Investment Portfolio - September 30, 2022
(unaudited)
UNCONSTRAINED BOND SERIES | SHARES/ PRINCIPAL AMOUNT1 | VALUE | ||||||
COMMON STOCKS - 0.6% | ||||||||
Energy - 0.6% | ||||||||
Oil, Gas & Consumable Fuels - 0.6% | ||||||||
Jonah Energy Parent LLC*2 | ||||||||
(Identified Cost $1,288,725) | 85,915 | $ | 4,889,423 | |||||
PREFERRED STOCKS - 1.0% | ||||||||
Health Care - 0.3% | ||||||||
Pharmaceuticals - 0.3% | ||||||||
Harrow Health, Inc., 8.625%, 4/30/2026 | 109,800 | 2,723,040 | ||||||
Information Technology - 0.7% | ||||||||
Software - 0.7% | ||||||||
Argo Blockchain plc (United Kingdom), | ||||||||
8.75%, 11/30/2026 | 71,086 | 1,129,556 | ||||||
Greenidge Generation Holdings, Inc., | ||||||||
8.50%, 10/31/2026 | 70,000 | 854,000 | ||||||
Synchronoss Technologies, Inc., | ||||||||
8.375%, 6/30/2026 | 152,955 | 3,361,951 | ||||||
TOTAL PREFERRED STOCKS | ||||||||
(Identified Cost $10,072,534) | 8,068,547 | |||||||
LOAN ASSIGNMENTS - 0.9% | ||||||||
American Axle & Manufacturing, Inc., | ||||||||
Tranche B Term Loan, Term B, (1 mo. LIBOR US + 2.250%), 5.069%, 4/6/20243 | ||||||||
(Identified Cost $7,568,487) | 7,618,143 | 7,439,116 | ||||||
CORPORATE BONDS - 33.9% | ||||||||
Non-Convertible Corporate Bonds- 33.9% | ||||||||
Communication Services - 4.5% | ||||||||
Entertainment - 2.3% | ||||||||
Media & Games Invest SE (Malta) (3 mo. EURIBOR + 6.250%), 7.316%, 6/21/20263,4 | EUR | 8,000,000 | 7,553,232 | |||||
Warnermedia Holdings, Inc., | ||||||||
(U.S. Secured Overnight Financing Index + 1.780%), 4.364%, 3/15/20243,4 | 7,500,000 | 7,483,095 | ||||||
4.054%, 3/15/20294 | 4,500,000 | 3,893,585 | ||||||
18,929,912 | ||||||||
Interactive Media & Services - 0.7% | ||||||||
Tencent Holdings Ltd. (China), 3.975%, 4/11/20294 | 6,650,000 | 5,973,350 | ||||||
Media - 0.9% | ||||||||
Quebecor Media, Inc. (Canada), 5.75%, 1/15/2023 | 7,450,000 | 7,435,615 | ||||||
Wireless Telecommunication Services - 0.6% | ||||||||
Sprint Communications LLC, 6.00%, 11/15/2022 | 1,650,000 | 1,651,103 |
SHARES/ PRINCIPAL AMOUNT1 | VALUE | |||||||
CORPORATE BONDS (continued) | ||||||||
Non-Convertible Corporate Bonds (continued) | ||||||||
Communication Services (continued) | ||||||||
Wireless Telecommunication Services (continued) | ||||||||
Sprint Corp., 7.875%, 9/15/2023 | 2,737,000 | $ | 2,767,600 | |||||
4,418,703 | ||||||||
Total Communication Services | 36,757,580 | |||||||
Consumer Discretionary - 3.8% | ||||||||
Automobiles - 1.4% | ||||||||
Ford Motor Credit Co. LLC, | ||||||||
3.35%, 11/1/2022 | 3,518,000 | 3,511,932 | ||||||
3.087%, 1/9/2023 | 3,110,000 | 3,086,811 | ||||||
Hyundai Capital America, 5.75%, 4/6/20234 | 5,000,000 | 5,014,996 | ||||||
11,613,739 | ||||||||
Hotels, Restaurants & Leisure - 1.3% | ||||||||
Expedia Group, Inc., 3.25%, 2/15/2030 | 3,400,000 | 2,752,646 | ||||||
MGM Resorts International, 6.00%, 3/15/2023 | 7,363,000 | 7,357,873 | ||||||
10,110,519 | ||||||||
Internet & Direct Marketing Retail - 1.1% | ||||||||
Alibaba Group Holding Ltd. (China), 4.00%, 12/6/2037 | 3,210,000 | 2,461,263 | ||||||
Amazon.com, Inc., 3.30%, 4/13/2027 | 4,000,000 | 3,784,032 | ||||||
Gaming Innovation Group plc (Malta) (3 mo. STIB + 8.500%), 9.979%, 6/11/2024 (Acquired 01/26/2022, cost $1,097,585)3,4,5 | SEK | 10,000,000 | 904,620 | |||||
North Investment Group AB (Sweden) (3 mo. STIB + 9.000%), 10.375%, 5/5/2024 (Acquired 04/22/2021, cost $2,818,941)3,5 | SEK | 23,750,000 | 2,121,775 | |||||
9,271,690 | ||||||||
Total Consumer Discretionary | 30,995,948 | |||||||
Consumer Staples - 1.2% | ||||||||
Beverages - 0.4% | ||||||||
PepsiCo, Inc., 3.90%, 7/18/2032 | 4,000,000 | 3,696,974 | ||||||
Food Products - 0.8% | ||||||||
Campbell Soup Co., 3.65%, 3/15/2023 | 4,680,000 | 4,662,184 | ||||||
Greenfood AB (Sweden) (3 mo. STIB + 7.000%), 8.35%, 11/4/2025 (Acquired 10/28/2021, cost $2,486,820)3,5 | SEK | 21,250,000 | 1,775,960 | |||||
6,438,144 | ||||||||
Total Consumer Staples | 10,135,118 | |||||||
Energy - 4.0% | ||||||||
Energy Equipment & Services - 0.4% | ||||||||
Kent Global plc (United Kingdom), 10.00%, 6/28/2026 | 3,500,000 | 3,361,692 |
1
Investment Portfolio - September 30, 2022
(unaudited)
UNCONSTRAINED BOND SERIES | SHARES/ PRINCIPAL AMOUNT1 | VALUE | ||||||
CORPORATE BONDS (continued) | ||||||||
Non-Convertible Corporate Bonds (continued) | ||||||||
Energy (continued) | ||||||||
Oil, Gas & Consumable Fuels - 3.6% | ||||||||
Brooge Petroleum and Gas Investment Co. FZE (United Arab Emirates), 8.50%, 9/24/20254 | 4,820,016 | $ | 4,595,495 | |||||
Cenovus Energy, Inc. (Canada), 6.75%, 11/15/2039 | 1,579,000 | 1,570,354 | ||||||
DCP Midstream Operating LP, 3.875%, 3/15/2023 | 5,000,000 | 4,949,450 | ||||||
Energy Transfer LP, 4.25%, 3/15/2023 | 4,000,000 | 3,981,703 | ||||||
PetroTal Corp. (Peru), 12.00%, 2/16/2024 (Acquired 02/01/2021, cost $2,584,000)5 | 2,720,000 | 2,763,192 | ||||||
Ping Petroleum UK Ltd. (Bermuda), 12.00%, 7/29/2024 (Acquired 07/14/2021-09/15/2021, cost $2,257,763)5 | 2,300,000 | 2,254,000 | ||||||
Sabine Pass Liquefaction LLC, | ||||||||
5.625%, 4/15/2023 | 1,834,000 | 1,837,547 | ||||||
5.75%, 5/15/2024 | 7,000,000 | 7,027,242 | ||||||
28,978,983 | ||||||||
Total Energy | 32,340,675 | |||||||
Financials - 9.1% | ||||||||
Banks - 4.4% | ||||||||
Bank of America Corp., | ||||||||
(3 mo. LIBOR US + 0.780%), 3.55%, 3/5/20246 | 3,000,000 | 2,977,306 | ||||||
(3 mo. LIBOR US + 0.760%), 4.053%, 9/15/20263 | 3,561,000 | 3,461,859 | ||||||
JPMorgan Chase & Co., 8.00%, 4/29/2027 | 3,000,000 | 3,293,721 | ||||||
KeyBank NA, (U.S. Secured Overnight Financing Rate + 0.340%), 0.423%, 1/3/20246 | 5,000,000 | 4,934,228 | ||||||
Morgan Stanley, (U.S. Secured Overnight Financing Rate + 0.455%), 0.529%, 1/25/20246 | 5,000,000 | 4,919,767 | ||||||
Popular, Inc. (Puerto Rico), 6.125%, 9/14/2023 | 3,735,000 | 3,707,328 | ||||||
The Goldman Sachs Group, Inc., | ||||||||
(U.S. Secured Overnight Financing Rate + 0.572%), 0.673%, 3/8/20246 | 5,000,000 | 4,884,821 | ||||||
(U.S. Secured Overnight Financing Rate + 1.390%), 3.974%, 3/15/20243 | 7,500,000 | 7,529,133 | ||||||
35,708,163 | ||||||||
Capital Markets - 1.2% | ||||||||
Blackstone Secured Lending Fund, 2.75%, 9/16/2026 | 1,525,000 | 1,317,978 | ||||||
Drawbridge Special Opportunities Fund LP - Drawbridge Special Opportunities Finance Corporation, 3.875%, 2/15/20264 | 2,850,000 | 2,586,419 | ||||||
Owl Rock Technology Finance Corp., 3.75%, 6/17/20264 | 3,000,000 | 2,601,434 |
SHARES/ PRINCIPAL AMOUNT1 | VALUE | |||||||
CORPORATE BONDS (continued) | ||||||||
Non-Convertible Corporate Bonds (continued) | ||||||||
Financials (continued) | ||||||||
Capital Markets (continued) | ||||||||
StoneX Group, Inc., 8.625%, 6/15/20254 | 3,580,000 | $ | 3,623,016 | |||||
10,128,847 | ||||||||
Consumer Finance - 2.6% | ||||||||
Navient Corp., | ||||||||
5.50%, 1/25/2023 | 7,750,000 | 7,751,737 | ||||||
6.75%, 6/25/2025 | 1,800,000 | 1,687,824 | ||||||
OneMain Finance Corp., 5.625%, | ||||||||
3/15/2023 | 8,233,000 | 8,210,575 | ||||||
PRA Group, Inc., 7.375%, 9/1/20254 | 3,570,000 | 3,460,267 | ||||||
21,110,403 | ||||||||
Diversified Financial Services - 0.5% | ||||||||
FS Energy & Power Fund, 7.50%, 8/15/20234 | 3,685,000 | 3,689,178 | ||||||
Mortgage Real Estate Investment Trusts (REITS) - 0.4% | ||||||||
Arbor Realty Trust, Inc., 8.00%, 4/30/2023 (Acquired 05/10/2021, cost $3,785,222)5 | 3,555,000 | 3,565,534 | ||||||
Total Financials | 74,202,125 | |||||||
Industrials - 5.3% | ||||||||
Airlines - 1.7% | ||||||||
Alaska Airlines Pass-Through Trust, | ||||||||
Series 2020-1, Class B, 8.00%, 8/15/20254 | 4,178,617 | 4,219,210 | ||||||
Southwest Airlines Co., 5.25%, 5/4/2025 | 3,000,000 | 2,997,428 | ||||||
United Airlines Pass-Through Trust, | ||||||||
Series 2019-2, Class B, 3.50%, 5/1/2028 | 3,985,486 | 3,244,110 | ||||||
United Airlines Pass-Through Trust, | ||||||||
Series 2018-1, Class B, 4.60%, 3/1/2026 | 3,670,033 | 3,352,581 | ||||||
13,813,329 | ||||||||
Commercial Services & Supplies - 1.1% | ||||||||
Airswift Global AS (United Kingdom) (3 mo. LIBOR US + 8.500%), 11.423%, 5/12/2025 (Acquired 05/03/2021, cost $3,100,000)3,5 | 3,100,000 | 3,087,775 | ||||||
Cartiga LLC, 8.00%, 6/15/2026 | ||||||||
(Acquired 06/14/2021, cost $4,000,000)5 | 4,000,000 | 3,575,633 | ||||||
The ADT Security Corp., 4.125%, 6/15/2023 | 2,700,000 | 2,666,861 | ||||||
9,330,269 | ||||||||
Electrical Equipment - 0.3% | ||||||||
Joetul AS (Norway) (3 mo. NIBOR + 6.950%), 8.62%, 10/6/20243 | NOK | 23,000,000 | 2,091,216 | |||||
Marine - 1.7% | ||||||||
American Tanker, Inc. (Norway), 7.75%, 7/2/2025 | 6,560,000 | 6,232,000 |
2
Investment Portfolio - September 30, 2022
(unaudited)
UNCONSTRAINED BOND SERIES | SHARES/ PRINCIPAL AMOUNT1 | VALUE | ||||||
CORPORATE BONDS (continued) | ||||||||
Non-Convertible Corporate Bonds (continued) | ||||||||
Industrials (continued) | ||||||||
Marine (continued) | ||||||||
Seaspan Corp. (Hong Kong), 6.50%, 2/5/20244 | 7,600,000 | $ | 7,448,000 | |||||
13,680,000 | ||||||||
Road & Rail - 0.2% | ||||||||
BNSF Funding Trust I, (3 mo. LIBOR US + 2.350%), 6.613%, 12/15/20556 | 1,500,000 | 1,405,399 | ||||||
Trading Companies & Distributors - 0.3% | ||||||||
AerCap Ireland Capital DAC - AerCap Global Aviation Trust (Ireland), 3.00%, 10/29/2028 | 1,970,000 | 1,589,713 | ||||||
Ashtead Capital, Inc. (United Kingdom), 4.00%, 5/1/20284 | 1,500,000 | 1,311,144 | ||||||
2,900,857 | ||||||||
Total Industrials | 43,221,070 | |||||||
Information Technology - 0.5% | ||||||||
Software - 0.5% | ||||||||
Cabonline Group Holding AB (Sweden) | ||||||||
(3 mo. STIB + 9.500%), 10.617%, 4/19/20263,4 | SEK | 17,500,000 | 1,526,480 | |||||
Extenda Retail Holding 1 AB (Sweden) | ||||||||
(3 mo. STIB + 6.750%), 7.553%, 3/30/2027 (Acquired 03/24/2022, cost $3,620,906)3,5 | SEK | 34,000,000 | 2,915,134 | |||||
Total Information Technology | 4,441,614 | |||||||
Materials - 0.2% | ||||||||
Metals & Mining - 0.2% | ||||||||
Newcastle Coal Infrastructure Group Pty Ltd. (Australia), 4.40%, 9/29/20274 | 1,750,000 | 1,499,386 | ||||||
Northwest Acquisitions ULC - Dominion Finco, Inc., 7.125%, 11/1/2022 (Acquired 10/06/2017-09/12/2019, cost $4,353,936)5,7 | 5,870,000 | 587 | ||||||
Total Materials | 1,499,973 | |||||||
Real Estate - 3.5% | ||||||||
Equity Real Estate Investment Trusts (REITS) - 3.1% | ||||||||
Crown Castle, Inc., | ||||||||
3.15%, 7/15/2023 | 3,615,000 | 3,567,894 | ||||||
3.10%, 11/15/2029 | 2,250,000 | 1,887,992 | ||||||
IIP Operating Partnership LP, 5.50%, | ||||||||
5/25/2026 | 4,320,000 | 3,804,464 | ||||||
Novedo Holding AB (Sweden) (3 mo. | ||||||||
STIB + 6.500%), 7.765%, 11/26/2024 | ||||||||
(Acquired 11/15/2021-03/30/2022, cost $2,935,885)3,5 | SEK | 26,250,000 | 2,260,822 | |||||
Pelorus Fund REIT LLC, 7.00%, | ||||||||
9/30/2026 (Acquired 09/21/2021- | ||||||||
07/08/2022, cost $4,218,250)5 | 4,345,000 | 3,750,229 | ||||||
SBA Tower Trust, | ||||||||
2.836%, 1/15/20254 | 3,500,000 | 3,275,335 |
SHARES/ PRINCIPAL AMOUNT1 | VALUE | |||||||
CORPORATE BONDS (continued) | ||||||||
Non-Convertible Corporate Bonds (continued) | ||||||||
Real Estate (continued) | ||||||||
Equity Real Estate Investment Trusts (REITS) (continued) | ||||||||
SBA Tower Trust, (continued) | ||||||||
1.884%, 1/15/20264 | 2,750,000 | $ | 2,418,484 | |||||
Simon Property Group LP, 2.65%, 2/1/2032 | 5,500,000 | 4,289,975 | ||||||
25,255,195 | ||||||||
Real Estate Management & Development - 0.4% | ||||||||
Carrington Holding Co. LLC, 8.00%, 1/1/20264 | 3,500,000 | 3,134,471 | ||||||
Total Real Estate | 28,389,666 | |||||||
Utilities - 1.8% | ||||||||
Electric Utilities - 1.2% | ||||||||
Alexander Funding Trust, 1.841%, 11/15/20234 | 10,000,000 | 9,449,130 | ||||||
Independent Power and Renewable Electricity Producers - 0.4% | ||||||||
Vistra Operations Co. LLC, 3.55%, 7/15/20244 | 3,500,000 | 3,334,584 | ||||||
Multi-Utilities - 0.2% | ||||||||
Dominion Energy, Inc., 2.45%, 1/15/20234 | 2,000,000 | 1,989,144 | ||||||
Total Utilities | 14,772,858 | |||||||
TOTAL CORPORATE BONDS | ||||||||
(Identified Cost $300,626,574) | 276,756,627 | |||||||
ASSET-BACKED SECURITIES - 31.7% | ||||||||
Aligned Data Centers Issuer LLC, | ||||||||
Series 2021-1A, Class A2, 1.937%, 8/15/20464 | 4,500,000 | 3,867,725 | ||||||
Ally Auto Receivables Trust, Series 2022-1, Class A1, 1.355%, 5/15/2023 | 1,502,607 | 1,501,337 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2017-2A, Class A, 2.97%, 3/20/20244 | 8,000,000 | 7,968,527 | ||||||
BRSP Ltd., Series 2021-FL1, Class A, | ||||||||
(1 mo. LIBOR US + 1.150%), 4.143%, 8/19/20383,4 | 3,000,000 | 2,911,183 | ||||||
Business Jet Securities LLC, Series 2021-1A, Class A, 2.162%, 4/15/20364 | 4,176,705 | 3,667,520 | ||||||
CarMax Auto Owner Trust, Series 2020- 4, Class A3, 0.50%, 8/15/2025 | 8,307,048 | 8,092,938 | ||||||
Carvana Auto Receivables Trust, | ||||||||
Series 2020-N1A, Class B, 2.01%, 3/17/20254 | 268,806 | 268,615 | ||||||
Series 2020-P1, Class A4, 0.61%, 10/8/2026 | 5,788,000 | 5,444,294 | ||||||
CF Hippolyta Issuer LLC, | ||||||||
Series 2020-1, Class A1, 1.69%, 7/15/20604 | 3,774,064 | 3,353,006 | ||||||
Series 2020-1, Class B1, 2.28%, 7/15/20604 | 1,841,007 | 1,610,309 |
3
Investment Portfolio - September 30, 2022
(unaudited)
UNCONSTRAINED BOND SERIES | SHARES/ PRINCIPAL AMOUNT1 | VALUE | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Chase Auto Owner Trust, Series 2022-AA, Class A1, 2.983%, 8/25/20234 | 6,417,931 | $ | 6,408,782 | |||||
CLI Funding VIII LLC, Series 2021-1A, Class A, 1.64%, 2/18/20464 | 5,625,288 | 4,822,373 | ||||||
College Ave Student Loans LLC, Series 2021-A, Class A2, 1.60%, 7/25/20514 | 1,872,113 | 1,599,459 | ||||||
Commonbond Student Loan Trust, | ||||||||
Series 2019-AGS, Class A1, 2.54%, 1/25/20474 | 2,065,233 | 1,868,824 | ||||||
CoreVest American Finance Trust, | ||||||||
Series 2019-1, Class A, 3.324%, 3/15/20524 | 728,043 | 713,817 | ||||||
Series 2019-3, Class A, 2.705%, 10/15/20524 | 1,884,313 | 1,768,474 | ||||||
Series 2020-3, Class A, 1.358%, 8/15/20534 | 1,148,553 | 1,007,419 | ||||||
Series 2020-4, Class A, 1.174%, 12/15/20524 | 1,082,060 | 965,326 | ||||||
Credit Acceptance Auto Loan Trust, | ||||||||
Series 2020-3A, Class A, 1.24%, 10/15/20294 | 6,410,000 | 6,232,868 | ||||||
Series 2021-2A, Class C, 1.64%, 6/17/20304 | 3,800,000 | 3,445,633 | ||||||
Series 2021-3A, Class C, 1.63%, 9/16/20304 | 3,000,000 | 2,667,421 | ||||||
Series 2022-1A, Class A, 4.60%, 6/15/20324 | 7,400,000 | 7,226,815 | ||||||
DataBank Issuer, Series 2021-1A, Class A2, 2.06%, 2/27/20514 | 5,200,000 | 4,464,560 | ||||||
Diamond Infrastructure Funding LLC, | ||||||||
Series 2021-1A, Class A, 1.76%, 4/15/20494 | 5,000,000 | 4,105,928 | ||||||
DT Auto Owner Trust, Series 2020-1A, Class C, 2.29%, 11/17/20254 | 5,857,583 | 5,829,051 | ||||||
EDvestinU Private Education Loan Issue No. 1 LLC, | ||||||||
Series 2019-A, Class A, 3.58%, 11/25/20384 | 1,710,890 | 1,617,703 | ||||||
Series 2021-A, Class A, 1.80%, 11/25/20454 | 1,963,180 | 1,677,618 | ||||||
Flagship Credit Auto Trust, Series 2019- 4, Class B, 2.53%, 11/17/20254 | 2,816,138 | 2,812,954 | ||||||
Flexential Issuer, Series 2021-1A, Class A2, 3.25%, 11/27/20514 | 4,760,000 | 4,141,044 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
Series 2022-C, Class A1, 3.633%, 10/15/2023 | 5,500,000 | 5,499,443 | ||||||
FS RIALTO, Series 2021-FL2, Class A, | ||||||||
(1 mo. LIBOR US + 1.220%), 4.159%, 5/16/20383,4 | 3,000,000 | 2,909,904 | ||||||
Goodgreen Trust, Series 2020-1A, Class A, 2.63%, 4/15/20554 | 3,455,295 | 2,791,986 | ||||||
Hertz Vehicle Financing LLC, Series 2021-1A, Class B, 1.56%, 12/26/20254 | 3,000,000 | 2,742,888 | ||||||
Hotwire Funding LLC, Series 2021-1, Class A2, 2.311%, 11/20/20514 | 3,500,000 | 2,998,301 | ||||||
HTS Fund I LLC, Series 2021-1, Class A, 1.411%, 8/25/20364 | 1,750,000 | 1,691,749 |
SHARES/ PRINCIPAL AMOUNT1 | VALUE | |||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Hyundai Auto Lease Securitization Trust, | ||||||||
Series 2020-B, Class A3, 0.51%, 9/15/20234 | 2,343,993 | $ | 2,335,916 | |||||
ITE Rail Fund Levered LP, Series 2021- 3A, Class A, 2.21%, 6/28/20514 | 5,654,450 | 4,876,456 | ||||||
KREF Ltd., Series 2021-FL2, Class AS, | ||||||||
(1 mo. LIBOR US + 1.300%), 4.239%, 2/15/20393,4 | 3,500,000 | 3,335,816 | ||||||
Laurel Road Prime Student Loan Trust, | ||||||||
Series 2019-A, Class A2FX, 2.73%, 10/25/20484 | 446,267 | 436,618 | ||||||
LCCM Trust, | ||||||||
Series 2021-FL2, Class AS, (1 mo. LIBOR US + 1.550%), 4.368%, 12/13/20383,4 | 2,000,000 | 1,895,538 | ||||||
Series 2021-FL2, Class B, (1 mo. LIBOR US + 1.900%), 4.718%, 12/13/20383,4 | 3,000,000 | 2,854,783 | ||||||
LFS LLC, Series 2022-A, Class | ||||||||
A, 5.25%, 5/15/2034 (Acquired 05/11/2022, cost $6,711,241)5 | 6,736,165 | 6,540,877 | ||||||
Libra Solutions LLC, Series 2022-1A, | ||||||||
Class A, 4.75%, 5/15/20344 | 3,231,018 | 3,174,302 | ||||||
Libra Solutions LLC, Series 2022-2A, | ||||||||
Class A, 6.85%, 10/15/20344 | 5,200,000 | 5,196,185 | ||||||
Navient Private Education Loan Trust, | ||||||||
Series 2014-1, Class A3, (1 mo. LIBOR US + 0.510%), 3.594%, 6/25/20313 | 4,090,175 | 3,963,139 | ||||||
Series 2015-BA, Class A3, (1 mo. LIBOR US + 1.450%), 4.268%, 7/16/20403,4 | 2,027,641 | 2,015,721 | ||||||
Series 2017-2A, Class A, (1 mo. LIBOR US + 1.050%), 4.134%, 12/27/20663,4 | 3,240,839 | 3,207,371 | ||||||
Series 2020-1A, Class A1B, (1 mo. LIBOR US + 1.050%), 4.134%, 6/25/20693,4 | 2,386,833 | 2,369,169 | ||||||
Series 2020-GA, Class A, 1.17%, 9/16/20694 | 655,496 | 575,084 | ||||||
Series 2021-1A, Class A1A, 1.31%, 12/26/20694 | 5,641,889 | 4,624,586 | ||||||
Series 2021-A, Class A, 0.84%, 5/15/20694 | 998,456 | 881,920 | ||||||
Series 2022-A, Class A, 2.23%, 7/15/20704 | 3,674,543 | 3,267,508 | ||||||
Oxford Finance Funding LLC, | ||||||||
Series 2019-1A, Class A2, 4.459%, 2/15/20274 | 3,397,136 | 3,363,086 | ||||||
Series 2020-1A, Class A2, 3.101%, 2/15/20284 | 5,430,988 | 5,365,989 | ||||||
Series 2020-1A, Class B, 4.037%, 2/15/20284 | 2,104,565 | 2,021,534 | ||||||
Series 2022-1A, Class A2, 3.602%, 2/15/20304 | 4,650,000 | 4,263,345 | ||||||
PEAR LLC, Series 2021-1, Class | ||||||||
A, 2.60%, 1/15/2034 (Acquired 11/16/2021, cost $4,726,485)5 | 4,726,485 | 4,446,661 |
4
Investment Portfolio - September 30, 2022
(unaudited)
UNCONSTRAINED BOND SERIES | SHARES/ PRINCIPAL AMOUNT1 | VALUE | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
PenFed Auto Receivables Owner Trust, | ||||||||
Series 2022-A, Class A1, 3.174%, 9/15/20234 | 5,311,871 | $ | 5,304,559 | |||||
Progress Residential Trust, Series 2019- | ||||||||
SFR4, Class A, 2.687%, 10/17/20364 | 3,800,000 | 3,650,001 | ||||||
Santander Drive Auto Receivables Trust, | ||||||||
Series 2020-2, Class C, 1.46%, 9/15/2025 | 5,875,871 | 5,847,807 | ||||||
Series 2020-4, Class C, 1.01%, 1/15/2026 | 5,047,897 | 4,994,534 | ||||||
Slam Ltd., Series 2021-1A, Class A, | ||||||||
(Cayman Islands), 2.434%, 6/15/20464 | 5,900,160 | 4,841,253 | ||||||
SMB Private Education Loan Trust, | ||||||||
Series 2014-A, Class A3, (1 mo. LIBOR US + 1.500%), 4.318%, 4/15/20323,4 | 2,359,337 | 2,360,030 | ||||||
Series 2019-B, Class A2A, 2.84%, 6/15/20374 | 2,707,609 | 2,518,442 | ||||||
Series 2020-B, Class A1A, 1.29%, 7/15/20534 | 1,560,618 | 1,398,860 | ||||||
SoFi Professional Loan Program LLC, | ||||||||
Series 2016-C, Class A2B, 2.36%, 12/27/20324 | 2,478 | 2,473 | ||||||
Series 2017-F, Class A2FX, 2.84%, 1/25/20414 | 175,118 | 168,806 | ||||||
Stack Infrastructure Issuer LLC, | ||||||||
Series 2021-1A, Class A2, 1.877%, 3/26/20464 | 3,400,000 | 2,936,790 | ||||||
Stonepeak, Series 2021-1A, Class AA, 2.301%, 2/28/20334 | 1,029,961 | 914,090 | ||||||
Store Master Funding I-VII and XIV, | ||||||||
Series 2019-1, Class A1, 2.82%, 11/20/20494 | 2,386,669 | 2,137,953 | ||||||
Textainer Marine Containers VII Ltd., | ||||||||
Series 2021-1A, Class A, 1.68%, 2/20/20464 | 5,764,000 | 4,883,027 | ||||||
Towd Point Mortgage Trust, | ||||||||
Series 2016-5, Class A1, 2.50%, 10/25/20564,8 | 192,795 | 190,391 | ||||||
Series 2017-1, Class A1, 2.75%, 10/25/20564,8 | 610,210 | 601,003 | ||||||
Series 2018-2, Class A1, 3.25%, 3/25/20584,8 | 593,598 | 575,864 | ||||||
Series 2019-HY1, Class A1, (1 mo. LIBOR US + 1.000%), 4.084%, 10/25/20483,4 | 1,364,207 | 1,345,525 | ||||||
Tricon American Homes, Series 2020- SFR1, Class C, 2.249%, 7/17/20384 | 2,500,000 | 2,198,379 | ||||||
Trinity Rail Leasing 2018 LLC, Series 2020-1A, Class A, 1.96%, 10/17/20504 | 2,309,373 | 2,041,884 | ||||||
Trinity Rail Leasing 2021 LLC, Series 2021-1A, Class A, 2.26%, 7/19/20514 | 1,905,099 | 1,611,979 | ||||||
Triton Container Finance VIII LLC, Series 2021-1A, Class A, 1.86%, 3/20/20464 | 5,758,500 | 4,852,309 | ||||||
TRP LLC, Series 2021-1, Class A, 2.07%, 6/19/20514 | 2,940,649 | 2,526,861 |
SHARES/ PRINCIPAL AMOUNT1 | VALUE | |||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Vantage Data Centers Issuer LLC, | ||||||||
Series 2020-1A, Class A2, 1.645%, 9/15/20454 | 6,500,000 | $ | 5,710,716 | |||||
Vertical Bridge Holdings LLC, Series 2020-2A, Class A, 2.636%, 9/15/20504 | 4,000,000 | 3,605,188 | ||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||
(Identified Cost $278,548,755) | 258,926,122 | |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES - 11.8% | ||||||||
BDS, Series 2021-FL8, Class B, (Cayman Islands) (1 mo. LIBOR US + 1.350%), 4.343%, 1/18/20363,4 | 3,000,000 | 2,858,703 | ||||||
BRAVO Residential Funding Trust, | ||||||||
Series 2019-2, Class A3, 3.50%, 10/25/20444,8 | 3,675,735 | 3,447,107 | ||||||
Brean Asset Backed Securities Trust, | ||||||||
Series 2021-RM2, Class A, 1.75%, 10/25/20614,8 | 2,639,573 | 2,294,388 | ||||||
CIM Trust, Series 2019-INV1, Class A1, 4.00%, 2/25/20494,8 | 86,507 | 85,145 | ||||||
Credit Suisse Mortgage Capital Trust, | ||||||||
Series 2013-TH1, Class A1, 2.13%, 2/25/20434,8 | 117,245 | 100,724 | ||||||
Fannie Mae REMICS, Series 2018-31, | ||||||||
Class KP, 3.50%, 7/25/2047 | 102,754 | 99,666 | ||||||
Fontainebleau Miami Beach Trust, | ||||||||
Series 2019-FBLU, Class A, 3.144%, 12/10/20364 | 4,480,000 | 4,216,160 | ||||||
Freddie Mac Multifamily Structured | ||||||||
Pass-Through Certificates, | ||||||||
Series K030, Class X1 (IO), 0.260%, 4/25/20238 | 47,634,113 | 24,453 | ||||||
Series K032, Class X1 (IO), 0.179%, 5/25/20238 | 29,617,379 | 13,294 | ||||||
Series K106, Class X1 (IO), 1.477%, 1/25/20308 | 53,795,276 | 4,196,408 | ||||||
FREMF Mortgage Trust, | ||||||||
Series 2013-K28, Class X2A (IO), 0.10%, 6/25/20464 | 69,608,225 | 11,684 | ||||||
Series 2015-K42, Class B, 3.980%, 1/25/20484,8 | 1,900,000 | 1,822,919 | ||||||
Series 2015-K43, Class B, 3.860%, 2/25/20484,8 | 1,500,000 | 1,433,798 | ||||||
GCAT Trust, Series 2022-NQM3, Class | ||||||||
A1, 4.348%, 4/25/20674,8 | 9,683,190 | 9,290,902 | ||||||
GS Mortgage-Backed Securities Trust, | ||||||||
Series 2021-GR3, Class A6, 2.50%, 4/25/20524,8 | 5,751,021 | 4,946,576 | ||||||
Series 2021-PJ9, Class A8, 2.50%, 2/26/20524,8 | 3,473,695 | 2,988,631 | ||||||
Series 2022-PJ1, Class A15, (U.S. | ||||||||
Secured Overnight Financing Rate 30day Average + 0.850%), 3.131%, 5/28/20523,4 | 4,647,739 | 4,311,223 | ||||||
Series 2022-PJ3, Class A24, 3.00%, 8/25/20524,8 | 9,537,762 | 8,399,569 |
5
Investment Portfolio - September 30, 2022
(unaudited)
UNCONSTRAINED BOND SERIES | SHARES/ PRINCIPAL AMOUNT1 | VALUE | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Imperial Fund Mortgage Trust, | ||||||||
Series 2022-NQM2, Class A1, 3.638%, 3/25/20674,9 | 7,099,913 | $ | 6,621,779 | |||||
Series 2022-NQM3, Class A1, 4.38%, 5/25/20674,9 | 4,477,327 | 4,311,392 | ||||||
Series 2022-NQM4, Class A1, 4.767%, 6/25/20674,9 | 9,797,201 | 9,457,561 | ||||||
J.P. Morgan Mortgage Trust, | ||||||||
Series 2014-2, Class 1A1, 3.00%, 6/25/20294,8 | 412,768 | 386,468 | ||||||
Series 2022-INV3, Class A4B, 3.00%, 9/25/20524,8 | 7,391,908 | 6,483,259 | ||||||
Metlife Securitization Trust, Series 2019-1A, Class A, 3.75%, 4/25/20584,8 | 835,006 | 793,179 | ||||||
New Residential Mortgage Loan Trust, | ||||||||
Series 2014-3A, Class AFX3, 3.75%, 11/25/20544,8 | 271,243 | 252,763 | ||||||
Series 2015-2A, Class A1, 3.75%, 8/25/20554,8 | 382,626 | 355,914 | ||||||
Series 2019-2A, Class A1, 4.25%, 12/25/20574,8 | 1,859,518 | 1,780,507 | ||||||
NYMT Loan Trust, Series 2022-CP1, Class A1, 2.042%, 7/25/20614 | 2,335,956 | 2,087,890 | ||||||
RCKT Mortgage Trust, Series 2021-6, Class A5, 2.50%, 12/25/20514,8 | 5,488,877 | 4,721,839 | ||||||
RUN Trust, Series 2022-NQM1, Class A1, 4.00%, 3/25/20674 | 3,349,147 | 3,168,282 | ||||||
Sequoia Mortgage Trust, | ||||||||
Series 2013-2, Class A, 1.874%, 2/25/20438 | 128,456 | 109,490 | ||||||
Series 2013-6, Class A2, 3.00%, 5/25/20438 | 1,327,077 | 1,166,945 | ||||||
Series 2013-7, Class A2, 3.00%, 6/25/20438 | 131,110 | 113,895 | ||||||
Series 2013-8, Class A1, 3.00%, 6/25/20438 | 152,176 | 134,397 | ||||||
Starwood Retail Property Trust, Series 2014-STAR, Class A, (1 mo. LIBOR US + 1.470%), 4.288%, 11/15/20273,4 | 1,777,115 | 1,248,269 | ||||||
Sutherland Commercial Mortgage Trust, Series 2019-SBC8, Class A, 2.86%, 4/25/20414,8 | 2,327,746 | 2,114,931 | ||||||
WinWater Mortgage Loan Trust, Series 2015-1, Class A1, 3.50%, 1/20/20454,8 | 76,343 | 69,717 | ||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | ||||||||
(Identified Cost $102,013,162) | 95,919,827 | |||||||
FOREIGN GOVERNMENT BONDS - 0.7% | ||||||||
Mexico Government International Bond (Mexico), 4.125%, 1/21/2026 | 1,800,000 | 1,744,287 |
SHARES/ PRINCIPAL AMOUNT1 | VALUE | |||||||
FOREIGN GOVERNMENT BONDS (continued) | ||||||||
Republic of Italy Government International Bond (Italy), 2.375%, 10/17/2024 | 4,500,000 | $ | 4,230,182 | |||||
TOTAL FOREIGN GOVERNMENT BONDS | ||||||||
(Identified Cost $6,251,589) | 5,974,469 | |||||||
MUNICIPAL BONDS - 0.4% | ||||||||
Hawaii, Series GC, G.O. Bond, 2.632%, 10/1/2037 | ||||||||
(Identified Cost $4,058,571) | 3,905,000 | 2,875,188 | ||||||
U.S. TREASURY SECURITIES - 3.7% | ||||||||
U.S. Treasury Notes - 3.7% | ||||||||
U.S. Treasury Note | ||||||||
0.125%, 8/31/2023 | 21,400,000 | 20,610,039 | ||||||
0.25%, 8/15/2024 | 10,460,000 | 9,732,703 | ||||||
TOTAL U.S. TREASURY SECURITIES | ||||||||
(Identified Cost $31,841,042) | 30,342,742 | |||||||
U.S. GOVERNMENT AGENCIES - 0.2% | ||||||||
Mortgage-Backed Securities - 0.2% | ||||||||
Fannie Mae | ||||||||
Pool #888810, UMBS, 5.50%, 11/1/2022 | 6 | 6 | ||||||
Pool #AD0462, UMBS, 5.50%, 10/1/2024 | 2,326 | 2,356 | ||||||
Pool #MA0115, UMBS, 4.50%, 7/1/2029 | 29,327 | 28,817 | ||||||
Pool #MA1834, UMBS, 4.50%, 2/1/2034 | 122,930 | 120,140 | ||||||
Pool #995876, UMBS, 6.00%, 11/1/2038 | 216,004 | 225,826 | ||||||
Pool #AW5338, UMBS, 4.50%, 6/1/2044 | 482,775 | 465,080 | ||||||
Pool #AS3878, UMBS, 4.50%, 11/1/2044 | 355,137 | 347,100 | ||||||
Pool #BE7845, UMBS, 4.50%, 2/1/2047 | 97,026 | 94,314 | ||||||
Freddie Mac | ||||||||
Pool #G12988, 6.00%, 1/1/2023 | 34 | 34 | ||||||
Pool #G13078, 6.00%, 3/1/2023 | 92 | 92 | ||||||
Pool #G13331, 5.50%, 10/1/2023 | 320 | 321 | ||||||
Pool #C91359, 4.50%, 2/1/2031 | 80,601 | 79,218 | ||||||
Pool #D98711, 4.50%, 7/1/2031 | 233,626 | 229,617 | ||||||
Pool #C91746, 4.50%, 12/1/2033 | 176,646 | 173,576 | ||||||
Pool #G05900, 6.00%, 3/1/2040 | 38,385 | 40,173 | ||||||
TOTAL U.S. GOVERNMENT AGENCIES | ||||||||
(Identified Cost $1,928,221) | 1,806,670 |
6
Investment Portfolio - September 30, 2022
(unaudited)
UNCONSTRAINED BOND SERIES | SHARES/ PRINCIPAL AMOUNT1 | VALUE | ||||||
U.S. GOVERNMENT SECURITIES - 7.1% | ||||||||
U.S. Treasury Bill - 7.1% | ||||||||
U.S. Treasury Bill, 0.369%, 12/22/202210 | ||||||||
(Identified Cost $58,267,049) | 58,635,000 | $ | 58,222,157 | |||||
SHORT-TERM INVESTMENT - 6.7% | ||||||||
Dreyfus Government Cash Management, Institutional Shares, 2.75%11 | ||||||||
(Identified Cost $54,939,936) | 54,939,936 | 54,939,936 | ||||||
TOTAL INVESTMENTS - 98.7% | ||||||||
(Identified Cost $857,404,645) | 806,160,824 | |||||||
OTHER ASSETS, LESS LIABILITIES - 1.3% | 10,481,556 | |||||||
NET ASSETS - 100% | $ | 816,642,380 |
FUTURES CONTRACTS: LONG POSITIONS OPEN AT SEPTEMBER 30, 2022 | ||||||||||||
CONTRACTS PURCHASED | ISSUE | EXCHANGE | EXPIRATION | NOTIONAL VALUE1 | VALUE/UNREALIZED DEPRECIATION | |||||||
285 | Euro-BTP | EUREX | December 2022 | 31,277,610 | $ | (2,293,195 | ) | |||||
365 | Euro-BUND | EUREX | December 2022 | 49,540,400 | (2,736,613 | ) | ||||||
TOTAL LONG POSITIONS | $ | (5,029,808 | ) |
FUTURES CONTRACTS: SHORT POSITIONS OPEN AT SEPTEMBER 30, 2022 | ||||||||||||
CONTRACTS SOLD | ISSUE | EXCHANGE | EXPIRATION | NOTIONAL VALUE1 | VALUE/UNREALIZED APPRECIATION/ DEPRECIATION | |||||||
3,550 | Euro-SCHATZ | EUREX | December 2022 | 372,846,057 | $ | 3,979,518 | ||||||
110 | Japanese Bonds (10 Year) | OSE | December 2022 | 112,713,328 | (189,858 | ) | ||||||
TOTAL SHORT POSITIONS | $ | 3,789,660 |
EUR - Euro
EUREX - Eurex Exchange
EURIBOR - Euro Interbank Offered Rate
G.O. Bond - General Obligation Bond
IO - Interest only
LIBOR - London Interbank Offered Rate
NIBOR - Norwegian Interbank Offered Rate
No. - Number
NOK - Norwegian Krone
OSE - Osaka Exchange
REMICS - Real Estate Mortgage Investment Conduits
SEK - Swedish Krona
STIB - Stockholm Interbank Offered Rate
UMBS - Uniform Mortgage-Backed Securities
*Non-income producing security.
1Amount is stated in USD unless otherwise noted.
2Security has been valued using significant unobservable inputs.
3Floating rate security. Rate shown is the rate in effect as of September 30, 2022.
7
Investment Portfolio - September 30, 2022
(unaudited)
4Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended (the “1933 Act”) and determined to be liquid under the Fund’s Liquidity Risk Management Program. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The aggregate value of these securities at September 30, 2022 was $392,735,806, which represented 48.1% of the Series’ Net Assets.
5Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended (the “1933 Act”) and determined to be illiquid under the Fund’s Liquidity Risk Management Program. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The aggregate value of such securities at September 30, 2022 was $39,962,799, or 4.9% of the Series’ Net Assets.
6Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of September 30, 2022.
7Issuer filed for bankruptcy and/or is in default of interest payments.
8Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of September 30, 2022.
9Represents a step-up bond that pays initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown reflects the current coupon as of September 30, 2022.
10Represents the annualized yield at time of purchase.
11Rate shown is the current yield as of September 30, 2022.
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of MSCI Inc. (MSCI) and Standard & Poor’s, a division of S&P Global Inc. (S&P), and is licensed for use by Manning & Napier when referencing GICS sectors. Neither MSCI, S&P, nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification, nor shall any such party have any liability therefrom.
Fair Value Information:
Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the valuation levels used for major security types as of September 30, 2022 in valuing the Series’ assets or liabilities carried at fair value:
DESCRIPTION | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Assets: | ||||||||||||||||
Equity securities: | ||||||||||||||||
Energy | $ | 4,889,423 | $ | — | $ | — | $ | 4,889,423 | ||||||||
Preferred securities: | ||||||||||||||||
Health Care | 2,723,040 | 2,723,040 | — | — | ||||||||||||
Information Technology | 5,345,507 | 5,345,507 | — | — | ||||||||||||
Debt securities: | ||||||||||||||||
Loan Assignments | 7,439,116 | — | 7,439,116 | — | ||||||||||||
U.S. Treasury and other U.S. Government agencies | 90,371,569 | — | 90,371,569 | — | ||||||||||||
States and political subdivisions (municipals) | 2,875,188 | — | 2,875,188 | — | ||||||||||||
Corporate debt: | ||||||||||||||||
Communication Services | 36,757,580 | — | 36,757,580 | — | ||||||||||||
Consumer Discretionary | 30,995,948 | — | 30,995,948 | — | ||||||||||||
Consumer Staples | 10,135,118 | — | 10,135,118 | — | ||||||||||||
Energy | 32,340,675 | — | 32,340,675 | — | ||||||||||||
Financials | 74,202,125 | — | 74,202,125 | — | ||||||||||||
Industrials | 43,221,070 | — | 43,221,070 | — | ||||||||||||
Information Technology | 4,441,614 | — | 4,441,614 | — | ||||||||||||
Materials | 1,499,973 | — | 1,499,973 | — | ||||||||||||
Real Estate | 28,389,666 | — | 28,389,666 | — | ||||||||||||
Utilities | 14,772,858 | — | 14,772,858 | — | ||||||||||||
Asset-backed securities | 258,926,122 | — | 258,926,122 | — | ||||||||||||
Commercial mortgage-backed securities | 95,919,827 | — | 95,919,827 | — |
8
Investment Portfolio - September 30, 2022
(unaudited)
DESCRIPTION | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Foreign government bonds | $ | 5,974,469 | $ | — | $ | 5,974,469 | $ | — | ||||||||
Short-Term Investment | 54,939,936 | 54,939,936 | — | — | ||||||||||||
Other financial instruments:* | ||||||||||||||||
Interest rate contracts | 3,979,518 | 3,979,518 | — | — | ||||||||||||
Total assets | 810,140,342 | 66,988,001 | 738,262,918 | 4,889,423 | ||||||||||||
Liabilities: | ||||||||||||||||
Other financial instruments:* | ||||||||||||||||
Interest rate contracts | (5,219,666 | ) | (5,219,666 | ) | — | — | ||||||||||
Total liabilities | (5,219,666 | ) | (5,219,666 | ) | — | — | ||||||||||
Total | $ | 804,920,676 | $ | 61,768,335 | $ | 738,262,918 | $ | 4,889,423 |
*Other financial instruments are futures (Level 1). Futures are valued at the unrealized appreciation (depreciation) on the instrument.
The Investment Portfolio should be read in conjunction with the financial statements and notes to financial statements, which are included in the Series’ audited annual report or unaudited semi-annual report. These reports include additional information about the Series’ security valuation policies and about certain security types invested in by the Series.
9