue (Indiana University Health), Series 2023-A, 5.00%, due 10/1/2053 | |
| | Northern Indiana Commuter Transportation District Revenue, Series 2024, 5.00%, due 1/1/2054 | |
| | | |
|
|
| | Breathitt County School District Finance Corp. Revenue | |
| | Series 2021, 2.00%, due 4/1/2027 | |
See Notes to Financial Statements
Schedule of Investments Municipal Impact Fund^ (Unaudited) (cont’d)
| |
|
|
| | Series 2021, 2.00%, due 4/1/2029 | |
| | Daviess County School District Finance Corp. Revenue, Series 2021-A, 2.00%, due 12/1/2031 | |
| | Green County School District Finance Corp. | |
| | Series 2021, 2.00%, due 10/1/2024 | |
| | Series 2021, 2.00%, due 10/1/2025 | |
| | Series 2021, 2.00%, due 10/1/2026 | |
| | Kentucky Economic Development Finance Authority Revenue Refunding (Owensboro Health), Series 2017-A, 5.00%, due 6/1/2041 | |
| | Lewis County School District Finance Corp. Revenue | |
| | Series 2021-B, 2.00%, due 8/1/2024 | |
| | Series 2021-B, 2.00%, due 8/1/2025 | |
| | Logan-Todd Regional Water Commission Revenue Refunding, Series 2016-A, (AGM Insured), 5.00%, due 7/1/2028 | |
| | | |
|
|
| | Louisiana Public Facilities Authority Revenue Refunding (Hurricane Recovery Program), Series 2014, 5.00%, due 6/1/2024 | |
| | Natchitoches Parish School District No. 9 General Obligation | |
| | Series 2018, (AGM Insured), 5.00%, due 3/1/2027 | |
| | Series 2018, (AGM Insured), 5.00%, due 3/1/2028 | |
| | Rapides Parish Consolidated School District No. 62 General Obligation, Series 2024, (BAM Insured), 5.00%, due 3/1/2043 | |
| | | |
|
|
| | Maine State Finance Authority (Green Bond-Go Lab Madison LLC Project), Series 2021, 8.00%, due 12/1/2051 | |
|
|
| | Dearborn General Obligation (Sewer), Series 2018, 4.00%, due 4/1/2033 | |
| | Detroit General Obligation | |
| | Series 2021-A, 4.00%, due 4/1/2040 | |
| | Series 2023-C, 6.00%, due 5/1/2043 | |
| | Fowlerville Community School District Refunding General Obligation, Series 2022, 4.00%, due 5/1/2033 | |
| | Kent Hospital Finance Authority Revenue (Mary Free Bed Rehabilitation Hospital) | |
| | Series 2021-A, 5.00%, due 4/1/2028 | |
| | Series 2021-A, 4.00%, due 4/1/2033 | |
| | Livonia Public School District General Obligation, Series 2016, (AGM Insured), 5.00%, due 5/1/2028 | |
| | Michigan State Housing Development Authority Revenue (Non Ace), Series 2016-B, 2.50%, due 12/1/2026 | |
| | Michigan State Housing Development Authority Revenue Refunding, Series 2018-B, 3.15%, due 4/1/2028 | |
| | Michigan State Housing Development Authority Single Family Mortgage Revenue (Non Ace), Series 2018-C, 2.90%, due 12/1/2024 | |
| | Michigan State Strategic Fund Ltd. Obligation Revenue (Green Bond-Recycled Board Machine Project), Series 2021, 4.00%, due 10/1/2061 Putable 10/1/2026 | |
| | Trenton Public School District General Obligation (School Building & Site) | |
| | Series 2018-B, 5.00%, due 5/1/2036 | |
| | Series 2018-B, 5.00%, due 5/1/2039 | |
| | | |
See Notes to Financial Statements
Schedule of Investments Municipal Impact Fund^ (Unaudited) (cont’d)
| |
|
|
| | Duluth Economic Development Authority Revenue Refunding (Saint Luke's Hospital of Duluth) | |
| | Series 2022-A, 5.00%, due 6/15/2027 | |
| | Series 2022-A, 5.00%, due 6/15/2028 | |
| | Minnesota Agricultural & Economic Development Board Revenue (HealthPartners Obligated Group) | |
| | Series 2024, 5.00%, due 1/1/2036 | |
| | Series 2024, 5.25%, due 1/1/2054 | |
| | Saint Paul Housing & Redevelopment Authority Charter School Lease Revenue (Metro Deaf School Project), Series 2018-A, 5.00%, due 6/15/2038 | |
| | | |
|
|
| | Bi-State Development Agency of the Missouri-Illinois Metropolitan District Revenue Refunding (Combined Lien Mass Transit Sales Tax Appropriation), Series 2019, 4.00%, due 10/1/2036 | |
| | Saint Louis School District General Obligation, Series 2023, (AGM Insured), 5.00%, due 4/1/2039 | |
| | | |
|
|
| | New Hampshire Business Finance Authority Revenue (Pennichuck Water Works, Inc.) | |
| | Series 2024-A, 5.50%, due 4/1/2043 | |
| | Series 2024-A, 5.38%, due 4/1/2049 | |
| | Series 2024-A, 5.50%, due 4/1/2054 | |
| | Series 2024-A, 5.63%, due 4/1/2059 | |
| | | |
|
|
| | New Jersey State Economic Development Authority Revenue (Social Bonds), Series 2021-QQQ, 5.00%, due 6/15/2025 | |
| | New Jersey State Housing & Mortgage Finance Agency Multi-Family Revenue Refunding, Series 2017-A, 2.60%, due 11/1/2024 | |
| | New Jersey State Transportation Trust Fund Authority Revenue Refunding, Series 2021-A, 5.00%, due 6/15/2031 | |
| | Newark Board of Education General Obligation (Sustainability Bonds), Series 2021, (BAM Insured), 3.00%, due 7/15/2038 | |
| | | |
|
|
| | Buffalo Sewer Authority Environmental Impact Revenue (Green Bond), Series 2021, 1.75%, due 6/15/2049 | |
| | Build NYC Resource Corp. Revenue (New Dawn Charter School Project), Series 2019, 5.75%, due 2/1/2049 | |
| | Metropolitan Transportation Authority Revenue, (LOC: Barclays Bank PLC), Series 2015-E-1, 3.85%, due 11/15/2050 | |
| | Nassau County Industrial Development Agency Revenue Refunding (Cold Spring), (LOC: TD Bank N.A.), Series 1999, 3.75%, due 1/1/2034 | |
| | Nassau County Local Economic Assistance Corp. Revenue (Catholic Health Services of Long Island Obligated Group Project), Series 2014, 5.00%, due 7/1/2027 | |
| | New York City Housing Development Corp. Multi-Family Housing Revenue (Sustainable Development Bonds) | |
| | Series 2020-A, 1.13%, due 5/1/2060 Putable 11/1/2024 | |
| | Series 2021-F-1, 1.25%, due 5/1/2029 | |
| | New York City Housing Development Corp. Revenue, Series 2020-C, (HUD Section 8, Fannie Mae Insured), 2.15%, due 8/1/2035 | |
| | New York City Municipal Water Finance Authority Water & Sewer System Refunding Revenue (Second General Resolution Revenue Bonds), (LOC: JP Morgan Chase Bank N.A.), Series 2013-AA-2, 3.80%, due 6/15/2050 | |
See Notes to Financial Statements
Schedule of Investments Municipal Impact Fund^ (Unaudited) (cont’d)
| |
|
|
| | New York General Obligation, (LOC: TD Bank N.A.), Series 2022-A-4, 3.75%, due 9/1/2049 | |
| | New York State Dormitory Authority Revenue (Financing Program), Series 2023-A, (AGM Insured), 5.00%, due 10/1/2036 | |
| | New York State Dormitory Authority Revenue Refunding, Series 2024-A, 5.00%, due 3/15/2041 | |
| | New York State Power Authority Revenue (Green Transmission Project-Green Bond), Series 2022-A, (AGM Insured), 5.00%, due 11/15/2024 | |
| | | |
|
|
| | Scotland County Revenue, Series 2018, 5.00%, due 12/1/2026 | |
|
|
| | Cass County Joint Water Resource District, Series 2021-A, 0.48%, due 5/1/2024 | |
|
|
| | Akron Bath Copley Joint Township Hospital District (Summa Health Systems Obligation), Series 2020, 4.00%, due 11/15/2036 | |
| | American Municipal Power Ohio, Inc. Revenue (Combined Hydroelectric Project), Series 2021-A-2, 1.00%, due 2/15/2048 Putable 8/15/2024 | |
| | Cuyahoga Metropolitan Housing Authority Revenue, Series 2021, (2045 Initiative Project), 2.00%, due 12/1/2031 | |
| | Ohio State Air Quality Development Authority Exempt Facilities Revenue (AMG Vanadium LLC), Series 2019, 5.00%, due 7/1/2049 | |
| | | |
|
|
| | Johnston County Educational Facility Authority Lease Revenue (Tishomingo Public School Project), Series 2022, 4.00%, due 9/1/2030 | |
| | Lincoln County Education Facility Authority Education Facilities Lease Revenue (Stroud Public School Project), Series 2016, 5.00%, due 9/1/2027 | |
| | Oklahoma County Finance Authority Revenue (Choctaw-Nicoma Park Public Schools Project), Series 2023, 5.00%, due 9/1/2032 | |
| | Oklahoma County Finance Authority Revenue (Midwest City-Del Public Schools Project), Series 2004, (BAM Insured), 5.00%, due 10/1/2044 | |
| | | |
|
|
| | Allegheny County Sanitary Authority Revenue | |
| | Series 2018, 5.00%, due 6/1/2030 | |
| | Series 2018, 5.00%, due 6/1/2032 | |
| | Pennsylvania State Housing Finance Agency Single Family Mortgage Revenue | |
| | Series 2018-127B, 2.85%, due 4/1/2026 | |
| | Series 2019-131A, 1.75%, due 4/1/2025 | |
| | | |
|
|
| | Puerto Rico Industrial Tourist Education Medical & Environmental Control Facilities Authority Revenue (Hospital Auxilio Mutuo Obligation Group Project) | |
| | Series 2021, 5.00%, due 7/1/2035 | |
| | Series 2021, 4.00%, due 7/1/2036 | |
| | Series 2021, 4.00%, due 7/1/2038 | |
| | | |
|
|
| | Dillon County School Facility Corp. Certificate of Participation Refunding | |
| | Series 2020, 5.00%, due 12/1/2026 | |
See Notes to Financial Statements
Schedule of Investments Municipal Impact Fund^ (Unaudited) (cont’d)
| |
|
|
| | Series 2020, 5.00%, due 12/1/2027 | |
| | South Carolina Jobs Economic Development Authority Solid Waste Disposal Revenue (AMT-Green Bond-Last Step Recycling LLC Project), Series 2021-A, 6.50%, due 6/1/2051 | |
| | South Carolina Jobs Economic Development Authority Solid Waste Disposal Revenue (Green Bond-Jasper Pellets LLC Project), Series 2018-A, 7.00%, due 11/1/2038 | |
| | | |
|
|
| | Tennessee Housing Development Agency Residential Finance Program Revenue, Series 2019, 3.25%, due 7/1/2032 | |
|
|
| | Anna Independent School District General Obligation, Series 2023, (PSF-GTD Insured), 4.13%, due 2/15/2053 | |
| | EP Tuscany Zaragosa PFC Revenue (Home Essential Function Housing Program), Series 2023, 4.00%, due 12/1/2033 | |
| | Hidalgo County Regional Mobility Authority Revenue Toll & Vehicle Registration Junior Lien Refunding, Series 2022-B, 4.00%, due 12/1/2038 | |
| | Klein Independent School District Refunding General Obligation (School House), Series 2015-A, (PSF-GTD Insured), 4.00%, due 8/1/2029 | |
| | New Caney Independent School District, Series 2018, (PSF-GTD Insured), 1.25%, due 2/15/2050 Putable 8/15/2024 | |
| | Weslaco General Obligation Refunding, Series 2017, (AGM Insured), 5.00%, due 8/15/2027 | |
| | Ysleta Independent School District General Obligation (School Building), Series 2017-B, (PSF-GTD Insured), 5.00%, due 8/15/2041 | |
| | | |
|
|
| | Virginia State Housing Development Authority, Series 2019 E, 2.90%, due 12/1/2038 | |
|
|
| | Discovery Clean Water Alliance Sewer Revenue, Series 2022, 5.00%, due 12/1/2037 | |
| | Washington State Housing Finance Commission, Series 2021-A-1, 3.50%, due 12/20/2035 | |
| | | |
|
|
| | West Virginia Hospital Finance Authority Revenue (Improvement West Virginia University Health System Obligated Group), Series 2018-A, 5.00%, due 6/1/2052 | |
| | West Virginia Hospital Finance Authority Revenue (University Health System Obligated Group), Series 2023-A, 5.00%, due 6/1/2043 | |
| | West Virginia Hospital Finance Authority Revenue (Vandalia Health Group), Series 2023-B, 6.00%, due 9/1/2053 | |
| | West Virginia Hospital Finance Authority Revenue (West Virginia University Health Systems), Series 2017-A, 5.00%, due 6/1/2035 | |
| | West Virginia Hospital Finance Authority Revenue Refunding (Cabell Huntington Hospital Obligated Group), Series 2018-A, 5.00%, due 1/1/2035 | |
| | West Virginia Housing Development Fund Revenue (Housing Finance), Series 2018-A, (HUD Section 8 Insured), 2.65%, due 11/1/2024 | |
See Notes to Financial Statements
Schedule of Investments Municipal Impact Fund^ (Unaudited) (cont’d)
| |
|
|
| | West Virginia Water Development Authority Revenue Refunding (Loan Program), Series 2018-A-IV, 5.00%, due 11/1/2036 | |
| | | |
Total Investments 100.2% (Cost $78,637,055) | |
Liabilities Less Other Assets (0.2)% | |
| |
| Variable rate demand obligation where the stated interest rate is not based on a published reference rate and spread. Rather, the interest rate generally resets daily or weekly and is determined by the remarketing agent. The rate shown represents the rate in effect at April 30, 2024. |
| When-issued security. Total value of all such securities at April 30, 2024 amounted to $776,691, which represents 1.0% of net assets of the Fund. |
| Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At April 30, 2024, these securities amounted to $984,978, which represents 1.3% of net assets of the Fund. |
| Step Bond. Coupon rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown was the current rate as of April 30, 2024. |
| |
| Value determined using significant unobservable inputs. |
| Security fair valued as of April 30, 2024 in accordance with procedures approved by the valuation designee. Total value of all such securities at April 30, 2024 amounted to $30,608, which represents 0.0% of net assets of the Fund. |
# This security is subject to restrictions on resale. Total value of all such securities at April 30, 2024 amounted to $30,608, which represents 0.0% of net assets of the Fund. Acquisition dates shown with a range, if any, represent securities that were acquired over the period shown in the table.
| | | | Fair Value
Percentage
of Net Assets
as of
4/30/2024 |
South Carolina Jobs Economic Development Authority Solid Waste Disposal Revenue (Green Bond-Jasper Pellets LLC Project) | | | | |
See Notes to Financial Statements
Schedule of Investments Municipal Impact Fund^ (Unaudited) (cont’d)
The following is a summary, categorized by Level (see Note A of the Notes to Financial Statements), of inputs used to value the Fund’s investments as of April 30, 2024:
| The Schedule of Investments provides information on the state/territory categorization. |
| The following is a reconciliation between the beginning and ending balances of investments in which significant unobservable inputs (Level 3) were used in determining value: |
| Beginning
balance as
of 11/1/2023 | Accrued
discounts/
(premiums) | | Change
in unrealized
appreciation/
(depreciation) | | | | | | Net change in
unrealized
appreciation/
(depreciation)
from
investments
still held as of
4/30/2024 |
Investments in
Securities: | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
(1) Quantitative Information about Level 3 Fair Value Measurements: |
| | | Significant unobservable
input(s) | | | Impact to
valuation
from
increase
in input(b) |
| | | Recovery Value (of Par Value) | | | |
(a) The weighted averages disclosed in the table above were weighted by relative fair value. |
(b) Represents the expected directional change in the fair value of the Level 3 investments that would result from an increase or decrease in the corresponding input. Significant changes in these inputs could result in significantly higher or lower fair value measurements. |
^
A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Financial Statements
Schedule of Investments Municipal Intermediate Bond Fund^ (Unaudited) April 30, 2024
| |
|
|
|
| | Black Belt Energy Gas District (Alabama Gas Prepay Gas Supply Revenue Project No. 7), Series 2021-C-1, 4.00%, due 10/1/2052 Putable 12/1/2026 | |
| | Energy Southeast A Cooperative District Revenue, Series 2024-B, 5.25%, due 7/1/2054 Putable 6/1/2032 | |
| | | |
|
|
| | Arizona Industrial Development Authority Revenue Refunding (Phoenix Children's Hospital), (LOC: JP Morgan Chase Bank N.A.), Series 2019-A, 3.70%, due 2/1/2048 | |
| | Maricopa County Industrial Development Authority Revenue (Banner Health Obligated Group), Series 2017-C, 5.00%, due 1/1/2048 Putable 10/18/2024 | |
| | | |
|
|
| | Mountain Home Arkansas Sales & Use Tax Revenue, Series 2021-B, 2.00%, due 9/1/2038 | |
|
|
| | California Educational Facilities Authority Revenue (Stanford University), Series 2023-V, 5.00%, due 6/1/2033 | |
| | California Housing Finance Agency Municipal Certificate | |
| | Series 2019-2, 4.00%, due 3/20/2033 | |
| | Series 2021-1-A, 3.50%, due 11/20/2035 | |
| | California Municipal Finance Authority Revenue (Northbay Healthcare Group), Series 2017-A, 5.25%, due 11/1/2036 | |
| | California Statewide Communities Development Authority Revenue (Henry Mayo Newhall Memorial Hospital), Series 2014-A, (AGM Insured), 5.00%, due 10/1/2028 Pre-Refunded 10/1/2024 | |
| | Contra Costa County Redevelopment Agency Successor Agency Tax Allocation Refunding, Series 2017-A, (BAM Insured), 5.00%, due 8/1/2032 | |
| | Fresno Joint Power Financing Authority Lease Revenue Refunding (Master Lease Project) | |
| | Series 2017-A, (AGM Insured), 5.00%, due 4/1/2027 | |
| | Series 2017-A, (AGM Insured), 5.00%, due 4/1/2032 | |
| | San Francisco City & County Redevelopment Agency Successor Agency Refunding (Community Facilities District No. 6), Series 2023, (AGM Insured), 5.25%, due 8/1/2042 | |
| | San Marcos Unified School District General Obligation Capital Appreciation (Election 2010), Series 2012-B, 0.00%, due 8/1/2027 | |
| | Santa Monica-Malibu Unified School District General Obligation, Series 2019-E, 3.00%, due 8/1/2034 | |
| | | |
|
|
| | Colorado State Educational & Cultural Facility Authority Revenue Refunding (Alexander Dawson School Project), Series 2016, 5.00%, due 5/15/2025 | |
| | Denver Health & Hospital Authority Healthcare Revenue Refunding, Series 2019-A, 4.00%, due 12/1/2037 | |
| | Westminster Public Schools Certificate of Participation, Series 2019, (AGM Insured), 5.00%, due 12/1/2030 | |
| | | |
|
|
| | Meriden City General Obligation, Series 2020-B, 3.00%, due 7/1/2031 | |
|
|
| | Delaware State Health Facility Authority Revenue (Beebe Medical Center) | |
| | Series 2018, 5.00%, due 6/1/2027 | |
See Notes to Financial Statements
Schedule of Investments Municipal Intermediate Bond Fund^ (Unaudited) (cont’d)
| |
|
|
| | Series 2018, 5.00%, due 6/1/2028 | |
| | | |
District of Columbia 0.5% |
|
| | Washington Convention & Sports Authority Revenue, Series 2021-A, 5.00%, due 10/1/2027 | |
|
|
| | Cape Coral Special Obligation Refunding Revenue, Series 2015, 4.00%, due 10/1/2030 | |
| | Cityplace Community Development District Special Assessment Refunding Revenue, Series 2012, 5.00%, due 5/1/2026 | |
| | Escambia County Florida Environmental Improvement Revenue Refunding (International Paper Co. Project), Series 2019-B, 2.00%, due 11/1/2033 Putable 10/1/2024 | |
| | Miami-Dade County General Obligation Refunding, Series 2015-B, 4.00%, due 7/1/2032 | |
| | Village Community Development District No. 13 Special Assessment Revenue, Series 2019, 3.00%, due 5/1/2029 | |
| | Wildwood Utility Dependent District Revenue (Senior-South Sumter Utilities Project) | |
| | Series 2021, (BAM Insured), 5.00%, due 10/1/2034 | |
| | Series 2021, (BAM Insured), 5.00%, due 10/1/2035 | |
| | Series 2021, (BAM Insured), 5.00%, due 10/1/2036 | |
| | Series 2021, (BAM Insured), 5.00%, due 10/1/2037 | |
| | | |
|
|
| | Main Street Natural Gas, Inc. Gas Supply Revenue, Series 2024-B1, 5.00%, due 12/1/2054 Putable 3/1/2032 | |
| | Monroe County Development Authority PCR Revenue (Georgia Power Co. Plant-Scherer Project), Series 2009, 1.00%, due 7/1/2049 Putable 8/21/2026 | |
| | Municipal Electric Authority of Georgia (Plant Vogtle Units 3 & 4 Project M Bonds) | |
| | Series 2019-A, 5.00%, due 1/1/2032 | |
| | Series 2019-A, 5.00%, due 1/1/2033 | |
| | Municipal Electric Authority of Georgia Revenue (Plant Vogtle Units 3 & 4 Project M Bonds), Series 2023-A, 5.50%, due 7/1/2064 | |
| | Savannah Economic Development Authority Revenue Refunding (International Paper Co. Project), Series 2019-A, 2.00%, due 11/1/2033 Putable 10/1/2024 | |
| | | |
|
|
| | Bureau County Township High School District No. 502 General Obligation, Series 2017-A, (BAM Insured), 5.00%, due 12/1/2033 Pre-Refunded 12/1/2027 | |
| | Chicago General Obligation, Series 2023-A, 5.50%, due 1/1/2043 | |
| | Chicago Refunding General Obligation | |
| | Series 2020-A, 5.00%, due 1/1/2026 | |
| | Series 2021-A, 4.00%, due 1/1/2035 | |
| | Cook County Sales Tax Revenue Refunding | |
| | Series 2021-A, 5.00%, due 11/15/2031 | |
| | Series 2021-A, 5.00%, due 11/15/2032 | |
| | Illinois Finance Authority Revenue | |
| | Series 2018 (Government Program-Brookfield Lagrange Park School District No. 95 Project), 4.00%, due 12/1/2038 | |
| | Series 2018, (BAM Insured) (Government Program-E Prairie School District No. 73 Project), 5.00%, due 12/1/2029 | |
| | Series 2018, (BAM Insured) (Government Program-E Prairie School District No. 73 Project), 4.00%, due 12/1/2042 | |
See Notes to Financial Statements
Schedule of Investments Municipal Intermediate Bond Fund^ (Unaudited) (cont’d)
| |
|
|
| | Illinois State Finance Authority Revenue (Downers Grove Community High School District No. 99 Project) | |
| | Series 2019, 4.00%, due 12/15/2030 | |
| | Series 2019, 4.00%, due 12/15/2031 | |
| | Illinois State General Obligation | |
| | Series 2017-D, 5.00%, due 11/1/2027 | |
| | Series 2017-D, 5.00%, due 11/1/2028 | |
| | Series 2020, 5.75%, due 5/1/2045 | |
| | Series 2021-A, 4.00%, due 3/1/2039 | |
| | Peoria School District No. 150 General Obligation Refunding | |
| | Series 2020-A, (AGM Insured), 4.00%, due 12/1/2026 | |
| | Series 2020-A, (AGM Insured), 4.00%, due 12/1/2027 | |
| | Series 2020-A, (AGM Insured), 4.00%, due 12/1/2028 | |
| | Sales Tax Securitization Corp. Revenue Refunding, Series 2017-A, 5.00%, due 1/1/2028 | |
| | Sales Tax Securitization Corp. Revenue Refunding Second Lien, Series 2020-A, 5.00%, due 1/1/2026 | |
| | Sales Tax Securitization Corp. Senior Lien Revenue Refunding (Social Bonds), Series 2023-A, 4.00%, due 1/1/2042 | |
| | Springfield General Obligation | |
| | Series 2014, 4.25%, due 12/1/2027 | |
| | Series 2014, 5.00%, due 12/1/2028 | |
| | | |
|
|
| | Fairfield School Building Corp. Revenue, Series 2021, 3.00%, due 7/15/2028 | |
| | Indiana State Finance Authority Revenue (Greencroft Obligation Group), Series 2021-A, 4.00%, due 11/15/2043 | |
| | Indiana State Housing & Community Development Authority Single Family Mortgage Revenue | |
| | Series 2019-B, (GNMA/FNMA/FHLMC Insured), 2.40%, due 7/1/2034 | |
| | Series 2020-B-1, (GNMA Insured), 1.60%, due 1/1/2031 | |
| | Series 2020-B-1, (GNMA Insured), 1.75%, due 7/1/2032 | |
| | Indiana State Municipal Power Agency Refunding Revenue, Series 2016-C, 5.00%, due 1/1/2027 | |
| | Indianapolis Local Public Improvement Bond Bank Revenue (Convention Center Hotel), Series 2023-E, 6.00%, due 3/1/2053 | |
| | | |
|
|
| | Iowa Higher Education Loan Authority Revenue (Private College Des Moines University Project), Series 2020, 5.00%, due 10/1/2027 | |
| | Iowa State Finance Authority Single Family Mortgage Revenue, Series 2021-B, (GNMA/FNMA/FHLMC Insured), 1.85%, due 7/1/2032 | |
| | Iowa State Finance Authority Single Family Mortgage Revenue (Non Ace-Mortgage-Backed Security Program), Series 2017-C, (GNMA/FNMA/FHLMC Insured), 2.30%, due 1/1/2026 | |
| | | |
|
|
| | Wichita Sales Tax Special Obligation Revenue (River District Stadium Star Bond Project) | |
| | Series 2018, 5.00%, due 9/1/2025 | |
| | Series 2018, 5.00%, due 9/1/2027 | |
| | | |
|
|
| | Kentucky State Property & Building Commission Revenue (Project No.128) | |
| | Series 2023-A, 5.00%, due 11/1/2035 | |
See Notes to Financial Statements
Schedule of Investments Municipal Intermediate Bond Fund^ (Unaudited) (cont’d)
| |
|
|
| | Series 2023-A, 5.50%, due 11/1/2043 | |
| | | |
|
|
| | Louisiana Stadium & Exposition District Revenue Refunding, Series 2023-A, 5.00%, due 7/1/2037 | |
| | Louisiana State Gasoline & Fuels Tax Revenue Refunding Second Lien, Series 2023-A-1, (LOC: Toronto-Dominion Bank), 3.75%, due 5/1/2043 | |
| | Saint John the Baptist Parish LA Revenue Refunding (Marathon Oil Corp. Project), Subseries 2017-B-2, 2.38%, due 6/1/2037 Putable 7/1/2026 | |
| | | |
|
|
| | Baltimore Special Obligation Refunding Revenue Senior Lien (Harbor Point Project), Series 2019-A, 3.63%, due 6/1/2046 | |
| | Maryland State Housing & Community Development Administration Department Revenue, Series 2020-D, 1.95%, due 9/1/2035 | |
| | | |
|
|
| | Massachusetts Development Finance Agency Revenue Refunding, Series 2021-G, 5.00%, due 7/1/2050 | |
|
|
| | Detroit Downtown Development Authority Tax Increment Revenue Refunding (Catalyst Development Project), Series 2018-A, (AGM Insured), 5.00%, due 7/1/2029 | |
| | Michigan State Housing Development Authority Revenue, Series 2016-B, 2.30%, due 6/1/2025 | |
| | Walled Lake Consolidated School District | |
| | Series 2020, 5.00%, due 5/1/2032 | |
| | Series 2020, 5.00%, due 5/1/2033 | |
| | | |
|
|
| | Saint Paul Housing & Redevelopment Authority Health Care Revenue Refunding (Fairview Health Services Obligated Group), Series 2017-A, 4.00%, due 11/15/2043 | |
|
|
| | Mississippi Development Bank Special Obligation (Meridian Public School District Project), Series 2023, (BAM Insured), 4.00%, due 4/1/2037 | |
| | Mississippi State General Obligation Refunding, Series 2015-C, 5.00%, due 10/1/2026 | |
| | | |
|
|
| | Missouri State Health & Educational Facilities Authority Revenue (Mercy Health), Series 2023, 5.50%, due 12/1/2040 | |
| | Missouri State Health & Educational Facilities Authority Revenue (Saint Louis University), Series 2008-B1, (LOC: Barclays Bank PLC), 3.65%, due 10/1/2035 | |
| | Missouri State Housing Development Commission Single Family Mortgage Revenue (Non-AMT Special Homeownership Loan Program) | |
| | Series 2014-A, (GNMA/FNMA/FHLMC Insured), 3.80%, due 11/1/2034 | |
| | Series 2014-A, (GNMA/FNMA/FHLMC Insured), 4.00%, due 11/1/2039 | |
| | | |
|
|
| | Central Plains Energy Project Revenue Refunding, Series 2023-A, 5.00%, due 5/1/2054 Putable 11/1/2029 | |
See Notes to Financial Statements
Schedule of Investments Municipal Intermediate Bond Fund^ (Unaudited) (cont’d)
| |
|
|
| | New Jersey Health Care Facilities Financing Authority Contract Revenue Refunding (Hospital Asset Transportation Program), Series 2017, 5.00%, due 10/1/2028 | |
| | New Jersey Health Care Facilities Financing Authority Revenue (Inspira Health Obligated Group), Series 2017-A, 5.00%, due 7/1/2029 | |
| | New Jersey State Transportation Trust Fund Authority, Series 2019-BB, 5.00%, due 6/15/2029 | |
| | New Jersey State Transportation Trust Fund Authority Transportation System Revenue Refunding | |
| | Series 2018-A, 5.00%, due 12/15/2032 | |
| | Series 2019-A, 5.00%, due 12/15/2028 | |
| | Newark General Obligation, Series 2020-A, (AGM Insured), 5.00%, due 10/1/2027 | |
| | | |
|
|
| | Albany Capital Resource Corp. Refunding Revenue (Albany College of Pharmacy & Health Sciences), Series 2014-A, 5.00%, due 12/1/2026 | |
| | Broome County Local Development Corp. Revenue (Good Shepherd Village at Endwell, Inc. Project), Series 2021, 4.00%, due 7/1/2047 | |
| | Deutsche Bank Spears/Lifers Trust Revenue, Series 2023-DB-8201, 3.98%, due 11/15/2046 | |
| | Dutchess County Local Development Corp. Revenue Refunding (Culinary Institute of America Project) | |
| | Series 2021, 5.00%, due 7/1/2033 | |
| | Series 2021, 4.00%, due 7/1/2036 | |
| | Series 2021, 4.00%, due 7/1/2037 | |
| | Series 2021, 4.00%, due 7/1/2039 | |
| | Series 2021, 4.00%, due 7/1/2040 | |
| | Metropolitan Transportation Authority Revenue (Green Bond), Series 2020-E, 4.00%, due 11/15/2045 | |
| | Monroe County General Obligation (Public Improvement), Series 2019-A, (BAM Insured), 4.00%, due 6/1/2028 | |
| | New Paltz Central School District General Obligation, Series 2019, 4.00%, due 2/15/2029 | |
| | New York City Housing Development Corp. Revenue, Series 2020-C, (HUD Section 8, Fannie Mae Insured), 2.15%, due 8/1/2035 | |
| | New York City Municipal Water Finance Authority Water & Sewer System Refunding Revenue (Second General Resolution Revenue Bonds) | |
| | Series 2009-CC, 3.75%, due 6/15/2041 | |
| | Series 2023-DD, 5.25%, due 6/15/2047 | |
| | Series 2024-CC-2, 5.00%, due 6/15/2036 | |
| | New York City Transitional Finance Authority Revenue (Future Tax Secured) | |
| | Series 2015-C, 5.00%, due 11/1/2027 | |
| | Series 2016-A-1, 5.00%, due 5/1/2040 | |
| | Subseries 2016-A-1, 4.00%, due 5/1/2031 | |
| | New York City Trust for Cultural Resource Revenue Refunding (Carnegie Hall) | |
| | Series 2019, 5.00%, due 12/1/2037 | |
| | Series 2019, 5.00%, due 12/1/2038 | |
| | Series 2019, 5.00%, due 12/1/2039 | |
| | New York General Obligation | |
| | Series 2018 E-1, 5.00%, due 3/1/2031 | |
| | Subseries 2018-F-1, 5.00%, due 4/1/2034 | |
| | New York Liberty Development Corp. Refunding Revenue Green Bonds (4 World Trade Center Project) | |
| | Series 2021-A, 2.50%, due 11/15/2036 | |
| | Series 2021-A, 2.75%, due 11/15/2041 | |
| | New York State Dormitory Authority Revenue Refunding, Series 2024-A, 5.00%, due 3/15/2035 | |
| | New York State Transportation Development Corp. Special Facility Revenue Refunding (JFK International Airport Terminal 4 Project), Series 2020-C, 5.00%, due 12/1/2038 | |
See Notes to Financial Statements
Schedule of Investments Municipal Intermediate Bond Fund^ (Unaudited) (cont’d)
| |
|
|
| | Oneida Indian Nation of New York Revenue, Series 2024-B, 6.00%, due 9/1/2043 | |
| | Onondaga Civic Development Corp. (Le Moyne Collage Project), Series 2021, 5.00%, due 7/1/2034 | |
| | Onondaga Civic Development Corp. Refunding (Le Moyne Collage Project) | |
| | Series 2022, 4.00%, due 7/1/2034 | |
| | Series 2022, 4.00%, due 7/1/2036 | |
| | Series 2022, 4.00%, due 7/1/2039 | |
| | Series 2022, 4.00%, due 7/1/2042 | |
| | Port Authority New York & New Jersey Consolidated Bonds Revenue Refunding (Two Hundred And Forty), Series 2023-240, 5.00%, due 7/15/2053 | |
| | Triborough Bridge & Tunnel Authority Revenue, Series 2021-A-2, 2.00%, due 5/15/2045 Putable 5/15/2024 | |
| | Westchester County Local Development Corp. Revenue Refunding (Kendal on Hudson Project), Series 2022-B, 5.00%, due 1/1/2041 | |
| | Yonkers Economic Development Corp. Education Revenue (Charter School of Education Excellence Project), Series 2019-A, 5.00%, due 10/15/2049 | |
| | | |
|
|
| | Buckeye Tobacco Settlement Finance Authority Asset-Backed Senior Refunding Revenue, Series 2020-B-2, 5.00%, due 6/1/2055 | |
| | Ohio State Air Quality Development Authority (Ohio Valley Electric Corp. Project), Series 2009-B, 1.38%, due 2/1/2026 Putable 11/1/2024 | |
| | Ohio State Air Quality Development Authority Revenue (American Electric Power Co. Project), Series 2014, 2.40%, due 12/1/2038 Putable 10/1/2029 | |
| | | |
|
|
| | Weatherford Industrial Trust Education Facility Lease Revenue (Weatherford Public School Project), Series 2019, 5.00%, due 3/1/2033 | |
|
|
| | Allegheny County Hospital Development Authority Revenue Refunding (University Pittsburgh Medical Center), Series 2019-A, 5.00%, due 7/15/2029 | |
| | Lackawanna County Industrial Development Authority Revenue Refunding (University of Scranton) | |
| | Series 2017, 5.00%, due 11/1/2028 | |
| | Series 2017, 5.00%, due 11/1/2029 | |
| | Series 2017, 5.00%, due 11/1/2030 | |
| | Luzerne County General Obligation Refunding | |
| | Series 2017-A, (AGM Insured), 5.00%, due 12/15/2027 | |
| | Series 2017-B, (AGM Insured), 5.00%, due 12/15/2026 | |
| | Luzerne County Industrial Development Authority Lease Revenue Refunding Guaranteed | |
| | Series 2017, (AGM Insured), 5.00%, due 12/15/2025 | |
| | Series 2017, (AGM Insured), 5.00%, due 12/15/2026 | |
| | Series 2017, (AGM Insured), 5.00%, due 12/15/2027 | |
| | Pennsylvania Economic Development Financing Authority Revenue, Series 2023-A-1, 5.00%, due 5/15/2031 | |
| | Pennsylvania State Commonwealth General Obligation, Series 2015, 5.00%, due 3/15/2029 | |
| | Pennsylvania State Turnpike Commission Oil Franchise Tax Revenue Refunding, Series 2021-B, 5.00%, due 12/1/2046 | |
| | Pennsylvania State Turnpike Commission Revenue Refunding, Series 2016, 5.00%, due 6/1/2027 | |
| | Pennsylvania State Turnpike Commission Turnpike Revenue, Subseries 2019-A, 5.00%, due 12/1/2033 | |
| | Philadelphia Energy Authority Revenue (Philadelphia Street Lighting Project) | |
| | Series 2023-A, 5.00%, due 11/1/2031 | |
See Notes to Financial Statements
Schedule of Investments Municipal Intermediate Bond Fund^ (Unaudited) (cont’d)
| |
|
|
| | Series 2023-A, 5.00%, due 11/1/2034 | |
| | Series 2023-A, 5.00%, due 11/1/2035 | |
| | Philadelphia School District General Obligation, Series 2018-A, 5.00%, due 9/1/2028 | |
| | | |
|
|
| | Puerto Rico Industrial Tourist Education Medical & Environmental Control Facilities Authority Revenue (Hospital Auxilio Mutuo Obligation Group Project), Series 2021, 5.00%, due 7/1/2029 | |
|
|
| | Rhode Island Health and Educational Building Corp. Revenue (Lifespan Obligation Group), Series 2024, 5.25%, due 5/15/2049 | |
|
|
| | South Carolina State Housing Finance & Development Authority Mortgage Revenue, Series 2021-A, 1.85%, due 7/1/2036 | |
| | South Carolina State Public Service Authority Obligation Revenue Refunding, Series 2014-C, 5.00%, due 12/1/2028 | |
| | | |
|
|
| | Tennessee Housing Development Agency Residential Finance Program Revenue, Series 2019-2, 3.00%, due 7/1/2039 | |
|
|
| | Board of Regents of the University of Texas System Revenue, Series 2019-B, 5.00%, due 8/15/2049 | |
| | Central Texas Regional Mobility Authority Senior Lien Refunding Revenue, Series 2020-A, 5.00%, due 1/1/2027 | |
| | EP Tuscany Zaragosa PFC Revenue (Home Essential Function Housing Program), Series 2023, 4.00%, due 12/1/2033 | |
| | Harris County Municipal Utility District No. 489 General Obligation | |
| | Series 2023, (AGM Insured), 4.00%, due 9/1/2036 | |
| | Series 2023, (AGM Insured), 4.00%, due 9/1/2037 | |
| | Hidalgo County Regional Mobility Authority Revenue, Series 2022-B, 4.00%, due 12/1/2041 | |
| | Irving Independent School District General Obligation, Series 2023, (PSF-GTD Insured), 5.00%, due 2/15/2043 | |
| | Killeen Independent School District General Obligation, Series 2018, (PSF-GTD Insured), 5.00%, due 2/15/2037 | |
| | La Joya Independent School District Refunding General Obligation, Series 2013, (PSF-GTD Insured), 5.00%, due 2/15/2033 | |
| | Pampa Independent School District General Obligation Refunding, Series 2016, (PSF-GTD Insured), 5.00%, due 8/15/2032 Pre-Refunded 8/15/2025 | |
| | Tender Option Bond Trust Receipts/Certificates Revenue, Series 2022-XF1367, 4.62%, due 7/1/2030 | |
| | Texas Water Development Board Revenue (Master Trust), Series 2022, 5.00%, due 10/15/2047 | |
| | | |
|
|
| | Midvale Redevelopment Agency Tax Increment & Sales Tax Revenue | |
| | Series 2018, 5.00%, due 5/1/2032 | |
| | Series 2018, 5.00%, due 5/1/2034 | |
| | Utah Infrastructure Agency Telecommunication Revenue | |
| | Series 2019-A, 4.00%, due 10/15/2036 | |
| | Series 2021-A, 4.00%, due 10/15/2038 | |
| | Utah State General Obligation, Series 2020-B, 3.00%, due 7/1/2030 | |
See Notes to Financial Statements
Schedule of Investments Municipal Intermediate Bond Fund^ (Unaudited) (cont’d)
| |
|
|
| | Utah State Transit Authority Sales Tax Revenue Refunding, Series 2007-A, (NATL Insured), 5.00%, due 6/15/2031 | |
| | Weber County Special Assessment (Summit Mountain Assessment Area), Series 2013, 5.50%, due 1/15/2028 | |
| | | |
|
|
| | Virginia State Housing Development Authority, Series 2021-K, 1.05%, due 12/1/2027 | |
|
|
| | North Thurston Public Schools General Obligation, Series 2016, 4.00%, due 12/1/2028 | |
| | Washington State General Obligation | |
| | Series 2022-C, 5.00%, due 2/1/2037 | |
| | Series 2023 C, 5.00%, due 6/1/2040 | |
| | Whitman County School District No. 267 Pullman General Obligation, Series 2016, 4.00%, due 12/1/2029 | |
| | | |
|
|
| | West Virginia Hospital Finance Authority Revenue (University Health System Obligated Group), Series 2023-A, 5.00%, due 6/1/2043 | |
| | West Virginia Hospital Finance Authority Revenue (Vandalia Health Group), Series 2023-B, (AGM Insured), 5.38%, due 9/1/2053 | |
| | West Virginia Hospital Finance Authority Revenue Refunding (Cabell Huntington Hospital Obligated Group), Series 2018-A, 5.00%, due 1/1/2029 | |
| | | |
|
|
| | Deutsche Bank Spears/Lifers Trust Revenue, (LOC: Deutsche Bank A.G.), Series 2023-DBE-8109, 4.15%, due 4/1/2055 | |
| | Public Finance Authority Hospital Revenue (Carson Valley Medical Center), Series 2021-A, 4.00%, due 12/1/2051 | |
| | Public Finance Authority Senior Revenue (Wonderful Foundations Charter School Portfolio Project), Series 2020-A-1, 5.00%, due 1/1/2055 | |
| | Wisconsin State Health & Education Facility Authority Revenue Refunding (Ascension Health Credit Group), Series 2016-A, 4.00%, due 11/15/2039 | |
| | Wisconsin State Housing & Economic Development Authority Home Ownership Revenue | |
| | Series 2021-A, 1.25%, due 3/1/2028 | |
| | Series 2021-A, 1.35%, due 9/1/2028 | |
| | Series 2021-A, 1.45%, due 3/1/2029 | |
| | | |
Total Investments 101.0% (Cost $186,444,135) | |
Liabilities Less Other Assets (1.0)% | |
| |
| Variable rate demand obligation where the stated interest rate is not based on a published reference rate and spread. Rather, the interest rate generally resets daily or weekly and is determined by the remarketing agent. The rate shown represents the rate in effect at April 30, 2024. |
| Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At April 30, 2024, these securities amounted to $9,016,799, which represents 5.1% of net assets of the Fund. |
See Notes to Financial Statements
Schedule of Investments Municipal Intermediate Bond Fund^ (Unaudited) (cont’d)
The following is a summary, categorized by Level (see Note A of the Notes to Financial Statements), of inputs used to value the Fund’s investments as of April 30, 2024:
| The Schedule of Investments provides information on the state/territory categorization. |
^
A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Financial Statements
Schedule of Investments Short Duration Bond Fund^ (Unaudited) April 30, 2024
| |
Mortgage-Backed Securities 30.4% |
Collateralized Mortgage Obligations 11.5% |
|
| | Chase Home Lending Mortgage Trust | |
| | Series 2024-2, Class A6A, 6.00%, due 2/25/2055 | |
| | Series 2024-4, Class A6, 6.00%, due 3/25/2055 | |
| | | |
| | Series 2021-5, Class A1, 1.73%, due 11/26/2066 | |
| | Series 2024-2, Class A1, 6.13%, due 4/25/2069 | |
| | Ellington Financial Mortgage Trust, Series 2022-1, Class A1, 2.21%, due 1/25/2067 | |
| | Federal Home Loan Mortgage Corp. STACR REMICS Trust | |
| | Series 2021-HQA2, Class M2, (30 day USD SOFR Average + 2.05%), 7.38%, due 12/25/2033 | |
| | Series 2021-DNA6, Class M2, (30 day USD SOFR Average + 1.50%), 6.83%, due 10/25/2041 | |
| | Series 2022-DNA2, Class M1B, (30 day USD SOFR Average + 2.40%), 7.73%, due 2/25/2042 | |
| | Series 2022-DNA2, Class M2, (30 day USD SOFR Average + 3.75%), 9.08%, due 2/25/2042 | |
| | Series 2022-HQA1, Class M2, (30 day USD SOFR Average + 5.25%), 10.58%, due 3/25/2042 | |
| | Series 2022-HQA3, Class M1B, (30 day USD SOFR Average + 3.55%), 8.88%, due 8/25/2042 | |
| | Series 2024-DNA1, Class M2, (30 day USD SOFR Average + 1.95%), 7.28%, due 2/25/2044 | |
| | Federal Home Loan Mortgage Corp. STACR Trust | |
| | Series 2017-DNA1, Class M2, (30 day USD SOFR Average + 3.36%), 8.69%, due 7/25/2029 | |
| | Series 2017-HQA3, Class M2, (30 day USD SOFR Average + 2.46%), 7.79%, due 4/25/2030 | |
| | Federal National Mortgage Association Connecticut Avenue Securities | |
| | Series 2016-C01, Class 2M2, (30 day USD SOFR Average + 7.06%), 12.39%, due 8/25/2028 | |
| | Series 2017-C06, Class 2M2, (30 day USD SOFR Average + 2.91%), 8.24%, due 2/25/2030 | |
| | Series 2018-C02, Class 2M2, (30 day USD SOFR Average + 2.31%), 7.64%, due 8/25/2030 | |
| | Series 2021-R01, Class 1M2, (30 day USD SOFR Average + 1.55%), 6.88%, due 10/25/2041 | |
| | Series 2021-R03, Class 1M2, (30 day USD SOFR Average + 1.65%), 6.98%, due 12/25/2041 | |
| | Series 2022-R01, Class 1M2, (30 day USD SOFR Average + 1.90%), 7.23%, due 12/25/2041 | |
| | Series 2022-R04, Class 1M2, (30 day USD SOFR Average + 3.10%), 8.43%, due 3/25/2042 | |
| | Series 2022-R03, Class 1M2, (30 day USD SOFR Average + 3.50%), 8.83%, due 3/25/2042 | |
| | Series 2022-R07, Class 1M2, (30 day USD SOFR Average + 4.65%), 9.98%, due 6/25/2042 | |
| | Series 2022-R08, Class 1M1, (30 day USD SOFR Average + 2.55%), 7.88%, due 7/25/2042 | |
| | Series 2022-R08, Class 1M2, (30 day USD SOFR Average + 3.60%), 8.93%, due 7/25/2042 | |
| | Series 2022-R08, Class 1B1, (30 day USD SOFR Average + 5.60%), 10.93%, due 7/25/2042 | |
| | Series 2023-R01, Class 1M1, (30 day USD SOFR Average + 2.40%), 7.73%, due 12/25/2042 | |
| | Series 2023-R02, Class 1M2, (30 day USD SOFR Average + 3.35%), 8.68%, due 1/25/2043 | |
| | GCAT Trust, Series 2021-NQM5, Class A1, 1.26%, due 7/25/2066 | |
| | Harborview Mortgage Loan Trust, Series 2004-4, Class 3A, (1 mo. USD Term SOFR + 1.24%), 6.57%, due 6/19/2034 | |
| | | |
| | Series 2024-2, Class A6A, 6.00%, due 8/25/2054 | |
| | Series 2024-HE1, Class A1, (30 day USD SOFR Average + 1.50%), 6.83%, due 8/25/2054 | |
| | Series 2024-HE1, Class M1, (30 day USD SOFR Average + 2.00%), 7.33%, due 8/25/2054 | |
| | Series 2024-4, Class A6A, 6.00%, due 10/25/2054 | |
| | New Residential Mortgage Loan Trust, Series 2019-NQM5, Class A1, 2.71%, due 11/25/2059 | |
| | | |
| | Series 2024-2, Class A10, 6.00%, due 12/25/2053 | |
| | Series 2024-4, Class A10, 6.00%, due 5/25/2054 | |
| | SG Residential Mortgage Trust, Series 2021-2, Class A1, 1.74%, due 12/25/2061 | |
| | Towd Point Mortgage Trust, Series 2022-4, Class A1, 3.75%, due 9/25/2062 | |
| | Verus Securitization Trust | |
| | Series 2021-3, Class A3, 1.44%, due 6/25/2066 | |
See Notes to Financial Statements
Schedule of Investments Short Duration Bond Fund^ (Unaudited) (cont’d)
| |
Collateralized Mortgage Obligations – cont'd |
|
| | Series 2021-6, Class A3, 1.89%, due 10/25/2066 | |
| | Series 2022-7, Class A1, 5.15%, due 7/25/2067 | |
| | | |
Commercial Mortgage-Backed 10.8% |
|
| | BANK, Series 2020-BN30, Class A1, 0.45%, due 12/15/2053 | |
| | | |
| | Series 2020-C7, Class A1, 1.08%, due 4/15/2053 | |
| | Series 2021-C11, Class XA, 1.49%, due 9/15/2054 | |
| | Series 2022-C17, Class XA, 1.32%, due 9/15/2055 | |
| | BB-UBS Trust, Series 2012-SHOW, Class A, 3.43%, due 11/5/2036 | |
| | | |
| | Series 2020-IG2, Class UBRC, 3.63%, due 9/15/2048 | |
| | Series 2019-B12, Class A2, 3.00%, due 8/15/2052 | |
| | Series 2019-B12, Class AS, 3.42%, due 8/15/2052 | |
| | Series 2020-B17, Class C, 3.37%, due 3/15/2053 | |
| | Series 2021-B30, Class XA, 0.92%, due 11/15/2054 | |
| | Series 2023-B40, Class C, 7.64%, due 12/15/2056 | |
| | Series 2024-V5, Class C, 7.20%, due 1/10/2057 | |
| | Series 2019-B10, Class B, 4.18%, due 3/15/2062 | |
| | BMO Mortgage Trust, Series 2024-C8, Class C, 6.23%, due 3/15/2057 | |
| | BPR Trust, Series 2022-OANA, Class D, (1 mo. USD Term SOFR + 3.70%), 9.02%, due 4/15/2037 | |
| | BX Commercial Mortgage Trust | |
| | Series 2021-VOLT, Class A, (1 mo. USD Term SOFR + 0.81%), 6.14%, due 9/15/2036 | |
| | Series 2021-VOLT, Class D, (1 mo. USD Term SOFR + 1.76%), 7.09%, due 9/15/2036 | |
| | Series 2024-MF, Class C, (1 mo. USD Term SOFR + 1.94%), 7.26%, due 2/15/2039 | |
| | Series 2024-MF, Class D, (1 mo. USD Term SOFR + 2.69%), 8.01%, due 2/15/2039 | |
| | Series 2024-XL5, Class D, (1 mo. USD Term SOFR + 2.69%), 8.01%, due 3/15/2041 | |
| | | |
| | Series 2024-BIO, Class C, (1 mo. USD Term SOFR + 2.64%), 7.96%, due 2/15/2041 | |
| | Series 2019-OC11, Class D, 4.08%, due 12/9/2041 | |
| | CAMB Commercial Mortgage Trust | |
| | Series 2019-LIFE, Class D, (1 mo. USD Term SOFR + 2.05%), 7.37%, due 12/15/2037 | |
| | Series 2019-LIFE, Class E, (1 mo. USD Term SOFR + 2.45%), 7.77%, due 12/15/2037 | |
| | Series 2019-LIFE, Class F, (1 mo. USD Term SOFR + 2.85%), 8.17%, due 12/15/2037 | |
| | Citigroup Commercial Mortgage Trust | |
| | Series 2023-SMRT, Class C, 6.05%, due 10/12/2040 | |
| | Series 2015-GC27, Class AAB, 2.94%, due 2/10/2048 | |
| | Series 2016-P4, Class AAB, 2.78%, due 7/10/2049 | |
| | Cold Storage Trust, Series 2020-ICE5, Class D, (1 mo. USD Term SOFR + 2.21%), 7.53%, due 11/15/2037 | |
| | | |
| | Series 2012-CR4, Class AM, 3.25%, due 10/15/2045 | |
| | Series 2014-UBS3, Class XA, 1.01%, due 6/10/2047 | |
| | Series 2014-CR19, Class ASB, 3.50%, due 8/10/2047 | |
| | Series 2014-UBS6, Class XA, 0.96%, due 12/10/2047 | |
| | CSAIL Commercial Mortgage Trust, Series 2016-C5, Class XA, 1.04%, due 11/15/2048 | |
| | Eleven Madison Trust Mortgage Trust, Series 2015-11MD, Class A, 3.67%, due 9/10/2035 | |
| | Federal Home Loan Mortgage Corp. Multiclass Certificates, Series 2020-RR02, Class CX, 1.27%, due 3/27/2029 | |
| | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | |
| | Series KW03, Class X1, 0.93%, due 6/25/2027 | |
See Notes to Financial Statements
Schedule of Investments Short Duration Bond Fund^ (Unaudited) (cont’d)
| |
Commercial Mortgage-Backed – cont'd |
|
| | Series K095, Class X1, 1.08%, due 6/25/2029 | |
| | Series K096, Class X1, 1.26%, due 7/25/2029 | |
| | Series K098, Class XAM, 1.52%, due 8/25/2029 | |
| | FIVE Mortgage Trust, Series 2023-V1, Class C, 6.51%, due 2/10/2056 | |
| | Great Wolf Trust, Series 2024-WOLF, Class D, (1 mo. USD Term SOFR + 2.89%), 8.21%, due 3/15/2039 | |
| | GS Mortgage Securities Trust | |
| | Series 2010-C1, Class B, 5.15%, due 8/10/2043 | |
| | Series 2013-GC13, Class XA, 0.00%, due 7/10/2046 | |
| | Series 2016-GS2, Class C, 4.85%, due 5/10/2049 | |
| | Series 2015-GC30, Class XA, 0.85%, due 5/10/2050 | |
| | Hilton USA Trust, Series 2016-HHV, Class D, 4.33%, due 11/5/2038 | |
| | INTOWN Mortgage Trust, Series 2022-STAY, Class A, (1 mo. USD Term SOFR + 2.49%), 7.81%, due 8/15/2039 | |
| | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2022-OPO, Class D, 3.56%, due 1/5/2039 | |
| | Manhattan West Mortgage Trust, Series 2020-1MW, Class D, 2.41%, due 9/10/2039 | |
| | | |
| | Series 2024-HTL, Class B, (1 mo. USD Term SOFR + 2.41%), 7.73%, due 2/15/2037 | |
| | Series 2024-HTL, Class D, (1 mo. USD Term SOFR + 3.91%), 9.23%, due 2/15/2037 | |
| | MED Commercial Mortgage Trust, Series 2024-MOB, Class C, (1 mo. USD Term SOFR + 2.29%), 7.60%, due 5/15/2041 | |
| | Med Trust, Series 2021-MDLN, Class F, (1 mo. USD Term SOFR + 4.11%), 9.44%, due 11/15/2038 | |
| | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C33, Class C, 4.56%, due 5/15/2050 | |
| | Morgan Stanley Capital I Trust, Series 2018-H4, Class C, 5.22%, due 12/15/2051 | |
| | MSWF Commercial Mortgage Trust | |
| | Series 2023-2, Class D, 4.00%, due 12/15/2056 | |
| | Series 2023-2, Class C, 7.25%, due 12/15/2056 | |
| | NYO Commercial Mortgage Trust, Series 2021-1290, Class D, (1 mo. USD Term SOFR + 2.66%), 7.98%, due 11/15/2038 | |
| | | |
| | Series 2017-1MKT, Class A, 3.61%, due 2/10/2032 | |
| | Series 2017-1MKT, Class B, 3.85%, due 2/10/2032 | |
| | ONE Mortgage Trust, Series 2021-PARK, Class A, (1 mo. USD Term SOFR + 0.81%), 6.14%, due 3/15/2036 | |
| | ORL Trust, Series 2023-GLKS, Class D, (1 mo. USD Term SOFR + 4.30%), 9.62%, due 10/19/2036 | |
| | SFO Commercial Mortgage Trust, Series 2021-555, Class A, (1 mo. USD Term SOFR + 1.26%), 6.59%, due 5/15/2038 | |
| | SHER Trust, Series 2024-DAL, Class C, (1 mo. USD Term SOFR + 2.89%), 8.22%, due 4/15/2029 | |
| | Taubman Centers Commercial Mortgage Trust | |
| | Series 2022-DPM, Class B, (1 mo. USD Term SOFR + 2.93%), 8.25%, due 5/15/2037 | |
| | Series 2022-DPM, Class C, (1 mo. USD Term SOFR + 3.78%), 9.10%, due 5/15/2037 | |
| | Wells Fargo Commercial Mortgage Trust | |
| | Series 2014-LC18, Class A5, 3.41%, due 12/15/2047 | |
| | Series 2016-NXS6, Class B, 3.81%, due 11/15/2049 | |
| | Series 2019-C52, Class XA, 1.74%, due 8/15/2052 | |
| | | |
Federal Home Loan Mortgage Corp. 4.5% |
|
| | Pass-Through Certificates | |
| | | |
| | 5.50%, due 9/1/2052 - 4/1/2053 | |
See Notes to Financial Statements
Schedule of Investments Short Duration Bond Fund^ (Unaudited) (cont’d)
| |
Federal Home Loan Mortgage Corp. – cont'd |
|
| | 6.00%, due 10/1/2052 - 1/1/2054 | |
| | | |
Federal National Mortgage Association 3.6% |
|
| | Pass-Through Certificates | |
| | 4.50%, due 4/1/2039 - 5/1/2044 | |
| | 5.50%, due 11/1/2052 - 5/1/2053 | |
| | 6.00%, due 11/1/2052 - 10/1/2053 | |
| | | |
Total Mortgage-Backed Securities (Cost $54,138,233) | |
Asset-Backed Securities 22.6% |
|
| | 37 Capital CLO 1 Ltd., Series 2021-1A, Class A, (3 mo. USD Term SOFR + 1.46%), 6.79%, due 10/15/2034 | |
| | Aqua Finance Trust, Series 2021-A, Class A, 1.54%, due 7/17/2046 | |
| | Auxilior Term Funding LLC, Series 2023-1A, Class A2, 6.18%, due 12/15/2028 | |
| | Avis Budget Rental Car Funding AESOP LLC | |
| | Series 2020-2A, Class B, 2.96%, due 2/20/2027 | |
| | Series 2022-5A, Class CN, 6.24%, due 4/20/2027 | |
| | Series 2021-2A, Class B, 1.90%, due 2/20/2028 | |
| | Series 2024-1A, Class C, 6.48%, due 6/20/2030 | |
| | Bayview Opportunity Master Fund VII LLC | |
| | Series 2024-EDU1, Class C, (30 day USD SOFR Average + 1.80%), 7.62%, due 6/25/2047 | |
| | Series 2024-EDU1, Class D, (30 day USD SOFR Average + 2.75%), 8.83%, due 6/25/2047 | |
| | Beacon Container Finance II LLC, Series 2021-1A, Class A, 2.25%, due 10/22/2046 | |
| | BOF VII AL Funding Trust I, Series 2023-CAR3, Class A2, 6.29%, due 7/26/2032 | |
| | Business Jet Securities LLC, Series 2024-1A, Class A, 6.20%, due 5/15/2039 | |
| | | |
| | Series 2023-1, Class A2, 5.82%, due 9/16/2030 | |
| | Series 2023-2, Class A2, 6.28%, due 4/14/2032 | |
| | Compass Datacenters Issuer II LLC | |
| | Series 2024-1A, Class A1, 5.25%, due 2/25/2049 | |
| | Series 2024-1A, Class A2, 5.75%, due 2/25/2049 | |
| | Series 2024-1A, Class B, 7.00%, due 2/25/2049 | |
| | Crown Castle Towers LLC, 3.66%, due 5/15/2025 | |
| | CyrusOne Data Centers Issuer I LLC | |
| | Series 2023-1A, Class A2, 4.30%, due 4/20/2048 | |
| | Series 2023-2A, Class A2, 5.56%, due 11/20/2048 | |
| | Dell Equipment Finance Trust | |
| | Series 2023-1, Class A2, 5.65%, due 9/22/2028 | |
| | Series 2024-1, Class A3, 5.39%, due 3/22/2030 | |
| | Series 2024-1, Class C, 5.73%, due 3/22/2030 | |
| | Series 2024-1, Class D, 6.12%, due 9/23/2030 | |
| | Dryden 64 CLO Ltd., Series 2018-64A, Class D, (3 mo. USD Term SOFR + 2.91%), 8.24%, due 4/18/2031 | |
| | Elara HGV Timeshare Issuer LLC, Series 2023-A, Class A, 6.16%, due 2/25/2038 | |
| | Flagship Credit Auto Trust, Series 2024-1, Class A3, 5.48%, due 10/16/2028 | |
| | Fort Washington CLO Ltd., Series 2021-2A, Class A, (3 mo. USD Term SOFR + 1.48%), 6.81%, due 10/20/2034 | |
| | Frontier Issuer LLC, Series 2023-1, Class A2, 6.60%, due 8/20/2053 | |
| | GLS Auto Select Receivables Trust, Series 2024-2A, Class A2, 5.58%, due 6/17/2030 | |
See Notes to Financial Statements
Schedule of Investments Short Duration Bond Fund^ (Unaudited) (cont’d)
| |
Asset-Backed Securities – cont'd |
|
| | Gracie Point International Funding LLC | |
| | Series 2024-1A, Class A, (90 day USD SOFR Average + 1.70%), 7.06%, due 3/1/2028 | |
| | Series 2024-1A, Class B, (90 day USD SOFR Average + 2.10%), 7.46%, due 3/1/2028 | |
| | Hilton Grand Vacations Trust | |
| | Series 2018-AA, Class A, 3.54%, due 2/25/2032 | |
| | Series 2022-2A, Class A, 4.30%, due 1/25/2037 | |
| | Series 2022-2A, Class B, 4.74%, due 1/25/2037 | |
| | Series 2024-1B, Class A, 5.75%, due 9/15/2039 | |
| | Series 2024-1B, Class B, 5.99%, due 9/15/2039 | |
| | Series 2024-1B, Class C, 6.62%, due 9/15/2039 | |
| | | |
| | Series 2023-HE2, Class A1, (30 day USD SOFR Average + 1.70%), 7.03%, due 3/25/2054 | |
| | Series 2023-HE3, Class M1, (30 day USD SOFR Average + 2.10%), 7.43%, due 5/25/2054 | |
| | JPMorgan Chase Bank NA, Series 2021-3, Class B, 0.76%, due 2/26/2029 | |
| | Katayma CLO II Ltd., Series 2024-2A, Class A1, (3 mo. USD Term SOFR + 1.65%), 6.94%, due 4/20/2037 | |
| | Kubota Credit Owner Trust, Series 2024-1A, Class A3, 5.19%, due 7/17/2028 | |
| | MetroNet Infrastructure Issuer LLC, Series 2022-1A, Class A2, 6.35%, due 10/20/2052 | |
| | | |
| | Series 2021-2A, Class A, 1.43%, due 5/20/2039 | |
| | Series 2021-2A, Class B, 1.83%, due 5/20/2039 | |
| | Series 2021-1WA, Class B, 1.44%, due 1/22/2041 | |
| | Series 2024-1A, Class B, 5.51%, due 2/20/2043 | |
| | Series 2024-1A, Class C, 6.20%, due 2/20/2043 | |
| | Navient Private Education Refi Loan Trust | |
| | Series 2021-BA, Class A, 0.94%, due 7/15/2069 | |
| | Series 2021-CA, Class A, 1.06%, due 10/15/2069 | |
| | Series 2021-EA, Class A, 0.97%, due 12/16/2069 | |
| | Series 2021-FA, Class A, 1.11%, due 2/18/2070 | |
| | Oaktree CLO Ltd., Series 2022-3A, Class A2, (3 mo. USD Term SOFR + 2.30%), 7.63%, due 7/15/2035 | |
| | Octagon Investment Partners 43 Ltd., Series 2019-1A, Class D, (3 mo. USD Term SOFR + 4.16%), 9.49%, due 10/25/2032 | |
| | OneMain Financial Issuance Trust, Series 2022-2A, Class A, 4.89%, due 10/14/2034 | |
| | | |
| | Series 2021-B, Class A, 0.77%, due 8/15/2026 | |
| | Series 2022-A, Class A, 2.47%, due 2/15/2027 | |
| | Series 2024-D, Class A, 5.34%, due 4/16/2029 | |
| | Prestige Auto Receivables Trust, Series 2021-1A, Class D, 2.08%, due 2/15/2028 | |
| | Regatta XXVIII Funding Ltd., Series 2024-2A, Class A1, (3 mo. USD Term SOFR + 1.55%), 6.88%, due 4/25/2037 | |
| | RRX 3 Ltd., Series 2021-3A, Class A1, (3 mo. USD Term SOFR + 1.58%), 6.91%, due 4/15/2034 | |
| | Santander Drive Auto Receivables Trust, Series 2024-1, Class C, 5.45%, due 3/15/2030 | |
| | SBA Tower Trust, Series 2014-2A, Class C, 3.87%, due 10/15/2049 | |
| | SFS Auto Receivables Securitization Trust, Series 2024-1A, Class C, 5.51%, due 1/20/2032 | |
| | Sierra Timeshare Receivables Funding LLC | |
| | Series 2019-2A, Class A, 2.59%, due 5/20/2036 | |
| | Series 2020-2A, Class C, 3.51%, due 7/20/2037 | |
| | Series 2022-1A, Class A, 3.05%, due 10/20/2038 | |
| | Series 2022-1A, Class C, 3.94%, due 10/20/2038 | |
| | Series 2023-2A, Class C, 7.30%, due 4/20/2040 | |
| | Series 2022-2A, Class B, 5.04%, due 6/20/2040 | |
See Notes to Financial Statements
Schedule of Investments Short Duration Bond Fund^ (Unaudited) (cont’d)
| |
Asset-Backed Securities – cont'd |
|
| | Series 2023-3A, Class B, 6.44%, due 9/20/2040 | |
| | Series 2024-1A, Class C, 5.94%, due 1/20/2043 | |
| | Signal Peak CLO 8 Ltd., Series 2020-8A, Class A, (3 mo. USD Term SOFR + 1.53%), 6.86%, due 4/20/2033 | |
| | SoFi Consumer Loan Program Trust, Series 2023-1S, Class A, 5.81%, due 5/15/2031 | |
| | SoFi Professional Loan Program LLC, Series 2018-C, Class BFX, 4.13%, due 1/25/2048 | |
| | Sotheby's Artfi Master Trust, Series 2024-1A, Class A1, 6.43%, due 12/22/2031 | |
| | Stack Infrastructure Issuer LLC, Series 2023-3A, Class A2, 5.90%, due 10/25/2048 | |
| | | |
| | Series 2016-1A, Class A23, 4.97%, due 5/25/2046 | |
| | Series 2021-1A, Class A2I, 1.95%, due 8/25/2051 | |
| | TAL Advantage VII LLC, Series 2020-1A, Class A, 2.05%, due 9/20/2045 | |
| | TICP CLO VII Ltd., Series 2017-7A, Class DR, (3 mo. USD Term SOFR + 3.46%), 8.79%, due 4/15/2033 | |
| | TIF Funding III LLC, Series 2024-1A, Class B, 5.58%, due 4/20/2049 | |
| | T-Mobile U.S. Trust, Series 2022-1A, Class A, 4.91%, due 5/22/2028 | |
| | Towd Point Mortgage Trust | |
| | Series 2024-CES1, Class A1A, 5.85%, due 1/25/2064 | |
| | Series 2024-CES2, Class A1A, 6.13%, due 2/25/2064 | |
| | U.S. Bank NA, Series 2023-1, Class B, 6.79%, due 8/25/2032 | |
| | Voya CLO Ltd., Series 2016-2A, Class CR, (3 mo. USD Term SOFR + 4.26%), 9.59%, due 7/19/2028 | |
| | Wellington Management CLO 1 Ltd., Series 2023-1A, Class A, (3 mo. USD Term SOFR + 1.80%), 7.12%, due 10/20/2036 | |
| | Westlake Automobile Receivables Trust, Series 2024-1A, Class A3, 5.44%, due 5/17/2027 | |
| | Whitebox CLO III Ltd., Series 2021-3A, Class A1, (3 mo. USD Term SOFR + 1.48%), 6.81%, due 10/15/2034 | |
| | Ziply Fiber Issuer LLC, Series 2024-1A, Class B, 7.81%, due 4/20/2054 | |
Total Asset-Backed Securities (Cost $38,071,476) | |
|
|
|
|
| | | |
| | | |
| | | |
| | L3Harris Technologies, Inc., 5.40%, due 1/15/2027 | |
| | TransDigm, Inc., 5.50%, due 11/15/2027 | |
| | | |
|
|
| | American Airlines, Inc., 7.25%, due 2/15/2028 | |
| | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.50%, due 4/20/2026 | |
| | Delta Air Lines, Inc., 7.00%, due 5/1/2025 | |
| | Delta Air Lines, Inc./SkyMiles IP Ltd., 4.50%, due 10/20/2025 | |
| | Latam Airlines Group SA, 13.38%, due 10/15/2027 | |
| | | |
|
|
| | Ford Motor Credit Co. LLC | |
| | | |
| | | |
| | | |
| | | |
See Notes to Financial Statements
Schedule of Investments Short Duration Bond Fund^ (Unaudited) (cont’d)
| |
|
Auto Manufacturers – cont'd |
|
| | General Motors Financial Co., Inc. | |
| | | |
| | | |
| | Volkswagen Group of America Finance LLC | |
| | | |
| | | |
| | | |
Auto Parts & Equipment 0.5% |
|
| | | |
| | 6.00% Cash/6.75% PIK, due 5/15/2027 | |
| | 6.38% Cash/7.13% PIK, due 5/15/2029 | |
| | ZF North America Capital, Inc. | |
| | | |
| | | |
| | | |
|
|
| | | |
| | | |
| | | |
| | Bank of America Corp., 3.38%, due 4/2/2026 | |
| | Barclays PLC, 5.67%, due 3/12/2028 | |
| | Citigroup, Inc., 2.01%, due 1/25/2026 | |
| | Goldman Sachs Group, Inc. | |
| | (Secured Overnight Financing Rate + 0.51%), 5.86%, due 9/10/2024 | |
| | | |
| | | |
| | | |
| | | |
| | Lloyds Banking Group PLC, 5.46%, due 1/5/2028 | |
| | | |
| | | |
| | | |
| | | |
| | Truist Financial Corp., 5.90%, due 10/28/2026 | |
| | UBS Group AG, 1.36%, due 1/30/2027 | |
| | Wells Fargo & Co., 3.91%, due 4/25/2026 | |
| | | |
|
|
| | Camelot Return Merger Sub, Inc., 8.75%, due 8/1/2028 | |
| | Jeld-Wen, Inc., 4.63%, due 12/15/2025 | |
| | | |
|
|
| | INEOS Finance PLC, 7.50%, due 4/15/2029 | |
| | Olympus Water U.S. Holding Corp., 7.13%, due 10/1/2027 | |
| | SCIL IV LLC/SCIL USA Holdings LLC, 5.38%, due 11/1/2026 | |
| | WR Grace Holdings LLC, 4.88%, due 6/15/2027 | |
| | | |
See Notes to Financial Statements
Schedule of Investments Short Duration Bond Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL, 4.63%, due 6/1/2028 | |
| | Champions Financing, Inc., 8.75%, due 2/15/2029 | |
| | Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, due 1/15/2028 | |
| | ZipRecruiter, Inc., 5.00%, due 1/15/2030 | |
| | | |
|
|
| | ASGN, Inc., 4.63%, due 5/15/2028 | |
Distribution - Wholesale 0.1% |
|
| | Resideo Funding, Inc., 4.00%, due 9/1/2029 | |
Diversified Financial Services 1.2% |
|
| | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.50%, due 7/15/2025 | |
| | Capital One Financial Corp., 4.17%, due 5/9/2025 | |
| | OneMain Finance Corp., 3.50%, due 1/15/2027 | |
| | | |
|
|
| | Calpine Corp., 4.50%, due 2/15/2028 | |
| | Dominion Energy, Inc., 2.85%, due 8/15/2026 | |
| | NRG Energy, Inc., 10.25%, due 3/15/2028 | |
| | Vistra Corp., 7.00%, due 12/15/2026 | |
| | | |
|
|
| | EquipmentShare.com, Inc., 9.00%, due 5/15/2028 | |
| | TTM Technologies, Inc., 4.00%, due 3/1/2029 | |
| | | |
Engineering & Construction 0.5% |
|
| | Artera Services LLC, 8.50%, due 2/15/2031 | |
| | Global Infrastructure Solutions, Inc., 5.63%, due 6/1/2029 | |
| | GTP Acquisition Partners I LLC, 3.48%, due 6/16/2025 | |
| | | |
|
|
| | Warnermedia Holdings, Inc., 6.41%, due 3/15/2026 | |
Environmental Control 0.1% |
|
| | Madison IAQ LLC, 4.13%, due 6/30/2028 | |
|
|
| | Campbell Soup Co., 5.30%, due 3/20/2026 | |
|
|
| | TKC Holdings, Inc., 6.88%, due 5/15/2028 | |
Healthcare - Products 0.2% |
|
| | Medline Borrower LP, 5.25%, due 10/1/2029 | |
Holding Companies - Diversified 0.2% |
|
| | Benteler International AG, 10.50%, due 5/15/2028 | |
|
|
| | Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer, 6.75%, due 10/15/2027 | |
See Notes to Financial Statements
Schedule of Investments Short Duration Bond Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | AssuredPartners, Inc., 5.63%, due 1/15/2029 | |
| | Jackson National Life Global Funding, 1.75%, due 1/12/2025 | |
| | | |
|
|
| | Lindblad Expeditions LLC, 6.75%, due 2/15/2027 | |
| | Viking Cruises Ltd., 7.00%, due 2/15/2029 | |
| | VOC Escrow Ltd., 5.00%, due 2/15/2028 | |
| | | |
Machinery - Construction & Mining 0.1% |
|
| | Manitowoc Co., Inc., 9.00%, due 4/1/2026 | |
Machinery - Diversified 0.2% |
|
| | TK Elevator Holdco GmbH, 7.63%, due 7/15/2028 | |
|
|
| | CCO Holdings LLC/CCO Holdings Capital Corp. | |
| | | |
| | | |
| | | |
|
|
| | Ascent Resources Utica Holdings LLC/ARU Finance Corp., 7.00%, due 11/1/2026 | |
| | Borr IHC Ltd./Borr Finance LLC, 10.00%, due 11/15/2028 | |
| | Civitas Resources, Inc., 8.38%, due 7/1/2028 | |
| | | |
| | | |
| | | |
| | Diamondback Energy, Inc., 5.20%, due 4/18/2027 | |
| | Northern Oil & Gas, Inc., 8.13%, due 3/1/2028 | |
| | | |
|
|
| | Solaris Midstream Holdings LLC, 7.63%, due 4/1/2026 | |
Packaging & Containers 0.3% |
|
| | Mauser Packaging Solutions Holding Co., 7.88%, due 4/15/2027 | |
|
|
| | AbbVie, Inc., 4.80%, due 3/15/2029 | |
| | Bayer U.S. Finance LLC, 6.13%, due 11/21/2026 | |
| | CVS Health Corp., 3.63%, due 4/1/2027 | |
| | | |
|
|
| | | |
| | | |
| | | |
| | Energy Transfer LP, 6.05%, due 12/1/2026 | |
| | Genesis Energy LP/Genesis Energy Finance Corp., 8.25%, due 1/15/2029 | |
| | Kinder Morgan, Inc., 5.00%, due 2/1/2029 | |
| | MPLX LP, 4.88%, due 6/1/2025 | |
| | Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 6.00%, due 3/1/2027 | |
See Notes to Financial Statements
Schedule of Investments Short Duration Bond Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | Venture Global LNG, Inc., 8.13%, due 6/1/2028 | |
| | | |
Real Estate Investment Trusts 2.1% |
|
| | | |
| | | |
| | | |
| | American Tower Trust 1, 5.49%, due 3/15/2028 | |
| | Blackstone Mortgage Trust, Inc., 3.75%, due 1/15/2027 | |
| | Necessity Retail REIT, Inc./American Finance Operating Partner LP, 4.50%, due 9/30/2028 | |
| | Starwood Property Trust, Inc., 3.63%, due 7/15/2026 | |
| | | |
|
|
| | AthenaHealth Group, Inc., 6.50%, due 2/15/2030 | |
| | Helios Software Holdings, Inc./ION Corporate Solutions Finance SARL, 8.75%, due 5/1/2029 | |
| | Oracle Corp., 1.65%, due 3/25/2026 | |
| | | |
|
|
| | Frontier Communications Holdings LLC, 5.88%, due 10/15/2027 | |
| | T-Mobile USA, Inc., 3.75%, due 4/15/2027 | |
| | | |
Total Corporate Bonds (Cost $67,859,592) | |
|
|
|
|
| | Peraton Corp., Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.17%, due 2/1/2028 | |
|
|
| | American Airlines, Inc., Term Loan, (3 mo. USD Term SOFR + 4.75%), 10.34%, due 4/20/2028 | |
Business Equipment & Services 0.3% |
|
| | Veritiv Corp., Term Loan B, (3 mo. USD Term SOFR + 5.00%), 10.31%, due 11/30/2030 | |
| | William Morris Endeavor Entertainment LLC, First Lien Term Loan, (1 mo. USD Term SOFR + 2.75%), 8.18% – 8.19%, due 5/18/2025 | |
| | | |
Chemicals & Plastics 0.1% |
|
| | INEOS Quattro Holdings UK Ltd., First Lien Term Loan B, (1 mo. USD Term SOFR + 4.25%), 9.67%, due 4/2/2029 | |
|
|
| | Neptune Bidco U.S., Inc., Term Loan B, (3 mo. USD Term SOFR ), due 4/11/2029 | |
Diversified Financial Services 0.3% |
|
| | Avolon TLB Borrower 1 (US) LLC, Term Loan B6, (1 mo. USD Term SOFR + 2.00%), 7.32%, due 6/22/2028 | |
Diversified Insurance 0.2% |
|
| | HUB International Ltd., Term Loan B, (3 mo. USD Term SOFR + 3.25%), 8.57%, due 6/20/2030 | |
|
|
| | Athenahealth Group, Inc., Term Loan B, (1 mo. USD Term SOFR + 3.25%), 8.57%, due 2/15/2029 | |
| | Medline Borrower LP, Term Loan B, (1 mo. USD Term SOFR + 2.75%), 8.07%, due 10/23/2028 | |
See Notes to Financial Statements
Schedule of Investments Short Duration Bond Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | Select Medical Corp., Term Loan B1, (1 mo. USD Term SOFR + 3.00%), 8.32%, due 3/6/2027 | |
| | | |
Industrial Equipment 0.0%(m) |
|
| | Gates Global LLC, Term Loan B3, (1 mo. USD Term SOFR + 2.50%), 7.92%, due 3/31/2027 | |
|
|
| | Gen Digital, Inc., Term Loan B, (1 mo. USD Term SOFR + 2.00%), 7.42%, due 9/12/2029 | |
Leisure Goods/Activities/Movies 0.1% |
|
| | Carnival Corp., Term Loan B2, (1 mo. USD Term SOFR + 2.75%), 8.07%, due 8/8/2027 | |
Life Sciences Tools & Services 0.3% |
|
| | Star Parent, Inc., Term Loan B, (3 mo. USD Term SOFR + 4.00%), 9.31%, due 9/27/2030 | |
|
|
| | CQP Holdco LP, Term Loan, (3 mo. USD Term SOFR + 3.00%), 8.30%, due 12/31/2030 | |
| | Prairie ECI Acquiror LP, Term Loan, (1 mo. USD Term SOFR), due 8/1/2029 | |
| | | |
Retailers (except food & drug) 0.1% |
|
| | Petco Health & Wellness Co., Inc., Term Loan B, (3 mo. USD Term SOFR + 3.25%), 8.82%, due 3/3/2028 | |
Telecommunications 0.0%(m) |
|
| | Lumen Technologies, Inc., Term Loan A, (1 mo. USD Term SOFR), due 6/1/2028 | |
|
|
| | USIC Holdings, Inc., Term Loan, (3 mo. USD Term SOFR + 3.50%), 9.06% – 9.07%, due 5/12/2028 | |
|
Total Loan Assignments (Cost $4,756,431) | |
|
|
|
Short-Term Investments 4.4% |
Investment Companies 4.4% |
|
| | State Street Institutional U.S. Government Money Market Fund Premier Class, 5.25%(n) (Cost $7,429,723) | |
Total Investments 100.3% (Cost $172,255,455) | |
Liabilities Less Other Assets (0.3)% | |
| |
| Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At April 30, 2024, these securities amounted to $88,209,036, which represents 52.7% of net assets of the Fund. |
| Variable or floating rate security where the stated interest rate is not based on a published reference rate and spread. Rather, the interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of April 30, 2024. |
| Variable or floating rate security. The interest rate shown was the current rate as of April 30, 2024 and changes periodically. |
See Notes to Financial Statements
Schedule of Investments Short Duration Bond Fund^ (Unaudited) (cont’d)
| Interest only security. These securities represent the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the "interest only" holding. |
| Security fair valued as of April 30, 2024 in accordance with procedures approved by the valuation designee. Total value of all such securities at April 30, 2024 amounted to $209,475, which represents 0.1% of net assets of the Fund. |
| When-issued security. Total value of all such securities at April 30, 2024 amounted to $564,279, which represents 0.3% of net assets of the Fund. |
| Payment-in-kind (PIK) security. |
| Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate shown is the rate in effect as of period end. |
| Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer. The date shown reflects the next call date. |
| The stated interest rates represent the range of rates at April 30, 2024 of the underlying contracts within the Loan Assignment. |
| All or a portion of this security was purchased on a delayed delivery basis. |
| All or a portion of this security had not settled as of April 30, 2024 and thus may not have an interest rate in effect. Interest rates do not take effect until settlement. |
| Represents less than 0.05% of net assets of the Fund. |
| Represents 7-day effective yield as of April 30, 2024. |
| Includes the impact of the Fund’s open positions in derivatives at April 30, 2024. |
See Notes to Financial Statements
Schedule of Investments Short Duration Bond Fund^ (Unaudited) (cont’d)
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Short-Term Investments and Other Liabilities—Net | | |
| | |
See Notes to Financial Statements
Schedule of Investments Short Duration Bond Fund^ (Unaudited) (cont’d)
Derivative Instruments
Futures contracts ("futures")
At April 30, 2024, open positions in futures for the Fund were as follows:
| | | | Value and
Unrealized
Appreciation/
(Depreciation) |
| | U.S. Treasury Note, 2 Year | | |
| | |
| | | | Value and
Unrealized
Appreciation/
(Depreciation) |
| | U.S. Treasury Note, 10 Year | | |
| | U.S. Treasury Note, 5 Year | | |
| | U.S. Treasury Note, Ultra 10 Year | | |
| | | | |
| | |
|
| |
At April 30, 2024, the Fund had $906,737 deposited in a segregated account to cover margin requirements on open futures.
For the six months ended April 30, 2024, the average notional value for the months where the Fund had futures outstanding was $90,939,787 for long positions and $(28,267,784) for short positions.
The following is a summary, categorized by Level (see Note A of the Notes to Financial Statements), of inputs used to value the Fund’s investments as of April 30, 2024:
| | | | |
| | | | |
Mortgage-Backed Securities# | | | | |
| | | | |
| | | | |
| | | | |
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| | | | |
| The Schedule of Investments provides information on the industry or sector categorization as well as a Positions by Country summary. |
See Notes to Financial Statements
Schedule of Investments Short Duration Bond Fund^ (Unaudited) (cont’d)
The following is a summary, categorized by Level (see Note A of the Notes to Financial Statements), of inputs used to value the Fund’s derivatives as of April 30, 2024:
Other Financial Instruments | | | | |
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|
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| Futures are reported at the cumulative unrealized appreciation/(depreciation) of the instrument. |
^
A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) April 30, 2024
| |
U.S. Government Agency Securities 0.1% |
|
| | Federal National Mortgage Association, 5.63%, due 7/15/2037 (Cost $2,620,356) | |
|
Mortgage-Backed Securities 66.0% |
Collateralized Mortgage Obligations 11.1% |
|
| | Chase Home Lending Mortgage Trust | |
| | Series 2024-2, Class A6A, 6.00%, due 2/25/2055 | |
| | Series 2024-3, Class A6, 6.00%, due 2/25/2055 | |
| | Series 2024-4, Class A6, 6.00%, due 3/25/2055 | |
| | COLT Mortgage Loan Trust, Series 2024-2, Class A1, 6.13%, due 4/25/2069 | |
| | Federal Home Loan Mortgage Corp. REMICS | |
| | Series 4117, Class IO, 4.00%, due 10/15/2042 | |
| | Series 4456, Class SA, (6.04% - 30 day USD SOFR Average), 0.71%, due 3/15/2045 | |
| | Series 4627, Class SA, (5.89% - 30 day USD SOFR Average), 0.56%, due 10/15/2046 | |
| | Series 5149, Class DI, 4.00%, due 10/25/2048 | |
| | Series 4994, Class LI, 4.00%, due 12/25/2048 | |
| | Series 5146, Class EC, 1.50%, due 2/25/2049 | |
| | Series 4953, Class BI, 4.50%, due 2/25/2050 | |
| | Series 5392, Class HI, 3.50%, due 7/25/2051 | |
| | Federal Home Loan Mortgage Corp. STACR REMICS Trust | |
| | Series 2021-DNA5, Class B1, (30 day USD SOFR Average + 3.05%), 8.38%, due 1/25/2034 | |
| | Series 2021-HQA3, Class B1, (30 day USD SOFR Average + 3.35%), 8.68%, due 9/25/2041 | |
| | Series 2021-DNA6, Class B1, (30 day USD SOFR Average + 3.40%), 8.73%, due 10/25/2041 | |
| | Series 2021-DNA7, Class M2, (30 day USD SOFR Average + 1.80%), 7.13%, due 11/25/2041 | |
| | Series 2021-DNA7, Class B1, (30 day USD SOFR Average + 3.65%), 8.98%, due 11/25/2041 | |
| | Series 2021-HQA4, Class B1, (30 day USD SOFR Average + 3.75%), 9.08%, due 12/25/2041 | |
| | Series 2022-DNA1, Class M2, (30 day USD SOFR Average + 2.50%), 7.83%, due 1/25/2042 | |
| | Series 2022-DNA2, Class M1B, (30 day USD SOFR Average + 2.40%), 7.73%, due 2/25/2042 | |
| | Series 2022-DNA2, Class M2, (30 day USD SOFR Average + 3.75%), 9.08%, due 2/25/2042 | |
| | Series 2022-DNA2, Class B1, (30 day USD SOFR Average + 4.75%), 10.08%, due 2/25/2042 | |
| | Series 2022-HQA1, Class M2, (30 day USD SOFR Average + 5.25%), 10.58%, due 3/25/2042 | |
| | Series 2022-DNA3, Class M1B, (30 day USD SOFR Average + 2.90%), 8.23%, due 4/25/2042 | |
| | Series 2022-DNA3, Class M2, (30 day USD SOFR Average + 4.35%), 9.68%, due 4/25/2042 | |
| | Series 2022-DNA5, Class M1B, (30 day USD SOFR Average + 4.50%), 9.83%, due 6/25/2042 | |
| | Series 2022-DNA6, Class M1B, (30 day USD SOFR Average + 3.70%), 9.03%, due 9/25/2042 | |
| | Series 2022-DNA6, Class M2, (30 day USD SOFR Average + 5.75%), 11.08%, due 9/25/2042 | |
| | Series 2024-DNA1, Class M2, (30 day USD SOFR Average + 1.95%), 7.28%, due 2/25/2044 | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
|
Collateralized Mortgage Obligations – cont'd |
|
| | Series 2024-HQA1, Class M2, (30 day USD SOFR Average + 2.00%), 7.33%, due 3/25/2044 | |
| | Federal Home Loan Mortgage Corp. STACR Trust, Series 2018-DNA1, Class M2, (30 day USD SOFR Average + 1.91%), 7.24%, due 7/25/2030 | |
| | Federal National Mortgage Association Connecticut Avenue Securities | |
| | Series 2017-C06, Class 2M2, (30 day USD SOFR Average + 2.91%), 8.24%, due 2/25/2030 | |
| | Series 2017-C07, Class 1M2, (30 day USD SOFR Average + 2.51%), 7.84%, due 5/25/2030 | |
| | Series 2018-C02, Class 2M2, (30 day USD SOFR Average + 2.31%), 7.64%, due 8/25/2030 | |
| | Series 2018-C04, Class 2M2, (30 day USD SOFR Average + 2.66%), 7.99%, due 12/25/2030 | |
| | Series 2018-C05, Class 1M2, (30 day USD SOFR Average + 2.46%), 7.79%, due 1/25/2031 | |
| | Series 2019-R04, Class 2B1, (30 day USD SOFR Average + 5.36%), 10.69%, due 6/25/2039 | |
| | Series 2019-R05, Class 1B1, (30 day USD SOFR Average + 4.21%), 9.54%, due 7/25/2039 | |
| | Series 2020-R02, Class 2B1, (30 day USD SOFR Average + 3.11%), 8.44%, due 1/25/2040 | |
| | Series 2020-R01, Class 1B1, (30 day USD SOFR Average + 3.36%), 8.69%, due 1/25/2040 | |
| | Series 2021-R03, Class 1M2, (30 day USD SOFR Average + 1.65%), 6.98%, due 12/25/2041 | |
| | Series 2022-R01, Class 1M2, (30 day USD SOFR Average + 1.90%), 7.23%, due 12/25/2041 | |
| | Series 2022-R02, Class 2B1, (30 day USD SOFR Average + 4.50%), 9.83%, due 1/25/2042 | |
| | Series 2022-R04, Class 1M2, (30 day USD SOFR Average + 3.10%), 8.43%, due 3/25/2042 | |
| | Series 2022-R03, Class 1M2, (30 day USD SOFR Average + 3.50%), 8.83%, due 3/25/2042 | |
| | Series 2022-R03, Class 1B1, (30 day USD SOFR Average + 6.25%), 11.58%, due 3/25/2042 | |
| | Series 2022-R08, Class 1M2, (30 day USD SOFR Average + 3.60%), 8.93%, due 7/25/2042 | |
| | Series 2022-R08, Class 1B1, (30 day USD SOFR Average + 5.60%), 10.93%, due 7/25/2042 | |
| | Series 2023-R01, Class 1M2, (30 day USD SOFR Average + 3.75%), 9.08%, due 12/25/2042 | |
| | Series 2023-R02, Class 1M2, (30 day USD SOFR Average + 3.35%), 8.68%, due 1/25/2043 | |
| | Series 2023-R02, Class 1B1, (30 day USD SOFR Average + 5.55%), 10.88%, due 1/25/2043 | |
| | Series 2023-R04, Class 1B1, (30 day USD SOFR Average + 5.35%), 10.68%, due 5/25/2043 | |
| | Series 2023-R05, Class 1B1, (30 day USD SOFR Average + 4.75%), 10.08%, due 6/25/2043 | |
| | Series 2023-R06, Class 1M2, (30 day USD SOFR Average + 2.70%), 8.03%, due 7/25/2043 | |
| | Series 2024-R01, Class 1B1, (30 day USD SOFR Average + 2.70%), 8.03%, due 1/25/2044 | |
| | Federal National Mortgage Association Interest Strip | |
| | Series 413, Class C26, 4.00%, due 10/25/2041 | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
|
Collateralized Mortgage Obligations – cont'd |
|
| | Series 418, Class C24, 4.00%, due 8/25/2043 | |
| | Series 437, Class C29, 3.38%, due 5/25/2053 | |
| | Federal National Mortgage Association REMICS | |
| | Series 2019-49, Class DS, (6.04% - 30 day USD SOFR Average), 0.71%, due 6/25/2043 | |
| | Series 2018-18, Class ST, (5.99% - 30 day USD SOFR Average), 0.66%, due 12/25/2044 | |
| | Series 2016-8, Class SB, (5.99% - 30 day USD SOFR Average), 0.66%, due 3/25/2046 | |
| | Series 2016-31, Class HS, (5.89% - 30 day USD SOFR Average), 0.56%, due 6/25/2046 | |
| | Series 2016-67, Class KS, (5.89% - 30 day USD SOFR Average), 0.56%, due 9/25/2046 | |
| | Series 2016-62, Class SA, (5.89% - 30 day USD SOFR Average), 0.56%, due 9/25/2046 | |
| | Series 2019-33, Class SN, (5.99% - 30 day USD SOFR Average), 0.66%, due 7/25/2049 | |
| | Series 2021-76, Class AI, 3.50%, due 11/25/2051 | |
| | Government National Mortgage Association REMICS | |
| | Series 2013-186, Class SA, (5.99% - 1 mo. USD Term SOFR), 0.67%, due 12/16/2043 | |
| | Series 2015-187, Class AI, 4.50%, due 12/20/2045 | |
| | Series 2020-86, Class WK, 1.00%, due 6/20/2050 | |
| | Series 2020-107, Class AB, 1.00%, due 7/20/2050 | |
| | Series 2020-112, Class KA, 1.00%, due 8/20/2050 | |
| | Series 2020-151, Class MI, 2.50%, due 10/20/2050 | |
| | Series 2021-30, Class DI, 2.50%, due 2/20/2051 | |
| | Series 2021-103, Class HE, 2.00%, due 6/20/2051 | |
| | Series 2021-119, Class NC, 1.50%, due 7/20/2051 | |
| | Series 2022-140, Class NI, 3.00%, due 7/20/2051 | |
| | Series 2021-139, Class IE, 3.50%, due 8/20/2051 | |
| | Series 2021-177, Class IG, 3.50%, due 10/20/2051 | |
| | Series 2021-196, Class IO, 2.50%, due 11/20/2051 | |
| | JP Morgan Alternative Loan Trust, Series 2006-A5, Class 1A1, (1 mo. USD Term SOFR + 0.43%), 5.75%, due 10/25/2036 | |
| | | |
| | Series 2024-2, Class A6A, 6.00%, due 8/25/2054 | |
| | Series 2024-HE1, Class M1, (30 day USD SOFR Average + 2.00%), 7.33%, due 8/25/2054 | |
| | Series 2024-HE1, Class M2, (30 day USD SOFR Average + 2.40%), 7.73%, due 8/25/2054 | |
| | Series 2024-4, Class A6A, 6.00%, due 10/25/2054 | |
| | Morgan Stanley Residential Mortgage Loan Trust, Series 2024-2, Class A5, 6.00%, due 3/25/2054 | |
| | Onslow Bay Mortgage Loan Trust, Series 2021-NQM4, Class A1, 1.96%, due 10/25/2061 | |
| | Sequoia Mortgage Trust, Series 2024-4, Class A10, 6.00%, due 5/25/2054 | |
| | SG Residential Mortgage Trust, Series 2021-2, Class A1, 1.74%, due 12/25/2061 | |
| | Starwood Mortgage Residential Trust, Series 2021-5, Class A1, 1.92%, due 9/25/2066 | |
| | Towd Point Mortgage Trust, Series 2022-4, Class A1, 3.75%, due 9/25/2062 | |
| | Verus Securitization Trust | |
| | Series 2021-6, Class A1, 1.63%, due 10/25/2066 | |
| | Series 2021-6, Class A3, 1.89%, due 10/25/2066 | |
| | Series 2022-4, Class A3, 4.74%, due 4/25/2067 | |
| | | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
|
Commercial Mortgage-Backed 7.1% |
|
| | | |
| | Series 2019-BN17, Class C, 4.66%, due 4/15/2052 | |
| | Series 2021-BN38, Class C, 3.32%, due 12/15/2064 | |
| | | |
| | Series 2024-5YR5, Class B, 6.54%, due 2/15/2029 | |
| | Series 2023-5YR3, Class C, 7.56%, due 9/15/2056 | |
| | Barclays Commercial Mortgage Trust, Series 2019-C5, Class C, 3.71%, due 11/15/2052 | |
| | | |
| | Series 2021-C11, Class XA, 1.49%, due 9/15/2054 | |
| | Series 2022-C17, Class XA, 1.32%, due 9/15/2055 | |
| | Series 2024-C24, Class C, 6.00%, due 2/15/2057 | |
| | | |
| | Series 2024-V6, Class C, 6.67%, due 3/15/2029 | |
| | Series 2020-IG2, Class UBRC, 3.63%, due 9/15/2048 | |
| | Series 2020-B16, Class C, 3.53%, due 2/15/2053 | |
| | Series 2020-B17, Class B, 2.92%, due 3/15/2053 | |
| | Series 2020-B17, Class C, 3.37%, due 3/15/2053 | |
| | Series 2021-B30, Class XA, 0.92%, due 11/15/2054 | |
| | Series 2023-B40, Class D, 4.00%, due 12/15/2056 | |
| | Series 2023-B40, Class C, 7.64%, due 12/15/2056 | |
| | Series 2024-V5, Class D, 4.00%, due 1/10/2057 | |
| | Series 2024-V5, Class C, 7.20%, due 1/10/2057 | |
| | | |
| | Series 2023-C5, Class C, 6.85%, due 6/15/2056 | |
| | Series 2024-5C3, Class B, 6.56%, due 2/15/2057 | |
| | BPR Trust, Series 2022-OANA, Class D, (1 mo. USD Term SOFR + 3.70%), 9.02%, due 4/15/2037 | |
| | BX Commercial Mortgage Trust | |
| | Series 2021-VOLT, Class D, (1 mo. USD Term SOFR + 1.76%), 7.09%, due 9/15/2036 | |
| | Series 2021-VOLT, Class F, (1 mo. USD Term SOFR + 2.51%), 7.84%, due 9/15/2036 | |
| | Series 2024-MF, Class C, (1 mo. USD Term SOFR + 1.94%), 7.26%, due 2/15/2039 | |
| | Series 2024-XL4, Class C, (1 mo. USD Term SOFR + 2.19%), 7.51%, due 2/15/2039 | |
| | Series 2024-MF, Class D, (1 mo. USD Term SOFR + 2.69%), 8.01%, due 2/15/2039 | |
| | Series 2023-XL3, Class D, (1 mo. USD Term SOFR + 3.59%), 8.91%, due 12/9/2040 | |
| | Series 2024-XL5, Class D, (1 mo. USD Term SOFR + 2.69%), 8.01%, due 3/15/2041 | |
| | | |
| | Series 2024-BIO, Class C, (1 mo. USD Term SOFR + 2.64%), 7.96%, due 2/15/2041 | |
| | Series 2019-OC11, Class D, 4.08%, due 12/9/2041 | |
| | CAMB Commercial Mortgage Trust | |
| | Series 2019-LIFE, Class D, (1 mo. USD Term SOFR + 2.05%), 7.37%, due 12/15/2037 | |
| | Series 2019-LIFE, Class E, (1 mo. USD Term SOFR + 2.45%), 7.77%, due 12/15/2037 | |
| | Series 2019-LIFE, Class F, (1 mo. USD Term SOFR + 2.85%), 8.17%, due 12/15/2037 | |
| | Citigroup Commercial Mortgage Trust | |
| | Series 2023-PRM3, Class C, 6.57%, due 7/10/2028 | |
| | Series 2013-375P, Class A, 3.25%, due 5/10/2035 | |
| | Series 2023-SMRT, Class C, 6.05%, due 10/12/2040 | |
| | Series 2014-GC25, Class XA, 1.09%, due 10/10/2047 | |
| | Series 2015-GC27, Class XA, 1.45%, due 2/10/2048 | |
| | Series 2017-P8, Class C, 4.40%, due 9/15/2050 | |
| | Series 2022-GC48, Class C, 5.04%, due 5/15/2054 | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
|
Commercial Mortgage-Backed – cont'd |
|
| | Cold Storage Trust, Series 2020-ICE5, Class D, (1 mo. USD Term SOFR + 2.21%), 7.53%, due 11/15/2037 | |
| | | |
| | Series 2012-CR4, Class AM, 3.25%, due 10/15/2045 | |
| | Series 2013-CR8, Class D, 3.66%, due 6/10/2046 | |
| | Series 2014-CR16, Class XA, 0.91%, due 4/10/2047 | |
| | Series 2014-CR17, Class XA, 0.87%, due 5/10/2047 | |
| | Series 2014-UBS3, Class XA, 1.01%, due 6/10/2047 | |
| | Series 2014-UBS6, Class XA, 0.96%, due 12/10/2047 | |
| | CSAIL Commercial Mortgage Trust | |
| | Series 2018-C14, Class C, 5.04%, due 11/15/2051 | |
| | Series 2015-C2, Class XA, 0.85%, due 6/15/2057 | |
| | Eleven Madison Trust Mortgage Trust, Series 2015-11MD, Class A, 3.67%, due 9/10/2035 | |
| | Extended Stay America Trust | |
| | Series 2021-ESH, Class C, (1 mo. USD Term SOFR + 1.81%), 7.14%, due 7/15/2038 | |
| | Series 2021-ESH, Class D, (1 mo. USD Term SOFR + 2.36%), 7.69%, due 7/15/2038 | |
| | Federal Home Loan Mortgage Corp. Multiclass Certificates | |
| | Series 2020-RR03, Class X1, 1.71%, due 7/27/2028 | |
| | Series 2020-RR02, Class DX, 1.82%, due 9/27/2028 | |
| | Series 2020-RR04, Class X, 2.13%, due 2/27/2029 | |
| | Series 2020-RR02, Class CX, 1.27%, due 3/27/2029 | |
| | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | |
| | Series K083, Class XAM, 0.19%, due 10/25/2028 | |
| | Series K085, Class XAM, 0.20%, due 10/25/2028 | |
| | FIVE Mortgage Trust, Series 2023-V1, Class C, 6.51%, due 2/10/2056 | |
| | Great Wolf Trust, Series 2024-WOLF, Class D, (1 mo. USD Term SOFR + 2.89%), 8.21%, due 3/15/2039 | |
| | GS Mortgage Securities Trust | |
| | Series 2011-GC5, Class XA, 0.09%, due 8/10/2044 | |
| | Series 2015-GS1, Class AS, 4.04%, due 11/10/2048 | |
| | Series 2016-GS2, Class C, 4.85%, due 5/10/2049 | |
| | Series 2015-GC30, Class XA, 0.85%, due 5/10/2050 | |
| | Series 2019-GC42, Class C, 3.83%, due 9/10/2052 | |
| | | |
| | Series 2016-HHV, Class C, 4.33%, due 11/5/2038 | |
| | Series 2016-HHV, Class D, 4.33%, due 11/5/2038 | |
| | Series 2016-HHV, Class E, 4.33%, due 11/5/2038 | |
| | Hudson Yards Mortgage Trust, Series 2016-10HY, Class C, 3.08%, due 8/10/2038 | |
| | ILPT Trust, Series 2019-SURF, Class A, 4.15%, due 2/11/2041 | |
| | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2022-OPO, Class D, 3.56%, due 1/5/2039 | |
| | Manhattan West Mortgage Trust | |
| | Series 2020-1MW, Class D, 2.41%, due 9/10/2039 | |
| | Series 2020-1MW, Class C, 2.41%, due 9/10/2039 | |
| | | |
| | Series 2024-HTL, Class B, (1 mo. USD Term SOFR + 2.41%), 7.73%, due 2/15/2037 | |
| | Series 2024-HTL, Class D, (1 mo. USD Term SOFR + 3.91%), 9.23%, due 2/15/2037 | |
| | MED Commercial Mortgage Trust, Series 2024-MOB, Class C, (1 mo. USD Term SOFR + 2.29%), 7.60%, due 5/15/2041 | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
|
Commercial Mortgage-Backed – cont'd |
|
| | | |
| | Series 2021-MDLN, Class D, (1 mo. USD Term SOFR + 2.11%), 7.44%, due 11/15/2038 | |
| | Series 2021-MDLN, Class F, (1 mo. USD Term SOFR + 4.11%), 9.44%, due 11/15/2038 | |
| | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C33, Class C, 4.56%, due 5/15/2050 | |
| | Morgan Stanley Capital I Trust | |
| | Series 2017-H1, Class B, 4.08%, due 6/15/2050 | |
| | Series 2017-H1, Class C, 4.28%, due 6/15/2050 | |
| | Series 2018-L1, Class AS, 4.64%, due 10/15/2051 | |
| | Series 2018-H4, Class C, 5.22%, due 12/15/2051 | |
| | MSWF Commercial Mortgage Trust | |
| | Series 2023-1, Class C, 6.91%, due 5/15/2056 | |
| | Series 2023-2, Class D, 4.00%, due 12/15/2056 | |
| | Series 2023-2, Class C, 7.25%, due 12/15/2056 | |
| | NYO Commercial Mortgage Trust | |
| | Series 2021-1290, Class B, (1 mo. USD Term SOFR + 1.66%), 6.98%, due 11/15/2038 | |
| | Series 2021-1290, Class D, (1 mo. USD Term SOFR + 2.66%), 7.98%, due 11/15/2038 | |
| | | |
| | Series 2017-1MKT, Class A, 3.61%, due 2/10/2032 | |
| | Series 2017-1MKT, Class B, 3.85%, due 2/10/2032 | |
| | | |
| | Series 2021-PARK, Class D, (1 mo. USD Term SOFR + 1.61%), 6.94%, due 3/15/2036 | |
| | Series 2021-PARK, Class E, (1 mo. USD Term SOFR + 1.86%), 7.19%, due 3/15/2036 | |
| | ORL Trust, Series 2023-GLKS, Class D, (1 mo. USD Term SOFR + 4.30%), 9.62%, due 10/19/2036 | |
| | SFO Commercial Mortgage Trust | |
| | Series 2021-555, Class A, (1 mo. USD Term SOFR + 1.26%), 6.59%, due 5/15/2038 | |
| | Series 2021-555, Class B, (1 mo. USD Term SOFR + 1.61%), 6.94%, due 5/15/2038 | |
| | SHER Trust, Series 2024-DAL, Class C, (1 mo. USD Term SOFR + 2.89%), 8.22%, due 4/15/2029 | |
| | Taubman Centers Commercial Mortgage Trust | |
| | Series 2022-DPM, Class B, (1 mo. USD Term SOFR + 2.93%), 8.25%, due 5/15/2037 | |
| | Series 2022-DPM, Class C, (1 mo. USD Term SOFR + 3.78%), 9.10%, due 5/15/2037 | |
| | Wells Fargo Commercial Mortgage Trust | |
| | Series 2015-NXS4, Class C, 4.84%, due 12/15/2048 | |
| | Series 2016-NXS6, Class C, 4.54%, due 11/15/2049 | |
| | Series 2017-C39, Class C, 4.12%, due 9/15/2050 | |
| | WF-RBS Commercial Mortgage Trust | |
| | Series 2013-C14, Class XB, 0.12%, due 6/15/2046 | |
| | Series 2014-C21, Class XA, 1.11%, due 8/15/2047 | |
| | Series 2014-C25, Class XA, 0.93%, due 11/15/2047 | |
| | Series 2014-C22, Class XA, 0.90%, due 9/15/2057 | |
| | | |
Federal Home Loan Mortgage Corp. 13.9% |
|
| | Pass-Through Certificates | |
| | 2.50%, due 5/1/2051 - 5/1/2052 | |
| | 3.00%, due 11/1/2050 - 5/1/2052 | |
| | 3.50%, due 4/1/2052 - 2/1/2053 | |
| | 4.00%, due 4/1/2052 - 6/1/2053 | |
| | 4.50%, due 7/1/2052 - 5/1/2053 | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
|
Federal Home Loan Mortgage Corp. – cont'd |
|
| | 5.00%, due 10/1/2052 - 1/1/2054 | |
| | 5.50%, due 11/1/2052 - 3/1/2054 | |
| | 6.00%, due 12/1/2052 - 4/1/2054 | |
| | 6.50%, due 7/1/2053 - 2/1/2054 | |
| | | |
Federal National Mortgage Association 16.9% |
|
| | Pass-Through Certificates | |
| | 2.50%, due 10/1/2050 - 9/1/2052 | |
| | 3.00%, due 6/1/2050 - 3/1/2053 | |
| | 3.50%, due 5/1/2051 - 5/1/2053 | |
| | 4.00%, due 2/1/2052 - 12/1/2053 | |
| | 4.50%, due 6/1/2052 - 5/1/2053 | |
| | 5.00%, due 8/1/2052 - 2/1/2054 | |
| | 5.50%, due 12/1/2052 - 4/1/2054 | |
| | 6.00%, due 1/1/2053 - 5/1/2054 | |
| | 6.50%, due 11/1/2053 - 3/1/2054 | |
| | | |
Government National Mortgage Association 5.5% |
|
| | Pass-Through Certificates | |
| | 5.00%, due 11/20/2052 - 1/20/2054 | |
| | 5.50%, due 6/20/2053 - 8/20/2053 | |
| | 6.00%, due 6/20/2053 - 1/20/2054 | |
| | | |
| | 5.00%, TBA, 30 Year Maturity | |
| | 5.50%, TBA, 30 Year Maturity | |
| | 6.00%, TBA, 30 Year Maturity | |
| | | |
Uniform Mortgage-Backed Securities 11.5% |
|
| | Pass-Through Certificates | |
| | 2.50%, TBA, 30 Year Maturity | |
| | 3.50%, TBA, 30 Year Maturity | |
| | 4.00%, TBA, 30 Year Maturity | |
| | 4.50%, TBA, 30 Year Maturity | |
| | 5.00%, TBA, 30 Year Maturity | |
| | 5.50%, TBA, 30 Year Maturity | |
| | 6.00%, TBA, 30 Year Maturity | |
| | | |
Total Mortgage-Backed Securities (Cost $2,935,419,357) | |
Asset-Backed Securities 10.6% |
|
| | 37 Capital CLO 1 Ltd., Series 2021-1A, Class E, (3 mo. USD Term SOFR + 7.46%), 12.79%, due 10/15/2034 | |
| | 37 Capital CLO II Ltd., Series 2022-1A, Class A1A, (3 mo. USD Term SOFR + 2.00%), 7.33%, due 7/15/2034 | |
| | AASET Trust, Series 2020-1A, Class A, 3.35%, due 1/16/2040 | |
| | AGL CLO 17 Ltd., Series 2022-17A, Class E, (3 mo. USD Term SOFR + 6.35%), 11.67%, due 1/21/2035 | |
| | AIMCO CLO, Series 2018-AA, Class E, (3 mo. USD Term SOFR + 5.41%), 10.73%, due 4/17/2031 | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
Asset-Backed Securities – cont'd |
|
| | Alinea CLO Ltd., Series 2018-1A, Class E, (3 mo. USD Term SOFR + 6.26%), 11.59%, due 7/20/2031 | |
| | ALM Ltd., Series 2020-1A, Class D, (3 mo. USD Term SOFR + 6.26%), 11.59%, due 10/15/2029 | |
| | Amur Equipment Finance Receivables XI LLC, Series 2022-2A, Class A2, 5.30%, due 6/21/2028 | |
| | | |
| | Series 2017-28A, Class C, (3 mo. USD Term SOFR + 2.76%), 8.09%, due 1/20/2031 | |
| | Series 2017-28A, Class D, (3 mo. USD Term SOFR + 5.76%), 11.09%, due 1/20/2031 | |
| | | |
| | Series 2019-53A, Class D, (3 mo. USD Term SOFR + 4.01%), 9.33%, due 4/24/2031 | |
| | Series 2019-53A, Class E, (3 mo. USD Term SOFR + 7.11%), 12.43%, due 4/24/2031 | |
| | Ares XLV CLO Ltd., Series 2017-45A, Class E, (3 mo. USD Term SOFR + 6.36%), 11.69%, due 10/15/2030 | |
| | Ares XXVII CLO Ltd., Series 2013-2A, Class ER2, (3 mo. USD Term SOFR + 7.01%), 12.34%, due 10/28/2034 | |
| | | |
| | Series 2018-2A, Class D, (3 mo. USD Term SOFR + 3.11%), 8.44%, due 4/20/2031 | |
| | Series 2018-2A, Class E, (3 mo. USD Term SOFR + 5.86%), 11.19%, due 4/20/2031 | |
| | Avis Budget Rental Car Funding AESOP LLC | |
| | Series 2022-3A, Class B, 5.31%, due 2/20/2027 | |
| | Series 2022-5A, Class CN, 6.24%, due 4/20/2027 | |
| | Series 2023-1A, Class C, 6.23%, due 4/20/2029 | |
| | Series 2024-1A, Class B, 5.85%, due 6/20/2030 | |
| | Series 2024-1A, Class C, 6.48%, due 6/20/2030 | |
| | | |
| | Series 2024-1A, Class D1, (3 mo. USD Term SOFR + 3.85%), 9.17%, due 4/16/2037 | |
| | Series 2024-1A, Class E, (3 mo. USD Term SOFR + 6.80%), 12.12%, due 4/16/2037 | |
| | Ballyrock CLO 19 Ltd., Series 2022-19A, Class C, (3 mo. USD Term SOFR + 3.50%), 8.82%, due 4/20/2035 | |
| | Ballyrock CLO 26 Ltd., Series 2024-26A, Class D, (3 mo. USD Term SOFR + 6.10%), 6.10%, due 7/25/2037 | |
| | Bank of America Auto Trust, Series 2023-1A, Class A2, 5.83%, due 5/15/2026 | |
| | | |
| | Series 2024-1A, Class A, (3 mo. USD Term SOFR + 1.63%), 6.90%, due 1/20/2037 | |
| | Series 2024-1A, Class D, (3 mo. USD Term SOFR + 4.00%), 9.27%, due 1/20/2037 | |
| | Series 2024-1A, Class E, (3 mo. USD Term SOFR + 6.95%), 12.22%, due 1/20/2037 | |
| | Battalion CLO XXI Ltd., Series 2021-21A, Class D, (3 mo. USD Term SOFR + 3.56%), 8.89%, due 7/15/2034 | |
| | Bayview Opportunity Master Fund VII LLC | |
| | Series 2024-CAR1, Class C, (30 day USD SOFR Average + 1.50%), 6.83%, due 12/26/2031 | |
| | Series 2024-EDU1, Class C, (30 day USD SOFR Average + 1.80%), 7.62%, due 6/25/2047 | |
| | Series 2024-EDU1, Class D, (30 day USD SOFR Average + 2.75%), 8.83%, due 6/25/2047 | |
| | Beacon Container Finance II LLC, Series 2021-1A, Class A, 2.25%, due 10/22/2046 | |
| | Benefit Street Partners CLO XII Ltd., Series 2017-12A, Class D, (3 mo. USD Term SOFR + 6.67%), 12.00%, due 10/15/2030 | |
| | Benefit Street Partners CLO XX Ltd., Series 2020-20A, Class AR, (3 mo. USD Term SOFR + 1.43%), 6.76%, due 7/15/2034 | |
| | Benefit Street Partners CLO XXII Ltd., Series 2020-22A, Class DR, (3 mo. USD Term SOFR + 3.35%), 8.67%, due 4/20/2035 | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
Asset-Backed Securities – cont'd |
|
| | BlueMountain CLO XXV Ltd., Series 2019-25A, Class D1R, (3 mo. USD Term SOFR + 3.56%), 8.89%, due 7/15/2036 | |
| | BlueMountain CLO XXXIII Ltd., Series 2021-33A, Class E, (3 mo. USD Term SOFR + 7.09%), 12.41%, due 11/20/2034 | |
| | BMW Vehicle Lease Trust, Series 2023-1, Class A2, 5.27%, due 2/25/2025 | |
| | Business Jet Securities LLC | |
| | Series 2024-1A, Class A, 6.20%, due 5/15/2039 | |
| | Series 2024-1A, Class C, 9.13%, due 5/15/2039 | |
| | Canyon Capital CLO Ltd., Series 2021-1A, Class E, (3 mo. USD Term SOFR + 6.67%), 12.00%, due 4/15/2034 | |
| | Capital One Prime Auto Receivables Trust, Series 2023-1, Class A2, 5.20%, due 5/15/2026 | |
| | | |
| | Series 2017-1A, Class C, (3 mo. USD Term SOFR + 2.86%), 8.19%, due 1/20/2031 | |
| | Series 2017-1A, Class D, (3 mo. USD Term SOFR + 6.16%), 11.49%, due 1/20/2031 | |
| | Carlyle U.S. CLO Ltd., Series 2017-5A, Class D, (3 mo. USD Term SOFR + 5.56%), 10.89%, due 1/20/2030 | |
| | Carmax Auto Owner Trust, Series 2023-3, Class A2A, 5.72%, due 11/16/2026 | |
| | | |
| | Series 2023-1, Class A2, 5.82%, due 9/16/2030 | |
| | Series 2023-2, Class B, 6.21%, due 4/14/2032 | |
| | | |
| | Series 2021-3A, Class D, (3 mo. USD Term SOFR + 3.26%), 8.59%, due 7/15/2036 | |
| | Series 2023-3A, Class A, (3 mo. USD Term SOFR + 1.60%), 6.92%, due 1/20/2037 | |
| | Citigroup Mortgage Loan Trust, Inc., Series 2006-AMC1, Class A2B, (1 mo. USD Term SOFR + 0.43%), 5.75%, due 9/25/2036 | |
| | Citizens Auto Receivables Trust | |
| | Series 2023-1, Class A2A, 6.13%, due 7/15/2026 | |
| | Series 2024-2, Class A2A, 5.54%, due 11/16/2026 | |
| | Clover CLO LLC, Series 2020-1A, Class DR, (3 mo. USD Term SOFR + 3.26%), 8.59%, due 4/15/2034 | |
| | CNH Equipment Trust, Series 2021-A, Class A3, 0.40%, due 12/15/2025 | |
| | Compass Datacenters Issuer II LLC | |
| | Series 2024-1A, Class A1, 5.25%, due 2/25/2049 | |
| | Series 2024-1A, Class A2, 5.75%, due 2/25/2049 | |
| | Series 2024-1A, Class B, 7.00%, due 2/25/2049 | |
| | Crown Castle Towers LLC, 4.24%, due 7/15/2028 | |
| | | |
| | Series 2021-1A, Class C, (3 mo. USD Term SOFR + 3.56%), 8.89%, due 7/20/2034 | |
| | Series 2021-1A, Class D, (3 mo. USD Term SOFR + 7.01%), 12.34%, due 7/20/2034 | |
| | CyrusOne Data Centers Issuer I LLC | |
| | Series 2023-1A, Class A2, 4.30%, due 4/20/2048 | |
| | Series 2023-2A, Class A2, 5.56%, due 11/20/2048 | |
| | Daimler Trucks Retail Trust, Series 2024-1, Class A2, 5.60%, due 4/15/2026 | |
| | Dell Equipment Finance Trust | |
| | Series 2023-1, Class A2, 5.65%, due 9/22/2028 | |
| | Series 2023-3, Class A2, 6.10%, due 4/23/2029 | |
| | Series 2024-1, Class A2, 5.58%, due 3/22/2030 | |
| | Series 2024-1, Class D, 6.12%, due 9/23/2030 | |
| | DLLAA LLC, Series 2023-1A, Class A2, 5.93%, due 7/20/2026 | |
| | DLLAD LLC, Series 2023-1A, Class A2, 5.19%, due 4/20/2026 | |
| | DLLMT LLC, Series 2023-1A, Class A2, 5.78%, due 11/20/2025 | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
Asset-Backed Securities – cont'd |
|
| | Dryden 36 Senior Loan Fund, Series 2014-36A, Class ER2, (3 mo. USD Term SOFR + 7.14%), 12.47%, due 4/15/2029 | |
| | Dryden 45 Senior Loan Fund, Series 2016-45A, Class ER, (3 mo. USD Term SOFR + 6.11%), 11.44%, due 10/15/2030 | |
| | | |
| | Series 2017-53A, Class D, (3 mo. USD Term SOFR + 2.66%), 7.99%, due 1/15/2031 | |
| | Series 2017-53A, Class E, (3 mo. USD Term SOFR + 5.56%), 10.89%, due 1/15/2031 | |
| | Dryden 54 Senior Loan Fund, Series 2017-54A, Class E, (3 mo. USD Term SOFR + 6.46%), 11.79%, due 10/19/2029 | |
| | | |
| | Series 2015-1A, Class DR, (3 mo. USD Term SOFR + 2.76%), 8.09%, due 1/20/2030 | |
| | Series 2015-1A, Class ER, (3 mo. USD Term SOFR + 5.86%), 11.19%, due 1/20/2030 | |
| | Series 2018-1A, Class E, (3 mo. USD Term SOFR + 6.26%), 11.59%, due 10/15/2030 | |
| | Series 2020-2A, Class AR, (3 mo. USD Term SOFR + 1.41%), 6.74%, due 1/15/2035 | |
| | Fifth Third Auto Trust, Series 2023-1, Class A2A, 5.80%, due 11/16/2026 | |
| | Flagship Credit Auto Trust, Series 2021-2, Class D, 1.59%, due 6/15/2027 | |
| | Flatiron CLO Ltd., Series 2018-1A, Class E, (3 mo. USD Term SOFR + 5.41%), 10.73%, due 4/17/2031 | |
| | Ford Credit Auto Lease Trust, Series 2023-A, Class A2A, 5.19%, due 6/15/2025 | |
| | Fort Washington CLO Ltd., Series 2019-1A, Class ER, (3 mo. USD Term SOFR + 7.01%), 12.34%, due 10/20/2032 | |
| | Foundation Finance Trust, Series 2019-1A, Class A, 3.86%, due 11/15/2034 | |
| | Frontier Issuer LLC, Series 2023-1, Class A2, 6.60%, due 8/20/2053 | |
| | Galaxy XV CLO Ltd., Series 2013-15A, Class ER, (3 mo. USD Term SOFR + 6.91%), 12.24%, due 10/15/2030 | |
| | Galaxy XXVII CLO Ltd., Series 2018-27A, Class E, (3 mo. USD Term SOFR + 6.04%), 11.37%, due 5/16/2031 | |
| | Galaxy XXVIII CLO Ltd., Series 2018-28A, Class E, (3 mo. USD Term SOFR + 6.26%), 11.59%, due 7/15/2031 | |
| | GECU Auto Receivables Trust, Series 2023-1A, Class A2, 5.95%, due 3/15/2027 | |
| | Generate CLO 2 Ltd., Series 2A, Class DR, (3 mo. USD Term SOFR + 2.86%), 8.19%, due 1/22/2031 | |
| | GLS Auto Receivables Issuer Trust, Series 2024-1A, Class D, 5.95%, due 12/17/2029 | |
| | GM Financial Automobile Leasing Trust | |
| | Series 2023-1, Class A2A, 5.27%, due 6/20/2025 | |
| | Series 2023-2, Class A2A, 5.44%, due 10/20/2025 | |
| | GM Financial Consumer Automobile Receivables Trust, Series 2023-1, Class A2A, 5.19%, due 3/16/2026 | |
| | Gracie Point International Funding LLC | |
| | Series 2024-1A, Class A, (90 day USD SOFR Average + 1.70%), 7.06%, due 3/1/2028 | |
| | Series 2024-1A, Class B, (90 day USD SOFR Average + 2.10%), 7.46%, due 3/1/2028 | |
| | Series 2024-1A, Class C, (90 day USD SOFR Average + 3.50%), 8.86%, due 3/1/2028 | |
| | Series 2024-1A, Class D, (90 day USD SOFR Average + 7.15%), 12.51%, due 3/1/2028 | |
| | HalseyPoint CLO 4 Ltd., Series 2021-4A, Class E, (3 mo. USD Term SOFR + 6.97%), 12.30%, due 4/20/2034 | |
| | Harvest U.S. CLO Ltd., Series 2023-1A, Class A1, (3 mo. USD Term SOFR + 1.89%), 7.22%, due 1/15/2037 | |
| | Hilton Grand Vacations Trust | |
| | Series 2022-1D, Class D, 6.79%, due 6/20/2034 | |
| | Series 2022-2A, Class B, 4.74%, due 1/25/2037 | |
| | Series 2024-1B, Class B, 5.99%, due 9/15/2039 | |
| | Series 2024-1B, Class D, 8.85%, due 9/15/2039 | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
Asset-Backed Securities – cont'd |
|
| | Honda Auto Receivables Owner Trust, Series 2023-2, Class A2, 5.41%, due 4/15/2026 | |
| | HPEFS Equipment Trust, Series 2022-1A, Class B, 1.79%, due 5/21/2029 | |
| | Hyundai Auto Lease Securitization Trust, Series 2023-A, Class A2A, 5.20%, due 4/15/2025 | |
| | Hyundai Auto Receivables Trust | |
| | Series 2022-C, Class A2A, 5.35%, due 11/17/2025 | |
| | Series 2023-C, Class A2A, 5.80%, due 1/15/2027 | |
| | John Deere Owner Trust, Series 2022-C, Class A2, 4.98%, due 8/15/2025 | |
| | | |
| | Series 2023-HE3, Class M1, (30 day USD SOFR Average + 2.10%), 7.43%, due 5/25/2054 | |
| | Series 2023-HE3, Class M2, (30 day USD SOFR Average + 2.50%), 7.83%, due 5/25/2054 | |
| | Katayma CLO I Ltd., Series 2023-1A, Class A1, (3 mo. USD Term SOFR + 2.00%), 7.32%, due 10/20/2036 | |
| | Katayma CLO II Ltd., Series 2024-2A, Class A1, (3 mo. USD Term SOFR + 1.65%), 6.94%, due 4/20/2037 | |
| | KKR CLO 25 Ltd., Series 25, Class DR, (3 mo. USD Term SOFR + 3.66%), 8.99%, due 7/15/2034 | |
| | KKR CLO 29 Ltd., Series 29A, Class E, (3 mo. USD Term SOFR + 7.01%), 12.34%, due 1/15/2032 | |
| | Kubota Credit Owner Trust, Series 2023-2A, Class A2, 5.61%, due 7/15/2026 | |
| | Madison Park Funding LXII Ltd., Series 2022-62A, Class AR, (3 mo. USD Term SOFR + 1.85%), 7.17%, due 7/17/2036 | |
| | | |
| | Series 2018-20A, Class D, (3 mo. USD Term SOFR + 2.76%), 8.09%, due 4/20/2031 | |
| | Series 2018-20A, Class E, (3 mo. USD Term SOFR + 5.61%), 10.94%, due 4/20/2031 | |
| | Magnetite XXII Ltd., Series 2019-22A, Class DR, (3 mo. USD Term SOFR + 3.36%), 8.69%, due 4/15/2031 | |
| | Magnetite XXVIII Ltd., Series 2020-28A, Class AR, (3 mo. USD Term SOFR + 1.39%), 6.72%, due 1/20/2035 | |
| | Marble Point CLO XI Ltd., Series 2017-2A, Class D, (3 mo. USD Term SOFR + 3.06%), 8.39%, due 12/18/2030 | |
| | Mercedes-Benz Auto Lease Trust, Series 2023-A, Class A2, 5.24%, due 11/17/2025 | |
| | Mercedes-Benz Auto Receivables Trust | |
| | Series 2023-1, Class A2, 5.09%, due 1/15/2026 | |
| | Series 2023-2, Class A2, 5.92%, due 11/16/2026 | |
| | MetroNet Infrastructure Issuer LLC, Series 2022-1A, Class A2, 6.35%, due 10/20/2052 | |
| | Morgan Stanley Eaton Vance CLO Ltd. | |
| | Series 2021-1A, Class E, (3 mo. USD Term SOFR + 7.01%), 12.34%, due 10/20/2034 | |
| | Series 2022-16A, Class D1, (3 mo. USD Term SOFR + 3.25%), 8.58%, due 4/15/2035 | |
| | | |
| | Series 2021-2A, Class B, 1.83%, due 5/20/2039 | |
| | Series 2022-1A, Class B, 4.40%, due 11/21/2039 | |
| | Series 2023-2A, Class C, 7.06%, due 11/20/2040 | |
| | Series 2023-2A, Class D, 9.33%, due 11/20/2040 | |
| | Series 2024-1A, Class B, 5.51%, due 2/20/2043 | |
| | Series 2024-1A, Class C, 6.20%, due 2/20/2043 | |
| | MVW Owner Trust, Series 2018-1A, Class A, 3.45%, due 1/21/2036 | |
| | Navient Private Education Refi Loan Trust | |
| | Series 2021-EA, Class A, 0.97%, due 12/16/2069 | |
| | Series 2021-FA, Class A, 1.11%, due 2/18/2070 | |
| | Series 2021-GA, Class A, 1.58%, due 4/15/2070 | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
Asset-Backed Securities – cont'd |
|
| | | |
| | Series 2023-A, Class A2A, 5.10%, due 3/17/2025 | |
| | Series 2023-B, Class A2A, 5.74%, due 8/15/2025 | |
| | Nissan Auto Receivables Owner Trust, Series 2023-A, Class A2A, 5.34%, due 2/17/2026 | |
| | Oaktree CLO Ltd., Series 2024-26A, Class E, (3 mo. USD Term SOFR + 6.50%), 6.50%, due 4/20/2037 | |
| | | |
| | Series 2017-13A, Class DR, (3 mo. USD Term SOFR + 6.76%), 12.09%, due 7/15/2030 | |
| | Series 2017-14A, Class C, (3 mo. USD Term SOFR + 2.86%), 8.18%, due 11/20/2030 | |
| | Series 2017-14A, Class D, (3 mo. USD Term SOFR + 6.06%), 11.38%, due 11/20/2030 | |
| | Series 2020-19A, Class ER, (3 mo. USD Term SOFR + 6.76%), 12.09%, due 10/20/2034 | |
| | OHA Credit Funding 3 Ltd., Series 2019-3A, Class DR, (3 mo. USD Term SOFR + 3.16%), 8.49%, due 7/2/2035 | |
| | OHA Credit Funding 4 Ltd., Series 2019-4A, Class AR, (3 mo. USD Term SOFR + 1.41%), 6.74%, due 10/22/2036 | |
| | OHA Credit Funding 6 Ltd., Series 2020-6A, Class DR, (3 mo. USD Term SOFR + 3.41%), 8.74%, due 7/20/2034 | |
| | OHA Loan Funding Ltd., Series 2015-1A, Class AR3, (3 mo. USD Term SOFR + 1.41%), 6.74%, due 1/19/2037 | |
| | OneMain Financial Issuance Trust, Series 2022-2A, Class A, 4.89%, due 10/14/2034 | |
| | Palmer Square CLO Ltd., Series 2015-1A, Class DR4, (3 mo. USD Term SOFR + 6.76%), 12.08%, due 5/21/2034 | |
| | Parallel Ltd., Series 2020-1A, Class DR, (3 mo. USD Term SOFR + 6.76%), 12.09%, due 7/20/2034 | |
| | Porsche Financial Auto Securitization Trust | |
| | Series 2023-2A, Class A2A, 5.88%, due 11/23/2026 | |
| | Series 2023-1A, Class A2, 5.42%, due 12/22/2026 | |
| | PPM CLO 3 Ltd., Series 2019-3A, Class DR, (3 mo. USD Term SOFR + 3.36%), 8.68%, due 4/17/2034 | |
| | Prestige Auto Receivables Trust | |
| | Series 2021-1A, Class C, 1.53%, due 2/15/2028 | |
| | Series 2021-1A, Class D, 2.08%, due 2/15/2028 | |
| | Regatta XX Funding Ltd., Series 2021-2A, Class E, (3 mo. USD Term SOFR + 6.51%), 11.84%, due 10/15/2034 | |
| | Regatta XXVIII Funding Ltd., Series 2024-2A, Class A1, (3 mo. USD Term SOFR + 1.55%), 6.88%, due 4/25/2037 | |
| | Riserva CLO Ltd., Series 2016-3A, Class ERR, (3 mo. USD Term SOFR + 6.76%), 12.09%, due 1/18/2034 | |
| | RRX 5 Ltd., Series 2021-5A, Class D, (3 mo. USD Term SOFR + 6.59%), 11.92%, due 7/15/2034 | |
| | RRX 6 Ltd., Series 2021-6A, Class D, (3 mo. USD Term SOFR + 6.62%), 11.95%, due 1/15/2037 | |
| | | |
| | Series 2021-1A, Class D, (3 mo. USD Term SOFR + 3.81%), 9.14%, due 10/15/2034 | |
| | Series 2021-1A, Class E, (3 mo. USD Term SOFR + 7.06%), 12.39%, due 10/15/2034 | |
| | Santander Drive Auto Receivables Trust, Series 2024-1, Class C, 5.45%, due 3/15/2030 | |
| | | |
| | Series 2024-A, Class A2, 5.45%, due 1/20/2026 | |
| | Series 2023-A, Class A2, 6.27%, due 4/20/2026 | |
| | Securitized Asset-Backed Receivables LLC Trust, Series 2004-DO1, Class M1, (1 mo. USD Term SOFR + 1.09%), 6.41%, due 7/25/2034 | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
Asset-Backed Securities – cont'd |
|
| | SFS Auto Receivables Securitization Trust, Series 2024-1A, Class C, 5.51%, due 1/20/2032 | |
| | Sierra Timeshare Receivables Funding LLC | |
| | Series 2019-3A, Class D, 4.18%, due 8/20/2036 | |
| | Series 2020-2A, Class C, 3.51%, due 7/20/2037 | |
| | Series 2021-2A, Class C, 1.95%, due 9/20/2038 | |
| | Series 2021-2A, Class D, 3.23%, due 9/20/2038 | |
| | Series 2022-1A, Class D, 6.00%, due 10/20/2038 | |
| | Series 2023-1A, Class C, 7.00%, due 1/20/2040 | |
| | Series 2023-2A, Class C, 7.30%, due 4/20/2040 | |
| | Series 2023-2A, Class D, 9.72%, due 4/20/2040 | |
| | Series 2023-3A, Class C, 7.12%, due 9/20/2040 | |
| | Series 2024-1A, Class C, 5.94%, due 1/20/2043 | |
| | Series 2024-1A, Class D, 8.02%, due 1/20/2043 | |
| | Signal Peak CLO 7 Ltd., Series 2019-1A, Class D, (3 mo. USD Term SOFR + 4.11%), 9.44%, due 4/30/2032 | |
| | Sixth Street CLO XIX Ltd., Series 2021-19A, Class A, (3 mo. USD Term SOFR + 1.36%), 6.69%, due 7/20/2034 | |
| | SoFi Professional Loan Program LLC, Series 2020-A, Class BFX, 3.12%, due 5/15/2046 | |
| | Sotheby's Artfi Master Trust, Series 2024-1A, Class A1, 6.43%, due 12/22/2031 | |
| | Stack Infrastructure Issuer LLC, Series 2023-3A, Class A2, 5.90%, due 10/25/2048 | |
| | | |
| | Series 2018-1A, Class A2II, 4.94%, due 11/25/2048 | |
| | Series 2021-1A, Class A2I, 1.95%, due 8/25/2051 | |
| | Tesla Auto Lease Trust, Series 2023-B, Class A2, 6.02%, due 9/22/2025 | |
| | Texas Debt Capital CLO Ltd., Series 2023-1A, Class A, (3 mo. USD Term SOFR + 1.80%), 7.12%, due 4/20/2036 | |
| | TICP CLO V Ltd., Series 2016-5A, Class ER, (3 mo. USD Term SOFR + 6.01%), 11.33%, due 7/17/2031 | |
| | TICP CLO XV Ltd., Series 2020-15A, Class A, (3 mo. USD Term SOFR + 1.54%), 6.87%, due 4/20/2033 | |
| | | |
| | Series 2024-1A, Class B, 5.58%, due 4/20/2049 | |
| | Series 2024-1A, Class C, 6.31%, due 4/20/2049 | |
| | Towd Point Mortgage Trust | |
| | Series 2024-CES1, Class A1A, 5.85%, due 1/25/2064 | |
| | Series 2024-CES1, Class A1B, 6.05%, due 1/25/2064 | |
| | Series 2024-CES2, Class A1A, 6.13%, due 2/25/2064 | |
| | Toyota Auto Receivables Owner Trust | |
| | Series 2023-A, Class A2, 5.05%, due 1/15/2026 | |
| | Series 2022-D, Class A2A, 5.27%, due 1/15/2026 | |
| | Series 2023-B, Class A2A, 5.28%, due 5/15/2026 | |
| | Series 2023-D, Class A2A, 5.80%, due 11/16/2026 | |
| | Trestles CLO II Ltd., Series 2018-2A, Class ER, (3 mo. USD Term SOFR + 6.60%), 6.60%, due 7/25/2037 | |
| | TRESTLES CLO II Ltd., Series 2018-2A, Class D, (3 mo. USD Term SOFR + 6.01%), 11.34%, due 7/25/2031 | |
| | TRESTLES CLO Ltd., Series 2017-1A, Class DR, (3 mo. USD Term SOFR + 6.51%), 11.84%, due 4/25/2032 | |
| | Trinitas CLO XVI Ltd., Series 2021-16A, Class D, (3 mo. USD Term SOFR + 3.56%), 8.89%, due 7/20/2034 | |
| | Trinitas CLO XXIII Ltd., Series 2023-23A, Class A, (3 mo. USD Term SOFR + 1.80%), 7.12%, due 10/20/2036 | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
Asset-Backed Securities – cont'd |
|
| | Trinitas CLO XXV Ltd., Series 2023-25A, Class A1, (3 mo. USD Term SOFR + 1.85%), 7.18%, due 1/23/2037 | |
| | U.S. Bank NA, Series 2023-1, Class B, 6.79%, due 8/25/2032 | |
| | Verde CLO Ltd., Series 2019-1A, Class DR, (3 mo. USD Term SOFR + 3.51%), 8.84%, due 4/15/2032 | |
| | | |
| | Series 2022-7, Class A1B, (30 day USD SOFR Average + 0.85%), 6.18%, due 11/22/2027 | |
| | Series 2024-3, Class A1B, (30 day USD SOFR Average + 0.58%), 5.96%, due 4/22/2030 | |
| | Volkswagen Auto Lease Trust, Series 2023-A, Class A2A, 5.87%, due 1/20/2026 | |
| | Voya CLO Ltd., Series 2018-3A, Class E, (3 mo. USD Term SOFR + 6.01%), 11.34%, due 10/15/2031 | |
| | Whitebox CLO III Ltd., Series 2021-3A, Class E, (3 mo. USD Term SOFR + 7.11%), 12.44%, due 10/15/2034 | |
| | World Omni Auto Receivables Trust | |
| | Series 2022-B, Class A2A, 2.77%, due 10/15/2025 | |
| | Series 2023-A, Class A2A, 5.18%, due 7/15/2026 | |
| | Series 2023-B, Class A2A, 5.25%, due 11/16/2026 | |
| | Ziply Fiber Issuer LLC, Series 2024-1A, Class C, 11.17%, due 4/20/2054 | |
Total Asset-Backed Securities (Cost $453,956,523) | |
|
|
|
|
| | Clear Channel Outdoor Holdings, Inc., 5.13%, due 8/15/2027 | |
| | Summer BC Bidco B LLC, 5.50%, due 10/31/2026 | |
| | Summer BC Holdco B SARL, 5.75%, due 10/31/2026 | |
| | | |
|
|
| | AAR Escrow Issuer LLC, 6.75%, due 3/15/2029 | |
| | BAE Systems PLC, 5.30%, due 3/26/2034 | |
| | Boeing Co., 5.81%, due 5/1/2050 | |
| | Bombardier, Inc., 7.25%, due 7/1/2031 | |
| | L3Harris Technologies, Inc., 5.40%, due 7/31/2033 | |
| | Rolls-Royce PLC, 5.75%, due 10/15/2027 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
|
|
| | Philip Morris International, Inc., 5.38%, due 2/15/2033 | |
|
|
| | American Airlines, Inc., 7.25%, due 2/15/2028 | |
| | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.75%, due 4/20/2029 | |
| | International Consolidated Airlines Group SA, 3.75%, due 3/25/2029 | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | | |
| | | |
| | | |
| | United Airlines, Inc., 4.38%, due 4/15/2026 | |
| | VistaJet Malta Finance PLC/Vista Management Holding, Inc., 6.38%, due 2/1/2030 | |
| | | |
|
|
| | Birkenstock Financing SARL, 5.25%, due 4/30/2029 | |
| | PrestigeBidCo GmbH, (3 mo. EUR EURIBOR + 6.00%, Floor 7.00%), 9.91%, due 7/15/2027 | |
| | PVH Corp., 4.13%, due 7/16/2029 | |
| | | |
|
|
| | General Motors Financial Co., Inc., 1.20%, due 10/15/2024 | |
| | Hyundai Capital America, 5.50%, due 3/30/2026 | |
| | Jaguar Land Rover Automotive PLC | |
| | | |
| | | |
| | Volkswagen Group of America Finance LLC | |
| | (Secured Overnight Financing Rate + 0.95%), 6.30%, due 6/7/2024 | |
| | (Secured Overnight Financing Rate + 0.93%), 6.28%, due 9/12/2025 | |
| | Volkswagen International Finance NV, 3.75%, due 12/28/2027 | |
| | | |
Auto Parts & Equipment 0.6% |
|
| | Clarios Global LP/Clarios U.S. Finance Co., 4.38%, due 5/15/2026 | |
| | Dana Financing Luxembourg SARL, 8.50%, due 7/15/2031 | |
| | Dana, Inc., 5.63%, due 6/15/2028 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Goodyear Tire & Rubber Co. | |
| | | |
| | | |
| | Grupo Antolin-Irausa SA, 3.50%, due 4/30/2028 | |
| | | |
| | 3.75% Cash/4.50% PIK, due 9/15/2026 | |
| | 3.88% Cash/4.63% PIK, due 5/15/2027 | |
| | | |
| | | |
| | | |
| | Valeo SE, 5.88%, due 4/12/2029 | |
| | ZF Europe Finance BV, 3.00%, due 10/23/2029 | |
| | ZF Finance GmbH, 3.75%, due 9/21/2028 | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
|
Auto Parts & Equipment – cont'd |
|
| | ZF North America Capital, Inc. | |
| | | |
| | | |
| | | |
| | | |
|
|
| | ABN AMRO Bank NV, 3.32%, due 3/13/2037 | |
| | AMCO - Asset Management Co. SpA, 0.75%, due 4/20/2028 | |
| | Australia & New Zealand Banking Group Ltd., 5.67%, due 10/3/2025 | |
| | Banco Bilbao Vizcaya Argentaria SA, 6.50%, due 3/5/2025 | |
| | | |
| | | |
| | | |
| | Banco de Bogota SA, 6.25%, due 5/12/2026 | |
| | Banco de Credito del Peru SA, 2.70%, due 1/11/2025 | |
| | Banco do Brasil SA, 8.75%, due 10/15/2024 | |
| | Banco Inbursa SA Institucion De Banca Multiple Grupo Financiero Inbursa, 4.13%, due 6/6/2024 | |
| | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, 5.38%, due 4/17/2025 | |
| | Banco Santander SA, 5.15%, due 8/18/2025 | |
| | Banco Votorantim SA, 4.50%, due 9/24/2024 | |
| | Bangkok Bank PCL, 4.30%, due 6/15/2027 | |
| | Bank Negara Indonesia Persero Tbk. PT, 3.75%, due 3/30/2026 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Bank of Montreal, 5.30%, due 6/5/2026 | |
| | Bank of New York Mellon Corp. | |
| | (Secured Overnight Financing Rate + 0.20%), 5.55%, due 10/25/2024 | |
| | | |
| | Bank of New Zealand, 2.55%, due 6/29/2027 | |
| | Bank of Nova Scotia, 5.35%, due 12/7/2026 | |
| | Banque Federative du Credit Mutuel SA | |
| | (10 yr. EURIBOR ICE Swap + 0.10%, Cap 8.00%, Floor 0.00%), 2.88%, due 2/25/2025 | |
| | | |
| | | |
| | | |
| | Barclays Bank PLC, (3 mo. EUR EURIBOR + 0.71%), 4.65%, due 6/15/2024 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | BBK BSC, 5.50%, due 7/9/2024 | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | | |
| | | |
| | | |
| | | |
| | | |
| | BPCE SA, 3.65%, due 1/14/2037 | |
| | Cie de Financement Foncier SA, 2.00%, due 5/7/2024 | |
| | | |
| | | |
| | | |
| | | |
| | (Secured Overnight Financing Rate + 0.69%), 6.05%, due 1/25/2026 | |
| | (Secured Overnight Financing Rate + 1.53%), 6.88%, due 3/17/2026 | |
| | | |
| | | |
| | Citizens Financial Group, Inc. | |
| | (3 mo. USD Term SOFR + 3.26%), 8.57%, due 7/6/2024 | |
| | (3 mo. USD Term SOFR + 3.42%), 8.72%, due 7/6/2024 | |
| | Commerzbank AG, 7.00%, due 4/9/2025 | |
| | Commonwealth Bank of Australia | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Crelan SA, 6.00%, due 2/28/2030 | |
| | DBS Group Holdings Ltd., 5.48%, due 9/12/2025 | |
| | Development Bank of Kazakhstan JSC, 5.50%, due 4/15/2027 | |
| | DIB Sukuk Ltd., 2.95%, due 1/16/2026 | |
| | Emirates NBD Bank PJSC, 6.13%, due 3/20/2025 | |
| | Federation des Caisses Desjardins du Quebec, 2.88%, due 11/28/2024 | |
| | | |
| | (3 mo. USD Term SOFR + 3.29%), 8.60%, due 5/31/2024 | |
| | | |
| | | |
| | | |
| | Goldman Sachs Group, Inc. | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Grupo Aval Ltd., 4.38%, due 2/4/2030 | |
| | Hana Bank, 3.25%, due 3/30/2027 | |
| | | |
| | | |
| | | |
| | | |
| | | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | Huntington Bancshares, Inc. | |
| | (3 mo. USD Term SOFR + 3.14%), 8.47%, due 7/15/2024 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | (3 mo. USD Term SOFR + 2.84%), 8.17%, due 8/1/2024 | |
| | | |
| | (Secured Overnight Financing Rate + 0.58%), 5.93%, due 6/23/2025 | |
| | | |
| | | |
| | | |
| | Kreditanstalt fuer Wiederaufbau | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Mizuho Financial Group, Inc., 1.55%, due 7/9/2027 | |
| | | |
| | (Secured Overnight Financing Rate + 0.95%), 6.30%, due 2/18/2026 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | National Australia Bank Ltd., 2.35%, due 8/30/2029 | |
| | Nationale-Nederlanden Bank NV, 1.00%, due 9/25/2028 | |
| | | |
| | | |
| | | |
| | | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | | |
| | | |
| | (Secured Overnight Financing Rate + 0.74%), 6.09%, due 3/19/2027 | |
| | | |
| | Philippine National Bank, 3.28%, due 9/27/2024 | |
| | PNC Financial Services Group, Inc. | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | (Secured Overnight Financing Rate Index + 0.44%), 5.79%, due 1/21/2025 | |
| | | |
| | Santander U.K. Group Holdings PLC, 6.83%, due 11/21/2026 | |
| | Skandinaviska Enskilda Banken AB, 5.13%, due 5/13/2025 | |
| | Standard Chartered PLC, 6.19%, due 7/6/2027 | |
| | | |
| | | |
| | | |
| | Sumitomo Mitsui Financial Group, Inc. | |
| | | |
| | | |
| | Svenska Handelsbanken AB, 5.25%, due 6/15/2026 | |
| | | |
| | | |
| | | |
| | | |
| | (Secured Overnight Financing Rate + 0.40%), 5.75%, due 6/9/2025 | |
| | | |
| | | |
| | | |
| | Turkiye Vakiflar Bankasi TAO, 9.00%, due 10/12/2028 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | (3 mo. EUR EURIBOR + 1.00%), 4.92%, due 1/16/2026 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | | |
| | | |
| | | |
| | | |
| | | |
| | Wells Fargo Bank NA, (Secured Overnight Financing Rate + 1.07%), 6.42%, due 12/11/2026 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
|
|
| | Molson Coors Beverage Co., 4.20%, due 7/15/2046 | |
| | Pepsico Singapore Financing I Pte. Ltd., (Secured Overnight Financing Rate Index + 0.56%), 5.91%, due 2/16/2027 | |
| | PepsiCo, Inc., (Secured Overnight Financing Rate Index + 0.40%), 5.75%, due 2/13/2026 | |
| | | |
|
|
| | | |
| | | |
| | | |
| | | |
|
|
| | Builders FirstSource, Inc. | |
| | | |
| | | |
| | Camelot Return Merger Sub, Inc., 8.75%, due 8/1/2028 | |
| | Cemex SAB de CV, 9.13%, due 3/14/2028 | |
| | Cornerstone Building Brands, Inc., 6.13%, due 1/15/2029 | |
| | EMRLD Borrower LP/Emerald Co.-Issuer, Inc., 6.63%, due 12/15/2030 | |
| | Jeld-Wen, Inc., 4.88%, due 12/15/2027 | |
| | PCF GmbH, 4.75%, due 4/15/2026 | |
| | Standard Industries, Inc. | |
| | | |
| | | |
| | | |
|
|
| | Avient Corp., 7.13%, due 8/1/2030 | |
| | Consolidated Energy Finance SA, 12.00%, due 2/15/2031 | |
| | | |
| | | |
| | | |
| | INEOS Quattro Finance 1 PLC, 3.75%, due 7/15/2026 | |
| | Kronos International, Inc. | |
| | | |
| | | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | Lune Holdings SARL, 5.63%, due 11/15/2028 | |
| | MEGlobal Canada ULC, 5.00%, due 5/18/2025 | |
| | NOVA Chemicals Corp., 8.50%, due 11/15/2028 | |
| | Olympus Water U.S. Holding Corp. | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Orbia Advance Corp. SAB de CV, 1.88%, due 5/11/2026 | |
| | Tronox, Inc., 4.63%, due 3/15/2029 | |
| | Vibrantz Technologies, Inc., 9.00%, due 2/15/2030 | |
| | WR Grace Holdings LLC, 5.63%, due 8/15/2029 | |
| | | |
|
|
| | | |
| | | |
| | | |
| | | |
| | ADT Security Corp., 4.88%, due 7/15/2032 | |
| | Allied Universal Holdco LLC, 7.88%, due 2/15/2031 | |
| | Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.00%, due 6/1/2029 | |
| | Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL, 4.88%, due 6/1/2028 | |
| | APX Group, Inc., 5.75%, due 7/15/2029 | |
| | Avis Budget Finance PLC, 7.25%, due 7/31/2030 | |
| | BCP V Modular Services Finance II PLC, 6.13%, due 11/30/2028 | |
| | BCP V Modular Services Finance PLC, 6.75%, due 11/30/2029 | |
| | Bidvest Group U.K. PLC, 3.63%, due 9/23/2026 | |
| | Boost Newco Borrower LLC, 7.50%, due 1/15/2031 | |
| | Boost Newco Borrower LLC/GTCR W Dutch Finance Sub BV, 8.50%, due 1/15/2031 | |
| | Champions Financing, Inc., 8.75%, due 2/15/2029 | |
| | CMHI Finance BVI Co. Ltd., 4.00%, due 6/1/2027 | |
| | Garda World Security Corp., 7.75%, due 2/15/2028 | |
| | Georgetown University, 2.94%, due 4/1/2050 | |
| | Kapla Holding SAS, 3.38%, due 12/15/2026 | |
| | Korea Expressway Corp., 1.13%, due 5/17/2026 | |
| | Loxam SAS, 5.75%, due 7/15/2027 | |
| | Movida Europe SA, 7.85%, due 4/11/2029 | |
| | Multiversity SRL, (3 mo. EUR EURIBOR + 4.25%, Floor 4.25%), 8.12%, due 10/30/2028 | |
| | Neptune Bidco U.S., Inc., 9.29%, due 4/15/2029 | |
| | Prime Security Services Borrower LLC/Prime Finance, Inc. | |
| | | |
| | | |
| | RAC Bond Co. PLC, 5.25%, due 11/4/2027 | |
| | Techem Verwaltungsgesellschaft 674 GmbH, 6.00%, due 7/30/2026 | |
| | Verisure Holding AB, 3.25%, due 2/15/2027 | |
| | Verisure Midholding AB, 5.25%, due 2/15/2029 | |
| | Wand NewCo 3, Inc., 7.63%, due 1/30/2032 | |
| | | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | Ahead DB Holdings LLC, 6.63%, due 5/1/2028 | |
| | ASGN, Inc., 4.63%, due 5/15/2028 | |
| | McAfee Corp., 7.38%, due 2/15/2030 | |
| | Presidio Holdings, Inc., 8.25%, due 2/1/2028 | |
| | | |
Cosmetics - Personal Care 0.1% |
|
| | | |
| | | |
| | | |
| | Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, 6.63%, due 7/15/2030 | |
| | Natura & Co. Luxembourg Holdings SARL, 4.13%, due 5/3/2028 | |
| | | |
Distribution - Wholesale 0.2% |
|
| | BCPE Empire Holdings, Inc., 7.63%, due 5/1/2027 | |
| | Dealer Tire LLC/DT Issuer LLC, 8.00%, due 2/1/2028 | |
| | Ritchie Bros Holdings, Inc. | |
| | | |
| | | |
| | Verde Purchaser LLC, 10.50%, due 11/30/2030 | |
| | Windsor Holdings III LLC, 8.50%, due 6/15/2030 | |
| | | |
Diversified Financial Services 0.7% |
|
| | AerCap Ireland Capital DAC/AerCap Global Aviation Trust | |
| | | |
| | | |
| | Ally Financial, Inc., 4.70%, due 5/15/2028 | |
| | | |
| | (Secured Overnight Financing Rate Index + 0.93%), 6.28%, due 3/4/2025 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | BPCE SFH SA, 3.13%, due 1/24/2028 | |
| | Caisse de Refinancement de l'Habitat SA, 3.00%, due 1/11/2030 | |
| | Capital One Financial Corp. | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Charles Schwab Corp., 4.00%, due 12/1/2030 | |
| | Credit Mutuel Home Loan SFH SA, 2.75%, due 12/8/2027 | |
| | Dexia SA, 0.63%, due 1/17/2026 | |
| | Fondo MIVIVIENDA SA, 4.63%, due 4/12/2027 | |
| | Jane Street Group/JSG Finance, Inc., 7.13%, due 4/30/2031 | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
|
Diversified Financial Services – cont'd |
|
| | Shriram Finance Ltd., 6.63%, due 4/22/2027 | |
| | | |
|
|
| | Acquirente Unico SpA, 2.80%, due 2/20/2026 | |
| | Adani Green Energy Ltd., 4.38%, due 9/8/2024 | |
| | AusNet Services Holdings Pty. Ltd., 1.63%, due 3/11/2081 | |
| | | |
| | | |
| | | |
| | | |
| | China Huadian Overseas Development 2018 Ltd., 3.38%, due 6/23/2025 | |
| | CMS Energy Corp., 3.75%, due 12/1/2050 | |
| | Comision Federal de Electricidad, 4.69%, due 5/15/2029 | |
| | Constellation Energy Generation LLC, 6.50%, due 10/1/2053 | |
| | Dominion Energy, Inc., 4.35%, due 1/15/2027 | |
| | Edison International, 5.00%, due 12/15/2026 | |
| | EDP - Energias de Portugal SA | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Elia Group SA, 5.85%, due 3/15/2028 | |
| | EnBW Energie Baden-Wuerttemberg AG, 1.38%, due 8/31/2081 | |
| | Enel SpA, 6.38%, due 4/16/2028 | |
| | Energia Group Roi Financeco DAC, 6.88%, due 7/31/2028 | |
| | Eversource Energy, 5.50%, due 1/1/2034 | |
| | Florida Power & Light Co., 3.25%, due 6/1/2024 | |
| | Georgia Power Co., (Secured Overnight Financing Rate Index + 0.75%), 6.10%, due 5/8/2025 | |
| | Iberdrola Finanzas SA, 1.58%, due 8/16/2027 | |
| | Indianapolis Power & Light Co., 5.70%, due 4/1/2054 | |
| | Leeward Renewable Energy Operations LLC, 4.25%, due 7/1/2029 | |
| | Mississippi Power Co., (Secured Overnight Financing Rate + 0.30%), 5.66%, due 6/28/2024 | |
| | National Rural Utilities Cooperative Finance Corp., (Secured Overnight Financing Rate + 0.33%), 5.68%, due 10/18/2024 | |
| | Naturgy Finance BV, 2.37%, due 11/23/2026 | |
| | NextEra Energy Capital Holdings, Inc. | |
| | | |
| | (Secured Overnight Financing Rate Index + 0.76%), 6.12%, due 1/29/2026 | |
| | NGG Finance PLC, 5.63%, due 6/18/2073 | |
| | | |
| | | |
| | | |
| | Orsted AS, 5.25%, due 12/8/3022 | |
| | Pacific Gas & Electric Co., 4.30%, due 3/15/2045 | |
| | PacifiCorp, 5.45%, due 2/15/2034 | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | PPL Capital Funding, Inc., (3 mo. USD Term SOFR + 2.93%), 8.24%, due 3/30/2067 | |
| | | |
| | | |
| | | |
| | SSE PLC, 4.00%, due 1/21/2028 | |
| | Stedin Holding NV, 1.50%, due 12/31/2026 | |
| | Vattenfall AB, 6.88%, due 8/17/2083 | |
| | Vistra Corp., 7.00%, due 12/15/2026 | |
| | Vistra Operations Co. LLC | |
| | | |
| | | |
| | | |
| | | |
| | | |
Electrical Components & Equipment 0.1% |
|
| | Belden, Inc., 3.38%, due 7/15/2031 | |
| | Energizer Gamma Acquisition BV, 3.50%, due 6/30/2029 | |
| | WESCO Distribution, Inc., 6.38%, due 3/15/2029 | |
| | | |
|
|
| | | |
| | | |
| | | |
| | Imola Merger Corp., 4.75%, due 5/15/2029 | |
| | Sensata Technologies BV, 5.88%, due 9/1/2030 | |
| | TD SYNNEX Corp., 6.10%, due 4/12/2034 | |
| | | |
Energy - Alternate Sources 0.0%(n) |
|
| | FS Luxembourg SARL, 8.88%, due 2/12/2031 | |
| | Greenko Wind Projects Mauritius Ltd., 5.50%, due 4/6/2025 | |
| | | |
Engineering & Construction 0.1% |
|
| | Abertis Infraestructuras Finance BV, 3.25%, due 11/24/2025 | |
| | IHS Holding Ltd., 5.63%, due 11/29/2026 | |
| | | |
|
|
| | Allwyn Entertainment Financing U.K. PLC, 7.88%, due 4/30/2029 | |
| | Allwyn International AS, 3.88%, due 2/15/2027 | |
| | Banijay Entertainment SASU, 7.00%, due 5/1/2029 | |
| | Caesars Entertainment, Inc., 8.13%, due 7/1/2027 | |
| | Cedar Fair LP, 5.25%, due 7/15/2029 | |
| | Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp./Millennium Op | |
| | | |
| | | |
| | Churchill Downs, Inc., 6.75%, due 5/1/2031 | |
| | Cirsa Finance International SARL, 7.88%, due 7/31/2028 | |
| | CPUK Finance Ltd., 6.50%, due 8/28/2026 | |
| | LHMC Finco 2 SARL, 7.25% Cash/8.00% PIK, due 10/2/2025 | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | Light & Wonder International, Inc., 7.25%, due 11/15/2029 | |
| | Merlin Entertainments Group U.S. Holdings, Inc., 7.38%, due 2/15/2031 | |
| | Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, due 5/1/2029 | |
| | | |
| | | |
| | | |
| | Raptor Acquisition Corp./Raptor Co.-Issuer LLC, 4.88%, due 11/1/2026 | |
| | Scientific Games Holdings LP/Scientific Games U.S. FinCo, Inc., 6.63%, due 3/1/2030 | |
| | SeaWorld Parks & Entertainment, Inc., 5.25%, due 8/15/2029 | |
| | Six Flags Entertainment Corp. | |
| | | |
| | | |
| | Six Flags Entertainment Corp./Six Flags Theme Parks, Inc., 6.63%, due 5/1/2032 | |
| | Warnermedia Holdings, Inc., 5.14%, due 3/15/2052 | |
| | | |
Environmental Control 0.1% |
|
| | Ambipar Lux SARL, 9.88%, due 2/6/2031 | |
| | GFL Environmental, Inc., 6.75%, due 1/15/2031 | |
| | Madison IAQ LLC, 5.88%, due 6/30/2029 | |
| | | |
|
|
| | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 5.88%, due 2/15/2028 | |
| | Bellis Acquisition Co. PLC, 3.25%, due 2/16/2026 | |
| | Bellis Finco PLC, 4.00%, due 2/16/2027 | |
| | Bimbo Bakeries USA, Inc., 5.38%, due 1/9/2036 | |
| | Campbell Soup Co., 5.40%, due 3/21/2034 | |
| | Cencosud SA, 4.38%, due 7/17/2027 | |
| | Co-operative Group Holdings Ltd., 7.50%, due 7/8/2026 | |
| | | |
| | (3 mo. EUR EURIBOR + 5.50%), 9.40%, due 12/15/2027 | |
| | | |
| | JBS USA Holding Lux SARL/ JBS USA Food Co./ JBS Lux Co. SARL | |
| | | |
| | | |
| | | |
| | Minerva Luxembourg SA, 8.88%, due 9/13/2033 | |
| | Ocado Group PLC, 3.88%, due 10/8/2026 | |
| | Performance Food Group, Inc., 5.50%, due 10/15/2027 | |
| | Picard Bondco SA, 5.38%, due 7/1/2027 | |
| | Post Holdings, Inc., 6.25%, due 2/15/2032 | |
| | Sysco Corp., 6.60%, due 4/1/2050 | |
| | | |
| | | |
| | | |
| | | |
|
|
| | Aramark International Finance SARL, 3.13%, due 4/1/2025 | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | Aramark Services, Inc., 5.00%, due 2/1/2028 | |
| | | |
Forest Products & Paper 0.0%(n) |
|
| | Sappi Papier Holding GmbH, 3.63%, due 3/15/2028 | |
| | WEPA Hygieneprodukte GmbH, 2.88%, due 12/15/2027 | |
| | | |
|
|
| | APA Infrastructure Ltd., 7.13%, due 11/9/2083 | |
| | Beijing Gas Singapore Capital Corp., 1.88%, due 1/18/2025 | |
| | Centrica PLC, 5.25%, due 4/10/2075 | |
| | | |
Hand - Machine Tools 0.3% |
|
| | Regal Rexnord Corp., 6.40%, due 4/15/2033 | |
Healthcare - Products 0.2% |
|
| | Avantor Funding, Inc., 3.88%, due 7/15/2028 | |
| | Baxter International, Inc., (Secured Overnight Financing Rate Index + 0.44%), 5.79%, due 11/29/2024 | |
| | | |
| | | |
| | | |
| | Medline Borrower LP/Medline Co.-Issuer, Inc., 6.25%, due 4/1/2029 | |
| | Thermo Fisher Scientific, Inc., 1.22%, due 10/18/2024 | |
| | | |
Healthcare - Services 0.5% |
|
| | Ascension Health, 3.11%, due 11/15/2039 | |
| | CHS/Community Health Systems, Inc. | |
| | | |
| | | |
| | | |
| | CommonSpirit Health, 4.19%, due 10/1/2049 | |
| | Eurofins Scientific SE, 6.75%, due 4/14/2028 | |
| | HCA, Inc., 5.50%, due 6/1/2033 | |
| | LifePoint Health, Inc., 9.88%, due 8/15/2030 | |
| | Molina Healthcare, Inc., 3.88%, due 11/15/2030 | |
| | Mount Sinai Hospital, 3.74%, due 7/1/2049 | |
| | Roche Holdings, Inc., (Secured Overnight Financing Rate + 0.56%), 5.91%, due 3/10/2025 | |
| | Star Parent, Inc., 9.00%, due 10/1/2030 | |
| | Surgery Center Holdings, Inc., 7.25%, due 4/15/2032 | |
| | Team Health Holdings, Inc., 9.00% Cash/4.50% PIK, due 6/30/2028 | |
| | | |
| | | |
| | | |
| | | |
| | | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
|
Holding Companies - Diversified 0.1% |
|
| | Benteler International AG | |
| | | |
| | | |
| | | |
|
|
| | Beazer Homes USA, Inc., 7.50%, due 3/15/2031 | |
| | | |
| | | |
| | | |
| | Maison Finco PLC, 6.00%, due 10/31/2027 | |
| | Miller Homes Group Finco PLC, 7.00%, due 5/15/2029 | |
| | Shea Homes LP/Shea Homes Funding Corp., 4.75%, due 2/15/2028 | |
| | | |
|
|
| | Acrisure LLC/Acrisure Finance, Inc., 8.25%, due 2/1/2029 | |
| | AIA Group Ltd., 5.63%, due 10/25/2027 | |
| | Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Aon North America, Inc., 5.75%, due 3/1/2054 | |
| | AssuredPartners, Inc., 7.50%, due 2/15/2032 | |
| | Athene Global Funding, 0.83%, due 1/8/2027 | |
| | BroadStreet Partners, Inc., 5.88%, due 4/15/2029 | |
| | Corebridge Financial, Inc. | |
| | | |
| | | |
| | Corebridge Global Funding, 0.65%, due 6/17/2024 | |
| | GTCR AP Finance, Inc., 8.00%, due 5/15/2027 | |
| | Howden U.K. Refinance PLC/Howden U.K. Refinance 2 PLC/Howden U.S. Refinance LLC, 7.25%, due 2/15/2031 | |
| | | |
| | | |
| | | |
| | Liberty Mutual Group, Inc., 4.13%, due 12/15/2051 | |
| | Metropolitan Life Global Funding I | |
| | | |
| | | |
| | New York Life Global Funding, 0.85%, due 1/15/2026 | |
| | Northwestern Mutual Global Funding, 0.80%, due 1/14/2026 | |
| | Panther Escrow Issuer LLC, 7.13%, due 6/1/2031 | |
| | Principal Life Global Funding II, 1.50%, due 11/17/2026 | |
| | Protective Life Global Funding | |
| | (Secured Overnight Financing Rate + 1.05%), 6.40%, due 12/11/2024 | |
| | (Secured Overnight Financing Rate + 0.98%), 6.34%, due 3/28/2025 | |
| | | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | Prudential Financial, Inc. | |
| | | |
| | | |
| | USI, Inc., 7.50%, due 1/15/2032 | |
| | | |
|
|
| | | |
| | | |
| | | |
| | Ziff Davis, Inc., 4.63%, due 10/15/2030 | |
| | | |
Investment Companies 0.0%(n) |
|
| | CNCBINV 1 BVI Ltd., 1.75%, due 11/17/2024 | |
| | Grupo de Inversiones Suramericana SA, 5.50%, due 4/29/2026 | |
| | Huarong Finance 2019 Co. Ltd., 3.25%, due 11/13/2024 | |
| | | |
|
|
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Periama Holdings LLC, 5.95%, due 4/19/2026 | |
| | POSCO, 4.38%, due 8/4/2025 | |
| | | |
|
|
| | | |
| | | |
| | | |
| | | |
| | Carnival Holdings Bermuda Ltd., 10.38%, due 5/1/2028 | |
| | Deuce Finco PLC, 5.50%, due 6/15/2027 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Royal Caribbean Cruises Ltd. | |
| | | |
| | | |
| | | |
| | Viking Cruises Ltd., 9.13%, due 7/15/2031 | |
| | | |
|
|
| | Melco Resorts Finance Ltd., 5.63%, due 7/17/2027 | |
| | TVL Finance PLC, 10.25%, due 4/28/2028 | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | Wyndham Hotels & Resorts, Inc., 4.38%, due 8/15/2028 | |
| | | |
| | | |
| | | |
| | | |
Machinery - Construction & Mining 0.1% |
|
| | Caterpillar Financial Services Corp. | |
| | (Secured Overnight Financing Rate + 0.25%), 5.59%, due 5/17/2024 | |
| | (Secured Overnight Financing Rate + 0.27%), 5.62%, due 9/13/2024 | |
| | Manitowoc Co., Inc., 9.00%, due 4/1/2026 | |
| | Terex Corp., 5.00%, due 5/15/2029 | |
| | | |
Machinery - Diversified 0.3% |
|
| | | |
| | | |
| | | |
| | Esab Corp., 6.25%, due 4/15/2029 | |
| | Ingersoll Rand, Inc., 5.70%, due 8/14/2033 | |
| | | |
| | (Secured Overnight Financing Rate + 0.20%), 5.55%, due 10/11/2024 | |
| | (Secured Overnight Financing Rate + 0.56%), 5.91%, due 3/7/2025 | |
| | (Secured Overnight Financing Rate + 0.44%), 5.79%, due 3/6/2026 | |
| | SPX FLOW, Inc., 8.75%, due 4/1/2030 | |
| | TK Elevator Holdco GmbH, 7.63%, due 7/15/2028 | |
| | TK Elevator Midco GmbH, 4.38%, due 7/15/2027 | |
| | | |
|
|
| | Altice Financing SA, 4.25%, due 8/15/2029 | |
| | Altice Finco SA, 4.75%, due 1/15/2028 | |
| | CCO Holdings LLC/CCO Holdings Capital Corp. | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Charter Communications Operating LLC/Charter Communications Operating Capital | |
| | | |
| | | |
| | Comcast Corp., 2.94%, due 11/1/2056 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | Discovery Communications LLC | |
| | | |
| | | |
| | DISH DBS Corp., 5.13%, due 6/1/2029 | |
| | Fox Corp., 6.50%, due 10/13/2033 | |
| | McGraw-Hill Education, Inc. | |
| | | |
| | | |
| | Sirius XM Radio, Inc., 4.00%, due 7/15/2028 | |
| | Virgin Media Secured Finance PLC, 5.50%, due 5/15/2029 | |
| | Virgin Media Vendor Financing Notes III DAC, 4.88%, due 7/15/2028 | |
| | Ziggo Bond Co. BV, 3.38%, due 2/28/2030 | |
| | | |
|
|
| | Anglo American Capital PLC, 6.00%, due 4/5/2054 | |
| | Arsenal AIC Parent LLC, 11.50%, due 10/1/2031 | |
| | Chinalco Capital Holdings Ltd., 2.13%, due 6/3/2026 | |
| | Corp. Nacional del Cobre de Chile | |
| | | |
| | | |
| | Endeavour Mining PLC, 5.00%, due 10/14/2026 | |
| | First Quantum Minerals Ltd. | |
| | | |
| | | |
| | FMG Resources August 2006 Pty. Ltd. | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Stillwater Mining Co., 4.00%, due 11/16/2026 | |
| | | |
Miscellaneous Manufacturer 0.0%(n) |
|
| | Ctec II GmbH, 5.25%, due 2/15/2030 | |
| | Hillenbrand, Inc., 6.25%, due 2/15/2029 | |
| | | |
|
|
| | African Export-Import Bank, 2.63%, due 5/17/2026 | |
| | Banque Ouest Africaine de Developpement, 5.00%, due 7/27/2027 | |
| | Central American Bank for Economic Integration, 5.00%, due 2/9/2026 | |
| | | |
| | | |
| | | |
| | | |
| | | |
Office - Business Equipment 0.0%(n) |
|
| | CDW LLC/CDW Finance Corp., 3.57%, due 12/1/2031 | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | 3R Lux SARL, 9.75%, due 2/5/2031 | |
| | Ascent Resources Utica Holdings LLC/ARU Finance Corp. | |
| | | |
| | | |
| | | |
| | Borr IHC Ltd./Borr Finance LLC, 10.38%, due 11/15/2030 | |
| | BP Capital Markets PLC, 3.25%, due 3/22/2026 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Cosan Luxembourg SA, 7.25%, due 6/27/2031 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Geopark Ltd., 5.50%, due 1/17/2027 | |
| | Hilcorp Energy I LP/Hilcorp Finance Co., 8.38%, due 11/1/2033 | |
| | KazMunayGas National Co. JSC, 5.75%, due 4/19/2047 | |
| | Korea National Oil Corp., 1.75%, due 4/18/2025 | |
| | Leviathan Bond Ltd., 6.13%, due 6/30/2025 | |
| | Medco Bell Pte. Ltd., 6.38%, due 1/30/2027 | |
| | Nabors Industries, Inc., 9.13%, due 1/31/2030 | |
| | Northern Oil & Gas, Inc., 8.13%, due 3/1/2028 | |
| | Permian Resources Operating LLC, 7.00%, due 1/15/2032 | |
| | Pertamina Persero PT, 6.45%, due 5/30/2044 | |
| | Petrobras Global Finance BV | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | QatarEnergy, 1.38%, due 9/12/2026 | |
| | Repsol International Finance BV, 4.25%, due 9/11/2028 | |
| | Rockcliff Energy II LLC, 5.50%, due 10/15/2029 | |
| | SEPLAT Energy PLC, 7.75%, due 4/1/2026 | |
| | Sinopec Group Overseas Development 2018 Ltd. | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Tengizchevroil Finance Co. International Ltd., 2.63%, due 8/15/2025 | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | Tullow Oil PLC, 10.25%, due 5/15/2026 | |
| | Wintershall Dea Finance 2 BV, 3.00%, due 7/20/2028 | |
| | YPF SA, 9.50%, due 1/17/2031 | |
| | | |
Packaging & Containers 0.3% |
|
| | Berry Global, Inc., 5.63%, due 7/15/2027 | |
| | Canpack SA/Canpack U.S. LLC, 2.38%, due 11/1/2027 | |
| | Guala Closures SpA, 3.25%, due 6/15/2028 | |
| | Kleopatra Holdings 2 SCA, 6.50%, due 9/1/2026 | |
| | Mauser Packaging Solutions Holding Co. | |
| | | |
| | | |
| | Pactiv Evergreen Group Issuer LLC/Pactiv Evergreen Group Issuer, Inc., 4.38%, due 10/15/2028 | |
| | Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer LLC, 4.00%, due 10/15/2027 | |
| | Trident TPI Holdings, Inc., 12.75%, due 12/31/2028 | |
| | Trivium Packaging Finance BV | |
| | | |
| | | |
| | | |
|
|
| | AbbVie, Inc., 3.85%, due 6/15/2024 | |
| | Bayer AG, 5.38%, due 3/25/2082 | |
| | Bristol-Myers Squibb Co., (Secured Overnight Financing Rate + 0.49%), 5.84%, due 2/20/2026 | |
| | Cheplapharm Arzneimittel GmbH | |
| | | |
| | | |
| | CVS Health Corp., 5.05%, due 3/25/2048 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Nidda Healthcare Holding GmbH, 7.50%, due 8/21/2026 | |
| | Pfizer Investment Enterprises Pte. Ltd., 5.34%, due 5/19/2063 | |
| | Teva Pharmaceutical Finance Netherlands II BV | |
| | | |
| | | |
| | | |
| | | |
|
|
| | Antero Midstream Partners LP/Antero Midstream Finance Corp., 6.63%, due 2/1/2032 | |
| | CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.50%, due 6/15/2031 | |
| | | |
| | | |
| | | |
| | Enbridge, Inc., 8.25%, due 1/15/2084 | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | Energy Transfer LP, 5.95%, due 5/15/2054 | |
| | EQM Midstream Partners LP | |
| | | |
| | | |
| | | |
| | Genesis Energy LP/Genesis Energy Finance Corp. | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | ITT Holdings LLC, 6.50%, due 8/1/2029 | |
| | Kinder Morgan, Inc., 5.55%, due 6/1/2045 | |
| | | |
| | | |
| | | |
| | New Fortress Energy, Inc., 6.50%, due 9/30/2026 | |
| | NGL Energy Operating LLC/NGL Energy Finance Corp. | |
| | | |
| | | |
| | Southern Gas Corridor CJSC, 6.88%, due 3/24/2026 | |
| | Spectra Energy Partners LP, 3.50%, due 3/15/2025 | |
| | Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
|
|
| | Aroundtown SA, 0.38%, due 4/15/2027 | |
| | Balder Finland OYJ, 2.00%, due 1/18/2031 | |
| | Country Garden Holdings Co. Ltd., 4.80%, due 8/6/2030 | |
| | Cushman & Wakefield U.S. Borrower LLC, 6.75%, due 5/15/2028 | |
| | Fastighets AB Balder, 2.87%, due 6/2/2081 | |
| | Grand City Properties SA, 1.50%, due 3/11/2026 | |
| | | |
| | | |
| | | |
| | Heimstaden Bostad Treasury BV, 1.63%, due 10/13/2031 | |
| | Longfor Group Holdings Ltd., 4.50%, due 1/16/2028 | |
| | Samhallsbyggnadsbolaget i Norden AB, 2.63%, due 12/14/2025 | |
| | | |
Real Estate Investment Trusts 0.4% |
|
| | American Homes 4 Rent LP, 5.50%, due 2/1/2034 | |
| | Blackstone Mortgage Trust, Inc., 3.75%, due 1/15/2027 | |
| | Digital Dutch Finco BV, 1.25%, due 2/1/2031 | |
| | Iron Mountain Information Management Services, Inc., 5.00%, due 7/15/2032 | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
|
Real Estate Investment Trusts – cont'd |
|
| | | |
| | | |
| | | |
| | MPT Operating Partnership LP/MPT Finance Corp. | |
| | | |
| | | |
| | | |
| | Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co.-Issuer, 5.88%, due 10/1/2028 | |
| | RHP Hotel Properties LP/RHP Finance Corp. | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Starwood Property Trust, Inc., 7.25%, due 4/1/2029 | |
| | Trust Fibra Uno, 5.25%, due 1/30/2026 | |
| | Unibail-Rodamco-Westfield SE, 7.25%, due 7/3/2028 | |
| | Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 10.50%, due 2/15/2028 | |
| | XHR LP, 4.88%, due 6/1/2029 | |
| | | |
|
|
| | 1011778 BC ULC/New Red Finance, Inc., 4.38%, due 1/15/2028 | |
| | Afflelou SAS, 4.25%, due 5/19/2026 | |
| | Alsea SAB de CV, 7.75%, due 12/14/2026 | |
| | B&M European Value Retail SA | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | CECONOMY AG, 1.75%, due 6/24/2026 | |
| | CK Hutchison International 23 Ltd., 4.75%, due 4/21/2028 | |
| | CK Hutchison International 24 Ltd., 5.38%, due 4/26/2029 | |
| | Constellation Automotive Financing PLC, 4.88%, due 7/15/2027 | |
| | | |
| | | |
| | | |
| | Eroski S Coop, 10.63%, due 4/30/2029 | |
| | Lowe's Cos., Inc., 4.00%, due 4/15/2025 | |
| | Macy's Retail Holdings LLC | |
| | | |
| | | |
| | | |
| | Maxeda DIY Holding BV, 5.88%, due 10/1/2026 | |
| | Murphy Oil USA, Inc., 3.75%, due 2/15/2031 | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | PetSmart, Inc./PetSmart Finance Corp. | |
| | | |
| | | |
| | PEU Fin PLC, 7.25%, due 7/1/2028 | |
| | White Cap Parent LLC, 8.25% Cash/9.00% PIK, due 3/15/2026 | |
| | | |
|
|
| | Analog Devices, Inc., (Secured Overnight Financing Rate Index + 0.25%), 5.61%, due 10/1/2024 | |
| | Intel Corp., 5.60%, due 2/21/2054 | |
| | Marvell Technology, Inc., 5.95%, due 9/15/2033 | |
| | NXP BV/NXP Funding LLC/NXP USA, Inc., 5.00%, due 1/15/2033 | |
| | | |
| | | |
| | | |
| | | |
|
|
| | AthenaHealth Group, Inc., 6.50%, due 2/15/2030 | |
| | Cloud Software Group, Inc., 6.50%, due 3/31/2029 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | UKG, Inc., 6.88%, due 2/1/2031 | |
| | | |
|
|
| | Altice France Holding SA, 4.00%, due 2/15/2028 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | (3 mo. USD Term SOFR + 1.44%), 6.76%, due 6/12/2024 | |
| | | |
| | British Telecommunications PLC, 8.38%, due 12/20/2083 | |
| | C&W Senior Finance Ltd., 6.88%, due 9/15/2027 | |
| | | |
| | | |
| | | |
| | eircom Finance DAC, 3.50%, due 5/15/2026 | |
| | Frontier Communications Holdings LLC | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
|
Telecommunications – cont'd |
|
| | Koninklijke KPN NV, 6.00%, due 9/21/2027 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Lorca Telecom Bondco SA, 4.00%, due 9/18/2027 | |
| | Oztel Holdings SPC Ltd., 6.63%, due 4/24/2028 | |
| | PLT VII Finance SARL, 4.63%, due 1/5/2026 | |
| | Rogers Communications, Inc., 3.80%, due 3/15/2032 | |
| | SES SA, 2.88%, due 5/27/2026 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Verizon Communications, Inc. | |
| | | |
| | | |
| | | |
| | VF Ukraine PAT via VFU Funding PLC, 6.20%, due 2/11/2025 | |
| | | |
| | | |
| | | |
| | | |
| | Wp/ap Telecom Holdings III BV, 5.50%, due 1/15/2030 | |
| | | |
|
|
| | Mobico Group PLC, 4.25%, due 11/26/2025 | |
| | MV24 Capital BV, 6.75%, due 6/1/2034 | |
| | XPO, Inc., 7.13%, due 2/1/2032 | |
| | | |
Trucking & Leasing 0.0%(n) |
|
| | AerCap Global Aviation Trust, 6.50%, due 6/15/2045 | |
|
|
| | Thames Water Utilities Finance PLC, 4.38%, due 1/18/2031 | |
| | | |
| | | |
| | | |
| | | |
Total Corporate Bonds (Cost $1,352,463,461) | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
|
Loan Assignments(e)0.0%(n) |
Telecommunications 0.0%(n) |
|
| | | |
| | Term Loan, (1 mo. USD Term SOFR + 1.10%), 6.42%, due 12/30/2027 | |
| | Term Loan, (3 mo. USD Term SOFR + 9.10%), 14.41%, due 6/30/2028 | |
| | Lumen Technologies, Inc., Term Loan A, (1 mo. USD Term SOFR), due 6/1/2028 | |
| | | |
|
|
| | Nautilus Power LLC, Term Loan B, (3 mo. USD Term SOFR + 5.25%), 10.81%, due 11/16/2026 | |
Total Loan Assignments (Cost $1,181,703) | |
Foreign Government Securities 3.5% |
|
| | Abu Dhabi Government International Bonds, 4.88%, due 4/30/2029 | |
| | Angolan Government International Bonds | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Argentine Republic Government International Bonds | |
| | | |
| | | |
| | | |
| | Autonomous Community of Madrid, 3.46%, due 4/30/2034 | |
| | Bahamas Government International Bonds, 6.00%, due 11/21/2028 | |
| | Bank Gospodarstwa Krajowego, 4.38%, due 3/13/2039 | |
| | Bermuda Government International Bonds, 3.72%, due 1/25/2027 | |
| | Bonos de la Tesoreria de la Republica en pesos, 4.70%, due 9/1/2030 | |
| | Brazil Government International Bonds | |
| | | |
| | | |
| | Brazil Notas do Tesouro Nacional | |
| | | |
| | | |
| | | |
| | | |
| | Bulgaria Government International Bonds, 4.88%, due 5/13/2036 | |
| | Bundesobligation, 2.40%, due 10/19/2028 | |
| | Bundesrepublik Deutschland Bundesanleihe | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Colombia Government International Bonds | |
| | | |
| | | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
Foreign Government Securities – cont'd |
|
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Dominican Republic International Bonds | |
| | | |
| | | |
| | | |
| | | |
| | Ecuador Government International Bonds | |
| | | |
| | | |
| | Egypt Government International Bonds | |
| | | |
| | | |
| | | |
| | Egypt Treasury Bills, 24.32%, due 5/14/2024 | |
| | El Salvador Government International Bonds | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Free State of Saxony, 3.38%, due 9/21/2026 | |
| | French Republic Government Bonds OAT | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
Foreign Government Securities – cont'd |
|
| | | |
| | Ghana Government International Bonds, 6.38%, due 2/11/2027 | |
| | Guatemala Government Bonds | |
| | | |
| | | |
| | Hellenic Republic Government Bonds | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Hungary Government International Bonds, 5.00%, due 2/22/2027 | |
| | Iceland Government International Bonds, 3.50%, due 3/21/2034 | |
| | Indonesia Government International Bonds | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Ireland Government Bonds, 3.00%, due 10/18/2043 | |
| | Italy Buoni Poliennali Del Tesoro | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Ivory Coast Government International Bonds | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Kazakhstan Government International Bonds, 0.60%, due 9/30/2026 | |
| | Kingdom of Belgium Government Bonds | |
| | | |
| | | |
| | | |
| | Kommunekredit, 0.88%, due 11/3/2036 | |
| | Korea Electric Power Corp., 5.38%, due 7/31/2026 | |
| | Korea Housing Finance Corp., 4.63%, due 2/24/2028 | |
| | Korea Hydro & Nuclear Power Co. Ltd., 5.00%, due 7/18/2028 | |
| | Lithuania Government International Bonds, 3.50%, due 2/13/2034 | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
Foreign Government Securities – cont'd |
|
| | | |
| | | |
| | | |
| | | |
| | Mexico Government International Bonds | |
| | | |
| | | |
| | | |
| | | |
| | MFB Magyar Fejlesztesi Bank Zrt, 6.50%, due 6/29/2028 | |
| | Mongolia Government International Bonds | |
| | | |
| | | |
| | Netherlands Government Bonds | |
| | | |
| | | |
| | | |
| | Nigeria Government International Bonds, 8.38%, due 3/24/2029 | |
| | Oman Government International Bonds, 7.00%, due 1/25/2051 | |
| | Panama Government International Bonds | |
| | | |
| | | |
| | | |
| | | |
| | Paraguay Government International Bonds | |
| | | |
| | | |
| | Peru Government Bonds, 6.15%, due 8/12/2032 | |
| | Peruvian Government International Bonds, 6.90%, due 8/12/2037 | |
| | Portugal Obrigacoes do Tesouro OT | |
| | | |
| | | |
| | Provincia de Cordoba, 6.88%, due 12/10/2025 | |
| | Qatar Government International Bonds, 4.40%, due 4/16/2050 | |
| | Republic of Austria Government Bonds, 0.90%, due 2/20/2032 | |
| | Republic of Poland Government Bonds | |
| | | |
| | | |
| | Republic of Poland Government International Bonds, 4.63%, due 3/18/2029 | |
| | Republic of South Africa Government Bonds | |
| | | |
| | | |
| | | |
| | Republic of South Africa Government International Bonds | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Romania Government International Bonds | |
| | | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
Foreign Government Securities – cont'd |
|
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Saudi Government International Bonds | |
| | | |
| | | |
| | Senegal Government International Bonds, 4.75%, due 3/13/2028 | |
| | Serbia International Bonds | |
| | | |
| | | |
| | Slovakia Government Bonds | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | Sri Lanka Government International Bonds, 6.35%, due 6/28/2024 | |
| | Turkiye Government International Bonds, 9.38%, due 3/14/2029 | |
| | Turkiye Ihracat Kredi Bankasi AS, 9.00%, due 1/28/2027 | |
| | Ukraine Government International Bonds | |
| | | |
| | | |
| | United Kingdom Gilt, 4.00%, due 10/22/2063 | |
| | Uruguay Government International Bonds, 5.10%, due 6/18/2050 | |
| | Venezuela Government International Bonds, 8.25%, due 10/13/2024 | |
Total Foreign Government Securities (Cost $170,788,462) | |
|
Convertible Bonds 0.0%(n) |
|
|
| | DISH Network Corp., 3.38%, due 8/15/2026 (Cost $585,078) | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
|
|
|
|
| | Bay Area Toll Authority Toll Bridge Revenue (Build America Bonds), Series 2010-S1, 7.04%, due 4/1/2050 | |
| | California State General Obligation (Build America Bonds), Series 2010, 7.63%, due 3/1/2040 | |
| | California State University Refunding Revenue, Series 2020-B, 2.98%, due 11/1/2051 | |
| | Foothill-Eastern Transportation Corridor Agency Toll Road Revenue Refunding, Series 2019-A, (AGM Insured), 3.92%, due 1/15/2053 | |
| | Los Angeles Community College District General Obligation (Build America Bonds), Series 2010, 6.75%, due 8/1/2049 | |
| | University of California Regents Medical Center Pooled Revenue, Series 2020-N, 3.01%, due 5/15/2050 | |
| | | |
|
|
| | Massachusetts State Education Financing Authority Revenue Refunding, Series 2018-A, 4.08%, due 7/1/2027 | |
|
|
| | Michigan Finance Authority Hospital Revenue Refunding (Trinity Health Credit Group), Series 2019-T, 3.38%, due 12/1/2040 | |
|
|
| | Clark County Nevada General Obligation (Las Vegas Convention & Visitors Authority), Series 2019-D, 3.23%, due 7/1/2044 | |
|
|
| | Atlantic City General Obligation Refunding, Series 2018, 4.29%, due 9/1/2026 | |
| | New Jersey State Housing & Mortgage Finance Agency Revenue Refunding (Single Family Housing), Series 2018-BB, 3.80%, due 10/1/2032 | |
| | | |
|
|
| | New York State Dormitory Authority Revenue Non State Supported Debt Refunding (New York University), Series 2020-B, 2.69%, due 7/1/2040 | |
|
|
| | Highland Local School District General Obligation Refunding, Series 2020, 3.19%, due 12/1/2049 | |
| | JobsOhio Beverage Systems Statewide Liquor Profits Revenue Refunding, Series 2020-A, 2.83%, due 1/1/2038 | |
| | Ohio State Turnpike Commission Junior Lien Revenue Refunding (Infrastructure Project), Series 2020-A, 3.22%, due 2/15/2048 | |
| | Ohio University General Receipt Athens Refunding Revenue, Series 2020, 2.91%, due 12/1/2043 | |
| | | |
|
|
| | Commonwealth Financing Authority Revenue Refunding, Series 2020-C, 3.53%, due 6/1/2042 | |
|
|
| | Central Texas Turnpike System First Tier Revenue Refunding, Series 2020-C, 3.03%, due 8/15/2041 | |
| | Dallas Area Rapid Transit Sales Tax Revenue Refunding, Series 2020-C, 2.82%, due 12/1/2042 | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| |
|
|
|
| | Grand Parkway Transportation Corp. System Subordinated Tier Toll Revenue Refunding, Series 2020-B, 3.24%, due 10/1/2052 | |
| | Texas State Private Activity Bond Surface Transportation Corp. Senior Lien Revenue Refunding (North Tarrant Express Managed Lanes Project), Series 2019-B, 3.92%, due 12/31/2049 | |
| | | |
|
|
| | Utah State Transit Authority Sales Tax Revenue Refunding, Series 2020, 2.77%, due 12/15/2038 | |
|
Total Municipal Notes (Cost $41,173,752) | |
|
|
|
|
Investment Companies 0.0%(n)(t) |
|
| | Neuberger Berman Global Monthly Income Fund Ltd. (Cost $268,836) | |
Exchange-Traded Funds 2.4% |
|
| | iShares iBoxx $ High Yield Corporate Bond ETF | |
| | iShares iBoxx $ Investment Grade Corporate Bond ETF | |
| | SPDR Portfolio High Yield Bond ETF | |
Total Exchange-Traded Funds (Cost $101,100,088) | |
|
Short-Term Investments 2.2% |
Investment Companies 2.2% |
|
| | State Street Institutional U.S. Government Money Market Fund Premier Class, 5.25%(u) (Cost $93,766,158) | |
Total Investments 115.6% (Cost $5,153,323,774) | |
Liabilities Less Other Assets (15.6)% | |
| |
| Principal amount is stated in the currency in which the security is denominated. |
| Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At April 30, 2024, these securities amounted to $1,457,459,683, which represents 34.2% of net assets of the Fund. |
| Variable or floating rate security where the stated interest rate is not based on a published reference rate and spread. Rather, the interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of April 30, 2024. |
| Interest only security. These securities represent the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the "interest only" holding. |
| Variable or floating rate security. The interest rate shown was the current rate as of April 30, 2024 and changes periodically. |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| All or a portion of this security was purchased on a delayed delivery basis. |
| Security fair valued as of April 30, 2024 in accordance with procedures approved by the valuation designee. Total value of all such securities at April 30, 2024 amounted to $8,715,718, which represents 0.2% of net assets of the Fund. |
| When-issued security. Total value of all such securities at April 30, 2024 amounted to $11,555,890, which represents 0.3% of net assets of the Fund. |
| TBA (To Be Announced) Securities are purchased/sold on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal amount and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total value of all such securities (excluding forward sales contracts, if any) at April 30, 2024 amounted to $646,793,911, which represents 15.2% of net assets of the Fund. |
| Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve directed selling efforts in the United States and as such may have restrictions on resale. Total value of all such securities at April 30, 2024 amounted to $298,857,457, which represents 7.0% of net assets of the Fund. |
| Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate shown is the rate in effect as of period end. |
| Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer. The date shown reflects the next call date. |
| Payment-in-kind (PIK) security. |
| Represents less than 0.05% of net assets of the Fund. |
| |
| All or a portion of this security had not settled as of April 30, 2024 and thus may not have an interest rate in effect. Interest rates do not take effect until settlement. |
| Step Bond. Coupon rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown was the current rate as of April 30, 2024. |
| Rate shown was the discount rate at the date of purchase. |
| Index-linked bond whose principal amount adjusts according to a government retail price index. |
| Affiliated company as defined under the Investment Company Act of 1940, as amended (see Note A of the Notes to Financial Statements). |
| Represents 7-day effective yield as of April 30, 2024. |
| Includes the impact of the Fund’s open positions in derivatives at April 30, 2024. |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
POSITIONS BY COUNTRY (cont’d) |
| | |
| | |
| | |
Other countries, each representing less than 0.05% of net assets of the Fund | | |
Short-Term Investments and Other Liabilities—Net | | |
| | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
Derivative Instruments
Futures contracts ("futures")
At April 30, 2024, open positions in futures for the Fund were as follows:
| | | | Value and
Unrealized
Appreciation/
(Depreciation) |
| | | | |
| | | | |
| | | | |
| | | | |
| | Government of Canada Bond, 2 Year | | |
| | | | |
| | U.S. Treasury Note, 10 Year | | |
| | U.S. Treasury Note, 2 Year | | |
| | U.S. Treasury Note, 5 Year | | |
| | ICE SONIA Index, 3 Months | | |
| | ICE SONIA Index, 3 Months | | |
| | |
| | | | Value and
Unrealized
Appreciation/
(Depreciation) |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | U.S. Treasury Note, Ultra 10 Year | | |
| | | | |
| | |
|
| |
At April 30, 2024, the Fund had $14,137,758 deposited in a segregated account to cover margin requirements on open futures.
For the six months ended April 30, 2024, the average notional value for the months where the Fund had futures outstanding was $1,127,024,435 for long positions and $(716,440,763) for short positions.
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
Forward foreign currency contracts ("forward FX contracts")
At April 30, 2024, open forward FX contracts for the Fund were as follows:
| | | | Net
Unrealized
Appreciation/
(Depreciation) |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| | | | Net Unrealized Appreciation/ (Depreciation) |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
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| | | | | | |
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| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
Total unrealized appreciation |
| |
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| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
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| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| | | | Net Unrealized Appreciation/ (Depreciation) |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
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| | | | | | |
Total unrealized depreciation |
| |
Total net unrealized appreciation |
| |
For the six months ended April 30, 2024, the average notional value for the months where the Fund had forward FX contracts outstanding was $401,343,917.
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
Bond forward contracts ("bond forwards")
At April 30, 2024, bond forwards for the Fund were as follows:
| | | | Unrealized
Appreciation/
(Depreciation) |
| U.S. Treasury Inflation-Indexed Bonds, 0.13% | | | |
| U.S. Treasury Inflation-Indexed Bonds, 0.13% | | | |
| U.S. Treasury Inflation-Indexed Bonds, 0.13% | | | |
| U.S. Treasury Inflation-Indexed Bonds, 1.63% | | | |
| U.S. Treasury Inflation-Indexed Bonds, 0.88% | | | |
| U.S. Treasury Inflation-Indexed Bonds, 0.13% | | | |
| U.S. Treasury Inflation-Indexed Bonds, 0.13% | | | |
| U.S. Treasury Inflation-Indexed Bonds, 1.13% | | | |
| U.S. Treasury Inflation-Indexed Bonds, 0.75% | | | |
| U.S. Treasury Inflation-Indexed Bonds, 1.00% | | | |
| U.S. Treasury Inflation-Indexed Bonds, 1.50% | | | |
Total net unrealized depreciation | |
For the six months ended April 30, 2024, the average notional value for the months where the Fund had bond forwards outstanding was $49,927,857.
Credit default swap contracts ("credit default swaps")
At April 30, 2024, the Fund had outstanding credit default swaps as follows:
Centrally Cleared Credit Default Swaps — Buy Protection |
| | | Financing
Rate
Paid
by
the Fund | | | Upfront
Payments/
(Receipts) | Unrealized
Appreciation/
(Depreciation) | Accrued
Net
Interest
Receivable/
(Payable) | |
| | | | | | | | | | |
| iTraxx Europe Crossover Ser. 41 V.1 | | | | | | | | | |
| |
|
|
| |
| | | | |
Centrally Cleared Credit Default Swaps — Sell Protection |
| | | Financing
Rate
Received
by
the Fund | | | Upfront
Payments/
(Receipts) | Unrealized
Appreciation/
(Depreciation) | Accrued
Net
Interest
Receivable/
(Payable) | |
| | | | | | | | | | |
| |
|
|
| |
| | | | |
For the six months ended April 30, 2024, the average notional value for the months where the Fund had credit default swaps outstanding was $32,788,123 for buy protection and $73,860,160 for sell protection.
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
Interest rate swap contracts ("interest rate swaps")
At April 30, 2024, the Fund had outstanding interest rate swaps as follows:
Centrally cleared interest rate swaps
| | Fund
Receives/
Pays
Floating
Rate | | | Frequency
of Fund
Receipt/
Payment | | Unrealized
Appreciation/
(Depreciation) | Accrued
Net
Interest
Receivable/
(Payable) | |
| | | | | | | | | | |
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Inflation swap contracts ("inflation swaps")
At April 30, 2024, the Fund had outstanding inflation swaps as follows:
Centrally cleared inflation swaps | |
| | Fund
Receives/
Pays
Floating
Rate | | | Frequency
of Fund
Receipt/
Payment | | Unrealized
Appreciation/
(Depreciation) | Accrued
Net
Interest
Receivable/
(Payable) | |
| | | | | | | | | | |
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At April 30, 2024, the Fund had $12,027,023 deposited in a segregated account to cover margin requirements for centrally cleared swaps.
For the six months ended April 30, 2024, the average notional value for the months where the Fund had interest rate swaps and inflation rate swaps outstanding was $74,217,535 when the Fund paid the fixed rate and $146,440,761 when the Fund received the fixed rate.
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
Total return swap contracts ("total return swaps")
At April 30, 2024, the Fund had outstanding total return swaps as follows:
Over-the-counter total return swaps—Long(a) |
| | | | | | | Frequency
of Fund
Receipt/
Payment | Unrealized
Appreciation/
(Depreciation) | Accrued
Net
Interest
Receivable/
(Payable) | |
| iShares iBoxx $ Investment
Grade Corporate Bond ETF | | | | | | | | | | |
| |
|
|
|
|
|
|
| | | |
| The Fund pays a specified rate based on a reference rate plus or minus a spread, and receives the total return on the reference entity. |
| Effective rate at April 30, 2024. |
For the six months ended April 30, 2024, the average notional value for the months where the Fund had total return swaps outstanding was $82,919,512 for long positions.
At April 30, 2024, the Fund had cash collateral of $260,000, $3,040,000 and $150,000 deposited in segregated accounts for JPMorgan Chase Bank N.A., Goldman Sachs International and Barclays Bank PLC, respectively, and cash collateral of $753,000 received from Citibank, N.A. to cover collateral requirements on over-the-counter derivatives.
Purchased straddle option contracts ("options purchased")
At April 30, 2024, the Fund did not have any outstanding purchased straddle options contracts.
For the six months ended April 30, 2024, the average market value for the months where the Fund had options purchased outstanding was $13.
The following is a summary, categorized by Level (see Note A of the Notes to Financial Statements), of inputs used to value the Fund’s investments as of April 30, 2024:
| | | | |
| | | | |
U.S. Government Agency Securities | | | | |
Mortgage-Backed Securities# | | | | |
| | | | |
| | | | |
| | | | |
Foreign Government Securities | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| The Schedule of Investments provides information on the industry, state/territory or sector categorization as well as a Positions by Country summary. |
See Notes to Financial Statements
Schedule of Investments Strategic Income Fund^ (Unaudited) (cont’d)
| The following is a reconciliation between the beginning and ending balances of investments in which significant unobservable inputs (Level 3) were used in determining value: |
| Beginning
balance as
of 11/1/2023 | Accrued
discounts/
(premiums) | | Change
in unrealized
appreciation/
(depreciation) | | | | | | Net change in
unrealized
appreciation/
(depreciation)
from
investments
still held as of
4/30/2024 |
Investments in
Securities: | | | | | | | | | | |
Asset-Backed Securities(1) | | | | | | | | | | |
| | | | | | | | | | |
(1) At the beginning of the period, these investments were valued based on a single quotation obtained from a dealer. |
The following is a summary, categorized by Level (see Note A of the Notes to Financial Statements), of inputs used to value the Fund’s derivatives as of April 30, 2024:
Other Financial Instruments | | | | |
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| Futures, forward FX contracts and bond forwards are reported at the cumulative unrealized appreciation/(depreciation) of the instrument. |
^
A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Financial Statements
Statements of Assets and Liabilities (Unaudited)
Neuberger Berman Income Funds
| | | | |
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|
Investments in securities, at value* (Notes A & F)—
see Schedule of Investments: |
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Cash collateral segregated for futures contracts (Note A) | | | | |
Cash collateral segregated for centrally cleared swap contracts (Note A) | | | | |
Cash collateral segregated for over-the-counter derivatives (Note A) | | | | |
Dividends and interest receivable | | | | |
Receivable for securities sold | | | | |
Receivable from Management—net (Note B) | | | | |
Receivable for Fund shares sold | | | | |
Receivable for forward foreign currency contracts (Note A) | | | | |
Receivable for unfunded loan commitments (Note A) | | | | |
Prepaid expenses and other assets | | | | |
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|
Over-the-counter swap contracts, at value (Note A) | | | | |
Cash collateral segregated for over-the-counter derivatives due to broker (Note A) | | | | |
Payable to investment manager—net (Note B) | | | | |
| | | | |
Payable for securities purchased | | | | |
Payable for Fund shares redeemed | | | | |
Payable for accumulated variation margin on futures contracts (Note A) | | | | |
Payable for bond forward contracts (Note A) | | | | |
Payable for forward foreign currency contracts (Note A) | | | | |
Payable for accumulated variation margin on centrally cleared swap contracts(d)(e) (Note A) | | | | |
Payable to administrator—net (Note B) | | | | |
| | | | |
Interest payable (Note E) | | | | |
| | | | |
Payable for unfunded loan commitments (Note A) | | | | |
Accrued capital gains taxes (Note A) | | | | |
Other accrued expenses and payables | | | | |
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Total distributable earnings/(losses) | | | | |
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|
See Notes to Financial Statements
| | Municipal
Intermediate
Bond Fund | | |
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Statements of Assets and Liabilities (Unaudited) (cont’d)
Neuberger Berman Income Funds
| | | | |
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Shares Outstanding ($.001 par value; unlimited shares authorized) |
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Net Asset Value, offering and redemption price per share |
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Net Asset Value and redemption price per share |
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Net Asset Value and offering price per share |
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Total cost of investments | | | | |
(c) Total cost of foreign currency | | | | |
(d) Unamortized upfront receipts on centrally cleared swap contracts | | | | |
(e) Unamortized upfront payments on centrally cleared swap contracts | | | | |
| |
| Updated to reflect the effect of a reverse stock split that occurred after the close of business on June 14, 2024. See Note H of the Notes to Financial Statements. |
| On single retail sales of less than $50,000. On sales of $50,000 or more or in certain other circumstances described in the Fund's prospectus, offering price is reduced. |
| Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
See Notes to Financial Statements
| | Municipal
Intermediate
Bond Fund | | |
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Statements of Operations (Unaudited)
Neuberger Berman Income Funds
| | | | |
| For the Six
Months Ended
April 30,
2024 | For the Six
Months Ended
April 30,
2024 | For the Six
Months Ended
April 30,
2024 | For the Six
Months Ended
April 30,
2024 |
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Dividend income—unaffiliated issuers | | | | |
Dividend income—affiliated issuers (Note F) | | | | |
Interest and other income—unaffiliated issuers | | | | |
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Investment management fees (Note B) | | | | |
Administration fees (Note B): |
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Distribution fees (Note B): |
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Shareholder servicing agent fees: |
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Custodian and accounting fees | | | | |
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Registration and filing fees | | | | |
Repayment to Management of expenses previously assumed by Management (Note B) | | | | |
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Trustees' fees and expenses | | | | |
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Miscellaneous and other fees (Note A) | | | | |
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Expenses reimbursed by Management (Note B) | | | | |
Investment management fees waived (Note B) | | | | |
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Net investment income/(loss) | | | | |
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See Notes to Financial Statements
| | Municipal
Intermediate
Bond Fund | | |
For the Six
Months Ended
April 30,
2024 | For the Six
Months Ended
April 30,
2024 | For the Six
Months Ended
April 30,
2024 | For the Six
Months Ended
April 30,
2024 | For the Six
Months Ended
April 30,
2024 |
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Statements of Operations (Unaudited) (cont’d)
Neuberger Berman Income Funds
| | | | |
| For the Six
Months Ended
April 30,
2024 | For the Six
Months Ended
April 30,
2024 | For the Six
Months Ended
April 30,
2024 | For the Six
Months Ended
April 30,
2024 |
Realized and Unrealized Gain/(Loss) on Investments (Note A): |
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Net realized gain/(loss) on: |
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Transactions in investment securities of unaffiliated issuers | | | | |
Transactions in investment securities of affiliated issuers | | | | |
Settlement of bond forward contracts | | | | |
Settlement of forward foreign currency contracts | | | | |
Settlement of foreign currency transactions | | | | |
Expiration or closing of futures contracts | | | | |
Expiration or closing of swap contracts | | | | |
Change in net unrealized appreciation/(depreciation) in value of: |
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Investment securities of unaffiliated issuers | | | | |
Investment securities of affiliated issuers | | | | |
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Forward foreign currency contracts | | | | |
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Foreign currency translations | | | | |
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Net gain/(loss) on investments | | | | |
Net increase/(decrease) in net assets resulting from operations | | | | |
| |
| Net of foreign capital gains tax of $2,083 for Emerging Markets Debt and $0 for Strategic Income. |
| Change in accrued foreign capital gains tax amounted to $(591) for Emerging Markets Debt and $70 for Strategic Income. |
See Notes to Financial Statements
| | Municipal
Intermediate
Bond Fund | | |
For the Six
Months Ended
April 30,
2024 | For the Six
Months Ended
April 30,
2024 | For the Six
Months Ended
April 30,
2024 | For the Six
Months Ended
April 30,
2024 | For the Six
Months Ended
April 30,
2024 |
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Statements of Changes in Net Assets
Neuberger Berman Income Funds
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Increase/(Decrease) in Net Assets: |
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From Operations (Note A): |
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Net investment income/(loss) | | | | |
Net realized gain/(loss) on investments | | | | |
Change in net unrealized appreciation/(depreciation) of investments | | | | |
Net increase/(decrease) in net assets resulting from operations | | | | |
Distributions to Shareholders From (Note A): |
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Total distributions to shareholders | | | | |
From Fund Share Transactions (Note D): |
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Proceeds from shares sold: |
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Proceeds from reinvestment of dividends and distributions: |
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Payments for shares redeemed: |
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Net increase/(decrease) from Fund share transactions | | | | |
Net Increase/(Decrease) in Net Assets | | | | |
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See Notes to Financial Statements
Statements of Changes in Net Assets (cont’d)
Neuberger Berman Income Funds
| Municipal
Intermediate
Bond Fund | |
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Increase/(Decrease) in Net Assets: |
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From Operations (Note A): |
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Net investment income/(loss) | | | | |
Net realized gain/(loss) on investments | | | | |
Change in net unrealized appreciation/(depreciation) of investments | | | | |
Net increase/(decrease) in net assets resulting from operations | | | | |
Distributions to Shareholders From (Note A): |
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Total distributions to shareholders | | | | |
From Fund Share Transactions (Note D): |
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Proceeds from shares sold: |
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Proceeds from reinvestment of dividends and distributions: |
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Payments for shares redeemed: |
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Net increase/(decrease) from Fund share transactions | | | | |
Net Increase/(Decrease) in Net Assets | | | | |
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See Notes to Financial Statements
Notes to Financial Statements Income Funds (Unaudited)
Note A—Summary of Significant Accounting Policies:
1
General: Neuberger Berman Income Funds (the "Trust") is a Delaware statutory trust organized pursuant to an Amended and Restated Trust Instrument dated March 27, 2014. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"), and its shares are registered under the Securities Act of 1933, as amended. Each of Neuberger Berman Core Bond Fund ("Core Bond"), Neuberger Berman Emerging Markets Debt Fund ("Emerging Markets Debt"), Neuberger Berman Floating Rate Income Fund ("Floating Rate Income"), Neuberger Berman High Income Bond Fund ("High Income"), Neuberger Berman Municipal High Income Fund ("Municipal High Income"), Neuberger Berman Municipal Impact Fund ("Municipal Impact"), Neuberger Berman Municipal Intermediate Bond Fund ("Municipal Intermediate Bond"), Neuberger Berman Short Duration Bond Fund ("Short Duration") and Neuberger Berman Strategic Income Fund ("Strategic Income") (each individually a "Fund," and collectively, the "Funds") is a separate operating series of the Trust. Each Fund is diversified. Under the 1940 Act, the status of a Fund that was registered as non-diversified may, under certain circumstances, change to that of a diversified fund. Emerging Markets Debt became diversified in March 2022. Four Funds offer Investor Class shares, two offer Trust Class shares, nine offer Institutional Class shares, nine offer Class A shares, nine offer Class C shares, one offers Class R3 shares, three offer Class R6 shares and one offers Class E shares. The Trust's Board of Trustees (the "Board") may establish additional series or classes of shares without the approval of shareholders.
A balance indicated with a "—", reflects either a zero balance or a balance that rounds to less than 1.
The assets of each Fund belong only to that Fund, and the liabilities of each Fund are borne solely by that Fund and no other series of the Trust.
Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946 "Financial Services—Investment Companies."
The preparation of financial statements in accordance with U.S. generally accepted accounting principles ("GAAP") requires Management to make estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates.
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Portfolio valuation: In accordance with ASC 820 "Fair Value Measurement" ("ASC 820"), all investments held by each of the Funds are carried at the value that Management believes a Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Funds' investments, some of which are discussed below. At times, Management may need to apply significant judgment to value investments in accordance with ASC 820.
ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
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Level 1 – unadjusted quoted prices in active markets for identical investments
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Level 2 – other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)
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Level 3 – unobservable inputs (including a Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
The value of the Funds’ investments in equity securities, closed-end funds and exchange-traded funds ("ETFs"), for which market quotations are available, is generally determined by Management by obtaining
valuations from independent pricing services based on the latest sale price quoted on a principal exchange or market for that security (Level 1 inputs). Securities traded primarily on the NASDAQ Stock Market are normally valued at the NASDAQ Official Closing Price ("NOCP") provided by NASDAQ each business day. The NOCP is the most recently reported price as of 4:00:02 p.m., Eastern Time, unless that price is outside the range of the "inside" bid and asked prices (i.e., the bid and asked prices that dealers quote to each other when trading for their own accounts); in that case, NASDAQ will adjust the price to equal the inside bid or asked price, whichever is closer. Because of delays in reporting trades, the NOCP may not be based on the price of the last trade to occur before the market closes. If there is no sale of a security on a particular day, the independent pricing services may value the security based on market quotations.
The value of the Funds' investments in debt securities is determined by Management primarily by obtaining valuations from independent pricing services based on bid quotations, or if quotations are not available, by methods that include various considerations based on security type (generally Level 2 inputs). In addition to the consideration of yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions, the following is a description of other Level 2 inputs and related valuation techniques used by independent pricing services to value certain types of debt securities held by the Funds:
Corporate Bonds. Inputs used to value corporate debt securities generally include relevant credit information, observed market movements, sector news, U.S. Treasury yield curve or relevant benchmark curve, and other market information, which may include benchmark yield curves, reported trades, broker-dealer quotes, issuer spreads, comparable securities, and reference data, such as market research publications, when available ("Other Market Information").
Convertible Bonds. Inputs used to value convertible bonds generally include underlying stock data, conversion rates, credit-specific details, relevant listed bond and preferred stock prices and Other Market Information.
U.S. Treasury Obligations. Inputs used to value U.S. Treasury securities generally include quotes from several inter-dealer brokers and Other Market Information.
U.S. Government Agency Securities. Inputs used to value U.S. Government Agency securities generally include obtaining benchmark quotes and Other Market Information.
Collateralized Loan Obligations (CLOs). The value of collateralized loan obligations is primarily determined by cash flow data, relevant loan pricing data and market color, and research from market participants and trading desks (Level 2 or 3 inputs).
Asset-Backed Securities and Mortgage-Backed Securities. Inputs used to value asset-backed securities and mortgage-backed securities generally include models that consider a number of factors, which may include the following: prepayment speeds, cash flows, spread adjustments and Other Market Information.
High Yield Securities. Inputs used to value high yield securities generally include a number of observations of equity and credit default swap curves related to the issuer and Other Market Information.
Municipal Debt Securities. Inputs used to value municipal debt securities include current trades, bid-wanted lists (which informs the market that a holder is interested in selling a position and that offers will be considered), offerings, general information on market movement, direction, trends, and specific data on specialty issues.
Emerging Markets Debt and Foreign Government Securities. Inputs used to value emerging markets debt and foreign government securities generally include dealer quotes, bond market activity, discounted cash flow models, and other relevant information such as credit spreads, benchmark curves and Other Market Information.
The value of loan assignments is determined by Management primarily by obtaining valuations from independent pricing services based on broker quotes (generally Level 2 or Level 3 inputs depending on the number of quotes available).
The value of futures contracts is determined by Management by obtaining valuations from independent pricing services at the settlement price at the market close (Level 1 inputs).
The value of bond forward contracts ("bond forwards") is determined by Management by obtaining valuations from independent pricing services using a model that considers the current price of the underlying bond and the forward curve (Level 2 inputs).
The value of interest rate swaps is determined by Management primarily by obtaining valuations from independent pricing services based on references to the underlying rates including the local overnight index swap rate and the respective interbank offered forward rate to produce the daily price. The present value is calculated based off of expected cash flows based on swap parameters along with reference to the underlying yield curve and reference rate (Level 2 inputs).
The value of credit default swaps is determined by Management by obtaining valuations from independent pricing services using a model that considers a number of factors, which may include default probabilities, credit curves, recovery rates and cash flows (Level 2 inputs).
The value of inflation swaps is determined by Management primarily by obtaining valuations from independent pricing services based on references to the underlying inflation rates including forward inflation expectation rate and the respective interbank offered forward rate to produce the daily price. The present value is calculated based off of expected cash flows based on swap parameters along with reference to the underlying forward inflation curve and reference rate (Level 2 inputs).
The value of forward foreign currency contracts ("forward FX contracts") is determined by Management by obtaining valuations from independent pricing services based on actual traded currency rates on independent pricing services’ networks, along with other traded and quoted currency rates provided to the pricing services by leading market participants (Level 2 inputs).
The value of total return swaps is determined by Management by obtaining valuations from independent pricing services using the underlying asset and stated benchmark interest rate (Level 2 inputs).
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
Investments in non-exchange traded investment companies are valued using the respective fund’s daily calculated net asset value ("NAV") per share (Level 2 inputs), when available.
If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount a Fund might reasonably expect to receive on a current sale in an orderly transaction, Management seeks to obtain quotations from brokers or dealers (generally considered Level 2 or Level 3 inputs depending on the number of quotes available). If such quotations are not available, the security is valued using methods Management has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Pursuant to Rule 2a-5 under the 1940 Act, the Board designated Management as the Funds' valuation designee. As the Funds' valuation designee, Management is responsible for determining fair value in good faith for all Fund investments. Inputs and assumptions considered in determining fair value of a security based on Level 2 or Level 3 inputs may include, but are not limited to, the type of security; the initial cost of the security; the existence of any contractual restrictions on the security’s disposition; the price and extent of public trading in similar securities of the issuer or of comparable companies; quotations or evaluated prices from broker-dealers or pricing services; information obtained from the issuer and analysts; an analysis of the company’s or issuer’s financial statements; an evaluation of the inputs that influence the issuer and the market(s) in which the security is purchased and sold.
The value of the Funds’ investments in foreign securities is generally determined using the same valuation methods and inputs as other Fund investments, as discussed above. Foreign security prices expressed in
local currency values are normally translated from the local currency into U.S. dollars using the exchange rates as of 4:00 p.m., Eastern Time on days the New York Stock Exchange ("NYSE") is open for business. Management has approved the use of ICE Data Services ("ICE") to evaluate the prices of foreign debt securities as of the time at which a Fund’s share price is calculated. ICE utilizes benchmark spread and yield curves and evaluates available market activity from the local close to the time as of which a Fund’s share price is calculated (Level 2 inputs) to assist in determining prices for certain foreign debt securities. In the absence of precise information about the market values of these foreign securities as of the time at which a Fund’s share price is calculated, Management has determined based on available data that prices adjusted or evaluated in this way are likely to be closer to the prices a Fund could realize on a current sale than the prices of those securities established at the close of the foreign markets in which the securities primarily trade.
Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or traded.
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Foreign currency translations: Core Bond, Emerging Markets Debt, Floating Rate Income, High Income, Short Duration and Strategic Income may invest in foreign securities denominated in foreign currencies. The accounting records of the Funds are maintained in U.S. dollars. Foreign currency amounts are normally translated into U.S. dollars using the exchange rate as of 4:00 p.m. Eastern Time, on days the NYSE is open for business, to determine the value of investments, other assets and liabilities. Purchase and sale prices of securities, and income and expenses, are translated into U.S. dollars at the prevailing rate of exchange on the respective dates of such transactions. Net unrealized foreign currency gain/(loss), if any, arises from changes in the value of assets and liabilities, other than investments in securities, as a result of changes in exchange rates and is stated separately in the Statements of Operations.
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Securities transactions and investment income: Securities transactions are recorded on trade date for financial reporting purposes. Dividend income is recorded on the ex-dividend date or, for certain foreign dividends, as soon as a Fund becomes aware of the dividends. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income, including accretion of discount (adjusted for original issue discount, where applicable) and amortization of premium, where applicable, is recorded on the accrual basis. Realized gains and losses from securities transactions and foreign currency transactions, if any, are recorded on the basis of identified cost and stated separately in the Statements of Operations. Included in net realized gain/(loss) on investments are proceeds from the settlement of class action litigation(s) in which certain of the Funds participated as a class member. The amounts of such proceeds for the six months ended April 30, 2024, was $1,489, $680 and $293 for Core Bond, High Income and Strategic Income, respectively.
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Income tax information: Each Fund is treated as a separate entity for U.S. federal income tax purposes. It is the policy of each Fund to continue to qualify for treatment as a regulated investment company ("RIC") by complying with the requirements of the U.S. Internal Revenue Code applicable to RICs and to distribute substantially all of its net investment income and net realized capital gains to its shareholders. To the extent a Fund distributes substantially all of its net investment income and net realized capital gains to shareholders, no federal income or excise tax provision is required.
ASC 740 "Income Taxes" sets forth a minimum threshold for financial statement recognition of a tax position taken, or expected to be taken, in a tax return. The Funds recognize interest and penalties, if any, related to unrecognized tax positions as an income tax expense in the Statements of Operations. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the tax years for which the applicable statutes of limitations have not yet expired. Management has analyzed each Fund's tax positions taken or expected to be taken on federal and state income tax returns for all open tax years (the current and the prior three tax years) and has concluded that no provision for income tax is required in the Funds' financial statements.
For federal income tax purposes, the estimated cost and unrealized appreciation/(depreciation) in value of investments held at April 30, 2024 were as follows:
| | Gross
Unrealized
Appreciation | Gross
Unrealized
Depreciation | Net Unrealized
Appreciation/
(Depreciation) |
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Municipal Intermediate Bond | | | | |
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Income distributions and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments of income and gains on various investment securities held by each Fund, timing differences and differing characterization of distributions made by each Fund. The Funds may also utilize earnings and profits distributed to shareholders on redemption of their shares as a part of the dividends-paid deduction for income tax purposes.
Any permanent differences resulting from different book and tax treatment are reclassified at year-end and have no impact on net income, NAV or NAV per share of the Funds. For the year ended October 31, 2023, the Funds recorded permanent reclassifications primarily related to prior year true up adjustments and distribution in excess of income. For the year ended October 31, 2023, the Funds recorded the following permanent reclassifications:
| | Total Distributable
Earnings/(Losses) |
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Municipal Intermediate Bond | | |
The tax character of distributions paid during the years ended October 31, 2023, and October 31, 2022, was as follows:
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Municipal Intermediate Bond | | | | | | | | | | |
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As of October 31, 2023, the components of distributable earnings (accumulated losses) on a U.S. federal income tax basis were as follows:
| Undistributed
Ordinary
Income | Undistributed
Tax-Exempt
Income | Undistributed
Long-Term
Capital Gain | Unrealized
Appreciation/
(Depreciation) | Loss
Carryforwards
and Deferrals | Other
Temporary
Differences | |
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Municipal Intermediate Bond | | | | | | | |
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The temporary differences between book basis and tax basis distributable earnings are primarily due to: losses disallowed and/or recognized on wash sales and straddles, timing differences of fund level distributions, mark-to-market adjustments on swaps, futures, forward FX contracts and options, amortization of bond premium, defaulted bond adjustments, amortization of organizational expenses and tax adjustments related to swap contracts and treasury inflation protection securities ("TIPS").
To the extent each Fund’s net realized capital gains, if any, can be offset by capital loss carryforwards, it is the policy of each Fund not to distribute such gains. Capital loss carryforward rules allow for RICs to carry forward capital losses indefinitely and to retain the character of capital loss carryforwards as short-term or
long-term. As determined at October 31, 2023, the following Funds had unused capital loss carryforwards available for federal income tax purposes to offset future net realized capital gains, if any, as follows:
| Capital Loss Carryforwards |
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Municipal Intermediate Bond | | |
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Foreign taxes: Foreign taxes withheld, if any, represent amounts withheld by foreign tax authorities, net of refunds recoverable.
Foreign capital gains on certain foreign securities may be subject to foreign taxes, which are accrued as applicable. Emerging Markets Debt and Strategic Income accrue capital gains tax on unrealized and realized gains for certain securities. At April 30, 2024, Emerging Markets Debt and Strategic Income had accrued capital gains taxes of $6,466 and $1,552, respectively, which is reflected in the Statements of Assets and Liabilities. For the six months ended April 30, 2024, Emerging Markets Debt and Strategic Income had realized capital gains taxes of $2,083 and $0, respectively, which is reflected in the Statements of Operations.
As a result of several European Court of Justice ("ECJ") court cases in certain countries across the European Union ("EU"), certain of the Funds that invest in foreign securities may file tax reclaims for previously withheld taxes on dividends earned in those countries ("ECJ tax reclaims"). ECJ tax reclaims are subject to various administrative proceedings by the local jurisdictions’ tax authorities within the EU, as well as a number of related judicial proceedings. If an ECJ tax reclaim is "more likely than not" to not be sustained, assuming examination by tax authorities, due to the uncertainty that exists as to the ultimate resolution of these proceedings, the likelihood of receipt of these ECJ tax reclaims, and the potential timing of payment, then no amounts are included in the Statements of Assets and Liabilities. Income recognized, if any, for ECJ tax reclaims would be included in "Interest and other income—unaffiliated issuers" in the Statements of Operations and the cost to file these additional ECJ tax reclaims, if any, would be included in "Miscellaneous and other fees" in the Statements of Operations.
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Distributions to shareholders: Each Fund earns income, net of expenses, daily on its investments. Ordinarily, distributions from net investment income are declared on each business day and paid monthly, and distributions from net realized capital gains, if any, are generally distributed once a year (usually in December). Distributions to shareholders are recorded on the ex-date.
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Expense allocation: Certain expenses are applicable to multiple funds within a complex of related investment companies. Expenses directly attributable to a fund are charged to that fund. Expenses of the Trust that are not directly attributable to a particular series of the Trust (e.g., a Fund) are allocated among the series of the Trust, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the series can otherwise be made fairly. Expenses borne by the complex of related investment companies, which includes open-end and closed-end investment companies for which NBIA serves as investment manager, that are not directly attributable to a particular investment company in the complex (e.g., the Trust) or series thereof are allocated among the investment companies in the complex or series thereof on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the investment companies in the complex or series thereof can otherwise be made fairly. Each Fund’s expenses (other than those specific to each class) are allocated proportionally each day among its classes based upon the relative net assets of each class.
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Investments in foreign securities: Investing in foreign securities may involve sovereign and other risks, in addition to the credit and market risks normally associated with domestic securities. These additional risks include the possibility of adverse political and economic developments (including political instability, nationalization, expropriation, or confiscatory taxation) and the potentially adverse effects of unavailability of public information regarding issuers, less governmental supervision and regulation of financial markets, reduced liquidity of certain financial markets, and the lack of uniform accounting, auditing, and financial reporting standards or the application of standards that are different or less stringent than those applied in the United States. Foreign securities also may experience greater price volatility, higher rates of inflation, and delays in settlement.
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When-issued/delayed delivery securities: Each Fund may purchase securities with delivery or payment to occur at a later date beyond the normal settlement period. At the time a Fund enters into a commitment to purchase a security, the transaction is recorded and the value of the security is reflected in the NAV. The price of such security and the date when the security will be delivered and paid for are fixed at the time the transaction is negotiated. The value of the security may vary with market fluctuations. No interest accrues to a Fund until payment takes place. When-issued and delayed delivery transactions can have a leverage-like effect on a Fund, which can increase fluctuations in the Fund’s NAV. Certain risks may arise upon entering into when-issued or delayed delivery securities transactions from the potential inability of counterparties to meet the terms of their contracts or if the issuer does not issue the securities due to political, economic, or other factors. Additionally, losses may arise due to changes in the value of the underlying securities.
Each Fund may also enter into a TBA (To Be Announced) agreement and "roll over" such agreement prior to the settlement date by selling the obligation to purchase the pools set forth in the agreement and entering into a new TBA agreement for future delivery of pools of mortgage-backed securities. TBA mortgage-backed securities may increase prepayment risks because the underlying mortgages may be less favorable than anticipated by a Fund.
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Derivative instruments: Certain Funds' use of derivatives during the six months ended April 30, 2024, is described below. Please see the Schedule of Investments for each Fund's open positions in derivatives, if any, at April 30, 2024. The disclosure requirements of ASC 815 "Derivatives and Hedging" ("ASC 815") distinguish between derivatives that qualify for hedge accounting and those that do not. Because investment companies value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting. Accordingly, even though a Fund's investments in derivatives may represent economic hedges, they are considered non-hedge transactions for purposes of this disclosure.
Rule 18f-4 under the 1940 Act regulates the use of derivatives for certain funds registered under the 1940 Act ("Rule 18f-4"). Unless a Fund qualifies as a "limited derivatives user" as defined in Rule 18f-4, the Fund is subject to a comprehensive derivatives risk management program, is required to comply with certain value-at-risk based leverage limits and is required to provide additional disclosure both publicly and to the SEC regarding its derivatives positions. If a Fund qualifies as a limited derivatives user, Rule 18f-4 requires the Fund to have policies and procedures to manage its aggregate derivatives risk.
Futures contracts: During the six months ended April 30, 2024, Core Bond used futures to manage or adjust the risk profile and investment exposure of the Fund, including to adjust the duration and yield curve exposure of the Fund’s portfolio. During six months ended April 30, 2024, Emerging Markets Debt and Short Duration each used futures for economic hedging purposes, including as a maturity or duration management device. During six months ended April 30, 2024, Strategic Income used futures to manage or adjust the risk profile and investment exposure of the Fund or individual positions, to obtain or reduce exposure to certain markets, to establish net short or long positions for markets, currencies or securities, to adjust the duration of the Fund’s portfolio and to enhance total return.
Futures contracts may include certain options on exchange-traded futures contracts. At the time a Fund enters into a futures contract, it is required to deposit with the futures commission merchant a specified amount of cash or liquid securities, known as "initial margin," which is a percentage of the value of the futures contract being traded that is set by the exchange upon which the futures contract is traded. Each day, the futures contract is valued at the official settlement price of the board of trade or U.S. commodity
exchange on which such futures contract is traded. Subsequent payments, known as "variation margin," to and from the broker are made on a daily basis, or as needed, as the market price of the futures contract fluctuates. Daily variation margin adjustments, arising from this "mark to market," are recorded by a Fund as unrealized gains or losses.
Although some futures by their terms call for actual delivery or acquisition of the underlying securities or currency, in most cases the contracts are closed out prior to delivery by offsetting purchases or sales of matching futures. When the contracts are closed or expire, a Fund recognizes a gain or loss. Risks of entering into futures contracts include the possibility there may be an illiquid market, possibly at a time of rapidly declining prices, and/or a change in the value of the contract may not correlate with changes in the value of the underlying securities. Futures executed on regulated futures exchanges have minimal counterparty risk to a Fund because the exchange’s clearinghouse assumes the position of the counterparty in each transaction. Thus, a Fund is exposed to risk only in connection with the clearinghouse and not in connection with the original counterparty to the transaction.
For U.S. federal income tax purposes, the futures transactions undertaken by a Fund may cause the Fund to recognize gains or losses from marking contracts to market even though its positions have not been sold or terminated, may affect the character of the gains or losses recognized as long-term or short-term, and may affect the timing of some capital gains and losses realized by the Fund. Also, a Fund’s losses on transactions involving futures contracts may be deferred rather than being taken into account currently in calculating such Fund’s taxable income.
Bond forward contracts: During the six months ended April 30, 2024, Strategic Income used bond forward contracts to obtain economic exposure in the Fund to certain markets and securities. A bond forward is a contractual agreement between a Fund and another party to buy or sell an underlying asset at an agreed-upon future price and date. In a bond forward transaction, no cash premium is paid when the parties enter into the bond forward. If the transaction is collateralized, an exchange of margin collateral will take place according to an agreed-upon schedule. Otherwise, no asset of any kind changes hands until the bond forward matures (typically in 30 days) or is rolled over for another agreed-upon period. Generally, the value of the bond forward will change based on changes in the value of the underlying asset. Bond forwards are subject to market risk (the risk that the market value of the underlying bond may change), non-correlation risk (the risk that the market value of the bond forward might move independently of the market value of the underlying bond) and counterparty credit risk (the risk that a counterparty will be unable to meet its obligation under the contract). If there is no cash exchanged at the time a Fund enters into the bond forward, counterparty risk may be limited to the loss of any marked-to-market profit on the contract and any delays or limitations on the Fund’s ability to sell or otherwise use the investments posted as collateral for the bond forward.
Forward foreign currency contracts: During the six months ended April 30, 2024, Emerging Markets Debt used forward FX contracts to manage or adjust views on foreign exchange rate movements and currency exposure, to apply foreign exchange leverage or reduce foreign currency risk, and to gain exposure to markets where the portfolio managers believe these instruments provide better liquidity and value than bonds. During the six months ended April 30, 2024, Strategic Income used forward FX contracts to manage or adjust the risk profile for foreign currency exposures in the Fund, to obtain or reduce economic exposure, to establish net short or long positions for markets or securities and to enhance total return.
A forward FX contract is an agreement between two parties to buy or sell a specific currency for another at a set price on a future date, and is individually negotiated and privately traded by currency traders and their customers in the interbank market. The market value of a forward FX contract fluctuates with changes in forward currency exchange rates. Forward FX contracts are marked to market daily, and the change in value is recorded by a Fund as an unrealized gain or loss. At the consummation of a forward FX contract to purchase or sell currency, a Fund may either exchange the currencies specified at the maturity of the forward FX contract or enter into a closing transaction involving the purchase or sale of an offsetting forward FX contract. Closing transactions with respect to forward FX contracts are usually performed with the counterparty to the original forward FX contract. The gain or loss arising from the difference between the U.S. dollar cost of the original contract and the value of the foreign currency in U.S. dollars upon closing
a contract is included in "Net realized gain/(loss) on settlement of forward foreign currency contracts" in the Statements of Operations. These contracts may involve market risk in excess of the unrealized gain or loss reflected in a Fund’s Statement of Assets and Liabilities. In addition, a Fund could be exposed to risks associated with fluctuations in foreign currency and the risk the counterparty will fail to fulfill its obligation.
Credit default swap contracts: During the six months ended April 30, 2024, Emerging Markets Debt used credit default swaps to manage or adjust credit risk of the Fund, to take advantage of the portfolio managers’ views on credit risk and market pricing of credit events and in an effort to leverage or reduce risk exposures by selling or buying protection. During the six months ended April 30, 2024, Short Duration used credit default swaps for economic hedging purposes, to manage or adjust the risk profile and investment exposure of the Fund or individual positions, to obtain or reduce exposure to certain markets, to establish net short or long positions for markets or securities and to enhance total return. During the six months ended April 30, 2024, Strategic Income used credit default swaps for economic hedging purposes, to manage or adjust the risk profile and investment exposure of the Fund or individual positions, to obtain or reduce exposure to certain markets, to establish net short or long positions for markets or securities and to enhance total return. When a Fund is the buyer of a credit default swap contract, it is entitled to receive the notional amount of the swap from the counterparty if a credit event occurs. In return, the Fund pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Fund would have spent the stream of payments and received no proceeds from the contract. When a Fund is the seller of a credit default swap contract, it receives the stream of payments, but is obligated to pay to the buyer of the protection an amount up to the notional amount of the swap and in certain instances take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring, obligation acceleration and repudiation/moratorium. If a Fund is a seller of protection and a credit event occurs, the maximum potential amount of future payments that the Fund could be required to make (or the risk of loss) would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default swap agreement entered into by the Fund for the same referenced obligation. As the seller, the Fund may add economic leverage to its portfolio because, in addition to its total net assets, the Fund is subject to investment exposure on the notional amount of the swap. The net periodic payments paid or received on the swap contract are accrued daily as a component of unrealized appreciation/(depreciation) and are recorded as realized gain upon receipt or realized loss upon payment. The Fund also records an increase or decrease to unrealized appreciation/(depreciation) in an amount equal to the daily valuation of swaps. For over-the-counter ("OTC") credit default swaps, cash settlement in and out of the swaps may occur at a reset date or any other date, at the discretion of the Fund and the counterparty, over the life of the agreement, and is generally determined based on limits and thresholds established as part of an agreement between the Fund and the counterparty. For financial reporting purposes, unamortized upfront payments/(receipts), if any, are netted with unrealized appreciation or (depreciation) and net interest receivable or payable on swap contracts to determine the fair value of swaps.
Interest rate/Inflation swap contracts: During the six months ended April 30, 2024, Emerging Markets Debt used interest rate swaps to manage or adjust interest rate risk of the Fund, to take advantage of the portfolio managers’ views on interest rates and market pricing of future monetary policy, to obtain exposure on a maturity horizon where bonds are illiquid or are unavailable, and to obtain leveraged or reduced rate positions. During the six months ended April 30, 2024, Strategic Income used interest rate swaps and inflation swaps for economic hedging purposes, to manage or adjust the risk profile and investment exposure of the Fund or individual positions, to obtain or reduce exposure to certain markets, to establish net short or long positions for markets or securities and to enhance total return. Under the terms of interest rate/inflation swaps, the Fund agrees to pay the swap counterparty a fixed-rate payment in exchange for the counterparty’s paying the Fund a variable-rate payment, or the Fund agrees to pay the swap counterparty a variable-rate payment in exchange for the counterparty’s paying the Fund a fixed-rate payment. The fixed-rate and variable-rate payment flows are paid by one party to the other on a periodic basis and netted against each other when applicable. There is no guarantee that these interest rate/inflation swap transactions will be successful in reducing or limiting risk.
Risks may arise if the counterparty to an interest rate/inflation swap contract fails to comply with the terms of its contract. The loss incurred due to the failure of a counterparty is generally limited to the net interest payment to be received by the Fund and/or the termination value at the end of the contract. Additionally, risks may arise if there is no liquid market for these agreements or from movements in interest rates unanticipated by Management.
Periodic expected interim net interest payments or receipts on the swaps are recorded as an adjustment to unrealized gains/losses, along with the fair value of the future periodic payment or receivable streams on the swaps. The unrealized gains/losses associated with the periodic interim net interest payments or receipts are reclassified to realized gains/losses in conjunction with the actual net payment or receipt of such amounts. For OTC interest rate/inflation swaps, cash settlement in and out of the swaps may occur at a reset date or any other date, at the discretion of the Fund and the counterparty, over the life of the agreement, and is generally determined based on limits and thresholds established as part of an agreement between the Fund and the counterparty. The reclassifications do not impact the Fund’s total net assets or its total net increase (decrease) in net assets resulting from operations.
Centrally cleared swap contracts: Certain clearinghouses currently offer clearing for limited types of derivative transactions. In a cleared derivative transaction, a Fund typically enters into the transaction with a financial institution counterparty that is then cleared through a central clearinghouse. Upon acceptance of a swap by a central clearinghouse, the original swap is extinguished and replaced with a swap with the clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of the original counterparty. A Fund typically will be required to post specified levels of both initial and variation margin with the clearinghouse or at the instruction of the clearinghouse. The daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the central clearing party. For financial reporting purposes, unamortized upfront payments, if any, are netted with unrealized appreciation or depreciation and net interest receivable or payable on swap contracts to determine the fair value of swaps.
Total return swap contracts: During the six months ended April 30, 2024, Strategic Income used total return swaps for economic hedging purposes, to manage or adjust the risk profile and investment exposure of the Fund or individual positions, to obtain or reduce exposure to certain markets, to establish net short or long positions for markets or securities and to enhance total return. Total return swaps involve commitments to pay fixed or floating rate interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the reference security or index underlying the total return swap exceeds or falls short of the offsetting interest rate obligation, a Fund will receive a payment or make a payment to the counterparty, respectively. Certain risks may arise when entering into total return swap transactions, including counterparty default, liquidity or unfavorable changes in the value of the underlying reference security or index. The value of the swap is adjusted daily and the change in value, if any, is recorded as unrealized appreciation or (depreciation) in the Statements of Assets and Liabilities. Payments received or made at the end of each measurement period are recorded as realized gain or loss in the Statements of Operations. For OTC total return swaps, cash settlement in and out of the swaps may occur at a reset date or any other date, at the discretion of the Fund and the counterparty, over the life of the agreement, and is generally determined based on limits and thresholds established as part of an agreement between the Fund and the counterparty.
Options: During the six months ended April 30, 2024, Strategic Income used options purchased and options written for economic hedging purposes, to manage or adjust the risk profile and investment exposure of the Fund or individual positions, to obtain or reduce exposure to certain markets, to establish net short or long positions for markets or securities and to enhance total return.
Premiums paid by a Fund upon purchasing a call or put option are recorded in the asset section of the Fund’s Statement of Assets and Liabilities and are subsequently adjusted to the current market value. When an option is exercised, closed, or expired, a Fund realizes a gain or loss and the asset is eliminated. For purchased call options, a Fund’s loss is limited to the amount of the option premium paid.
Premiums received by a Fund upon writing a call option or a put option are recorded in the liability section of the Fund’s Statement of Assets and Liabilities and are subsequently adjusted to the current market value. When an option is exercised, closed, or expired, a Fund realizes a gain or loss and the liability is eliminated.
When writing a covered call option, a Fund, in return for the premium, gives up the opportunity for profit from a price increase in the underlying security above the exercise price, but conversely retains the risk of loss should the price of the security decline. When writing a put option, a Fund, in return for the premium, takes the risk that it must purchase the underlying security at a price that may be higher than the current market price of the security. If a call or put option that a Fund has written expires unexercised a Fund will realize a gain for the amount of the premium. All securities covering outstanding written options are held in escrow by the custodian bank.
At April 30, 2024, the Funds listed below had the following derivatives (which did not qualify as hedging instruments under ASC 815), grouped by primary risk exposure:
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| Statements of
Assets and Liabilities
Location | | Statements of
Assets and Liabilities
Location | |
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| Receivable/Payable for accumulated variation margin on futures contracts | | Receivable/Payable for accumulated variation margin on futures contracts | |
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| Receivable/Payable for accumulated variation margin on futures contracts | | Receivable/Payable for accumulated variation margin on futures contracts | |
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| Receivable for forward foreign currency contracts | | Payable for forward foreign currency contracts | |
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| Receivable/Payable for accumulated variation margin on centrally cleared swap contracts(a) | | Receivable/Payable for accumulated variation margin on centrally cleared swap contracts(a) | |
| Receivable/Payable for accumulated variation margin on centrally cleared swap contracts(a) | | Receivable/Payable for accumulated variation margin on centrally cleared swap contracts(a) | |
Total centrally cleared swaps | | | | |
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| Over-the-counter swap contracts, at value(a) | | Over-the-counter swap contracts, at value(a) | |
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| Receivable/Payable for accumulated variation margin on futures contracts | | Receivable/Payable for accumulated variation margin on futures contracts | |
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| Receivable/Payable for accumulated variation margin on futures contracts | | Receivable/Payable for accumulated variation margin on futures contracts | |
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| Statements of Assets and Liabilities Location | | Statements of Assets and Liabilities Location | |
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| Receivable for bond forward contracts | | Payable for bond forward contracts | |
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| Receivable for forward foreign currency contracts | | Payable for forward foreign currency contracts | |
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| Receivable/Payable for accumulated variation margin on centrally cleared swap contracts(a) | | Receivable/Payable for accumulated variation margin on centrally cleared swap contracts(a) | |
| Receivable/Payable for accumulated variation margin on centrally cleared swap contracts(a) | | Receivable/Payable for accumulated variation margin on centrally cleared swap contracts(a) | |
Total centrally cleared swaps | | | | |
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| Over-the-counter swap contracts, at value(a) | | Over-the-counter swap contracts, at value(a) | |
| "Centrally cleared swaps" and "over-the counter swaps" reflect the cumulative unrealized appreciation/(depreciation) of the centrally cleared swap and over-the-counter swap contracts plus accrued interest as of April 30, 2024. |
The impact of the use of these derivative instruments on the Statements of Operations during the six months ended April 30, 2024, was as follows:
| | | Change in Net Unrealized
Appreciation/
(Depreciation) on
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| Net Realized Gain/ (Loss) on Derivatives(a) | | Change in Net Unrealized Appreciation/ (Depreciation) on Derivatives(b) |
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| Net realized gain/(loss) on derivatives is located in the Statements of Operations each under the caption, "Net realized gain/(loss) on:" |
| Expiration or closing of futures contracts |
| Settlement of forward foreign currency contracts |
| Settlement of bond forward contracts |
| Expiration or closing of swap contracts |
| Change in net unrealized appreciation/(depreciation) is located in the Statements of Operations each under the caption, "Change in net unrealized appreciation/(depreciation) in value of:" |
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| Forward foreign currency contracts |
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While the Funds may receive redeemable preference shares, rights and warrants in connection with their investments in securities, these preference shares, rights and warrants are not considered "derivative instruments" under ASC 815.
Management has concluded that Floating Rate Income, High Income, Municipal High Income, Municipal Impact and Municipal Intermediate Bond did not hold any derivative instruments during the six months ended April 30, 2024 that require additional disclosures pursuant to ASC 815.
12
Securities lending: Each Fund, using State Street Bank and Trust Company ("State Street") as its lending agent, may loan securities to qualified brokers and dealers in exchange for negotiated lender’s fees. These fees, if any, would be disclosed within the Statements of Operations under the caption "Income from securities loaned-net" and are net of expenses retained by State Street as compensation for its services as lending agent.
The initial collateral received by a Fund at the beginning of each transaction shall have a value equal to at least 102% of the prior day’s market value of the loaned securities (105% in the case of international
securities). Collateral in the form of cash and/or securities issued or guaranteed by the U.S. government or its agencies, equivalent to at least 100% of the market value of securities, is maintained at all times. Thereafter, the value of the collateral is monitored on a daily basis, and collateral is moved daily between a counterparty and a Fund until the close of the transaction. Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of State Street and is included in the Statements of Assets and Liabilities under the caption "Investments in securities, at value—Unaffiliated issuers." The total value of securities received as collateral for securities on loan is included in a footnote following the applicable Schedule of Investments, but is not included within the Statements of Assets and Liabilities because the receiving Fund does not have the right to sell or repledge the securities received as collateral. The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities. Any increase or decrease in the fair value of the securities loaned and any interest earned or dividends paid or owed on those securities during the term of the loan would accrue to that Fund.
During the six months ended April 30, 2024, the Funds did not participate in securities lending.
13
Offsetting assets and liabilities: The Funds are required to disclose both gross and net information for assets and liabilities related to OTC derivatives, repurchase and reverse repurchase agreements, and securities lending and securities borrowing transactions that are eligible for offset or subject to an enforceable master netting or similar agreement. Emerging Markets Debt and Strategic Income held one or more of these investments at April 30, 2024. The Funds' OTC derivative assets and liabilities at fair value by type are reported gross in the Statements of Assets and Liabilities. The following tables present derivative assets and liabilities by counterparty, net of amounts available for offset under a master netting or similar agreement and net of the related collateral received by a Fund for assets and pledged by a Fund for liabilities as of April 30, 2024.
| Gross Amounts of Assets
Presented in the
Statements
of Assets and Liabilities | Gross Amounts of Liabilities
Presented in the
Statements
of Assets and Liabilities |
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Over-the-counter swap contracts | | |
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Over-the-counter swap contracts | | |
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Gross Amounts Not Offset in the Statements of Assets and Liabilities: |
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| Gross Amounts
Presented in the
Statements
of Assets and
Liabilities | Liabilities
Available
for Offset | | | Gross Amounts
Presented in the
Statements
of Assets and
Liabilities | Assets
Available
for Offset | | |
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Gross Amounts Not Offset in the Statements of Assets and Liabilities: |
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| Gross Amounts Presented in the Statements of Assets and Liabilities | Liabilities Available for Offset | | | Gross Amounts Presented in the Statements of Assets and Liabilities | Assets Available for Offset | | |
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| Collateral received (or pledged) is limited to an amount not to exceed 100% of the net amount of assets (or liabilities) in the tables presented above, for each respective counterparty. |
| A net amount greater than zero represents amounts subject to loss as of April 30, 2024, in the event of a counterparty failure. A net amount less than zero represents amounts under-collateralized to each counterparty as of April 30, 2024. |
14
Indemnifications: Like many other companies, the Trust’s organizational documents provide that its officers ("Officers") and trustees ("Trustees") are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims against the Trust or a Fund.
15
Investment in other funds managed by Neuberger Berman Investment Advisers LLC: Through April 30, 2024, Strategic Income invested in Neuberger Berman Global Monthly Income Fund Ltd. (the "Underlying Fund") via a secondary market transaction (See Note F).
For Strategic Income’s investment in the Underlying Fund, NBIA waived a portion of its management fee equal to the management fee it received from the Underlying Fund on those assets (the "Arrangement"). For the six months ended April 30, 2024, management fees waived under this Arrangement are reflected in the Statements of Operations under the caption "Investment management fees waived." For the six months ended April 30, 2024, income earned from the Underlying Fund on Strategic Income’s investments is reflected in the Statements of Operations under the caption "Dividend income-affiliated issuers." For the six months ended April 30, 2024, management fees waived under this Arrangement and distributions from
income and capital gains received from Strategic Income’s investments in the Underlying Fund were as follows:
| | Distributions from
Income and
Capital Gains |
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16
Investment company securities and exchange-traded funds: The Funds may invest in shares of other registered investment companies, including ETFs, within the limitations prescribed by the 1940 Act, in reliance on rules adopted by the SEC, particularly Rule 12d1-4 or any other applicable exemptive relief. Rule 12d1-4 permits fund of funds arrangements, and includes (i) limits on control and voting; (ii) required evaluations and findings; (iii) required fund of funds investment agreements; and (iv) limits on complex structures. Shareholders of a Fund will indirectly bear their proportionate share of any management fees and other expenses paid by such other investment companies, in addition to the management fees and expenses of the Fund.
17
Unfunded loan commitments: The Funds may enter into certain credit agreements all or a portion of which may be unfunded. The Funds are obligated to fund these commitments at the borrower’s discretion. As of April 30, 2024, the value of unfunded loan commitments was $880,171 and $95,603 for Floating Rate Income and High Income, respectively, pursuant to the following loan agreements:
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Constant Contact, Inc., Term Loan DD, (3 mo. USD Term SOFR + 4.00%), 9.57%, due 2/10/2028(a) | | |
Ryan LLC, Term Loan DD, (3 mo. USD Term SOFR + 3.50%), 4.50%, due 11/14/2030(a) | | |
Touchdown Acquirer, Inc., Term Loan DD, (3 mo. USD Term SOFR + 4.00%), due 2/21/2031(a) | | |
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Groundworks, LLC, Term Loan DD, (3 mo. USD Term SOFR + 0.50%), 0.50%, due 3/14/2031(a) | | |
| Position is a delayed draw term loan which may be partially or fully unfunded. In accordance with the underlying credit agreement, the interest rate shown reflects the unfunded rate as of April 30, 2024. |
18
Other: All net investment income and realized and unrealized capital gains and losses of each Fund are allocated, on the basis of relative net assets, pro rata among its respective classes.
Note B—Investment Management Fees, Administration Fees, Distribution Arrangements, and Other Transactions with Affiliates:
Each Fund retains NBIA as its investment manager under a Management Agreement. For such investment management services, each Fund pays NBIA an investment management fee as a percentage of average daily net assets according to the following table: |
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Municipal Intermediate Bond | | | | | | | |
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| NBIA has contractually agreed to waive its Class E management fee for the below Fund. This undertaking lasts until October 31, 2025 and may not be terminated during its term without the consent of the Board. Management fees contractually waived pursuant to this waiver for Class E are not subject to recovery by NBIA. |
| Annualized
Percentage of
Average Daily
Net Assets
Waived | | Management Fees
Waived for the
Six Months Ended
April 30, 2024 |
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Accordingly, for the six months ended April 30, 2024, the investment management fee pursuant to the Management Agreement was equivalent to an annual effective rate of each Fund’s average daily net assets, as follows:
| After waivers, 0.47% annual effective net rate of the Fund’s average daily net assets. |
Each Fund retains NBIA as its administrator under an Administration Agreement. The administration fee is assessed at the class level and each share class of a Fund, as applicable, pays NBIA an annual administration fee equal to the following: 0.27% for each of Investor Class, Class A, Class C and Class R3; 0.50% for Trust Class of Short Duration; 0.40% for Trust Class of Strategic Income; 0.15% for Institutional Class; and 0.05% for Class R6, each as a percentage of its average daily net assets. Class E shares do not pay an administration fee. Additionally, NBIA retains State Street as its sub-administrator under a Sub-Administration Agreement. NBIA pays State Street a fee for all services received under the Sub-Administration Agreement.
NBIA has contractually agreed to waive fees and/or reimburse certain expenses of the Investor Class, Trust Class, Institutional Class, Class A, Class C, Class R3 and Class R6 of each Fund that offers those classes so that the total annual operating expenses of those classes do not exceed the expense limitations as detailed in the following table. These undertakings exclude interest, brokerage commissions, acquired fund fees and expenses, taxes including any expenses relating to tax reclaims, dividend and interest expenses relating to short sales, and extraordinary expenses, if any (commitment fees relating to borrowings are treated as interest for purposes of this exclusion) ("annual operating expenses"); consequently, net expenses may exceed the contractual expense limitations.
At April 30, 2024, the Funds' contingent liabilities to NBIA under the contractual expense limitation agreements were as follows:
| | | Expenses Reimbursed in
Year Ended October 31, |
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| | | Subject to Repayment until
October 31, |
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Core Bond Institutional Class | | | | | | |
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Emerging Markets Debt Institutional Class | | | | | | |
Emerging Markets Debt Class A | | | | | | |
Emerging Markets Debt Class C | | | | | | |
Floating Rate Income Institutional Class | | | | | | |
Floating Rate Income Class A | | | | | | |
Floating Rate Income Class C | | | | | | |
High Income Investor Class | | | | | | |
High Income Institutional Class | | | | | | |
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Municipal High Income Institutional Class | | | | | | |
Municipal High Income Class A | | | | | | |
Municipal High Income Class C | | | | | | |
Municipal Impact Institutional Class | | | | | | |
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Municipal Intermediate Bond Investor Class | | | | | | |
Municipal Intermediate Bond Institutional Class | | | | | | |
Municipal Intermediate Bond Class A | | | | | | |
Municipal Intermediate Bond Class C | | | | | | |
Short Duration Investor Class | | | | | | |
Short Duration Trust Class | | | | | | |
Short Duration Institutional Class | | | | | | |
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Strategic Income Trust Class | | | | | | |
Strategic Income Institutional Class | | | | | | |
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Strategic Income Class R6 | | | | | | |
| Expense limitation per annum of the respective class’s average daily net assets. |
| Classes that have had changes to their respective limitations are noted below. |
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Floating Rate Income Institutional Class | | |
Floating Rate Income Class A | | |
Floating Rate Income Class C | | |
| In addition to the contractual undertaking described above, NBIA has voluntarily undertaken to waive fees and/or reimburse certain expenses so that their Operating Expenses, per annum of their respective average daily net assets, are limited to the percentages indicated below. Voluntary reimbursements are not subject to recovery by NBIA and are terminable or subject to modification by NBIA, in its sole discretion, without notice to the Fund. |
| Voluntary Expense
Limitation | | Fees Voluntarily
Waived for the Six
Months Ended April 30,
2024 |
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Each Fund has agreed that each of its respective classes will repay NBIA for fees and expenses waived or reimbursed for that class provided that repayment does not cause that class’s annual operating expenses to exceed its contractual expense limitation in place at the time the fees and expenses were waived or reimbursed, or the expense limitation in place at the time the Fund repays NBIA, whichever is lower. Any such repayment must be made within three years after the year in which NBIA incurred the expense.
During the six months ended April 30, 2024, the following class(es) repaid NBIA under their respective contractual expense limitation agreement(s) as follows:
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Strategic Income Institutional Class | |
Strategic Income Class R6 | |
Neuberger Berman Europe Limited ("NBEL"), as the sub-adviser to Emerging Markets Debt, is retained by NBIA to choose the Fund’s investments and handle its day-to-day business for the portion of the Fund’s assets allocated to it by NBIA, and receives a monthly fee paid by NBIA. As investment manager, NBIA is responsible for overseeing the investment activities of NBEL. Several individuals who are Officers and/or Trustees of the Trust are also employees of NBEL and/or NBIA.
Each Fund also has a distribution agreement with Neuberger Berman BD LLC (the "Distributor") with respect to each class of shares. The Distributor acts as agent in arranging for the sale of class shares without sales commission or other compensation, except as described below, and bears the advertising and promotion expenses.
However, the Distributor receives fees from Core Bond’s Investor Class, Strategic Income’s Trust Class, High Income’s Class R3, and each Fund’s Class A and Class C under their distribution plans (each a "Plan", collectively, the "Plans") pursuant to Rule 12b-1 under the 1940 Act. The Plans provide that, as compensation for administrative and other services provided to these classes, the Distributor’s activities and expenses related to the sale and distribution of these classes, and ongoing services provided to investors in these classes, the Distributor receives from each of these respective classes a fee at the annual rate of 0.25% of Core Bond Investor Class’, and each Fund's Class A's average daily net assets; 0.10% of Strategic Income Trust Class’ average daily net assets; 0.50% of High Income Class R3’s average daily net assets; and 1.00% of each Fund's Class C's average daily net assets. The Distributor receives this amount to provide distribution and shareholder servicing for these classes and pays a portion of it to institutions that provide
such services. Those institutions may use the payments for, among other purposes, compensating employees engaged in sales and/or shareholder servicing. The amount of fees paid by each class during any year may be more or less than the cost of distribution and other services provided to that class. FINRA rules limit the amount of annual distribution fees that may be paid by a mutual fund and impose a ceiling on the cumulative distribution fees paid. The Trust’s Plans comply with those rules. Effective December 15, 2023, Rule 12b-1 fees on all applicable share classes of Short Duration are waived.
Class A shares of each Fund (except Short Duration and Strategic Income) are generally sold with an initial sales charge of up to 4.25%. Class A shares of Short Duration are generally sold with an initial sales charge of up to 2.50%. Effective May 6, 2024, the initial sales charge for Class A shares of Strategic Income changed from up to 4.25% to up to 2.50%. Class A shares of each Fund (except Strategic Income) are generally sold with no contingent deferred sales charge ("CDSC"), except that a CDSC of 1.00% applies to certain redemptions made within 18 months following purchases of $1 million or more without an initial sales charge. Effective May 6, 2024, a CDSC of 0.75% applies to certain redemptions made within 18 months following purchases of $250,000 or more without an initial sales charge for Class A shares of Strategic Income. Class C shares of each Fund are sold with no initial sales charge and a 1.00% CDSC if shares are sold within one year after purchase.
For the six months ended April 30, 2024, the Distributor, acting as underwriter and broker-dealer, received net initial sales charges from the purchase of Class A shares and CDSCs from the redemption of Class A and Class C shares as follows:
| | |
| | | | |
| | | | |
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Emerging Markets Debt Class A | | | | |
Emerging Markets Debt Class C | | | | |
Floating Rate Income Class A | | | | |
Floating Rate Income Class C | | | | |
| | | | |
| | | | |
Municipal High Income Class A | | | | |
Municipal High Income Class C | | | | |
| | | | |
| | | | |
Municipal Intermediate Bond Class A | | | | |
Municipal Intermediate Bond Class C | | | | |
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| | | | |
Note C—Securities Transactions:
During the six months ended April 30, 2024, there were purchase and sale transactions of long-term securities (excluding swaps, bond forwards, forward FX contracts, futures and options written) as follows:
| Purchases of
U.S. Government
and Agency
Obligations | Purchases
excluding
U.S. Government
and Agency
Obligations | Sales and
Maturities
of
U.S. Government
and Agency
Obligations | Sales and
Maturities
excluding
U.S. Government
and Agency
Obligations |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Municipal Intermediate Bond | | | | |
| | | | |
| | | | |
During the six months ended April 30, 2024, no brokerage commissions on securities transactions were paid to affiliated brokers.
Note D—Fund Share Transactions:
Share activity for the six months ended April 30, 2024, and for the year ended October 31, 2023, was as follows:
| For the Six Months Ended April 30, 2024 | For the Year Ended October 31, 2023 |
| | Shares
Issued on
Reinvestment
of Dividends
and
Distributions | | | | Shares
Issued on
Reinvestment
of Dividends
and
Distributions | | |
|
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| For the Six Months Ended April 30, 2024 | For the Year Ended October 31, 2023 |
| | Shares Issued on Reinvestment of Dividends and Distributions | | | | Shares Issued on Reinvestment of Dividends and Distributions | | |
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Municipal Intermediate Bond |
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| After the close of business on May 30, 2024, Investor Class, Trust Class, Class A and Class C shares converted into Institutional Class shares. See Note H of the Notes to Financial Statements. |
| After the close of business on June 14, 2024, the Fund’s Institutional Class underwent a reverse stock split. The capital share activity presented here has been retroactively adjusted to reflect this split. See Note H of the Notes to Financial Statements. |
At April 30, 2024, each Fund was a participant in a syndicated committed, unsecured $700,000,000 line of credit (the "Credit Facility"), to be used only for temporary or emergency purposes. Series of other investment companies managed by NBIA also participate in this line of credit on substantially the same terms. Interest is charged on borrowings under this Credit Facility at the highest of (a) a federal funds effective rate plus 1.00% per annum, (b) a daily simple Secured Overnight Financing Rate ("SOFR") plus 1.10% per annum, or (c) an overnight bank funding rate plus 1.00% per annum. The Credit Facility has an annual commitment fee of 0.15% per annum of the available line of credit, which is paid quarterly. Each Fund that is a participant has agreed to pay its pro rata share of the annual commitment fee, based on the ratio of its individual net assets to the net assets of all participants at the time the fee is due, and interest charged on any borrowing made by such Fund and other costs incurred by such Fund. Because several funds participate in the Credit Facility, there is no assurance that an individual fund will have access to all or any part of the $700,000,000 at any particular time. There were no loans outstanding for any Fund under the Credit Facility at April 30, 2024.
During the six months ended April 30, 2024, the following Fund had borrowings under the Credit Facility:
Note F—Investments in Affiliates(a):
| | | Sales
Proceeds/
Return of
Capital | Change in
Net Unrealized
Appreciation/
(Depreciation)
from
Investments
in Affiliated
Persons | Net Realized
Gain/(Loss)
from
Investments
in Affiliated
Persons | Distributions
from
Investments
in Affiliated
Persons(b) | Shares
Held at
April 30,
2024 | |
| | | | | | | | |
Neuberger Berman Global Monthly Income Fund Ltd. | | | | | | | | |
Sub-total for
affiliates held
as of 4/30/24(c) | | | | | | | | |
| Affiliated persons, as defined in the 1940 Act. |
| Distributions received include distributions from net investment income and net realized capital gains, if any, from other investment companies managed by NBIA. |
| At April 30, 2024, these securities amounted to less than 0.05% of net assets of Strategic Income. |
Other: At April 30, 2024, affiliated persons owned the listed percentage of the outstanding shares of the following Funds:
| Affiliated Person(s)
Percentage
Ownership of
Outstanding Shares(a) |
| |
| |
| |
| |
Municipal Intermediate Bond | |
| |
| Ratios that do not round to 0.01% are presented as 0.00%. |
Note G—Recent Accounting Pronouncements:
In June 2022, FASB issued Accounting Standards Update No. 2022-03, "Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions" ("ASU 2022-03"). ASU 2022-03 clarifies the guidance in ASC 820, related to the measurement of the fair value of an equity security subject to contractual sale restrictions, where it eliminates the ability to apply a discount to the fair value of these securities, and introduces disclosure requirements related to such equity securities. The guidance is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2023, and allows for early adoption. Management is currently evaluating the impact of applying this update.
In December 2022, the FASB issued Accounting Standards Update No. 2022-06, "Reference Rate Reform (Topic 848)" ("ASU 2022-06"), which is an update to Accounting Standards Update No. 2021-01,"Reference Rate Reform (Topic 848)" ("ASU 2021-01") and defers the sunset date for applying the reference rate reform relief in Topic 848. ASU 2021-01 is an update of ASU 2020-04, which is in response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of LIBOR. Regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. The ASU 2021-01 update clarifies that certain optional expedients and exceptions in Topic 848 for contract modifications and hedge accounting apply to derivatives that are affected by the discounting transition. The amendments in this update are effective immediately through December 31, 2024, for all entities. Management does not expect ASU 2022-06 to have a material impact on the Funds' financial statements.
As previously communicated, on December 14, 2023, the Board approved the conversion of Short Duration to a newly organized series of Neuberger Berman ETF Trust (the "Short Duration ETF"). After the close of business on June 21, 2024, Short Duration was reorganized into Short Duration ETF in a tax-free reorganization under the Internal Revenue Code (the "Conversion"). After the Conversion, shareholders of Short Duration now hold shares of Short Duration ETF instead of shares of Short Duration.
Prior to the Conversion, on May 30, 2024, each of Class A, Class C, Investor Class and Trust Class shares of Short Duration were converted into Institutional Class shares. Accordingly, after that date, all shareholders of Short Duration owned Institutional Class shares. In addition, after the close of business on June 14, 2024, Short Duration conducted a reverse stock split pursuant to a stock split ratio of 1:0.1417 (old to new) to increase the NAV per share of Institutional Class shares while decreasing the total number of the issued and outstanding Institutional Class shares.
Existing shareholders of Short Duration received a combined information statement/prospectus dated April 2, 2024, describing in detail both the Conversion and Short Duration ETF.
Note I—Unaudited Financial Information:
The financial information included in this interim report is taken from the records of each Fund without audit by an independent registered public accounting firm. Annual reports contain audited financial statements.
The following tables include selected data for a share outstanding throughout each period and other performance information derived from the Financial Statements. Amounts that do not round to $0.01 or $(0.01) per share are presented as $0.00 or $(0.00), respectively. Ratios that do not round to 0.01% or (0.01)% are presented as 0.00% or (0.00)%, respectively. Net Assets with a zero balance, if any, may reflect actual amounts rounding to less than $0.1 million. A "—" indicates that the line item was not applicable in the corresponding period.
| Net Asset
Value,
Beginning
of Period | Net
Investment
Income/
(Loss)a | Net Gains
or
(Losses) on
Securities
(both
realized
and
unrealized) | Total From
Investment
Operations | Dividends
from Net
Investment
Income | Distributions
from Net
Realized
Capital
Gains | |
|
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See Notes to Financial Highlights
| Net Asset
Value,
End of
Period | | Net Assets,
End of
Period
(in millions) | Ratio
of Gross
Expenses to
Average Net
Assetsc | Ratio
of Net
Expenses to
Average
Net
Assets | Ratio
of Net
Investment
Income/
(Loss)
to
Average
Net
Assets | |
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Financial Highlights (cont’d)
| Net Asset
Value,
Beginning
of Period | Net
Investment
Income/
(Loss)a | Net Gains
or
(Losses) on
Securities
(both
realized
and
unrealized) | Total From
Investment
Operations | Dividends
from Net
Investment
Income | Distributions
from Net
Realized
Capital
Gains | |
|
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|
Emerging Markets Debt Fund |
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|
Floating Rate Income Fund |
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See Notes to Financial Highlights
| Net Asset
Value,
End of
Period | | Net Assets,
End of
Period
(in millions) | Ratio
of Gross
Expenses to
Average Net
Assetsc | Ratio
of Net
Expenses to
Average
Net
Assets | Ratio
of Net
Investment
Income/
(Loss)
to
Average
Net
Assets | |
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Financial Highlights (cont’d)
| Net Asset
Value,
Beginning
of Period | Net
Investment
Income/
(Loss)a | Net Gains
or
(Losses) on
Securities
(both
realized
and
unrealized) | Total From
Investment
Operations | Dividends
from Net
Investment
Income | Distributions
from Net
Realized
Capital
Gains | |
Floating Rate Income Fund (cont’d) |
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See Notes to Financial Highlights
| Net Asset
Value,
End of
Period | | Net Assets,
End of
Period
(in millions) | Ratio
of Gross
Expenses to
Average Net
Assetsc | Ratio
of Net
Expenses to
Average
Net
Assets | Ratio
of Net
Investment
Income/
(Loss)
to
Average
Net
Assets | |
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Financial Highlights (cont’d)
| Net Asset
Value,
Beginning
of Period | Net
Investment
Income/
(Loss)a | Net Gains
or
(Losses) on
Securities
(both
realized
and
unrealized) | Total From
Investment
Operations | Dividends
from Net
Investment
Income | Distributions
from Net
Realized
Capital
Gains | |
High Income Bond Fund (cont’d) |
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|
Municipal High Income Fund |
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See Notes to Financial Highlights
| Net Asset
Value,
End of
Period | | Net Assets,
End of
Period
(in millions) | Ratio
of Gross
Expenses to
Average Net
Assetsc | Ratio
of Net
Expenses to
Average
Net
Assets | Ratio
of Net
Investment
Income/
(Loss)
to
Average
Net
Assets | |
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Financial Highlights (cont’d)
| Net Asset
Value,
Beginning
of Period | Net
Investment
Income/
(Loss)a | Net Gains
or
(Losses) on
Securities
(both
realized
and
unrealized) | Total From
Investment
Operations | Dividends
from Net
Investment
Income | Distributions
from Net
Realized
Capital
Gains | |
Municipal High Income Fund (cont’d) |
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See Notes to Financial Highlights
| Net Asset
Value,
End of
Period | | Net Assets,
End of
Period
(in millions) | Ratio
of Gross
Expenses to
Average Net
Assetsc | Ratio
of Net
Expenses to
Average
Net
Assets | Ratio
of Net
Investment
Income/
(Loss)
to
Average
Net
Assets | |
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Financial Highlights (cont’d)
| Net Asset
Value,
Beginning
of Period | Net
Investment
Income/
(Loss)a | Net Gains
or
(Losses) on
Securities
(both
realized
and
unrealized) | Total From
Investment
Operations | Dividends
from Net
Investment
Income | Distributions
from Net
Realized
Capital
Gains | |
Municipal Intermediate Bond Fund |
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See Notes to Financial Highlights
| Net Asset
Value,
End of
Period | | Net Assets,
End of
Period
(in millions) | Ratio
of Gross
Expenses to
Average Net
Assetsc | Ratio
of Net
Expenses to
Average
Net
Assets | Ratio
of Net
Investment
Income/
(Loss)
to
Average
Net
Assets | |
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Financial Highlights (cont’d)
| Net Asset
Value,
Beginning
of Period | Net
Investment
Income/
(Loss)a | Net Gains
or
(Losses) on
Securities
(both
realized
and
unrealized) | Total From
Investment
Operations | Dividends
from Net
Investment
Income | Distributions
from Net
Realized
Capital
Gains | |
Short Duration Bond Fund (cont’d) |
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See Notes to Financial Highlights
| Net Asset
Value,
End of
Period | | Net Assets,
End of
Period
(in millions) | Ratio
of Gross
Expenses to
Average Net
Assetsc | Ratio
of Net
Expenses to
Average
Net
Assets | Ratio
of Net
Investment
Income/
(Loss)
to
Average
Net
Assets | |
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Financial Highlights (cont’d)
| Net Asset
Value,
Beginning
of Period | Net
Investment
Income/
(Loss)a | Net Gains
or
(Losses) on
Securities
(both
realized
and
unrealized) | Total From
Investment
Operations | Dividends
from Net
Investment
Income | Distributions
from Net
Realized
Capital
Gains | |
Strategic Income Fund (cont’d) |
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See Notes to Financial Highlights
| Net Asset
Value,
End of
Period | | Net Assets,
End of
Period
(in millions) | Ratio
of Gross
Expenses to
Average Net
Assetsc | Ratio
of Net
Expenses to
Average
Net
Assets | Ratio
of Net
Investment
Income/
(Loss)
to
Average
Net
Assets | |
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Notes to Financial Highlights Income Funds (Unaudited)
| Calculated based on the average number of shares outstanding during each fiscal period. |
| Total return based on per share NAV reflects the effects of changes in NAV on the performance of each Fund during each fiscal period. Returns assume income dividends and other distributions, if any, were reinvested, but do not reflect the effect of sales charges. Results represent past performance and do not indicate future results. Current returns may be lower or higher than the performance data quoted. Investment returns and principal will fluctuate and shares, when redeemed, may be worth more or less than original cost. Total return would have been lower if Management had not reimbursed and/or waived certain expenses. Total return would have been higher if Management had not recouped previously reimbursed and/or waived expenses. |
| Represents the annualized ratios of net expenses to average daily net assets if Management had not reimbursed certain expenses and/or waived a portion of the investment management fee. |
| The class action proceeds listed in Note A of the Notes to Financial Statements, if any, had no impact on the Funds’ total returns for the six months ended April 30, 2024. The class action proceeds received in 2023, 2022, 2021, 2020 and 2019 had no impact on the Funds’ total returns for the years ended October 31, 2023, 2022, 2021, 2020 and 2019, respectively. |
| |
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| Excluding TBA roll transactions. Had TBA roll transactions been included, the portfolio turnover rate would have been: |
| Six Months Ended April 30, | |
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| The date investment operations commenced. |
| Portfolio turnover is calculated at the Fund level. Percentage indicated was calculated for the year ended October 31, 2022, for High Income and for the year ended October 31, 2019, for Core Bond. |
| Represents the annualized ratio of net expenses to average daily net assets after utilization of the line of credit by Emerging Markets Debt (2020), Floating Rate Income (2024, 2022 & 2019) and Municipal High Income (2022) and/or reimbursement of expenses and/or waiver of a portion of the investment management fee by Management. Had Emerging Markets Debt, Floating Rate Income and Municipal High Income not utilized the line of credit, the annualized ratios of net expenses to average daily net assets would have been: |
| Six Months Ended April 30, | |
| | | | |
Emerging Markets Debt Institutional Class | | | | |
Emerging Markets Debt Class A | | | | |
Emerging Markets Debt Class C | | | | |
Floating Rate Income Institutional Class | | | | |
Floating Rate Income Class A | | | | |
Floating Rate Income Class C | | | | |
Municipal High Income Institutional Class | | | | |
Municipal High Income Class A | | | | |
Municipal High Income Class C | | | | |
| Includes interest expense on reverse repurchase agreements of 0.00% for each respective class for the year ended October 31, 2022 for High Income and for the year ended October 31, 2021 for High Income and Strategic Income. |
Notes to Financial Highlights Income Funds (Unaudited) (cont’d)
| After repayment of expenses previously reimbursed and/or fees previously waived pursuant to the terms of the contractual expense limitation agreements by Management, as applicable. Had the Fund not made such repayments, the annualized ratios of net expenses to average net assets would have been: |
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Strategic Income Institutional Class | | | | |
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Strategic Income Class R6 | | | | |
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| After the close of business on June 14, 2024, the Fund’s Institutional Class underwent a reverse stock split. The per share data presented here has been retroactively adjusted to reflect this split. See Note H of the Notes to Financial Statements. |
Investment Manager and Administrator
Neuberger Berman Investment Advisers LLC
1290 Avenue of the Americas
New York, NY 10104-0002
Shareholder Services
800.877.9700 or 212.476.8800
Intermediary Client Services 800.366.6264
Neuberger Berman BD LLC
1290 Avenue of the Americas
New York, NY 10104-0002
Shareholder Services
800.877.9700 or 212.476.8800
Intermediary Client Services 800.366.6264
Neuberger Berman Europe Limited
The Zig Zag Building
70 Victoria Street
London, United Kingdom
SW1E 6SQ
State Street Bank and Trust Company
One Congress Street, Suite 1
Boston, MA 02114-2016
Shareholder Servicing Agent
SS&C Global Investor & Distribution Solutions, Inc.
430 West 7th Street, Suite 219189
Kansas City, MO 64105-1407
For Investor, Trust & Institutional Class Shareholders address correspondence to:
Neuberger Berman Funds
PO Box 219189
Kansas City, MO 64121-9189
Shareholder Services 800.877.9700 or 212.476.8800
Intermediary Client Services 800.366.6264
For Class A, Class C, Class R3 and Class R6 Shareholders:
Please contact your investment provider
K&L Gates LLP
1601 K Street, NW
Washington, DC 20006-1600
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities is available, without charge, by calling 800-877-9700 (toll-free) and on the SEC’s website at www.sec.gov. Information regarding how the Trust voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is also available upon request, without charge, by calling 800-877-9700 (toll-free), on the SEC’s website at www.sec.gov, and on Neuberger Berman’s website at www.nb.com.
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings for each Fund with the SEC for the first and third quarters of each fiscal year as an exhibit to its report on Form N-PORT. The Trust’s Form N-PORT is available on the SEC’s website at www.sec.gov. The portfolio holdings information on Form N-PORT is available upon request, without charge, by calling 800-877-9700 (toll-free).
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Neuberger Berman Investment Advisers LLC
1290 Avenue of the Americas
New York, NY 10104-0002
Retail Services: 800.877.9700
Broker-Dealer and Institutional Services: 800.366.6264/888.556.9030
www.nb.com
Statistics and projections in this report are derived from sources deemed to be reliable
but cannot be regarded as a representation of future results of the Funds. This report is prepared for the general information of shareholders and is not an offer of shares
of the Funds. Shares are sold only through the currently effective prospectus which you
can obtain by calling 877.628.2583. An investor should consider carefully a Fund’s
investment objectives, risks and fees and expenses, which are described in its prospectus, before investing.
H0314 06/24
| (b) | Not applicable to the Registrant. |
Item 2. Code of Ethics.
The Board of Trustees (“Board”) of Neuberger Berman Income Funds (“Registrant”) has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions (“Code of Ethics”). During the period covered by this Form N-CSR, there were no substantive amendments to the Code of Ethics and there were no waivers from the Code of Ethics granted to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.
Item 3. Audit Committee Financial Expert.
Not applicable to semi-annual reports on Form N-CSR.
Item 4. Principal Accountant Fees and Services.
Not applicable to semi-annual reports on Form N-CSR.
Item 5. Audit Committee of Listed Registrants.
| (a) | Not applicable to the Registrant. |
| (b) | Not applicable to the Registrant. |
Item 6. Investments.
| (a) | The complete schedule of investments for each series is disclosed in the Registrant’s semi-annual report, which is included in Item 1 of this Form N-CSR. |
| (b) | Not applicable to the Registrant. |
Item 7. Reserved.
Item 8. Reserved.
Item 9. Reserved.
Item 10. Reserved.
Item 11. Reserved.
Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 13. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the Registrant.
Item 15. Submission of Matters to a Vote of Security Holders.
There were no changes to the procedures by which shareholders may recommend nominees to the Board.
Item 16. Controls and Procedures.
| (a) | Based on an evaluation of the disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act) as of a date within 90 days of the filing date of this report, the Chief Executive Officer and President and the Treasurer and Principal Financial and Accounting Officer of the Registrant have concluded that such disclosure controls and procedures are effectively designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is accumulated and communicated to the Registrant’s management to allow timely decisions regarding required disclosure. |
| (b) | There were no significant changes in the Registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 18. Recovery of Erroneously Awarded Compensation
Not applicable to the Registrant.
Item 19. Exhibits.
| (a)(2) | Not applicable to the Registrant. |
| (a)(4) | Not applicable to the Registrant. |
| (a)(5) | Not applicable to the Registrant. |
The certification furnished pursuant to Rule 30a-2(b) under the Act and Section 906 of the Sarbanes-Oxley Act will not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, as amended (“Exchange Act”), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933, as amended, or the Exchange Act, except to the extent that the Registrant specifically incorporates it by reference.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Neuberger Berman Income Funds
By: /s/ Joseph V. Amato
Joseph V. Amato
Chief Executive Officer and President
Date: July 2, 2024
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: /s/ Joseph V. Amato
Joseph V. Amato
Chief Executive Officer and President
Date: July 2, 2024
By: /s/ John M. McGovern
John M. McGovern
Treasurer and Principal Financial
and Accounting Officer
Date: July 2, 2024
