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CBALX similar filings
- 25 Aug 21 Columbia Adaptive Retirement 2025 Fund (Jun 2021 report)
- 25 Aug 21 Columbia Adaptive Retirement 2020 Fund (Jun 2021 report)
- 26 Jul 21 Multisector Bond SMA Completion Portfolio (May 2021 report)
- 26 Jul 21 Multi-Manager Total Return Bond Strategies Fund (May 2021 report)
- 26 Jul 21 Overseas SMA Completion Portfolio (May 2021 report)
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Filing view
External links
Portfolio of Investments
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
Asset-Backed Securities — Non-Agency 12.4% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
AGL CLO 11 Ltd.(a),(b) | ||||
Series 2021-11A Class AJ | ||||
3-month USD LIBOR + 1.350% Floor 1.350% 04/15/2034 | 1.800% | 12,200,000 | 12,201,220 | |
AGL CLO 12 Ltd.(a),(b),(c) | ||||
Series 2021-12A Class C | ||||
3-month USD LIBOR + 1.850% Floor 1.850% 07/20/2034 | 2.100% | 1,000,000 | 1,000,106 | |
AIG CLO(a),(b) | ||||
Series 2021-1A Class C | ||||
3-month USD LIBOR + 1.750% Floor 1.750% 04/22/2034 | 1.934% | 1,750,000 | 1,750,635 | |
AIMCO CLO 11 Ltd.(a),(b) | ||||
Series 2020-11A Class A | ||||
3-month USD LIBOR + 1.380% Floor 1.380% 10/15/2031 | 1.564% | 2,000,000 | 2,004,762 | |
Allegany Park CLO Ltd.(a),(b) | ||||
Series 2019-1A Class A | ||||
3-month USD LIBOR + 1.330% Floor 1.330% 01/20/2033 | 1.518% | 3,870,000 | 3,873,785 | |
Allegro CLO VII Ltd.(a),(b) | ||||
Series 2018-1A Class A | ||||
3-month USD LIBOR + 1.100% Floor 1.100% 06/13/2031 | 1.284% | 7,500,000 | 7,491,930 | |
American Credit Acceptance Receivables Trust(a) | ||||
Series 2019-4 Class C | ||||
12/12/2025 | 2.690% | 3,060,000 | 3,104,345 | |
Subordinated Series 2020-2 Class B | ||||
09/13/2024 | 2.480% | 850,000 | 861,939 | |
Subordinated Series 2020-4 Class C | ||||
12/14/2026 | 1.310% | 2,830,000 | 2,859,200 | |
Subordinated Series 2021-1 Class B | ||||
03/13/2025 | 0.610% | 85,000 | 84,991 | |
AmeriCredit Automobile Receivables Trust | ||||
Series 2019-2 Class B | ||||
07/18/2024 | 2.540% | 6,060,000 | 6,158,535 | |
Series 2020-1 Class D | ||||
12/18/2025 | 1.800% | 950,000 | 971,396 | |
Series 2020-2 Class D | ||||
03/18/2026 | 2.130% | 500,000 | 515,922 | |
Subordinated Series 2017-1 Class D | ||||
01/18/2023 | 3.130% | 1,755,000 | 1,769,582 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2019-1 Class D | ||||
03/18/2025 | 3.620% | 2,250,000 | 2,377,019 | |
Subordinated Series 2019-3 Class C | ||||
07/18/2025 | 2.320% | 1,650,000 | 1,692,344 | |
Subordinated Series 2019-3 Class D | ||||
09/18/2025 | 2.580% | 1,450,000 | 1,510,788 | |
Subordinated Series 2020-2 Class B | ||||
02/18/2026 | 0.970% | 540,000 | 545,016 | |
Subordinated Series 2020-3 Class C | ||||
08/18/2026 | 1.060% | 1,385,000 | 1,396,117 | |
AMMC CLO Ltd.(a),(b) | ||||
Series 2020-23A Class A1L | ||||
3-month USD LIBOR + 1.400% 10/17/2031 | 1.635% | 6,400,000 | 6,405,798 | |
Anchorage Capital CLO Ltd.(a),(b) | ||||
Series 2013-1A Class A1R | ||||
3-month USD LIBOR + 1.250% 10/13/2030 | 1.438% | 5,250,000 | 5,254,546 | |
Series 2016-9A Class AR | ||||
3-month USD LIBOR + 1.370% 07/15/2032 | 1.554% | 13,000,000 | 13,003,068 | |
Series 2019-11A Class A | ||||
3-month USD LIBOR + 1.390% Floor 1.390% 07/22/2032 | 1.612% | 11,000,000 | 11,019,844 | |
Apidos CLO XXII(a),(b) | ||||
Series 2015-22A Class A1R | ||||
3-month USD LIBOR + 1.060% 04/20/2031 | 1.248% | 6,400,000 | 6,395,718 | |
Apidos CLO XXIV(a),(b) | ||||
Series 2016-24A | ||||
3-month USD LIBOR + 2.050% Floor 2.050% 10/20/2030 | 2.238% | 2,900,000 | 2,892,799 | |
Apidos CLO XXXII(a),(b) | ||||
Series 2019-32A Class A1 | ||||
3-month USD LIBOR + 1.320% Floor 1.320% 01/20/2033 | 1.508% | 3,000,000 | 3,003,132 | |
Apidos CLO XXXIII(a),(b) | ||||
Series 2020-33A Class A | ||||
3-month USD LIBOR + 1.700% Floor 1.700% 07/24/2031 | 1.876% | 1,450,000 | 1,451,322 | |
Applebee’s Funding LLC/IHOP Funding LLC(a) | ||||
Series 2019-1A Class A2I | ||||
06/07/2049 | 4.194% | 1,044,750 | 1,082,892 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 1 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2019-1A Class AII | ||||
06/07/2049 | 4.723% | 497,500 | 528,481 | |
Aqua Finance Trust(a) | ||||
Series 2020-AA Class A | ||||
07/17/2046 | 1.900% | 1,685,569 | 1,704,356 | |
ArrowMark Colorado Holdings(a),(b) | ||||
Series 2017-6A Class A1 | ||||
3-month USD LIBOR + 1.280% 07/15/2029 | 1.464% | 2,250,000 | 2,248,108 | |
Atrium XII(a),(b) | ||||
Series 2012A Class AR | ||||
3-month USD LIBOR + 0.830% 04/22/2027 | 1.014% | 13,584,816 | 13,576,081 | |
Atrium XIII(a),(b) | ||||
Series 2013A Class A1 | ||||
3-month USD LIBOR + 1.180% Floor 1.180% 11/21/2030 | 1.353% | 2,500,000 | 2,501,755 | |
Avis Budget Rental Car Funding AESOP LLC(a) | ||||
Series 2016-2A Class A | ||||
11/20/2022 | 2.720% | 6,700,000 | 6,744,717 | |
Series 2017-2A Class A | ||||
03/20/2024 | 2.970% | 750,000 | 781,012 | |
Series 2020-1A Class A | ||||
08/20/2026 | 2.330% | 115,000 | 120,883 | |
Series 2020-2A Class A | ||||
02/20/2027 | 2.020% | 1,600,000 | 1,649,513 | |
Bain Capital Credit CLO Ltd.(a),(b) | ||||
Series 2019-3A Class A | ||||
3-month USD LIBOR + 1.340% Floor 1.340% 10/21/2032 | 1.526% | 20,000,000 | 20,032,280 | |
Ballyrock CLO Ltd.(a),(b) | ||||
Series 2019-1A Class A1 | ||||
3-month USD LIBOR + 1.360% 07/15/2032 | 1.544% | 15,000,000 | 15,015,255 | |
Series 2020-2A Class A1 | ||||
3-month USD LIBOR + 1.320% Floor 1.320% 10/20/2031 | 1.529% | 26,500,000 | 26,530,740 | |
Bardot CLO Ltd.(a),(b) | ||||
Series 2019-2A Class A2 | ||||
3-month USD LIBOR + 1.650% Floor 1.650% 10/22/2032 | 1.834% | 5,000,000 | 5,009,125 | |
Barings CLO Ltd.(a),(b) | ||||
Series 2020-1A Class A1 | ||||
3-month USD LIBOR + 1.400% 10/15/2032 | 1.584% | 3,000,000 | 3,004,617 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2020-2A Class A1 | ||||
3-month USD LIBOR + 1.290% Floor 1.290% 10/15/2033 | 3.000% | 10,000,000 | 10,006,940 | |
Series 2020-4A Class A | ||||
3-month USD LIBOR + 1.220% Floor 1.220% 01/20/2032 | 1.444% | 6,500,000 | 6,500,351 | |
Benefit Street Partners CLO X Ltd.(a),(b) | ||||
Series 2016-10A Class BRR | ||||
3-month USD LIBOR + 2.150% Floor 2.150% 04/20/2034 | 2.338% | 2,810,000 | 2,794,028 | |
Benefit Street Partners CLO XIX Ltd.(a),(b) | ||||
Series 2019-19A Class A | ||||
3-month USD LIBOR + 1.350% Floor 1.350% 01/15/2033 | 1.534% | 4,500,000 | 4,505,823 | |
Benefit Street Partners CLO XVIII Ltd.(a),(b) | ||||
Series 2019-18A Class A | ||||
3-month USD LIBOR + 1.340% 10/15/2032 | 1.524% | 5,500,000 | 5,504,026 | |
Benefit Street Partners CLO XXI Ltd.(a),(b) | ||||
Series 2020-21A Class A1 | ||||
3-month USD LIBOR + 1.700% Floor 1.700% 07/15/2031 | 1.941% | 10,000,000 | 10,021,650 | |
Betony CLO 2 Ltd.(a),(b) | ||||
Series 2018-1A Class A1 | ||||
3-month USD LIBOR + 1.080% 04/30/2031 | 1.266% | 3,000,000 | 3,000,150 | |
BlueMountain CLO Ltd.(a),(b) | ||||
Series 2012-2A Class AR2 | ||||
3-month USD LIBOR + 1.050% Floor 1.050% 11/20/2028 | 1.205% | 4,502,401 | 4,503,022 | |
Series 2016-2A Class A1R | ||||
3-month USD LIBOR + 1.310% Floor 1.310% 08/20/2032 | 1.492% | 7,000,000 | 7,001,617 | |
BlueMountain CLO XXVIII Ltd.(a),(b) | ||||
Series 2021-28A Class C | ||||
3-month USD LIBOR + 2.000% Floor 2.000% 04/15/2034 | 2.113% | 1,300,000 | 1,293,699 | |
BlueMountain CLO XXXI Ltd.(a),(b),(c) | ||||
Series 2021-31A Class A2 | ||||
3-month USD LIBOR + 1.400% Floor 1.400% 04/19/2034 | 2.000% | 3,600,000 | 3,600,364 |
2 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Bojangles Issuer LLC(a) | ||||
Series 2020-1A Class A2 | ||||
10/20/2050 | 3.832% | 1,600,000 | 1,677,917 | |
Broad River BSL Funding CLO(a),(b) | ||||
Series 2020-1A Class A | ||||
3-month USD LIBOR + 1.850% Floor 1.850% 04/20/2029 | 2.038% | 2,090,000 | 2,091,770 | |
Broad River BSL Funding CLO Ltd.(a),(b),(c) | ||||
Series 2020-1A Class AR | ||||
3-month USD LIBOR + 1.170% Floor 1.170% 07/20/2034 | 2.500% | 2,090,000 | 2,090,000 | |
Carbone CLO Ltd.(a),(b) | ||||
Series 2017-1A Class A1 | ||||
3-month USD LIBOR + 1.140% 01/20/2031 | 1.328% | 2,231,000 | 2,230,993 | |
CARDS II Trust(a) | ||||
Subordinated Series 2021-1A Class B | ||||
04/15/2027 | 0.931% | 2,850,000 | 2,850,342 | |
Carlyle Global Market Strategies CLO Ltd.(a),(b) | ||||
Series 2013-3A Class A1AR | ||||
3-month USD LIBOR + 1.100% Floor 1.100% 10/15/2030 | 1.284% | 3,975,454 | 3,969,681 | |
Series 2014-3RA Class A1A | ||||
3-month USD LIBOR + 1.050% 07/27/2031 | 1.231% | 21,572,361 | 21,573,742 | |
Series 2016-1A Class A1R2 | ||||
3-month USD LIBOR + 1.140% Floor 1.140% 04/20/2034 | 1.300% | 6,000,000 | 6,004,542 | |
Carlyle US CLO Ltd.(a),(b) | ||||
Series 2017-2A Class A2R | ||||
3-month USD LIBOR + 1.600% Floor 1.600% 07/20/2031 | 1.800% | 2,100,000 | 2,100,143 | |
Series 2017-2A Class AJR | ||||
3-month USD LIBOR + 1.400% Floor 1.400% 07/20/2031 | 1.800% | 5,400,000 | 5,400,373 | |
Carmax Auto Owner Trust | ||||
Series 2019-2 Class C | ||||
02/18/2025 | 3.160% | 3,270,000 | 3,413,465 | |
Carvana Auto Receivables Trust(c) | ||||
Series 2021-N2 Class B | ||||
03/10/2028 | 0.750% | 1,365,000 | 1,365,141 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CBAM Ltd.(a),(b) | ||||
Series 2019-11A Class A1 | ||||
3-month USD LIBOR + 1.360% Floor 1.360% 10/20/2032 | 1.548% | 10,000,000 | 10,006,780 | |
Chancelight, Inc.(a),(b) | ||||
Series 2012-2 Class A | ||||
1-month USD LIBOR + 0.730% 04/25/2039 | 0.822% | 635,038 | 631,217 | |
CIFC Funding IV Ltd.(a),(b) | ||||
Series 2015-4A Class BR2 | ||||
3-month USD LIBOR + 1.900% Floor 1.900% 04/20/2034 | 2.009% | 6,300,000 | 6,289,561 | |
CIFC Funding Ltd.(a),(b) | ||||
Series 2015-3A Class AR | ||||
3-month USD LIBOR + 0.870% 04/19/2029 | 1.060% | 6,000,000 | 6,000,594 | |
Series 2017-5A Class A1 | ||||
3-month USD LIBOR + 1.180% 11/16/2030 | 1.370% | 3,000,000 | 3,002,256 | |
Series 2018-1A Class A | ||||
3-month USD LIBOR + 1.000% 04/18/2031 | 1.190% | 5,000,000 | 5,002,155 | |
Series 2018-2A Class A1 | ||||
3-month USD LIBOR + 1.040% 04/20/2031 | 1.228% | 12,000,000 | 12,001,380 | |
Series 2019-6A Class A1 | ||||
3-month USD LIBOR + 1.330% Floor 1.330% 01/16/2033 | 1.514% | 2,900,000 | 2,903,378 | |
Series 2019-6A Class A2 | ||||
3-month USD LIBOR + 1.750% Floor 1.750% 01/16/2033 | 1.934% | 2,000,000 | 2,006,998 | |
CIT Education Loan Trust(a),(b) | ||||
Series 2007-1 Class B | ||||
3-month USD LIBOR + 0.300% Floor 0.300% 06/25/2042 | 0.501% | 566,346 | 524,869 | |
CIT Mortgage Loan Trust(a),(b) | ||||
Series 2007-1 Class 1A | ||||
1-month USD LIBOR + 1.350% Floor 1.350% 10/25/2037 | 1.442% | 4,422,260 | 4,443,855 | |
Commonbond Student Loan Trust(a) | ||||
Series 2018-CGS Class B | ||||
02/25/2046 | 4.250% | 324,529 | 334,132 | |
Series 2020-AGS Class A | ||||
08/25/2050 | 1.980% | 1,911,257 | 1,941,175 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 3 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Credit Acceptance Auto Loan Trust(a) | ||||
Series 2019-3A Class A | ||||
11/15/2028 | 2.380% | 3,925,000 | 4,004,824 | |
Series 2020-2A Class A | ||||
07/16/2029 | 1.370% | 2,305,000 | 2,335,401 | |
Series 2020-3A Class B | ||||
12/17/2029 | 1.770% | 2,105,000 | 2,138,372 | |
Series 2021-3A Class A | ||||
05/15/2030 | 1.000% | 2,125,000 | 2,124,478 | |
DB Master Finance LLC(a) | ||||
Series 2017-1A Class A2II | ||||
11/20/2047 | 4.030% | 1,209,375 | 1,290,754 | |
Series 2019-1A Class A23 | ||||
05/20/2049 | 4.352% | 1,179,000 | 1,290,412 | |
Series 2019-1A Class A2II | ||||
05/20/2049 | 4.021% | 638,625 | 675,237 | |
Diamond Resorts Owner Trust(a) | ||||
Series 2018-1 Class A | ||||
01/21/2031 | 3.700% | 1,537,744 | 1,604,079 | |
Domino’s Pizza Master Issuer LLC(a) | ||||
Series 2018-1A Class A2I | ||||
07/25/2048 | 4.116% | 1,462,500 | 1,533,695 | |
Series 2021-1A Class A2II | ||||
04/25/2051 | 3.151% | 3,200,000 | 3,302,628 | |
Donlen Fleet Lease Funding 2 LLC(a) | ||||
Series 2021-2 Class A2 | ||||
12/11/2034 | 0.560% | 4,760,000 | 4,778,456 | |
Drive Auto Receivables Trust | ||||
Series 2019-3 Class B | ||||
02/15/2024 | 2.650% | 2,692,707 | 2,705,354 | |
Subordinated Series 2020-2 Class B | ||||
03/17/2025 | 1.420% | 2,200,000 | 2,224,092 | |
Subordinated Series 2021-1 Class B | ||||
07/15/2025 | 0.650% | 2,425,000 | 2,432,675 | |
Driven Brands Funding LLC(a) | ||||
Series 2019-1A Class A2 | ||||
04/20/2049 | 4.641% | 1,759,500 | 1,894,570 | |
Dryden CLO Ltd.(a),(b) | ||||
Series 2019-75A Class AR2 | ||||
3-month USD LIBOR + 1.040% Floor 1.040% 04/15/2034 | 1.242% | 4,000,000 | 4,003,104 | |
Series 2019-75A Class CR2 | ||||
3-month USD LIBOR + 1.800% Floor 1.800% 04/15/2034 | 2.002% | 5,000,000 | 5,001,950 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2020-78A Class A | ||||
3-month USD LIBOR + 1.180% Floor 1.180% 04/17/2033 | 1.370% | 5,000,000 | 5,005,815 | |
DT Auto Owner Trust(a) | ||||
Series 2019-2A Class C | ||||
02/18/2025 | 3.180% | 2,250,000 | 2,286,020 | |
Series 2020-2A Class C | ||||
03/16/2026 | 3.280% | 1,055,000 | 1,102,271 | |
Series 2021-1A Class B | ||||
09/15/2025 | 0.620% | 60,000 | 59,965 | |
Series 2021-2A Class B | ||||
01/15/2027 | 0.810% | 1,795,000 | 1,799,264 | |
Subordinated Series 2019-1A Class C | ||||
11/15/2024 | 3.610% | 2,002,885 | 2,022,851 | |
Earnest Student Loan Program LLC(a),(b) | ||||
Series 2016-D Class A1 | ||||
1-month USD LIBOR + 1.400% Floor 1.400% 01/25/2041 | 1.492% | 87,927 | 88,007 | |
Eaton Vance CLO Ltd.(a),(b) | ||||
Series 2019-1A Class AR | ||||
3-month USD LIBOR + 1.100% Floor 1.100% 04/15/2031 | 1.223% | 4,670,000 | 4,670,411 | |
Education Loan Asset-Backed Trust I(a),(b) | ||||
Series 2013-1 Class A2 | ||||
1-month USD LIBOR + 0.800% Floor 0.800% 04/26/2032 | 0.892% | 4,248,335 | 4,278,110 | |
Educational Funding of the South, Inc.(b) | ||||
Series 2011-1 Class A2 | ||||
3-month USD LIBOR + 0.650% Floor 0.650% 04/25/2035 | 0.826% | 1,315,657 | 1,316,209 | |
EFS Volunteer No. 2 LLC(a),(b) | ||||
Series 2012-1 Class A2 | ||||
1-month USD LIBOR + 1.350% Floor 1.350% 03/25/2036 | 1.442% | 1,989,065 | 2,036,682 | |
Elevation CLO Ltd.(a),(b) | ||||
Series 2014-2A Class A1R | ||||
3-month USD LIBOR + 1.230% 10/15/2029 | 1.414% | 4,000,000 | 4,000,412 | |
Series 2017-7A Class A | ||||
3-month USD LIBOR + 1.220% 07/15/2030 | 1.404% | 4,750,000 | 4,750,109 | |
ELFI Graduate Loan Program LLC(a) | ||||
Series 2019-A Class A | ||||
03/25/2044 | 2.540% | 1,369,122 | 1,400,440 |
4 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2019-A Class B | ||||
03/25/2044 | 2.940% | 789,083 | 783,980 | |
Ellington CLO II Ltd.(a),(b) | ||||
Series 2017-2A Class A | ||||
3-month USD LIBOR + 1.700% Floor 1.700% 02/15/2029 | 1.856% | 18,782,942 | 18,771,710 | |
Elmwood CLO II Ltd.(a),(b) | ||||
Series 2019-2A Class AR | ||||
3-month USD LIBOR + 1.150% Floor 1.150% 04/20/2034 | 1.338% | 27,250,000 | 27,275,751 | |
Elmwood CLO IX Ltd.(a),(b),(c) | ||||
Series 2021-2A Class A | ||||
3-month USD LIBOR + 1.130% 07/20/2034 | 1.450% | 3,500,000 | 3,500,000 | |
Elmwood CLO VII Ltd.(a),(b) | ||||
Series 2020-4A Class A | ||||
3-month USD LIBOR + 1.390% Floor 1.390% 01/17/2034 | 1.539% | 2,000,000 | 2,009,254 | |
Exeter Automobile Receivables Trust(a) | ||||
Series 2020-1A Class B | ||||
04/15/2024 | 2.260% | 1,190,000 | 1,197,606 | |
Series 2020-2A Class A | ||||
08/15/2023 | 1.130% | 715,377 | 716,176 | |
Series 2020-2A Class C | ||||
05/15/2025 | 3.280% | 1,400,000 | 1,450,414 | |
Exeter Automobile Receivables Trust | ||||
Subordinated Series 2020-3A Class C | ||||
07/15/2025 | 1.320% | 4,900,000 | 4,949,977 | |
Subordinated Series 2020-3A Class D | ||||
07/15/2026 | 1.730% | 400,000 | 406,624 | |
Subordinated Series 2021-1A Class B | ||||
02/18/2025 | 0.500% | 1,960,000 | 1,961,687 | |
Exeter Automobile Receivables Trust(c) | ||||
Subordinated Series 2021-2A Class B | ||||
09/15/2025 | 0.570% | 2,080,000 | 2,080,163 | |
Flagship Credit Auto Trust(a) | ||||
Series 2020-2 Class C | ||||
04/15/2026 | 3.800% | 235,000 | 246,751 | |
Subordinated Series 2018-2 Class B | ||||
05/15/2023 | 3.560% | 1,692,156 | 1,699,033 | |
Subordinated Series 2018-4 Class B | ||||
10/16/2023 | 3.880% | 1,600,000 | 1,619,787 | |
Subordinated Series 2020-1 Class B | ||||
02/17/2025 | 2.050% | 1,445,000 | 1,478,389 | |
Subordinated Series 2020-4 Class C | ||||
02/16/2027 | 1.280% | 585,000 | 589,421 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2021-2 Class B | ||||
06/15/2027 | 0.930% | 1,800,000 | 1,801,236 | |
Flatiron CLO 21 Ltd.(a),(b),(c),(d),(e) | ||||
Series 2021-1A Class C | ||||
3-month USD LIBOR + 1.850% Floor 1.850% 07/19/2034 | 1.900% | 2,000,000 | 2,000,000 | |
Ford Credit Auto Owner Trust(a) | ||||
Series 2017-2 Class A | ||||
03/15/2029 | 2.360% | 7,075,000 | 7,270,946 | |
Series 2018-1 Class A | ||||
07/15/2031 | 3.190% | 7,110,000 | 7,724,161 | |
Series 2021-1 Class A | ||||
10/17/2033 | 1.370% | 3,415,000 | 3,454,133 | |
Ford Credit Floorplan Master Owner Trust | ||||
Series 2018-4 Class A | ||||
11/15/2030 | 4.060% | 5,100,000 | 5,858,195 | |
Galaxy XV CLO Ltd.(a),(b) | ||||
Series 2013-15A Class AR | ||||
3-month USD LIBOR + 1.200% 10/15/2030 | 1.384% | 2,225,000 | 2,225,556 | |
Global SC Finance II SRL(a) | ||||
Series 2014-1A Class A2 | ||||
07/17/2029 | 3.090% | 1,214,417 | 1,224,777 | |
GLS Auto Receivables Issuer Trust(a) | ||||
Series 2019-2A Class A | ||||
04/17/2023 | 3.060% | 101,897 | 102,029 | |
Subordinated Series 2018-3A Class B | ||||
08/15/2023 | 3.780% | 1,772,444 | 1,790,311 | |
Subordinated Series 2019-4A Class B | ||||
09/16/2024 | 2.780% | 1,890,000 | 1,931,970 | |
Subordinated Series 2020-4A Class C | ||||
11/17/2025 | 1.140% | 1,540,000 | 1,548,839 | |
Subordinated Series 2021-1A Class B | ||||
04/15/2025 | 0.820% | 1,990,000 | 1,989,287 | |
GM Financial Consumer Automobile Receivables Trust | ||||
Series 2020-2 Class A3 | ||||
12/16/2024 | 1.490% | 940,000 | 952,772 | |
GMF Floorplan Owner Revolving Trust(a) | ||||
Series 2020-1 Class A | ||||
08/15/2025 | 0.680% | 1,115,000 | 1,121,089 | |
Goal Capital Funding Trust(b) | ||||
Series 2006-1 Class B | ||||
3-month USD LIBOR + 0.450% Floor 0.450% 08/25/2042 | 0.597% | 712,693 | 667,872 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 5 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Greenwood Park CLO Ltd.(a),(b) | ||||
Series 2018-1A Class A2 | ||||
3-month USD LIBOR + 1.010% 04/15/2031 | 1.194% | 15,000,000 | 15,009,960 | |
Greywolf CLO III Ltd.(a),(b) | ||||
Series 2020-3RA Class A1R | ||||
3-month USD LIBOR + 1.290% Floor 1.290% 04/15/2033 | 1.474% | 6,500,000 | 6,503,510 | |
Greywolf CLO VII Ltd.(a),(b) | ||||
Series 2018-2A Class A1 | ||||
3-month USD LIBOR + 1.180% Floor 1.180% 10/20/2031 | 1.368% | 6,250,000 | 6,251,544 | |
Helios Issuer LLC(a) | ||||
Series 2020-AA Class A | ||||
06/20/2047 | 2.980% | 1,212,845 | 1,240,838 | |
Henderson Receivables LLC(a) | ||||
Series 2013-3A Class A | ||||
01/17/2073 | 4.080% | 1,761,825 | 1,969,906 | |
Series 2014-2A Class A | ||||
01/17/2073 | 3.610% | 2,234,913 | 2,455,966 | |
ICG US CLO Ltd.(a),(b) | ||||
Series 2014-3A Class A1RR | ||||
3-month USD LIBOR + 1.030% 04/25/2031 | 1.206% | 7,232,319 | 7,239,681 | |
JG Wentworth XLIII LLC(a) | ||||
Series 2019-1A Class A | ||||
08/17/2071 | 3.820% | 1,143,637 | 1,267,019 | |
Kayne CLO Ltd.(a),(b) | ||||
Series 2019-6A Class A1 | ||||
3-month USD LIBOR + 1.380% Floor 1.380% 01/20/2033 | 1.568% | 7,000,000 | 7,010,052 | |
Series 2019-6A Class A2 | ||||
3-month USD LIBOR + 1.850% Floor 1.850% 01/20/2033 | 2.038% | 1,500,000 | 1,506,275 | |
Series 2020-7A Class A1 | ||||
3-month USD LIBOR + 1.200% 04/17/2033 | 1.390% | 5,000,000 | 5,019,025 | |
Kayne Ltd.(a),(b) | ||||
Series 2018-1A Class CR | ||||
3-month USD LIBOR + 1.750% 07/15/2031 | 1.934% | 1,820,000 | 1,818,928 | |
Series 2021-10A Class C | ||||
3-month USD LIBOR + 1.750% Floor 1.750% 04/23/2034 | 2.000% | 1,600,000 | 1,586,813 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
KKR CLO Ltd.(a),(b) | ||||
Series 2030A Class A1 | ||||
3-month USD LIBOR + 1.500% Floor 1.500% 10/17/2031 | 1.690% | 9,000,000 | 9,017,064 | |
Series 2032A Class A1 | ||||
3-month USD LIBOR + 1.320% Floor 1.320% 01/15/2032 | 1.504% | 17,000,000 | 17,018,700 | |
KVK CLO Ltd.(a),(b) | ||||
Series 2018-1A Class A | ||||
3-month USD LIBOR + 0.930% 05/20/2029 | 1.085% | 10,099,744 | 10,105,834 | |
LCM XIII LP(a),(b) | ||||
Series 2013A Class ARR | ||||
3-month USD LIBOR + 1.140% 07/19/2027 | 1.330% | 5,500,000 | 5,503,173 | |
LCM XXIV Ltd.(a),(b) | ||||
Series 2024A Class AR | ||||
3-month USD LIBOR + 0.980% Floor 0.980% 03/20/2030 | 1.168% | 4,750,000 | 4,746,072 | |
LCM XXV Ltd.(a),(b) | ||||
Series 2025A Class A | ||||
3-month USD LIBOR + 1.210% 07/20/2030 | 1.398% | 1,643,000 | 1,643,067 | |
Lending Funding Trust(a) | ||||
Series 2020-2A Class A | ||||
04/21/2031 | 2.320% | 700,000 | 705,168 | |
Lendmark Funding Trust(a) | ||||
Series 2018-2A Class A | ||||
04/20/2027 | 4.230% | 900,000 | 912,916 | |
Series 2019-1A Class A | ||||
12/20/2027 | 3.000% | 3,800,000 | 3,889,402 | |
Series 2019-2A Class A | ||||
04/20/2028 | 2.780% | 2,000,000 | 2,054,478 | |
Series 2021-1A Class A | ||||
11/20/2031 | 1.900% | 5,000,000 | 5,013,156 | |
Subordinated Series 2021-1A Class B | ||||
11/20/2031 | 2.470% | 200,000 | 199,997 | |
Subordinated Series 2021-1A Class C | ||||
11/20/2031 | 3.410% | 100,000 | 100,375 | |
loanDepot GMSR Master Trust(a),(b) | ||||
Series 2018-GT1 Class A | ||||
1-month USD LIBOR + 2.800% Floor 2.800% 10/16/2023 | 2.901% | 1,300,000 | 1,296,311 | |
Loanpal Solar Loan Ltd.(a) | ||||
Series 2020-2GF Class A | ||||
07/20/2047 | 2.750% | 1,878,551 | 1,934,390 |
6 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Logan CLO I Ltd.(a),(b),(c) | ||||
Series 2021-1A Class A | ||||
3-month USD LIBOR + 1.160% Floor 1.160% 07/20/2034 | 2.000% | 15,000,000 | 15,001,530 | |
Madison Park Funding XIX Ltd.(a),(b) | ||||
Series 2015-19A Class B1R2 | ||||
3-month USD LIBOR + 1.850% Floor 1.850% 01/22/2028 | 2.034% | 3,000,000 | 3,001,080 | |
Madison Park Funding XLVIII Ltd.(a),(b) | ||||
Series 2021-48A Class A | ||||
3-month USD LIBOR + 1.150% Floor 1.150% 04/19/2033 | 1.292% | 6,500,000 | 6,489,210 | |
Series 2021-48A Class C | ||||
3-month USD LIBOR + 2.000% Floor 2.000% 04/19/2033 | 2.142% | 1,520,000 | 1,516,209 | |
Madison Park Funding XXI Ltd.(a),(b) | ||||
Series 2019-21A Class A1AR | ||||
3-month USD LIBOR + 1.350% Floor 1.350% 10/15/2032 | 1.534% | 3,500,000 | 3,502,425 | |
Madison Park Funding XXXVIII Ltd.(a),(b),(c) | ||||
Series 2021-38A Class A | ||||
3-month USD LIBOR + 1.120% Floor 1.120% 07/17/2034 | 2.000% | 15,000,000 | 15,001,590 | |
Magnetite CLO Ltd.(a),(b) | ||||
Series 2020-26A Class A | ||||
3-month USD LIBOR + 1.750% 07/15/2030 | 1.934% | 2,700,000 | 2,705,921 | |
Magnetite XVII Ltd.(a),(b) | ||||
Series 2016-17A Class AR | ||||
3-month USD LIBOR + 1.100% 07/20/2031 | 1.288% | 1,050,000 | 1,051,188 | |
Marathon CLO Ltd.(a),(b) | ||||
Series 2020-15A Class A1S | ||||
3-month USD LIBOR + 1.700% 11/15/2031 | 1.932% | 20,500,000 | 20,886,691 | |
Marble Point CLO XIV Ltd.(a),(b) | ||||
Series 2018-2A Class A1R | ||||
3-month USD LIBOR + 1.280% Floor 1.280% 01/20/2032 | 1.468% | 3,490,000 | 3,494,872 | |
Mariner CLO 5 Ltd.(a),(b) | ||||
Series 2018-5A Class A | ||||
3-month USD LIBOR + 1.110% Floor 1.110% 04/25/2031 | 1.328% | 5,500,000 | 5,494,676 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Mariner Finance Issuance Trust(a) | ||||
Series 2019-AA Class A | ||||
07/20/2032 | 2.960% | 1,300,000 | 1,320,345 | |
Series 2020-AA Class A | ||||
08/21/2034 | 2.190% | 1,000,000 | 1,017,558 | |
Marlette Funding Trust(a) | ||||
Series 2019-3A Class B | ||||
09/17/2029 | 3.070% | 2,050,000 | 2,076,538 | |
Series 2021-1A Class C | ||||
06/16/2031 | 1.410% | 700,000 | 700,537 | |
Subordinated Series 2018-4A Class C | ||||
12/15/2028 | 4.910% | 1,000,000 | 1,016,790 | |
Massachusetts Educational Financing Authority | ||||
Series 2018-A Class A | ||||
05/25/2033 | 3.850% | 2,596,285 | 2,664,515 | |
Merlin Aviation Holdings DAC(a) | ||||
Series 2016-1 Class A | ||||
12/15/2032 | 4.500% | 724,203 | 696,922 | |
MidOcean Credit CLO VIII(a),(b) | ||||
Series 2018-8A Class B | ||||
3-month USD LIBOR + 1.650% 02/20/2031 | 1.805% | 6,600,000 | 6,583,500 | |
MidOcean Credit CLO X(a),(b) | ||||
Series 2019-10A Class A1 | ||||
3-month USD LIBOR + 1.390% Floor 1.390% 10/23/2032 | 1.563% | 19,000,000 | 19,003,857 | |
Mid-State Capital Corp. Trust(a) | ||||
Series 2006-1 Class A | ||||
10/15/2040 | 5.787% | 811,589 | 866,574 | |
Mid-State Trust VII | ||||
Series 7 Class A (AMBAC) | ||||
12/15/2036 | 6.340% | 713,027 | 750,089 | |
Mill City Solar Loan Ltd.(a) | ||||
Series 2019-1A Class A | ||||
03/20/2043 | 4.340% | 1,416,081 | 1,545,386 | |
Series 2019-2GS Class A | ||||
07/20/2043 | 3.690% | 1,483,188 | 1,577,266 | |
Mosaic Solar Loan Trust(a) | ||||
Series 2018-1A Class A | ||||
06/22/2043 | 4.010% | 774,821 | 838,379 | |
Series 2019-1A Class A | ||||
12/21/2043 | 4.370% | 1,597,210 | 1,761,150 | |
Series 2020-2A Class A | ||||
08/20/2046 | 1.440% | 2,976,473 | 2,925,321 | |
Subordinated Series 2018-2GS Class B | ||||
02/22/2044 | 4.740% | 1,896,586 | 2,010,941 | |
Subordinated Series 2020-2A Class B | ||||
08/20/2046 | 2.210% | 1,898,041 | 1,898,488 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 7 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Mosaic Solar Loans LLC(a) | ||||
Series 2017-2A Class A | ||||
06/22/2043 | 3.820% | 831,791 | 897,086 | |
Mountain View CLO LLC(a),(b) | ||||
Series 2017-2A Class A | ||||
3-month USD LIBOR + 1.210% 01/16/2031 | 1.394% | 6,500,000 | 6,505,401 | |
Navient Private Education Refi Loan Trust(a) | ||||
Series 2020-BA Class A2 | ||||
01/15/2069 | 2.120% | 2,280,000 | 2,320,523 | |
Series 2020-DA Class A | ||||
05/15/2069 | 1.690% | 1,662,255 | 1,681,927 | |
Series 2020-FA Class A | ||||
07/15/2069 | 1.220% | 1,530,791 | 1,540,980 | |
Series 2020-GA Class A | ||||
09/16/2069 | 1.170% | 2,896,249 | 2,912,123 | |
Series 2020-HA Class A | ||||
01/15/2069 | 1.310% | 1,597,134 | 1,608,195 | |
Series 2021-A Class A | ||||
05/15/2069 | 0.840% | 1,503,682 | 1,503,588 | |
Navient Student Loan Trust(b) | ||||
Series 2014-3 Class A | ||||
1-month USD LIBOR + 0.620% Floor 0.620% 03/25/2083 | 0.712% | 4,933,436 | 4,875,615 | |
Series 2014-4 Class A | ||||
1-month USD LIBOR + 0.620% Floor 0.620% 03/25/2083 | 0.712% | 2,162,720 | 2,118,375 | |
Nelnet Student Loan Trust(a),(b) | ||||
Series 2014-4A Class A2 | ||||
1-month USD LIBOR + 0.950% Floor 0.950% 11/25/2048 | 1.042% | 4,210,000 | 4,239,414 | |
Neuberger Berman CLO XVII Ltd.(a),(b) | ||||
Series 2014-17A Class CR2 | ||||
3-month USD LIBOR + 2.000% Floor 2.000% 04/22/2029 | 2.184% | 2,000,000 | 2,000,808 | |
Neuberger Berman Loan Advisers CLO 33 Ltd.(a),(b) | ||||
Series 2019-33A Class C | ||||
3-month USD LIBOR + 2.450% 10/16/2032 | 2.673% | 2,000,000 | 2,003,136 | |
Neuberger Berman Loan Advisers CLO Ltd.(a),(b) | ||||
Series 2021-40A Class C | ||||
3-month USD LIBOR + 1.750% Floor 1.750% 04/16/2033 | 1.938% | 4,650,000 | 4,649,944 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
NextGear Floorplan Master Owner Trust(a) | ||||
Subordinated Series 2020-1A Class A2 | ||||
02/18/2025 | 1.550% | 2,515,000 | 2,565,468 | |
Oaktree CLO Ltd.(a),(b),(c) | ||||
Series 2021-1A Class A1 | ||||
3-month USD LIBOR + 1.160% Floor 1.160% 07/15/2034 | 1.500% | 5,300,000 | 5,300,000 | |
Ocean Trails CLO(a),(b) | ||||
Series 2020-8A Class A1 | ||||
3-month USD LIBOR + 1.950% Floor 1.950% 07/15/2029 | 2.134% | 5,000,000 | 5,003,365 | |
OCP CLO Ltd.(a),(b) | ||||
Series 2020-18A Class AR | ||||
3-month USD LIBOR + 1.090% Floor 1.090% 07/20/2032 | 1.250% | 1,410,000 | 1,412,201 | |
Series 2020-18A Class CR | ||||
3-month USD LIBOR + 1.950% Floor 1.950% 07/20/2032 | 2.110% | 500,000 | 500,226 | |
Series 2020-19A Class A1 | ||||
3-month USD LIBOR + 1.750% Floor 1.750% 07/20/2031 | 1.938% | 1,000,000 | 1,000,966 | |
Octagon Investment Partners 30 Ltd.(a),(b) | ||||
Series 2017-1A Class BR | ||||
3-month USD LIBOR + 1.950% 03/17/2030 | 2.138% | 3,550,000 | 3,535,463 | |
Octagon Investment Partners 32 Ltd.(a),(b) | ||||
Series 2017-1A Class A2R | ||||
3-month USD LIBOR + 1.200% Floor 1.200% 07/15/2029 | 1.384% | 7,400,000 | 7,400,466 | |
Octagon Investment Partners 48 Ltd.(a),(b) | ||||
Series 2020-3A Class A | ||||
3-month USD LIBOR + 1.500% Floor 1.500% 10/20/2031 | 1.688% | 4,000,000 | 4,005,120 | |
Octagon Investment Partners XIV Ltd.(a),(b) | ||||
Series 2012-1A Class BRR | ||||
3-month USD LIBOR + 2.100% Floor 2.100% 07/15/2029 | 2.284% | 6,500,000 | 6,479,219 | |
OHA Credit Funding Ltd.(a),(b) | ||||
Series 2021-8A Class C | ||||
3-month USD LIBOR + 1.900% Floor 1.900% 01/18/2034 | 2.088% | 1,350,000 | 1,347,821 |
8 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
OHA Credit Partners VII Ltd.(a),(b) | ||||
Series 2012-7A Class CR3 | ||||
3-month USD LIBOR + 1.800% Floor 1.800% 02/20/2034 | 1.968% | 5,000,000 | 4,983,680 | |
OHA Loan Funding Ltd.(a),(b) | ||||
Series 2019-1A Class A1R2 | ||||
3-month USD LIBOR + 1.340% Floor 1.340% 11/15/2032 | 1.496% | 4,500,000 | 4,511,286 | |
OneMain Direct Auto Receivables Trust(a) | ||||
Series 2019-1A Class A | ||||
09/14/2027 | 3.630% | 6,900,000 | 7,479,274 | |
Subordinated Series 2018-1A Class B | ||||
04/14/2025 | 3.710% | 11,400,000 | 11,543,201 | |
Subordinated Series 2019-1A Class B | ||||
11/14/2028 | 3.950% | 1,500,000 | 1,606,072 | |
OneMain Financial Issuance Trust(a) | ||||
Series 2018-1A Class A | ||||
03/14/2029 | 3.300% | 10,385,529 | 10,423,693 | |
Series 2020-2A Class A | ||||
09/14/2035 | 1.750% | 2,700,000 | 2,749,354 | |
Subordinated Series 2017-1A Class B | ||||
09/14/2032 | 2.790% | 1,000,000 | 1,002,492 | |
Subordinated Series 2017-1A Class C | ||||
09/14/2032 | 3.350% | 800,000 | 800,809 | |
Oscar US Funding XII LLC(a) | ||||
Series 2021-1A Class A4 | ||||
04/10/2028 | 1.000% | 2,050,000 | 2,056,682 | |
OZLM Funding IV Ltd.(a),(b) | ||||
Series 2013-4A | ||||
3-month USD LIBOR + 1.250% 10/22/2030 | 1.434% | 13,736,345 | 13,742,141 | |
Palmer Square CLO Ltd.(a),(b) | ||||
Series 2014-1A Class A1R2 | ||||
3-month USD LIBOR + 1.130% Floor 1.130% 01/17/2031 | 1.320% | 8,000,000 | 8,001,016 | |
Series 2021-2A Class A | ||||
3-month USD LIBOR + 1.150% Floor 1.150% 07/15/2034 | 2.000% | 9,400,000 | 9,400,940 | |
Palmer Square Loan Funding Ltd.(a),(b) | ||||
Series 2020-2A Class B | ||||
3-month USD LIBOR + 2.250% Floor 2.250% 04/20/2028 | 2.438% | 2,250,000 | 2,251,436 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Palmer Square Ltd.(a),(b) | ||||
Series 2015-2A Class A1R2 | ||||
3-month USD LIBOR + 1.100% 07/20/2030 | 1.288% | 1,250,000 | 1,248,610 | |
Park Avenue Institutional Advisers CLO Ltd.(a),(b) | ||||
Series 2017-1A Class A1R | ||||
3-month USD LIBOR + 1.240% Floor 1.240% 02/14/2034 | 1.438% | 5,000,000 | 4,985,370 | |
Planet Fitness Master Issuer LLC(a) | ||||
Series 2018-1A Class A2II | ||||
09/05/2048 | 4.666% | 3,929,250 | 4,041,705 | |
PPM CLO Ltd.(a),(b) | ||||
Series 2020-4A Class A1 | ||||
3-month USD LIBOR + 1.420% Floor 1.420% 10/18/2031 | 1.617% | 11,500,000 | 11,515,881 | |
Primose Funding LLC(a) | ||||
Series 2019-1A Class A2 | ||||
07/30/2049 | 4.475% | 1,477,500 | 1,517,910 | |
Rockford Tower CLO Ltd.(a),(b),(c) | ||||
Series 2021-1A Class B | ||||
3-month USD LIBOR + 1.650% Floor 1.650% 07/20/2034 | 1.850% | 7,900,000 | 7,900,822 | |
Santander Consumer Auto Receivables Trust(a) | ||||
Series 2020-AA Class C | ||||
02/17/2026 | 3.710% | 1,310,000 | 1,388,813 | |
Santander Drive Auto Receivables Trust | ||||
Series 2019-3 Class C | ||||
10/15/2025 | 2.490% | 850,000 | 862,441 | |
Series 2020-2 Class B | ||||
11/15/2024 | 0.960% | 1,090,000 | 1,095,934 | |
Series 2020-2 Class D | ||||
09/15/2026 | 2.220% | 700,000 | 722,688 | |
Series 2020-3 Class C | ||||
01/15/2026 | 1.120% | 2,500,000 | 2,517,960 | |
Series 2021-2 Class C | ||||
06/15/2026 | 0.900% | 2,845,000 | 2,854,339 | |
Subordinated Series 2018-2 Class D | ||||
02/15/2024 | 3.880% | 2,060,000 | 2,101,703 | |
Subordinated Series 2018-5 Class C | ||||
12/16/2024 | 3.810% | 1,170,383 | 1,175,280 | |
Subordinated Series 2019-2 Class C | ||||
10/15/2024 | 2.900% | 3,320,000 | 3,374,337 | |
Subordinated Series 2019-2 Class D | ||||
07/15/2025 | 3.220% | 1,750,000 | 1,811,543 | |
Subordinated Series 2019-3 Class D | ||||
10/15/2025 | 2.680% | 2,200,000 | 2,263,912 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 9 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated Series 2020-1 Class B | ||||
11/15/2024 | 3.030% | 2,300,000 | 2,351,477 | |
Subordinated Series 2020-2 Class C | ||||
09/15/2025 | 1.460% | 2,250,000 | 2,281,054 | |
Subordinated Series 2020-3 Class D | ||||
11/16/2026 | 1.640% | 2,900,000 | 2,941,647 | |
Subordinated Series 2020-4 Class C | ||||
01/15/2026 | 1.010% | 2,425,000 | 2,441,799 | |
Subordinated Series 2020-4 Class D | ||||
01/15/2027 | 1.480% | 1,800,000 | 1,819,597 | |
Santander Retail Auto Lease Trust(a) | ||||
Series 2019-A Class B | ||||
05/22/2023 | 3.010% | 1,500,000 | 1,522,259 | |
Shackleton VR CLO Ltd.(a),(b) | ||||
Series 2014-5RA Class A | ||||
3-month USD LIBOR + 1.100% 05/07/2031 | 1.270% | 11,000,000 | 10,977,560 | |
Sierra Receivables Funding Co., LLC(a) | ||||
Series 2017-1A Class A | ||||
03/20/2034 | 2.910% | 260,222 | 263,491 | |
Sixth Street CLO XVI Ltd.(a),(b) | ||||
Series 2020-16A Class A1A | ||||
3-month USD LIBOR + 1.320% Floor 1.320% 10/20/2032 | 1.513% | 25,250,000 | 25,262,069 | |
S-Jets Ltd.(a) | ||||
Series 2017-1 Class A | ||||
08/15/2042 | 3.970% | 1,736,941 | 1,713,284 | |
SLM Student Loan Trust(b) | ||||
Series 2008-2 Class A3 | ||||
3-month USD LIBOR + 0.750% 04/25/2023 | 0.926% | 3,299,548 | 3,259,469 | |
Series 2008-2 Class B | ||||
3-month USD LIBOR + 1.200% Floor 1.200% 01/25/2083 | 1.418% | 1,165,000 | 1,040,540 | |
Series 2008-3 Class B | ||||
3-month USD LIBOR + 1.200% Floor 1.200% 04/26/2083 | 1.376% | 1,165,000 | 1,085,191 | |
Series 2008-4 Class B | ||||
3-month USD LIBOR + 1.850% Floor 1.850% 04/25/2073 | 2.026% | 1,165,000 | 1,150,536 | |
Series 2008-5 Class B | ||||
3-month USD LIBOR + 1.850% Floor 1.850% 07/25/2073 | 2.026% | 4,060,000 | 4,006,712 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2008-6 Class A4 | ||||
3-month USD LIBOR + 1.100% 07/25/2023 | 1.276% | 4,791,200 | 4,791,204 | |
Series 2008-6 Class B | ||||
3-month USD LIBOR + 1.850% Floor 1.850% 07/26/2083 | 2.026% | 1,165,000 | 1,143,135 | |
Series 2008-7 Class B | ||||
3-month USD LIBOR + 1.850% Floor 1.850% 07/26/2083 | 2.026% | 1,165,000 | 1,158,768 | |
Series 2008-8 Class B | ||||
3-month USD LIBOR + 2.250% Floor 2.250% 10/25/2075 | 2.426% | 1,165,000 | 1,179,866 | |
Series 2008-9 Class B | ||||
3-month USD LIBOR + 2.250% Floor 2.250% 10/25/2083 | 2.468% | 1,165,000 | 1,173,488 | |
Series 2012-2 Class A | ||||
1-month USD LIBOR + 0.700% Floor 0.700% 01/25/2029 | 0.806% | 5,555,332 | 5,443,363 | |
Series 2012-7 Class A3 | ||||
1-month USD LIBOR + 0.650% Floor 0.650% 05/26/2026 | 0.756% | 2,694,743 | 2,722,455 | |
SMB Private Education Loan Trust(a) | ||||
Series 2020-PTA Class A2A | ||||
09/15/2054 | 1.600% | 4,000,000 | 4,054,176 | |
SoFi Consumer Loan Program LLC(a) | ||||
Series 2017-3 Class B | ||||
05/25/2026 | 3.850% | 1,955,021 | 1,976,805 | |
SoFi Consumer Loan Program LLC(a),(f) | ||||
Subordinated Series 2017-4 Class B | ||||
05/26/2026 | 3.590% | 1,072,931 | 1,083,277 | |
SoFi Consumer Loan Program Trust(a) | ||||
Series 2019-4 Class C | ||||
08/25/2028 | 2.840% | 1,200,000 | 1,220,000 | |
Subordinated Series 2019-1 Class D | ||||
02/25/2028 | 4.420% | 4,000,000 | 4,142,821 | |
Subordinated Series 2019-2 Class D | ||||
04/25/2028 | 4.200% | 3,000,000 | 3,108,868 | |
Subordinated Series 2019-4 Class D | ||||
08/25/2028 | 3.480% | 350,000 | 357,183 | |
SoFi Professional Loan Program LLC(a) | ||||
Series 2016-B Class A2B | ||||
10/25/2032 | 2.740% | 423,428 | 428,297 | |
Series 2016-C Class A2B | ||||
12/27/2032 | 2.360% | 260,018 | 262,466 |
10 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2017-A Class A2B | ||||
03/26/2040 | 2.400% | 235,755 | 237,693 | |
Series 2017-D Class A2FX | ||||
09/25/2040 | 2.650% | 639,559 | 654,153 | |
Series 2017-E Class A2B | ||||
11/26/2040 | 2.720% | 104,355 | 105,496 | |
Series 2018-A Class A2B | ||||
02/25/2042 | 2.950% | 217,967 | 221,936 | |
Series 2019-A Class BFX | ||||
06/15/2048 | 4.110% | 2,500,000 | 2,643,208 | |
Series 2019-C Class BFX | ||||
11/16/2048 | 3.050% | 1,500,000 | 1,548,507 | |
Subordinated Series 2018-B Class BFX | ||||
08/25/2047 | 3.830% | 2,700,000 | 2,825,959 | |
Subordinated Series 2019-B Class BFX | ||||
08/17/2048 | 3.730% | 2,500,000 | 2,610,449 | |
SoFi Professional Loan Program LLC(a),(b) | ||||
Series 2016-D Class A1 | ||||
1-month USD LIBOR + 0.950% 01/25/2039 | 1.042% | 89,670 | 89,897 | |
SoFi Professional Loan Program Trust(a) | ||||
Subordinated Series 2020-B Class BFX | ||||
05/15/2046 | 2.730% | 2,200,000 | 2,217,794 | |
Sonic Capital LLC(a) | ||||
Series 2020-1A Class A2I | ||||
01/20/2050 | 3.845% | 1,879,417 | 1,965,244 | |
Sound Point CLO II Ltd.(a),(b) | ||||
Series 2013-1A Class A1R | ||||
3-month USD LIBOR + 1.070% Floor 1.070% 01/26/2031 | 1.246% | 6,000,000 | 6,000,012 | |
Sound Point CLO XIV Ltd.(a),(b) | ||||
Series 2016-3A Class CR | ||||
3-month USD LIBOR + 2.050% Floor 2.050% 01/23/2029 | 2.223% | 5,700,000 | 5,681,190 | |
Sound Point CLO XXV Ltd.(a),(b) | ||||
Series 2019-4A Class A1A | ||||
3-month USD LIBOR + 1.400% Floor 1.400% 01/15/2033 | 1.584% | 1,490,000 | 1,491,734 | |
Springleaf Funding Trust(a) | ||||
Series 2017-AA Class A | ||||
07/15/2030 | 2.680% | 1,483,041 | 1,486,797 | |
Subordinated Series 2017-AA Class B | ||||
07/15/2030 | 3.100% | 600,000 | 603,147 | |
Sunnova Sol II Issuer LLC(a) | ||||
Series 2020-2A Class A | ||||
11/01/2055 | 2.730% | 2,973,866 | 3,017,754 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Sunrun Athena Issuer LLC(a) | ||||
Series 2018-1 Class A | ||||
04/30/2049 | 5.310% | 1,887,586 | 2,096,641 | |
Sunrun Callisto Issuer LLC(a) | ||||
Series 2019-1A Class A | ||||
06/30/2054 | 3.980% | 1,673,420 | 1,801,465 | |
Synchrony Credit Card Master Note Trust | ||||
Series 2017-2 Class A | ||||
10/15/2025 | 2.620% | 5,400,000 | 5,575,893 | |
TCI-Flatiron CLO Ltd.(a),(b) | ||||
Series 2018-1A Class CR | ||||
3-month USD LIBOR + 1.750% Floor 1.750% 01/29/2032 | 1.927% | 2,300,000 | 2,301,049 | |
TCW CLO Ltd.(a),(b) | ||||
Series 2019-2A Class A1A | ||||
3-month USD LIBOR + 1.340% Cap 1.340% 10/20/2032 | 1.528% | 8,000,000 | 8,005,744 | |
Series 2021-1A Class C | ||||
3-month USD LIBOR + 1.900% Floor 1.900% 03/18/2034 | 2.009% | 3,150,000 | 3,144,812 | |
Telos CLO Ltd.(a),(b) | ||||
Series 2013-4A Class AR | ||||
3-month USD LIBOR + 1.240% 01/17/2030 | 1.430% | 12,889,376 | 12,868,483 | |
Textainer Marine Containers VII Ltd.(a) | ||||
Series 2021-2A Class A | ||||
04/20/2046 | 2.230% | 4,370,667 | 4,428,064 | |
THL Credit Wind River CLO Ltd.(b) | ||||
Series 2016-1A Class CR | ||||
3-month USD LIBOR + 2.100% 07/15/2028 | 2.284% | 3,350,000 | 3,350,596 | |
TIAA CLO I Ltd.(a),(b) | ||||
Series 2016-1A Class AR | ||||
3-month USD LIBOR + 1.200% 07/20/2031 | 1.388% | 6,750,000 | 6,750,175 | |
Toyota Auto Loan Extended Note Trust(a) | ||||
Series 2020-1A Class A | ||||
05/25/2033 | 1.350% | 1,405,000 | 1,436,367 | |
Tralee CLO VII Ltd(a),(b) | ||||
Series 2021-7A Class A1 | ||||
3-month USD LIBOR + 1.320% Floor 1.320% 04/25/2034 | 1.559% | 9,250,000 | 9,233,378 | |
Triton Container Finance VIII LLC(a) | ||||
Series 2021-1A Class A | ||||
03/20/2046 | 1.860% | 3,154,667 | 3,113,916 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 11 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Venture XXVII CLO Ltd.(a),(b) | ||||
Series 2017-27A Class CR | ||||
3-month USD LIBOR + 2.300% 07/20/2030 | 2.414% | 4,100,000 | 4,080,332 | |
Venture XXVIII CLO Ltd.(a),(b) | ||||
Series 2017-28A Class A2 | ||||
3-month USD LIBOR + 1.110% 07/20/2030 | 1.298% | 1,000,000 | 998,632 | |
Voya CLO Ltd.(a),(b) | ||||
Series 2013-1A Class A1AR | ||||
3-month USD LIBOR + 1.210% 10/15/2030 | 1.394% | 7,469,179 | 7,469,149 | |
Series 2016-1A Class A1R | ||||
3-month USD LIBOR + 1.070% Floor 1.007% 01/20/2031 | 1.258% | 10,000,000 | 10,001,590 | |
Wachovia Student Loan Trust(a),(b) | ||||
Series 2006-1 Class A6 | ||||
3-month USD LIBOR + 0.170% Floor 0.170% 04/25/2040 | 0.346% | 6,774,453 | 6,647,835 | |
Wellman Park CLO Ltd.(a),(b),(c) | ||||
Series 2021-1A Class A | ||||
3-month USD LIBOR + 1.100% Floor 1.100% 07/15/2034 | 1.500% | 3,900,000 | 3,900,409 | |
Wendy’s Funding LLC(a) | ||||
Series 2018-1A Class A2II | ||||
03/15/2048 | 3.884% | 967,500 | 1,031,336 | |
Series 2019-1A Class A2I | ||||
06/15/2049 | 3.783% | 3,303,375 | 3,529,701 | |
Westlake Automobile Receivables Trust(a) | ||||
Series 2020-2A Class B | ||||
07/15/2025 | 1.320% | 1,840,000 | 1,857,355 | |
Series 2020-2A Class C | ||||
07/15/2025 | 2.010% | 3,080,000 | 3,141,545 | |
Subordinated Series 2019-2A Class B | ||||
07/15/2024 | 2.620% | 6,300,000 | 6,334,221 | |
Subordinated Series 2019-3A Class B | ||||
10/15/2024 | 2.410% | 1,395,000 | 1,405,852 | |
Subordinated Series 2020-3A Class C | ||||
11/17/2025 | 1.240% | 210,000 | 212,189 | |
Subordinated Series 2021-1A Class B | ||||
03/16/2026 | 0.640% | 4,960,000 | 4,959,666 | |
World Omni Select Auto Trust | ||||
Series 2020-A Class A3 | ||||
07/15/2025 | 0.550% | 1,960,000 | 1,965,540 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
York CLO Ltd.(a),(b) | ||||
Series 2020-1A Class A1 | ||||
3-month USD LIBOR + 1.500% Floor 1.500% 04/20/2032 | 1.669% | 20,000,000 | 20,025,600 | |
York CLO-4 Ltd.(a),(b) | ||||
Series 2016-2A Class A1R | ||||
3-month USD LIBOR + 1.090% 04/20/2032 | 1.278% | 10,500,000 | 10,504,483 | |
York CLO-6 Ltd.(a),(b) | ||||
Series 2019-1A Class A1 | ||||
3-month USD LIBOR + 1.350% 07/22/2032 | 1.534% | 7,000,000 | 7,007,987 | |
Zais CLO 7 Ltd.(a),(b) | ||||
Series 2017-2A Class A | ||||
3-month USD LIBOR + 1.290% 04/15/2030 | 1.474% | 3,909,182 | 3,902,149 | |
Zais CLO 8 Ltd.(a),(b) | ||||
Series 2018-1A Class A | ||||
3-month USD LIBOR + 0.950% 04/15/2029 | 1.134% | 5,318,792 | 5,280,923 | |
Zais CLO 9 Ltd.(a),(b) | ||||
Series 2018-2A Class A | ||||
3-month USD LIBOR + 1.200% 07/20/2031 | 1.388% | 12,613,399 | 12,463,817 | |
Zaxby’s Funding LLC(a),(c) | ||||
Series 2021-1A Class A2 | ||||
07/30/2051 | 3.238% | 5,650,000 | 5,658,046 | |
Total Asset-Backed Securities — Non-Agency (Cost $1,325,095,843) | 1,337,277,035 | |||
Commercial Mortgage-Backed Securities - Agency 0.8% | ||||
Federal Home Loan Mortgage Corp. Multifamily ML Certificates(f),(g) | ||||
Series 2021-ML08 Class XUS | ||||
07/25/2037 | 1.863% | 7,954,581 | 1,451,836 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(f),(g) | ||||
CMO Series K028 Class X1 | ||||
02/25/2023 | 0.243% | 114,785,154 | 422,398 | |
CMO Series K055 Class X1 | ||||
03/25/2026 | 1.359% | 2,095,874 | 119,351 | |
CMO Series K057 Class X1 | ||||
07/25/2026 | 1.176% | 2,414,945 | 124,381 | |
CMO Series K059 Class X1 | ||||
09/25/2026 | 0.310% | 7,224,360 | 104,510 | |
CMO Series K060 Class X1 | ||||
10/25/2026 | 0.071% | 26,267,645 | 123,891 | |
CMO Series K152 Class X1 | ||||
01/25/2031 | 0.956% | 4,177,860 | 305,514 |
12 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series K718 Class X1 | ||||
01/25/2022 | 0.568% | 19,618,992 | 26,684 | |
Series K069 Class X1 | ||||
09/25/2027 | 0.363% | 38,552,688 | 837,272 | |
Series K091 Class X1 | ||||
03/25/2029 | 0.559% | 39,836,829 | 1,619,738 | |
Series K095 Class X1 | ||||
06/25/2029 | 0.948% | 75,411,874 | 5,074,307 | |
Series K106 Class X1 | ||||
01/25/2030 | 1.355% | 99,835,967 | 10,230,611 | |
Series K108 Class X1 | ||||
03/25/2030 | 1.690% | 2,259,802 | 293,290 | |
Series K-1516 Class X1 | ||||
05/25/2035 | 1.512% | 1,197,484 | 197,592 | |
Series K-1517 Class X1 | ||||
07/25/2035 | 1.334% | 6,795,557 | 985,722 | |
Series K728 Class X1 | ||||
08/25/2024 | 0.410% | 284,310,789 | 3,038,287 | |
Series K729 Class X1 | ||||
10/25/2024 | 0.356% | 172,426,146 | 1,724,158 | |
Series K735 Class X1 | ||||
05/25/2026 | 0.957% | 12,890,305 | 552,935 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | ||||
Series K056 Class A2 | ||||
05/25/2026 | 2.525% | 6,137,000 | 6,595,560 | |
Series K074 Class A2 | ||||
01/25/2028 | 3.600% | 8,660,000 | 9,896,677 | |
Series K155 Class A3 | ||||
04/25/2033 | 3.750% | 6,935,000 | 8,185,034 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(f) | ||||
Series K157 Class A3 | ||||
08/25/2033 | 3.990% | 6,145,000 | 7,457,647 | |
Federal National Mortgage Association | ||||
11/01/2031 | 3.400% | 1,500,000 | 1,581,100 | |
04/01/2040 | 2.455% | 3,495,000 | 3,575,161 | |
Federal National Mortgage Association(f),(g) | ||||
Series 2020-M43 Class X1 | ||||
08/25/2034 | 2.135% | 43,667,664 | 6,151,604 | |
Government National Mortgage Association(f),(g) | ||||
CMO Series 2011-38 Class IO | ||||
04/16/2053 | 0.301% | 3,451,118 | 58,341 | |
CMO Series 2013-162 Class IO | ||||
09/16/2046 | 0.145% | 33,207,881 | 342,137 | |
CMO Series 2014-134 Class IA | ||||
01/16/2055 | 0.351% | 17,337,209 | 248,858 | |
CMO Series 2015-101 Class IO | ||||
03/16/2052 | 0.452% | 5,743,853 | 139,600 |
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2015-114 | ||||
03/15/2057 | 0.628% | 2,305,634 | 73,067 | |
CMO Series 2015-120 Class IO | ||||
03/16/2057 | 0.739% | 10,376,177 | 344,317 | |
CMO Series 2015-125 Class IB | ||||
01/16/2055 | 1.169% | 31,686,965 | 1,315,839 | |
CMO Series 2015-125 Class IO | ||||
07/16/2055 | 0.760% | 23,455,926 | 673,244 | |
CMO Series 2015-146 Class IC | ||||
07/16/2055 | 0.753% | 20,368,375 | 612,412 | |
CMO Series 2015-171 Class IO | ||||
11/16/2055 | 0.826% | 7,266,470 | 303,177 | |
CMO Series 2015-174 Class IO | ||||
11/16/2055 | 0.759% | 19,944,735 | 781,514 | |
CMO Series 2015-21 Class IO | ||||
07/16/2056 | 0.885% | 6,493,422 | 259,738 | |
CMO Series 2015-29 Class EI | ||||
09/16/2049 | 0.734% | 10,937,376 | 350,855 | |
CMO Series 2015-41 Class IO | ||||
09/16/2056 | 0.417% | 2,641,535 | 69,072 | |
CMO Series 2015-6 Class IO | ||||
02/16/2051 | 0.524% | 6,785,871 | 149,874 | |
CMO Series 2015-70 Class IO | ||||
12/16/2049 | 0.651% | 8,238,007 | 244,030 | |
CMO Series 2016-39 Class IO | ||||
01/16/2056 | 0.789% | 5,189,667 | 216,767 | |
Series 2014-101 Class IO | ||||
04/16/2056 | 0.752% | 23,318,798 | 720,138 | |
Series 2016-152 Class IO | ||||
08/15/2058 | 0.796% | 15,017,244 | 805,726 | |
Series 2017-168 Class IO | ||||
12/16/2059 | 0.594% | 26,680,925 | 1,286,357 | |
Series 2018-110 Class IA | ||||
11/16/2059 | 0.676% | 33,587,596 | 1,684,468 | |
Series 2018-2 Class IO | ||||
12/16/2059 | 0.722% | 10,737,170 | 577,162 | |
Series 2020-108 Class IO | ||||
06/16/2062 | 0.934% | 10,967,841 | 871,711 | |
Series 2021-52 Class IO | ||||
04/16/2063 | 0.848% | 12,839,721 | 1,031,700 | |
Government National Mortgage Association(b) | ||||
CMO Series 2013-H08 Class FA | ||||
1-month USD LIBOR + 0.350% Floor 0.350%, Cap 10.550% 03/20/2063 | 0.460% | 325,393 | 325,876 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 13 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Government National Mortgage Association(f) | ||||
Series 2003-88 Class Z | ||||
03/16/2046 | 5.523% | 122,272 | 122,222 | |
Wells Fargo Commercial Mortgage Trust(a) | ||||
Subordinated Series 2021-C59 Class E | ||||
04/15/2054 | 2.500% | 1,100,000 | 895,947 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $98,002,716) | 85,179,409 | |||
Commercial Mortgage-Backed Securities - Non-Agency 5.8% | ||||
Alen Mortgage Trust(a),(b) | ||||
Subordinated Series 2021-ACEN Class E | ||||
1-month USD LIBOR + 4.000% Floor 4.000% 04/15/2034 | 4.115% | 5,000,000 | 5,000,003 | |
Banc of America Merrill Lynch Commercial Mortgage, Inc.(f),(g) | ||||
Series 2019-BN18 Class XA | ||||
05/15/2062 | 0.901% | 60,127,735 | 3,702,522 | |
BANK(f),(g) | ||||
Series 2017-BNK8 Class XA | ||||
11/15/2050 | 0.732% | 32,227,030 | 1,272,520 | |
BANK(a) | ||||
Subordinated Series 2017-BNK6 Class D | ||||
07/15/2060 | 3.100% | 2,380,000 | 2,174,854 | |
BBCMS Mortgage Trust(a) | ||||
Series 2016-ETC Class A | ||||
08/14/2036 | 2.937% | 13,500,000 | 13,170,057 | |
Subordinated Series 2016-ETC Class B | ||||
08/14/2036 | 3.189% | 900,000 | 870,275 | |
Subordinated Series 2016-ETC Class C | ||||
08/14/2036 | 3.391% | 770,000 | 686,052 | |
BBCMS Mortgage Trust(f),(g) | ||||
Series 2018-C2 Class XA | ||||
12/15/2051 | 0.767% | 61,511,658 | 3,066,934 | |
BBCMS Mortgage Trust(a),(b) | ||||
Series 2020-BID Class A | ||||
1-month USD LIBOR + 2.140% Floor 1.840% 10/15/2037 | 2.241% | 3,850,000 | 3,885,816 | |
Subordinated Series 2020-BID Class D | ||||
1-month USD LIBOR + 4.630% Floor 4.380% 10/15/2037 | 4.731% | 895,000 | 905,086 | |
BBCMS Mortgage Trust(a),(f) | ||||
Subordinated Series 2016-ETC Class D | ||||
08/14/2036 | 3.609% | 2,790,000 | 2,300,027 | |
BB-UBS Trust(a) | ||||
Series 2012-TFT Class A | ||||
06/05/2030 | 2.892% | 6,260,000 | 6,260,526 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Benchmark Mortgage Trust(f),(g) | ||||
03/15/2053 | 1.419% | 25,380,143 | 2,253,241 | |
Series 2019-B10 Class XA | ||||
03/15/2062 | 1.228% | 29,945,409 | 2,298,056 | |
Series 2020-B20 Class XA | ||||
10/15/2053 | 1.626% | 14,583,207 | 1,594,302 | |
Benchmark Mortgage Trust | ||||
Series 2018-B2 Class A4 | ||||
02/15/2051 | 3.615% | 16,000,000 | 17,661,571 | |
Series 2021-B26 Class A4 | ||||
06/15/2054 | 2.295% | 10,600,000 | 10,756,130 | |
Benchmark Mortgage Trust(f) | ||||
Subordinated Series 2018-B8 Class C | ||||
01/15/2052 | 4.874% | 3,000,000 | 3,416,201 | |
BMD2 Re-Remic Trust(a),(h) | ||||
Series 2019-FRR1 Class 3AB | ||||
05/25/2052 | 0.000% | 2,821,000 | 2,125,658 | |
BX Commercial Mortgage Trust(a),(b) | ||||
Series 2020-BXLP Class E | ||||
1-month USD LIBOR + 1.600% Floor 1.600% 12/15/2036 | 1.701% | 1,469,955 | 1,469,955 | |
Series 2020-BXLP Class F | ||||
1-month USD LIBOR + 2.000% Floor 2.000% 12/15/2036 | 2.101% | 2,743,917 | 2,743,915 | |
Series 2020-BXLP Class G | ||||
1-month USD LIBOR + 2.500% Floor 2.500% 12/15/2036 | 2.601% | 6,467,804 | 6,463,907 | |
Subordinated Series 2020-VKNG Class E | ||||
1-month USD LIBOR + 2.100% Floor 2.100% 10/15/2037 | 2.215% | 1,110,000 | 1,111,634 | |
Subordinated Series 2021-IRON Class E | ||||
1-month USD LIBOR + 2.350% Floor 2.350% 02/15/2038 | 2.451% | 4,000,000 | 3,999,996 | |
BX Trust(a) | ||||
Series 2019-OC11 Class A | ||||
12/09/2041 | 3.202% | 1,115,000 | 1,194,078 | |
BXP Trust(a),(f) | ||||
Subordinated Series 2017-GM Class D | ||||
06/13/2039 | 3.425% | 2,500,000 | 2,631,112 | |
CALI Mortgage Trust(a) | ||||
Series 2019-101C Class A | ||||
03/10/2039 | 3.957% | 2,380,000 | 2,699,109 | |
Cantor Commercial Real Estate Lending(f),(g) | ||||
Series 2019-CF2 Class XA | ||||
11/15/2052 | 1.236% | 46,793,622 | 3,698,292 |
14 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cantor Commercial Real Estate Lending | ||||
Series 2019-CF3 Class A3 | ||||
01/15/2053 | 2.752% | 16,100,000 | 16,853,285 | |
CD Mortgage Trust | ||||
Series 2016-CD1 Class A3 | ||||
08/10/2049 | 2.459% | 17,000,000 | 17,805,436 | |
Series 2017-CD6 Class A3 | ||||
11/13/2050 | 3.104% | 10,000,000 | 10,498,830 | |
Series 2017-CD6 Class A4 | ||||
11/13/2050 | 3.190% | 20,000,000 | 21,667,292 | |
CD Mortgage Trust(f),(g) | ||||
Series 2019-CD8 Class XA | ||||
08/15/2057 | 1.410% | 47,008,944 | 4,585,252 | |
CFCRE Commercial Mortgage Trust | ||||
Series 2016-C4 Class A4 | ||||
05/10/2058 | 3.283% | 5,900,000 | 6,385,607 | |
CFCRE Commercial Mortgage Trust(f),(g) | ||||
Series 2016-C4 Class XA | ||||
05/10/2058 | 1.639% | 59,898,772 | 3,915,223 | |
CGDB Commercial Mortgage Trust(a),(b) | ||||
Series 2019-MOB Class E | ||||
1-month USD LIBOR + 2.000% Floor 2.000% 11/15/2036 | 2.101% | 3,790,000 | 3,773,425 | |
Citigroup Commercial Mortgage Trust | ||||
Series 2015-GC35 Class A3 | ||||
11/10/2048 | 3.549% | 10,000,000 | 10,906,063 | |
Series 2019-C7 Class A4 | ||||
12/15/2072 | 3.102% | 3,985,000 | 4,305,118 | |
Series 2019-GC43 Class A3 | ||||
11/10/2052 | 2.782% | 10,000,000 | 10,561,914 | |
Series 2019-GC43 Class A4 | ||||
11/10/2052 | 3.038% | 2,050,000 | 2,206,454 | |
Citigroup Commercial Mortgage Trust(a),(f) | ||||
Subordinated Series 2016-C2 Class E | ||||
08/10/2049 | 5.996% | 2,420,000 | 1,840,999 | |
Subordinated Series 2018-C6 Class D | ||||
11/10/2051 | 5.066% | 1,240,000 | 1,251,316 | |
Citigroup Commercial Mortgage Trust(f) | ||||
Subordinated Series 2016-P5 Class C | ||||
10/10/2049 | 4.316% | 2,610,000 | 2,826,790 | |
CityLine Commercial Mortgage Trust(a),(f) | ||||
Subordinated Series 2016-CLNE Class B | ||||
11/10/2031 | 2.778% | 3,600,000 | 3,672,329 | |
Subordinated Series 2016-CLNE Class C | ||||
11/10/2031 | 2.778% | 1,350,000 | 1,356,285 | |
COMM Mortgage Trust(a) | ||||
Series 2013-CR7 Class AM | ||||
03/10/2046 | 3.314% | 4,250,000 | 4,426,219 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
COMM Mortgage Trust | ||||
Series 2013-CR8 Class A4 | ||||
06/10/2046 | 3.334% | 252,626 | 260,858 | |
COMM Mortgage Trust(a),(f) | ||||
Series 2020-CBM Class F | ||||
02/10/2037 | 3.633% | 2,513,000 | 2,348,578 | |
Subordinated Series 2013-CR10 Class E | ||||
08/10/2046 | 4.923% | 1,220,000 | 1,201,676 | |
Subordinated Series 2013-CR7 Class D | ||||
03/10/2046 | 4.395% | 8,575,000 | 8,178,023 | |
Subordinated Series 2019-GC44 Class 180 | ||||
08/15/2057 | 3.400% | 1,000,000 | 973,116 | |
COMM Mortgage Trust(a),(b) | ||||
Subordinated Series 2021-LBA Class E | ||||
1-month USD LIBOR + 1.800% Floor 1.800% 03/15/2038 | 1.915% | 5,345,000 | 5,344,996 | |
Commercial Mortgage Pass-Through Certificates(a) | ||||
Series 2012-LTRT Class A2 | ||||
10/05/2030 | 3.400% | 3,893,000 | 3,885,646 | |
Commercial Mortgage Trust | ||||
Series 2013-CR13 Class A3 | ||||
11/12/2046 | 3.928% | 2,644,161 | 2,812,662 | |
Series 2014-UBS2 Class A5 | ||||
03/10/2047 | 3.961% | 1,165,000 | 1,256,998 | |
Series 2014-UBS4 Class A5 | ||||
08/10/2047 | 3.694% | 5,000,000 | 5,418,873 | |
Series 2014-UBS6 Class A4 | ||||
12/10/2047 | 3.378% | 3,605,000 | 3,879,938 | |
Series 2015-DC1 Class A5 | ||||
02/10/2048 | 3.350% | 790,000 | 852,957 | |
Series 2015-LC19 Class A4 | ||||
02/10/2048 | 3.183% | 835,000 | 898,628 | |
Series 2015-PC1 Class A5 | ||||
07/10/2050 | 3.902% | 2,755,000 | 3,040,890 | |
Series 2016-COR1 Class A3 | ||||
10/10/2049 | 2.826% | 8,500,000 | 9,042,715 | |
Commercial Mortgage Trust(f) | ||||
Series 2013-CR9 Class A4 | ||||
07/10/2045 | 4.247% | 2,427,625 | 2,582,540 | |
CoreVest American Finance Trust(a) | ||||
Series 2017-1 Class A | ||||
10/15/2049 | 2.968% | 386,699 | 388,365 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Series 2014-USA Class A2 | ||||
09/15/2037 | 3.953% | 13,780,000 | 14,885,658 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 15 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CSAIL Commercial Mortgage Trust(f) | ||||
Series 2017-CX9 Class A5 | ||||
09/15/2050 | 3.446% | 3,270,000 | 3,570,756 | |
CSAIL Commercial Mortgage Trust | ||||
Series 2018-CX11 Class A5 | ||||
04/15/2051 | 4.033% | 5,940,000 | 6,711,818 | |
Series 2019-C18 Class A4 | ||||
12/15/2052 | 2.968% | 3,345,000 | 3,564,527 | |
DBGS Mortgage Trust(a),(b) | ||||
Series 2018-BIOD Class E | ||||
1-month USD LIBOR + 1.700% Floor 1.700% 05/15/2035 | 1.801% | 2,784,417 | 2,784,424 | |
Series 2018-BIOD Class F | ||||
1-month USD LIBOR + 2.000% Floor 2.000% 05/15/2035 | 2.101% | 10,952,040 | 10,952,076 | |
DBJPM Mortgage Trust(a) | ||||
Series 2016-SFC Class A | ||||
08/10/2036 | 2.833% | 3,000,000 | 3,082,671 | |
DBJPM Mortgage Trust(f),(g) | ||||
Series 2020-C9 Class XA | ||||
09/15/2053 | 1.713% | 46,444,294 | 4,827,675 | |
DBUBS Mortgage Trust(a) | ||||
Series 2017-BRBK Class A | ||||
10/10/2034 | 3.452% | 2,800,000 | 3,021,127 | |
DBUBS Mortgage Trust(a),(f) | ||||
Subordinated Series 2011-LC2A Class E | ||||
07/10/2044 | 5.389% | 1,900,000 | 1,802,922 | |
DBUBS Mortgage Trust(a),(b) | ||||
Subordinated Series 2011-LC2A Class F | ||||
1-month USD LIBOR + 3.650% Floor 3.650%, Cap 4.000% 07/10/2044 | 3.742% | 3,300,000 | 2,471,391 | |
DBWF Mortgage Trust(a),(f) | ||||
Series 2016-85T Class D | ||||
12/10/2036 | 3.808% | 2,000,000 | 2,092,374 | |
Series 2016-85T Class E | ||||
12/10/2036 | 3.808% | 2,000,000 | 1,955,816 | |
Fontainebleau Miami Beach Trust(a) | ||||
Series 2019-FBLU Class F | ||||
12/10/2036 | 4.095% | 1,240,000 | 1,259,102 | |
GAM Re-REMIC Trust(a),(i) | ||||
Series 2021-FRR1 Class 1B | ||||
07/28/2027 | 0.000% | 3,690,000 | 2,837,456 | |
Series 2021-FRR1 Class 2B | ||||
12/29/2027 | 0.000% | 4,900,000 | 3,683,716 | |
GS Mortgage Securities Corp II(a),(f) | ||||
Series 2017-375H Class A | ||||
09/10/2037 | 3.475% | 5,000,000 | 5,488,592 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
GS Mortgage Securities Corp. II(a) | ||||
Series 2012-ALOH Class A | ||||
04/10/2034 | 3.551% | 12,390,000 | 12,561,969 | |
Series 2012-BWTR Class A | ||||
11/05/2034 | 2.954% | 3,717,000 | 3,795,203 | |
GS Mortgage Securities Trust(a),(f) | ||||
Series 2013-PEMB Class A | ||||
03/05/2033 | 3.550% | 830,000 | 867,129 | |
Subordinated Series 2019-GC40 Class DBD | ||||
07/10/2052 | 3.550% | 4,090,000 | 4,165,923 | |
Subordinated Series 2019-GC40 Class DBE | ||||
07/10/2052 | 3.550% | 3,132,000 | 3,141,518 | |
GS Mortgage Securities Trust | ||||
Series 2016-GS2 Class A3 | ||||
05/10/2049 | 2.791% | 4,500,000 | 4,735,442 | |
Series 2017-GS7 Class A3 | ||||
08/10/2050 | 3.167% | 10,000,000 | 10,819,623 | |
Series 2017-GS8 Class A3 | ||||
11/10/2050 | 3.205% | 20,000,000 | 21,595,030 | |
Series 2019-GC38 Class A4 | ||||
02/10/2052 | 3.968% | 1,780,000 | 2,026,218 | |
Series 2019-GSA1 Class A4 | ||||
11/10/2052 | 3.048% | 3,240,000 | 3,479,518 | |
Series 2020-GC45 Class A5 | ||||
02/13/2053 | 2.911% | 1,810,000 | 1,927,296 | |
Hudson Yards Mortgage Trust(a) | ||||
Series 2019-30HY Class A | ||||
07/10/2039 | 3.228% | 2,160,000 | 2,347,600 | |
Hudsons Bay Simon JV Trust(a) | ||||
Series 2015-HB10 Class A10 | ||||
08/05/2034 | 4.155% | 1,820,000 | 1,668,930 | |
Series 2015-HB7 Class A7 | ||||
08/05/2034 | 3.914% | 2,520,000 | 2,300,097 | |
IMT Trust(a) | ||||
Series 2017-APTS Class AFX | ||||
06/15/2034 | 3.478% | 5,410,000 | 5,745,391 | |
JPMBB Commercial Mortgage Securities Trust(f) | ||||
Series 2013-C14 Class A4 | ||||
08/15/2046 | 4.133% | 2,746,637 | 2,887,224 | |
JPMBB Commercial Mortgage Securities Trust | ||||
Series 2014-C26 Class A3 | ||||
01/15/2048 | 3.231% | 334,632 | 356,494 | |
JPMBB Commercial Mortgage Securities Trust(a),(f) | ||||
Subordinated Series 2013-C17 Class F | ||||
01/15/2047 | 3.867% | 1,840,000 | 1,419,185 | |
JPMDB Commercial Mortgage Securities Trust | ||||
Series 2016-C4 Class A2 | ||||
12/15/2049 | 2.882% | 8,318,288 | 8,889,717 |
16 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2019-COR6 Class A3 | ||||
11/13/2052 | 2.795% | 7,500,000 | 7,918,664 | |
JPMorgan Chase Commercial Mortgage Securities Corp.(a),(b) | ||||
Series 2021-MHC Class E | ||||
1-month USD LIBOR + 2.450% Floor 2.450% 04/15/2038 | 2.550% | 1,130,000 | 1,132,120 | |
JPMorgan Chase Commercial Mortgage Securities Trust(a),(f) | ||||
Series 2011-C5 Class E | ||||
08/15/2046 | 4.000% | 1,611,000 | 1,188,625 | |
Series 2016-NINE Class A | ||||
09/06/2038 | 2.949% | 3,235,000 | 3,449,283 | |
Subordinated Series 2014-C20 Class D | ||||
07/15/2047 | 4.598% | 2,200,000 | 1,971,184 | |
JPMorgan Chase Commercial Mortgage Securities Trust(f) | ||||
Series 2013-C13 Class A4 | ||||
01/15/2046 | 3.994% | 3,937,120 | 4,135,421 | |
Subordinated Series 2014-C20 Class B | ||||
07/15/2047 | 4.399% | 2,000,000 | 2,158,572 | |
JPMorgan Chase Commercial Mortgage Securities Trust(a) | ||||
Series 2019-OSB Class A | ||||
06/05/2039 | 3.397% | 2,110,000 | 2,314,094 | |
Ladder Capital Commercial Mortgage(a) | ||||
Series 2017-LC26 Class A4 | ||||
07/12/2050 | 3.551% | 4,500,000 | 4,901,203 | |
Life Mortgage Trust(a),(b) | ||||
Subordinated Series 2021-BMR Class F | ||||
1-month USD LIBOR + 2.350% Floor 2.350% 03/15/2038 | 2.451% | 1,900,000 | 1,904,758 | |
LSTAR Commercial Mortgage Trust(a),(f) | ||||
Series 2015-3 Class D | ||||
04/20/2048 | 3.216% | 2,000,000 | 1,910,253 | |
Subordinated Series 2016-4 Class F | ||||
03/10/2049 | 4.586% | 8,000,000 | 6,433,146 | |
LSTAR Commercial Mortgage Trust(a) | ||||
Series 2017-5 Class A4 | ||||
03/10/2050 | 3.390% | 800,000 | 849,350 | |
MF1 Multifamily Housing Mortgage Loan Trust(a),(b) | ||||
Series 2021-FL5 Class D | ||||
1-month USD LIBOR + 2.500% Floor 2.500% 07/15/2036 | 2.615% | 2,524,000 | 2,522,424 | |
MKT Mortgage Trust(a) | ||||
Series 2020-525M Class A | ||||
02/12/2040 | 2.694% | 2,850,000 | 2,964,860 | |
Morgan Stanley Bank of America Merrill Lynch Trust | ||||
Series 2013-C12 Class A4 | ||||
10/15/2046 | 4.259% | 1,885,000 | 2,012,414 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2015-C21 Class A3 | ||||
03/15/2048 | 3.077% | 502,394 | 532,365 | |
Series 2016-C29 Class ASB | ||||
05/15/2049 | 3.140% | 984,170 | 1,037,720 | |
Morgan Stanley Bank of America Merrill Lynch Trust(a) | ||||
Subordinated Series 2014-C18 Class D | ||||
10/15/2047 | 3.389% | 5,670,000 | 5,122,973 | |
Morgan Stanley Capital I Trust | ||||
Series 2016-UB11 Class A3 | ||||
08/15/2049 | 2.531% | 8,500,000 | 8,932,864 | |
Series 2019-H6 Class A4 | ||||
06/15/2052 | 3.417% | 2,324,000 | 2,542,166 | |
Morgan Stanley Capital I Trust(g) | ||||
Series 2021-L5 Class XA | ||||
04/15/2031 | 1.425% | 13,620,000 | 1,342,270 | |
Natixis Commercial Mortgage Securities Trust(a) | ||||
Series 2020-2PAC Class A | ||||
01/15/2025 | 2.966% | 2,300,000 | 2,414,859 | |
Prima Capital CRE Securitization Ltd.(a) | ||||
Series 2019-RK1 Class DD | ||||
04/15/2038 | 3.500% | 240,000 | 238,231 | |
Subordinated Series 2019-RK1 Class BD | ||||
04/15/2038 | 3.500% | 5,180,000 | 5,208,279 | |
Subordinated Series 2019-RK1 Class CD | ||||
04/15/2038 | 3.500% | 4,040,000 | 4,038,532 | |
RBS Commercial Funding, Inc., Trust(a),(f) | ||||
Series 2013-GSP Class A | ||||
01/15/2032 | 3.834% | 1,180,000 | 1,257,392 | |
SG Commercial Mortgage Securities Trust | ||||
Series 2016-C5 Class A4 | ||||
10/10/2048 | 3.055% | 5,120,000 | 5,437,572 | |
SG Commercial Mortgage Securities Trust(a),(f) | ||||
Series 2020-COVE Class E | ||||
03/15/2037 | 3.728% | 6,680,000 | 6,753,822 | |
Starwood Retail Property Trust(a),(b) | ||||
Series 2014-STAR Class A | ||||
1-month USD LIBOR + 1.220% Floor 1.220% 11/15/2027 | 1.571% | 2,461,743 | 1,815,535 | |
Tricon American Homes Trust(a) | ||||
Series 2017-SFR1 Class A | ||||
09/17/2034 | 2.716% | 8,197,215 | 8,241,869 | |
UBS Commercial Mortgage Trust | ||||
Series 2018-C10 Class A3 | ||||
05/15/2051 | 4.048% | 5,500,000 | 6,179,412 | |
Series 2019-C17 Class A4 | ||||
10/15/2052 | 2.921% | 2,190,000 | 2,321,257 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 17 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
UBS-Barclays Commercial Mortgage Trust | ||||
Series 2012-C4 Class A5 | ||||
12/10/2045 | 2.850% | 2,583,582 | 2,656,483 | |
Series 2013-C5 Class A4 | ||||
03/10/2046 | 3.185% | 2,740,000 | 2,833,923 | |
Series 2013-C6 Class A4 | ||||
04/10/2046 | 3.244% | 1,935,000 | 2,010,146 | |
UBS-Barclays Commercial Mortgage Trust(a),(f) | ||||
Series 2012-C4 Class E | ||||
12/10/2045 | 4.467% | 2,270,000 | 1,306,134 | |
Subordinated Series 2012-C4 Class D | ||||
12/10/2045 | 4.467% | 1,330,000 | 959,159 | |
Wells Fargo Commercial Mortgage Trust | ||||
Series 2015-LC20 Class A4 | ||||
04/15/2050 | 2.925% | 1,965,000 | 2,077,465 | |
Series 2015-SG1 Class A4 | ||||
09/15/2048 | 3.789% | 9,278,190 | 10,085,934 | |
Series 2018-C45 Class A3 | ||||
06/15/2051 | 3.920% | 20,000,000 | 22,400,818 | |
Wells Fargo Commercial Mortgage Trust(f),(g) | ||||
Series 2021-C59 Class XA | ||||
04/15/2054 | 1.689% | 20,764,000 | 2,444,589 | |
WF-RBS Commercial Mortgage Trust | ||||
Series 2014-C24 Class A3 | ||||
11/15/2047 | 3.428% | 556,110 | 596,109 | |
WF-RBS Commercial Mortgage Trust(a),(f) | ||||
Subordinated Series 2013-C14 Class D | ||||
06/15/2046 | 3.971% | 1,250,000 | 1,092,918 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $604,125,524) | 619,985,900 |
Common Stocks 0.0% | ||
Issuer | Shares | Value ($) |
Energy 0.0% | ||
Oil, Gas & Consumable Fuels 0.0% | ||
Extraction Oil & Gas, Inc.(j) | 701 | 34,433 |
Prairie Provident Resources, Inc.(e),(j) | 1,728 | 89 |
Total | 34,522 | |
Total Energy | 34,522 | |
Total Common Stocks (Cost $28,527) | 34,522 |
Convertible Bonds 0.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Banking 0.0% | ||||
Bangkok Bank PCL(a),(k) | ||||
12/31/2049 | 5.000% | 1,750,000 | 1,842,589 | |
HSBC Holdings PLC(k) | ||||
12/31/2049 | 4.700% | 1,265,000 | 1,287,903 | |
Itau Unibanco Holding SA/Cayman Island(a),(k) | ||||
Subordinated | ||||
04/15/2031 | 3.875% | 275,000 | 274,235 | |
Mizrahi Tefahot Bank Ltd.(a),(k) | ||||
04/07/2031 | 3.077% | 850,000 | 861,087 | |
Total | 4,265,814 | |||
Wireless 0.0% | ||||
Digicel Group 0.5 Ltd.(a),(l) | ||||
Subordinated | ||||
12/30/2049 | 7.000% | 16,321 | 12,241 | |
Total Convertible Bonds (Cost $4,140,709) | 4,278,055 | |||
Corporate Bonds & Notes 33.6% | ||||
Aerospace & Defense 0.4% | ||||
Airbus Finance BV(a) | ||||
04/17/2023 | 2.700% | 1,548,000 | 1,615,866 | |
BAE Systems PLC(a) | ||||
04/15/2030 | 3.400% | 690,000 | 740,427 | |
Boeing Co. (The) | ||||
02/04/2024 | 1.433% | 5,100,000 | 5,116,285 | |
05/01/2025 | 4.875% | 789,000 | 886,539 | |
02/04/2026 | 2.196% | 3,745,000 | 3,760,625 | |
02/01/2028 | 3.250% | 823,000 | 868,479 | |
02/01/2031 | 3.625% | 4,289,000 | 4,558,445 | |
11/01/2048 | 3.850% | 302,000 | 299,404 | |
05/01/2050 | 5.805% | 332,000 | 429,344 | |
08/01/2059 | 3.950% | 3,500,000 | 3,484,232 | |
Bombardier, Inc.(a) | ||||
12/01/2024 | 7.500% | 2,850,000 | 2,929,232 | |
03/15/2025 | 7.500% | 3,275,000 | 3,300,987 | |
04/15/2027 | 7.875% | 2,575,000 | 2,613,628 | |
Embraer Netherlands Finance BV | ||||
06/15/2025 | 5.050% | 780,000 | 821,957 | |
Northrop Grumman Corp. | ||||
10/15/2047 | 4.030% | 435,000 | 497,107 | |
Raytheon Technologies Corp. | ||||
03/15/2027 | 3.500% | 1,341,000 | 1,483,561 | |
Teledyne Technologies, Inc. | ||||
04/01/2026 | 1.600% | 3,175,000 | 3,190,958 | |
Textron, Inc. | ||||
03/01/2024 | 4.300% | 690,000 | 751,262 | |
03/01/2025 | 3.875% | 300,000 | 327,452 |
18 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
United Technologies Corp. | ||||
08/16/2023 | 3.650% | 51,000 | 54,347 | |
05/01/2035 | 5.400% | 128,000 | 165,039 | |
07/15/2038 | 6.125% | 120,000 | 167,225 | |
11/16/2038 | 4.450% | 128,000 | 150,797 | |
06/01/2042 | 4.500% | 1,752,000 | 2,108,210 | |
05/04/2047 | 4.050% | 560,000 | 633,768 | |
Total | 40,955,176 | |||
Airlines 0.3% | ||||
Alaska Airlines Pass-Through Trust(a) | ||||
Series 2020-1 Class A | ||||
02/15/2029 | 4.800% | 1,967,730 | 2,170,632 | |
American Airlines Pass-Through Trust | ||||
Series 2015-2 Class AA | ||||
09/22/2027 | 3.600% | 132,028 | 134,642 | |
Series 2016-2 Class AA | ||||
06/15/2028 | 3.200% | 839,452 | 843,856 | |
Series 2017-2 Class AA | ||||
10/15/2029 | 3.350% | 152,449 | 154,090 | |
British Airways Pass-Through Trust(a) | ||||
Series 2020-1A | ||||
11/15/2032 | 4.250% | 359,165 | 382,685 | |
Continental Airlines Pass-Through Trust | ||||
04/19/2022 | 5.983% | 1,387,090 | 1,421,884 | |
10/29/2024 | 4.000% | 1,637,961 | 1,730,240 | |
Series 2012-1 Class A | ||||
04/11/2024 | 4.150% | 586,244 | 618,130 | |
Delta Air Lines Pass-Through Trust | ||||
01/02/2023 | 6.718% | 1,134,901 | 1,157,769 | |
06/10/2028 | 2.000% | 6,548,195 | 6,580,901 | |
06/10/2028 | 2.500% | 1,185,887 | 1,199,990 | |
Delta Air Lines, Inc./SkyMiles IP Ltd.(a) | ||||
10/20/2025 | 4.500% | 370,000 | 399,238 | |
10/20/2028 | 4.750% | 1,208,000 | 1,319,597 | |
Mileage Plus Holdings LLC/Intellectual Property Assets Ltd.(a) | ||||
06/20/2027 | 6.500% | 690,000 | 757,443 | |
Southwest Airlines Co. | ||||
06/15/2027 | 5.125% | 1,665,000 | 1,949,490 | |
U.S. Airways Pass-Through Trust | ||||
10/01/2024 | 5.900% | 973,103 | 1,019,329 | |
06/03/2025 | 4.625% | 2,328,614 | 2,323,376 | |
United Airlines Pass-Through Trust | ||||
Series 2014-1 Class A | ||||
04/11/2026 | 4.000% | 522,245 | 540,009 | |
United Airlines, Inc. Pass-Through Trust | ||||
08/15/2025 | 4.300% | 181,673 | 189,872 | |
10/15/2027 | 5.875% | 49,486 | 54,692 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2016-1 Class AA | ||||
07/07/2028 | 3.100% | 2,566,622 | 2,639,549 | |
Total | 27,587,414 | |||
Apartment REIT 0.0% | ||||
Camden Property Trust | ||||
05/15/2030 | 2.800% | 337,000 | 349,930 | |
ERP Operating LP | ||||
02/15/2030 | 2.500% | 624,000 | 637,435 | |
Essex Portfolio LP | ||||
05/01/2023 | 3.250% | 514,000 | 537,672 | |
Total | 1,525,037 | |||
Automotive 1.1% | ||||
Adient Global Holdings Ltd.(a) | ||||
08/15/2026 | 4.875% | 2,700,000 | 2,768,734 | |
Allison Transmission. Inc.(a) | ||||
01/30/2031 | 3.750% | 1,320,000 | 1,268,236 | |
American Axle & Manufacturing, Inc. | ||||
04/01/2025 | 6.250% | 966,000 | 998,841 | |
03/15/2026 | 6.250% | 2,250,000 | 2,321,344 | |
04/01/2027 | 6.500% | 900,000 | 955,727 | |
American Honda Finance Corp. | ||||
10/10/2023 | 3.625% | 2,375,000 | 2,556,574 | |
09/10/2024 | 2.150% | 1,250,000 | 1,311,996 | |
BMW US Capital LLC(a) | ||||
04/12/2023 | 3.450% | 1,623,000 | 1,711,201 | |
BorgWarner, Inc.(a) | ||||
10/01/2025 | 5.000% | 126,000 | 145,302 | |
Cooper-Standard Automotive, Inc.(a) | ||||
11/15/2026 | 5.625% | 2,225,000 | 1,915,274 | |
Cummins, Inc. | ||||
09/01/2050 | 2.600% | 350,000 | 318,864 | |
Daimler Finance North America LLC(a),(b) | ||||
3-month USD LIBOR + 0.900% 02/15/2022 | 1.056% | 2,000,000 | 2,010,994 | |
Daimler Finance North America LLC(a) | ||||
03/10/2025 | 2.125% | 1,275,000 | 1,322,468 | |
Dana, Inc. | ||||
11/15/2027 | 5.375% | 685,000 | 729,117 | |
06/15/2028 | 5.625% | 1,600,000 | 1,725,963 | |
Ford Motor Co. | ||||
02/01/2029 | 6.375% | 740,000 | 843,853 | |
01/15/2043 | 4.750% | 2,600,000 | 2,631,075 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 19 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ford Motor Credit Co. LLC(b) | ||||
3-month USD LIBOR + 0.880% 10/12/2021 | 1.068% | 3,610,000 | 3,605,157 | |
3-month USD LIBOR + 1.270% 03/28/2022 | 1.463% | 1,000,000 | 999,792 | |
3-month USD LIBOR + 1.080% 08/03/2022 | 1.256% | 880,000 | 875,669 | |
Ford Motor Credit Co. LLC | ||||
10/12/2021 | 3.813% | 1,605,000 | 1,619,964 | |
01/07/2022 | 5.596% | 1,535,000 | 1,573,077 | |
01/09/2022 | 3.219% | 3,800,000 | 3,840,101 | |
03/28/2022 | 3.339% | 503,000 | 509,957 | |
08/03/2022 | 2.979% | 5,095,000 | 5,168,435 | |
11/01/2022 | 3.350% | 6,065,000 | 6,211,897 | |
01/09/2024 | 3.810% | 2,585,000 | 2,688,400 | |
05/03/2029 | 5.113% | 1,040,000 | 1,138,800 | |
11/13/2030 | 4.000% | 1,500,000 | 1,532,441 | |
General Motors Co. | ||||
10/01/2025 | 6.125% | 549,000 | 653,024 | |
10/01/2027 | 6.800% | 1,850,000 | 2,336,487 | |
04/01/2035 | 5.000% | 5,365,000 | 6,387,719 | |
04/01/2038 | 5.150% | 1,550,000 | 1,840,003 | |
10/02/2043 | 6.250% | 750,000 | 1,007,317 | |
04/01/2045 | 5.200% | 1,500,000 | 1,789,147 | |
General Motors Financial Co., Inc. | ||||
07/06/2021 | 3.200% | 1,950,000 | 1,952,596 | |
09/25/2021 | 4.375% | 3,155,000 | 3,194,263 | |
11/06/2021 | 4.200% | 820,000 | 833,498 | |
04/10/2022 | 3.450% | 570,000 | 581,983 | |
06/30/2022 | 3.150% | 995,000 | 1,020,977 | |
07/08/2022 | 3.550% | 1,000,000 | 1,033,914 | |
03/20/2023 | 5.200% | 590,000 | 637,842 | |
07/13/2025 | 4.300% | 1,060,000 | 1,177,116 | |
03/01/2026 | 5.250% | 2,345,000 | 2,716,920 | |
06/21/2030 | 3.600% | 1,710,000 | 1,834,868 | |
Harley-Davidson Financial Services, Inc.(a) | ||||
02/04/2022 | 4.050% | 535,000 | 547,984 | |
06/08/2025 | 3.350% | 2,260,000 | 2,415,252 | |
Hyundai Capital America(a) | ||||
11/02/2026 | 3.500% | 2,335,000 | 2,534,493 | |
01/10/2028 | 1.800% | 2,980,000 | 2,916,712 | |
IHO Verwaltungs GmbH(a),(l) | ||||
09/15/2026 | 4.750% | 2,925,000 | 3,003,964 | |
Kia Corp.(a) | ||||
04/16/2024 | 1.000% | 1,405,000 | 1,411,698 | |
Magna International, Inc. | ||||
06/15/2024 | 3.625% | 1,100,000 | 1,191,940 | |
Nissan Motor Co., Ltd.(a) | ||||
09/17/2027 | 4.345% | 5,321,000 | 5,819,077 | |
09/17/2030 | 4.810% | 1,493,000 | 1,652,582 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Toyota Motor Credit Corp. | ||||
08/13/2027 | 1.150% | 1,031,000 | 1,014,718 | |
04/06/2028 | 1.900% | 5,720,000 | 5,804,990 | |
02/13/2030 | 2.150% | 750,000 | 757,910 | |
Volkswagen Group of America Finance LLC(a) | ||||
11/12/2021 | 4.000% | 2,965,000 | 3,013,711 | |
05/13/2025 | 3.350% | 1,685,000 | 1,827,523 | |
11/24/2025 | 1.250% | 6,030,000 | 6,032,194 | |
Total | 124,241,675 | |||
Banking 8.8% | ||||
Ally Financial, Inc. | ||||
10/02/2023 | 1.450% | 5,300,000 | 5,382,444 | |
ANZ New Zealand International Ltd.(a) | ||||
02/13/2023 | 1.900% | 6,235,000 | 6,400,399 | |
Banco Bilbao Vizcaya Argentaria SA | ||||
09/18/2023 | 0.875% | 7,400,000 | 7,446,304 | |
Banco Bradesco SA(a) | ||||
01/27/2025 | 3.200% | 1,150,000 | 1,182,651 | |
Banco de Bogota SA(a) | ||||
Subordinated | ||||
05/12/2026 | 6.250% | 1,050,000 | 1,155,890 | |
Banco de Credito del Peru(a),(k) | ||||
Subordinated | ||||
09/30/2031 | 3.250% | 900,000 | 887,021 | |
Banco Santander SA(a) | ||||
11/09/2022 | 4.125% | 150,000 | 156,567 | |
Banco Santander SA | ||||
02/23/2023 | 3.125% | 800,000 | 835,589 | |
04/12/2023 | 3.848% | 2,000,000 | 2,123,106 | |
05/28/2025 | 2.746% | 1,000,000 | 1,059,834 | |
03/25/2026 | 1.849% | 400,000 | 406,443 | |
03/25/2031 | 2.958% | 3,200,000 | 3,261,232 | |
Banco Santander SA(b) | ||||
3-month USD LIBOR + 1.120% 04/12/2023 | 1.308% | 1,400,000 | 1,419,134 | |
Bancolombia SA | ||||
01/29/2025 | 3.000% | 1,075,000 | 1,100,555 | |
Bank of America Corp. | ||||
01/11/2023 | 3.300% | 2,000,000 | 2,096,593 | |
Subordinated | ||||
01/22/2025 | 4.000% | 795,000 | 877,417 | |
04/21/2025 | 3.950% | 2,500,000 | 2,761,565 | |
03/03/2026 | 4.450% | 2,000,000 | 2,281,153 | |
Bank of America Corp.(k) | ||||
12/20/2023 | 3.004% | 1,294,000 | 1,346,700 | |
03/05/2024 | 3.550% | 6,318,000 | 6,664,260 | |
03/15/2025 | 3.458% | 2,610,000 | 2,807,156 | |
07/22/2027 | 1.734% | 5,870,000 | 5,950,203 | |
03/05/2029 | 3.970% | 2,240,000 | 2,510,545 |
20 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
02/13/2031 | 2.496% | 7,027,000 | 7,087,770 | |
04/29/2031 | 2.592% | 1,500,000 | 1,527,048 | |
07/23/2031 | 1.898% | 640,000 | 612,324 | |
10/24/2031 | 1.922% | 1,000,000 | 957,609 | |
04/23/2040 | 4.078% | 2,365,000 | 2,704,028 | |
06/19/2041 | 2.676% | 4,133,000 | 3,910,764 | |
04/22/2042 | 3.311% | 2,530,000 | 2,597,503 | |
03/15/2050 | 4.330% | 1,500,000 | 1,769,658 | |
03/20/2051 | 4.083% | 2,795,000 | 3,193,164 | |
Junior Subordinated | ||||
12/31/2049 | 6.100% | 4,580,000 | 5,132,945 | |
Bank of Ireland Group PLC(a) | ||||
11/25/2023 | 4.500% | 3,780,000 | 4,109,928 | |
Bank of Montreal | ||||
05/01/2025 | 1.850% | 1,135,000 | 1,177,297 | |
Bank of Montreal(k) | ||||
Subordinated | ||||
12/15/2032 | 3.803% | 1,068,000 | 1,179,372 | |
Bank of New York Mellon Corp. (The) | ||||
01/29/2023 | 2.950% | 995,000 | 1,037,641 | |
08/16/2023 | 2.200% | 3,185,000 | 3,308,279 | |
04/24/2025 | 1.600% | 3,885,000 | 4,004,829 | |
Bank of New Zealand(a) | ||||
02/21/2025 | 2.000% | 4,510,000 | 4,672,238 | |
Bank of Nova Scotia (The) | ||||
05/01/2023 | 1.625% | 8,550,000 | 8,767,483 | |
Subordinated | ||||
12/16/2025 | 4.500% | 1,500,000 | 1,710,203 | |
Bank of Nova Scotia (The)(k) | ||||
12/31/2049 | 4.900% | 1,130,000 | 1,216,085 | |
Banque Federative du Credit Mutuel SA(a) | ||||
07/20/2023 | 3.750% | 3,185,000 | 3,408,198 | |
02/27/2024 | 0.650% | 1,212,000 | 1,214,094 | |
11/21/2024 | 2.375% | 5,255,000 | 5,531,983 | |
Barclays PLC | ||||
01/10/2023 | 3.684% | 4,045,000 | 4,124,634 | |
03/16/2025 | 3.650% | 270,000 | 293,743 | |
Subordinated | ||||
05/09/2028 | 4.836% | 995,000 | 1,118,992 | |
Barclays PLC(k) | ||||
02/15/2023 | 4.610% | 4,955,000 | 5,101,098 | |
05/07/2025 | 3.932% | 3,347,000 | 3,629,399 | |
06/24/2031 | 2.645% | 3,175,000 | 3,171,321 | |
03/10/2032 | 2.667% | 12,020,000 | 11,919,834 | |
Subordinated | ||||
09/23/2035 | 3.564% | 902,000 | 922,895 | |
BB&T Corp. | ||||
06/20/2022 | 3.050% | 3,365,000 | 3,457,463 | |
08/01/2024 | 2.500% | 2,450,000 | 2,591,004 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BNP Paribas SA(a) | ||||
03/01/2023 | 3.500% | 895,000 | 942,611 | |
01/09/2025 | 3.375% | 1,235,000 | 1,334,709 | |
08/14/2028 | 4.400% | 345,000 | 394,801 | |
BNP Paribas SA(a),(k) | ||||
11/19/2025 | 2.819% | 2,480,000 | 2,621,805 | |
06/09/2026 | 2.219% | 11,048,000 | 11,432,472 | |
01/13/2027 | 1.323% | 1,269,000 | 1,255,467 | |
09/30/2028 | 1.904% | 3,535,000 | 3,511,304 | |
04/19/2032 | 2.871% | 10,087,000 | 10,218,490 | |
Subordinated | ||||
08/12/2035 | 2.588% | 628,000 | 604,069 | |
BPCE SA(a) | ||||
01/11/2028 | 3.250% | 460,000 | 493,358 | |
10/01/2029 | 2.700% | 2,350,000 | 2,421,313 | |
Subordinated | ||||
10/22/2023 | 5.700% | 545,000 | 606,823 | |
07/11/2024 | 4.625% | 4,200,000 | 4,636,379 | |
07/21/2024 | 5.150% | 3,578,000 | 4,012,554 | |
BPCE SA(a),(k) | ||||
01/20/2032 | 2.277% | 1,135,000 | 1,103,810 | |
Canadian Imperial Bank of Commerce(k) | ||||
07/22/2023 | 2.606% | 2,317,000 | 2,375,895 | |
Canadian Imperial Bank of Commerce | ||||
04/02/2024 | 3.100% | 283,000 | 302,862 | |
01/28/2025 | 2.250% | 3,235,000 | 3,394,809 | |
Capital One Financial Corp. | ||||
03/09/2027 | 3.750% | 750,000 | 840,529 | |
05/11/2027 | 3.650% | 499,000 | 555,375 | |
Citibank NA | ||||
07/23/2021 | 3.400% | 995,000 | 997,310 | |
Citigroup, Inc.(k) | ||||
07/24/2023 | 2.876% | 4,564,000 | 4,694,451 | |
05/15/2024 | 1.678% | 656,000 | 672,338 | |
05/01/2025 | 0.981% | 1,410,000 | 1,418,821 | |
04/08/2026 | 3.106% | 4,210,000 | 4,524,651 | |
01/28/2027 | 1.122% | 2,115,000 | 2,092,350 | |
11/05/2030 | 2.976% | 3,020,000 | 3,166,180 | |
01/29/2031 | 2.666% | 5,550,000 | 5,665,833 | |
05/01/2032 | 2.561% | 5,633,000 | 5,658,713 | |
12/31/2049 | 4.700% | 10,225,000 | 10,501,834 | |
12/31/2049 | 5.000% | 1,100,000 | 1,150,258 | |
Citigroup, Inc. | ||||
05/01/2026 | 3.400% | 1,300,000 | 1,429,578 | |
Subordinated | ||||
06/10/2025 | 4.400% | 4,250,000 | 4,772,384 | |
09/13/2025 | 5.500% | 1,500,000 | 1,764,721 | |
05/18/2046 | 4.750% | 395,000 | 482,991 | |
Comerica Bank | ||||
07/23/2024 | 2.500% | 3,995,000 | 4,228,871 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 21 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Comerica, Inc. | ||||
07/31/2023 | 3.700% | 2,250,000 | 2,403,537 | |
Commonwealth Bank of Australia(a) | ||||
Subordinated | ||||
03/11/2031 | 2.688% | 769,000 | 758,296 | |
09/12/2039 | 3.743% | 435,000 | 460,618 | |
Cooperatieve Rabobank UA | ||||
01/10/2023 | 2.750% | 4,580,000 | 4,765,003 | |
Subordinated | ||||
11/09/2022 | 3.950% | 424,000 | 445,310 | |
12/01/2023 | 4.625% | 600,000 | 657,263 | |
08/04/2025 | 4.375% | 1,506,000 | 1,683,376 | |
Cooperatieve Rabobank UA(a),(k) | ||||
06/24/2026 | 1.339% | 970,000 | 978,903 | |
09/24/2026 | 1.004% | 920,000 | 913,306 | |
02/24/2027 | 1.106% | 8,080,000 | 7,996,338 | |
Credit Agricole SA(a) | ||||
04/24/2023 | 3.750% | 530,000 | 563,433 | |
Credit Agricole SA(a),(k) | ||||
06/16/2026 | 1.907% | 5,925,000 | 6,064,640 | |
Credit Suisse Group AG | ||||
05/05/2023 | 1.000% | 893,000 | 902,996 | |
Credit Suisse Group AG(a),(k) | ||||
12/14/2023 | 2.997% | 6,707,000 | 6,942,386 | |
09/11/2025 | 2.593% | 2,646,000 | 2,764,107 | |
06/05/2026 | 2.193% | 11,747,000 | 12,053,951 | |
02/02/2027 | 1.305% | 3,050,000 | 2,991,875 | |
05/14/2032 | 3.091% | 9,340,000 | 9,495,654 | |
Credit Suisse Group AG(a) | ||||
01/09/2028 | 4.282% | 1,005,000 | 1,119,168 | |
Subordinated | ||||
08/08/2023 | 6.500% | 1,030,000 | 1,139,003 | |
Credit Suisse Group Funding Guernsey Ltd. | ||||
09/15/2022 | 3.800% | 750,000 | 782,128 | |
06/09/2023 | 3.800% | 4,890,000 | 5,195,401 | |
04/17/2026 | 4.550% | 275,000 | 311,686 | |
Danske Bank A/S(a) | ||||
01/12/2022 | 5.000% | 2,000,000 | 2,053,834 | |
09/12/2023 | 3.875% | 3,995,000 | 4,268,828 | |
Danske Bank A/S(a),(k) | ||||
12/20/2025 | 3.244% | 380,000 | 407,037 | |
09/11/2026 | 1.621% | 1,245,000 | 1,244,004 | |
Deutsche Bank AG | ||||
02/14/2022 | 5.000% | 6,300,000 | 6,497,334 | |
03/19/2026 | 1.686% | 675,000 | 682,141 | |
Deutsche Bank AG(k) | ||||
04/01/2025 | 1.447% | 3,715,000 | 3,746,934 | |
11/26/2025 | 3.961% | 2,920,000 | 3,173,063 | |
05/28/2032 | 3.035% | 1,215,000 | 1,216,846 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated | ||||
01/14/2032 | 3.729% | 2,000,000 | 2,005,584 | |
Discover Bank | ||||
08/08/2023 | 4.200% | 5,500,000 | 5,944,358 | |
03/13/2026 | 4.250% | 789,000 | 891,021 | |
Discover Financial Services | ||||
04/27/2022 | 5.200% | 6,123,000 | 6,380,418 | |
11/21/2022 | 3.850% | 1,000,000 | 1,050,611 | |
11/06/2024 | 3.950% | 1,495,000 | 1,640,717 | |
DNB Bank ASA(a) | ||||
12/02/2022 | 2.150% | 625,000 | 642,924 | |
DNB Bank ASA(a),(k) | ||||
09/16/2026 | 1.127% | 7,020,000 | 6,985,866 | |
05/25/2027 | 1.535% | 200,000 | 200,949 | |
Federation des Caisses Desjardins du Quebec(a) | ||||
02/10/2025 | 2.050% | 1,983,000 | 2,055,003 | |
Fifth Third Bancorp | ||||
06/15/2022 | 2.600% | 1,595,000 | 1,630,330 | |
Global Bank Corp.(a),(k) | ||||
04/16/2029 | 5.250% | 400,000 | 417,735 | |
Goldman Sachs Group Inc. (The)(k) | ||||
04/22/2032 | 2.615% | 17,965,000 | 18,135,784 | |
Goldman Sachs Group, Inc. (The)(k) | ||||
10/31/2022 | 2.876% | 13,029,000 | 13,165,238 | |
09/29/2025 | 3.272% | 1,160,000 | 1,250,251 | |
02/12/2026 | 0.855% | 2,610,000 | 2,600,760 | |
12/09/2026 | 1.093% | 5,970,000 | 5,910,773 | |
03/09/2027 | 1.431% | 13,290,000 | 13,304,293 | |
06/05/2028 | 3.691% | 1,145,000 | 1,267,763 | |
Goldman Sachs Group, Inc. (The)(b) | ||||
3-month USD LIBOR + 0.750% 02/23/2023 | 0.900% | 1,402,000 | 1,414,322 | |
Goldman Sachs Group, Inc. (The) | ||||
01/26/2027 | 3.850% | 2,855,000 | 3,166,643 | |
Subordinated | ||||
10/21/2025 | 4.250% | 1,344,000 | 1,511,394 | |
05/22/2045 | 5.150% | 2,410,000 | 3,151,885 | |
HSBC Holdings PLC(k) | ||||
03/11/2025 | 3.803% | 573,000 | 619,803 | |
05/24/2025 | 0.976% | 4,250,000 | 4,269,877 | |
11/07/2025 | 2.633% | 1,768,000 | 1,866,708 | |
04/18/2026 | 1.645% | 604,000 | 614,429 | |
06/04/2026 | 2.099% | 1,379,000 | 1,422,214 | |
05/24/2027 | 1.589% | 4,612,000 | 4,635,407 | |
03/13/2028 | 4.041% | 1,150,000 | 1,278,790 | |
09/22/2028 | 2.013% | 8,035,000 | 8,047,028 | |
05/22/2030 | 3.973% | 1,243,000 | 1,374,486 | |
05/24/2032 | 2.804% | 5,605,000 | 5,672,650 | |
Junior Subordinated | ||||
12/31/2049 | 6.000% | 877,000 | 965,710 |
22 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
HSBC Holdings PLC | ||||
03/08/2026 | 4.300% | 2,500,000 | 2,838,531 | |
03/31/2030 | 4.950% | 390,000 | 462,877 | |
ING Groep NV | ||||
04/09/2024 | 3.550% | 1,512,000 | 1,634,065 | |
ING Groep NV(k) | ||||
04/01/2032 | 2.727% | 1,330,000 | 1,353,123 | |
Intesa Sanpaolo SpA(a),(c) | ||||
Subordinated | ||||
06/01/2032 | 4.198% | 1,100,000 | 1,115,098 | |
Itaú Unibanco Holding SA(a) | ||||
01/24/2025 | 3.250% | 650,000 | 669,910 | |
JPMorgan Chase & Co.(k) | ||||
04/01/2023 | 3.207% | 4,085,000 | 4,182,947 | |
03/16/2024 | 0.697% | 290,000 | 291,184 | |
04/23/2024 | 3.559% | 6,540,000 | 6,919,599 | |
06/01/2024 | 1.514% | 7,975,000 | 8,143,111 | |
07/23/2024 | 3.797% | 2,675,000 | 2,859,856 | |
04/22/2026 | 2.083% | 2,695,000 | 2,798,963 | |
02/04/2027 | 1.040% | 835,000 | 824,933 | |
04/22/2027 | 1.578% | 4,205,000 | 4,243,341 | |
01/23/2029 | 3.509% | 13,570,000 | 14,886,692 | |
04/23/2029 | 4.005% | 3,180,000 | 3,586,277 | |
12/05/2029 | 4.452% | 1,750,000 | 2,027,919 | |
04/22/2031 | 2.522% | 2,106,000 | 2,139,526 | |
02/04/2032 | 1.953% | 2,843,000 | 2,722,593 | |
04/22/2032 | 2.580% | 5,845,000 | 5,905,285 | |
11/19/2041 | 2.525% | 1,823,000 | 1,676,550 | |
04/22/2042 | 3.157% | 4,279,000 | 4,313,790 | |
11/15/2048 | 3.964% | 3,090,000 | 3,470,017 | |
12/31/2049 | 4.000% | 4,500,000 | 4,490,602 | |
12/31/2049 | 4.600% | 7,625,000 | 7,769,826 | |
12/31/2049 | 5.000% | 1,290,000 | 1,350,186 | |
04/22/2052 | 3.328% | 3,691,000 | 3,756,136 | |
JPMorgan Chase & Co. | ||||
07/15/2025 | 3.900% | 4,000,000 | 4,448,356 | |
Subordinated | ||||
05/01/2023 | 3.375% | 1,000,000 | 1,056,815 | |
09/10/2024 | 3.875% | 8,940,000 | 9,796,434 | |
JPMorgan Chase & Co.(c),(k) | ||||
06/01/2029 | 2.069% | 8,428,000 | 8,466,891 | |
JPMorgan Chase & Co.(b) | ||||
3-month USD LIBOR + 3.800% 12/31/2049 | 3.976% | 5,905,000 | 5,923,342 | |
Kookmin Bank(a) | ||||
Subordinated | ||||
11/04/2030 | 2.500% | 550,000 | 542,178 | |
Lloyds Banking Group PLC | ||||
08/16/2023 | 4.050% | 2,940,000 | 3,167,163 | |
03/12/2024 | 3.900% | 2,600,000 | 2,835,910 | |
03/22/2028 | 4.375% | 1,975,000 | 2,254,364 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated | ||||
11/04/2024 | 4.500% | 5,560,000 | 6,188,405 | |
Lloyds Banking Group PLC(k) | ||||
11/07/2023 | 2.907% | 6,473,000 | 6,696,148 | |
02/05/2026 | 2.438% | 695,000 | 727,927 | |
05/11/2027 | 1.627% | 1,175,000 | 1,181,234 | |
Macquarie Group Ltd.(a),(k) | ||||
01/12/2027 | 1.340% | 3,430,000 | 3,399,283 | |
Mitsubishi UFJ Financial Group, Inc. | ||||
02/25/2025 | 2.193% | 2,000,000 | 2,091,158 | |
07/17/2025 | 1.412% | 1,684,000 | 1,707,738 | |
09/13/2026 | 2.757% | 255,000 | 271,933 | |
Mizuho Financial Group, Inc.(k) | ||||
07/10/2024 | 1.241% | 1,250,000 | 1,268,020 | |
09/11/2024 | 3.922% | 2,668,000 | 2,865,247 | |
05/25/2026 | 2.226% | 797,000 | 826,544 | |
Mizuho Financial Group, Inc.(a) | ||||
04/12/2026 | 3.477% | 225,000 | 246,961 | |
Morgan Stanley(k) | ||||
01/25/2024 | 0.529% | 2,400,000 | 2,401,381 | |
04/28/2026 | 2.188% | 860,000 | 899,458 | |
05/04/2027 | 1.593% | 5,707,000 | 5,759,055 | |
07/22/2028 | 3.591% | 7,245,000 | 8,018,381 | |
01/24/2029 | 3.772% | 4,315,000 | 4,806,412 | |
01/23/2030 | 4.431% | 2,885,000 | 3,350,185 | |
04/01/2031 | 3.622% | 2,200,000 | 2,424,722 | |
02/13/2032 | 1.794% | 2,210,000 | 2,089,516 | |
04/28/2032 | 1.928% | 1,000,000 | 955,990 | |
04/22/2039 | 4.457% | 310,000 | 372,034 | |
04/22/2042 | 3.217% | 5,154,000 | 5,265,695 | |
01/25/2052 | 2.802% | 979,000 | 918,729 | |
Morgan Stanley(c),(k) | ||||
05/30/2025 | 0.790% | 17,812,000 | 17,826,879 | |
Morgan Stanley | ||||
07/23/2025 | 4.000% | 1,725,000 | 1,929,800 | |
01/27/2026 | 3.875% | 6,665,000 | 7,468,871 | |
Morgan Stanley(b) | ||||
Junior Subordinated | ||||
3-month USD LIBOR + 3.610% 12/31/2049 | 3.794% | 5,000,000 | 5,011,375 | |
National Australia Bank Ltd. | ||||
11/04/2021 | 3.700% | 2,745,000 | 2,785,963 | |
National Australia Bank Ltd.(a) | ||||
Subordinated | ||||
08/21/2030 | 2.332% | 1,170,000 | 1,124,718 | |
National Australia Bank Ltd.(a),(k) | ||||
Subordinated | ||||
08/02/2034 | 3.933% | 1,175,000 | 1,259,578 | |
Nationwide Building Society(a) | ||||
01/27/2023 | 2.000% | 611,000 | 627,563 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 23 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Nationwide Building Society(a),(k) | ||||
04/26/2023 | 3.622% | 1,540,000 | 1,584,043 | |
03/08/2024 | 3.766% | 3,370,000 | 3,553,089 | |
08/01/2024 | 4.363% | 4,595,000 | 4,949,398 | |
07/18/2030 | 3.960% | 870,000 | 965,010 | |
NatWest Group PLC(k) | ||||
06/25/2024 | 4.519% | 962,000 | 1,036,840 | |
Subordinated | ||||
11/28/2035 | 3.032% | 895,000 | 880,243 | |
NatWest Markets PLC(a) | ||||
09/29/2022 | 3.625% | 3,020,000 | 3,153,138 | |
08/12/2024 | 0.800% | 3,620,000 | 3,625,010 | |
Northern Trust Corp. | ||||
05/01/2030 | 1.950% | 928,000 | 923,371 | |
Northern Trust Corp.(k) | ||||
Subordinated | ||||
05/08/2032 | 3.375% | 1,345,000 | 1,464,674 | |
Oversea-Chinese Banking Corp., Ltd.(a),(k) | ||||
Subordinated | ||||
09/10/2030 | 1.832% | 535,000 | 535,631 | |
Royal Bank of Canada | ||||
06/10/2025 | 1.150% | 8,890,000 | 8,954,390 | |
04/27/2026 | 1.200% | 2,185,000 | 2,188,288 | |
Royal Bank of Scotland Group PLC | ||||
09/12/2023 | 3.875% | 2,105,000 | 2,259,311 | |
Royal Bank of Scotland Group PLC(k) | ||||
05/22/2028 | 3.073% | 3,681,000 | 3,883,025 | |
Santander Holdings USA, Inc. | ||||
06/02/2025 | 3.450% | 4,110,000 | 4,429,179 | |
Santander UK Group Holdings PLC | ||||
08/05/2021 | 2.875% | 1,675,000 | 1,682,853 | |
Santander UK Group Holdings PLC(k) | ||||
11/15/2024 | 4.796% | 7,062,000 | 7,764,813 | |
03/15/2025 | 1.089% | 5,545,000 | 5,580,772 | |
03/15/2032 | 2.896% | 5,585,000 | 5,690,683 | |
Santander UK PLC(b) | ||||
3-month USD LIBOR + 0.620% 06/01/2021 | 0.811% | 3,415,000 | 3,415,205 | |
Santander UK PLC | ||||
06/18/2024 | 2.875% | 1,689,000 | 1,799,480 | |
Skandinaviska Enskilda Banken AB(a) | ||||
09/02/2025 | 0.850% | 1,410,000 | 1,400,195 | |
Societe Generale SA(a) | ||||
03/28/2024 | 3.875% | 5,055,000 | 5,473,511 | |
01/22/2025 | 2.625% | 3,710,000 | 3,891,195 | |
07/08/2025 | 1.375% | 3,095,000 | 3,115,166 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Standard Chartered PLC(a),(k) | ||||
05/21/2025 | 3.785% | 3,340,000 | 3,603,711 | |
01/30/2026 | 2.819% | 5,220,000 | 5,493,412 | |
01/14/2027 | 1.456% | 712,000 | 705,300 | |
Subordinated | ||||
02/18/2036 | 3.265% | 1,545,000 | 1,543,424 | |
State Street Corp.(k) | ||||
03/30/2026 | 2.901% | 1,880,000 | 2,015,883 | |
State Street Corp. | ||||
Subordinated | ||||
03/03/2031 | 2.200% | 2,525,000 | 2,502,095 | |
Sumitomo Mitsui Financial Group, Inc. | ||||
07/12/2022 | 2.784% | 1,720,000 | 1,768,323 | |
09/27/2024 | 2.448% | 745,000 | 785,378 | |
Subordinated | ||||
09/23/2030 | 2.142% | 1,164,000 | 1,120,995 | |
Sumitomo Mitsui Trust Bank Ltd.(a) | ||||
03/25/2024 | 0.850% | 7,605,000 | 7,637,312 | |
09/12/2025 | 1.050% | 829,000 | 825,029 | |
Toronto-Dominion Bank (The) | ||||
09/11/2025 | 0.750% | 6,645,000 | 6,593,285 | |
Truist Financial Corp.(k) | ||||
03/02/2027 | 1.267% | 3,340,000 | 3,334,239 | |
12/31/2049 | 5.100% | 852,000 | 952,665 | |
Truist Financial Corp. | ||||
08/03/2027 | 1.125% | 762,000 | 744,715 | |
U.S. Bancorp(k) | ||||
Junior Subordinated | ||||
12/31/2049 | 5.300% | 2,980,000 | 3,365,707 | |
UBS AG(a) | ||||
04/21/2022 | 1.750% | 8,550,000 | 8,658,518 | |
UBS Group AG(a),(k) | ||||
07/30/2024 | 1.008% | 990,000 | 998,238 | |
01/30/2027 | 1.364% | 912,000 | 909,251 | |
02/11/2032 | 2.095% | 1,457,000 | 1,401,504 | |
UBS Group Funding Switzerland AG(a) | ||||
05/23/2023 | 3.491% | 5,580,000 | 5,746,399 | |
UBS Group Funding Switzerland AG(a),(k) | ||||
08/15/2023 | 2.859% | 2,083,000 | 2,142,786 | |
UniCredit SpA(a) | ||||
04/12/2022 | 3.750% | 3,125,000 | 3,208,438 | |
UniCredit SpA(a),(k) | ||||
09/22/2026 | 2.569% | 5,195,000 | 5,277,083 | |
UniCredit SpA(a),(c),(k) | ||||
06/03/2027 | 1.982% | 2,285,000 | 2,286,105 | |
US Bancorp | ||||
05/12/2025 | 1.450% | 8,680,000 | 8,892,311 |
24 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wells Fargo & Co. | ||||
01/24/2024 | 3.750% | 2,500,000 | 2,704,910 | |
Subordinated | ||||
08/15/2023 | 4.125% | 4,000,000 | 4,320,237 | |
12/07/2046 | 4.750% | 360,000 | 436,878 | |
Wells Fargo & Co.(k) | ||||
06/02/2024 | 1.654% | 2,215,000 | 2,269,158 | |
10/30/2025 | 2.406% | 1,260,000 | 1,325,974 | |
02/11/2026 | 2.164% | 2,882,000 | 3,006,412 | |
04/30/2026 | 2.188% | 4,498,000 | 4,693,632 | |
05/22/2028 | 3.584% | 1,700,000 | 1,879,706 | |
06/02/2028 | 2.393% | 9,880,000 | 10,273,035 | |
02/11/2031 | 2.572% | 6,775,000 | 6,932,832 | |
04/30/2041 | 3.068% | 5,252,000 | 5,250,430 | |
Wells Fargo Bank NA(k) | ||||
09/09/2022 | 2.082% | 1,290,000 | 1,296,392 | |
Westpac Banking Corp. | ||||
02/19/2025 | 2.350% | 620,000 | 654,178 | |
Subordinated | ||||
11/16/2040 | 2.963% | 1,057,000 | 1,005,660 | |
Westpac Banking Corp.(c) | ||||
06/03/2031 | 2.150% | 5,583,000 | 5,581,346 | |
Total | 949,757,121 | |||
Brokerage/Asset Managers/Exchanges 0.4% | ||||
Brookfield Finance, Inc. | ||||
06/02/2026 | 4.250% | 1,000,000 | 1,128,231 | |
Charles Schwab Corp. (The) | ||||
05/13/2026 | 1.150% | 4,690,000 | 4,709,173 | |
03/20/2028 | 2.000% | 6,623,000 | 6,755,069 | |
03/11/2031 | 1.650% | 500,000 | 476,147 | |
Charles Schwab Corp. (The)(k) | ||||
12/31/2049 | 5.375% | 3,796,000 | 4,199,151 | |
Hunt Companies, Inc.(a) | ||||
04/15/2029 | 5.250% | 2,150,000 | 2,070,953 | |
Intercontinental Exchange, Inc. | ||||
09/15/2040 | 2.650% | 804,000 | 751,545 | |
06/15/2050 | 3.000% | 795,000 | 754,899 | |
Jefferies Group LLC | ||||
01/20/2023 | 5.125% | 5,000,000 | 5,366,714 | |
01/20/2043 | 6.500% | 600,000 | 816,164 | |
LSEGA Financing PLC(a) | ||||
04/06/2031 | 2.500% | 1,081,000 | 1,086,906 | |
04/06/2041 | 3.200% | 1,750,000 | 1,775,293 | |
Nasdaq, Inc. | ||||
12/21/2040 | 2.500% | 911,000 | 820,993 | |
Owl Rock Technology Finance Corp.(a) | ||||
12/15/2025 | 4.750% | 1,331,000 | 1,460,541 | |
06/17/2026 | 3.750% | 2,450,000 | 2,584,645 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Raymond James Financial, Inc. | ||||
07/15/2046 | 4.950% | 1,745,000 | 2,219,089 | |
Stifel Financial Corp. | ||||
05/15/2030 | 4.000% | 3,755,000 | 4,130,281 | |
Total | 41,105,794 | |||
Building Materials 0.2% | ||||
Builders FirstSource, Inc.(a) | ||||
03/01/2030 | 5.000% | 2,465,000 | 2,565,017 | |
Cemex SAB de CV(a) | ||||
09/17/2030 | 5.200% | 1,050,000 | 1,144,650 | |
Martin Marietta Materials, Inc. | ||||
03/15/2030 | 2.500% | 3,380,000 | 3,410,543 | |
Masco Corp. | ||||
02/15/2028 | 1.500% | 1,850,000 | 1,800,435 | |
Standard Industries, Inc.(a) | ||||
07/15/2030 | 4.375% | 1,845,000 | 1,866,859 | |
01/15/2031 | 3.375% | 840,000 | 796,864 | |
Summit Materials LLC/Finance Corp.(a) | ||||
06/01/2025 | 5.125% | 1,035,000 | 1,047,937 | |
01/15/2029 | 5.250% | 2,385,000 | 2,521,591 | |
U.S. Concrete, Inc. | ||||
06/01/2024 | 6.375% | 974,000 | 991,045 | |
Vulcan Materials Co. | ||||
06/15/2047 | 4.500% | 2,610,000 | 3,097,268 | |
Total | 19,242,209 | |||
Cable and Satellite 0.8% | ||||
CCO Holdings LLC/Capital Corp.(a) | ||||
02/15/2026 | 5.750% | 1,882,000 | 1,945,898 | |
05/01/2027 | 5.875% | 2,600,000 | 2,681,942 | |
06/01/2029 | 5.375% | 125,000 | 135,742 | |
CCO Holdings LLC/Capital Corp. | ||||
05/01/2032 | 4.500% | 1,404,000 | 1,416,147 | |
Charter Communications Operating LLC/Capital | ||||
07/23/2022 | 4.464% | 2,065,000 | 2,144,798 | |
07/23/2025 | 4.908% | 988,000 | 1,123,691 | |
10/23/2035 | 6.384% | 1,775,000 | 2,320,544 | |
10/23/2045 | 6.484% | 4,170,000 | 5,492,477 | |
03/01/2050 | 4.800% | 1,800,000 | 1,978,986 | |
04/01/2051 | 3.700% | 2,305,000 | 2,170,242 | |
04/01/2061 | 3.850% | 1,165,000 | 1,076,711 | |
Charter Communications Operating LLC/Capital(m) | ||||
06/01/2052 | 3.900% | 4,082,000 | 3,939,076 | |
Comcast Corp. | ||||
10/15/2025 | 3.950% | 3,212,000 | 3,609,461 | |
02/01/2030 | 2.650% | 750,000 | 777,364 | |
03/01/2048 | 4.000% | 2,000,000 | 2,255,699 | |
11/01/2049 | 3.999% | 2,000,000 | 2,269,619 | |
02/01/2050 | 3.450% | 1,900,000 | 1,973,383 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 25 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cox Communications, Inc.(a) | ||||
12/15/2022 | 3.250% | 500,000 | 522,325 | |
08/15/2024 | 3.150% | 2,265,000 | 2,433,299 | |
Cox Communications, Inc.(a),(c) | ||||
06/15/2031 | 2.600% | 4,230,000 | 4,231,114 | |
CSC Holdings LLC(a) | ||||
04/15/2027 | 5.500% | 3,550,000 | 3,727,550 | |
02/01/2028 | 5.375% | 1,193,000 | 1,254,214 | |
04/01/2028 | 7.500% | 300,000 | 328,489 | |
01/15/2030 | 5.750% | 2,450,000 | 2,558,098 | |
DISH DBS Corp. | ||||
06/01/2021 | 6.750% | 2,700,000 | 2,701,388 | |
11/15/2024 | 5.875% | 480,000 | 511,008 | |
07/01/2026 | 7.750% | 2,039,000 | 2,315,825 | |
DISH DBS Corp.(a) | ||||
06/01/2029 | 5.125% | 930,000 | 923,304 | |
Intelsat Jackson Holdings SA(n) | ||||
08/01/2023 | 0.000% | 2,500,000 | 1,460,118 | |
Intelsat Jackson Holdings SA(a),(n) | ||||
10/15/2024 | 0.000% | 832,000 | 495,526 | |
07/15/2025 | 0.000% | 6,033,000 | 3,582,509 | |
Sirius XM Radio, Inc.(a) | ||||
07/01/2029 | 5.500% | 2,410,000 | 2,600,122 | |
Time Warner Cable LLC | ||||
09/01/2021 | 4.000% | 1,500,000 | 1,503,920 | |
07/01/2038 | 7.300% | 215,000 | 304,719 | |
09/01/2041 | 5.500% | 5,371,000 | 6,464,057 | |
Viasat, Inc.(a) | ||||
04/15/2027 | 5.625% | 2,330,000 | 2,435,669 | |
Videotron Ltd. | ||||
07/15/2022 | 5.000% | 2,750,000 | 2,853,405 | |
Virgin Media Secured Finance PLC(a) | ||||
05/15/2029 | 5.500% | 2,000,000 | 2,146,156 | |
Total | 82,664,595 | |||
Chemicals 0.5% | ||||
Alpek SAB de CV(a) | ||||
02/25/2031 | 3.250% | 400,000 | 400,359 | |
Braskem Netherlands Finance BV(a) | ||||
01/31/2030 | 4.500% | 400,000 | 416,005 | |
Cabot Corp. | ||||
07/01/2029 | 4.000% | 2,710,000 | 2,897,343 | |
Celanese U.S. Holdings LLC | ||||
11/15/2022 | 4.625% | 100,000 | 105,920 | |
CF Industries, Inc. | ||||
03/15/2034 | 5.150% | 3,125,000 | 3,685,565 | |
06/01/2043 | 4.950% | 1,700,000 | 1,916,892 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Dow Chemical Co. (The) | ||||
11/15/2030 | 2.100% | 1,166,000 | 1,138,374 | |
10/01/2034 | 4.250% | 1,281,000 | 1,460,755 | |
11/15/2042 | 4.375% | 473,000 | 547,046 | |
11/30/2048 | 5.550% | 443,000 | 595,571 | |
Eastman Chemical Co. | ||||
10/15/2044 | 4.650% | 2,511,000 | 2,987,469 | |
Element Solutions, Inc.(a) | ||||
09/01/2028 | 3.875% | 2,605,000 | 2,612,568 | |
FMC Corp. | ||||
10/01/2049 | 4.500% | 340,000 | 400,430 | |
GC Treasury Center Co., Ltd.(a) | ||||
03/18/2031 | 2.980% | 750,000 | 753,443 | |
Huntsman International LLC | ||||
06/15/2031 | 2.950% | 3,255,000 | 3,281,744 | |
Ingevity Corp.(a) | ||||
11/01/2028 | 3.875% | 2,595,000 | 2,565,179 | |
International Flavors & Fragrances, Inc. | ||||
09/26/2048 | 5.000% | 3,305,000 | 4,103,144 | |
LYB International Finance III LLC | ||||
05/01/2050 | 4.200% | 2,125,000 | 2,335,176 | |
04/01/2051 | 3.625% | 2,050,000 | 2,066,399 | |
LyondellBasell Industries NV | ||||
04/15/2024 | 5.750% | 1,250,000 | 1,410,928 | |
Mosaic Co. (The) | ||||
11/15/2033 | 5.450% | 1,475,000 | 1,833,287 | |
11/15/2043 | 5.625% | 985,000 | 1,265,541 | |
Nutrien Ltd. | ||||
05/13/2030 | 2.950% | 493,000 | 516,199 | |
Nutrition & Biosciences, Inc.(a) | ||||
12/01/2050 | 3.468% | 3,005,000 | 3,005,811 | |
OCI NV(a) | ||||
10/15/2025 | 4.625% | 2,251,000 | 2,341,358 | |
PPG Industries, Inc. | ||||
03/15/2026 | 1.200% | 1,008,000 | 1,005,815 | |
Sasol Financing International Ltd. | ||||
11/14/2022 | 4.500% | 3,800,000 | 3,894,059 | |
TPC Group Inc.(a) | ||||
08/01/2024 | 10.875% | 246,422 | 266,082 | |
TPC Group, Inc.(a) | ||||
08/01/2024 | 10.500% | 1,000,000 | 936,922 | |
WR Grace & Co.(a) | ||||
06/15/2027 | 4.875% | 2,515,000 | 2,649,159 | |
Total | 53,394,543 |
26 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Construction Machinery 0.2% | ||||
Caterpillar Financial Services Corp. | ||||
10/01/2021 | 1.931% | 4,655,000 | 4,681,851 | |
11/13/2025 | 0.800% | 1,215,000 | 1,213,993 | |
H&E Equipment Services, Inc.(a) | ||||
12/15/2028 | 3.875% | 2,670,000 | 2,584,805 | |
John Deere Capital Corp. | ||||
03/06/2028 | 1.500% | 5,020,000 | 4,983,909 | |
United Rentals North America, Inc. | ||||
05/15/2027 | 5.500% | 1,078,000 | 1,140,097 | |
01/15/2028 | 4.875% | 1,230,000 | 1,298,320 | |
01/15/2030 | 5.250% | 3,000,000 | 3,276,906 | |
07/15/2030 | 4.000% | 1,280,000 | 1,304,728 | |
02/15/2031 | 3.875% | 3,000,000 | 3,016,224 | |
Total | 23,500,833 | |||
Consumer Cyclical Services 0.5% | ||||
Alibaba Group Holding Ltd. | ||||
02/09/2031 | 2.125% | 625,000 | 607,124 | |
02/09/2041 | 2.700% | 625,000 | 581,099 | |
Allied Universal Holdco LLC/Finance Corp.(a) | ||||
07/15/2026 | 6.625% | 1,000,000 | 1,061,795 | |
06/01/2029 | 6.000% | 1,300,000 | 1,319,234 | |
Allied Universal Holdco LLC/Finance Corp./Atlas Luxco 4 Sarl(a) | ||||
06/01/2028 | 4.625% | 990,000 | 991,456 | |
06/01/2028 | 4.625% | 610,000 | 606,837 | |
Amazon.com, Inc. | ||||
02/22/2023 | 2.400% | 3,635,000 | 3,763,159 | |
05/12/2031 | 2.100% | 2,550,000 | 2,558,302 | |
05/12/2041 | 2.875% | 1,844,000 | 1,839,120 | |
06/03/2050 | 2.500% | 565,000 | 508,686 | |
05/12/2051 | 3.100% | 6,090,000 | 6,115,859 | |
05/12/2061 | 3.250% | 1,310,000 | 1,320,297 | |
ANGI Group LLC(a) | ||||
08/15/2028 | 3.875% | 2,600,000 | 2,551,893 | |
CBRE Services, Inc. | ||||
04/01/2031 | 2.500% | 1,269,000 | 1,261,524 | |
eBay, Inc. | ||||
03/11/2025 | 1.900% | 2,335,000 | 2,422,690 | |
05/10/2051 | 3.650% | 5,430,000 | 5,436,073 | |
Expedia Group, Inc.(a) | ||||
05/01/2025 | 6.250% | 1,094,000 | 1,275,698 | |
IHS Markit Ltd.(a) | ||||
11/01/2022 | 5.000% | 1,000,000 | 1,050,343 | |
02/15/2025 | 4.750% | 6,410,000 | 7,202,393 | |
03/01/2026 | 4.000% | 1,350,000 | 1,499,709 | |
IHS Markit Ltd. | ||||
08/01/2028 | 4.750% | 1,875,000 | 2,186,163 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Match Group, Inc.(a) | ||||
08/01/2030 | 4.125% | 2,570,000 | 2,555,526 | |
MercadoLibre, Inc. | ||||
01/14/2026 | 2.375% | 200,000 | 199,801 | |
Total | 48,914,781 | |||
Consumer Products 0.2% | ||||
Central Garden & Pet Co. | ||||
10/15/2030 | 4.125% | 2,265,000 | 2,313,578 | |
Hasbro, Inc. | ||||
11/19/2024 | 3.000% | 1,292,000 | 1,378,625 | |
11/19/2026 | 3.550% | 3,115,000 | 3,416,676 | |
Mead Johnson Nutrition Co. | ||||
11/15/2025 | 4.125% | 640,000 | 722,984 | |
Newell, Inc. | ||||
04/01/2026 | 4.200% | 4,150,000 | 4,664,128 | |
Prestige Brands, Inc.(a) | ||||
04/01/2031 | 3.750% | 2,295,000 | 2,204,734 | |
Scotts Miracle-Gro Co. (The) | ||||
12/15/2026 | 5.250% | 235,000 | 246,348 | |
Spectrum Brands, Inc.(a) | ||||
03/15/2031 | 3.875% | 2,750,000 | 2,680,691 | |
Tempur Sealy International, Inc.(a) | ||||
04/15/2029 | 4.000% | 1,135,000 | 1,136,780 | |
Valvoline, Inc.(a) | ||||
06/15/2031 | 3.625% | 2,460,000 | 2,386,308 | |
Total | 21,150,852 | |||
Diversified Manufacturing 0.2% | ||||
Amphenol Corp. | ||||
03/01/2025 | 2.050% | 1,015,000 | 1,056,238 | |
Amsted Industries, Inc.(a) | ||||
05/15/2030 | 4.625% | 1,685,000 | 1,703,086 | |
Carrier Global Corp. | ||||
02/15/2030 | 2.722% | 1,282,000 | 1,319,557 | |
EnerSys(a) | ||||
04/30/2023 | 5.000% | 200,000 | 209,337 | |
General Electric Co. | ||||
05/01/2030 | 3.625% | 198,000 | 217,756 | |
03/15/2032 | 6.750% | 655,000 | 890,498 | |
01/14/2038 | 5.875% | 2,009,000 | 2,664,393 | |
General Electric Co.(b) | ||||
3-month USD LIBOR + 0.480% 08/15/2036 | 0.636% | 5,380,000 | 4,409,518 | |
Kennametal, Inc. | ||||
06/15/2028 | 4.625% | 1,370,000 | 1,545,176 | |
Roper Technologies, Inc. | ||||
09/15/2027 | 1.400% | 595,000 | 584,781 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 27 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Timken Co. (The) | ||||
12/15/2028 | 4.500% | 3,685,000 | 4,067,287 | |
Valmont Industries, Inc. | ||||
10/01/2054 | 5.250% | 2,050,000 | 2,419,476 | |
WW Grainger, Inc. | ||||
02/15/2025 | 1.850% | 3,797,000 | 3,949,741 | |
Total | 25,036,844 | |||
Electric 2.7% | ||||
AEP Texas Central Co.(a) | ||||
10/01/2025 | 3.850% | 880,000 | 966,592 | |
AEP Texas Central Co. | ||||
02/15/2033 | 6.650% | 1,385,000 | 1,845,254 | |
AEP Texas, Inc. | ||||
01/15/2050 | 3.450% | 1,000,000 | 1,003,541 | |
05/15/2051 | 3.450% | 3,930,000 | 3,927,864 | |
AEP Transmission Co. LLC | ||||
12/01/2047 | 3.750% | 2,150,000 | 2,354,476 | |
AES Corp. (The)(a) | ||||
07/15/2025 | 3.300% | 2,730,000 | 2,919,148 | |
01/15/2026 | 1.375% | 4,762,000 | 4,705,922 | |
Alabama Power Co. | ||||
12/01/2023 | 3.550% | 1,000,000 | 1,076,940 | |
10/01/2049 | 3.450% | 715,000 | 761,636 | |
Alliant Energy Finance LLC(a) | ||||
06/15/2023 | 3.750% | 2,508,000 | 2,660,359 | |
06/15/2028 | 4.250% | 5,250,000 | 5,941,624 | |
Ameren Corp. | ||||
02/15/2026 | 3.650% | 590,000 | 649,480 | |
03/15/2028 | 1.750% | 2,740,000 | 2,707,427 | |
American Electric Power Co., Inc. | ||||
03/01/2050 | 3.250% | 856,000 | 821,333 | |
American Transmission Systems, Inc.(a) | ||||
09/01/2044 | 5.000% | 1,411,000 | 1,763,895 | |
Appalachian Power Co. | ||||
04/01/2031 | 2.700% | 2,500,000 | 2,549,714 | |
05/01/2050 | 3.700% | 471,000 | 497,363 | |
Arizona Public Service Co. | ||||
08/15/2048 | 4.200% | 605,000 | 704,213 | |
Avangrid, Inc. | ||||
04/15/2025 | 3.200% | 1,675,000 | 1,805,570 | |
06/01/2029 | 3.800% | 3,190,000 | 3,554,339 | |
Baltimore Gas & Electric Co. | ||||
09/15/2049 | 3.200% | 730,000 | 739,805 | |
Berkshire Hathaway Energy Co. | ||||
05/15/2031 | 1.650% | 956,000 | 907,770 | |
05/15/2051 | 2.850% | 5,015,000 | 4,661,062 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Black Hills Corp. | ||||
11/30/2023 | 4.250% | 297,000 | 320,906 | |
10/15/2029 | 3.050% | 615,000 | 647,424 | |
06/15/2030 | 2.500% | 854,000 | 861,822 | |
05/01/2033 | 4.350% | 303,000 | 347,558 | |
Calpine Corp.(a) | ||||
03/15/2028 | 5.125% | 575,000 | 579,314 | |
02/01/2029 | 4.625% | 2,000,000 | 1,951,372 | |
02/01/2031 | 5.000% | 4,045,000 | 3,919,148 | |
CenterPoint Energy, Inc. | ||||
06/01/2026 | 1.450% | 2,155,000 | 2,166,547 | |
Cleveland Electric Illuminating Co. (The)(a) | ||||
04/01/2028 | 3.500% | 3,331,000 | 3,492,919 | |
Cleveland Electric Illuminating Co. (The) | ||||
12/15/2036 | 5.950% | 1,279,000 | 1,594,566 | |
CMS Energy Corp. | ||||
02/15/2027 | 2.950% | 80,000 | 84,833 | |
CMS Energy Corp.(k) | ||||
06/01/2050 | 4.750% | 1,359,000 | 1,493,311 | |
12/01/2050 | 3.750% | 830,000 | 836,414 | |
Commonwealth Edison Co. | ||||
08/15/2047 | 3.750% | 434,000 | 483,735 | |
Consolidated Edison Co. of New York, Inc. | ||||
03/01/2035 | 5.300% | 178,000 | 223,135 | |
06/15/2046 | 3.850% | 1,310,000 | 1,416,920 | |
06/15/2047 | 3.875% | 1,640,000 | 1,777,583 | |
12/01/2054 | 4.625% | 399,000 | 481,752 | |
11/15/2057 | 4.000% | 577,000 | 630,283 | |
Dominion Energy, Inc. | ||||
08/15/2026 | 2.850% | 750,000 | 801,376 | |
Junior Subordinated | ||||
08/15/2024 | 3.071% | 1,755,000 | 1,871,453 | |
Dominion Energy, Inc.(k) | ||||
12/31/2049 | 4.650% | 6,325,000 | 6,685,231 | |
Dominion Resources, Inc. | ||||
01/15/2022 | 2.750% | 2,509,000 | 2,542,694 | |
DTE Electric Co. | ||||
04/01/2028 | 1.900% | 383,000 | 388,568 | |
05/15/2048 | 4.050% | 210,000 | 245,737 | |
03/01/2049 | 3.950% | 1,305,000 | 1,517,777 | |
03/01/2050 | 2.950% | 256,000 | 250,039 | |
04/01/2051 | 3.250% | 383,000 | 396,907 | |
DTE Energy Co. | ||||
10/01/2024 | 2.529% | 2,165,000 | 2,281,131 | |
06/01/2025 | 1.050% | 2,260,000 | 2,259,130 | |
10/01/2026 | 2.850% | 10,155,000 | 10,890,609 | |
Duke Energy Carolinas LLC | ||||
04/15/2031 | 2.550% | 384,000 | 395,181 | |
09/30/2042 | 4.000% | 585,000 | 669,384 |
28 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Duke Energy Corp. | ||||
04/15/2024 | 3.750% | 3,500,000 | 3,781,980 | |
09/15/2025 | 0.900% | 3,610,000 | 3,584,906 | |
09/01/2026 | 2.650% | 4,710,000 | 4,987,392 | |
Duke Energy Corp.(k) | ||||
12/31/2049 | 4.875% | 625,000 | 664,872 | |
Duke Energy Indiana LLC | ||||
05/15/2046 | 3.750% | 330,000 | 360,173 | |
10/01/2049 | 3.250% | 2,375,000 | 2,428,339 | |
Duke Energy Ohio, Inc. | ||||
06/01/2030 | 2.125% | 446,000 | 443,751 | |
06/15/2046 | 3.700% | 3,165,000 | 3,440,711 | |
Duke Energy Progress LLC | ||||
05/15/2042 | 4.100% | 1,748,000 | 2,009,534 | |
03/15/2043 | 4.100% | 955,000 | 1,100,529 | |
03/30/2044 | 4.375% | 770,000 | 920,606 | |
08/15/2045 | 4.200% | 500,000 | 585,689 | |
10/15/2046 | 3.700% | 330,000 | 360,526 | |
09/15/2047 | 3.600% | 940,000 | 1,011,172 | |
Duquesne Light Holdings, Inc.(a) | ||||
10/01/2030 | 2.532% | 583,000 | 568,553 | |
Enel Finance International NV(a) | ||||
04/06/2028 | 3.500% | 2,370,000 | 2,570,393 | |
EnfraGen Energia Sur SA/Prime Energia SpA(a) | ||||
12/30/2030 | 5.375% | 425,000 | 422,267 | |
Entergy Arkansas LLC | ||||
06/15/2051 | 2.650% | 2,327,000 | 2,131,631 | |
Entergy Corp. | ||||
09/15/2025 | 0.900% | 3,770,000 | 3,728,340 | |
06/15/2030 | 2.800% | 439,000 | 450,712 | |
06/15/2031 | 2.400% | 2,528,000 | 2,494,856 | |
Entergy Louisiana LLC | ||||
10/01/2026 | 2.400% | 2,500,000 | 2,624,253 | |
03/15/2051 | 2.900% | 475,000 | 453,065 | |
Entergy Mississippi LLC | ||||
06/01/2049 | 3.850% | 1,250,000 | 1,389,409 | |
06/01/2051 | 3.500% | 619,000 | 656,032 | |
Entergy Texas, Inc. | ||||
12/01/2027 | 3.450% | 2,510,000 | 2,715,725 | |
03/30/2029 | 4.000% | 362,000 | 405,061 | |
Evergy Metro, Inc. | ||||
06/01/2030 | 2.250% | 594,000 | 597,224 | |
Eversource Energy | ||||
08/15/2025 | 0.800% | 687,000 | 679,995 | |
Exelon Corp. | ||||
04/15/2030 | 4.050% | 85,000 | 95,536 | |
04/15/2046 | 4.450% | 1,050,000 | 1,229,259 | |
04/15/2050 | 4.700% | 130,000 | 157,896 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Junior Subordinated | ||||
06/01/2022 | 3.497% | 4,600,000 | 4,729,380 | |
Exelon Generation Co. LLC | ||||
10/01/2041 | 5.750% | 2,000,000 | 2,280,484 | |
FirstEnergy Transmission LLC(a) | ||||
09/15/2028 | 2.866% | 3,224,000 | 3,296,483 | |
Fortis, Inc. | ||||
10/04/2026 | 3.055% | 477,000 | 513,716 | |
Georgia Power Co. | ||||
09/15/2024 | 2.200% | 880,000 | 919,941 | |
Gulf Power Co. | ||||
10/01/2044 | 4.550% | 1,350,000 | 1,481,330 | |
Idaho Power Co. | ||||
03/01/2048 | 4.200% | 525,000 | 617,150 | |
Indiana Michigan Power Co. | ||||
05/01/2051 | 3.250% | 3,649,000 | 3,672,765 | |
Inkia Energy Ltd.(a) | ||||
11/09/2027 | 5.875% | 1,675,000 | 1,700,397 | |
Interstate Power and Light, Co. | ||||
12/01/2024 | 3.250% | 821,000 | 886,571 | |
06/01/2030 | 2.300% | 683,000 | 683,826 | |
Jersey Central Power & Light Co.(a) | ||||
04/01/2024 | 4.700% | 1,600,000 | 1,744,021 | |
01/15/2026 | 4.300% | 2,000,000 | 2,217,645 | |
Jersey Central Power & Light Co. | ||||
06/01/2037 | 6.150% | 1,985,000 | 2,504,373 | |
Kallpa Generacion SA(a) | ||||
08/16/2027 | 4.125% | 1,000,000 | 1,026,481 | |
Kansas City Power & Light Co. | ||||
08/15/2025 | 3.650% | 665,000 | 731,107 | |
Kentucky Utilities Co. | ||||
06/01/2050 | 3.300% | 337,000 | 344,038 | |
Metropolitan Edison Co.(a) | ||||
01/15/2029 | 4.300% | 2,000,000 | 2,219,027 | |
Mississippi Power Co. | ||||
03/15/2042 | 4.250% | 430,000 | 494,551 | |
Mong Duong Finance Holdings BV(a) | ||||
05/07/2029 | 5.125% | 550,000 | 549,556 | |
Monongahela Power Co.(a) | ||||
05/15/2027 | 3.550% | 641,000 | 707,595 | |
Narragansett Electric Co. (The)(a) | ||||
04/09/2030 | 3.395% | 2,191,000 | 2,365,268 | |
National Rural Utilities Cooperative Finance Corp. | ||||
02/07/2024 | 2.950% | 3,765,000 | 3,992,330 | |
03/15/2030 | 2.400% | 1,398,000 | 1,427,925 | |
06/15/2031 | 1.650% | 1,390,000 | 1,305,993 | |
03/15/2049 | 4.300% | 2,175,000 | 2,640,068 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 29 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
National Rural Utilities Cooperative Finance Corp.(k) | ||||
04/30/2043 | 4.750% | 1,587,000 | 1,654,069 | |
Subordinated | ||||
04/20/2046 | 5.250% | 1,750,000 | 1,909,022 | |
New England Power Co.(a) | ||||
10/06/2050 | 2.807% | 3,745,000 | 3,349,661 | |
NextEra Energy Capital Holdings, Inc. | ||||
09/01/2021 | 2.403% | 2,600,000 | 2,614,032 | |
03/01/2023 | 0.650% | 8,480,000 | 8,524,485 | |
06/15/2023 | 3.625% | 3,000,000 | 3,165,326 | |
NextEra Energy Capital Holdings, Inc.(b) | ||||
3-month USD LIBOR + 0.270% 02/22/2023 | 0.420% | 3,000,000 | 3,000,790 | |
NRG Energy, Inc.(a) | ||||
12/02/2025 | 2.000% | 560,000 | 570,295 | |
12/02/2027 | 2.450% | 2,420,000 | 2,436,101 | |
02/15/2029 | 3.375% | 325,000 | 313,663 | |
02/15/2031 | 3.625% | 940,000 | 902,388 | |
NRG Energy, Inc. | ||||
01/15/2027 | 6.625% | 3,000,000 | 3,112,698 | |
Oglethorpe Power Corp. | ||||
08/01/2050 | 3.750% | 692,000 | 706,082 | |
Pacific Gas and Electric Co.(b) | ||||
3-month USD LIBOR + 1.375% 11/15/2021 | 1.531% | 5,410,000 | 5,415,967 | |
Pacific Gas and Electric Co. | ||||
04/15/2042 | 4.450% | 583,000 | 563,754 | |
03/15/2045 | 4.300% | 984,000 | 920,998 | |
03/15/2046 | 4.250% | 440,000 | 408,737 | |
PacifiCorp | ||||
03/15/2051 | 3.300% | 680,000 | 694,216 | |
PECO Energy Co. | ||||
10/01/2044 | 4.150% | 290,000 | 340,761 | |
Pennsylvania Electric Co.(a) | ||||
03/15/2028 | 3.250% | 1,990,000 | 2,064,128 | |
PPL Capital Funding, Inc. | ||||
03/15/2024 | 3.950% | 1,200,000 | 1,297,802 | |
04/15/2030 | 4.125% | 1,321,000 | 1,498,393 | |
PSEG Power LLC | ||||
06/01/2023 | 3.850% | 2,770,000 | 2,949,305 | |
Public Service Enterprise Group, Inc. | ||||
08/15/2025 | 0.800% | 666,000 | 661,179 | |
08/15/2030 | 1.600% | 586,000 | 550,439 | |
Sierra Pacific Power Co. | ||||
05/01/2026 | 2.600% | 758,000 | 807,674 | |
South Carolina Electric & Gas Co. | ||||
05/15/2033 | 5.300% | 701,000 | 901,013 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Southern Co. (The) | ||||
07/01/2036 | 4.250% | 595,000 | 682,826 | |
Southern Co. (The)(k) | ||||
01/15/2051 | 4.000% | 1,210,000 | 1,282,133 | |
09/15/2051 | 3.750% | 6,353,000 | 6,458,338 | |
Southwestern Electric Power Co. | ||||
03/15/2026 | 1.650% | 4,257,000 | 4,327,748 | |
10/01/2026 | 2.750% | 6,450,000 | 6,860,774 | |
Tampa Electric Co. | ||||
09/15/2022 | 2.600% | 2,000,000 | 2,045,352 | |
05/15/2044 | 4.350% | 450,000 | 528,319 | |
Toledo Edison Co. (The) | ||||
05/15/2037 | 6.150% | 951,000 | 1,274,663 | |
Tucson Electric Power Co. | ||||
03/15/2023 | 3.850% | 2,480,000 | 2,607,408 | |
12/01/2048 | 4.850% | 275,000 | 346,079 | |
06/15/2050 | 4.000% | 2,690,000 | 3,017,800 | |
Union Electric Co. | ||||
09/15/2042 | 3.900% | 613,000 | 681,670 | |
Virginia Electric & Power Co. | ||||
09/01/2022 | 3.450% | 1,500,000 | 1,545,698 | |
03/15/2027 | 3.500% | 1,500,000 | 1,667,002 | |
09/15/2047 | 3.800% | 1,000,000 | 1,111,337 | |
Vistra Operations Co. LLC(a) | ||||
07/15/2024 | 3.550% | 2,505,000 | 2,635,184 | |
02/15/2027 | 5.625% | 2,950,000 | 3,066,241 | |
07/31/2027 | 5.000% | 2,000,000 | 2,046,581 | |
05/01/2029 | 4.375% | 1,125,000 | 1,131,214 | |
Vistra Operations Co., LLC(a) | ||||
01/30/2027 | 3.700% | 885,000 | 931,198 | |
WEC Energy Group, Inc. | ||||
10/15/2027 | 1.375% | 1,135,000 | 1,109,982 | |
Westar Energy, Inc. | ||||
09/01/2049 | 3.250% | 726,000 | 740,659 | |
Wisconsin Public Service Corp. | ||||
12/01/2042 | 3.671% | 845,000 | 914,046 | |
Total | 296,477,724 | |||
Environmental 0.1% | ||||
GFL Environmental, Inc.(a) | ||||
08/01/2025 | 3.750% | 435,000 | 445,188 | |
12/15/2026 | 5.125% | 673,000 | 707,253 | |
09/01/2028 | 3.500% | 1,925,000 | 1,871,461 | |
Republic Services, Inc. | ||||
02/15/2031 | 1.450% | 734,000 | 676,710 | |
02/15/2032 | 1.750% | 630,000 | 589,629 | |
Waste Connections, Inc. | ||||
04/01/2050 | 3.050% | 885,000 | 865,849 |
30 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Waste Management, Inc. | ||||
03/15/2031 | 1.500% | 3,054,000 | 2,837,831 | |
Waste Pro USA, Inc.(a) | ||||
02/15/2026 | 5.500% | 945,000 | 961,939 | |
Total | 8,955,860 | |||
Finance Companies 0.9% | ||||
AerCap Ireland Capital DAC/Global Aviation Trust | ||||
05/26/2022 | 3.500% | 1,305,000 | 1,338,959 | |
01/16/2024 | 4.875% | 3,745,000 | 4,087,188 | |
02/15/2024 | 3.150% | 4,340,000 | 4,545,535 | |
01/30/2026 | 1.750% | 845,000 | 832,015 | |
07/21/2027 | 3.650% | 465,000 | 494,080 | |
Air Lease Corp. | ||||
02/15/2024 | 0.700% | 2,750,000 | 2,738,513 | |
03/01/2025 | 3.250% | 2,500,000 | 2,654,235 | |
08/15/2026 | 1.875% | 5,455,000 | 5,460,239 | |
Aircastle Ltd.(a) | ||||
01/26/2028 | 2.850% | 3,335,000 | 3,279,714 | |
Ares Capital Corp. | ||||
03/01/2025 | 4.250% | 210,000 | 228,300 | |
07/15/2025 | 3.250% | 4,520,000 | 4,760,805 | |
07/15/2026 | 2.150% | 410,000 | 408,385 | |
Aviation Capital Group LLC(a) | ||||
05/01/2023 | 3.875% | 3,391,000 | 3,553,831 | |
01/30/2024 | 4.375% | 483,000 | 518,755 | |
12/15/2024 | 5.500% | 1,069,000 | 1,205,607 | |
Avolon Holdings Funding Ltd.(a) | ||||
05/01/2022 | 3.625% | 383,000 | 391,815 | |
10/01/2023 | 5.125% | 1,110,000 | 1,197,415 | |
07/01/2024 | 3.950% | 750,000 | 798,221 | |
02/15/2025 | 2.875% | 3,181,000 | 3,274,381 | |
02/21/2026 | 2.125% | 422,000 | 415,361 | |
04/15/2026 | 4.250% | 2,875,000 | 3,097,894 | |
02/21/2028 | 2.750% | 3,241,000 | 3,159,287 | |
FS KKR Capital Corp. | ||||
02/01/2025 | 4.125% | 750,000 | 795,157 | |
01/15/2026 | 3.400% | 2,420,000 | 2,500,342 | |
GE Capital Funding LLC | ||||
05/15/2027 | 4.050% | 3,130,000 | 3,543,476 | |
05/15/2030 | 4.400% | 4,036,000 | 4,644,820 | |
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2025 | 3.373% | 750,000 | 820,372 | |
11/15/2035 | 4.418% | 6,776,000 | 7,916,071 | |
Main Street Capital Corp. | ||||
05/01/2024 | 5.200% | 1,007,000 | 1,103,018 | |
07/14/2026 | 3.000% | 1,335,000 | 1,369,819 | |
Navient Corp. | ||||
03/15/2027 | 5.000% | 1,220,000 | 1,241,387 | |
Oaktree Specialty Lending Corp. | ||||
02/25/2025 | 3.500% | 1,135,000 | 1,183,943 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Owl Rock Capital Corp. | ||||
01/15/2026 | 4.250% | 4,440,000 | 4,804,031 | |
07/15/2026 | 3.400% | 2,450,000 | 2,563,869 | |
Park Aerospace Holdings Ltd.(a) | ||||
03/15/2023 | 4.500% | 3,105,000 | 3,263,506 | |
02/15/2024 | 5.500% | 1,355,000 | 1,490,477 | |
Quicken Loans LLC/Co-Issuer, Inc.(a) | ||||
03/01/2031 | 3.875% | 1,335,000 | 1,305,680 | |
Quicken Loans, Inc.(a) | ||||
01/15/2028 | 5.250% | 1,230,000 | 1,285,594 | |
Springleaf Finance Corp. | ||||
03/15/2024 | 6.125% | 2,600,000 | 2,800,002 | |
USAA Capital Corp.(a) | ||||
05/01/2030 | 2.125% | 1,318,000 | 1,310,016 | |
Total | 92,382,115 | |||
Food and Beverage 1.1% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2036 | 4.700% | 1,492,000 | 1,779,552 | |
02/01/2046 | 4.900% | 12,360,000 | 14,914,405 | |
Anheuser-Busch InBev Finance, Inc. | ||||
02/01/2026 | 3.650% | 1,735,000 | 1,922,801 | |
Anheuser-Busch InBev Worldwide, Inc. | ||||
01/23/2039 | 5.450% | 872,000 | 1,109,620 | |
04/15/2048 | 4.600% | 1,180,000 | 1,371,568 | |
01/23/2049 | 5.550% | 2,915,000 | 3,821,262 | |
Bacardi Ltd.(a) | ||||
05/15/2038 | 5.150% | 4,315,000 | 5,192,864 | |
05/15/2048 | 5.300% | 1,060,000 | 1,336,390 | |
Bimbo Bakeries USA, Inc.(a) | ||||
05/17/2051 | 4.000% | 1,530,000 | 1,585,326 | |
Brown-Forman Corp. | ||||
04/15/2025 | 3.500% | 1,645,000 | 1,797,282 | |
Bunge Ltd. Finance Corp. | ||||
03/15/2024 | 4.350% | 4,470,000 | 4,893,273 | |
05/14/2031 | 2.750% | 8,858,000 | 8,869,718 | |
Campbell Soup Co. | ||||
04/24/2050 | 3.125% | 3,875,000 | 3,668,451 | |
Cargill, Inc.(a) | ||||
05/23/2049 | 3.875% | 1,140,000 | 1,290,634 | |
Central America Botling Corp.(a) | ||||
01/31/2027 | 5.750% | 1,600,000 | 1,685,944 | |
Coca-Cola Co. (The) | ||||
03/05/2031 | 2.000% | 1,260,000 | 1,252,757 | |
01/05/2032 | 2.250% | 2,720,000 | 2,736,208 | |
06/01/2040 | 2.500% | 407,000 | 388,608 | |
05/05/2041 | 2.875% | 1,909,000 | 1,903,737 | |
03/05/2051 | 3.000% | 2,690,000 | 2,664,550 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 31 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Coca-Cola Europacific Partners PLC(a) | ||||
05/03/2024 | 0.800% | 6,295,000 | 6,302,938 | |
Constellation Brands, Inc. | ||||
12/01/2025 | 4.750% | 600,000 | 693,867 | |
Diageo Capital PLC | ||||
04/29/2032 | 2.125% | 173,000 | 170,604 | |
General Mills, Inc. | ||||
04/17/2025 | 4.000% | 1,500,000 | 1,666,401 | |
Hormel Foods Corp.(c) | ||||
06/03/2051 | 3.050% | 1,575,000 | 1,575,126 | |
JBS USA LUX SA/USA Finance, Inc.(a) | ||||
02/15/2028 | 6.750% | 3,000,000 | 3,285,983 | |
Kraft Heinz Foods Co. | ||||
01/26/2039 | 6.875% | 825,000 | 1,136,484 | |
10/01/2039 | 4.625% | 2,070,000 | 2,319,068 | |
06/04/2042 | 5.000% | 3,000,000 | 3,491,848 | |
06/01/2046 | 4.375% | 535,000 | 573,538 | |
10/01/2049 | 4.875% | 4,985,000 | 5,720,466 | |
Mars, Inc.(a) | ||||
07/16/2026 | 0.875% | 836,000 | 820,880 | |
07/16/2040 | 2.375% | 1,000,000 | 925,500 | |
04/01/2054 | 4.125% | 1,445,000 | 1,714,631 | |
Mondelez International, Inc. | ||||
04/13/2030 | 2.750% | 1,240,000 | 1,286,556 | |
Pilgrim’s Pride Corp.(a) | ||||
04/15/2031 | 4.250% | 5,390,000 | 5,449,561 | |
Post Holdings, Inc.(a) | ||||
03/01/2027 | 5.750% | 1,500,000 | 1,571,220 | |
12/15/2029 | 5.500% | 2,275,000 | 2,429,721 | |
04/15/2030 | 4.625% | 335,000 | 337,238 | |
09/15/2031 | 4.500% | 1,500,000 | 1,482,763 | |
Primo Water Holdings, Inc.(a) | ||||
04/30/2029 | 4.375% | 2,550,000 | 2,553,225 | |
Smithfield Foods, Inc.(a) | ||||
10/15/2030 | 3.000% | 2,020,000 | 2,024,240 | |
Viterra Finance BV(a) | ||||
04/21/2026 | 2.000% | 5,460,000 | 5,447,831 | |
Total | 117,164,639 | |||
Foreign Agencies 0.0% | ||||
PT Bank Mandiri Persero Tbk(a) | ||||
04/11/2024 | 3.750% | 850,000 | 902,353 | |
Gaming 0.3% | ||||
Caesars Resort Collection LLC/CRC Finco, Inc.(a) | ||||
10/15/2025 | 5.250% | 2,375,000 | 2,393,507 | |
Churchill Downs, Inc.(a) | ||||
04/01/2027 | 5.500% | 2,490,000 | 2,589,604 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Colt Merger Sub, Inc.(a) | ||||
07/01/2025 | 6.250% | 691,000 | 728,622 | |
GLP Capital LP/Financing II, Inc. | ||||
11/01/2023 | 5.375% | 740,000 | 810,422 | |
09/01/2024 | 3.350% | 610,000 | 647,139 | |
06/01/2025 | 5.250% | 1,609,000 | 1,817,783 | |
04/15/2026 | 5.375% | 4,615,000 | 5,274,530 | |
01/15/2029 | 5.300% | 765,000 | 882,279 | |
01/15/2030 | 4.000% | 1,670,000 | 1,774,978 | |
Golden Entertainment, Inc.(a) | ||||
04/15/2026 | 7.625% | 1,720,000 | 1,838,367 | |
International Game Technology PLC(a) | ||||
02/15/2025 | 6.500% | 1,775,000 | 1,971,899 | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc. | ||||
09/01/2026 | 4.500% | 1,915,000 | 2,023,813 | |
MGM Resorts International | ||||
05/01/2025 | 6.750% | 1,800,000 | 1,928,521 | |
09/01/2026 | 4.625% | 188,000 | 197,777 | |
04/15/2027 | 5.500% | 2,615,000 | 2,851,666 | |
Scientific Games International, Inc.(a) | ||||
07/01/2025 | 8.625% | 2,200,000 | 2,397,907 | |
VICI Properties LP/Note Co., Inc.(a) | ||||
02/15/2027 | 3.750% | 2,000,000 | 2,022,998 | |
Total | 32,151,812 | |||
Health Care 1.7% | ||||
Abbott Laboratories | ||||
11/30/2023 | 3.400% | 2,733,000 | 2,926,220 | |
11/30/2046 | 4.900% | 218,000 | 289,443 | |
Agilent Technologies, Inc. | ||||
03/12/2031 | 2.300% | 3,000,000 | 2,959,924 | |
AmerisourceBergen Corp. | ||||
03/15/2031 | 2.700% | 7,505,000 | 7,647,674 | |
AMN Healthcare, Inc.(a) | ||||
10/01/2027 | 4.625% | 595,000 | 616,089 | |
04/15/2029 | 4.000% | 765,000 | 766,714 | |
Barnabas Health, Inc. | ||||
07/01/2028 | 4.000% | 3,200,000 | 3,644,758 | |
Becton Dickinson and Co.(b) | ||||
3-month USD LIBOR + 1.030% 06/06/2022 | 1.206% | 2,963,000 | 2,988,490 | |
Becton Dickinson and Co. | ||||
06/06/2022 | 2.894% | 295,000 | 302,104 | |
12/15/2024 | 3.734% | 158,000 | 172,883 | |
05/15/2044 | 4.875% | 1,555,000 | 1,801,827 | |
Cardinal Health, Inc. | ||||
06/15/2024 | 3.079% | 1,846,000 | 1,968,420 |
32 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cigna Corp. | ||||
07/15/2023 | 3.750% | 1,388,000 | 1,482,184 | |
11/15/2025 | 4.125% | 2,149,000 | 2,422,965 | |
03/01/2027 | 3.400% | 2,190,000 | 2,408,220 | |
10/15/2028 | 4.375% | 2,000,000 | 2,309,988 | |
08/15/2038 | 4.800% | 3,445,000 | 4,184,820 | |
07/15/2046 | 4.800% | 2,400,000 | 2,936,908 | |
12/15/2048 | 4.900% | 5,344,000 | 6,682,491 | |
03/15/2050 | 3.400% | 585,000 | 588,554 | |
03/15/2051 | 3.400% | 1,215,000 | 1,219,551 | |
CommonSpirit Health | ||||
10/01/2025 | 1.547% | 3,000,000 | 3,042,787 | |
10/01/2030 | 2.782% | 1,485,000 | 1,523,423 | |
11/01/2042 | 4.350% | 500,000 | 569,111 | |
CVS Health Corp. | ||||
07/20/2025 | 3.875% | 1,007,000 | 1,116,376 | |
03/25/2028 | 4.300% | 2,620,000 | 3,004,251 | |
07/20/2035 | 4.875% | 1,000,000 | 1,206,835 | |
03/25/2038 | 4.780% | 8,749,000 | 10,457,794 | |
04/01/2040 | 4.125% | 1,970,000 | 2,197,386 | |
08/21/2040 | 2.700% | 1,033,000 | 965,098 | |
07/20/2045 | 5.125% | 946,000 | 1,187,456 | |
03/25/2048 | 5.050% | 12,541,000 | 15,577,103 | |
DaVita, Inc.(a) | ||||
06/01/2030 | 4.625% | 1,130,000 | 1,153,930 | |
02/15/2031 | 3.750% | 1,640,000 | 1,572,326 | |
Dentsply Sirona, Inc. | ||||
06/01/2030 | 3.250% | 1,499,000 | 1,584,352 | |
DH Europe Finance II SARL | ||||
11/15/2024 | 2.200% | 3,735,000 | 3,921,157 | |
Duke University Health System, Inc. | ||||
06/01/2047 | 3.920% | 875,000 | 1,019,799 | |
Fresenius Medical Care US Finance III, Inc.(a) | ||||
12/01/2026 | 1.875% | 3,805,000 | 3,830,843 | |
12/01/2031 | 3.000% | 7,635,000 | 7,671,914 | |
HCA, Inc. | ||||
05/01/2023 | 4.750% | 175,000 | 188,643 | |
02/01/2025 | 5.375% | 2,900,000 | 3,243,047 | |
04/15/2025 | 5.250% | 4,199,000 | 4,841,460 | |
06/15/2026 | 5.250% | 1,830,000 | 2,130,134 | |
02/15/2027 | 4.500% | 1,705,000 | 1,934,968 | |
06/15/2029 | 4.125% | 882,000 | 989,358 | |
09/01/2030 | 3.500% | 2,375,000 | 2,439,794 | |
06/15/2039 | 5.125% | 1,500,000 | 1,833,129 | |
06/15/2047 | 5.500% | 1,935,000 | 2,439,329 | |
06/15/2049 | 5.250% | 3,525,000 | 4,367,083 | |
Illumina, Inc. | ||||
03/23/2031 | 2.550% | 953,000 | 948,758 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Laboratory Corp. of America Holdings | ||||
08/23/2022 | 3.750% | 1,576,000 | 1,626,755 | |
11/01/2023 | 4.000% | 342,000 | 366,804 | |
09/01/2024 | 3.250% | 2,657,000 | 2,856,928 | |
06/01/2031 | 2.700% | 4,420,000 | 4,447,437 | |
Mayo Clinic | ||||
11/15/2052 | 4.128% | 750,000 | 926,524 | |
McKesson Corp. | ||||
12/03/2025 | 0.900% | 1,030,000 | 1,020,449 | |
Memorial Sloan-Kettering Cancer Center | ||||
07/01/2052 | 4.125% | 4,630,000 | 5,667,739 | |
New York and Presbyterian Hospital (The) | ||||
08/01/2116 | 4.763% | 785,000 | 1,027,138 | |
08/01/2119 | 3.954% | 305,000 | 341,443 | |
NYU Langone Hospitals | ||||
07/01/2043 | 5.750% | 705,000 | 978,396 | |
PerkinElmer, Inc. | ||||
09/15/2029 | 3.300% | 1,878,000 | 2,010,052 | |
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc.(a) | ||||
12/01/2026 | 9.750% | 2,875,000 | 3,098,750 | |
Smith & Nephew PLC | ||||
10/14/2030 | 2.032% | 2,723,000 | 2,617,959 | |
STERIS Irish FinCo Unlimited, Co. | ||||
03/15/2031 | 2.700% | 448,000 | 450,655 | |
03/15/2051 | 3.750% | 2,304,000 | 2,364,348 | |
Surgery Center Holdings, Inc.(a) | ||||
07/01/2025 | 6.750% | 43,000 | 43,748 | |
Tenet Healthcare Corp. | ||||
07/15/2024 | 4.625% | 1,301,000 | 1,318,186 | |
05/01/2025 | 5.125% | 2,500,000 | 2,535,100 | |
Tenet Healthcare Corp.(a) | ||||
11/01/2027 | 5.125% | 4,470,000 | 4,666,554 | |
10/01/2028 | 6.125% | 2,500,000 | 2,609,285 | |
Tenet Healthcare Corp.(a),(c) | ||||
06/01/2029 | 4.250% | 1,285,000 | 1,285,001 | |
Texas Health Resources | ||||
11/15/2055 | 4.330% | 700,000 | 879,568 | |
Thermo Fisher Scientific, Inc. | ||||
10/01/2029 | 2.600% | 445,000 | 461,541 | |
Universal Health Services, Inc.(a) | ||||
10/15/2030 | 2.650% | 2,485,000 | 2,466,566 | |
Total | 183,344,797 | |||
Healthcare Insurance 0.4% | ||||
Aetna, Inc. | ||||
06/15/2036 | 6.625% | 784,000 | 1,122,897 | |
05/15/2042 | 4.500% | 1,713,000 | 1,997,716 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 33 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Anthem, Inc. | ||||
09/15/2029 | 2.875% | 1,084,000 | 1,140,352 | |
01/15/2044 | 5.100% | 1,185,000 | 1,509,595 | |
03/15/2051 | 3.600% | 2,670,000 | 2,821,427 | |
Centene Corp.(a) | ||||
08/15/2026 | 5.375% | 400,000 | 418,461 | |
Centene Corp. | ||||
12/15/2027 | 4.250% | 3,855,000 | 4,049,283 | |
12/15/2029 | 4.625% | 1,175,000 | 1,270,929 | |
02/15/2030 | 3.375% | 1,200,000 | 1,212,983 | |
Health Care Service Corp., a Mutual Legal Reserve Co.(a) | ||||
06/01/2025 | 1.500% | 599,000 | 610,973 | |
Humana, Inc. | ||||
04/01/2025 | 4.500% | 1,162,000 | 1,308,206 | |
08/15/2029 | 3.125% | 1,240,000 | 1,317,027 | |
Molina Healthcare, Inc. | ||||
11/15/2022 | 5.375% | 1,231,000 | 1,289,673 | |
Molina Healthcare, Inc.(a) | ||||
06/15/2028 | 4.375% | 2,500,000 | 2,579,132 | |
11/15/2030 | 3.875% | 1,500,000 | 1,528,921 | |
UnitedHealth Group, Inc. | ||||
05/15/2026 | 1.150% | 513,000 | 514,828 | |
05/15/2031 | 2.300% | 1,411,000 | 1,423,883 | |
08/15/2039 | 3.500% | 641,000 | 695,294 | |
05/15/2041 | 3.050% | 3,427,000 | 3,501,826 | |
07/15/2045 | 4.750% | 460,000 | 586,044 | |
05/15/2050 | 2.900% | 3,750,000 | 3,635,126 | |
05/15/2051 | 3.250% | 6,851,000 | 7,056,379 | |
Wellpoint, Inc. | ||||
08/15/2024 | 3.500% | 4,089,000 | 4,431,256 | |
Total | 46,022,211 | |||
Healthcare REIT 0.2% | ||||
Diversified Healthcare Trust | ||||
06/15/2025 | 9.750% | 3,175,000 | 3,524,680 | |
Healthcare Realty Trust, Inc. | ||||
05/01/2025 | 3.875% | 440,000 | 478,345 | |
03/15/2031 | 2.050% | 1,280,000 | 1,224,464 | |
Healthcare Trust of America Holdings LP | ||||
03/15/2031 | 2.000% | 2,245,000 | 2,136,291 | |
Healthpeak Properties, Inc. | ||||
01/15/2030 | 3.000% | 1,870,000 | 1,957,926 | |
MPT Operating Partnership LP/Finance Corp. | ||||
03/15/2031 | 3.500% | 2,620,000 | 2,640,068 | |
Omega Healthcare Investors, Inc. | ||||
01/15/2025 | 4.500% | 975,000 | 1,066,282 | |
02/01/2031 | 3.375% | 2,130,000 | 2,161,335 | |
Senior Housing Properties Trust | ||||
05/01/2024 | 4.750% | 1,100,000 | 1,116,824 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ventas Realty LP | ||||
09/30/2043 | 5.700% | 234,000 | 298,261 | |
04/15/2049 | 4.875% | 1,225,000 | 1,465,376 | |
Welltower, Inc. | ||||
06/01/2031 | 2.800% | 8,255,000 | 8,366,833 | |
Total | 26,436,685 | |||
Home Construction 0.2% | ||||
Ashton Woods USA LLC/Finance Co.(a) | ||||
08/01/2025 | 6.750% | 975,000 | 1,013,355 | |
01/15/2028 | 6.625% | 1,700,000 | 1,819,282 | |
Brookfield Residential Properties, Inc./US Corp.(a) | ||||
09/15/2027 | 6.250% | 1,560,000 | 1,646,145 | |
02/15/2030 | 4.875% | 2,000,000 | 1,968,665 | |
Mattamy Group Corp.(a) | ||||
03/01/2030 | 4.625% | 4,500,000 | 4,489,947 | |
Meritage Homes Corp. | ||||
06/06/2027 | 5.125% | 2,000,000 | 2,253,617 | |
PulteGroup, Inc. | ||||
03/01/2026 | 5.500% | 737,000 | 865,837 | |
Taylor Morrison Communities, Inc.(a) | ||||
01/15/2028 | 5.750% | 2,000,000 | 2,223,879 | |
Taylor Morrison Communities, Inc./Holdings II(a) | ||||
04/15/2023 | 5.875% | 3,446,000 | 3,691,527 | |
Total | 19,972,254 | |||
Independent Energy 0.8% | ||||
Aker BP ASA(a) | ||||
01/15/2026 | 2.875% | 2,875,000 | 3,008,655 | |
01/15/2030 | 3.750% | 1,755,000 | 1,861,771 | |
Antero Resources Corp. | ||||
03/01/2025 | 5.000% | 850,000 | 871,218 | |
Apache Corp. | ||||
09/01/2040 | 5.100% | 2,560,000 | 2,632,287 | |
Ascent Resources Utica Holdings LLC/ARU Finance Corp.(a) | ||||
11/01/2026 | 7.000% | 600,000 | 619,294 | |
11/01/2027 | 9.000% | 150,000 | 205,841 | |
12/31/2028 | 8.250% | 2,500,000 | 2,720,766 | |
Burlington Resources LLC | ||||
10/15/2036 | 5.950% | 275,000 | 374,471 | |
Canadian Natural Resources Ltd. | ||||
06/30/2033 | 6.450% | 730,000 | 947,703 | |
02/01/2039 | 6.750% | 300,000 | 415,542 | |
Cimarex Energy Co. | ||||
05/15/2027 | 3.900% | 1,920,000 | 2,115,257 | |
Conoco Funding Co. | ||||
10/15/2031 | 7.250% | 2,000,000 | 2,863,951 |
34 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
ConocoPhillips(a) | ||||
10/01/2027 | 3.750% | 654,000 | 734,609 | |
02/15/2031 | 2.400% | 1,343,000 | 1,350,419 | |
Continental Resources, Inc. | ||||
04/15/2023 | 4.500% | 385,000 | 401,761 | |
06/01/2024 | 3.800% | 1,683,000 | 1,766,960 | |
01/15/2028 | 4.375% | 3,700,000 | 4,015,602 | |
Devon Energy Corp. | ||||
07/15/2041 | 5.600% | 1,875,000 | 2,265,758 | |
Diamondback Energy, Inc. | ||||
03/24/2023 | 0.900% | 1,285,000 | 1,285,351 | |
12/01/2024 | 2.875% | 4,420,000 | 4,698,907 | |
05/31/2025 | 4.750% | 3,039,000 | 3,438,071 | |
12/01/2026 | 3.250% | 2,990,000 | 3,220,188 | |
12/01/2029 | 3.500% | 1,995,000 | 2,118,212 | |
03/24/2031 | 3.125% | 5,168,000 | 5,295,403 | |
03/24/2051 | 4.400% | 510,000 | 551,381 | |
Energean Israel Finance Ltd.(a) | ||||
03/30/2026 | 4.875% | 116,000 | 120,169 | |
03/30/2028 | 5.375% | 1,890,000 | 1,963,141 | |
Flex Intermediate Holdco LLC(a) | ||||
06/30/2031 | 3.363% | 1,410,000 | 1,416,788 | |
Hess Corp. | ||||
02/15/2041 | 5.600% | 3,651,000 | 4,421,564 | |
Indigo Natural Resources LLC(a) | ||||
02/01/2029 | 5.375% | 2,600,000 | 2,613,335 | |
Newfield Exploration Co. | ||||
07/01/2024 | 5.625% | 6,305,000 | 7,010,230 | |
Occidental Petroleum Corp.(i) | ||||
10/10/2036 | 0.000% | 14,950,000 | 7,425,728 | |
Pioneer Natural Resources Co. | ||||
05/15/2023 | 0.550% | 3,235,000 | 3,245,964 | |
08/15/2030 | 1.900% | 662,000 | 625,386 | |
Range Resources Corp. | ||||
02/01/2026 | 9.250% | 2,600,000 | 2,867,673 | |
Santos Finance Ltd.(a) | ||||
04/29/2031 | 3.649% | 1,460,000 | 1,467,529 | |
WPX Energy, Inc. | ||||
09/15/2024 | 5.250% | 78,000 | 86,507 | |
06/01/2026 | 5.750% | 2,105,000 | 2,195,789 | |
Total | 85,239,181 | |||
Integrated Energy 0.3% | ||||
BP Capital Markets America, Inc. | ||||
11/28/2023 | 3.216% | 734,000 | 781,813 | |
04/14/2024 | 3.224% | 989,000 | 1,061,240 | |
08/10/2030 | 1.749% | 614,000 | 590,777 | |
02/08/2061 | 3.379% | 6,302,000 | 6,142,141 | |
BP Capital Markets PLC(k) | ||||
12/31/2059 | 4.875% | 856,000 | 923,548 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Cenovus Energy, Inc. | ||||
04/15/2027 | 4.250% | 5,000,000 | 5,555,552 | |
Chevron Corp. | ||||
05/11/2050 | 3.078% | 1,540,000 | 1,537,966 | |
Chevron USA, Inc. | ||||
10/15/2029 | 3.250% | 31,000 | 34,053 | |
08/15/2047 | 4.950% | 1,095,000 | 1,422,775 | |
Exxon Mobil Corp. | ||||
03/19/2040 | 4.227% | 690,000 | 801,850 | |
03/19/2050 | 4.327% | 2,532,000 | 3,021,649 | |
04/15/2051 | 3.452% | 5,440,000 | 5,663,548 | |
Husky Energy, Inc. | ||||
04/15/2022 | 3.950% | 3,000,000 | 3,060,400 | |
Shell International Finance BV | ||||
05/11/2025 | 3.250% | 821,000 | 897,042 | |
05/11/2035 | 4.125% | 825,000 | 967,201 | |
Total Capital International SA | ||||
06/29/2041 | 2.986% | 1,013,000 | 998,813 | |
Total | 33,460,368 | |||
Leisure 0.0% | ||||
AMC Entertainment Holdings, Inc.(a),(l) | ||||
06/15/2026 | 12.000% | 915,315 | 901,558 | |
Live Nation Entertainment, Inc.(a) | ||||
10/15/2027 | 4.750% | 763,000 | 779,284 | |
NCL Corp.,Ltd.(a) | ||||
12/15/2024 | 3.625% | 375,000 | 358,660 | |
Total | 2,039,502 | |||
Life Insurance 0.7% | ||||
AIG Global Funding(a) | ||||
09/22/2025 | 0.900% | 3,545,000 | 3,510,798 | |
Athene Global Funding(a) | ||||
05/26/2023 | 2.800% | 1,357,000 | 1,416,836 | |
04/16/2024 | 1.000% | 165,000 | 165,843 | |
11/12/2026 | 2.950% | 816,000 | 868,970 | |
03/24/2028 | 2.500% | 6,945,000 | 7,083,684 | |
Athene Global Funding(a),(b) | ||||
SOFR + 0.700% 05/24/2024 | 0.710% | 7,760,000 | 7,776,139 | |
Athene Holding Ltd. | ||||
05/25/2051 | 3.950% | 1,980,000 | 2,013,280 | |
Brighthouse Financial Global Funding(a) | ||||
04/12/2024 | 1.000% | 1,375,000 | 1,380,024 | |
Brighthouse Financial, Inc. | ||||
06/22/2047 | 4.700% | 1,997,000 | 2,160,763 | |
Empower Finance 2020 LP(a) | ||||
09/17/2027 | 1.357% | 407,000 | 402,538 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 35 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Equitable Financial Life Global Funding(a) | ||||
03/08/2028 | 1.800% | 2,475,000 | 2,446,021 | |
GA Global Funding Trust(a) | ||||
04/08/2024 | 1.000% | 5,690,000 | 5,716,609 | |
Global Atlantic Fin Co.(a) | ||||
10/15/2029 | 4.400% | 1,590,000 | 1,712,421 | |
Great-West Lifeco US Finance 2020 LP(a) | ||||
08/12/2025 | 0.904% | 4,190,000 | 4,150,922 | |
Guardian Life Global Funding(a) | ||||
11/19/2027 | 1.250% | 991,000 | 970,156 | |
Lincoln National Corp. | ||||
06/15/2040 | 7.000% | 930,000 | 1,380,837 | |
Metropolitan Life Global Funding I(a) | ||||
01/07/2031 | 1.550% | 4,670,000 | 4,377,766 | |
New York Life Insurance Co.(a) | ||||
Subordinated | ||||
05/15/2050 | 3.750% | 2,620,000 | 2,811,470 | |
Northwestern Mutual Global Funding(a),(c) | ||||
06/01/2028 | 1.700% | 1,313,000 | 1,314,178 | |
Northwestern Mutual Life Insurance Co. (The)(a) | ||||
Subordinated | ||||
09/30/2059 | 3.625% | 1,086,000 | 1,127,296 | |
Pacific Life Global Funding II(a) | ||||
04/14/2026 | 1.375% | 1,287,000 | 1,294,700 | |
Pine Street Trust II(a) | ||||
02/15/2049 | 5.568% | 1,890,000 | 2,400,898 | |
Principal Financial Group, Inc. | ||||
05/15/2023 | 3.125% | 667,000 | 701,677 | |
Reliance Standard Life Global Funding II(a) | ||||
09/19/2023 | 3.850% | 4,195,000 | 4,498,299 | |
05/07/2025 | 2.750% | 4,340,000 | 4,583,167 | |
Teachers Insurance & Annuity Association of America(a) | ||||
Subordinated | ||||
09/15/2044 | 4.900% | 2,040,000 | 2,538,532 | |
05/15/2047 | 4.270% | 4,785,000 | 5,501,707 | |
05/15/2050 | 3.300% | 3,980,000 | 3,943,587 | |
Unum Group | ||||
12/15/2049 | 4.500% | 1,490,000 | 1,562,949 | |
Total | 79,812,067 | |||
Lodging 0.1% | ||||
Choice Hotels International, Inc. | ||||
12/01/2029 | 3.700% | 720,000 | 771,859 | |
Marriott International, Inc. | ||||
12/01/2023 | 4.150% | 3,885,000 | 4,172,350 | |
10/15/2032 | 3.500% | 3,400,000 | 3,560,998 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wyndham Hotels & Resorts, Inc.(a) | ||||
08/15/2028 | 4.375% | 2,555,000 | 2,611,499 | |
Total | 11,116,706 | |||
Media and Entertainment 0.4% | ||||
Activision Blizzard, Inc. | ||||
09/15/2050 | 2.500% | 2,920,000 | 2,507,554 | |
CBS Corp. | ||||
05/15/2033 | 5.500% | 1,500,000 | 1,877,387 | |
Diamond Sports Group LLC/Finance Co.(a) | ||||
08/15/2026 | 5.375% | 3,985,000 | 2,957,399 | |
Discovery Communications LLC | ||||
03/20/2023 | 2.950% | 1,543,000 | 1,607,542 | |
09/20/2047 | 5.200% | 2,609,000 | 3,068,738 | |
05/15/2049 | 5.300% | 2,065,000 | 2,469,176 | |
05/15/2050 | 4.650% | 2,890,000 | 3,222,520 | |
Discovery Communications LLC(a) | ||||
09/15/2055 | 4.000% | 3,568,000 | 3,564,597 | |
Gray Television, Inc.(a) | ||||
05/15/2027 | 7.000% | 2,350,000 | 2,546,843 | |
Interpublic Group of Companies, Inc. (The) | ||||
10/01/2021 | 3.750% | 891,000 | 901,100 | |
04/15/2024 | 4.200% | 345,000 | 377,691 | |
03/01/2041 | 3.375% | 1,350,000 | 1,349,861 | |
Sinclair Television Group, Inc.(a) | ||||
02/15/2027 | 5.125% | 2,620,000 | 2,622,394 | |
TEGNA, Inc. | ||||
03/15/2028 | 4.625% | 755,000 | 771,427 | |
09/15/2029 | 5.000% | 1,655,000 | 1,691,294 | |
Viacom, Inc. | ||||
04/30/2036 | 6.875% | 1,955,000 | 2,746,222 | |
04/01/2044 | 5.250% | 2,312,000 | 2,792,446 | |
Walt Disney Co. (The) | ||||
01/13/2031 | 2.650% | 1,260,000 | 1,303,607 | |
03/15/2033 | 6.550% | 1,000,000 | 1,400,929 | |
01/13/2051 | 3.600% | 940,000 | 1,013,270 | |
Total | 40,791,997 | |||
Metals and Mining 0.3% | ||||
Anglo American Capital PLC(a) | ||||
05/14/2025 | 4.875% | 505,000 | 573,119 | |
03/17/2028 | 2.250% | 3,020,000 | 3,026,981 | |
04/01/2030 | 5.625% | 149,000 | 181,189 | |
First Quantum Minerals Ltd.(a) | ||||
04/01/2025 | 7.500% | 2,800,000 | 2,905,825 | |
FMG Resources August 2006 Pty Ltd.(a) | ||||
04/01/2031 | 4.375% | 1,705,000 | 1,779,580 | |
Freeport-McMoRan, Inc. | ||||
03/01/2030 | 4.250% | 2,285,000 | 2,456,875 |
36 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Glencore Funding LLC(a) | ||||
03/12/2024 | 4.125% | 1,375,000 | 1,489,307 | |
Kinross Gold Corp. | ||||
07/15/2027 | 4.500% | 1,239,000 | 1,424,944 | |
Newcrest Finance Pty Ltd.(a) | ||||
05/13/2030 | 3.250% | 412,000 | 437,281 | |
05/13/2050 | 4.200% | 330,000 | 366,208 | |
Newmont Corp. | ||||
10/01/2030 | 2.250% | 3,784,000 | 3,742,361 | |
Novelis Corp.(a) | ||||
01/30/2030 | 4.750% | 2,535,000 | 2,663,601 | |
Southern Copper Corp. | ||||
11/08/2022 | 3.500% | 130,000 | 134,915 | |
04/23/2025 | 3.875% | 600,000 | 655,985 | |
Steel Dynamics, Inc. | ||||
06/15/2025 | 2.400% | 509,000 | 534,078 | |
10/15/2027 | 1.650% | 775,000 | 769,362 | |
01/15/2031 | 3.250% | 1,510,000 | 1,607,128 | |
Teck Resources Ltd. | ||||
08/15/2040 | 6.000% | 730,000 | 914,141 | |
07/15/2041 | 6.250% | 4,084,000 | 5,300,554 | |
Vedanta Resources Finance II PLC(a) | ||||
03/11/2025 | 8.950% | 200,000 | 198,995 | |
Total | 31,162,429 | |||
Midstream 1.2% | ||||
AmeriGas Partners LP/Finance Corp. | ||||
05/20/2024 | 5.625% | 2,500,000 | 2,755,852 | |
08/20/2026 | 5.875% | 2,300,000 | 2,563,386 | |
Cheniere Corpus Christi Holdings LLC | ||||
11/15/2029 | 3.700% | 1,035,000 | 1,115,807 | |
Colonial Enterprises, Inc.(a) | ||||
05/15/2030 | 3.250% | 3,505,000 | 3,762,739 | |
Colorado Interstate Gas Co. LLC/Issuing Corp.(a) | ||||
08/15/2026 | 4.150% | 2,290,000 | 2,574,209 | |
Crestwood Midstream Partners LP/Finance Corp.(a) | ||||
05/01/2027 | 5.625% | 2,595,000 | 2,673,512 | |
Enbridge, Inc.(k) | ||||
07/15/2080 | 5.750% | 1,258,000 | 1,383,132 | |
Energy Transfer Operating LP | ||||
03/15/2023 | 4.250% | 1,890,000 | 1,991,004 | |
01/15/2024 | 5.875% | 2,575,000 | 2,865,008 | |
06/01/2027 | 5.500% | 1,758,000 | 2,058,445 | |
06/15/2028 | 4.950% | 1,000,000 | 1,149,116 | |
05/15/2030 | 3.750% | 2,585,000 | 2,755,650 | |
04/15/2047 | 5.300% | 1,656,000 | 1,850,655 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Energy Transfer Partners LP | ||||
03/15/2035 | 4.900% | 170,000 | 190,097 | |
06/15/2038 | 5.800% | 670,000 | 801,783 | |
10/01/2043 | 5.950% | 280,000 | 334,399 | |
03/15/2045 | 5.150% | 2,220,000 | 2,450,598 | |
Energy Transfer Partners LP/Regency Finance Corp. | ||||
11/01/2023 | 4.500% | 2,500,000 | 2,689,381 | |
Enterprise Products Operating LLC | ||||
02/15/2024 | 3.900% | 500,000 | 541,427 | |
02/15/2025 | 3.750% | 600,000 | 657,520 | |
05/15/2046 | 4.900% | 1,400,000 | 1,663,441 | |
Enterprise Products Operating LLC(k) | ||||
08/16/2077 | 4.875% | 673,000 | 656,659 | |
Galaxy Pipeline Assets Bidco Ltd.(a) | ||||
03/31/2034 | 2.160% | 655,000 | 646,803 | |
09/30/2040 | 2.940% | 450,000 | 446,679 | |
Kinder Morgan Energy Partners LP | ||||
09/01/2024 | 4.250% | 500,000 | 552,011 | |
03/15/2032 | 7.750% | 635,000 | 884,383 | |
09/01/2039 | 6.500% | 1,000,000 | 1,357,806 | |
Magellan Midstream Partners LP | ||||
09/15/2046 | 4.250% | 320,000 | 345,963 | |
Midwest Connector Capital Co., LLC(a) | ||||
04/01/2022 | 3.625% | 3,900,000 | 3,960,804 | |
MPLX LP | ||||
12/01/2024 | 4.875% | 325,000 | 366,625 | |
06/01/2025 | 4.875% | 200,000 | 226,019 | |
03/01/2026 | 1.750% | 676,000 | 685,568 | |
03/15/2028 | 4.000% | 1,106,000 | 1,228,043 | |
08/15/2030 | 2.650% | 473,000 | 471,135 | |
03/01/2047 | 5.200% | 1,833,000 | 2,166,926 | |
12/01/2047 | 5.200% | 644,000 | 759,416 | |
04/15/2048 | 4.700% | 1,000,000 | 1,118,749 | |
02/15/2049 | 5.500% | 1,140,000 | 1,417,335 | |
NGPL PipeCo LLC(a) | ||||
08/15/2022 | 4.375% | 151,000 | 156,477 | |
08/15/2027 | 4.875% | 412,000 | 471,655 | |
Northern Natural Gas Co.(a) | ||||
10/16/2051 | 3.400% | 525,000 | 525,314 | |
ONEOK Partners LP | ||||
02/01/2041 | 6.125% | 477,000 | 597,039 | |
ONEOK, Inc. | ||||
09/15/2025 | 2.200% | 525,000 | 541,055 | |
07/13/2047 | 4.950% | 2,050,000 | 2,311,752 | |
03/15/2050 | 4.500% | 6,830,000 | 7,308,698 | |
01/15/2051 | 7.150% | 1,035,000 | 1,453,491 | |
Phillips 66 Partners LP | ||||
02/15/2045 | 4.680% | 1,300,000 | 1,445,030 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 37 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Plains All American Pipeline LP/Finance Corp. | ||||
10/15/2025 | 4.650% | 1,875,000 | 2,096,400 | |
12/15/2026 | 4.500% | 3,600,000 | 4,034,231 | |
12/15/2029 | 3.550% | 1,506,000 | 1,562,959 | |
06/01/2042 | 5.150% | 2,308,000 | 2,462,373 | |
02/15/2045 | 4.900% | 1,094,000 | 1,135,810 | |
Rockies Express Pipeline LLC(a) | ||||
07/15/2029 | 4.950% | 2,435,000 | 2,496,691 | |
05/15/2030 | 4.800% | 1,500,000 | 1,500,143 | |
Ruby Pipeline LLC(a) | ||||
04/01/2022 | 7.750% | 1,727,273 | 1,523,947 | |
Sabine Pass Liquefaction LLC | ||||
03/15/2027 | 5.000% | 4,565,000 | 5,286,697 | |
Southern Natural Gas Co. LLC | ||||
02/15/2031 | 7.350% | 2,910,000 | 3,860,727 | |
Sunoco Logistics Partners Operations LP | ||||
04/01/2044 | 5.300% | 1,285,000 | 1,422,845 | |
05/15/2045 | 5.350% | 25,000 | 28,144 | |
Tallgrass Energy Partners LP/Finance Corp.(a) | ||||
10/01/2025 | 7.500% | 1,875,000 | 2,047,192 | |
01/15/2028 | 5.500% | 142,000 | 143,356 | |
Targa Resources Partners LP/Finance Corp. | ||||
02/01/2027 | 5.375% | 512,000 | 532,483 | |
Texas Eastern Transmission LP(a) | ||||
10/15/2022 | 2.800% | 1,000,000 | 1,023,988 | |
Transcontinental Gas Pipe Line Co. LLC | ||||
05/15/2030 | 3.250% | 304,000 | 323,595 | |
03/15/2048 | 4.600% | 4,875,000 | 5,692,621 | |
Western Gas Partners LP | ||||
03/01/2048 | 5.300% | 2,430,000 | 2,493,833 | |
Williams Companies, Inc. (The) | ||||
01/15/2025 | 3.900% | 1,050,000 | 1,152,099 | |
09/15/2025 | 4.000% | 2,414,000 | 2,686,676 | |
06/15/2027 | 3.750% | 283,000 | 314,208 | |
03/15/2031 | 2.600% | 2,675,000 | 2,669,532 | |
04/15/2040 | 6.300% | 2,520,000 | 3,338,601 | |
09/15/2045 | 5.100% | 575,000 | 685,996 | |
Williams Partners LP | ||||
03/04/2024 | 4.300% | 2,787,000 | 3,049,277 | |
03/04/2044 | 5.400% | 353,000 | 430,853 | |
Total | 124,923,873 | |||
Natural Gas 0.1% | ||||
Boston Gas Co.(a) | ||||
08/01/2027 | 3.150% | 1,472,000 | 1,583,005 | |
KeySpan Corp. | ||||
11/15/2030 | 8.000% | 670,000 | 919,508 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
NiSource, Inc. | ||||
05/01/2030 | 3.600% | 683,000 | 750,293 | |
02/15/2031 | 1.700% | 795,000 | 744,762 | |
06/15/2041 | 5.950% | 409,000 | 551,530 | |
ONE Gas, Inc. | ||||
03/11/2024 | 1.100% | 1,896,000 | 1,897,502 | |
Piedmont Natural Gas Co., Inc. | ||||
06/01/2050 | 3.350% | 480,000 | 478,459 | |
Promigas SA ESP/Gases del Pacifico SAC(a) | ||||
10/16/2029 | 3.750% | 300,000 | 295,993 | |
Sempra Energy | ||||
02/01/2038 | 3.800% | 1,020,000 | 1,113,309 | |
02/01/2048 | 4.000% | 1,420,000 | 1,540,555 | |
Sempra Energy(k) | ||||
12/31/2049 | 4.875% | 792,000 | 859,762 | |
South Jersey Industries, Inc. | ||||
Junior Subordinated | ||||
04/15/2031 | 5.020% | 1,330,000 | 1,394,339 | |
Southern Co. Gas Capital Corp. | ||||
05/30/2047 | 4.400% | 470,000 | 536,979 | |
Spire Missouri, Inc. | ||||
06/01/2051 | 3.300% | 640,000 | 657,813 | |
Washington Gas Light Co. | ||||
09/15/2049 | 3.650% | 1,355,000 | 1,470,762 | |
Total | 14,794,571 | |||
Office REIT 0.2% | ||||
Alexandria Real Estate Equities, Inc. | ||||
05/18/2032 | 2.000% | 1,311,000 | 1,251,450 | |
05/18/2051 | 3.000% | 3,166,000 | 2,960,457 | |
Boston Properties LP | ||||
02/01/2023 | 3.850% | 2,500,000 | 2,620,185 | |
01/30/2031 | 3.250% | 725,000 | 763,659 | |
Columbia Property Trust Operating Partnership LP | ||||
04/01/2025 | 4.150% | 172,000 | 183,344 | |
08/15/2026 | 3.650% | 323,000 | 337,560 | |
Hudson Pacific Properties LP | ||||
11/01/2027 | 3.950% | 2,340,000 | 2,549,484 | |
Kilroy Realty LP | ||||
12/15/2024 | 3.450% | 721,000 | 773,739 | |
Office Properties Income Trust | ||||
02/01/2025 | 4.500% | 4,040,000 | 4,368,245 | |
Piedmont Operating Partnership LP | ||||
08/15/2030 | 3.150% | 2,473,000 | 2,467,770 | |
SL Green Operating Partnership LP | ||||
10/15/2022 | 3.250% | 6,055,000 | 6,250,986 |
38 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Vornado Realty LP | ||||
06/01/2026 | 2.150% | 940,000 | 949,648 | |
Total | 25,476,527 | |||
Oil Field Services 0.1% | ||||
Halliburton Co. | ||||
08/01/2023 | 3.500% | 20,000 | 21,174 | |
11/15/2025 | 3.800% | 17,000 | 18,849 | |
Schlumberger Holdings Corp.(a) | ||||
05/01/2024 | 3.750% | 631,000 | 681,981 | |
05/17/2028 | 3.900% | 2,053,000 | 2,265,759 | |
Schlumberger Investment SA(a) | ||||
08/01/2022 | 2.400% | 850,000 | 865,517 | |
Transocean Pontus Ltd.(a) | ||||
08/01/2025 | 6.125% | 924,375 | 916,826 | |
Transocean Poseidon Ltd.(a) | ||||
02/01/2027 | 6.875% | 1,115,000 | 1,088,571 | |
Transocean Proteus Ltd.(a) | ||||
12/01/2024 | 6.250% | 933,600 | 923,795 | |
USA Compression Partners LP/Finance Corp. | ||||
09/01/2027 | 6.875% | 549,000 | 575,743 | |
Total | 7,358,215 | |||
Other Financial Institutions 0.2% | ||||
Greystone Commercial Capital Trust(a),(b),(d),(e) | ||||
1-month USD LIBOR + 2.270% 05/31/2025 | 2.500% | 9,200,000 | 9,200,000 | |
LeasePlan Corp NV(a) | ||||
10/24/2024 | 2.875% | 3,440,000 | 3,624,131 | |
Mitsubishi UFJ Lease & Finance Co., Ltd.(a) | ||||
09/19/2022 | 2.652% | 3,905,000 | 4,001,166 | |
Nationstar Mortgage Holdings Inc.(a) | ||||
08/15/2028 | 5.500% | 1,150,000 | 1,138,815 | |
ORIX Corp. | ||||
12/04/2024 | 3.250% | 1,560,000 | 1,685,503 | |
Total | 19,649,615 | |||
Other Industry 0.3% | ||||
AECOM | ||||
03/15/2027 | 5.125% | 2,855,000 | 3,160,687 | |
CK Hutchison International 21 Ltd.(a) | ||||
04/15/2026 | 1.500% | 5,760,000 | 5,806,884 | |
04/15/2031 | 2.500% | 2,100,000 | 2,109,252 | |
Five Point Operating Co. LP/Capital Corp.(a) | ||||
11/15/2025 | 7.875% | 2,350,000 | 2,483,874 | |
Greystar Real Estate Partners LLC(a) | ||||
12/01/2025 | 5.750% | 2,175,000 | 2,232,131 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Howard Hughes Corp. (The)(a) | ||||
02/01/2031 | 4.375% | 750,000 | 743,334 | |
Massachusetts Institute of Technology | ||||
07/01/2114 | 4.678% | 1,768,000 | 2,439,605 | |
07/01/2116 | 3.885% | 1,850,000 | 2,154,552 | |
Northwestern University | ||||
12/01/2057 | 3.662% | 1,350,000 | 1,566,189 | |
PowerTeam Services LLC(a) | ||||
12/04/2025 | 9.033% | 194,000 | 213,962 | |
President and Fellows of Harvard College | ||||
07/15/2046 | 3.150% | 3,031,000 | 3,272,923 | |
07/15/2056 | 3.300% | 2,230,000 | 2,464,231 | |
Trustees of the University of Pennsylvania (The) | ||||
09/01/2112 | 4.674% | 1,620,000 | 2,137,930 | |
University of Southern California | ||||
10/01/2039 | 3.028% | 4,525,000 | 4,710,325 | |
Total | 35,495,879 | |||
Other REIT 0.2% | ||||
American Campus Communities Operating Partnership LP | ||||
04/15/2023 | 3.750% | 2,400,000 | 2,523,906 | |
07/01/2024 | 4.125% | 3,865,000 | 4,226,330 | |
CyrusOne LP/Finance Corp. | ||||
11/15/2024 | 2.900% | 1,000,000 | 1,060,616 | |
11/01/2030 | 2.150% | 1,475,000 | 1,387,853 | |
ESH Hospitality, Inc.(a) | ||||
10/01/2027 | 4.625% | 4,503,000 | 4,774,227 | |
Host Hotels & Resorts LP | ||||
06/15/2025 | 4.000% | 1,050,000 | 1,137,709 | |
02/01/2026 | 4.500% | 520,000 | 573,667 | |
Life Storage LP | ||||
12/15/2027 | 3.875% | 2,000,000 | 2,244,899 | |
Park Intermediate Holdings LLC/Domestic Property/Finance Co-Issuer(a) | ||||
06/01/2025 | 7.500% | 2,150,000 | 2,324,461 | |
Public Storage | ||||
02/15/2026 | 0.875% | 1,194,000 | 1,189,473 | |
WP Carey, Inc. | ||||
02/01/2031 | 2.400% | 729,000 | 713,819 | |
04/01/2033 | 2.250% | 4,080,000 | 3,845,133 | |
Total | 26,002,093 | |||
Packaging 0.2% | ||||
Amcor Flexibles North America, Inc. | ||||
05/25/2031 | 2.690% | 3,530,000 | 3,554,129 | |
Ball Corp. | ||||
11/15/2023 | 4.000% | 300,000 | 318,821 | |
03/15/2026 | 4.875% | 600,000 | 668,534 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 39 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Berry Global Escrow Corp.(a) | ||||
07/15/2026 | 4.875% | 1,680,000 | 1,772,235 | |
07/15/2027 | 5.625% | 1,440,000 | 1,524,932 | |
Berry Global, Inc. | ||||
07/15/2023 | 5.125% | 48,000 | 48,327 | |
Berry Global, Inc.(a) | ||||
01/15/2026 | 1.570% | 6,795,000 | 6,806,887 | |
Berry Global. Inc.(a) | ||||
02/15/2024 | 0.950% | 836,000 | 839,453 | |
CCL Industries, Inc.(a) | ||||
06/01/2030 | 3.050% | 1,000,000 | 1,035,681 | |
OI European Group BV(a) | ||||
03/15/2023 | 4.000% | 134,000 | 138,009 | |
Sealed Air Corp.(a) | ||||
12/01/2027 | 4.000% | 890,000 | 936,914 | |
Silgan Holdings, Inc. | ||||
02/01/2028 | 4.125% | 2,490,000 | 2,573,709 | |
Trivium Packaging Finance BV(a) | ||||
08/15/2026 | 5.500% | 2,785,000 | 2,911,253 | |
Total | 23,128,884 | |||
Paper 0.1% | ||||
Cascades, Inc./USA(a) | ||||
01/15/2028 | 5.375% | 1,180,000 | 1,225,076 | |
Celulosa Arauco y Constitucion SA | ||||
11/02/2027 | 3.875% | 700,000 | 756,885 | |
Celulosa Arauco y Constitucion SA(a) | ||||
04/30/2029 | 4.250% | 500,000 | 547,627 | |
Georgia-Pacific LLC(a) | ||||
05/15/2026 | 0.950% | 1,291,000 | 1,271,930 | |
04/30/2030 | 2.300% | 2,000,000 | 2,020,539 | |
International Paper Co. | ||||
08/15/2047 | 4.400% | 620,000 | 740,512 | |
Inversiones CMPC SA(a) | ||||
04/04/2027 | 4.375% | 1,025,000 | 1,138,189 | |
Klabin Austria GmbH(a) | ||||
01/12/2031 | 3.200% | 500,000 | 482,236 | |
Suzano Austria GmbH | ||||
01/15/2029 | 6.000% | 275,000 | 325,523 | |
01/15/2030 | 5.000% | 825,000 | 925,949 | |
01/15/2031 | 3.750% | 1,000,000 | 1,036,806 | |
WRKCo, Inc. | ||||
06/15/2033 | 3.000% | 843,000 | 873,775 | |
Total | 11,345,047 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Pharmaceuticals 1.3% | ||||
AbbVie, Inc. | ||||
11/06/2022 | 2.900% | 5,147,000 | 5,333,083 | |
11/21/2022 | 2.300% | 3,500,000 | 3,602,105 | |
03/15/2025 | 3.800% | 430,000 | 472,338 | |
11/21/2026 | 2.950% | 870,000 | 934,764 | |
03/15/2035 | 4.550% | 4,734,000 | 5,643,467 | |
05/14/2035 | 4.500% | 3,336,000 | 3,958,010 | |
05/14/2036 | 4.300% | 2,423,000 | 2,821,764 | |
11/21/2039 | 4.050% | 7,611,000 | 8,560,861 | |
10/01/2042 | 4.625% | 1,000,000 | 1,196,527 | |
11/06/2042 | 4.400% | 3,836,000 | 4,474,209 | |
05/14/2045 | 4.700% | 1,365,000 | 1,647,839 | |
05/14/2046 | 4.450% | 511,000 | 599,864 | |
11/21/2049 | 4.250% | 4,450,000 | 5,140,660 | |
Amgen, Inc. | ||||
02/21/2025 | 1.900% | 245,000 | 254,345 | |
10/01/2041 | 4.950% | 1,150,000 | 1,439,946 | |
AstraZeneca Finance LLC | ||||
05/28/2026 | 1.200% | 709,000 | 710,498 | |
05/28/2028 | 1.750% | 703,000 | 703,600 | |
05/28/2031 | 2.250% | 788,000 | 790,336 | |
AstraZeneca PLC | ||||
08/06/2030 | 1.375% | 753,000 | 706,102 | |
Bausch Health Companies, Inc.(a) | ||||
04/15/2025 | 6.125% | 650,000 | 663,865 | |
11/01/2025 | 5.500% | 500,000 | 513,175 | |
01/30/2028 | 5.000% | 1,100,000 | 1,029,345 | |
02/15/2029 | 6.250% | 2,200,000 | 2,150,904 | |
01/30/2030 | 5.250% | 3,575,000 | 3,289,416 | |
02/15/2031 | 5.250% | 1,500,000 | 1,371,398 | |
Bayer US Finance II LLC(a),(b) | ||||
3-month USD LIBOR + 0.630% 06/25/2021 | 0.831% | 1,825,000 | 1,825,549 | |
Bayer US Finance II LLC(a) | ||||
07/15/2024 | 3.375% | 3,555,000 | 3,801,789 | |
12/15/2025 | 4.250% | 1,445,000 | 1,619,848 | |
12/15/2028 | 4.375% | 4,480,000 | 5,105,880 | |
07/15/2034 | 4.200% | 844,000 | 930,688 | |
06/25/2038 | 4.625% | 1,000,000 | 1,155,546 | |
06/25/2048 | 4.875% | 4,860,000 | 5,855,986 | |
Bayer US Finance LLC(a) | ||||
10/08/2021 | 3.000% | 2,067,000 | 2,086,518 | |
10/08/2024 | 3.375% | 520,000 | 561,947 | |
Biogen, Inc. | ||||
05/01/2030 | 2.250% | 1,090,000 | 1,074,102 | |
Bristol-Myers Squibb Co. | ||||
08/15/2025 | 3.875% | 326,000 | 365,676 | |
11/13/2030 | 1.450% | 588,000 | 559,090 | |
06/15/2039 | 4.125% | 1,372,000 | 1,613,746 | |
05/15/2044 | 4.625% | 555,000 | 695,928 | |
08/15/2045 | 5.000% | 865,000 | 1,139,409 |
40 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
11/15/2047 | 4.350% | 2,060,000 | 2,504,853 | |
10/26/2049 | 4.250% | 575,000 | 694,134 | |
11/13/2050 | 2.550% | 588,000 | 536,701 | |
Gilead Sciences, Inc. | ||||
09/29/2023 | 0.750% | 501,000 | 501,662 | |
02/01/2025 | 3.500% | 376,000 | 409,811 | |
02/01/2045 | 4.500% | 395,000 | 464,879 | |
Johnson & Johnson | ||||
09/01/2025 | 0.550% | 528,000 | 524,957 | |
09/01/2027 | 0.950% | 532,000 | 525,128 | |
12/05/2033 | 4.375% | 1,975,000 | 2,456,341 | |
03/03/2037 | 3.625% | 2,280,000 | 2,616,664 | |
01/15/2038 | 3.400% | 2,790,000 | 3,099,448 | |
09/01/2040 | 2.100% | 662,000 | 610,410 | |
Mylan NV | ||||
06/15/2046 | 5.250% | 290,000 | 342,412 | |
Mylan, Inc.(a) | ||||
01/15/2023 | 3.125% | 2,480,000 | 2,577,904 | |
Mylan, Inc. | ||||
04/15/2048 | 5.200% | 4,503,000 | 5,318,664 | |
Organon Finance 1 LLC(a) | ||||
04/30/2028 | 4.125% | 2,500,000 | 2,522,922 | |
Pfizer, Inc. | ||||
05/28/2050 | 2.700% | 446,000 | 424,780 | |
Regeneron Pharmaceuticals, Inc. | ||||
09/15/2030 | 1.750% | 1,394,000 | 1,308,758 | |
Royalty Pharma PLC(a) | ||||
09/02/2025 | 1.200% | 400,000 | 397,118 | |
09/02/2027 | 1.750% | 507,000 | 502,765 | |
09/02/2030 | 2.200% | 3,868,000 | 3,729,015 | |
09/02/2040 | 3.300% | 2,212,000 | 2,149,676 | |
09/02/2050 | 3.550% | 4,122,000 | 3,974,974 | |
Shire Acquisitions Investments Ireland DAC | ||||
09/23/2023 | 2.875% | 2,640,000 | 2,773,668 | |
Takeda Pharmaceutical Co., Ltd. | ||||
03/31/2030 | 2.050% | 1,300,000 | 1,268,890 | |
07/09/2040 | 3.025% | 1,000,000 | 978,830 | |
07/09/2050 | 3.175% | 275,000 | 264,691 | |
07/09/2060 | 3.375% | 325,000 | 317,818 | |
Upjohn, Inc.(a) | ||||
06/22/2040 | 3.850% | 6,013,000 | 6,221,020 | |
06/22/2050 | 4.000% | 4,005,000 | 4,079,831 | |
Total | 140,498,847 | |||
Property & Casualty 0.6% | ||||
American Financial Group, Inc. | ||||
08/15/2026 | 3.500% | 2,675,000 | 2,922,086 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
American International Group, Inc. | ||||
02/15/2024 | 4.125% | 1,271,000 | 1,389,966 | |
04/01/2026 | 3.900% | 938,000 | 1,047,261 | |
01/15/2035 | 3.875% | 318,000 | 352,702 | |
07/16/2044 | 4.500% | 1,157,000 | 1,352,345 | |
07/10/2045 | 4.800% | 530,000 | 640,929 | |
01/15/2055 | 4.375% | 635,000 | 731,080 | |
Arch Capital Finance LLC | ||||
12/15/2046 | 5.031% | 970,000 | 1,220,906 | |
Arthur J Gallagher & Co. | ||||
05/20/2051 | 3.500% | 1,153,000 | 1,175,887 | |
Assurant, Inc. | ||||
09/27/2023 | 4.200% | 2,360,000 | 2,544,366 | |
02/22/2030 | 3.700% | 528,000 | 567,981 | |
Assured Guaranty US Holdings, Inc. | ||||
06/15/2031 | 3.150% | 2,310,000 | 2,352,874 | |
Berkshire Hathaway Finance Corp. | ||||
10/15/2030 | 1.450% | 626,000 | 602,741 | |
01/15/2049 | 4.250% | 925,000 | 1,106,400 | |
10/15/2050 | 2.850% | 410,000 | 390,550 | |
Berkshire Hathaway, Inc. | ||||
03/15/2026 | 3.125% | 4,850,000 | 5,321,998 | |
CNA Financial Corp. | ||||
08/15/2027 | 3.450% | 3,828,000 | 4,213,593 | |
Farmers Exchange Capital(a) | ||||
Subordinated | ||||
07/15/2028 | 7.050% | 800,000 | 978,908 | |
07/15/2048 | 7.200% | 1,290,000 | 1,757,260 | |
Farmers Exchange Capital II(a),(k) | ||||
Subordinated | ||||
11/01/2053 | 6.151% | 2,700,000 | 3,468,962 | |
Farmers Insurance Exchange(a) | ||||
05/01/2024 | 8.625% | 1,165,000 | 1,382,695 | |
Hartford Financial Services Group, Inc. (The) | ||||
10/15/2036 | 5.950% | 516,000 | 691,681 | |
Liberty Mutual Group, Inc.(a) | ||||
06/15/2023 | 4.250% | 275,000 | 295,308 | |
10/15/2050 | 3.951% | 2,973,000 | 3,149,101 | |
Markel Corp. | ||||
05/20/2049 | 5.000% | 5,095,000 | 6,488,892 | |
05/07/2052 | 3.450% | 5,420,000 | 5,429,118 | |
Nationwide Mutual Insurance Co.(a),(b) | ||||
Subordinated | ||||
3-month USD LIBOR + 2.290% 12/15/2024 | 2.474% | 5,725,000 | 5,705,756 | |
Travelers Companies, Inc. (The) | ||||
05/30/2047 | 4.000% | 215,000 | 252,628 | |
WR Berkley Corp. | ||||
05/12/2050 | 4.000% | 1,480,000 | 1,634,073 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 41 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
XLIT Ltd. | ||||
03/31/2045 | 5.500% | 613,000 | 810,999 | |
Subordinated | ||||
03/31/2025 | 4.450% | 1,887,000 | 2,128,745 | |
Total | 62,107,791 | |||
Railroads 0.2% | ||||
Burlington Northern Santa Fe LLC | ||||
03/15/2043 | 4.450% | 315,000 | 382,003 | |
09/01/2043 | 5.150% | 989,000 | 1,311,022 | |
08/01/2046 | 3.900% | 1,440,000 | 1,623,910 | |
Canadian Pacific Railway Ltd. | ||||
01/15/2022 | 4.500% | 600,000 | 614,948 | |
CSX Corp. | ||||
05/30/2042 | 4.750% | 500,000 | 614,703 | |
08/01/2054 | 4.500% | 245,000 | 298,375 | |
11/01/2066 | 4.250% | 2,500,000 | 2,950,988 | |
Kansas City Southern | ||||
05/01/2050 | 3.500% | 3,280,000 | 3,335,801 | |
Norfolk Southern Corp. | ||||
08/01/2025 | 3.650% | 607,000 | 668,600 | |
05/15/2121 | 4.100% | 3,110,000 | 3,223,465 | |
Union Pacific Corp. | ||||
05/20/2041 | 3.200% | 5,450,000 | 5,550,587 | |
05/20/2061 | 3.550% | 1,050,000 | 1,067,605 | |
Total | 21,642,007 | |||
Refining 0.1% | ||||
Marathon Petroleum Corp. | ||||
04/01/2024 | 5.125% | 1,225,000 | 1,237,507 | |
05/01/2025 | 4.700% | 601,000 | 681,453 | |
09/15/2044 | 4.750% | 1,056,000 | 1,212,490 | |
09/15/2054 | 5.000% | 328,000 | 373,834 | |
Phillips 66 | ||||
02/15/2024 | 0.900% | 345,000 | 345,624 | |
Valero Energy Corp. | ||||
04/15/2025 | 2.850% | 2,292,000 | 2,434,211 | |
Total | 6,285,119 | |||
Restaurants 0.1% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
02/15/2029 | 3.500% | 1,250,000 | 1,222,861 | |
10/15/2030 | 4.000% | 2,645,000 | 2,562,280 | |
Brinker International, Inc.(a) | ||||
10/01/2024 | 5.000% | 3,025,000 | 3,161,721 | |
McDonald’s Corp. | ||||
05/01/2043 | 3.625% | 165,000 | 177,037 | |
09/01/2049 | 3.625% | 910,000 | 960,770 | |
Total | 8,084,669 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Retail REIT 0.1% | ||||
Kimco Realty Corp. | ||||
11/01/2022 | 3.400% | 290,000 | 301,025 | |
03/01/2024 | 2.700% | 2,158,000 | 2,269,285 | |
Kite Realty Group LP | ||||
10/01/2026 | 4.000% | 683,000 | 737,126 | |
Regency Centers LP | ||||
06/15/2030 | 3.700% | 853,000 | 933,734 | |
Retail Properties of America, Inc. | ||||
09/15/2030 | 4.750% | 716,000 | 781,760 | |
Scentre Group Trust 1/Trust 2(a) | ||||
01/28/2026 | 3.625% | 845,000 | 925,367 | |
Simon Property Group LP | ||||
02/01/2028 | 1.750% | 2,641,000 | 2,612,324 | |
Total | 8,560,621 | |||
Retailers 0.3% | ||||
Academy Ltd.(a) | ||||
11/15/2027 | 6.000% | 1,175,000 | 1,249,707 | |
Alimentation Couche-Tard, Inc.(a) | ||||
07/26/2027 | 3.550% | 2,000,000 | 2,193,764 | |
05/13/2051 | 3.625% | 5,450,000 | 5,500,861 | |
Asbury Automotive Group, Inc. | ||||
03/01/2030 | 4.750% | 2,510,000 | 2,634,205 | |
AutoNation, Inc. | ||||
11/15/2024 | 3.500% | 2,185,000 | 2,359,502 | |
10/01/2025 | 4.500% | 2,465,000 | 2,760,478 | |
AutoZone, Inc. | ||||
04/21/2026 | 3.125% | 415,000 | 451,679 | |
01/15/2031 | 1.650% | 1,175,000 | 1,097,727 | |
Best Buy Co., Inc. | ||||
10/01/2030 | 1.950% | 1,000,000 | 958,742 | |
Falabella SA(a) | ||||
10/30/2027 | 3.750% | 450,000 | 482,038 | |
Home Depot Inc (The) | ||||
06/15/2029 | 2.950% | 853,000 | 919,894 | |
L Brands, Inc. | ||||
10/15/2023 | 5.625% | 400,000 | 435,847 | |
Magic MergeCo, Inc.(a) | ||||
05/01/2028 | 5.250% | 1,400,000 | 1,416,234 | |
Sally Holdings LLC/Capital, Inc. | ||||
12/01/2025 | 5.625% | 2,000,000 | 2,061,260 | |
Tractor Supply Co. | ||||
11/01/2030 | 1.750% | 3,885,000 | 3,660,968 | |
Total | 28,182,906 |
42 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Supermarkets 0.1% | ||||
Ahold Finance U.S.A. LLC | ||||
05/01/2029 | 6.875% | 1,800,000 | 2,417,809 | |
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
02/15/2028 | 5.875% | 490,000 | 521,238 | |
03/15/2029 | 3.500% | 2,195,000 | 2,106,047 | |
C&S Group Enterprises LLC(a) | ||||
12/15/2028 | 5.000% | 2,700,000 | 2,579,462 | |
InRetail Consumer(a) | ||||
03/22/2028 | 3.250% | 1,300,000 | 1,247,296 | |
Kroger Co. (The) | ||||
04/15/2042 | 5.000% | 969,000 | 1,189,620 | |
01/15/2048 | 4.650% | 2,161,000 | 2,542,958 | |
Total | 12,604,430 | |||
Supranational 0.2% | ||||
Corporación Andina de Fomento | ||||
09/27/2021 | 2.125% | 4,455,000 | 4,479,094 | |
06/15/2022 | 4.375% | 400,000 | 415,922 | |
01/06/2023 | 2.750% | 3,000,000 | 3,099,944 | |
Inter-American Development Bank | ||||
10/15/2025 | 6.800% | 2,500,000 | 3,074,557 | |
07/15/2027 | 6.750% | 4,000,000 | 5,188,395 | |
International Bank for Reconstruction & Development(i) | ||||
09/17/2030 | 0.000% | 1,550,000 | 1,278,981 | |
North American Development Bank | ||||
10/26/2022 | 2.400% | 514,000 | 525,053 | |
Total | 18,061,946 | |||
Technology 1.6% | ||||
Analog Devices, Inc. | ||||
12/05/2026 | 3.500% | 89,000 | 98,708 | |
Apple, Inc. | ||||
02/08/2031 | 1.650% | 500,000 | 483,949 | |
11/13/2047 | 3.750% | 1,355,000 | 1,527,217 | |
05/11/2050 | 2.650% | 6,095,000 | 5,676,643 | |
02/08/2051 | 2.650% | 3,050,000 | 2,852,114 | |
02/08/2061 | 2.800% | 2,504,000 | 2,315,462 | |
Automatic Data Processing, Inc. | ||||
05/15/2028 | 1.700% | 3,275,000 | 3,302,728 | |
Avnet, Inc. | ||||
05/15/2031 | 3.000% | 2,948,000 | 2,898,067 | |
Boxer Parent Co., Inc.(a) | ||||
03/01/2026 | 9.125% | 2,500,000 | 2,638,884 | |
Broadcom, Inc. | ||||
10/15/2024 | 3.625% | 320,000 | 347,957 | |
11/15/2025 | 3.150% | 1,635,000 | 1,758,156 | |
09/15/2026 | 3.459% | 6,436,000 | 7,001,408 | |
04/15/2029 | 4.750% | 2,700,000 | 3,091,970 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
04/15/2030 | 5.000% | 4,020,000 | 4,655,823 | |
11/15/2030 | 4.150% | 1,525,000 | 1,672,308 | |
Broadridge Financial Solutions, Inc. | ||||
05/01/2031 | 2.600% | 5,320,000 | 5,346,883 | |
CDW LLC/Finance Corp. | ||||
02/15/2029 | 3.250% | 1,330,000 | 1,350,505 | |
Citrix Systems, Inc. | ||||
03/01/2026 | 1.250% | 597,000 | 590,017 | |
CommScope Technologies LLC(a) | ||||
06/15/2025 | 6.000% | 2,773,000 | 2,827,192 | |
03/15/2027 | 5.000% | 2,590,000 | 2,608,686 | |
Corning, Inc. | ||||
11/15/2079 | 5.450% | 465,000 | 601,819 | |
Dell International LLC/EMC Corp.(a) | ||||
06/15/2026 | 6.020% | 870,000 | 1,038,134 | |
DXC Technology Co. | ||||
04/15/2025 | 4.125% | 735,000 | 809,403 | |
Everi Payments, Inc.(a) | ||||
12/15/2025 | 7.500% | 1,161,000 | 1,203,352 | |
Fidelity National Information Services, Inc. | ||||
03/01/2026 | 1.150% | 4,250,000 | 4,222,864 | |
03/01/2041 | 3.100% | 2,890,000 | 2,852,770 | |
Fiserv, Inc. | ||||
07/01/2024 | 2.750% | 725,000 | 768,719 | |
07/01/2029 | 3.500% | 2,517,000 | 2,739,055 | |
Flex Ltd. | ||||
06/15/2029 | 4.875% | 2,410,000 | 2,755,636 | |
Gartner, Inc.(a) | ||||
10/01/2030 | 3.750% | 2,500,000 | 2,509,967 | |
Genpact Luxembourg SARL | ||||
04/01/2022 | 3.700% | 3,425,000 | 3,502,237 | |
Global Payments, Inc. | ||||
02/15/2025 | 2.650% | 3,000,000 | 3,168,561 | |
03/01/2026 | 1.200% | 1,262,000 | 1,252,889 | |
Hewlett Packard Enterprise Co. | ||||
10/01/2024 | 4.650% | 3,425,000 | 3,826,268 | |
Hewlett-Packard Enterprise Co. | ||||
10/05/2021 | 3.500% | 155,000 | 156,245 | |
Infor, Inc.(a) | ||||
07/15/2023 | 1.450% | 2,529,000 | 2,564,948 | |
Intel Corp. | ||||
11/15/2049 | 3.250% | 4,411,000 | 4,492,268 | |
03/25/2050 | 4.750% | 1,540,000 | 1,965,048 | |
02/15/2060 | 3.100% | 475,000 | 458,571 | |
03/25/2060 | 4.950% | 620,000 | 837,705 | |
International Business Machines Corp. | ||||
05/15/2026 | 3.300% | 2,000,000 | 2,202,536 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 43 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
J2 Global, Inc.(a) | ||||
10/15/2030 | 4.625% | 2,585,000 | 2,641,782 | |
Juniper Networks, Inc. | ||||
12/10/2025 | 1.200% | 1,430,000 | 1,422,321 | |
Leidos, Inc.(a) | ||||
02/15/2031 | 2.300% | 845,000 | 812,307 | |
Marvell Technology, Inc.(a) | ||||
06/22/2023 | 4.200% | 3,740,000 | 3,991,072 | |
Microchip Technology, Inc. | ||||
06/01/2021 | 3.922% | 1,845,000 | 1,845,617 | |
Microchip Technology, Inc.(a) | ||||
09/01/2023 | 2.670% | 6,284,000 | 6,556,472 | |
02/15/2024 | 0.972% | 345,000 | 345,851 | |
Microsoft Corp. | ||||
08/08/2026 | 2.400% | 1,758,000 | 1,877,522 | |
06/01/2050 | 2.525% | 152,000 | 142,201 | |
03/17/2052 | 2.921% | 3,311,000 | 3,331,156 | |
03/17/2062 | 3.041% | 4,290,000 | 4,330,891 | |
NetApp, Inc. | ||||
06/22/2025 | 1.875% | 2,397,000 | 2,474,826 | |
NXP BV/Funding LLC(a) | ||||
03/01/2026 | 5.350% | 1,056,000 | 1,235,777 | |
NXP BV/Funding LLC/USA, Inc.(a) | ||||
05/01/2030 | 3.400% | 415,000 | 447,998 | |
ON Semiconductor Corp.(a) | ||||
09/01/2028 | 3.875% | 2,500,000 | 2,540,546 | |
Oracle Corp. | ||||
03/25/2031 | 2.875% | 2,600,000 | 2,667,892 | |
03/25/2041 | 3.650% | 767,000 | 782,519 | |
11/15/2047 | 4.000% | 1,557,000 | 1,633,790 | |
03/25/2051 | 3.950% | 4,803,000 | 5,008,933 | |
Panasonic Corp.(a) | ||||
07/19/2022 | 2.536% | 3,975,000 | 4,059,313 | |
PayPal Holdings, Inc. | ||||
10/01/2026 | 2.650% | 1,000,000 | 1,071,399 | |
10/01/2029 | 2.850% | 683,000 | 725,210 | |
Seagate HDD Cayman | ||||
03/01/2024 | 4.875% | 2,305,000 | 2,483,869 | |
Seagate HDD Cayman(a) | ||||
07/15/2031 | 3.375% | 2,690,000 | 2,558,857 | |
Sensata Technologies, Inc.(a) | ||||
02/15/2031 | 3.750% | 2,625,000 | 2,567,505 | |
Skyworks Solutions, Inc. | ||||
06/01/2026 | 1.800% | 615,000 | 620,283 | |
Tempo Acquisition LLC/Finance Corp.(a) | ||||
06/01/2025 | 5.750% | 1,550,000 | 1,636,337 | |
06/01/2025 | 6.750% | 2,575,000 | 2,620,863 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Tencent Holdings Ltd.(a) | ||||
06/03/2030 | 2.390% | 1,000,000 | 986,796 | |
04/22/2031 | 2.880% | 600,000 | 612,061 | |
04/22/2041 | 3.680% | 350,000 | 359,369 | |
04/22/2051 | 3.840% | 5,490,000 | 5,608,852 | |
TSMC Global Ltd.(a) | ||||
09/28/2025 | 0.750% | 675,000 | 663,102 | |
09/28/2027 | 1.000% | 715,000 | 690,753 | |
VeriSign, Inc.(c) | ||||
06/15/2031 | 2.700% | 656,000 | 657,098 | |
Western Union Co. (The) | ||||
06/09/2023 | 4.250% | 3,050,000 | 3,261,277 | |
03/15/2026 | 1.350% | 2,070,000 | 2,062,238 | |
Total | 174,308,327 | |||
Tobacco 0.4% | ||||
Altria Group, Inc. | ||||
02/14/2026 | 4.400% | 819,000 | 927,417 | |
02/14/2029 | 4.800% | 92,000 | 105,660 | |
05/06/2030 | 3.400% | 1,280,000 | 1,339,334 | |
02/04/2032 | 2.450% | 596,000 | 565,253 | |
02/14/2039 | 5.800% | 310,000 | 375,055 | |
02/04/2041 | 3.400% | 3,910,000 | 3,602,269 | |
02/14/2049 | 5.950% | 308,000 | 381,429 | |
02/04/2051 | 3.700% | 7,432,000 | 6,791,407 | |
BAT Capital Corp. | ||||
09/06/2026 | 3.215% | 750,000 | 796,229 | |
04/02/2027 | 4.700% | 800,000 | 902,085 | |
08/15/2027 | 3.557% | 25,000 | 26,613 | |
03/25/2028 | 2.259% | 3,331,000 | 3,283,218 | |
03/25/2031 | 2.726% | 2,373,000 | 2,290,459 | |
09/25/2040 | 3.734% | 583,000 | 549,509 | |
08/15/2047 | 4.540% | 5,800,000 | 5,828,657 | |
Imperial Brands Finance PLC(a) | ||||
07/21/2022 | 3.750% | 1,007,000 | 1,036,540 | |
07/26/2024 | 3.125% | 2,000,000 | 2,114,242 | |
Philip Morris International, Inc. | ||||
08/21/2042 | 3.875% | 569,000 | 609,169 | |
Reynolds American, Inc. | ||||
06/12/2025 | 4.450% | 1,325,000 | 1,473,482 | |
08/04/2041 | 7.000% | 1,170,000 | 1,521,442 | |
09/15/2043 | 6.150% | 520,000 | 631,011 | |
08/15/2045 | 5.850% | 5,680,000 | 6,627,260 | |
Total | 41,777,740 | |||
Transportation Services 0.4% | ||||
Element Fleet Management Corp.(a) | ||||
06/15/2025 | 3.850% | 3,890,000 | 4,222,767 | |
ENA Master Trust(a) | ||||
05/19/2048 | 4.000% | 375,000 | 377,616 |
44 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
ERAC USA Finance LLC(a) | ||||
11/01/2025 | 3.800% | 2,500,000 | 2,766,361 | |
12/01/2026 | 3.300% | 3,435,000 | 3,748,358 | |
03/15/2042 | 5.625% | 1,689,000 | 2,244,506 | |
11/01/2046 | 4.200% | 1,041,000 | 1,189,984 | |
FedEx Corp. | ||||
05/15/2030 | 4.250% | 508,000 | 584,089 | |
02/01/2035 | 3.900% | 392,000 | 442,570 | |
02/15/2048 | 4.050% | 1,257,000 | 1,391,505 | |
FedEx Corp. Pass-Through Trust | ||||
Series 2020-1 Class AA | ||||
02/20/2034 | 1.875% | 743,573 | 728,904 | |
Penske Truck Leasing Co. LP/Finance Corp.(a) | ||||
11/15/2025 | 1.200% | 874,000 | 869,164 | |
Penske Truck Leasing Co. LP/PTL Finance Corp.(a) | ||||
06/15/2026 | 1.700% | 1,282,000 | 1,292,263 | |
Penske Truck Leasing Co., LP/Finance Corp.(a) | ||||
02/01/2022 | 3.375% | 1,200,000 | 1,218,181 | |
08/01/2023 | 4.125% | 5,245,000 | 5,624,037 | |
07/15/2025 | 4.000% | 905,000 | 1,001,111 | |
Ryder System, Inc. | ||||
06/09/2023 | 3.750% | 1,609,000 | 1,709,249 | |
12/01/2023 | 3.875% | 2,315,000 | 2,497,853 | |
06/01/2025 | 4.625% | 2,395,000 | 2,715,996 | |
Triton Container International Ltd.(a) | ||||
04/15/2026 | 2.050% | 641,000 | 646,120 | |
Triton Container International Ltd.(a),(c) | ||||
06/15/2031 | 3.150% | 703,000 | 702,642 | |
TTX Co.(a) | ||||
01/15/2025 | 3.600% | 1,620,000 | 1,779,104 | |
XPO Logistics, Inc.(a) | ||||
05/01/2025 | 6.250% | 2,345,000 | 2,502,988 | |
Total | 40,255,368 | |||
Treasury 0.0% | ||||
Argentine Republic Government International Bond(k) | ||||
07/09/2030 | 0.125% | 2,937,187 | 1,086,768 | |
Romanian Government International Bond(a) | ||||
02/14/2031 | 3.000% | 1,050,000 | 1,078,991 | |
Saudi Government International Bond(a) | ||||
10/22/2030 | 3.250% | 1,055,000 | 1,131,004 | |
Total | 3,296,763 | |||
Wireless 0.7% | ||||
America Movil SAB de CV | ||||
07/16/2022 | 3.125% | 200,000 | 205,775 | |
American Tower Corp. | ||||
02/15/2024 | 5.000% | 665,000 | 741,662 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Crown Castle International Corp. | ||||
07/15/2026 | 1.050% | 416,000 | 407,941 | |
04/01/2041 | 2.900% | 1,714,000 | 1,595,023 | |
Digicel Group 0.5 Ltd.(l) | ||||
04/01/2024 | 10.000% | 319,618 | 313,981 | |
Digicel Group 0.5 Ltd.(a),(l) | ||||
04/01/2025 | 8.000% | 99,292 | 83,780 | |
Digicel Holdings Bermuda Ltd./International Finance Ltd.(a) | ||||
05/25/2024 | 8.750% | 700,000 | 728,370 | |
Digicel International Finance Ltd./Holdings(a),(l) | ||||
12/31/2025 | 13.000% | 750,000 | 758,519 | |
Digicel International Finance Ltd./Holdings(a) | ||||
Subordinated | ||||
12/31/2026 | 8.000% | 500,000 | 490,114 | |
Digicel International Finance Ltd./Holdings Bermuda Ltd.(a) | ||||
05/25/2024 | 8.750% | 2,425,000 | 2,523,999 | |
Millicom International Cellular SA(a) | ||||
04/27/2031 | 4.500% | 500,000 | 522,463 | |
SK Telecom Co., Ltd.(a) | ||||
04/16/2023 | 3.750% | 2,490,000 | 2,634,109 | |
Sprint Capital Corp. | ||||
11/15/2028 | 6.875% | 1,625,000 | 2,033,924 | |
03/15/2032 | 8.750% | 275,000 | 407,756 | |
Sprint Corp. | ||||
09/15/2023 | 7.875% | 3,216,000 | 3,640,416 | |
06/15/2024 | 7.125% | 5,225,000 | 6,019,071 | |
Sprint Spectrum Co. I/II/III LLC(a) | ||||
09/20/2021 | 3.360% | 1,701,250 | 1,708,930 | |
03/20/2025 | 4.738% | 8,975,000 | 9,627,912 | |
03/20/2028 | 5.152% | 3,085,000 | 3,532,824 | |
T-Mobile USA, Inc. | ||||
02/15/2026 | 1.500% | 1,325,000 | 1,330,012 | |
04/15/2027 | 3.750% | 3,789,000 | 4,177,230 | |
02/01/2028 | 4.750% | 961,000 | 1,027,496 | |
02/15/2028 | 2.050% | 1,607,000 | 1,603,914 | |
04/15/2030 | 3.875% | 4,868,000 | 5,337,655 | |
02/15/2031 | 2.550% | 1,485,000 | 1,474,713 | |
04/15/2040 | 4.375% | 5,928,000 | 6,630,707 | |
02/15/2041 | 3.000% | 4,880,000 | 4,587,249 | |
04/15/2050 | 4.500% | 1,020,000 | 1,156,277 | |
02/15/2051 | 3.300% | 2,131,000 | 2,006,612 | |
11/15/2060 | 3.600% | 755,000 | 728,234 | |
Vmed O2 UK Financing I PLC(a) | ||||
01/31/2031 | 4.250% | 2,000,000 | 1,942,766 | |
Vodafone Group PLC | ||||
02/19/2043 | 4.375% | 1,766,000 | 1,994,747 | |
05/30/2048 | 5.250% | 2,375,000 | 3,014,721 | |
06/19/2049 | 4.875% | 3,295,000 | 3,982,635 | |
06/19/2059 | 5.125% | 611,000 | 757,300 | |
Total | 79,728,837 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 45 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Wirelines 1.1% | ||||
AT&T, Inc. | ||||
03/25/2026 | 1.700% | 1,596,000 | 1,610,398 | |
02/01/2028 | 1.650% | 1,231,000 | 1,214,640 | |
06/01/2031 | 2.750% | 1,389,000 | 1,409,332 | |
05/15/2035 | 4.500% | 1,110,000 | 1,277,161 | |
03/01/2037 | 5.250% | 2,205,000 | 2,725,347 | |
03/01/2039 | 4.850% | 1,086,000 | 1,282,606 | |
06/01/2041 | 3.500% | 684,000 | 690,628 | |
02/01/2043 | 3.100% | 1,717,000 | 1,629,490 | |
05/15/2046 | 4.750% | 2,220,000 | 2,600,023 | |
06/01/2051 | 3.650% | 3,810,000 | 3,821,786 | |
AT&T, Inc.(a) | ||||
12/01/2033 | 2.550% | 3,840,000 | 3,725,443 | |
09/15/2053 | 3.500% | 8,582,000 | 8,196,382 | |
09/15/2055 | 3.550% | 5,865,000 | 5,581,441 | |
12/01/2057 | 3.800% | 12,922,000 | 12,831,321 | |
09/15/2059 | 3.650% | 6,464,000 | 6,229,936 | |
Bell Canada | ||||
03/17/2051 | 3.650% | 2,835,000 | 2,976,933 | |
C&W Senior Financing DAC(a) | ||||
09/15/2027 | 6.875% | 385,000 | 410,060 | |
CenturyLink, Inc. | ||||
06/15/2021 | 6.450% | 2,000,000 | 2,004,509 | |
12/01/2023 | 6.750% | 2,925,000 | 3,230,957 | |
Deutsche Telekom AG(a) | ||||
01/21/2050 | 3.625% | 520,000 | 530,531 | |
Front Range BidCo, Inc.(a) | ||||
03/01/2027 | 4.000% | 2,650,000 | 2,603,401 | |
Frontier Communications Corp.(a) | ||||
05/01/2028 | 5.000% | 1,225,000 | 1,255,858 | |
GCI LLC(a) | ||||
10/15/2028 | 4.750% | 1,175,000 | 1,199,031 | |
Level 3 Financing, Inc.(a) | ||||
03/01/2027 | 3.400% | 1,925,000 | 2,052,990 | |
11/15/2029 | 3.875% | 1,045,000 | 1,110,108 | |
Network i2i Ltd.(a),(k) | ||||
12/31/2049 | 3.975% | 1,200,000 | 1,202,956 | |
Qwest Corp. | ||||
12/01/2021 | 6.750% | 2,375,000 | 2,440,317 | |
09/15/2025 | 7.250% | 3,978,000 | 4,704,075 | |
Telecom Italia Capital SA | ||||
06/04/2038 | 7.721% | 1,910,000 | 2,502,267 | |
Verizon Communications, Inc. | ||||
02/15/2025 | 3.376% | 2,622,000 | 2,856,636 | |
03/22/2028 | 2.100% | 4,355,000 | 4,420,928 | |
12/03/2029 | 4.016% | 530,000 | 600,228 | |
03/21/2031 | 2.550% | 3,225,000 | 3,248,683 | |
08/10/2033 | 4.500% | 3,130,000 | 3,691,210 | |
11/01/2034 | 4.400% | 2,000,000 | 2,344,078 |
Corporate Bonds & Notes (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
01/15/2036 | 4.272% | 8,870,000 | 10,287,745 | |
11/20/2040 | 2.650% | 2,843,000 | 2,629,092 | |
03/22/2041 | 3.400% | 2,149,000 | 2,193,487 | |
08/21/2046 | 4.862% | 2,265,000 | 2,818,877 | |
09/15/2048 | 4.522% | 1,570,000 | 1,866,268 | |
03/22/2050 | 4.000% | 290,000 | 319,436 | |
11/20/2050 | 2.875% | 962,000 | 872,743 | |
10/30/2056 | 2.987% | 369,000 | 331,242 | |
03/22/2061 | 3.700% | 2,575,000 | 2,614,440 | |
Total | 124,145,020 | |||
Total Corporate Bonds & Notes (Cost $3,492,301,414) | 3,624,224,669 | |||
Foreign Government Obligations(o),(p) 2.6% | ||||
Argentina 0.0% | ||||
Argentine Republic Government International Bond | ||||
07/09/2029 | 1.000% | 121,062 | 47,044 | |
Argentine Republic Government International Bond(k) | ||||
07/09/2035 | 0.125% | 439,246 | 144,951 | |
01/09/2038 | 0.125% | 1,639,744 | 645,648 | |
Provincia de Buenos Aires(a),(n) | ||||
06/09/2021 | 0.000% | 3,370,000 | 1,482,466 | |
02/15/2023 | 0.000% | 1,070,000 | 445,314 | |
Total | 2,765,423 | |||
Australia 0.1% | ||||
NBN Co., Ltd.(a) | ||||
05/05/2026 | 1.450% | 581,000 | 581,515 | |
05/05/2031 | 2.625% | 6,568,000 | 6,610,256 | |
Total | 7,191,771 | |||
Azerbaijan 0.0% | ||||
Southern Gas Corridor CJSC(a) | ||||
03/24/2026 | 6.875% | 450,000 | 540,694 | |
Bermuda 0.0% | ||||
Bermuda Government International Bond(a) | ||||
08/20/2030 | 2.375% | 1,105,000 | 1,092,071 | |
Brazil 0.1% | ||||
Brazil Minas SPE via State of Minas Gerais(a) | ||||
02/15/2028 | 5.333% | 2,030,000 | 2,203,088 | |
Brazilian Government International Bond | ||||
06/06/2025 | 2.875% | 400,000 | 412,184 | |
04/07/2026 | 6.000% | 225,000 | 263,870 | |
01/13/2028 | 4.625% | 1,650,000 | 1,797,714 | |
05/30/2029 | 4.500% | 3,200,000 | 3,434,203 | |
06/12/2030 | 3.875% | 2,050,000 | 2,075,468 |
46 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Foreign Government Obligations(o),(p) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Centrais Eletricas Brasileiras SA(a) | ||||
02/04/2025 | 3.625% | 900,000 | 931,000 | |
Total | 11,117,527 | |||
Canada 0.1% | ||||
Petronas Energy Canada Ltd.(a) | ||||
03/23/2028 | 2.112% | 1,400,000 | 1,407,275 | |
Province of British Columbia | ||||
09/01/2036 | 7.250% | 2,000,000 | 3,144,743 | |
Province of Manitoba | ||||
06/22/2026 | 2.125% | 300,000 | 316,216 | |
Province of Quebec(k) | ||||
02/27/2026 | 7.140% | 1,230,000 | 1,551,762 | |
03/02/2026 | 7.485% | 2,000,000 | 2,598,861 | |
Total | 9,018,857 | |||
Chile 0.1% | ||||
Chile Government International Bond | ||||
01/31/2031 | 2.450% | 200,000 | 201,465 | |
01/27/2032 | 2.550% | 700,000 | 707,274 | |
Corporación Nacional del Cobre de Chile(a) | ||||
01/14/2030 | 3.150% | 1,238,000 | 1,282,769 | |
Corporación Nacional del Cobre de Chile(a) | ||||
09/16/2025 | 4.500% | 500,000 | 564,438 | |
11/04/2044 | 4.875% | 200,000 | 235,705 | |
Empresa Nacional del Petroleo(a) | ||||
08/05/2026 | 3.750% | 750,000 | 784,931 | |
11/06/2029 | 5.250% | 450,000 | 493,550 | |
Total | 4,270,132 | |||
Colombia 0.1% | ||||
Colombia Government International Bond | ||||
04/25/2027 | 3.875% | 1,300,000 | 1,375,152 | |
03/15/2029 | 4.500% | 250,000 | 270,372 | |
01/30/2030 | 3.000% | 805,000 | 778,323 | |
04/15/2031 | 3.125% | 322,000 | 310,021 | |
06/15/2045 | 5.000% | 1,569,000 | 1,623,546 | |
05/15/2049 | 5.200% | 826,000 | 879,058 | |
Ecopetrol SA | ||||
04/29/2030 | 6.875% | 2,000,000 | 2,374,078 | |
Total | 7,610,550 | |||
Croatia 0.0% | ||||
Croatia Government International Bond(a) | ||||
04/04/2023 | 5.500% | 500,000 | 546,177 | |
01/26/2024 | 6.000% | 500,000 | 570,413 | |
01/26/2024 | 6.000% | 300,000 | 342,248 | |
Total | 1,458,838 |
Foreign Government Obligations(o),(p) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Dominican Republic 0.1% | ||||
Dominican Republic International Bond(a) | ||||
01/27/2025 | 5.500% | 100,000 | 110,265 | |
01/27/2025 | 5.500% | 100,000 | 110,265 | |
01/29/2026 | 6.875% | 1,000,000 | 1,166,613 | |
01/25/2027 | 5.950% | 450,000 | 509,518 | |
07/19/2028 | 6.000% | 1,400,000 | 1,598,681 | |
07/19/2028 | 6.000% | 275,000 | 314,027 | |
01/30/2030 | 4.500% | 2,653,000 | 2,727,635 | |
09/23/2032 | 4.875% | 1,000,000 | 1,033,300 | |
09/23/2032 | 4.875% | 600,000 | 619,980 | |
Total | 8,190,284 | |||
Egypt 0.1% | ||||
Egypt Government International Bond(a) | ||||
10/06/2025 | 5.250% | 650,000 | 689,228 | |
01/31/2027 | 7.500% | 2,750,000 | 3,133,484 | |
02/21/2028 | 6.588% | 600,000 | 644,686 | |
03/01/2029 | 7.600% | 300,000 | 334,376 | |
02/16/2031 | 5.875% | 250,000 | 246,153 | |
05/29/2032 | 7.625% | 1,350,000 | 1,462,057 | |
Total | 6,509,984 | |||
France 0.0% | ||||
Dexia Credit Local SA(a) | ||||
09/26/2023 | 3.250% | 1,500,000 | 1,599,069 | |
Gabon 0.0% | ||||
Gabon Government International Bond(a) | ||||
02/06/2031 | 6.625% | 320,000 | 319,206 | |
Ghana 0.0% | ||||
Ghana Government International Bond(a) | ||||
02/11/2027 | 6.375% | 3,200,000 | 3,225,170 | |
Hungary 0.0% | ||||
Hungary Government International Bond | ||||
11/22/2023 | 5.750% | 2,000,000 | 2,258,230 | |
India 0.0% | ||||
Export-Import Bank of India(a) | ||||
08/05/2026 | 3.375% | 860,000 | 921,069 | |
02/01/2028 | 3.875% | 1,025,000 | 1,102,319 | |
Power Finance Corp., Ltd.(a) | ||||
12/06/2028 | 6.150% | 546,000 | 644,149 | |
Total | 2,667,537 | |||
Indonesia 0.2% | ||||
Indonesia Government International Bond | ||||
02/14/2030 | 2.850% | 560,000 | 582,441 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 47 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Foreign Government Obligations(o),(p) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Indonesia Government International Bond(a) | ||||
01/17/2038 | 7.750% | 1,000,000 | 1,489,876 | |
07/18/2047 | 4.750% | 1,000,000 | 1,165,226 | |
Lembaga Pembiayaan Ekspor Indonesia(a) | ||||
04/06/2024 | 3.875% | 1,450,000 | 1,551,212 | |
Perusahaan Penerbit SBSN Indonesia III(a) | ||||
03/01/2028 | 4.400% | 500,000 | 569,157 | |
02/20/2029 | 4.450% | 1,400,000 | 1,602,797 | |
PT Hutama Karya Persero(a) | ||||
05/11/2030 | 3.750% | 800,000 | 849,602 | |
PT Indonesia Asahan Aluminium Persero(a) | ||||
11/15/2028 | 6.530% | 770,000 | 936,422 | |
PT Pertamina Persero(a) | ||||
01/21/2030 | 3.100% | 625,000 | 636,783 | |
08/25/2030 | 3.100% | 2,174,000 | 2,216,469 | |
02/09/2031 | 2.300% | 1,200,000 | 1,140,297 | |
05/20/2043 | 5.625% | 250,000 | 289,135 | |
PT Perusahaan Gas Negara Persero Tbk(a) | ||||
05/16/2024 | 5.125% | 525,000 | 581,199 | |
PT Perusahaan Listrik Negara(a) | ||||
05/15/2027 | 4.125% | 5,000,000 | 5,418,809 | |
05/21/2028 | 5.450% | 2,000,000 | 2,323,487 | |
05/21/2028 | 5.450% | 500,000 | 580,872 | |
01/25/2029 | 5.375% | 200,000 | 231,510 | |
Total | 22,165,294 | |||
Israel 0.0% | ||||
Israel Electric Corp., Ltd.(a) | ||||
08/14/2028 | 4.250% | 3,100,000 | 3,442,132 | |
Italy 0.1% | ||||
Republic of Italy Government International Bond | ||||
10/17/2029 | 2.875% | 1,700,000 | 1,749,559 | |
06/15/2033 | 5.375% | 8,270,000 | 10,242,402 | |
Total | 11,991,961 | |||
Ivory Coast 0.0% | ||||
Ivory Coast Government International Bond(a) | ||||
01/30/2032 | 4.875% | EUR | 675,000 | 832,621 |
Ivory Coast Government International Bond(a),(k) | ||||
12/31/2032 | 5.750% | 989,723 | 997,146 | |
Total | 1,829,767 | |||
Japan 0.0% | ||||
Japan Bank for International Cooperation | ||||
05/23/2024 | 2.500% | 600,000 | 635,596 | |
Japan Finance Organization for Municipalities(a) | ||||
04/20/2022 | 2.625% | 1,600,000 | 1,633,367 | |
03/12/2024 | 3.000% | 400,000 | 427,060 | |
Total | 2,696,023 |
Foreign Government Obligations(o),(p) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Jordan 0.0% | ||||
Jordan Government International Bond(a) | ||||
07/07/2030 | 5.850% | 500,000 | 520,086 | |
Kazakhstan 0.1% | ||||
Development Bank of Kazakhstan JSC(a) | ||||
05/06/2031 | 2.950% | 500,000 | 494,778 | |
KazMunayGas National Co. JSC(a) | ||||
04/24/2025 | 4.750% | 950,000 | 1,065,998 | |
04/19/2027 | 4.750% | 1,725,000 | 1,970,285 | |
04/19/2027 | 4.750% | 300,000 | 342,658 | |
04/24/2030 | 5.375% | 2,362,000 | 2,825,516 | |
04/24/2030 | 5.375% | 500,000 | 598,119 | |
04/19/2047 | 5.750% | 779,000 | 960,741 | |
KazTransGas JSC(a) | ||||
09/26/2027 | 4.375% | 200,000 | 222,969 | |
Total | 8,481,064 | |||
Kenya 0.0% | ||||
Kenya Government International Bond(a) | ||||
05/22/2027 | 7.000% | 400,000 | 441,712 | |
Malaysia 0.0% | ||||
Petronas Capital Ltd.(a) | ||||
04/21/2030 | 3.500% | 1,000,000 | 1,091,127 | |
01/28/2032 | 2.480% | 1,550,000 | 1,543,992 | |
Total | 2,635,119 | |||
Marshall Islands 0.0% | ||||
Nakilat, Inc.(a) | ||||
12/31/2033 | 6.067% | 1,164,000 | 1,421,310 | |
Mexico 0.4% | ||||
Banco Nacional de Comercio Exterior SNC(a),(k) | ||||
Subordinated | ||||
08/11/2026 | 3.800% | 400,000 | 400,027 | |
Mexico City Airport Trust(a) | ||||
10/31/2026 | 4.250% | 1,435,000 | 1,529,171 | |
07/31/2047 | 5.500% | 2,150,000 | 2,139,470 | |
Mexico Government International Bond | ||||
04/22/2029 | 4.500% | 1,500,000 | 1,695,611 | |
05/24/2031 | 2.659% | 2,728,000 | 2,658,956 | |
04/27/2032 | 4.750% | 810,000 | 923,984 | |
08/14/2041 | 4.280% | 350,000 | 365,224 | |
05/24/2061 | 3.771% | 550,000 | 505,872 | |
04/19/2071 | 3.750% | 750,000 | 675,150 | |
Pemex Project Funding Master Trust | ||||
06/15/2038 | 6.625% | 50,000 | 46,214 |
48 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Foreign Government Obligations(o),(p) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Petroleos Mexicanos | ||||
12/20/2022 | 1.700% | 205,000 | 205,113 | |
08/04/2026 | 6.875% | 2,750,000 | 3,048,105 | |
03/13/2027 | 6.500% | 15,903,000 | 16,970,531 | |
01/23/2029 | 6.500% | 625,000 | 642,783 | |
01/28/2031 | 5.950% | 3,300,000 | 3,203,955 | |
06/15/2035 | 6.625% | 1,850,000 | 1,782,560 | |
01/23/2045 | 6.375% | 940,000 | 808,943 | |
01/23/2046 | 5.625% | 300,000 | 243,930 | |
09/21/2047 | 6.750% | 5,135,000 | 4,521,673 | |
02/12/2048 | 6.350% | 770,000 | 652,548 | |
01/23/2050 | 7.690% | 1,736,000 | 1,665,723 | |
01/28/2060 | 6.950% | 800,000 | 706,078 | |
Petroleos Mexicanos(a) | ||||
10/16/2025 | 6.875% | 950,000 | 1,057,887 | |
Total | 46,449,508 | |||
Morocco 0.0% | ||||
Morocco Government International Bond(a) | ||||
12/15/2027 | 2.375% | 1,300,000 | 1,270,821 | |
12/15/2032 | 3.000% | 1,350,000 | 1,299,657 | |
12/15/2050 | 4.000% | 350,000 | 319,841 | |
Total | 2,890,319 | |||
Netherlands 0.1% | ||||
Equate Petrochemical BV(a) | ||||
04/28/2028 | 2.625% | 700,000 | 705,648 | |
Petrobras Global Finance BV | ||||
05/23/2026 | 8.750% | 400,000 | 512,933 | |
01/17/2027 | 7.375% | 4,255,000 | 5,197,196 | |
01/03/2031 | 5.600% | 4,315,000 | 4,760,240 | |
03/19/2049 | 6.900% | 2,398,000 | 2,786,108 | |
Total | 13,962,125 | |||
Norway 0.0% | ||||
Equinor ASA | ||||
04/06/2030 | 3.125% | 826,000 | 890,053 | |
Oman 0.0% | ||||
Oman Government International Bond(a) | ||||
10/28/2027 | 6.750% | 800,000 | 895,303 | |
10/28/2032 | 7.375% | 2,000,000 | 2,265,064 | |
Total | 3,160,367 | |||
Panama 0.0% | ||||
Banco Nacional de Panama(a) | ||||
08/11/2030 | 2.500% | 875,000 | 844,094 | |
Panama Government International Bond | ||||
03/16/2025 | 3.750% | 200,000 | 217,952 | |
01/23/2030 | 3.160% | 1,350,000 | 1,416,357 | |
01/26/2036 | 6.700% | 840,000 | 1,129,602 | |
Total | 3,608,005 |
Foreign Government Obligations(o),(p) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Paraguay 0.0% | ||||
Paraguay Government International Bond(a) | ||||
01/29/2033 | 2.739% | 431,000 | 416,562 | |
Peru 0.1% | ||||
Corporación Financiera de Desarrollo SA(a) | ||||
09/28/2027 | 2.400% | 600,000 | 582,212 | |
Peruvian Government International Bond | ||||
08/25/2027 | 4.125% | 1,012,000 | 1,124,311 | |
06/20/2030 | 2.844% | 790,000 | 804,340 | |
12/01/2032 | 1.862% | 825,000 | 753,156 | |
03/14/2037 | 6.550% | 1,785,000 | 2,410,041 | |
11/18/2050 | 5.625% | 150,000 | 196,810 | |
12/01/2060 | 2.780% | 600,000 | 499,808 | |
Petroleos del Peru SA(a) | ||||
06/19/2032 | 4.750% | 2,950,000 | 3,076,954 | |
Total | 9,447,632 | |||
Philippines 0.0% | ||||
Philippine Government International Bond | ||||
05/05/2030 | 2.457% | 200,000 | 208,116 | |
06/10/2031 | 1.648% | 400,000 | 386,278 | |
01/15/2032 | 6.375% | 400,000 | 550,667 | |
10/23/2034 | 6.375% | 275,000 | 389,117 | |
Total | 1,534,178 | |||
Qatar 0.1% | ||||
Ooredoo International Finance Ltd.(a) | ||||
04/08/2031 | 2.625% | 850,000 | 856,120 | |
Qatar Government International Bond(a) | ||||
04/23/2028 | 4.500% | 1,106,000 | 1,305,204 | |
04/16/2030 | 3.750% | 200,000 | 226,950 | |
06/02/2046 | 4.625% | 642,000 | 785,374 | |
04/23/2048 | 5.103% | 1,910,000 | 2,487,414 | |
Total | 5,661,062 | |||
Romania 0.1% | ||||
Romanian Government International Bond(a) | ||||
08/22/2023 | 4.375% | 150,000 | 162,368 | |
12/02/2040 | 2.625% | EUR | 500,000 | 602,274 |
06/15/2048 | 5.125% | 4,400,000 | 5,226,103 | |
Total | 5,990,745 | |||
Russian Federation 0.1% | ||||
Gazprom OAO Via Gaz Capital SA(a) | ||||
02/06/2028 | 4.950% | 800,000 | 896,127 | |
Gazprom PJSC Via Gaz Capital SA(a) | ||||
03/23/2027 | 4.950% | 400,000 | 445,685 | |
Gazprom PJSC via Gaz Finance PLC(a) | ||||
01/27/2029 | 2.950% | 750,000 | 734,899 | |
02/25/2030 | 3.250% | 3,400,000 | 3,380,455 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 49 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Foreign Government Obligations(o),(p) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Russian Foreign Bond - Eurobond(a) | ||||
09/16/2023 | 4.875% | 200,000 | 217,527 | |
05/27/2026 | 4.750% | 800,000 | 907,527 | |
06/23/2027 | 4.250% | 1,000,000 | 1,114,412 | |
04/04/2042 | 5.625% | 800,000 | 1,014,233 | |
Total | 8,710,865 | |||
Saudi Arabia 0.1% | ||||
Saudi Arabian Oil Co.(a) | ||||
11/24/2030 | 2.250% | 1,000,000 | 977,348 | |
04/16/2039 | 4.250% | 200,000 | 221,054 | |
11/24/2050 | 3.250% | 600,000 | 559,800 | |
Saudi Government International Bond(a) | ||||
04/17/2025 | 4.000% | 1,675,000 | 1,850,545 | |
03/04/2028 | 3.625% | 400,000 | 441,487 | |
04/17/2030 | 4.500% | 750,000 | 879,520 | |
02/03/2032 | 2.750% | 300,000 | 304,650 | |
02/02/2033 | 2.250% | 1,300,000 | 1,245,734 | |
10/26/2046 | 4.500% | 230,000 | 263,665 | |
01/21/2055 | 3.750% | 200,000 | 204,849 | |
02/02/2061 | 3.450% | 575,000 | 555,011 | |
Total | 7,503,663 | |||
Serbia 0.0% | ||||
Serbia International Bond(a) | ||||
12/01/2030 | 2.125% | 2,870,000 | 2,679,145 | |
South Africa 0.1% | ||||
Eskom Holdings SOC Ltd.(a) | ||||
08/06/2023 | 6.750% | 200,000 | 210,795 | |
02/11/2025 | 7.125% | 950,000 | 1,007,083 | |
Republic of South Africa Government International Bond | ||||
10/12/2028 | 4.300% | 1,225,000 | 1,265,987 | |
09/30/2029 | 4.850% | 3,925,000 | 4,166,946 | |
09/30/2049 | 5.750% | 650,000 | 656,342 | |
South Africa Government International Bond | ||||
01/17/2024 | 4.665% | 1,100,000 | 1,185,475 | |
Total | 8,492,628 | |||
South Korea 0.0% | ||||
Korea Development Bank (The) | ||||
09/14/2022 | 3.000% | 200,000 | 206,601 | |
Turkey 0.1% | ||||
Turkey Government International Bond | ||||
03/23/2023 | 3.250% | 1,080,000 | 1,071,889 | |
02/05/2025 | 7.375% | 1,479,000 | 1,588,862 | |
10/14/2025 | 6.375% | 400,000 | 416,094 | |
10/09/2026 | 4.875% | 2,275,000 | 2,207,888 |
Foreign Government Obligations(o),(p) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Turkiye Vakiflar Bankasi TAO(a) | ||||
02/05/2025 | 5.250% | 500,000 | 492,461 | |
01/08/2026 | 6.500% | 800,000 | 812,355 | |
Total | 6,589,549 | |||
Ukraine 0.2% | ||||
Ukraine Government International Bond(a) | ||||
09/01/2021 | 7.750% | 2,710,000 | 2,743,873 | |
09/01/2022 | 7.750% | 2,410,000 | 2,539,661 | |
02/01/2024 | 8.994% | 1,400,000 | 1,569,562 | |
09/01/2025 | 7.750% | 3,050,000 | 3,384,159 | |
11/01/2028 | 9.750% | 3,850,000 | 4,615,606 | |
Total | 14,852,861 | |||
United Arab Emirates 0.0% | ||||
Abu Dhabi Government International Bond(a) | ||||
09/30/2029 | 2.500% | 1,129,000 | 1,180,426 | |
DP World Crescent Ltd.(a) | ||||
09/26/2028 | 4.848% | 740,000 | 841,031 | |
DP World Ltd.(a) | ||||
07/02/2037 | 6.850% | 300,000 | 400,404 | |
Total | 2,421,861 | |||
United Kingdom 0.0% | ||||
Gazprom PJSC via Gaz Finance PLC(a),(k) | ||||
12/31/2049 | 4.599% | 2,425,000 | 2,494,335 | |
United States 0.0% | ||||
BOC Aviation USA Corp.(a) | ||||
04/29/2024 | 1.625% | 2,015,000 | 2,031,464 | |
Citgo Holding, Inc.(a) | ||||
08/01/2024 | 9.250% | 375,000 | 384,409 | |
Total | 2,415,873 | |||
Uruguay 0.1% | ||||
Uruguay Government International Bond | ||||
01/23/2031 | 4.375% | 5,150,000 | 5,980,504 | |
04/20/2055 | 4.975% | 1,000,000 | 1,250,808 | |
Total | 7,231,312 | |||
Virgin Islands 0.0% | ||||
Sinopec Group Overseas Development Ltd.(a) | ||||
04/28/2025 | 3.250% | 400,000 | 427,889 | |
04/28/2025 | 3.250% | 300,000 | 320,917 | |
Total | 748,806 | |||
Total Foreign Government Obligations (Cost $273,463,720) | 283,817,866 | |||
50 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Municipal Bonds 0.4% | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Higher Education 0.1% | ||||
University of California | ||||
Refunding Revenue Bonds | ||||
Taxable General | ||||
Series 2017AX | ||||
07/01/2025 | 3.063% | 5,700,000 | 6,199,421 | |
University of Virginia | ||||
Revenue Bonds | ||||
Taxable | ||||
Series 2017C | ||||
09/01/2117 | 4.179% | 725,000 | 868,193 | |
Total | 7,067,614 | |||
Hospital 0.0% | ||||
Regents of the University of California Medical Center | ||||
Revenue Bonds | ||||
Taxable | ||||
Series 2020N | ||||
05/15/2060 | 3.256% | 5,650,000 | 5,811,664 | |
Local General Obligation 0.1% | ||||
City of New York | ||||
Unlimited General Obligation Bonds | ||||
Series 2010 (BAM) | ||||
03/01/2036 | 5.968% | 3,100,000 | 4,243,049 | |
Unlimited General Obligation Refunding Bonds | ||||
Series 2021D | ||||
08/01/2030 | 1.823% | 515,000 | 505,004 | |
Los Angeles Unified School District | ||||
Unlimited General Obligation Bonds | ||||
Taxable Build America Bonds | ||||
Series 2009 | ||||
07/01/2034 | 5.750% | 2,685,000 | 3,593,293 | |
Total | 8,341,346 | |||
Sales Tax 0.0% | ||||
Puerto Rico Sales Tax Financing Corp. Sales Tax(q) | ||||
Revenue Bonds | ||||
Series 2019A-1 | ||||
07/01/2058 | 5.000% | 2,740,000 | 3,118,957 | |
Special Non Property Tax 0.1% | ||||
New York City Transitional Finance Authority | ||||
Refunding Revenue Bonds | ||||
Future Tax Secured | ||||
Subordinated Series 2020B-3 | ||||
08/01/2035 | 2.000% | 3,000,000 | 2,839,350 | |
Revenue Bonds | ||||
Future Tax Secured | ||||
Subordinated Series 2020D-3 | ||||
11/01/2032 | 2.400% | 1,045,000 | 1,068,533 |
Municipal Bonds (continued) | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
New York State Dormitory Authority | ||||
Refunding Revenue Bonds | ||||
Taxable | ||||
Series 2020F | ||||
02/15/2032 | 2.957% | 1,250,000 | 1,332,354 | |
State of Illinois | ||||
Revenue Bonds | ||||
Taxable Sales Tax | ||||
Series 2013 | ||||
06/15/2028 | 3.350% | 2,500,000 | 2,566,994 | |
Total | 7,807,231 | |||
Transportation 0.0% | ||||
Metropolitan Transportation Authority | ||||
Revenue Bonds | ||||
Taxable Green Bonds | ||||
Series 2020C-2 | ||||
11/15/2049 | 5.175% | 810,000 | 1,031,326 | |
Turnpike / Bridge / Toll Road 0.1% | ||||
Bay Area Toll Authority | ||||
Revenue Bonds | ||||
Series 2009 (BAM) | ||||
04/01/2049 | 6.263% | 1,920,000 | 3,046,218 | |
Pennsylvania Turnpike Commission | ||||
Revenue Bonds | ||||
Build America Bonds | ||||
Series 2009 | ||||
12/01/2039 | 6.105% | 1,620,000 | 2,240,672 | |
Texas Private Activity Bond Surface Transportation Corp. | ||||
Revenue Bonds | ||||
Taxable North Tarrant Express Managed Lanes Project | ||||
Series 2019 | ||||
12/31/2049 | 3.922% | 875,000 | 939,412 | |
Total | 6,226,302 | |||
Water & Sewer 0.0% | ||||
City of San Francisco Public Utilities Commission Water | ||||
Refunding Revenue Bonds | ||||
Taxable Green Bonds | ||||
11/01/2041 | 2.825% | 2,565,000 | 2,602,534 | |
Total Municipal Bonds (Cost $39,182,110) | 42,006,974 | |||
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 51 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Residential Mortgage-Backed Securities - Agency 17.7% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp. | ||||
03/01/2022- 08/01/2022 | 8.500% | 678 | 684 | |
08/01/2024- 02/01/2025 | 8.000% | 7,920 | 8,479 | |
10/01/2028- 07/01/2032 | 7.000% | 144,710 | 167,168 | |
03/01/2031- 03/01/2047 | 3.000% | 23,124,829 | 24,371,489 | |
10/01/2031- 07/01/2037 | 6.000% | 548,307 | 650,944 | |
04/01/2033- 09/01/2039 | 5.500% | 876,889 | 1,014,483 | |
05/01/2033- 01/01/2050 | 3.500% | 79,933,508 | 86,078,983 | |
10/01/2039- 08/01/2048 | 5.000% | 1,504,210 | 1,675,827 | |
09/01/2040- 04/01/2049 | 4.000% | 21,816,004 | 23,815,441 | |
09/01/2040- 10/01/2048 | 4.500% | 6,309,082 | 6,865,166 | |
06/01/2050 | 2.500% | 13,594,387 | 14,093,240 | |
CMO Series 2060 Class Z | ||||
05/15/2028 | 6.500% | 103,550 | 117,814 | |
CMO Series 2310 Class Z | ||||
04/15/2031 | 6.000% | 83,648 | 96,283 | |
CMO Series 2725 Class TA | ||||
12/15/2033 | 4.500% | 1,525,000 | 1,764,768 | |
CMO Series 2882 Class ZC | ||||
11/15/2034 | 6.000% | 4,111,980 | 4,664,010 | |
CMO Series 2953 Class LZ | ||||
03/15/2035 | 6.000% | 2,631,576 | 3,232,148 | |
CMO Series 3028 Class ZE | ||||
09/15/2035 | 5.500% | 134,656 | 146,435 | |
CMO Series 3032 Class PZ | ||||
09/15/2035 | 5.800% | 321,826 | 430,620 | |
CMO Series 3071 Class ZP | ||||
11/15/2035 | 5.500% | 7,069,637 | 8,795,487 | |
CMO Series 3121 Class EZ | ||||
03/15/2036 | 6.000% | 114,259 | 134,165 | |
CMO Series 3181 Class AZ | ||||
07/15/2036 | 6.500% | 60,455 | 72,391 | |
CMO Series 353 Class 300 | ||||
12/15/2046 | 3.000% | 9,240,127 | 9,694,431 | |
CMO Series 3740 Class BA | ||||
10/15/2040 | 4.000% | 2,159,852 | 2,422,919 | |
CMO Series 3747 Class HY | ||||
10/15/2040 | 4.500% | 2,991,000 | 3,382,693 | |
CMO Series 3753 Class KZ | ||||
11/15/2040 | 4.500% | 6,543,343 | 7,368,311 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 3769 Class ZC | ||||
12/15/2040 | 4.500% | 4,618,425 | 5,087,633 | |
CMO Series 3809 Class HZ | ||||
02/15/2041 | 4.000% | 2,655,409 | 3,002,143 | |
CMO Series 3841 Class JZ | ||||
04/15/2041 | 5.000% | 460,579 | 533,678 | |
CMO Series 3888 Class ZG | ||||
07/15/2041 | 4.000% | 873,301 | 949,380 | |
CMO Series 3926 Class NY | ||||
09/15/2041 | 4.000% | 701,139 | 774,528 | |
CMO Series 3928 Class MB | ||||
09/15/2041 | 4.500% | 1,569,947 | 1,663,755 | |
CMO Series 3934 Class CB | ||||
10/15/2041 | 4.000% | 4,586,932 | 5,099,676 | |
CMO Series 3982 Class TZ | ||||
01/15/2042 | 4.000% | 1,451,667 | 1,606,396 | |
CMO Series 4027 Class AB | ||||
12/15/2040 | 4.000% | 2,040,640 | 2,202,190 | |
CMO Series 4057 Class ZB | ||||
06/15/2042 | 3.500% | 5,462,592 | 5,958,128 | |
CMO Series 4057 Class ZL | ||||
06/15/2042 | 3.500% | 10,450,720 | 10,982,058 | |
CMO Series 4077 Class KM | ||||
11/15/2041 | 3.500% | 328,176 | 342,926 | |
CMO Series 4091 Class KB | ||||
08/15/2042 | 3.000% | 6,500,000 | 6,865,300 | |
CMO Series 4182 Class QN | ||||
02/15/2033 | 3.000% | 1,888,052 | 1,941,544 | |
CMO Series 4361 Class VB | ||||
02/15/2038 | 3.000% | 6,183,756 | 6,446,668 | |
CMO Series 4421 Class PB | ||||
12/15/2044 | 4.000% | 5,941,237 | 6,721,528 | |
CMO Series 4440 Class ZX | ||||
01/15/2045 | 4.000% | 11,551,425 | 13,427,400 | |
CMO Series 4463 Class ZA | ||||
04/15/2045 | 4.000% | 5,099,911 | 5,650,429 | |
CMO Series 4495 Class PA | ||||
09/15/2043 | 3.500% | 265,944 | 278,179 | |
CMO Series 4682 Class HZ | ||||
04/15/2047 | 3.500% | 3,450,118 | 3,715,779 | |
CMO Series 4758 Class HA | ||||
06/15/2045 | 4.000% | 850,018 | 862,703 | |
CMO Series 4771 Class HZ | ||||
03/15/2048 | 3.500% | 8,962,292 | 9,807,465 | |
CMO Series 4774 Class KA | ||||
12/15/2045 | 4.500% | 1,999,647 | 2,073,296 |
52 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 4776 Class DW | ||||
09/15/2044 | 4.000% | 3,391,826 | 3,416,876 | |
CMO Series 4787 Class PY | ||||
05/15/2048 | 4.000% | 2,326,207 | 2,497,966 | |
CMO Series 4793 Class CD | ||||
06/15/2048 | 3.000% | 1,781,243 | 1,856,702 | |
CMO Series 4800 Class KG | ||||
11/15/2045 | 3.500% | 1,076,715 | 1,088,501 | |
CMO Series 4839 Class A | ||||
04/15/2051 | 4.000% | 3,970,457 | 4,358,331 | |
CMO Series 4846 Class MC | ||||
06/15/2046 | 4.000% | 2,558,021 | 2,599,741 | |
CMO Series 4941 Class CZ | ||||
11/25/2049 | 3.000% | 1,043,354 | 1,097,658 | |
Federal Home Loan Mortgage Corp.(b),(g) | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 11/15/2043 | 5.999% | 22,811,057 | 3,996,472 | |
CMO Series 2013-4258 Class SJ | ||||
-1.0 x 1-month USD LIBOR + 6.650% Cap 6.650% 10/15/2043 | 6.549% | 5,077,831 | 1,147,553 | |
CMO Series 2014-4313 Class MS | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 04/15/2039 | 6.049% | 7,400,571 | 1,299,516 | |
CMO Series 3404 Class AS | ||||
-1.0 x 1-month USD LIBOR + 5.895% Cap 5.895% 01/15/2038 | 5.794% | 2,423,693 | 449,617 | |
CMO Series 3578 Class DI | ||||
-1.0 x 1-month USD LIBOR + 6.650% Cap 6.650% 04/15/2036 | 6.549% | 3,596,999 | 647,166 | |
CMO Series 3892 Class SC | ||||
-1.0 x 1-month USD LIBOR + 5.950% Cap 5.950% 07/15/2041 | 5.849% | 5,480,642 | 1,030,224 | |
CMO Series 3997 Class SK | ||||
-1.0 x 1-month USD LIBOR + 6.600% Cap 6.600% 11/15/2041 | 6.499% | 14,131,863 | 1,850,474 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 4087 Class SC | ||||
-1.0 x 1-month USD LIBOR + 5.550% Cap 5.550% 07/15/2042 | 5.449% | 6,573,870 | 1,156,187 | |
CMO Series 4281 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 12/15/2043 | 5.999% | 11,447,484 | 2,047,424 | |
CMO Series 4635 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 12/15/2046 | 5.999% | 17,982,141 | 3,002,989 | |
CMO Series 4910 Class SG | ||||
1-month LIBID + 6.050% Cap 6.050% 09/25/2049 | 5.958% | 25,499,198 | 5,595,059 | |
Federal Home Loan Mortgage Corp.(m) | ||||
01/01/2050- 06/01/2050 | 3.000% | 15,874,172 | 16,802,882 | |
Federal Home Loan Mortgage Corp.(b) | ||||
CMO Series 1486 Class FA | ||||
1-month USD LIBOR + 1.300% Floor 1.300%, Cap 10.000% 04/15/2023 | 1.401% | 82,598 | 83,200 | |
CMO Series 2380 Class F | ||||
1-month USD LIBOR + 0.450% Floor 0.450%, Cap 8.500% 11/15/2031 | 0.551% | 171,733 | 172,304 | |
CMO Series 2557 Class FG | ||||
1-month USD LIBOR + 0.400% Floor 0.400%, Cap 8.000% 01/15/2033 | 0.501% | 409,431 | 410,267 | |
CMO Series 2962 Class PF | ||||
1-month USD LIBOR + 0.250% Floor 0.250%, Cap 7.000% 03/15/2035 | 0.351% | 178,171 | 178,479 | |
CMO Series 2981 Class FU | ||||
1-month USD LIBOR + 0.200% Floor 0.200%, Cap 8.000% 05/15/2030 | 0.301% | 355,551 | 354,533 | |
CMO Series 3065 Class EB | ||||
-3.0 x 1-month USD LIBOR + 19.890% Cap 19.890% 11/15/2035 | 19.587% | 438,603 | 643,835 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 53 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 3081 Class GC | ||||
-3.7 x 1-month USD LIBOR + 23.833% Cap 23.833% 12/15/2035 | 23.463% | 767,943 | 1,223,370 | |
CMO Series 3085 Class FV | ||||
1-month USD LIBOR + 0.700% Floor 0.700%, Cap 8.000% 08/15/2035 | 0.801% | 721,010 | 735,287 | |
CMO Series 3564 Class FC | ||||
1-month USD LIBOR + 1.250% Floor 1.250%, Cap 6.500% 01/15/2037 | 1.342% | 321,248 | 332,192 | |
CMO Series 3680 Class FA | ||||
1-month USD LIBOR + 1.000% Floor 1.000%, Cap 6.000% 06/15/2040 | 1.101% | 1,049,545 | 1,075,983 | |
CMO Series 3852 Class QN | ||||
-3.6 x 1-month USD LIBOR + 27.211% Cap 5.500% 05/15/2041 | 5.500% | 37,310 | 40,149 | |
CMO Series 4048 Class FJ | ||||
1-month USD LIBOR + 0.400% Floor 0.400%, Cap 9,999.000% 07/15/2037 | 0.492% | 251,223 | 250,701 | |
CMO Series 4364 Class FE | ||||
1-month USD LIBOR + 0.300% Floor 0.300%, Cap 7.000% 12/15/2039 | 0.401% | 18,980 | 18,985 | |
Federal Home Loan Mortgage Corp.(f),(g) | ||||
CMO Series 351 Class 213 | ||||
02/15/2046 | 3.958% | 559,025 | 75,866 | |
CMO Series 364 Class 141 | ||||
12/15/2046 | 2.897% | 619,660 | 61,450 | |
CMO Series 364 Class 151 | ||||
12/15/2046 | 3.441% | 651,214 | 72,767 | |
CMO Series 364 Class 158 | ||||
12/15/2046 | 3.872% | 357,783 | 46,117 | |
CMO Series 364 Class 167 | ||||
12/15/2046 | 2.533% | 465,630 | 50,590 | |
CMO Series 364 Class C23 | ||||
12/15/2046 | 2.949% | 6,997,190 | 819,644 | |
CMO Series 364 Class C24 | ||||
12/15/2046 | 3.478% | 4,067,816 | 552,941 | |
CMO Series 364 Class C25 | ||||
12/15/2046 | 4.096% | 1,258,081 | 204,725 | |
CMO Series 368 Class C15 | ||||
01/25/2048 | 3.302% | 8,381,247 | 918,212 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 3833 Class LI | ||||
10/15/2040 | 1.910% | 9,411,699 | 605,538 | |
CMO Series 5094 Class IO | ||||
12/15/2048 | 1.697% | 15,331,768 | 1,449,337 | |
Federal Home Loan Mortgage Corp.(g) | ||||
CMO Series 364 Class C15 | ||||
12/15/2046 | 3.500% | 8,726,845 | 1,236,978 | |
CMO Series 4146 Class IA | ||||
12/15/2032 | 3.500% | 7,779,909 | 890,165 | |
CMO Series 4186 Class IB | ||||
03/15/2033 | 3.000% | 7,623,889 | 760,263 | |
CMO Series 4627 Class PI | ||||
05/15/2044 | 3.500% | 5,377,557 | 430,731 | |
CMO Series 4698 Class BI | ||||
07/15/2047 | 5.000% | 18,969,154 | 3,520,751 | |
CMO Series 5048 Class HI | ||||
01/15/2042 | 4.500% | 4,504,647 | 802,601 | |
CMO Series 5078 Class NI | ||||
06/15/2042 | 4.000% | 2,740,000 | 752,073 | |
Federal Home Loan Mortgage Corp.(b),(m) | ||||
CMO Series 5115 Class FD | ||||
30-day Average SOFR + 0.250% Floor 0.250%, Cap 4.000% 08/15/2043 | 0.260% | 10,000,000 | 9,930,657 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(f),(g) | ||||
CMO Series K051 Class X1 | ||||
09/25/2025 | 0.538% | 18,342,692 | 380,559 | |
CMO Series K058 Class X1 | ||||
08/25/2026 | 0.923% | 2,423,757 | 104,034 | |
CMO Series KW02 Class X1 | ||||
12/25/2026 | 0.296% | 10,890,093 | 111,672 | |
Federal Home Loan Mortgage Corp. REMICS(g) | ||||
CMO Series 4257 Class IK | ||||
12/15/2042 | 4.000% | 6,815,488 | 1,032,352 | |
CMO Series 5095 Class AI | ||||
04/25/2051 | 3.500% | 34,992,891 | 5,428,538 | |
Federal Home Loan Mortgage Corp. REMICS(f),(g) | ||||
CMO Series 5065 Class EI | ||||
11/25/2044 | 5.416% | 2,208,521 | 509,366 | |
Federal National Mortgage Association | ||||
04/01/2023 | 8.500% | 6 | 6 | |
06/01/2024 | 9.000% | 209 | 210 | |
02/01/2025- 08/01/2027 | 8.000% | 18,254 | 19,966 | |
03/01/2026- 07/01/2038 | 7.000% | 500,064 | 594,417 |
54 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
04/01/2027- 06/01/2032 | 7.500% | 36,811 | 41,499 | |
05/01/2029- 10/01/2040 | 6.000% | 1,720,856 | 2,033,402 | |
08/01/2029- 03/01/2050 | 3.000% | 44,272,700 | 46,639,664 | |
01/01/2031 | 2.500% | 2,127,300 | 2,240,990 | |
03/01/2033- 04/01/2041 | 5.500% | 871,136 | 1,005,968 | |
10/01/2033- 06/01/2049 | 3.500% | 81,331,300 | 87,202,062 | |
07/01/2039- 10/01/2041 | 5.000% | 2,990,249 | 3,400,342 | |
08/01/2040- 11/01/2040 | 2.000% | 22,341,750 | 22,824,765 | |
10/01/2040- 06/01/2056 | 4.500% | 11,414,091 | 12,564,825 | |
02/01/2041- 06/01/2047 | 4.000% | 47,911,483 | 52,544,369 | |
CMO Series 2003-22 Class Z | ||||
04/25/2033 | 6.000% | 120,376 | 140,254 | |
CMO Series 2003-33 Class PT | ||||
05/25/2033 | 4.500% | 6,618 | 7,406 | |
CMO Series 2007-50 Class DZ | ||||
06/25/2037 | 5.500% | 694,115 | 806,195 | |
CMO Series 2010-139 Class HA | ||||
11/25/2040 | 4.000% | 1,942,136 | 2,166,275 | |
CMO Series 2010-37 Class A1 | ||||
05/25/2035 | 5.410% | 414,291 | 432,546 | |
CMO Series 2011-18 Class ZK | ||||
03/25/2041 | 4.000% | 4,982,466 | 5,414,912 | |
CMO Series 2011-53 Class WT | ||||
06/25/2041 | 4.500% | 461,373 | 521,788 | |
CMO Series 2011-87 Class GB | ||||
09/25/2041 | 4.500% | 7,000,000 | 8,309,769 | |
CMO Series 2012-121 Class GZ | ||||
11/25/2042 | 3.500% | 12,553,428 | 13,621,454 | |
CMO Series 2012-68 Class ZA | ||||
07/25/2042 | 3.500% | 8,974,129 | 9,796,359 | |
CMO Series 2012-94 | ||||
09/25/2042 | 3.500% | 5,430,866 | 5,898,261 | |
CMO Series 2013-106 Class LA | ||||
08/25/2041 | 4.000% | 2,561,423 | 2,855,359 | |
CMO Series 2013-126 Class ZA | ||||
07/25/2032 | 4.000% | 15,178,337 | 15,652,915 | |
CMO Series 2013-16 Class GD | ||||
03/25/2033 | 3.000% | 4,728,395 | 4,866,553 | |
CMO Series 2013-66 Class AP | ||||
05/25/2043 | 6.000% | 400,813 | 447,758 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2016-9 Class A | ||||
09/25/2043 | 3.000% | 183,856 | 186,277 | |
CMO Series 2018-38 Class PA | ||||
06/25/2047 | 3.500% | 1,284,988 | 1,340,692 | |
CMO Series 2018-55 Class PA | ||||
01/25/2047 | 3.500% | 4,526,518 | 4,687,282 | |
CMO Series 2018-64 Class ET | ||||
09/25/2048 | 3.000% | 5,606,621 | 5,896,285 | |
CMO Series 2018-94D Class KD | ||||
12/25/2048 | 3.500% | 2,074,777 | 2,169,129 | |
CMO Series 2019-9 Class DZ | ||||
03/25/2049 | 4.000% | 5,360,652 | 5,829,284 | |
CMO Series 98-17 Class Z | ||||
04/18/2028 | 6.500% | 84,218 | 92,269 | |
Federal National Mortgage Association(b) | ||||
6-month USD LIBOR + 1.445% Floor 1.445%, Cap 9.873% 04/01/2034 | 1.695% | 83,372 | 83,751 | |
CMO Series 2002-59 Class HF | ||||
1-month USD LIBOR + 0.350% Floor 0.350%, Cap 8.000% 08/17/2032 | 0.451% | 108,946 | 109,007 | |
CMO Series 2004-93 Class FC | ||||
1-month USD LIBOR + 0.200% Floor 0.200%, Cap 8.000% 12/25/2034 | 0.292% | 552,076 | 550,592 | |
CMO Series 2006-71 Class SH | ||||
-2.6 x 1-month USD LIBOR + 15.738% Cap 15.738% 05/25/2035 | 15.497% | 193,816 | 252,573 | |
CMO Series 2007-90 Class F | ||||
1-month USD LIBOR + 0.490% Floor 0.490%, Cap 7.000% 09/25/2037 | 0.582% | 242,887 | 245,924 | |
CMO Series 2007-W7 Class 1A4 | ||||
-6.0 x 1-month USD LIBOR + 39.180% Cap 39.180% 07/25/2037 | 38.630% | 78,121 | 136,806 | |
CMO Series 2008-15 Class AS | ||||
-5.0 x 1-month USD LIBOR + 33.000% Cap 33.000% 08/25/2036 | 32.542% | 378,333 | 713,584 | |
CMO Series 2010-142 Class HS | ||||
-2.0 x 1-month USD LIBOR + 10.000% Cap 10.000% 12/25/2040 | 9.816% | 655,136 | 703,683 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 55 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2010-150 Class FL | ||||
1-month USD LIBOR + 0.550% Floor 0.550%, Cap 7.000% 10/25/2040 | 0.642% | 244,515 | 247,402 | |
CMO Series 2012-1 Class FA | ||||
1-month USD LIBOR + 0.500% Floor 0.500%, Cap 6.500% 02/25/2042 | 0.592% | 1,310,223 | 1,323,624 | |
CMO Series 2012-115 Class MT | ||||
-3.0 x 1-month USD LIBOR + 13.500% Cap 4.500% 10/25/2042 | 4.500% | 880,697 | 878,607 | |
CMO Series 2016-32 Class GT | ||||
-4.5 x 1-month USD LIBOR + 18.000% Cap 4.500% 01/25/2043 | 4.500% | 264,975 | 275,932 | |
Federal National Mortgage Association(m) | ||||
05/01/2041 | 2.000% | 5,307,452 | 5,413,635 | |
Federal National Mortgage Association(b),(g) | ||||
CMO Series 2004-29 Class PS | ||||
-1.0 x 1-month USD LIBOR + 7.600% Cap 7.600% 05/25/2034 | 7.508% | 1,589,399 | 354,094 | |
CMO Series 2006-43 Class SJ | ||||
-1.0 x 1-month USD LIBOR + 6.590% Cap 6.590% 06/25/2036 | 6.498% | 1,177,990 | 231,882 | |
CMO Series 2009-100 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 12/25/2039 | 6.108% | 3,875,362 | 824,069 | |
CMO Series 2009-87 Class NS | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 11/25/2039 | 6.158% | 6,057,046 | 1,010,852 | |
CMO Series 2010-131 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.600% Cap 6.600% 11/25/2040 | 6.508% | 4,814,980 | 1,088,079 | |
CMO Series 2010-21 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 03/25/2040 | 6.158% | 9,142,921 | 1,736,205 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2010-57 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.450% Cap 6.450% 06/25/2040 | 6.358% | 2,252,949 | 428,565 | |
CMO Series 2011-131 Class ST | ||||
-1.0 x 1-month USD LIBOR + 6.540% Cap 6.540% 12/25/2041 | 6.448% | 27,931,660 | 5,974,853 | |
CMO Series 2011-47 Class GS | ||||
-1.0 x 1-month USD LIBOR + 5.930% Cap 5.930% 06/25/2041 | 5.838% | 7,599,971 | 1,285,309 | |
CMO Series 2012-17 Class MS | ||||
-1.0 x 1-month USD LIBOR + 6.700% Cap 6.700% 03/25/2027 | 6.608% | 3,767,646 | 343,867 | |
CMO Series 2013-10 Class SJ | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 02/25/2043 | 6.058% | 6,440,806 | 1,150,904 | |
CMO Series 2013-19 Class KS | ||||
-1.0 x 3-month USD LIBOR + 6.200% Cap 6.200% 10/25/2041 | 6.108% | 7,952,206 | 1,062,164 | |
CMO Series 2013-34 Class SC | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 04/25/2043 | 6.058% | 16,613,637 | 4,172,149 | |
CMO Series 2014-40 Class HS | ||||
-1.0 x 1-month USD LIBOR + 6.700% Cap 6.700% 07/25/2044 | 6.608% | 4,693,958 | 1,256,602 | |
CMO Series 2014-52 Class SL | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 09/25/2044 | 6.008% | 7,748,300 | 1,396,426 | |
CMO Series 2015-81 Class SD | ||||
-1.0 x 1-month USD LIBOR + 6.700% Cap 6.700% 01/25/2037 | 6.608% | 6,698,019 | 1,191,971 |
56 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2016-19 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 04/25/2046 | 6.008% | 7,243,502 | 1,254,317 | |
CMO Series 2016-32 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 10/25/2034 | 6.008% | 3,301,316 | 559,861 | |
CMO Series 2016-60 Class QS | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 09/25/2046 | 6.008% | 9,729,677 | 1,833,168 | |
CMO Series 2016-60 Class SD | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 09/25/2046 | 6.008% | 31,085,022 | 5,399,907 | |
CMO Series 2016-60 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 09/25/2046 | 6.158% | 9,220,267 | 1,624,376 | |
CMO Series 2016-82 Class SG | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 11/25/2046 | 6.008% | 12,706,303 | 2,304,559 | |
CMO Series 2016-88 Class BS | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 12/25/2046 | 6.008% | 9,386,013 | 1,752,002 | |
CMO Series 2016-93 Class SL | ||||
-1.0 x 1-month USD LIBOR + 6.650% Cap 6.650% 12/25/2046 | 6.558% | 6,036,576 | 1,158,431 | |
CMO Series 2017-26 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 04/25/2047 | 6.058% | 8,813,207 | 1,710,903 | |
CMO Series 2017-57 Class SD | ||||
-1.0 x 1-month USD LIBOR + 3.950% Cap 2.750% 08/25/2047 | 2.750% | 10,057,099 | 867,706 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2018-43 Class SE | ||||
-1.0 x 1-month USD LIBOR + 6.250% Cap 6.250% 09/25/2038 | 6.158% | 6,984,318 | 1,290,797 | |
CMO Series 2018-61 Class SA | ||||
1-month USD LIBOR + 6.200% Cap 6.200% 08/25/2048 | 6.108% | 4,866,656 | 905,183 | |
CMO Series 2019-35 Class SH | ||||
-1.0 x 1-month USD LIBOR + 6.150% Cap 6.150% 07/25/2049 | 6.058% | 21,227,252 | 3,943,138 | |
CMO Series 2019-39 Class SB | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 08/25/2049 | 6.008% | 20,303,839 | 3,733,586 | |
Federal National Mortgage Association(g) | ||||
CMO Series 2013-16 Class MI | ||||
03/25/2043 | 4.000% | 5,859,036 | 737,791 | |
CMO Series 2013-23 Class AI | ||||
03/25/2043 | 5.000% | 7,778,272 | 1,412,399 | |
CMO Series 2013-35 Class IB | ||||
04/25/2033 | 3.000% | 9,625,385 | 1,063,645 | |
CMO Series 2013-41 Class HI | ||||
02/25/2033 | 3.000% | 10,711,058 | 943,220 | |
CMO Series 2015-54 Class GI | ||||
07/25/2045 | 5.500% | 29,940,532 | 5,515,944 | |
CMO Series 2020-42 Class AI | ||||
06/25/2050 | 2.500% | 22,993,052 | 2,951,715 | |
CMO Series 2020-72 Class LI | ||||
12/25/2040 | 5.000% | 6,000,000 | 1,686,071 | |
CMO Series 2021-33 Class AI | ||||
05/25/2047 | 2.500% | 40,000,000 | 5,574,648 | |
CMO Series 385 Class 8 | ||||
12/25/2037 | 5.500% | 3,180,687 | 650,153 | |
Federal National Mortgage Association(f) | ||||
CMO Series 2016-40 Class GA | ||||
07/25/2046 | 2.324% | 7,148,410 | 7,514,419 | |
Federal National Mortgage Association(f),(g) | ||||
CMO Series 2021-24 Class IO | ||||
03/25/2059 | 1.249% | 9,025,971 | 743,540 | |
Federal National Mortgage Association(h) | ||||
CMO Series G93-28 Class E | ||||
07/25/2022 | 0.000% | 29,375 | 29,288 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 57 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Government National Mortgage Association | ||||
05/15/2040- 10/20/2048 | 5.000% | 4,880,931 | 5,389,076 | |
05/20/2041- 08/20/2048 | 4.500% | 8,012,156 | 8,679,245 | |
02/15/2042- 10/20/2048 | 4.000% | 11,268,178 | 12,107,887 | |
03/20/2046- 07/20/2049 | 3.500% | 23,749,329 | 25,135,597 | |
12/20/2046- 10/20/2049 | 3.000% | 12,994,638 | 13,700,157 | |
CMO Series 2005-45 Class ZA | ||||
06/16/2035 | 6.000% | 1,425,872 | 1,877,615 | |
CMO Series 2009-104 Class YD | ||||
11/20/2039 | 5.000% | 2,134,929 | 2,433,156 | |
CMO Series 2009-55 Class LX | ||||
07/20/2039 | 5.000% | 2,527,906 | 2,828,320 | |
CMO Series 2009-67 Class DB | ||||
08/20/2039 | 5.000% | 2,903,353 | 3,287,376 | |
CMO Series 2010-108 Class WL | ||||
04/16/2040 | 4.000% | 2,860,053 | 3,159,795 | |
CMO Series 2010-120 Class AY | ||||
09/20/2040 | 4.000% | 2,684,059 | 3,006,262 | |
CMO Series 2010-135 Class PE | ||||
10/16/2040 | 4.000% | 5,721,355 | 6,347,229 | |
CMO Series 2011-22 Class PL | ||||
02/20/2041 | 5.000% | 2,015,000 | 2,398,654 | |
CMO Series 2013-H07 Class JA | ||||
03/20/2063 | 1.750% | 14,077 | 14,118 | |
CMO Series 2014-3 Class EP | ||||
02/16/2043 | 2.750% | 9,098,707 | 9,612,470 | |
CMO Series 2018-115 Class DE | ||||
08/20/2048 | 3.500% | 2,934,665 | 3,150,960 | |
CMO Series 2018-53 Class AL | ||||
11/20/2045 | 3.500% | 733,755 | 787,141 | |
CMO Series 2019-H04 Class NA | ||||
09/20/2068 | 3.500% | 610,192 | 658,258 | |
CMO Series 2019-H17 | ||||
03/20/2069 | 3.000% | 1,216,481 | 1,263,884 | |
Government National Mortgage Association(b) | ||||
1-year CMT + 1.137% 03/20/2066 | 1.217% | 338,625 | 345,308 | |
1-year CMT + 0.685% 04/20/2066 | 0.764% | 572,675 | 581,673 | |
CMO Series 2003-60 Class GS | ||||
-1.7 x 1-month USD LIBOR + 12.417% Cap 12.417% 05/16/2033 | 12.249% | 109,203 | 117,443 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2006-37 Class AS | ||||
-6.0 x 1-month USD LIBOR + 39.660% Cap 39.660% 07/20/2036 | 39.065% | 779,004 | 1,566,900 | |
CMO Series 2010-H03 Class FA | ||||
1-month USD LIBOR + 0.550% Floor 0.550%, Cap 10.690% 03/20/2060 | 0.659% | 663,161 | 666,871 | |
CMO Series 2010-H26 Class LF | ||||
1-month USD LIBOR + 0.350% Floor 0.350%, Cap 13.898% 08/20/2058 | 0.460% | 258,900 | 259,301 | |
CMO Series 2011-114 Class KF | ||||
1-month USD LIBOR + 0.450% Floor 0.450%, Cap 6.500% 03/20/2041 | 0.549% | 141,465 | 140,585 | |
CMO Series 2012-H20 Class BA | ||||
1-month USD LIBOR + 0.560% Floor 0.560% 09/20/2062 | 0.670% | 181,085 | 181,979 | |
CMO Series 2012-H21 Class CF | ||||
1-month USD LIBOR + 0.700% Floor 0.700% 05/20/2061 | 0.810% | 2,725 | 2,756 | |
CMO Series 2012-H21 Class DF | ||||
1-month USD LIBOR + 0.650% Floor 0.650% 05/20/2061 | 0.760% | 2,429 | 2,453 | |
CMO Series 2012-H25 Class FA | ||||
1-month USD LIBOR + 0.700% Floor 0.700% 12/20/2061 | 0.810% | 27,520 | 27,926 | |
CMO Series 2013-115 Class EF | ||||
1-month USD LIBOR + 0.250% Floor 0.250%, Cap 6.500% 04/16/2028 | 0.351% | 213,091 | 213,256 | |
CMO Series 2013-H02 Class FD | ||||
1-month USD LIBOR + 0.340% Floor 0.340%, Cap 10.500% 12/20/2062 | 0.450% | 258,710 | 259,032 | |
CMO Series 2013-H05 Class FB | ||||
1-month USD LIBOR + 0.400% Floor 0.400% 02/20/2062 | 0.510% | 13,423 | 13,439 | |
CMO Series 2013-H08 Class BF | ||||
1-month USD LIBOR + 0.400% Floor 0.400%, Cap 10.000% 03/20/2063 | 0.510% | 1,326,266 | 1,329,516 |
58 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2013-H14 Class FD | ||||
1-month USD LIBOR + 0.470% Floor 0.470%, Cap 11.000% 06/20/2063 | 0.580% | 1,240,452 | 1,245,255 | |
CMO Series 2013-H17 Class FA | ||||
1-month USD LIBOR + 0.550% Floor 0.550%, Cap 11.000% 07/20/2063 | 0.660% | 466,179 | 468,144 | |
CMO Series 2013-H18 Class EA | ||||
1-month USD LIBOR + 0.500% Floor 0.500%, Cap 10.190% 07/20/2063 | 0.610% | 411,054 | 412,697 | |
CMO Series 2013-H19 Class FC | ||||
1-month USD LIBOR + 0.600% Floor 0.600%, Cap 11.000% 08/20/2063 | 0.710% | 2,986,317 | 2,999,798 | |
CMO Series 2015-H26 Class FC | ||||
1-month USD LIBOR + 0.600% Floor 0.600%, Cap 11.000% 08/20/2065 | 0.710% | 300,922 | 302,436 | |
CMO Series 2016-H04 Class FG | ||||
1-month USD LIBOR + 0.700% Floor 0.700%, Cap 999.000% 12/20/2061 | 0.810% | 22,027 | 22,172 | |
CMO Series 2017-H03 Class FB | ||||
1-month USD LIBOR + 0.650% Floor 0.650% 06/20/2066 | 0.760% | 3,511,510 | 3,536,312 | |
CMO Series 2018-H04 Class FM | ||||
1-month USD LIBOR + 0.300% Floor 0.300%, Cap 11.000% 03/20/2068 | 0.410% | 3,220,210 | 3,222,346 | |
CMO Series 2019-H01 Class FL | ||||
1-month USD LIBOR + 0.450% Floor 0.450%, Cap 11.000% 12/20/2068 | 0.560% | 690,908 | 691,711 | |
CMO Series 2019-H10 Class FM | ||||
1-month USD LIBOR + 0.400% Floor 0.400%, Cap 11.000% 05/20/2069 | 0.510% | 2,841,728 | 2,839,915 | |
Government National Mortgage Association(b),(g) | ||||
CMO Series 2010-31 Class ES | ||||
-1.0 x 1-month USD LIBOR + 5.000% Cap 5.000% 03/20/2040 | 4.901% | 11,164,772 | 1,809,121 | |
CMO Series 2011-13 Class S | ||||
1-month LIBID + 5.950% Cap 5.950% 01/16/2041 | 5.849% | 7,082,226 | 1,248,492 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2011-30 Class SB | ||||
1-month LIBID + 6.600% Cap 6.600% 02/20/2041 | 6.501% | 3,577,849 | 632,728 | |
CMO Series 2015-155 Class SA | ||||
-1.0 x 1-month USD LIBOR + 5.700% Cap 5.700% 10/20/2045 | 5.601% | 5,265,035 | 841,738 | |
CMO Series 2017-93 Class CS | ||||
-1.0 x 1-month USD LIBOR + 6.200% Cap 6.200% 06/20/2047 | 6.101% | 14,608,889 | 3,127,534 | |
CMO Series 2019-123 Class SP | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 10/20/2049 | 6.001% | 24,578,558 | 3,307,598 | |
CMO Series 2019-13 Class SA | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 01/20/2049 | 6.001% | 18,004,901 | 2,889,106 | |
CMO Series 2019-6 Class SJ | ||||
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 01/20/2049 | 6.001% | 18,156,875 | 2,909,853 | |
CMO Series 2019-86 Class SG | ||||
-1.0 x 1-month USD LIBOR + 5.600% Cap 5.600% 07/20/2049 | 5.501% | 6,914,365 | 1,123,803 | |
Government National Mortgage Association(f) | ||||
CMO Series 2010-H17 Class XQ | ||||
07/20/2060 | 5.210% | 3,847 | 3,999 | |
CMO Series 2017-H04 Class DA | ||||
12/20/2066 | 4.365% | 1,502 | 1,612 | |
Series 2003-72 Class Z | ||||
11/16/2045 | 5.295% | 398,525 | 435,004 | |
Government National Mortgage Association(f),(g) | ||||
CMO Series 2014-150 Class IO | ||||
07/16/2056 | 0.385% | 14,272,845 | 372,967 | |
CMO Series 2014-H05 Class AI | ||||
02/20/2064 | 1.361% | 5,125,137 | 290,204 | |
CMO Series 2014-H14 Class BI | ||||
06/20/2064 | 1.668% | 6,341,483 | 398,378 | |
CMO Series 2014-H15 Class HI | ||||
05/20/2064 | 1.435% | 8,777,563 | 364,556 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 59 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2014-H20 Class HI | ||||
10/20/2064 | 1.295% | 3,022,710 | 167,508 | |
CMO Series 2015-163 Class IO | ||||
12/16/2057 | 0.753% | 2,665,641 | 97,688 | |
CMO Series 2015-189 Class IG | ||||
01/16/2057 | 0.838% | 13,415,845 | 554,949 | |
CMO Series 2015-30 Class IO | ||||
07/16/2056 | 0.724% | 3,825,067 | 154,727 | |
CMO Series 2015-32 Class IO | ||||
09/16/2049 | 0.684% | 6,592,837 | 206,778 | |
CMO Series 2015-73 Class IO | ||||
11/16/2055 | 0.678% | 3,586,747 | 116,318 | |
CMO Series 2015-9 Class IO | ||||
02/16/2049 | 0.766% | 11,444,826 | 357,796 | |
CMO Series 2015-H22 Class BI | ||||
09/20/2065 | 1.818% | 2,546,301 | 156,875 | |
CMO Series 2016-72 Class IO | ||||
12/16/2055 | 0.843% | 11,207,390 | 476,763 | |
CMO Series 2021-33 Class IO | ||||
10/16/2062 | 0.995% | 10,273,466 | 904,742 | |
CMO Series 2021-40 Class IO | ||||
02/16/2063 | 0.843% | 7,602,738 | 612,608 | |
CMO Series 2021-H03 Class IO | ||||
04/20/2070 | 4.163% | 24,791,306 | 3,047,380 | |
Government National Mortgage Association(g) | ||||
CMO Series 2016-88 Class PI | ||||
07/20/2046 | 4.000% | 9,790,849 | 1,574,139 | |
CMO Series 2017-101 Class AI | ||||
07/20/2047 | 4.000% | 7,391,574 | 1,000,915 | |
CMO Series 2017-52 Class AI | ||||
04/20/2047 | 6.000% | 4,931,223 | 902,394 | |
CMO Series 2017-68 Class TI | ||||
05/20/2047 | 5.500% | 2,030,402 | 346,886 | |
CMO Series 2019-108 Class MI | ||||
07/20/2049 | 3.500% | 13,349,405 | 1,702,207 | |
CMO Series 2019-99 Class AI | ||||
08/16/2049 | 4.000% | 6,109,873 | 1,397,964 | |
CMO Series 2020-134 Class AI | ||||
09/20/2050 | 3.000% | 15,808,119 | 1,928,799 | |
Government National Mortgage Association(e),(f),(g) | ||||
CMO Series 2021-H08 Class IA | ||||
01/20/2068 | 4.241% | 3,010,000 | 366,844 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Government National Mortgage Association TBA(c) | ||||
07/21/2050- 06/21/2051 | 2.500% | 95,343,000 | 98,706,902 | |
07/21/2050 | 3.000% | 1,300,000 | 1,355,859 | |
06/21/2051- 07/21/2051 | 2.000% | 84,675,000 | 86,062,166 | |
Seasoned Credit Risk Transfer Trust | ||||
CMO Series 2018-2 Class MV (FHLMC) | ||||
11/25/2057 | 3.500% | 4,447,296 | 4,898,335 | |
Uniform Mortgage-Backed Security TBA(c) | ||||
06/17/2036- 07/14/2051 | 2.000% | 375,969,000 | 380,702,594 | |
06/17/2036- 07/14/2050 | 3.000% | 31,100,000 | 32,507,125 | |
07/19/2036 | 1.500% | 32,400,000 | 32,755,356 | |
07/14/2050 | 2.500% | 288,816,000 | 298,371,746 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $1,866,375,360) | 1,901,598,576 | |||
Residential Mortgage-Backed Securities - Non-Agency 5.0% | ||||
ACE Securities Corp. Home Equity Loan Trust(b) | ||||
CMO Series 2006-OP1 Class A2D | ||||
1-month USD LIBOR + 0.240% Floor 0.240% 04/25/2036 | 0.572% | 11,224,067 | 10,804,320 | |
Ajax Mortgage Loan Trust(a),(f) | ||||
CMO Series 2019-F Class A1 | ||||
07/25/2059 | 2.860% | 8,253,347 | 8,350,681 | |
Banc of America Funding Trust | ||||
CMO Series 2006-3 Class 4A14 | ||||
03/25/2036 | 6.000% | 622,134 | 627,193 | |
CMO Series 2006-3 Class 5A3 | ||||
03/25/2036 | 5.500% | 526,795 | 526,393 | |
Banc of America Funding Trust(r) | ||||
CMO Series 2006-D Class 3A1 | ||||
05/20/2036 | 2.923% | 883,987 | 935,488 | |
Banc of America Funding Trust(b) | ||||
CMO Series 2007-C Class 7A1 | ||||
1-month USD LIBOR + 0.210% Floor 0.210% 05/20/2047 | 0.519% | 2,061,201 | 2,053,752 | |
Bayview Opportunity Master Fund IVa Trust(a) | ||||
CMO Series 2016-SPL1 Class A | ||||
04/28/2055 | 4.000% | 1,046,936 | 1,071,912 | |
Bellemeade Re Ltd.(a),(b) | ||||
CMO Series 2020-4A Class M2A | ||||
1-month USD LIBOR + 2.600% Floor 2.600% 06/25/2030 | 2.692% | 1,532,137 | 1,538,808 |
60 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Carrington Mortgage Loan Trust(b) | ||||
CMO Series 2006-NC3 Class A3 | ||||
1-month USD LIBOR + 0.150% Floor 0.150%, Cap 12.500% 08/25/2036 | 0.242% | 2,253,965 | 2,179,474 | |
Central Park Funding Trust(a),(b) | ||||
CMO Series 2021-1 Class A | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 08/29/2022 | 2.859% | 9,855,684 | 10,084,071 | |
CMO Series 2021-2 Class PT | ||||
1-month USD LIBOR + 3.000% 10/27/2022 | 3.111% | 7,589,845 | 7,641,216 | |
Chase Mortgage Finance Corp.(a),(f) | ||||
Subordinated CMO Series 2019-1 Class B2 | ||||
03/25/2050 | 3.919% | 969,212 | 1,008,157 | |
Subordinated Series 2016-SH1 Class M2 | ||||
04/25/2045 | 3.750% | 321,310 | 328,410 | |
CIM Group(a),(f) | ||||
CMO Series 2020-R7 Class A1A | ||||
12/27/2061 | 2.250% | 10,275,571 | 10,261,907 | |
CIM Trust(a),(b) | ||||
CMO Series 2018-R6 Class A1 | ||||
1-month USD LIBOR + 1.076% Floor 1.080% 09/25/2058 | 1.168% | 5,895,058 | 5,844,123 | |
CIM Trust(a),(f) | ||||
CMO Series 2019-J2 Class B1 | ||||
10/25/2049 | 3.831% | 865,869 | 906,882 | |
CMO Series 2019-R5 Class M2 | ||||
09/25/2059 | 3.250% | 1,100,000 | 1,154,663 | |
CMO Series 2020-R4 Class A1A | ||||
06/25/2060 | 3.300% | 9,232,137 | 9,191,856 | |
CMO Series 2020-R6 Class A1A | ||||
12/25/2060 | 2.250% | 6,161,599 | 6,116,434 | |
CMO Series 2021-R3 Class A1A | ||||
06/25/2057 | 1.951% | 13,518,090 | 13,648,157 | |
Citicorp Mortgage Securities Trust | ||||
CMO Series 2007-8 Class 1A3 | ||||
09/25/2037 | 6.000% | 346,494 | 353,571 | |
Citigroup Mortgage Loan Trust, Inc.(a),(f) | ||||
CMO Series 2014-12 Class 3A1 | ||||
10/25/2035 | 2.671% | 207,914 | 207,970 | |
CMO Series 2015-A Class A4 | ||||
06/25/2058 | 4.250% | 115,271 | 116,853 | |
COLT Mortgage Loan Trust(a) | ||||
CMO Series 2019-4 Class A3 | ||||
11/25/2049 | 2.988% | 760,066 | 763,036 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
COLT Mortgage Loan Trust(a),(f) | ||||
CMO Series 2020-1R Class A2 | ||||
09/25/2065 | 1.512% | 610,078 | 614,237 | |
Connecticut Avenue Securities Trust(a),(b) | ||||
CMO Series 2019-R01 Class 2M2 | ||||
1-month USD LIBOR + 2.450% 07/25/2031 | 2.542% | 1,231,775 | 1,237,264 | |
CMO Series 2019-R02 Class 1M2 | ||||
1-month USD LIBOR + 2.300% Floor 2.300% 08/25/2031 | 2.392% | 703,575 | 708,888 | |
CMO Series 2020-R02 Class 2M2 | ||||
1-month USD LIBOR + 2.000% 01/25/2040 | 2.092% | 945,079 | 948,760 | |
CMO Series 2020-SBT1 Class 1M2 | ||||
1-month USD LIBOR + 3.650% 02/25/2040 | 3.742% | 1,500,000 | 1,537,686 | |
CMO Series 2020-SBT1 Class 2M2 | ||||
1-month USD LIBOR + 3.650% 02/25/2040 | 3.742% | 3,500,000 | 3,605,526 | |
Subordinated CMO Series 2019-R05 Class 1B1 | ||||
1-month USD LIBOR + 4.100% 07/25/2039 | 4.192% | 2,000,000 | 2,031,936 | |
Countrywide Home Loan Mortgage Pass-Through Trust(f) | ||||
CMO Series 2007-HY5 Class 1A1 | ||||
09/25/2047 | 3.569% | 399,395 | 374,469 | |
Credit Suisse Mortgage Trust(a),(e) | ||||
CMO Series 2020-11R Class A1 | ||||
04/25/2038 | 2.000% | 5,053,067 | 5,053,067 | |
Credit-Based Asset Servicing & Securitization LLC(f) | ||||
CMO Series 2007-CB1 Class AF3 | ||||
01/25/2037 | 5.737% | 3,819,715 | 1,740,170 | |
CSMC Trust(a),(f) | ||||
CMO Series 2018-RPL9 Class A | ||||
09/25/2057 | 3.850% | 8,134,853 | 8,692,411 | |
CMO Series 2020-RPL2 Class A12 | ||||
02/25/2060 | 3.454% | 4,647,585 | 4,746,793 | |
CMO Series 2020-RPL6 Class A1 | ||||
03/25/2059 | 2.688% | 3,403,144 | 3,397,081 | |
CSMCM Trust Certificates(a),(f) | ||||
CMO Series 2018-RPL4 Class CERT | ||||
07/25/2050 | 3.735% | 2,358,870 | 2,422,822 | |
Deephaven Residential Mortgage Trust(a),(f) | ||||
CMO Series 2020-1 Class M1 | ||||
01/25/2060 | 3.010% | 1,000,000 | 1,026,855 | |
Domino’s Pizza Master Issuer LLC(a) | ||||
CMO Series 2015-1A Class A2II | ||||
10/25/2045 | 4.474% | 1,910,000 | 2,010,294 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 61 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Downey Savings & Loan Association Mortgage Loan Trust(b) | ||||
CMO Series 2005-AR6 Class 2A1A | ||||
1-month USD LIBOR + 0.290% Floor 0.290%, Cap 11.000% 10/19/2045 | 0.388% | 1,392,745 | 1,346,132 | |
CMO Series 2006-AR2 Class 2A1A | ||||
1-month USD LIBOR + 0.200% Floor 0.200% 10/19/2036 | 0.298% | 2,168,592 | 1,968,144 | |
Eagle Re Ltd.(a),(b) | ||||
CMO Series 2019-1 Class M1B | ||||
1-month USD LIBOR + 1.800% 04/25/2029 | 1.892% | 493,283 | 493,605 | |
Fannie Mae Connecticut Avenue Securities(b) | ||||
CMO Series 2015-C02 Class 1M2 | ||||
1-month USD LIBOR + 4.000% 05/25/2025 | 4.092% | 1,572,958 | 1,608,795 | |
CMO Series 2015-C03 Class 1M2 | ||||
1-month USD LIBOR + 5.000% Floor 5.000% 07/25/2025 | 5.092% | 295,514 | 303,896 | |
CMO Series 2015-C03 Class 2M2 | ||||
1-month USD LIBOR + 5.000% 07/25/2025 | 5.092% | 419,424 | 426,207 | |
CMO Series 2015-C04 Class 1M2 | ||||
1-month USD LIBOR + 5.700% 04/25/2028 | 5.792% | 1,751,598 | 1,854,604 | |
CMO Series 2015-C04 Class 2M2 | ||||
1-month USD LIBOR + 5.550% 04/25/2028 | 5.642% | 1,642,415 | 1,732,070 | |
CMO Series 2016-C04 Class 1M2 | ||||
1-month USD LIBOR + 4.250% 01/25/2029 | 4.342% | 2,128,374 | 2,215,703 | |
CMO Series 2017-C02 Class 2M2 | ||||
1-month USD LIBOR + 3.650% 09/25/2029 | 3.742% | 3,104,466 | 3,220,821 | |
CMO Series 2017-C03 Class 1M2 | ||||
1-month USD LIBOR + 3.000% 10/25/2029 | 3.092% | 3,756,459 | 3,857,978 | |
CMO Series 2017-C04 Class 2M2 | ||||
1-month USD LIBOR + 2.850% 11/25/2029 | 2.942% | 3,241,271 | 3,323,282 | |
CMO Series 2017-C06 Class 1M2 | ||||
1-month USD LIBOR + 2.650% Floor 2.650% 02/25/2030 | 2.742% | 1,831,836 | 1,865,166 | |
CMO Series 2017-C06 Class 2M2 | ||||
1-month USD LIBOR + 2.800% Floor 2.800% 02/25/2030 | 2.892% | 550,987 | 563,124 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2017-C07 Class 2M2 | ||||
1-month USD LIBOR + 2.500% Floor 2.500% 05/25/2030 | 2.592% | 2,159,376 | 2,191,041 | |
CMO Series 2018-C06 Class 1M2 | ||||
1-month USD LIBOR + 2.000% Floor 2.000% 03/25/2031 | 2.092% | 2,224,862 | 2,237,010 | |
CMO Series 2018-C06 Class 2M2 | ||||
1-month USD LIBOR + 2.100% Floor 2.100% 03/25/2031 | 2.192% | 4,020,521 | 4,058,667 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes(b) | ||||
CMO Series 2014-DN3 Class M3 | ||||
1-month USD LIBOR + 4.000% 08/25/2024 | 4.092% | 1,896,340 | 1,937,371 | |
CMO Series 2016-DNA1 Class M3 | ||||
1-month USD LIBOR + 5.550% 07/25/2028 | 5.642% | 4,061,057 | 4,256,670 | |
CMO Series 2017-DNA3 Class M2 | ||||
1-month USD LIBOR + 2.500% 03/25/2030 | 2.592% | 3,000,000 | 3,064,805 | |
CMO Series 2017-HQA2 Class M2 | ||||
1-month USD LIBOR + 2.650% 12/25/2029 | 2.742% | 2,823,444 | 2,879,915 | |
CMO Series 2018-HQA1 Class M2 | ||||
1-month USD LIBOR + 2.300% 09/25/2030 | 2.392% | 1,557,048 | 1,568,588 | |
Series 2016-HQA2 Class M3 | ||||
1-month USD LIBOR + 5.150% 11/25/2028 | 5.242% | 1,945,042 | 2,037,249 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Trust(a),(b) | ||||
CMO Series 2019-DNA1 Class M2 | ||||
1-month USD LIBOR + 2.650% 01/25/2049 | 2.742% | 886,694 | 902,557 | |
CMO Series 2019-HQA2 Class M2 | ||||
1-month USD LIBOR + 2.050% Floor 2.050% 04/25/2049 | 2.142% | 1,447,339 | 1,457,919 | |
First Franklin Mortgage Loan Trust(b) | ||||
CMO Series 2006-FF18 Class A2D | ||||
1-month USD LIBOR + 0.210% Floor 0.210% 12/25/2037 | 0.302% | 1,676,989 | 1,561,563 | |
CMO Series 2007-FF2 Class A2B | ||||
1-month USD LIBOR + 0.100% Floor 0.100% 03/25/2037 | 0.192% | 3,854,161 | 2,311,832 | |
First Horizon Mortgage Pass-Through Trust(f) | ||||
CMO Series 2007-AR1 Class 1A1 | ||||
05/25/2037 | 2.805% | 252,366 | 148,719 |
62 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Flagstar Mortgage Trust(a),(f) | ||||
CMO Series 2020-2 Class A4 | ||||
08/01/2050 | 3.000% | 1,410,840 | 1,426,783 | |
Subordinated CMO Series 2018-5 Class B3 | ||||
09/25/2048 | 4.536% | 946,389 | 995,172 | |
Subordinated CMO Series 2019-2 Class B1 | ||||
12/25/2049 | 4.110% | 907,525 | 960,569 | |
Subordinated CMO Series 2019-2 Class B2 | ||||
12/25/2049 | 4.110% | 970,615 | 1,013,577 | |
Freddie Mac STACR REMIC Trust(a),(b) | ||||
CMO Series 2020-DNA2 Class M2 | ||||
1-month USD LIBOR + 1.850% 02/25/2050 | 1.942% | 3,000,000 | 3,021,014 | |
CMO Series 2020-HQA1 Class M2 | ||||
1-month USD LIBOR + 1.900% 01/25/2050 | 1.992% | 229,903 | 230,487 | |
CMO Series 2020-HQA2 Class M2 | ||||
1-month USD LIBOR + 3.100% 03/25/2050 | 3.192% | 3,500,000 | 3,557,003 | |
CMO Series 2020-HQA3 Class M2 | ||||
1-month USD LIBOR + 3.600% 07/25/2050 | 3.692% | 4,720,720 | 4,762,805 | |
CMO Series 2021-HQA1 Class B1 | ||||
30-day Average SOFR + 3.000% 08/25/2033 | 3.010% | 6,000,000 | 5,930,380 | |
CMO Series 2021-HQA1 Class M2 | ||||
30-day Average SOFR + 2.250% 08/25/2033 | 2.260% | 11,700,000 | 11,829,035 | |
Subordinated CMO Series 2021-DNA3 Class B1 | ||||
30-day Average SOFR + 3.500% 10/25/2033 | 3.510% | 2,025,000 | 2,062,961 | |
Freddie Mac STACR Trust(a),(b) | ||||
CMO Series 2018-HQA2 Class M2 | ||||
1-month USD LIBOR + 2.300% 10/25/2048 | 2.392% | 1,100,000 | 1,110,982 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(b) | ||||
1-month USD LIBOR + 3.900% 12/25/2027 | 3.992% | 1,683,012 | 1,710,049 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(b) | ||||
CMO Series 2020-DNA3 Class M2 | ||||
1-month USD LIBOR + 3.000% 06/25/2050 | 3.092% | 2,316,395 | 2,329,678 | |
CMO Series 2020-HQA5 Class M2 | ||||
30-day Average SOFR + 2.600% 11/25/2050 | 2.610% | 8,755,000 | 8,905,418 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated CMO Series 2020-HQA5 Class B1 | ||||
30-day Average SOFR + 4.000% 11/25/2050 | 4.010% | 1,805,000 | 1,876,025 | |
Galton Funding Mortgage Trust(a),(f) | ||||
CMO Series 2019-1 Class B1 | ||||
02/25/2059 | 4.250% | 1,649,502 | 1,755,223 | |
CMO Series 2019-1 Class B2 | ||||
02/25/2059 | 4.500% | 926,320 | 985,332 | |
Subordinated CMO Series 2018-2 Class B2 | ||||
10/25/2058 | 4.750% | 482,805 | 524,333 | |
GCAT LLC(a),(f) | ||||
CMO Series 2019-4 Class A1 | ||||
11/26/2049 | 3.228% | 7,862,829 | 7,951,804 | |
GS Mortgage-Backed Securities Corp. Trust(a),(f) | ||||
CMO Series 2019-PJ1 Class A1 | ||||
08/25/2049 | 4.000% | 189,150 | 192,517 | |
CMO Series 2019-PJ3 Class A1 | ||||
03/25/2050 | 3.500% | 95,054 | 96,580 | |
CMO Series 2020-PJ2 Class A4 | ||||
07/25/2050 | 3.500% | 779,349 | 795,627 | |
CMO Series 2020-PJ4 Class A4 | ||||
01/25/2051 | 3.000% | 602,710 | 613,828 | |
CMO Series 2021-PJ4 Class A4 | ||||
09/25/2051 | 2.500% | 3,190,245 | 3,216,417 | |
CMO Series 2021-PJ5 Class A4 | ||||
10/25/2051 | 2.500% | 2,800,000 | 2,814,687 | |
GS Mortgage-Backed Securities Corp. Trust(f) | ||||
CMO Series 2020-PJ5 Class A4 | ||||
03/27/2051 | 3.000% | 1,379,452 | 1,409,065 | |
GSAMP Trust(b) | ||||
CMO Series 2004-OPT Class M1 | ||||
1-month USD LIBOR + 0.870% Floor 0.870% 11/25/2034 | 0.962% | 1,426,393 | 1,416,168 | |
GSR Mortgage Loan Trust(f) | ||||
CMO Series 2006-AR2 Class 2A1 | ||||
04/25/2036 | 2.654% | 1,141,984 | 940,116 | |
HarborView Mortgage Loan Trust(b) | ||||
CMO Series 2006-10 Class 1A1A | ||||
1-month USD LIBOR + 0.200% Floor 0.200% 11/19/2036 | 0.298% | 6,942,297 | 6,456,257 | |
Homeward Opportunities Fund I Trust(a),(f) | ||||
CMO Series 2019-2 Class A3 | ||||
09/25/2059 | 3.007% | 732,525 | 739,805 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 63 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
HSI Asset Securitization Corp. Trust(b) | ||||
CMO Series 2006-OPT1 Class M1 | ||||
1-month USD LIBOR + 0.360% Floor 0.360% 12/25/2035 | 0.452% | 5,100,119 | 5,058,494 | |
JPMorgan Alternative Loan Trust(b) | ||||
CMO Series 2007-S1 Class A1 | ||||
1-month USD LIBOR + 0.280% Floor 0.280%, Cap 11.500% 04/25/2047 | 0.372% | 3,895,613 | 3,840,595 | |
JPMorgan Mortgage Acquisition Trust(b) | ||||
CMO Series 2007-CH5 Class A5 | ||||
1-month USD LIBOR + 0.260% Floor 0.260% 06/25/2037 | 0.352% | 3,046,286 | 3,023,348 | |
JPMorgan Mortgage Trust | ||||
CMO Series 2006-S2 Class 2A2 | ||||
06/25/2021 | 5.875% | 91,184 | 89,437 | |
CMO Series 2007-S1 Class 1A2 | ||||
03/25/2022 | 5.500% | 25,118 | 24,987 | |
JPMorgan Mortgage Trust(a),(f) | ||||
CMO Series 2017-3 Class 1A13 | ||||
08/25/2047 | 3.500% | 1,137,730 | 1,160,203 | |
CMO Series 2017-4 Class A7 | ||||
11/25/2048 | 3.500% | 396,248 | 401,522 | |
CMO Series 2018-5 Class A13 | ||||
10/25/2048 | 3.500% | 943,090 | 972,616 | |
CMO Series 2018-6 Class 1A10 | ||||
12/25/2048 | 3.500% | 360,044 | 367,059 | |
CMO Series 2019-1 Class A3 | ||||
05/25/2049 | 4.000% | 946,525 | 962,173 | |
CMO Series 2019-2 Class A3 | ||||
08/25/2049 | 4.000% | 335,656 | 340,261 | |
CMO Series 2019-3 Class A3 | ||||
09/25/2049 | 4.000% | 118,921 | 120,876 | |
CMO Series 2019-5 Class A3 | ||||
11/25/2049 | 4.000% | 919,173 | 936,877 | |
CMO Series 2019-8 Class A15 | ||||
03/25/2050 | 3.500% | 466,684 | 477,941 | |
CMO Series 2019-9 Class B2A | ||||
05/25/2050 | 3.516% | 1,458,486 | 1,503,088 | |
CMO Series 2019-HYB1 Class B1 | ||||
10/25/2049 | 3.831% | 974,952 | 1,025,093 | |
CMO Series 2019-INV2 Class A3 | ||||
02/25/2050 | 3.500% | 380,802 | 388,157 | |
CMO Series 2019-LTV1 Class A3 | ||||
06/25/2049 | 4.000% | 421,050 | 424,244 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2019-LTV2 Class A18 | ||||
12/25/2049 | 4.000% | 190,687 | 193,679 | |
CMO Series 2019-LTV3 Class B3 | ||||
03/25/2050 | 4.543% | 1,631,036 | 1,717,601 | |
CMO Series 2020-1 Class A15 | ||||
06/25/2050 | 3.500% | 1,136,834 | 1,157,387 | |
CMO Series 2020-2 Class A15 | ||||
07/25/2050 | 3.500% | 742,772 | 757,305 | |
CMO Series 2020-5 Class A15 | ||||
12/25/2050 | 3.000% | 511,510 | 520,630 | |
CMO Series 2020-5 Class B1 | ||||
12/25/2050 | 3.693% | 982,672 | 1,046,690 | |
CMO Series 2020-7 Class A15 | ||||
01/25/2051 | 3.000% | 747,833 | 764,853 | |
CMO Series 2020-8 Class A15 | ||||
03/25/2051 | 3.000% | 1,416,310 | 1,446,841 | |
CMO Series 2020-LTV2 Class A1 | ||||
11/25/2050 | 3.000% | 1,129,768 | 1,147,139 | |
CMO Series 2021-4 Class A15 | ||||
08/25/2051 | 2.500% | 1,973,332 | 1,993,914 | |
Subordinated CMO Series 2017-1 Class B4 | ||||
01/25/2047 | 3.503% | 451,098 | 461,307 | |
Subordinated CMO Series 2017-3 Class B1 | ||||
08/25/2047 | 3.788% | 1,351,731 | 1,428,516 | |
Subordinated CMO Series 2017-6 Class B2 | ||||
12/25/2048 | 3.808% | 557,269 | 588,635 | |
Subordinated CMO Series 2018-8 Class B1 | ||||
01/25/2049 | 4.180% | 1,135,775 | 1,161,562 | |
Subordinated CMO Series 2018-8 Class B2 | ||||
01/25/2049 | 4.180% | 946,479 | 984,872 | |
Subordinated CMO Series 2019-2 Class B2 | ||||
08/25/2049 | 4.556% | 2,207,904 | 2,241,226 | |
Subordinated CMO Series 2019-6 Class B1 | ||||
12/25/2049 | 4.268% | 966,804 | 1,000,532 | |
Subordinated CMO Series 2019-8 Class B3A | ||||
03/25/2050 | 3.469% | 1,937,729 | 1,989,882 | |
Subordinated CMO Series 2019-LTV1 Class B1 | ||||
06/25/2049 | 4.861% | 2,365,704 | 2,489,059 | |
Subordinated CMO Series 2019-LTV1 Class B2 | ||||
06/25/2049 | 4.861% | 2,029,738 | 2,126,521 | |
Subordinated CMO Series 2019-LTV2 Class B2 | ||||
12/25/2049 | 4.842% | 1,160,701 | 1,222,624 | |
Subordinated CMO Series 2019-LTV2 Class B3 | ||||
12/25/2049 | 4.842% | 967,250 | 1,014,007 | |
Subordinated CMO Series 2020-8 Class B2 | ||||
03/25/2051 | 3.624% | 1,971,696 | 2,059,731 |
64 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
JPMorgan Mortgage Trust(a),(b) | ||||
CMO Series 2018-7FRB Class A1 | ||||
1-month USD LIBOR + 0.750% 04/25/2046 | 0.856% | 1,141,649 | 1,138,639 | |
JPMorgan Trust(a),(f) | ||||
Subordinated CMO Series 2015-3 Class B3 | ||||
05/25/2045 | 3.610% | 685,949 | 702,131 | |
Legacy Mortgage Asset Trust(a) | ||||
CMO Series 2019-GS1 Class A1 | ||||
01/25/2059 | 4.000% | 1,421,847 | 1,422,690 | |
Legacy Mortgage Asset Trust(a),(f) | ||||
CMO Series 2019-GS2 Class A1 | ||||
01/25/2059 | 3.750% | 1,390,969 | 1,391,836 | |
CMO Series 2019-GS4 Class A1 | ||||
05/25/2059 | 3.438% | 2,391,012 | 2,388,642 | |
CMO Series 2019-GS6 Class A1 | ||||
06/25/2059 | 3.000% | 1,081,829 | 1,083,055 | |
CMO Series 2019-PR1 Class A1 | ||||
09/25/2059 | 3.858% | 9,878,243 | 9,935,322 | |
CMO Series 2020-GS1 Class A1 | ||||
10/25/2059 | 2.882% | 4,269,596 | 4,292,500 | |
CMO Series 2020-SL1 Class A | ||||
01/25/2060 | 2.734% | 2,330,353 | 2,319,564 | |
CMO Series 2021-GS1 Class A1 | ||||
10/25/2066 | 1.892% | 1,245,787 | 1,244,855 | |
CMO Series 2021-SL1 Class A | ||||
04/01/2059 | 1.991% | 4,664,057 | 4,663,531 | |
Lehman XS Trust(b) | ||||
CMO Series 2005-4 Class 1A3 | ||||
1-month USD LIBOR + 0.800% Floor 0.800% 10/25/2035 | 0.892% | 357,031 | 357,350 | |
CMO Series 2005-5N Class 3A1A | ||||
1-month USD LIBOR + 0.300% Floor 0.300% 11/25/2035 | 0.392% | 1,232,677 | 1,221,146 | |
CMO Series 2006-2N Class 1A1 | ||||
1-month USD LIBOR + 0.260% Floor 0.260% 02/25/2046 | 0.612% | 1,477,077 | 1,357,342 | |
Long Beach Mortgage Loan Trust(b) | ||||
CMO Series 2005-1 Class M3 | ||||
1-month USD LIBOR + 0.870% Floor 0.870% 02/25/2035 | 0.962% | 757,083 | 757,391 | |
CMO Series 2006-10 Class 1A | ||||
1-month USD LIBOR + 0.150% Floor 0.150% 11/25/2036 | 0.242% | 4,606,279 | 3,441,592 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
MASTR Alternative Loan Trust | ||||
CMO Series 2004-12 Class 4A1 | ||||
12/25/2034 | 5.500% | 517,313 | 537,630 | |
Merrill Lynch First Franklin Mortgage Loan Trust(b) | ||||
CMO Series 2007-1 Class A2D | ||||
1-month USD LIBOR + 0.340% Floor 0.340% 04/25/2037 | 0.432% | 18,885,551 | 10,865,031 | |
Mill City Mortgage Loan Trust(a) | ||||
CMO Series 2016-1 Class A1 | ||||
04/25/2057 | 2.500% | 239,209 | 241,204 | |
Morgan Stanley Resecuritization Trust(a),(f) | ||||
CMO Series 2015-R4 Class 4B1 | ||||
08/26/2047 | 2.959% | 2,742,998 | 2,722,258 | |
Mortgage Repurchase Agreement Financing Trust(a),(b) | ||||
CMO Series 2020-3 Class A1 | ||||
1-month USD LIBOR + 1.250% Floor 1.250% 01/23/2023 | 1.345% | 1,205,000 | 1,205,137 | |
CMO Series 2020-4 Class A1 | ||||
1-month USD LIBOR + 1.350% 04/23/2023 | 1.445% | 1,145,000 | 1,145,191 | |
CMO Series 2020-4 Class A2 | ||||
1-month USD LIBOR + 1.350% 04/23/2023 | 1.445% | 2,190,000 | 2,190,365 | |
MortgageIT Trust(b) | ||||
CMO Series 2005-5 Class A1 | ||||
1-month USD LIBOR + 0.260% Floor 0.260%, Cap 11.500% 12/25/2035 | 0.612% | 834,558 | 837,727 | |
MRA Issuance Trust(a),(b) | ||||
CMO Series 2020-15 Class A | ||||
1-month USD LIBOR + 1.500% Floor 1.500% 07/15/2021 | 1.610% | 7,600,000 | 7,601,069 | |
MRA Issuance Trust(a),(b),(d),(e) | ||||
CMO Series 2020-7 Class A | ||||
1-month USD LIBOR + 1.600% 12/11/2021 | 1.710% | 23,220,000 | 23,220,000 | |
CMO Series 2021-10 Class A1X | ||||
1-month USD LIBOR + 1.500% Floor 1.500% 02/22/2023 | 2.000% | 8,930,000 | 8,930,000 | |
CMO Series 2021-9 Class A1X | ||||
1-month USD LIBOR + 1.200% Floor 1.200% 11/15/2021 | 1.315% | 7,000,000 | 6,981,450 | |
CMO Series 2021-EBO3 Class A1X | ||||
1-month USD LIBOR + 1.750% Floor 1.750% 03/31/2023 | 1.860% | 6,690,000 | 6,690,000 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 65 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-EBO3 Class A2 | ||||
1-month USD LIBOR + 2.750% Floor 2.750% 03/31/2023 | 2.860% | 7,720,000 | 7,720,000 | |
New Residential Mortgage Loan Trust(a),(b) | ||||
CMO Series 2018-4A Class A1S | ||||
1-month USD LIBOR + 0.750% Floor 0.750% 01/25/2048 | 0.842% | 1,819,451 | 1,827,076 | |
New Residential Mortgage Loan Trust(a),(f) | ||||
CMO Series 2019-NQM3 Class A3 | ||||
07/25/2049 | 3.086% | 1,488,477 | 1,542,784 | |
Oaktown Re II Ltd.(a),(b) | ||||
CMO Series 2018-1A Class M1 | ||||
1-month USD LIBOR + 1.550% 07/25/2028 | 1.642% | 247,864 | 248,080 | |
Oaktown Re III Ltd.(a),(b) | ||||
CMO Series 2019-1A Class M1A | ||||
1-month USD LIBOR + 1.400% Floor 1.400% 07/25/2029 | 1.492% | 92,752 | 92,812 | |
Oaktown Re IV Ltd.(a),(b) | ||||
CMO Series 2020-1A Class M1B | ||||
1-month USD LIBOR + 4.750% Floor 4.750% 07/25/2030 | 4.842% | 686,482 | 690,361 | |
Oaktown Re V Ltd.(a),(b) | ||||
CMO Series 2020-2A Class M1B | ||||
1-month USD LIBOR + 3.600% Floor 3.600% 10/25/2030 | 3.692% | 530,000 | 539,165 | |
Subordinated CMO Series 2020-2A Class M1A | ||||
1-month USD LIBOR + 2.400% Floor 2.400% 10/25/2030 | 2.543% | 229,148 | 229,327 | |
Oaktown Re VI Ltd.(a),(b) | ||||
CMO Series 2021-1A Class M1A | ||||
30-day Average SOFR + 1.650% Floor 1.650% 10/25/2033 | 1.660% | 1,290,000 | 1,295,947 | |
CMO Series 2021-1A Class M1B | ||||
30-day Average SOFR + 2.050% Floor 2.050% 10/25/2033 | 2.060% | 915,000 | 921,456 | |
CMO Series 2021-1A Class M1C | ||||
30-day Average SOFR + 3.000% Floor 3.000% 10/25/2033 | 3.010% | 2,250,000 | 2,283,274 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
OBX Trust(a),(f) | ||||
CMO Series 2019-EXP1 Class 1A3 | ||||
01/25/2059 | 4.000% | 361,186 | 369,298 | |
CMO Series 2019-INV2 Class A25 | ||||
05/27/2049 | 4.000% | 258,263 | 262,788 | |
Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates(b) | ||||
CMO Series 2005-4 Class M2 | ||||
1-month USD LIBOR + 0.750% Floor 0.750% 11/25/2035 | 0.856% | 8,400,000 | 8,189,947 | |
RALI Trust(f) | ||||
CMO Series 2005-QA4 Class A41 | ||||
04/25/2035 | 3.240% | 69,749 | 51,643 | |
RALI Trust(f),(g) | ||||
CMO Series 2006-QS18 Class 1AV | ||||
12/25/2036 | 0.457% | 29,961,744 | 380,532 | |
CMO Series 2006-QS9 Class 1AV | ||||
07/25/2036 | 0.599% | 14,280,910 | 320,169 | |
CMO Series 2007-QS1 Class 2AV | ||||
01/25/2037 | 0.172% | 30,461,842 | 187,947 | |
RFMSI Trust(f) | ||||
CMO Series 2005-SA5 Class 1A | ||||
11/25/2035 | 3.158% | 877,547 | 622,285 | |
CMO Series 2006-SA4 Class 2A1 | ||||
11/25/2036 | 4.704% | 292,059 | 284,995 | |
Seasoned Credit Risk Transfer Trust | ||||
CMO Series 2017-4 Class M45T | ||||
06/25/2057 | 4.500% | 572,594 | 639,453 | |
Securitized Asset-Backed Receivables LLC Trust(b) | ||||
Subordinated CMO Series 2006-OP1 Class M2 | ||||
1-month USD LIBOR + 0.390% Floor 0.390% 10/25/2035 | 0.677% | 2,317,549 | 2,314,011 | |
Sequoia Mortgage Trust(a),(f) | ||||
CMO Series 2019-1 Class A1 | ||||
02/25/2049 | 4.000% | 285,899 | 288,901 | |
CMO Series 2019-4 Class A19 | ||||
11/25/2049 | 3.500% | 338,446 | 344,624 | |
CMO Series 2019-CH1 Class A1 | ||||
03/25/2049 | 4.500% | 418,447 | 426,600 | |
CMO Series 2019-CH1 Class B1B | ||||
03/25/2049 | 1.323% | 2,887,068 | 2,968,651 | |
CMO Series 2019-CH2 Class A1 | ||||
08/25/2049 | 4.500% | 375,126 | 380,630 | |
CMO Series 2020-1 Class A19 | ||||
02/25/2050 | 3.500% | 385,984 | 394,697 | |
CMO Series 2020-2 Class A19 | ||||
03/25/2050 | 3.500% | 472,003 | 481,973 |
66 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2020-3 Class A19 | ||||
04/25/2050 | 3.000% | 1,809,493 | 1,851,428 | |
Subordinated CMO Series 2015-1 Class B1 | ||||
01/25/2045 | 3.884% | 518,241 | 531,534 | |
Subordinated CMO Series 2018-6 Class B1 | ||||
07/25/2048 | 4.175% | 1,170,720 | 1,258,890 | |
Subordinated CMO Series 2019-2 Class B2 | ||||
06/25/2049 | 4.267% | 1,902,844 | 2,013,660 | |
Subordinated CMO Series 2020-3 Class B2 | ||||
04/25/2050 | 3.364% | 1,036,576 | 1,081,043 | |
Sequoia Mortgage Trust(f) | ||||
Subordinated CMO Series 2013-3 Class B3 | ||||
03/25/2043 | 3.513% | 693,531 | 709,854 | |
Starwood Mortgage Residential Trust(a),(f) | ||||
CMO Series 2019-1 Class A3 | ||||
06/25/2049 | 3.299% | 1,096,654 | 1,102,931 | |
Station Place Securitization Trust(a),(b),(e) | ||||
CMO Series 2021-4 Class A | ||||
1-month USD LIBOR + 0.900% Floor 0.900% 04/11/2022 | 1.006% | 10,600,000 | 10,600,000 | |
CMO Series 2021-8 Class A | ||||
1-month USD LIBOR + 0.800% Floor 0.800% 06/20/2022 | 1.100% | 7,370,000 | 7,370,000 | |
Structured Adjustable Rate Mortgage Loan Trust(f) | ||||
CMO Series 2004-20 Class 1A2 | ||||
01/25/2035 | 2.691% | 572,104 | 581,805 | |
CMO Series 2006-5 Class 1A1 | ||||
06/25/2036 | 3.057% | 942,660 | 918,800 | |
Texas Capital Bank NA(a),(b) | ||||
CMO Series 2021 Class NOTE | ||||
3-month USD LIBOR + 4.500% 09/30/2024 | 4.703% | 7,340,000 | 7,344,131 | |
Towd Point Mortgage Trust(a),(f) | ||||
CMO Series 2017-6 Class A2 | ||||
10/25/2057 | 3.000% | 2,500,000 | 2,640,991 | |
Verus Securitization Trust(a),(f) | ||||
CMO Series 2020-INV1 Class A1 | ||||
03/25/2060 | 1.977% | 729,406 | 736,122 | |
WaMu Asset-Backed Certificates Trust(b) | ||||
CMO Series 2007-HE1 Class 2A3 | ||||
1-month USD LIBOR + 0.150% Floor 0.150% 01/25/2037 | 0.242% | 3,876,831 | 2,408,338 | |
WaMu Mortgage Pass-Through Certificates Trust(f) | ||||
CMO Series 2003-AR8 Class A | ||||
08/25/2033 | 2.914% | 307,980 | 317,868 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2004-AR4 Class A6 | ||||
06/25/2034 | 2.897% | 2,538,067 | 2,570,044 | |
CMO Series 2004-AR7 Class A6 | ||||
07/25/2034 | 2.862% | 1,098,059 | 1,141,615 | |
CMO Series 2007-HY1 Class 3A3 | ||||
02/25/2037 | 3.185% | 3,121,101 | 3,103,748 | |
CMO Series 2007-HY3 Class 1A1 | ||||
03/25/2037 | 2.844% | 511,929 | 471,274 | |
WaMu Mortgage Pass-Through Certificates Trust(b) | ||||
CMO Series 2005-AR11 Class A1A | ||||
1-month USD LIBOR + 0.320% Floor 0.320%, Cap 10.500% 08/25/2045 | 0.732% | 925,647 | 918,540 | |
CMO Series 2005-AR17 Class A1A1 | ||||
1-month USD LIBOR + 0.540% Floor 0.540%, Cap 10.500% 12/25/2045 | 0.632% | 2,768,416 | 2,716,252 | |
CMO Series 2005-AR2 Class 2A1A | ||||
1-month USD LIBOR + 0.310% Floor 0.310%, Cap 10.500% 01/25/2045 | 0.712% | 963,250 | 959,210 | |
CMO Series 2005-AR8 Class 2A1A | ||||
1-month USD LIBOR + 0.290% Floor 0.290%, Cap 10.500% 07/25/2045 | 0.672% | 2,395,312 | 2,355,842 | |
CMO Series 2005-AR9 Class A1A | ||||
1-month USD LIBOR + 0.640% Floor 0.640%, Cap 10.500% 07/25/2045 | 0.732% | 653,335 | 654,269 | |
CMO Series 2006-AR4 Class 1A1A | ||||
1-year MTA + 0.940% Floor 0.940% 05/25/2046 | 1.058% | 1,587,210 | 1,588,393 | |
CMO Series 2006-AR5 Class A12A | ||||
1-year MTA + 0.980% Floor 0.980% 06/25/2046 | 1.098% | 504,277 | 508,390 | |
CMO Series 2007-OC2 Class A3 | ||||
1-month USD LIBOR + 0.310% Floor 0.310% 06/25/2037 | 0.402% | 2,259,112 | 2,210,700 | |
Wells Fargo Mortgage-Backed Securities Trust(a),(f) | ||||
CMO Series 2019-1 Class A1 | ||||
11/25/2048 | 4.000% | 332,096 | 336,536 | |
CMO Series 2020-1 Class B2 | ||||
12/25/2049 | 3.246% | 985,936 | 1,023,952 | |
Subordinated CMO Series 2018-1 Class B3 | ||||
07/25/2047 | 3.535% | 1,117,572 | 1,147,506 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 67 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated CMO Series 2020-1 Class B3 | ||||
12/25/2049 | 3.246% | 1,982,454 | 2,044,151 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $530,184,674) | 535,920,091 | |||
Senior Loans 0.8% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 0.0% | ||||
TransDigm, Inc.(b),(s) | ||||
Tranche E Term Loan | ||||
1-month USD LIBOR + 2.250% 05/30/2025 | 2.343% | 735,650 | 725,461 | |
Airlines 0.0% | ||||
American Airlines, Inc.(b),(s) | ||||
Term Loan | ||||
1-month USD LIBOR + 1.750% 01/29/2027 | 1.843% | 247,500 | 229,727 | |
United AirLines, Inc.(b),(s) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 3.750% Floor 0.750% 04/21/2028 | 4.500% | 725,000 | 731,344 | |
Total | 961,071 | |||
Automotive 0.2% | ||||
Clarios Global LP(b),(s) | ||||
1st Lien Term Loan | ||||
1-month USD LIBOR + 3.250% 04/30/2026 | 3.343% | 1,905,632 | 1,895,513 | |
Navistar, Inc.(b),(s) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 3.500% 11/06/2024 | 3.600% | 3,009,447 | 3,008,183 | |
Tenneco, Inc.(b),(s) | ||||
Tranche A Term Loan | ||||
3-month USD LIBOR + 2.000% 09/29/2023 | 2.093% | 9,808,802 | 9,673,931 | |
Total | 14,577,627 | |||
Cable and Satellite 0.1% | ||||
Charter Communications Operating LLC/Safari LLC(b),(s) | ||||
Tranche B2 Term Loan | ||||
3-month USD LIBOR + 1.750% 02/01/2027 | 1.850% | 246,867 | 245,440 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
CSC Holdings LLC(b),(s) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.250% 07/17/2025 | 2.348% | 698,182 | 689,629 | |
3-month USD LIBOR + 2.250% 01/15/2026 | 2.348% | 1,368,500 | 1,352,420 | |
3-month USD LIBOR + 2.500% 04/15/2027 | 2.598% | 4,021,943 | 3,994,795 | |
Virgin Media Bristol LLC(b),(s) | ||||
Tranche N Term Loan | ||||
3-month USD LIBOR + 2.500% 01/31/2028 | 2.601% | 1,250,000 | 1,242,188 | |
Total | 7,524,472 | |||
Chemicals 0.0% | ||||
Avantor Funding, Inc.(b),(s) | ||||
Tranche B4 Term Loan | ||||
1-month USD LIBOR + 2.500% Floor 1.000% 11/08/2027 | 3.250% | 1,945,125 | 1,949,988 | |
Axalta Coating Systems Dutch Holding BBV/U.S. Holdings, Inc.(b),(s) | ||||
Tranche B3 Term Loan | ||||
3-month USD LIBOR + 1.750% 06/01/2024 | 1.953% | 797,645 | 793,281 | |
Nouryon Finance BV/AkzoNobel(b),(s) | ||||
Term Loan | ||||
1-month USD LIBOR + 2.750% 10/01/2025 | 2.848% | 498,694 | 494,121 | |
Total | 3,237,390 | |||
Consumer Cyclical Services 0.0% | ||||
Intrado Corp.(b),(s) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 4.000% Floor 1.000% 10/10/2024 | 5.000% | 748,067 | 727,375 | |
Tranche B1 Term Loan | ||||
3-month USD LIBOR + 3.500% Floor 1.000% 10/10/2024 | 4.500% | 568,539 | 550,141 | |
Spin Holdco Inc./Coinmach(b),(s) | ||||
Term Loan | ||||
1-month USD LIBOR + 4.000% Floor 0.750% 03/04/2028 | 4.750% | 550,000 | 548,972 | |
Total | 1,826,488 |
68 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Consumer Products 0.0% | ||||
Acuity Specialty Products, Inc./Zep, Inc.(b),(s) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 4.000% Floor 1.000% 08/12/2024 | 5.000% | 772,997 | 760,823 | |
Diversified Manufacturing 0.0% | ||||
Vertiv Group Corp.(b),(m),(s) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 2.750% 03/02/2027 | 2.860% | 1,406,992 | 1,400,844 | |
Electric 0.0% | ||||
Vistra Operations Co., LLC(b),(s) | ||||
Term Loan | ||||
3-month USD LIBOR + 1.750% 12/31/2025 | 1.844% | 286,028 | 284,361 | |
Environmental 0.0% | ||||
Clean Harbors, Inc.(b),(s) | ||||
Term Loan | ||||
3-month USD LIBOR + 1.750% 06/28/2024 | 1.843% | 388,889 | 389,294 | |
GFL Environmental, Inc.(b),(s) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.000% Floor 1.000% 05/30/2025 | 3.500% | 604,350 | 605,444 | |
Total | 994,738 | |||
Finance Companies 0.0% | ||||
Avolon Borrower 1 LLC(b),(s) | ||||
Tranche B3 Term Loan | ||||
3-month USD LIBOR + 1.750% Floor 0.750% 01/15/2025 | 2.500% | 175,812 | 175,170 | |
Delos Finance SARL(b),(s) | ||||
Term Loan | ||||
3-month USD LIBOR + 1.750% 10/06/2023 | 1.953% | 600,000 | 599,250 | |
Total | 774,420 | |||
Food and Beverage 0.0% | ||||
Hostess Brands LLC(b),(s) | ||||
Tranche B 1st Lien Term Loan | ||||
3-month USD LIBOR + 2.250% Floor 0.750% 08/03/2025 | 3.000% | 740,602 | 737,639 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Gaming 0.0% | ||||
Caesars Resort Collection LLC(b),(s) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 2.750% 12/23/2024 | 2.843% | 2,742,912 | 2,719,899 | |
Churchill Downs, Inc.(b),(s) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 2.000% 12/27/2024 | 2.100% | 388,945 | 385,219 | |
Total | 3,105,118 | |||
Health Care 0.1% | ||||
Change Healthcare Holdings LLC(b),(s) | ||||
Term Loan | ||||
3-month USD LIBOR + 2.500% Floor 1.000% 03/01/2024 | 3.500% | 2,889,062 | 2,886,433 | |
Gentiva Health Services, Inc.(b),(s) | ||||
Tranche B1 1st Lien Term Loan | ||||
1-month USD LIBOR + 2.750% 07/02/2025 | 2.875% | 2,049,632 | 2,044,508 | |
IQVIA, Inc./Quintiles IMS(b),(s) | ||||
Tranche B2 Term Loan | ||||
3-month USD LIBOR + 1.750% 01/17/2025 | 1.843% | 583,375 | 580,896 | |
Total | 5,511,837 | |||
Home Construction 0.0% | ||||
Brookfield Property REIT, Inc.(b),(s) | ||||
Tranche A2 Term Loan | ||||
3-month USD LIBOR + 3.000% 08/28/2023 | 3.093% | 1,607,817 | 1,583,700 | |
Independent Energy 0.0% | ||||
Ascent Resources Utica Holdings(b),(s) | ||||
2nd Lien Term Loan | ||||
1-month USD LIBOR + 10.000% Floor 1.000% 11/01/2025 | 10.000% | 287,000 | 317,135 | |
Media and Entertainment 0.0% | ||||
Diamond Sports Group LLC(b),(s) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.250% 08/24/2026 | 3.350% | 1,633,068 | 1,169,179 | |
Sinclair Television Group, Inc.(b),(s) | ||||
Tranche B3 Term Loan | ||||
1-month USD LIBOR + 3.000% 04/01/2028 | 3.100% | 1,250,000 | 1,243,750 | |
Total | 2,412,929 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 69 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Other Industry 0.0% | ||||
Adtalem Global Education, Inc.(b),(m),(s) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 4.500% Floor 0.750% 02/12/2028 | 5.250% | 1,250,000 | 1,240,362 | |
PowerTeam Services LLC(b),(s) | ||||
1st Lien Term Loan | ||||
3-month USD LIBOR + 3.250% Floor 1.000% 03/06/2025 | 4.250% | 457,355 | 452,782 | |
Total | 1,693,144 | |||
Packaging 0.0% | ||||
Berry Global, Inc.(b),(s) | ||||
Tranche Z Term Loan | ||||
1-month USD LIBOR + 1.750% 07/01/2026 | 1.845% | 2,507,466 | 2,485,525 | |
Pactiv Evergreen Inc.(b),(s) | ||||
Tranche B1 Term Loan | ||||
3-month USD LIBOR + 2.750% Floor 1.000% 02/05/2023 | 2.843% | 213,210 | 212,648 | |
Total | 2,698,173 | |||
Pharmaceuticals 0.2% | ||||
Bausch Health Companies, Inc.(b),(s) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.000% 06/02/2025 | 3.093% | 3,642,105 | 3,626,626 | |
Elanco Animal Health, Inc.(b),(s) | ||||
Term Loan | ||||
1-month USD LIBOR + 1.750% 08/01/2027 | 1.860% | 2,718,518 | 2,699,270 | |
Grifols Worldwide Operations Ltd.(b),(m),(s) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 2.000% 11/15/2027 | 2.062% | 2,244,318 | 2,222,997 | |
Horizon Therapeutics USA, Inc.(b),(s) | ||||
Tranche B2 Term Loan | ||||
1-month USD LIBOR + 2.000% Floor 0.500% 03/15/2028 | 2.500% | 1,325,000 | 1,322,165 | |
Organon & Co.(b),(m),(s) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.000% Floor 0.500% 06/02/2028 | 3.500% | 4,250,000 | 4,243,923 | |
Total | 14,114,981 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Property & Casualty 0.0% | ||||
AmWINS Group, Inc.(b),(s) | ||||
Term Loan | ||||
1-month USD LIBOR + 2.250% Floor 0.750% 02/19/2028 | 3.000% | 3,291,750 | 3,274,962 | |
Restaurants 0.0% | ||||
New Red Finance, Inc./Burger King/Tim Hortons(b),(s) | ||||
Tranche B4 Term Loan | ||||
3-month USD LIBOR + 1.750% 11/19/2026 | 1.843% | 554,846 | 546,002 | |
Retailers 0.0% | ||||
Michaels Companies, Inc. (The)(b),(s) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 4.250% Floor 0.750% 04/15/2028 | 5.000% | 2,000,000 | 2,003,960 | |
Technology 0.1% | ||||
CommScope, Inc.(b),(s) | ||||
Term Loan | ||||
3-month USD LIBOR + 3.250% 04/06/2026 | 3.343% | 1,738,750 | 1,730,421 | |
Peraton Corp.(b),(s) | ||||
Tranche B 1st Lien Term Loan | ||||
3-month USD LIBOR + 3.750% Floor 0.750% 02/01/2028 | 4.500% | 2,300,000 | 2,302,231 | |
SS&C Technologies Holdings, Inc.(b),(s) | ||||
Tranche B3 Term Loan | ||||
1-month USD LIBOR + 1.750% 04/16/2025 | 1.843% | 120,543 | 119,172 | |
Tranche B4 Term Loan | ||||
3-month USD LIBOR + 1.750% 04/16/2025 | 1.843% | 92,253 | 91,204 | |
Total | 4,243,028 | |||
Wireless 0.0% | ||||
Digicel International Finance Ltd.(b),(s) | ||||
Tranche B 1st Lien Term Loan | ||||
3-month USD LIBOR + 3.250% 05/27/2024 | 3.430% | 1,994,833 | 1,914,621 | |
SBA Senior Finance II LLC(b),(s) | ||||
Term Loan | ||||
3-month USD LIBOR + 1.750% 04/11/2025 | 1.850% | 724,513 | 719,383 | |
Total | 2,634,004 |
70 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Wirelines 0.1% | ||||
Lumen Technologies, Inc.(b),(s) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 2.250% 03/15/2027 | 2.343% | 246,875 | 244,500 | |
Telenet Financing USD LLC(b),(s) | ||||
Term Loan | ||||
6-month USD LIBOR + 2.000% 04/30/2028 | 2.101% | 750,000 | 740,812 | |
Zayo Group Holdings, Inc.(b),(s) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.000% 03/09/2027 | 3.093% | 2,863,487 | 2,840,665 | |
Total | 3,825,977 | |||
Total Senior Loans (Cost $81,166,679) | 81,770,284 | |||
Treasury Bills 2.8% | ||||
Issuer | Effective Yield | Principal Amount ($) | Value ($) | |
United States 2.8% | ||||
U.S. Treasury Bills | ||||
06/03/2021 | 0.020% | 40,000,000 | 39,999,893 | |
06/10/2021 | 0.010% | 50,000,000 | 49,999,821 | |
06/17/2021 | 0.010% | 21,000,000 | 20,999,885 | |
06/24/2021 | 0.010% | 28,000,000 | 27,999,773 | |
07/08/2021 | 0.010% | 8,000,000 | 7,999,919 | |
07/15/2021 | 0.010% | 24,000,000 | 23,999,819 | |
08/26/2021 | 0.010% | 16,170,000 | 16,169,539 | |
08/31/2021 | 0.010% | 26,155,000 | 26,154,597 | |
09/02/2021 | 0.010% | 42,525,000 | 42,523,859 | |
11/04/2021 | 0.020% | 11,000,000 | 10,999,074 | |
11/18/2021 | 0.020% | 28,955,000 | 28,952,070 | |
U.S. Treasury Bills(t) | ||||
07/22/2021 | 0.000% | 5,000,000 | 4,999,971 | |
Total | 300,798,220 | |||
Total Treasury Bills (Cost $300,790,187) | 300,798,220 | |||
U.S. Government & Agency Obligations 0.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association | ||||
10/05/2022 | 2.000% | 2,720,000 | 2,788,329 | |
Federal National Mortgage Association(i) | ||||
STRIPS | ||||
05/15/2030 | 0.000% | 520,000 | 442,766 |
U.S. Government & Agency Obligations (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Residual Funding Corp.(i) | ||||
STRIPS | ||||
01/15/2030 | 0.000% | 7,351,000 | 6,306,859 | |
04/15/2030 | 0.000% | 425,000 | 363,685 | |
Resolution Funding Corp.(i) | ||||
STRIPS | ||||
04/15/2029 | 0.000% | 640,000 | 555,930 | |
04/15/2030 | 0.000% | 3,000,000 | 2,540,499 | |
Tennessee Valley Authority Principal STRIP(i) | ||||
09/15/2024 | 0.000% | 530,000 | 514,760 | |
Total U.S. Government & Agency Obligations (Cost $12,258,218) | 13,512,828 | |||
U.S. Treasury Obligations 17.8% | ||||
U.S. Treasury | ||||
03/31/2022 | 1.750% | 3,500 | 3,549 | |
01/31/2023 | 0.125% | 1,125,000 | 1,125,132 | |
02/28/2023 | 0.125% | 53,675,000 | 53,677,096 | |
03/31/2023 | 0.125% | 51,415,000 | 51,408,975 | |
04/30/2023 | 0.125% | 257,785,000 | 257,734,652 | |
05/15/2024 | 0.250% | 31,146,000 | 31,104,634 | |
01/31/2025 | 1.375% | 14,595,000 | 15,078,459 | |
09/30/2025 | 0.250% | 6,855,000 | 6,743,071 | |
11/30/2025 | 0.375% | 10,255,000 | 10,117,198 | |
12/31/2025 | 0.375% | 20,835,000 | 20,530,614 | |
01/31/2026 | 0.375% | 29,320,000 | 28,852,712 | |
02/28/2026 | 0.500% | 65,570,000 | 64,847,706 | |
03/31/2026 | 0.750% | 29,710,000 | 29,703,037 | |
04/30/2026 | 0.750% | 133,702,200 | 133,566,409 | |
01/31/2028 | 0.750% | 34,826,000 | 33,862,843 | |
02/29/2028 | 1.125% | 36,810,000 | 36,654,708 | |
04/30/2028 | 1.250% | 45,572,000 | 45,636,086 | |
02/15/2029 | 2.625% | 20,055,000 | 21,935,156 | |
08/15/2030 | 0.625% | 21,895,000 | 20,187,874 | |
11/15/2030 | 0.875% | 77,660,000 | 73,073,206 | |
02/15/2031 | 1.125% | 67,775,000 | 65,042,820 | |
05/15/2031 | 1.625% | 100,561,000 | 100,985,242 | |
05/15/2039 | 4.250% | 24,695,000 | 32,975,542 | |
05/15/2040 | 4.375% | 32,730,000 | 44,615,081 | |
11/15/2040 | 1.375% | 31,900,000 | 27,767,953 | |
02/15/2041 | 1.875% | 54,678,000 | 51,961,187 | |
11/15/2042 | 2.750% | 27,195,000 | 29,761,528 | |
05/15/2043 | 2.875% | 1,130,000 | 1,262,069 | |
02/15/2044 | 3.625% | 9,560,000 | 12,006,762 | |
11/15/2048 | 3.375% | 20,350,000 | 25,084,555 | |
08/15/2049 | 2.250% | 7,360,000 | 7,326,650 | |
05/15/2050 | 1.250% | 54,240,000 | 42,298,725 | |
08/15/2050 | 1.375% | 9,885,000 | 7,965,148 | |
11/15/2050 | 1.625% | 35,075,000 | 30,153,539 | |
02/15/2051 | 1.875% | 151,979,000 | 138,965,798 | |
05/15/2051 | 2.375% | 54,600,000 | 55,973,531 | |
U.S. Treasury(c) | ||||
05/31/2023 | 0.125% | 146,125,000 | 146,081,089 | |
05/31/2026 | 0.750% | 64,784,600 | 64,660,626 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 71 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
U.S. Treasury Obligations (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury(t) | ||||
08/15/2043 | 3.625% | 8,455,000 | 10,591,209 | |
05/15/2045 | 3.000% | 10,035,000 | 11,461,852 | |
02/15/2046 | 2.500% | 21,235,000 | 22,220,437 | |
U.S. Treasury(i) | ||||
STRIPS | ||||
11/15/2038 | 0.000% | 3,220,000 | 2,178,783 | |
02/15/2039 | 0.000% | 1,610,000 | 1,074,298 | |
05/15/2039 | 0.000% | 9,580,000 | 6,342,634 | |
02/15/2040 | 0.000% | 5,735,000 | 3,717,893 | |
11/15/2040 | 0.000% | 4,170,000 | 2,644,855 | |
11/15/2041 | 0.000% | 3,500,000 | 2,155,098 | |
05/15/2042 | 0.000% | 400,000 | 243,625 | |
08/15/2042 | 0.000% | 5,510,000 | 3,324,941 | |
05/15/2043 | 0.000% | 18,965,000 | 11,266,395 | |
11/15/2043 | 0.000% | 9,279,000 | 5,423,865 | |
11/15/2043 | 0.000% | 7,025,000 | 4,206,493 | |
02/15/2044 | 0.000% | 5,980,000 | 3,477,277 | |
08/15/2044 | 0.000% | 1,255,000 | 721,821 |
U.S. Treasury Obligations (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
02/15/2045 | 0.000% | 8,770,000 | 5,058,509 | |
02/15/2045 | 0.000% | 935,000 | 531,051 | |
Total U.S. Treasury Obligations (Cost $1,937,467,929) | 1,917,371,998 |
Money Market Funds 10.7% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.042%(u),(v) | 1,157,226,383 | 1,157,110,660 |
Total Money Market Funds (Cost $1,157,110,660) | 1,157,110,660 | |
Total Investments in Securities (Cost: $11,721,694,270) | 11,904,887,087 | |
Other Assets & Liabilities, Net | (1,128,118,217) | |
Net Assets | 10,776,768,870 |
At May 31, 2021, securities and/or cash totaling $41,720,848 were pledged as collateral.
Investments in derivatives
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Long Bond | 1,091 | 09/2021 | USD | 170,775,594 | 364,902 | — |
U.S. Long Bond | 896 | 09/2021 | USD | 140,252,000 | 309,131 | — |
U.S. Treasury 10-Year Note | 1,767 | 09/2021 | USD | 233,133,563 | 416,861 | — |
U.S. Treasury 10-Year Note | 564 | 09/2021 | USD | 74,412,750 | 117,829 | — |
U.S. Treasury 2-Year Note | 353 | 09/2021 | USD | 77,919,235 | 21,402 | — |
U.S. Treasury 5-Year Note | 5,852 | 09/2021 | USD | 724,779,347 | 653,960 | — |
U.S. Treasury 5-Year Note | 2,387 | 09/2021 | USD | 295,633,681 | — | (77,398) |
U.S. Ultra Bond 10-Year Note | 162 | 09/2021 | USD | 23,482,406 | 108,500 | — |
U.S. Ultra Bond 10-Year Note | 206 | 09/2021 | USD | 29,860,344 | — | (3,813) |
U.S. Ultra Treasury Bond | 431 | 09/2021 | USD | 79,842,750 | 502,604 | — |
U.S. Ultra Treasury Bond | 526 | 09/2021 | USD | 97,441,500 | 459,294 | — |
U.S. Ultra Treasury Bond | 257 | 09/2021 | USD | 47,609,250 | 224,491 | — |
Total | 3,178,974 | (81,211) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Treasury 10-Year Note | (109) | 09/2021 | USD | (14,381,188) | 3,351 | — |
U.S. Treasury 2-Year Note | (50) | 09/2021 | USD | (11,036,719) | — | (880) |
U.S. Treasury 2-Year Note | (4,851) | 09/2021 | USD | (1,070,782,458) | — | (390,076) |
U.S. Treasury 5-Year Note | (878) | 09/2021 | USD | (108,741,672) | — | (125,105) |
U.S. Ultra Bond 10-Year Note | (69) | 09/2021 | USD | (10,001,766) | 5,998 | — |
U.S. Ultra Bond 10-Year Note | (1,037) | 09/2021 | USD | (150,316,391) | — | (69,004) |
Total | 9,349 | (585,065) |
72 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Cleared credit default swap contracts - buy protection | |||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America High Yield Index, Series 36 | Morgan Stanley | 06/20/2026 | 5.000 | Quarterly | USD | 132,820,000 | (1,402,089) | — | — | — | (1,402,089) |
Notes to Portfolio of Investments
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At May 31, 2021, the total value of these securities amounted to $3,105,187,257, which represents 28.81% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of May 31, 2021. |
(c) | Represents a security purchased on a when-issued basis. |
(d) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At May 31, 2021, the total value of these securities amounted to $64,741,450, which represents 0.60% of total net assets. |
(e) | Valuation based on significant unobservable inputs. |
(f) | Variable 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. The interest rate shown was the current rate as of May 31, 2021. |
(g) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(h) | Represents principal only securities which have the right to receive the principal portion only on an underlying pool of mortgage loans. |
(i) | Zero coupon bond. |
(j) | Non-income producing investment. |
(k) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of May 31, 2021. |
(l) | Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash. |
(m) | Represents a security purchased on a forward commitment basis. |
(n) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At May 31, 2021, the total value of these securities amounted to $7,465,933, which represents 0.07% of total net assets. |
(o) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(p) | Principal and interest may not be guaranteed by a governmental entity. |
(q) | Municipal obligations include debt obligations issued by or on behalf of territories, possessions, or sovereign nations within the territorial boundaries of the United States. At May 31, 2021, the total value of these securities amounted to $3,118,957, which represents 0.03% of total net assets. |
(r) | Represents a variable rate security where the coupon adjusts periodically through an auction process. |
(s) | The stated interest rate represents the weighted average interest rate at May 31, 2021 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
(t) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(u) | The rate shown is the seven-day current annualized yield at May 31, 2021. |
(v) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended May 31, 2021 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.042% | ||||||||
595,019,738 | 4,824,365,641 | (4,262,273,001) | (1,718) | 1,157,110,660 | (44,519) | 492,979 | 1,157,226,383 |
Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 | 73 |
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2021 (Unaudited)
Abbreviation Legend
AMBAC | Ambac Assurance Corporation |
BAM | Build America Mutual Assurance Co. |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury |
FHLMC | Federal Home Loan Mortgage Corporation |
LIBID | London Interbank Bid Rate |
LIBOR | London Interbank Offered Rate |
MTA | Monthly Treasury Average |
SOFR | Secured Overnight Financing Rate |
STRIPS | Separate Trading of Registered Interest and Principal Securities |
TBA | To Be Announced |
Currency Legend
EUR | Euro |
USD | US Dollar |
Investments are valued using policies described in the Notes to Financial Statements in the most recent shareholder report.
74 | Multi-Manager Total Return Bond Strategies Fund | Quarterly Report 2021 |
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You may at any time request, free of charge, to receive a paper copy of this report by calling 800.345.6611.
3QT101_08_L01_(07/21)