Short-Term Bond Portfolio
SCHEDULE OF INVESTMENTS
September 30, 2022 (unaudited)
Corporate Bonds (49.6%) | Shares/ Par + | Value $ (000’s) | ||||
Basic Materials (1.3%) | ||||||
ArcelorMittal | ||||||
3.600%, 7/16/24 | 225,000 | 219 | ||||
Celanese US Holdings LLC | ||||||
5.900%, 7/5/24 | 1,000,000 | 986 | ||||
6.050%, 3/15/25 | 1,235,000 | 1,206 | ||||
Celulosa Araucoy Constitution SA | ||||||
4.500%, 8/1/24 | 365,000 | 356 | ||||
Ecolab, Inc. | ||||||
1.650%, 2/1/27 | 215,000 | 189 | ||||
LYB International Finance III, LLC | ||||||
1.250%, 10/1/25 | 373,000 | 328 | ||||
Nucor Corp. | ||||||
2.000%, 6/1/25 | 155,000 | 143 | ||||
3.950%, 5/23/25 | 275,000 | 267 | ||||
POSCO | ||||||
2.375%, 11/12/22 144A | 810,000 | 808 | ||||
The Sherwin-Williams Co. | ||||||
4.050%, 8/8/24 | 155,000 | 152 | ||||
4.250%, 8/8/25 | 230,000 | 225 | ||||
Steel Dynamics, Inc. | ||||||
2.800%, 12/15/24 | 200,000 | 191 | ||||
Westlake Chemical Corp. | ||||||
0.875%, 8/15/24 | 100,000 | 93 | ||||
Total | 5,163 | |||||
Communications (3.4%) | ||||||
AT&T, Inc. | ||||||
0.900%, 3/25/24 | 1,060,000 | 1,003 | ||||
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. | ||||||
4.908%, 7/23/25 | 2,090,000 | 2,038 | ||||
Cox Communications, Inc. | ||||||
3.150%, 8/15/24 144A | 1,023,000 | 979 | ||||
KT Corp. | ||||||
4.000%, 8/8/25 144A | 1,020,000 | 986 | ||||
NBN Co., Ltd. | ||||||
1.450%, 5/5/26 144A | 1,000,000 | 872 | ||||
NTT Finance Corp. | ||||||
0.373%, 3/3/23 144A | 660,000 | 649 | ||||
0.583%, 3/1/24 144A | 265,000 | 250 | ||||
4.142%, 7/26/24 144A | 200,000 | 197 | ||||
4.239%, 7/25/25 144A | 200,000 | 196 | ||||
Rogers Communications, Inc. | ||||||
3.200%, 3/15/27 144A | 690,000 | 630 | ||||
SES SA | ||||||
3.600%, 4/4/23 144A | 555,000 | 547 | ||||
Sky, Ltd. | ||||||
3.750%, 9/16/24 144A | 1,450,000 | 1,415 | ||||
T-Mobile USA, Inc. | ||||||
2.250%, 2/15/26 | 470,000 | 421 | ||||
3.500%, 4/15/25 | 595,000 | 569 | ||||
Verizon Communications, Inc. | ||||||
0.850%, 11/20/25 | 500,000 | 438 | ||||
1.450%, 3/20/26 | 650,000 | 574 | ||||
2.625%, 8/15/26 | 845,000 | 767 |
Corporate Bonds (49.6%) | Shares/ Par + | Value $ (000’s) | ||||
Communications continued | ||||||
3.376%, 2/15/25 | 230,000 | 223 | ||||
The Walt Disney Co. | ||||||
1.750%, 1/13/26 | 395,000 | 358 | ||||
Total | 13,112 | |||||
Consumer, Cyclical (5.0%) | ||||||
7-Eleven, Inc. | ||||||
0.625%, 2/10/23 144A | 200,000 | 197 | ||||
0.800%, 2/10/24 144A | 325,000 | 307 | ||||
American Airlines Pass Through Trust, Series 2017-2, Class B | ||||||
3.700%, 4/15/27 | 229,296 | 200 | ||||
Aptiv PLC / Aptiv Corp. | ||||||
2.396%, 2/18/25 | 130,000 | 121 | ||||
AutoZone, Inc. | ||||||
3.125%, 4/18/24 | 515,000 | 501 | ||||
3.625%, 4/15/25 | 235,000 | 226 | ||||
Brunswick Corp. | ||||||
0.850%, 8/18/24 | 685,000 | 631 | ||||
Daimler Finance North America LLC | ||||||
1.625%, 12/13/24 144A | 580,000 | 535 | ||||
1.750%, 3/10/23 144A | 815,000 | 804 | ||||
General Motors Co. | ||||||
4.875%, 10/2/23 | 530,000 | 528 | ||||
5.400%, 10/2/23 | 500,000 | 500 | ||||
General Motors Financial Co., Inc. | ||||||
2.900%, 2/26/25 | 965,000 | 902 | ||||
Genuine Parts Co. | ||||||
1.750%, 2/1/25 | 220,000 | 203 | ||||
Hasbro, Inc. | ||||||
3.000%, 11/19/24 | 1,030,000 | 988 | ||||
Hyatt Hotels Corp. | ||||||
1.300%, 10/1/23 | 325,000 | 313 | ||||
Hyundai Capital America | ||||||
0.800%, 1/8/24 144A | 390,000 | 367 | ||||
0.875%, 6/14/24 144A | 510,000 | 471 | ||||
1.000%, 9/17/24 144A | 255,000 | 233 | ||||
1.150%, 11/10/22 144A | 385,000 | 384 | ||||
2.375%, 2/10/23 144A | 865,000 | 857 | ||||
2.850%, 11/1/22 144A | 228,000 | 228 | ||||
Hyundai Motor Co. | ||||||
2.125%, 4/24/25 144A | 200,000 | 183 | ||||
Lowe’s Companies, Inc. | ||||||
3.350%, 4/1/27 | 175,000 | 162 | ||||
4.400%, 9/8/25 | 660,000 | 650 | ||||
Magallanes, Inc. | ||||||
3.755%, 3/15/27 144A | 1,545,000 | 1,382 | ||||
Marriott International, Inc. | ||||||
2.125%, 10/3/22 | 200,000 | 200 | ||||
3.125%, 2/15/23 | 170,000 | 169 | ||||
3.600%, 4/15/24 | 1,160,000 | 1,133 | ||||
McDonald’s Corp. | ||||||
1.450%, 9/1/25 | 270,000 | 246 | ||||
3.300%, 7/1/25 | 155,000 | 149 | ||||
Nissan Motor Acceptance Corp. | ||||||
3.875%, 9/21/23 144A | 235,000 | 231 |
Short-Term Bond Portfolio
Corporate Bonds (49.6%) | Shares/ Par + | Value $ (000’s) | ||||
Consumer, Cyclical continued | ||||||
Nissan Motor Co., Ltd. | ||||||
3.043%, 9/15/23 144A | 1,100,000 | 1,069 | ||||
Nordstrom, Inc. | ||||||
2.300%, 4/8/24 | 85,000 | 79 | ||||
QVC, Inc. | ||||||
4.850%, 4/1/24 | 775,000 | 730 | ||||
Ross Stores, Inc. | ||||||
0.875%, 4/15/26 | 350,000 | 302 | ||||
4.600%, 4/15/25 | 1,100,000 | 1,089 | ||||
Stellantis Finance US, Inc. | ||||||
1.711%, 1/29/27 144A | 260,000 | 216 | ||||
Toyota Motor Credit Corp. | ||||||
3.050%, 3/22/27 | 325,000 | 299 | ||||
United Airlines Pass Through Trust, Series | ||||||
3.500%, 11/1/29 | 139,570 | 116 | ||||
Volkswagen Group of America Finance LLC | ||||||
0.750%, 11/23/22 144A | 360,000 | 358 | ||||
0.875%, 11/22/23 144A | 345,000 | 328 | ||||
3.125%, 5/12/23 144A | 200,000 | 198 | ||||
3.950%, 6/6/25 144A | 390,000 | 375 | ||||
Total | 19,160 | |||||
Consumer, Non-cyclical (7.2%) | ||||||
AbbVie, Inc. | ||||||
2.600%, 11/21/24 | 1,935,000 | 1,841 | ||||
2.900%, 11/6/22 | 775,000 | 774 | ||||
2.950%, 11/21/26 | 1,120,000 | 1,026 | ||||
3.200%, 5/14/26 | 100,000 | 93 | ||||
Aetna, Inc. | ||||||
2.800%, 6/15/23 | 275,000 | 271 | ||||
AmerisourceBergen Corp. | ||||||
0.737%, 3/15/23 | 465,000 | 458 | ||||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. | ||||||
3.650%, 2/1/26 | 250,000 | 240 | ||||
AstraZeneca Finance LLC | ||||||
1.200%, 5/28/26 | 805,000 | 705 | ||||
BAT International Finance PLC | ||||||
1.668%, 3/25/26 | 475,000 | 411 | ||||
4.448%, 3/16/28 | 1,010,000 | 900 | ||||
Bayer US Finance II LLC | ||||||
3.875%, 12/15/23 144A | 505,000 | 495 | ||||
Becton Dickinson and Co. | ||||||
3.363%, 6/6/24 | 690,000 | 671 | ||||
3.734%, 12/15/24 | 170,000 | 164 | ||||
Bristol-Myers Squibb Co. | ||||||
2.900%, 7/26/24 | 268,000 | 260 | ||||
Cardinal Health, Inc. | ||||||
3.079%, 6/15/24 | 310,000 | 299 | ||||
3.200%, 3/15/23 | 395,000 | 393 | ||||
3.500%, 11/15/24 | 525,000 | 507 | ||||
Cigna Corp. | ||||||
0.613%, 3/15/24 | 190,000 | 179 | ||||
3.000%, 7/15/23 | 320,000 | 316 | ||||
3.750%, 7/15/23 | 179,000 | 178 | ||||
Coca-Cola European Partners PLC | ||||||
0.800%, 5/3/24 144A | 1,335,000 | 1,245 | ||||
CommonSpirit Health | ||||||
1.547%, 10/1/25 | 365,000 | 324 |
Corporate Bonds (49.6%) | Shares/ Par + | Value $ (000’s) | ||||
Consumer, Non-cyclical continued | ||||||
Constellation Brands, Inc. | ||||||
3.600%, 5/9/24 | 485,000 | 474 | ||||
CSL Finance PLC | ||||||
3.850%, 4/27/27 144A | 200,000 | 189 | ||||
CVS Health Corp. | ||||||
2.625%, 8/15/24 | 150,000 | 144 | ||||
2.875%, 6/1/26 | 265,000 | 245 | ||||
3.000%, 8/15/26 | 220,000 | 203 | ||||
Diageo Capital PLC | ||||||
1.375%, 9/29/25 | 300,000 | 272 | ||||
HCA, Inc. | ||||||
3.125%, 3/15/27 144A | 580,000 | 513 | ||||
Health Care Service Corp., a Mutual Legacy Reserve Co. | ||||||
1.500%, 6/1/25 144A | 780,000 | 709 | ||||
HPHT Finance 19, Ltd. | ||||||
2.875%, 11/5/24 § | 700,000 | 668 | ||||
Humana, Inc. | ||||||
0.650%, 8/3/23 | 320,000 | 309 | ||||
1.350%, 2/3/27 | 75,000 | 63 | ||||
2.900%, 12/15/22 | 140,000 | 140 | ||||
3.150%, 12/1/22 | 150,000 | 150 | ||||
3.850%, 10/1/24 | 545,000 | 531 | ||||
4.500%, 4/1/25 | 565,000 | 557 | ||||
Imperial Brands Finance PLC | ||||||
3.125%, 7/26/24 144A | 1,055,000 | 1,009 | ||||
4.250%, 7/21/25 144A | 200,000 | 192 | ||||
JDE Peet’s NV | ||||||
0.800%, 9/24/24 144A | 295,000 | 270 | ||||
Mondelez International, Inc. | ||||||
2.125%, 3/17/24 | 410,000 | 394 | ||||
2.625%, 3/17/27 | 415,000 | 372 | ||||
4.250%, 9/15/25 144A | 305,000 | 299 | ||||
Moody’s Corp. | ||||||
3.750%, 3/24/25 | 505,000 | 490 | ||||
PeaceHealth Obligated Group | ||||||
1.375%, 11/15/25 | 105,000 | 94 | ||||
PerkinElmer, Inc. | ||||||
0.550%, 9/15/23 | 390,000 | 373 | ||||
0.850%, 9/15/24 | 745,000 | 691 | ||||
Perrigo Finance Unlimited Co. | ||||||
3.900%, 12/15/24 | 1,570,000 | 1,465 | ||||
Philip Morris International, Inc. | ||||||
1.125%, 5/1/23 | 220,000 | 216 | ||||
RELX Capital, Inc. | ||||||
3.500%, 3/16/23 | 270,000 | 268 | ||||
Royalty Pharma PLC | ||||||
0.750%, 9/2/23 | 425,000 | 407 | ||||
S&P Global, Inc. | ||||||
2.450%, 3/1/27 144A | 1,120,000 | 1,004 | ||||
Shire Acquisitions Investments Ireland DAC | ||||||
2.875%, 9/23/23 | 397,000 | 388 | ||||
Stryker Corp. | ||||||
0.600%, 12/1/23 | 190,000 | 181 | ||||
Thermo Fisher Scientific, Inc. | ||||||
0.797%, 10/18/23 | 1,050,000 | 1,010 | ||||
Triton Container International, Ltd. | ||||||
0.800%, 8/1/23 144A | 780,000 | 744 | ||||
UnitedHealth Group, Inc. | ||||||
3.700%, 5/15/27 | 605,000 | 576 |
Short-Term Bond Portfolio
Corporate Bonds (49.6%) | Shares/ Par + | Value $ (000’s) | ||||
Consumer, Non-cyclical continued | ||||||
Viatris, Inc. | ||||||
1.650%, 6/22/25 | 310,000 | 276 | ||||
Total | 27,636 | |||||
Diversified (0.2%) | ||||||
CK Hutchison International 17 II, Ltd. | ||||||
2.750%, 3/29/23 § | 650,000 | 644 | ||||
Total | 644 | |||||
Energy (4.1%) | ||||||
Aker BP ASA | ||||||
3.000%, 1/15/25 144A | 445,000 | 417 | ||||
Baker Hughes Holdings LLC / Baker Hughes | ||||||
1.231%, 12/15/23 | 210,000 | 201 | ||||
Canadian Natural Resources, Ltd. | ||||||
2.050%, 7/15/25 | 760,000 | 693 | ||||
Cheniere Corpus Christi Holdings LLC | ||||||
5.875%, 3/31/25 | 425,000 | 427 | ||||
7.000%, 6/30/24 | 1,110,000 | 1,129 | ||||
Devon Energy Corp. | ||||||
8.250%, 8/1/23 | 290,000 | 297 | ||||
Enbridge, Inc. | ||||||
2.150%, 2/16/24 | 275,000 | 264 | ||||
2.500%, 1/15/25 | 640,000 | 601 | ||||
2.500%, 2/14/25 | 330,000 | 310 | ||||
2.793%, (US SOFR plus 0.400%), 2/17/23 | 205,000 | 205 | ||||
4.000%, 10/1/23 | 365,000 | 362 | ||||
Energy Transfer LP | ||||||
2.900%, 5/15/25 | 115,000 | 107 | ||||
3.450%, 1/15/23 | 55,000 | 55 | ||||
3.600%, 2/1/23 | 175,000 | 174 | ||||
4.200%, 9/15/23 | 135,000 | 133 | ||||
4.250%, 3/15/23 | 780,000 | 778 | ||||
4.250%, 4/1/24 | 35,000 | 34 | ||||
4.900%, 2/1/24 | 425,000 | �� | 423 | |||
5.875%, 1/15/24 | 1,054,000 | 1,056 | ||||
Eni SpA | ||||||
4.000%, 9/12/23 144A | 955,000 | 943 | ||||
EOG Resources, Inc. | ||||||
2.625%, 3/15/23 | 140,000 | 139 | ||||
Equinor ASA | ||||||
2.875%, 4/6/25 | 880,000 | 839 | ||||
Gray Oak Pipeline LLC | ||||||
2.000%, 9/15/23 144A | 295,000 | 285 | ||||
2.600%, 10/15/25 144A | 205,000 | 184 | ||||
Pioneer Natural Resources Co. | ||||||
0.550%, 5/15/23 | 350,000 | 341 | ||||
Plains All American Pipeline LP / PAA Finance Corp. | ||||||
2.850%, 1/31/23 | 725,000 | 720 | ||||
Sabine Pass Liquefaction LLC | ||||||
5.625%, 4/15/23 | 1,370,000 | 1,371 | ||||
5.625%, 3/1/25 | 580,000 | 579 | ||||
5.750%, 5/15/24 | 530,000 | 532 | ||||
Schlumberger Finance Canada, Ltd. | ||||||
1.400%, 9/17/25 | 155,000 | 141 | ||||
Schlumberger Holdings Corp. | ||||||
3.750%, 5/1/24 144A | 865,000 | 848 | ||||
4.000%, 12/21/25 144A | 170,000 | 164 |
Corporate Bonds (49.6%) | Shares/ Par + | Value $ (000’s) | ||||
Energy continued | ||||||
The Williams Cos., Inc. | ||||||
3.700%, 1/15/23 | 979,000 | 978 | ||||
Williams Partners LP | ||||||
4.300%, 3/4/24 | 145,000 | 143 | ||||
Total | 15,873 | |||||
Financial (20.1%) | ||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | ||||||
1.650%, 10/29/24 | 770,000 | 703 | ||||
4.125%, 7/3/23 | 960,000 | 952 | ||||
4.500%, 9/15/23 | 485,000 | 478 | ||||
4.875%, 1/16/24 | 550,000 | 541 | ||||
AIB Group PLC | ||||||
4.750%, 10/12/23 144A | 600,000 | 592 | ||||
Air Lease Corp. | ||||||
2.250%, 1/15/23 | 360,000 | 357 | ||||
American Express Co. | ||||||
2.250%, 3/4/25 | 975,000 | 914 | ||||
3.375%, 5/3/24 | 415,000 | 405 | ||||
American International Group, Inc. | ||||||
2.500%, 6/30/25 | 650,000 | 606 | ||||
American Tower Corp. | ||||||
2.400%, 3/15/25 | 360,000 | 334 | ||||
5.000%, 2/15/24 | 225,000 | 225 | ||||
Aon Corp. | ||||||
2.200%, 11/15/22 | 180,000 | 180 | ||||
Athene Global Funding | ||||||
1.716%, 1/7/25 144A | 930,000 | 850 | ||||
2.514%, 3/8/24 144A | 1,165,000 | 1,113 | ||||
Avolon Holdings Funding, Ltd. | ||||||
2.125%, 2/21/26 144A | 610,000 | 513 | ||||
2.875%, 2/15/25 144A | 435,000 | 394 | ||||
3.950%, 7/1/24 144A | 130,000 | 123 | ||||
Banco Bilbao Vizcaya Argentaria SA | ||||||
0.875%, 9/18/23 | 1,000,000 | 961 | ||||
Banco del Estado de Chile | ||||||
2.704%, 1/9/25 144A | 260,000 | 243 | ||||
Banco Santander Mexico SA Institucion De Banca Multiple Grupo Financiero Santander Mexico | ||||||
4.125%, 11/9/22 § | 775,000 | 773 | ||||
Banco Santander SA | ||||||
0.701%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 0.450%), 6/30/24 | 600,000 | 576 | ||||
3.496%, 3/24/25 | 600,000 | 572 | ||||
Bank of America Corp. | ||||||
0.810%, (US SOFR plus 0.740%), 10/24/24 | 695,000 | 661 | ||||
0.976%, (US SOFR plus 0.690%), 4/22/25 | 605,000 | 562 | ||||
1.734%, (US SOFR plus 0.960%), 7/22/27 | 450,000 | 386 | ||||
1.843%, (US SOFR plus 0.670%), 2/4/25 | 460,000 | 437 | ||||
3.384%, (US SOFR plus 1.330%), 4/2/26 | 580,000 | 548 | ||||
3.841%, (US SOFR plus 1.110%), 4/25/25 | 415,000 | 404 | ||||
Bank of Ireland Group PLC | ||||||
4.500%, 11/25/23 144A | 1,540,000 | 1,512 | ||||
Bank of Montreal | ||||||
3.700%, 6/7/25 | 775,000 | 745 | ||||
4.250%, 9/14/24 | 390,000 | 384 |
Short-Term Bond Portfolio
Corporate Bonds (49.6%) | Shares/ Par + | Value $ (000’s) | ||||
Financial continued | ||||||
The Bank of New York Mellon Corp. | ||||||
4.414%, (US SOFR plus 1.345%), 7/24/26 | 515,000 | 503 | ||||
Banque Federative du Credit Mutuel SA | ||||||
0.650%, 2/27/24 144A | 505,000 | 475 | ||||
0.998%, 2/4/25 144A | 665,000 | 598 | ||||
2.125%, 11/21/22 144A | 630,000 | 628 | ||||
Barclays PLC | ||||||
1.007%, (US Treasury Yield Curve Rate | 555,000 | 522 | ||||
4.338%, (ICE LIBOR USD 3 Month plus 1.356%), 5/16/24 | 370,000 | 366 | ||||
5.304%, (US Treasury Yield Curve Rate | 385,000 | 370 | ||||
BDO Unibank, Inc. | ||||||
2.950%, 3/6/23 § | 800,000 | 794 | ||||
BPCE SA | ||||||
5.700%, 10/22/23 144A | 1,680,000 | 1,661 | ||||
Brighthouse Financial Global Funding | ||||||
0.600%, 6/28/23 144A | 1,315,000 | 1,274 | ||||
1.000%, 4/12/24 144A | 495,000 | 462 | ||||
Brixmor Operating Partnership LP | ||||||
3.650%, 6/15/24 | 200,000 | 193 | ||||
Capital One Financial Corp. | ||||||
2.636%, (US SOFR plus 1.290%), 3/3/26 | 585,000 | 544 | ||||
3.200%, 1/30/23 | 345,000 | 344 | ||||
3.500%, 6/15/23 | 245,000 | 243 | ||||
3.900%, 1/29/24 | 240,000 | 237 | ||||
4.985%, (US SOFR plus 2.160%), 7/24/26 | 460,000 | 450 | ||||
The Charles Schwab Corp. | ||||||
2.450%, 3/3/27 | 1,090,000 | 978 | ||||
4.200%, 3/24/25 | 525,000 | 519 | ||||
Citigroup, Inc. | ||||||
0.981%, (US SOFR plus 0.669%), 5/1/25 | 500,000 | 463 | ||||
3.106%, (US SOFR plus 2.842%), 4/8/26 | 650,000 | 609 | ||||
4.140%, (US SOFR plus 1.372%), 5/24/25 | 555,000 | 542 | ||||
CNO Global Funding | ||||||
1.650%, 1/6/25 144A | 525,000 | 482 | ||||
1.750%, 10/7/26 144A | 680,000 | 588 | ||||
Cooperatieve Rabobank UA | ||||||
3.875%, 8/22/24 | 355,000 | 348 | ||||
Corebridge Financial, Inc. | ||||||
3.500%, 4/4/25 144A | 455,000 | 432 | ||||
Credit Agricole SA | ||||||
3.803%, (ICE LIBOR USD 3 Month plus 1.020%), 4/24/23 144A | 315,000 | 316 | ||||
Credit Suisse AG | ||||||
0.495%, 2/2/24 | 485,000 | 452 | ||||
1.000%, 5/5/23 | 860,000 | 838 | ||||
Credit Suisse Group AG | ||||||
2.997%, (3 Month LIBOR plus | 500,000 | 496 | ||||
6.373%, (US SOFR plus 3.340%), 7/15/26 144A | 590,000 | 570 | ||||
Creditcorp, Ltd. | ||||||
2.750%, 6/17/25 144A | 200,000 | 183 | ||||
Crown Castle International Corp. | ||||||
1.050%, 7/15/26 | 615,000 | 519 | ||||
2.900%, 3/15/27 | 485,000 | 430 |
Corporate Bonds (49.6%) | Shares/ Par + | Value $ (000’s) | ||||
Financial continued | ||||||
3.150%, 7/15/23 | 430,000 | 424 | ||||
Danske Bank A/S | ||||||
1.226%, 6/22/24 144A | 880,000 | 817 | ||||
3.773%, (US Treasury Yield Curve Rate | 405,000 | 389 | ||||
5.375%, 1/12/24 144A | 455,000 | 452 | ||||
Equitable Financial Life Global Funding | ||||||
0.500%, 4/6/23 144A | 1,145,000 | 1,122 | ||||
1.100%, 11/12/24 144A | 530,000 | 488 | ||||
1.400%, 7/7/25 144A | 75,000 | 68 | ||||
Essex Portfolio LP | ||||||
3.875%, 5/1/24 | 600,000 | 587 | ||||
First American Financial Corp. | ||||||
4.600%, 11/15/24 | 195,000 | 192 | ||||
The Goldman Sachs Group, Inc. | ||||||
0.627%, (US SOFR plus 0.538%), 11/17/23 | 115,000 | 114 | ||||
0.657%, (US SOFR plus 0.505%), 9/10/24 | 335,000 | 319 | ||||
0.673%, (US SOFR plus 0.572%), 3/8/24 | 335,000 | 328 | ||||
0.925%, (US SOFR plus 0.486%), 10/21/24 | 315,000 | 299 | ||||
1.757%, (US SOFR plus 0.730%), 1/24/25 | 565,000 | 537 | ||||
3.500%, 4/1/25 | 490,000 | 468 | ||||
4.482%, (US SOFR plus 1.725%), 8/23/28 | 465,000 | 436 | ||||
Highwoods Realty LP | ||||||
3.625%, 1/15/23 | 740,000 | 740 | ||||
HSBC Holdings PLC | ||||||
1.162%, (US SOFR plus 0.580%), 11/22/24 | 420,000 | 397 | ||||
1.645%, (US SOFR plus 1.538%), 4/18/26 | 910,000 | 809 | ||||
Jackson Financial, Inc. | ||||||
1.125%, 11/22/23 | 620,000 | 593 | ||||
Jackson National Life Global Funding | ||||||
1.750%, 1/12/25 144A | 620,000 | 570 | ||||
JPMorgan Chase & Co. | ||||||
0.824%, (US SOFR plus 0.540%), 6/1/25 | 560,000 | 518 | ||||
2.083%, (US SOFR plus 1.850%), 4/22/26 | 890,000 | 811 | ||||
3.155%, (US SOFR plus 0.885%), 4/22/27 | 350,000 | 339 | ||||
4.080%, (US SOFR plus 1.320%), 4/26/26 | 865,000 | 833 | ||||
KeyBank NA | ||||||
1.250%, 3/10/23 | 580,000 | 572 | ||||
KeyCorp | ||||||
3.878%, (US SOFR plus 1.250%), 5/23/25 | 115,000 | 112 | ||||
Kilroy Realty LP | ||||||
4.375%, 10/1/25 | 180,000 | 173 | ||||
LeasePlan Corp. NV | ||||||
2.875%, 10/24/24 144A | 600,000 | 563 | ||||
Lincoln National Corp. | ||||||
4.000%, 9/1/23 | 130,000 | 129 | ||||
LSEGA Financing PLC | ||||||
0.650%, 4/6/24 144A | 765,000 | 716 | ||||
Marsh & McLennan Cos., Inc. | ||||||
3.875%, 3/15/24 | 345,000 | 340 | ||||
Metropolitan Life Global Funding I | ||||||
0.400%, 1/7/24 144A | 430,000 | 406 | ||||
Mitsubishi UFJ Financial Group, Inc. | ||||||
0.953%, (US Treasury Yield Curve Rate T | 985,000 | 906 | ||||
5.063%, (US Treasury Yield Curve Rate T | 375,000 | 371 |
Short-Term Bond Portfolio
Corporate Bonds (49.6%) | Shares/ Par + | Value $ (000’s) | ||||
Financial continued | ||||||
Morgan Stanley | ||||||
0.529%, (US SOFR plus 0.455%), 1/25/24 | 450,000 | 443 | ||||
0.560%, (US SOFR plus 0.466%), 11/10/23 | 640,000 | 636 | ||||
0.731%, (US SOFR plus 0.616%), 4/5/24 | 560,000 | 546 | ||||
1.164%, (US SOFR plus 0.560%), 10/21/25 | 445,000 | 406 | ||||
2.630%, (US SOFR plus 0.940%), 2/18/26 | 545,000 | 508 | ||||
3.620%, (US SOFR plus 1.160%), 4/17/25 | 390,000 | 379 | ||||
4.100%, 5/22/23 | 160,000 | 159 | ||||
4.875%, 11/1/22 | 375,000 | 375 | ||||
Nasdaq, Inc. | ||||||
0.445%, 12/21/22 | 415,000 | 411 | ||||
Nationwide Building Society | ||||||
3.766%, (ICE LIBOR USD 3 Month plus 1.064%), 3/8/24 144A | 260,000 | 257 | ||||
NatWest Markets PLC | ||||||
0.800%, 8/12/24 144A | 390,000 | 358 | ||||
2.375%, 5/21/23 144A | 640,000 | 627 | ||||
3.479%, 3/22/25 144A | 610,000 | 579 | ||||
Park Aerospace Holdings, Ltd. | ||||||
4.500%, 3/15/23 144A | 525,000 | 522 | ||||
5.500%, 2/15/24 144A | 245,000 | 240 | ||||
Principal Life Global Funding II | ||||||
0.750%, 4/12/24 144A | 530,000 | 495 | ||||
Public Storage | ||||||
2.750%, (US SOFR plus 0.470%), 4/23/24 | 280,000 | 279 | ||||
QNB Finance, Ltd. | ||||||
3.500%, 3/28/24 § | 880,000 | 854 | ||||
Santander Holdings USA, Inc. | ||||||
2.490%, (US SOFR plus 1.249%), 1/6/28 | 410,000 | 342 | ||||
SBA Tower Trust | ||||||
1.631%, 5/15/51 144A | 280,000 | 239 | ||||
1.884%, 7/15/50 144A | 160,000 | 141 | ||||
2.836%, 1/15/50 144A | 770,000 | 720 | ||||
3.448%, 3/15/23 144A | 775,000 | 768 | ||||
3.869%, 10/15/49 144A | 120,000 | 116 | ||||
Simon Property Group LP | ||||||
2.000%, 9/13/24 | 225,000 | 212 | ||||
3.375%, 10/1/24 | 450,000 | 437 | ||||
Standard Chartered PLC | ||||||
0.991%, (US Treasury Yield Curve Rate | 220,000 | 206 | ||||
1.319%, (US Treasury Yield Curve Rate | 455,000 | 455 | ||||
1.822%, (US Treasury Yield Curve Rate | 255,000 | 231 | ||||
3.950%, 1/11/23 144A | 1,000,000 | 994 | ||||
Svenska Handelsbanken AB | ||||||
0.550%, 6/11/24 144A | 420,000 | 391 | ||||
1.418%, (US Treasury Yield Curve Rate | 400,000 | 345 | ||||
Swedbank AB | ||||||
1.300%, 6/2/23 144A | 505,000 | 493 | ||||
Synchrony Financial | ||||||
4.250%, 8/15/24 | 1,130,000 | 1,102 | ||||
The Toronto-Dominion Bank | ||||||
0.550%, 3/4/24 | 1,015,000 | 954 | ||||
4.285%, 9/13/24 | 985,000 | 970 |
Corporate Bonds (49.6%) | Shares/ Par + | Value $ (000’s) | ||||
Financial continued | ||||||
Trininty Acquisition PLC | ||||||
4.625%, 8/15/23 | 200,000 | 200 | ||||
Truist Financial Corp. | ||||||
2.902%, (US SOFR plus 0.400%), 6/9/25 | 410,000 | 402 | ||||
UBS AG | ||||||
0.700%, 8/9/24 144A | 280,000 | 259 | ||||
UBS Group AG | ||||||
1.008%, (US Treasury Yield Curve Rate | 620,000 | 598 | ||||
1.494%, (US Treasury Yield Curve Rate | 215,000 | 181 | ||||
4.488%, (US Treasury Yield Curve Rate | 200,000 | 193 | ||||
4.490%, (US Treasury Yield Curve Rate | 565,000 | 551 | ||||
US Bancorp | ||||||
4.548%, (US SOFR plus 1.660%), 7/22/28 | 810,000 | 781 | ||||
Wells Fargo & Co. | ||||||
1.654%, (US SOFR plus 1.600%), 6/2/24 | 410,000 | 400 | ||||
2.188%, (US SOFR plus 2.000%), 4/30/26 | 400,000 | 365 | ||||
3.526%, (US SOFR plus 1.510%), 3/24/28 | 375,000 | 340 | ||||
3.908%, (US SOFR plus 1.320%), 4/25/26 | 610,000 | 583 | ||||
4.540%, (US SOFR plus 1.560%), 8/15/26 | 590,000 | 571 | ||||
The Western Union Co. | ||||||
2.850%, 1/10/25 | 875,000 | 828 | ||||
WP Carey, Inc. | ||||||
4.600%, 4/1/24 | 805,000 | 797 | ||||
Total | 77,650 | |||||
Industrial (2.1%) | ||||||
Amcor Flexibles North America, Inc. | ||||||
4.000%, 5/17/25 | 405,000 | 391 | ||||
Amphenol Corp. | ||||||
2.050%, 3/1/25 | 405,000 | 379 | ||||
Boral Finance, Ltd. | ||||||
3.000%, 11/1/22 144A | 345,000 | 345 | ||||
Canadian Pacific Railway Co. | ||||||
1.350%, 12/2/24 | 725,000 | 670 | ||||
1.750%, 12/2/26 | 315,000 | 276 | ||||
Carrier Global Corp. | ||||||
2.242%, 2/15/25 | 117,000 | 109 | ||||
DAE Funding LLC | ||||||
1.550%, 8/1/24 144A | 265,000 | 242 | ||||
Deere & Co. | ||||||
2.750%, 4/15/25 | 195,000 | 186 | ||||
GATX Corp. | ||||||
3.900%, 3/30/23 | 360,000 | 356 | ||||
4.350%, 2/15/24 | 772,000 | 762 | ||||
Kansas City Southern | ||||||
3.000%, 5/15/23 | 565,000 | 559 | ||||
Martin Marietta Materials, Inc. | ||||||
0.650%, 7/15/23 | 475,000 | 459 | ||||
Otis Worldwide Corp. | ||||||
2.056%, 4/5/25 | 485,000 | 449 | ||||
Parker Hannifin Corp. | ||||||
3.650%, 6/15/24 | 875,000 | 856 |
Short-Term Bond Portfolio
Corporate Bonds (49.6%) | Shares/ Par + | Value $ (000’s) | ||||
Industrial continued | ||||||
Penske Truck Leasing Co. LP / PTL Finance Corp. | ||||||
3.900%, 2/1/24 144A | 440,000 | 430 | ||||
Republic Services, Inc. | ||||||
0.875%, 11/15/25 | 120,000 | 105 | ||||
2.500%, 8/15/24 | 495,000 | 473 | ||||
SMBC Aviation Capital Finance DAC | ||||||
3.550%, 4/15/24 144A | 200,000 | 192 | ||||
4.125%, 7/15/23 144A | 200,000 | 198 | ||||
Sydney Airport Finance Co. Pty, Ltd. | ||||||
3.900%, 3/22/23 144A | 643,000 | 637 | ||||
| ||||||
Total | 8,074 | |||||
| ||||||
Technology (3.0%) | ||||||
Analog Devices, Inc. | ||||||
2.353%, (US SOFR plus 0.250%), 10/1/24 | 170,000 | 167 | ||||
2.950%, 4/1/25 | 140,000 | 135 | ||||
CDW LLC / CDW Finance Corp. | ||||||
5.500%, 12/1/24 | 180,000 | 179 | ||||
Fidelity National Information Services, Inc. | ||||||
0.375%, 3/1/23 | 650,000 | 639 | ||||
0.600%, 3/1/24 | 310,000 | 291 | ||||
4.500%, 7/15/25 | 305,000 | 298 | ||||
Fiserv, Inc. | ||||||
2.750%, 7/1/24 | 800,000 | 767 | ||||
3.800%, 10/1/23 | 470,000 | 466 | ||||
Fortinet, Inc. | ||||||
1.000%, 3/15/26 | 380,000 | 327 | ||||
HCL America, Inc. | ||||||
1.375%, 3/10/26 144A | 1,000,000 | 875 | ||||
International Business Machines Corp. | ||||||
2.875%, 11/9/22 | 155,000 | 155 | ||||
Marvell Technology, Inc. | ||||||
4.200%, 6/22/23 | 590,000 | 588 | ||||
Microchip Technology, Inc. | ||||||
0.972%, 2/15/24 | 685,000 | 645 | ||||
0.983%, 9/1/24 | 560,000 | 515 | ||||
2.670%, 9/1/23 | 640,000 | 624 | ||||
NXP BV / NXP Funding LLC | ||||||
4.875%, 3/1/24 | 485,000 | 479 | ||||
NXP BV / NXP Funding LLC / NXP USA, Inc. | ||||||
2.700%, 5/1/25 | 375,000 | 348 | ||||
3.875%, 6/18/26 | 245,000 | 229 | ||||
4.400%, 6/1/27 | 80,000 | 75 | ||||
Oracle Corp. | ||||||
2.400%, 9/15/23 | 745,000 | 727 | ||||
2.500%, 4/1/25 | 1,250,000 | 1,165 | ||||
Qorvo, Inc. | ||||||
1.750%, 12/15/24 144A | 275,000 | 253 | ||||
Roper Technologies, Inc. | ||||||
1.000%, 9/15/25 | 115,000 | 102 | ||||
2.350%, 9/15/24 | 165,000 | 157 | ||||
3.650%, 9/15/23 | 125,000 | 123 | ||||
Skyworks Solutions, Inc. | ||||||
0.900%, 6/1/23 | 175,000 | 170 | ||||
Take-Two Interactive Software, Inc. | ||||||
3.300%, 3/28/24 | 480,000 | 468 | ||||
3.550%, 4/14/25 | 160,000 | 154 | ||||
VMware, Inc. | ||||||
0.600%, 8/15/23 | 385,000 | 371 |
Corporate Bonds (49.6%) | Shares/ Par + | Value $ (000’s) | ||||
Technology continued | ||||||
Workday, Inc. | ||||||
3.500%, 4/1/27 | 265,000 | 245 | ||||
| ||||||
Total | 11,737 | |||||
| ||||||
Utilities (3.2%) | ||||||
The AES Corp. | ||||||
3.300%, 7/15/25 144A | 365,000 | 337 | ||||
Alexander Funding Trust | ||||||
1.841%, 11/15/23 144A | 530,000 | 496 | ||||
APT Pipelines, Ltd. | ||||||
4.200%, 3/23/25 144A | 1,165,000 | 1,116 | ||||
DTE Energy Co. | ||||||
4.220%, 11/1/24 | 550,000 | 539 | ||||
Edison International | ||||||
2.950%, 3/15/23 | 310,000 | 309 | ||||
3.125%, 11/15/22 | 290,000 | 289 | ||||
Enel Finance International NV | ||||||
1.375%, 7/12/26 144A | 645,000 | 545 | ||||
2.650%, 9/10/24 144A | 1,000,000 | 946 | ||||
Korea Electric Power Corp. | ||||||
5.375%, 4/6/26 | 490,000 | 490 | ||||
Korea Hydro & Nuclear Power Co., Ltd. | ||||||
1.250%, 4/27/26 144A | 795,000 | 699 | ||||
4.250%, 7/27/27 144A | 220,000 | 212 | ||||
NextEra Energy Capital Holdings, Inc. | ||||||
1.875%, 1/15/27 | 685,000 | 594 | ||||
4.450%, 6/20/25 | 540,000 | 531 | ||||
NRG Energy, Inc. | ||||||
3.750%, 6/15/24 144A | 270,000 | 260 | ||||
Pacific Gas & Electric Co. | ||||||
3.500%, 6/15/25 | 555,000 | 500 | ||||
3.535%, (US SOFR Index plus | 100,000 | 100 | ||||
Saudi Electricity Global Sukuk Co. 2 | ||||||
3.473%, 4/8/23 § | 800,000 | 792 | ||||
Sempra Energy | ||||||
3.300%, 4/1/25 | 385,000 | 366 | ||||
Southern California Gas Co. | ||||||
2.950%, 4/15/27 | 410,000 | 374 | ||||
Vistra Operations Co. LLC | ||||||
3.550%, 7/15/24 144A | 2,390,000 | 2,277 | ||||
5.125%, 5/13/25 144A | 610,000 | 591 | ||||
| ||||||
Total | 12,363 | |||||
| ||||||
Total Corporate Bonds (Cost: $201,961) | 191,412 | |||||
| ||||||
Governments (16.2%) | ||||||
Governments (16.2%) | ||||||
US Treasury | ||||||
0.375%, 8/15/24 b | 625,000 | 581 | ||||
1.750%, 3/15/25 | 14,570,000 | 13,720 | ||||
2.250%, 3/31/24 | 6,840,000 | 6,635 | ||||
2.500%, 4/30/24 | 14,060,000 | 13,668 | ||||
2.750%, 5/15/25 | 17,985,000 | 17,307 | ||||
3.000%, 6/30/24 | 5,930,000 | 5,801 |
Short-Term Bond Portfolio
Governments (16.2%) | Shares/ Par + | Value $ (000’s) | ||||
Governments continued | ||||||
3.250%, 8/31/24 | 4,920,000 | 4,831 | ||||
| ||||||
Total | 62,543 | |||||
| ||||||
Total Governments (Cost: $64,549) | 62,543 | |||||
| ||||||
Municipal Bonds (0.4%) | ||||||
Municipal Bonds (0.4%) | ||||||
Golden State Tobacco Securitization Corp. | ||||||
1.711%, 6/1/24 RB | 435,000 | 412 | ||||
Long Island Power Authority | ||||||
0.764%, 3/1/23 RB | 160,000 | 158 | ||||
State of Illinois | ||||||
2.250%, 10/1/22 GO | 885,000 | 885 | ||||
| ||||||
Total Municipal Bonds (Cost: $1,480) | 1,455 | |||||
| ||||||
Structured Products (33.5%) | ||||||
Asset Backed Securities (14.4%) | ||||||
AmeriCredit Automobile Receivables Trust, | ||||||
3.820%, 3/18/24 | 723,600 | 723 | ||||
AmeriCredit Automobile Receivables Trust, | ||||||
2.130%, 7/18/25 | 112,368 | 112 | ||||
AmeriCredit Automobile Receivables Trust, | ||||||
1.590%, 10/20/25 | 320,000 | 310 | ||||
AmeriCredit Automobile Receivables Trust, | ||||||
1.800%, 12/18/25 | 315,000 | 297 | ||||
AmeriCredit Automobile Receivables Trust, | ||||||
1.060%, 8/18/26 | 245,000 | 230 | ||||
AmeriCredit Automobile Receivables Trust, | ||||||
0.890%, 10/19/26 | 430,000 | 398 | ||||
AmeriCredit Automobile Receivables Trust, | ||||||
1.210%, 12/18/26 | 270,000 | 243 | ||||
AmeriCredit Automobile Receivables Trust, | ||||||
1.290%, 6/18/27 | 575,000 | 518 | ||||
Applebee’s Funding LLC / IHOP Funding | ||||||
4.194%, 6/7/49 144A | 1,138,500 | 1,079 | ||||
Arbor Realty Collateralized Loan Obligation, | ||||||
4.168%, (ICE LIBOR USD 1 Month plus 1.350%), 11/15/36 144A | 465,000 | 458 | ||||
Arbor Realty Commercial Real Estate Notes, | ||||||
3.888%, (ICE LIBOR USD 1 Month plus 1.070%), 8/15/34 144A | 640,000 | 617 | ||||
ARI Fleet Lease Trust, Series 2020-A, | ||||||
2.060%, 11/15/28 144A | 345,000 | 335 | ||||
Avis Budget Rental Car Funding AESOP LLC, | ||||||
2.970%, 3/20/24 144A | 425,000 | 423 |
Structured Products (33.5%) | Shares/ Par + | Value $ (000’s) | ||||
Asset Backed Securities continued | ||||||
Avis Budget Rental Car Funding AESOP LLC, | ||||||
3.330%, 3/20/24 144A | 435,000 | 433 | ||||
Avis Budget Rental Car Funding AESOP LLC, | ||||||
4.950%, 3/20/25 144A | 195,000 | 191 | ||||
Avis Budget Rental Car Funding AESOP LLC, | ||||||
3.350%, 9/22/25 144A | 340,000 | 327 | ||||
Avis Budget Rental Car Funding AESOP LLC, | ||||||
2.330%, 8/20/26 144A | 250,000 | 230 | ||||
Babson CLO, Ltd., Series 2017-IA, Class AR | ||||||
3.510%, (ICE LIBOR USD 3 Month plus 0.800%), 1/20/28 144A | 529,712 | 522 | ||||
Blackbird Capital Aircraft, Series 2016-1A, | ||||||
2.487%, 12/16/41 144A ∑ | 230,245 | 210 | ||||
BRE Grand Islander Timeshare Issuer LLC, | ||||||
3.280%, 9/26/33 144A | 122,564 | 115 | ||||
BSPRT Issuer, Ltd., Series 2022-FL8, Class A | ||||||
3.785%, (US 30 Day Average SOFR plus 1.500%), 2/15/37 144A | 815,000 | 788 | ||||
CarMax Auto Owner Trust, Series 2019-2, | ||||||
3.010%, 12/16/24 | 455,000 | 451 | ||||
CarMax Auto Owner Trust, Series 2019-4, | ||||||
2.130%, 7/15/25 | 345,000 | 337 | ||||
CarMax Auto Owner Trust, Series 2020-1, | ||||||
2.210%, 9/15/25 | 430,000 | 416 | ||||
CarMax Auto Owner Trust, Series 2020-1, | ||||||
2.340%, 11/17/25 | 190,000 | 184 | ||||
CarMax Auto Owner Trust, Series 2020-4, | ||||||
1.750%, 4/15/27 | 300,000 | 277 | ||||
Cedar Funding, Ltd., Series 2021-14A, Class A | ||||||
3.612%, (ICE LIBOR USD 3 Month plus 1.100%), 7/15/33 144A | 695,000 | 676 | ||||
CIFC Funding, Ltd., Series 2014-2RA, | ||||||
3.833%, (ICE LIBOR USD 3 Month plus 1.050%), 4/24/30 144A | 912,639 | 894 | ||||
CIFC Funding, Ltd., Series 2021-4A, Class A | ||||||
3.562%, (ICE LIBOR USD 3 Month plus 1.050%), 7/15/33 144A | 905,000 | 880 | ||||
CNH Equipment Trust, Series 2020-A, | ||||||
1.510%, 4/15/27 | 260,000 | 248 | ||||
Daimler Trucks Retail Trust, Series 2020-1, | ||||||
1.370%, 6/15/27 | 855,000 | 846 | ||||
Drive Auto Receivables Trust, Series 2020-1, | ||||||
2.360%, 3/16/26 | 120,747 | 121 | ||||
Drive Auto Receivables Trust, Series 2021-2, | ||||||
1.390%, 3/15/29 | 445,000 | 408 |
Short-Term Bond Portfolio
Structured Products (33.5%) | Shares/ Par + | Value $ (000’s) | ||||
Asset Backed Securities continued | ||||||
Dryden Senior Loan Fund, Series 2020-86A, Class A1R | ||||||
3.840%, (ICE LIBOR USD 3 Month plus | 610,000 | 591 | ||||
Elara HGV Timeshare Issuer, Series 2017-A, | ||||||
2.690%, 3/25/30 144A | 38,562 | 37 | ||||
Elara HGV Timeshare Issuer, Series 2019-A, | ||||||
2.610%, 1/25/34 144A | 101,141 | 94 | ||||
Enterprise Fleet Financing LLC, Series 2019- | ||||||
2.060%, 5/20/25 144A | 30,477 | 30 | ||||
Exeter Automobile Receivables Trust, Series 2021-2A, Class C | ||||||
0.980%, 6/15/26 | 265,000 | 255 | ||||
Exeter Automobile Receivables Trust, Series 2021-3A, Class D | ||||||
1.550%, 6/15/27 | 335,000 | 307 | ||||
Exeter Automobile Receivables Trust, Series 2022-1A, Class D | ||||||
3.020%, 6/15/28 | 730,000 | 659 | ||||
Exeter Automobile Receivables Trust, Series 2022-2A, Class C | ||||||
3.850%, 7/17/28 | 655,000 | 629 | ||||
Exeter Automobile Receivables Trust, Series 2022-3A, Class C | ||||||
5.300%, 9/15/27 | 190,000 | 186 | ||||
Exeter Automobile Receivables Trust, Series 2022-4A, Class D | ||||||
5.980%, 12/15/28 | 305,000 | 292 | ||||
FirstKey Homes Trust, Series 2020-SFR1, | ||||||
2.241%, 8/17/37 144A | 1,080,000 | 965 | ||||
Ford Credit Auto Owner Trust, Series 2020-2, Class C | ||||||
1.740%, 4/15/33 144A | 310,000 | 272 | ||||
Ford Credit Auto Owner Trust, Series 2022-A, Class C | ||||||
4.180%, 10/15/25 | 1,020,000 | 996 | ||||
Ford Credit Floorplan Master Owner Trust, Series | ||||||
1.420%, 9/15/25 | 440,000 | 421 | ||||
GM Financial Automobile Leasing Trust, Series 2020-2, Class C | ||||||
2.560%, 7/22/24 | 265,000 | 263 | ||||
GM Financial Automobile Leasing Trust, Series 2022-3, Class C | ||||||
5.130%, 8/20/26 | 585,000 | 572 | ||||
GM Financial Consumer Automobile | ||||||
1.050%, 5/18/26 | 225,000 | 210 | ||||
GS Mortgage Securities Trust, Series 2020-2, Class A3 | ||||||
1.490%, 12/16/24 | 63,357 | 63 | ||||
Hardee’s Funding LLC, Series 2018-1A, | ||||||
4.959%, 6/20/48 144A | 302,400 | 283 | ||||
Hilton Grand Vacations Trust, Series 2017-AA, Class A | ||||||
2.660%, 12/26/28 144A | 361,778 | 356 |
Structured Products (33.5%) | Shares/ Par + | Value $ (000’s) | ||||
Asset Backed Securities continued | ||||||
Hilton Grand Vacations Trust, Series 2017-AA, Class B | ||||||
2.960%, (EXE), 12/26/28 144A | 78,946 | 77 | ||||
Hilton Grand Vacations Trust, Series 2020-AA, Class A | ||||||
2.740%, 2/25/39 144A | 281,268 | 264 | ||||
Home Partners of America Trust, Series 2022- 1, Class A | ||||||
3.930%, 4/17/39 144A | 399,287 | 375 | ||||
Hyundai Auto Receivables Trust, Series 2019- | ||||||
2.940%, 5/15/25 | 325,000 | 323 | ||||
Hyundai Auto Receivables Trust, Series 2020- | ||||||
1.410%, 11/15/24 | 183,698 | 181 | ||||
JPMorgan Chase Bank NA, Series 2021-2, | ||||||
1.138%, 12/26/28 144A | 212,550 | 204 | ||||
KKR Financial CLO, Ltd., Series 2018-13, | ||||||
3.540%, (ICE LIBOR USD 3 Month plus 0.800%), 1/16/28 144A | 208,832 | 207 | ||||
KKR Financial CLO, Ltd., Series 2021-29A, Class A | ||||||
3.712%, (ICE LIBOR USD 3 Month plus 1.200%), 1/15/32 144A | 1,000,000 | 979 | ||||
Kubota Credit Owner Trust, Series 2020-1A, | ||||||
1.960%, 3/15/24 144A | 79,993 | 79 | ||||
Madison Park Funding, Ltd., Series 2017-23A, Class AR | ||||||
3.739%, (ICE LIBOR USD 3 Month plus 0.970%), 7/27/31 144A | 715,000 | 700 | ||||
Madison Park Funding, Ltd., Series 2017-23A, Class BR | ||||||
4.319%, (ICE LIBOR USD 3 Month plus 1.550%), 7/27/31 144A | 460,000 | 444 | ||||
Madison Park Funding, Ltd., Series 2019-37A, Class AR | ||||||
3.582%, (ICE LIBOR USD 3 Month plus 1.070%), 7/15/33 144A | 450,000 | 438 | ||||
Madison Park Funding, Ltd., Series 2022-33A, Class AR | ||||||
3.618%, (US SOFR 3 Month plus 1.290%), 10/15/32 144A | 1,025,000 | 1,006 | ||||
Magnetite CLO, Ltd., Series 2020-25A, | ||||||
3.983%, (ICE LIBOR USD 3 Month plus 1.200%), 1/25/32 144A | 655,000 | 643 | ||||
Magnetite XVI, Ltd., Series 2015-16A, | ||||||
3.540%, (ICE LIBOR USD 3 Month plus 0.800%), 1/18/28 144A | 755,935 | 745 | ||||
MetLife Securitization Trust, Series 2017-1A, Class A | ||||||
3.000%, (AFC), 4/25/55 144A | 88,521 | 84 | ||||
MF1, Series 2021-FL7, Class A | ||||||
4.073%, (ICE LIBOR USD 1 Month plus 1.080%), 10/16/36 144A | 465,000 | 446 |
Short-Term Bond Portfolio
Structured Products (33.5%) | Shares/ Par + | Value $ (000’s) | ||||
Asset Backed Securities continued | ||||||
Mill City Mortgage Loan Trust, Series 2017-2, Class A1 | ||||||
2.750%, (AFC), 7/25/59 144A | 49,857 | 49 | ||||
MVW Owner Trust, Series 2017-1A, Class A | ||||||
2.420%, 12/20/34 144A | 134,102 | 131 | ||||
MVW Owner Trust, Series 2017-1A, Class B | ||||||
2.750%, 12/20/34 144A | 14,116 | 14 | ||||
MVW Owner Trust, Series 2017-1A, Class C | ||||||
2.990%, 12/20/34 144A | 15,528 | 15 | ||||
MVW Owner Trust, Series 2019-2A, Class A | ||||||
2.440%, 10/20/38 144A | 79,155 | 74 | ||||
MVW Owner Trust, Series 2020-1A, Class A | ||||||
1.740%, 10/20/37 144A | 132,849 | 120 | ||||
MVW Owner Trust, Series 2020-1A, Class B | ||||||
2.730%, 10/20/37 144A | 181,349 | 166 | ||||
MVW Owner Trust, Series 2021-1WA, Class C | ||||||
1.940%, 1/22/41 144A | 117,122 | 104 | ||||
Navient Private Education Refi Loan Trust, | ||||||
3.420%, 1/15/43 144A | 213,299 | 207 | ||||
Navient Private Education Refi Loan Trust, | ||||||
3.010%, 12/15/59 144A | 222,549 | 206 | ||||
Navient Private Education Refi Loan Trust, | ||||||
2.640%, 5/15/68 144A | 336,332 | 319 | ||||
Navient Private Education Refi Loan Trust, | ||||||
2.460%, 11/15/68 144A | 308,335 | 284 | ||||
Navient Private Education Refi Loan Trust, | ||||||
2.150%, 11/15/68 144A | 1,113,330 | 994 | ||||
Navient Private Education Refi Loan Trust, | ||||||
1.690%, 5/15/69 144A | 207,175 | 187 | ||||
Navient Private Education Refi Loan Trust, Series 2020-GA, Class A | ||||||
1.170%, 9/16/69 144A | 129,374 | 116 | ||||
Navient Private Education Refi Loan Trust, Series 2022-A, Class A | ||||||
2.230%, 7/15/70 144A | 886,484 | 785 | ||||
Navient Student Loan Trust, Series 2019-GA, Class A | ||||||
2.400%, 10/15/68 144A | 470,302 | 436 | ||||
Navient Student Loan Trust, Series 2020-HA, Class A | ||||||
1.310%, 1/15/69 144A | 72,065 | 65 | ||||
Navient Student Loan Trust, Series 2021-BA, Class A | ||||||
0.940%, 7/15/69 144A | 380,235 | 327 | ||||
Navient Student Loan Trust, Series 2021-EA, Class A | ||||||
0.970%, 12/16/69 144A | 223,995 | 188 | ||||
Nelnet Student Loan Trust, Series 2020-1A, Class A | ||||||
3.824%, (ICE LIBOR USD 1 Month plus 0.740%), 3/26/68 144A | 124,432 | 121 | ||||
Nelnet Student Loan Trust, Series 2021-CA, Class AFX | ||||||
1.320%, 4/20/62 144A | 781,793 | 698 |
Structured Products (33.5%) | Shares/ Par + | Value $ (000’s) | ||||
Asset Backed Securities continued | ||||||
Nelnet Student Loan Trust, Series 2021-DA, | ||||||
1.630%, 4/20/62 144A | 266,776 | 241 | ||||
Neuberger Berman CLO, Ltd., Series 2017- | ||||||
4.140%, (ICE LIBOR USD 3 Month plus 1.400%), 10/18/30 144A | 500,000 | 479 | ||||
Neuberger Berman CLO, Ltd., Series 2019- | ||||||
3.728%, (ICE LIBOR USD 3 Month plus 0.990%), 1/20/32 144A | 955,000 | 932 | ||||
Neuberger Berman CLO, Ltd., Series 2021- | ||||||
3.800%, (ICE LIBOR USD 3 Month plus 1.060%), 4/16/33 144A | 270,000 | 263 | ||||
Nissan Auto Receivables Owner Trust, Series | ||||||
1.380%, 12/16/24 | 93,539 | 92 | ||||
OCP CLO, Ltd., Series 2017-13A, Class A2R | ||||||
4.062%, (ICE LIBOR USD 3 Month plus 1.550%), 7/15/30 144A | 760,000 | 731 | ||||
Octane Receivables Trust, Series 2021-2A, | ||||||
1.210%, 9/20/28 144A | 266,166 | 255 | ||||
Octane Receivables Trust, Series 2022-1A, | ||||||
4.900%, 5/22/28 144A | 395,000 | 379 | ||||
Palmer Square CLO, Ltd., Series 2020-3A, | ||||||
3.985%, (ICE LIBOR USD 3 Month plus 1.080%), 11/15/31 144A | 1,285,000 | 1,256 | ||||
Planet Fitness Master Issuer LLC, Series | ||||||
4.666%, 9/5/48 144A | 816,000 | 768 | ||||
Progress Residential Trust, Series 2022-SFR6, Class A | ||||||
4.451%, 7/20/39 144A | 525,000 | 498 | ||||
Santander Bank Auto Credit-Linked Notes, | ||||||
1.833%, 12/15/31 144A | 155,022 | 149 | ||||
Santander Bank Auto Credit-Linked Notes, | ||||||
5.916%, 8/16/32 144A | 305,000 | 305 | ||||
Santander Consumer Auto Receivables Trust, | ||||||
1.570%, 1/15/27 144A | 450,000 | 409 | ||||
Santander Drive Auto Receivables Trust, | ||||||
1.640%, 11/16/26 | 330,000 | 319 | ||||
Santander Drive Auto Receivables Trust, | ||||||
1.010%, 1/15/26 | 371,033 | 367 | ||||
Santander Drive Auto Receivables Trust, Series 2020-BA, Class C | ||||||
1.290%, 4/15/26 144A | 650,000 | 623 | ||||
Santander Drive Auto Receivables Trust, | ||||||
1.330%, 9/15/27 | 560,000 | 526 | ||||
Santander Drive Auto Receivables Trust, | ||||||
1.670%, 10/15/27 | 450,000 | 417 |
Short-Term Bond Portfolio
Structured Products (33.5%) | Shares/ Par + | Value $ (000’s) | ||||
Asset Backed Securities continued | ||||||
Santander Drive Auto Receivables Trust, | ||||||
2.560%, 4/17/28 | 885,000 | 837 | ||||
Santander Drive Auto Receivables Trust, | ||||||
5.000%, 11/15/29 | 990,000 | 974 | ||||
Santander Retail Auto Lease Trust, Series | ||||||
2.520%, 11/20/24 144A | 320,000 | 315 | ||||
Santander Retail Auto Lease Trust, Series | ||||||
1.140%, 3/20/26 144A | 1,030,000 | 969 | ||||
Santander Retail Auto Lease Trust, Series | ||||||
1.410%, 11/20/25 144A | 440,000 | 408 | ||||
Santander Retail Auto Lease Trust, Series | ||||||
1.110%, 3/20/26 144A | 365,000 | 338 | ||||
Santander Retail Auto Lease Trust, Series | ||||||
3.850%, 3/22/27 144A | 150,000 | 144 | ||||
Sierra Receivables Funding Co. LLC, Series | ||||||
3.200%, 1/20/36 144A | 51,590 | 50 | ||||
Sierra Receivables Funding Co. LLC, Series | ||||||
2.590%, 5/20/36 144A | 170,764 | 165 | ||||
Sierra Receivables Funding Co. LLC, Series | ||||||
2.340%, 8/20/36 144A | 414,838 | 390 | ||||
Sierra Receivables Funding Co. LLC, Series | ||||||
3.510%, 7/20/37 144A | 96,213 | 90 | ||||
SMB Private Education Loan Trust, Series | ||||||
4.318%, (ICE LIBOR USD 1 Month plus 1.500%), 4/15/32 144A | 345,206 | 345 | ||||
SMB Private Education Loan Trust, Series | ||||||
3.918%, (ICE LIBOR USD 1 Month plus 1.100%), 9/15/34 144A | 203,946 | 204 | ||||
SMB Private Education Loan Trust, Series | ||||||
3.600%, 1/15/37 144A | 140,403 | 135 | ||||
SMB Private Education Loan Trust, Series | ||||||
3.538%, (ICE LIBOR USD 1 Month plus 0.720%), 1/15/37 144A | 335,964 | 331 | ||||
SMB Private Education Loan Trust, Series | ||||||
1.290%, 7/15/53 144A | 137,855 | 124 | ||||
SMB Private Education Loan Trust, Series | ||||||
1.310%, 7/17/51 144A | 693,132 | 617 | ||||
SMB Private Education Loan Trust, Series | ||||||
1.600%, 9/15/54 144A | 997,389 | 881 | ||||
Symphony CLO I, Ltd., Series 2021-1A, | ||||||
4.233%, (ICE LIBOR USD 3 Month plus 1.450%), 10/25/29 144A | 815,000 | 788 |
Structured Products (33.5%) | Shares/ Par + | Value $ (000’s) | ||||
Asset Backed Securities continued | ||||||
Symphony CLO XXIII, Ltd., Series 2021-23A, Class AR | ||||||
3.532%, (ICE LIBOR USD 3 Month plus 1.020%), 1/15/34 144A | 1,045,000 | 1,021 | ||||
Symphony CLO XXVI, Ltd., Series 2021-26A, Class AR | ||||||
3.790%, (ICE LIBOR USD 3 Month plus 1.080%), 4/20/33 144A | 285,000 | 277 | ||||
Towd Point Mortgage Trust, Series 2015-1, | ||||||
3.000%, (AFC), 1/25/58 144A | 61,782 | 60 | ||||
Towd Point Mortgage Trust, Series 2016-1, | ||||||
3.000%, (AFC), 2/25/55 144A | 1,386 | 1 | ||||
Towd Point Mortgage Trust, Series 2017-1, | ||||||
2.750%, (AFC), 10/25/56 144A | 42,344 | 42 | ||||
Towd Point Mortgage Trust, Series 2017-2, | ||||||
2.750%, (AFC), 4/25/57 144A | 27,613 | 27 | ||||
Towd Point Mortgage Trust, Series 2017-3, | ||||||
2.750%, (AFC), 7/25/57 144A | 94,872 | 93 | ||||
Towd Point Mortgage Trust, Series 2017-4, | ||||||
2.750%, (AFC), 6/25/57 144A | 78,116 | 75 | ||||
Towd Point Mortgage Trust, Series 2017-6, | ||||||
2.750%, (AFC), 10/25/57 144A | 285,506 | 274 | ||||
Towd Point Mortgage Trust, Series 2018-2, | ||||||
3.250%, (AFC), 3/25/58 144A | 392,757 | 381 | ||||
Towd Point Mortgage Trust, Series 2018-5, | ||||||
3.250%, (AFC), 8/25/58 144A | 237,047 | 230 | ||||
World Omni Auto Receivables Trust, Series | ||||||
2.400%, 6/15/26 | 380,000 | 373 | ||||
World Omni Auto Receivables Trust, Series | ||||||
1.640%, 8/17/26 | 225,000 | 216 | ||||
World Omni Auto Receivables Trust, Series | ||||||
2.550%, 9/15/28 | 325,000 | 304 | ||||
World Omni Select Auto Trust, Series 2020-A, Class B | ||||||
0.840%, 6/15/26 | 270,000 | 261 | ||||
World Omni Select Auto Trust, Series 2020-A, Class C | ||||||
1.250%, 10/15/26 | 310,000 | 295 | ||||
| ||||||
Total | 55,623 | |||||
| ||||||
Mortgage Securities (19.1%) | ||||||
Angel Oak Mortgage Trust, Series 2019-2, | ||||||
3.628%, (AFC), 3/25/49 144A | 987 | 1 | ||||
Angel Oak Mortgage Trust, Series 2019-4, | ||||||
3.301%, (AFC), 7/26/49 144A | 21,026 | 21 |
Short-Term Bond Portfolio
Structured Products (33.5%) | Shares/Par + | Value $ (000’s) | ||||
Mortgage Securities continued | ||||||
Angel Oak Mortgage Trust, Series 2020-3, | ||||||
1.691%, (AFC), 4/25/65 144A | 164,149 | 151 | ||||
Angel Oak Mortgage Trust, Series 2020-3, | ||||||
2.872%, (AFC), 4/25/65 144A | 61,250 | 56 | ||||
Angel Oak Mortgage Trust, Series 2020-5, | ||||||
1.579%, (AFC), 5/25/65 144A | 87,070 | 78 | ||||
Angel Oak Mortgage Trust, Series 2021-1, | ||||||
0.909%, (AFC), 1/25/66 144A | 342,697 | 293 | ||||
Angel Oak Mortgage Trust, Series 2021-1, | ||||||
1.115%, (AFC), 1/25/66 144A | 100,257 | 85 | ||||
Angel Oak Mortgage Trust, Series 2021-2, | ||||||
0.985%, (AFC), 4/25/66 144A | 299,662 | 254 | ||||
Angel Oak Mortgage Trust, Series 2021-2, | ||||||
1.190%, (AFC), 4/25/66 144A | 94,509 | 80 | ||||
Angel Oak Mortgage Trust, Series 2021-3, | ||||||
1.068%, (AFC), 5/25/66 144A | 236,907 | 201 | ||||
BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class A | ||||||
3.668%, (ICE LIBOR USD 1 Month plus 0.850%), 9/15/34 144A | 460,000 | 451 | ||||
BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class C | ||||||
4.818%, (ICE LIBOR USD 1 Month plus 2.000%), 9/15/38 144A | 435,000 | 411 | ||||
BANK, Series 2019-BNK24, Class A1 | ||||||
2.056%, 11/15/62 | 92,331 | 90 | ||||
Barclays Mortgage Loan Trust, Series | ||||||
1.747%, (AFC), 9/25/51 144A | 591,240 | 516 | ||||
Bayview MSR Opportunity Master Fund Trust, Series 2021-2, Class A5 | ||||||
2.500%, (AFC), 6/25/51 144A | 488,233 | 422 | ||||
Bayview MSR Opportunity Master Fund Trust, Series 2021-5, Class A5 | ||||||
2.500%, (AFC), 11/25/51 144A | 368,189 | 317 | ||||
Bayview MSR Opportunity Master Fund Trust, Series 2022-1, Class A5 | ||||||
2.500%, (AFC), 12/25/51 144A | 461,886 | 397 | ||||
BCP Trust, Series 2021-330N, Class A | ||||||
3.617%, (ICE LIBOR USD 1 Month plus | 290,000 | 278 | ||||
BIG Commercial Mortgage Trust, Series 2022- BIG, Class C | ||||||
5.186%, (US SOFR 1 Month plus 2.340%), 2/15/39 144A | 225,000 | 212 | ||||
BINOM Securitization Trust, Series 2021-INV1, Class A3 | ||||||
2.625%, (AFC), 6/25/56 144A | 207,451 | 181 | ||||
BPR Trust, Series 2021-TY, Class B | ||||||
3.968%, (ICE LIBOR USD 1 Month plus | 450,000 | 426 |
Structured Products (33.5%) | Shares/Par + | Value $ (000’s) | ||||
Mortgage Securities continued | ||||||
BRAVO Residential Funding Trust, Series | ||||||
1.699%, (AFC), 4/25/60 144A | 345,392 | 312 | ||||
BSREP Commercial Mortgage Trust, Series 2021-DC, Class D | ||||||
4.718%, (ICE LIBOR USD 1 Month plus | 200,000 | 184 | ||||
BX Commercial Mortgage Trust, Series 2019- XL, Class A | ||||||
3.738%, (ICE LIBOR USD 1 Month plus 0.920%), 10/15/36 144A | 256,845 | 253 | ||||
BX Commercial Mortgage Trust, Series 2019- XL, Class B | ||||||
3.898%, (ICE LIBOR USD 1 Month plus | 318,750 | 311 | ||||
BX Commercial Mortgage Trust, Series 2021- SOAR, Class D | ||||||
4.218%, (ICE LIBOR USD 1 Month plus | 372,181 | 350 | ||||
BX Commercial Mortgage Trust, Series 2022- CSMO, Class B | ||||||
5.986%, (US SOFR 1 Month plus | 570,000 | 562 | ||||
BX Trust, Series 2018-GW, Class A | ||||||
3.618%, (ICE LIBOR USD 1 Month plus | 1,095,000 | 1,059 | ||||
BX Trust, Series 2021-ARIA, Class C | ||||||
4.464%, (ICE LIBOR USD 1 Month plus | 330,000 | 307 | ||||
BX Trust, Series 2021-VIEW, Class A | ||||||
4.098%, (ICE LIBOR USD 1 Month plus | 255,000 | 244 | ||||
CGDB Commercial Mortgage Trust, Series | ||||||
4.468%, (ICE LIBOR USD 1 Month plus 1.650%), 11/15/36 144A | 660,000 | 633 | ||||
CIM Trust, Series 2020-INV1, Class A2 | ||||||
2.500%, (AFC), 4/25/50 144A | 304,019 | 254 | ||||
Citigroup Commercial Mortgage Trust, Series 2013-375P, Class B | ||||||
3.518%, (CSTR), 5/10/35 144A | 435,000 | 417 | ||||
Citigroup Commercial Mortgage Trust, Series 2013-375P, Class C | ||||||
3.518%, (CSTR), 5/10/35 144A | 255,000 | 243 | ||||
Citigroup Mortgage Loan Trust, Series 2020- EXP2, Class A3 | ||||||
2.500%, 8/25/50 144A | 309,646 | 256 | ||||
Citigroup Mortgage Loan Trust, Series 2020- EXP2, Class A4 | ||||||
2.500%, (AFC), 8/25/50 144A | 430,063 | 355 | ||||
Cold Storage Trust, Series 2020-ICE5, Class B | ||||||
4.118%, (ICE LIBOR USD 1 Month plus 1.300%), 11/15/37 144A | 953,501 | 924 | ||||
COLT Mortgage Loan Trust, Series 2020-3, | ||||||
1.506%, (AFC), 4/27/65 144A | 37,912 | 36 | ||||
COLT Mortgage Loan Trust, Series 2021-1, Class A2 | ||||||
1.167%, (AFC), 6/25/66 144A | 289,245 | 240 |
Short-Term Bond Portfolio
Structured Products (33.5%) | Shares/Par + | Value $ (000’s) | ||||
Mortgage Securities continued | ||||||
COLT Mortgage Loan Trust, Series 2021-3, | ||||||
1.419%, (AFC), 9/27/66 144A | 218,352 | 173 | ||||
COLT Mortgage Loan Trust, Series 2022-3, | ||||||
3.901%, (AFC), 2/25/67 144A | 924,885 | 843 | ||||
COMM Mortgage Trust, Series 2013-300P, | ||||||
4.353%, 8/10/30 144A | 275,000 | 271 | ||||
COMM Mortgage Trust, Series 2014-CR15, | ||||||
4.770%, (CSTR), 2/10/47 | 435,000 | 426 | ||||
COMM Mortgage Trust, Series 2014-CR19, | ||||||
4.080%, 8/10/47 | 495,000 | 477 | ||||
COMM Mortgage Trust, Series 2014-CR19, | ||||||
4.705%, (CSTR), 8/10/47 144A | 185,000 | 169 | ||||
COMM Mortgage Trust, Series 2014-UBS2, | ||||||
4.701%, 3/10/47 | 480,000 | 467 | ||||
COMM Mortgage Trust, Series 2014-UBS5, | ||||||
3.838%, 9/10/47 | 630,000 | 611 | ||||
COMM Mortgage Trust, Series 2015-CR22, | ||||||
3.926%, (AFC), 3/10/48 | 235,000 | 220 | ||||
COMM Mortgage Trust, Series 2015-CR22, | ||||||
4.106%, (CSTR), 3/10/48 | 440,000 | 406 | ||||
COMM Mortgage Trust, Series 2015-LC23, | ||||||
3.221%, 10/10/48 | 111,202 | 111 | ||||
Connecticut Avenue Securities Trust, Series | ||||||
3.281%, (US 30 Day Average SOFR plus | 330,273 | 324 | ||||
Connecticut Avenue Securities Trust, Series | ||||||
3.481%, (US 30 Day Average SOFR plus | 757,077 | 741 | ||||
Connecticut Avenue Securities Trust, Series | ||||||
2022-R03, Class 1M1 | ||||||
4.381%, (US 30 Day Average SOFR plus | 495,211 | 489 | ||||
Connecticut Avenue Securities Trust, Series | ||||||
4.281%, (US 30 Day Average SOFR plus | 319,737 | 316 | ||||
Connecticut Avenue Securities Trust, Series | ||||||
4.181%, (US 30 Day Average SOFR plus | 589,722 | 580 | ||||
Connecticut Avenue Securities Trust, Series | ||||||
5.255%, (US 30 Day Average SOFR plus | 436,141 | 436 | ||||
Connecticut Avenue Securities Trust, Series | ||||||
4.855%, (US 30 Day Average SOFR plus | 227,554 | 226 |
Structured Products (33.5%) | Shares/Par + | Value $ (000’s) | ||||
Mortgage Securities continued | ||||||
Credit Suisse Mortgage Trust, Series | ||||||
4.248%, (ICE LIBOR USD 1 Month plus | 515,000 | 501 | ||||
Credit Suisse Mortgage Trust, Series | ||||||
4.418%, (ICE LIBOR USD 1 Month plus | 405,000 | 393 | ||||
Credit Suisse Mortgage Trust, Series | ||||||
2.256%, 8/15/37 144A | 200,661 | 182 | ||||
Credit Suisse Mortgage Trust, Series | ||||||
3.706%, (CSTR), 8/15/37 144A | 445,000 | 395 | ||||
CSAIL Commercial Mortgage Trust, Series | ||||||
3.718%, 8/15/48 | 305,000 | 291 | ||||
CSAIL Commercial Mortgage Trust, Series | ||||||
2.360%, 6/15/52 | 125,376 | 122 | ||||
Deephaven Residential Mortgage Trust, Series | ||||||
1.128%, (AFC), 5/25/65 144A | 81,567 | 77 | ||||
Deephaven Residential Mortgage Trust, Series | ||||||
0.899%, (AFC), 4/25/66 144A | 122,106 | 103 | ||||
Deephaven Residential Mortgage Trust, Series | ||||||
1.260%, (AFC), 4/25/66 144A | 136,997 | 117 | ||||
Eagle RE, Ltd., Series 2021-2, Class M1A | ||||||
3.831%, (US 30 Day Average SOFR plus | 255,000 | 253 | ||||
Ellington Financial Mortgage Trust, Series | ||||||
3.046%, (AFC), 11/25/59 144A | 57,327 | 54 | ||||
Ellington Financial Mortgage Trust, Series | ||||||
0.797%, (AFC), 2/25/66 144A | 80,396 | 68 | ||||
Ellington Financial Mortgage Trust, Series | ||||||
1.106%, (AFC), 2/25/66 144A | 66,670 | 56 | ||||
Ellington Financial Mortgage Trust, Series | ||||||
0.931%, (AFC), 6/25/66 144A | 582,524 | 485 | ||||
Ellington Financial Mortgage Trust, Series | ||||||
1.291%, (AFC), 6/25/66 144A | 172,109 | 143 | ||||
Ellington Financial Mortgage Trust, Series | ||||||
1.241%, (AFC), 9/25/66 144A | 234,651 | 189 | ||||
Ellington Financial Mortgage Trust, Series | ||||||
1.550%, (AFC), 9/25/66 144A | 175,988 | 141 | ||||
Extended Stay America Trust, Series | ||||||
3.898%, (ICE LIBOR USD 1 Month plus | 347,859 | 337 | ||||
Extended Stay America Trust, Series | ||||||
4.518%, (ICE LIBOR USD 1 Month plus | 477,064 | 459 |
Short-Term Bond Portfolio
Structured Products (33.5%) | Shares/Par + | Value $ (000’s) | ||||
Mortgage Securities continued | ||||||
Federal Home Loan Bank | ||||||
2.500%, 1/1/52 | 603,687 | 510 | ||||
4.000%, 12/1/49 | 96,048 | 90 | ||||
4.500%, 5/1/50 | 57,928 | 56 | ||||
Federal Home Loan Mortgage Corp. | ||||||
3.000%, 11/1/34 | 39,156 | 36 | ||||
3.500%, 3/1/46 | 35,605 | 33 | ||||
3.500%, 12/1/47 | 313,536 | 287 | ||||
4.000%, 10/1/52 | 939,906 | 873 | ||||
5.000%, 12/1/41 | 122,994 | 121 | ||||
6.000%, 9/1/34 | 1,164 | 1 | ||||
6.000%, 2/1/35 | 22,798 | 24 | ||||
6.000%, 9/1/35 | 7,301 | 8 | ||||
7.000%, 3/1/39 | 46,684 | 49 | ||||
7.500%, 6/1/38 | 43,799 | 46 | ||||
Federal Home Loan Mortgage Corp., Series | ||||||
7.084%, (ICE LIBOR USD 1 Month plus | 59,582 | 60 | ||||
Federal Home Loan Mortgage Corp., Series | ||||||
3.857%, (CSTR), 5/25/47 144A | 23,920 | 23 | ||||
Federal Home Loan Mortgage Corp., Series | ||||||
2.000%, 2/15/40 | 73,211 | 71 | ||||
Federal Home Loan Mortgage Corp., Series | ||||||
1.250%, 6/15/27 | 233,629 | 224 | ||||
Federal National Mortgage Association | ||||||
2.000%, 10/1/50 | 227,123 | 185 | ||||
2.500%, 10/1/22 | 189 | –π | ||||
2.500%, 12/1/22 | 977 | 1 | ||||
2.500%, 1/1/52 | 566,857 | 477 | ||||
3.000%, 4/1/24 | 26,025 | 26 | ||||
3.000%, 9/1/28 | 181,572 | 175 | ||||
3.000%, 12/1/34 | 92,120 | 86 | ||||
3.000%, 3/1/35 | 38,800 | 36 | ||||
3.000%, 6/1/52 | 1,188,836 | 1,037 | ||||
3.500%, 5/1/27 | 186,898 | 178 | ||||
3.500%, 4/1/46 | 211,169 | 194 | ||||
3.500%, 2/1/48 | 374,819 | 343 | ||||
3.500%, 1/1/52 | 145,375 | 131 | ||||
4.000%, 1/1/47 | 61,579 | 58 | ||||
4.000%, 2/1/49 | 12,480 | 12 | ||||
4.000%, 11/1/49 | 36,341 | 34 | ||||
4.000%, 12/1/49 | 12,060 | 11 | ||||
4.500%, 5/1/40 | 46,809 | 46 | ||||
4.500%, 9/1/40 | 41,369 | 40 | ||||
4.500%, 5/1/41 | 80,127 | 78 | ||||
4.500%, 8/1/48 | 24,540 | 24 | ||||
4.500%, 9/1/48 | 23,283 | 22 | ||||
4.500%, 10/1/48 | 157,674 | 153 | ||||
4.500%, 11/1/48 | 33,361 | 32 | ||||
4.500%, 12/1/48 | 174,741 | 169 | ||||
4.500%, 5/1/49 | 98,625 | 95 | ||||
4.500%, 1/1/50 | 21,070 | 20 | ||||
4.500%, 7/1/52 | 790,000 | 755 | ||||
4.500%, 8/1/52 | 792,872 | 757 | ||||
5.000%, 10/1/33 | 73,358 | 74 | ||||
5.000%, 6/1/40 | 41,124 | 41 |
Structured Products (33.5%) | Shares/Par + | Value $ (000’s) | ||||
Mortgage Securities continued | ||||||
5.000%, 7/1/45 | 58,829 | 59 | ||||
5.000%, 9/1/48 | 57,436 | 57 | ||||
5.000%, 2/1/49 | 27,833 | 27 | ||||
5.000%, 8/1/49 | 21,442 | 21 | ||||
5.500%, 8/1/37 | 42,403 | 44 | ||||
5.500%, 2/1/38 | 161,739 | 167 | ||||
6.000%, 3/1/34 | 37,506 | 39 | ||||
6.000%, 8/1/34 | 102,249 | 107 | ||||
6.000%, 11/1/34 | 3,690 | 4 | ||||
6.000%, 12/1/34 | 1,371 | 1 | ||||
6.000%, 4/1/35 | 2,386 | 3 | ||||
6.000%, 5/1/38 | 1,559 | 2 | ||||
6.000%, 10/1/40 | 79,259 | 83 | ||||
6.000%, 2/1/49 | 336,742 | 359 | ||||
6.500%, 7/1/32 | 12,119 | 13 | ||||
6.500%, 12/1/32 | 11,644 | 12 | ||||
Federal National Mortgage Association, Series | ||||||
2.500%, 11/25/26 | 42,092 | 41 | ||||
Federal National Mortgage Association, Series | ||||||
2.000%, 7/25/23 | 3,890 | 4 | ||||
Federal National Mortgage Association, Series | ||||||
3.000%, 11/25/47 | 196,017 | 183 | ||||
Federal National Mortgage Association, Series | ||||||
4.434%, (ICE LIBOR USD 1 Month plus | 8,857 | 9 | ||||
Federal National Mortgage Association, Series | ||||||
4.184%, (ICE LIBOR USD 1 Month plus | 398,902 | 394 | ||||
Federal National Mortgage Association, Series | ||||||
4.284%, (ICE LIBOR USD 1 Month plus | 14,252 | 14 | ||||
Federal National Mortgage Association, Series | ||||||
3.934%, (ICE LIBOR USD 1 Month plus | 423,084 | 419 | ||||
Federal National Mortgage Association, Series | ||||||
5.031%, (US 30 Day Average SOFR plus | 533,546 | 533 | ||||
Finance of America HECM Buyout, Series | ||||||
4.000%, (AFC), 12/25/24 144A | 951,451 | 928 | ||||
Flagstar Mortgage Trust, Series 2020-1INV, | ||||||
3.934%, (ICE LIBOR USD 1 Month plus | 113,933 | 107 | ||||
Fontainebleau Miami Beach Trust, Series | ||||||
3.447%, 12/10/36 144A | 605,000 | 562 | ||||
FWD Securitization Trust, Series 2020-INV1, | ||||||
2.240%, (AFC), 1/25/50 144A | 225,457 | 206 | ||||
Galton Funding Mortgage Trust, Series | ||||||
3.500%, (AFC), 11/25/57 144A | 34,375 | 31 |
Short-Term Bond Portfolio
Structured Products (33.5%) | Shares/Par + | Value $ (000’s) | ||||
Mortgage Securities continued | ||||||
Galton Funding Mortgage Trust, Series 2019- 1, Class A21 | ||||||
4.500%, (AFC), 2/25/59 144A | 40,444 | 39 | ||||
Galton Funding Mortgage Trust, Series 2019- 1, Class A32 | ||||||
4.000%, (AFC), 2/25/59 144A | 17,596 | 17 | ||||
Galton Funding Mortgage Trust, Series 2019- H1, Class M1 | ||||||
3.339%, (AFC), 10/25/59 144A | 260,000 | 245 | ||||
Galton Funding Mortgage Trust, Series 2020- H1, Class M1 | ||||||
2.832%, (AFC), 1/25/60 144A | 285,000 | 231 | ||||
GCT Commercial Mortgage Trust, Series 2021-GCT, Class A | ||||||
3.618%, (ICE LIBOR USD 1 Month plus 0.800%), 2/15/38 144A | 335,000 | 323 | ||||
Government National Mortgage Association | ||||||
3.000%, 9/20/47 | 530,185 | 475 | ||||
3.500%, 12/20/42 | 3,426 | 3 | ||||
3.500%, 9/20/43 | 46,483 | 43 | ||||
3.500%, 8/20/44 | 90,215 | 84 | ||||
3.500%, 10/20/46 | 590 | 1 | ||||
3.500%, 11/20/46 | 35,857 | 33 | ||||
3.500%, 1/20/47 | 38,998 | 36 | ||||
3.500%, 10/20/52 | 1,119,000 | 1,018 | ||||
4.000%, 3/20/48 | 78,618 | 74 | ||||
4.000%, 4/20/50 | 266,587 | 250 | ||||
4.000%, 10/20/50 | 171,661 | 162 | ||||
4.500%, 7/20/41 | 191,671 | 189 | ||||
4.500%, 10/20/52 | 595,000 | 570 | ||||
5.000%, 3/20/34 | 212,206 | 216 | ||||
5.000%, 1/20/48 | 33,064 | 33 | ||||
5.000%, 2/20/48 | 151,209 | 151 | ||||
5.500%, 6/20/37 | 45,188 | 47 | ||||
5.500%, 9/15/45 | 138,709 | 148 | ||||
5.500%, 3/20/48 | 23,029 | 24 | ||||
5.500%, 12/20/48 | 13,975 | 14 | ||||
5.500%, 2/20/49 | 171,769 | 174 | ||||
5.500%, 10/20/52 | 535,000 | 535 | ||||
Great Wolf Trust, Series 2019-WOLF, Class A | ||||||
3.852%, (ICE LIBOR USD 1 Month plus | 255,000 | 247 | ||||
Great Wolf Trust, Series 2019-WOLF, Class C | ||||||
4.451%, (ICE LIBOR USD 1 Month plus | 270,000 | 257 | ||||
GS Mortgage Backed Securities Trust, Series | ||||||
1.964%, (CSTR), 7/25/44 144A | 3,900 | 4 | ||||
GS Mortgage Backed Securities Trust, Series | ||||||
2.500%, 1/25/52 144A | 301,437 | 259 | ||||
GS Mortgage Backed Securities Trust, Series | ||||||
1.017%, (AFC), 7/25/61 144A | 2,343 | 2 | ||||
GS Mortgage Backed Securities Trust, Series | ||||||
2.500%, 10/25/51 144A | 729,261 | 624 | ||||
GS Mortgage Backed Securities Trust, Series | ||||||
2.500%, (AFC), 6/25/52 144A | 970,233 | 834 |
Structured Products (33.5%) | Shares/Par + | Value $ (000’s) | ||||
Mortgage Securities continued | ||||||
GS Mortgage Backed Securities Trust, Series | ||||||
2.500%, (AFC), 2/25/52 144A | 352,380 | 303 | ||||
GS Mortgage Securities Trust, Series 2021- ROSS, Class B | ||||||
4.418%, (ICE LIBOR USD 1 Month plus | 390,000 | 364 | ||||
Homeward Opportunities Fund I Trust, Series | ||||||
1.657%, (AFC), 5/25/65 144A | 15,479 | 15 | ||||
Hundred Acre Wood Trust, Series 2021-INV1, | ||||||
2.500%, 7/25/51 144A | 475,867 | 413 | ||||
Imperial Fund Mortgage Trust, Series 2021- NQM2, Class A3 | ||||||
1.516%, (AFC), 9/25/56 144A | 275,968 | 222 | ||||
Imperial Fund Mortgage Trust, Series 2022- NQM4, Class A1 | ||||||
4.767%, (AFC), 6/25/67 144A Σ | 803,370 | 768 | ||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, | ||||||
4.418%, (ICE LIBOR USD 1 Month plus | 790,000 | 766 | ||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, | ||||||
4.668%, (ICE LIBOR USD 1 Month plus | 250,000 | 241 | ||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-609M, Class B | ||||||
4.588%, (ICE LIBOR USD 1 Month plus | 540,000 | 513 | ||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-609M, Class C | ||||||
4.988%, (ICE LIBOR USD 1 Month plus | 440,000 | 414 | ||||
JP Morgan Mortgage Trust, Series | ||||||
3.274%, (ICE LIBOR USD 1 Month plus | 49,157 | 47 | ||||
JP Morgan Mortgage Trust, Series 2020-INV1, Class A15 | ||||||
3.500%, (AFC), 8/25/50 144A | 80,022 | 72 | ||||
JPMBB Commercial Mortgage Securities Trust, | ||||||
3.934%, 9/15/47 | 540,000 | 526 | ||||
KIND Trust, Series 2021-KIND, Class C | ||||||
4.568%, (ICE LIBOR USD 1 Month plus | 575,838 | 536 | ||||
KKR Industrial Portfolio Trust, Series 2021- KDIP, Class C | ||||||
3.818%, (ICE LIBOR USD 1 Month plus 1.000%), 12/15/37 144A | 157,500 | 149 | ||||
KKR Industrial Portfolio Trust, Series 2021- KDIP, Class D | ||||||
4.068%, (ICE LIBOR USD 1 Month plus 1.250%), 12/15/37 144A | 116,250 | 110 | ||||
LSTAR Commercial Mortgage Trust, Series | ||||||
4.021%, 3/10/50 144A | 340,000 | 313 |
Short-Term Bond Portfolio
Structured Products (33.5%) | Shares/Par + | Value $ (000’s) | ||||
Mortgage Securities continued | ||||||
Mello Mortgage Capital Acceptance, Series | ||||||
2.500%, (AFC), 10/25/51 144A | 421,074 | 362 | ||||
MFRA Trust, Series 2021-INV1, Class A1 | ||||||
0.852%, (AFC), 1/25/56 144A | 154,746 | 142 | ||||
MFRA Trust, Series 2021-NQM2, Class A2 | ||||||
1.317%, (AFC), 11/25/64 144A | 137,860 | 112 | ||||
MHC Trust, Series 2021-MHC2, Class B | ||||||
3.918%, (ICE LIBOR USD 1 Month plus 1.100%), 5/15/23 144A | 380,000 | 362 | ||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18, Class AS | ||||||
4.110%, (AFC), 10/15/47 | 185,000 | 177 | ||||
Morgan Stanley Capital I Trust, Series 2014- 150E, Class A | ||||||
3.912%, 9/9/32 144A | 610,000 | 567 | ||||
Morgan Stanley Capital I Trust, Series 2019- MEAD, Class D | ||||||
3.177%, (CSTR), 11/10/36 144A | 480,000 | 415 | ||||
Morgan Stanley Capital I Trust, Series 2019- NUGS, Class D | ||||||
4.618%, (ICE LIBOR USD 1 Month plus 1.800%), 12/15/36 144A | 315,000 | 298 | ||||
Morgan Stanley Residential Mortgage Loan Trust, | ||||||
2.500%, (AFC), 5/25/51 144A | 152,286 | 131 | ||||
New Orleans Hotel Trust, Series 2019-HNLA, Class B | ||||||
4.107%, (ICE LIBOR USD 1 Month plus | 606,569 | 575 | ||||
New Residential Mortgage Loan Trust, Series | ||||||
1.650%, (AFC), 5/24/60 144A | 108,450 | 100 | ||||
New Residential Mortgage Loan Trust, Series | ||||||
2.710%, (AFC), 11/25/59 144A | 146,346 | 133 | ||||
New Residential Mortgage Loan Trust, Series | ||||||
2.500%, (AFC), 6/25/51 144A | 310,532 | 267 | ||||
New Residential Mortgage Loan Trust, Series 2021-INV2, Class A7 | ||||||
2.500%, (AFC), 9/25/51 144A | 881,451 | 758 | ||||
NLT Trust, Series 2021-INV2, Class A1 | ||||||
1.162%, (AFC), 8/25/56 144A | 961,629 | 807 | ||||
NLT Trust, Series 2021-INV2, Class A3 | ||||||
1.520%, (AFC), 8/25/56 144A | 248,994 | 208 | ||||
OBX Trust, Series 2019-EXP2, Class 2A2 | ||||||
4.284%, (ICE LIBOR USD 1 Month plus | 83,437 | 80 | ||||
OBX Trust, Series 2019-EXP3, Class 2A1 | ||||||
3.984%, (ICE LIBOR USD 1 Month plus | 91,781 | 89 | ||||
OBX Trust, Series 2020-EXP1, Class 1A8 | ||||||
3.500%, 2/25/60 144A | 165,283 | 148 | ||||
OBX Trust, Series 2020-EXP1, Class 2A1 | ||||||
3.834%, (ICE LIBOR USD 1 Month plus 0.750%), 2/25/60 144A | 156,284 | 151 | ||||
OBX Trust, Series 2020-EXP1, Class 2A2 | ||||||
4.034%, (ICE LIBOR USD 1 Month plus 0.950%), 2/25/60 144A | 93,003 | 90 |
Structured Products (33.5%) | Shares/Par + | Value $ (000’s) | ||||
Mortgage Securities continued | ||||||
OBX Trust, Series 2020-EXP2, Class A8 | ||||||
3.000%, (AFC), 5/25/60 144A | 200,833 | 180 | ||||
OBX Trust, Series 2020-EXP2, Class A9 | ||||||
3.000%, (AFC), 5/25/60 144A | 50,208 | 45 | ||||
OBX Trust, Series 2020-EXP3, Class 1A8 | ||||||
3.000%, (AFC), 1/25/60 144A | 175,419 | 159 | ||||
OBX Trust, Series 2020-INV1, Class A5 | ||||||
3.500%, (AFC), 12/25/49 144A | 46,507 | 42 | ||||
OBX Trust, Series 2021-J1, Class A4 | ||||||
2.500%, (AFC), 5/25/51 144A | 528,460 | 454 | ||||
OBX Trust, Series 2021-NQM1, Class A1 | ||||||
1.072%, (AFC), 2/25/66 144A | 357,095 | 310 | ||||
OBX Trust, Series 2021-NQM3, Class A1 | ||||||
1.054%, (AFC), 7/25/61 144A | 222,175 | 177 | ||||
ONE Park Mortgage Trust, Series 2021-PARK, | ||||||
3.768%, (ICE LIBOR USD 1 Month plus | 755,000 | 721 | ||||
ONE Park Mortgage Trust, Series 2021-PARK, | ||||||
3.918%, (ICE LIBOR USD 1 Month plus 1.100%), 3/15/36 144A | 405,000 | 381 | ||||
PSMC Trust, Series 2021-1, Class A11 | ||||||
2.500%, (AFC), 3/25/51 144A | 759,195 | 655 | ||||
PSMC Trust, Series 2021-2, Class A3 | ||||||
2.500%, (AFC), 5/25/51 144A | 598,911 | 518 | ||||
Sequoia Mortgage Trust, Series 2018-CH2, | ||||||
4.000%, (AFC), 6/25/48 144A | 23,732 | 22 | ||||
Sequoia Mortgage Trust, Series 2018-CH2, | ||||||
4.000%, (AFC), 6/25/48 144A | 54,741 | 52 | ||||
Sequoia Mortgage Trust, Series 2018-CH3, | ||||||
4.500%, (AFC), 8/25/48 144A | 4,880 | 5 | ||||
Sequoia Mortgage Trust, Series 2018-CH4, | ||||||
4.000%, (AFC), 10/25/48 144A | 5,157 | 5 | ||||
SG Residential Mortgage Trust, Series 2019-3, | ||||||
2.877%, (AFC), 9/25/59 144A | 125,602 | 123 | ||||
SG Residential Mortgage Trust, Series 2020-2, | ||||||
1.381%, (AFC), 5/25/65 144A | 122,863 | 108 | ||||
SG Residential Mortgage Trust, Series 2022-1, | ||||||
3.166%, (AFC), 3/27/62 144A | 600,072 | 539 | ||||
Shelter Growth CRE Issuer, Ltd., Series 2021- | ||||||
3.898%, (ICE LIBOR USD 1 Month plus | 214,700 | 209 | ||||
Slide, Series 2018-FUN, Class D | ||||||
4.918%, (ICE LIBOR USD 1 Month plus | 351,586 | 339 | ||||
STACR Trust, Series 2021-DNA2, Class M1 | ||||||
3.081%, (US 30 Day Average SOFR plus | 74,922 | 74 | ||||
STACR Trust, Series 2021-DNA3, Class M2 | ||||||
4.381%, (US 30 Day Average SOFR plus | 395,000 | 376 |
Short-Term Bond Portfolio
Structured Products (33.5%) | Shares/ Par + | Value $ (000’s) | ||||
Mortgage Securities continued | ||||||
STACR Trust, Series 2021-DNA5, Class M2 | ||||||
3.931%, (US 30 Day Average SOFR plus 1.650%), 1/25/34 144A | 225,766 | 220 | ||||
STACR Trust, Series 2021-DNA6, Class M2 | ||||||
3.781%, (US 30 Day Average SOFR plus 1.500%), 10/25/41 144A | 325,000 | 295 | ||||
STACR Trust, Series 2021-DNA7, Class M1 | ||||||
3.131%, (US 30 Day Average SOFR plus 0.850%), 11/25/41 144A | 255,000 | 248 | ||||
STACR Trust, Series 2021-DNA7, Class M2 | ||||||
4.081%, (US 30 Day Average SOFR plus 1.800%), 11/25/41 144A | 375,000 | 336 | ||||
STACR Trust, Series 2021-HQA1, Class M1 | ||||||
2.981%, (US 30 Day Average SOFR plus 0.7008%), 8/25/33 144A | 98,127 | 98 | ||||
STACR Trust, Series 2021-HQA3, Class M1 | ||||||
3.131%, (US 30 Day Average SOFR plus 0.850%), 9/25/41 144A | 235,036 | 227 | ||||
STACR Trust, Series 2021-HQA4, Class M1 | ||||||
3.231%, (US 30 Day Average SOFR plus 0.950%), 12/25/41 144A | 492,804 | 469 | ||||
STACR Trust, Series 2022-DNA2, Class M1A | ||||||
3.581%, (US 30 Day Average SOFR plus 1.300%), 2/25/42 144A | 286,128 | 281 | ||||
STACR Trust, Series 2022-DNA3, Class M1A | ||||||
4.281%, (US 30 Day Average SOFR plus 2.000%), 4/25/42 144A | 642,092 | 636 | ||||
STACR Trust, Series 2022-DNA4, Class M1A | ||||||
4.481%, (US 30 Day Average SOFR plus 2.200%), 5/25/42 144A | 711,311 | 705 | ||||
STACR Trust, Series 2022-DNA5, Class M1A | ||||||
5.231%, (US 30 Day Average SOFR plus 2.950%), 6/25/42 144A | 682,888 | 683 | ||||
STACR Trust, Series 2022-DNA6, Class M1A | ||||||
4.435%, (US 30 Day Average SOFR plus 2.150%), 9/25/42 144A | 230,000 | 229 | ||||
STACR Trust, Series 2022-HQA1, Class M1A | ||||||
4.381%, (US 30 Day Average SOFR plus 2.100%), 3/25/42 144A | 785,445 | 781 | ||||
STACR Trust, Series 2022-HQA3, Class M1A | ||||||
4.581%, (US 30 Day Average SOFR plus 2.300%), 8/25/42 144A | 312,761 | 309 | ||||
Starwood Mortgage Residential Trust, Series 2019-INV1, Class A3 | ||||||
2.916%, (AFC), 9/27/49 144A | 181,793 | 174 | ||||
Starwood Mortgage Residential Trust, Series 2020-1, Class A2 | ||||||
2.408%, (AFC), 2/25/50 144A | 200,456 | 193 | ||||
Starwood Mortgage Residential Trust, Series 2021-2, Class A1 | ||||||
0.943%, (AFC), 5/25/65 144A | 180,842 | 168 | ||||
Starwood Mortgage Residential Trust, Series 2021-4, Class A1 | ||||||
1.162%, (AFC), 8/25/56 144A | 689,629 | 585 | ||||
Toorak Mortgage Corp., Series 2021-INV1, Class A2 | ||||||
1.409%, (AFC), 7/25/56 144A | 137,804 | 118 | ||||
Towd Point Mortgage Trust, Series 2022-4, Class A1 | ||||||
3.750%, (AFC), 9/25/62 144A Æ | 1,000,000 | 948 |
Structured Products (33.5%) | Shares/ Par + | Value $ (000’s) | ||||
Mortgage Securities continued | ||||||
United Wholsale Mortgage LLC, Series 2021- INV2, Class A4 | ||||||
2.500%, (AFC), 9/25/51 144A | 163,183 | 141 | ||||
United Wholsale Mortgage LLC, Series 2021- INV5, Class B | ||||||
2.500%, (AFC), 1/25/52 144A | 190,016 | 163 | ||||
Verus Securitization Trust, Series 2019-4, Class A3 | ||||||
3.000%, (AFC), 11/25/59 144A ∑ | 221,554 | 215 | ||||
Verus Securitization Trust, Series 2019-INV2, Class A1 | ||||||
2.913%, (AFC), 7/25/59 144A | 115,112 | 113 | ||||
Verus Securitization Trust, Series 2019-INV2, Class A2 | ||||||
3.117%, (AFC), 7/25/59 144A | 154,147 | 152 | ||||
Verus Securitization Trust, Series 2019-INV3, Class A3 | ||||||
3.100%, (AFC), 11/25/59 144A | 151,279 | 145 | ||||
Verus Securitization Trust, Series 2020-1, Class A1 | ||||||
2.417%, (AFC), 1/25/60 144A ∑ | 84,818 | 82 | ||||
Verus Securitization Trust, Series 2020-1, Class A3 | ||||||
2.724%, (AFC), 1/25/60 144A ∑ | 197,912 | 191 | ||||
Verus Securitization Trust, Series 2020-2, Class A1 | ||||||
2.226%, (AFC), 5/25/60 144A | 125,586 | 123 | ||||
Verus Securitization Trust, Series 2020-5, Class A3 | ||||||
1.733%, (AFC), 5/25/65 144A ∑ | 91,131 | 83 | ||||
Verus Securitization Trust, Series 2020-INV1, Class A1 | ||||||
1.977%, (AFC), 4/25/60 144A | 66,703 | 65 | ||||
Verus Securitization Trust, Series 2021-1, Class A1 | ||||||
0.815%, (AFC), 1/25/66 144A | 104,759 | 90 | ||||
Verus Securitization Trust, Series 2021-1, Class A3 | ||||||
1.155%, (AFC), 1/25/66 144A | 85,522 | 73 | ||||
Verus Securitization Trust, Series 2021-2, Class A1 | ||||||
1.031%, (AFC), 2/25/66 144A | 193,013 | 160 | ||||
Verus Securitization Trust, Series 2021-2, Class A2 | ||||||
1.052%, (AFC), 1/25/66 144A | 145,387 | 125 | ||||
Verus Securitization Trust, Series 2021-5, Class A3 | ||||||
1.373%, (AFC), 9/25/66 144A | 233,416 | 189 | ||||
Verus Securitization Trust, Series 2021-7, Class A1 | ||||||
1.829%, (AFC), 10/25/66 144A | 876,661 | 742 | ||||
Verus Securitization Trust, Series 2021-R1, Class A2 | ||||||
1.057%, (AFC), 10/25/63 144A | 67,670 | 62 | ||||
Verus Securitization Trust, Series 2021-R2, Class A1 | ||||||
0.918%, (AFC), 2/25/64 144A | 199,448 | 182 | ||||
Verus Securitization Trust, Series 2022-1, Class A3 | ||||||
3.288%, (AFC), 1/25/67 144A | 941,004 | 781 |
Short-Term Bond Portfolio
Structured Products (33.5%) | Shares/ Par + | Value $ (000’s) | ||||||
Mortgage Securities continued | ||||||||
Verus Securitization Trust, Series 2022-6, Class A1 | ||||||||
4.910%, (AFC), 6/25/67 144A ∑ | 249,011 | 241 | ||||||
Vista Point Securitization Trust, Series 2020-2, Class A3 | ||||||||
2.496%, (AFC), 4/25/65 144A | 58,656 | 55 | ||||||
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2, Class A2 | ||||||||
3.020%, 7/15/58 | 65,062 | 63 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Series 2020-RR1, Class A17 | ||||||||
3.000%, (AFC), 5/25/50 144A | 39,780 | 33 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Series 2021-RR1, Class A3 | ||||||||
2.500%, (AFC), 12/25/50 144A | 639,975 | 550 | ||||||
WFRBS Commercial Mortgage Trust, Series 2014-C23, Class A5 | ||||||||
3.917%, 10/15/57 | 575,000 | 559 | ||||||
WFRBS Commercial Mortgage Trust, Series 2014-LC14, Class A5 | ||||||||
4.045%, 3/15/47 | 325,000 | 319 | ||||||
Total | 73,744 | |||||||
Total Structured Products (Cost: $138,654) |
| 129,367 | ||||||
Short-Term Investments (0.5%) | ||||||||
Money Market Funds (0.5%) | ||||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class | 2,078,894 | 2,079 | ||||||
Total | 2,079 | |||||||
Total Short-Term Investments (Cost: $2,079) |
| 2,079 | ||||||
Total Investments (100.2%) (Cost: $408,723)@ |
| 386,856 | ||||||
Other Assets, Less Liabilities (-0.2%) | (861 | ) | ||||||
Net Assets (100.0%) | 385,995 |
Exchange Traded or Centrally Cleared Derivatives
Futures
Issuer | Long/ Short | Currency | Notional Par (000’s) | Number of Contracts | Expiration Date | Notional Value (000’s) | Unrealized Appreciation/ (000’s) | Variation Margin (000’s) | ||||||||||||||||||||||||
Five-Year US Treasury Note Future | Short | USD | 12,000 | 120 | 12/22 | $ | 12,901 | $ | 443 | $ | 32 | |||||||||||||||||||||
Ten-Year US Treasury Note Future | Short | USD | 4,600 | 46 | 12/22 | 5,155 | 61 | 32 | ||||||||||||||||||||||||
Two-Year US Treasury Note Future | Long | USD | 71,000 | 355 | 12/22 | 72,914 | (1,149 | ) | 40 | |||||||||||||||||||||||
Ultra Ten-Year US Treasury Note Future | Short | USD | 1,500 | 15 | 12/22 | 1,777 | 111 | 7 | ||||||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||
$ | (534 | ) | $ | 111 | ||||||||||||||||||||||||||||
|
|
|
Short-Term Bond Portfolio
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||
Variation Margin (000’s) | Variation Margin (000’s) | Market Value (000’s) | ||||||||||||||||||||||||||
Swaps | Futures | Total | Swaps | Futures | Total | Options | ||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared Derivatives | $ | – | $ | 111 | $ | 111 | $ | – | $ | – | $ | – | $ | – |
+ | All par is stated in U.S. Dollar unless otherwise noted. |
144A | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2022 the value of these securities (in thousands) was $159,392 representing 41.3% of the net assets. |
§ | Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. At September 30, 2022, the aggregate value of these securities was $4,525 (in thousands), representing 1.2% of net assets. |
ß | Part or all of the security has been pledged as collateral. |
Σ | Stepped coupon bond for which the coupon rate of interest adjusts on specified date(s); rate shown is effective rate at period-end. |
π | Amount is less than one thousand. |
Æ | Security valued using significant unobservable inputs. |
# | 7-Day yield as of 9/30/2022. |
@ | At September 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $408,723 and the net unrealized depreciation of investments based on that cost was $22,402 which is comprised of $700 aggregate gross unrealized appreciation and $23,102 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
Short-Term Bond Portfolio
The Fair Value Measurements and Disclosures Topic of the FASB Accounting Standards Codification defines fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes and requires disclosure of a fair value hierarchy, separately for each major category of asset and liability, which segregates fair value measurements into levels. A summary of the fair value hierarchy is described below:
Level 1 - fair value is determined by unadjusted quoted prices in active markets for identical securities or derivatives
Level 2 - fair value is determined by other significant observable inputs
Level 3 - fair value is determined by significant unobservable inputs
The categorization of a value determined for a financial instrument within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond to the Portfolio’s perceived risk of that instrument.
The following is a summary of the inputs used in valuing the Portfolio’s Investments at September 30, 2022.
Valuation Inputs | ||||||||||||||||||
Description | Level 1 - Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant | |||||||||||||||
(Amounts in thousands) | ||||||||||||||||||
Assets: | ||||||||||||||||||
Municipal Bonds | $ | — | $ 1,455 | $ | — | |||||||||||||
Corporate Bonds | — | 191,412 | — | |||||||||||||||
Governments | — | 62,543 | — | |||||||||||||||
Structured Products | ||||||||||||||||||
Mortgage Securities | — | 72,796 | 948 | |||||||||||||||
All Others | — | 55,623 | — | |||||||||||||||
Short-Term Investments | 2,079 | — | — | |||||||||||||||
Other Financial Instruments^ | ||||||||||||||||||
Futures | 615 |
| — |
| — | |||||||||||||
Total Assets: | $ | 2,694 | $ 383,829 | $ | 948 | |||||||||||||
Liabilities: | ||||||||||||||||||
Other Financial Instruments^ | ||||||||||||||||||
Futures | (1,149 | ) | — | — | ||||||||||||||
Total Liabilities: | $ | (1,149 | ) | $ — | $ | — |
^ Other financial instruments are derivative instruments such as futures and forward foreign currency contracts, which are valued at the unrealized appreciation (depreciation) on the instrument, and securities sold short, reverse repurchase agreements, written options and swaps contracts, which are valued at market value.
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended September 30, 2022.
Abbreviations
Abbreviations that may be used in the preceding statements
ADR | American Depositary Receipt | |
AFC | Available Funds Cap security - Security accrues interest at an assumed or uncapped rate. If the interest rate on the underlying loans is lower than the uncapped rate, then the security will pay at the lower rate. | |
CSTR | Collateral Strip Rate security - interest is based on the weighted net interest rate of the collateral. | |
EXE | Security receives collateral principal and interest paid which exceeds the amount of principal and income obligated to all bonds in the deal. | |
IO | Interest Only Security | |
PO | Principal Only Security | |
GDR | Global Depositary Receipt | |
GO | General Obligation | |
RB | Revenue Bond | |
CPURNSA | U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted | |
LIBOR | London Interbank Offered Rate | |
SOFR | Secured Overnight Financing Rate | |
ICE | Intercontinental Exchange | |
SONIO | Sterling Overnight Interbank Average Rate | |
DAC | Designated Activity Company | |
TBA | To Be Announced | |
OIS | Overnight Index Swaps | |
DIFC | Dubai International Financial Centre | |
EURIBOR | Euro Interbank Offered Rate | |
SDR | Swedish Depository Receipt | |
ETF | Exchange Traded Fund | |
Currency Abbreviations | ||
ARS | Argentine Peso | |
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
CHF | Swiss Franc | |
CNH | Chinese Yuan Renminbi - Offshore | |
CNY | Chinese Yuan Renminbi | |
DKK | Danish Krone | |
EUR | Euro | |
GBP | British Pound | |
HKD | Hong Kong Dollar | |
IDR | Indonesian Rupiah | |
INR | Indian Rupee | |
JPY | Japanese Yen | |
KES | Kenyan Shilling | |
KRW | South Korean Won | |
MXN | Mexican New Peso | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar | |
PHP | Philippines Peso | |
RUB | Russian Ruble | |
SEK | Swedish Krona | |
THB | Thai Baht | |
TWD | Taiwan Dollar | |
USD | United States Dollar | |
ZAR | South African Rand |