Investment Portfolio - September 30, 2023
(unaudited)
UNCONSTRAINED BOND SERIES | SHARES/ PRINCIPAL AMOUNT1 | VALUE | ||||||
PREFERRED STOCKS - 0.3% | ||||||||
Information Technology - 0.3% | ||||||||
Software - 0.3% | ||||||||
Argo Blockchain plc (United Kingdom), 8.75%, 11/30/2026 | 71,086 | $ | 473,433 | |||||
Greenidge Generation Holdings, Inc., 8.50%, 10/31/2026 | 70,000 | 441,000 | ||||||
Synchronoss Technologies, Inc., 8.375%, 6/30/2026 | 74,489 | 1,370,597 | ||||||
TOTAL PREFERRED STOCKS (Identified Cost $5,374,954) | 2,285,030 | |||||||
CORPORATE BONDS - 18.7% | ||||||||
Non-Convertible Corporate Bonds- 18.7% | ||||||||
Communication Services - 2.2% | ||||||||
Entertainment - 1.0% | ||||||||
MGI Media and Games Invest SE (Sweden) (3 mo. EURIBOR + 6.250%), 10.184%, 6/21/20262,3 | EUR | 8,000,000 | 8,154,260 | |||||
Interactive Media & Services - 1.2% | ||||||||
Azerion Group N.V. (Netherlands) (3 mo. EURIBOR + 6.750%), 10.705%, 10/2/20263 | EUR | 3,700,000 | 3,851,324 | |||||
Tencent Holdings Ltd. (China), 3.975%, 4/11/20292 | 6,650,000 | 6,037,385 | ||||||
9,888,709 | ||||||||
Total Communication Services | 18,042,969 | |||||||
Consumer Discretionary - 1.2% | ||||||||
Broadline Retail - 1.2% | ||||||||
Alibaba Group Holding Ltd. (China), 4.00%, 12/6/2037 | 3,210,000 | 2,481,629 | ||||||
Amazon.com, Inc., 3.30%, 4/13/2027 | 4,000,000 | 3,764,339 | ||||||
Gaming Innovation Group plc (Malta) (3 mo. STIB + 8.500%), 12.546%, 6/11/2024 (Acquired 01/26/2022, cost $1,097,585)3,4 | SEK | 10,000,000 | 937,771 | |||||
North Investment Group AB (Sweden) (3 mo. STIB + 9.000%), 12.973%, 5/5/2024 (Acquired 04/22/2021, cost $2,818,941)3,4 | SEK | 23,750,000 | 2,165,532 | |||||
Total Consumer Discretionary | 9,349,271 | |||||||
Consumer Staples - 0.7% | ||||||||
Beverages - 0.5% | ||||||||
PepsiCo, Inc., 3.90%, 7/18/2032 | 4,000,000 | 3,640,493 | ||||||
Food Products - 0.2% | ||||||||
Greenfood AB (Sweden) (3 mo. STIB + 7.000%), 10.955%, 11/4/2025 (Acquired 10/28/2021, cost $2,486,820)3,4 | SEK | 21,250,000 | 1,855,462 | |||||
Total Consumer Staples | 5,495,955 |
SHARES/ PRINCIPAL AMOUNT1 | VALUE | |||||||
CORPORATE BONDS (continued) | ||||||||
Non-Convertible Corporate Bonds (continued) | ||||||||
Energy - 2.2% | ||||||||
Energy Equipment & Services - 0.4% | ||||||||
Odfjell Rig III Ltd. (Norway), 9.25%, 5/31/2028 | 2,800,000 | $ | 2,854,438 | |||||
Oil, Gas & Consumable Fuels - 1.8% | ||||||||
Brooge Petroleum and Gas Investment Co. FZE (United Arab Emirates), 8.50%, 9/24/20252 | 9,094,820 | 7,939,136 | ||||||
Cenovus Energy, Inc. (Canada), 6.75%, 11/15/2039 | 454,000 | 452,842 | ||||||
Ping Petroleum UK Ltd. (Bermuda), 12.00%, 7/29/2024 (Acquired 07/14/2021-09/15/2021, cost $2,257,763)4 | 2,300,000 | 2,095,464 | ||||||
Ziton A/S (Denmark) (3 mo. EURIBOR + 9.500%), 13.299%, 6/9/20283 | EUR | 4,000,000 | 4,176,137 | |||||
14,663,579 | ||||||||
Total Energy | 17,518,017 | |||||||
Financials - 3.3% | ||||||||
Banks - 1.5% | ||||||||
Bank of America Corp., (3 mo. U.S. Secured Overnight Financing Rate + 1.022%), 6.431%, 9/15/20263 | 3,561,000 | 3,508,582 | ||||||
JPMorgan Chase & Co., 8.00%, 4/29/2027 | 3,000,000 | 3,238,720 | ||||||
KeyBank NA, (U.S. Secured Overnight Financing Index + 0.340%), 5.685%, 1/3/20245 | 5,000,000 | 4,978,663 | ||||||
11,725,965 | ||||||||
Capital Markets - 0.3% | ||||||||
Drawbridge Special Opportunities Fund LP - Drawbridge Special Opportunities Finance Corporation, 3.875%, 2/15/20262 | 2,850,000 | 2,538,995 | ||||||
Consumer Finance - 0.2% | ||||||||
Navient Corp., 6.75%, 6/25/2025 | 1,800,000 | 1,772,538 | ||||||
Financial Services - 1.3% | ||||||||
Golden Pear Funding HoldCo LLC, 10.00%, 3/2/2028 | 1,200,000 | 1,068,197 | ||||||
Legres AB (Sweden) (3 mo. STIB + 9.000%), 12.896%, 12/30/2025 (Acquired 06/15/2023-06/28/2023, cost $3,048,944)3,4 | SEK | 32,500,000 | 2,975,487 | |||||
Novedo Holding AB (Sweden) (3 mo. STIB + 6.500%), 10.564%, 11/26/2024 (Acquired 11/15/2021-03/30/2022, cost $2,935,885)3,4 | SEK | 26,250,000 | 2,323,732 | |||||
Puffin Finance S.A.R.L (Virgin Islands (British)), 15.00%, 9/11/2025 | 2,470,000 | 2,618,259 |
1
Investment Portfolio - September 30, 2023
(unaudited)
UNCONSTRAINED BOND SERIES | SHARES/ PRINCIPAL AMOUNT1 | VALUE | ||||||
CORPORATE BONDS (continued) | ||||||||
Non-Convertible Corporate Bonds (continued) | ||||||||
Financials (continued) | ||||||||
Financial Services (continued) | ||||||||
U.S. Claims Litigation Funding LLC, 10.25%, 3/17/2028 (Acquired 03/14/2023, cost $1,375,000)4 | 1,375,000 | $ | 1,244,716 | |||||
10,230,391 | ||||||||
Total Financials | 26,267,889 | |||||||
Industrials - 2.8% | ||||||||
Commercial Services & Supplies - 0.5% | ||||||||
Cartiga LLC, 9.00%, 6/15/2026 (Acquired 06/14/2021, cost $4,000,000)4 | 4,000,000 | 3,797,968 | ||||||
Electrical Equipment - 0.2% | ||||||||
Joetul AS (Norway) (3 mo. NIBOR + 6.950%), 11.33%, 10/6/20243 | NOK | 23,000,000 | 2,174,762 | |||||
Ground Transportation - 0.2% | ||||||||
BNSF Funding Trust I, (3 mo. LIBOR US + 2.350%), 6.613%, 12/15/20555 | 1,500,000 | 1,456,013 | ||||||
Passenger Airlines - 1.5% | ||||||||
Alaska Airlines Pass-Through Trust, Series 2020-1, Class B, 8.00%, 8/15/20252 | 3,043,602 | 3,052,418 | ||||||
Southwest Airlines Co., 5.25%, 5/4/2025. | 3,000,000 | 2,964,835 | ||||||
United Airlines Pass-Through Trust, | ||||||||
Series 2018-1, Class B, 4.60%, 3/1/2026 | 3,116,969 | 2,935,247 | ||||||
Series 2019-2, Class B, 3.50%, 5/1/2028 | 3,366,630 | 3,049,871 | ||||||
12,002,371 | ||||||||
Trading Companies & Distributors - 0.4% | ||||||||
AerCap Ireland Capital DAC - AerCap Global Aviation Trust (Ireland), 3.00%, 10/29/2028 | 1,970,000 | 1,688,908 | ||||||
Ashtead Capital, Inc. (United Kingdom), 4.00%, 5/1/20282 | 1,500,000 | 1,364,508 | ||||||
3,053,416 | ||||||||
Total Industrials | 22,484,530 | |||||||
Information Technology - 0.4% | ||||||||
Software - 0.4% | ||||||||
Extenda Retail Holding 1 AB (Sweden) (3 mo. STIB + 6.750%), 10.921%, 3/30/2027 (Acquired 03/24/2022, cost $3,620,906)3,4 | SEK | 34,000,000 | 3,182,406 | |||||
Materials - 0.2% | ||||||||
Metals & Mining - 0.2% | ||||||||
Newcastle Coal Infrastructure Group Pty Ltd. (Australia), 4.40%, 9/29/20272 | 1,750,000 | 1,573,169 |
SHARES/ PRINCIPAL AMOUNT1 | VALUE | |||||||
CORPORATE BONDS (continued) | ||||||||
Non-Convertible Corporate Bonds (continued) | ||||||||
Materials (continued) | ||||||||
Metals & Mining (continued) | ||||||||
Northwest Acquisitions ULC - Dominion Finco, Inc., 7.125%, 11/1/2022 (Acquired 10/06/2017-09/12/2019, cost $4,353,936)4,6 | 5,870,000 | $ | 587 | |||||
Total Materials | 1,573,756 | |||||||
Real Estate - 3.0% | ||||||||
Industrial REITs - 0.5% | ||||||||
IIP Operating Partnership LP, 5.50%, 5/25/2026 | 4,320,000 | 3,860,287 | ||||||
Retail REITs - 0.5% | ||||||||
Simon Property Group LP, 2.65%, 2/1/2032 | 5,500,000 | 4,289,947 | ||||||
Specialized REITs - 2.0% | ||||||||
Pelorus Fund REIT LLC, 7.00%, 9/30/2026 (Acquired 09/21/2021- 07/08/2022, cost $4,218,250)4 | 4,345,000 | 4,105,763 | ||||||
SBA Tower Trust, | ||||||||
2.836%, 1/15/20252 | 3,500,000 | 3,350,202 | ||||||
1.884%, 1/15/20262 | 2,750,000 | 2,486,689 | ||||||
6.599%, 1/15/20282 | 6,110,000 | 6,127,187 | ||||||
16,069,841 | ||||||||
Total Real Estate | 24,220,075 | |||||||
Utilities - 2.7% | ||||||||
Electric Utilities - 2.3% | ||||||||
Alexander Funding Trust, 1.841%, 11/15/20232 | 10,000,000 | 9,931,386 | ||||||
Alexander Funding Trust II, 7.467%, 7/31/20282 | 8,250,000 | 8,249,483 | ||||||
18,180,869 | ||||||||
Independent Power and Renewable Electricity Producers - 0.4% | ||||||||
Vistra Operations Co. LLC, 3.55%, 7/15/20242 | 3,500,000 | 3,412,624 | ||||||
Total Utilities | 21,593,493 | |||||||
TOTAL CORPORATE BONDS | ||||||||
(Identified Cost $166,153,622) | 149,728,361 | |||||||
ASSET-BACKED SECURITIES - 23.5% | ||||||||
Aligned Data Centers Issuer LLC, Series 2021-1A, Class A2, 1.937%, 8/15/20462 | 4,500,000 | 3,937,261 | ||||||
ALLO Issuer LLC, Series 2023-1A, Class A2, 6.20%, 6/20/20532 | 4,400,000 | 4,121,849 | ||||||
BRSP Ltd., Series 2021-FL1, Class A, (1 mo. U.S. Secured Overnight Financing Rate + 1.264%), 6.592%, 8/19/20382,3 | 3,000,000 | 2,917,781 | ||||||
Business Jet Securities LLC, Series 2021-1A, Class A, 2.162%, 4/15/20362 | 2,863,840 | 2,604,472 |
2
Investment Portfolio - September 30, 2023
(unaudited)
UNCONSTRAINED BOND SERIES | SHARES/ PRINCIPAL AMOUNT1 | VALUE | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Carmax Auto Owner Trust, | ||||||||
Series 2020-4, Class A3, 0.50%, 8/15/2025 | 2,832,286 | $ | 2,783,091 | |||||
Series 2023-2, Class A1, 5.508%, 5/15/2024 | 751,761 | 751,705 | ||||||
Carvana Auto Receivables Trust, Series 2020-P1, Class A4, 0.61%, 10/8/2026 | 5,515,370 | 5,317,274 | ||||||
CF Hippolyta Issuer LLC, | ||||||||
Series 2020-1, Class A1, 1.69%, 7/15/20602 | 3,687,753 | 3,350,037 | ||||||
Series 2020-1, Class B1, 2.28%, 7/15/20602 | 1,798,904 | 1,579,600 | ||||||
CNH Equipment Trust, Series 2023-A, Class A1, 5.425%, 5/15/2024 | 1,425,901 | 1,424,362 | ||||||
College Ave Student Loans LLC, Series 2021-A, Class A2, 1.60%, 7/25/20512 | 1,598,739 | 1,357,488 | ||||||
Commonbond Student Loan Trust, Series 2019-AGS, Class A1, 2.54%, 1/25/20472 | 1,733,810 | 1,506,913 | ||||||
CoreVest American Finance Trust, | ||||||||
Series 2019-1, Class A, 3.324%, 3/15/20522 | 122,706 | 121,990 | ||||||
Series 2019-3, Class A, 2.705%, 10/15/20522 | 1,636,119 | 1,559,831 | ||||||
Series 2020-3, Class A, 1.358%, 8/15/20532 | 821,018 | 748,183 | ||||||
Series 2020-4, Class A, 1.174%, 12/15/20522 | 914,569 | 830,180 | ||||||
CPS Auto Receivables Trust, Series 2021-C, Class C, 1.21%, 6/15/20272 | 7,245,121 | 7,146,855 | ||||||
Credit Acceptance Auto Loan Trust, | ||||||||
Series 2020-3A, Class A, 1.24%, 10/15/20292 | 370,285 | 369,680 | ||||||
Series 2021-2A, Class C, 1.64%, 6/17/20302 | 3,800,000 | 3,617,519 | ||||||
Series 2021-3A, Class C, 1.63%, 9/16/20302 | 3,000,000 | 2,824,963 | ||||||
Series 2022-1A, Class A, 4.60%, 6/15/20322 | 7,400,000 | 7,236,034 | ||||||
DataBank Issuer, | ||||||||
Series 2021-1A, Class A2, 2.06%, 2/27/20512 | 5,200,000 | 4,568,617 | ||||||
Series 2023-1A, Class A2, 5.116%, 2/25/20532 | 3,345,000 | 3,059,403 | ||||||
Diamond Infrastructure Funding LLC, Series 2021-1A, Class A, 1.76%, 4/15/20492 | 5,000,000 | 4,274,099 | ||||||
EDvestinU Private Education Loan Issue No. 1 LLC, Series 2019-A, Class A, 3.58%, 11/25/20382 | 1,339,330 | 1,245,068 | ||||||
Flagship Credit Auto Trust, Series 2023-2, Class A1, 5.42%, 5/15/20242 | 155,598 | 155,567 | ||||||
Flexential Issuer, Series 2021-1A, Class A2, 3.25%, 11/27/20512 | 4,760,000 | 4,168,627 | ||||||
FS RIALTO, Series 2021-FL2, Class A, (Cayman Islands) (1 mo. U.S. Secured Overnight Financing Rate + 1.334%), 6.665%, 5/16/20382,3 | 2,950,266 | 2,913,078 |
SHARES/ PRINCIPAL AMOUNT1 | VALUE | |||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Goodgreen Trust, Series 2020-1A, Class A, 2.63%, 4/15/20552 | 2,997,421 | $ | 2,492,258 | |||||
Hertz Vehicle Financing LLC, Series 2021-1A, Class B, 1.56%, 12/26/20252 | 3,000,000 | 2,843,363 | ||||||
Hotwire Funding LLC, Series 2021-1, Class A2, 2.311%, 11/20/20512 | 3,500,000 | 3,074,249 | ||||||
HTS Fund I LLC, Series 2021-1, Class A, 1.411%, 8/25/20362 | 1,657,449 | 1,407,440 | ||||||
ITE Rail Fund Levered LP, Series 2021-3A, Class A, 2.21%, 6/28/20512 | 5,432,681 | 4,669,718 | ||||||
KREF Ltd., Series 2021-FL2, Class AS, (1 mo. U.S. Secured Overnight Financing Rate + 1.414%), 6.747%, 2/15/20392,3 | 3,500,000 | 3,349,365 | ||||||
Laurel Road Prime Student Loan Trust, Series 2019-A, Class A2FX, 2.73%, 10/25/20482 | 269,534 | 262,003 | ||||||
LCCM Trust, | ||||||||
Series 2021-FL2, Class AS, (1 mo. U.S. Secured Overnight Financing Rate + 1.664%), 6.997%, 12/13/20382,3 | 2,000,000 | 1,927,936 | ||||||
Series 2021-FL2, Class B, (1 mo. U.S. Secured Overnight Financing Rate + 2.014%), 7.347%, 12/13/20382,3 | 3,000,000 | 2,861,087 | ||||||
LFS LLC, Series 2022-A, Class A, 5.25%, 5/15/2034 (Acquired 05/11/2022, cost $3,997,733)4 | 4,012,580 | 3,894,300 | ||||||
Libra Solutions LLC, | ||||||||
Series 2022-1A, Class A, 4.75%, 5/15/20342 | 1,259,668 | 1,247,437 | ||||||
Series 2022-2A, Class A, 6.85%, 10/15/20342 | 2,726,592 | 2,720,591 | ||||||
Series 2023-1A, Class A, 7.00%, 2/15/20352 | 1,902,093 | 1,892,598 | ||||||
Navient Private Education Loan Trust, | ||||||||
Series 2014-1, Class A3, (U.S. Secured Overnight Financing Rate 30 Day Average + 0.624%), 5.939%, 6/25/20313 | 3,174,456 | 3,080,140 | ||||||
Series 2015-BA, Class A3, (1 mo. U.S. Secured Overnight Financing Rate + 1.564%), 6.897%, 7/16/20402,3 | 1,514,401 | 1,503,963 | ||||||
Series 2017-2A, Class A, (U.S. Secured Overnight Financing Rate 30 Day Average + 1.164%), 6.479%, 12/27/20662,3 | 2,824,151 | 2,813,242 | ||||||
Series 2020-1A, Class A1B, (U.S. Secured Overnight Financing Rate 30 Day Average + 1.164%), 6.479%, 6/25/20692,3 | 1,967,497 | 1,963,030 | ||||||
Series 2020-GA, Class A, 1.17%, 9/16/20692 | 522,955 | 461,890 | ||||||
Series 2021-1A, Class A1A, 1.31%, 12/26/20692 | 4,565,447 | 3,786,128 | ||||||
Series 2021-A, Class A, 0.84%, 5/15/20692 | 811,063 | 698,190 |
3
Investment Portfolio - September 30, 2023
(unaudited)
UNCONSTRAINED BOND SERIES | SHARES/ PRINCIPAL AMOUNT1 | VALUE | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Navient Private Education Loan Trust, (continued) | ||||||||
Series 2022-A, Class A, 2.23%, 7/15/20702 | 3,210,597 | $ | 2,789,993 | |||||
Nissan Auto Receivables Owner Trust, Series 2023-A, Class A1, 5.424%, 5/15/2024 | 1,337,484 | 1,336,950 | ||||||
Oxford Finance Funding LLC, | ||||||||
Series 2019-1A, Class A2, 4.459%, 2/15/20272 | 1,171,850 | 1,170,401 | ||||||
Series 2020-1A, Class A2, 3.101%, 2/15/20282 | 2,459,694 | 2,372,475 | ||||||
Series 2020-1A, Class B, 4.037%, 2/15/20282 | 1,026,477 | 976,284 | ||||||
Series 2022-1A, Class A2, 3.602%, 2/15/20302 | 4,650,000 | 4,344,798 | ||||||
Series 2023-1A, Class A2, 6.716%, 2/15/20312 | 4,430,000 | 4,348,939 | ||||||
PEAR LLC, | ||||||||
Series 2020-1, Class A, 3.75%, 12/15/20322 | 693,683 | 688,343 | ||||||
Series 2021-1, Class A, 2.60%, 1/15/20342 | 3,223,574 | 3,068,052 | ||||||
Series 2022-1, Class A1, 6.50%, 10/15/20342 | 236,904 | 236,824 | ||||||
Series 2022-1, Class A2, 7.25%, 10/15/20342 | 2,500,000 | 2,423,774 | ||||||
Series 2023-1, Class A, 7.42%, 7/15/20352 | 3,402,540 | 3,381,597 | ||||||
Prestige Auto Receivables Trust, | ||||||||
Series 2023-1A, Class A1, 5.578%, 5/15/20242 | 753,195 | 753,103 | ||||||
Progress Residential Trust, Series 2019-SFR4, Class A, 2.687%, 10/17/20362 | 3,782,907 | 3,648,601 | ||||||
Santander Drive Auto Receivables Trust, Series 2021-4, Class B, 0.88%, 6/15/2026 | 1,362,509 | 1,355,205 | ||||||
Slam Ltd., Series 2021-1A, Class A, (Cayman Islands), 2.434%, 6/15/20462 | 5,500,160 | 4,678,546 | ||||||
SMB Private Education Loan Trust, Series 2019-B, Class A2A, 2.84%, 6/15/20372 | 2,066,327 | 1,902,798 | ||||||
Stack Infrastructure Issuer LLC, Series 2021-1A, Class A2, 1.877%, 3/26/20462 | 3,400,000 | 3,013,079 | ||||||
Stonepeak, Series 2021-1A, Class AA, 2.301%, 2/28/20332 | 682,980 | 619,262 | ||||||
Store Master Funding I-VII and XIV, Series 2019-1, Class A1, 2.82%, 11/20/20492 | 2,374,169 | 2,125,493 | ||||||
Towd Point Mortgage Trust, | ||||||||
Series 2016-5, Class A1, 2.50%, 10/25/20562,7 | 76,634 | 75,616 | ||||||
Series 2017-1, Class A1, 2.75%, 10/25/20562,7 | 192,230 | 190,089 | ||||||
Series 2018-2, Class A1, 3.25%, 3/25/20582,7 | 437,512 | 417,965 |
SHARES/ PRINCIPAL AMOUNT1 | VALUE | |||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Towd Point Mortgage Trust, (continued) | ||||||||
Series 2019-HY1, Class A1, (1 mo. U.S. Secured Overnight Financing Rate + 1.114%), 6.434%, 10/25/20482,3 | 1,032,384 | $ | 1,033,896 | |||||
Tricon American Homes, Series 2020- SFR1, Class C, 2.249%, 7/17/20382 | 2,500,000 | 2,244,629 | ||||||
Trinity Rail Leasing 2018 LLC, Series 2020-1A, Class A, 1.96%, 10/17/20502 | 1,935,959 | 1,699,706 | ||||||
Trinity Rail Leasing 2021 LLC, Series 2021-1A, Class A, 2.26%, 7/19/20512 | 1,827,901 | 1,536,809 | ||||||
TRP LLC, Series 2021-1, Class A, 2.07%, 6/19/20512 | 2,850,693 | 2,449,895 | ||||||
Vantage Data Centers Issuer LLC, Series 2020-1A, Class A2, 1.645%, 9/15/20452 | 6,500,000 | 5,870,275 | ||||||
Vertical Bridge Holdings LLC, Series 2020-2A, Class A, 2.636%, 9/15/20502 | 4,000,000 | 3,666,848 | ||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||
(Identified Cost $201,487,058) | 187,860,700 | |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES - 10.9% | ||||||||
BDS, Series 2021-FL8, Class B, (Cayman Islands) (1 mo. U.S. Secured Overnight Financing Rate + 1.464%), 6.795%, 1/18/20362,3 | 3,000,000 | 2,957,263 | ||||||
BRAVO Residential Funding Trust, Series 2019-2, Class A3, 3.50%, 10/25/20442,7 | 2,879,885 | 2,680,379 | ||||||
Brean Asset Backed Securities Trust, Series 2021-RM2, Class A, 1.75%, 10/25/20612,7 | 2,587,587 | 2,216,635 | ||||||
CIM Trust, Series 2019-INV1, Class A1, 4.00%, 2/25/20492,7 | 65,174 | 60,055 | ||||||
Credit Suisse Mortgage Capital Trust, Series 2013-TH1, Class A1, 2.13%, 2/25/20432,7 | 109,660 | 89,752 | ||||||
Fannie Mae REMICS, Series 2018-31, Class KP, 3.50%, 7/25/2047 | 55,930 | 53,621 | ||||||
Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class A, 3.144%, 12/10/20362 | 4,480,000 | 4,283,017 | ||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K106, Class X1 (IO), 1.477%, 1/25/20307 | 53,676,849 | 3,631,499 | ||||||
GCAT Trust, Series 2022-NQM3, Class A1, 4.348%, 4/25/20672,7 | 9,095,554 | 8,377,986 | ||||||
GS Mortgage-Backed Securities Trust, | ||||||||
Series 2021-GR3, Class A6, 2.50%, 4/25/20522,7 | 5,183,325 | 4,250,481 | ||||||
Series 2021-PJ9, Class A8, 2.50%, 2/26/20522,7 | 3,234,005 | 2,685,090 | ||||||
Series 2022-PJ1, Class A15, (U.S. Secured Overnight Financing Rate 30 Day Average + 0.850%), 5.00%, 5/28/20522,3 | 4,448,356 | 4,074,958 |
4
Investment Portfolio - September 30, 2023
(unaudited)
UNCONSTRAINED BOND SERIES | SHARES/ PRINCIPAL AMOUNT1 | VALUE | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||
GS Mortgage-Backed Securities Trust, (continued) | ||||||||
Series 2022-PJ3, Class A24, 3.00%, 8/25/20522,7 | 8,668,032 | $ | 7,495,791 | |||||
Imperial Fund Mortgage Trust, | ||||||||
Series 2022-NQM2, Class A1, 3.638%, 3/25/20672,8 | 6,663,553 | 5,930,679 | ||||||
Series 2022-NQM3, Class A1, 4.38%, 5/25/20672,8 | 4,115,418 | 3,837,004 | ||||||
Series 2022-NQM4, Class A1, 4.767%, 6/25/20672,8 | 9,021,226 | 8,467,874 | ||||||
J.P. Morgan Mortgage Trust, | ||||||||
Series 2014-2, Class 1A1, 3.00%, 6/25/20292,7 | 286,719 | 265,903 | ||||||
Series 2022-INV3, Class A4B, 3.00%, 9/25/20522,7 | 6,743,277 | 5,730,877 | ||||||
Metlife Securitization Trust, Series 2019-1A, Class A, 3.75%, 4/25/20582,7 | 740,685 | 676,442 | ||||||
New Residential Mortgage Loan Trust, | ||||||||
Series 2014-3A, Class AFX3, 3.75%, 11/25/20542,7 | 228,497 | 204,674 | ||||||
Series 2015-2A, Class A1, 3.75%, 8/25/20552,7 | 323,788 | 295,132 | ||||||
Series 2019-2A, Class A1, 4.25%, 12/25/20572,7 | 1,550,570 | 1,450,679 | ||||||
NYMT Loan Trust, Series 2022-CP1, Class A1, 2.042%, 7/25/20612 | 1,986,806 | 1,759,149 | ||||||
PCG LLC, Series 2023-1, (1 mo. U.S. Secured Overnight Financing Rate + 6.000%), 11.320%, 7/25/2029 (Acquired 07/24/2023, cost $4,498,054)3,4 | 4,498,054 | 4,497,406 | ||||||
RCKT Mortgage Trust, Series 2021-6, Class A5, 2.50%, 12/25/20512,7 | 5,045,910 | 4,170,699 | ||||||
RUN Trust, Series 2022-NQM1, Class A1, 4.00%, 3/25/20672 | 3,099,484 | 2,818,622 | ||||||
Sequoia Mortgage Trust, | ||||||||
Series 2013-2, Class A, 1.874%, 2/25/20437 | 116,155 | 92,745 | ||||||
Series 2013-6, Class A2, 3.00%, 5/25/20437 | 1,206,062 | 1,023,560 | ||||||
Series 2013-7, Class A2, 3.00%, 6/25/20437 | 113,585 | 97,117 | ||||||
Series 2013-8, Class A1, 3.00%, 6/25/20437 | 138,925 | 118,582 | ||||||
Starwood Retail Property Trust, Series 2014-STAR, Class A, (Prime Rate + 0.000%), 8.50%, 11/15/20272,3 | 1,623,210 | 1,149,928 | ||||||
Sutherland Commercial Mortgage Trust, Series 2019-SBC8, Class A, 2.86%, 4/25/20412,7 | 1,990,706 | 1,819,401 | ||||||
WinWater Mortgage Loan Trust, Series 2015-1, Class A1, 3.50%, 1/20/20452,7. | 70,087 | 61,267 | ||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | ||||||||
(Identified Cost $94,623,000) | 87,324,267 |
SHARES/ PRINCIPAL AMOUNT1 | VALUE | |||||||
FOREIGN GOVERNMENT BONDS - 0.5% | ||||||||
Republic of Italy Government International Bond (Italy), 2.375%, 10/17/2024 | ||||||||
(Identified Cost $4,476,280) | 4,500,000 | $ | 4,331,347 | |||||
MUNICIPAL BONDS - 0.4% | ||||||||
Hawaii, Series GC, G.O. Bond, 2.632%, 10/1/2037 | ||||||||
(Identified Cost $4,049,902) | 3,905,000 | 2,781,862 | ||||||
U.S. TREASURY SECURITIES - 39.0% | ||||||||
U.S. Treasury Notes - 39.0% | ||||||||
U.S. Treasury Inflation Indexed Note | ||||||||
0.125%, 10/15/2025 | 13,086,779 | 12,403,412 | ||||||
0.125%, 4/15/2026 | 13,237,121 | 12,369,701 | ||||||
0.50%, 1/15/2028 | 13,314,932 | 12,278,741 | ||||||
U.S. Treasury Note | ||||||||
0.375%, 8/15/2024 | 10,460,000 | 10,007,687 | ||||||
1.125%, 1/15/2025 | 43,875,000 | 41,592,129 | ||||||
2.125%, 5/15/2025 | 51,023,000 | 48,591,435 | ||||||
2.25%, 11/15/2027 | 44,305,000 | 40,300,243 | ||||||
2.75%, 2/15/2028 | 26,155,000 | 24,195,418 | ||||||
2.875%, 5/15/2028 | 68,425,000 | 63,421,422 | ||||||
2.875%, 8/15/2028 | 25,475,000 | 23,526,561 | ||||||
3.125%, 11/15/2028 | 25,385,000 | 23,643,748 | ||||||
TOTAL U.S. TREASURY SECURITIES | ||||||||
(Identified Cost $319,612,060) | 312,330,497 | |||||||
U.S. GOVERNMENT AGENCIES - 3.1% | ||||||||
Mortgage-Backed Securities - 3.1% | ||||||||
Fannie Mae | ||||||||
Pool #AD0462, UMBS, 5.50%, 10/1/2024 | 625 | 620 | ||||||
Pool #MA0115, UMBS, 4.50%, 7/1/2029 | 22,535 | 21,918 | ||||||
Pool #MA1834, UMBS, 4.50%, 2/1/2034 | 104,645 | 99,482 | ||||||
Pool #995876, UMBS, 6.00%, 11/1/2038 | 191,515 | 197,960 | ||||||
Pool #FS4047, UMBS, 3.50%, 12/1/2042 | 7,765,130 | 6,828,216 | ||||||
Pool #AW5338, UMBS, 4.50%, 6/1/2044 | 470,128 | 436,136 | ||||||
Pool #AS3878, UMBS, 4.50%, 11/1/2044 | 297,070 | 279,696 | ||||||
Pool #BE7845, UMBS, 4.50%, 2/1/2047 | 80,276 | 75,281 | ||||||
Freddie Mac | ||||||||
Pool #G13331, 5.50%, 10/1/2023 | 1 | 1 | ||||||
Pool #C91359, 4.50%, 2/1/2031 | 65,015 | 62,906 | ||||||
Pool #D98711, 4.50%, 7/1/2031 | 193,042 | 186,766 | ||||||
Pool #C91746, 4.50%, 12/1/2033 | 146,711 | 139,609 |
5
Investment Portfolio - September 30, 2023
(unaudited)
UNCONSTRAINED BOND SERIES | SHARES/ PRINCIPAL AMOUNT1 | VALUE | ||||||
U.S. GOVERNMENT AGENCIES (continued) | ||||||||
Mortgage-Backed Securities (continued) | ||||||||
Freddie Mac (continued) | ||||||||
Pool #G05900, 6.00%, 3/1/2040 | 33,770 | $ | 34,950 | |||||
Pool #RB5264, UMBS, 5.50%, 10/1/2043 | 8,000,000 | 7,811,971 | ||||||
Pool #QG6308, UMBS, 6.00%, 7/1/2053 | 8,456,456 | 8,368,349 | ||||||
TOTAL U.S. GOVERNMENT AGENCIES | ||||||||
(Identified Cost $24,653,941) | 24,543,861 | |||||||
SHORT-TERM INVESTMENT - 2.5% | ||||||||
Dreyfus Government Cash Management, Institutional Shares, 5.22%9 | ||||||||
(Identified Cost $20,370,709) | 20,370,709 | 20,370,709 | ||||||
– | ||||||||
TOTAL INVESTMENTS - 98.9% | ||||||||
(Identified Cost $840,801,526) | 791,556,634 | |||||||
OTHER ASSETS, LESS LIABILITIES - 1.1%. | 9,094,261 | |||||||
NET ASSETS - 100% | $ | 800,650,895 |
FUTURES CONTRACTS: LONG POSITIONS OPEN AT SEPTEMBER 30, 2023 | ||||||||||||||
CONTRACTS PURCHASED | ISSUE | EXCHANGE | EXPIRATION | NOTIONAL VALUE 1 | VALUE/UNREALIZED DEPRECIATION | |||||||||
1,600 | U.S. Treasury Notes (2 Year) | CME | December 2023 | 324,337,501 | $(820,131 | ) | ||||||||
TOTAL LONG POSITIONS | $(820,131 | ) |
FUTURES CONTRACTS: SHORT POSITIONS OPEN AT SEPTEMBER 30, 2023 | ||||||||||||||
CONTRACTS SOLD | ISSUE | EXCHANGE | EXPIRATION | NOTIONAL VALUE 1 | VALUE/UNREALIZED APPRECIATION | |||||||||
665 | U.S. Ultra Treasury Bonds (10 Year) | CME | December 2023 | 74,189,063 | $2,075,239 | |||||||||
TOTAL SHORT POSITIONS | $2,075,239 |
CME - Chicago Mercantile Exchange
EUR - Euro
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
REIT - Real Estate Investment Trust
REMICS - Real Estate Mortgage Investment Conduits
SEK - Swedish Krona
STIB - Stockholm Interbank Offered Rate
UMBS - Uniform Mortgage-Backed Securities
1Amount is stated in USD unless otherwise noted.
6
Investment Portfolio - September 30, 2023
(unaudited)
2Security 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, 2023 was $309,944,852, which represented 38.7% of the Series’ Net Assets.
3Floating rate security. Rate shown is the rate in effect as of September 30, 2023.
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 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, 2023 was $33,076,594, or 4.1% of the Series’ Net Assets.
5Variable 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, 2023.
6Issuer filed for bankruptcy and/or is in default of interest payments.
7Variable 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, 2023.
8Represents 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, 2023.
9Rate shown is the current yield as of September 30, 2023.
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, 2023 in valuing the Series’ assets or liabilities carried at fair value:
DESCRIPTION | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Assets: | ||||||||||||||||
Preferred securities: | ||||||||||||||||
Information Technology | $ | 2,285,030 | $ | 2,285,030 | $ | — | $ | — | ||||||||
Debt securities: | ||||||||||||||||
U.S. Treasury and other U.S. Government agencies | 336,874,358 | — | 336,874,358 | — | ||||||||||||
States and political subdivisions (municipals) | 2,781,862 | — | 2,781,862 | — | ||||||||||||
Corporate debt: | ||||||||||||||||
Communication Services | 18,042,969 | — | 18,042,969 | — | ||||||||||||
Consumer Discretionary | 9,349,271 | — | 9,349,271 | — | ||||||||||||
Consumer Staples | 5,495,955 | — | 5,495,955 | — | ||||||||||||
Energy | 17,518,017 | — | 17,518,017 | — | ||||||||||||
Financials | 26,267,889 | — | 26,267,889 | — | ||||||||||||
Industrials | 22,484,530 | — | 22,484,530 | — | ||||||||||||
Information Technology | 3,182,406 | — | 3,182,406 | — | ||||||||||||
Materials | 1,573,756 | — | 1,573,756 | — | ||||||||||||
Real Estate | 24,220,075 | — | 24,220,075 | — | ||||||||||||
Utilities | 21,593,493 | — | 21,593,493 | — | ||||||||||||
Asset-backed securities | 187,860,700 | — | 187,860,700 | — | ||||||||||||
Commercial mortgage-backed securities | 87,324,267 | — | 87,324,267 | — | ||||||||||||
Foreign government bonds | 4,331,347 | — | 4,331,347 | — | ||||||||||||
Short-Term Investment | 20,370,709 | 20,370,709 | — | — |
7
Investment Portfolio - September 30, 2023
(unaudited)
DESCRIPTION | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Other financial instruments:* | ||||||||||||||||
Interest rate contracts | $ | 2,075,239 | $ | 2,075,239 | $ | — | $ | — | ||||||||
Total assets | 793,631,873 | 24,730,978 | 768,900,895 | — | ||||||||||||
Liabilities: | ||||||||||||||||
Other financial instruments:* | ||||||||||||||||
Interest rate contracts | (820,131 | ) | (820,131 | ) | — | — | ||||||||||
Total liabilities | (820,131 | ) | (820,131 | ) | — | — | ||||||||||
Total | $ | 792,811,742 | $ | 23,910,847 | $ | 768,900,895 | $ | — |
*Other financial instruments are futures (Level 1). Futures are valued at the unrealized appreciation (depreciation) on the instrument.
There were no Level 3 securities held by the Series as of September 30, 2023.
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.
8