MULTI-MANAGER TOTAL RETURN BOND STRATEGIES FUND
|
| Not FDIC or NCUA Insured • No Financial Institution Guarantee • May Lose Value |
PORTFOLIO OF INVESTMENTS
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities — Non-Agency 11.0% |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| AB BSL CLO 4 Ltd.(a),(b) |
|
| Series 2023-4A Class A |
|
| 3-month Term SOFR + 2.000% |
|
| Floor 2.000% |
|
| 04/20/2036 |
|
|
7.367 |
% |
|
|
2,350,000 |
|
|
|
2,351,669 |
|
| Affirm Asset Securitization
Trust(a) |
|
| Series 2022-A Class A |
|
| 05/17/2027 |
|
|
4.300 |
% |
|
|
525,000 |
|
|
|
515,377 |
|
| Series 2023-A Class A |
|
| 01/18/2028 |
|
|
6.610 |
% |
|
|
575,000 |
|
|
|
574,450 |
|
| Series 2023-B Class A |
|
| 09/15/2028 |
|
|
6.820 |
% |
|
|
2,070,000 |
|
|
|
2,082,781 |
|
| Series 2023-X1 Class A |
|
| 11/15/2028 |
|
|
7.110 |
% |
|
|
1,300,000 |
|
|
|
1,300,694 |
|
| AGL CLO 11 Ltd.(a),(b) |
|
| Series 2021-11A Class AJ |
|
| 3-month Term SOFR + 1.612% |
|
| Floor 1.350% |
|
| 04/15/2034 |
|
|
7.006 |
% |
|
|
12,200,000 |
|
|
|
12,010,656 |
|
| AGL CLO 12 Ltd.(a),(b) |
|
| Series 2021-12A Class C |
|
| 3-month Term SOFR + 2.112% |
|
| Floor 1.850% |
|
| 07/20/2034 |
|
|
7.527 |
% |
|
|
1,000,000 |
|
|
|
977,943 |
|
| AGL CLO Ltd.(a),(b) |
|
| Series 2021-13A Class A1 |
|
| 3-month Term SOFR + 1.422% |
|
| Floor 1.160% |
|
| 10/20/2034 |
|
|
6.837 |
% |
|
|
5,250,000 |
|
|
|
5,234,203 |
|
| AIG CLO(a),(b) |
|
| Series 2021-1A Class C |
|
| 3-month Term SOFR + 2.012% |
|
| Floor 1.750% |
|
| 04/22/2034 |
|
|
7.424 |
% |
|
|
1,750,000 |
|
|
|
1,707,909 |
|
| AIG CLO Ltd.(a),(b) |
|
| Series 2019-2A Class AR |
|
| 3-month Term SOFR + 1.362% |
|
| Floor 1.100% |
|
| 10/25/2033 |
|
|
6.740 |
% |
|
|
12,500,000 |
|
|
|
12,424,550 |
|
| Series 2021-2A Class A |
|
| 3-month Term SOFR + 1.432% |
|
| Floor 1.170% |
|
| 07/20/2034 |
|
|
6.847 |
% |
|
|
6,950,000 |
|
|
|
6,915,146 |
|
| AIMCO CLO Ltd.(a),(b) |
|
| Series 2020-11A Class AR |
|
| 3-month Term SOFR + 1.392% |
|
| Floor 1.130% |
|
| 10/17/2034 |
|
|
6.794 |
% |
|
|
4,000,000 |
|
|
|
3,987,924 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities — Non-Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Allegro CLO VII
Ltd.(a),(b) |
|
| Series 2018-1A Class A |
|
| 3-month Term SOFR + 1.362% |
|
| Floor 1.100% |
|
| 06/13/2031 |
|
|
6.756 |
% |
|
|
7,134,946 |
|
|
|
7,110,951 |
|
| American Credit Acceptance Receivables Trust(a) |
|
| Subordinated Series 2020-4 Class C |
|
| 12/14/2026 |
|
|
1.310 |
% |
|
|
184,934 |
|
|
|
184,400 |
|
| Subordinated Series 2022-4 Class C |
|
| 02/15/2029 |
|
|
7.860 |
% |
|
|
580,000 |
|
|
|
584,998 |
|
| Subordinated Series 2023-3 Class C |
|
| 10/12/2029 |
|
|
6.440 |
% |
|
|
2,750,000 |
|
|
|
2,757,881 |
|
| Subordinated Series 2023-4 Class B |
|
| 02/14/2028 |
|
|
6.630 |
% |
|
|
1,695,000 |
|
|
|
1,700,477 |
|
| Americredit Automobile Receivables Trust |
|
| Subordinated Series 2022-1 Class B |
|
| 04/19/2027 |
|
|
2.770 |
% |
|
|
2,175,000 |
|
|
|
2,074,538 |
|
| Subordinated Series 2023-1 Class B |
|
| 03/20/2028 |
|
|
5.570 |
% |
|
|
3,130,000 |
|
|
|
3,095,723 |
|
| AmeriCredit Automobile Receivables Trust |
|
| Series 2020-1 Class D |
|
| 12/18/2025 |
|
|
1.800 |
% |
|
|
950,000 |
|
|
|
920,879 |
|
| Series 2020-2 Class D |
|
| 03/18/2026 |
|
|
2.130 |
% |
|
|
500,000 |
|
|
|
478,942 |
|
| Series 2021-2 Class B |
|
| 01/19/2027 |
|
|
0.690 |
% |
|
|
2,380,000 |
|
|
|
2,284,862 |
|
| Series 2022-2 Class A3 |
|
| 04/18/2028 |
|
|
4.380 |
% |
|
|
2,090,000 |
|
|
|
2,054,683 |
|
| Series 2023-2 Class B |
|
| 07/18/2029 |
|
|
5.840 |
% |
|
|
4,505,000 |
|
|
|
4,517,885 |
|
| Subordinated Series 2019-3 Class D |
|
| 09/18/2025 |
|
|
2.580 |
% |
|
|
1,450,000 |
|
|
|
1,432,526 |
|
| Subordinated Series 2021-2 Class C |
|
| 01/19/2027 |
|
|
1.010 |
% |
|
|
2,905,000 |
|
|
|
2,696,447 |
|
| Subordinated Series 2021-3 Class C |
|
| 08/18/2027 |
|
|
1.410 |
% |
|
|
3,080,000 |
|
|
|
2,819,345 |
|
| AMMC CLO Ltd.(a),(b) |
|
| Series 2023-26A Class A1 |
|
| 3-month Term SOFR + 1.950% |
|
| Floor 1.950% |
|
| 04/15/2036 |
|
|
7.344 |
% |
|
|
2,200,000 |
|
|
|
2,201,551 |
|
| Anchorage Capital CLO
Ltd.(a),(b) |
|
| Series 2013-1A Class A1R |
|
| 3-month Term SOFR + 1.512% |
|
| 10/13/2030 |
|
|
6.905 |
% |
|
|
3,422,187 |
|
|
|
3,419,398 |
|
|
|
|
| 2 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities — Non-Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Series 2016-8A Class AR2 |
|
| 3-month Term SOFR + 1.462% |
|
| Floor 1.200% |
|
| 10/27/2034 |
|
|
6.849 |
% |
|
|
11,500,000 |
|
|
|
11,434,668 |
|
| Series 2021-21A Class B |
|
| 3-month Term SOFR + 2.012% |
|
| Floor 1.750% |
|
| 10/20/2034 |
|
|
7.427 |
% |
|
|
10,000,000 |
|
|
|
9,902,830 |
|
| Apidos CLO XXIV(a),(b) |
|
| Series 2016-24A |
|
| 3-month Term SOFR + 2.312% |
|
| Floor 2.050% |
|
| 10/20/2030 |
|
|
7.727 |
% |
|
|
2,900,000 |
|
|
|
2,856,662 |
|
| Applebee’s Funding LLC/IHOP Funding LLC(a) |
|
| Series 2019-1A Class AII |
|
| 06/07/2049 |
|
|
4.723 |
% |
|
|
495,000 |
|
|
|
465,479 |
|
| Series 2023-1A Class A2 |
|
| 03/05/2053 |
|
|
7.824 |
% |
|
|
2,750,000 |
|
|
|
2,745,421 |
|
| Aqua Finance Trust(a) |
|
| Series 2020-AA Class A |
|
| 07/17/2046 |
|
|
1.900 |
% |
|
|
449,594 |
|
|
|
417,933 |
|
| Series 2021-A Class A |
|
| 07/17/2046 |
|
|
1.540 |
% |
|
|
1,633,002 |
|
|
|
1,438,121 |
|
| Ares LXI CLO Ltd.(a),(b) |
|
| Series 2021-61A Class A |
|
| 3-month Term SOFR + 1.412% |
|
| Floor 1.150% |
|
| 10/20/2034 |
|
|
6.827 |
% |
|
|
6,718,000 |
|
|
|
6,697,463 |
|
| ArrowMark Colorado
Holdings(a),(b) |
|
| Series 2017-6A Class A1 |
|
| 3-month Term SOFR + 1.542% |
|
| 07/15/2029 |
|
|
6.936 |
% |
|
|
762,903 |
|
|
|
761,296 |
|
| Atlas Senior Loan Fund XXI
Ltd.(a),(b) |
|
| Series 2023-21A Class A1 |
|
| 3-month Term SOFR + 2.200% |
|
| Floor 2.200% |
|
| 07/20/2035 |
|
|
7.526 |
% |
|
|
7,500,000 |
|
|
|
7,532,310 |
|
| Atmos Energy Corp. |
|
| 11/15/2053 |
|
|
6.200 |
% |
|
|
290,000 |
|
|
|
313,115 |
|
| Avis Budget Rental Car Funding AESOP
LLC(a) |
|
| Series 2020-2A Class A |
|
| 02/20/2027 |
|
|
2.020 |
% |
|
|
1,600,000 |
|
|
|
1,476,277 |
|
| Series 2023-3A Class A |
|
| 02/22/2028 |
|
|
5.440 |
% |
|
|
9,830,000 |
|
|
|
9,707,866 |
|
| Bain Capital Credit CLO
Ltd.(a),(b) |
|
| Series 2019-3A Class AR |
|
| 3-month Term SOFR + 1.422% |
|
| Floor 1.160% |
|
| 10/21/2034 |
|
|
6.834 |
% |
|
|
17,250,000 |
|
|
|
17,178,516 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities — Non-Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Balboa Bay Loan Funding
Ltd.(a),(b) |
|
| Series 2020-1A Class AR |
|
| 3-month Term SOFR + 1.382% |
|
| Floor 1.120% |
|
| 01/20/2032 |
|
|
6.797 |
% |
|
|
13,750,000 |
|
|
|
13,679,009 |
|
| Barings CLO Ltd.(a),(b) |
|
| Series 2020-2A Class AR |
|
| 3-month Term SOFR + 1.272% |
|
| Floor 1.010% |
|
| 10/15/2033 |
|
|
6.666 |
% |
|
|
7,500,000 |
|
|
|
7,474,440 |
|
| Series 2020-4A Class A |
|
| 3-month Term SOFR + 1.482% |
|
| Floor 1.220% |
|
| 01/20/2032 |
|
|
6.897 |
% |
|
|
6,500,000 |
|
|
|
6,499,980 |
|
| Battalion CLO XII
Ltd.(a),(b) |
|
| Series 2018-12A Class A1 |
|
| 3-month Term SOFR + 1.332% |
|
| Floor 1.070% |
|
| 05/17/2031 |
|
|
6.701 |
% |
|
|
2,883,943 |
|
|
|
2,875,236 |
|
| Beacon Container Finance II
LLC(a) |
|
| Series 2021-1A Class A |
|
| 10/22/2046 |
|
|
2.250 |
% |
|
|
1,900,000 |
|
|
|
1,635,467 |
|
| Benefit Street Partners CLO X
Ltd.(a),(b) |
|
| Series 2016-10A Class BRR |
|
| 3-month Term SOFR + 2.412% |
|
| Floor 2.150% |
|
| 04/20/2034 |
|
|
7.827 |
% |
|
|
2,810,000 |
|
|
|
2,760,426 |
|
| BHG Securitization
Trust(a) |
|
| Series 2022-C Class A |
|
| 10/17/2035 |
|
|
5.320 |
% |
|
|
462,772 |
|
|
|
458,960 |
|
| BlueMountain CLO XXVIII
Ltd.(a),(b) |
|
| Series 2021-28A Class C |
|
| 3-month Term SOFR + 2.262% |
|
| Floor 2.000% |
|
| 04/15/2034 |
|
|
7.656 |
% |
|
|
1,300,000 |
|
|
|
1,254,360 |
|
| BlueMountain CLO XXXI
Ltd.(a),(b) |
|
| Series 2021-31A Class A2 |
|
| 3-month Term SOFR + 1.662% |
|
| Floor 1.400% |
|
| 04/19/2034 |
|
|
7.058 |
% |
|
|
3,600,000 |
|
|
|
3,552,037 |
|
| BlueMountain Fuji US CLO II
Ltd.(a),(b) |
|
| Series 2017-2A Class A1AR |
|
| 3-month Term SOFR + 1.262% |
|
| 10/20/2030 |
|
|
6.677 |
% |
|
|
10,181,894 |
|
|
|
10,169,228 |
|
| BMW Vehicle Lease Trust |
|
| Series 2023-2 Class A4 |
|
| 02/25/2027 |
|
|
5.980 |
% |
|
|
4,500,000 |
|
|
|
4,538,076 |
|
| Bojangles Issuer LLC(a) |
|
| Series 2020-1A Class A2 |
|
| 10/20/2050 |
|
|
3.832 |
% |
|
|
1,572,000 |
|
|
|
1,439,257 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
3 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities — Non-Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Bridgecrest Lending Auto Securitization Trust |
|
| Series 2023-1 Class A3 |
|
| 11/15/2027 |
|
|
6.510 |
% |
|
|
6,325,000 |
|
|
|
6,361,403 |
|
| Canyon Capital CLO
Ltd.(a),(b) |
|
| Series 2019-1A Class A1R |
|
| 3-month Term SOFR + 1.362% |
|
| Floor 1.100% |
|
| 04/15/2032 |
|
|
6.756 |
% |
|
|
17,500,000 |
|
|
|
17,450,160 |
|
| CARDS II Trust(a) |
|
| Subordinated Series 2021-1A Class B |
|
| 04/15/2027 |
|
|
0.931 |
% |
|
|
2,850,000 |
|
|
|
2,791,084 |
|
| Carlyle Global Market Strategies CLO
Ltd.(a),(b) |
|
| Series 2013-3A Class A1AR |
|
| 3-month Term SOFR + 1.362% |
|
| Floor 1.100% |
|
| 10/15/2030 |
|
|
6.756 |
% |
|
|
3,239,735 |
|
|
|
3,234,114 |
|
| Series 2014-3RA Class A1A |
|
| 3-month Term SOFR + 1.312% |
|
| 07/27/2031 |
|
|
6.699 |
% |
|
|
20,343,469 |
|
|
|
20,330,775 |
|
| Carlyle US CLO
Ltd.(a),(b) |
|
| Series 2017-2A Class A2R |
|
| 3-month Term SOFR + 1.862% |
|
| Floor 1.600% |
|
| 07/20/2031 |
|
|
7.277 |
% |
|
|
2,100,000 |
|
|
|
2,066,114 |
|
| Series 2020-1A Class BR |
|
| 3-month Term SOFR + 2.262% |
|
| Floor 2.000% |
|
| 07/20/2034 |
|
|
7.677 |
% |
|
|
1,250,000 |
|
|
|
1,222,345 |
|
| Carmax Auto Owner Trust |
|
| Series 2023-2 Class A3 |
|
| 01/18/2028 |
|
|
5.050 |
% |
|
|
3,835,000 |
|
|
|
3,805,173 |
|
| Series 2023-3 Class A3 |
|
| 05/15/2028 |
|
|
5.280 |
% |
|
|
1,165,000 |
|
|
|
1,165,376 |
|
| Subordinated Series 2023-3 Class B |
|
| 02/15/2029 |
|
|
5.470 |
% |
|
|
3,040,000 |
|
|
|
3,022,670 |
|
| CarNow Auto Receivables
Trust(a) |
|
| Series 2023-1A Class A |
|
| 12/16/2024 |
|
|
6.620 |
% |
|
|
18,886 |
|
|
|
18,888 |
|
| Carvana Auto Receivables Trust |
|
| Series 2021-P4 Class A3 |
|
| 01/11/2027 |
|
|
1.310 |
% |
|
|
4,586,614 |
|
|
|
4,414,899 |
|
| Subordinated Series 2021-N4 Class C |
|
| 09/11/2028 |
|
|
1.720 |
% |
|
|
447,102 |
|
|
|
426,944 |
|
| Carvana Auto Receivables
Trust(a) |
|
| Series 2023-N1 Class A |
|
| 04/12/2027 |
|
|
6.360 |
% |
|
|
2,296,688 |
|
|
|
2,297,820 |
|
| Series 2023-P1 Class A3 |
|
| 12/10/2027 |
|
|
5.980 |
% |
|
|
4,835,000 |
|
|
|
4,824,047 |
|
| Series 2023-P4 Class A3 |
|
| 10/10/2028 |
|
|
6.160 |
% |
|
|
2,800,000 |
|
|
|
2,817,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities — Non-Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Chancelight, Inc.(a),(b) |
|
| Series 2012-2 Class A |
|
| 30-day Average SOFR + 0.844% |
|
| Floor 0.730% |
|
| 04/25/2039 |
|
|
6.173 |
% |
|
|
216,848 |
|
|
|
216,320 |
|
| Chesapeake Funding II
LLC(a) |
|
| Series 2023-1A Class A1 |
|
| 05/15/2035 |
|
|
5.650 |
% |
|
|
2,775,804 |
|
|
|
2,770,007 |
|
| CIFC Funding IV
Ltd.(a),(b) |
|
| Series 2015-4A Class BR2 |
|
| 3-month Term SOFR + 2.162% |
|
| Floor 1.900% |
|
| 04/20/2034 |
|
|
7.577 |
% |
|
|
6,300,000 |
|
|
|
6,118,497 |
|
| CIFC Funding Ltd.(a),(b) |
|
| Series 2014-5A Class BR2 |
|
| 3-month Term SOFR + 2.062% |
|
| Floor 1.800% |
|
| 10/17/2031 |
|
|
7.464 |
% |
|
|
1,800,000 |
|
|
|
1,794,418 |
|
| Series 2019-6A Class A2 |
|
| 3-month Term SOFR + 2.012% |
|
| Floor 1.750% |
|
| 01/16/2033 |
|
|
7.406 |
% |
|
|
2,000,000 |
|
|
|
2,002,874 |
|
| CIT Education Loan
Trust(a),(b) |
|
| Series 2007-1 Class B |
|
| 90-day Average SOFR + 0.562% |
|
| Floor 0.300% |
|
| 06/25/2042 |
|
|
5.805 |
% |
|
|
334,087 |
|
|
|
311,132 |
|
| CLI Funding VIII LLC(a) |
|
| Series 2022-1A Class A1 |
|
| 01/18/2047 |
|
|
2.720 |
% |
|
|
2,534,400 |
|
|
|
2,169,684 |
|
| Commonbond Student Loan
Trust(a) |
|
| Series 2018-CGS Class B |
|
| 02/25/2046 |
|
|
4.250 |
% |
|
|
121,812 |
|
|
|
113,855 |
|
| Series 2019-AGS Class A1 |
|
| 01/25/2047 |
|
|
2.540 |
% |
|
|
1,216,365 |
|
|
|
1,058,948 |
|
| Series 2020-AGS Class A |
|
| 08/25/2050 |
|
|
1.980 |
% |
|
|
942,494 |
|
|
|
806,370 |
|
| Credit Acceptance Auto Loan
Trust(a) |
|
| Series 2020-3A Class B |
|
| 12/17/2029 |
|
|
1.770 |
% |
|
|
1,456,342 |
|
|
|
1,449,676 |
|
| Series 2022-3A Class A |
|
| 10/15/2032 |
|
|
6.570 |
% |
|
|
6,030,000 |
|
|
|
6,050,544 |
|
| Series 2023-1A Class A |
|
| 03/15/2033 |
|
|
6.480 |
% |
|
|
4,080,000 |
|
|
|
4,089,779 |
|
| Subordinated Series 2023-2A Class B |
|
| 07/15/2033 |
|
|
6.610 |
% |
|
|
1,215,000 |
|
|
|
1,203,102 |
|
| Subordinated Series 2023-3A Class C |
|
| 12/15/2033 |
|
|
7.620 |
% |
|
|
695,000 |
|
|
|
692,407 |
|
|
|
|
| 4 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities — Non-Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Crown Point CLO
Ltd.(a),(b) |
|
| Series 2021-11A Class A |
|
| 3-month Term SOFR + 1.382% |
|
| Floor 1.120% |
|
| 01/17/2034 |
|
|
6.784 |
% |
|
|
14,250,000 |
|
|
|
14,152,829 |
|
| DataBank Issuer LLC(a) |
|
| Series 2023-1 Class A2 |
|
| 02/25/2053 |
|
|
5.116 |
% |
|
|
3,400,000 |
|
|
|
3,213,457 |
|
| DB Master Finance LLC(a) |
|
| Series 2017-1A Class A2II |
|
| 11/20/2047 |
|
|
4.030 |
% |
|
|
1,178,125 |
|
|
|
1,087,586 |
|
| Series 2019-1A Class A23 |
|
| 05/20/2049 |
|
|
4.352 |
% |
|
|
1,149,000 |
|
|
|
1,046,824 |
|
| Series 2019-1A Class A2II |
|
| 05/20/2049 |
|
|
4.021 |
% |
|
|
622,375 |
|
|
|
588,866 |
|
| Subordinated Series 2021-1A Class A23 |
|
| 11/20/2051 |
|
|
2.791 |
% |
|
|
4,312,000 |
|
|
|
3,367,858 |
|
| Dell Equipment Finance
Trust(a) |
|
| Series 2023-3 Class A3 |
|
| 04/23/2029 |
|
|
5.930 |
% |
|
|
4,855,000 |
|
|
|
4,885,546 |
|
| DLLMT LLC(a) |
|
| Subordinated Series 2023-1A Class A3 |
|
| 03/22/2027 |
|
|
5.340 |
% |
|
|
4,175,000 |
|
|
|
4,142,774 |
|
| Domino’s Pizza Master Issuer
LLC(a) |
|
| Series 2018-1A Class A2I |
|
| 07/25/2048 |
|
|
4.116 |
% |
|
|
1,425,000 |
|
|
|
1,371,604 |
|
| Series 2021-1A Class A2II |
|
| 04/25/2051 |
|
|
3.151 |
% |
|
|
3,120,000 |
|
|
|
2,552,552 |
|
| Donlen Fleet Lease Funding 2
LLC(a) |
|
| Series 2021-2 Class A2 |
|
| 12/11/2034 |
|
|
0.560 |
% |
|
|
880,412 |
|
|
|
871,452 |
|
| Drive Auto Receivables Trust |
|
| Subordinated Series 2021-3 Class B |
|
| 05/15/2026 |
|
|
1.110 |
% |
|
|
435,789 |
|
|
|
435,051 |
|
| Driven Brands Funding
LLC(a) |
|
| Series 2019-1A Class A2 |
|
| 04/20/2049 |
|
|
4.641 |
% |
|
|
1,714,500 |
|
|
|
1,624,671 |
|
| Dryden 86 CLO
Ltd.(a),(b) |
|
| Series 2020-86A Class CR |
|
| 3-month Term SOFR + 2.262% |
|
| Floor 2.000%, Cap 2.000% |
|
| 07/17/2034 |
|
|
7.664 |
% |
|
|
3,000,000 |
|
|
|
2,919,489 |
|
| Dryden CLO Ltd.(a),(b) |
|
| Series 2019-75A Class CR2 |
|
| 3-month Term SOFR + 2.062% |
|
| Floor 1.800% |
|
| 04/15/2034 |
|
|
7.456 |
% |
|
|
5,000,000 |
|
|
|
4,754,155 |
|
| DT Auto Owner Trust(a) |
|
| Series 2020-2A Class C |
|
| 03/16/2026 |
|
|
3.280 |
% |
|
|
95,832 |
|
|
|
95,669 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities — Non-Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Subordinated Series 2021-4A Class C |
|
| 09/15/2027 |
|
|
1.500 |
% |
|
|
2,550,000 |
|
|
|
2,432,608 |
|
| Subordinated Series 2022-2A Class B |
|
| 01/15/2027 |
|
|
4.220 |
% |
|
|
4,445,000 |
|
|
|
4,392,298 |
|
| Subordinated Series 2022-3A Class B |
|
| 07/17/2028 |
|
|
6.740 |
% |
|
|
3,155,000 |
|
|
|
3,164,966 |
|
| Subordinated Series 2023-2A Class B |
|
| 02/15/2029 |
|
|
5.410 |
% |
|
|
2,525,000 |
|
|
|
2,498,407 |
|
| Eaton Vance CLO
Ltd.(a),(b) |
|
| Series 2019-1A Class AR |
|
| 3-month Term SOFR + 1.362% |
|
| Floor 1.100% |
|
| 04/15/2031 |
|
|
6.756 |
% |
|
|
4,670,000 |
|
|
|
4,653,907 |
|
| ELFI Graduate Loan Program
LLC(a) |
|
| Series 2019-A Class A |
|
| 03/25/2044 |
|
|
2.540 |
% |
|
|
670,460 |
|
|
|
599,776 |
|
| Series 2023-A Class A |
|
| 02/04/2048 |
|
|
6.370 |
% |
|
|
4,586,137 |
|
|
|
4,616,746 |
|
| ELFI Graduate Loan Program
LLC(a),(c) |
|
| Subordinated Series 2019-A Class B |
|
| 03/25/2044 |
|
|
2.940 |
% |
|
|
297,754 |
|
|
|
258,627 |
|
| Ellington CLO II
Ltd.(a),(b) |
|
| Series 2017-2A Class A |
|
| 3-month Term SOFR + 1.962% |
|
| Floor 1.700% |
|
| 02/15/2029 |
|
|
7.341 |
% |
|
|
2,152,047 |
|
|
|
2,150,328 |
|
| Elmwood CLO II
Ltd.(a),(b) |
|
| Series 2019-2A Class AR |
|
| 3-month Term SOFR + 1.412% |
|
| Floor 1.150% |
|
| 04/20/2034 |
|
|
6.827 |
% |
|
|
27,250,000 |
|
|
|
27,193,647 |
|
| Enterprise Fleet Financing
LLC(a) |
|
| Series 2022-3 Class A2 |
|
| 07/20/2029 |
|
|
4.380 |
% |
|
|
938,661 |
|
|
|
925,827 |
|
| Series 2023-2 Class A2 |
|
| 04/22/2030 |
|
|
5.560 |
% |
|
|
2,855,000 |
|
|
|
2,848,285 |
|
| Exeter Automobile Receivables Trust |
|
| Subordinated Series 2020-3A Class D |
|
| 07/15/2026 |
|
|
1.730 |
% |
|
|
261,800 |
|
|
|
258,129 |
|
| Subordinated Series 2021-4 Class B |
|
| 05/15/2026 |
|
|
1.050 |
% |
|
|
473,296 |
|
|
|
472,503 |
|
| Subordinated Series 2023-1A Class B |
|
| 04/15/2027 |
|
|
5.720 |
% |
|
|
2,580,000 |
|
|
|
2,567,885 |
|
| Subordinated Series 2023-2A Class B |
|
| 09/15/2027 |
|
|
5.610 |
% |
|
|
2,450,000 |
|
|
|
2,425,531 |
|
| SubordinatedSeries 2022-5A Class B |
|
| 03/15/2027 |
|
|
5.970 |
% |
|
|
4,890,000 |
|
|
|
4,870,498 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
5 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities — Non-Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Flagship Credit Auto
Trust(a) |
|
| Series 2022-4 Class A3 |
|
| 06/15/2027 |
|
|
6.320 |
% |
|
|
3,475,000 |
|
|
|
3,484,838 |
|
| Subordinated Series 2020-4 Class C |
|
| 02/16/2027 |
|
|
1.280 |
% |
|
|
466,093 |
|
|
|
454,707 |
|
| Subordinated Series 2021-2 Class B |
|
| 06/15/2027 |
|
|
0.930 |
% |
|
|
1,606,077 |
|
|
|
1,582,457 |
|
| Subordinated Series 2023-2 Class C |
|
| 05/15/2029 |
|
|
5.810 |
% |
|
|
3,240,000 |
|
|
|
3,215,512 |
|
| Flatiron CLO 21
Ltd.(a),(b) |
|
| Series 2021-1A Class C |
|
| 3-month Term SOFR + 2.112% |
|
| Floor 1.850% |
|
| 07/19/2034 |
|
|
7.508 |
% |
|
|
2,000,000 |
|
|
|
1,958,976 |
|
| Ford Credit Auto Owner
Trust(a) |
|
| Series 2018-1 Class A |
|
| 07/15/2031 |
|
|
3.190 |
% |
|
|
7,110,000 |
|
|
|
6,907,032 |
|
| Series 2021-1 Class A |
|
| 10/17/2033 |
|
|
1.370 |
% |
|
|
3,415,000 |
|
|
|
3,104,689 |
|
| Series 2023-2 Class A |
|
| 02/15/2036 |
|
|
5.280 |
% |
|
|
7,005,000 |
|
|
|
6,997,244 |
|
| Subordinated Series 2021-2 Class C |
|
| 05/15/2034 |
|
|
2.110 |
% |
|
|
3,900,000 |
|
|
|
3,432,750 |
|
| Subordinated Series 2021-2 Class D |
|
| 05/15/2034 |
|
|
2.600 |
% |
|
|
2,300,000 |
|
|
|
2,006,558 |
|
| Subordinated Series 2023-1 Class C |
|
| 08/15/2035 |
|
|
5.580 |
% |
|
|
3,900,000 |
|
|
|
3,719,201 |
|
| Ford Credit Floorplan Master Owner
Trust(a) |
|
| Series 2023-1 Class A1 |
|
| 05/15/2028 |
|
|
4.920 |
% |
|
|
2,165,000 |
|
|
|
2,132,121 |
|
| Foursight Capital Automobile Receivables Trust(a) |
|
| Series 2022-1 Class A3 |
|
| 12/15/2026 |
|
|
1.830 |
% |
|
|
2,133,729 |
|
|
|
2,095,052 |
|
| Series 2022-2 Class A3 |
|
| 06/15/2027 |
|
|
4.590 |
% |
|
|
2,130,000 |
|
|
|
2,099,322 |
|
| Frontier Issuer LLC(a) |
|
| Series 2023-1 Class A2 |
|
| 08/20/2053 |
|
|
6.600 |
% |
|
|
4,475,000 |
|
|
|
4,336,920 |
|
| Galaxy XXII CLO
Ltd.(a),(b) |
|
| Series 2016-22A Class ARR |
|
| 3-month Term SOFR + 1.462% |
|
| Floor 1.200% |
|
| 04/16/2034 |
|
|
6.856 |
% |
|
|
3,200,000 |
|
|
|
3,188,973 |
|
| GECU Auto Receivables
Trust(a) |
|
| Series 2023-1A Class A3 |
|
| 08/15/2028 |
|
|
5.630 |
% |
|
|
2,500,000 |
|
|
|
2,497,858 |
|
| Global SC Finance II
SRL(a) |
|
| Series 2014-1A Class A2 |
|
| 07/17/2029 |
|
|
3.090 |
% |
|
|
255,155 |
|
|
|
250,818 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities — Non-Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| GLS Auto Receivables Issuer
Trust(a) |
|
| Subordinated Series 2020-4A Class C |
|
| 11/17/2025 |
|
|
1.140 |
% |
|
|
150,863 |
|
|
|
150,395 |
|
| Subordinated Series 2021-3A Class B |
|
| 11/17/2025 |
|
|
0.780 |
% |
|
|
238,069 |
|
|
|
237,676 |
|
| Subordinated Series 2021-4A Class B |
|
| 04/15/2026 |
|
|
1.530 |
% |
|
|
4,144,480 |
|
|
|
4,102,136 |
|
| GM Financial Automobile Leasing Trust |
|
| Series 2023-2 Class A3 |
|
| 07/20/2026 |
|
|
5.050 |
% |
|
|
1,790,000 |
|
|
|
1,776,384 |
|
| Subordinated Series 2022-3 Class C |
|
| 08/20/2026 |
|
|
5.130 |
% |
|
|
2,350,000 |
|
|
|
2,315,190 |
|
| GM Financial Consumer Automobile Receivables Trust |
|
| Subordinated Series 2023-4 Class B |
|
| 04/16/2029 |
|
|
6.160 |
% |
|
|
2,800,000 |
|
|
|
2,833,360 |
|
| Goal Capital Funding
Trust(b) |
|
| Series 2006-1 Class B |
|
| 3-month Term SOFR + 0.712% |
|
| Floor 0.450% |
|
| 08/25/2042 |
|
|
6.091 |
% |
|
|
431,228 |
|
|
|
394,012 |
|
| GoodLeap Sustainable Home Solutions
Trust(a) |
|
| Series 2021-3CS Class A |
|
| 05/20/2048 |
|
|
2.100 |
% |
|
|
2,787,179 |
|
|
|
2,066,780 |
|
| Greenwood Park CLO
Ltd.(a),(b) |
|
| Series 2018-1A Class A2 |
|
| 3-month Term SOFR + 1.272% |
|
| Floor 1.010% |
|
| 04/15/2031 |
|
|
6.666 |
% |
|
|
14,783,358 |
|
|
|
14,760,296 |
|
| Greywolf CLO III
Ltd.(a),(b) |
|
| Series 2020-3RA Class A1R |
|
| 3-month Term SOFR + 1.550% |
|
| Floor 1.290% |
|
| 04/15/2033 |
|
|
6.702 |
% |
|
|
6,500,000 |
|
|
|
6,432,862 |
|
| Greywolf CLO VII
Ltd.(a),(b) |
|
| Series 2018-2A Class A1 |
|
| 3-month Term SOFR + 1.440% |
|
| Floor 1.180% |
|
| 10/20/2031 |
|
|
6.856 |
% |
|
|
6,250,000 |
|
|
|
6,250,594 |
|
| Helios Issuer LLC(a) |
|
| Series 2020-AA Class A |
|
| 06/20/2047 |
|
|
2.980 |
% |
|
|
987,864 |
|
|
|
898,093 |
|
| Henderson Receivables
LLC(a) |
|
| Series 2013-3A Class A |
|
| 01/17/2073 |
|
|
4.080 |
% |
|
|
1,416,805 |
|
|
|
1,253,059 |
|
| Series 2014-2A Class A |
|
| 01/17/2073 |
|
|
3.610 |
% |
|
|
1,710,199 |
|
|
|
1,440,686 |
|
| Hertz Vehicle Financing III
LLC(a) |
|
| Series 2023-3A Class A |
|
| 02/25/2028 |
|
|
5.940 |
% |
|
|
4,660,000 |
|
|
|
4,664,391 |
|
|
|
|
| 6 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities — Non-Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Hilton Grand Vacations
Trust(a) |
|
| Subordinated Series 2022-2A Class C |
|
| 01/25/2037 |
|
|
5.570 |
% |
|
|
212,047 |
|
|
|
204,122 |
|
| HPS Loan Management
Ltd.(a),(b) |
|
| Series 2010-A16 Class A1RR |
|
| 3-month Term SOFR + 1.402% |
|
| Floor 1.140% |
|
| 04/20/2034 |
|
|
6.817 |
% |
|
|
9,750,000 |
|
|
|
9,713,311 |
|
| Series 2021-16A Class A1 |
|
| 3-month Term SOFR + 1.402% |
|
| Floor 1.140% |
|
| 01/23/2035 |
|
|
6.814 |
% |
|
|
7,300,000 |
|
|
|
7,253,587 |
|
| Hyundai Auto Lease Securitization
Trust(a) |
|
| Series 2023-B Class A3 |
|
| 06/15/2026 |
|
|
5.150 |
% |
|
|
2,390,000 |
|
|
|
2,375,659 |
|
| ICG US CLO Ltd.(a),(b) |
|
| Series 2014-3A Class A1RR |
|
| 3-month Term SOFR + 1.292% |
|
| 04/25/2031 |
|
|
6.670 |
% |
|
|
5,527,311 |
|
|
|
5,516,472 |
|
| JG Wentworth XLIII
LLC(a) |
|
| Series 2019-1A Class A |
|
| 08/17/2071 |
|
|
3.820 |
% |
|
|
936,651 |
|
|
|
785,953 |
|
| JPMorgan Chase Bank
NA(a) |
|
| Series 2021-3 Class E |
|
| 02/26/2029 |
|
|
2.102 |
% |
|
|
235,202 |
|
|
|
227,472 |
|
| Subordinated Series 2021-1 Class D |
|
| 09/25/2028 |
|
|
1.174 |
% |
|
|
141,002 |
|
|
|
138,183 |
|
| Subordinated Series 2021-2 Class D |
|
| 12/26/2028 |
|
|
1.138 |
% |
|
|
346,231 |
|
|
|
336,533 |
|
| Kayne CLO Ltd.(a),(b) |
|
| Series 2019-6A Class A2 |
|
| 3-month Term SOFR + 2.112% |
|
| Floor 1.850% |
|
| 01/20/2033 |
|
|
7.527 |
% |
|
|
1,500,000 |
|
|
|
1,475,469 |
|
| Kayne Ltd.(a),(b) |
|
| Series 2018-1A Class CR |
|
| 3-month Term SOFR + 2.012% |
|
| Floor 1.750% |
|
| 07/15/2031 |
|
|
7.406 |
% |
|
|
1,820,000 |
|
|
|
1,775,270 |
|
| Series 2021-10A Class C |
|
| 3-month Term SOFR + 2.012% |
|
| Floor 1.750% |
|
| 04/23/2034 |
|
|
7.424 |
% |
|
|
1,600,000 |
|
|
|
1,552,486 |
|
| KKR CLO Ltd.(a),(b) |
|
| Series 2032A Class A1 |
|
| 3-month Term SOFR + 1.582% |
|
| Floor 1.320% |
|
| 01/15/2032 |
|
|
6.976 |
% |
|
|
17,000,000 |
|
|
|
16,970,097 |
|
| LAD Auto Receivables
Trust(a) |
|
| Subordinated Series 2023-4A Class B |
|
| 10/16/2028 |
|
|
6.390 |
% |
|
|
1,515,000 |
|
|
|
1,520,695 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities — Non-Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Lending Funding Trust(a) |
|
| Series 2020-2A Class A |
|
| 04/21/2031 |
|
|
2.320 |
% |
|
|
700,000 |
|
|
|
631,600 |
|
| Lendmark Funding
Trust(a) |
|
| Series 2021-1A Class A |
|
| 11/20/2031 |
|
|
1.900 |
% |
|
|
5,000,000 |
|
|
|
4,397,171 |
|
| Subordinated Series 2021-1A Class B |
|
| 11/20/2031 |
|
|
2.470 |
% |
|
|
200,000 |
|
|
|
167,501 |
|
| Loanpal Solar Loan
Ltd.(a) |
|
| Series 2020-2GF Class A |
|
| 07/20/2047 |
|
|
2.750 |
% |
|
|
1,349,512 |
|
|
|
1,035,296 |
|
| Logan CLO I Ltd.(a),(b) |
|
| Series 2021-1A Class A |
|
| 3-month Term SOFR + 1.422% |
|
| Floor 1.160% |
|
| 07/20/2034 |
|
|
6.837 |
% |
|
|
15,000,000 |
|
|
|
14,962,260 |
|
| M&T Equipment
Notes(a) |
|
| Series 2023-1A Class A3 |
|
| 07/15/2030 |
|
|
5.740 |
% |
|
|
2,115,000 |
|
|
|
2,111,449 |
|
| Madison Park Funding LIX
Ltd.(a),(b) |
|
| Series 2021-59A Class A |
|
| 3-month Term SOFR + 1.402% |
|
| Floor 1.140% |
|
| 01/18/2034 |
|
|
6.797 |
% |
|
|
12,500,000 |
|
|
|
12,479,275 |
|
| Madison Park Funding XLVIII
Ltd.(a),(b) |
|
| Series 2021-48A Class A |
|
| 3-month Term SOFR + 1.412% |
|
| Floor 1.150% |
|
| 04/19/2033 |
|
|
6.808 |
% |
|
|
6,500,000 |
|
|
|
6,490,458 |
|
| Series 2021-48A Class C |
|
| 3-month Term SOFR + 2.262% |
|
| Floor 2.000% |
|
| 04/19/2033 |
|
|
7.658 |
% |
|
|
1,520,000 |
|
|
|
1,505,560 |
|
| Madison Park Funding XXI
Ltd.(a),(b) |
|
| Series 2016-21A Class AARR |
|
| 3-month Term SOFR + 1.342% |
|
| Floor 1.080% |
|
| 10/15/2032 |
|
|
6.736 |
% |
|
|
17,000,000 |
|
|
|
16,951,482 |
|
| Series 2016-21A Class ABRR |
|
| 3-month Term SOFR + 1.662% |
|
| Floor 1.400% |
|
| 10/15/2032 |
|
|
7.056 |
% |
|
|
1,750,000 |
|
|
|
1,716,106 |
|
| Madison Park Funding XXXVIII
Ltd.(a),(b) |
|
| Series 2021-38A Class A |
|
| 3-month Term SOFR + 1.382% |
|
| Floor 1.120% |
|
| 07/17/2034 |
|
|
6.784 |
% |
|
|
15,000,000 |
|
|
|
14,839,155 |
|
| Magnetite XVII
Ltd.(a),(b) |
|
| Series 2016-17A Class AR |
|
| 3-month Term SOFR + 1.362% |
|
| 07/20/2031 |
|
|
6.777 |
% |
|
|
1,043,721 |
|
|
|
1,042,551 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
7 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities — Non-Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Marathon CLO Ltd.(a),(b) |
|
| Series 2020-15A Class A1S |
|
| 3-month Term SOFR + 1.962% |
|
| Floor 1.700% |
|
| 11/15/2031 |
|
|
7.341 |
% |
|
|
20,500,000 |
|
|
|
20,487,105 |
|
| Mariner Finance Issuance
Trust(a) |
|
| Series 2020-AA Class A |
|
| 08/21/2034 |
|
|
2.190 |
% |
|
|
708,638 |
|
|
|
687,568 |
|
| Marlette Funding
Trust(a) |
|
| Series 2021-1A Class C |
|
| 06/16/2031 |
|
|
1.410 |
% |
|
|
283,873 |
|
|
|
281,556 |
|
| Series 2022-3A Class A |
|
| 11/15/2032 |
|
|
5.180 |
% |
|
|
2,295,153 |
|
|
|
2,289,982 |
|
| Massachusetts Educational Financing Authority |
|
| Series 2018-A Class A |
|
| 05/25/2033 |
|
|
3.850 |
% |
|
|
1,233,623 |
|
|
|
1,193,966 |
|
| Merchants Fleet Funding
LLC(a) |
|
| Series 2023-1A Class A |
|
| 05/20/2036 |
|
|
7.210 |
% |
|
|
5,015,000 |
|
|
|
5,034,998 |
|
| Merlin Aviation Holdings
DAC(a) |
|
| Series 2016-1 Class A |
|
| 12/15/2032 |
|
|
4.500 |
% |
|
|
197,304 |
|
|
|
169,204 |
|
| MF1 Ltd.(a),(b) |
|
| Series 2021-FL6 Class D |
|
| 1-month Term SOFR + 2.664% |
|
| Floor 2.550% |
|
| 07/16/2036 |
|
|
7.994 |
% |
|
|
7,000,000 |
|
|
|
6,561,571 |
|
| MidOcean Credit CLO
VIII(a),(b) |
|
| Series 2018-8A Class B |
|
| 3-month Term SOFR + 1.912% |
|
| 02/20/2031 |
|
|
7.279 |
% |
|
|
6,600,000 |
|
|
|
6,520,767 |
|
| Mid-State Capital Corp.
Trust(a) |
|
| Series 2006-1 Class A |
|
| 10/15/2040 |
|
|
5.787 |
% |
|
|
512,289 |
|
|
|
498,063 |
|
| Mill City Solar Loan
Ltd.(a) |
|
| Series 2019-1A Class A |
|
| 03/20/2043 |
|
|
4.340 |
% |
|
|
953,958 |
|
|
|
854,850 |
|
| Series 2019-2GS Class A |
|
| 07/20/2043 |
|
|
3.690 |
% |
|
|
1,013,027 |
|
|
|
872,447 |
|
| Mosaic Solar Loan
Trust(a) |
|
| Series 2018-1A Class A |
|
| 06/22/2043 |
|
|
4.010 |
% |
|
|
467,803 |
|
|
|
425,905 |
|
| Series 2019-1A Class A |
|
| 12/21/2043 |
|
|
4.370 |
% |
|
|
962,199 |
|
|
|
880,884 |
|
| Series 2020-2A Class A |
|
| 08/20/2046 |
|
|
1.440 |
% |
|
|
1,744,749 |
|
|
|
1,432,400 |
|
| Series 2023-3A Class A |
|
| 11/20/2053 |
|
|
5.910 |
% |
|
|
2,667,395 |
|
|
|
2,604,271 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities — Non-Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Series 2023-4A Class A |
|
| 05/20/2053 |
|
|
6.400 |
% |
|
|
4,279,770 |
|
|
|
4,265,417 |
|
| Subordinated Series 2018-2GS Class B |
|
| 02/22/2044 |
|
|
4.740 |
% |
|
|
598,688 |
|
|
|
528,167 |
|
| Subordinated Series 2020-2A Class B |
|
| 08/20/2046 |
|
|
2.210 |
% |
|
|
1,112,593 |
|
|
|
878,956 |
|
| Subordinated Series 2021-2A Class B |
|
| 04/22/2047 |
|
|
2.090 |
% |
|
|
893,615 |
|
|
|
661,095 |
|
| Mosaic Solar Loans
LLC(a) |
|
| Series 2017-2A Class A |
|
| 06/22/2043 |
|
|
3.820 |
% |
|
|
490,117 |
|
|
|
446,670 |
|
| Navient Private Education Refi Loan
Trust(a) |
|
| Series 2020-BA Class A2 |
|
| 01/15/2069 |
|
|
2.120 |
% |
|
|
1,008,595 |
|
|
|
919,157 |
|
| Series 2020-DA Class A |
|
| 05/15/2069 |
|
|
1.690 |
% |
|
|
5,022,658 |
|
|
|
4,517,075 |
|
| Series 2020-FA Class A |
|
| 07/15/2069 |
|
|
1.220 |
% |
|
|
658,954 |
|
|
|
588,085 |
|
| Series 2020-GA Class A |
|
| 09/16/2069 |
|
|
1.170 |
% |
|
|
1,221,559 |
|
|
|
1,070,494 |
|
| Series 2020-HA Class A |
|
| 01/15/2069 |
|
|
1.310 |
% |
|
|
582,334 |
|
|
|
528,741 |
|
| Series 2021-A Class A |
|
| 05/15/2069 |
|
|
0.840 |
% |
|
|
649,916 |
|
|
|
560,795 |
|
| Series 2021-BA Class A |
|
| 07/15/2069 |
|
|
0.940 |
% |
|
|
1,306,918 |
|
|
|
1,115,717 |
|
| Navient Student Loan
Trust(b) |
|
| Series 2014-3 Class A |
|
| 30-day Average SOFR + 0.734% |
|
| Floor 0.620% |
|
| 03/25/2083 |
|
|
6.063 |
% |
|
|
3,515,562 |
|
|
|
3,478,149 |
|
| Series 2014-4 Class A |
|
| 30-day Average SOFR + 0.734% |
|
| Floor 0.620% |
|
| 03/25/2083 |
|
|
6.063 |
% |
|
|
1,527,463 |
|
|
|
1,502,585 |
|
| Navistar Financial Dealer Note Master Owner Trust II(a) |
|
| Series 2023-1 Class A |
|
| 08/25/2028 |
|
|
6.180 |
% |
|
|
1,685,000 |
|
|
|
1,682,775 |
|
| Nelnet Student Loan
Trust(a),(b) |
|
| Series 2006-1 Class A6 |
|
| 3-month Term SOFR + 0.712% |
|
| 08/23/2036 |
|
|
6.090 |
% |
|
|
4,628,759 |
|
|
|
4,533,438 |
|
| Series 2014-4A Class A2 |
|
| 30-day Average SOFR + 1.064% |
|
| Floor 0.950% |
|
| 11/25/2048 |
|
|
6.393 |
% |
|
|
3,799,713 |
|
|
|
3,765,254 |
|
|
|
|
| 8 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities — Non-Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Neuberger Berman CLO XVII
Ltd.(a),(b) |
|
| Series 2014-17A Class CR2 |
|
| 3-month Term SOFR + 2.262% |
|
| Floor 2.000% |
|
| 04/22/2029 |
|
|
7.674 |
% |
|
|
2,000,000 |
|
|
|
1,967,230 |
|
| Neuberger Berman Loan Advisers CLO
Ltd.(a),(b) |
|
| Series 2019-33A Class CR |
|
| 3-month Term SOFR + 2.162% |
|
| Floor 1.900% |
|
| 10/16/2033 |
|
|
7.556 |
% |
|
|
2,000,000 |
|
|
|
1,962,608 |
|
| Series 2021-40A Class C |
|
| 3-month Term SOFR + 2.012% |
|
| Floor 1.750% |
|
| 04/16/2033 |
|
|
7.406 |
% |
|
|
4,650,000 |
|
|
|
4,546,575 |
|
| New Economy Assets Phase 1 Sponsor
LLC(a) |
|
| Series 2021-1 Class A1 |
|
| 10/20/2061 |
|
|
1.910 |
% |
|
|
5,030,000 |
|
|
|
4,346,334 |
|
| Oaktree CLO Ltd.(a),(b) |
|
| Series 2019-1A Class A1R |
|
| 3-month Term SOFR + 1.372% |
|
| Floor 1.110% |
|
| 04/22/2030 |
|
|
6.784 |
% |
|
|
9,800,000 |
|
|
|
9,759,379 |
|
| OCP CLO Ltd.(a),(b) |
|
| Series 2020-18A Class CR |
|
| 3-month Term SOFR + 2.212% |
|
| Floor 1.950% |
|
| 07/20/2032 |
|
|
7.627 |
% |
|
|
500,000 |
|
|
|
491,303 |
|
| Octagon 61 Ltd.(a),(b) |
|
| Series 2023-2A Class A |
|
| 3-month Term SOFR + 1.850% |
|
| Floor 1.850% |
|
| 04/20/2036 |
|
|
7.266 |
% |
|
|
1,550,000 |
|
|
|
1,550,693 |
|
| Octagon Investment Partners 27
Ltd.(a),(b) |
|
| Series 2016-1A Class A2R |
|
| 3-month Term SOFR + 1.612% |
|
| 07/15/2030 |
|
|
7.006 |
% |
|
|
6,925,000 |
|
|
|
6,821,388 |
|
| Octagon Investment Partners 32
Ltd.(a),(b) |
|
| Series 2017-1A Class A2R |
|
| 3-month Term SOFR + 1.462% |
|
| Floor 1.200% |
|
| 07/15/2029 |
|
|
6.856 |
% |
|
|
7,400,000 |
|
|
|
7,320,450 |
|
| Octagon Investment Partners 46
Ltd.(a),(b) |
|
| Series 2020-2A Class AR |
|
| 3-month Term SOFR + 1.422% |
|
| Floor 1.160% |
|
| 07/15/2036 |
|
|
6.816 |
% |
|
|
7,900,000 |
|
|
|
7,842,456 |
|
| OHA Credit Funding
Ltd.(a),(b) |
|
| Series 2021-8A Class C |
|
| 3-month Term SOFR + 2.162% |
|
| Floor 1.900% |
|
| 01/18/2034 |
|
|
7.557 |
% |
|
|
1,350,000 |
|
|
|
1,331,396 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 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 Term SOFR + 2.062% |
|
| Floor 1.800% |
|
| 02/20/2034 |
|
|
7.429 |
% |
|
|
5,000,000 |
|
|
|
4,893,710 |
|
| OneMain Direct Auto Receivables
Trust(a) |
|
| Series 2019-1A Class A |
|
| 09/14/2027 |
|
|
3.630 |
% |
|
|
6,900,000 |
|
|
|
6,719,252 |
|
| Subordinated Series 2019-1A Class B |
|
| 11/14/2028 |
|
|
3.950 |
% |
|
|
1,500,000 |
|
|
|
1,433,535 |
|
| Subordinated Series 2019-1A Class D |
|
| 04/14/2031 |
|
|
4.680 |
% |
|
|
2,900,000 |
|
|
|
2,744,730 |
|
| Subordinated Series 2021-1A Class C |
|
| 07/14/2028 |
|
|
1.420 |
% |
|
|
7,367,000 |
|
|
|
6,658,466 |
|
| Subordinated Series 2021-1A Class D |
|
| 11/14/2030 |
|
|
1.620 |
% |
|
|
900,000 |
|
|
|
800,135 |
|
| Subordinated Series 2023-1A Class C |
|
| 02/14/2031 |
|
|
6.140 |
% |
|
|
3,100,000 |
|
|
|
2,986,185 |
|
| OneMain Financial Issuance
Trust(a) |
|
| Series 2020-2A Class A |
|
| 09/14/2035 |
|
|
1.750 |
% |
|
|
2,700,000 |
|
|
|
2,445,302 |
|
| Series 2022-S1 Class A |
|
| 05/14/2035 |
|
|
4.130 |
% |
|
|
7,275,000 |
|
|
|
7,000,752 |
|
| Subordinated Series 2022-2 Class D |
|
| 10/14/2034 |
|
|
6.550 |
% |
|
|
6,280,000 |
|
|
|
6,098,107 |
|
| Subordinated Series 2023-1A Class D |
|
| 06/14/2038 |
|
|
7.490 |
% |
|
|
100,000 |
|
|
|
99,611 |
|
| Subordinated Series 2023-2A Class C |
|
| 09/15/2036 |
|
|
6.740 |
% |
|
|
1,500,000 |
|
|
|
1,504,920 |
|
| Subordinated Series 2023-2A Class D |
|
| 09/15/2036 |
|
|
7.520 |
% |
|
|
1,600,000 |
|
|
|
1,605,765 |
|
| Oscar US Funding XII
LLC(a) |
|
| Series 2021-1A Class A4 |
|
| 04/10/2028 |
|
|
1.000 |
% |
|
|
2,050,000 |
|
|
|
1,919,273 |
|
| OZLM Funding IV
Ltd.(a),(b) |
|
| Series 2013-4A |
|
| 3-month Term SOFR + 1.512% |
|
| Floor 1.250% |
|
| 10/22/2030 |
|
|
6.924 |
% |
|
|
8,100,977 |
|
|
|
8,079,882 |
|
| Pagaya AI Debt Trust(a) |
|
| Series 2022-1 Class A |
|
| 10/15/2029 |
|
|
2.030 |
% |
|
|
707,459 |
|
|
|
696,006 |
|
| Palmer Square CLO
Ltd.(a),(b) |
|
| Series 2014-1A Class A1R2 |
|
| 3-month Term SOFR + 1.392% |
|
| Floor 1.130% |
|
| 01/17/2031 |
|
|
6.794 |
% |
|
|
5,191,385 |
|
|
|
5,187,637 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
9 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities — Non-Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Series 2020-3A Class BR |
|
| 3-month Term SOFR + 2.212% |
|
| Floor 1.950% |
|
| 11/15/2031 |
|
|
7.591 |
% |
|
|
2,000,000 |
|
|
|
1,978,736 |
|
| Park Avenue Institutional Advisers CLO Ltd.(a),(b) |
|
| Series 2016-1R Class A1R |
|
| 3-month Term SOFR + 1.462% |
|
| Floor 1.200% |
|
| 08/23/2031 |
|
|
6.840 |
% |
|
|
8,276,031 |
|
|
|
8,274,881 |
|
| Series 2017-1A Class A1R |
|
| 3-month Term SOFR + 1.502% |
|
| Floor 1.240% |
|
| 02/14/2034 |
|
|
6.879 |
% |
|
|
5,000,000 |
|
|
|
4,990,260 |
|
| Series 2019-2A Class A1 |
|
| 3-month Term SOFR + 1.442% |
|
| Floor 1.180% |
|
| 10/15/2034 |
|
|
6.836 |
% |
|
|
15,000,000 |
|
|
|
14,960,175 |
|
| Planet Fitness Master Issuer
LLC(a) |
|
| Series 2018-1A Class A2II |
|
| 09/05/2048 |
|
|
4.666 |
% |
|
|
3,828,500 |
|
|
|
3,704,161 |
|
| Prestige Auto Receivables
Trust(a) |
|
| Subordinated Series 2021-1A Class C |
|
| 02/15/2028 |
|
|
1.530 |
% |
|
|
2,525,000 |
|
|
|
2,384,994 |
|
| Subordinated Series 2023-1A Class C |
|
| 02/15/2028 |
|
|
5.650 |
% |
|
|
2,460,000 |
|
|
|
2,447,864 |
|
| Primose Funding LLC(a) |
|
| Series 2019-1A Class A2 |
|
| 07/30/2049 |
|
|
4.475 |
% |
|
|
1,451,250 |
|
|
|
1,357,971 |
|
| Regional Management Issuance
Trust(a) |
|
| Series 2022-1 Class A |
|
| 03/15/2032 |
|
|
3.070 |
% |
|
|
2,800,000 |
|
|
|
2,635,487 |
|
| Rockford Tower CLO
Ltd.(a),(b) |
|
| Series 2021-1A Class B |
|
| 3-month Term SOFR + 1.912% |
|
| Floor 1.650% |
|
| 07/20/2034 |
|
|
7.327 |
% |
|
|
7,900,000 |
|
|
|
7,750,635 |
|
| Series 2021-3A Class B |
|
| 3-month Term SOFR + 2.012% |
|
| Floor 1.750% |
|
| 10/20/2034 |
|
|
7.427 |
% |
|
|
10,000,000 |
|
|
|
9,819,570 |
|
| Santander Bank Auto Credit-Linked
Notes(a) |
|
| Subordinated Series 2022-A Class C |
|
| 05/15/2032 |
|
|
7.375 |
% |
|
|
621,345 |
|
|
|
613,741 |
|
| Santander Consumer Auto Receivables
Trust(a) |
|
| Series 2020-AA Class C |
|
| 02/17/2026 |
|
|
3.710 |
% |
|
|
7,631 |
|
|
|
7,624 |
|
| Santander Drive Auto Receivables Trust |
|
| Series 2020-2 Class D |
|
| 09/15/2026 |
|
|
2.220 |
% |
|
|
307,004 |
|
|
|
302,659 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities — Non-Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Subordinated Series 2020-3 Class D |
|
| 11/16/2026 |
|
|
1.640 |
% |
|
|
1,845,893 |
|
|
|
1,810,270 |
|
| Subordinated Series 2020-4 Class D |
|
| 01/15/2027 |
|
|
1.480 |
% |
|
|
1,418,619 |
|
|
|
1,383,298 |
|
| Subordinated Series 2022-3 Class B |
|
| 08/16/2027 |
|
|
4.130 |
% |
|
|
3,710,000 |
|
|
|
3,629,066 |
|
| Subordinated Series 2022-4 Class B |
|
| 11/15/2027 |
|
|
4.420 |
% |
|
|
3,505,000 |
|
|
|
3,425,202 |
|
| Subordinated Series 2022-5 Class B |
|
| 03/15/2027 |
|
|
4.430 |
% |
|
|
1,880,000 |
|
|
|
1,852,729 |
|
| Subordinated Series 2023-1 Class C |
|
| 05/15/2030 |
|
|
5.090 |
% |
|
|
810,000 |
|
|
|
792,883 |
|
| Subordinated Series 2023-3 Class C |
|
| 11/15/2030 |
|
|
5.770 |
% |
|
|
1,160,000 |
|
|
|
1,153,328 |
|
| Subordinated Series 2023-4 Class B |
|
| 12/15/2028 |
|
|
5.770 |
% |
|
|
2,410,000 |
|
|
|
2,418,482 |
|
| Subordinated Series 2023-5 Class B |
|
| 12/17/2029 |
|
|
6.160 |
% |
|
|
3,885,000 |
|
|
|
3,895,326 |
|
| Subordinated Series 2023-6 Class C |
|
| 03/17/2031 |
|
|
6.400 |
% |
|
|
600,000 |
|
|
|
600,011 |
|
| SCF Equipment Leasing
LLC(a) |
|
| Series 2022-1A Class A3 |
|
| 07/20/2029 |
|
|
2.920 |
% |
|
|
2,440,000 |
|
|
|
2,369,907 |
|
| Series 2023-1A Class A2 |
|
| 01/22/2030 |
|
|
6.560 |
% |
|
|
2,625,000 |
|
|
|
2,630,915 |
|
| SFS Auto Receivables Securitization
Trust(a) |
|
| Series 2023-1A Class A3 |
|
| 10/20/2028 |
|
|
5.470 |
% |
|
|
2,915,000 |
|
|
|
2,896,831 |
|
| Shackleton VR CLO
Ltd.(a),(b) |
|
| Series 2014-5RA Class A |
|
| 3-month Term SOFR + 1.362% |
|
| Floor 1.100% |
|
| 05/07/2031 |
|
|
6.742 |
% |
|
|
10,462,319 |
|
|
|
10,380,472 |
|
| Sixth Street CLO XVI
Ltd.(a),(b) |
|
| Series 2020-16A Class A1A |
|
| 3-month Term SOFR + 1.582% |
|
| Floor 1.320% |
|
| 10/20/2032 |
|
|
6.997 |
% |
|
|
25,250,000 |
|
|
|
25,252,828 |
|
| SLM Student Loan
Trust(b) |
|
| Series 2008-2 Class B |
|
| 90-day Average SOFR + 1.462% |
|
| Floor 1.200% |
|
| 01/25/2083 |
|
|
6.796 |
% |
|
|
1,165,000 |
|
|
|
1,077,868 |
|
| Series 2008-3 Class B |
|
| 90-day Average SOFR + 1.462% |
|
| Floor 1.200% |
|
| 04/26/2083 |
|
|
6.796 |
% |
|
|
1,165,000 |
|
|
|
1,049,526 |
|
|
|
|
| 10 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities — Non-Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Series 2008-4 Class B |
|
|
|
|
|
|
|
|
|
|
|
|
| 90-day Average SOFR + 2.112% |
|
|
|
|
|
| Floor 1.850% |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/25/2073 |
|
|
7.446 |
% |
|
|
1,165,000 |
|
|
|
1,133,669 |
|
| Series 2008-5 Class B |
|
|
|
|
|
|
|
|
|
|
|
|
| 90-day Average SOFR + 2.112% |
|
|
|
|
|
| Floor 1.850% |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/25/2073 |
|
|
7.446 |
% |
|
|
4,060,000 |
|
|
|
3,916,449 |
|
| Series 2008-6 Class A4 |
|
|
|
|
|
|
|
|
|
|
|
|
| 90-day Average SOFR + 1.362% |
|
|
|
|
|
| Floor 1.100% |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/25/2024 |
|
|
6.696 |
% |
|
|
3,144,589 |
|
|
|
3,093,749 |
|
| Series 2008-6 Class B |
|
|
|
|
|
|
|
|
|
|
|
|
| 90-day Average SOFR + 2.112% |
|
|
|
|
|
| Floor 1.850% |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/26/2083 |
|
|
7.446 |
% |
|
|
1,165,000 |
|
|
|
1,073,256 |
|
| Series 2008-7 Class B |
|
|
|
|
|
|
|
|
|
|
|
|
| 90-day Average SOFR + 2.112% |
|
|
|
|
|
| Floor 1.850% |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/26/2083 |
|
|
7.446 |
% |
|
|
1,165,000 |
|
|
|
1,070,675 |
|
| Series 2012-2 Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 30-day Average SOFR + 0.814% |
|
|
|
|
|
| Floor 0.700% |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/25/2029 |
|
|
6.143 |
% |
|
|
3,991,171 |
|
|
|
3,793,140 |
|
| Series 2012-7 Class A3 |
|
|
|
|
|
|
|
|
|
|
|
|
| 30-day Average SOFR + 0.764% |
|
|
|
|
|
| Floor 0.650% |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/26/2026 |
|
|
6.093 |
% |
|
|
1,952,956 |
|
|
|
1,878,303 |
|
| SMB Private Education Loan
Trust(a) |
|
|
|
|
|
| Series 2020-PTA Class A2A |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/15/2054 |
|
|
1.600 |
% |
|
|
2,052,726 |
|
|
|
1,823,663 |
|
| SoFi Professional Loan Program
LLC(a) |
|
|
|
|
|
| Series 2017-D Class A2FX |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/25/2040 |
|
|
2.650 |
% |
|
|
179,589 |
|
|
|
172,280 |
|
| Series 2018-A Class A2B |
|
|
|
|
|
|
|
|
|
|
|
|
| 02/25/2042 |
|
|
2.950 |
% |
|
|
50,561 |
|
|
|
49,131 |
|
| Series 2019-A Class BFX |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/15/2048 |
|
|
4.110 |
% |
|
|
2,500,000 |
|
|
|
2,203,456 |
|
| Subordinated Series 2018-B Class BFX |
|
|
|
|
|
| 08/25/2047 |
|
|
3.830 |
% |
|
|
2,700,000 |
|
|
|
2,436,562 |
|
| Subordinated Series 2019-B Class BFX |
|
|
|
|
|
| 08/17/2048 |
|
|
3.730 |
% |
|
|
2,500,000 |
|
|
|
2,151,922 |
|
| SoFi Professional Loan Program
Trust(a) |
|
|
|
|
|
| Subordinated Series 2020-B Class BFX |
|
|
|
|
|
| 05/15/2046 |
|
|
2.730 |
% |
|
|
2,200,000 |
|
|
|
1,605,570 |
|
| Sonic Capital LLC(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-1A Class A2I |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/20/2050 |
|
|
3.845 |
% |
|
|
1,838,250 |
|
|
|
1,681,282 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities — Non-Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Sound Point CLO II
Ltd.(a),(b) |
|
|
|
|
|
| Series 2013-1A Class A1R |
|
|
|
|
|
| 3-month Term SOFR + 1.332% |
|
|
|
|
|
| Floor 1.070% |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/26/2031 |
|
|
6.711 |
% |
|
|
5,238,719 |
|
|
|
5,222,474 |
|
| Sunnova Helios XI Issuer
LLC(a) |
|
|
|
|
|
| Series 2023-A Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/20/2050 |
|
|
5.300 |
% |
|
|
4,631,952 |
|
|
|
4,447,473 |
|
| Sunnova Sol II Issuer
LLC(a) |
|
|
|
|
|
| Series 2020-2A Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/01/2055 |
|
|
2.730 |
% |
|
|
2,748,271 |
|
|
|
2,198,817 |
|
| Sunnova Sol III Issuer
LLC(a) |
|
|
|
|
|
| Series 2021-1 Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/28/2056 |
|
|
2.580 |
% |
|
|
2,313,261 |
|
|
|
1,826,921 |
|
| Sunrun Athena Issuer
LLC(a) |
|
|
|
|
|
| Series 2018-1 Class A |
|
|
|
|
|
| 04/30/2049 |
|
|
5.310 |
% |
|
|
1,761,563 |
|
|
|
1,638,132 |
|
| Sunrun Callisto Issuer
LLC(a) |
|
|
|
|
|
| Series 2019-1A Class A |
|
|
|
|
|
| 06/30/2054 |
|
|
3.980 |
% |
|
|
1,312,204 |
|
|
|
1,179,692 |
|
| Sunrun Iris Issuer LLC(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2023-1A Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/30/2059 |
|
|
5.750 |
% |
|
|
1,736,260 |
|
|
|
1,661,137 |
|
| Symphony CLO XVIII
Ltd.(a),(b) |
|
|
|
|
|
| Series 2016-18A Class A1RR |
|
|
|
|
|
| 3-month Term SOFR + 1.362% |
|
|
|
|
|
| Floor 1.100% |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/23/2033 |
|
|
6.774 |
% |
|
|
6,250,000 |
|
|
|
6,247,256 |
|
| Taco Bell Funding LLC(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-1A Class A2I |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/25/2051 |
|
|
1.946 |
% |
|
|
2,456,250 |
|
|
|
2,159,944 |
|
| TCI-Flatiron CLO Ltd.(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2018-1A Class CR |
|
|
|
|
|
|
|
|
|
|
|
|
| 3-month Term SOFR + 2.012% |
|
|
|
|
|
| Floor 1.750% |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/29/2032 |
|
|
7.402 |
% |
|
|
2,300,000 |
|
|
|
2,257,123 |
|
| TCW CLO Ltd.(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2017-1A Class A1RR |
|
|
|
|
|
| 3-month Term SOFR + 1.442% |
|
|
|
|
|
| Floor 1.180% |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/29/2034 |
|
|
6.832 |
% |
|
|
21,750,000 |
|
|
|
21,684,293 |
|
| Series 2017-1A Class BRR |
|
|
|
|
|
| 3-month Term SOFR + 1.962% |
|
|
|
|
|
| Floor 1.700% |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/29/2034 |
|
|
7.352 |
% |
|
|
6,500,000 |
|
|
|
6,375,148 |
|
| Series 2021-1A Class C |
|
|
|
|
|
|
|
|
|
|
|
|
| 3-month Term SOFR + 2.162% |
|
|
|
|
|
| Floor 1.900% |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/18/2034 |
|
|
7.577 |
% |
|
|
3,150,000 |
|
|
|
3,034,086 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
11 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities — Non-Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Telos CLO Ltd.(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2013-4A Class AR |
|
|
|
|
|
|
|
|
|
|
|
|
| 3-month Term SOFR + 1.502% |
|
|
|
|
|
| Floor 1.240% |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/17/2030 |
|
|
6.904 |
% |
|
|
7,099,453 |
|
|
|
7,068,911 |
|
| Texas Debt Capital CLO
Ltd.(a),(b) |
|
|
|
|
|
| Series 2023-1A Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 3-month Term SOFR + 1.800% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 1.800% |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/20/2036 |
|
|
7.216 |
% |
|
|
4,050,000 |
|
|
|
4,056,152 |
|
| Textainer Marine Containers VII
Ltd.(a) |
|
|
|
|
|
| Series 2021-2A Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/20/2046 |
|
|
2.230 |
% |
|
|
3,490,667 |
|
|
|
3,017,667 |
|
| THL Credit Wind River CLO
Ltd.(a),(b) |
|
|
|
|
|
| Series 2019-1A Class AR |
|
|
|
|
|
|
|
|
|
|
|
|
| 3-month Term SOFR + 1.422% |
|
|
|
|
|
| Floor 1.160% |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/20/2034 |
|
|
6.837 |
% |
|
|
10,000,000 |
|
|
|
9,942,680 |
|
| TIAA CLO I Ltd.(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2016-1A Class AR |
|
|
|
|
|
| 3-month Term SOFR + 1.462% |
|
|
|
|
|
| Floor 1.200% |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/20/2031 |
|
|
6.877 |
% |
|
|
6,448,598 |
|
|
|
6,444,536 |
|
| Tikehau US CLO IV
Ltd.(a),(b) |
|
|
|
|
|
| Series 2023-1A Class A1 |
|
|
|
|
|
|
|
|
|
|
|
|
| 3-month Term SOFR + 2.200% |
|
|
|
|
|
| Floor 2.200% |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/15/2034 |
|
|
7.466 |
% |
|
|
28,000,000 |
|
|
|
28,352,156 |
|
| Toyota Auto Loan Extended Note
Trust(a) |
|
|
|
|
|
| Series 2020-1A Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/25/2033 |
|
|
1.350 |
% |
|
|
1,405,000 |
|
|
|
1,319,908 |
|
| Trafigura Securitisation Finance
PLC(a) |
|
|
|
|
|
| Subordinated Series 2021-1A Class B |
|
|
|
|
|
| 01/15/2025 |
|
|
1.780 |
% |
|
|
1,550,000 |
|
|
|
1,473,022 |
|
| Tralee CLO VI Ltd.(a),(b) |
|
|
|
|
|
| Series 2019-6A Class A1R |
|
|
|
|
|
| 3-month Term SOFR + 1.432% |
|
|
|
|
|
| Floor 1.170% |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/25/2032 |
|
|
6.810 |
% |
|
|
25,000,000 |
|
|
|
24,755,850 |
|
| Tralee CLO VII Ltd(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-7A Class A1 |
|
|
|
|
|
| 3-month Term SOFR + 1.582% |
|
|
|
|
|
| Floor 1.320% |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/25/2034 |
|
|
6.960 |
% |
|
|
9,250,000 |
|
|
|
9,222,028 |
|
| Trestles CLO V LTD.(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-5A Class B1 |
|
|
|
|
|
|
|
|
|
|
|
|
| 3-month Term SOFR + 1.912% |
|
|
|
|
|
| Floor 1.650% |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/20/2034 |
|
|
7.327 |
% |
|
|
6,800,000 |
|
|
|
6,585,134 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities — Non-Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Trinitas CLO VII Ltd.(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2017-7A Class A1R |
|
|
|
|
|
| 3-month Term SOFR + 1.462% |
|
|
|
|
|
| Floor 1.200% |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/25/2035 |
|
|
6.840 |
% |
|
|
4,000,000 |
|
|
|
3,941,652 |
|
| Trinitas CLO XX Ltd.(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-20A Class A1 |
|
|
|
|
|
| 3-month Term SOFR + 1.530% |
|
|
|
|
|
| Floor 1.530% |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/20/2035 |
|
|
6.946 |
% |
|
|
13,250,000 |
|
|
|
13,226,309 |
|
| Triton Container Finance VIII
LLC(a) |
|
|
|
|
|
| Series 2021-1A Class A |
|
|
|
|
|
| 03/20/2046 |
|
|
1.860 |
% |
|
|
2,474,667 |
|
|
|
2,102,536 |
|
| United Auto Credit Securitization
Trust(a) |
|
|
|
|
|
| Subordinated Series 2022-2 Class C |
|
|
|
|
|
| 05/10/2027 |
|
|
5.810 |
% |
|
|
1,995,000 |
|
|
|
1,978,376 |
|
| Upstart Securitization
Trust(a) |
|
|
|
|
|
| Series 2023-1 Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 02/20/2033 |
|
|
6.590 |
% |
|
|
990,171 |
|
|
|
988,218 |
|
| Venture CLO Ltd.(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2017-28AA Class A1R |
|
|
|
|
|
| 3-month Term SOFR + 1.472% |
|
|
|
|
|
| Floor 1.210% |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/20/2034 |
|
|
6.887 |
% |
|
|
12,500,000 |
|
|
|
12,376,587 |
|
| Venture XXVII CLO
Ltd.(a),(b) |
|
|
|
|
|
| Series 2017-27A Class CR |
|
|
|
|
|
|
|
|
|
|
|
|
| 3-month Term SOFR + 2.562% |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/20/2030 |
|
|
7.977 |
% |
|
|
4,100,000 |
|
|
|
3,996,098 |
|
| Voya CLO Ltd.(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2013-1A Class A1AR |
|
|
|
|
|
|
|
|
|
|
|
|
| 3-month Term SOFR + 1.472% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 1.210% |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/15/2030 |
|
|
6.866 |
% |
|
|
5,897,104 |
|
|
|
5,886,583 |
|
| Series 2016-1A Class A1R |
|
|
|
|
|
|
|
|
|
|
|
|
| 3-month Term SOFR + 1.332% |
|
|
|
|
|
| Floor 1.070% |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/20/2031 |
|
|
6.747 |
% |
|
|
8,484,766 |
|
|
|
8,469,629 |
|
| Wachovia Student Loan
Trust(a),(b) |
|
|
|
|
|
| Series 2006-1 Class A6 |
|
|
|
|
|
| 90-day Average SOFR + 0.432% |
|
|
|
|
|
| Floor 0.170% |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/25/2040 |
|
|
5.766 |
% |
|
|
3,717,247 |
|
|
|
3,592,435 |
|
| Wellfleet CLO Ltd.(a),(b) |
|
|
|
|
|
| Series 2019-1A Class A1R |
|
|
|
|
|
| 3-month Term SOFR + 1.382% |
|
|
|
|
|
| Floor 1.120% |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/20/2032 |
|
|
6.797 |
% |
|
|
15,000,000 |
|
|
|
14,841,330 |
|
| Wendy’s Funding
LLC(a) |
|
|
|
|
|
| Series 2018-1A Class A2II |
|
|
|
|
|
| 03/15/2048 |
|
|
3.884 |
% |
|
|
942,500 |
|
|
|
867,477 |
|
|
|
|
| 12 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities — Non-Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Series 2019-1A Class A2I |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/15/2049 |
|
|
3.783 |
% |
|
|
3,113,625 |
|
|
|
2,942,008 |
|
| Series 2021-1A Class A2II |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/15/2051 |
|
|
2.775 |
% |
|
|
4,999,913 |
|
|
|
3,970,067 |
|
| Westlake Automobile Receivables
Trust(a) |
|
|
|
|
|
| Series 2021-2A Class C |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/15/2026 |
|
|
0.890 |
% |
|
|
1,650,000 |
|
|
|
1,612,546 |
|
| Subordinated Series 2020-3A Class C |
|
|
|
|
|
| 11/17/2025 |
|
|
1.240 |
% |
|
|
25,135 |
|
|
|
25,073 |
|
| Subordinated Series 2021-2A Class B |
|
|
|
|
|
| 07/15/2026 |
|
|
0.620 |
% |
|
|
372,198 |
|
|
|
371,501 |
|
| Subordinated Series 2021-3 Class C |
|
|
|
|
|
| 01/15/2027 |
|
|
1.580 |
% |
|
|
6,225,000 |
|
|
|
5,990,562 |
|
| Subordinated Series 2023-2A Class B |
|
|
|
|
|
| 03/15/2028 |
|
|
6.140 |
% |
|
|
3,550,000 |
|
|
|
3,545,624 |
|
| Subordinated Series 2023-3A Class C |
|
|
|
|
|
| 09/15/2028 |
|
|
6.020 |
% |
|
|
4,530,000 |
|
|
|
4,490,002 |
|
| Wheels Fleet Lease Funding 1
LLC(a) |
|
|
|
|
|
| Series 2023-1A Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/18/2038 |
|
|
5.800 |
% |
|
|
5,360,000 |
|
|
|
5,347,667 |
|
| Wind River CLO Ltd.(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2016-1A Class A1R2 |
|
|
|
|
|
| 3-month Term SOFR + 1.472% |
|
|
|
|
|
| Floor 1.210% |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/15/2034 |
|
|
6.866 |
% |
|
|
4,250,000 |
|
|
|
4,210,437 |
|
| World Omni Automobile Lease Securitization Trust |
|
|
|
|
|
| Series 2023-A Class A3 |
|
|
|
|
|
| 09/15/2026 |
|
|
5.070 |
% |
|
|
2,420,000 |
|
|
|
2,401,617 |
|
| World Omni Select Auto Trust |
|
|
|
|
|
| Subordinated Series 2021-A Class B |
|
|
|
|
|
| 08/16/2027 |
|
|
0.850 |
% |
|
|
2,170,000 |
|
|
|
2,057,734 |
|
| York CLO-4 Ltd.(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2016-2A Class A1R |
|
|
|
|
|
| 3-month Term SOFR + 1.352% |
|
|
|
|
|
| 04/20/2032 |
|
|
6.767 |
% |
|
|
10,109,645 |
|
|
|
10,095,441 |
|
| Zais CLO 7 Ltd.(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2017-2A Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 3-month Term SOFR + 1.552% |
|
|
|
|
|
| 04/15/2030 |
|
|
6.946 |
% |
|
|
2,091,978 |
|
|
|
2,084,075 |
|
| Zais CLO 9 Ltd.(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2018-2A Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 3-month Term SOFR + 1.462% |
|
|
|
|
|
| Floor 1.200% |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/20/2031 |
|
|
6.877 |
% |
|
|
11,250,982 |
|
|
|
11,239,776 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities — Non-Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Zaxby’s Funding LLC(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-1A Class A2 |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/30/2051 |
|
|
3.238 |
% |
|
|
5,522,875 |
|
|
|
4,631,308 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Asset-Backed Securities — Non-Agency (Cost $1,342,779,413) |
|
|
|
|
|
|
|
1,317,471,514 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Commercial Mortgage-Backed Securities - Agency 0.8% |
|
|
|
| Federal Home Loan Mortgage Corp. Multifamily ML Certificates(c),(d) |
|
|
|
|
|
| Series 2021-ML08 Class XUS |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/25/2037 |
|
|
1.869 |
% |
|
|
7,688,397 |
|
|
|
1,004,123 |
|
| Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through |
|
|
|
|
|
| Certificates(c),(d) |
|
|
|
|
|
|
|
|
|
|
|
|
| CMO Series K055 Class X1 |
|
|
|
|
|
| 03/25/2026 |
|
|
1.471 |
% |
|
|
1,955,815 |
|
|
|
48,827 |
|
| CMO Series K057 Class X1 |
|
|
|
|
|
| 07/25/2026 |
|
|
1.296 |
% |
|
|
2,309,946 |
|
|
|
54,040 |
|
| CMO Series K059 Class X1 |
|
|
|
|
|
| 09/25/2026 |
|
|
0.420 |
% |
|
|
6,898,039 |
|
|
|
46,075 |
|
| CMO Series K060 Class X1 |
|
|
|
|
|
| 10/25/2026 |
|
|
0.185 |
% |
|
|
25,102,033 |
|
|
|
51,632 |
|
| CMO Series K152 Class X1 |
|
|
|
|
|
| 01/25/2031 |
|
|
1.100 |
% |
|
|
3,973,693 |
|
|
|
193,794 |
|
| Series 20K129 Class X1 (FHLMC) |
|
|
|
|
|
| 05/25/2031 |
|
|
1.142 |
% |
|
|
12,575,151 |
|
|
|
706,593 |
|
| Series 20K141 Class X1 (FHLMC) |
|
|
|
|
|
| 02/25/2032 |
|
|
0.407 |
% |
|
|
7,248,448 |
|
|
|
155,041 |
|
| Series 20K142 Class X1 (FHLMC) |
|
|
|
|
|
| 12/25/2031 |
|
|
0.403 |
% |
|
|
17,573,240 |
|
|
|
363,787 |
|
| Series 20K143 Class X1 (FHLMC) |
|
|
|
|
|
| 04/25/2055 |
|
|
0.450 |
% |
|
|
7,940,189 |
|
|
|
192,128 |
|
| Series 20K144 Class X1 (FHLMC) |
|
|
|
|
|
| 04/25/2032 |
|
|
0.436 |
% |
|
|
10,388,972 |
|
|
|
247,802 |
|
| Series K069 Class X1 |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/25/2027 |
|
|
0.471 |
% |
|
|
36,005,656 |
|
|
|
421,979 |
|
| Series K091 Class X1 |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/25/2029 |
|
|
0.706 |
% |
|
|
39,129,754 |
|
|
|
990,186 |
|
| Series K095 Class X1 |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/25/2029 |
|
|
1.084 |
% |
|
|
74,828,716 |
|
|
|
3,131,208 |
|
| Series K106 Class X1 |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/25/2030 |
|
|
1.440 |
% |
|
|
94,329,779 |
|
|
|
6,123,474 |
|
| Series K131 Class X1 (FHLMC) |
|
|
|
|
|
| 07/25/2031 |
|
|
0.830 |
% |
|
|
12,789,919 |
|
|
|
559,742 |
|
| Series K137 Class X1 |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/25/2031 |
|
|
0.298 |
% |
|
|
274,575,277 |
|
|
|
3,416,760 |
|
| Series K145 Class X1 |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/25/2055 |
|
|
0.430 |
% |
|
|
4,656,654 |
|
|
|
107,877 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
13 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Mortgage-Backed Securities - Agency
(continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Series K146 Class X1 |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/25/2032 |
|
|
0.352 |
% |
|
|
15,763,781 |
|
|
|
286,693 |
|
| Series K147 Class X1 |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/25/2032 |
|
|
0.488 |
% |
|
|
12,180,262 |
|
|
|
326,840 |
|
| Series K149 Class X1 (FHLMC) |
|
|
|
|
|
| 08/25/2032 |
|
|
0.403 |
% |
|
|
20,959,947 |
|
|
|
446,709 |
|
| Series K-150 Class X1 (FHLMC) |
|
|
|
|
|
| 09/25/2032 |
|
|
0.446 |
% |
|
|
26,967,656 |
|
|
|
661,015 |
|
| Series K-1515 Class X1 |
|
|
|
|
|
|
|
|
|
|
|
|
| 02/25/2035 |
|
|
1.636 |
% |
|
|
7,078,789 |
|
|
|
781,424 |
|
| Series K-1516 Class X1 |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/25/2035 |
|
|
1.629 |
% |
|
|
14,619,126 |
|
|
|
1,711,444 |
|
| Series K-1517 Class X1 |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/25/2035 |
|
|
1.436 |
% |
|
|
19,934,485 |
|
|
|
2,028,483 |
|
| Series K1521 Class X1 |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/25/2036 |
|
|
1.095 |
% |
|
|
23,347,228 |
|
|
|
1,787,905 |
|
| Series K728 Class X1 |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/25/2024 |
|
|
0.507 |
% |
|
|
222,103,765 |
|
|
|
602,234 |
|
| Series K729 Class X1 |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/25/2024 |
|
|
0.466 |
% |
|
|
156,895,168 |
|
|
|
289,801 |
|
| Series K735 Class X1 |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/25/2026 |
|
|
1.095 |
% |
|
|
12,533,515 |
|
|
|
232,279 |
|
| Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through
Certificates |
|
|
|
|
|
| Series K056 Class A2 |
|
|
|
|
|
| 05/25/2026 |
|
|
2.525 |
% |
|
|
6,137,000 |
|
|
|
5,795,245 |
|
| Series K074 Class A2 |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/25/2028 |
|
|
3.600 |
% |
|
|
8,660,000 |
|
|
|
8,250,993 |
|
| Series K155 Class A3 |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/25/2033 |
|
|
3.750 |
% |
|
|
6,935,000 |
|
|
|
6,181,936 |
|
| Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(c) |
|
|
|
|
|
| Series K157 Class A3 |
|
|
|
|
|
| 08/25/2033 |
|
|
3.990 |
% |
|
|
6,145,000 |
|
|
|
5,521,189 |
|
| Series Q006 Class APT1 |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/25/2026 |
|
|
2.673 |
% |
|
|
3,382,812 |
|
|
|
3,206,572 |
|
| Federal National Mortgage Association |
|
|
|
|
|
| 11/01/2031 |
|
|
3.400 |
% |
|
|
1,500,000 |
|
|
|
1,319,797 |
|
| 02/01/2033 |
|
|
3.400 |
% |
|
|
3,956,832 |
|
|
|
3,531,129 |
|
| 07/01/2033 |
|
|
3.670 |
% |
|
|
8,000,000 |
|
|
|
7,192,084 |
|
| 03/01/2035 |
|
|
2.510 |
% |
|
|
3,000,000 |
|
|
|
2,368,519 |
|
| 04/01/2040 |
|
|
2.455 |
% |
|
|
3,495,000 |
|
|
|
2,394,481 |
|
| Federal National Mortgage
Association(c),(d) |
|
|
|
|
|
| Series 2020-M43 Class X1 |
|
|
|
|
|
| 08/25/2034 |
|
|
2.024 |
% |
|
|
34,010,681 |
|
|
|
2,999,334 |
|
| Government National Mortgage
Association(c),(d) |
|
|
|
|
|
| CMO Series 2011-38 Class IO |
|
|
|
|
|
| 04/16/2053 |
|
|
0.530 |
% |
|
|
880,429 |
|
|
|
6,702 |
|
| CMO Series 2013-162 Class IO |
|
|
|
|
|
| 09/16/2046 |
|
|
0.057 |
% |
|
|
16,211,375 |
|
|
|
17,492 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Mortgage-Backed Securities - Agency
(continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| CMO Series 2014-134 Class IA |
|
|
|
|
|
| 01/16/2055 |
|
|
0.146 |
% |
|
|
11,694,723 |
|
|
|
52,514 |
|
| CMO Series 2015-101 Class IO |
|
|
|
|
|
| 03/16/2052 |
|
|
0.278 |
% |
|
|
2,873,172 |
|
|
|
28,796 |
|
| CMO Series 2015-114 |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/15/2057 |
|
|
0.354 |
% |
|
|
1,271,167 |
|
|
|
18,232 |
|
| CMO Series 2015-120 Class IO |
|
|
|
|
|
| 03/16/2057 |
|
|
0.617 |
% |
|
|
6,523,723 |
|
|
|
113,982 |
|
| CMO Series 2015-125 Class IB |
|
|
|
|
|
| 01/16/2055 |
|
|
0.946 |
% |
|
|
7,004,278 |
|
|
|
157,288 |
|
| CMO Series 2015-125 Class IO |
|
|
|
|
|
| 07/16/2055 |
|
|
0.612 |
% |
|
|
17,782,028 |
|
|
|
242,154 |
|
| CMO Series 2015-146 Class IC |
|
|
|
|
|
| 07/16/2055 |
|
|
0.194 |
% |
|
|
5,425,888 |
|
|
|
30,836 |
|
| CMO Series 2015-171 Class IO |
|
|
|
|
|
| 11/16/2055 |
|
|
0.839 |
% |
|
|
4,551,074 |
|
|
|
126,006 |
|
| CMO Series 2015-174 Class IO |
|
|
|
|
|
| 11/16/2055 |
|
|
0.415 |
% |
|
|
5,673,461 |
|
|
|
106,572 |
|
| CMO Series 2015-21 Class IO |
|
|
|
|
|
| 07/16/2056 |
|
|
0.707 |
% |
|
|
2,980,195 |
|
|
|
73,038 |
|
| CMO Series 2015-29 Class EI |
|
|
|
|
|
| 09/16/2049 |
|
|
0.697 |
% |
|
|
4,740,717 |
|
|
|
70,582 |
|
| CMO Series 2015-41 Class IO |
|
|
|
|
|
| 09/16/2056 |
|
|
0.167 |
% |
|
|
899,136 |
|
|
|
6,547 |
|
| CMO Series 2015-6 Class IO |
|
|
|
|
|
| 02/16/2051 |
|
|
0.473 |
% |
|
|
2,002,205 |
|
|
|
21,040 |
|
| CMO Series 2015-70 Class IO |
|
|
|
|
|
| 12/16/2049 |
|
|
0.567 |
% |
|
|
5,567,051 |
|
|
|
95,509 |
|
| CMO Series 2016-39 Class IO |
|
|
|
|
|
| 01/16/2056 |
|
|
0.682 |
% |
|
|
3,526,771 |
|
|
|
92,776 |
|
| CMO Series 2022-17 Class IO |
|
|
|
|
|
| 06/16/2064 |
|
|
0.802 |
% |
|
|
6,271,230 |
|
|
|
371,543 |
|
| CMO Series 2022-4 Class IO |
|
|
|
|
|
| 03/16/2064 |
|
|
0.860 |
% |
|
|
15,437,778 |
|
|
|
983,586 |
|
| CMO Series 2022-43 Class IO |
|
|
|
|
|
| 09/16/2061 |
|
|
0.740 |
% |
|
|
12,846,434 |
|
|
|
704,351 |
|
| Series 2014-101 Class IO |
|
|
|
|
|
| 04/16/2056 |
|
|
0.587 |
% |
|
|
9,427,172 |
|
|
|
125,161 |
|
| Series 2016-152 Class IO |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/15/2058 |
|
|
0.740 |
% |
|
|
10,877,552 |
|
|
|
376,185 |
|
| Series 2017-168 Class IO |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/16/2059 |
|
|
0.578 |
% |
|
|
15,407,872 |
|
|
|
503,674 |
|
| Series 2018-110 Class IA |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/16/2059 |
|
|
0.641 |
% |
|
|
20,073,695 |
|
|
|
720,740 |
|
| Series 2018-2 Class IO |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/16/2059 |
|
|
0.706 |
% |
|
|
7,187,206 |
|
|
|
296,743 |
|
|
|
|
| 14 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Mortgage-Backed Securities - Agency
(continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Series 2020-108 Class IO |
|
|
|
|
|
| 06/16/2062 |
|
|
0.847 |
% |
|
|
8,846,486 |
|
|
|
503,713 |
|
| Series 2021-106 Class IO |
|
|
|
|
|
| 04/16/2063 |
|
|
0.859 |
% |
|
|
9,467,633 |
|
|
|
608,182 |
|
| Series 2021-132 Class BI |
|
|
|
|
|
| 04/16/2063 |
|
|
0.923 |
% |
|
|
12,112,756 |
|
|
|
800,462 |
|
| Series 2021-133 Class IO |
|
|
|
|
|
| 07/16/2063 |
|
|
0.880 |
% |
|
|
11,923,069 |
|
|
|
776,969 |
|
| Series 2021-144 Class IO |
|
|
|
|
|
| 04/16/2063 |
|
|
0.825 |
% |
|
|
11,975,068 |
|
|
|
711,142 |
|
| Series 2021-145 Class IO |
|
|
|
|
|
| 07/16/2061 |
|
|
0.771 |
% |
|
|
2,522,179 |
|
|
|
134,895 |
|
| Series 2021-151 Class IO |
|
|
|
|
|
| 04/16/2063 |
|
|
0.917 |
% |
|
|
10,701,126 |
|
|
|
731,783 |
|
| Series 2021-163 Class IO |
|
|
|
|
|
| 03/16/2064 |
|
|
0.801 |
% |
|
|
11,173,650 |
|
|
|
667,169 |
|
| Series 2021-186 Class IO |
|
|
|
|
|
| 05/16/2063 |
|
|
0.764 |
% |
|
|
12,474,259 |
|
|
|
690,534 |
|
| Series 2021-52 Class IO |
|
|
|
|
|
| 04/16/2063 |
|
|
0.720 |
% |
|
|
10,424,635 |
|
|
|
557,181 |
|
| Series 2022-132 Class IO |
|
|
|
|
|
| 10/16/2064 |
|
|
0.538 |
% |
|
|
10,948,831 |
|
|
|
503,570 |
|
| Series 2022-166 Class IO |
|
|
|
|
|
| 04/16/2065 |
|
|
0.792 |
% |
|
|
12,882,060 |
|
|
|
737,785 |
|
| Series 2022-92 Class EI |
|
|
|
|
|
| 02/16/2064 |
|
|
0.809 |
% |
|
|
11,157,289 |
|
|
|
661,328 |
|
| Government National Mortgage
Association(b) |
|
|
|
|
|
| CMO Series 2013-H08 Class FA |
|
|
|
|
|
| 1-month Term SOFR + 0.464% |
|
|
|
|
|
| Floor 0.350%, Cap 10.550% |
|
|
|
|
|
| 03/20/2063 |
|
|
5.789 |
% |
|
|
70,148 |
|
|
|
69,609 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Commercial Mortgage-Backed Securities - Agency
(Cost $120,305,294) |
|
|
|
89,227,545 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Commercial Mortgage-Backed Securities - Non-Agency 6.1% |
|
|
|
|
|
|
|
| Arbor Multifamily Mortgage Securities Trust(a) |
|
|
|
|
|
| Series 2021-MF2 Class A4 |
|
|
|
|
|
| 06/15/2054 |
|
|
2.252 |
% |
|
|
18,000,000 |
|
|
|
14,247,529 |
|
| Arbor Realty Commercial Real Estate Notes Ltd.(a),(b) |
|
|
|
|
|
| Series 2021-FL2 Class A |
|
|
|
|
|
| 1-month Term SOFR + 1.214% |
|
|
|
|
|
| Floor 1.100% |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/15/2036 |
|
|
6.537 |
% |
|
|
5,000,000 |
|
|
|
4,955,745 |
|
| Series 2021-FL3 Class A |
|
|
|
|
|
| 1-month Term SOFR + 1.184% |
|
|
|
|
|
| Floor 1.070% |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/15/2034 |
|
|
6.507 |
% |
|
|
5,200,000 |
|
|
|
5,117,741 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Mortgage-Backed Securities - Non-Agency
(continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Series 2021-FL4 Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 1.464% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 1.350% |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/15/2036 |
|
|
6.787 |
% |
|
|
5,000,000 |
|
|
|
4,917,590 |
|
| Series 2021-FL4 Class D |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 3.014% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 2.900% |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/15/2036 |
|
|
8.337 |
% |
|
|
3,250,000 |
|
|
|
3,091,036 |
|
| AREIT LLC(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2023-CRE8 Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 2.112% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 2.112% |
|
|
|
|
|
|
|
|
|
|
|
|
| 02/17/2028 |
|
|
7.442 |
% |
|
|
3,000,000 |
|
|
|
2,996,584 |
|
| AREIT Trust(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-CRE6 Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 30-day Average SOFR + 1.250% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 1.250% |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/16/2037 |
|
|
6.575 |
% |
|
|
1,269,586 |
|
|
|
1,253,018 |
|
| BAMLL Commercial Mortgage Securities
Trust(a) |
|
|
|
|
|
| Series 2019-BPR Class AM |
|
|
|
|
|
| 11/05/2032 |
|
|
3.287 |
% |
|
|
6,325,000 |
|
|
|
5,792,651 |
|
| Banc of America Merrill Lynch Commercial Mortgage, Inc.(c),(d) |
|
|
|
|
|
| Series 2019-BN18 Class XA |
|
|
|
|
|
| 05/15/2062 |
|
|
1.032 |
% |
|
|
59,256,059 |
|
|
|
2,225,284 |
|
| BANK(c),(d) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2017-BNK8 Class XA |
|
|
|
|
|
| 11/15/2050 |
|
|
0.847 |
% |
|
|
26,615,934 |
|
|
|
598,505 |
|
| BANK(c) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-BN37 Class A5 |
|
|
|
|
|
| 11/15/2064 |
|
|
2.618 |
% |
|
|
5,605,000 |
|
|
|
4,517,338 |
|
| Series 2022-BNK40 Class A4 |
|
|
|
|
|
| 03/15/2064 |
|
|
3.507 |
% |
|
|
2,945,000 |
|
|
|
2,517,575 |
|
| BANK(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Subordinated Series 2017-BNK6 Class D |
|
|
|
|
|
| 07/15/2060 |
|
|
3.100 |
% |
|
|
2,380,000 |
|
|
|
1,620,099 |
|
| BANK5(c) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2023-5YR3 Class A3 |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/15/2056 |
|
|
6.724 |
% |
|
|
2,985,000 |
|
|
|
3,100,316 |
|
| BANK5(e) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2023-5YR4 Class A3 |
|
|
|
|
|
| 12/15/2056 |
|
|
6.452 |
% |
|
|
1,395,000 |
|
|
|
1,436,804 |
|
| BBCMS Mortgage Trust(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2016-ETC Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/14/2036 |
|
|
2.937 |
% |
|
|
13,500,000 |
|
|
|
12,099,044 |
|
| Subordinated Series 2016-ETC Class B |
|
|
|
|
|
| 08/14/2036 |
|
|
3.189 |
% |
|
|
900,000 |
|
|
|
775,026 |
|
| Subordinated Series 2016-ETC Class C |
|
|
|
|
|
| 08/14/2036 |
|
|
3.391 |
% |
|
|
770,000 |
|
|
|
627,919 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
15 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Mortgage-Backed Securities - Non-Agency
(continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| BBCMS Mortgage Trust(c),(d) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2018-C2 Class XA |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/15/2051 |
|
|
0.919 |
% |
|
|
60,454,952 |
|
|
|
1,778,518 |
|
| BBCMS Mortgage Trust(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-BID Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 2.254% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 2.140% |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/15/2037 |
|
|
7.577 |
% |
|
|
3,850,000 |
|
|
|
3,733,723 |
|
| BBCMS Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-C12 Class A5 |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/15/2054 |
|
|
2.689 |
% |
|
|
5,580,000 |
|
|
|
4,518,340 |
|
| Series 2023-C20 Class A5 |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/15/2056 |
|
|
5.576 |
% |
|
|
2,100,000 |
|
|
|
2,092,764 |
|
| BBCMS Mortgage Trust(a),(c) |
|
|
|
|
|
|
|
|
|
|
|
|
| Subordinated Series 2016-ETC Class D |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/14/2036 |
|
|
3.729 |
% |
|
|
2,790,000 |
|
|
|
2,177,823 |
|
| BB-UBS Trust(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2012-TFT Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/05/2030 |
|
|
2.892 |
% |
|
|
2,197,161 |
|
|
|
1,933,502 |
|
| BDS Ltd.(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-FL8 Class B |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 1.464% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 1.350% |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/18/2036 |
|
|
6.796 |
% |
|
|
1,000,000 |
|
|
|
987,134 |
|
| Benchmark Mortgage Trust(c),(d) |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/15/2053 |
|
|
1.536 |
% |
|
|
25,275,230 |
|
|
|
1,280,698 |
|
| Series 2019-B10 Class XA |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/15/2062 |
|
|
1.356 |
% |
|
|
28,250,355 |
|
|
|
1,287,179 |
|
| Series 2020-B20 Class XA |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/15/2053 |
|
|
1.725 |
% |
|
|
14,431,334 |
|
|
|
962,957 |
|
| Benchmark Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-B26 Class A4 |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/15/2054 |
|
|
2.295 |
% |
|
|
10,600,000 |
|
|
|
8,511,734 |
|
| Series 2021-B31 Class A5 |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/15/2054 |
|
|
2.669 |
% |
|
|
4,440,000 |
|
|
|
3,569,732 |
|
| Benchmark Mortgage Trust(c) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2023-V2 Class A3 |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/15/2055 |
|
|
5.812 |
% |
|
|
17,305,000 |
|
|
|
17,316,502 |
|
| BIG Commercial Mortgage Trust(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Subordinated Series 2022-BIG Class C |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 2.340% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 2.340% |
|
|
|
|
|
|
|
|
|
|
|
|
| 02/15/2039 |
|
|
7.663 |
% |
|
|
420,000 |
|
|
|
401,643 |
|
| BMD2 Re-Remic Trust(a),(f) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2019-FRR1 Class 3AB |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/25/2052 |
|
|
0.000 |
% |
|
|
2,821,000 |
|
|
|
1,903,345 |
|
| Subordinated Series 2019-FRR1 Class 2C |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/25/2052 |
|
|
0.000 |
% |
|
|
14,258,000 |
|
|
|
12,468,765 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Mortgage-Backed Securities - Non-Agency
(continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| BOCA Commercial Mortgage Trust(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-BOCA Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 1.770% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 1.770% |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/15/2039 |
|
|
7.093 |
% |
|
|
1,000,000 |
|
|
|
990,703 |
|
| BPR Trust(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-NRD Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 1.525% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 1.525% |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/15/2023 |
|
|
6.848 |
% |
|
|
3,045,000 |
|
|
|
2,949,049 |
|
| Series 2022-OANA Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 1.898% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 1.898% |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/15/2037 |
|
|
7.221 |
% |
|
|
2,300,000 |
|
|
|
2,259,704 |
|
| BPR Trust(a),(c) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2023-BRK2 Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/05/2028 |
|
|
7.147 |
% |
|
|
5,400,000 |
|
|
|
5,505,284 |
|
| BX Commercial Mortgage Trust(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-VKNG Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 1.044% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 1.045% |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/15/2037 |
|
|
6.367 |
% |
|
|
5,757,641 |
|
|
|
5,701,478 |
|
| Series 2021-VOLT Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 0.814% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 0.700% |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/15/2036 |
|
|
6.137 |
% |
|
|
1,280,000 |
|
|
|
1,241,431 |
|
| Series 2021-VOLT Class G |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 2.964% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 2.850% |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/15/2036 |
|
|
8.287 |
% |
|
|
3,000,000 |
|
|
|
2,805,440 |
|
| Series 2022-CSMO Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 2.115% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 2.115% |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/15/2027 |
|
|
7.438 |
% |
|
|
5,918,000 |
|
|
|
5,921,702 |
|
| Series 2023-VLT2 Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 2.281% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 2.281% |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/15/2040 |
|
|
7.604 |
% |
|
|
5,500,000 |
|
|
|
5,493,595 |
|
| Series 2023-VLT3 Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 1.940% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 1.940% |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/15/2028 |
|
|
7.265 |
% |
|
|
5,000,000 |
|
|
|
4,994,460 |
|
| Subordinated Series 2021-21M Class E |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 2.285% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 2.171% |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/15/2036 |
|
|
7.608 |
% |
|
|
1,925,000 |
|
|
|
1,838,018 |
|
| Subordinated Series 2021-IRON Class E |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 2.464% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 2.350% |
|
|
|
|
|
|
|
|
|
|
|
|
| 02/15/2038 |
|
|
7.787 |
% |
|
|
3,000,000 |
|
|
|
2,805,116 |
|
|
|
|
| 16 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Mortgage-Backed Securities - Non-Agency
(continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Subordinated Series 2021-MFM1 Class D |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 1.614% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 1.500% |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/15/2034 |
|
|
6.937 |
% |
|
|
383,131 |
|
|
|
372,292 |
|
| Subordinated Series 2021-SOAR Class F |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 2.464% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 2.350% |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/15/2038 |
|
|
7.787 |
% |
|
|
16,548,817 |
|
|
|
15,659,680 |
|
| Subordinated Series 2022-CSMO Class B |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 3.141% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 3.141% |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/15/2027 |
|
|
8.464 |
% |
|
|
3,490,000 |
|
|
|
3,482,388 |
|
| BX Commercial Mortgage Trust(a),(c) |
|
|
|
|
|
|
|
|
|
|
|
|
| Subordinated Series 2020-VIV3 Class B |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/09/2044 |
|
|
3.662 |
% |
|
|
5,780,000 |
|
|
|
4,846,547 |
|
| BX Trust(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2019-OC11 Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/09/2041 |
|
|
3.202 |
% |
|
|
1,115,000 |
|
|
|
955,308 |
|
| BX Trust(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-ARIA Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 1.014% |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/15/2036 |
|
|
6.337 |
% |
|
|
5,618,000 |
|
|
|
5,456,452 |
|
| Series 2021-LGCY Class D |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 1.302% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 1.302% |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/15/2036 |
|
|
6.740 |
% |
|
|
590,000 |
|
|
|
563,593 |
|
| Series 2023-DELC Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 2.690% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 2.690% |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/15/2038 |
|
|
8.013 |
% |
|
|
2,000,000 |
|
|
|
2,007,516 |
|
| Subordinated Series 2022-LBA6 Class D |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 2.000% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 2.000% |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/15/2039 |
|
|
7.323 |
% |
|
|
750,000 |
|
|
|
729,296 |
|
| Subordinated Series 2022-VAMF Class E |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 2.700% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 2.700% |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/15/2039 |
|
|
8.023 |
% |
|
|
5,000,000 |
|
|
|
4,647,729 |
|
| BXHPP Trust(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-FILM Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 0.764% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 0.650% |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/15/2036 |
|
|
6.087 |
% |
|
|
7,000,000 |
|
|
|
6,578,545 |
|
| CAMB Commercial Mortgage Trust(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-CX2 Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/10/2046 |
|
|
2.700 |
% |
|
|
7,200,000 |
|
|
|
5,645,101 |
|
| Cantor Commercial Real Estate Lending |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2019-CF1 Class A2 |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/15/2052 |
|
|
3.623 |
% |
|
|
4,050,000 |
|
|
|
3,803,936 |
|
| Series 2019-CF3 Class A3 |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/15/2053 |
|
|
2.752 |
% |
|
|
16,100,000 |
|
|
|
13,506,005 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Mortgage-Backed Securities - Non-Agency
(continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Cantor Commercial Real Estate
Lending(c),(d) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2019-CF2 Class XA |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/15/2052 |
|
|
1.324 |
% |
|
|
43,528,099 |
|
|
|
2,032,745 |
|
| CD Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2016-CD1 Class A3 |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/10/2049 |
|
|
2.459 |
% |
|
|
14,750,906 |
|
|
|
13,604,578 |
|
| Series 2017-CD6 Class A4 |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/13/2050 |
|
|
3.190 |
% |
|
|
20,000,000 |
|
|
|
18,365,936 |
|
| CD Mortgage Trust(c),(d) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2019-CD8 Class XA |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/15/2057 |
|
|
1.541 |
% |
|
|
46,534,964 |
|
|
|
2,713,510 |
|
| CFCRE Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2016-C4 Class A4 |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/10/2058 |
|
|
3.283 |
% |
|
|
5,900,000 |
|
|
|
5,528,714 |
|
| CFCRE Commercial Mortgage
Trust(c),(d) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2016-C4 Class XA |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/10/2058 |
|
|
1.761 |
% |
|
|
51,722,529 |
|
|
|
1,416,494 |
|
| Citigroup Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2015-GC35 Class A3 |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/10/2048 |
|
|
3.549 |
% |
|
|
10,000,000 |
|
|
|
9,421,789 |
|
| Series 2019-C7 Class A4 |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/15/2072 |
|
|
3.102 |
% |
|
|
3,985,000 |
|
|
|
3,453,520 |
|
| Series 2019-GC43 Class A3 |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/10/2052 |
|
|
2.782 |
% |
|
|
10,000,000 |
|
|
|
8,411,932 |
|
| Citigroup Commercial
Mortgage
Trust(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-PRM2 Class F |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 3.864% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 3.750% |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/15/2036 |
|
|
9.187 |
% |
|
|
1,500,000 |
|
|
|
1,432,238 |
|
| Citigroup Commercial
Mortgage
Trust(a),(c) |
|
|
|
|
|
|
|
|
|
|
|
|
| Subordinated Series 2016-C2 Class E |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/10/2049 |
|
|
4.538 |
% |
|
|
2,420,000 |
|
|
|
1,549,269 |
|
| Subordinated Series 2023-SMRT Class C |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/10/2028 |
|
|
6.048 |
% |
|
|
1,000,000 |
|
|
|
958,719 |
|
| COMM Mortgage Trust(a),(c) |
|
|
|
|
|
|
|
|
|
|
|
|
| Subordinated Series 2013-CR10 Class E |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/10/2046 |
|
|
4.508 |
% |
|
|
364,067 |
|
|
|
320,379 |
|
| Subordinated Series 2020-CBM Class F |
|
|
|
|
|
|
|
|
|
|
|
|
| 02/10/2037 |
|
|
3.754 |
% |
|
|
2,513,000 |
|
|
|
2,276,250 |
|
| Commercial Mortgage Pass-Through
Certificates(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2012-LTRT Class A2 |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/05/2030 |
|
|
3.400 |
% |
|
|
3,162,474 |
|
|
|
2,712,326 |
|
| Commercial Mortgage Pass-Through
Certificates(c) |
|
|
|
|
|
|
|
|
|
|
|
|
| Subordinated Series 2019-BN24 Class C |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/15/2062 |
|
|
3.635 |
% |
|
|
1,000,000 |
|
|
|
687,822 |
|
| Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2014-UBS2 Class A5 |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/10/2047 |
|
|
3.961 |
% |
|
|
552,214 |
|
|
|
550,609 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
17 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Mortgage-Backed Securities - Non-Agency
(continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Series 2014-UBS4 Class A5 |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/10/2047 |
|
|
3.694 |
% |
|
|
5,000,000 |
|
|
|
4,878,616 |
|
| Series 2014-UBS6 Class A4 |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/10/2047 |
|
|
3.378 |
% |
|
|
2,693,446 |
|
|
|
2,632,756 |
|
| Series 2015-DC1 Class A5 |
|
|
|
|
|
|
|
|
|
|
|
|
| 02/10/2048 |
|
|
3.350 |
% |
|
|
790,000 |
|
|
|
760,482 |
|
| Series 2015-LC19 Class A4 |
|
|
|
|
|
|
|
|
|
|
|
|
| 02/10/2048 |
|
|
3.183 |
% |
|
|
835,000 |
|
|
|
793,239 |
|
| Series 2015-PC1 Class A5 |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/10/2050 |
|
|
3.902 |
% |
|
|
2,755,000 |
|
|
|
2,662,313 |
|
| Series 2016-COR1 Class A3 |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/10/2049 |
|
|
2.826 |
% |
|
|
8,410,989 |
|
|
|
7,840,782 |
|
| Credit Suisse Mortgage Capital Certificates OA
LLC(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2014-USA Class A2 |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/15/2037 |
|
|
3.953 |
% |
|
|
14,800,000 |
|
|
|
12,710,231 |
|
| CSAIL Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2019-C18 Class A4 |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/15/2052 |
|
|
2.968 |
% |
|
|
3,345,000 |
|
|
|
2,836,362 |
|
| CSAIL Commercial Mortgage Trust(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Subordinated Series 2020-C19 Class E |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/15/2053 |
|
|
2.500 |
% |
|
|
800,000 |
|
|
|
278,649 |
|
| CSWF Trust(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Subordinated Series 2021-SOP2 Class E |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 3.581% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 3.367% |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/15/2034 |
|
|
8.904 |
% |
|
|
16,000,000 |
|
|
|
11,668,237 |
|
| DBGS Mortgage Trust(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2018-BIOD Class E |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 1.950% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 1.700% |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/15/2035 |
|
|
7.273 |
% |
|
|
2,741,288 |
|
|
|
2,638,499 |
|
| Series 2018-BIOD Class F |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 2.250% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 2.000% |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/15/2035 |
|
|
7.573 |
% |
|
|
10,782,400 |
|
|
|
10,457,882 |
|
| DBJPM Mortgage Trust(c),(d) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-C9 Class XA |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/15/2053 |
|
|
1.823 |
% |
|
|
46,178,381 |
|
|
|
2,636,476 |
|
| DBUBS Mortgage Trust(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2017-BRBK Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/10/2034 |
|
|
3.452 |
% |
|
|
2,800,000 |
|
|
|
2,555,732 |
|
| DBWF Mortgage Trust(a),(c) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2016-85T Class D |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/10/2036 |
|
|
3.935 |
% |
|
|
2,000,000 |
|
|
|
1,390,994 |
|
| Series 2016-85T Class E |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/10/2036 |
|
|
3.935 |
% |
|
|
2,000,000 |
|
|
|
1,221,589 |
|
| DC Commercial Mortgage Trust(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2023-DC Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/12/2040 |
|
|
6.314 |
% |
|
|
7,175,000 |
|
|
|
7,173,258 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Mortgage-Backed Securities - Non-Agency
(continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Extended Stay America Trust(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-ESH Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 1.194% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 1.080% |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/15/2038 |
|
|
6.517 |
% |
|
|
1,876,672 |
|
|
|
1,854,869 |
|
| Series 2021-ESH Class E |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 2.964% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 2.850% |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/15/2038 |
|
|
8.287 |
% |
|
|
2,815,008 |
|
|
|
2,753,453 |
|
| FirstKey Homes Trust(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-SFR1 Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/17/2037 |
|
|
1.339 |
% |
|
|
6,152,886 |
|
|
|
5,682,700 |
|
| Subordinated Series 2020-SFR2 Class E |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/19/2037 |
|
|
2.668 |
% |
|
|
3,432,000 |
|
|
|
3,153,794 |
|
| FS Rialto(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-FL3 Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 1.364% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 1.364% |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/16/2036 |
|
|
6.696 |
% |
|
|
5,000,000 |
|
|
|
4,899,611 |
|
| GAM Investments(a),(g) |
|
|
|
|
|
|
|
|
|
|
|
|
| Subordinated Series 2021-F Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/27/2051 |
|
|
0.000 |
% |
|
|
2,186,000 |
|
|
|
1,936,387 |
|
| Subordinated Series 2021-F Class D |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/27/2051 |
|
|
0.000 |
% |
|
|
1,777,000 |
|
|
|
1,485,940 |
|
| Subordinated Series 2021-F Class E |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/27/2051 |
|
|
0.000 |
% |
|
|
1,798,000 |
|
|
|
1,609,500 |
|
| Subordinated Series 2021-F Class G |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/27/2051 |
|
|
0.000 |
% |
|
|
1,797,000 |
|
|
|
1,582,717 |
|
| Subordinated Series 2021-F Class H |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/27/2051 |
|
|
0.000 |
% |
|
|
1,510,000 |
|
|
|
913,574 |
|
| GAM Investments(a),(c) |
|
|
|
|
|
|
|
|
|
|
|
|
| Subordinated Series 2021-F Class C |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/27/2051 |
|
|
1.079 |
% |
|
|
1,778,000 |
|
|
|
1,539,160 |
|
| Subordinated Series 2021-F Class F |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/27/2051 |
|
|
2.410 |
% |
|
|
2,364,000 |
|
|
|
1,742,127 |
|
| GAM Re-REMIC Trust(a),(g) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-FRR1 Class 1B |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/28/2027 |
|
|
0.000 |
% |
|
|
2,690,000 |
|
|
|
1,939,839 |
|
| Series 2021-FRR1 Class 2B |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/29/2027 |
|
|
0.000 |
% |
|
|
4,900,000 |
|
|
|
3,443,641 |
|
| GAM Resecuritization Trust(a),(c) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-FRR3 Class BK71 |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/29/2052 |
|
|
2.020 |
% |
|
|
3,736,000 |
|
|
|
2,890,836 |
|
| GAM Resecuritization Trust(a),(g) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-FRR3 Class D728 |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/29/2052 |
|
|
0.000 |
% |
|
|
1,446,000 |
|
|
|
1,315,038 |
|
| Subordinated Series 2022-FRR3 Class BK89 |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/29/2052 |
|
|
0.000 |
% |
|
|
2,169,000 |
|
|
|
1,359,096 |
|
|
|
|
| 18 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Mortgage-Backed Securities - Non-Agency
(continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| GAM Resecuritization Trust(a),(f) |
|
|
|
|
|
|
|
|
|
|
|
|
| Subordinated Series 2022-FRR3 Class BK61 |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/27/2049 |
|
|
0.000 |
% |
|
|
2,543,000 |
|
|
|
1,889,349 |
|
| Subordinated Series 2022-FRR3 Class C728 |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/27/2050 |
|
|
0.000 |
% |
|
|
1,446,000 |
|
|
|
1,333,832 |
|
| Subordinated Series 2022-FRR3 Class CK47 |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/27/2048 |
|
|
0.000 |
% |
|
|
1,474,000 |
|
|
|
1,284,631 |
|
| Subordinated Series 2022-FRR3 Class CK61 |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/27/2049 |
|
|
0.000 |
% |
|
|
1,784,000 |
|
|
|
1,259,423 |
|
| Subordinated Series 2022-FRR3 Class DK41 |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/27/2047 |
|
|
0.000 |
% |
|
|
1,165,000 |
|
|
|
1,068,785 |
|
| Subordinated Series 2022-FRR3 Class DK47 |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/27/2048 |
|
|
0.000 |
% |
|
|
1,473,000 |
|
|
|
1,251,956 |
|
| Great Wolf Trust(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Subordinated Series 2019-WOLF Class D |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 2.047% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 1.933% |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/15/2036 |
|
|
7.151 |
% |
|
|
5,335,000 |
|
|
|
5,269,791 |
|
| Greystone Commercial
Capital
Trust(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-3 Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 2.344% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 2.230% |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/01/2024 |
|
|
7.674 |
% |
|
|
8,500,000 |
|
|
|
8,418,658 |
|
| Greystone CRE Notes Ltd.(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2019-FL2 Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 1.364% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 1.180% |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/15/2037 |
|
|
6.687 |
% |
|
|
2,405,523 |
|
|
|
2,395,270 |
|
| GS Mortgage Securities Corp II(a),(c) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2017-375H Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/10/2037 |
|
|
3.591 |
% |
|
|
5,000,000 |
|
|
|
4,339,239 |
|
| GS Mortgage Securities Corp. II(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2012-BWTR Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/05/2034 |
|
|
2.954 |
% |
|
|
3,857,000 |
|
|
|
2,726,383 |
|
| GS Mortgage Securities
Corp.
Trust(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-ARDN Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 1.364% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 1.250% |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/15/2036 |
|
|
6.687 |
% |
|
|
3,000,000 |
|
|
|
2,905,845 |
|
| GS Mortgage Securities Trust(a),(c) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2013-PEMB Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/05/2033 |
|
|
3.668 |
% |
|
|
1,890,000 |
|
|
|
1,417,758 |
|
| GS Mortgage Securities Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2016-GS2 Class A3 |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/10/2049 |
|
|
2.791 |
% |
|
|
4,386,124 |
|
|
|
4,078,506 |
|
| Series 2017-GS7 Class A3 |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/10/2050 |
|
|
3.167 |
% |
|
|
10,000,000 |
|
|
|
9,177,425 |
|
| Series 2017-GS8 Class A3 |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/10/2050 |
|
|
3.205 |
% |
|
|
20,000,000 |
|
|
|
18,250,768 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Mortgage-Backed Securities - Non-Agency
(continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Series 2020-GC45 Class A5 |
|
|
|
|
|
|
|
|
|
|
|
|
| 02/13/2053 |
|
|
2.911 |
% |
|
|
1,810,000 |
|
|
|
1,535,651 |
|
| HGI CRE CLO Ltd.(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-FL3 Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 30-day Average SOFR + 1.700% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 1.700% |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/20/2037 |
|
|
7.024 |
% |
|
|
1,000,000 |
|
|
|
991,651 |
|
| Hudson Yards Mortgage Trust(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2019-30HY Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/10/2039 |
|
|
3.228 |
% |
|
|
2,160,000 |
|
|
|
1,853,696 |
|
| Hudsons Bay Simon JV Trust(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2015-HB10 Class A10 |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/05/2034 |
|
|
4.155 |
% |
|
|
1,820,000 |
|
|
|
1,581,655 |
|
| Series 2015-HB7 Class A7 |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/05/2034 |
|
|
3.914 |
% |
|
|
2,520,000 |
|
|
|
2,220,979 |
|
| IMT Trust(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2017-APTS Class AFX |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/15/2034 |
|
|
3.478 |
% |
|
|
5,410,000 |
|
|
|
5,313,714 |
|
| INTOWN Mortgage Trust(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Subordinated Series 2022-STAY Class D |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 4.134% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 4.134% |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/15/2037 |
|
|
9.457 |
% |
|
|
2,500,000 |
|
|
|
2,498,429 |
|
| JPMBB Commercial Mortgage Securities Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2014-C26 Class A3 |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/15/2048 |
|
|
3.231 |
% |
|
|
253,774 |
|
|
|
248,781 |
|
| Series 2015-C30 Class A5 |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/15/2048 |
|
|
3.822 |
% |
|
|
4,200,000 |
|
|
|
3,982,599 |
|
| JPMBB Commercial Mortgage Securities
Trust(a),(c) |
|
|
|
|
|
|
|
|
|
|
|
|
| Subordinated Series 2014-C19 Class D |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/15/2047 |
|
|
4.827 |
% |
|
|
874,000 |
|
|
|
804,158 |
|
| JPMCC_17-JP6 |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 20 17-JP6 Class A5 |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/15/2050 |
|
|
3.490 |
% |
|
|
4,872,000 |
|
|
|
4,423,220 |
|
| JPMDB Commercial Mortgage Securities Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2016-C4 Class A2 |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/15/2049 |
|
|
2.882 |
% |
|
|
6,009,632 |
|
|
|
5,559,211 |
|
| Series 2019-COR6 Class A3 |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/13/2052 |
|
|
2.795 |
% |
|
|
7,500,000 |
|
|
|
6,351,571 |
|
| JPMorgan Chase Commercial Mortgage Securities
Trust(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2018-WPT Class AFX |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/05/2033 |
|
|
4.248 |
% |
|
|
13,000,000 |
|
|
|
11,312,632 |
|
| Series 2019-OSB Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/05/2039 |
|
|
3.397 |
% |
|
|
2,110,000 |
|
|
|
1,824,062 |
|
| JPMorgan Chase Commercial Mortgage Securities
Trust(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-HTL5 Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 1.229% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 1.115% |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/15/2038 |
|
|
6.552 |
% |
|
|
7,080,000 |
|
|
|
6,903,084 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
19 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Mortgage-Backed Securities - Non-Agency
(continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Series 2022-ACB Class E |
|
|
|
|
|
|
|
|
|
|
|
|
| 30-day Average SOFR + 3.350% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 3.350% |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/15/2039 |
|
|
8.674 |
% |
|
|
6,450,000 |
|
|
|
6,125,595 |
|
| Subordinated Series 2021-NYAH Class E |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 1.954% |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/15/2038 |
|
|
7.277 |
% |
|
|
600,000 |
|
|
|
481,999 |
|
| Subordinated Series 2021-NYAH Class H |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 3.504% |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/15/2038 |
|
|
8.827 |
% |
|
|
3,500,000 |
|
|
|
2,292,384 |
|
| KIND Trust(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-KIND Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 1.064% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 0.950% |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/15/2038 |
|
|
6.387 |
% |
|
|
4,964,123 |
|
|
|
4,756,608 |
|
| Ladder Capital Commercial Mortgage(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2017-LC26 Class A4 |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/12/2050 |
|
|
3.551 |
% |
|
|
4,500,000 |
|
|
|
4,148,046 |
|
| LAQ Mortgage Trust(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2023-LAQ Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 2.091% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 2.091% |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/15/2036 |
|
|
7.414 |
% |
|
|
2,335,126 |
|
|
|
2,308,317 |
|
| Life Mortgage Trust(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-BMR2 Class A1 |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 1.295% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 1.295% |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/15/2039 |
|
|
6.618 |
% |
|
|
5,000,000 |
|
|
|
4,890,689 |
|
| Subordinated Series 2021-BMR Class F |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 2.464% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 2.350% |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/15/2038 |
|
|
7.787 |
% |
|
|
5,168,457 |
|
|
|
4,858,350 |
|
| LSTAR Commercial Mortgage Trust(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2017-5 Class A4 |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/10/2050 |
|
|
3.390 |
% |
|
|
800,000 |
|
|
|
772,532 |
|
| LSTAR Commercial Mortgage
Trust(a),(c) |
|
|
|
|
|
|
|
|
|
|
|
|
| Subordinated Series 2016-4 Class F |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/10/2049 |
|
|
4.760 |
% |
|
|
8,000,000 |
|
|
|
4,859,100 |
|
| Med Trust(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-MDLN Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 1.064% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 0.950% |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/15/2038 |
|
|
6.387 |
% |
|
|
10,230,900 |
|
|
|
9,980,493 |
|
| MHP MHIL(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Subordinated Series 2022 Class E |
|
|
|
|
|
|
|
|
|
|
|
|
| 30-day Average SOFR + 2.611% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 2.611% |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/15/2027 |
|
|
7.934 |
% |
|
|
2,734,842 |
|
|
|
2,577,673 |
|
| MKT Mortgage Trust(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-525M Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 02/12/2040 |
|
|
2.694 |
% |
|
|
1,575,000 |
|
|
|
1,163,175 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Mortgage-Backed Securities - Non-Agency
(continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Morgan Stanley Bank of America Merrill Lynch Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2015-C21 Class A3 |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/15/2048 |
|
|
3.077 |
% |
|
|
441,584 |
|
|
|
426,583 |
|
| Series 2016-C29 Class ASB |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/15/2049 |
|
|
3.140 |
% |
|
|
475,364 |
|
|
|
459,645 |
|
| Morgan Stanley Capital I Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2016-UB11 Class A3 |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/15/2049 |
|
|
2.531 |
% |
|
|
8,300,158 |
|
|
|
7,635,643 |
|
| Morgan Stanley Capital I Trust(c),(d) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-L5 Class XA |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/15/2054 |
|
|
1.414 |
% |
|
|
13,538,292 |
|
|
|
828,101 |
|
| MTN Commercial Mortgage Trust(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-LPFL Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 1.397% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 1.397% |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/15/2039 |
|
|
6.720 |
% |
|
|
2,000,000 |
|
|
|
1,943,875 |
|
| ORL Trust(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2023-GLKS Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 2.350% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 2.350% |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/15/2028 |
|
|
7.685 |
% |
|
|
5,000,000 |
|
|
|
4,992,192 |
|
| PFP Ltd.(a),(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2023-10 Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 1-month Term SOFR + 2.365% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 2.365% |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/16/2038 |
|
|
7.700 |
% |
|
|
3,200,000 |
|
|
|
3,202,244 |
|
| Progress Residential Trust(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Subordinated Series 2021-SFR1 Class G |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/17/2038 |
|
|
3.861 |
% |
|
|
3,830,000 |
|
|
|
3,372,376 |
|
| RBS Commercial Funding, Inc.,
Trust(a),(c) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2013-GSP Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/15/2032 |
|
|
3.961 |
% |
|
|
1,180,000 |
|
|
|
1,171,315 |
|
| RFM Re-REMIC Trust(a),(g) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-FRR1 Class AB55 |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/28/2049 |
|
|
0.000 |
% |
|
|
1,150,000 |
|
|
|
934,961 |
|
| Series 2022-FRR1 Class CK55 |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/28/2049 |
|
|
0.000 |
% |
|
|
360,000 |
|
|
|
285,369 |
|
| Series 2022-FRR1 Class CK60 |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/08/2049 |
|
|
0.000 |
% |
|
|
450,000 |
|
|
|
329,129 |
|
| RFM Re-REMIC Trust(a),(c) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-FRR1 Class AB60 |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/08/2049 |
|
|
2.470 |
% |
|
|
970,000 |
|
|
|
798,336 |
|
| Series 2022-FRR1 Class AB64 |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/01/2050 |
|
|
2.314 |
% |
|
|
1,460,000 |
|
|
|
1,195,762 |
|
| SCOTT Trust(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2023-SFS Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/15/2040 |
|
|
5.910 |
% |
|
|
3,340,000 |
|
|
|
3,287,878 |
|
| SG Commercial Mortgage Securities Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2016-C5 Class A4 |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/10/2048 |
|
|
3.055 |
% |
|
|
5,120,000 |
|
|
|
4,695,751 |
|
|
|
|
| 20 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| SPGN TFLM Mortgage
Trust(a),(b) |
|
|
|
|
|
| Series 2022 Class A |
|
|
|
|
|
| 1-month Term SOFR + 1.550% |
|
|
|
|
|
| Floor 1.550% |
|
|
|
|
|
| 02/15/2039 |
|
|
6.873 |
% |
|
|
5,670,000 |
|
|
|
5,464,577 |
|
| SREIT Trust(a),(b) |
|
|
|
|
|
| Subordinated Series 2021-PALM Class E |
|
|
|
|
|
| 1-month Term SOFR + 2.024% |
|
|
|
|
|
| Floor 1.910% |
|
|
|
|
|
| 10/15/2034 |
|
|
7.348 |
% |
|
|
6,275,000 |
|
|
|
5,881,209 |
|
| Starwood Retail Property
Trust(a),(b) |
|
|
|
|
|
| Series 2014-STAR Class A |
|
|
|
|
|
| Prime Rate + -0.882% |
|
|
|
|
|
| Floor 1.220% |
|
|
|
|
|
| 11/15/2027 |
|
|
7.618 |
% |
|
|
2,248,546 |
|
|
|
1,585,225 |
|
| StorageMart Commercial Mortgage
Trust(a),(b) |
|
|
|
|
|
| Subordinated Series 2022-MINI Class C |
|
|
|
|
|
| 1-month Term SOFR + 1.550% |
|
|
|
|
|
| Floor 1.550% |
|
|
|
|
|
| 01/15/2039 |
|
|
6.873 |
% |
|
|
1,350,000 |
|
|
|
1,295,795 |
|
| THPT Mortgage
Trust(a),(c),(d) |
|
|
|
|
|
| Series 2023-THL Class A |
|
|
|
|
|
| 12/10/2034 |
|
|
6.994 |
% |
|
|
5,000,000 |
|
|
|
4,983,182 |
|
| UBS Commercial Mortgage Trust |
|
|
|
|
|
| Series 2018-C10 Class A3 |
|
|
|
|
|
| 05/15/2051 |
|
|
4.048 |
% |
|
|
5,468,366 |
|
|
|
5,097,388 |
|
| Wells Fargo Commercial Mortgage Trust |
|
|
|
|
|
| Series 2015-LC20 Class A4 |
|
|
|
|
|
| 04/15/2050 |
|
|
2.925 |
% |
|
|
1,965,000 |
|
|
|
1,897,594 |
|
| Series 2015-SG1 Class A4 |
|
|
|
|
|
| 09/15/2048 |
|
|
3.789 |
% |
|
|
9,036,083 |
|
|
|
8,669,346 |
|
| Series 2017-C39 Class A4 |
|
|
|
|
|
| 09/15/2050 |
|
|
3.157 |
% |
|
|
10,065,000 |
|
|
|
9,261,929 |
|
| Series 2018-C45 Class A3 |
|
|
|
|
|
| 06/15/2051 |
|
|
3.920 |
% |
|
|
15,968,202 |
|
|
|
14,680,981 |
|
| Series 2021-C61 Class A4 |
|
|
|
|
|
| 11/15/2054 |
|
|
2.658 |
% |
|
|
7,990,000 |
|
|
|
6,423,658 |
|
| Wells Fargo Commercial Mortgage
Trust(c),(d) |
|
|
|
|
|
| Series 2021-C59 Class XA |
|
|
|
|
|
| 04/15/2054 |
|
|
1.654 |
% |
|
|
20,394,408 |
|
|
|
1,529,295 |
|
| Series 2021-C60 Class XA |
|
|
|
|
|
| 08/15/2054 |
|
|
1.651 |
% |
|
|
4,075,525 |
|
|
|
310,310 |
|
| Wells Fargo Commercial Mortgage
Trust(c) |
|
|
|
|
|
| Series 2022-C62 Class A4 |
|
|
|
|
|
| 04/15/2055 |
|
|
4.000 |
% |
|
|
5,330,000 |
|
|
|
4,715,656 |
|
| WF-RBS Commercial Mortgage Trust |
|
|
|
|
|
| Series 2014-C24 Class A3 |
|
|
|
|
|
| 11/15/2047 |
|
|
3.428 |
% |
|
|
509,995 |
|
|
|
501,154 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Commercial Mortgage-Backed Securities - Non-Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| WF-RBS Commercial Mortgage
Trust(a),(c) |
|
|
|
|
|
| Subordinated Series 2013-C14 Class D |
|
|
|
|
|
| 06/15/2046 |
|
|
3.964 |
% |
|
|
470,000 |
|
|
|
169,106 |
|
| WSTN Trust(a),(c) |
|
|
|
|
|
| Series 2023-MAUI Class A |
|
|
|
|
|
| 07/05/2037 |
|
|
6.518 |
% |
|
|
2,500,000 |
|
|
|
2,425,353 |
|
|
|
|
|
|
|
| Total Commercial Mortgage-Backed Securities -
Non-Agency
(Cost $787,794,855) |
|
|
|
722,388,331 |
|
|
|
|
|
|
|
|
|
| Common Stocks 0.0% |
|
|
|
|
|
|
|
|
| Issuer |
|
|
Shares |
|
|
Value ($) |
|
| Communication Services 0.0% |
|
|
|
|
|
| Media 0.0% |
|
|
|
|
|
| Intelsat Jackson Holdings
SA(h),(i),(j) |
|
|
|
2,500,000 |
|
|
|
2 |
|
| Intelsat Jackson Holdings
SA(h),(i),(j) |
|
|
|
832,000 |
|
|
|
1 |
|
| Intelsat Jackson Holdings
SA(h),(i),(j) |
|
|
|
6,033,000 |
|
|
|
6 |
|
| Intelsat Jackson Series A,
CVR(h),(i),(j) |
|
|
|
9,311 |
|
|
|
0 |
|
| Intelsat Jackson Series B,
CVR(h),(i),(j) |
|
|
|
9,311 |
|
|
|
0 |
|
|
|
|
|
|
|
| Total |
|
|
|
9 |
|
|
|
|
|
|
|
| Total Communication Services |
|
|
|
9 |
|
|
|
|
|
|
|
| Energy 0.0% |
|
|
|
|
|
| Oil, Gas & Consumable Fuels 0.0% |
|
|
|
|
|
| Prairie Provident Resources,
Inc.(i),(j) |
|
|
|
1,728 |
|
|
|
88 |
|
|
|
|
|
|
|
| Total Energy |
|
|
|
88 |
|
|
|
|
|
|
|
| Financials 0.0% |
|
|
|
|
|
| Financial Services 0.0% |
|
|
|
|
|
| Intelsat Emergence SA(i) |
|
|
|
88,937 |
|
|
|
2,345,714 |
|
|
|
|
|
|
|
| Total Financials |
|
|
|
2,345,714 |
|
|
|
|
|
|
|
| Total Common Stocks
(Cost $3,028,350) |
|
|
|
2,345,811 |
|
|
|
|
|
|
|
|
|
| Convertible Bonds 0.0% |
|
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Banking 0.0% |
|
|
|
|
|
| Lloyds Banking Group PLC(k),(l) |
|
|
8.000 |
% |
|
|
3,207,000 |
|
|
|
3,041,199 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
21 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Convertible Bonds (continued) |
|
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| UBS Group AG(a),(k),(l) |
|
|
|
|
|
|
|
|
9.250 |
% |
|
|
994,000 |
|
|
|
1,038,978 |
|
|
|
|
9.250 |
% |
|
|
325,000 |
|
|
|
344,618 |
|
|
|
|
|
|
|
| Total |
|
|
|
4,424,795 |
|
|
|
|
|
|
|
| Total Convertible Bonds
(Cost $4,503,815) |
|
|
|
4,424,795 |
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes 28.8% |
|
|
|
|
|
| Aerospace & Defense 0.4% |
|
|
|
|
|
| BAE Systems PLC(a) |
|
|
|
|
|
| 04/15/2030 |
|
|
3.400 |
% |
|
|
690,000 |
|
|
|
616,797 |
|
| Boeing Co. (The) |
|
|
|
|
|
| 02/04/2024 |
|
|
1.433 |
% |
|
|
5,100,000 |
|
|
|
5,060,151 |
|
| 05/01/2025 |
|
|
4.875 |
% |
|
|
761,000 |
|
|
|
753,260 |
|
| 02/01/2028 |
|
|
3.250 |
% |
|
|
794,000 |
|
|
|
737,076 |
|
| 05/01/2030 |
|
|
5.150 |
% |
|
|
1,160,000 |
|
|
|
1,150,017 |
|
| 02/01/2031 |
|
|
3.625 |
% |
|
|
4,203,000 |
|
|
|
3,779,690 |
|
| 02/01/2035 |
|
|
3.250 |
% |
|
|
1,240,000 |
|
|
|
996,298 |
|
| 05/01/2040 |
|
|
5.705 |
% |
|
|
1,050,000 |
|
|
|
1,034,090 |
|
| 11/01/2048 |
|
|
3.850 |
% |
|
|
245,000 |
|
|
|
177,373 |
|
| 05/01/2050 |
|
|
5.805 |
% |
|
|
1,085,000 |
|
|
|
1,057,943 |
|
| 08/01/2059 |
|
|
3.950 |
% |
|
|
3,500,000 |
|
|
|
2,491,063 |
|
| 05/01/2060 |
|
|
5.930 |
% |
|
|
1,047,000 |
|
|
|
1,015,295 |
|
| Bombardier, Inc.(a) |
|
|
|
|
|
| 03/15/2025 |
|
|
7.500 |
% |
|
|
1,225,000 |
|
|
|
1,225,605 |
|
| 04/15/2027 |
|
|
7.875 |
% |
|
|
5,373,000 |
|
|
|
5,378,078 |
|
| 02/01/2029 |
|
|
7.500 |
% |
|
|
1,200,000 |
|
|
|
1,188,363 |
|
| Embraer Netherlands Finance
BV(a) |
|
|
|
|
|
| 07/28/2030 |
|
|
7.000 |
% |
|
|
1,225,000 |
|
|
|
1,255,554 |
|
| HEICO Corp. |
|
|
|
|
|
| 08/01/2028 |
|
|
5.250 |
% |
|
|
1,749,000 |
|
|
|
1,746,030 |
|
| Lockheed Martin Corp. |
|
|
|
|
|
| 02/15/2034 |
|
|
4.750 |
% |
|
|
490,000 |
|
|
|
477,591 |
|
| 02/15/2055 |
|
|
5.200 |
% |
|
|
1,009,000 |
|
|
|
986,698 |
|
| 11/15/2063 |
|
|
5.900 |
% |
|
|
493,000 |
|
|
|
530,359 |
|
| Northrop Grumman Corp. |
|
|
|
|
|
| 03/15/2053 |
|
|
4.950 |
% |
|
|
74,000 |
|
|
|
68,126 |
|
| RTX Corp. |
|
|
|
|
|
| 03/15/2054 |
|
|
6.400 |
% |
|
|
3,280,000 |
|
|
|
3,565,173 |
|
| Textron, Inc. |
|
|
|
|
|
| 03/01/2024 |
|
|
4.300 |
% |
|
|
665,000 |
|
|
|
661,616 |
|
| 03/01/2025 |
|
|
3.875 |
% |
|
|
289,000 |
|
|
|
282,806 |
|
| 11/15/2033 |
|
|
6.100 |
% |
|
|
2,035,000 |
|
|
|
2,094,277 |
|
| TransDigm, Inc.(a) |
|
|
|
|
|
| 12/01/2031 |
|
|
7.125 |
% |
|
|
2,910,000 |
|
|
|
2,961,147 |
|
| United Technologies Corp. |
|
|
|
|
|
| 11/16/2038 |
|
|
4.450 |
% |
|
|
1,043,000 |
|
|
|
907,678 |
|
| 06/01/2042 |
|
|
4.500 |
% |
|
|
2,249,000 |
|
|
|
1,933,067 |
|
|
|
|
|
|
|
| Total |
|
|
|
44,131,221 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Airlines 0.2% |
|
|
|
|
|
| American Airlines Pass-Through Trust |
|
|
|
|
|
| Series 2015-2 Class AA |
|
|
|
|
|
| 09/22/2027 |
|
|
3.600 |
% |
|
|
98,640 |
|
|
|
89,157 |
|
| Series 2016-1 Class AA |
|
|
|
|
|
| 07/15/2029 |
|
|
3.575 |
% |
|
|
522,843 |
|
|
|
477,194 |
|
| Series 2016-2 Class AA |
|
|
|
|
|
| 06/15/2028 |
|
|
3.200 |
% |
|
|
528,326 |
|
|
|
473,176 |
|
| Series 2017-2 Class AA |
|
|
|
|
|
| 10/15/2029 |
|
|
3.350 |
% |
|
|
1,641,340 |
|
|
|
1,451,240 |
|
| Series 2019-1 Class AA |
|
|
|
|
|
| 08/15/2033 |
|
|
3.150 |
% |
|
|
375,096 |
|
|
|
315,398 |
|
| Delta Air Lines Pass-Through Trust |
|
|
|
|
|
| 06/10/2028 |
|
|
2.000 |
% |
|
|
5,539,173 |
|
|
|
4,857,351 |
|
| 06/10/2028 |
|
|
2.500 |
% |
|
|
872,521 |
|
|
|
760,649 |
|
| Delta Air Lines, Inc./SkyMiles IP
Ltd.(a) |
|
|
|
|
|
| 10/20/2028 |
|
|
4.750 |
% |
|
|
7,285,382 |
|
|
|
6,995,404 |
|
| Mileage Plus Holdings LLC/Intellectual Property Assets Ltd.(a) |
|
|
|
|
|
| 06/20/2027 |
|
|
6.500 |
% |
|
|
435,050 |
|
|
|
432,646 |
|
| Southwest Airlines Co. |
|
|
|
|
|
| 06/15/2027 |
|
|
5.125 |
% |
|
|
1,665,000 |
|
|
|
1,647,254 |
|
| U.S. Airways Pass-Through Trust |
|
|
|
|
|
| 10/01/2024 |
|
|
5.900 |
% |
|
|
682,784 |
|
|
|
677,845 |
|
| 06/03/2025 |
|
|
4.625 |
% |
|
|
1,922,970 |
|
|
|
1,825,132 |
|
| United Airlines Pass-Through Trust |
|
|
|
|
|
| Series 2023-1 Class A |
|
|
|
|
|
| 01/15/2036 |
|
|
5.800 |
% |
|
|
8,532,000 |
|
|
|
8,184,056 |
|
| United Airlines, Inc.(a) |
|
|
|
|
|
| 04/15/2026 |
|
|
4.375 |
% |
|
|
250,000 |
|
|
|
237,674 |
|
| 04/15/2029 |
|
|
4.625 |
% |
|
|
840,000 |
|
|
|
749,674 |
|
| United Airlines, Inc. Pass-Through Trust |
|
|
|
|
|
| 10/15/2027 |
|
|
5.875 |
% |
|
|
727,856 |
|
|
|
724,295 |
|
|
|
|
|
|
|
| Total |
|
|
|
29,898,145 |
|
|
|
|
|
|
|
| Apartment REIT 0.1% |
|
|
|
|
|
| American Homes 4 Rent LP |
|
|
|
|
|
| 07/15/2031 |
|
|
2.375 |
% |
|
|
393,000 |
|
|
|
307,923 |
|
| 04/15/2032 |
|
|
3.625 |
% |
|
|
570,000 |
|
|
|
488,971 |
|
| 07/15/2051 |
|
|
3.375 |
% |
|
|
1,735,000 |
|
|
|
1,075,276 |
|
| 04/15/2052 |
|
|
4.300 |
% |
|
|
1,270,000 |
|
|
|
945,973 |
|
| Camden Property Trust |
|
|
|
|
|
| 11/03/2026 |
|
|
5.850 |
% |
|
|
1,326,000 |
|
|
|
1,347,568 |
|
| Invitation Homes Operating Partnership LP |
|
|
|
|
|
| 11/15/2028 |
|
|
2.300 |
% |
|
|
1,377,000 |
|
|
|
1,176,881 |
|
| 08/15/2030 |
|
|
5.450 |
% |
|
|
726,000 |
|
|
|
702,072 |
|
| 08/15/2031 |
|
|
2.000 |
% |
|
|
3,306,000 |
|
|
|
2,504,229 |
|
| 08/15/2033 |
|
|
5.500 |
% |
|
|
1,315,000 |
|
|
|
1,256,184 |
|
|
|
|
| 22 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| 01/15/2034 |
|
|
2.700 |
% |
|
|
52,000 |
|
|
|
39,132 |
|
|
|
|
|
|
|
| Total |
|
|
|
9,844,209 |
|
|
|
|
|
|
|
| Automotive 1.1% |
|
|
|
|
|
| Adient Global Holdings
Ltd.(a) |
|
|
|
|
|
| 08/15/2026 |
|
|
4.875 |
% |
|
|
2,700,000 |
|
|
|
2,598,586 |
|
| American Axle & Manufacturing, Inc. |
|
|
|
|
|
| 03/15/2026 |
|
|
6.250 |
% |
|
|
782,000 |
|
|
|
770,987 |
|
| 04/01/2027 |
|
|
6.500 |
% |
|
|
875,000 |
|
|
|
845,798 |
|
| American Honda Finance Corp. |
|
|
|
|
|
| 01/12/2028 |
|
|
4.700 |
% |
|
|
1,414,000 |
|
|
|
1,394,150 |
|
| 07/07/2028 |
|
|
5.125 |
% |
|
|
1,056,000 |
|
|
|
1,059,515 |
|
| 11/15/2028 |
|
|
5.650 |
% |
|
|
3,738,000 |
|
|
|
3,823,123 |
|
| 10/04/2030 |
|
|
5.850 |
% |
|
|
5,406,000 |
|
|
|
5,585,072 |
|
| Aptiv PLC |
|
|
|
|
|
| 12/01/2051 |
|
|
3.100 |
% |
|
|
1,905,000 |
|
|
|
1,145,985 |
|
| BMW US Capital LLC(a) |
|
|
|
|
|
| 08/11/2033 |
|
|
5.150 |
% |
|
|
4,201,000 |
|
|
|
4,162,760 |
|
| Daimler Truck Finance North America
LLC(a) |
|
|
|
|
|
| 09/20/2028 |
|
|
5.400 |
% |
|
|
2,315,000 |
|
|
|
2,307,621 |
|
| Dana, Inc. |
|
|
|
|
|
| 06/15/2028 |
|
|
5.625 |
% |
|
|
800,000 |
|
|
|
761,916 |
|
| Denso Corp.(a) |
|
|
|
|
|
| 09/16/2026 |
|
|
1.239 |
% |
|
|
4,070,000 |
|
|
|
3,641,426 |
|
| Ford Motor Co. |
|
|
|
|
|
| 08/19/2032 |
|
|
6.100 |
% |
|
|
1,335,000 |
|
|
|
1,301,533 |
|
| 01/15/2043 |
|
|
4.750 |
% |
|
|
2,600,000 |
|
|
|
2,005,558 |
|
| Ford Motor Credit Co. LLC |
|
|
|
|
|
| 01/09/2024 |
|
|
3.810 |
% |
|
|
2,585,000 |
|
|
|
2,577,396 |
|
| 09/08/2024 |
|
|
3.664 |
% |
|
|
2,000,000 |
|
|
|
1,959,066 |
|
| 08/04/2025 |
|
|
4.134 |
% |
|
|
950,000 |
|
|
|
912,470 |
|
| 11/13/2025 |
|
|
3.375 |
% |
|
|
1,000,000 |
|
|
|
942,136 |
|
| 03/06/2026 |
|
|
6.950 |
% |
|
|
1,425,000 |
|
|
|
1,438,109 |
|
| 05/12/2028 |
|
|
6.800 |
% |
|
|
450,000 |
|
|
|
458,075 |
|
| 11/07/2028 |
|
|
6.798 |
% |
|
|
6,145,000 |
|
|
|
6,265,582 |
|
| 05/03/2029 |
|
|
5.113 |
% |
|
|
1,405,000 |
|
|
|
1,318,943 |
|
| General Motors Co. |
|
|
|
|
|
| 10/01/2025 |
|
|
6.125 |
% |
|
|
529,000 |
|
|
|
531,680 |
|
| 04/01/2035 |
|
|
5.000 |
% |
|
|
5,365,000 |
|
|
|
4,855,379 |
|
| 04/01/2038 |
|
|
5.150 |
% |
|
|
1,550,000 |
|
|
|
1,373,190 |
|
| 10/02/2043 |
|
|
6.250 |
% |
|
|
723,000 |
|
|
|
693,868 |
|
| 04/01/2045 |
|
|
5.200 |
% |
|
|
1,500,000 |
|
|
|
1,267,403 |
|
| General Motors Financial Co., Inc. |
|
|
|
|
|
| 07/13/2025 |
|
|
4.300 |
% |
|
|
1,060,000 |
|
|
|
1,034,431 |
|
| 10/10/2025 |
|
|
6.050 |
% |
|
|
3,385,000 |
|
|
|
3,399,480 |
|
| 03/01/2026 |
|
|
5.250 |
% |
|
|
2,260,000 |
|
|
|
2,234,119 |
|
| 06/23/2028 |
|
|
5.800 |
% |
|
|
1,850,000 |
|
|
|
1,850,578 |
|
| 04/06/2030 |
|
|
5.850 |
% |
|
|
708,000 |
|
|
|
705,960 |
|
| 06/21/2030 |
|
|
3.600 |
% |
|
|
1,710,000 |
|
|
|
1,496,354 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Harley-Davidson Financial Services,
Inc.(a) |
|
|
|
|
|
| 06/08/2025 |
|
|
3.350 |
% |
|
|
1,155,000 |
|
|
|
1,107,358 |
|
| 03/10/2028 |
|
|
6.500 |
% |
|
|
6,355,000 |
|
|
|
6,362,923 |
|
| Hyundai Capital
America(a) |
|
|
|
|
|
| 06/26/2025 |
|
|
5.800 |
% |
|
|
5,620,000 |
|
|
|
5,619,250 |
|
| 09/21/2026 |
|
|
5.950 |
% |
|
|
4,120,000 |
|
|
|
4,139,852 |
|
| 06/26/2028 |
|
|
5.680 |
% |
|
|
1,106,000 |
|
|
|
1,099,246 |
|
| 09/15/2028 |
|
|
2.100 |
% |
|
|
1,460,000 |
|
|
|
1,238,125 |
|
| 09/21/2028 |
|
|
6.100 |
% |
|
|
1,897,000 |
|
|
|
1,921,153 |
|
| 01/16/2029 |
|
|
6.500 |
% |
|
|
1,282,000 |
|
|
|
1,316,297 |
|
| Hyundai Capital Services,
Inc.(a) |
|
|
|
|
|
| 04/24/2025 |
|
|
2.125 |
% |
|
|
3,320,000 |
|
|
|
3,158,511 |
|
| Kia Corp.(a) |
|
|
|
|
|
| 04/16/2024 |
|
|
1.000 |
% |
|
|
1,405,000 |
|
|
|
1,380,469 |
|
| LKQ Corp. |
|
|
|
|
|
| 06/15/2028 |
|
|
5.750 |
% |
|
|
3,405,000 |
|
|
|
3,381,270 |
|
| Mercedes-Benz Finance North America
LLC(a) |
|
|
|
|
|
| 08/03/2028 |
|
|
5.100 |
% |
|
|
3,505,000 |
|
|
|
3,487,031 |
|
| Nissan Motor Acceptance Co.
LLC(a) |
|
|
|
|
|
| 09/15/2028 |
|
|
7.050 |
% |
|
|
2,150,000 |
|
|
|
2,181,386 |
|
| Toyota Motor Credit Corp. |
|
|
|
|
|
| 01/13/2027 |
|
|
1.900 |
% |
|
|
400,000 |
|
|
|
364,614 |
|
| 09/20/2027 |
|
|
4.550 |
% |
|
|
1,642,000 |
|
|
|
1,624,282 |
|
| 09/11/2028 |
|
|
5.250 |
% |
|
|
6,715,000 |
|
|
|
6,797,634 |
|
| 11/20/2030 |
|
|
5.550 |
% |
|
|
4,334,000 |
|
|
|
4,432,432 |
|
| Volkswagen Group of America Finance
LLC(a) |
|
|
|
|
|
| 11/16/2030 |
|
|
6.450 |
% |
|
|
11,190,000 |
|
|
|
11,464,176 |
|
| 09/12/2033 |
|
|
5.900 |
% |
|
|
1,266,000 |
|
|
|
1,248,188 |
|
| ZF North America Capital,
Inc.(a) |
|
|
|
|
|
| 04/14/2030 |
|
|
7.125 |
% |
|
|
1,350,000 |
|
|
|
1,384,169 |
|
|
|
|
|
|
|
| Total |
|
|
|
130,426,615 |
|
|
|
|
|
|
|
| Banking 8.5% |
|
|
|
|
|
| ABN AMRO Bank NV(a),(l) |
|
|
|
|
|
| 09/18/2027 |
|
|
6.339 |
% |
|
|
6,900,000 |
|
|
|
6,942,355 |
|
| Subordinated |
|
|
|
|
|
| 03/13/2037 |
|
|
3.324 |
% |
|
|
1,441,000 |
|
|
|
1,089,835 |
|
| AIB Group PLC(a),(l) |
|
|
|
|
|
| 10/14/2026 |
|
|
7.583 |
% |
|
|
4,320,000 |
|
|
|
4,419,704 |
|
| 09/13/2029 |
|
|
6.608 |
% |
|
|
815,000 |
|
|
|
831,150 |
|
| Ally Financial, Inc. |
|
|
|
|
|
| 11/15/2027 |
|
|
7.100 |
% |
|
|
4,885,000 |
|
|
|
4,982,258 |
|
| American Express Co.(l) |
|
|
|
|
|
| 05/01/2026 |
|
|
4.990 |
% |
|
|
525,000 |
|
|
|
519,924 |
|
| 07/27/2029 |
|
|
5.282 |
% |
|
|
4,680,000 |
|
|
|
4,658,915 |
|
| 10/30/2031 |
|
|
6.489 |
% |
|
|
2,055,000 |
|
|
|
2,163,709 |
|
| ANZ New Zealand International
Ltd.(a) |
|
|
|
|
|
| 02/18/2025 |
|
|
2.166 |
% |
|
|
3,390,000 |
|
|
|
3,254,505 |
|
| 08/14/2028 |
|
|
5.355 |
% |
|
|
4,595,000 |
|
|
|
4,598,728 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
23 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| ASB Bank Ltd.(a),(l) |
|
|
|
|
|
| Subordinated |
|
|
|
|
|
| 06/17/2032 |
|
|
5.284 |
% |
|
|
2,355,000 |
|
|
|
2,276,917 |
|
| Banco Bilbao Vizcaya Argentaria
SA(l) |
|
|
|
|
|
| Subordinated |
|
|
|
|
|
| 11/15/2034 |
|
|
7.883 |
% |
|
|
5,200,000 |
|
|
|
5,387,971 |
|
| Banco Santander SA |
|
|
|
|
|
| 05/28/2025 |
|
|
2.746 |
% |
|
|
3,000,000 |
|
|
|
2,854,434 |
|
| 11/07/2033 |
|
|
6.938 |
% |
|
|
7,400,000 |
|
|
|
7,832,852 |
|
| Bank of America
Corp.(k),(l) |
|
|
|
|
|
|
|
|
4.375 |
% |
|
|
3,016,000 |
|
|
|
2,607,681 |
|
| Bank of America Corp.(l) |
|
|
|
|
|
| 03/11/2027 |
|
|
1.658 |
% |
|
|
1,775,000 |
|
|
|
1,619,202 |
|
| 07/22/2027 |
|
|
1.734 |
% |
|
|
13,410,000 |
|
|
|
12,108,503 |
|
| 04/27/2028 |
|
|
4.376 |
% |
|
|
1,208,000 |
|
|
|
1,162,302 |
|
| 03/05/2029 |
|
|
3.970 |
% |
|
|
2,159,000 |
|
|
|
2,022,749 |
|
| 06/14/2029 |
|
|
2.087 |
% |
|
|
11,335,000 |
|
|
|
9,740,104 |
|
| 07/23/2030 |
|
|
3.194 |
% |
|
|
33,500,000 |
|
|
|
29,440,812 |
|
| 02/13/2031 |
|
|
2.496 |
% |
|
|
8,712,000 |
|
|
|
7,238,877 |
|
| 04/29/2031 |
|
|
2.592 |
% |
|
|
2,710,000 |
|
|
|
2,252,833 |
|
| 07/23/2031 |
|
|
1.898 |
% |
|
|
425,000 |
|
|
|
333,568 |
|
| 03/11/2032 |
|
|
2.651 |
% |
|
|
5,426,000 |
|
|
|
4,410,406 |
|
| 04/22/2032 |
|
|
2.687 |
% |
|
|
2,464,000 |
|
|
|
2,003,110 |
|
| 07/21/2032 |
|
|
2.299 |
% |
|
|
785,000 |
|
|
|
616,435 |
|
| 10/20/2032 |
|
|
2.572 |
% |
|
|
9,960,000 |
|
|
|
7,929,553 |
|
| 02/04/2033 |
|
|
2.972 |
% |
|
|
1,928,000 |
|
|
|
1,574,609 |
|
| 04/27/2033 |
|
|
4.571 |
% |
|
|
1,143,000 |
|
|
|
1,049,189 |
|
| 04/25/2034 |
|
|
5.288 |
% |
|
|
3,916,000 |
|
|
|
3,765,906 |
|
| 09/15/2034 |
|
|
5.872 |
% |
|
|
5,783,000 |
|
|
|
5,802,402 |
|
| Subordinated |
|
|
|
|
|
| 09/21/2036 |
|
|
2.482 |
% |
|
|
1,671,000 |
|
|
|
1,262,599 |
|
| 03/08/2037 |
|
|
3.846 |
% |
|
|
1,279,000 |
|
|
|
1,079,805 |
|
| Bank of America Corp. |
|
|
|
|
|
| Subordinated |
|
|
|
|
|
| 01/22/2025 |
|
|
4.000 |
% |
|
|
795,000 |
|
|
|
780,848 |
|
| 04/21/2025 |
|
|
3.950 |
% |
|
|
2,500,000 |
|
|
|
2,437,533 |
|
| 03/03/2026 |
|
|
4.450 |
% |
|
|
2,000,000 |
|
|
|
1,952,495 |
|
| Bank of America NA |
|
|
|
|
|
| 08/18/2026 |
|
|
5.526 |
% |
|
|
5,575,000 |
|
|
|
5,619,955 |
|
| Bank of Ireland Group
PLC(a),(l) |
|
|
|
|
|
| 09/16/2026 |
|
|
6.253 |
% |
|
|
3,560,000 |
|
|
|
3,559,319 |
|
| Bank of Montreal |
|
|
|
|
|
| 09/25/2028 |
|
|
5.717 |
% |
|
|
5,805,000 |
|
|
|
5,873,349 |
|
| Bank of New York Mellon Corp.
(The)(l) |
|
|
|
|
|
| 04/26/2027 |
|
|
4.947 |
% |
|
|
4,700,000 |
|
|
|
4,647,539 |
|
| 10/25/2034 |
|
|
6.474 |
% |
|
|
653,000 |
|
|
|
692,676 |
|
| Bank of New Zealand(a) |
|
|
|
|
|
| 02/21/2025 |
|
|
2.000 |
% |
|
|
3,915,000 |
|
|
|
3,746,537 |
|
| 01/27/2027 |
|
|
2.285 |
% |
|
|
2,140,000 |
|
|
|
1,946,338 |
|
| Bank of Nova Scotia
(The)(e) |
|
|
|
|
|
| 02/01/2034 |
|
|
5.650 |
% |
|
|
2,213,000 |
|
|
|
2,197,312 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Bank of Nova Scotia
(The)(l) |
|
|
|
|
|
| Subordinated |
|
|
|
|
|
| 05/04/2037 |
|
|
4.588 |
% |
|
|
2,129,000 |
|
|
|
1,810,829 |
|
| Banque Federative du Credit Mutuel
SA(a) |
|
|
|
|
|
| 01/26/2026 |
|
|
4.935 |
% |
|
|
2,208,000 |
|
|
|
2,175,154 |
|
| 07/13/2028 |
|
|
5.790 |
% |
|
|
2,215,000 |
|
|
|
2,236,005 |
|
| Barclays PLC |
|
|
|
|
|
| 03/16/2025 |
|
|
3.650 |
% |
|
|
270,000 |
|
|
|
262,360 |
|
| Subordinated |
|
|
|
|
|
| 05/09/2028 |
|
|
4.836 |
% |
|
|
995,000 |
|
|
|
937,395 |
|
| Barclays PLC(l) |
|
|
|
|
|
| 05/07/2025 |
|
|
3.932 |
% |
|
|
4,045,000 |
|
|
|
4,004,624 |
|
| 06/24/2031 |
|
|
2.645 |
% |
|
|
3,175,000 |
|
|
|
2,556,330 |
|
| 03/10/2032 |
|
|
2.667 |
% |
|
|
12,020,000 |
|
|
|
9,480,429 |
|
| BNP Paribas SA(a),(l) |
|
|
|
|
|
| 06/09/2026 |
|
|
2.219 |
% |
|
|
2,150,000 |
|
|
|
2,033,035 |
|
| 09/30/2028 |
|
|
1.904 |
% |
|
|
3,535,000 |
|
|
|
3,056,242 |
|
| 06/12/2029 |
|
|
5.335 |
% |
|
|
1,815,000 |
|
|
|
1,795,862 |
|
| 04/19/2032 |
|
|
2.871 |
% |
|
|
3,775,000 |
|
|
|
3,063,697 |
|
| 01/20/2033 |
|
|
3.132 |
% |
|
|
7,920,000 |
|
|
|
6,453,101 |
|
| BNP Paribas SA(a),(e),(l) |
|
|
|
|
|
| 12/05/2034 |
|
|
5.894 |
% |
|
|
4,070,000 |
|
|
|
4,084,012 |
|
| BPCE SA(a) |
|
|
|
|
|
| 01/11/2028 |
|
|
3.250 |
% |
|
|
460,000 |
|
|
|
418,851 |
|
| Subordinated |
|
|
|
|
|
| 07/11/2024 |
|
|
4.625 |
% |
|
|
4,200,000 |
|
|
|
4,142,264 |
|
| 07/21/2024 |
|
|
5.150 |
% |
|
|
3,363,000 |
|
|
|
3,328,519 |
|
| CaixaBank SA(a),(l) |
|
|
|
|
|
| 09/13/2034 |
|
|
6.840 |
% |
|
|
4,839,000 |
|
|
|
4,868,032 |
|
| Canadian Imperial Bank of Commerce |
|
|
|
|
|
| 10/03/2033 |
|
|
6.092 |
% |
|
|
6,036,000 |
|
|
|
6,156,484 |
|
| Capital One Financial
Corp.(l) |
|
|
|
|
|
| 12/06/2024 |
|
|
1.343 |
% |
|
|
8,945,000 |
|
|
|
8,942,574 |
|
| 10/29/2027 |
|
|
7.149 |
% |
|
|
3,985,000 |
|
|
|
4,056,266 |
|
| 11/02/2027 |
|
|
1.878 |
% |
|
|
883,000 |
|
|
|
774,473 |
|
| 06/08/2029 |
|
|
6.312 |
% |
|
|
2,560,000 |
|
|
|
2,545,957 |
|
| Citibank NA(e) |
|
|
|
|
|
| 12/04/2026 |
|
|
5.488 |
% |
|
|
12,160,000 |
|
|
|
12,230,524 |
|
| Citigroup, Inc.(k),(l) |
|
|
|
|
|
|
|
|
4.700 |
% |
|
|
10,225,000 |
|
|
|
9,303,033 |
|
|
|
|
5.000 |
% |
|
|
1,100,000 |
|
|
|
1,062,248 |
|
| Citigroup, Inc.(l) |
|
|
|
|
|
| 04/08/2026 |
|
|
3.106 |
% |
|
|
4,210,000 |
|
|
|
4,059,337 |
|
| 06/09/2027 |
|
|
1.462 |
% |
|
|
3,220,000 |
|
|
|
2,898,313 |
|
| 11/05/2030 |
|
|
2.976 |
% |
|
|
14,780,000 |
|
|
|
12,773,257 |
|
| 01/29/2031 |
|
|
2.666 |
% |
|
|
5,550,000 |
|
|
|
4,654,700 |
|
| 06/03/2031 |
|
|
2.572 |
% |
|
|
5,105,000 |
|
|
|
4,216,739 |
|
| 05/01/2032 |
|
|
2.561 |
% |
|
|
6,885,000 |
|
|
|
5,540,216 |
|
| 01/25/2033 |
|
|
3.057 |
% |
|
|
9,090,000 |
|
|
|
7,454,903 |
|
|
|
|
| 24 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Subordinated |
|
|
|
|
|
| 05/25/2034 |
|
|
6.174 |
% |
|
|
4,690,000 |
|
|
|
4,652,788 |
|
| Citigroup, Inc. |
|
|
|
|
|
| 05/01/2026 |
|
|
3.400 |
% |
|
|
1,300,000 |
|
|
|
1,240,545 |
|
| Subordinated |
|
|
|
|
|
| 06/10/2025 |
|
|
4.400 |
% |
|
|
4,250,000 |
|
|
|
4,166,930 |
|
| 05/18/2046 |
|
|
4.750 |
% |
|
|
395,000 |
|
|
|
330,010 |
|
| Citizens Bank NA(l) |
|
|
|
|
|
| 08/09/2028 |
|
|
4.575 |
% |
|
|
829,000 |
|
|
|
764,867 |
|
| Citizens Financial Group, Inc. |
|
|
|
|
|
| 02/06/2030 |
|
|
2.500 |
% |
|
|
1,496,000 |
|
|
|
1,196,156 |
|
| Citizens Financial Group,
Inc.(l) |
|
|
|
|
|
| Subordinated |
|
|
|
|
|
| 05/21/2037 |
|
|
5.641 |
% |
|
|
6,905,000 |
|
|
|
5,901,840 |
|
| Commonwealth Bank of
Australia(a) |
|
|
|
|
|
| Subordinated |
|
|
|
|
|
| 09/12/2039 |
|
|
3.743 |
% |
|
|
435,000 |
|
|
|
315,472 |
|
| Cooperatieve Rabobank
UA(a),(l) |
|
|
|
|
|
| 06/24/2026 |
|
|
1.339 |
% |
|
|
970,000 |
|
|
|
904,260 |
|
| 02/24/2027 |
|
|
1.106 |
% |
|
|
2,500,000 |
|
|
|
2,254,459 |
|
| Credit Agricole SA(a),(l) |
|
|
|
|
|
| 10/03/2029 |
|
|
6.316 |
% |
|
|
6,125,000 |
|
|
|
6,243,826 |
|
| Credit Suisse AG |
|
|
|
|
|
| 02/21/2025 |
|
|
3.700 |
% |
|
|
855,000 |
|
|
|
829,860 |
|
| 08/07/2026 |
|
|
1.250 |
% |
|
|
289,000 |
|
|
|
256,924 |
|
| 07/09/2027 |
|
|
5.000 |
% |
|
|
2,861,000 |
|
|
|
2,803,822 |
|
| Credit Suisse Group
AG(a),(l) |
|
|
|
|
|
| 09/11/2025 |
|
|
2.593 |
% |
|
|
430,000 |
|
|
|
418,059 |
|
| 06/05/2026 |
|
|
2.193 |
% |
|
|
3,297,000 |
|
|
|
3,102,796 |
|
| 07/15/2026 |
|
|
6.373 |
% |
|
|
2,485,000 |
|
|
|
2,491,114 |
|
| 02/02/2027 |
|
|
1.305 |
% |
|
|
4,520,000 |
|
|
|
4,079,970 |
|
| 05/14/2032 |
|
|
3.091 |
% |
|
|
6,040,000 |
|
|
|
4,923,033 |
|
| 08/12/2033 |
|
|
6.537 |
% |
|
|
19,300,000 |
|
|
|
19,696,958 |
|
| 11/15/2033 |
|
|
9.016 |
% |
|
|
8,446,000 |
|
|
|
10,005,245 |
|
| Credit Suisse Group AG(a) |
|
|
|
|
|
| 01/09/2028 |
|
|
4.282 |
% |
|
|
1,005,000 |
|
|
|
949,591 |
|
| Danske Bank A/S(a),(l) |
|
|
|
|
|
| 09/10/2025 |
|
|
0.976 |
% |
|
|
5,665,000 |
|
|
|
5,443,929 |
|
| 09/22/2026 |
|
|
6.259 |
% |
|
|
9,690,000 |
|
|
|
9,749,440 |
|
| Deutsche Bank AG(l) |
|
|
|
|
|
| 07/13/2027 |
|
|
7.146 |
% |
|
|
1,200,000 |
|
|
|
1,224,123 |
|
| Subordinated |
|
|
|
|
|
| 01/14/2032 |
|
|
3.729 |
% |
|
|
2,000,000 |
|
|
|
1,569,552 |
|
| 02/10/2034 |
|
|
7.079 |
% |
|
|
420,000 |
|
|
|
402,968 |
|
| Discover Bank |
|
|
|
|
|
| 03/13/2026 |
|
|
4.250 |
% |
|
|
789,000 |
|
|
|
750,593 |
|
| Discover Financial Services |
|
|
|
|
|
| 11/06/2024 |
|
|
3.950 |
% |
|
|
1,495,000 |
|
|
|
1,461,952 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Discover Financial
Services(l) |
|
|
|
|
|
| 11/02/2034 |
|
|
7.964 |
% |
|
|
7,352,000 |
|
|
|
7,725,920 |
|
| DNB Bank ASA(a),(l) |
|
|
|
|
|
| 09/16/2026 |
|
|
1.127 |
% |
|
|
3,950,000 |
|
|
|
3,617,684 |
|
| Federation des Caisses Desjardins du Quebec(a) |
|
|
|
|
|
| 03/14/2028 |
|
|
5.700 |
% |
|
|
2,210,000 |
|
|
|
2,217,942 |
|
| Fifth Third Bancorp(l) |
|
|
|
|
|
| 07/27/2029 |
|
|
6.339 |
% |
|
|
11,583,000 |
|
|
|
11,706,916 |
|
| 04/25/2033 |
|
|
4.337 |
% |
|
|
3,412,000 |
|
|
|
2,993,767 |
|
| First Horizon Bank |
|
|
|
|
|
| Subordinated |
|
|
|
|
|
| 05/01/2030 |
|
|
5.750 |
% |
|
|
2,730,000 |
|
|
|
2,453,234 |
|
| Goldman Sachs Group Inc
(The)(l) |
|
|
|
|
|
| 01/27/2032 |
|
|
1.992 |
% |
|
|
1,030,000 |
|
|
|
798,639 |
|
| Goldman Sachs Group Inc.
(The)(l) |
|
|
|
|
|
| 08/10/2026 |
|
|
5.798 |
% |
|
|
11,345,000 |
|
|
|
11,358,480 |
|
| Goldman Sachs Group, Inc.
(The)(k),(l) |
|
|
|
|
|
|
|
|
3.650 |
% |
|
|
2,135,000 |
|
|
|
1,780,033 |
|
| Goldman Sachs Group, Inc. (The) |
|
|
|
|
|
| 12/06/2023 |
|
|
1.217 |
% |
|
|
7,295,000 |
|
|
|
7,289,688 |
|
| Subordinated |
|
|
|
|
|
| 05/22/2045 |
|
|
5.150 |
% |
|
|
2,100,000 |
|
|
|
1,886,414 |
|
| Goldman Sachs Group, Inc.
(The)(l) |
|
|
|
|
|
| 09/29/2025 |
|
|
3.272 |
% |
|
|
4,160,000 |
|
|
|
4,067,913 |
|
| 03/09/2027 |
|
|
1.431 |
% |
|
|
11,330,000 |
|
|
|
10,274,377 |
|
| 02/24/2028 |
|
|
2.640 |
% |
|
|
3,320,000 |
|
|
|
3,023,070 |
|
| 10/24/2029 |
|
|
6.484 |
% |
|
|
1,398,000 |
|
|
|
1,447,740 |
|
| 04/22/2032 |
|
|
2.615 |
% |
|
|
12,585,000 |
|
|
|
10,139,320 |
|
| 07/21/2032 |
|
|
2.383 |
% |
|
|
15,470,000 |
|
|
|
12,188,783 |
|
| HSBC Holdings PLC(l) |
|
|
|
|
|
| 11/07/2025 |
|
|
2.633 |
% |
|
|
1,148,000 |
|
|
|
1,111,472 |
|
| 03/10/2026 |
|
|
2.999 |
% |
|
|
929,000 |
|
|
|
893,099 |
|
| 06/04/2026 |
|
|
2.099 |
% |
|
|
1,983,000 |
|
|
|
1,869,664 |
|
| 05/24/2027 |
|
|
1.589 |
% |
|
|
3,379,000 |
|
|
|
3,044,090 |
|
| 08/14/2027 |
|
|
5.887 |
% |
|
|
7,710,000 |
|
|
|
7,724,056 |
|
| 09/22/2028 |
|
|
2.013 |
% |
|
|
11,034,000 |
|
|
|
9,617,402 |
|
| 08/17/2029 |
|
|
2.206 |
% |
|
|
8,265,000 |
|
|
|
7,019,052 |
|
| 05/24/2032 |
|
|
2.804 |
% |
|
|
480,000 |
|
|
|
385,132 |
|
| 03/09/2044 |
|
|
6.332 |
% |
|
|
1,975,000 |
|
|
|
2,006,237 |
|
| Huntington Bancshares,
Inc.(l) |
|
|
|
|
|
| 08/21/2029 |
|
|
6.208 |
% |
|
|
5,822,000 |
|
|
|
5,823,660 |
|
| Subordinated |
|
|
|
|
|
| 08/15/2036 |
|
|
2.487 |
% |
|
|
626,000 |
|
|
|
453,359 |
|
| Huntington National Bank (The) |
|
|
|
|
|
| 01/10/2030 |
|
|
5.650 |
% |
|
|
2,367,000 |
|
|
|
2,298,830 |
|
| ING Groep NV(l) |
|
|
|
|
|
| 09/11/2034 |
|
|
6.114 |
% |
|
|
1,026,000 |
|
|
|
1,029,434 |
|
| Intesa Sanpaolo SpA(a) |
|
|
|
|
|
| 11/28/2033 |
|
|
7.200 |
% |
|
|
1,705,000 |
|
|
|
1,729,238 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
25 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Intesa Sanpaolo
SpA(a),(l) |
|
|
|
|
|
| 06/20/2054 |
|
|
7.778 |
% |
|
|
3,365,000 |
|
|
|
3,226,550 |
|
| Subordinated |
|
|
|
|
|
| 06/01/2032 |
|
|
4.198 |
% |
|
|
1,100,000 |
|
|
|
852,311 |
|
| JPMorgan Chase &
Co.(k),(l) |
|
|
|
|
|
|
|
|
4.000 |
% |
|
|
4,500,000 |
|
|
|
4,224,048 |
|
|
|
|
4.600 |
% |
|
|
7,625,000 |
|
|
|
7,302,989 |
|
|
|
|
5.000 |
% |
|
|
1,290,000 |
|
|
|
1,275,994 |
|
| JPMorgan Chase &
Co.(l) |
|
|
|
|
|
| 06/23/2025 |
|
|
0.969 |
% |
|
|
4,760,000 |
|
|
|
4,620,651 |
|
| 12/10/2025 |
|
|
1.561 |
% |
|
|
2,540,000 |
|
|
|
2,425,142 |
|
| 02/24/2026 |
|
|
2.595 |
% |
|
|
383,000 |
|
|
|
368,333 |
|
| 02/04/2027 |
|
|
1.040 |
% |
|
|
4,299,000 |
|
|
|
3,899,700 |
|
| 04/22/2027 |
|
|
1.578 |
% |
|
|
11,910,000 |
|
|
|
10,842,777 |
|
| 09/22/2027 |
|
|
1.470 |
% |
|
|
1,797,000 |
|
|
|
1,610,445 |
|
| 02/24/2028 |
|
|
2.947 |
% |
|
|
4,610,000 |
|
|
|
4,270,065 |
|
| 01/23/2029 |
|
|
3.509 |
% |
|
|
10,345,000 |
|
|
|
9,600,026 |
|
| 04/23/2029 |
|
|
4.005 |
% |
|
|
3,180,000 |
|
|
|
3,003,764 |
|
| 06/01/2029 |
|
|
2.069 |
% |
|
|
1,446,000 |
|
|
|
1,253,480 |
|
| 12/05/2029 |
|
|
4.452 |
% |
|
|
1,150,000 |
|
|
|
1,100,458 |
|
| 10/15/2030 |
|
|
2.739 |
% |
|
|
1,990,000 |
|
|
|
1,718,326 |
|
| 02/04/2032 |
|
|
1.953 |
% |
|
|
3,030,000 |
|
|
|
2,380,262 |
|
| 04/22/2032 |
|
|
2.580 |
% |
|
|
7,675,000 |
|
|
|
6,274,952 |
|
| 11/08/2032 |
|
|
2.545 |
% |
|
|
8,145,000 |
|
|
|
6,549,460 |
|
| 01/25/2033 |
|
|
2.963 |
% |
|
|
2,380,000 |
|
|
|
1,967,054 |
|
| 06/01/2034 |
|
|
5.350 |
% |
|
|
5,635,000 |
|
|
|
5,506,592 |
|
| 10/23/2034 |
|
|
6.254 |
% |
|
|
5,343,000 |
|
|
|
5,584,832 |
|
| 11/15/2048 |
|
|
3.964 |
% |
|
|
2,475,000 |
|
|
|
1,960,803 |
|
| JPMorgan Chase & Co. |
|
|
|
|
|
| Subordinated |
|
|
|
|
|
| 09/10/2024 |
|
|
3.875 |
% |
|
|
5,440,000 |
|
|
|
5,359,040 |
|
| KeyBank NA |
|
|
|
|
|
| 11/15/2027 |
|
|
5.850 |
% |
|
|
3,050,000 |
|
|
|
2,948,245 |
|
| Subordinated |
|
|
|
|
|
| 08/08/2032 |
|
|
4.900 |
% |
|
|
563,000 |
|
|
|
458,653 |
|
| KeyCorp(l) |
|
|
|
|
|
| 06/01/2033 |
|
|
4.789 |
% |
|
|
1,837,000 |
|
|
|
1,587,775 |
|
| Lloyds Banking Group PLC |
|
|
|
|
|
| 03/12/2024 |
|
|
3.900 |
% |
|
|
2,600,000 |
|
|
|
2,585,368 |
|
| Subordinated |
|
|
|
|
|
| 11/04/2024 |
|
|
4.500 |
% |
|
|
5,560,000 |
|
|
|
5,461,410 |
|
| Lloyds Banking Group
PLC(l) |
|
|
|
|
|
| 05/11/2027 |
|
|
1.627 |
% |
|
|
1,175,000 |
|
|
|
1,060,059 |
|
| 08/07/2027 |
|
|
5.985 |
% |
|
|
3,605,000 |
|
|
|
3,612,701 |
|
| 08/11/2033 |
|
|
4.976 |
% |
|
|
3,245,000 |
|
|
|
3,014,094 |
|
| Macquarie Group
Ltd.(a),(e),(l) |
|
|
|
|
|
| 12/07/2034 |
|
|
6.255 |
% |
|
|
7,070,000 |
|
|
|
7,065,085 |
|
| Mizuho Financial Group,
Inc.(l) |
|
|
|
|
|
| 07/06/2029 |
|
|
5.778 |
% |
|
|
4,740,000 |
|
|
|
4,793,229 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Morgan Stanley(l) |
|
|
|
|
|
| 01/22/2025 |
|
|
0.791 |
% |
|
|
1,115,000 |
|
|
|
1,105,710 |
|
| 05/30/2025 |
|
|
0.790 |
% |
|
|
14,562,000 |
|
|
|
14,151,798 |
|
| 07/22/2025 |
|
|
2.720 |
% |
|
|
720,000 |
|
|
|
704,990 |
|
| 10/21/2025 |
|
|
1.164 |
% |
|
|
4,545,000 |
|
|
|
4,339,822 |
|
| 04/28/2026 |
|
|
2.188 |
% |
|
|
828,000 |
|
|
|
787,388 |
|
| 05/04/2027 |
|
|
1.593 |
% |
|
|
3,193,000 |
|
|
|
2,894,320 |
|
| 07/20/2027 |
|
|
1.512 |
% |
|
|
962,000 |
|
|
|
863,816 |
|
| 01/21/2028 |
|
|
2.475 |
% |
|
|
998,000 |
|
|
|
909,457 |
|
| 07/22/2028 |
|
|
3.591 |
% |
|
|
7,821,000 |
|
|
|
7,318,832 |
|
| 10/18/2028 |
|
|
6.296 |
% |
|
|
447,000 |
|
|
|
459,533 |
|
| 01/24/2029 |
|
|
3.772 |
% |
|
|
4,315,000 |
|
|
|
4,025,819 |
|
| 04/20/2029 |
|
|
5.164 |
% |
|
|
1,478,000 |
|
|
|
1,454,530 |
|
| 07/20/2029 |
|
|
5.449 |
% |
|
|
2,410,000 |
|
|
|
2,399,156 |
|
| 01/23/2030 |
|
|
4.431 |
% |
|
|
2,885,000 |
|
|
|
2,738,656 |
|
| 02/13/2032 |
|
|
1.794 |
% |
|
|
1,535,000 |
|
|
|
1,176,557 |
|
| 04/28/2032 |
|
|
1.928 |
% |
|
|
2,719,000 |
|
|
|
2,090,466 |
|
| 07/21/2032 |
|
|
2.239 |
% |
|
|
9,590,000 |
|
|
|
7,504,733 |
|
| 10/20/2032 |
|
|
2.511 |
% |
|
|
1,560,000 |
|
|
|
1,238,137 |
|
| 01/21/2033 |
|
|
2.943 |
% |
|
|
3,610,000 |
|
|
|
2,945,587 |
|
| 10/18/2033 |
|
|
6.342 |
% |
|
|
370,000 |
|
|
|
383,102 |
|
| 04/21/2034 |
|
|
5.250 |
% |
|
|
5,253,000 |
|
|
|
5,033,808 |
|
| 07/21/2034 |
|
|
5.424 |
% |
|
|
353,000 |
|
|
|
342,153 |
|
| 11/01/2034 |
|
|
6.627 |
% |
|
|
3,389,000 |
|
|
|
3,591,770 |
|
| 04/22/2039 |
|
|
4.457 |
% |
|
|
299,000 |
|
|
|
261,357 |
|
| Subordinated |
|
|
|
|
|
| 09/16/2036 |
|
|
2.484 |
% |
|
|
3,240,000 |
|
|
|
2,445,839 |
|
| 04/20/2037 |
|
|
5.297 |
% |
|
|
1,135,000 |
|
|
|
1,053,392 |
|
| 01/19/2038 |
|
|
5.948 |
% |
|
|
2,865,000 |
|
|
|
2,779,663 |
|
| Morgan Stanley |
|
|
|
|
|
| 01/27/2026 |
|
|
3.875 |
% |
|
|
6,556,000 |
|
|
|
6,370,579 |
|
| 07/27/2026 |
|
|
3.125 |
% |
|
|
990,000 |
|
|
|
935,860 |
|
| Subordinated |
|
|
|
|
|
| 09/08/2026 |
|
|
4.350 |
% |
|
|
9,045,000 |
|
|
|
8,776,389 |
|
| Morgan Stanley Bank NA |
|
|
|
|
|
| 10/30/2026 |
|
|
5.882 |
% |
|
|
5,570,000 |
|
|
|
5,660,886 |
|
| National Bank of
Canada(l) |
|
|
|
|
|
| 06/09/2025 |
|
|
3.750 |
% |
|
|
7,465,000 |
|
|
|
7,371,033 |
|
| Nationwide Building
Society(a),(l) |
|
|
|
|
|
| 10/18/2027 |
|
|
6.557 |
% |
|
|
3,400,000 |
|
|
|
3,449,652 |
|
| 02/16/2028 |
|
|
2.972 |
% |
|
|
2,610,000 |
|
|
|
2,372,434 |
|
| NatWest Group PLC(l) |
|
|
|
|
|
| 09/13/2029 |
|
|
5.808 |
% |
|
|
1,267,000 |
|
|
|
1,259,854 |
|
| Northern Trust Corp.(l) |
|
|
|
|
|
| Subordinated |
|
|
|
|
|
| 05/08/2032 |
|
|
3.375 |
% |
|
|
2,052,000 |
|
|
|
1,867,348 |
|
| PNC Financial Services Group, Inc.
(The)(k),(l) |
|
|
|
|
|
|
|
|
6.000 |
% |
|
|
706,000 |
|
|
|
633,423 |
|
|
|
|
6.250 |
% |
|
|
3,185,000 |
|
|
|
2,781,165 |
|
|
|
|
| 26 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| PNC Financial Services Group, Inc.
(The)(l) |
|
|
|
|
|
| 06/12/2029 |
|
|
5.582 |
% |
|
|
11,935,000 |
|
|
|
11,855,456 |
|
| 10/28/2033 |
|
|
6.037 |
% |
|
|
3,770,000 |
|
|
|
3,778,022 |
|
| 01/24/2034 |
|
|
5.068 |
% |
|
|
1,415,000 |
|
|
|
1,326,205 |
|
| 10/20/2034 |
|
|
6.875 |
% |
|
|
3,685,000 |
|
|
|
3,916,466 |
|
| Royal Bank of Canada |
|
|
|
|
|
| 08/01/2028 |
|
|
5.200 |
% |
|
|
2,500,000 |
|
|
|
2,492,356 |
|
| Royal Bank of Scotland Group
PLC(l) |
|
|
|
|
|
| 03/22/2025 |
|
|
4.269 |
% |
|
|
1,735,000 |
|
|
|
1,724,141 |
|
| Santander Holdings USA,
Inc.(l) |
|
|
|
|
|
| 06/12/2029 |
|
|
6.565 |
% |
|
|
1,145,000 |
|
|
|
1,152,534 |
|
| 11/09/2031 |
|
|
7.660 |
% |
|
|
3,520,000 |
|
|
|
3,674,378 |
|
| Santander UK Group Holdings
PLC(l) |
|
|
|
|
|
| 03/15/2025 |
|
|
1.089 |
% |
|
|
7,385,000 |
|
|
|
7,261,300 |
|
| 08/21/2026 |
|
|
1.532 |
% |
|
|
445,000 |
|
|
|
408,994 |
|
| 06/14/2027 |
|
|
1.673 |
% |
|
|
1,762,000 |
|
|
|
1,572,658 |
|
| Societe Generale SA(a) |
|
|
|
|
|
| 03/28/2024 |
|
|
3.875 |
% |
|
|
5,055,000 |
|
|
|
5,017,648 |
|
| Societe Generale
SA(a),(l) |
|
|
|
|
|
| 01/19/2028 |
|
|
2.797 |
% |
|
|
4,285,000 |
|
|
|
3,872,656 |
|
| 06/09/2032 |
|
|
2.889 |
% |
|
|
480,000 |
|
|
|
375,770 |
|
| 01/21/2033 |
|
|
3.337 |
% |
|
|
2,590,000 |
|
|
|
2,065,432 |
|
| Standard Chartered
PLC(a),(l) |
|
|
|
|
|
| 02/08/2030 |
|
|
7.018 |
% |
|
|
10,085,000 |
|
|
|
10,386,473 |
|
| State Street Corp. |
|
|
|
|
|
| 08/03/2026 |
|
|
5.272 |
% |
|
|
2,830,000 |
|
|
|
2,828,492 |
|
| State Street Corp.(l) |
|
|
|
|
|
| 11/21/2029 |
|
|
5.684 |
% |
|
|
7,232,000 |
|
|
|
7,295,514 |
|
| 11/21/2034 |
|
|
6.123 |
% |
|
|
3,243,000 |
|
|
|
3,276,427 |
|
| SunTrust Capital III(b) |
|
|
|
|
|
| 3-month Term SOFR + 0.912% |
|
|
|
|
|
| 03/14/2028 |
|
|
6.321 |
% |
|
|
783,000 |
|
|
|
705,442 |
|
| Svenska Handelsbanken
AB(a) |
|
|
|
|
|
| 06/15/2028 |
|
|
5.500 |
% |
|
|
3,445,000 |
|
|
|
3,421,708 |
|
| Swedbank AB(a) |
|
|
|
|
|
| 09/12/2026 |
|
|
6.136 |
% |
|
|
5,800,000 |
|
|
|
5,837,774 |
|
| Synchrony Bank |
|
|
|
|
|
| 08/22/2025 |
|
|
5.400 |
% |
|
|
3,625,000 |
|
|
|
3,514,592 |
|
| Synchrony Financial |
|
|
|
|
|
| 06/13/2025 |
|
|
4.875 |
% |
|
|
2,185,000 |
|
|
|
2,112,599 |
|
| Toronto-Dominion Bank (The) |
|
|
|
|
|
| 07/17/2028 |
|
|
5.523 |
% |
|
|
1,955,000 |
|
|
|
1,971,329 |
|
| Truist Financial
Corp.(k),(l) |
|
|
|
|
|
|
|
|
4.800 |
% |
|
|
880,000 |
|
|
|
777,496 |
|
|
|
|
5.100 |
% |
|
|
1,302,000 |
|
|
|
1,121,194 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Truist Financial Corp.(l) |
|
|
|
|
|
| 03/02/2027 |
|
|
1.267 |
% |
|
|
340,000 |
|
|
|
305,944 |
|
| 10/30/2029 |
|
|
7.161 |
% |
|
|
5,815,000 |
|
|
|
6,078,590 |
|
| 01/26/2034 |
|
|
5.122 |
% |
|
|
2,445,000 |
|
|
|
2,247,423 |
|
| 06/08/2034 |
|
|
5.867 |
% |
|
|
8,789,000 |
|
|
|
8,573,116 |
|
| Subordinated |
|
|
|
|
|
| 07/28/2033 |
|
|
4.916 |
% |
|
|
1,044,000 |
|
|
|
924,049 |
|
| U.S. Bancorp(k),(l) |
|
|
|
|
|
| Junior Subordinated |
|
|
|
|
|
|
|
|
5.300 |
% |
|
|
2,980,000 |
|
|
|
2,514,027 |
|
| UBS AG |
|
|
|
|
|
| 09/11/2028 |
|
|
5.650 |
% |
|
|
6,640,000 |
|
|
|
6,712,340 |
|
| UBS Group AG(a),(l) |
|
|
|
|
|
| 05/12/2026 |
|
|
4.488 |
% |
|
|
980,000 |
|
|
|
957,585 |
|
| 01/30/2027 |
|
|
1.364 |
% |
|
|
912,000 |
|
|
|
824,099 |
|
| 08/10/2027 |
|
|
1.494 |
% |
|
|
960,000 |
|
|
|
852,861 |
|
| 09/22/2034 |
|
|
6.301 |
% |
|
|
1,714,000 |
|
|
|
1,728,814 |
|
| UBS Group AG(a),(b) |
|
|
|
|
|
| SOFR + 1.580% |
|
|
|
|
|
| 05/12/2026 |
|
|
6.890 |
% |
|
|
3,055,000 |
|
|
|
3,069,768 |
|
| UniCredit SpA(a),(l) |
|
|
|
|
|
| 09/22/2026 |
|
|
2.569 |
% |
|
|
5,195,000 |
|
|
|
4,821,571 |
|
| US Bancorp(l) |
|
|
|
|
|
| 06/12/2034 |
|
|
5.836 |
% |
|
|
6,580,000 |
|
|
|
6,480,718 |
|
| Subordinated |
|
|
|
|
|
| 07/22/2033 |
|
|
4.967 |
% |
|
|
1,793,000 |
|
|
|
1,605,479 |
|
| Wells Fargo & Co.(l) |
|
|
|
|
|
| 02/11/2026 |
|
|
2.164 |
% |
|
|
1,691,000 |
|
|
|
1,615,555 |
|
| 08/15/2026 |
|
|
4.540 |
% |
|
|
254,000 |
|
|
|
249,086 |
|
| 03/24/2028 |
|
|
3.526 |
% |
|
|
2,161,000 |
|
|
|
2,026,536 |
|
| 06/02/2028 |
|
|
2.393 |
% |
|
|
10,530,000 |
|
|
|
9,465,061 |
|
| 07/25/2028 |
|
|
4.808 |
% |
|
|
14,890,000 |
|
|
|
14,519,900 |
|
| 07/25/2029 |
|
|
5.574 |
% |
|
|
1,360,000 |
|
|
|
1,358,706 |
|
| 10/23/2029 |
|
|
6.303 |
% |
|
|
5,615,000 |
|
|
|
5,786,752 |
|
| 02/11/2031 |
|
|
2.572 |
% |
|
|
6,775,000 |
|
|
|
5,662,159 |
|
| 03/02/2033 |
|
|
3.350 |
% |
|
|
15,345,000 |
|
|
|
12,849,313 |
|
| 07/25/2033 |
|
|
4.897 |
% |
|
|
2,740,000 |
|
|
|
2,566,604 |
|
| 04/24/2034 |
|
|
5.389 |
% |
|
|
2,349,000 |
|
|
|
2,260,321 |
|
| 10/23/2034 |
|
|
6.491 |
% |
|
|
3,959,000 |
|
|
|
4,139,785 |
|
| 04/30/2041 |
|
|
3.068 |
% |
|
|
4,650,000 |
|
|
|
3,330,004 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
1,018,282,204 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Brokerage/Asset Managers/Exchanges 0.3% |
|
|
|
|
|
| Ares Finance Co. IV
LLC(a) |
|
|
|
|
|
| 02/01/2052 |
|
|
3.650 |
% |
|
|
1,140,000 |
|
|
|
738,980 |
|
| Blackstone Holdings Finance Co.
LLC(a) |
|
|
|
|
|
| 08/05/2028 |
|
|
1.625 |
% |
|
|
454,000 |
|
|
|
382,375 |
|
| 01/10/2030 |
|
|
2.500 |
% |
|
|
189,000 |
|
|
|
156,542 |
|
| 01/30/2032 |
|
|
2.000 |
% |
|
|
1,965,000 |
|
|
|
1,477,276 |
|
| Blue Owl Finance LLC(a) |
|
|
|
|
|
| 02/15/2032 |
|
|
4.375 |
% |
|
|
2,540,000 |
|
|
|
2,115,689 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
27 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Brookfield Finance, Inc. |
|
|
|
|
|
| 06/02/2026 |
|
|
4.250 |
% |
|
|
964,000 |
|
|
|
933,033 |
|
| 02/15/2052 |
|
|
3.625 |
% |
|
|
1,591,000 |
|
|
|
1,049,405 |
|
| Charles Schwab Corp.
(The)(k),(l) |
|
|
|
|
|
|
|
|
4.000 |
% |
|
|
678,000 |
|
|
|
511,520 |
|
| Charles Schwab Corp.
(The)(l) |
|
|
|
|
|
| 05/19/2029 |
|
|
5.643 |
% |
|
|
1,318,000 |
|
|
|
1,313,694 |
|
| 08/24/2034 |
|
|
6.136 |
% |
|
|
764,000 |
|
|
|
765,962 |
|
| CI Financial Corp. |
|
|
|
|
|
| 06/15/2051 |
|
|
4.100 |
% |
|
|
684,000 |
|
|
|
380,363 |
|
| CME Group, Inc. |
|
|
|
|
|
| 03/15/2032 |
|
|
2.650 |
% |
|
|
1,334,000 |
|
|
|
1,133,694 |
|
| Depository Trust & Clearing Corp. (The)(a),(k),(l) |
|
|
|
|
|
|
|
|
3.375 |
% |
|
|
673,000 |
|
|
|
515,857 |
|
| Hunt Companies, Inc.(a) |
|
|
|
|
|
| 04/15/2029 |
|
|
5.250 |
% |
|
|
2,150,000 |
|
|
|
1,847,956 |
|
| Intercontinental Exchange, Inc. |
|
|
|
|
|
| 06/15/2030 |
|
|
2.100 |
% |
|
|
2,664,000 |
|
|
|
2,208,404 |
|
| 09/15/2032 |
|
|
1.850 |
% |
|
|
3,230,000 |
|
|
|
2,467,076 |
|
| Jane Street Group/JSG Finance,
Inc.(a) |
|
|
|
|
|
| 11/15/2029 |
|
|
4.500 |
% |
|
|
1,000,000 |
|
|
|
897,719 |
|
| Jefferies Financial Group, Inc. |
|
|
|
|
|
| 07/21/2028 |
|
|
5.875 |
% |
|
|
3,660,000 |
|
|
|
3,646,060 |
|
| Jefferies Group LLC |
|
|
|
|
|
| 01/20/2043 |
|
|
6.500 |
% |
|
|
600,000 |
|
|
|
601,488 |
|
| Nomura Holdings, Inc. |
|
|
|
|
|
| 07/12/2028 |
|
|
6.070 |
% |
|
|
7,560,000 |
|
|
|
7,648,921 |
|
| 07/14/2031 |
|
|
2.608 |
% |
|
|
1,100,000 |
|
|
|
872,669 |
|
| Stifel Financial Corp. |
|
|
|
|
|
| 05/15/2030 |
|
|
4.000 |
% |
|
|
3,755,000 |
|
|
|
3,282,710 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
34,947,393 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Building Materials 0.1% |
|
|
|
|
|
| Cemex SAB de
CV(a),(k),(l) |
|
|
|
|
|
|
|
|
5.125 |
% |
|
|
1,525,000 |
|
|
|
1,430,223 |
|
| Ferguson Finance PLC(a) |
|
|
|
|
|
| 04/20/2032 |
|
|
4.650 |
% |
|
|
1,200,000 |
|
|
|
1,115,464 |
|
| Fortune Brands Home & Security, Inc. |
|
|
|
|
|
| 03/25/2052 |
|
|
4.500 |
% |
|
|
2,795,000 |
|
|
|
2,182,229 |
|
| Fortune Brands Innovations, Inc. |
|
|
|
|
|
| 06/01/2033 |
|
|
5.875 |
% |
|
|
764,000 |
|
|
|
762,045 |
|
| Martin Marietta Materials, Inc. |
|
|
|
|
|
| 03/15/2030 |
|
|
2.500 |
% |
|
|
3,380,000 |
|
|
|
2,846,742 |
|
| Mohawk Industries, Inc. |
|
|
|
|
|
| 09/18/2028 |
|
|
5.850 |
% |
|
|
684,000 |
|
|
|
692,891 |
|
| Standard Industries,
Inc.(a) |
|
|
|
|
|
| 07/15/2030 |
|
|
4.375 |
% |
|
|
3,295,000 |
|
|
|
2,891,418 |
|
| 01/15/2031 |
|
|
3.375 |
% |
|
|
1,335,000 |
|
|
|
1,096,548 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Summit Materials LLC /Finance
Corp.(a),(e) |
|
|
|
|
|
| 01/15/2031 |
|
|
7.250 |
% |
|
|
2,010,000 |
|
|
|
2,010,000 |
|
| Summit Materials LLC/Finance
Corp.(a) |
|
|
|
|
|
| 01/15/2029 |
|
|
5.250 |
% |
|
|
500,000 |
|
|
|
468,158 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
15,495,718 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Cable and Satellite 0.6% |
|
|
|
|
|
| Cable One, Inc.(a) |
|
|
|
|
|
| 11/15/2030 |
|
|
4.000 |
% |
|
|
695,000 |
|
|
|
542,366 |
|
| CCO Holdings LLC/Capital
Corp.(a) |
|
|
|
|
|
| 06/01/2029 |
|
|
5.375 |
% |
|
|
100,000 |
|
|
|
92,745 |
|
| 02/01/2031 |
|
|
4.250 |
% |
|
|
1,725,000 |
|
|
|
1,440,118 |
|
| CCO Holdings LLC/Holdings Capital
Corp.(a) |
|
|
|
|
|
| 01/15/2034 |
|
|
4.250 |
% |
|
|
1,125,000 |
|
|
|
877,980 |
|
| Charter Communications Operating LLC/Capital |
|
|
|
|
|
| 01/15/2029 |
|
|
2.250 |
% |
|
|
616,000 |
|
|
|
519,078 |
|
| 02/01/2034 |
|
|
6.650 |
% |
|
|
1,511,000 |
|
|
|
1,546,279 |
|
| 10/23/2035 |
|
|
6.384 |
% |
|
|
1,775,000 |
|
|
|
1,739,598 |
|
| 10/23/2045 |
|
|
6.484 |
% |
|
|
4,170,000 |
|
|
|
3,867,377 |
|
| 04/01/2048 |
|
|
5.750 |
% |
|
|
1,360,000 |
|
|
|
1,147,016 |
|
| 03/01/2050 |
|
|
4.800 |
% |
|
|
4,625,000 |
|
|
|
3,421,759 |
|
| 04/01/2051 |
|
|
3.700 |
% |
|
|
2,305,000 |
|
|
|
1,425,690 |
|
| 06/01/2052 |
|
|
3.900 |
% |
|
|
3,420,000 |
|
|
|
2,184,066 |
|
| 04/01/2053 |
|
|
5.250 |
% |
|
|
2,265,000 |
|
|
|
1,807,933 |
|
| 04/01/2061 |
|
|
3.850 |
% |
|
|
941,000 |
|
|
|
561,889 |
|
| Comcast Corp. |
|
|
|
|
|
| 10/15/2025 |
|
|
3.950 |
% |
|
|
3,095,000 |
|
|
|
3,031,365 |
|
| 11/15/2027 |
|
|
5.350 |
% |
|
|
628,000 |
|
|
|
640,315 |
|
| 02/01/2030 |
|
|
2.650 |
% |
|
|
723,000 |
|
|
|
632,437 |
|
| 01/15/2031 |
|
|
1.950 |
% |
|
|
1,347,000 |
|
|
|
1,096,801 |
|
| 03/01/2038 |
|
|
3.900 |
% |
|
|
822,000 |
|
|
|
698,668 |
|
| 02/01/2050 |
|
|
3.450 |
% |
|
|
1,900,000 |
|
|
|
1,359,683 |
|
| 05/15/2064 |
|
|
5.500 |
% |
|
|
3,173,000 |
|
|
|
3,091,245 |
|
| Cox Communications,
Inc.(a) |
|
|
|
|
|
| 09/15/2028 |
|
|
5.450 |
% |
|
|
4,420,000 |
|
|
|
4,421,104 |
|
| 06/15/2031 |
|
|
2.600 |
% |
|
|
1,975,000 |
|
|
|
1,598,704 |
|
| CSC Holdings LLC |
|
|
|
|
|
| 06/01/2024 |
|
|
5.250 |
% |
|
|
2,513,000 |
|
|
|
2,394,822 |
|
| CSC Holdings LLC(a) |
|
|
|
|
|
| 04/15/2027 |
|
|
5.500 |
% |
|
|
3,550,000 |
|
|
|
3,148,951 |
|
| 02/01/2028 |
|
|
5.375 |
% |
|
|
1,193,000 |
|
|
|
1,020,021 |
|
| 04/01/2028 |
|
|
7.500 |
% |
|
|
300,000 |
|
|
|
205,208 |
|
| 05/15/2028 |
|
|
11.250 |
% |
|
|
600,000 |
|
|
|
598,528 |
|
| 02/01/2029 |
|
|
6.500 |
% |
|
|
3,914,000 |
|
|
|
3,317,912 |
|
| 01/15/2030 |
|
|
5.750 |
% |
|
|
1,275,000 |
|
|
|
721,940 |
|
| 12/01/2030 |
|
|
4.625 |
% |
|
|
4,725,000 |
|
|
|
2,609,217 |
|
| DISH DBS Corp. |
|
|
|
|
|
| 11/15/2024 |
|
|
5.875 |
% |
|
|
2,000,000 |
|
|
|
1,756,202 |
|
| 07/01/2026 |
|
|
7.750 |
% |
|
|
2,039,000 |
|
|
|
1,215,335 |
|
| DISH Network Corp.(a) |
|
|
|
|
|
| 11/15/2027 |
|
|
11.750 |
% |
|
|
1,925,000 |
|
|
|
1,911,512 |
|
|
|
|
| 28 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Intelsat Jackson Holdings
SA(a) |
|
|
|
|
|
| 03/15/2030 |
|
|
6.500 |
% |
|
|
1,595,000 |
|
|
|
1,478,800 |
|
| Sirius XM Radio, Inc.(a) |
|
|
|
|
|
| 07/01/2029 |
|
|
5.500 |
% |
|
|
1,485,000 |
|
|
|
1,380,542 |
|
| Time Warner Cable LLC |
|
|
|
|
|
| 05/01/2037 |
|
|
6.550 |
% |
|
|
235,000 |
|
|
|
221,653 |
|
| 11/15/2040 |
|
|
5.875 |
% |
|
|
3,890,000 |
|
|
|
3,357,991 |
|
| 09/01/2041 |
|
|
5.500 |
% |
|
|
7,444,000 |
|
|
|
6,168,701 |
|
| Viasat, Inc.(a) |
|
|
|
|
|
| 09/15/2025 |
|
|
5.625 |
% |
|
|
1,425,000 |
|
|
|
1,369,017 |
|
| 04/15/2027 |
|
|
5.625 |
% |
|
|
1,415,000 |
|
|
|
1,311,123 |
|
| 05/30/2031 |
|
|
7.500 |
% |
|
|
1,100,000 |
|
|
|
790,077 |
|
| VZ Secured Financing
BV(a) |
|
|
|
|
|
| 01/15/2032 |
|
|
5.000 |
% |
|
|
3,250,000 |
|
|
|
2,660,666 |
|
| Ziggo BV(a) |
|
|
|
|
|
| 01/15/2030 |
|
|
4.875 |
% |
|
|
500,000 |
|
|
|
427,790 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
75,810,224 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Chemicals 0.3% |
|
|
|
|
|
| Axalta Coating Systems Dutch Holding B
BV(a) |
|
|
|
|
|
| 02/15/2031 |
|
|
7.250 |
% |
|
|
660,000 |
|
|
|
681,602 |
|
| Braskem Netherlands Finance
BV(a) |
|
|
|
|
|
| 01/31/2030 |
|
|
4.500 |
% |
|
|
400,000 |
|
|
|
328,927 |
|
| Cabot Corp. |
|
|
|
|
|
| 07/01/2029 |
|
|
4.000 |
% |
|
|
1,810,000 |
|
|
|
1,672,075 |
|
| CF Industries, Inc. |
|
|
|
|
|
| 03/15/2034 |
|
|
5.150 |
% |
|
|
3,125,000 |
|
|
|
2,959,854 |
|
| 06/01/2043 |
|
|
4.950 |
% |
|
|
1,700,000 |
|
|
|
1,441,168 |
|
| Ecolab, Inc. |
|
|
|
|
|
| 08/18/2055 |
|
|
2.750 |
% |
|
|
333,000 |
|
|
|
202,928 |
|
| EverArc Escrow Sarl(a) |
|
|
|
|
|
| 10/30/2029 |
|
|
5.000 |
% |
|
|
300,000 |
|
|
|
243,638 |
|
| FMC Corp. |
|
|
|
|
|
| 05/18/2026 |
|
|
5.150 |
% |
|
|
490,000 |
|
|
|
483,173 |
|
| 10/01/2029 |
|
|
3.450 |
% |
|
|
1,005,000 |
|
|
|
868,491 |
|
| 10/01/2049 |
|
|
4.500 |
% |
|
|
340,000 |
|
|
|
246,487 |
|
| 05/18/2053 |
|
|
6.375 |
% |
|
|
2,695,000 |
|
|
|
2,555,600 |
|
| GC Treasury Center Co.,
Ltd.(a) |
|
|
|
|
|
| 03/18/2031 |
|
|
2.980 |
% |
|
|
750,000 |
|
|
|
606,339 |
|
| 03/30/2032 |
|
|
4.400 |
% |
|
|
950,000 |
|
|
|
831,680 |
|
| Huntsman International LLC |
|
|
|
|
|
| 06/15/2031 |
|
|
2.950 |
% |
|
|
7,375,000 |
|
|
|
5,974,206 |
|
| Ingevity Corp.(a) |
|
|
|
|
|
| 11/01/2028 |
|
|
3.875 |
% |
|
|
1,510,000 |
|
|
|
1,288,179 |
|
| International Flavors & Fragrances, Inc.(a) |
|
|
|
|
|
| 10/15/2027 |
|
|
1.832 |
% |
|
|
455,000 |
|
|
|
390,843 |
|
| 11/01/2030 |
|
|
2.300 |
% |
|
|
5,075,000 |
|
|
|
4,032,368 |
|
| 11/15/2040 |
|
|
3.268 |
% |
|
|
365,000 |
|
|
|
245,898 |
|
| 12/01/2050 |
|
|
3.468 |
% |
|
|
470,000 |
|
|
|
296,729 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| International Flavors & Fragrances, Inc. |
|
|
|
|
|
| 06/01/2047 |
|
|
4.375 |
% |
|
|
1,115,000 |
|
|
|
802,933 |
|
| 09/26/2048 |
|
|
5.000 |
% |
|
|
3,400,000 |
|
|
|
2,719,368 |
|
| LYB International Finance III LLC |
|
|
|
|
|
| 05/01/2050 |
|
|
4.200 |
% |
|
|
1,505,000 |
|
|
|
1,107,157 |
|
| LyondellBasell Industries NV |
|
|
|
|
|
| 04/15/2024 |
|
|
5.750 |
% |
|
|
713,000 |
|
|
|
711,907 |
|
| Mosaic Co. (The) |
|
|
|
|
|
| 11/15/2043 |
|
|
5.625 |
% |
|
|
985,000 |
|
|
|
897,181 |
|
| Nutrien Ltd. |
|
|
|
|
|
| 11/07/2025 |
|
|
5.950 |
% |
|
|
496,000 |
|
|
|
500,048 |
|
| 12/01/2036 |
|
|
5.875 |
% |
|
|
141,000 |
|
|
|
140,062 |
|
| 03/27/2053 |
|
|
5.800 |
% |
|
|
182,000 |
|
|
|
179,097 |
|
| Olin Corp. |
|
|
|
|
|
| 02/01/2030 |
|
|
5.000 |
% |
|
|
1,560,000 |
|
|
|
1,432,350 |
|
| Rain Carbon, Inc.(a) |
|
|
|
|
|
| 09/01/2029 |
|
|
12.250 |
% |
|
|
650,000 |
|
|
|
662,957 |
|
| Rain CII Carbon
LLC/Corp.(a) |
|
|
|
|
|
| 04/01/2025 |
|
|
7.250 |
% |
|
|
39,000 |
|
|
|
37,489 |
|
| Sasol Financing USA LLC |
|
|
|
|
|
| 03/27/2024 |
|
|
5.875 |
% |
|
|
600,000 |
|
|
|
594,924 |
|
|
|
|
|
|
|
| Total |
|
|
|
35,135,658 |
|
|
|
|
|
|
|
| Construction Machinery 0.2% |
|
|
|
|
|
| CNH Industrial Capital LLC |
|
|
|
|
|
| 05/23/2025 |
|
|
3.950 |
% |
|
|
2,940,000 |
|
|
|
2,868,271 |
|
| 01/12/2029 |
|
|
5.500 |
% |
|
|
5,354,000 |
|
|
|
5,346,679 |
|
| H&E Equipment Services,
Inc.(a) |
|
|
|
|
|
| 12/15/2028 |
|
|
3.875 |
% |
|
|
5,359,000 |
|
|
|
4,748,808 |
|
| John Deere Capital Corp. |
|
|
|
|
|
| 01/20/2028 |
|
|
4.750 |
% |
|
|
1,208,000 |
|
|
|
1,202,905 |
|
| 07/14/2028 |
|
|
4.950 |
% |
|
|
2,470,000 |
|
|
|
2,475,630 |
|
| 06/10/2030 |
|
|
4.700 |
% |
|
|
2,762,000 |
|
|
|
2,729,004 |
|
| Maxim Crane Works Holdings Capital
LLC(a) |
|
|
|
|
|
| 09/01/2028 |
|
|
11.500 |
% |
|
|
975,000 |
|
|
|
973,372 |
|
| OT Merger Corp.(a) |
|
|
|
|
|
| 10/15/2029 |
|
|
7.875 |
% |
|
|
350,000 |
|
|
|
198,468 |
|
| Ritchie Bros Holdings,
Inc.(a) |
|
|
|
|
|
| 03/15/2028 |
|
|
6.750 |
% |
|
|
200,000 |
|
|
|
203,556 |
|
| United Rentals North America, Inc. |
|
|
|
|
|
| 01/15/2030 |
|
|
5.250 |
% |
|
|
3,000,000 |
|
|
|
2,865,946 |
|
| 02/15/2031 |
|
|
3.875 |
% |
|
|
1,664,000 |
|
|
|
1,448,215 |
|
|
|
|
|
|
|
| Total |
|
|
|
25,060,854 |
|
|
|
|
|
|
|
| Consumer Cyclical Services 0.1% |
|
|
|
|
|
| ADT Security Corp.
(The)(a) |
|
|
|
|
|
| 08/01/2029 |
|
|
4.125 |
% |
|
|
1,645,000 |
|
|
|
1,461,937 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
29 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Allied Universal Holdco LLC/Finance
Corp.(a) |
|
|
|
|
|
| 07/15/2026 |
|
|
6.625 |
% |
|
|
2,300,000 |
|
|
|
2,236,074 |
|
| 06/01/2029 |
|
|
6.000 |
% |
|
|
1,300,000 |
|
|
|
982,661 |
|
| Allied Universal Holdco LLC/Finance Corp./Atlas Luxco 4 Sarl(a) |
|
|
|
|
|
| 06/01/2028 |
|
|
4.625 |
% |
|
|
1,910,000 |
|
|
|
1,657,376 |
|
| 06/01/2028 |
|
|
4.625 |
% |
|
|
990,000 |
|
|
|
859,624 |
|
| ANGI Group LLC(a) |
|
|
|
|
|
| 08/15/2028 |
|
|
3.875 |
% |
|
|
1,820,000 |
|
|
|
1,494,602 |
|
| Expedia Group, Inc.(a) |
|
|
|
|
|
| 05/01/2025 |
|
|
6.250 |
% |
|
|
1,094,000 |
|
|
|
1,099,169 |
|
| Jones Lang LaSalle, Inc. |
|
|
|
|
|
| 12/01/2028 |
|
|
6.875 |
% |
|
|
979,000 |
|
|
|
1,003,552 |
|
| Match Group Holdings II
LLC(a) |
|
|
|
|
|
| 10/01/2031 |
|
|
3.625 |
% |
|
|
1,785,000 |
|
|
|
1,476,674 |
|
| WASH Multifamily Acquisition,
Inc.(a) |
|
|
|
|
|
| 04/15/2026 |
|
|
5.750 |
% |
|
|
600,000 |
|
|
|
564,796 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
12,836,465 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Products 0.1% |
|
|
|
|
|
| Central Garden & Pet Co. |
|
|
|
|
|
| 10/15/2030 |
|
|
4.125 |
% |
|
|
985,000 |
|
|
|
844,963 |
|
| Energizer Holdings,
Inc.(a) |
|
|
|
|
|
| 03/31/2029 |
|
|
4.375 |
% |
|
|
1,335,000 |
|
|
|
1,150,500 |
|
| Estee Lauder Companies, Inc. (The) |
|
|
|
|
|
| 05/15/2033 |
|
|
4.650 |
% |
|
|
676,000 |
|
|
|
646,678 |
|
| Kenvue, Inc. |
|
|
|
|
|
| 03/22/2028 |
|
|
5.050 |
% |
|
|
705,000 |
|
|
|
709,699 |
|
| 03/22/2033 |
|
|
4.900 |
% |
|
|
1,706,000 |
|
|
|
1,691,914 |
|
| 03/22/2043 |
|
|
5.100 |
% |
|
|
566,000 |
|
|
|
551,704 |
|
| 03/22/2063 |
|
|
5.200 |
% |
|
|
1,243,000 |
|
|
|
1,188,011 |
|
| Mead Johnson Nutrition Co. |
|
|
|
|
|
| 11/15/2025 |
|
|
4.125 |
% |
|
|
616,000 |
|
|
|
604,755 |
|
| Polaris, Inc. |
|
|
|
|
|
| 03/15/2029 |
|
|
6.950 |
% |
|
|
1,320,000 |
|
|
|
1,356,844 |
|
| Scotts Miracle-Gro Co. (The) |
|
|
|
|
|
| 12/15/2026 |
|
|
5.250 |
% |
|
|
235,000 |
|
|
|
225,356 |
|
| Spectrum Brands, Inc.(a) |
|
|
|
|
|
| 07/15/2030 |
|
|
5.500 |
% |
|
|
643,000 |
|
|
|
599,997 |
|
| SWF Escrow Issuer
Corp.(a) |
|
|
|
|
|
| 10/01/2029 |
|
|
6.500 |
% |
|
|
950,000 |
|
|
|
596,399 |
|
| Tempur Sealy International,
Inc.(a) |
|
|
|
|
|
| 04/15/2029 |
|
|
4.000 |
% |
|
|
1,500,000 |
|
|
|
1,300,979 |
|
| 10/15/2031 |
|
|
3.875 |
% |
|
|
365,000 |
|
|
|
293,451 |
|
| Unilever Capital Corp. |
|
|
|
|
|
| 12/08/2033 |
|
|
5.000 |
% |
|
|
4,385,000 |
|
|
|
4,384,040 |
|
| Whirlpool Corp. |
|
|
|
|
|
| 03/01/2033 |
|
|
5.500 |
% |
|
|
870,000 |
|
|
|
840,121 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
16,985,411 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Diversified Manufacturing 0.2% |
|
|
|
|
|
| Amsted Industries,
Inc.(a) |
|
|
|
|
|
| 05/15/2030 |
|
|
4.625 |
% |
|
|
1,685,000 |
|
|
|
1,454,198 |
|
| Carrier Global Corp. |
|
|
|
|
|
| 02/15/2030 |
|
|
2.722 |
% |
|
|
291,000 |
|
|
|
250,458 |
|
| Carrier Global Corp.(a) |
|
|
|
|
|
| 03/15/2034 |
|
|
5.900 |
% |
|
|
465,000 |
|
|
|
478,530 |
|
| Chart Industries, Inc.(a) |
|
|
|
|
|
| 01/01/2030 |
|
|
7.500 |
% |
|
|
475,000 |
|
|
|
484,573 |
|
| Emerald Debt Merger Sub
LLC(a) |
|
|
|
|
|
| 12/15/2030 |
|
|
6.625 |
% |
|
|
1,440,000 |
|
|
|
1,436,519 |
|
| General Electric Co.(b) |
|
|
|
|
|
| 3-month Term SOFR + 0.742% |
|
|
|
|
|
| 08/15/2036 |
|
|
6.121 |
% |
|
|
5,380,000 |
|
|
|
4,842,368 |
|
| Griffon Corp. |
|
|
|
|
|
| 03/01/2028 |
|
|
5.750 |
% |
|
|
525,000 |
|
|
|
496,160 |
|
| Ingersoll Rand, Inc. |
|
|
|
|
|
| 08/14/2033 |
|
|
5.700 |
% |
|
|
3,495,000 |
|
|
|
3,537,442 |
|
| Lennox International, Inc. |
|
|
|
|
|
| 09/15/2028 |
|
|
5.500 |
% |
|
|
1,232,000 |
|
|
|
1,236,347 |
|
| Nordson Corp. |
|
|
|
|
|
| 09/15/2028 |
|
|
5.600 |
% |
|
|
585,000 |
|
|
|
597,830 |
|
| 09/15/2033 |
|
|
5.800 |
% |
|
|
585,000 |
|
|
|
595,508 |
|
| Otis Worldwide Corp. |
|
|
|
|
|
| 08/16/2028 |
|
|
5.250 |
% |
|
|
1,180,000 |
|
|
|
1,185,861 |
|
| Trane Technologies Financing Ltd. |
|
|
|
|
|
| 03/03/2033 |
|
|
5.250 |
% |
|
|
585,000 |
|
|
|
581,106 |
|
| Valmont Industries, Inc. |
|
|
|
|
|
| 10/01/2054 |
|
|
5.250 |
% |
|
|
2,050,000 |
|
|
|
1,709,010 |
|
| Veralto Corp.(a) |
|
|
|
|
|
| 09/18/2033 |
|
|
5.450 |
% |
|
|
420,000 |
|
|
|
417,679 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
19,303,589 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Electric 2.2% |
|
|
|
|
|
| AEP Texas Central Co.(a) |
|
|
|
|
|
| 10/01/2025 |
|
|
3.850 |
% |
|
|
1,828,000 |
|
|
|
1,762,123 |
|
| AEP Texas Central Co. |
|
|
|
|
|
| 02/15/2033 |
|
|
6.650 |
% |
|
|
1,385,000 |
|
|
|
1,450,397 |
|
| AEP Transmission Co. LLC |
|
|
|
|
|
| 08/15/2051 |
|
|
2.750 |
% |
|
|
1,095,000 |
|
|
|
654,925 |
|
| AES Corp. (The)(a) |
|
|
|
|
|
| 07/15/2025 |
|
|
3.300 |
% |
|
|
2,730,000 |
|
|
|
2,610,053 |
|
| AES Corp. (The) |
|
|
|
|
|
| 01/15/2026 |
|
|
1.375 |
% |
|
|
662,000 |
|
|
|
603,893 |
|
| 06/01/2028 |
|
|
5.450 |
% |
|
|
1,052,000 |
|
|
|
1,042,751 |
|
| 01/15/2031 |
|
|
2.450 |
% |
|
|
1,522,000 |
|
|
|
1,229,409 |
|
|
|
|
| 30 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Alabama Power Co. |
|
| 12/01/2023 |
|
|
3.550 |
% |
|
|
964,000 |
|
|
|
963,932 |
|
| 11/15/2033 |
|
|
5.850 |
% |
|
|
692,000 |
|
|
|
715,434 |
|
| Alliant Energy Finance
LLC(a) |
|
| 03/30/2029 |
|
|
5.950 |
% |
|
|
1,620,000 |
|
|
|
1,646,019 |
|
| Ameren Corp. |
|
| 02/15/2026 |
|
|
3.650 |
% |
|
|
590,000 |
|
|
|
567,904 |
|
| American Electric Power Co.,
Inc.(l) |
|
| 02/15/2062 |
|
|
3.875 |
% |
|
|
2,855,000 |
|
|
|
2,348,051 |
|
| Junior Subordinated |
|
| 08/14/2025 |
|
|
5.699 |
% |
|
|
5,700,000 |
|
|
|
5,705,377 |
|
| American Transmission Systems,
Inc.(a) |
|
| 01/15/2032 |
|
|
2.650 |
% |
|
|
2,893,000 |
|
|
|
2,347,103 |
|
| 09/01/2044 |
|
|
5.000 |
% |
|
|
749,000 |
|
|
|
660,420 |
|
| Appalachian Power Co. |
|
| 03/01/2049 |
|
|
4.500 |
% |
|
|
432,000 |
|
|
|
339,299 |
|
| Arizona Public Service Co. |
|
| 12/15/2032 |
|
|
6.350 |
% |
|
|
5,330,000 |
|
|
|
5,578,690 |
|
| 08/15/2048 |
|
|
4.200 |
% |
|
|
570,000 |
|
|
|
429,973 |
|
| Avangrid, Inc. |
|
| 04/15/2025 |
|
|
3.200 |
% |
|
|
1,614,000 |
|
|
|
1,558,178 |
|
| 06/01/2029 |
|
|
3.800 |
% |
|
|
655,000 |
|
|
|
597,739 |
|
| Black Hills Corp. |
|
| 10/15/2029 |
|
|
3.050 |
% |
|
|
488,000 |
|
|
|
421,262 |
|
| Calpine Corp.(a) |
|
| 02/15/2028 |
|
|
4.500 |
% |
|
|
2,250,000 |
|
|
|
2,126,851 |
|
| 03/15/2028 |
|
|
5.125 |
% |
|
|
575,000 |
|
|
|
541,236 |
|
| 02/01/2029 |
|
|
4.625 |
% |
|
|
2,000,000 |
|
|
|
1,813,303 |
|
| 02/01/2031 |
|
|
5.000 |
% |
|
|
4,045,000 |
|
|
|
3,579,753 |
|
| Cleveland Electric Illuminating Co.
(The)(a) |
|
| 04/01/2028 |
|
|
3.500 |
% |
|
|
3,293,000 |
|
|
|
3,030,813 |
|
| Cleveland Electric Illuminating Co. (The) |
|
| 12/15/2036 |
|
|
5.950 |
% |
|
|
1,279,000 |
|
|
|
1,256,362 |
|
| CMS Energy Corp. |
|
| 02/15/2027 |
|
|
2.950 |
% |
|
|
80,000 |
|
|
|
73,825 |
|
| CMS Energy Corp.(l) |
|
| 06/01/2050 |
|
|
4.750 |
% |
|
|
2,514,000 |
|
|
|
2,180,857 |
|
| 12/01/2050 |
|
|
3.750 |
% |
|
|
386,000 |
|
|
|
289,666 |
|
| Commonwealth Edison Co. |
|
| 08/15/2047 |
|
|
3.750 |
% |
|
|
409,000 |
|
|
|
306,615 |
|
| Consolidated Edison Co. of New York, Inc. |
|
| 03/15/2034 |
|
|
5.500 |
% |
|
|
614,000 |
|
|
|
619,182 |
|
| 03/01/2035 |
|
|
5.300 |
% |
|
|
171,000 |
|
|
|
165,847 |
|
| 06/15/2046 |
|
|
3.850 |
% |
|
|
1,310,000 |
|
|
|
984,787 |
|
| 06/15/2047 |
|
|
3.875 |
% |
|
|
1,640,000 |
|
|
|
1,235,696 |
|
| 11/15/2053 |
|
|
5.900 |
% |
|
|
844,000 |
|
|
|
858,312 |
|
| 12/01/2056 |
|
|
4.300 |
% |
|
|
308,000 |
|
|
|
237,808 |
|
| Consumers Energy Co. |
|
| 02/15/2029 |
|
|
4.900 |
% |
|
|
1,566,000 |
|
|
|
1,558,131 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Dominion Energy,
Inc.(k),(l) |
|
|
|
|
4.350 |
% |
|
|
198,000 |
|
|
|
171,518 |
|
|
|
|
4.650 |
% |
|
|
5,000,000 |
|
|
|
4,654,395 |
|
| Dominion Energy, Inc. |
|
| 08/15/2026 |
|
|
2.850 |
% |
|
|
750,000 |
|
|
|
698,361 |
|
| 11/15/2032 |
|
|
5.375 |
% |
|
|
1,551,000 |
|
|
|
1,532,252 |
|
| DTE Energy Co. |
|
| 10/01/2026 |
|
|
2.850 |
% |
|
|
10,155,000 |
|
|
|
9,479,984 |
|
| Duke Energy Carolinas LLC |
|
| 04/15/2031 |
|
|
2.550 |
% |
|
|
370,000 |
|
|
|
309,009 |
|
| 12/15/2041 |
|
|
4.250 |
% |
|
|
14,000 |
|
|
|
11,636 |
|
| 09/30/2042 |
|
|
4.000 |
% |
|
|
617,000 |
|
|
|
493,841 |
|
| 06/01/2045 |
|
|
3.750 |
% |
|
|
157,000 |
|
|
|
117,058 |
|
| 03/15/2046 |
|
|
3.875 |
% |
|
|
46,000 |
|
|
|
34,790 |
|
| 01/15/2053 |
|
|
5.350 |
% |
|
|
3,972,000 |
|
|
|
3,762,533 |
|
| Duke Energy Corp.(k),(l) |
|
|
|
|
4.875 |
% |
|
|
213,000 |
|
|
|
208,117 |
|
| Duke Energy Corp. |
|
| 04/15/2024 |
|
|
3.750 |
% |
|
|
3,373,000 |
|
|
|
3,349,495 |
|
| 09/01/2026 |
|
|
2.650 |
% |
|
|
4,710,000 |
|
|
|
4,385,221 |
|
| 09/01/2046 |
|
|
3.750 |
% |
|
|
1,416,000 |
|
|
|
1,026,319 |
|
| Duke Energy Florida LLC |
|
| 12/15/2031 |
|
|
2.400 |
% |
|
|
1,234,000 |
|
|
|
1,000,568 |
|
| 11/15/2033 |
|
|
5.875 |
% |
|
|
1,295,000 |
|
|
|
1,340,878 |
|
| 11/15/2052 |
|
|
5.950 |
% |
|
|
739,000 |
|
|
|
759,366 |
|
| Duke Energy Indiana LLC |
|
| 10/01/2049 |
|
|
3.250 |
% |
|
|
436,000 |
|
|
|
290,244 |
|
| Duke Energy Ohio, Inc. |
|
| 06/01/2030 |
|
|
2.125 |
% |
|
|
430,000 |
|
|
|
354,841 |
|
| 06/15/2046 |
|
|
3.700 |
% |
|
|
3,050,000 |
|
|
|
2,219,399 |
|
| Duke Energy Progress LLC |
|
| 03/15/2033 |
|
|
5.250 |
% |
|
|
1,570,000 |
|
|
|
1,561,963 |
|
| 05/15/2042 |
|
|
4.100 |
% |
|
|
1,437,000 |
|
|
|
1,165,969 |
|
| 03/15/2043 |
|
|
4.100 |
% |
|
|
475,000 |
|
|
|
378,344 |
|
| 03/30/2044 |
|
|
4.375 |
% |
|
|
770,000 |
|
|
|
635,467 |
|
| 08/15/2045 |
|
|
4.200 |
% |
|
|
329,000 |
|
|
|
262,050 |
|
| 10/15/2046 |
|
|
3.700 |
% |
|
|
312,000 |
|
|
|
225,990 |
|
| 09/15/2047 |
|
|
3.600 |
% |
|
|
940,000 |
|
|
|
674,892 |
|
| Duquesne Light Holdings,
Inc.(a) |
|
| 10/01/2030 |
|
|
2.532 |
% |
|
|
463,000 |
|
|
|
373,406 |
|
| Edison International |
|
| 08/15/2025 |
|
|
4.700 |
% |
|
|
5,675,000 |
|
|
|
5,550,719 |
|
| Enel Finance International
NV(a) |
|
| 04/06/2028 |
|
|
3.500 |
% |
|
|
2,370,000 |
|
|
|
2,175,887 |
|
| Entergy Arkansas LLC |
|
| 01/15/2033 |
|
|
5.150 |
% |
|
|
480,000 |
|
|
|
469,351 |
|
| 04/01/2049 |
|
|
4.200 |
% |
|
|
941,000 |
|
|
|
741,685 |
|
| 06/15/2051 |
|
|
2.650 |
% |
|
|
212,000 |
|
|
|
121,954 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
31 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Entergy Corp. |
|
| 09/15/2025 |
|
|
0.900 |
% |
|
|
3,770,000 |
|
|
|
3,466,908 |
|
| 06/15/2030 |
|
|
2.800 |
% |
|
|
348,000 |
|
|
|
296,128 |
|
| 06/15/2031 |
|
|
2.400 |
% |
|
|
801,000 |
|
|
|
642,288 |
|
| Entergy Louisiana LLC |
|
| 10/01/2026 |
|
|
2.400 |
% |
|
|
2,409,000 |
|
|
|
2,224,000 |
|
| Entergy Mississippi LLC |
|
| 09/01/2033 |
|
|
5.000 |
% |
|
|
1,039,000 |
|
|
|
1,002,873 |
|
| Entergy Texas, Inc. |
|
| 03/30/2029 |
|
|
4.000 |
% |
|
|
348,000 |
|
|
|
326,483 |
|
| Evergy Kansas Central, Inc. |
|
| 11/15/2033 |
|
|
5.900 |
% |
|
|
2,185,000 |
|
|
|
2,236,015 |
|
| 03/15/2053 |
|
|
5.700 |
% |
|
|
1,315,000 |
|
|
|
1,276,463 |
|
| Evergy Metro, Inc. |
|
| 06/01/2030 |
|
|
2.250 |
% |
|
|
572,000 |
|
|
|
472,298 |
|
| Eversource Energy |
|
| 08/15/2025 |
|
|
0.800 |
% |
|
|
662,000 |
|
|
|
610,077 |
|
| 08/15/2026 |
|
|
1.400 |
% |
|
|
752,000 |
|
|
|
676,290 |
|
| 03/01/2027 |
|
|
2.900 |
% |
|
|
1,335,000 |
|
|
|
1,235,618 |
|
| 07/01/2027 |
|
|
4.600 |
% |
|
|
2,675,000 |
|
|
|
2,608,649 |
|
| 03/01/2028 |
|
|
5.450 |
% |
|
|
1,024,000 |
|
|
|
1,026,309 |
|
| 02/01/2029 |
|
|
5.950 |
% |
|
|
8,574,000 |
|
|
|
8,741,989 |
|
| 05/15/2033 |
|
|
5.125 |
% |
|
|
703,000 |
|
|
|
678,840 |
|
| Exelon Corp. |
|
| 03/15/2028 |
|
|
5.150 |
% |
|
|
1,648,000 |
|
|
|
1,647,041 |
|
| 04/15/2046 |
|
|
4.450 |
% |
|
|
1,050,000 |
|
|
|
854,448 |
|
| FirstEnergy Transmission
LLC(a) |
|
| 09/15/2028 |
|
|
2.866 |
% |
|
|
3,224,000 |
|
|
|
2,852,138 |
|
| Florida Power & Light Co. |
|
| 05/15/2030 |
|
|
4.625 |
% |
|
|
677,000 |
|
|
|
662,915 |
|
| 05/15/2033 |
|
|
4.800 |
% |
|
|
474,000 |
|
|
|
460,194 |
|
| 12/04/2051 |
|
|
2.875 |
% |
|
|
359,000 |
|
|
|
229,047 |
|
| Georgia Power Co. |
|
| 09/15/2024 |
|
|
2.200 |
% |
|
|
848,000 |
|
|
|
823,357 |
|
| 05/16/2028 |
|
|
4.650 |
% |
|
|
575,000 |
|
|
|
564,870 |
|
| Gulf Power Co. |
|
| 10/01/2044 |
|
|
4.550 |
% |
|
|
1,350,000 |
|
|
|
1,123,679 |
|
| Idaho Power Co. |
|
| 04/01/2054 |
|
|
5.800 |
% |
|
|
1,243,000 |
|
|
|
1,237,959 |
|
| Interstate Power and Light Co. |
|
| 10/15/2033 |
|
|
5.700 |
% |
|
|
2,765,000 |
|
|
|
2,784,320 |
|
| 11/30/2051 |
|
|
3.100 |
% |
|
|
3,194,000 |
|
|
|
1,972,371 |
|
| Interstate Power and Light, Co. |
|
| 12/01/2024 |
|
|
3.250 |
% |
|
|
552,000 |
|
|
|
538,143 |
|
| IPALCO Enterprises, Inc. |
|
| 05/01/2030 |
|
|
4.250 |
% |
|
|
1,590,000 |
|
|
|
1,422,321 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Jersey Central Power & Light
Co.(a) |
|
| 04/01/2024 |
|
|
4.700 |
% |
|
|
1,600,000 |
|
|
|
1,591,823 |
|
| 01/15/2026 |
|
|
4.300 |
% |
|
|
2,000,000 |
|
|
|
1,938,287 |
|
| 03/01/2032 |
|
|
2.750 |
% |
|
|
336,000 |
|
|
|
272,580 |
|
| Jersey Central Power & Light Co. |
|
| 06/01/2037 |
|
|
6.150 |
% |
|
|
1,985,000 |
|
|
|
2,011,239 |
|
| Kansas City Power & Light Co. |
|
| 08/15/2025 |
|
|
3.650 |
% |
|
|
665,000 |
|
|
|
644,651 |
|
| Kentucky Utilities Co. |
|
| 04/15/2033 |
|
|
5.450 |
% |
|
|
494,000 |
|
|
|
494,797 |
|
| Louisville Gas and Electric Co. |
|
| 04/15/2033 |
|
|
5.450 |
% |
|
|
494,000 |
|
|
|
494,740 |
|
| Metropolitan Edison
Co.(a) |
|
| 01/15/2029 |
|
|
4.300 |
% |
|
|
1,928,000 |
|
|
|
1,827,191 |
|
| Mississippi Power Co. |
|
| 03/15/2042 |
|
|
4.250 |
% |
|
|
414,000 |
|
|
|
331,708 |
|
| Mong Duong Finance Holdings
BV(a) |
|
| 05/07/2029 |
|
|
5.125 |
% |
|
|
276,687 |
|
|
|
254,659 |
|
| Monongahela Power Co.(a) |
|
| 05/15/2027 |
|
|
3.550 |
% |
|
|
617,000 |
|
|
|
579,499 |
|
| 02/15/2034 |
|
|
5.850 |
% |
|
|
1,187,000 |
|
|
|
1,193,961 |
|
| Narragansett Electric Co.
(The)(a) |
|
| 04/09/2030 |
|
|
3.395 |
% |
|
|
2,179,000 |
|
|
|
1,932,308 |
|
| National Rural Utilities Cooperative Finance Corp. |
|
| 02/07/2024 |
|
|
2.950 |
% |
|
|
3,765,000 |
|
|
|
3,744,508 |
|
| 11/13/2026 |
|
|
5.600 |
% |
|
|
4,500,000 |
|
|
|
4,561,200 |
|
| 03/15/2030 |
|
|
2.400 |
% |
|
|
1,347,000 |
|
|
|
1,133,337 |
|
| 04/15/2032 |
|
|
2.750 |
% |
|
|
1,233,000 |
|
|
|
1,011,018 |
|
| 12/15/2032 |
|
|
4.150 |
% |
|
|
309,000 |
|
|
|
281,453 |
|
| 01/15/2033 |
|
|
5.800 |
% |
|
|
864,000 |
|
|
|
881,511 |
|
| National Rural Utilities Cooperative Finance Corp.(b) |
|
| 3-month Term SOFR + 3.172% |
|
| 04/30/2043 |
|
|
8.562 |
% |
|
|
1,147,000 |
|
|
|
1,133,227 |
|
| National Rural Utilities Cooperative Finance Corp.(l) |
|
| 09/15/2053 |
|
|
7.125 |
% |
|
|
768,000 |
|
|
|
778,315 |
|
| Subordinated |
|
| 04/20/2046 |
|
|
5.250 |
% |
|
|
1,687,000 |
|
|
|
1,607,058 |
|
| Nevada Power Co. |
|
| 03/15/2054 |
|
|
6.000 |
% |
|
|
446,000 |
|
|
|
452,895 |
|
| New England Power Co.(a) |
|
| 10/06/2050 |
|
|
2.807 |
% |
|
|
3,670,000 |
|
|
|
2,146,857 |
|
| NextEra Energy Capital Holdings, Inc. |
|
| 09/01/2024 |
|
|
4.255 |
% |
|
|
1,137,000 |
|
|
|
1,122,605 |
|
| 03/01/2025 |
|
|
6.051 |
% |
|
|
1,522,000 |
|
|
|
1,527,825 |
|
| 01/15/2027 |
|
|
1.875 |
% |
|
|
1,155,000 |
|
|
|
1,041,448 |
|
| NextEra Energy Capital Holdings,
Inc.(l) |
|
| 03/15/2082 |
|
|
3.800 |
% |
|
|
1,497,000 |
|
|
|
1,245,747 |
|
|
|
|
| 32 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| NRG Energy,
Inc.(a),(k),(l) |
|
|
|
|
10.250 |
% |
|
|
600,000 |
|
|
|
592,983 |
|
| NRG Energy, Inc.(a) |
|
| 12/02/2025 |
|
|
2.000 |
% |
|
|
560,000 |
|
|
|
515,325 |
|
| 12/02/2027 |
|
|
2.450 |
% |
|
|
2,420,000 |
|
|
|
2,120,566 |
|
| 02/15/2029 |
|
|
3.375 |
% |
|
|
542,000 |
|
|
|
464,155 |
|
| 06/15/2029 |
|
|
5.250 |
% |
|
|
1,875,000 |
|
|
|
1,750,259 |
|
| 02/15/2032 |
|
|
3.875 |
% |
|
|
1,125,000 |
|
|
|
919,961 |
|
| NRG Energy, Inc. |
|
| 01/15/2027 |
|
|
6.625 |
% |
|
|
954,000 |
|
|
|
947,672 |
|
| NSTAR Electric Co. |
|
| 08/15/2031 |
|
|
1.950 |
% |
|
|
524,000 |
|
|
|
413,942 |
|
| Oncor Electric Delivery Co. LLC |
|
| 09/15/2032 |
|
|
4.550 |
% |
|
|
1,238,000 |
|
|
|
1,169,998 |
|
| Pacific Gas and Electric Co. |
|
| 07/01/2030 |
|
|
4.550 |
% |
|
|
5,735,000 |
|
|
|
5,271,829 |
|
| 04/15/2042 |
|
|
4.450 |
% |
|
|
562,000 |
|
|
|
423,497 |
|
| 03/15/2045 |
|
|
4.300 |
% |
|
|
948,000 |
|
|
|
682,592 |
|
| 07/01/2050 |
|
|
4.950 |
% |
|
|
545,000 |
|
|
|
434,241 |
|
| PacifiCorp |
|
| 03/15/2051 |
|
|
3.300 |
% |
|
|
680,000 |
|
|
|
416,400 |
|
| PECO Energy Co. |
|
| 05/15/2052 |
|
|
4.600 |
% |
|
|
2,500,000 |
|
|
|
2,149,265 |
|
| Pennsylvania Electric
Co.(a) |
|
| 03/30/2026 |
|
|
5.150 |
% |
|
|
883,000 |
|
|
|
873,466 |
|
| 03/15/2028 |
|
|
3.250 |
% |
|
|
1,990,000 |
|
|
|
1,814,743 |
|
| Public Service Co. of Colorado |
|
| 04/01/2053 |
|
|
5.250 |
% |
|
|
2,815,000 |
|
|
|
2,599,901 |
|
| Public Service Electric and Gas Co. |
|
| 08/01/2053 |
|
|
5.450 |
% |
|
|
812,000 |
|
|
|
806,854 |
|
| Public Service Enterprise Group, Inc. |
|
| 08/15/2025 |
|
|
0.800 |
% |
|
|
642,000 |
|
|
|
593,912 |
|
| 11/15/2027 |
|
|
5.850 |
% |
|
|
895,000 |
|
|
|
914,191 |
|
| 08/15/2030 |
|
|
1.600 |
% |
|
|
466,000 |
|
|
|
366,965 |
|
| 11/15/2031 |
|
|
2.450 |
% |
|
|
2,062,000 |
|
|
|
1,664,838 |
|
| San Diego Gas & Electric Co. |
|
| 08/15/2028 |
|
|
4.950 |
% |
|
|
1,148,000 |
|
|
|
1,144,530 |
|
| South Carolina Electric & Gas Co. |
|
| 05/15/2033 |
|
|
5.300 |
% |
|
|
676,000 |
|
|
|
669,633 |
|
| Southern California Edison Co. |
|
| 03/01/2028 |
|
|
5.300 |
% |
|
|
3,740,000 |
|
|
|
3,773,239 |
|
| 10/01/2028 |
|
|
5.650 |
% |
|
|
2,520,000 |
|
|
|
2,566,839 |
|
| Southern Co. (The) |
|
| 07/01/2036 |
|
|
4.250 |
% |
|
|
595,000 |
|
|
|
523,395 |
|
| Southern Co. (The)(l) |
|
| 01/15/2051 |
|
|
4.000 |
% |
|
|
1,166,000 |
|
|
|
1,092,639 |
|
| 09/15/2051 |
|
|
3.750 |
% |
|
|
1,122,000 |
|
|
|
980,866 |
|
| Junior Subordinated |
|
| 08/01/2027 |
|
|
5.113 |
% |
|
|
932,000 |
|
|
|
923,948 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Southwestern Electric Power Co. |
|
| 03/15/2026 |
|
|
1.650 |
% |
|
|
1,096,000 |
|
|
|
1,008,697 |
|
| 10/01/2026 |
|
|
2.750 |
% |
|
|
6,450,000 |
|
|
|
6,001,585 |
|
| 04/01/2033 |
|
|
5.300 |
% |
|
|
700,000 |
|
|
|
673,009 |
|
| Tampa Electric Co. |
|
| 05/15/2044 |
|
|
4.350 |
% |
|
|
434,000 |
|
|
|
341,640 |
|
| Toledo Edison Co. (The) |
|
| 05/15/2037 |
|
|
6.150 |
% |
|
|
951,000 |
|
|
|
972,638 |
|
| Tucson Electric Power Co. |
|
| 12/01/2048 |
|
|
4.850 |
% |
|
|
259,000 |
|
|
|
218,995 |
|
| 06/15/2050 |
|
|
4.000 |
% |
|
|
2,690,000 |
|
|
|
1,982,442 |
|
| Virginia Electric & Power Co. |
|
| 03/15/2027 |
|
|
3.500 |
% |
|
|
1,446,000 |
|
|
|
1,374,204 |
|
| Virginia Electric and Power Co. |
|
| 04/01/2053 |
|
|
5.450 |
% |
|
|
955,000 |
|
|
|
906,572 |
|
| 08/15/2053 |
|
|
5.700 |
% |
|
|
683,000 |
|
|
|
672,140 |
|
| Vistra Corp.(a),(k),(l) |
|
|
|
|
7.000 |
% |
|
|
425,000 |
|
|
|
404,147 |
|
|
|
|
8.000 |
% |
|
|
4,650,000 |
|
|
|
4,543,403 |
|
| Vistra Operations Co.
LLC(a) |
|
| 07/15/2024 |
|
|
3.550 |
% |
|
|
2,505,000 |
|
|
|
2,452,506 |
|
| 05/13/2025 |
|
|
5.125 |
% |
|
|
5,190,000 |
|
|
|
5,110,340 |
|
| 02/15/2027 |
|
|
5.625 |
% |
|
|
2,200,000 |
|
|
|
2,145,690 |
|
| 07/31/2027 |
|
|
5.000 |
% |
|
|
2,000,000 |
|
|
|
1,905,150 |
|
| 05/01/2029 |
|
|
4.375 |
% |
|
|
4,060,000 |
|
|
|
3,671,920 |
|
| Vistra Operations Co.,
LLC(a) |
|
| 01/30/2027 |
|
|
3.700 |
% |
|
|
885,000 |
|
|
|
824,151 |
|
| WEC Energy Group, Inc. |
|
| 09/27/2025 |
|
|
5.000 |
% |
|
|
304,000 |
|
|
|
301,332 |
|
| 10/01/2027 |
|
|
5.150 |
% |
|
|
426,000 |
|
|
|
426,561 |
|
| 10/15/2027 |
|
|
1.375 |
% |
|
|
1,094,000 |
|
|
|
946,790 |
|
| 12/15/2028 |
|
|
2.200 |
% |
|
|
746,000 |
|
|
|
645,301 |
|
| Wisconsin Electric Power Co. |
|
| 06/15/2028 |
|
|
1.700 |
% |
|
|
680,000 |
|
|
|
591,691 |
|
| Wisconsin Public Service Corp. |
|
| 12/01/2042 |
|
|
3.671 |
% |
|
|
814,000 |
|
|
|
605,730 |
|
| Xcel Energy, Inc. |
|
| 08/15/2033 |
|
|
5.450 |
% |
|
|
1,855,000 |
|
|
|
1,837,754 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
265,706,988 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Environmental 0.1% |
|
| GFL Environmental,
Inc.(a),(e) |
|
| 01/15/2031 |
|
|
6.750 |
% |
|
|
710,000 |
|
|
|
716,212 |
|
| Waste Connections, Inc. |
|
| 04/01/2050 |
|
|
3.050 |
% |
|
|
885,000 |
|
|
|
588,568 |
|
| Waste Management, Inc. |
|
| 02/15/2029 |
|
|
4.875 |
% |
|
|
425,000 |
|
|
|
425,031 |
|
| 06/01/2029 |
|
|
2.000 |
% |
|
|
330,000 |
|
|
|
284,024 |
|
| 02/15/2030 |
|
|
4.625 |
% |
|
|
673,000 |
|
|
|
659,941 |
|
| 02/15/2033 |
|
|
4.625 |
% |
|
|
831,000 |
|
|
|
803,774 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
33 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| 02/15/2034 |
|
|
4.875 |
% |
|
|
2,137,000 |
|
|
|
2,096,766 |
|
| Waste Pro USA, Inc.(a) |
|
| 02/15/2026 |
|
|
5.500 |
% |
|
|
1,650,000 |
|
|
|
1,556,690 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
7,131,006 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Finance Companies 0.8% |
|
| AerCap Ireland Capital DAC/Global Aviation Trust |
|
| 02/15/2024 |
|
|
3.150 |
% |
|
|
3,225,000 |
|
|
|
3,205,051 |
|
| 10/01/2025 |
|
|
4.450 |
% |
|
|
1,889,000 |
|
|
|
1,835,816 |
|
| 10/29/2026 |
|
|
2.450 |
% |
|
|
445,000 |
|
|
|
405,372 |
|
| 10/29/2028 |
|
|
3.000 |
% |
|
|
5,655,000 |
|
|
|
4,987,780 |
|
| 01/30/2032 |
|
|
3.300 |
% |
|
|
2,100,000 |
|
|
|
1,741,752 |
|
| Air Lease Corp. |
|
| 03/01/2025 |
|
|
3.250 |
% |
|
|
2,500,000 |
|
|
|
2,413,207 |
|
| 07/01/2025 |
|
|
3.375 |
% |
|
|
2,750,000 |
|
|
|
2,639,643 |
|
| 01/15/2026 |
|
|
2.875 |
% |
|
|
2,075,000 |
|
|
|
1,952,292 |
|
| 08/15/2026 |
|
|
1.875 |
% |
|
|
2,285,000 |
|
|
|
2,067,061 |
|
| 12/01/2027 |
|
|
3.625 |
% |
|
|
465,000 |
|
|
|
430,270 |
|
| Aircastle Ltd.(a) |
|
| 01/26/2028 |
|
|
2.850 |
% |
|
|
3,335,000 |
|
|
|
2,902,820 |
|
| 07/18/2028 |
|
|
6.500 |
% |
|
|
1,725,000 |
|
|
|
1,720,813 |
|
| Ares Capital Corp. |
|
| 03/01/2025 |
|
|
4.250 |
% |
|
|
210,000 |
|
|
|
203,504 |
|
| 01/15/2027 |
|
|
7.000 |
% |
|
|
2,665,000 |
|
|
|
2,693,875 |
|
| 06/15/2028 |
|
|
2.875 |
% |
|
|
845,000 |
|
|
|
721,196 |
|
| Aviation Capital Group
LLC(a) |
|
| 12/15/2024 |
|
|
5.500 |
% |
|
|
1,030,000 |
|
|
|
1,017,525 |
|
| Avolon Holdings Funding
Ltd.(a) |
|
| 07/01/2024 |
|
|
3.950 |
% |
|
|
750,000 |
|
|
|
737,644 |
|
| 02/15/2025 |
|
|
2.875 |
% |
|
|
2,905,000 |
|
|
|
2,776,812 |
|
| 11/18/2027 |
|
|
2.528 |
% |
|
|
2,930,000 |
|
|
|
2,535,953 |
|
| Bain Capital Specialty Finance, Inc. |
|
| 10/13/2026 |
|
|
2.550 |
% |
|
|
3,250,000 |
|
|
|
2,859,622 |
|
| Barings BDC, Inc. |
|
| 11/23/2026 |
|
|
3.300 |
% |
|
|
1,230,000 |
|
|
|
1,101,582 |
|
| Blackstone Private Credit Fund |
|
| 12/15/2026 |
|
|
2.625 |
% |
|
|
5,265,000 |
|
|
|
4,635,553 |
|
| Blackstone Private Credit
Fund(a) |
|
| 11/27/2028 |
|
|
7.300 |
% |
|
|
1,025,000 |
|
|
|
1,022,375 |
|
| Blackstone Secured Lending Fund |
|
| 09/30/2028 |
|
|
2.850 |
% |
|
|
2,850,000 |
|
|
|
2,385,057 |
|
| Blue Owl Capital Corp.
II(a) |
|
| 11/15/2026 |
|
|
8.450 |
% |
|
|
1,805,000 |
|
|
|
1,839,469 |
|
| Blue Owl Credit Income Corp. |
|
| 09/16/2027 |
|
|
7.750 |
% |
|
|
953,000 |
|
|
|
952,387 |
|
| Blue Owl Credit Income
Corp.(a) |
|
| 06/13/2028 |
|
|
7.950 |
% |
|
|
4,670,000 |
|
|
|
4,683,827 |
|
| FirstCash, Inc.(a) |
|
| 01/01/2030 |
|
|
5.625 |
% |
|
|
1,500,000 |
|
|
|
1,404,157 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Freedom Mortgage
Corp.(a) |
|
| 10/01/2028 |
|
|
12.000 |
% |
|
|
450,000 |
|
|
|
474,952 |
|
| FS KKR Capital Corp. |
|
| 10/12/2028 |
|
|
3.125 |
% |
|
|
2,650,000 |
|
|
|
2,233,657 |
|
| 01/15/2029 |
|
|
7.875 |
% |
|
|
3,530,000 |
|
|
|
3,592,632 |
|
| GATX Corp. |
|
| 05/01/2034 |
|
|
6.900 |
% |
|
|
4,253,000 |
|
|
|
4,480,520 |
|
| GGAM Finance Ltd.(a) |
|
| 02/15/2027 |
|
|
8.000 |
% |
|
|
2,055,000 |
|
|
|
2,072,938 |
|
| Golub Capital BDC, Inc. |
|
| 08/24/2026 |
|
|
2.500 |
% |
|
|
4,625,000 |
|
|
|
4,112,082 |
|
| Golub Capital BDC,
Inc.(e) |
|
| 12/05/2028 |
|
|
7.050 |
% |
|
|
1,870,000 |
|
|
|
1,847,635 |
|
| Hercules Capital, Inc. |
|
| 01/20/2027 |
|
|
3.375 |
% |
|
|
3,675,000 |
|
|
|
3,269,042 |
|
| Main Street Capital Corp. |
|
| 07/14/2026 |
|
|
3.000 |
% |
|
|
2,690,000 |
|
|
|
2,422,831 |
|
| Morgan Stanley Direct Lending Fund |
|
| 02/11/2027 |
|
|
4.500 |
% |
|
|
2,360,000 |
|
|
|
2,230,093 |
|
| Nationstar Mortgage Holdings
Inc.(a) |
|
| 08/15/2028 |
|
|
5.500 |
% |
|
|
1,050,000 |
|
|
|
978,120 |
|
| Nationstar Mortgage Holdings,
Inc.(a) |
|
| 12/15/2030 |
|
|
5.125 |
% |
|
|
800,000 |
|
|
|
691,259 |
|
| Navient Corp. |
|
| 03/15/2027 |
|
|
5.000 |
% |
|
|
1,555,000 |
|
|
|
1,451,432 |
|
| Owl Rock Capital Corp. |
|
| 07/22/2025 |
|
|
3.750 |
% |
|
|
1,075,000 |
|
|
|
1,018,609 |
|
| 01/15/2026 |
|
|
4.250 |
% |
|
|
1,370,000 |
|
|
|
1,294,484 |
|
| Owl Rock Technology Finance
Corp.(a) |
|
| 12/15/2025 |
|
|
4.750 |
% |
|
|
4,810,000 |
|
|
|
4,496,922 |
|
| Park Aerospace Holdings
Ltd.(a) |
|
| 02/15/2024 |
|
|
5.500 |
% |
|
|
379,000 |
|
|
|
377,954 |
|
| Quicken Loans LLC/Co-Issuer,
Inc.(a) |
|
| 03/01/2031 |
|
|
3.875 |
% |
|
|
1,490,000 |
|
|
|
1,259,797 |
|
| Sixth Street Specialty Lending, Inc. |
|
| 08/14/2028 |
|
|
6.950 |
% |
|
|
819,000 |
|
|
|
823,723 |
|
| SMBC Aviation Capital Finance
DAC(a) |
|
| 07/25/2033 |
|
|
5.700 |
% |
|
|
1,275,000 |
|
|
|
1,228,298 |
|
| Springleaf Finance Corp. |
|
| 03/15/2024 |
|
|
6.125 |
% |
|
|
1,300,000 |
|
|
|
1,299,741 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
99,529,136 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Food and Beverage 0.8% |
|
| Anheuser-Busch Companies LLC/InBev Worldwide, Inc. |
|
| 02/01/2046 |
|
|
4.900 |
% |
|
|
9,756,000 |
|
|
|
9,027,673 |
|
| Anheuser-Busch InBev Worldwide, Inc. |
|
| 01/23/2039 |
|
|
5.450 |
% |
|
|
840,000 |
|
|
|
842,539 |
|
|
|
|
| 34 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| B&G Foods, Inc. |
|
| 04/01/2025 |
|
|
5.250 |
% |
|
|
772,000 |
|
|
|
758,884 |
|
| 09/15/2027 |
|
|
5.250 |
% |
|
|
1,075,000 |
|
|
|
936,109 |
|
| Bacardi Ltd.(a) |
|
| 05/15/2048 |
|
|
5.300 |
% |
|
|
1,060,000 |
|
|
|
946,204 |
|
| Cargill Inc.(a) |
|
| 11/10/2031 |
|
|
2.125 |
% |
|
|
1,346,000 |
|
|
|
1,081,194 |
|
| Cargill, Inc.(a) |
|
| 04/22/2025 |
|
|
3.500 |
% |
|
|
2,449,000 |
|
|
|
2,392,660 |
|
| 06/24/2026 |
|
|
4.500 |
% |
|
|
2,000,000 |
|
|
|
1,971,716 |
|
| 04/23/2030 |
|
|
2.125 |
% |
|
|
750,000 |
|
|
|
633,214 |
|
| 02/02/2031 |
|
|
1.700 |
% |
|
|
826,000 |
|
|
|
654,819 |
|
| Coca-Cola Europacific Partners
PLC(a) |
|
| 05/03/2024 |
|
|
0.800 |
% |
|
|
6,295,000 |
|
|
|
6,148,565 |
|
| Constellation Brands, Inc. |
|
| 12/01/2025 |
|
|
4.750 |
% |
|
|
578,000 |
|
|
|
571,419 |
|
| J M Smucker Co. (The) |
|
| 11/15/2043 |
|
|
6.500 |
% |
|
|
1,455,000 |
|
|
|
1,518,560 |
|
| 11/15/2053 |
|
|
6.500 |
% |
|
|
120,000 |
|
|
|
127,477 |
|
| JBS SA/Food Co./Finance, Inc. |
|
| 02/01/2028 |
|
|
5.125 |
% |
|
|
2,025,000 |
|
|
|
1,965,737 |
|
| 02/02/2029 |
|
|
3.000 |
% |
|
|
1,955,000 |
|
|
|
1,665,461 |
|
| 12/01/2031 |
|
|
3.750 |
% |
|
|
3,055,000 |
|
|
|
2,528,184 |
|
| 05/15/2032 |
|
|
3.000 |
% |
|
|
3,255,000 |
|
|
|
2,526,540 |
|
| 12/01/2052 |
|
|
6.500 |
% |
|
|
2,535,000 |
|
|
|
2,361,784 |
|
| JBS USA LUX SA/Food Co./Luxembourg
SARL(a) |
|
| 03/15/2034 |
|
|
6.750 |
% |
|
|
6,765,000 |
|
|
|
6,820,012 |
|
| 11/15/2053 |
|
|
7.250 |
% |
|
|
7,635,000 |
|
|
|
7,724,210 |
|
| Kraft Heinz Foods Co. |
|
| 01/26/2039 |
|
|
6.875 |
% |
|
|
796,000 |
|
|
|
871,390 |
|
| 10/01/2039 |
|
|
4.625 |
% |
|
|
950,000 |
|
|
|
831,843 |
|
| 02/09/2040 |
|
|
6.500 |
% |
|
|
1,215,000 |
|
|
|
1,287,348 |
|
| 06/01/2046 |
|
|
4.375 |
% |
|
|
1,445,000 |
|
|
|
1,178,565 |
|
| Kraft Heinz Foods Co. (The) |
|
| 07/15/2045 |
|
|
5.200 |
% |
|
|
1,205,000 |
|
|
|
1,102,224 |
|
| Mars, Inc.(a) |
|
| 04/01/2039 |
|
|
3.875 |
% |
|
|
1,040,000 |
|
|
|
858,684 |
|
| 07/16/2040 |
|
|
2.375 |
% |
|
|
964,000 |
|
|
|
631,545 |
|
| Minerva Luxembourg SA(a) |
|
| 09/13/2033 |
|
|
8.875 |
% |
|
|
3,800,000 |
|
|
|
3,844,461 |
|
| Molson Coors Brewing Co. |
|
| 07/15/2046 |
|
|
4.200 |
% |
|
|
415,000 |
|
|
|
329,182 |
|
| Nestle Holdings, Inc.(a) |
|
| 10/01/2027 |
|
|
4.125 |
% |
|
|
1,167,000 |
|
|
|
1,142,846 |
|
| 09/15/2030 |
|
|
1.250 |
% |
|
|
1,147,000 |
|
|
|
913,832 |
|
| 09/24/2038 |
|
|
3.900 |
% |
|
|
950,000 |
|
|
|
827,973 |
|
| PepsiCo, Inc. |
|
| 11/10/2026 |
|
|
5.125 |
% |
|
|
1,353,000 |
|
|
|
1,365,986 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Pilgrim’s Pride Corp. |
|
| 04/15/2031 |
|
|
4.250 |
% |
|
|
2,000,000 |
|
|
|
1,732,065 |
|
| 03/01/2032 |
|
|
3.500 |
% |
|
|
6,479,000 |
|
|
|
5,246,044 |
|
| 07/01/2033 |
|
|
6.250 |
% |
|
|
625,000 |
|
|
|
616,082 |
|
| Post Holdings, Inc.(a) |
|
| 03/01/2027 |
|
|
5.750 |
% |
|
|
2,676,000 |
|
|
|
2,630,360 |
|
| 12/15/2029 |
|
|
5.500 |
% |
|
|
2,210,000 |
|
|
|
2,078,521 |
|
| 04/15/2030 |
|
|
4.625 |
% |
|
|
2,684,000 |
|
|
|
2,397,643 |
|
| Primo Water Holdings,
Inc.(a) |
|
| 04/30/2029 |
|
|
4.375 |
% |
|
|
1,610,000 |
|
|
|
1,432,369 |
|
| Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed(a) |
|
| 03/01/2029 |
|
|
4.625 |
% |
|
|
1,800,000 |
|
|
|
1,494,000 |
|
| Smithfield Foods,
Inc.(a) |
|
| 02/01/2027 |
|
|
4.250 |
% |
|
|
2,500,000 |
|
|
|
2,350,006 |
|
| 10/15/2030 |
|
|
3.000 |
% |
|
|
2,020,000 |
|
|
|
1,597,124 |
|
| Sysco Corp. |
|
| 01/17/2034 |
|
|
6.000 |
% |
|
|
2,475,000 |
|
|
|
2,577,857 |
|
| Triton Water Holdings,
Inc.(a) |
|
| 04/01/2029 |
|
|
6.250 |
% |
|
|
2,615,000 |
|
|
|
2,239,219 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
94,780,130 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Foreign Agencies 0.0% |
|
| PT Bank Mandiri Persero
Tbk(a) |
|
| 04/11/2024 |
|
|
3.750 |
% |
|
|
850,000 |
|
|
|
842,780 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Gaming 0.4% |
|
| Caesars Entertainment,
Inc.(a) |
|
| 10/15/2029 |
|
|
4.625 |
% |
|
|
3,100,000 |
|
|
|
2,723,518 |
|
| 02/15/2030 |
|
|
7.000 |
% |
|
|
950,000 |
|
|
|
951,197 |
|
| CCM Merger, Inc.(a) |
|
| 05/01/2026 |
|
|
6.375 |
% |
|
|
1,225,000 |
|
|
|
1,177,345 |
|
| Colt Merger Sub, Inc.(a) |
|
| 07/01/2025 |
|
|
6.250 |
% |
|
|
175,000 |
|
|
|
174,065 |
|
| GLP Capital LP/Financing II, Inc. |
|
| 04/15/2026 |
|
|
5.375 |
% |
|
|
870,000 |
|
|
|
851,781 |
|
| 01/15/2029 |
|
|
5.300 |
% |
|
|
765,000 |
|
|
|
731,202 |
|
| 01/15/2030 |
|
|
4.000 |
% |
|
|
4,500,000 |
|
|
|
3,949,571 |
|
| 01/15/2031 |
|
|
4.000 |
% |
|
|
510,000 |
|
|
|
436,015 |
|
| 01/15/2032 |
|
|
3.250 |
% |
|
|
3,018,000 |
|
|
|
2,425,865 |
|
| 12/01/2033 |
|
|
6.750 |
% |
|
|
785,000 |
|
|
|
792,512 |
|
| Golden Entertainment,
Inc.(a) |
|
| 04/15/2026 |
|
|
7.625 |
% |
|
|
1,720,000 |
|
|
|
1,729,217 |
|
| International Game Technology
PLC(a) |
|
| 02/15/2025 |
|
|
6.500 |
% |
|
|
975,000 |
|
|
|
974,027 |
|
| 01/15/2027 |
|
|
6.250 |
% |
|
|
400,000 |
|
|
|
399,331 |
|
| Jacobs Entertainment,
Inc.(a) |
|
| 02/15/2029 |
|
|
6.750 |
% |
|
|
1,675,000 |
|
|
|
1,499,561 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
35 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| MGM Resorts International |
|
| 05/01/2025 |
|
|
6.750 |
% |
|
|
1,150,000 |
|
|
|
1,154,101 |
|
| 09/01/2026 |
|
|
4.625 |
% |
|
|
188,000 |
|
|
|
180,622 |
|
| 04/15/2027 |
|
|
5.500 |
% |
|
|
1,500,000 |
|
|
|
1,453,626 |
|
| 10/15/2028 |
|
|
4.750 |
% |
|
|
1,575,000 |
|
|
|
1,457,232 |
|
| Penn National Gaming,
Inc.(a) |
|
| 07/01/2029 |
|
|
4.125 |
% |
|
|
2,110,000 |
|
|
|
1,756,784 |
|
| Premier Entertainment Sub LLC/Finance Corp.(a) |
|
| 09/01/2031 |
|
|
5.875 |
% |
|
|
2,575,000 |
|
|
|
1,831,088 |
|
| Sands China Ltd. |
|
| 08/08/2028 |
|
|
5.400 |
% |
|
|
1,000,000 |
|
|
|
957,264 |
|
| VICI Properties LP |
|
| 02/15/2030 |
|
|
4.950 |
% |
|
|
515,000 |
|
|
|
478,865 |
|
| 05/15/2032 |
|
|
5.125 |
% |
|
|
4,096,000 |
|
|
|
3,769,831 |
|
| 05/15/2052 |
|
|
5.625 |
% |
|
|
1,110,000 |
|
|
|
956,305 |
|
| VICI Properties LP/Note Co.,
Inc.(a) |
|
| 06/15/2025 |
|
|
4.625 |
% |
|
|
220,000 |
|
|
|
214,126 |
|
| 09/01/2026 |
|
|
4.500 |
% |
|
|
2,740,000 |
|
|
|
2,608,157 |
|
| 02/01/2027 |
|
|
5.750 |
% |
|
|
545,000 |
|
|
|
536,005 |
|
| 02/15/2027 |
|
|
3.750 |
% |
|
|
2,000,000 |
|
|
|
1,851,725 |
|
| 01/15/2028 |
|
|
4.500 |
% |
|
|
146,000 |
|
|
|
135,464 |
|
| 02/15/2029 |
|
|
3.875 |
% |
|
|
1,370,000 |
|
|
|
1,216,743 |
|
| 08/15/2030 |
|
|
4.125 |
% |
|
|
249,000 |
|
|
|
217,369 |
|
| Wynn Macau Ltd.(a) |
|
| 01/15/2026 |
|
|
5.500 |
% |
|
|
1,625,000 |
|
|
|
1,544,607 |
|
| Wynn Resorts Finance LLC/Capital
Corp.(a) |
|
| 10/01/2029 |
|
|
5.125 |
% |
|
|
1,000,000 |
|
|
|
903,990 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
42,039,111 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care 1.3% |
|
| Abbott Laboratories |
|
| 11/30/2046 |
|
|
4.900 |
% |
|
|
205,000 |
|
|
|
197,601 |
|
| AdaptHealth LLC(a) |
|
| 08/01/2028 |
|
|
6.125 |
% |
|
|
1,620,000 |
|
|
|
1,388,846 |
|
| 08/01/2029 |
|
|
4.625 |
% |
|
|
925,000 |
|
|
|
730,856 |
|
| Barnabas Health, Inc. |
|
| 07/01/2028 |
|
|
4.000 |
% |
|
|
3,200,000 |
|
|
|
3,015,110 |
|
| Becton Dickinson and Co. |
|
| 12/15/2024 |
|
|
3.734 |
% |
|
|
44,000 |
|
|
|
43,140 |
|
| 02/13/2028 |
|
|
4.693 |
% |
|
|
1,459,000 |
|
|
|
1,437,921 |
|
| 08/22/2032 |
|
|
4.298 |
% |
|
|
2,913,000 |
|
|
|
2,706,129 |
|
| 05/15/2044 |
|
|
4.875 |
% |
|
|
1,555,000 |
|
|
|
1,313,325 |
|
| Catalent Pharma Solutions,
Inc.(a) |
|
| 07/15/2027 |
|
|
5.000 |
% |
|
|
700,000 |
|
|
|
661,282 |
|
| 02/15/2029 |
|
|
3.125 |
% |
|
|
1,000,000 |
|
|
|
837,514 |
|
| Cigna Corp. |
|
| 03/01/2027 |
|
|
3.400 |
% |
|
|
2,190,000 |
|
|
|
2,079,724 |
|
| 08/15/2038 |
|
|
4.800 |
% |
|
|
429,000 |
|
|
|
395,926 |
|
| 07/15/2046 |
|
|
4.800 |
% |
|
|
2,070,000 |
|
|
|
1,826,044 |
|
| 03/15/2051 |
|
|
3.400 |
% |
|
|
1,215,000 |
|
|
|
833,558 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| CommonSpirit Health |
|
| 10/01/2025 |
|
|
1.547 |
% |
|
|
3,000,000 |
|
|
|
2,781,315 |
|
| 11/01/2042 |
|
|
4.350 |
% |
|
|
120,000 |
|
|
|
97,705 |
|
| CVS Health Corp. |
|
| 07/20/2025 |
|
|
3.875 |
% |
|
|
1,002,000 |
|
|
|
977,283 |
|
| 02/21/2030 |
|
|
5.125 |
% |
|
|
3,805,000 |
|
|
|
3,750,808 |
|
| 09/15/2031 |
|
|
2.125 |
% |
|
|
903,000 |
|
|
|
716,321 |
|
| 02/21/2033 |
|
|
5.250 |
% |
|
|
328,000 |
|
|
|
322,672 |
|
| 06/01/2033 |
|
|
5.300 |
% |
|
|
531,000 |
|
|
|
522,956 |
|
| 07/20/2035 |
|
|
4.875 |
% |
|
|
720,000 |
|
|
|
671,780 |
|
| 03/25/2038 |
|
|
4.780 |
% |
|
|
8,665,000 |
|
|
|
7,788,641 |
|
| 04/01/2040 |
|
|
4.125 |
% |
|
|
1,899,000 |
|
|
|
1,537,542 |
|
| 08/21/2040 |
|
|
2.700 |
% |
|
|
996,000 |
|
|
|
665,696 |
|
| 07/20/2045 |
|
|
5.125 |
% |
|
|
176,000 |
|
|
|
156,384 |
|
| 03/25/2048 |
|
|
5.050 |
% |
|
|
4,367,000 |
|
|
|
3,831,828 |
|
| 06/01/2053 |
|
|
5.875 |
% |
|
|
4,125,000 |
|
|
|
4,044,971 |
|
| 06/01/2063 |
|
|
6.000 |
% |
|
|
777,000 |
|
|
|
761,409 |
|
| DaVita, Inc.(a) |
|
| 06/01/2030 |
|
|
4.625 |
% |
|
|
2,495,000 |
|
|
|
2,109,114 |
|
| 02/15/2031 |
|
|
3.750 |
% |
|
|
1,335,000 |
|
|
|
1,044,844 |
|
| Dentsply Sirona, Inc. |
|
| 06/01/2030 |
|
|
3.250 |
% |
|
|
1,347,000 |
|
|
|
1,154,904 |
|
| Duke University Health System, Inc. |
|
| 06/01/2047 |
|
|
3.920 |
% |
|
|
875,000 |
|
|
|
691,706 |
|
| Embecta Corp.(a) |
|
| 02/15/2030 |
|
|
5.000 |
% |
|
|
1,500,000 |
|
|
|
1,260,328 |
|
| Fresenius Medical Care US Finance III, Inc.(a) |
|
| 12/01/2026 |
|
|
1.875 |
% |
|
|
3,564,000 |
|
|
|
3,129,764 |
|
| GE HealthCare Technologies, Inc. |
|
| 11/15/2024 |
|
|
5.550 |
% |
|
|
5,095,000 |
|
|
|
5,081,804 |
|
| HCA, Inc. |
|
| 02/01/2025 |
|
|
5.375 |
% |
|
|
2,900,000 |
|
|
|
2,882,903 |
|
| 04/15/2025 |
|
|
5.250 |
% |
|
|
1,659,000 |
|
|
|
1,646,073 |
|
| 06/15/2025 |
|
|
7.690 |
% |
|
|
750,000 |
|
|
|
769,651 |
|
| 06/15/2026 |
|
|
5.250 |
% |
|
|
3,135,000 |
|
|
|
3,107,782 |
|
| 02/15/2027 |
|
|
4.500 |
% |
|
|
679,000 |
|
|
|
658,340 |
|
| 03/15/2027 |
|
|
3.125 |
% |
|
|
687,000 |
|
|
|
636,959 |
|
| 12/01/2027 |
|
|
7.050 |
% |
|
|
10,000 |
|
|
|
10,400 |
|
| 06/15/2029 |
|
|
4.125 |
% |
|
|
3,850,000 |
|
|
|
3,569,824 |
|
| 09/01/2030 |
|
|
3.500 |
% |
|
|
3,874,000 |
|
|
|
3,407,688 |
|
| 07/15/2031 |
|
|
2.375 |
% |
|
|
1,580,000 |
|
|
|
1,257,517 |
|
| 03/15/2032 |
|
|
3.625 |
% |
|
|
1,605,000 |
|
|
|
1,383,489 |
|
| 06/15/2047 |
|
|
5.500 |
% |
|
|
2,515,000 |
|
|
|
2,261,028 |
|
| 06/15/2049 |
|
|
5.250 |
% |
|
|
2,165,000 |
|
|
|
1,880,410 |
|
| 07/15/2051 |
|
|
3.500 |
% |
|
|
1,697,000 |
|
|
|
1,107,993 |
|
| IQVIA, Inc.(a) |
|
| 05/15/2028 |
|
|
5.700 |
% |
|
|
7,875,000 |
|
|
|
7,847,872 |
|
| 02/01/2029 |
|
|
6.250 |
% |
|
|
2,605,000 |
|
|
|
2,645,838 |
|
| Laboratory Corp. of America Holdings |
|
| 09/01/2024 |
|
|
3.250 |
% |
|
|
2,561,000 |
|
|
|
2,510,643 |
|
| Legacy LifePoint Health
LLC(a) |
|
| 02/15/2027 |
|
|
4.375 |
% |
|
|
1,575,000 |
|
|
|
1,379,046 |
|
|
|
|
| 36 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Mayo Clinic |
|
| 11/15/2052 |
|
|
4.128 |
% |
|
|
750,000 |
|
|
|
624,729 |
|
| McKesson Corp. |
|
| 02/15/2026 |
|
|
5.250 |
% |
|
|
1,088,000 |
|
|
|
1,085,686 |
|
| 08/15/2026 |
|
|
1.300 |
% |
|
|
1,820,000 |
|
|
|
1,645,559 |
|
| 07/15/2033 |
|
|
5.100 |
% |
|
|
11,330,000 |
|
|
|
11,159,395 |
|
| Medtronic Global Holdings SCA |
|
| 03/30/2033 |
|
|
4.500 |
% |
|
|
1,465,000 |
|
|
|
1,410,305 |
|
| Memorial Sloan-Kettering Cancer Center |
|
| 07/01/2052 |
|
|
4.125 |
% |
|
|
1,130,000 |
|
|
|
905,615 |
|
| ModivCare Escrow Issuer,
Inc.(a) |
|
| 10/01/2029 |
|
|
5.000 |
% |
|
|
2,800,000 |
|
|
|
2,142,454 |
|
| Mozart Debt Merger Sub,
Inc.(a) |
|
| 04/01/2029 |
|
|
3.875 |
% |
|
|
4,580,000 |
|
|
|
4,066,150 |
|
| 10/01/2029 |
|
|
5.250 |
% |
|
|
1,925,000 |
|
|
|
1,747,054 |
|
| New York and Presbyterian Hospital (The) |
|
| 08/01/2119 |
|
|
3.954 |
% |
|
|
305,000 |
|
|
|
207,301 |
|
| NYU Langone Hospitals |
|
| 07/01/2043 |
|
|
5.750 |
% |
|
|
705,000 |
|
|
|
700,569 |
|
| Quest Diagnostics, Inc. |
|
| 06/30/2030 |
|
|
2.950 |
% |
|
|
380,000 |
|
|
|
326,787 |
|
| 06/30/2031 |
|
|
2.800 |
% |
|
|
425,000 |
|
|
|
356,878 |
|
| 11/30/2033 |
|
|
6.400 |
% |
|
|
912,000 |
|
|
|
966,388 |
|
| RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc.(a) |
|
| 12/01/2026 |
|
|
9.750 |
% |
|
|
2,875,000 |
|
|
|
2,791,113 |
|
| Tenet Healthcare Corp. |
|
| 11/01/2027 |
|
|
5.125 |
% |
|
|
1,450,000 |
|
|
|
1,392,717 |
|
| 10/01/2028 |
|
|
6.125 |
% |
|
|
2,725,000 |
|
|
|
2,640,702 |
|
| 06/01/2029 |
|
|
4.250 |
% |
|
|
425,000 |
|
|
|
380,778 |
|
| 01/15/2030 |
|
|
4.375 |
% |
|
|
4,100,000 |
|
|
|
3,664,372 |
|
| Texas Health Resources |
|
| 11/15/2055 |
|
|
4.330 |
% |
|
|
700,000 |
|
|
|
583,380 |
|
| Thermo Fisher Scientific,
Inc.(e) |
|
| 01/31/2029 |
|
|
5.000 |
% |
|
|
5,261,000 |
|
|
|
5,268,948 |
|
| Thermo Fisher Scientific, Inc. |
|
| 08/10/2030 |
|
|
4.977 |
% |
|
|
1,705,000 |
|
|
|
1,703,933 |
|
| 08/10/2033 |
|
|
5.086 |
% |
|
|
1,283,000 |
|
|
|
1,280,743 |
|
| 08/10/2043 |
|
|
5.404 |
% |
|
|
684,000 |
|
|
|
683,841 |
|
| Universal Health Services, Inc. |
|
| 09/01/2026 |
|
|
1.650 |
% |
|
|
2,485,000 |
|
|
|
2,230,941 |
|
| 10/15/2030 |
|
|
2.650 |
% |
|
|
2,485,000 |
|
|
|
2,019,993 |
|
| Zimmer Biomet Holdings,
Inc.(e) |
|
| 12/01/2028 |
|
|
5.350 |
% |
|
|
1,053,000 |
|
|
|
1,055,404 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
152,571,942 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Healthcare Insurance 0.4% |
|
| Aetna, Inc. |
|
| 06/15/2036 |
|
|
6.625 |
% |
|
|
624,000 |
|
|
|
671,406 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Centene Corp. |
|
| 12/15/2027 |
|
|
4.250 |
% |
|
|
4,010,000 |
|
|
|
3,783,519 |
|
| 07/15/2028 |
|
|
2.450 |
% |
|
|
3,832,000 |
|
|
|
3,320,608 |
|
| 12/15/2029 |
|
|
4.625 |
% |
|
|
850,000 |
|
|
|
789,521 |
|
| 10/15/2030 |
|
|
3.000 |
% |
|
|
7,539,000 |
|
|
|
6,273,073 |
|
| 08/01/2031 |
|
|
2.625 |
% |
|
|
625,000 |
|
|
|
496,395 |
|
| Elevance Health, Inc. |
|
| 02/08/2026 |
|
|
4.900 |
% |
|
|
596,000 |
|
|
|
589,974 |
|
| Health Care Service Corp., a Mutual Legal Reserve Co.(a) |
|
| 06/01/2025 |
|
|
1.500 |
% |
|
|
577,000 |
|
|
|
542,864 |
|
| Humana, Inc. |
|
| 12/01/2028 |
|
|
5.750 |
% |
|
|
3,025,000 |
|
|
|
3,086,231 |
|
| 03/15/2034 |
|
|
5.950 |
% |
|
|
1,522,000 |
|
|
|
1,566,842 |
|
| UnitedHealth Group, Inc. |
|
| 05/15/2032 |
|
|
4.200 |
% |
|
|
1,374,000 |
|
|
|
1,294,908 |
|
| 08/15/2039 |
|
|
3.500 |
% |
|
|
617,000 |
|
|
|
495,389 |
|
| 05/15/2040 |
|
|
2.750 |
% |
|
|
366,000 |
|
|
|
261,819 |
|
| 05/15/2041 |
|
|
3.050 |
% |
|
|
190,000 |
|
|
|
140,388 |
|
| 07/15/2045 |
|
|
4.750 |
% |
|
|
443,000 |
|
|
|
404,675 |
|
| 10/15/2047 |
|
|
3.750 |
% |
|
|
473,000 |
|
|
|
366,582 |
|
| 05/15/2051 |
|
|
3.250 |
% |
|
|
3,750,000 |
|
|
|
2,627,041 |
|
| 02/15/2053 |
|
|
5.875 |
% |
|
|
1,429,000 |
|
|
|
1,519,346 |
|
| 04/15/2053 |
|
|
5.050 |
% |
|
|
10,458,000 |
|
|
|
9,915,358 |
|
| 04/15/2063 |
|
|
5.200 |
% |
|
|
3,953,000 |
|
|
|
3,778,618 |
|
| Wellpoint, Inc. |
|
| 08/15/2024 |
|
|
3.500 |
% |
|
|
1,928,000 |
|
|
|
1,896,529 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
43,821,086 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Healthcare REIT 0.2% |
|
| Diversified Healthcare Trust |
|
| 06/15/2025 |
|
|
9.750 |
% |
|
|
1,062,000 |
|
|
|
1,053,781 |
|
| 03/01/2031 |
|
|
4.375 |
% |
|
|
1,500,000 |
|
|
|
1,069,083 |
|
| Healthcare Realty Holdings LP |
|
| 01/15/2028 |
|
|
3.625 |
% |
|
|
435,000 |
|
|
|
393,391 |
|
| 03/15/2030 |
|
|
2.400 |
% |
|
|
1,514,000 |
|
|
|
1,193,848 |
|
| 03/15/2031 |
|
|
2.050 |
% |
|
|
400,000 |
|
|
|
296,681 |
|
| Healthcare Trust of America Holdings LP |
|
| 02/15/2030 |
|
|
3.100 |
% |
|
|
1,246,000 |
|
|
|
1,058,561 |
|
| 03/15/2031 |
|
|
2.000 |
% |
|
|
2,960,000 |
|
|
|
2,289,620 |
|
| Healthpeak OP LLC |
|
| 12/15/2032 |
|
|
5.250 |
% |
|
|
3,716,000 |
|
|
|
3,594,010 |
|
| MPT Operating Partnership LP/Finance Corp. |
|
| 03/15/2031 |
|
|
3.500 |
% |
|
|
1,850,000 |
|
|
|
1,141,810 |
|
| Omega Healthcare Investors, Inc. |
|
| 01/15/2025 |
|
|
4.500 |
% |
|
|
975,000 |
|
|
|
953,370 |
|
| Physicians Realty LP |
|
| 03/15/2027 |
|
|
4.300 |
% |
|
|
380,000 |
|
|
|
363,675 |
|
| 01/15/2028 |
|
|
3.950 |
% |
|
|
77,000 |
|
|
|
71,610 |
|
| 11/01/2031 |
|
|
2.625 |
% |
|
|
1,750,000 |
|
|
|
1,383,048 |
|
| Sabra Health Care LP |
|
| 12/01/2031 |
|
|
3.200 |
% |
|
|
574,000 |
|
|
|
449,091 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
37 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Senior Housing Properties Trust |
|
| 05/01/2024 |
|
|
4.750 |
% |
|
|
1,100,000 |
|
|
|
1,045,685 |
|
| 02/15/2028 |
|
|
4.750 |
% |
|
|
25,000 |
|
|
|
18,263 |
|
| Welltower, Inc. |
|
| 06/01/2031 |
|
|
2.800 |
% |
|
|
8,255,000 |
|
|
|
6,877,177 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
23,252,704 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Home Construction 0.2% |
|
| Ashton Woods USA LLC/Finance
Co.(a) |
|
| 01/15/2028 |
|
|
6.625 |
% |
|
|
1,700,000 |
|
|
|
1,604,419 |
|
| Brookfield Residential Properties, Inc./US Corp.(a) |
|
| 09/15/2027 |
|
|
6.250 |
% |
|
|
1,560,000 |
|
|
|
1,472,450 |
|
| 02/15/2030 |
|
|
4.875 |
% |
|
|
2,575,000 |
|
|
|
2,174,351 |
|
| Century Communities, Inc. |
|
| 06/01/2027 |
|
|
6.750 |
% |
|
|
2,375,000 |
|
|
|
2,375,529 |
|
| Empire Communities
Corp.(a) |
|
| 12/15/2025 |
|
|
7.000 |
% |
|
|
4,225,000 |
|
|
|
4,055,728 |
|
| KB Home |
|
| 06/15/2031 |
|
|
4.000 |
% |
|
|
1,075,000 |
|
|
|
912,591 |
|
| M/I Homes, Inc. |
|
| 02/01/2028 |
|
|
4.950 |
% |
|
|
650,000 |
|
|
|
617,452 |
|
| Mattamy Group Corp.(a) |
|
| 03/01/2030 |
|
|
4.625 |
% |
|
|
4,500,000 |
|
|
|
3,970,945 |
|
| MDC Holdings, Inc. |
|
| 08/06/2061 |
|
|
3.966 |
% |
|
|
3,540,000 |
|
|
|
2,093,952 |
|
| Meritage Homes Corp. |
|
| 06/06/2027 |
|
|
5.125 |
% |
|
|
2,000,000 |
|
|
|
1,933,091 |
|
| PulteGroup, Inc. |
|
| 03/01/2026 |
|
|
5.500 |
% |
|
|
737,000 |
|
|
|
738,007 |
|
| Taylor Morrison Communities,
Inc.(a) |
|
| 01/15/2028 |
|
|
5.750 |
% |
|
|
2,000,000 |
|
|
|
1,946,275 |
|
| 08/01/2030 |
|
|
5.125 |
% |
|
|
614,000 |
|
|
|
565,667 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
24,460,457 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Independent Energy 0.6% |
|
| Aker BP ASA(a) |
|
| 01/15/2030 |
|
|
3.750 |
% |
|
|
300,000 |
|
|
|
266,614 |
|
| 01/15/2031 |
|
|
4.000 |
% |
|
|
6,640,000 |
|
|
|
5,882,177 |
|
| 06/13/2033 |
|
|
6.000 |
% |
|
|
1,250,000 |
|
|
|
1,251,226 |
|
| Antero Resources
Corp.(a) |
|
| 02/01/2029 |
|
|
7.625 |
% |
|
|
600,000 |
|
|
|
615,154 |
|
| Ascent Resources Utica Holdings LLC/ARU Finance Corp.(a) |
|
| 11/01/2026 |
|
|
7.000 |
% |
|
|
600,000 |
|
|
|
592,383 |
|
| 11/01/2027 |
|
|
9.000 |
% |
|
|
150,000 |
|
|
|
189,903 |
|
| 12/31/2028 |
|
|
8.250 |
% |
|
|
2,500,000 |
|
|
|
2,511,095 |
|
| Canadian Natural Resources Ltd. |
|
| 06/30/2033 |
|
|
6.450 |
% |
|
|
730,000 |
|
|
|
751,482 |
|
| 02/15/2037 |
|
|
6.500 |
% |
|
|
1,368,000 |
|
|
|
1,390,141 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Chesapeake Energy
Corp.(a) |
|
| 02/01/2026 |
|
|
5.500 |
% |
|
|
2,000,000 |
|
|
|
1,968,204 |
|
| CNX Resources Corp.(a) |
|
| 03/14/2027 |
|
|
7.250 |
% |
|
|
1,475,000 |
|
|
|
1,468,126 |
|
| ConocoPhillips Co. |
|
| 03/15/2042 |
|
|
3.758 |
% |
|
|
1,928,000 |
|
|
|
1,529,923 |
|
| 05/15/2053 |
|
|
5.300 |
% |
|
|
682,000 |
|
|
|
660,308 |
|
| 03/15/2054 |
|
|
5.550 |
% |
|
|
1,356,000 |
|
|
|
1,350,092 |
|
| 09/15/2063 |
|
|
5.700 |
% |
|
|
1,370,000 |
|
|
|
1,384,511 |
|
| Continental Resources, Inc. |
|
| 06/01/2024 |
|
|
3.800 |
% |
|
|
1,683,000 |
|
|
|
1,663,347 |
|
| Crescent Energy Finance
LLC(a) |
|
| 05/01/2026 |
|
|
7.250 |
% |
|
|
892,000 |
|
|
|
886,167 |
|
| 02/15/2028 |
|
|
9.250 |
% |
|
|
1,335,000 |
|
|
|
1,379,169 |
|
| Devon Energy Corp. |
|
| 09/15/2024 |
|
|
5.250 |
% |
|
|
78,000 |
|
|
|
77,554 |
|
| 07/15/2041 |
|
|
5.600 |
% |
|
|
1,875,000 |
|
|
|
1,723,481 |
|
| Diamondback Energy, Inc. |
|
| 12/01/2026 |
|
|
3.250 |
% |
|
|
1,905,000 |
|
|
|
1,808,776 |
|
| 03/24/2031 |
|
|
3.125 |
% |
|
|
3,565,000 |
|
|
|
3,073,116 |
|
| 03/15/2033 |
|
|
6.250 |
% |
|
|
265,000 |
|
|
|
274,428 |
|
| 03/15/2052 |
|
|
4.250 |
% |
|
|
2,142,000 |
|
|
|
1,617,981 |
|
| Energean Israel Finance
Ltd.(a) |
|
| 03/30/2026 |
|
|
4.875 |
% |
|
|
1,321,000 |
|
|
|
1,209,819 |
|
| 03/30/2028 |
|
|
5.375 |
% |
|
|
2,518,000 |
|
|
|
2,192,178 |
|
| Hess Corp. |
|
| 04/01/2027 |
|
|
4.300 |
% |
|
|
1,902,000 |
|
|
|
1,853,557 |
|
| Hilcorp Energy I LP/Finance
Co.(a) |
|
| 04/15/2030 |
|
|
6.000 |
% |
|
|
825,000 |
|
|
|
769,741 |
|
| 02/01/2031 |
|
|
6.000 |
% |
|
|
1,560,000 |
|
|
|
1,447,318 |
|
| 04/15/2032 |
|
|
6.250 |
% |
|
|
2,350,000 |
|
|
|
2,171,882 |
|
| 11/01/2033 |
|
|
8.375 |
% |
|
|
450,000 |
|
|
|
463,582 |
|
| Lundin Energy Finance
BV(a) |
|
| 07/15/2026 |
|
|
2.000 |
% |
|
|
5,128,000 |
|
|
|
4,675,406 |
|
| 07/15/2031 |
|
|
3.100 |
% |
|
|
1,575,000 |
|
|
|
1,300,488 |
|
| Occidental Petroleum Corp. |
|
| 07/15/2027 |
|
|
8.500 |
% |
|
|
213,000 |
|
|
|
229,881 |
|
| 01/01/2031 |
|
|
6.125 |
% |
|
|
600,000 |
|
|
|
606,656 |
|
| 05/01/2031 |
|
|
7.500 |
% |
|
|
556,000 |
|
|
|
604,144 |
|
| 03/15/2046 |
|
|
6.600 |
% |
|
|
633,000 |
|
|
|
648,528 |
|
| Ovintiv, Inc. |
|
| 05/15/2028 |
|
|
5.650 |
% |
|
|
5,513,000 |
|
|
|
5,499,321 |
|
| 07/15/2033 |
|
|
6.250 |
% |
|
|
543,000 |
|
|
|
542,120 |
|
| 07/15/2053 |
|
|
7.100 |
% |
|
|
1,204,000 |
|
|
|
1,248,564 |
|
| Pioneer Natural Resources Co. |
|
| 03/29/2026 |
|
|
5.100 |
% |
|
|
3,350,000 |
|
|
|
3,340,749 |
|
| Santos Finance Ltd.(a) |
|
| 09/19/2033 |
|
|
6.875 |
% |
|
|
8,790,000 |
|
|
|
8,870,767 |
|
|
|
|
| 38 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Southwestern Energy Co. |
|
| 02/01/2032 |
|
|
4.750 |
% |
|
|
1,550,000 |
|
|
|
1,384,801 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
73,374,860 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Integrated Energy 0.1% |
|
| BP Capital Markets America, Inc. |
|
| 09/11/2033 |
|
|
4.893 |
% |
|
|
605,000 |
|
|
|
590,745 |
|
| 06/04/2051 |
|
|
2.939 |
% |
|
|
1,396,000 |
|
|
|
903,300 |
|
| BP Capital Markets
PLC(k),(l) |
|
|
|
|
4.375 |
% |
|
|
5,000,000 |
|
|
|
4,829,984 |
|
|
|
|
4.875 |
% |
|
|
825,000 |
|
|
|
744,253 |
|
| Cenovus Energy, Inc. |
|
| 06/15/2047 |
|
|
5.400 |
% |
|
|
423,000 |
|
|
|
377,914 |
|
| 02/15/2052 |
|
|
3.750 |
% |
|
|
3,750,000 |
|
|
|
2,600,969 |
|
| Chevron Corp. |
|
| 05/11/2050 |
|
|
3.078 |
% |
|
|
1,540,000 |
|
|
|
1,086,098 |
|
| Exxon Mobil Corp. |
|
| 04/15/2051 |
|
|
3.452 |
% |
|
|
2,735,000 |
|
|
|
2,025,291 |
|
| Reliance Industries
Ltd.(a) |
|
| 01/12/2052 |
|
|
3.625 |
% |
|
|
1,300,000 |
|
|
|
870,238 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
14,028,792 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Leisure 0.1% |
|
| Carnival Corp.(a) |
|
| 03/01/2027 |
|
|
5.750 |
% |
|
|
1,450,000 |
|
|
|
1,376,812 |
|
| 05/01/2029 |
|
|
6.000 |
% |
|
|
325,000 |
|
|
|
299,029 |
|
| NCL Corp., Ltd.(a) |
|
| 03/15/2026 |
|
|
5.875 |
% |
|
|
700,000 |
|
|
|
662,719 |
|
| NCL Finance Ltd.(a) |
|
| 03/15/2028 |
|
|
6.125 |
% |
|
|
975,000 |
|
|
|
886,149 |
|
| Royal Caribbean Cruises
Ltd.(a) |
|
| 08/31/2026 |
|
|
5.500 |
% |
|
|
275,000 |
|
|
|
267,702 |
|
| 01/15/2029 |
|
|
9.250 |
% |
|
|
750,000 |
|
|
|
797,713 |
|
| 01/15/2030 |
|
|
7.250 |
% |
|
|
300,000 |
|
|
|
305,538 |
|
| Viking Cruises Ltd.(a) |
|
| 09/15/2027 |
|
|
5.875 |
% |
|
|
1,575,000 |
|
|
|
1,485,328 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
6,080,990 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Life Insurance 0.9% |
|
| AIG Global Funding(a) |
|
| 09/22/2025 |
|
|
0.900 |
% |
|
|
3,545,000 |
|
|
|
3,261,996 |
|
| Athene Global Funding(a) |
|
| 06/29/2026 |
|
|
1.608 |
% |
|
|
2,930,000 |
|
|
|
2,601,763 |
|
| 03/08/2027 |
|
|
3.205 |
% |
|
|
1,430,000 |
|
|
|
1,292,173 |
|
| 03/24/2028 |
|
|
2.500 |
% |
|
|
1,620,000 |
|
|
|
1,399,589 |
|
| 08/19/2028 |
|
|
1.985 |
% |
|
|
4,380,000 |
|
|
|
3,663,132 |
|
| 01/07/2029 |
|
|
2.717 |
% |
|
|
320,000 |
|
|
|
270,847 |
|
| Brighthouse Financial Global
Funding(a) |
|
| 01/13/2025 |
|
|
1.750 |
% |
|
|
3,210,000 |
|
|
|
3,053,655 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Brighthouse Financial,
Inc.(a) |
|
| 12/15/2023 |
|
|
1.200 |
% |
|
|
4,580,000 |
|
|
|
4,567,230 |
|
| CNO Global Funding(a) |
|
| 01/06/2029 |
|
|
2.650 |
% |
|
|
5,235,000 |
|
|
|
4,405,022 |
|
| Corebridge Financial, Inc. |
|
| 04/05/2029 |
|
|
3.850 |
% |
|
|
1,480,000 |
|
|
|
1,356,026 |
|
| 04/05/2032 |
|
|
3.900 |
% |
|
|
2,961,000 |
|
|
|
2,596,670 |
|
| Corebridge Financial,
Inc.(a) |
|
| 09/15/2033 |
|
|
6.050 |
% |
|
|
991,000 |
|
|
|
1,002,827 |
|
| Corebridge Financial,
Inc.(l) |
|
| 12/15/2052 |
|
|
6.875 |
% |
|
|
2,014,000 |
|
|
|
1,935,646 |
|
| Equitable Financial Life Global
Funding(a) |
|
| 12/02/2025 |
|
|
5.500 |
% |
|
|
4,165,000 |
|
|
|
4,130,736 |
|
| F&G Global
Funding(a) |
|
| 07/07/2025 |
|
|
5.150 |
% |
|
|
4,475,000 |
|
|
|
4,372,479 |
|
| 09/20/2028 |
|
|
2.000 |
% |
|
|
2,160,000 |
|
|
|
1,789,303 |
|
| GA Global Funding
Trust(a) |
|
| 12/08/2023 |
|
|
1.250 |
% |
|
|
2,260,000 |
|
|
|
2,257,061 |
|
| 01/06/2027 |
|
|
2.250 |
% |
|
|
5,780,000 |
|
|
|
5,163,962 |
|
| Great-West Lifeco US Finance 2020
LP(a) |
|
| 08/12/2025 |
|
|
0.904 |
% |
|
|
4,190,000 |
|
|
|
3,852,623 |
|
| Hill City Funding
Trust(a) |
|
| 08/15/2041 |
|
|
4.046 |
% |
|
|
2,750,000 |
|
|
|
1,879,946 |
|
| Jackson National Life Global
Funding(a) |
|
| 01/12/2025 |
|
|
1.750 |
% |
|
|
4,800,000 |
|
|
|
4,557,728 |
|
| 04/12/2028 |
|
|
5.250 |
% |
|
|
1,200,000 |
|
|
|
1,139,014 |
|
| Lincoln National Corp. |
|
| 01/15/2031 |
|
|
3.400 |
% |
|
|
6,000,000 |
|
|
|
5,008,533 |
|
| 06/15/2040 |
|
|
7.000 |
% |
|
|
930,000 |
|
|
|
966,558 |
|
| MetLife, Inc. |
|
| 07/15/2033 |
|
|
5.375 |
% |
|
|
1,745,000 |
|
|
|
1,738,810 |
|
| Metropolitan Life Global Funding
I(a) |
|
| 08/25/2029 |
|
|
4.300 |
% |
|
|
4,965,000 |
|
|
|
4,698,529 |
|
| New York Life Global
Funding(a) |
|
| 09/18/2026 |
|
|
5.450 |
% |
|
|
2,900,000 |
|
|
|
2,921,623 |
|
| 08/01/2031 |
|
|
1.850 |
% |
|
|
3,755,000 |
|
|
|
2,928,359 |
|
| New York Life Insurance
Co.(a) |
|
| Subordinated |
|
| 05/15/2050 |
|
|
3.750 |
% |
|
|
2,545,000 |
|
|
|
1,861,279 |
|
| Northwestern Mutual Global
Funding(a) |
|
| 06/01/2028 |
|
|
1.700 |
% |
|
|
1,265,000 |
|
|
|
1,086,498 |
|
| 06/12/2028 |
|
|
4.900 |
% |
|
|
5,740,000 |
|
|
|
5,652,931 |
|
| Northwestern Mutual Life Insurance Co. (The)(a) |
|
| Subordinated |
|
| 03/30/2051 |
|
|
3.450 |
% |
|
|
372,000 |
|
|
|
251,302 |
|
| Pine Street Trust II(a) |
|
| 02/15/2049 |
|
|
5.568 |
% |
|
|
1,890,000 |
|
|
|
1,600,204 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
39 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Protective Life Global
Funding(a) |
|
| 01/13/2025 |
|
|
1.646 |
% |
|
|
2,970,000 |
|
|
|
2,842,240 |
|
| Reliance Standard Life Global Funding
II(a) |
|
| 05/07/2025 |
|
|
2.750 |
% |
|
|
4,340,000 |
|
|
|
4,129,007 |
|
| RGA Global Funding(a) |
|
| 11/21/2028 |
|
|
6.000 |
% |
|
|
727,000 |
|
|
|
733,622 |
|
| 01/18/2029 |
|
|
2.700 |
% |
|
|
3,655,000 |
|
|
|
3,158,678 |
|
| Teachers Insurance & Annuity Association of America(a) |
|
| Subordinated |
|
| 09/15/2044 |
|
|
4.900 |
% |
|
|
2,791,000 |
|
|
|
2,478,803 |
|
| 05/15/2047 |
|
|
4.270 |
% |
|
|
4,785,000 |
|
|
|
3,874,435 |
|
| 05/15/2050 |
|
|
3.300 |
% |
|
|
3,980,000 |
|
|
|
2,645,159 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
109,125,998 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Lodging 0.0% |
|
| Hyatt Hotels Corp. |
|
| 01/30/2027 |
|
|
5.750 |
% |
|
|
2,780,000 |
|
|
|
2,814,775 |
|
| Marriott International, Inc. |
|
| 10/15/2032 |
|
|
3.500 |
% |
|
|
3,400,000 |
|
|
|
2,889,491 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
5,704,266 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Media and Entertainment 0.4% |
|
| AMC Networks, Inc. |
|
| 04/01/2024 |
|
|
5.000 |
% |
|
|
1,300,000 |
|
|
|
1,299,010 |
|
| Diamond Sports Group LLC/Finance
Co.(a),(m) |
|
| 08/15/2026 |
|
|
0.000 |
% |
|
|
7,810,000 |
|
|
|
191,639 |
|
| Discovery Communications LLC |
|
| 05/15/2049 |
|
|
5.300 |
% |
|
|
1,063,000 |
|
|
|
868,726 |
|
| 09/15/2055 |
|
|
4.000 |
% |
|
|
1,298,000 |
|
|
|
856,961 |
|
| Fox Corp. |
|
| 10/13/2033 |
|
|
6.500 |
% |
|
|
7,975,000 |
|
|
|
8,299,907 |
|
| Gray Television, Inc.(a) |
|
| 07/15/2026 |
|
|
5.875 |
% |
|
|
900,000 |
|
|
|
849,800 |
|
| 05/15/2027 |
|
|
7.000 |
% |
|
|
1,460,000 |
|
|
|
1,326,958 |
|
| Interpublic Group of Companies, Inc. (The) |
|
| 04/15/2024 |
|
|
4.200 |
% |
|
|
333,000 |
|
|
|
329,778 |
|
| Meta Platforms, Inc. |
|
| 08/15/2027 |
|
|
3.500 |
% |
|
|
773,000 |
|
|
|
740,440 |
|
| 08/15/2052 |
|
|
4.450 |
% |
|
|
2,563,000 |
|
|
|
2,182,454 |
|
| 08/15/2062 |
|
|
4.650 |
% |
|
|
266,000 |
|
|
|
228,900 |
|
| 05/15/2063 |
|
|
5.750 |
% |
|
|
2,469,000 |
|
|
|
2,512,783 |
|
| Prosus NV(a) |
|
| 01/19/2052 |
|
|
4.987 |
% |
|
|
2,505,000 |
|
|
|
1,769,869 |
|
| Take-Two Interactive Software, Inc. |
|
| 03/28/2028 |
|
|
4.950 |
% |
|
|
2,830,000 |
|
|
|
2,798,340 |
|
| Univision Communications,
Inc.(a) |
|
| 05/01/2029 |
|
|
4.500 |
% |
|
|
1,690,000 |
|
|
|
1,482,366 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Viacom, Inc. |
|
| 04/30/2036 |
|
|
6.875 |
% |
|
|
197,000 |
|
|
|
188,192 |
|
| 03/15/2043 |
|
|
4.375 |
% |
|
|
647,000 |
|
|
|
440,490 |
|
| 09/01/2043 |
|
|
5.850 |
% |
|
|
1,085,000 |
|
|
|
885,489 |
|
| ViacomCBS, Inc. |
|
| 01/15/2031 |
|
|
4.950 |
% |
|
|
880,000 |
|
|
|
797,323 |
|
| 05/19/2032 |
|
|
4.200 |
% |
|
|
449,000 |
|
|
|
379,819 |
|
| 05/19/2050 |
|
|
4.950 |
% |
|
|
893,000 |
|
|
|
657,062 |
|
| Warnermedia Holdings, Inc. |
|
| 03/15/2027 |
|
|
3.755 |
% |
|
|
2,401,000 |
|
|
|
2,265,352 |
|
| 03/15/2032 |
|
|
4.279 |
% |
|
|
30,000 |
|
|
|
26,477 |
|
| 03/15/2042 |
|
|
5.050 |
% |
|
|
8,094,000 |
|
|
|
6,685,775 |
|
| 03/15/2052 |
|
|
5.141 |
% |
|
|
15,152,000 |
|
|
|
12,109,365 |
|
| 03/15/2062 |
|
|
5.391 |
% |
|
|
713,000 |
|
|
|
567,756 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
50,741,031 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Metals and Mining 0.4% |
|
| Anglo American Capital
PLC(a) |
|
| 03/17/2028 |
|
|
2.250 |
% |
|
|
530,000 |
|
|
|
460,899 |
|
| 05/02/2033 |
|
|
5.500 |
% |
|
|
1,299,000 |
|
|
|
1,260,020 |
|
| 03/16/2052 |
|
|
4.750 |
% |
|
|
434,000 |
|
|
|
347,863 |
|
| AngloGold Ashanti Holdings PLC |
|
| 10/01/2030 |
|
|
3.750 |
% |
|
|
1,400,000 |
|
|
|
1,179,444 |
|
| BHP Billiton Finance USA Ltd. |
|
| 09/08/2030 |
|
|
5.250 |
% |
|
|
1,162,000 |
|
|
|
1,173,578 |
|
| 02/28/2033 |
|
|
4.900 |
% |
|
|
1,135,000 |
|
|
|
1,117,724 |
|
| 09/08/2033 |
|
|
5.250 |
% |
|
|
1,279,000 |
|
|
|
1,281,274 |
|
| 09/08/2053 |
|
|
5.500 |
% |
|
|
349,000 |
|
|
|
354,556 |
|
| Cleveland-Cliffs,
Inc.(a) |
|
| 04/15/2030 |
|
|
6.750 |
% |
|
|
1,470,000 |
|
|
|
1,430,818 |
|
| CSN Resources SA(a),(e) |
|
| 12/05/2030 |
|
|
8.875 |
% |
|
|
3,275,000 |
|
|
|
3,282,107 |
|
| First Quantum Minerals
Ltd.(a) |
|
| 04/01/2025 |
|
|
7.500 |
% |
|
|
1,275,000 |
|
|
|
1,179,961 |
|
| Freeport-McMoRan, Inc. |
|
| 11/14/2034 |
|
|
5.400 |
% |
|
|
5,000,000 |
|
|
|
4,734,920 |
|
| Glencore Funding LLC(a) |
|
| 10/06/2033 |
|
|
6.500 |
% |
|
|
4,100,000 |
|
|
|
4,289,796 |
|
| Hecla Mining Co. |
|
| 02/15/2028 |
|
|
7.250 |
% |
|
|
675,000 |
|
|
|
668,804 |
|
| Kinross Gold Corp. |
|
| 07/15/2027 |
|
|
4.500 |
% |
|
|
1,239,000 |
|
|
|
1,196,685 |
|
| Newmont Corp. |
|
| 10/01/2030 |
|
|
2.250 |
% |
|
|
10,077,000 |
|
|
|
8,353,708 |
|
| Northern Star Resources
Ltd.(a) |
|
| 04/11/2033 |
|
|
6.125 |
% |
|
|
2,105,000 |
|
|
|
2,021,160 |
|
| Novelis Corp.(a) |
|
| 01/30/2030 |
|
|
4.750 |
% |
|
|
1,390,000 |
|
|
|
1,262,978 |
|
|
|
|
| 40 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Nucor Corp. |
|
|
|
|
|
| 05/23/2027 |
|
|
4.300 |
% |
|
|
690,000 |
|
|
|
672,529 |
|
| 05/01/2028 |
|
|
3.950 |
% |
|
|
1,500,000 |
|
|
|
1,435,379 |
|
| Rio Tinto Finance USA PLC |
|
|
|
|
|
| 03/09/2033 |
|
|
5.000 |
% |
|
|
253,000 |
|
|
|
251,884 |
|
| 03/09/2053 |
|
|
5.125 |
% |
|
|
1,270,000 |
|
|
|
1,219,415 |
|
| Southern Copper Corp. |
|
|
|
|
|
| 04/23/2025 |
|
|
3.875 |
% |
|
|
600,000 |
|
|
|
585,122 |
|
| Steel Dynamics, Inc. |
|
|
|
|
|
| 06/15/2025 |
|
|
2.400 |
% |
|
|
491,000 |
|
|
|
466,843 |
|
| 10/15/2027 |
|
|
1.650 |
% |
|
|
747,000 |
|
|
|
651,149 |
|
| 01/15/2031 |
|
|
3.250 |
% |
|
|
1,510,000 |
|
|
|
1,312,247 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
42,190,863 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Midstream 1.1% |
|
|
|
|
|
| AmeriGas Partners LP/Finance Corp. |
|
|
|
|
|
| 08/20/2026 |
|
|
5.875 |
% |
|
|
2,300,000 |
|
|
|
2,240,317 |
|
| Antero Midstream Partners LP/Finance
Corp.(a) |
|
|
|
|
|
| 01/15/2028 |
|
|
5.750 |
% |
|
|
1,300,000 |
|
|
|
1,259,109 |
|
| Cheniere Energy Partners
LP(a) |
|
|
|
|
|
| 06/30/2033 |
|
|
5.950 |
% |
|
|
1,038,000 |
|
|
|
1,030,662 |
|
| Colonial Enterprises,
Inc.(a) |
|
|
|
|
|
| 05/15/2030 |
|
|
3.250 |
% |
|
|
3,505,000 |
|
|
|
3,088,665 |
|
| Colorado Interstate Gas Co. LLC/Issuing Corp.(a) |
|
|
|
|
|
| 08/15/2026 |
|
|
4.150 |
% |
|
|
2,290,000 |
|
|
|
2,192,320 |
|
| Columbia Pipelines Holding Co.
LLC(a) |
|
|
|
|
|
| 08/15/2028 |
|
|
6.042 |
% |
|
|
575,000 |
|
|
|
581,657 |
|
| Columbia Pipelines Operating Co.
LLC(a) |
|
|
|
|
|
| 11/15/2033 |
|
|
6.036 |
% |
|
|
2,815,000 |
|
|
|
2,843,359 |
|
| Crestwood Midstream Partners LP/Finance Corp.(a) |
|
|
|
|
|
| 05/01/2027 |
|
|
5.625 |
% |
|
|
1,375,000 |
|
|
|
1,351,554 |
|
| DT Midstream, Inc.(a) |
|
|
|
|
|
| 06/15/2031 |
|
|
4.375 |
% |
|
|
1,600,000 |
|
|
|
1,405,886 |
|
| EIG Pearl Holdings
Sarl(a) |
|
|
|
|
|
| 08/31/2036 |
|
|
3.545 |
% |
|
|
1,400,000 |
|
|
|
1,167,778 |
|
| 08/31/2036 |
|
|
3.545 |
% |
|
|
900,000 |
|
|
|
750,715 |
|
| Enbridge, Inc. |
|
|
|
|
|
| 03/08/2033 |
|
|
5.700 |
% |
|
|
3,759,000 |
|
|
|
3,760,159 |
|
| Enbridge, Inc.(l) |
|
|
|
|
|
| 07/15/2080 |
|
|
5.750 |
% |
|
|
1,213,000 |
|
|
|
1,055,651 |
|
| 01/15/2084 |
|
|
8.500 |
% |
|
|
3,925,000 |
|
|
|
3,935,301 |
|
| Energy Transfer LP |
|
|
|
|
|
| 12/01/2033 |
|
|
6.550 |
% |
|
|
2,154,000 |
|
|
|
2,255,647 |
|
| Energy Transfer Operating LP |
|
|
|
|
|
| 01/15/2024 |
|
|
5.875 |
% |
|
|
2,481,000 |
|
|
|
2,479,719 |
|
| 05/15/2050 |
|
|
5.000 |
% |
|
|
3,140,000 |
|
|
|
2,642,641 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Energy Transfer Partners LP |
|
|
|
|
|
| 03/15/2035 |
|
|
4.900 |
% |
|
|
134,000 |
|
|
|
121,783 |
|
| 06/15/2038 |
|
|
5.800 |
% |
|
|
646,000 |
|
|
|
617,440 |
|
| 10/01/2043 |
|
|
5.950 |
% |
|
|
280,000 |
|
|
|
258,852 |
|
| 03/15/2045 |
|
|
5.150 |
% |
|
|
1,625,000 |
|
|
|
1,409,084 |
|
| 06/15/2048 |
|
|
6.000 |
% |
|
|
173,000 |
|
|
|
165,290 |
|
| EnLink Midstream LLC(a) |
|
|
|
|
|
| 09/01/2030 |
|
|
6.500 |
% |
|
|
1,325,000 |
|
|
|
1,332,660 |
|
| Enterprise Products Operating LLC |
|
|
|
|
|
| 02/15/2024 |
|
|
3.900 |
% |
|
|
500,000 |
|
|
|
498,005 |
|
| 05/15/2046 |
|
|
4.900 |
% |
|
|
1,400,000 |
|
|
|
1,270,444 |
|
| Enterprise Products Operating
LLC(b) |
|
|
|
|
|
| 3-month Term SOFR + 3.248% |
|
|
|
|
|
| 08/16/2077 |
|
|
8.638 |
% |
|
|
324,000 |
|
|
|
321,855 |
|
| Ferrellgas LP/Finance
Corp.(a) |
|
|
|
|
|
| 04/01/2029 |
|
|
5.875 |
% |
|
|
325,000 |
|
|
|
299,173 |
|
| Galaxy Pipeline Assets Bidco
Ltd.(a) |
|
|
|
|
|
| 03/31/2034 |
|
|
2.160 |
% |
|
|
726,271 |
|
|
|
614,928 |
|
| 09/30/2040 |
|
|
2.940 |
% |
|
|
419,904 |
|
|
|
330,634 |
|
| Greensaif Pipelines Bidco
Sarl(a) |
|
|
|
|
|
| 02/23/2038 |
|
|
6.129 |
% |
|
|
975,000 |
|
|
|
974,732 |
|
| 02/23/2042 |
|
|
6.510 |
% |
|
|
975,000 |
|
|
|
977,625 |
|
| Kinder Morgan Energy Partners LP |
|
|
|
|
|
| 09/01/2024 |
|
|
4.250 |
% |
|
|
482,000 |
|
|
|
476,205 |
|
| 03/15/2032 |
|
|
7.750 |
% |
|
|
635,000 |
|
|
|
696,298 |
|
| 09/01/2039 |
|
|
6.500 |
% |
|
|
1,000,000 |
|
|
|
998,990 |
|
| 08/15/2042 |
|
|
5.000 |
% |
|
|
637,000 |
|
|
|
538,192 |
|
| 03/01/2043 |
|
|
5.000 |
% |
|
|
531,000 |
|
|
|
446,040 |
|
| Kinder Morgan, Inc. |
|
|
|
|
|
| 02/01/2033 |
|
|
4.800 |
% |
|
|
691,000 |
|
|
|
643,020 |
|
| 02/15/2046 |
|
|
5.050 |
% |
|
|
332,000 |
|
|
|
278,590 |
|
| Magellan Midstream Partners LP |
|
|
|
|
|
| 09/15/2046 |
|
|
4.250 |
% |
|
|
320,000 |
|
|
|
237,346 |
|
| MPLX LP |
|
|
|
|
|
| 12/01/2024 |
|
|
4.875 |
% |
|
|
325,000 |
|
|
|
321,750 |
|
| 06/01/2025 |
|
|
4.875 |
% |
|
|
200,000 |
|
|
|
197,892 |
|
| 03/01/2026 |
|
|
1.750 |
% |
|
|
335,000 |
|
|
|
308,864 |
|
| 03/15/2028 |
|
|
4.000 |
% |
|
|
2,434,000 |
|
|
|
2,299,101 |
|
| 03/01/2047 |
|
|
5.200 |
% |
|
|
1,500,000 |
|
|
|
1,303,920 |
|
| NGPL PipeCo LLC(a) |
|
|
|
|
|
| 08/15/2027 |
|
|
4.875 |
% |
|
|
412,000 |
|
|
|
396,530 |
|
| Northern Natural Gas
Co.(a) |
|
|
|
|
|
| 10/16/2051 |
|
|
3.400 |
% |
|
|
496,000 |
|
|
|
320,663 |
|
| ONEOK Partners LP |
|
|
|
|
|
| 09/15/2043 |
|
|
6.200 |
% |
|
|
721,000 |
|
|
|
706,245 |
|
| ONEOK, Inc. |
|
|
|
|
|
| 01/15/2026 |
|
|
5.850 |
% |
|
|
504,000 |
|
|
|
507,782 |
|
| 09/01/2033 |
|
|
6.050 |
% |
|
|
4,230,000 |
|
|
|
4,305,463 |
|
| 03/15/2050 |
|
|
4.500 |
% |
|
|
6,830,000 |
|
|
|
5,346,773 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
41 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Plains All American Pipeline LP/Finance Corp. |
|
|
|
|
|
| 10/15/2025 |
|
|
4.650 |
% |
|
|
1,807,000 |
|
|
|
1,771,267 |
|
| 06/01/2042 |
|
|
5.150 |
% |
|
|
2,185,000 |
|
|
|
1,844,640 |
|
| Rockies Express Pipeline
LLC(a) |
|
|
|
|
|
| 07/15/2029 |
|
|
4.950 |
% |
|
|
2,435,000 |
|
|
|
2,246,428 |
|
| 05/15/2030 |
|
|
4.800 |
% |
|
|
1,500,000 |
|
|
|
1,342,478 |
|
| Sabine Pass Liquefaction LLC |
|
|
|
|
|
| 03/15/2027 |
|
|
5.000 |
% |
|
|
2,472,000 |
|
|
|
2,450,149 |
|
| 03/15/2028 |
|
|
4.200 |
% |
|
|
177,000 |
|
|
|
169,155 |
|
| Southern Natural Gas Co. LLC |
|
|
|
|
|
| 02/15/2031 |
|
|
7.350 |
% |
|
|
2,910,000 |
|
|
|
3,034,072 |
|
| Sunoco Logistics Partners Operations LP |
|
|
|
|
|
| 04/01/2044 |
|
|
5.300 |
% |
|
|
1,239,000 |
|
|
|
1,082,018 |
|
| 05/15/2045 |
|
|
5.350 |
% |
|
|
25,000 |
|
|
|
21,823 |
|
| 10/01/2047 |
|
|
5.400 |
% |
|
|
3,041,000 |
|
|
|
2,678,092 |
|
| Tallgrass Energy Partners LP/Finance
Corp.(a) |
|
|
|
|
|
| 10/01/2025 |
|
|
7.500 |
% |
|
|
1,875,000 |
|
|
|
1,889,885 |
|
| 01/15/2028 |
|
|
5.500 |
% |
|
|
142,000 |
|
|
|
131,493 |
|
| Targa Resources Corp. |
|
|
|
|
|
| 03/01/2029 |
|
|
6.150 |
% |
|
|
4,490,000 |
|
|
|
4,589,152 |
|
| 03/30/2034 |
|
|
6.500 |
% |
|
|
2,142,000 |
|
|
|
2,238,895 |
|
| 04/15/2052 |
|
|
4.950 |
% |
|
|
472,000 |
|
|
|
386,514 |
|
| 07/01/2052 |
|
|
6.250 |
% |
|
|
753,000 |
|
|
|
734,888 |
|
| 02/15/2053 |
|
|
6.500 |
% |
|
|
2,450,000 |
|
|
|
2,488,044 |
|
| Targa Resources Partners LP/Finance Corp. |
|
|
|
|
|
| 02/01/2031 |
|
|
4.875 |
% |
|
|
1,189,000 |
|
|
|
1,106,937 |
|
| TMS Issuer Sarl(a) |
|
|
|
|
|
| 08/23/2032 |
|
|
5.780 |
% |
|
|
1,030,000 |
|
|
|
1,044,635 |
|
| TransCanada PipeLines Ltd. |
|
|
|
|
|
| 03/01/2034 |
|
|
4.625 |
% |
|
|
3,280,000 |
|
|
|
2,971,299 |
|
| 03/15/2036 |
|
|
5.850 |
% |
|
|
185,000 |
|
|
|
183,133 |
|
| Transcontinental Gas Pipe Line Co. LLC |
|
|
|
|
|
| 05/15/2030 |
|
|
3.250 |
% |
|
|
242,000 |
|
|
|
213,691 |
|
| 03/15/2048 |
|
|
4.600 |
% |
|
|
4,875,000 |
|
|
|
4,056,722 |
|
| TransMontaigne Partners LP/TLP Finance Corp. |
|
|
|
|
|
| 02/15/2026 |
|
|
6.125 |
% |
|
|
1,500,000 |
|
|
|
1,308,453 |
|
| Venture Global Calcasieu Pass
LLC(a) |
|
|
|
|
|
| 08/15/2029 |
|
|
3.875 |
% |
|
|
750,000 |
|
|
|
658,712 |
|
| 08/15/2031 |
|
|
4.125 |
% |
|
|
3,250,000 |
|
|
|
2,804,009 |
|
| Venture Global LNG,
Inc.(a) |
|
|
|
|
|
| 02/01/2029 |
|
|
9.500 |
% |
|
|
1,434,000 |
|
|
|
1,481,016 |
|
| 06/01/2031 |
|
|
8.375 |
% |
|
|
1,335,000 |
|
|
|
1,316,665 |
|
| Western Gas Partners LP |
|
|
|
|
|
| 03/01/2048 |
|
|
5.300 |
% |
|
|
2,930,000 |
|
|
|
2,416,040 |
|
| Williams Companies, Inc. (The) |
|
|
|
|
|
| 01/15/2025 |
|
|
3.900 |
% |
|
|
1,050,000 |
|
|
|
1,028,509 |
|
| 09/15/2025 |
|
|
4.000 |
% |
|
|
2,327,000 |
|
|
|
2,266,126 |
|
| 03/15/2032 |
|
|
8.750 |
% |
|
|
3,486,000 |
|
|
|
4,080,268 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Williams Companies., Inc. (The) |
|
|
|
|
|
| 03/02/2026 |
|
|
5.400 |
% |
|
|
3,250,000 |
|
|
|
3,248,806 |
|
| Williams Partners LP |
|
|
|
|
|
| 03/04/2024 |
|
|
4.300 |
% |
|
|
2,787,000 |
|
|
|
2,774,870 |
|
| 03/04/2044 |
|
|
5.400 |
% |
|
|
263,000 |
|
|
|
238,985 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
125,861,178 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Natural Gas 0.2% |
|
|
|
|
|
| Boston Gas Co.(a) |
|
|
|
|
|
| 08/01/2027 |
|
|
3.150 |
% |
|
|
1,472,000 |
|
|
|
1,350,214 |
|
| KeySpan Corp. |
|
|
|
|
|
| 11/15/2030 |
|
|
8.000 |
% |
|
|
670,000 |
|
|
|
750,470 |
|
| KeySpan Gas East Corp.(a) |
|
|
|
|
|
| 03/06/2033 |
|
|
5.994 |
% |
|
|
4,625,000 |
|
|
|
4,545,006 |
|
| NiSource, Inc. |
|
|
|
|
|
| 02/15/2031 |
|
|
1.700 |
% |
|
|
605,000 |
|
|
|
470,374 |
|
| 06/30/2033 |
|
|
5.400 |
% |
|
|
930,000 |
|
|
|
921,939 |
|
| ONE Gas, Inc. |
|
|
|
|
|
| 03/11/2024 |
|
|
1.100 |
% |
|
|
696,000 |
|
|
|
686,586 |
|
| Piedmont Natural Gas Co., Inc. |
|
|
|
|
|
| 06/15/2033 |
|
|
5.400 |
% |
|
|
455,000 |
|
|
|
449,343 |
|
| Sempra Energy(l) |
|
|
|
|
|
| 04/01/2052 |
|
|
4.125 |
% |
|
|
2,745,000 |
|
|
|
2,242,138 |
|
| South Jersey Industries, Inc. |
|
|
|
|
|
| Junior Subordinated |
|
|
|
|
|
| 04/15/2031 |
|
|
5.020 |
% |
|
|
1,422,000 |
|
|
|
1,100,037 |
|
| Southern Co. Gas Capital Corp. |
|
|
|
|
|
| 09/15/2032 |
|
|
5.150 |
% |
|
|
5,715,000 |
|
|
|
5,571,852 |
|
| 03/15/2041 |
|
|
5.875 |
% |
|
|
1,940,000 |
|
|
|
1,860,802 |
|
| 05/30/2047 |
|
|
4.400 |
% |
|
|
443,000 |
|
|
|
348,426 |
|
| Southwest Gas Corp. |
|
|
|
|
|
| 08/15/2051 |
|
|
3.180 |
% |
|
|
2,930,000 |
|
|
|
1,751,296 |
|
| Washington Gas Light Co. |
|
|
|
|
|
| 09/15/2049 |
|
|
3.650 |
% |
|
|
587,000 |
|
|
|
402,900 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
22,451,383 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Office REIT 0.1% |
|
|
|
|
|
| Alexandria Real Estate Equities, Inc. |
|
|
|
|
|
| 03/15/2052 |
|
|
3.550 |
% |
|
|
174,000 |
|
|
|
117,150 |
|
| 04/15/2053 |
|
|
5.150 |
% |
|
|
169,000 |
|
|
|
150,974 |
|
| Highwoods Realty LP |
|
|
|
|
|
| 02/01/2034 |
|
|
7.650 |
% |
|
|
1,835,000 |
|
|
|
1,847,541 |
|
| Hudson Pacific Properties LP |
|
|
|
|
|
| 11/01/2027 |
|
|
3.950 |
% |
|
|
3,870,000 |
|
|
|
3,043,607 |
|
| 02/15/2028 |
|
|
5.950 |
% |
|
|
3,520,000 |
|
|
|
2,980,181 |
|
| 04/01/2029 |
|
|
4.650 |
% |
|
|
670,000 |
|
|
|
504,336 |
|
| 01/15/2030 |
|
|
3.250 |
% |
|
|
1,510,000 |
|
|
|
1,005,075 |
|
| Kilroy Realty LP |
|
|
|
|
|
| 11/15/2033 |
|
|
2.650 |
% |
|
|
1,875,000 |
|
|
|
1,301,853 |
|
|
|
|
| 42 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Piedmont Operating Partnership LP |
|
|
|
|
|
| 08/15/2030 |
|
|
3.150 |
% |
|
|
1,675,000 |
|
|
|
1,212,356 |
|
| 04/01/2032 |
|
|
2.750 |
% |
|
|
2,339,000 |
|
|
|
1,551,792 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
13,714,865 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Oil Field Services 0.0% |
|
|
|
|
|
| Schlumberger Holdings
Corp.(a) |
|
|
|
|
|
| 05/17/2028 |
|
|
3.900 |
% |
|
|
2,053,000 |
|
|
|
1,949,978 |
|
| Schlumberger Investment SA |
|
|
|
|
|
| 06/26/2030 |
|
|
2.650 |
% |
|
|
817,000 |
|
|
|
711,960 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
2,661,938 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Institutions 0.2% |
|
|
|
|
|
| Five Point Operating Co. LP/Capital
Corp.(a) |
|
|
|
|
|
| 11/15/2025 |
|
|
7.875 |
% |
|
|
2,350,000 |
|
|
|
2,251,420 |
|
| Greystone Commercial Capital
Trust(a),(b),(h),(j) |
|
|
|
|
|
| 1-month USD LIBOR + 2.270% |
|
|
|
|
|
| 05/31/2025 |
|
|
7.720 |
% |
|
|
9,200,000 |
|
|
|
8,694,000 |
|
| Howard Hughes Corp.
(The)(a) |
|
|
|
|
|
| 08/01/2028 |
|
|
5.375 |
% |
|
|
500,000 |
|
|
|
468,670 |
|
| 02/01/2031 |
|
|
4.375 |
% |
|
|
750,000 |
|
|
|
622,912 |
|
| Icahn Enterprises LP/Finance Corp. |
|
|
|
|
|
| 05/15/2026 |
|
|
6.250 |
% |
|
|
900,000 |
|
|
|
849,211 |
|
| 05/15/2027 |
|
|
5.250 |
% |
|
|
1,242,000 |
|
|
|
1,124,482 |
|
| LeasePlan Corp NV(a) |
|
|
|
|
|
| 10/24/2024 |
|
|
2.875 |
% |
|
|
3,440,000 |
|
|
|
3,338,415 |
|
| ORIX Corp. |
|
|
|
|
|
| 12/04/2024 |
|
|
3.250 |
% |
|
|
1,560,000 |
|
|
|
1,520,744 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
18,869,854 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Industry 0.1% |
|
|
|
|
|
| Adtalem Global Education,
Inc.(a) |
|
|
|
|
|
| 03/01/2028 |
|
|
5.500 |
% |
|
|
315,000 |
|
|
|
297,130 |
|
| AECOM |
|
|
|
|
|
| 03/15/2027 |
|
|
5.125 |
% |
|
|
710,000 |
|
|
|
690,813 |
|
| Gohl Capital Ltd.(a) |
|
|
|
|
|
| 01/24/2027 |
|
|
4.250 |
% |
|
|
1,050,000 |
|
|
|
990,119 |
|
| Massachusetts Institute of Technology |
|
|
|
|
|
| 07/01/2114 |
|
|
4.678 |
% |
|
|
1,768,000 |
|
|
|
1,529,689 |
|
| 07/01/2116 |
|
|
3.885 |
% |
|
|
1,850,000 |
|
|
|
1,328,353 |
|
| Northwestern University |
|
|
|
|
|
| 12/01/2057 |
|
|
3.662 |
% |
|
|
1,350,000 |
|
|
|
992,294 |
|
| PowerTeam Services LLC(a) |
|
|
|
|
|
| 12/04/2025 |
|
|
9.033 |
% |
|
|
594,000 |
|
|
|
543,856 |
|
| President and Fellows of Harvard College |
|
|
|
|
|
| 07/15/2046 |
|
|
3.150 |
% |
|
|
3,031,000 |
|
|
|
2,178,217 |
|
| 07/15/2056 |
|
|
3.300 |
% |
|
|
2,230,000 |
|
|
|
1,571,839 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Trustees of the University of Pennsylvania (The) |
|
|
|
|
|
| 09/01/2112 |
|
|
4.674 |
% |
|
|
1,620,000 |
|
|
|
1,381,292 |
|
| University of Southern California |
|
|
|
|
|
| 10/01/2039 |
|
|
3.028 |
% |
|
|
4,525,000 |
|
|
|
3,496,105 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
14,999,707 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other REIT 0.2% |
|
|
|
|
|
| American Assets Trust LP |
|
|
|
|
|
| 02/01/2031 |
|
|
3.375 |
% |
|
|
3,115,000 |
|
|
|
2,385,368 |
|
| CubeSmart LP |
|
|
|
|
|
| 12/15/2028 |
|
|
2.250 |
% |
|
|
959,000 |
|
|
|
820,723 |
|
| Extra Space Storage LP |
|
|
|
|
|
| 12/15/2027 |
|
|
3.875 |
% |
|
|
160,000 |
|
|
|
149,853 |
|
| 04/01/2029 |
|
|
3.900 |
% |
|
|
563,000 |
|
|
|
516,945 |
|
| 06/15/2029 |
|
|
4.000 |
% |
|
|
570,000 |
|
|
|
524,413 |
|
| 10/15/2030 |
|
|
2.200 |
% |
|
|
2,263,000 |
|
|
|
1,802,606 |
|
| 10/15/2031 |
|
|
2.400 |
% |
|
|
670,000 |
|
|
|
527,709 |
|
| 03/15/2032 |
|
|
2.350 |
% |
|
|
3,369,000 |
|
|
|
2,612,470 |
|
| Host Hotels & Resorts LP |
|
|
|
|
|
| 06/15/2025 |
|
|
4.000 |
% |
|
|
1,050,000 |
|
|
|
1,016,003 |
|
| 02/01/2026 |
|
|
4.500 |
% |
|
|
520,000 |
|
|
|
504,148 |
|
| Ladder Capital Finance Holdings
LLLP/Corp.(a) |
|
|
|
|
|
| 06/15/2029 |
|
|
4.750 |
% |
|
|
1,745,000 |
|
|
|
1,518,522 |
|
| Lexington Realty Trust |
|
|
|
|
|
| 10/01/2031 |
|
|
2.375 |
% |
|
|
3,805,000 |
|
|
|
2,907,925 |
|
| Park Intermediate Holdings LLC/Domestic Property/Finance Co-Issuer(a) |
|
|
|
|
|
| 06/01/2025 |
|
|
7.500 |
% |
|
|
2,150,000 |
|
|
|
2,163,006 |
|
| Rexford Industrial Realty LP |
|
|
|
|
|
| 09/01/2031 |
|
|
2.150 |
% |
|
|
3,832,000 |
|
|
|
2,929,989 |
|
| WP Carey, Inc. |
|
|
|
|
|
| 04/01/2033 |
|
|
2.250 |
% |
|
|
4,080,000 |
|
|
|
3,011,774 |
|
| XHR LP(a) |
|
|
|
|
|
| 06/01/2029 |
|
|
4.875 |
% |
|
|
1,625,000 |
|
|
|
1,455,719 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
24,847,173 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Packaging 0.1% |
|
|
|
|
|
| Amcor Flexibles North America, Inc. |
|
|
|
|
|
| 05/17/2025 |
|
|
4.000 |
% |
|
|
2,085,000 |
|
|
|
2,034,592 |
|
| Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) |
|
|
|
|
|
| 08/15/2027 |
|
|
5.250 |
% |
|
|
3,000,000 |
|
|
|
2,205,751 |
|
| 08/15/2027 |
|
|
5.250 |
% |
|
|
325,000 |
|
|
|
238,001 |
|
| Ball Corp. |
|
|
|
|
|
| 03/15/2026 |
|
|
4.875 |
% |
|
|
600,000 |
|
|
|
588,871 |
|
| 06/15/2029 |
|
|
6.000 |
% |
|
|
1,800,000 |
|
|
|
1,795,459 |
|
| Berry Global Escrow
Corp.(a) |
|
|
|
|
|
| 07/15/2026 |
|
|
4.875 |
% |
|
|
1,680,000 |
|
|
|
1,630,668 |
|
| Berry Global, Inc. |
|
|
|
|
|
| 01/15/2026 |
|
|
1.570 |
% |
|
|
3,261,000 |
|
|
|
2,992,221 |
|
| 01/15/2027 |
|
|
1.650 |
% |
|
|
1,273,000 |
|
|
|
1,123,971 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
43 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Pactiv Evergreen Group Issuer
LLC/Inc.(a) |
|
|
|
|
|
| 10/15/2028 |
|
|
4.375 |
% |
|
|
2,725,000 |
|
|
|
2,480,703 |
|
| Reynolds Group Issuer,
Inc./LLC(a) |
|
|
|
|
|
| 10/15/2027 |
|
|
4.000 |
% |
|
|
425,000 |
|
|
|
390,718 |
|
| Sealed Air Corp.(a) |
|
|
|
|
|
| 10/15/2026 |
|
|
1.573 |
% |
|
|
857,000 |
|
|
|
761,343 |
|
| 02/01/2028 |
|
|
6.125 |
% |
|
|
225,000 |
|
|
|
222,464 |
|
| 02/15/2031 |
|
|
7.250 |
% |
|
|
895,000 |
|
|
|
918,902 |
|
| Trivium Packaging Finance
BV(a) |
|
|
|
|
|
| 08/15/2027 |
|
|
8.500 |
% |
|
|
280,000 |
|
|
|
254,457 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
17,638,121 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Paper 0.0% |
|
|
|
|
|
| Cascades, Inc./USA(a) |
|
|
|
|
|
| 01/15/2028 |
|
|
5.375 |
% |
|
|
1,515,000 |
|
|
|
1,432,663 |
|
| Celulosa Arauco y Constitucion SA |
|
|
|
|
|
| 11/02/2027 |
|
|
3.875 |
% |
|
|
700,000 |
|
|
|
639,248 |
|
| Celulosa Arauco y Constitucion
SA(a) |
|
|
|
|
|
| 04/30/2029 |
|
|
4.250 |
% |
|
|
500,000 |
|
|
|
446,457 |
|
| Packaging Corp. of America |
|
|
|
|
|
| 12/01/2033 |
|
|
5.700 |
% |
|
|
914,000 |
|
|
|
926,614 |
|
| Suzano Austria GmbH |
|
|
|
|
|
| 01/15/2029 |
|
|
6.000 |
% |
|
|
275,000 |
|
|
|
272,070 |
|
| 01/15/2030 |
|
|
5.000 |
% |
|
|
825,000 |
|
|
|
772,753 |
|
| 01/15/2031 |
|
|
3.750 |
% |
|
|
1,000,000 |
|
|
|
844,577 |
|
| Weyerhaeuser Co. |
|
|
|
|
|
| 05/15/2026 |
|
|
4.750 |
% |
|
|
481,000 |
|
|
|
473,856 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
5,808,238 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Pharmaceuticals 1.0% |
|
|
|
|
|
| 1375209 BC Ltd.(a) |
|
|
|
|
|
| 01/30/2028 |
|
|
9.000 |
% |
|
|
1,720,000 |
|
|
|
1,659,930 |
|
| AbbVie, Inc. |
|
|
|
|
|
| 11/21/2026 |
|
|
2.950 |
% |
|
|
838,000 |
|
|
|
793,610 |
|
| 03/15/2035 |
|
|
4.550 |
% |
|
|
4,650,000 |
|
|
|
4,396,371 |
|
| 05/14/2035 |
|
|
4.500 |
% |
|
|
2,175,000 |
|
|
|
2,044,787 |
|
| 05/14/2036 |
|
|
4.300 |
% |
|
|
1,926,000 |
|
|
|
1,768,257 |
|
| 11/21/2039 |
|
|
4.050 |
% |
|
|
7,356,000 |
|
|
|
6,321,824 |
|
| 10/01/2042 |
|
|
4.625 |
% |
|
|
1,000,000 |
|
|
|
884,234 |
|
| 05/14/2045 |
|
|
4.700 |
% |
|
|
680,000 |
|
|
|
613,881 |
|
| 11/21/2049 |
|
|
4.250 |
% |
|
|
2,155,000 |
|
|
|
1,814,414 |
|
| Amgen, Inc. |
|
|
|
|
|
| 03/02/2033 |
|
|
5.250 |
% |
|
|
3,506,000 |
|
|
|
3,471,260 |
|
| 03/02/2043 |
|
|
5.600 |
% |
|
|
11,054,000 |
|
|
|
10,818,691 |
|
| 01/15/2052 |
|
|
3.000 |
% |
|
|
4,360,000 |
|
|
|
2,821,746 |
|
| 02/22/2052 |
|
|
4.200 |
% |
|
|
345,000 |
|
|
|
272,169 |
|
| 03/02/2053 |
|
|
5.650 |
% |
|
|
1,976,000 |
|
|
|
1,947,864 |
|
| 09/01/2053 |
|
|
2.770 |
% |
|
|
890,000 |
|
|
|
529,773 |
|
| 02/22/2062 |
|
|
4.400 |
% |
|
|
724,000 |
|
|
|
569,473 |
|
| 03/02/2063 |
|
|
5.750 |
% |
|
|
3,173,000 |
|
|
|
3,108,753 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Bausch Health Companies,
Inc.(a) |
|
|
|
|
|
| 01/30/2028 |
|
|
5.000 |
% |
|
|
1,100,000 |
|
|
|
408,190 |
|
| 02/15/2029 |
|
|
5.000 |
% |
|
|
100,000 |
|
|
|
34,947 |
|
| 02/15/2029 |
|
|
6.250 |
% |
|
|
3,475,000 |
|
|
|
1,246,630 |
|
| 01/30/2030 |
|
|
5.250 |
% |
|
|
1,200,000 |
|
|
|
426,009 |
|
| 02/15/2031 |
|
|
5.250 |
% |
|
|
1,200,000 |
|
|
|
419,963 |
|
| Bayer US Finance II
LLC(a) |
|
|
|
|
|
| 12/15/2028 |
|
|
4.375 |
% |
|
|
5,945,000 |
|
|
|
5,512,786 |
|
| 06/25/2038 |
|
|
4.625 |
% |
|
|
1,515,000 |
|
|
|
1,248,929 |
|
| 07/15/2044 |
|
|
4.400 |
% |
|
|
2,799,000 |
|
|
|
2,029,180 |
|
| 06/25/2048 |
|
|
4.875 |
% |
|
|
3,505,000 |
|
|
|
2,715,895 |
|
| Bayer US Finance LLC(a) |
|
|
|
|
|
| 10/08/2024 |
|
|
3.375 |
% |
|
|
520,000 |
|
|
|
508,070 |
|
| 11/21/2033 |
|
|
6.500 |
% |
|
|
11,263,000 |
|
|
|
11,188,281 |
|
| Bristol Myers Squibb Co. |
|
|
|
|
|
| 06/15/2039 |
|
|
4.125 |
% |
|
|
304,000 |
|
|
|
261,406 |
|
| Bristol-Myers Squibb Co. |
|
|
|
|
|
| 08/15/2025 |
|
|
3.875 |
% |
|
|
74,000 |
|
|
|
72,302 |
|
| 05/15/2044 |
|
|
4.625 |
% |
|
|
555,000 |
|
|
|
492,144 |
|
| 11/15/2053 |
|
|
6.250 |
% |
|
|
6,173,000 |
|
|
|
6,727,712 |
|
| 11/15/2063 |
|
|
6.400 |
% |
|
|
1,122,000 |
|
|
|
1,236,777 |
|
| CSL Finance PLC(a) |
|
|
|
|
|
| 04/27/2029 |
|
|
4.050 |
% |
|
|
926,000 |
|
|
|
881,737 |
|
| 04/27/2032 |
|
|
4.250 |
% |
|
|
432,000 |
|
|
|
403,918 |
|
| 04/27/2062 |
|
|
4.950 |
% |
|
|
402,000 |
|
|
|
346,083 |
|
| Grifols Escrow Issuer
SA(a) |
|
|
|
|
|
| 10/15/2028 |
|
|
4.750 |
% |
|
|
1,732,000 |
|
|
|
1,531,325 |
|
| Jazz Securities DAC(a) |
|
|
|
|
|
| 01/15/2029 |
|
|
4.375 |
% |
|
|
963,000 |
|
|
|
867,073 |
|
| Kevlar SpA(a) |
|
|
|
|
|
| 09/01/2029 |
|
|
6.500 |
% |
|
|
2,300,000 |
|
|
|
2,037,856 |
|
| Merck & Co., Inc. |
|
|
|
|
|
| 05/17/2033 |
|
|
4.500 |
% |
|
|
717,000 |
|
|
|
693,816 |
|
| 05/17/2044 |
|
|
4.900 |
% |
|
|
694,000 |
|
|
|
660,301 |
|
| 05/17/2053 |
|
|
5.000 |
% |
|
|
1,377,000 |
|
|
|
1,324,100 |
|
| 05/17/2063 |
|
|
5.150 |
% |
|
|
1,027,000 |
|
|
|
999,239 |
|
| Mylan NV |
|
|
|
|
|
| 06/15/2046 |
|
|
5.250 |
% |
|
|
290,000 |
|
|
|
225,115 |
|
| Mylan, Inc. |
|
|
|
|
|
| 04/15/2048 |
|
|
5.200 |
% |
|
|
3,250,000 |
|
|
|
2,474,952 |
|
| Organon Finance 1 LLC(a) |
|
|
|
|
|
| 04/30/2028 |
|
|
4.125 |
% |
|
|
1,550,000 |
|
|
|
1,376,032 |
|
| 04/30/2031 |
|
|
5.125 |
% |
|
|
1,725,000 |
|
|
|
1,358,577 |
|
| Pfizer Investment Enterprises Pte., Ltd. |
|
|
|
|
|
| 05/19/2030 |
|
|
4.650 |
% |
|
|
793,000 |
|
|
|
778,149 |
|
| 05/19/2033 |
|
|
4.750 |
% |
|
|
3,358,000 |
|
|
|
3,265,316 |
|
| 05/19/2043 |
|
|
5.110 |
% |
|
|
178,000 |
|
|
|
171,043 |
|
| 05/19/2053 |
|
|
5.300 |
% |
|
|
2,251,000 |
|
|
|
2,195,947 |
|
| 05/19/2063 |
|
|
5.340 |
% |
|
|
4,153,000 |
|
|
|
4,001,517 |
|
|
|
|
| 44 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Roche Holdings, Inc.(a) |
|
|
|
|
|
| 11/13/2030 |
|
|
5.489 |
% |
|
|
2,205,000 |
|
|
|
2,264,119 |
|
| 11/13/2033 |
|
|
5.593 |
% |
|
|
495,000 |
|
|
|
514,335 |
|
| Royalty Pharma PLC |
|
|
|
|
|
| 09/02/2025 |
|
|
1.200 |
% |
|
|
385,000 |
|
|
|
355,562 |
|
| 09/02/2027 |
|
|
1.750 |
% |
|
|
489,000 |
|
|
|
428,167 |
|
| 09/02/2030 |
|
|
2.200 |
% |
|
|
2,243,000 |
|
|
|
1,811,235 |
|
| 09/02/2040 |
|
|
3.300 |
% |
|
|
1,627,000 |
|
|
|
1,140,131 |
|
| 09/02/2051 |
|
|
3.350 |
% |
|
|
1,245,000 |
|
|
|
779,356 |
|
| Viatris, Inc. |
|
|
|
|
|
| 06/22/2030 |
|
|
2.700 |
% |
|
|
1,117,000 |
|
|
|
906,246 |
|
| 06/22/2040 |
|
|
3.850 |
% |
|
|
5,993,000 |
|
|
|
4,158,551 |
|
| 06/22/2050 |
|
|
4.000 |
% |
|
|
2,010,000 |
|
|
|
1,304,123 |
|
|
|
|
|
|
|
| Total |
|
|
|
117,620,179 |
|
|
|
|
|
|
|
| Property & Casualty 0.5% |
|
|
|
|
|
| Alleghany Corp. |
|
|
|
|
|
| 09/15/2044 |
|
|
4.900 |
% |
|
|
369,000 |
|
|
|
332,226 |
|
| 08/15/2051 |
|
|
3.250 |
% |
|
|
2,173,000 |
|
|
|
1,488,282 |
|
| American International Group, Inc. |
|
|
|
|
|
| 04/01/2028 |
|
|
4.200 |
% |
|
|
1,562,000 |
|
|
|
1,489,633 |
|
| 06/30/2030 |
|
|
3.400 |
% |
|
|
1,270,000 |
|
|
|
1,128,396 |
|
| 03/27/2033 |
|
|
5.125 |
% |
|
|
2,233,000 |
|
|
|
2,173,684 |
|
| Aon Corp./Global Holdings PLC |
|
|
|
|
|
| 12/02/2031 |
|
|
2.600 |
% |
|
|
4,495,000 |
|
|
|
3,671,857 |
|
| Arch Capital Finance LLC |
|
|
|
|
|
| 12/15/2046 |
|
|
5.031 |
% |
|
|
970,000 |
|
|
|
842,784 |
|
| Arthur J. Gallagher & Co. |
|
|
|
|
|
| 03/09/2052 |
|
|
3.050 |
% |
|
|
6,725,000 |
|
|
|
4,044,187 |
|
| Assurant, Inc. |
|
|
|
|
|
| 02/22/2030 |
|
|
3.700 |
% |
|
|
1,174,000 |
|
|
|
1,023,140 |
|
| Berkshire Hathaway Finance Corp. |
|
|
|
|
|
| 03/15/2052 |
|
|
3.850 |
% |
|
|
994,000 |
|
|
|
777,426 |
|
| Berkshire Hathaway, Inc. |
|
|
|
|
|
| 03/15/2026 |
|
|
3.125 |
% |
|
|
4,674,000 |
|
|
|
4,515,597 |
|
| CNA Financial Corp. |
|
|
|
|
|
| 08/15/2027 |
|
|
3.450 |
% |
|
|
3,828,000 |
|
|
|
3,589,141 |
|
| Fairfax Financial Holdings Ltd. |
|
|
|
|
|
| 03/03/2031 |
|
|
3.375 |
% |
|
|
6,300,000 |
|
|
|
5,337,616 |
|
| Farmers Exchange
Capital(a) |
|
|
|
|
|
| Subordinated |
|
|
|
|
|
| 07/15/2028 |
|
|
7.050 |
% |
|
|
800,000 |
|
|
|
805,838 |
|
| 07/15/2048 |
|
|
7.200 |
% |
|
|
1,290,000 |
|
|
|
1,234,818 |
|
| Farmers Exchange Capital
II(a),(l) |
|
|
|
|
|
| Subordinated |
|
|
|
|
|
| 11/01/2053 |
|
|
6.151 |
% |
|
|
2,700,000 |
|
|
|
2,522,666 |
|
| Farmers Insurance
Exchange(a) |
|
|
|
|
|
| 05/01/2024 |
|
|
8.625 |
% |
|
|
1,165,000 |
|
|
|
1,174,642 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Hartford Financial Services Group Inc. (The)(a),(b) |
|
|
|
|
|
| 3-month Term SOFR + 2.387% |
|
|
|
|
|
| 02/12/2047 |
|
|
7.766 |
% |
|
|
1,501,000 |
|
|
|
1,290,271 |
|
| Hartford Financial Services Group, Inc. (The) |
|
|
|
|
|
| 10/15/2036 |
|
|
5.950 |
% |
|
|
283,000 |
|
|
|
288,246 |
|
| Intact Financial Corp.(a) |
|
|
|
|
|
| 09/22/2032 |
|
|
5.459 |
% |
|
|
1,039,000 |
|
|
|
1,008,649 |
|
| Liberty Mutual Group,
Inc.(a) |
|
|
|
|
|
| 10/15/2050 |
|
|
3.951 |
% |
|
|
2,080,000 |
|
|
|
1,459,038 |
|
| 05/15/2060 |
|
|
3.950 |
% |
|
|
698,000 |
|
|
|
459,241 |
|
| Markel Corp. |
|
|
|
|
|
| 05/20/2049 |
|
|
5.000 |
% |
|
|
5,095,000 |
|
|
|
4,353,530 |
|
| Marsh & McLennan Cos, Inc. |
|
|
|
|
|
| 09/15/2033 |
|
|
5.400 |
% |
|
|
1,456,000 |
|
|
|
1,481,992 |
|
| 09/15/2053 |
|
|
5.700 |
% |
|
|
2,542,000 |
|
|
|
2,590,640 |
|
| Nationwide Mutual Insurance
Co.(a),(b) |
|
|
|
|
|
| Subordinated |
|
|
|
|
|
| 3-month Term SOFR + 2.552% |
|
|
|
|
|
| 12/15/2024 |
|
|
7.961 |
% |
|
|
5,725,000 |
|
|
|
5,716,213 |
|
| PartnerRe Finance B
LLC(l) |
|
|
|
|
|
| 10/01/2050 |
|
|
4.500 |
% |
|
|
2,635,000 |
|
|
|
2,198,815 |
|
| Trustage Financial Group,
Inc.(a) |
|
|
|
|
|
| 04/15/2032 |
|
|
4.625 |
% |
|
|
2,135,000 |
|
|
|
1,815,908 |
|
| Willis North America, Inc. |
|
|
|
|
|
| 05/15/2033 |
|
|
5.350 |
% |
|
|
2,000,000 |
|
|
|
1,954,151 |
|
| WR Berkley Corp. |
|
|
|
|
|
| 05/12/2050 |
|
|
4.000 |
% |
|
|
1,480,000 |
|
|
|
1,086,291 |
|
|
|
|
|
|
|
| Total |
|
|
|
61,854,918 |
|
|
|
|
|
|
|
| Railroads 0.1% |
|
|
|
|
|
| Burlington Northern Santa Fe LLC |
|
|
|
|
|
| 03/15/2042 |
|
|
4.400 |
% |
|
|
75,000 |
|
|
|
65,248 |
|
| 03/15/2043 |
|
|
4.450 |
% |
|
|
360,000 |
|
|
|
312,428 |
|
| 09/01/2043 |
|
|
5.150 |
% |
|
|
829,000 |
|
|
|
791,696 |
|
| 08/01/2046 |
|
|
3.900 |
% |
|
|
1,163,000 |
|
|
|
918,655 |
|
| 04/15/2054 |
|
|
5.200 |
% |
|
|
1,391,000 |
|
|
|
1,350,250 |
|
| Canadian Pacific Railway Co. |
|
|
|
|
|
| 11/15/2029 |
|
|
2.875 |
% |
|
|
696,000 |
|
|
|
610,504 |
|
| 05/01/2050 |
|
|
3.500 |
% |
|
|
3,280,000 |
|
|
|
2,313,870 |
|
| CSX Corp. |
|
|
|
|
|
| 05/30/2042 |
|
|
4.750 |
% |
|
|
482,000 |
|
|
|
432,307 |
|
| Norfolk Southern Corp. |
|
|
|
|
|
| 11/01/2029 |
|
|
2.550 |
% |
|
|
431,000 |
|
|
|
372,824 |
|
| 08/01/2030 |
|
|
5.050 |
% |
|
|
708,000 |
|
|
|
704,061 |
|
| 03/15/2034 |
|
|
5.550 |
% |
|
|
614,000 |
|
|
|
622,296 |
|
| 08/01/2054 |
|
|
5.350 |
% |
|
|
705,000 |
|
|
|
673,108 |
|
| 03/15/2064 |
|
|
5.950 |
% |
|
|
1,407,000 |
|
|
|
1,439,376 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
45 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Union Pacific Corp. |
|
|
|
|
|
| 10/01/2051 |
|
|
3.799 |
% |
|
|
876,000 |
|
|
|
678,871 |
|
| 08/15/2059 |
|
|
3.950 |
% |
|
|
337,000 |
|
|
|
253,374 |
|
| 03/20/2060 |
|
|
3.839 |
% |
|
|
602,000 |
|
|
|
448,258 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
11,987,126 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Refining 0.1% |
|
|
|
|
|
| Cosan Luxembourg SA(a) |
|
|
|
|
|
| 06/27/2030 |
|
|
7.500 |
% |
|
|
750,000 |
|
|
|
759,220 |
|
| Marathon Petroleum Corp. |
|
|
|
|
|
| 12/15/2026 |
|
|
5.125 |
% |
|
|
578,000 |
|
|
|
577,190 |
|
| 03/01/2041 |
|
|
6.500 |
% |
|
|
136,000 |
|
|
|
139,668 |
|
| Phillips 66 |
|
|
|
|
|
| 12/01/2027 |
|
|
4.950 |
% |
|
|
3,910,000 |
|
|
|
3,884,958 |
|
| Phillips 66 Co. |
|
|
|
|
|
| 02/15/2045 |
|
|
4.680 |
% |
|
|
1,300,000 |
|
|
|
1,093,874 |
|
| Valero Energy Corp. |
|
|
|
|
|
| 12/01/2031 |
|
|
2.800 |
% |
|
|
3,235,000 |
|
|
|
2,648,240 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
9,103,150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Restaurants 0.1% |
|
|
|
|
|
| Brinker International,
Inc.(a) |
|
|
|
|
|
| 10/01/2024 |
|
|
5.000 |
% |
|
|
1,850,000 |
|
|
|
1,821,263 |
|
| Fertitta Entertainment LLC/Finance Co., Inc.(a) |
|
|
|
|
|
| 01/15/2029 |
|
|
4.625 |
% |
|
|
1,500,000 |
|
|
|
1,330,880 |
|
| 01/15/2030 |
|
|
6.750 |
% |
|
|
1,615,000 |
|
|
|
1,362,769 |
|
| McDonald’s Corp. |
|
|
|
|
|
| 09/01/2049 |
|
|
3.625 |
% |
|
|
910,000 |
|
|
|
676,699 |
|
| 08/14/2053 |
|
|
5.450 |
% |
|
|
716,000 |
|
|
|
705,678 |
|
| Raising Cane’s Restaurants
LLC(a) |
|
|
|
|
|
| 05/01/2029 |
|
|
9.375 |
% |
|
|
535,000 |
|
|
|
561,962 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
6,459,251 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Retail REIT 0.0% |
|
|
|
|
|
| Brixmor Operating Partnership LP |
|
|
|
|
|
| 08/16/2031 |
|
|
2.500 |
% |
|
|
915,000 |
|
|
|
722,575 |
|
| Kimco Realty Corp. |
|
|
|
|
|
| 02/01/2033 |
|
|
4.600 |
% |
|
|
3,780,000 |
|
|
|
3,463,145 |
|
| Kite Realty Group LP |
|
|
|
|
|
| 10/01/2026 |
|
|
4.000 |
% |
|
|
320,000 |
|
|
|
298,351 |
|
| Realty Income Corp. |
|
|
|
|
|
| 08/15/2027 |
|
|
3.950 |
% |
|
|
193,000 |
|
|
|
183,806 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
4,667,877 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Retailers 0.4% |
|
|
|
|
|
| Amazon.com, Inc. |
|
|
|
|
|
| 08/22/2027 |
|
|
3.150 |
% |
|
|
646,000 |
|
|
|
612,208 |
|
| 12/01/2027 |
|
|
4.550 |
% |
|
|
461,000 |
|
|
|
460,585 |
|
| 05/12/2031 |
|
|
2.100 |
% |
|
|
791,000 |
|
|
|
659,784 |
|
| 05/12/2041 |
|
|
2.875 |
% |
|
|
1,257,000 |
|
|
|
932,090 |
|
| 04/13/2062 |
|
|
4.100 |
% |
|
|
424,000 |
|
|
|
346,493 |
|
| Asbury Automotive Group, Inc. |
|
|
|
|
|
| 03/01/2030 |
|
|
4.750 |
% |
|
|
1,535,000 |
|
|
|
1,376,019 |
|
| AutoNation, Inc. |
|
|
|
|
|
| 11/15/2024 |
|
|
3.500 |
% |
|
|
2,185,000 |
|
|
|
2,133,228 |
|
| 10/01/2025 |
|
|
4.500 |
% |
|
|
2,465,000 |
|
|
|
2,401,158 |
|
| AutoZone, Inc. |
|
|
|
|
|
| 04/21/2026 |
|
|
3.125 |
% |
|
|
415,000 |
|
|
|
394,239 |
|
| 11/01/2028 |
|
|
6.250 |
% |
|
|
2,478,000 |
|
|
|
2,577,306 |
|
| 01/15/2031 |
|
|
1.650 |
% |
|
|
1,175,000 |
|
|
|
917,631 |
|
| Dick’s Sporting Goods, Inc. |
|
|
|
|
|
| 01/15/2052 |
|
|
4.100 |
% |
|
|
2,690,000 |
|
|
|
1,795,593 |
|
| Dollar General Corp. |
|
|
|
|
|
| 07/05/2033 |
|
|
5.450 |
% |
|
|
5,665,000 |
|
|
|
5,526,693 |
|
| Gap Inc. (The)(a) |
|
|
|
|
|
| 10/01/2029 |
|
|
3.625 |
% |
|
|
1,550,000 |
|
|
|
1,274,760 |
|
| Genuine Parts Co. |
|
|
|
|
|
| 11/01/2033 |
|
|
6.875 |
% |
|
|
2,790,000 |
|
|
|
2,963,765 |
|
| Hanesbrands, Inc.(a) |
|
|
|
|
|
| 05/15/2026 |
|
|
4.875 |
% |
|
|
1,475,000 |
|
|
|
1,388,675 |
|
| Home Depot, Inc. (The)(e) |
|
|
|
|
|
| 04/15/2029 |
|
|
4.900 |
% |
|
|
1,317,000 |
|
|
|
1,319,555 |
|
| Kontoor Brands, Inc.(a) |
|
|
|
|
|
| 11/15/2029 |
|
|
4.125 |
% |
|
|
475,000 |
|
|
|
414,157 |
|
| L Brands, Inc. |
|
|
|
|
|
| 07/01/2036 |
|
|
6.750 |
% |
|
|
1,495,000 |
|
|
|
1,389,597 |
|
| Lowe’s Companies, Inc. |
|
|
|
|
|
| 07/01/2053 |
|
|
5.750 |
% |
|
|
730,000 |
|
|
|
719,744 |
|
| 04/01/2062 |
|
|
4.450 |
% |
|
|
539,000 |
|
|
|
416,739 |
|
| 04/01/2063 |
|
|
5.850 |
% |
|
|
555,000 |
|
|
|
538,365 |
|
| Macy’s Retail Holdings LLC |
|
|
|
|
|
| 12/15/2034 |
|
|
4.500 |
% |
|
|
1,600,000 |
|
|
|
1,201,945 |
|
| Magic MergeCo, Inc.(a) |
|
|
|
|
|
| 05/01/2029 |
|
|
7.875 |
% |
|
|
1,400,000 |
|
|
|
794,391 |
|
| O’Reilly Automotive, Inc. |
|
|
|
|
|
| 11/20/2026 |
|
|
5.750 |
% |
|
|
2,580,000 |
|
|
|
2,610,476 |
|
| Rent-A-Center, Inc.(a) |
|
|
|
|
|
| 02/15/2029 |
|
|
6.375 |
% |
|
|
300,000 |
|
|
|
273,348 |
|
| Sally Holdings LLC/Capital, Inc. |
|
|
|
|
|
| 12/01/2025 |
|
|
5.625 |
% |
|
|
2,525,000 |
|
|
|
2,486,208 |
|
| Sonic Automotive Inc.(a) |
|
|
|
|
|
| 11/15/2031 |
|
|
4.875 |
% |
|
|
1,620,000 |
|
|
|
1,363,289 |
|
|
|
|
| 46 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Tapestry, Inc. |
|
|
|
|
|
| 11/27/2033 |
|
|
7.850 |
% |
|
|
2,105,000 |
|
|
|
2,138,595 |
|
| Target Corp. |
|
|
|
|
|
| 01/15/2033 |
|
|
4.400 |
% |
|
|
2,090,000 |
|
|
|
2,006,344 |
|
| 01/15/2053 |
|
|
4.800 |
% |
|
|
696,000 |
|
|
|
636,589 |
|
| Tractor Supply Co. |
|
|
|
|
|
| 11/01/2030 |
|
|
1.750 |
% |
|
|
3,885,000 |
|
|
|
3,076,406 |
|
| Walmart, Inc. |
|
|
|
|
|
| 04/15/2030 |
|
|
4.000 |
% |
|
|
1,766,000 |
|
|
|
1,712,154 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
48,858,129 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Supermarkets 0.0% |
|
|
|
|
|
| Ahold Finance U.S.A. LLC |
|
|
|
|
|
| 05/01/2029 |
|
|
6.875 |
% |
|
|
1,800,000 |
|
|
|
1,946,083 |
|
| Albertsons Companies LLC/Safeway, Inc./New Albertsons LP/Albertsons LLC(a) |
|
|
|
|
|
| 03/15/2029 |
|
|
3.500 |
% |
|
|
1,520,000 |
|
|
|
1,347,378 |
|
| C&S Group Enterprises
LLC(a) |
|
|
|
|
|
| 12/15/2028 |
|
|
5.000 |
% |
|
|
2,700,000 |
|
|
|
2,192,617 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
5,486,078 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Supranational 0.1% |
|
|
|
|
|
| Inter-American Development Bank |
|
|
|
|
|
| 10/15/2025 |
|
|
6.800 |
% |
|
|
2,500,000 |
|
|
|
2,576,532 |
|
| 07/15/2027 |
|
|
6.750 |
% |
|
|
4,000,000 |
|
|
|
4,233,536 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
6,810,068 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Technology 1.3% |
|
|
|
|
|
| Advanced Micro Devices, Inc. |
|
|
|
|
|
| 06/01/2032 |
|
|
3.924 |
% |
|
|
1,784,000 |
|
|
|
1,662,303 |
|
| 06/01/2052 |
|
|
4.393 |
% |
|
|
1,812,000 |
|
|
|
1,585,141 |
|
| Apple, Inc. |
|
|
|
|
|
| 05/11/2050 |
|
|
2.650 |
% |
|
|
5,095,000 |
|
|
|
3,308,969 |
|
| 08/05/2061 |
|
|
2.850 |
% |
|
|
560,000 |
|
|
|
357,142 |
|
| 08/08/2062 |
|
|
4.100 |
% |
|
|
351,000 |
|
|
|
291,568 |
|
| Avnet, Inc. |
|
|
|
|
|
| 03/15/2028 |
|
|
6.250 |
% |
|
|
2,398,000 |
|
|
|
2,439,122 |
|
| 06/01/2032 |
|
|
5.500 |
% |
|
|
2,876,000 |
|
|
|
2,724,956 |
|
| Black Knight InfoServ
LLC(a) |
|
|
|
|
|
| 09/01/2028 |
|
|
3.625 |
% |
|
|
1,500,000 |
|
|
|
1,399,023 |
|
| Boxer Parent Co., Inc.(a) |
|
|
|
|
|
| 03/01/2026 |
|
|
9.125 |
% |
|
|
2,500,000 |
|
|
|
2,507,261 |
|
| Broadcom, Inc. |
|
|
|
|
|
| 10/15/2024 |
|
|
3.625 |
% |
|
|
320,000 |
|
|
|
314,194 |
|
| Broadcom, Inc.(a) |
|
|
|
|
|
| 04/15/2029 |
|
|
4.000 |
% |
|
|
2,765,000 |
|
|
|
2,588,579 |
|
| 11/15/2035 |
|
|
3.137 |
% |
|
|
5,511,000 |
|
|
|
4,291,795 |
|
| 11/15/2036 |
|
|
3.187 |
% |
|
|
8,519,000 |
|
|
|
6,507,413 |
|
| 05/15/2037 |
|
|
4.926 |
% |
|
|
4,155,000 |
|
|
|
3,806,862 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| CDW LLC/Finance Corp. |
|
|
|
|
|
| 05/01/2025 |
|
|
4.125 |
% |
|
|
2,500,000 |
|
|
|
2,438,708 |
|
| 12/01/2028 |
|
|
3.276 |
% |
|
|
3,880,000 |
|
|
|
3,440,514 |
|
| CommScope, Inc.(a) |
|
|
|
|
|
| 09/01/2029 |
|
|
4.750 |
% |
|
|
1,500,000 |
|
|
|
945,283 |
|
| Concentrix Corp. |
|
|
|
|
|
| 08/02/2028 |
|
|
6.600 |
% |
|
|
641,000 |
|
|
|
640,564 |
|
| 08/02/2033 |
|
|
6.850 |
% |
|
|
1,913,000 |
|
|
|
1,875,122 |
|
| DXC Technology Co. |
|
|
|
|
|
| 09/15/2028 |
|
|
2.375 |
% |
|
|
5,845,000 |
|
|
|
4,945,229 |
|
| Equifax, Inc. |
|
|
|
|
|
| 06/01/2028 |
|
|
5.100 |
% |
|
|
5,695,000 |
|
|
|
5,625,286 |
|
| Fidelity National Information Services, Inc. |
|
|
|
|
|
| 03/01/2041 |
|
|
3.100 |
% |
|
|
2,890,000 |
|
|
|
2,020,409 |
|
| Fiserv, Inc. |
|
|
|
|
|
| 07/01/2024 |
|
|
2.750 |
% |
|
|
699,000 |
|
|
|
686,602 |
|
| 03/02/2033 |
|
|
5.600 |
% |
|
|
4,115,000 |
|
|
|
4,131,760 |
|
| 08/21/2033 |
|
|
5.625 |
% |
|
|
2,770,000 |
|
|
|
2,787,142 |
|
| Flex Ltd. |
|
|
|
|
|
| 01/15/2028 |
|
|
6.000 |
% |
|
|
2,560,000 |
|
|
|
2,595,184 |
|
| Global Payments, Inc. |
|
|
|
|
|
| 11/15/2024 |
|
|
1.500 |
% |
|
|
3,215,000 |
|
|
|
3,083,590 |
|
| 03/01/2026 |
|
|
1.200 |
% |
|
|
2,536,000 |
|
|
|
2,296,992 |
|
| 08/15/2052 |
|
|
5.950 |
% |
|
|
3,455,000 |
|
|
|
3,294,945 |
|
| GTCR W-2 Merger Sub
LLC(a) |
|
|
|
|
|
| 01/15/2031 |
|
|
7.500 |
% |
|
|
375,000 |
|
|
|
381,970 |
|
| Hewlett Packard Enterprise Co. |
|
|
|
|
|
| 07/01/2028 |
|
|
5.250 |
% |
|
|
3,615,000 |
|
|
|
3,624,434 |
|
| HP, Inc. |
|
|
|
|
|
| 06/17/2031 |
|
|
2.650 |
% |
|
|
909,000 |
|
|
|
744,310 |
|
| Intel Corp. |
|
|
|
|
|
| 08/05/2027 |
|
|
3.750 |
% |
|
|
749,000 |
|
|
|
721,368 |
|
| 02/10/2030 |
|
|
5.125 |
% |
|
|
1,202,000 |
|
|
|
1,217,183 |
|
| 08/12/2041 |
|
|
2.800 |
% |
|
|
1,687,000 |
|
|
|
1,192,819 |
|
| 02/10/2053 |
|
|
5.700 |
% |
|
|
1,517,000 |
|
|
|
1,543,064 |
|
| 08/12/2061 |
|
|
3.200 |
% |
|
|
671,000 |
|
|
|
428,321 |
|
| 02/10/2063 |
|
|
5.900 |
% |
|
|
1,545,000 |
|
|
|
1,612,593 |
|
| International Business Machines Corp. |
|
|
|
|
|
| 07/27/2027 |
|
|
4.150 |
% |
|
|
790,000 |
|
|
|
768,008 |
|
| 05/15/2029 |
|
|
3.500 |
% |
|
|
928,000 |
|
|
|
864,578 |
|
| Intuit, Inc. |
|
|
|
|
|
| 09/15/2028 |
|
|
5.125 |
% |
|
|
2,311,000 |
|
|
|
2,332,435 |
|
| 09/15/2033 |
|
|
5.200 |
% |
|
|
1,934,000 |
|
|
|
1,949,004 |
|
| 09/15/2053 |
|
|
5.500 |
% |
|
|
2,562,000 |
|
|
|
2,631,226 |
|
| KLA Corp. |
|
|
|
|
|
| 07/15/2062 |
|
|
5.250 |
% |
|
|
895,000 |
|
|
|
860,489 |
|
| Leidos, Inc. |
|
|
|
|
|
| 02/15/2031 |
|
|
2.300 |
% |
|
|
845,000 |
|
|
|
677,418 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
47 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Marvell Technology, Inc. |
|
|
|
|
|
| 02/15/2029 |
|
|
5.750 |
% |
|
|
815,000 |
|
|
|
822,575 |
|
| Microchip Technology, Inc. |
|
|
|
|
|
| 02/15/2024 |
|
|
0.972 |
% |
|
|
345,000 |
|
|
|
341,517 |
|
| Micron Technology, Inc. |
|
|
|
|
|
| 11/01/2029 |
|
|
6.750 |
% |
|
|
5,040,000 |
|
|
|
5,282,804 |
|
| Microsoft Corp. |
|
|
|
|
|
| 06/01/2050 |
|
|
2.525 |
% |
|
|
373,000 |
|
|
|
239,820 |
|
| 03/17/2052 |
|
|
2.921 |
% |
|
|
811,000 |
|
|
|
560,443 |
|
| 03/17/2062 |
|
|
3.041 |
% |
|
|
4,290,000 |
|
|
|
2,913,441 |
|
| Microsoft Corp.(a) |
|
|
|
|
|
| 09/15/2050 |
|
|
2.500 |
% |
|
|
1,558,000 |
|
|
|
988,721 |
|
| NCR Atleos Escrow
Corp.(a) |
|
|
|
|
|
| 04/01/2029 |
|
|
9.500 |
% |
|
|
1,994,000 |
|
|
|
2,060,148 |
|
| NCR Corp.(a) |
|
|
|
|
|
| 04/15/2029 |
|
|
5.125 |
% |
|
|
990,000 |
|
|
|
906,671 |
|
| 10/01/2030 |
|
|
5.250 |
% |
|
|
680,000 |
|
|
|
599,358 |
|
| NetApp, Inc. |
|
|
|
|
|
| 06/22/2025 |
|
|
1.875 |
% |
|
|
1,845,000 |
|
|
|
1,738,265 |
|
| NXP BV/Funding LLC |
|
|
|
|
|
| 03/01/2026 |
|
|
5.350 |
% |
|
|
1,056,000 |
|
|
|
1,052,636 |
|
| NXP BV/Funding LLC/USA, Inc. |
|
|
|
|
|
| 05/01/2030 |
|
|
3.400 |
% |
|
|
342,000 |
|
|
|
301,482 |
|
| 11/30/2051 |
|
|
3.250 |
% |
|
|
600,000 |
|
|
|
392,007 |
|
| Open Text Corp.(a) |
|
|
|
|
|
| 12/01/2027 |
|
|
6.900 |
% |
|
|
650,000 |
|
|
|
668,264 |
|
| Open Text Holdings,
Inc.(a) |
|
|
|
|
|
| 12/01/2031 |
|
|
4.125 |
% |
|
|
1,645,000 |
|
|
|
1,406,752 |
|
| Oracle Corp. |
|
|
|
|
|
| 11/15/2027 |
|
|
3.250 |
% |
|
|
2,409,000 |
|
|
|
2,246,537 |
|
| 03/25/2028 |
|
|
2.300 |
% |
|
|
903,000 |
|
|
|
803,062 |
|
| 11/09/2029 |
|
|
6.150 |
% |
|
|
997,000 |
|
|
|
1,045,830 |
|
| 11/15/2037 |
|
|
3.800 |
% |
|
|
3,892,000 |
|
|
|
3,168,558 |
|
| 03/25/2041 |
|
|
3.650 |
% |
|
|
2,929,000 |
|
|
|
2,216,021 |
|
| 04/01/2050 |
|
|
3.600 |
% |
|
|
4,392,000 |
|
|
|
3,070,801 |
|
| 03/25/2051 |
|
|
3.950 |
% |
|
|
3,413,000 |
|
|
|
2,523,184 |
|
| 02/06/2053 |
|
|
5.550 |
% |
|
|
1,855,000 |
|
|
|
1,747,299 |
|
| 05/15/2055 |
|
|
4.375 |
% |
|
|
73,000 |
|
|
|
56,296 |
|
| PayPal Holdings, Inc. |
|
|
|
|
|
| 10/01/2026 |
|
|
2.650 |
% |
|
|
964,000 |
|
|
|
904,385 |
|
| 10/01/2029 |
|
|
2.850 |
% |
|
|
204,000 |
|
|
|
181,169 |
|
| 06/01/2030 |
|
|
2.300 |
% |
|
|
1,435,000 |
|
|
|
1,214,285 |
|
| 06/01/2062 |
|
|
5.250 |
% |
|
|
3,394,000 |
|
|
|
3,166,486 |
|
| Qorvo, Inc. |
|
|
|
|
|
| 12/15/2024 |
|
|
1.750 |
% |
|
|
1,200,000 |
|
|
|
1,147,502 |
|
| QUALCOMM, Inc. |
|
|
|
|
|
| 05/20/2053 |
|
|
6.000 |
% |
|
|
2,378,000 |
|
|
|
2,577,119 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| S&P Global, Inc. |
|
|
|
|
|
| 03/01/2029 |
|
|
2.700 |
% |
|
|
1,348,000 |
|
|
|
1,216,214 |
|
| 08/15/2030 |
|
|
1.250 |
% |
|
|
592,000 |
|
|
|
467,485 |
|
| 03/01/2032 |
|
|
2.900 |
% |
|
|
803,000 |
|
|
|
684,009 |
|
| S&P Global, Inc.(a) |
|
|
|
|
|
| 09/15/2033 |
|
|
5.250 |
% |
|
|
588,000 |
|
|
|
592,245 |
|
| Seagate HDD(a) |
|
|
|
|
|
| 12/01/2032 |
|
|
9.625 |
% |
|
|
776,475 |
|
|
|
871,429 |
|
| TD SYNNEX Corp. |
|
|
|
|
|
| 08/09/2026 |
|
|
1.750 |
% |
|
|
314,000 |
|
|
|
280,113 |
|
| Tempo Acquisition LLC/Finance
Corp.(a) |
|
|
|
|
|
| 06/01/2025 |
|
|
5.750 |
% |
|
|
1,550,000 |
|
|
|
1,533,672 |
|
| Tencent Holdings Ltd.(a) |
|
|
|
|
|
| 04/22/2051 |
|
|
3.840 |
% |
|
|
2,760,000 |
|
|
|
1,907,212 |
|
| Texas Instruments, Inc. |
|
|
|
|
|
| 03/14/2053 |
|
|
5.000 |
% |
|
|
1,016,000 |
|
|
|
974,202 |
|
| 05/18/2063 |
|
|
5.050 |
% |
|
|
2,056,000 |
|
|
|
1,945,453 |
|
| VMware, Inc. |
|
|
|
|
|
| 08/15/2026 |
|
|
1.400 |
% |
|
|
1,441,000 |
|
|
|
1,299,877 |
|
| Western Union Co. (The) |
|
|
|
|
|
| 03/15/2026 |
|
|
1.350 |
% |
|
|
140,000 |
|
|
|
126,377 |
|
|
|
|
|
|
|
| Total |
|
|
|
154,382,604 |
|
|
|
|
|
|
|
| Tobacco 0.6% |
|
|
|
|
|
| Altria Group, Inc. |
|
|
|
|
|
| 11/01/2028 |
|
|
6.200 |
% |
|
|
1,116,000 |
|
|
|
1,148,581 |
|
| 05/06/2030 |
|
|
3.400 |
% |
|
|
1,280,000 |
|
|
|
1,137,533 |
|
| 02/04/2041 |
|
|
3.400 |
% |
|
|
3,910,000 |
|
|
|
2,705,097 |
|
| BAT Capital Corp. |
|
|
|
|
|
| 08/15/2027 |
|
|
3.557 |
% |
|
|
409,000 |
|
|
|
383,018 |
|
| 03/25/2028 |
|
|
2.259 |
% |
|
|
1,930,000 |
|
|
|
1,690,874 |
|
| 03/25/2031 |
|
|
2.726 |
% |
|
|
1,790,000 |
|
|
|
1,455,009 |
|
| 08/02/2033 |
|
|
6.421 |
% |
|
|
898,000 |
|
|
|
914,478 |
|
| 08/15/2037 |
|
|
4.390 |
% |
|
|
742,000 |
|
|
|
598,835 |
|
| 09/25/2040 |
|
|
3.734 |
% |
|
|
562,000 |
|
|
|
397,141 |
|
| 08/02/2043 |
|
|
7.079 |
% |
|
|
962,000 |
|
|
|
978,975 |
|
| 08/15/2047 |
|
|
4.540 |
% |
|
|
5,800,000 |
|
|
|
4,246,947 |
|
| 09/06/2049 |
|
|
4.758 |
% |
|
|
309,000 |
|
|
|
230,811 |
|
| 03/16/2052 |
|
|
5.650 |
% |
|
|
2,530,000 |
|
|
|
2,175,616 |
|
| 08/02/2053 |
|
|
7.081 |
% |
|
|
4,156,000 |
|
|
|
4,210,584 |
|
| BAT International Finance PLC |
|
|
|
|
|
| 03/16/2028 |
|
|
4.448 |
% |
|
|
8,000,000 |
|
|
|
7,676,230 |
|
| 02/02/2029 |
|
|
5.931 |
% |
|
|
2,973,000 |
|
|
|
3,019,375 |
|
| Imperial Brands Finance
PLC(a) |
|
|
|
|
|
| 07/26/2024 |
|
|
3.125 |
% |
|
|
2,000,000 |
|
|
|
1,960,575 |
|
| 07/21/2025 |
|
|
4.250 |
% |
|
|
2,000,000 |
|
|
|
1,952,452 |
|
| Philip Morris International, Inc. |
|
|
|
|
|
| 02/15/2030 |
|
|
5.125 |
% |
|
|
2,810,000 |
|
|
|
2,772,796 |
|
| 02/15/2033 |
|
|
5.375 |
% |
|
|
703,000 |
|
|
|
692,532 |
|
| 09/07/2033 |
|
|
5.625 |
% |
|
|
11,270,000 |
|
|
|
11,316,107 |
|
|
|
|
| 48 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Reynolds American, Inc. |
|
|
|
|
|
| 06/12/2025 |
|
|
4.450 |
% |
|
|
1,325,000 |
|
|
|
1,303,033 |
|
| 08/15/2035 |
|
|
5.700 |
% |
|
|
6,525,000 |
|
|
|
6,125,820 |
|
| 08/04/2041 |
|
|
7.000 |
% |
|
|
1,127,000 |
|
|
|
1,123,236 |
|
| 09/15/2043 |
|
|
6.150 |
% |
|
|
501,000 |
|
|
|
468,374 |
|
| 08/15/2045 |
|
|
5.850 |
% |
|
|
4,626,000 |
|
|
|
4,082,087 |
|
| Vector Group Ltd.(a) |
|
|
|
|
|
| 02/01/2029 |
|
|
5.750 |
% |
|
|
3,250,000 |
|
|
|
2,897,785 |
|
|
|
|
|
|
|
| Total |
|
|
|
67,663,901 |
|
|
|
|
|
|
|
| Transportation Services 0.4% |
|
|
|
|
|
| Element Fleet Management
Corp.(a) |
|
|
|
|
|
| 06/15/2025 |
|
|
3.850 |
% |
|
|
2,795,000 |
|
|
|
2,694,364 |
|
| 06/26/2026 |
|
|
6.271 |
% |
|
|
1,815,000 |
|
|
|
1,824,921 |
|
| Element Fleet Management
Corp.(a),(e) |
|
|
|
|
|
| 12/04/2028 |
|
|
6.319 |
% |
|
|
5,350,000 |
|
|
|
5,404,261 |
|
| ERAC USA Finance LLC(a) |
|
|
|
|
|
| 11/01/2025 |
|
|
3.800 |
% |
|
|
2,500,000 |
|
|
|
2,419,049 |
|
| 12/01/2026 |
|
|
3.300 |
% |
|
|
3,435,000 |
|
|
|
3,235,856 |
|
| 03/15/2042 |
|
|
5.625 |
% |
|
|
1,689,000 |
|
|
|
1,646,349 |
|
| 11/01/2046 |
|
|
4.200 |
% |
|
|
1,041,000 |
|
|
|
832,784 |
|
| FedEx Corp. |
|
|
|
|
|
| 04/01/2046 |
|
|
4.550 |
% |
|
|
498,000 |
|
|
|
419,372 |
|
| FedEx Corp. Pass-Through Trust |
|
|
|
|
|
| Series 2020-1 Class AA |
|
|
|
|
|
| 02/20/2034 |
|
|
1.875 |
% |
|
|
618,772 |
|
|
|
498,368 |
|
| GN Bondco LLC(a) |
|
|
|
|
|
| 10/15/2031 |
|
|
9.500 |
% |
|
|
1,675,000 |
|
|
|
1,591,307 |
|
| Penske Truck Leasing Co. LP/Finance
Corp.(a) |
|
|
|
|
|
| 11/15/2025 |
|
|
1.200 |
% |
|
|
842,000 |
|
|
|
769,345 |
|
| 05/01/2028 |
|
|
5.550 |
% |
|
|
1,380,000 |
|
|
|
1,368,215 |
|
| 08/01/2028 |
|
|
6.050 |
% |
|
|
2,990,000 |
|
|
|
3,016,852 |
|
| 06/15/2030 |
|
|
6.200 |
% |
|
|
2,234,000 |
|
|
|
2,266,065 |
|
| Penske Truck Leasing Co. LP/PTL Finance Corp.(a) |
|
|
|
|
|
| 06/15/2026 |
|
|
1.700 |
% |
|
|
1,236,000 |
|
|
|
1,114,662 |
|
| Penske Truck Leasing Co., LP/Finance
Corp.(a) |
|
|
|
|
|
| 07/15/2025 |
|
|
4.000 |
% |
|
|
905,000 |
|
|
|
878,368 |
|
| Ryder System, Inc. |
|
|
|
|
|
| 06/01/2028 |
|
|
5.250 |
% |
|
|
1,185,000 |
|
|
|
1,178,070 |
|
| 12/01/2028 |
|
|
6.300 |
% |
|
|
912,000 |
|
|
|
941,248 |
|
| 12/01/2033 |
|
|
6.600 |
% |
|
|
6,720,000 |
|
|
|
7,062,208 |
|
| Triton Container International
Ltd.(a) |
|
|
|
|
|
| 04/15/2026 |
|
|
2.050 |
% |
|
|
617,000 |
|
|
|
557,463 |
|
| 06/15/2031 |
|
|
3.150 |
% |
|
|
558,000 |
|
|
|
427,318 |
|
| TTX Co.(a) |
|
|
|
|
|
| 01/15/2025 |
|
|
3.600 |
% |
|
|
1,620,000 |
|
|
|
1,585,008 |
|
| XPO, Inc.(a) |
|
|
|
|
|
| 06/01/2028 |
|
|
6.250 |
% |
|
|
575,000 |
|
|
|
569,581 |
|
| 06/01/2031 |
|
|
7.125 |
% |
|
|
275,000 |
|
|
|
277,847 |
|
|
|
|
|
|
|
| Total |
|
|
|
42,578,881 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Wireless 0.7% |
|
|
|
|
|
| American Tower Corp. |
|
|
|
|
|
| 02/15/2024 |
|
|
5.000 |
% |
|
|
665,000 |
|
|
|
663,546 |
|
| 03/15/2027 |
|
|
3.650 |
% |
|
|
684,000 |
|
|
|
645,327 |
|
| 04/15/2031 |
|
|
2.700 |
% |
|
|
4,545,000 |
|
|
|
3,742,772 |
|
| 09/15/2031 |
|
|
2.300 |
% |
|
|
477,000 |
|
|
|
378,251 |
|
| 03/15/2033 |
|
|
5.650 |
% |
|
|
4,176,000 |
|
|
|
4,163,197 |
|
| 07/15/2033 |
|
|
5.550 |
% |
|
|
6,619,000 |
|
|
|
6,548,608 |
|
| Crown Castle International Corp. |
|
|
|
|
|
| 07/15/2026 |
|
|
1.050 |
% |
|
|
401,000 |
|
|
|
356,564 |
|
| 03/15/2027 |
|
|
2.900 |
% |
|
|
684,000 |
|
|
|
628,634 |
|
| 04/01/2031 |
|
|
2.100 |
% |
|
|
877,000 |
|
|
|
689,338 |
|
| 07/15/2031 |
|
|
2.500 |
% |
|
|
4,369,000 |
|
|
|
3,512,562 |
|
| 04/01/2041 |
|
|
2.900 |
% |
|
|
1,652,000 |
|
|
|
1,114,340 |
|
| Crown Castle, Inc. |
|
|
|
|
|
| 09/01/2028 |
|
|
4.800 |
% |
|
|
1,609,000 |
|
|
|
1,555,884 |
|
| 05/01/2033 |
|
|
5.100 |
% |
|
|
785,000 |
|
|
|
751,281 |
|
| Digicel International Finance Ltd./Holdings(a) |
|
|
|
|
|
| 05/25/2024 |
|
|
8.750 |
% |
|
|
2,425,000 |
|
|
|
2,233,099 |
|
| 05/25/2024 |
|
|
8.750 |
% |
|
|
700,000 |
|
|
|
652,443 |
|
| Digicel International Finance Ltd./Holdings(a),(n) |
|
|
|
|
|
| 12/31/2025 |
|
|
13.000 |
% |
|
|
860,640 |
|
|
|
592,611 |
|
| Digicel International Finance Ltd./Holdings(a),(m) |
|
|
|
|
|
| Subordinated |
|
|
|
|
|
| 12/31/2026 |
|
|
0.000 |
% |
|
|
500,000 |
|
|
|
10,000 |
|
| Digicel Ltd.(a),(m) |
|
|
|
|
|
| 12/01/2023 |
|
|
0.000 |
% |
|
|
1,300,000 |
|
|
|
39,000 |
|
| Sprint Capital Corp. |
|
|
|
|
|
| 11/15/2028 |
|
|
6.875 |
% |
|
|
1,766,000 |
|
|
|
1,869,608 |
|
| 03/15/2032 |
|
|
8.750 |
% |
|
|
3,140,000 |
|
|
|
3,751,344 |
|
| Sprint Corp. |
|
|
|
|
|
| 06/15/2024 |
|
|
7.125 |
% |
|
|
5,225,000 |
|
|
|
5,252,164 |
|
| Sprint Spectrum Co. I/II/III
LLC(a) |
|
|
|
|
|
| 03/20/2025 |
|
|
4.738 |
% |
|
|
1,921,125 |
|
|
|
1,905,468 |
|
| 03/20/2028 |
|
|
5.152 |
% |
|
|
7,447,500 |
|
|
|
7,338,647 |
|
| T-Mobile US, Inc. |
|
|
|
|
|
| 02/15/2026 |
|
|
2.250 |
% |
|
|
99,000 |
|
|
|
92,603 |
|
| 04/15/2027 |
|
|
3.750 |
% |
|
|
3,514,000 |
|
|
|
3,351,927 |
|
| 02/01/2028 |
|
|
4.750 |
% |
|
|
961,000 |
|
|
|
940,443 |
|
| 02/15/2028 |
|
|
2.050 |
% |
|
|
1,548,000 |
|
|
|
1,361,649 |
|
| 02/15/2029 |
|
|
2.625 |
% |
|
|
597,000 |
|
|
|
525,742 |
|
| 04/15/2029 |
|
|
3.375 |
% |
|
|
3,200,000 |
|
|
|
2,902,665 |
|
| 04/15/2030 |
|
|
3.875 |
% |
|
|
5,132,000 |
|
|
|
4,712,794 |
|
| 02/15/2031 |
|
|
2.550 |
% |
|
|
2,165,000 |
|
|
|
1,794,490 |
|
| 04/15/2031 |
|
|
3.500 |
% |
|
|
3,258,000 |
|
|
|
2,867,557 |
|
| 07/15/2033 |
|
|
5.050 |
% |
|
|
4,690,000 |
|
|
|
4,547,341 |
|
| 04/15/2040 |
|
|
4.375 |
% |
|
|
3,970,000 |
|
|
|
3,392,872 |
|
| 02/15/2041 |
|
|
3.000 |
% |
|
|
3,880,000 |
|
|
|
2,732,750 |
|
| 04/15/2050 |
|
|
4.500 |
% |
|
|
332,000 |
|
|
|
274,775 |
|
| 06/15/2054 |
|
|
6.000 |
% |
|
|
1,306,000 |
|
|
|
1,334,702 |
|
| 09/15/2062 |
|
|
5.800 |
% |
|
|
1,266,000 |
|
|
|
1,242,550 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
49 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Vmed O2 UK Financing I
PLC(a) |
|
|
|
|
|
| 07/15/2031 |
|
|
4.750 |
% |
|
|
1,580,000 |
|
|
|
1,349,635 |
|
| Vodafone Group PLC |
|
|
|
|
|
| 02/10/2063 |
|
|
5.750 |
% |
|
|
550,000 |
|
|
|
521,211 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
82,340,394 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Wirelines 0.4% |
|
|
|
|
|
| AT&T, Inc. |
|
|
|
|
|
| 02/15/2034 |
|
|
5.400 |
% |
|
|
1,830,000 |
|
|
|
1,809,844 |
|
| 05/15/2035 |
|
|
4.500 |
% |
|
|
179,000 |
|
|
|
161,817 |
|
| 08/15/2037 |
|
|
4.900 |
% |
|
|
584,000 |
|
|
|
532,045 |
|
| 03/01/2039 |
|
|
4.850 |
% |
|
|
1,086,000 |
|
|
|
974,760 |
|
| 06/01/2041 |
|
|
3.500 |
% |
|
|
659,000 |
|
|
|
489,564 |
|
| 09/15/2053 |
|
|
3.500 |
% |
|
|
9,456,000 |
|
|
|
6,299,962 |
|
| 09/15/2055 |
|
|
3.550 |
% |
|
|
4,128,000 |
|
|
|
2,725,829 |
|
| 12/01/2057 |
|
|
3.800 |
% |
|
|
594,000 |
|
|
|
405,960 |
|
| 09/15/2059 |
|
|
3.650 |
% |
|
|
6,015,000 |
|
|
|
3,968,451 |
|
| Bell Canada |
|
|
|
|
|
| 05/11/2033 |
|
|
5.100 |
% |
|
|
2,309,000 |
|
|
|
2,257,375 |
|
| C&W Senior Financing
DAC(a) |
|
|
|
|
|
| 09/15/2027 |
|
|
6.875 |
% |
|
|
385,000 |
|
|
|
350,458 |
|
| Front Range BidCo,
Inc.(a) |
|
|
|
|
|
| 03/01/2027 |
|
|
4.000 |
% |
|
|
1,500,000 |
|
|
|
1,148,229 |
|
| Frontier Communications
Corp.(a) |
|
|
|
|
|
| 05/01/2028 |
|
|
5.000 |
% |
|
|
269,000 |
|
|
|
241,426 |
|
| Frontier Communications Holdings
LLC(a) |
|
|
|
|
|
| 03/15/2031 |
|
|
8.625 |
% |
|
|
3,108,000 |
|
|
|
3,063,469 |
|
| GCI LLC(a) |
|
|
|
|
|
| 10/15/2028 |
|
|
4.750 |
% |
|
|
1,480,000 |
|
|
|
1,327,922 |
|
| Iliad Holding SAS(a) |
|
|
|
|
|
| 10/15/2026 |
|
|
6.500 |
% |
|
|
550,000 |
|
|
|
535,954 |
|
| 10/15/2028 |
|
|
7.000 |
% |
|
|
500,000 |
|
|
|
478,570 |
|
| Level 3 Financing,
Inc.(a) |
|
|
|
|
|
| 03/01/2027 |
|
|
3.400 |
% |
|
|
1,925,000 |
|
|
|
1,621,812 |
|
| 09/15/2027 |
|
|
4.625 |
% |
|
|
225,000 |
|
|
|
119,250 |
|
| 07/01/2028 |
|
|
4.250 |
% |
|
|
425,000 |
|
|
|
177,767 |
|
| 05/15/2030 |
|
|
10.500 |
% |
|
|
950,000 |
|
|
|
881,790 |
|
| Qwest Corp. |
|
|
|
|
|
| 09/15/2025 |
|
|
7.250 |
% |
|
|
3,978,000 |
|
|
|
3,757,724 |
|
| Telecom Italia Capital SA |
|
|
|
|
|
| 06/04/2038 |
|
|
7.721 |
% |
|
|
1,550,000 |
|
|
|
1,544,803 |
|
| Total Play Telecomunicaciones SA de
CV(a) |
|
|
|
|
|
| 09/20/2028 |
|
|
6.375 |
% |
|
|
1,270,000 |
|
|
|
583,170 |
|
| Verizon Communications, Inc. |
|
|
|
|
|
| 02/15/2025 |
|
|
3.376 |
% |
|
|
2,527,000 |
|
|
|
2,468,101 |
|
| 12/03/2029 |
|
|
4.016 |
% |
|
|
530,000 |
|
|
|
497,261 |
|
| 01/20/2031 |
|
|
1.750 |
% |
|
|
555,000 |
|
|
|
437,465 |
|
| 03/21/2031 |
|
|
2.550 |
% |
|
|
552,000 |
|
|
|
458,079 |
|
| 03/15/2032 |
|
|
2.355 |
% |
|
|
4,020,000 |
|
|
|
3,205,543 |
|
| 11/01/2034 |
|
|
4.400 |
% |
|
|
3,852,000 |
|
|
|
3,541,989 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes (continued) |
|
|
|
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| 01/15/2036 |
|
|
4.272 |
% |
|
|
1,020,000 |
|
|
|
914,749 |
|
| 03/22/2041 |
|
|
3.400 |
% |
|
|
2,127,000 |
|
|
|
1,608,110 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
48,589,248 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Corporate Bonds & Notes
(Cost $3,688,958,341) |
|
|
|
3,438,794,107 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Foreign Government Obligations(o),(p) 1.3% |
|
|
|
|
|
|
| Australia 0.0% |
|
|
|
|
|
| NBN Co., Ltd.(a) |
|
|
|
|
|
| 05/05/2026 |
|
|
1.450 |
% |
|
|
581,000 |
|
|
|
530,309 |
|
| 01/08/2027 |
|
|
1.625 |
% |
|
|
1,230,000 |
|
|
|
1,104,413 |
|
| 10/06/2033 |
|
|
6.000 |
% |
|
|
1,676,000 |
|
|
|
1,733,612 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
3,368,334 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Azerbaijan 0.0% |
|
|
|
|
|
| Southern Gas Corridor
CJSC(a) |
|
|
|
|
|
| 03/24/2026 |
|
|
6.875 |
% |
|
|
450,000 |
|
|
|
452,395 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Bermuda 0.0% |
|
|
|
|
|
| Bermuda Government International
Bond(a) |
|
|
|
|
|
| 08/20/2030 |
|
|
2.375 |
% |
|
|
1,105,000 |
|
|
|
904,783 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Brazil 0.0% |
|
|
|
|
|
| Brazil Minas SPE via State of Minas
Gerais(a) |
|
|
|
|
|
| 02/15/2028 |
|
|
5.333 |
% |
|
|
1,450,000 |
|
|
|
1,408,591 |
|
| Brazilian Government International Bond |
|
|
|
|
|
| 06/12/2030 |
|
|
3.875 |
% |
|
|
800,000 |
|
|
|
714,181 |
|
| 10/20/2033 |
|
|
6.000 |
% |
|
|
350,000 |
|
|
|
340,743 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
2,463,515 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Canada 0.0% |
|
|
|
|
|
| Province of British Columbia |
|
|
|
|
|
| 09/01/2036 |
|
|
7.250 |
% |
|
|
2,000,000 |
|
|
|
2,423,025 |
|
| Province of Manitoba |
|
|
|
|
|
| 06/22/2026 |
|
|
2.125 |
% |
|
|
300,000 |
|
|
|
281,104 |
|
| Province of Quebec(l) |
|
|
|
|
|
| 03/02/2026 |
|
|
7.485 |
% |
|
|
230,000 |
|
|
|
241,792 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
2,945,921 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Chile 0.1% |
|
|
|
|
|
| Chile Government International Bond |
|
|
|
|
|
| 01/31/2034 |
|
|
3.500 |
% |
|
|
850,000 |
|
|
|
730,932 |
|
| Corp. Nacional del Cobre de
Chile(a) |
|
|
|
|
|
| 01/08/2034 |
|
|
5.950 |
% |
|
|
1,925,000 |
|
|
|
1,889,079 |
|
| 09/08/2053 |
|
|
6.300 |
% |
|
|
950,000 |
|
|
|
907,269 |
|
| Corporación Nacional del Cobre de Chile(a) |
|
|
|
|
|
| 11/04/2044 |
|
|
4.875 |
% |
|
|
200,000 |
|
|
|
161,378 |
|
|
|
|
| 50 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Foreign Government Obligations(o),(p) (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Empresa Nacional del
Petroleo(a) |
|
|
|
|
|
|
|
|
|
| 08/05/2026 |
|
|
3.750 |
% |
|
|
750,000 |
|
|
|
702,966 |
|
| 11/06/2029 |
|
|
5.250 |
% |
|
|
450,000 |
|
|
|
425,278 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
4,816,902 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Colombia 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Colombia Government International Bond |
|
|
|
|
|
|
|
|
|
| 03/15/2029 |
|
|
4.500 |
% |
|
|
750,000 |
|
|
|
673,701 |
|
| 01/30/2030 |
|
|
3.000 |
% |
|
|
315,000 |
|
|
|
252,409 |
|
| 04/15/2031 |
|
|
3.125 |
% |
|
|
200,000 |
|
|
|
154,447 |
|
| 04/20/2033 |
|
|
8.000 |
% |
|
|
200,000 |
|
|
|
207,893 |
|
| Ecopetrol SA |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/19/2029 |
|
|
8.625 |
% |
|
|
5,830,000 |
|
|
|
6,038,978 |
|
| 04/29/2030 |
|
|
6.875 |
% |
|
|
2,000,000 |
|
|
|
1,891,990 |
|
| 01/13/2033 |
|
|
8.875 |
% |
|
|
3,764,000 |
|
|
|
3,879,876 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
13,099,294 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Dominican Republic 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Dominican Republic International
Bond(a) |
|
|
|
|
|
|
|
|
|
| 01/27/2025 |
|
|
5.500 |
% |
|
|
100,000 |
|
|
|
98,836 |
|
| 01/27/2025 |
|
|
5.500 |
% |
|
|
100,000 |
|
|
|
98,836 |
|
| 07/19/2028 |
|
|
6.000 |
% |
|
|
1,400,000 |
|
|
|
1,364,840 |
|
| 07/19/2028 |
|
|
6.000 |
% |
|
|
275,000 |
|
|
|
268,093 |
|
| 02/22/2029 |
|
|
5.500 |
% |
|
|
2,655,000 |
|
|
|
2,516,744 |
|
| 02/22/2029 |
|
|
5.500 |
% |
|
|
161,000 |
|
|
|
152,616 |
|
| 01/30/2030 |
|
|
4.500 |
% |
|
|
628,000 |
|
|
|
555,280 |
|
| 09/23/2032 |
|
|
4.875 |
% |
|
|
750,000 |
|
|
|
647,897 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
5,703,142 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Guatemala 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Guatemala Government
Bond(a) |
|
|
|
|
|
|
|
|
|
| 08/10/2029 |
|
|
5.250 |
% |
|
|
450,000 |
|
|
|
418,737 |
|
| 10/07/2033 |
|
|
3.700 |
% |
|
|
794,000 |
|
|
|
615,572 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
1,034,309 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Hungary 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Hungary Government International
Bond(a) |
|
|
|
|
|
|
|
|
|
| 09/22/2031 |
|
|
2.125 |
% |
|
|
1,400,000 |
|
|
|
1,078,544 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| India 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Export-Import Bank of
India(a) |
|
|
|
|
|
|
|
|
|
| 08/05/2026 |
|
|
3.375 |
% |
|
|
860,000 |
|
|
|
817,216 |
|
| 02/01/2028 |
|
|
3.875 |
% |
|
|
1,025,000 |
|
|
|
964,389 |
|
| 01/13/2031 |
|
|
2.250 |
% |
|
|
1,030,000 |
|
|
|
827,678 |
|
| Indian Railway Finance Corp.,
Ltd.(a) |
|
|
|
|
|
|
|
|
|
| 01/21/2032 |
|
|
3.570 |
% |
|
|
1,110,000 |
|
|
|
953,743 |
|
| Power Finance Corp.,
Ltd.(a) |
|
|
|
|
|
|
|
|
|
| 12/06/2028 |
|
|
6.150 |
% |
|
|
546,000 |
|
|
|
558,108 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
4,121,134 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Foreign Government Obligations(o),(p) (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Indonesia 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Freeport Indonesia PT(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/14/2032 |
|
|
5.315 |
% |
|
|
1,045,000 |
|
|
|
989,749 |
|
| Indonesia Asahan Aluminium PT/Mineral Industri Persero(a) |
|
|
|
|
|
| 05/15/2030 |
|
|
5.450 |
% |
|
|
560,000 |
|
|
|
544,685 |
|
| Indonesia Government International
Bond(a) |
|
|
|
|
|
|
|
|
|
| 01/17/2038 |
|
|
7.750 |
% |
|
|
1,000,000 |
|
|
|
1,226,928 |
|
| Lembaga Pembiayaan Ekspor
Indonesia(a) |
|
|
|
|
|
|
|
|
|
| 04/06/2024 |
|
|
3.875 |
% |
|
|
1,450,000 |
|
|
|
1,438,861 |
|
| Perusahaan Penerbit SBSN Indonesia
III(a) |
|
|
|
|
|
|
|
|
|
| 06/23/2030 |
|
|
2.800 |
% |
|
|
1,000,000 |
|
|
|
872,852 |
|
| PT Pertamina Persero(a) |
|
|
|
|
|
|
|
|
|
| 08/25/2030 |
|
|
3.100 |
% |
|
|
1,424,000 |
|
|
|
1,236,606 |
|
| 05/20/2043 |
|
|
5.625 |
% |
|
|
250,000 |
|
|
|
231,815 |
|
| PT Perusahaan Listrik
Negara(a) |
|
|
|
|
|
|
|
|
|
| 05/15/2027 |
|
|
4.125 |
% |
|
|
5,000,000 |
|
|
|
4,795,700 |
|
| 05/21/2028 |
|
|
5.450 |
% |
|
|
850,000 |
|
|
|
846,092 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
12,183,288 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Israel 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Israel Electric Corp.,
Ltd.(a) |
|
|
|
|
|
|
|
|
|
| 08/14/2028 |
|
|
4.250 |
% |
|
|
2,200,000 |
|
|
|
2,001,182 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Italy 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cassa Depositi e Prestiti
SpA(a) |
|
|
|
|
|
|
|
|
|
| 05/05/2026 |
|
|
5.750 |
% |
|
|
1,200,000 |
|
|
|
1,187,022 |
|
| Republic of Italy Government International Bond |
|
|
|
|
|
|
|
|
|
| 10/17/2029 |
|
|
2.875 |
% |
|
|
1,700,000 |
|
|
|
1,486,140 |
|
| 06/15/2033 |
|
|
5.375 |
% |
|
|
8,270,000 |
|
|
|
8,031,304 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
10,704,466 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Japan 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Japan Bank for International Cooperation |
|
|
|
|
|
|
|
|
|
| 05/23/2024 |
|
|
2.500 |
% |
|
|
600,000 |
|
|
|
591,362 |
|
| Japan Finance Organization for Municipalities(a) |
|
|
|
|
|
|
|
|
|
| 03/12/2024 |
|
|
3.000 |
% |
|
|
400,000 |
|
|
|
397,036 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
988,398 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Kazakhstan 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| KazMunayGas National Co.
JSC(a) |
|
|
|
|
|
|
|
|
|
| 04/19/2027 |
|
|
4.750 |
% |
|
|
300,000 |
|
|
|
285,497 |
|
| 04/24/2030 |
|
|
5.375 |
% |
|
|
962,000 |
|
|
|
905,583 |
|
| KazTransGas JSC(a) |
|
|
|
|
|
|
|
|
|
| 09/26/2027 |
|
|
4.375 |
% |
|
|
200,000 |
|
|
|
186,826 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
1,377,906 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Marshall Islands 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Nakilat, Inc.(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/31/2033 |
|
|
6.067 |
% |
|
|
1,004,171 |
|
|
|
1,014,864 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
51 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Foreign Government Obligations(o),(p) (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Mexico 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
| Comision Federal de
Electricidad(a) |
|
|
|
|
|
| 05/15/2029 |
|
|
4.688 |
% |
|
|
3,647,000 |
|
|
|
3,316,020 |
|
| Mexico City Airport Trust(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/31/2026 |
|
|
4.250 |
% |
|
|
1,435,000 |
|
|
|
1,365,676 |
|
| 04/30/2028 |
|
|
3.875 |
% |
|
|
420,000 |
|
|
|
384,786 |
|
| 10/31/2046 |
|
|
5.500 |
% |
|
|
667,000 |
|
|
|
520,000 |
|
| 07/31/2047 |
|
|
5.500 |
% |
|
|
4,424,000 |
|
|
|
3,452,384 |
|
| Mexico Government International Bond |
|
|
|
|
|
| 04/22/2029 |
|
|
4.500 |
% |
|
|
1,500,000 |
|
|
|
1,440,649 |
|
| 05/24/2031 |
|
|
2.659 |
% |
|
|
2,368,000 |
|
|
|
1,935,281 |
|
| 04/27/2032 |
|
|
4.750 |
% |
|
|
250,000 |
|
|
|
232,541 |
|
| 05/19/2033 |
|
|
4.875 |
% |
|
|
300,000 |
|
|
|
279,008 |
|
| 02/09/2035 |
|
|
6.350 |
% |
|
|
200,000 |
|
|
|
202,018 |
|
| 05/04/2053 |
|
|
6.338 |
% |
|
|
340,000 |
|
|
|
325,046 |
|
| 05/24/2061 |
|
|
3.771 |
% |
|
|
550,000 |
|
|
|
348,958 |
|
| 04/19/2071 |
|
|
3.750 |
% |
|
|
750,000 |
|
|
|
466,474 |
|
| Pemex Project Funding Master Trust |
|
|
|
|
|
| 06/15/2038 |
|
|
6.625 |
% |
|
|
50,000 |
|
|
|
32,845 |
|
| Petroleos Mexicanos |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/13/2027 |
|
|
6.500 |
% |
|
|
11,947,000 |
|
|
|
10,764,671 |
|
| 02/12/2028 |
|
|
5.350 |
% |
|
|
276,000 |
|
|
|
229,386 |
|
| 01/23/2029 |
|
|
6.500 |
% |
|
|
625,000 |
|
|
|
523,505 |
|
| 01/28/2031 |
|
|
5.950 |
% |
|
|
3,025,000 |
|
|
|
2,267,680 |
|
| 02/16/2032 |
|
|
6.700 |
% |
|
|
4,723,000 |
|
|
|
3,679,897 |
|
| 02/07/2033 |
|
|
10.000 |
% |
|
|
1,375,000 |
|
|
|
1,283,462 |
|
| 06/15/2035 |
|
|
6.625 |
% |
|
|
2,215,000 |
|
|
|
1,557,843 |
|
| 01/23/2046 |
|
|
5.625 |
% |
|
|
300,000 |
|
|
|
169,638 |
|
| 09/21/2047 |
|
|
6.750 |
% |
|
|
2,482,000 |
|
|
|
1,517,787 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
36,295,555 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Morocco 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Morocco Government International
Bond(a) |
|
|
|
|
|
| 12/15/2027 |
|
|
2.375 |
% |
|
|
1,300,000 |
|
|
|
1,140,969 |
|
| 12/15/2050 |
|
|
4.000 |
% |
|
|
350,000 |
|
|
|
232,028 |
|
| OCP SA(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/23/2031 |
|
|
3.750 |
% |
|
|
350,000 |
|
|
|
289,160 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
1,662,157 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Norway 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Equinor ASA |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/06/2030 |
|
|
3.125 |
% |
|
|
826,000 |
|
|
|
752,639 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Oman 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Oman Government International
Bond(a) |
|
|
|
|
|
| 01/17/2028 |
|
|
5.625 |
% |
|
|
600,000 |
|
|
|
601,144 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Panama 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Banco Nacional de
Panama(a) |
|
|
|
|
|
| 08/11/2030 |
|
|
2.500 |
% |
|
|
875,000 |
|
|
|
642,632 |
|
| 08/11/2030 |
|
|
2.500 |
% |
|
|
600,000 |
|
|
|
440,662 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Foreign Government Obligations(o),(p) (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Panama Government International Bond |
|
|
|
|
|
| 03/16/2025 |
|
|
3.750 |
% |
|
|
200,000 |
|
|
|
193,020 |
|
| 01/23/2030 |
|
|
3.160 |
% |
|
|
657,000 |
|
|
|
540,366 |
|
| 09/29/2032 |
|
|
2.252 |
% |
|
|
200,000 |
|
|
|
140,278 |
|
| 01/19/2033 |
|
|
3.298 |
% |
|
|
250,000 |
|
|
|
189,358 |
|
| 01/31/2036 |
|
|
6.875 |
% |
|
|
1,200,000 |
|
|
|
1,150,107 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
3,296,423 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Paraguay 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Paraguay Government International
Bond(a) |
|
|
|
|
|
| 04/28/2031 |
|
|
4.950 |
% |
|
|
730,000 |
|
|
|
688,898 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Peru 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Corporación Financiera de Desarrollo SA(a) |
|
|
|
|
|
| 09/28/2027 |
|
|
2.400 |
% |
|
|
600,000 |
|
|
|
522,048 |
|
| Peruvian Government International Bond |
|
|
|
|
|
| 01/23/2031 |
|
|
2.783 |
% |
|
|
1,120,000 |
|
|
|
945,155 |
|
| 12/01/2032 |
|
|
1.862 |
% |
|
|
100,000 |
|
|
|
75,296 |
|
| 03/14/2037 |
|
|
6.550 |
% |
|
|
1,785,000 |
|
|
|
1,909,505 |
|
| 12/01/2060 |
|
|
2.780 |
% |
|
|
600,000 |
|
|
|
347,814 |
|
| Petroleos del Peru SA(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/19/2032 |
|
|
4.750 |
% |
|
|
2,100,000 |
|
|
|
1,473,668 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
5,273,486 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Philippines 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Philippine Government International Bond |
|
|
|
|
|
| 05/05/2030 |
|
|
2.457 |
% |
|
|
800,000 |
|
|
|
687,027 |
|
| 01/15/2032 |
|
|
6.375 |
% |
|
|
400,000 |
|
|
|
433,693 |
|
| 10/23/2034 |
|
|
6.375 |
% |
|
|
275,000 |
|
|
|
298,847 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
1,419,567 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Poland 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Republic of Poland Government International Bond |
|
|
|
|
|
| 10/04/2033 |
|
|
4.875 |
% |
|
|
790,000 |
|
|
|
766,305 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Romania 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Romanian Government International
Bond(a) |
|
| 02/17/2028 |
|
|
6.625 |
% |
|
|
200,000 |
|
|
|
203,645 |
|
| 02/14/2031 |
|
|
3.000 |
% |
|
|
2,100,000 |
|
|
|
1,706,953 |
|
| 05/25/2034 |
|
|
6.000 |
% |
|
|
5,488,000 |
|
|
|
5,311,046 |
|
| 12/02/2040 |
|
|
2.625 |
%EUR |
|
|
500,000 |
|
|
|
333,828 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
7,555,472 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Saudi Arabia 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Gaci First Investment Co.(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/13/2032 |
|
|
5.250 |
% |
|
|
300,000 |
|
|
|
300,111 |
|
| Saudi Government International
Bond(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| 02/02/2061 |
|
|
3.450 |
% |
|
|
575,000 |
|
|
|
364,212 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
664,323 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 52 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Foreign Government Obligations(o),(p) (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Serbia 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Serbia International Bond(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/01/2030 |
|
|
2.125 |
% |
|
|
6,640,000 |
|
|
|
5,094,919 |
|
| 09/26/2033 |
|
|
6.500 |
% |
|
|
2,800,000 |
|
|
|
2,753,475 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
7,848,394 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| South Africa 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Eskom Holdings SOC Ltd.(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| 02/11/2025 |
|
|
7.125 |
% |
|
|
950,000 |
|
|
|
946,535 |
|
| Republic of South Africa Government International Bond |
|
| 10/12/2028 |
|
|
4.300 |
% |
|
|
525,000 |
|
|
|
471,958 |
|
| 09/30/2029 |
|
|
4.850 |
% |
|
|
3,275,000 |
|
|
|
2,932,999 |
|
| 06/22/2030 |
|
|
5.875 |
% |
|
|
510,000 |
|
|
|
472,906 |
|
| South Africa Government International Bond |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/17/2024 |
|
|
4.665 |
% |
|
|
1,100,000 |
|
|
|
1,096,970 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
5,921,368 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ukraine 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Ukraine Government International
Bond(a) |
|
| 09/01/2024 |
|
|
7.750 |
% |
|
|
2,410,000 |
|
|
|
748,497 |
|
| 02/01/2026 |
|
|
8.994 |
% |
|
|
1,000,000 |
|
|
|
299,399 |
|
| 09/01/2027 |
|
|
7.750 |
% |
|
|
3,050,000 |
|
|
|
832,724 |
|
| 11/01/2030 |
|
|
9.750 |
% |
|
|
3,850,000 |
|
|
|
1,108,674 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
2,989,294 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| United Arab Emirates 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| DP World Ltd.(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/02/2037 |
|
|
6.850 |
% |
|
|
300,000 |
|
|
|
316,465 |
|
| Finance Department Government of
Sharjah(a) |
|
| 11/23/2032 |
|
|
6.500 |
% |
|
|
202,000 |
|
|
|
204,319 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
520,784 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| United States 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| Antares Holdings LP(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/15/2027 |
|
|
3.750 |
% |
|
|
4,605,000 |
|
|
|
4,027,679 |
|
| BOC Aviation USA Corp.(a) |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/29/2024 |
|
|
1.625 |
% |
|
|
2,015,000 |
|
|
|
1,981,495 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
6,009,174 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Virgin Islands 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Sinopec Group Overseas Development
Ltd.(a) |
|
| 04/28/2025 |
|
|
3.250 |
% |
|
|
400,000 |
|
|
|
388,517 |
|
| 04/28/2025 |
|
|
3.250 |
% |
|
|
300,000 |
|
|
|
291,387 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
679,904 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Foreign Government Obligations
(Cost $173,502,355) |
|
|
|
|
|
|
|
|
|
|
151,203,264 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Municipal Bonds 0.3% |
|
|
|
|
|
| Issue Description |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Higher Education 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| University of California |
|
|
|
|
|
|
|
|
|
|
|
|
| Refunding Revenue Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
| Taxable General |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2017AX |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/01/2025 |
|
|
3.063 |
% |
|
|
5,700,000 |
|
|
|
5,515,980 |
|
| University of Michigan |
|
|
|
|
|
|
|
|
|
|
|
|
| Revenue Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
| Taxable |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022A |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/01/2122 |
|
|
4.454 |
% |
|
|
4,020,000 |
|
|
|
3,257,806 |
|
| University of Virginia |
|
|
|
|
|
|
|
|
|
|
|
|
| Refunding Revenue Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
| Taxable |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021B |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/01/2051 |
|
|
2.584 |
% |
|
|
2,020,000 |
|
|
|
1,253,223 |
|
| Revenue Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
| Taxable |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2017C |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/01/2117 |
|
|
4.179 |
% |
|
|
725,000 |
|
|
|
553,728 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
10,580,737 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Hospital 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
| California Health Facilities Financing Authority |
|
| Refunding Revenue Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
| Cedars-Sinai Health System |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021 |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/15/2051 |
|
|
3.000 |
% |
|
|
1,785,000 |
|
|
|
1,324,903 |
|
| Regents of the University of California Medical Center |
|
| Revenue Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
| Taxable |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020N |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/15/2060 |
|
|
3.256 |
% |
|
|
5,525,000 |
|
|
|
3,511,004 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
4,835,907 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Local General Obligation 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| City of New York |
|
|
|
|
|
|
|
|
|
|
|
|
| Unlimited General Obligation Bonds |
|
|
|
|
|
|
|
|
|
| Series 2010 (BAM) |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/01/2036 |
|
|
5.968 |
% |
|
|
3,100,000 |
|
|
|
3,206,690 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Sales Tax 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Puerto Rico Sales Tax Financing
Corp.(q) |
|
| Revenue Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2019A1 |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/01/2058 |
|
|
5.000 |
% |
|
|
2,740,000 |
|
|
|
2,656,649 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 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 |
|
|
|
2,098,602 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
53 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Municipal Bonds (continued) |
|
|
|
|
|
| Issue Description |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Revenue Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
| Future Tax Secured |
|
|
|
|
|
|
|
|
|
|
|
|
| Subordinated Series 2020D-3 |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/01/2032 |
|
|
2.400 |
% |
|
|
1,045,000 |
|
|
|
825,423 |
|
| New York City Transitional Finance Authority Future Tax |
|
| Secured Revenue Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
| Build America Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2010 |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/01/2037 |
|
|
5.508 |
% |
|
|
1,245,000 |
|
|
|
1,223,836 |
|
| State of Illinois |
|
|
|
|
|
|
|
|
|
|
|
|
| Revenue Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
| Taxable Sales Tax |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2013 |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/15/2028 |
|
|
3.350 |
% |
|
|
2,500,000 |
|
|
|
2,297,242 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
6,445,103 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Turnpike / Bridge / Toll Road 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| Bay Area Toll Authority |
|
|
|
|
|
|
|
|
|
|
|
|
| Revenue Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2009 (BAM) |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/01/2049 |
|
|
6.263 |
% |
|
|
1,920,000 |
|
|
|
2,102,131 |
|
| Pennsylvania Turnpike Commission |
|
|
|
|
|
|
|
|
|
|
|
|
| Revenue Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
| Build America Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2009 |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/01/2039 |
|
|
6.105 |
% |
|
|
1,620,000 |
|
|
|
1,716,116 |
|
| 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 |
|
|
|
668,387 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
4,486,634 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Municipal Bonds
(Cost $39,153,526) |
|
|
|
|
|
|
|
|
|
|
32,211,720 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Residential Mortgage-Backed Securities - Agency 26.5% |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Fannie Mae REMICS |
|
|
|
|
|
|
|
|
|
|
|
|
| CMO Series 2011-84 Class Z |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/25/2041 |
|
|
5.250 |
% |
|
|
1,188,029 |
|
|
|
1,173,421 |
|
| Federal Home Loan Mortgage Corp. |
|
| 08/01/2024- |
|
|
|
|
|
|
|
|
|
|
|
|
| 02/01/2025 |
|
|
8.000 |
% |
|
|
956 |
|
|
|
956 |
|
| 10/01/2028- |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/01/2032 |
|
|
7.000 |
% |
|
|
90,539 |
|
|
|
93,036 |
|
| 03/01/2031- |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/01/2052 |
|
|
3.000 |
% |
|
|
89,630,716 |
|
|
|
76,499,274 |
|
| 10/01/2031- |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/01/2037 |
|
|
6.000 |
% |
|
|
319,378 |
|
|
|
329,439 |
|
| 04/01/2033- |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/01/2053 |
|
|
5.500 |
% |
|
|
67,371,889 |
|
|
|
66,439,954 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Residential Mortgage-Backed Securities - Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| 05/01/2033- |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/01/2052 |
|
|
3.500 |
% |
|
|
55,345,994 |
|
|
|
49,456,271 |
|
| 10/01/2039- |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/01/2053 |
|
|
5.000 |
% |
|
|
29,673,978 |
|
|
|
28,611,763 |
|
| 09/01/2040- |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/01/2052 |
|
|
4.000 |
% |
|
|
40,123,882 |
|
|
|
36,737,120 |
|
| 09/01/2040- |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/01/2053 |
|
|
4.500 |
% |
|
|
61,870,550 |
|
|
|
58,025,328 |
|
| 06/01/2050- |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/01/2052 |
|
|
2.500 |
% |
|
|
308,636,813 |
|
|
|
250,845,121 |
|
| 12/01/2050- |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/01/2052 |
|
|
2.000 |
% |
|
|
46,189,070 |
|
|
|
35,980,769 |
|
| CMO Series 2060 Class Z |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/15/2028 |
|
|
6.500 |
% |
|
|
41,717 |
|
|
|
42,011 |
|
| CMO Series 2310 Class Z |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/15/2031 |
|
|
6.000 |
% |
|
|
37,268 |
|
|
|
37,671 |
|
| CMO Series 2725 Class TA |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/15/2033 |
|
|
4.500 |
% |
|
|
1,525,000 |
|
|
|
1,469,446 |
|
| CMO Series 2882 Class ZC |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/15/2034 |
|
|
6.000 |
% |
|
|
2,483,370 |
|
|
|
2,467,382 |
|
| CMO Series 2953 Class LZ |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/15/2035 |
|
|
6.000 |
% |
|
|
2,259,380 |
|
|
|
2,285,022 |
|
| CMO Series 3028 Class ZE |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/15/2035 |
|
|
5.500 |
% |
|
|
154,456 |
|
|
|
149,706 |
|
| CMO Series 3032 Class PZ |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/15/2035 |
|
|
5.800 |
% |
|
|
371,914 |
|
|
|
372,486 |
|
| CMO Series 3071 Class ZP |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/15/2035 |
|
|
5.500 |
% |
|
|
8,109,166 |
|
|
|
8,029,775 |
|
| CMO Series 3121 Class EZ |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/15/2036 |
|
|
6.000 |
% |
|
|
85,997 |
|
|
|
86,202 |
|
| CMO Series 3181 Class AZ |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/15/2036 |
|
|
6.500 |
% |
|
|
27,705 |
|
|
|
28,333 |
|
| CMO Series 353 Class 300 |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/15/2046 |
|
|
3.000 |
% |
|
|
5,308,932 |
|
|
|
4,529,600 |
|
| CMO Series 3740 Class BA |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/15/2040 |
|
|
4.000 |
% |
|
|
1,099,410 |
|
|
|
1,023,694 |
|
| CMO Series 3747 Class HY |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/15/2040 |
|
|
4.500 |
% |
|
|
2,970,970 |
|
|
|
2,855,843 |
|
| CMO Series 3753 Class KZ |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/15/2040 |
|
|
4.500 |
% |
|
|
5,165,597 |
|
|
|
4,943,802 |
|
| CMO Series 3769 Class ZC |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/15/2040 |
|
|
4.500 |
% |
|
|
2,595,061 |
|
|
|
2,486,338 |
|
| CMO Series 3841 Class JZ |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/15/2041 |
|
|
5.000 |
% |
|
|
227,406 |
|
|
|
223,006 |
|
| CMO Series 3888 Class ZG |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/15/2041 |
|
|
4.000 |
% |
|
|
506,172 |
|
|
|
473,393 |
|
| CMO Series 3926 Class NY |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/15/2041 |
|
|
4.000 |
% |
|
|
419,415 |
|
|
|
392,578 |
|
|
|
|
| 54 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Residential Mortgage-Backed Securities - Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| CMO Series 3928 Class MB |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/15/2041 |
|
|
4.500 |
% |
|
|
1,015,758 |
|
|
|
972,351 |
|
| CMO Series 3934 Class CB |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/15/2041 |
|
|
4.000 |
% |
|
|
2,593,799 |
|
|
|
2,408,137 |
|
| CMO Series 3982 Class TZ |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/15/2042 |
|
|
4.000 |
% |
|
|
969,725 |
|
|
|
897,722 |
|
| CMO Series 4027 Class AB |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/15/2040 |
|
|
4.000 |
% |
|
|
1,166,071 |
|
|
|
1,095,930 |
|
| CMO Series 4057 Class ZB |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/15/2042 |
|
|
3.500 |
% |
|
|
5,726,747 |
|
|
|
5,137,531 |
|
| CMO Series 4057 Class ZL |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/15/2042 |
|
|
3.500 |
% |
|
|
6,294,592 |
|
|
|
5,537,146 |
|
| CMO Series 4077 Class KM |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/15/2041 |
|
|
3.500 |
% |
|
|
7,892 |
|
|
|
7,833 |
|
| CMO Series 4091 Class KB |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/15/2042 |
|
|
3.000 |
% |
|
|
6,500,000 |
|
|
|
5,553,677 |
|
| CMO Series 4182 Class QN |
|
|
|
|
|
|
|
|
|
|
|
|
| 02/15/2033 |
|
|
3.000 |
% |
|
|
102,746 |
|
|
|
101,547 |
|
| CMO Series 4361 Class VB |
|
|
|
|
|
|
|
|
|
|
|
|
| 02/15/2038 |
|
|
3.000 |
% |
|
|
2,140,944 |
|
|
|
2,102,371 |
|
| CMO Series 4421 Class PB |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/15/2044 |
|
|
4.000 |
% |
|
|
5,941,237 |
|
|
|
5,234,555 |
|
| CMO Series 4440 Class ZX |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/15/2045 |
|
|
4.000 |
% |
|
|
12,267,111 |
|
|
|
10,870,440 |
|
| CMO Series 4463 Class ZA |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/15/2045 |
|
|
4.000 |
% |
|
|
4,504,901 |
|
|
|
4,110,385 |
|
| CMO Series 4495 Class PA |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/15/2043 |
|
|
3.500 |
% |
|
|
118,690 |
|
|
|
112,565 |
|
| CMO Series 4682 Class HZ |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/15/2047 |
|
|
3.500 |
% |
|
|
3,050,286 |
|
|
|
2,655,521 |
|
| CMO Series 4771 Class HZ |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/15/2048 |
|
|
3.500 |
% |
|
|
9,780,578 |
|
|
|
8,390,998 |
|
| CMO Series 4774 Class KA |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/15/2045 |
|
|
4.500 |
% |
|
|
71,083 |
|
|
|
70,433 |
|
| CMO Series 4787 Class PY |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/15/2048 |
|
|
4.000 |
% |
|
|
1,060,458 |
|
|
|
960,769 |
|
| CMO Series 4793 Class CD |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/15/2048 |
|
|
3.000 |
% |
|
|
801,264 |
|
|
|
687,029 |
|
| CMO Series 4839 Class A |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/15/2051 |
|
|
4.000 |
% |
|
|
2,624,572 |
|
|
|
2,427,834 |
|
| CMO Series 4941 Class CZ |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/25/2049 |
|
|
3.000 |
% |
|
|
1,124,517 |
|
|
|
920,889 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Residential Mortgage-Backed Securities - Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Federal Home Loan Mortgage
Corp.(r) |
|
| 06/01/2043- |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/01/2043 |
|
|
3.500 |
% |
|
|
7,979,575 |
|
|
|
7,281,820 |
|
| 05/01/2052 |
|
|
3.000 |
% |
|
|
12,865,465 |
|
|
|
10,858,304 |
|
| 06/01/2052 |
|
|
2.000 |
% |
|
|
24,634,628 |
|
|
|
19,142,941 |
|
| 09/01/2052- |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/01/2052 |
|
|
4.000 |
% |
|
|
57,075,868 |
|
|
|
51,831,974 |
|
| 08/01/2053 |
|
|
5.000 |
% |
|
|
18,069,823 |
|
|
|
17,391,416 |
|
| Federal Home Loan Mortgage
Corp.(b),(d) |
|
| -1.0 x 30-day Average SOFR + |
|
| 5.986% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.100% |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/15/2043 |
|
|
0.662 |
% |
|
|
11,866,281 |
|
|
|
807,705 |
|
| CMO Series 2013-4258 Class SJ |
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
| 6.536% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.650% |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/15/2043 |
|
|
1.212 |
% |
|
|
2,917,537 |
|
|
|
392,997 |
|
| CMO Series 2014-4313 Class MS |
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
| 6.036% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.150% |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/15/2039 |
|
|
0.712 |
% |
|
|
4,202,619 |
|
|
|
283,484 |
|
| CMO Series 3404 Class AS |
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
| 5.781% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 5.895% |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/15/2038 |
|
|
0.457 |
% |
|
|
1,472,005 |
|
|
|
88,444 |
|
| CMO Series 3578 Class DI |
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
| 6.536% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.650% |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/15/2036 |
|
|
1.212 |
% |
|
|
2,147,243 |
|
|
|
133,019 |
|
| CMO Series 3833 Class LI |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.286% |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/15/2040 |
|
|
0.000 |
% |
|
|
5,474,613 |
|
|
|
329,387 |
|
| CMO Series 3892 Class SC |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.836% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 5.950% |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/15/2041 |
|
|
0.512 |
% |
|
|
3,328,845 |
|
|
|
216,201 |
|
| CMO Series 3997 Class SK |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.486% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.600% |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/15/2041 |
|
|
1.162 |
% |
|
|
6,095,952 |
|
|
|
297,453 |
|
| CMO Series 4087 Class SC |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.436% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 5.550% |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/15/2042 |
|
|
0.112 |
% |
|
|
4,130,247 |
|
|
|
202,943 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
55 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Residential Mortgage-Backed Securities - Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| CMO Series 4281 Class SA |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.986% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.100% |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/15/2043 |
|
|
0.662 |
% |
|
|
6,570,645 |
|
|
|
414,485 |
|
| CMO Series 4635 Class SE |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.986% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.100% |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/15/2046 |
|
|
0.662 |
% |
|
|
10,307,207 |
|
|
|
577,355 |
|
| CMO Series 4910 Class SG |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.936% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.050% |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/25/2049 |
|
|
0.607 |
% |
|
|
15,562,890 |
|
|
|
1,736,890 |
|
| Federal Home Loan Mortgage Corp.(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| CMO Series 2380 Class F |
|
|
|
|
|
|
|
|
|
|
|
|
| 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.564% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 0.450%, Cap 8.500% |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/15/2031 |
|
|
5.889 |
% |
|
|
61,855 |
|
|
|
61,706 |
|
| CMO Series 2557 Class FG |
|
|
|
|
|
|
|
|
|
|
|
|
| 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.514% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 0.400%, Cap 8.000% |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/15/2033 |
|
|
5.839 |
% |
|
|
148,135 |
|
|
|
147,678 |
|
| CMO Series 2962 Class PF |
|
|
|
|
|
|
|
|
|
|
|
|
| 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.364% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 0.250%, Cap 7.000% |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/15/2035 |
|
|
5.689 |
% |
|
|
62,627 |
|
|
|
62,239 |
|
| CMO Series 2981 Class FU |
|
|
|
|
|
|
|
|
|
|
|
|
| 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.314% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 0.200%, Cap 8.000% |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/15/2030 |
|
|
5.639 |
% |
|
|
176,791 |
|
|
|
174,862 |
|
| CMO Series 3065 Class EB |
|
|
|
|
|
|
|
|
|
|
|
|
| -3.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 19.547% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 19.890% |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/15/2035 |
|
|
3.574 |
% |
|
|
293,716 |
|
|
|
294,524 |
|
| CMO Series 3081 Class GC |
|
|
|
|
|
|
|
|
|
|
|
|
| -3.7 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 23.414% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 23.833% |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/15/2035 |
|
|
3.892 |
% |
|
|
464,923 |
|
|
|
451,239 |
|
| CMO Series 3085 Class FV |
|
|
|
|
|
|
|
|
|
|
|
|
| 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.814% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 0.700%, Cap 8.000% |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/15/2035 |
|
|
6.139 |
% |
|
|
416,189 |
|
|
|
417,013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Residential Mortgage-Backed Securities - Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| CMO Series 3564 Class FC |
|
|
|
|
|
|
|
|
|
|
|
|
| 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.364% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 1.250%, Cap 6.500% |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/15/2037 |
|
|
6.500 |
% |
|
|
152,714 |
|
|
|
150,611 |
|
| CMO Series 3680 Class FA |
|
|
|
|
|
|
|
|
|
|
|
|
| 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.114% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 1.000%, Cap 6.000% |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/15/2040 |
|
|
6.000 |
% |
|
|
462,882 |
|
|
|
450,401 |
|
| CMO Series 3852 Class QN |
|
|
|
|
|
|
|
|
|
|
|
|
| -3.6 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 26.796% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 5.500% |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/15/2041 |
|
|
5.500 |
% |
|
|
19,268 |
|
|
|
18,091 |
|
| CMO Series 4048 Class FJ |
|
|
|
|
|
|
|
|
|
|
|
|
| 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.514% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 0.400%, Cap |
|
|
|
|
|
|
|
|
|
|
|
|
| 9,999.000% |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/15/2037 |
|
|
5.618 |
% |
|
|
717,509 |
|
|
|
704,724 |
|
| CMO Series 5115 Class FD |
|
|
|
|
|
|
|
|
|
|
|
|
| 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.250% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 0.250%, Cap 4.000% |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/15/2043 |
|
|
4.000 |
% |
|
|
6,486,981 |
|
|
|
6,085,501 |
|
| Federal Home Loan Mortgage Corp.(d) |
|
|
|
|
|
|
|
|
|
|
|
|
| CMO Series 303 Class C21 |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/15/2043 |
|
|
4.000 |
% |
|
|
9,987,261 |
|
|
|
1,683,403 |
|
| CMO Series 303 Class C30 |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/15/2042 |
|
|
4.500 |
% |
|
|
6,423,761 |
|
|
|
1,028,920 |
|
| CMO Series 364 Class C15 |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/15/2046 |
|
|
3.500 |
% |
|
|
4,077,099 |
|
|
|
665,430 |
|
| CMO Series 4146 Class IA |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/15/2032 |
|
|
3.500 |
% |
|
|
4,442,695 |
|
|
|
448,544 |
|
| CMO Series 4186 Class IB |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/15/2033 |
|
|
3.000 |
% |
|
|
4,592,861 |
|
|
|
402,845 |
|
| CMO Series 4627 Class PI |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/15/2044 |
|
|
3.500 |
% |
|
|
1,397,568 |
|
|
|
43,303 |
|
| CMO Series 4698 Class BI |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/15/2047 |
|
|
5.000 |
% |
|
|
11,347,328 |
|
|
|
1,946,025 |
|
| CMO Series 5048 Class HI |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/15/2042 |
|
|
4.500 |
% |
|
|
2,903,904 |
|
|
|
464,189 |
|
| CMO Series 5078 Class NI |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/15/2042 |
|
|
4.000 |
% |
|
|
2,740,000 |
|
|
|
513,483 |
|
| Federal Home Loan Mortgage
Corp.(c),(d) |
|
|
|
|
|
|
|
|
|
|
|
|
| CMO Series 351 Class 213 |
|
|
|
|
|
|
|
|
|
|
|
|
| 02/15/2046 |
|
|
4.126 |
% |
|
|
280,985 |
|
|
|
51,963 |
|
| CMO Series 364 Class 141 |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/15/2046 |
|
|
2.752 |
% |
|
|
323,185 |
|
|
|
45,311 |
|
|
|
|
| 56 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Residential Mortgage-Backed Securities - Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| CMO Series 364 Class 151 |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/15/2046 |
|
|
3.381 |
% |
|
|
317,008 |
|
|
|
50,583 |
|
| CMO Series 364 Class 158 |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/15/2046 |
|
|
3.831 |
% |
|
|
169,925 |
|
|
|
30,036 |
|
| CMO Series 364 Class 167 |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/15/2046 |
|
|
2.550 |
% |
|
|
302,297 |
|
|
|
35,768 |
|
| CMO Series 364 Class C23 |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/15/2046 |
|
|
2.935 |
% |
|
|
3,973,084 |
|
|
|
555,927 |
|
| CMO Series 364 Class C24 |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/15/2046 |
|
|
3.456 |
% |
|
|
2,247,665 |
|
|
|
369,807 |
|
| CMO Series 364 Class C25 |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/15/2046 |
|
|
3.969 |
% |
|
|
691,897 |
|
|
|
130,625 |
|
| CMO Series 368 Class C15 |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/25/2048 |
|
|
3.249 |
% |
|
|
4,424,982 |
|
|
|
557,681 |
|
| CMO Series 5094 Class IO |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/15/2048 |
|
|
1.492 |
% |
|
|
13,330,288 |
|
|
|
914,742 |
|
| Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through |
|
| Certificates(c),(d) |
|
|
|
|
|
|
|
|
|
|
|
|
| CMO Series K051 Class X1 |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/25/2025 |
|
|
0.630 |
% |
|
|
16,520,364 |
|
|
|
119,935 |
|
| CMO Series K058 Class X1 |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/25/2026 |
|
|
1.037 |
% |
|
|
2,307,847 |
|
|
|
46,313 |
|
| CMO Series KW02 Class X1 |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/25/2026 |
|
|
0.398 |
% |
|
|
9,392,770 |
|
|
|
27,823 |
|
| Federal Home Loan Mortgage Corp.
REMICS(b),(d) |
|
| CMO Series 204236 Class IS |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.886% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.000% |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/15/2043 |
|
|
0.562 |
% |
|
|
10,456,024 |
|
|
|
811,688 |
|
| CMO Series 204419 Class BS |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.936% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.050% |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/15/2053 |
|
|
0.612 |
% |
|
|
25,903,387 |
|
|
|
2,610,953 |
|
| CMO Series 204461 Class SA |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.086% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.200% |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/15/2045 |
|
|
0.762 |
% |
|
|
6,079,087 |
|
|
|
561,003 |
|
| CMO Series 204839 Class WS |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.986% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.100% |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/15/2056 |
|
|
0.662 |
% |
|
|
37,795,920 |
|
|
|
4,770,711 |
|
| Federal Home Loan Mortgage Corp.
REMICS(d) |
|
|
|
|
|
|
|
|
|
|
|
|
| CMO Series 204695 Class OI |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/15/2047 |
|
|
4.000 |
% |
|
|
2,934,697 |
|
|
|
495,610 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Residential Mortgage-Backed Securities - Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| CMO Series 204864 Class IU |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/15/2048 |
|
|
4.500 |
% |
|
|
2,699,056 |
|
|
|
493,909 |
|
| CMO Series 205012 Class MI |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/25/2050 |
|
|
4.000 |
% |
|
|
9,373,864 |
|
|
|
1,831,873 |
|
| CMO Series 205038 Class ID |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/25/2050 |
|
|
3.500 |
% |
|
|
30,749,813 |
|
|
|
5,315,290 |
|
| CMO Series 4257 Class IK |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/15/2042 |
|
|
4.000 |
% |
|
|
3,555,003 |
|
|
|
622,855 |
|
| CMO Series 4999 Class IA |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/25/2050 |
|
|
4.500 |
% |
|
|
9,959,407 |
|
|
|
2,182,161 |
|
| CMO Series 5043 Class IO |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/25/2050 |
|
|
5.000 |
% |
|
|
16,617,829 |
|
|
|
3,802,563 |
|
| CMO Series 5058 Class NI |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/25/2050 |
|
|
3.000 |
% |
|
|
15,334,890 |
|
|
|
2,698,131 |
|
| CMO Series 5079 Class DI |
|
|
|
|
|
|
|
|
|
|
|
|
| 02/25/2051 |
|
|
6.500 |
% |
|
|
10,348,683 |
|
|
|
2,055,652 |
|
| CMO Series 5088 Class IB |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/25/2051 |
|
|
2.500 |
% |
|
|
25,139,906 |
|
|
|
4,057,815 |
|
| CMO Series 5095 Class AI |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/25/2051 |
|
|
3.500 |
% |
|
|
21,750,787 |
|
|
|
3,757,283 |
|
| CMO Series 5113 Class MI |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/25/2051 |
|
|
3.500 |
% |
|
|
18,063,162 |
|
|
|
3,535,373 |
|
| CMO Series 5115 Class GI |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/25/2050 |
|
|
3.000 |
% |
|
|
10,943,014 |
|
|
|
1,956,342 |
|
| CMO Series 5153 Class JI |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/25/2051 |
|
|
3.500 |
% |
|
|
8,590,663 |
|
|
|
1,539,449 |
|
| CMO Series 5217 Class PI |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/25/2052 |
|
|
3.500 |
% |
|
|
5,708,849 |
|
|
|
661,948 |
|
| CMO Series 5223 Class IM |
|
|
|
|
|
|
|
|
|
|
|
|
| 02/25/2042 |
|
|
5.500 |
% |
|
|
10,076,017 |
|
|
|
1,805,120 |
|
| Federal Home Loan Mortgage Corp. REMICS |
|
|
|
|
|
|
|
|
|
|
|
|
| CMO Series 3843 Class JZ |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/15/2041 |
|
|
5.100 |
% |
|
|
1,046,350 |
|
|
|
1,016,226 |
|
| CMO Series 4372 Class Z |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/15/2044 |
|
|
3.000 |
% |
|
|
2,981,774 |
|
|
|
2,596,351 |
|
| CMO Series 4402 Class YB |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/15/2044 |
|
|
3.000 |
% |
|
|
2,552,462 |
|
|
|
2,203,380 |
|
| CMO Series 4612 Class HZ |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/15/2046 |
|
|
2.500 |
% |
|
|
7,179,571 |
|
|
|
5,540,449 |
|
| CMO Series 4753 Class VZ |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/15/2047 |
|
|
3.000 |
% |
|
|
1,190,986 |
|
|
|
880,178 |
|
| CMO Series 4755 Class Z |
|
|
|
|
|
|
|
|
|
|
|
|
| 02/15/2048 |
|
|
3.000 |
% |
|
|
1,190,986 |
|
|
|
983,461 |
|
| CMO Series 5237 Class GA |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/25/2046 |
|
|
4.000 |
% |
|
|
2,244,348 |
|
|
|
2,091,349 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
57 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Residential Mortgage-Backed Securities - Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Federal Home Loan Mortgage Corp.
REMICS(c),(d) |
|
|
|
|
|
| CMO Series 5065 Class EI |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/25/2044 |
|
|
5.399 |
% |
|
|
1,394,639 |
|
|
|
306,076 |
|
| Federal National Mortgage Association |
|
|
|
|
|
|
|
|
|
| 06/01/2024 |
|
|
9.000 |
% |
|
|
4 |
|
|
|
4 |
|
| 02/01/2025- |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/01/2027 |
|
|
8.000 |
% |
|
|
5,949 |
|
|
|
6,002 |
|
| 03/01/2026- |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/01/2053 |
|
|
7.000 |
% |
|
|
1,360,381 |
|
|
|
1,398,511 |
|
| 04/01/2027- |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/01/2032 |
|
|
7.500 |
% |
|
|
19,671 |
|
|
|
20,083 |
|
| 05/01/2029- |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/01/2053 |
|
|
6.000 |
% |
|
|
19,123,163 |
|
|
|
19,232,812 |
|
| 08/01/2029- |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/01/2052 |
|
|
3.000 |
% |
|
|
279,171,645 |
|
|
|
237,374,662 |
|
| 01/01/2031- |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/01/2053 |
|
|
2.500 |
% |
|
|
265,398,662 |
|
|
|
216,716,161 |
|
| 03/01/2033- |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/01/2053 |
|
|
5.500 |
% |
|
|
49,745,500 |
|
|
|
49,055,137 |
|
| 10/01/2033- |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/01/2052 |
|
|
3.500 |
% |
|
|
101,786,781 |
|
|
|
90,632,939 |
|
| 07/01/2039- |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/01/2053 |
|
|
5.000 |
% |
|
|
108,834,626 |
|
|
|
104,937,451 |
|
| 08/01/2040- |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/01/2052 |
|
|
2.000 |
% |
|
|
248,744,527 |
|
|
|
195,333,949 |
|
| 10/01/2040- |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/01/2056 |
|
|
4.500 |
% |
|
|
69,095,181 |
|
|
|
64,855,925 |
|
| 02/01/2041- |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/01/2052 |
|
|
4.000 |
% |
|
|
121,501,091 |
|
|
|
111,556,936 |
|
| 11/01/2050- |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/01/2051 |
|
|
1.500 |
% |
|
|
40,801,729 |
|
|
|
30,204,941 |
|
| 06/01/2053 |
|
|
6.500 |
% |
|
|
3,369,902 |
|
|
|
3,423,603 |
|
| CMO Series 2003-22 Class Z |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/25/2033 |
|
|
6.000 |
% |
|
|
79,727 |
|
|
|
79,941 |
|
| CMO Series 2003-33 Class PT |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/25/2033 |
|
|
4.500 |
% |
|
|
3,732 |
|
|
|
3,594 |
|
| CMO Series 2007-50 Class DZ |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/25/2037 |
|
|
5.500 |
% |
|
|
404,004 |
|
|
|
402,353 |
|
| CMO Series 2010-139 Class HA |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/25/2040 |
|
|
4.000 |
% |
|
|
1,395,924 |
|
|
|
1,284,743 |
|
| CMO Series 2010-37 Class A1 |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/25/2035 |
|
|
5.410 |
% |
|
|
32,569 |
|
|
|
32,322 |
|
| CMO Series 2011-18 Class ZK |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/25/2041 |
|
|
4.000 |
% |
|
|
2,956,869 |
|
|
|
2,774,060 |
|
| CMO Series 2011-53 Class WT |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/25/2041 |
|
|
4.500 |
% |
|
|
267,727 |
|
|
|
254,981 |
|
| CMO Series 2011-87 Class GB |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/25/2041 |
|
|
4.500 |
% |
|
|
7,000,000 |
|
|
|
6,629,309 |
|
| CMO Series 2012-121 Class GZ |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/25/2042 |
|
|
3.500 |
% |
|
|
9,946,671 |
|
|
|
8,807,517 |
|
| CMO Series 2012-68 Class ZA |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/25/2042 |
|
|
3.500 |
% |
|
|
7,918,751 |
|
|
|
7,121,960 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Residential Mortgage-Backed Securities - Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| CMO Series 2012-94 |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/25/2042 |
|
|
3.500 |
% |
|
|
9,229,863 |
|
|
|
8,184,383 |
|
| CMO Series 2013-106 Class LA |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/25/2041 |
|
|
4.000 |
% |
|
|
1,521,566 |
|
|
|
1,415,946 |
|
| CMO Series 2013-16 Class GD |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/25/2033 |
|
|
3.000 |
% |
|
|
931,505 |
|
|
|
911,312 |
|
| CMO Series 2013-66 Class AP |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/25/2043 |
|
|
6.000 |
% |
|
|
38,654 |
|
|
|
36,058 |
|
| CMO Series 2018-38 Class PA |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/25/2047 |
|
|
3.500 |
% |
|
|
439,266 |
|
|
|
415,090 |
|
| CMO Series 2018-55 Class PA |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/25/2047 |
|
|
3.500 |
% |
|
|
1,138,072 |
|
|
|
1,094,254 |
|
| CMO Series 2018-64 Class ET |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/25/2048 |
|
|
3.000 |
% |
|
|
2,618,273 |
|
|
|
2,282,580 |
|
| CMO Series 2018-94D Class KD |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/25/2048 |
|
|
3.500 |
% |
|
|
682,501 |
|
|
|
613,165 |
|
| CMO Series 2019-9 Class DZ |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/25/2049 |
|
|
4.000 |
% |
|
|
3,279,213 |
|
|
|
2,962,642 |
|
| CMO Series 98-17 Class Z |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/18/2028 |
|
|
6.500 |
% |
|
|
25,277 |
|
|
|
25,003 |
|
| Federal National Mortgage
Association(r) |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/01/2050- |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/01/2052 |
|
|
2.000 |
% |
|
|
66,601,682 |
|
|
|
51,861,812 |
|
| 05/01/2051 |
|
|
2.500 |
% |
|
|
11,081,493 |
|
|
|
8,997,794 |
|
| 06/01/2052- |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/01/2053 |
|
|
4.500 |
% |
|
|
21,390,242 |
|
|
|
20,039,070 |
|
| 08/01/2052 |
|
|
3.000 |
% |
|
|
9,667,233 |
|
|
|
8,155,024 |
|
| 04/01/2053 |
|
|
5.000 |
% |
|
|
35,628,515 |
|
|
|
34,298,806 |
|
| 07/01/2053 |
|
|
5.500 |
% |
|
|
46,474,077 |
|
|
|
45,818,125 |
|
| Federal National Mortgage
Association(b) |
|
|
|
|
|
|
|
|
|
|
|
|
| CMO Series 2002-59 Class HF |
|
|
|
|
|
|
|
|
|
|
|
|
| 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.464% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 0.350%, Cap 8.000% |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/17/2032 |
|
|
5.789 |
% |
|
|
4,787 |
|
|
|
4,785 |
|
| CMO Series 2004-93 Class FC |
|
|
|
|
|
|
|
|
|
|
|
|
| 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.314% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 0.200%, Cap 8.000% |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/25/2034 |
|
|
5.643 |
% |
|
|
221,407 |
|
|
|
219,107 |
|
| CMO Series 2006-71 Class SH |
|
|
|
|
|
|
|
|
|
|
|
|
| -2.6 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 15.437% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 15.738% |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/25/2035 |
|
|
1.462 |
% |
|
|
126,104 |
|
|
|
115,752 |
|
| CMO Series 2007-90 Class F |
|
|
|
|
|
|
|
|
|
|
|
|
| 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.604% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 0.490%, Cap 7.000% |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/25/2037 |
|
|
5.933 |
% |
|
|
10,144 |
|
|
|
10,059 |
|
|
|
|
| 58 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Residential Mortgage-Backed Securities - Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| CMO Series 2007-W7 Class 1A4 |
|
|
|
|
|
|
|
|
|
|
|
|
| -6.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 38.493% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 39.180% |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/25/2037 |
|
|
6.525 |
% |
|
|
39,897 |
|
|
|
45,632 |
|
| CMO Series 2008-15 Class AS |
|
|
|
|
|
|
|
|
|
|
|
|
| -5.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 32.428% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 33.000% |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/25/2036 |
|
|
5.787 |
% |
|
|
213,344 |
|
|
|
249,216 |
|
| CMO Series 2010-142 Class HS |
|
|
|
|
|
|
|
|
|
|
|
|
| -2.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 9.771% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 10.000% |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/25/2040 |
|
|
0.000 |
% |
|
|
452,249 |
|
|
|
261,021 |
|
| CMO Series 2010-150 Class FL |
|
|
|
|
|
|
|
|
|
|
|
|
| 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.664% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 0.550%, Cap 7.000% |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/25/2040 |
|
|
5.993 |
% |
|
|
95,828 |
|
|
|
94,923 |
|
| CMO Series 2012-1 Class FA |
|
|
|
|
|
|
|
|
|
|
|
|
| 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.614% |
|
|
|
|
|
|
|
|
|
|
|
|
| Floor 0.500%, Cap 6.500% |
|
|
|
|
|
|
|
|
|
|
|
|
| 02/25/2042 |
|
|
5.943 |
% |
|
|
703,564 |
|
|
|
679,044 |
|
| CMO Series 2012-115 Class MT |
|
|
|
|
|
|
|
|
|
|
|
|
| -3.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 13.157% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 4.500% |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/25/2042 |
|
|
0.000 |
% |
|
|
310,600 |
|
|
|
186,594 |
|
| CMO Series 2016-32 Class GT |
|
|
|
|
|
|
|
|
|
|
|
|
| -4.5 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 17.485% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 4.500% |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/25/2043 |
|
|
0.000 |
% |
|
|
32,299 |
|
|
|
18,777 |
|
| Federal National Mortgage
Association(b),(d) |
|
|
|
|
|
|
|
|
|
|
|
|
| CMO Series 2004-29 Class PS |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 7.486% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 7.600% |
|
|
|
|
|
|
|
|
|
|
|
|
| 05/25/2034 |
|
|
2.157 |
% |
|
|
973,795 |
|
|
|
102,614 |
|
| CMO Series 2006-43 Class SJ |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.476% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.590% |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/25/2036 |
|
|
1.147 |
% |
|
|
709,984 |
|
|
|
62,708 |
|
| CMO Series 2009-100 Class SA |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.086% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.200% |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/25/2039 |
|
|
0.757 |
% |
|
|
2,274,562 |
|
|
|
211,184 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Residential Mortgage-Backed Securities - Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| CMO Series 2009-87 Class NS |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.136% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.250% |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/25/2039 |
|
|
0.807 |
% |
|
|
3,499,979 |
|
|
|
230,532 |
|
| CMO Series 2010-131 Class SA |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.486% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.600% |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/25/2040 |
|
|
1.157 |
% |
|
|
3,011,206 |
|
|
|
301,224 |
|
| CMO Series 2010-21 Class SA |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.136% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.250% |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/25/2040 |
|
|
0.807 |
% |
|
|
5,399,547 |
|
|
|
349,843 |
|
| CMO Series 2010-57 Class SA |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.336% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.450% |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/25/2040 |
|
|
1.007 |
% |
|
|
1,333,475 |
|
|
|
111,516 |
|
| CMO Series 2011-131 Class ST |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.426% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.540% |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/25/2041 |
|
|
1.097 |
% |
|
|
17,063,425 |
|
|
|
1,927,979 |
|
| CMO Series 2011-47 Class GS |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.816% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 5.930% |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/25/2041 |
|
|
0.487 |
% |
|
|
4,439,299 |
|
|
|
302,057 |
|
| CMO Series 2012-17 Class MS |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.586% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.700% |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/25/2027 |
|
|
1.257 |
% |
|
|
877,559 |
|
|
|
12,704 |
|
| CMO Series 2013-10 Class SJ |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.036% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.150% |
|
|
|
|
|
|
|
|
|
|
|
|
| 02/25/2043 |
|
|
0.707 |
% |
|
|
3,850,454 |
|
|
|
318,954 |
|
| CMO Series 2013-19 Class KS |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.086% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.200% |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/25/2041 |
|
|
0.757 |
% |
|
|
3,487,976 |
|
|
|
213,803 |
|
| CMO Series 2013-34 Class SC |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.036% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.150% |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/25/2043 |
|
|
0.707 |
% |
|
|
10,852,286 |
|
|
|
1,065,492 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
59 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Residential Mortgage-Backed Securities - Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| CMO Series 2014-40 Class HS |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.586% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.700% |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/25/2044 |
|
|
1.257 |
% |
|
|
2,788,889 |
|
|
|
402,011 |
|
| CMO Series 2014-52 Class SL |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.986% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.100% |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/25/2044 |
|
|
0.657 |
% |
|
|
4,748,469 |
|
|
|
486,729 |
|
| CMO Series 2015-81 Class SD |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.586% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.700% |
|
|
|
|
|
|
|
|
|
|
|
|
| 01/25/2037 |
|
|
1.257 |
% |
|
|
3,067,846 |
|
|
|
209,062 |
|
| CMO Series 2016-19 Class SA |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.986% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.100% |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/25/2046 |
|
|
0.657 |
% |
|
|
4,158,497 |
|
|
|
279,708 |
|
| CMO Series 2016-32 Class SA |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.986% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.100% |
|
|
|
|
|
|
|
|
|
|
|
|
| 10/25/2034 |
|
|
0.657 |
% |
|
|
1,884,057 |
|
|
|
126,803 |
|
| CMO Series 2016-60 Class QS |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.986% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.100% |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/25/2046 |
|
|
0.657 |
% |
|
|
5,435,030 |
|
|
|
395,592 |
|
| CMO Series 2016-60 Class SD |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.986% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.100% |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/25/2046 |
|
|
0.657 |
% |
|
|
18,482,771 |
|
|
|
1,264,961 |
|
| CMO Series 2016-60 Class SE |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.136% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.250% |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/25/2046 |
|
|
0.807 |
% |
|
|
5,310,689 |
|
|
|
347,297 |
|
| CMO Series 2016-82 Class SG |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.986% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.100% |
|
|
|
|
|
|
|
|
|
|
|
|
| 11/25/2046 |
|
|
0.657 |
% |
|
|
7,452,997 |
|
|
|
473,350 |
|
| CMO Series 2016-88 Class BS |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.986% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.100% |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/25/2046 |
|
|
0.657 |
% |
|
|
12,663,188 |
|
|
|
966,085 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Residential Mortgage-Backed Securities - Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| CMO Series 2016-93 Class SL |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.536% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.650% |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/25/2046 |
|
|
1.207 |
% |
|
|
3,318,892 |
|
|
|
233,552 |
|
| CMO Series 2017-26 Class SA |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.036% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.150% |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/25/2047 |
|
|
0.707 |
% |
|
|
5,028,325 |
|
|
|
311,751 |
|
| CMO Series 2017-57 Class SD |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.836% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 2.750% |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/25/2047 |
|
|
0.000 |
% |
|
|
5,766,374 |
|
|
|
92,003 |
|
| CMO Series 2018-43 Class SE |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.136% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.250% |
|
|
|
|
|
|
|
|
|
|
|
|
| 09/25/2038 |
|
|
0.807 |
% |
|
|
4,087,481 |
|
|
|
307,144 |
|
| CMO Series 2018-61 Class SA |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.086% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.200% |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/25/2048 |
|
|
0.757 |
% |
|
|
2,986,154 |
|
|
|
218,482 |
|
| CMO Series 2019-35 Class SH |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.036% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.150% |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/25/2049 |
|
|
0.707 |
% |
|
|
12,224,358 |
|
|
|
802,458 |
|
| CMO Series 2019-39 Class SB |
|
|
|
|
|
|
|
|
|
|
|
|
| -1.0 x 30-day Average SOFR + |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.986% |
|
|
|
|
|
|
|
|
|
|
|
|
| Cap 6.100% |
|
|
|
|
|
|
|
|
|
|
|
|
| 08/25/2049 |
|
|
0.657 |
% |
|
|
10,974,359 |
|
|
|
713,674 |
|
| Federal National Mortgage
Association(d) |
|
|
|
|
|
|
|
|
|
|
|
|
| CMO Series 2013-16 Class MI |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/25/2043 |
|
|
4.000 |
% |
|
|
3,564,457 |
|
|
|
367,832 |
|
| CMO Series 2013-23 Class AI |
|
|
|
|
|
|
|
|
|
|
|
|
| 03/25/2043 |
|
|
5.000 |
% |
|
|
4,643,023 |
|
|
|
798,045 |
|
| CMO Series 2013-35 Class IB |
|
|
|
|
|
|
|
|
|
|
|
|
| 04/25/2033 |
|
|
3.000 |
% |
|
|
5,213,763 |
|
|
|
478,623 |
|
| CMO Series 2013-41 Class HI |
|
|
|
|
|
|
|
|
|
|
|
|
| 02/25/2033 |
|
|
3.000 |
% |
|
|
5,888,482 |
|
|
|
370,759 |
|
| CMO Series 2015-54 Class GI |
|
|
|
|
|
|
|
|
|
|
|
|
| 07/25/2045 |
|
|
5.500 |
% |
|
|
22,592,611 |
|
|
|
3,767,216 |
|
| CMO Series 2020-42 Class AI |
|
|
|
|
|
|
|
|
|
|
|
|
| 06/25/2050 |
|
|
2.500 |
% |
|
|
18,241,658 |
|
|
|
1,969,457 |
|
| CMO Series 2020-72 Class LI |
|
|
|
|
|
|
|
|
|
|
|
|
| 12/25/2040 |
|
|
5.000 |
% |
|
|
5,127,014 |
|
|
|
1,026,751 |
|
|
|
|
| 60 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Residential Mortgage-Backed Securities - Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| CMO Series 20434 Class C24 |
|
| 06/25/2053 |
|
|
4.500 |
% |
|
|
31,952,409 |
|
|
|
7,423,497 |
|
| CMO Series 385 Class 8 |
|
| 12/25/2037 |
|
|
5.500 |
% |
|
|
1,781,125 |
|
|
|
355,651 |
|
| CMO Series 426 Class C58 |
|
| 03/25/2052 |
|
|
3.000 |
% |
|
|
37,001,120 |
|
|
|
6,224,724 |
|
| CMO Series 427 Class C17 |
|
| 01/25/2035 |
|
|
3.000 |
% |
|
|
11,093,708 |
|
|
|
1,094,340 |
|
| CMO Series 427 Class C57 |
|
| 02/25/2032 |
|
|
2.500 |
% |
|
|
63,990,687 |
|
|
|
4,215,406 |
|
| Federal National Mortgage
Association(c),(d) |
|
| CMO Series 2021-24 Class IO |
|
| 03/25/2059 |
|
|
1.132 |
% |
|
|
8,066,956 |
|
|
|
474,379 |
|
| Federal National Mortgage Association REMICS |
|
| CMO Series 2010-136 Class CY |
|
| 12/25/2040 |
|
|
4.000 |
% |
|
|
1,593,977 |
|
|
|
1,490,189 |
|
| CMO Series 2012-105 Class Z |
|
| 10/25/2042 |
|
|
3.500 |
% |
|
|
2,647,120 |
|
|
|
2,343,131 |
|
| CMO Series 2013-18 Class ZA |
|
| 03/25/2043 |
|
|
3.000 |
% |
|
|
3,453,710 |
|
|
|
3,029,356 |
|
| CMO Series 2013-70 Class JZ |
|
| 07/25/2043 |
|
|
3.000 |
% |
|
|
13,526,420 |
|
|
|
11,364,864 |
|
| CMO Series 2018-11 Class BX |
|
| 12/25/2047 |
|
|
4.000 |
% |
|
|
8,674,430 |
|
|
|
7,845,046 |
|
| CMO Series 2019-70 Class CB |
|
| 12/25/2049 |
|
|
3.500 |
% |
|
|
2,647,567 |
|
|
|
2,328,665 |
|
| CMO Series 2020-46 Class JG |
|
| 07/25/2050 |
|
|
2.000 |
% |
|
|
2,065,993 |
|
|
|
1,620,399 |
|
| Federal National Mortgage Association REMICS(d) |
|
| CMO Series 2013-10 Class GI |
|
| 02/25/2033 |
|
|
3.000 |
% |
|
|
7,482,623 |
|
|
|
622,119 |
|
| CMO Series 2017-54 Class ID |
|
| 07/25/2047 |
|
|
4.000 |
% |
|
|
2,443,322 |
|
|
|
419,013 |
|
| CMO Series 2020-74 Class HI |
|
| 10/25/2050 |
|
|
5.500 |
% |
|
|
4,930,909 |
|
|
|
905,105 |
|
| CMO Series 2020-99 Class IB |
|
| 05/25/2050 |
|
|
3.500 |
% |
|
|
10,447,254 |
|
|
|
1,893,595 |
|
| CMO Series 2021-1 Class IB |
|
| 02/25/2061 |
|
|
3.500 |
% |
|
|
13,602,458 |
|
|
|
2,421,232 |
|
| CMO Series 2021-74 Class LI |
|
| 11/25/2051 |
|
|
3.500 |
% |
|
|
21,727,590 |
|
|
|
4,215,572 |
|
| CMO Series 2022-38 Class IH |
|
| 07/25/2052 |
|
|
4.500 |
% |
|
|
2,777,777 |
|
|
|
680,845 |
|
| CMO Series 2022-5 Class LI |
|
| 02/25/2052 |
|
|
3.000 |
% |
|
|
29,249,768 |
|
|
|
3,776,920 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Residential Mortgage-Backed Securities - Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Federal National Mortgage Association REMICS(b),(d) |
|
| CMO Series 2017-14 Class DS |
|
| -1.0 x 30-day Average SOFR + |
|
| 5.936% |
|
| Cap 6.050% |
|
| 03/25/2047 |
|
|
0.607 |
% |
|
|
8,680,871 |
|
|
|
853,893 |
|
| CMO Series 2017-38 Class S |
|
| -1.0 x 30-day Average SOFR + |
|
| 5.986% |
|
| Cap 6.100% |
|
| 05/25/2047 |
|
|
0.657 |
% |
|
|
4,109,037 |
|
|
|
396,500 |
|
| CMO Series 2018-45 Class SM |
|
| -1.0 x 30-day Average SOFR + |
|
| 6.086% |
|
| Cap 6.200% |
|
| 06/25/2048 |
|
|
0.757 |
% |
|
|
11,094,446 |
|
|
|
1,204,826 |
|
| CMO Series 3908 Class XS |
|
| -1.0 x 30-day Average SOFR + |
|
| 6.336% |
|
| Cap 6.450% |
|
| 06/15/2039 |
|
|
1.012 |
% |
|
|
8,466,068 |
|
|
|
741,058 |
|
| Government National Mortgage Association |
|
| 05/15/2040- |
|
| 10/20/2048 |
|
|
5.000 |
% |
|
|
2,242,979 |
|
|
|
2,214,126 |
|
| 05/20/2041- |
|
| 05/20/2053 |
|
|
4.500 |
% |
|
|
11,724,280 |
|
|
|
11,028,493 |
|
| 02/15/2042- |
|
| 08/20/2052 |
|
|
4.000 |
% |
|
|
16,358,408 |
|
|
|
14,945,015 |
|
| 03/20/2046- |
|
| 05/20/2050 |
|
|
3.500 |
% |
|
|
33,263,625 |
|
|
|
30,065,948 |
|
| 12/20/2046- |
|
| 06/20/2052 |
|
|
3.000 |
% |
|
|
98,340,075 |
|
|
|
85,245,469 |
|
| 03/20/2051- |
|
| 04/20/2052 |
|
|
2.500 |
% |
|
|
33,637,850 |
|
|
|
28,100,010 |
|
| 01/20/2053- |
|
| 04/20/2053 |
|
|
5.500 |
% |
|
|
43,538,419 |
|
|
|
43,243,089 |
|
| CMO Series 2005-45 Class ZA |
|
| 06/16/2035 |
|
|
6.000 |
% |
|
|
1,656,008 |
|
|
|
1,665,638 |
|
| CMO Series 2009-104 Class YD |
|
| 11/20/2039 |
|
|
5.000 |
% |
|
|
1,284,337 |
|
|
|
1,251,956 |
|
| CMO Series 2009-55 Class LX |
|
| 07/20/2039 |
|
|
5.000 |
% |
|
|
1,586,682 |
|
|
|
1,568,372 |
|
| CMO Series 2009-67 Class DB |
|
| 08/20/2039 |
|
|
5.000 |
% |
|
|
1,742,701 |
|
|
|
1,702,359 |
|
| CMO Series 2010-108 Class WL |
|
| 04/16/2040 |
|
|
4.000 |
% |
|
|
1,761,372 |
|
|
|
1,673,454 |
|
| CMO Series 2010-120 Class AY |
|
| 09/20/2040 |
|
|
4.000 |
% |
|
|
1,616,912 |
|
|
|
1,530,182 |
|
| CMO Series 2010-135 Class PE |
|
| 10/16/2040 |
|
|
4.000 |
% |
|
|
3,626,781 |
|
|
|
3,442,710 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
61 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Residential Mortgage-Backed Securities - Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| CMO Series 2014-3 Class EP |
|
| 02/16/2043 |
|
|
2.750 |
% |
|
|
4,763,201 |
|
|
|
4,332,246 |
|
| CMO Series 2016-111 Class PB |
|
| 08/20/2046 |
|
|
2.500 |
% |
|
|
1,097,000 |
|
|
|
772,167 |
|
| CMO Series 2018-1 Class LZ |
|
| 01/20/2048 |
|
|
3.000 |
% |
|
|
4,410,096 |
|
|
|
3,277,537 |
|
| CMO Series 2018-115 Class DE |
|
| 08/20/2048 |
|
|
3.500 |
% |
|
|
1,479,647 |
|
|
|
1,320,050 |
|
| CMO Series 2018-147 Class BZ |
|
| 10/20/2048 |
|
|
3.500 |
% |
|
|
4,097,432 |
|
|
|
3,693,333 |
|
| CMO Series 2018-53 Class AL |
|
| 11/20/2045 |
|
|
3.500 |
% |
|
|
733,755 |
|
|
|
688,903 |
|
| Government National Mortgage
Association(b) |
|
| 1-year CMT + 1.134% |
|
| 03/20/2066 |
|
|
6.525 |
% |
|
|
85,489 |
|
|
|
85,396 |
|
| 1-year CMT + 0.723% |
|
| 04/20/2066 |
|
|
6.111 |
% |
|
|
225,590 |
|
|
|
224,536 |
|
| CMO Series 2006-37 Class AS |
|
| -6.0 x 1-month Term SOFR + |
|
| 38.973% |
|
| Cap 39.660% |
|
| 07/20/2036 |
|
|
6.987 |
% |
|
|
484,916 |
|
|
|
588,856 |
|
| CMO Series 2010-H03 Class FA |
|
| 1-month Term SOFR + 0.664% |
|
| Floor 0.550%, Cap 10.690% |
|
| 03/20/2060 |
|
|
5.982 |
% |
|
|
233,488 |
|
|
|
232,654 |
|
| CMO Series 2010-H26 Class LF |
|
| 1-month Term SOFR + 0.464% |
|
| Floor 0.350%, Cap 13.898% |
|
| 08/20/2058 |
|
|
5.789 |
% |
|
|
98,837 |
|
|
|
98,217 |
|
| CMO Series 2011-114 Class KF |
|
| 1-month Term SOFR + 0.564% |
|
| Floor 0.450%, Cap 6.500% |
|
| 03/20/2041 |
|
|
5.896 |
% |
|
|
35,819 |
|
|
|
35,702 |
|
| CMO Series 2012-H20 Class BA |
|
| 1-month Term SOFR + 0.814% |
|
| Floor 0.700%, Cap 10.500% |
|
| 09/20/2062 |
|
|
5.999 |
% |
|
|
44,140 |
|
|
|
43,953 |
|
| CMO Series 2012-H21 Class CF |
|
| 1-month Term SOFR + 0.814% |
|
| Floor 0.700% |
|
| 05/20/2061 |
|
|
4.871 |
% |
|
|
1,680 |
|
|
|
1,620 |
|
| CMO Series 2012-H21 Class DF |
|
| 1-month Term SOFR + 0.764% |
|
| Floor 0.650% |
|
| 05/20/2061 |
|
|
4.871 |
% |
|
|
1,497 |
|
|
|
1,483 |
|
| CMO Series 2012-H25 Class FA |
|
| 1-month Term SOFR + 0.814% |
|
| Floor 0.700% |
|
| 12/20/2061 |
|
|
4.700 |
% |
|
|
26,113 |
|
|
|
25,711 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Residential Mortgage-Backed Securities - Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| CMO Series 2013-115 Class EF |
|
| 1-month Term SOFR + 0.364% |
|
| Floor 0.250%, Cap 6.500% |
|
| 04/16/2028 |
|
|
5.694 |
% |
|
|
22,198 |
|
|
|
22,193 |
|
| CMO Series 2013-H02 Class FD |
|
| 1-month Term SOFR + 0.454% |
|
| Floor 0.340%, Cap 10.500% |
|
| 12/20/2062 |
|
|
5.779 |
% |
|
|
76,801 |
|
|
|
76,232 |
|
| CMO Series 2013-H05 Class FB |
|
| 1-month Term SOFR + 0.514% |
|
| Floor 0.400% |
|
| 02/20/2062 |
|
|
4.968 |
% |
|
|
1,906 |
|
|
|
1,867 |
|
| CMO Series 2013-H08 Class BF |
|
| 1-month Term SOFR + 0.514% |
|
| Floor 0.400%, Cap 10.000% |
|
| 03/20/2063 |
|
|
5.839 |
% |
|
|
597,879 |
|
|
|
591,674 |
|
| CMO Series 2013-H14 Class FD |
|
| 1-month Term SOFR + 0.584% |
|
| Floor 0.470%, Cap 11.000% |
|
| 06/20/2063 |
|
|
5.909 |
% |
|
|
310,699 |
|
|
|
308,987 |
|
| CMO Series 2013-H17 Class FA |
|
| 1-month Term SOFR + 0.664% |
|
| Floor 0.550%, Cap 11.000% |
|
| 07/20/2063 |
|
|
5.989 |
% |
|
|
67,532 |
|
|
|
67,308 |
|
| CMO Series 2013-H18 Class EA |
|
| 1-month Term SOFR + 0.614% |
|
| Floor 0.500%, Cap 10.190% |
|
| 07/20/2063 |
|
|
5.939 |
% |
|
|
68,298 |
|
|
|
68,070 |
|
| CMO Series 2013-H19 Class FC |
|
| 1-month Term SOFR + 0.714% |
|
| Floor 0.600%, Cap 11.000% |
|
| 08/20/2063 |
|
|
6.039 |
% |
|
|
455,830 |
|
|
|
454,622 |
|
| CMO Series 2015-H26 Class FC |
|
| 1-month Term SOFR + 0.714% |
|
| Floor 0.600%, Cap 11.000% |
|
| 08/20/2065 |
|
|
6.039 |
% |
|
|
43,496 |
|
|
|
43,397 |
|
| CMO Series 2017-H03 Class FB |
|
| 1-month Term SOFR + 0.764% |
|
| Floor 0.650%, Cap 15.000% |
|
| 06/20/2066 |
|
|
6.089 |
% |
|
|
1,037,667 |
|
|
|
1,035,917 |
|
| CMO Series 2018-H04 Class FM |
|
| 1-month Term SOFR + 0.414% |
|
| Floor 0.300%, Cap 11.000% |
|
| 03/20/2068 |
|
|
5.739 |
% |
|
|
1,447,894 |
|
|
|
1,435,042 |
|
| CMO Series 2019-H01 Class FL |
|
| 1-month Term SOFR + 0.564% |
|
| Floor 0.450%, Cap 11.000% |
|
| 12/20/2068 |
|
|
5.889 |
% |
|
|
326,314 |
|
|
|
325,072 |
|
|
|
|
| 62 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Residential Mortgage-Backed Securities - Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| CMO Series 2019-H10 Class FM |
|
| 1-month Term SOFR + 0.514% |
|
| Floor 0.400%, Cap 11.000% |
|
| 05/20/2069 |
|
|
5.839 |
% |
|
|
1,251,438 |
|
|
|
1,240,806 |
|
| CMO Series 2020-H13 Class FM |
|
| 1-month Term SOFR + 0.514% |
|
| Floor 0.400%, Cap 11.000% |
|
| 08/20/2070 |
|
|
5.839 |
% |
|
|
1,850,985 |
|
|
|
1,823,602 |
|
| CMO Series 2022-H01 Class FE |
|
| 1-month Term SOFR + 0.614% |
|
| Floor 0.500%, Cap 99.000% |
|
| 01/20/2072 |
|
|
5.825 |
% |
|
|
10,489,337 |
|
|
|
10,369,474 |
|
| CMO Series 2022-H09 Class EF |
|
| 30-day Average SOFR + |
|
| 0.450% |
|
| Floor 0.450%, Cap 11.000% |
|
| 04/20/2072 |
|
|
5.775 |
% |
|
|
4,749,134 |
|
|
|
4,709,009 |
|
| CMO Series 2022-H09 Class GF |
|
| 30-day Average SOFR + |
|
| 0.700% |
|
| Floor 0.700% |
|
| 04/20/2072 |
|
|
6.025 |
% |
|
|
3,099,015 |
|
|
|
3,068,027 |
|
| CMO Series 2022-H22 Class FE |
|
| 30-day Average SOFR + |
|
| 1.040% |
|
| Floor 1.040%, Cap 7.500% |
|
| 09/20/2072 |
|
|
6.365 |
% |
|
|
2,532,087 |
|
|
|
2,500,683 |
|
| Government National Mortgage
Association(b),(d) |
|
| CMO Series 2010-31 Class ES |
|
| -1.0 x 1-month Term SOFR + |
|
| 4.886% |
|
| Cap 5.000% |
|
| 03/20/2040 |
|
|
0.000 |
% |
|
|
6,485,146 |
|
|
|
343,329 |
|
| CMO Series 2011-13 Class S |
|
| -1.0 x 1-month Term SOFR + |
|
| 5.836% |
|
| Cap 5.950% |
|
| 01/16/2041 |
|
|
0.506 |
% |
|
|
4,315,732 |
|
|
|
270,085 |
|
| CMO Series 2011-30 Class SB |
|
| -1.0 x 1-month Term SOFR + |
|
| 6.486% |
|
| Cap 6.600% |
|
| 02/20/2041 |
|
|
1.155 |
% |
|
|
2,091,409 |
|
|
|
173,779 |
|
| CMO Series 2015-155 Class SA |
|
| -1.0 x 1-month Term SOFR + |
|
| 5.586% |
|
| Cap 5.700% |
|
| 10/20/2045 |
|
|
0.255 |
% |
|
|
2,748,228 |
|
|
|
232,957 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Residential Mortgage-Backed Securities - Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| CMO Series 2017-93 Class CS |
|
| -1.0 x 1-month Term SOFR + |
|
| 6.086% |
|
| Cap 6.200% |
|
| 06/20/2047 |
|
|
0.754 |
% |
|
|
8,490,546 |
|
|
|
936,864 |
|
| CMO Series 2019-123 Class SP |
|
| -1.0 x 1-month Term SOFR + |
|
| 5.986% |
|
| Cap 6.100% |
|
| 10/20/2049 |
|
|
0.654 |
% |
|
|
11,452,337 |
|
|
|
748,681 |
|
| CMO Series 2019-13 Class SA |
|
| -1.0 x 1-month Term SOFR + |
|
| 5.986% |
|
| Cap 6.100% |
|
| 01/20/2049 |
|
|
0.654 |
% |
|
|
8,908,524 |
|
|
|
806,722 |
|
| CMO Series 2019-6 Class SJ |
|
| -1.0 x 1-month Term SOFR + |
|
| 5.986% |
|
| Cap 6.100% |
|
| 01/20/2049 |
|
|
0.654 |
% |
|
|
7,412,631 |
|
|
|
496,169 |
|
| CMO Series 2019-86 Class SG |
|
| -1.0 x 1-month Term SOFR + |
|
| 5.486% |
|
| Cap 5.600% |
|
| 07/20/2049 |
|
|
0.155 |
% |
|
|
3,635,368 |
|
|
|
188,597 |
|
| Government National Mortgage
Association(c) |
|
| CMO Series 2010-H17 Class XQ |
|
| 07/20/2060 |
|
|
5.140 |
% |
|
|
1,278 |
|
|
|
929 |
|
| CMO Series 2017-H04 Class DA |
|
| 12/20/2066 |
|
|
4.334 |
% |
|
|
405 |
|
|
|
395 |
|
| Series 2003-72 Class Z |
|
| 11/16/2045 |
|
|
5.414 |
% |
|
|
256,277 |
|
|
|
246,822 |
|
| Government National Mortgage
Association(d) |
|
| CMO Series 2013-3 Class IT |
|
| 01/20/2043 |
|
|
5.000 |
% |
|
|
3,041,443 |
|
|
|
637,438 |
|
| CMO Series 2016-88 Class PI |
|
| 07/20/2046 |
|
|
4.000 |
% |
|
|
5,688,917 |
|
|
|
910,176 |
|
| CMO Series 2016-89 Class HI |
|
| 07/20/2046 |
|
|
3.500 |
% |
|
|
2,177,140 |
|
|
|
340,539 |
|
| CMO Series 2017-101 Class AI |
|
| 07/20/2047 |
|
|
4.000 |
% |
|
|
3,765,521 |
|
|
|
514,934 |
|
| CMO Series 2017-52 Class AI |
|
| 04/20/2047 |
|
|
6.000 |
% |
|
|
2,795,264 |
|
|
|
456,453 |
|
| CMO Series 2017-68 Class TI |
|
| 05/20/2047 |
|
|
5.500 |
% |
|
|
1,123,456 |
|
|
|
176,055 |
|
| CMO Series 2017-88 Class JI |
|
| 09/20/2046 |
|
|
5.500 |
% |
|
|
1,790,746 |
|
|
|
336,697 |
|
| CMO Series 2019-108 Class MI |
|
| 07/20/2049 |
|
|
3.500 |
% |
|
|
7,499,033 |
|
|
|
1,049,537 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
63 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Residential Mortgage-Backed Securities - Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| CMO Series 2019-99 Class AI |
|
| 08/16/2049 |
|
|
4.000 |
% |
|
|
5,107,096 |
|
|
|
1,096,748 |
|
| CMO Series 2020-134 Class AI |
|
| 09/20/2050 |
|
|
3.000 |
% |
|
|
9,466,901 |
|
|
|
1,509,864 |
|
| CMO Series 2020-34 Class IO |
|
| 12/20/2039 |
|
|
5.000 |
% |
|
|
8,190,241 |
|
|
|
1,627,566 |
|
| Government National Mortgage
Association(c),(d) |
|
| CMO Series 2014-150 Class IO |
|
| 07/16/2056 |
|
|
0.378 |
% |
|
|
10,856,778 |
|
|
|
171,110 |
|
| CMO Series 2014-H05 Class AI |
|
| 02/20/2064 |
|
|
1.419 |
% |
|
|
4,197,914 |
|
|
|
158,282 |
|
| CMO Series 2014-H14 Class BI |
|
| 06/20/2064 |
|
|
1.632 |
% |
|
|
4,762,184 |
|
|
|
152,161 |
|
| CMO Series 2014-H15 Class HI |
|
| 05/20/2064 |
|
|
1.436 |
% |
|
|
3,374,411 |
|
|
|
111,426 |
|
| CMO Series 2014-H20 Class HI |
|
| 10/20/2064 |
|
|
1.309 |
% |
|
|
1,089,640 |
|
|
|
62,337 |
|
| CMO Series 2015-163 Class IO |
|
| 12/16/2057 |
|
|
0.738 |
% |
|
|
1,582,098 |
|
|
|
49,185 |
|
| CMO Series 2015-189 Class IG |
|
| 01/16/2057 |
|
|
0.621 |
% |
|
|
6,351,859 |
|
|
|
154,936 |
|
| CMO Series 2015-30 Class IO |
|
| 07/16/2056 |
|
|
0.690 |
% |
|
|
2,475,254 |
|
|
|
75,792 |
|
| CMO Series 2015-32 Class IO |
|
| 09/16/2049 |
|
|
0.577 |
% |
|
|
3,690,837 |
|
|
|
67,578 |
|
| CMO Series 2015-73 Class IO |
|
| 11/16/2055 |
|
|
0.438 |
% |
|
|
1,451,276 |
|
|
|
19,432 |
|
| CMO Series 2015-9 Class IO |
|
| 02/16/2049 |
|
|
0.520 |
% |
|
|
6,628,839 |
|
|
|
102,895 |
|
| CMO Series 2015-H22 Class BI |
|
| 09/20/2065 |
|
|
1.776 |
% |
|
|
1,705,084 |
|
|
|
59,172 |
|
| CMO Series 2016-72 Class IO |
|
| 12/16/2055 |
|
|
0.766 |
% |
|
|
6,637,594 |
|
|
|
180,176 |
|
| CMO Series 2020-171 Class IO |
|
| 10/16/2060 |
|
|
0.957 |
% |
|
|
6,001,060 |
|
|
|
394,570 |
|
| CMO Series 2020-32 Class IA |
|
| 03/16/2047 |
|
|
3.973 |
% |
|
|
9,717,375 |
|
|
|
1,484,380 |
|
| CMO Series 2021-33 Class IO |
|
| 10/16/2062 |
|
|
0.841 |
% |
|
|
7,808,704 |
|
|
|
473,721 |
|
| CMO Series 2021-40 Class IO |
|
| 02/16/2063 |
|
|
0.824 |
% |
|
|
6,857,599 |
|
|
|
415,441 |
|
| CMO Series 2021-H03 Class IO |
|
| 04/20/2070 |
|
|
0.000 |
% |
|
|
12,902,246 |
|
|
|
1,809 |
|
| CMO Series 2021-H08 Class IA |
|
| 01/20/2068 |
|
|
0.008 |
% |
|
|
1,780,016 |
|
|
|
4,880 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Residential Mortgage-Backed Securities - Agency (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Government National Mortgage Association TBA(e) |
|
| 12/20/2053 |
|
|
2.500 |
% |
|
|
35,325,000 |
|
|
|
29,485,336 |
|
| 12/20/2053 |
|
|
4.500 |
% |
|
|
49,475,000 |
|
|
|
46,786,448 |
|
| 12/20/2053 |
|
|
5.000 |
% |
|
|
49,775,000 |
|
|
|
48,347,211 |
|
| 12/20/2053 |
|
|
5.500 |
% |
|
|
37,775,000 |
|
|
|
37,496,988 |
|
| Seasoned Credit Risk Transfer Trust |
|
| CMO Series 2018-2 Class MV (FHLMC) |
|
| 11/25/2057 |
|
|
3.500 |
% |
|
|
3,940,316 |
|
|
|
3,482,180 |
|
| Uniform Mortgage-Backed Security
TBA(e) |
|
| 12/13/2053 |
|
|
2.000 |
% |
|
|
58,200,000 |
|
|
|
45,191,390 |
|
| 12/13/2053- |
|
| 01/16/2054 |
|
|
2.500 |
% |
|
|
19,850,000 |
|
|
|
16,071,929 |
|
| 12/13/2053- |
|
| 01/16/2054 |
|
|
3.000 |
% |
|
|
64,300,000 |
|
|
|
54,192,077 |
|
| 12/13/2053 |
|
|
3.500 |
% |
|
|
30,775,000 |
|
|
|
26,982,699 |
|
| 12/13/2053 |
|
|
4.000 |
% |
|
|
36,975,000 |
|
|
|
33,565,645 |
|
| 12/13/2053- |
|
| 01/16/2054 |
|
|
4.500 |
% |
|
|
39,875,000 |
|
|
|
37,334,671 |
|
| 12/13/2053 |
|
|
5.000 |
% |
|
|
66,600,000 |
|
|
|
64,086,675 |
|
| 12/13/2053- |
|
| 01/16/2054 |
|
|
5.500 |
% |
|
|
79,400,000 |
|
|
|
78,236,404 |
|
| 12/13/2053- |
|
| 01/16/2054 |
|
|
6.000 |
% |
|
|
26,201,000 |
|
|
|
26,271,422 |
|
| 01/16/2054 |
|
|
6.500 |
% |
|
|
9,690,000 |
|
|
|
9,837,241 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Residential Mortgage-Backed Securities - Agency
(Cost $3,367,000,638) |
|
|
|
3,165,211,917 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Residential Mortgage-Backed Securities - Non-Agency(o) 3.8% |
|
|
| ACE Securities Corp. Home Equity Loan Trust(b) |
|
| CMO Series 2006-OP1 Class A2D |
|
| 1-month Term SOFR + 0.594% |
|
| Floor 0.240% |
|
| 04/25/2036 |
|
|
5.937 |
% |
|
|
7,174,430 |
|
|
|
6,329,111 |
|
| Ajax Mortgage Loan
Trust(a),(c) |
|
| CMO Series 2019-F Class A1 |
|
| 07/25/2059 |
|
|
2.860 |
% |
|
|
4,188,974 |
|
|
|
3,927,973 |
|
| Angel Oak Mortgage
Trust(a),(c) |
|
| CMO Series 2022-6 Class A1 |
|
| 07/25/2067 |
|
|
4.300 |
% |
|
|
16,604,770 |
|
|
|
15,500,021 |
|
| Arroyo Mortgage Trust(a) |
|
| CMO Series 2022-1 Class A3 |
|
| 12/25/2056 |
|
|
3.650 |
% |
|
|
1,000,000 |
|
|
|
702,023 |
|
| Banc of America Funding Trust |
|
| CMO Series 2006-3 Class 4A14 |
|
| 03/25/2036 |
|
|
6.000 |
% |
|
|
321,478 |
|
|
|
249,233 |
|
| CMO Series 2006-3 Class 5A3 |
|
| 03/25/2036 |
|
|
5.500 |
% |
|
|
297,080 |
|
|
|
253,972 |
|
| Banc of America Funding
Trust(s) |
|
| CMO Series 2006-D Class 3A1 |
|
| 05/20/2036 |
|
|
4.391 |
% |
|
|
639,160 |
|
|
|
547,260 |
|
|
|
|
| 64 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential Mortgage-Backed Securities - Non-Agency(o)
(continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Banc of America Funding
Trust(b) |
|
| CMO Series 2007-C Class 7A1 |
|
| 1-month Term SOFR + 0.534% |
|
| Floor 0.420% |
|
| 05/20/2047 |
|
|
5.866 |
% |
|
|
1,360,994 |
|
|
|
1,201,622 |
|
| Bayview MSR Opportunity Master Fund
Trust(a),(b) |
|
| CMO Series 2022-2 Class AF |
|
| 30-day Average SOFR + |
|
| 0.850% |
|
| 12/25/2051 |
|
|
6.178 |
% |
|
|
2,173,731 |
|
|
|
1,967,521 |
|
| Bayview MSR Opportunity Master Fund
Trust(a),(c) |
|
| Subordinated CMO Series 2021-5 Class B1 |
|
| 11/25/2051 |
|
|
3.485 |
% |
|
|
954,620 |
|
|
|
747,838 |
|
| Subordinated CMO Series 2022-2 Class B3A |
|
| 12/25/2051 |
|
|
3.403 |
% |
|
|
1,441,249 |
|
|
|
1,005,388 |
|
| Bellemeade Re
Ltd.(a),(b) |
|
| CMO Series 2019-1A Class M2 |
|
| 1-month Term SOFR + 2.814% |
|
| Floor 2.700% |
|
| 03/25/2029 |
|
|
8.157 |
% |
|
|
1,541,933 |
|
|
|
1,552,426 |
|
| CMO Series 2021-3A Class M1C |
|
| 30-day Average SOFR + |
|
| 1.550% |
|
| Floor 1.550% |
|
| 09/25/2031 |
|
|
6.878 |
% |
|
|
2,200,000 |
|
|
|
2,146,650 |
|
| CMO Series 2022-1 Class M1C |
|
| 30-day Average SOFR + |
|
| 3.700% |
|
| Floor 3.700% |
|
| 01/26/2032 |
|
|
9.029 |
% |
|
|
2,500,000 |
|
|
|
2,506,257 |
|
| BRAVO Residential Funding
Trust(a),(c) |
|
| CMO Series 2021-B Class A1 |
|
| 04/01/2069 |
|
|
2.115 |
% |
|
|
7,969,850 |
|
|
|
7,648,821 |
|
| Carrington Mortgage Loan
Trust(b) |
|
| CMO Series 2006-NC3 Class A3 |
|
| 1-month Term SOFR + 0.264% |
|
| Floor 0.150%, Cap 12.500% |
|
| 08/25/2036 |
|
|
5.757 |
% |
|
|
1,276,876 |
|
|
|
1,193,861 |
|
| CMO Series 2006-NC3 Class A4 |
|
| 1-month Term SOFR + 0.354% |
|
| Floor 0.240%, Cap 12.500% |
|
| 08/25/2036 |
|
|
5.937 |
% |
|
|
9,300,000 |
|
|
|
7,117,170 |
|
| Chase Mortgage Finance
Corp.(a),(c) |
|
| Subordinated CMO Series 2019-1 Class B2 |
|
| 03/25/2050 |
|
|
3.890 |
% |
|
|
913,261 |
|
|
|
751,798 |
|
| Subordinated Series 2016-SH1 Class M2 |
|
| 04/25/2045 |
|
|
3.750 |
% |
|
|
188,852 |
|
|
|
167,652 |
|
| CIM Group(a),(c) |
|
| CMO Series 2020-R7 Class A1A |
|
| 12/27/2061 |
|
|
2.250 |
% |
|
|
5,800,668 |
|
|
|
4,947,626 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential Mortgage-Backed Securities - Non-Agency(o)
(continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| CIM Trust(a),(c) |
|
| CMO Series 2019-J2 Class B1 |
|
| 10/25/2049 |
|
|
3.768 |
% |
|
|
810,080 |
|
|
|
687,296 |
|
| CMO Series 2019-R5 Class M2 |
|
| 09/25/2059 |
|
|
3.250 |
% |
|
|
1,100,000 |
|
|
|
948,126 |
|
| CMO Series 2020-R6 Class A1A |
|
| 12/25/2060 |
|
|
2.250 |
% |
|
|
3,816,848 |
|
|
|
3,252,111 |
|
| CMO Series 2021-NR2 Class A1 |
|
| 07/25/2059 |
|
|
2.568 |
% |
|
|
4,350,488 |
|
|
|
4,226,178 |
|
| CMO Series 2021-R3 Class A1A |
|
| 06/25/2057 |
|
|
1.951 |
% |
|
|
7,308,360 |
|
|
|
6,329,782 |
|
| CMO Series 2022-I1 Class A1 |
|
| 02/25/2067 |
|
|
4.350 |
% |
|
|
5,515,108 |
|
|
|
5,259,679 |
|
| CMO Series 2023-NR2 Class A1 |
|
| 06/25/2062 |
|
|
6.000 |
% |
|
|
5,787,872 |
|
|
|
5,479,306 |
|
| CMO Series 2023-R1 Class A1A |
|
| 04/25/2062 |
|
|
5.400 |
% |
|
|
12,243,465 |
|
|
|
11,537,277 |
|
| CMO Series 2023-R3 Class A1A |
|
| 01/25/2063 |
|
|
4.500 |
% |
|
|
10,486,509 |
|
|
|
9,494,008 |
|
| Citicorp Mortgage Securities Trust |
|
| CMO Series 2007-8 Class 1A3 |
|
| 09/25/2037 |
|
|
6.000 |
% |
|
|
179,637 |
|
|
|
172,658 |
|
| Citigroup Mortgage Loan
Trust(a),(c) |
|
| CMO Series 2022-A Class A1 |
|
| 09/25/2062 |
|
|
6.170 |
% |
|
|
2,183,996 |
|
|
|
2,157,300 |
|
| Citigroup Mortgage Loan Trust,
Inc.(a),(c) |
|
| Subordinated CMO Series 2021-J2 Class B3W |
|
| 07/25/2051 |
|
|
2.769 |
% |
|
|
466,014 |
|
|
|
322,480 |
|
| Connecticut Avenue
Securities(a),(b) |
|
| CMO Series 2023-R07 Class 2M2 |
|
| 30-day Average SOFR + |
|
| 3.250% |
|
| 09/25/2043 |
|
|
8.578 |
% |
|
|
1,000,000 |
|
|
|
1,030,454 |
|
| Connecticut Avenue Securities
Trust(a),(b) |
|
| CMO Series 2019-R01 Class 2M2 |
|
| 30-day Average SOFR + |
|
| 2.564% |
|
| 07/25/2031 |
|
|
7.893 |
% |
|
|
97,658 |
|
|
|
97,779 |
|
| CMO Series 2020-R02 Class 2M2 |
|
| 30-day Average SOFR + |
|
| 2.114% |
|
| 01/25/2040 |
|
|
7.443 |
% |
|
|
212,337 |
|
|
|
214,291 |
|
| CMO Series 2020-SBT1 Class 1M2 |
|
| 30-day Average SOFR + |
|
| 3.764% |
|
| 02/25/2040 |
|
|
9.093 |
% |
|
|
1,500,000 |
|
|
|
1,558,129 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
65 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential Mortgage-Backed Securities - Non-Agency(o)
(continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| CMO Series 2020-SBT1 Class 2M2 |
|
| 30-day Average SOFR + |
|
| 3.764% |
|
| 02/25/2040 |
|
|
9.093 |
% |
|
|
3,500,000 |
|
|
|
3,645,957 |
|
| CMO Series 2022-R07 Class 1M2 |
|
| 30-day Average SOFR + |
|
| 4.650% |
|
| 06/25/2042 |
|
|
9.978 |
% |
|
|
2,700,000 |
|
|
|
2,904,197 |
|
| CMO Series 2023-R01 Class 1M2 |
|
| 30-day Average SOFR + |
|
| 3.750% |
|
| 12/25/2042 |
|
|
9.078 |
% |
|
|
3,750,000 |
|
|
|
3,933,789 |
|
| Subordinated CMO Series 2019-R05 Class 1B1 |
|
| 30-day Average SOFR + |
|
| 4.214% |
|
| 07/25/2039 |
|
|
9.543 |
% |
|
|
1,506,848 |
|
|
|
1,563,292 |
|
| Subordinated CMO Series 2020-R02 Class 2B1 |
|
| 30-day Average SOFR + |
|
| 3.114% |
|
| 01/25/2040 |
|
|
8.443 |
% |
|
|
5,250,000 |
|
|
|
5,253,315 |
|
| Subordinated CMO Series 2022-R02 Class 2B1 |
|
| 30-day Average SOFR + |
|
| 4.500% |
|
| 01/25/2042 |
|
|
9.828 |
% |
|
|
1,000,000 |
|
|
|
1,030,499 |
|
| Subordinated CMO Series 2022-R04 Class 1B1 |
|
| 30-day Average SOFR + |
|
| 5.250% |
|
| 03/25/2042 |
|
|
10.578 |
% |
|
|
750,000 |
|
|
|
799,186 |
|
| Countrywide Home Loan Mortgage Pass-Through Trust(c) |
|
| CMO Series 2007-HY5 Class 1A1 |
|
| 09/25/2047 |
|
|
4.713 |
% |
|
|
291,025 |
|
|
|
217,083 |
|
| Credit Suisse Mortgage Capital
Trust(a),(c) |
|
| CMO Series 2021-RP11 Class PT |
|
| 10/25/2061 |
|
|
3.769 |
% |
|
|
7,567,203 |
|
|
|
5,500,360 |
|
| Credit Suisse Mortgage
Trust(a),(c) |
|
| CMO Series 2022-ATH2 Class A1 |
|
| 05/25/2067 |
|
|
4.547 |
% |
|
|
6,387,442 |
|
|
|
6,036,429 |
|
| CMO Series 2022-ATH3 Class A3 |
|
| 08/25/2067 |
|
|
6.567 |
% |
|
|
1,380,457 |
|
|
|
1,356,124 |
|
| CMO Series 2022-JR1 Class A1 |
|
| 10/25/2066 |
|
|
4.267 |
% |
|
|
4,058,935 |
|
|
|
3,958,688 |
|
| Credit-Based Asset Servicing & Securitization LLC(c) |
|
| CMO Series 2007-CB1 Class AF3 |
|
| 01/25/2037 |
|
|
5.737 |
% |
|
|
3,352,881 |
|
|
|
1,028,629 |
|
| CSMC Trust(a),(c) |
|
| CMO Series 2018-RPL9 Class A |
|
| 09/25/2057 |
|
|
3.850 |
% |
|
|
4,941,605 |
|
|
|
4,571,201 |
|
| CMO Series 2020-RPL2 Class A12 |
|
| 02/25/2060 |
|
|
3.525 |
% |
|
|
3,227,888 |
|
|
|
3,365,042 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential Mortgage-Backed Securities - Non-Agency(o)
(continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| CMO Series 2020-RPL6 Class A1 |
|
| 03/25/2059 |
|
|
2.688 |
% |
|
|
2,391,554 |
|
|
|
2,351,686 |
|
| CMO Series 2021-NQM6 Class A1 |
|
| 07/25/2066 |
|
|
1.174 |
% |
|
|
7,743,535 |
|
|
|
5,879,039 |
|
| CMO Series 2022-RPL4 Class A1 |
|
| 04/25/2062 |
|
|
3.904 |
% |
|
|
2,565,061 |
|
|
|
2,347,976 |
|
| CSMCM Trust(a) |
|
| CMO Series 2021-RP11 Class CERT |
|
| 10/27/2061 |
|
|
3.778 |
% |
|
|
313,646 |
|
|
|
230,235 |
|
| CSMCM Trust
Certificates(a),(c) |
|
| CMO Series 2018-RPL4 Class CERT |
|
| 07/25/2050 |
|
|
3.735 |
% |
|
|
1,413,810 |
|
|
|
1,225,612 |
|
| Deephaven Residential Mortgage
Trust(a),(c) |
|
| CMO Series 2021-4 Class M1 |
|
| 11/25/2066 |
|
|
3.257 |
% |
|
|
2,000,000 |
|
|
|
1,320,224 |
|
| Domino’s Pizza Master Issuer
LLC(a) |
|
| CMO Series 2015-1A Class A2II |
|
| 10/25/2045 |
|
|
4.474 |
% |
|
|
1,860,000 |
|
|
|
1,798,226 |
|
| Downey Savings & Loan Association Mortgage Loan Trust(b) |
|
| CMO Series 2005-AR6 Class 2A1A |
|
| 1-month Term SOFR + 0.694% |
|
| Floor 0.290%, Cap 11.000% |
|
| 10/19/2045 |
|
|
6.026 |
% |
|
|
1,099,442 |
|
|
|
908,283 |
|
| CMO Series 2006-AR2 Class 2A1A |
|
| 1-month Term SOFR + 0.314% |
|
| Floor 0.200% |
|
| 10/19/2036 |
|
|
5.646 |
% |
|
|
1,794,168 |
|
|
|
1,190,190 |
|
| First Franklin Mortgage Loan
Trust(b) |
|
| CMO Series 2006-FF18 Class A2D |
|
| 1-month Term SOFR + 0.324% |
|
| Floor 0.210% |
|
| 12/25/2037 |
|
|
5.877 |
% |
|
|
1,188,612 |
|
|
|
1,005,612 |
|
| CMO Series 2007-FF2 Class A2B |
|
| 1-month Term SOFR + 0.214% |
|
| Floor 0.100% |
|
| 03/25/2037 |
|
|
5.657 |
% |
|
|
3,193,510 |
|
|
|
1,483,261 |
|
| First Horizon Mortgage Pass-Through
Trust(c) |
|
| CMO Series 2007-AR1 Class 1A1 |
|
| 05/25/2037 |
|
|
4.010 |
% |
|
|
197,282 |
|
|
|
80,937 |
|
| Flagstar Mortgage
Trust(a),(c) |
|
| Subordinated CMO Series 2018-5 Class B3 |
|
| 09/25/2048 |
|
|
4.457 |
% |
|
|
885,783 |
|
|
|
776,522 |
|
| Subordinated CMO Series 2019-2 Class B1 |
|
| 12/25/2049 |
|
|
4.007 |
% |
|
|
855,211 |
|
|
|
722,509 |
|
| Subordinated CMO Series 2019-2 Class B2 |
|
| 12/25/2049 |
|
|
4.007 |
% |
|
|
914,664 |
|
|
|
764,985 |
|
| Subordinated CMO Series 2021-12 Class B2 |
|
| 11/25/2051 |
|
|
2.982 |
% |
|
|
1,240,686 |
|
|
|
909,587 |
|
|
|
|
| 66 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential Mortgage-Backed Securities - Non-Agency(o)
(continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Freddie Mac STACR REMIC
Trust(a),(b) |
|
| CMO Series 2021-DNA5 Class M2 |
|
| 30-day Average SOFR + |
|
| 1.650% |
|
| 01/25/2034 |
|
|
6.978 |
% |
|
|
1,002,620 |
|
|
|
1,005,027 |
|
| CMO Series 2021-HQA1 Class B1 |
|
| 30-day Average SOFR + |
|
| 3.000% |
|
| 08/25/2033 |
|
|
8.328 |
% |
|
|
6,500,000 |
|
|
|
6,509,738 |
|
| CMO Series 2021-HQA1 Class M2 |
|
| 30-day Average SOFR + |
|
| 2.250% |
|
| 08/25/2033 |
|
|
7.578 |
% |
|
|
10,482,782 |
|
|
|
10,431,210 |
|
| CMO Series 2021-HQA3 Class M2 |
|
| 30-day Average SOFR + |
|
| 2.100% |
|
| 09/25/2041 |
|
|
7.428 |
% |
|
|
2,410,000 |
|
|
|
2,367,213 |
|
| CMO Series 2021-HQA4 Class M2 |
|
| 30-day Average SOFR + |
|
| 2.350% |
|
| 12/25/2041 |
|
|
7.678 |
% |
|
|
3,000,000 |
|
|
|
2,955,659 |
|
| CMO Series 2022-DNA1 Class M2 |
|
| 30-day Average SOFR + |
|
| 2.500% |
|
| 01/25/2042 |
|
|
7.828 |
% |
|
|
4,875,000 |
|
|
|
4,857,175 |
|
| CMO Series 2022-DNA3 Class M1B |
|
| 30-day Average SOFR + |
|
| 2.900% |
|
| 04/25/2042 |
|
|
8.228 |
% |
|
|
4,140,000 |
|
|
|
4,228,944 |
|
| Subordinated CMO Series 2021-DNA3 Class B1 |
|
| 30-day Average SOFR + |
|
| 3.500% |
|
| 10/25/2033 |
|
|
8.828 |
% |
|
|
2,025,000 |
|
|
|
2,090,193 |
|
| Subordinated CMO Series 2021-DNA6 Class B1 |
|
| 30-day Average SOFR + |
|
| 3.400% |
|
| 10/25/2041 |
|
|
8.728 |
% |
|
|
2,000,000 |
|
|
|
2,026,250 |
|
| Subordinated CMO Series 2021-DNA7 Class M2 |
|
| 30-day Average SOFR + |
|
| 1.800% |
|
| 11/25/2041 |
|
|
7.128 |
% |
|
|
960,000 |
|
|
|
947,060 |
|
| Subordinated CMO Series 2021-HQA3 Class B1 |
|
| 30-day Average SOFR + |
|
| 3.350% |
|
| 09/25/2041 |
|
|
8.678 |
% |
|
|
620,000 |
|
|
|
619,994 |
|
| Subordinated CMO Series 2022-DNA6 Class M2 |
|
| 30-day Average SOFR + |
|
| 5.750% |
|
| 09/25/2042 |
|
|
11.078 |
% |
|
|
6,000,000 |
|
|
|
6,568,834 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential Mortgage-Backed Securities - Non-Agency(o)
(continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Freddie Mac Structured Agency Credit Risk Debt Notes(a),(b) |
|
| CMO Series 2020-HQA5 Class M2 |
|
| 30-day Average SOFR + |
|
| 2.600% |
|
| 11/25/2050 |
|
|
7.928 |
% |
|
|
4,080,046 |
|
|
|
4,147,714 |
|
| CMO Series 2022-DNA2 Class M1B |
|
| 30-day Average SOFR + |
|
| 2.400% |
|
| 02/25/2042 |
|
|
7.728 |
% |
|
|
5,000,000 |
|
|
|
5,041,000 |
|
| Subordinated CMO Series 2020-HQA5 Class B1 |
|
| 30-day Average SOFR + |
|
| 4.000% |
|
| 11/25/2050 |
|
|
9.328 |
% |
|
|
1,805,000 |
|
|
|
1,932,862 |
|
| Subordinated CMO Series 2021-DNA7 Class B1 |
|
| 30-day Average SOFR + |
|
| 3.650% |
|
| 11/25/2041 |
|
|
8.971 |
% |
|
|
710,000 |
|
|
|
721,319 |
|
| Galton Funding Mortgage
Trust(a),(c) |
|
| CMO Series 2019-1 Class B1 |
|
| 02/25/2059 |
|
|
4.250 |
% |
|
|
1,578,332 |
|
|
|
1,429,829 |
|
| CMO Series 2019-1 Class B2 |
|
| 02/25/2059 |
|
|
4.500 |
% |
|
|
886,353 |
|
|
|
805,596 |
|
| Subordinated CMO Series 2018-2 Class B2 |
|
| 10/25/2058 |
|
|
4.750 |
% |
|
|
465,456 |
|
|
|
433,240 |
|
| GCAT LLC(a),(c) |
|
| CMO Series 2021-1 Class A1 |
|
| 11/25/2049 |
|
|
2.487 |
% |
|
|
5,565,711 |
|
|
|
5,094,807 |
|
| Genworth Mortgage Insurance
Corp.(a),(b) |
|
| CMO Series 2021-3 Class M1B |
|
| 30-day Average SOFR + |
|
| 2.900% |
|
| Floor 2.900% |
|
| 02/25/2034 |
|
|
8.221 |
% |
|
|
1,000,000 |
|
|
|
1,003,109 |
|
| GS Mortgage-Backed Securities Corp.
Trust(a),(c) |
|
| CMO Series 2019-PJ3 Class A1 |
|
| 03/25/2050 |
|
|
3.500 |
% |
|
|
16,772 |
|
|
|
14,837 |
|
| GS Mortgage-Backed Securities
Trust(a),(c) |
|
| CMO Series 2023-PJ4 Class A3 |
|
| 01/25/2054 |
|
|
6.000 |
% |
|
|
2,411,799 |
|
|
|
2,383,725 |
|
| Subordinated CMO Series 2021-GR3 Class B3 |
|
| 04/25/2052 |
|
|
3.384 |
% |
|
|
983,824 |
|
|
|
705,348 |
|
| GSAMP Trust(b) |
|
| CMO Series 2004-OPT Class M1 |
|
| 1-month Term SOFR + 0.984% |
|
| Floor 0.580% |
|
| 11/25/2034 |
|
|
6.327 |
% |
|
|
837,838 |
|
|
|
773,538 |
|
| GSR Mortgage Loan
Trust(c) |
|
| CMO Series 2006-AR2 Class 2A1 |
|
| 04/25/2036 |
|
|
3.833 |
% |
|
|
921,745 |
|
|
|
605,199 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
67 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential Mortgage-Backed Securities - Non-Agency(o)
(continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| HarborView Mortgage Loan
Trust(b) |
|
| CMO Series 2006-10 Class 1A1A |
|
| 1-month Term SOFR + 0.314% |
|
| Floor 0.200% |
|
| 11/19/2036 |
|
|
5.846 |
% |
|
|
5,434,177 |
|
|
|
4,216,213 |
|
| HSI Asset Securitization Corp.
Trust(b) |
|
| CMO Series 2006-OPT1 Class M1 |
|
| 1-month Term SOFR + 0.654% |
|
| Floor 0.360% |
|
| 12/25/2035 |
|
|
5.997 |
% |
|
|
410,113 |
|
|
|
406,733 |
|
| JPMorgan Alternative Loan
Trust(b) |
|
| CMO Series 2007-S1 Class A1 |
|
| 1-month Term SOFR + 0.674% |
|
| Floor 0.280%, Cap 11.500% |
|
| 04/25/2047 |
|
|
6.017 |
% |
|
|
2,306,978 |
|
|
|
2,171,793 |
|
| JPMorgan Mortgage Acquisition
Trust(b) |
|
| CMO Series 2007-CH5 Class A5 |
|
| 1-month Term SOFR + 0.374% |
|
| Floor 0.260% |
|
| 06/25/2037 |
|
|
5.717 |
% |
|
|
220,812 |
|
|
|
220,082 |
|
| JPMorgan Mortgage
Trust(a),(c) |
|
| CMO Series 2018-5 Class A13 |
|
| 10/25/2048 |
|
|
3.500 |
% |
|
|
878,896 |
|
|
|
729,099 |
|
| CMO Series 2018-6 Class 1A10 |
|
| 12/25/2048 |
|
|
3.500 |
% |
|
|
133,634 |
|
|
|
113,203 |
|
| CMO Series 2019-1 Class A3 |
|
| 05/25/2049 |
|
|
4.000 |
% |
|
|
232,224 |
|
|
|
206,123 |
|
| CMO Series 2019-2 Class A3 |
|
| 08/25/2049 |
|
|
4.000 |
% |
|
|
77,569 |
|
|
|
70,973 |
|
| CMO Series 2019-5 Class A3 |
|
| 11/25/2049 |
|
|
4.000 |
% |
|
|
178,254 |
|
|
|
159,763 |
|
| CMO Series 2019-8 Class A15 |
|
| 03/25/2050 |
|
|
3.500 |
% |
|
|
136,739 |
|
|
|
116,311 |
|
| CMO Series 2019-9 Class B2A |
|
| 05/25/2050 |
|
|
3.408 |
% |
|
|
1,383,070 |
|
|
|
1,128,778 |
|
| CMO Series 2019-HYB1 Class B1 |
|
| 10/25/2049 |
|
|
4.830 |
% |
|
|
938,800 |
|
|
|
873,961 |
|
| CMO Series 2019-INV2 Class A3 |
|
| 02/25/2050 |
|
|
3.500 |
% |
|
|
128,640 |
|
|
|
108,992 |
|
| CMO Series 2019-LTV3 Class B3 |
|
| 03/25/2050 |
|
|
4.356 |
% |
|
|
1,558,869 |
|
|
|
1,358,350 |
|
| CMO Series 2020-1 Class A15 |
|
| 06/25/2050 |
|
|
3.500 |
% |
|
|
417,872 |
|
|
|
358,421 |
|
| CMO Series 2020-2 Class A15 |
|
| 07/25/2050 |
|
|
3.500 |
% |
|
|
268,961 |
|
|
|
227,577 |
|
| CMO Series 2020-5 Class A15 |
|
| 12/25/2050 |
|
|
3.000 |
% |
|
|
196,574 |
|
|
|
157,421 |
|
| CMO Series 2020-5 Class B1 |
|
| 12/25/2050 |
|
|
3.574 |
% |
|
|
925,519 |
|
|
|
753,893 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential Mortgage-Backed Securities - Non-Agency(o)
(continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| CMO Series 2021-13 Class A3 |
|
| 04/25/2052 |
|
|
2.500 |
% |
|
|
9,692,739 |
|
|
|
7,541,406 |
|
| Subordinated CMO Series 2017-1 Class B4 |
|
| 01/25/2047 |
|
|
3.449 |
% |
|
|
392,327 |
|
|
|
329,910 |
|
| Subordinated CMO Series 2017-3 Class B1 |
|
| 08/25/2047 |
|
|
3.747 |
% |
|
|
1,176,737 |
|
|
|
1,026,710 |
|
| Subordinated CMO Series 2017-6 Class B2 |
|
| 12/25/2048 |
|
|
3.778 |
% |
|
|
509,656 |
|
|
|
431,786 |
|
| Subordinated CMO Series 2018-8 Class B1 |
|
| 01/25/2049 |
|
|
4.042 |
% |
|
|
1,060,309 |
|
|
|
916,287 |
|
| Subordinated CMO Series 2018-8 Class B2 |
|
| 01/25/2049 |
|
|
4.042 |
% |
|
|
883,591 |
|
|
|
767,328 |
|
| Subordinated CMO Series 2019-2 Class B2 |
|
| 08/25/2049 |
|
|
4.420 |
% |
|
|
2,084,550 |
|
|
|
1,846,019 |
|
| Subordinated CMO Series 2019-6 Class B1 |
|
| 12/25/2049 |
|
|
4.245 |
% |
|
|
915,532 |
|
|
|
799,946 |
|
| Subordinated CMO Series 2019-8 Class B3A |
|
| 03/25/2050 |
|
|
3.408 |
% |
|
|
1,833,696 |
|
|
|
1,486,504 |
|
| Subordinated CMO Series 2019-LTV1 Class B2 |
|
| 06/25/2049 |
|
|
4.605 |
% |
|
|
1,472,166 |
|
|
|
1,358,106 |
|
| Subordinated CMO Series 2019-LTV2 Class B2 |
|
| 12/25/2049 |
|
|
4.706 |
% |
|
|
1,095,800 |
|
|
|
1,007,114 |
|
| Subordinated CMO Series 2019-LTV2 Class B3 |
|
| 12/25/2049 |
|
|
4.706 |
% |
|
|
913,167 |
|
|
|
832,634 |
|
| Subordinated CMO Series 2020-8 Class B2 |
|
| 03/25/2051 |
|
|
3.515 |
% |
|
|
1,835,998 |
|
|
|
1,482,111 |
|
| Subordinated CMO Series 2021-14 Class B2 |
|
| 05/25/2052 |
|
|
3.158 |
% |
|
|
1,500,000 |
|
|
|
1,135,556 |
|
| Subordinated CMO Series 2022-LTV2 Class A1 |
|
| 11/25/2052 |
|
|
3.304 |
% |
|
|
1,544,467 |
|
|
|
1,145,971 |
|
| Subordinated CMO Series 2023-10 Class B3 |
|
| 05/25/2054 |
|
|
6.534 |
% |
|
|
1,000,000 |
|
|
|
917,660 |
|
| Subordinated CMO Series 2023-8 Class B3 |
|
| 02/25/2054 |
|
|
6.356 |
% |
|
|
1,995,349 |
|
|
|
1,816,588 |
|
| JPMorgan Mortgage
Trust(a),(b) |
|
| CMO Series 2018-7FRB Class A1 |
|
| 1-month Term SOFR + 0.864% |
|
| 04/25/2046 |
|
|
6.140 |
% |
|
|
476,935 |
|
|
|
451,117 |
|
| CMO Series 2023-HE2 Class A1 |
|
| 30-day Average SOFR + |
|
| 1.700% |
|
| 03/25/2054 |
|
|
7.025 |
% |
|
|
577,800 |
|
|
|
578,020 |
|
| JPMorgan Trust(a),(c) |
|
| Subordinated CMO Series 2015-3 Class B3 |
|
| 05/25/2045 |
|
|
3.636 |
% |
|
|
385,424 |
|
|
|
343,848 |
|
|
|
|
| 68 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential Mortgage-Backed Securities - Non-Agency(o)
(continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Legacy Mortgage Asset
Trust(a),(c) |
|
| CMO Series 2019-PR1 Class A1 |
|
| 09/25/2059 |
|
|
7.858 |
% |
|
|
5,761,173 |
|
|
|
5,718,867 |
|
| CMO Series 2020-GS1 Class A1 |
|
| 10/25/2059 |
|
|
5.882 |
% |
|
|
2,858,182 |
|
|
|
2,881,421 |
|
| CMO Series 2020-GS2 Class A1 |
|
| 03/25/2060 |
|
|
2.750 |
% |
|
|
10,323,052 |
|
|
|
10,278,198 |
|
| CMO Series 2020-SL1 Class A |
|
| 01/25/2060 |
|
|
2.734 |
% |
|
|
209,523 |
|
|
|
208,920 |
|
| CMO Series 2021-GS1 Class A1 |
|
| 10/25/2066 |
|
|
1.892 |
% |
|
|
919,304 |
|
|
|
875,665 |
|
| CMO Series 2021-SL1 Class A |
|
| 09/25/2060 |
|
|
1.991 |
% |
|
|
505,576 |
|
|
|
500,635 |
|
| CMO Series 2021-SL2 Class A |
|
| 10/25/2068 |
|
|
1.875 |
% |
|
|
234,117 |
|
|
|
218,222 |
|
| Lehman XS Trust(b) |
|
| CMO Series 2005-5N Class 3A1A |
|
| 1-month Term SOFR + 0.414% |
|
| Floor 0.300% |
|
| 11/25/2035 |
|
|
5.757 |
% |
|
|
287,797 |
|
|
|
281,356 |
|
| CMO Series 2006-2N Class 1A1 |
|
| 1-month Term SOFR + 0.634% |
|
| Floor 0.260% |
|
| 02/25/2046 |
|
|
5.977 |
% |
|
|
1,066,278 |
|
|
|
905,063 |
|
| loanDepot GMSR Master
Trust(a),(b) |
|
| Series 2018-GT1 Class A |
|
| 1-month Term SOFR + 2.914% |
|
| Floor 2.800% |
|
| 10/16/2025 |
|
|
8.227 |
% |
|
|
1,300,000 |
|
|
|
1,200,682 |
|
| Long Beach Mortgage Loan
Trust(b) |
|
| CMO Series 2006-10 Class 1A |
|
| 1-month Term SOFR + 0.414% |
|
| Floor 0.150% |
|
| 11/25/2036 |
|
|
5.757 |
% |
|
|
3,510,077 |
|
|
|
2,443,009 |
|
| CMO Series 2006-11 Class 2A2 |
|
| 1-month Term SOFR + 0.214% |
|
| Floor 0.100% |
|
| 12/25/2036 |
|
|
5.657 |
% |
|
|
29,077,139 |
|
|
|
9,892,700 |
|
| MASTR Alternative Loan Trust |
|
| CMO Series 2004-12 Class 4A1 |
|
| 12/25/2034 |
|
|
5.500 |
% |
|
|
335,013 |
|
|
|
321,329 |
|
| Mello Mortgage Capital Acceptance
Trust(a),(c) |
|
| Subordinated CMO Series 2021-INV1 Class B3 |
|
| 06/25/2051 |
|
|
2.960 |
% |
|
|
1,923,983 |
|
|
|
1,322,238 |
|
| Merrill Lynch First Franklin Mortgage Loan Trust(b) |
|
| CMO Series 2007-1 Class A2D |
|
| 1-month Term SOFR + 0.454% |
|
| Floor 0.340% |
|
| 04/25/2037 |
|
|
5.797 |
% |
|
|
15,689,640 |
|
|
|
6,036,641 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential Mortgage-Backed Securities - Non-Agency(o)
(continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| MortgageIT Trust(b) |
|
| CMO Series 2005-5 Class A1 |
|
| 1-month Term SOFR + 0.634% |
|
| Floor 0.260%, Cap 11.500% |
|
| 12/25/2035 |
|
|
5.977 |
% |
|
|
412,072 |
|
|
|
397,494 |
|
| New Residential Mortgage Loan
Trust(a),(b) |
|
| CMO Series 2018-4A Class A1S |
|
| 1-month Term SOFR + 0.864% |
|
| Floor 0.750% |
|
| 01/25/2048 |
|
|
6.207 |
% |
|
|
826,991 |
|
|
|
806,881 |
|
| Oaktown Re VI
Ltd.(a),(b) |
|
| CMO Series 2021-1A Class M1B |
|
| 30-day Average SOFR + |
|
| 2.050% |
|
| Floor 2.050% |
|
| 10/25/2033 |
|
|
7.378 |
% |
|
|
536,345 |
|
|
|
536,190 |
|
| CMO Series 2021-1A Class M1C |
|
| 30-day Average SOFR + |
|
| 3.000% |
|
| Floor 3.000% |
|
| 10/25/2033 |
|
|
8.328 |
% |
|
|
2,250,000 |
|
|
|
2,275,454 |
|
| Oaktown Re VII
Ltd.(a),(b) |
|
| CMO Series 2021-2 Class M1B |
|
| 30-day Average SOFR + |
|
| 2.900% |
|
| Floor 2.900% |
|
| 04/25/2034 |
|
|
8.221 |
% |
|
|
2,200,000 |
|
|
|
2,197,005 |
|
| CMO Series 2021-2 Class M1C |
|
| 30-day Average SOFR + |
|
| 3.350% |
|
| Floor 3.350% |
|
| 04/25/2034 |
|
|
8.671 |
% |
|
|
2,000,000 |
|
|
|
1,982,015 |
|
| OBX Trust(a),(c) |
|
| CMO Series 2019-EXP1 Class 1A3 |
|
| 01/25/2059 |
|
|
4.000 |
% |
|
|
41,336 |
|
|
|
39,299 |
|
| CMO Series 2019-INV2 Class A25 |
|
| 05/27/2049 |
|
|
4.000 |
% |
|
|
85,301 |
|
|
|
75,052 |
|
| Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates(b) |
|
| CMO Series 2005-4 Class M2 |
|
| 1-month Term SOFR + 0.864% |
|
| Floor 0.500% |
|
| 11/25/2035 |
|
|
6.207 |
% |
|
|
11,526,000 |
|
|
|
11,087,197 |
|
| Preston Ridge Partners Mortgage
Trust(a),(c) |
|
| CMO Series 2022-4 Class A1 |
|
| 08/25/2027 |
|
|
5.000 |
% |
|
|
2,908,994 |
|
|
|
2,829,919 |
|
| Pretium Mortgage Credit Partners
LLC(a),(c) |
|
| CMO Series 2021-RN2 Class A1 |
|
| 07/25/2051 |
|
|
1.744 |
% |
|
|
5,517,558 |
|
|
|
5,165,168 |
|
| CMO Series 2022-RN2 Class A1 |
|
| 06/25/2052 |
|
|
5.000 |
% |
|
|
7,755,592 |
|
|
|
7,408,130 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
69 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential Mortgage-Backed Securities - Non-Agency(o)
(continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| CMO Series 2022-RN2 Class A2 |
|
| 06/25/2052 |
|
|
6.500 |
% |
|
|
13,780,000 |
|
|
|
12,991,143 |
|
| CMO Series 2022-RN3 Class A1 |
|
| 08/25/2052 |
|
|
5.000 |
% |
|
|
8,822,184 |
|
|
|
8,512,657 |
|
| Radnor RE Ltd.(a),(b) |
|
| CMO Series 2021-1 Class M1C |
|
| 30-day Average SOFR + |
|
| 2.700% |
|
| Floor 2.700% |
|
| 12/27/2033 |
|
|
7.328 |
% |
|
|
3,000,000 |
|
|
|
3,024,278 |
|
| RALI Trust(c) |
|
| CMO Series 2005-QA4 Class A41 |
|
| 04/25/2035 |
|
|
4.339 |
% |
|
|
8,524 |
|
|
|
8,422 |
|
| RALI Trust(c),(d) |
|
| CMO Series 2006-QS18 Class 1AV |
|
| 12/25/2036 |
|
|
0.464 |
% |
|
|
18,717,105 |
|
|
|
313,637 |
|
| CMO Series 2007-QS1 Class 2AV |
|
| 01/25/2037 |
|
|
0.155 |
% |
|
|
20,434,618 |
|
|
|
102,410 |
|
| Rathlin
Residential(a),(b) |
|
| CMO Series 2021-1A Class A |
|
| 1-month EURIBOR + 2.000% |
|
|
|
|
|
|
|
|
|
| 09/27/2075 |
|
|
5.845 |
% |
|
|
EUR 2,187,832 |
|
|
|
2,318,368 |
|
| RCKT Mortgage
Trust(a),(c) |
|
| Subordinated CMO Series 2019-1 Class B4 |
|
| 09/25/2049 |
|
|
3.838 |
% |
|
|
3,539,903 |
|
|
|
2,875,074 |
|
| RFMSI Trust(c) |
|
| CMO Series 2005-SA5 Class 1A |
|
| 11/25/2035 |
|
|
4.034 |
% |
|
|
591,538 |
|
|
|
355,071 |
|
| CMO Series 2006-SA4 Class 2A1 |
|
| 11/25/2036 |
|
|
5.555 |
% |
|
|
138,694 |
|
|
|
118,139 |
|
| Seasoned Credit Risk Transfer
Trust(c) |
|
| CMO Series 2017-3SC Class HT (FHLMC) |
|
| 07/25/2056 |
|
|
3.250 |
% |
|
|
16,651,192 |
|
|
|
13,716,105 |
|
| Seasoned Credit Risk Transfer Trust |
|
| CMO Series 2017-4 Class M45T |
|
| 06/25/2057 |
|
|
4.500 |
% |
|
|
2,271,501 |
|
|
|
2,116,200 |
|
| CMO Series 2018-2 Class HT (FHLMC) |
|
| 11/25/2057 |
|
|
3.000 |
% |
|
|
260,670 |
|
|
|
217,903 |
|
| CMO Series 2018-3 Class HT (FHLMC) |
|
| 08/25/2057 |
|
|
3.000 |
% |
|
|
286,940 |
|
|
|
237,856 |
|
| CMO Series 2018-4 Class HT (FHLMC) |
|
| 03/25/2058 |
|
|
3.000 |
% |
|
|
239,422 |
|
|
|
197,772 |
|
| CMO Series 2019-1 Class HT (FHLMC) |
|
| 07/25/2058 |
|
|
3.000 |
% |
|
|
960,202 |
|
|
|
800,397 |
|
| CMO Series 2019-2 Class HT (FHLMC) |
|
| 08/25/2058 |
|
|
3.000 |
% |
|
|
176,494 |
|
|
|
146,252 |
|
| CMO Series 2019-3 Class HT (FHLMC) |
|
| 10/25/2058 |
|
|
3.000 |
% |
|
|
70,561 |
|
|
|
58,615 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential Mortgage-Backed Securities - Non-Agency(o)
(continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Sequoia Mortgage
Trust(a),(c) |
|
| CMO Series 2019-4 Class A19 |
|
| 11/25/2049 |
|
|
3.500 |
% |
|
|
142,379 |
|
|
|
118,009 |
|
| CMO Series 2019-CH2 Class A1 |
|
| 08/25/2049 |
|
|
4.500 |
% |
|
|
25,369 |
|
|
|
24,695 |
|
| CMO Series 2021-5 Class A19 |
|
| 07/25/2051 |
|
|
2.500 |
% |
|
|
653,640 |
|
|
|
493,039 |
|
| Subordinated CMO Series 2018-6 Class B1 |
|
| 07/25/2048 |
|
|
4.162 |
% |
|
|
1,082,770 |
|
|
|
967,442 |
|
| Subordinated CMO Series 2019-2 Class B2 |
|
| 06/25/2049 |
|
|
4.261 |
% |
|
|
1,746,780 |
|
|
|
1,564,361 |
|
| Subordinated CMO Series 2020-3 Class B2 |
|
| 04/25/2050 |
|
|
3.320 |
% |
|
|
973,578 |
|
|
|
779,215 |
|
| Subordinated CMO Series 2023-3 Class B3 |
|
| 09/25/2053 |
|
|
6.248 |
% |
|
|
1,364,668 |
|
|
|
1,237,187 |
|
| Starwood Mortgage Residential
Trust(a),(c) |
|
| CMO Series 2021-3 Class A1 |
|
| 06/25/2056 |
|
|
1.127 |
% |
|
|
5,416,885 |
|
|
|
4,275,541 |
|
| Structured Adjustable Rate Mortgage Loan Trust(c) |
|
| CMO Series 2004-20 Class 1A2 |
|
| 01/25/2035 |
|
|
5.115 |
% |
|
|
324,622 |
|
|
|
296,080 |
|
| CMO Series 2006-5 Class 1A1 |
|
| 06/25/2036 |
|
|
4.581 |
% |
|
|
594,338 |
|
|
|
526,845 |
|
| Texas Capital Bank
NA(a),(b) |
|
| CMO Series 2021 Class NOTE |
|
| 3-month USD LIBOR + 4.500% |
|
| 09/30/2024 |
|
|
10.156 |
% |
|
|
5,338,182 |
|
|
|
5,297,043 |
|
| Toorak Mortgage Corp.,
Ltd.(a),(c) |
|
| CMO Series 2022-INV2 Class A1 |
|
| 06/25/2057 |
|
|
4.350 |
% |
|
|
5,638,503 |
|
|
|
5,334,770 |
|
| Towd Point HE Trust(a) |
|
| CMO Series 2023-1 Class A1A |
|
| 02/25/2063 |
|
|
6.875 |
% |
|
|
945,099 |
|
|
|
949,976 |
|
| Verus Securitization
Trust(a),(c) |
|
| CMO Series 2022-INV1 Class A3 |
|
| 08/25/2067 |
|
|
5.830 |
% |
|
|
1,773,012 |
|
|
|
1,713,179 |
|
| WaMu Asset-Backed Certificates
Trust(b) |
|
| CMO Series 2007-HE1 Class 2A3 |
|
| 1-month Term SOFR + 0.264% |
|
| Floor 0.150% |
|
| 01/25/2037 |
|
|
5.607 |
% |
|
|
3,225,596 |
|
|
|
1,448,491 |
|
| WaMu Mortgage Pass-Through Certificates Trust(c) |
|
| CMO Series 2003-AR8 Class A |
|
| 08/25/2033 |
|
|
5.558 |
% |
|
|
181,392 |
|
|
|
169,943 |
|
| CMO Series 2004-AR4 Class A6 |
|
| 06/25/2034 |
|
|
5.054 |
% |
|
|
1,498,643 |
|
|
|
1,388,304 |
|
| CMO Series 2004-AR7 Class A6 |
|
| 07/25/2034 |
|
|
4.957 |
% |
|
|
684,210 |
|
|
|
629,830 |
|
|
|
|
| 70 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Residential Mortgage-Backed Securities - Non-Agency(o) (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| CMO Series 2007-HY1 Class 3A3 |
|
| 02/25/2037 |
|
|
3.704 |
% |
|
|
2,117,811 |
|
|
|
1,726,416 |
|
| CMO Series 2007-HY3 Class 1A1 |
|
| 03/25/2037 |
|
|
3.478 |
% |
|
|
384,230 |
|
|
|
298,086 |
|
| WaMu Mortgage Pass-Through Certificates Trust(b) |
|
| CMO Series 2005-AR11 Class A1A |
|
| 1-month Term SOFR + 0.754% |
|
| Floor 0.320%, Cap 10.500% |
|
| 08/25/2045 |
|
|
6.097 |
% |
|
|
529,509 |
|
|
|
488,710 |
|
| CMO Series 2005-AR17 Class A1A1 |
|
| 1-month Term SOFR + 0.654% |
|
| Floor 0.270%, Cap 10.500% |
|
| 12/25/2045 |
|
|
5.997 |
% |
|
|
1,829,862 |
|
|
|
1,680,421 |
|
| CMO Series 2005-AR2 Class 2A1A |
|
| 1-month Term SOFR + 0.734% |
|
| Floor 0.310%, Cap 10.500% |
|
| 01/25/2045 |
|
|
6.077 |
% |
|
|
459,620 |
|
|
|
437,513 |
|
| CMO Series 2005-AR9 Class A1A |
|
| 1-month Term SOFR + 0.754% |
|
| Floor 0.320%, Cap 10.500% |
|
| 07/25/2045 |
|
|
6.097 |
% |
|
|
418,265 |
|
|
|
387,214 |
|
| CMO Series 2006-AR4 Class 1A1A |
|
| 1-year MTA + 0.940% |
|
| Floor 0.940% |
|
| 05/25/2046 |
|
|
5.952 |
% |
|
|
1,072,602 |
|
|
|
958,043 |
|
| CMO Series 2006-AR5 Class A12A |
|
| 1-year MTA + 0.980% |
|
| Floor 0.980% |
|
| 06/25/2046 |
|
|
5.992 |
% |
|
|
322,256 |
|
|
|
279,628 |
|
| CMO Series 2007-OC2 Class A3 |
|
| 1-month Term SOFR + 0.734% |
|
| Floor 0.310% |
|
| 06/25/2037 |
|
|
6.077 |
% |
|
|
1,635,661 |
|
|
|
1,498,431 |
|
| Wells Fargo Mortgage-Backed Securities Trust(a),(c) |
|
| CMO Series 2019-1 Class A1 |
|
| 11/25/2048 |
|
|
3.936 |
% |
|
|
40,159 |
|
|
|
37,020 |
|
| Subordinated CMO Series 2018-1 Class B3 |
|
| 07/25/2047 |
|
|
3.660 |
% |
|
|
1,049,556 |
|
|
|
859,843 |
|
| Subordinated CMO Series 2020-1 Class B3 |
|
| 12/25/2049 |
|
|
3.377 |
% |
|
|
1,863,076 |
|
|
|
1,475,629 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Residential Mortgage-Backed Securities - Non-Agency
(Cost
$488,955,210) |
|
|
|
454,017,432 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Senior Loans 0.5% |
|
|
|
|
|
| Borrower |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Aerospace & Defense 0.0% |
|
| TransDigm, Inc.(b),(t) |
|
| Tranche I Term Loan |
|
| 3-month Term SOFR + 3.250% |
|
| 08/24/2028 |
|
|
8.640 |
% |
|
|
695,168 |
|
|
|
695,321 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Airlines 0.0% |
|
| United AirLines,
Inc.(b),(t) |
|
| Tranche B Term Loan |
|
| 1-month Term SOFR + 3.750% |
|
| Floor 0.750% |
|
| 04/21/2028 |
|
|
9.207 |
% |
|
|
854,877 |
|
|
|
853,902 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Brokerage/Asset Managers/Exchanges 0.0% |
|
| Deerfield Dakota Holding
LLC(b),(t) |
|
| 1st Lien Term Loan |
|
| 3-month Term SOFR + 3.750% |
|
| Floor 1.000% |
|
| 04/09/2027 |
|
|
9.140 |
% |
|
|
714,585 |
|
|
|
699,579 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Cable and Satellite 0.1% |
|
| Charter Communications Operating
LLC(b),(t) |
|
| Tranche B2 Term Loan |
|
| 3-month Term SOFR + 1.750% |
|
| 02/01/2027 |
|
|
7.133 |
% |
|
|
240,602 |
|
|
|
240,055 |
|
| CSC Holdings LLC(b),(t) |
|
| Term Loan |
|
| 1-month Term SOFR + 2.500% |
|
| 04/15/2027 |
|
|
7.937 |
% |
|
|
3,098,442 |
|
|
|
2,895,587 |
|
| 1-month Term SOFR + 4.500% |
|
| 01/18/2028 |
|
|
9.823 |
% |
|
|
1,922,743 |
|
|
|
1,849,448 |
|
| DirectTV Financing
LLC(b),(t) |
|
| Term Loan |
|
| 1-month Term SOFR + 5.000% |
|
| Floor 0.750% |
|
| 08/02/2027 |
|
|
10.645 |
% |
|
|
1,189,000 |
|
|
|
1,168,288 |
|
| Virgin Media Bristol
LLC(b),(t) |
|
| Tranche N Term Loan |
|
| 1-month Term SOFR + 2.500% |
|
| 01/31/2028 |
|
|
7.937 |
% |
|
|
1,250,000 |
|
|
|
1,229,013 |
|
| Tranche Y Term Loan |
|
| 6-month Term SOFR + 3.250% |
|
| 03/31/2031 |
|
|
8.790 |
% |
|
|
350,000 |
|
|
|
344,806 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
7,727,197 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Chemicals 0.0% |
|
| Chemours Co.
(The)(b),(t) |
|
| Tranche B3 Term Loan |
|
| 1-month Term SOFR + 3.500% |
|
| 08/18/2028 |
|
|
8.848 |
% |
|
|
953,325 |
|
|
|
940,818 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
71 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Senior Loans (continued) |
|
|
|
|
|
| Borrower |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Consumer Cyclical Services 0.0% |
|
| 8th Avenue Food & Provisions, Inc.(b),(t) |
|
| 1st Lien Term Loan |
|
| 1-month Term SOFR + 3.750% |
|
| 10/01/2025 |
|
|
9.213 |
% |
|
|
64,121 |
|
|
|
60,365 |
|
| Amentum Government Services Holdings
LLC(b),(t) |
|
| Tranche 1 1st Lien Term Loan |
|
| 1-month Term SOFR + 4.000% |
|
| 01/29/2027 |
|
|
9.463 |
% |
|
|
308,101 |
|
|
|
307,100 |
|
| Arches Buyer,
Inc.(b),(t) |
|
| Term Loan |
|
| 1-month Term SOFR + 3.250% |
|
| Floor 0.500% |
|
| 12/06/2027 |
|
|
8.698 |
% |
|
|
255,462 |
|
|
|
250,991 |
|
| Pre-Paid Legal Services,
Inc.(b),(t) |
|
| 1st Lien Term Loan |
|
| 1-month Term SOFR + 3.500% |
|
| Floor 0.500% |
|
| 12/15/2028 |
|
|
8.963 |
% |
|
|
260,769 |
|
|
|
258,021 |
|
| Safe Fleet Holdings
LLC(b),(t) |
|
| Term Loan |
|
| 1-month Term SOFR + 3.750% |
|
| Floor 0.500% |
|
| 02/23/2029 |
|
|
9.191 |
% |
|
|
168,091 |
|
|
|
168,301 |
|
| Spin Holdco, Inc.(b),(t) |
|
| Term Loan |
|
| 3-month Term SOFR + 4.000% |
|
| Floor 0.750% |
|
| 03/04/2028 |
|
|
9.664 |
% |
|
|
723,705 |
|
|
|
626,135 |
|
| TruGreen LP(b),(t) |
|
| 1st Lien Term Loan |
|
| 1-month Term SOFR + 4.000% |
|
| Floor 0.750% |
|
| 11/02/2027 |
|
|
9.448 |
% |
|
|
285,317 |
|
|
|
267,282 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
1,938,195 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Products 0.0% |
|
| Osmosis Buyer
Ltd.(b),(t) |
|
| Tranche B Term Loan |
|
| 1-month Term SOFR + 3.750% |
|
| Floor 0.500% |
|
| 07/31/2028 |
|
|
9.071 |
% |
|
|
340,249 |
|
|
|
333,699 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Diversified Manufacturing 0.0% |
|
| Filtration Group
Corp.(b),(t) |
|
| Term Loan |
|
| 1-month Term SOFR + 4.250% |
|
| Floor 0.500% |
|
| 10/21/2028 |
|
|
9.713 |
% |
|
|
187,264 |
|
|
|
187,459 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Senior Loans (continued) |
|
|
|
|
|
| Borrower |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Environmental 0.0% |
|
| Patriot Container
Corp./Wastequip(b),(t) |
|
| 1st Lien Term Loan |
|
| 1-month Term SOFR + 3.750% |
|
| Floor 1.000% |
|
| 03/20/2025 |
|
|
9.198 |
% |
|
|
126,406 |
|
|
|
119,589 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Finance Companies 0.0% |
|
| Avolon Borrower 1
LLC(b),(t) |
|
| Tranche B5 Term Loan |
|
| 1-month Term SOFR + 2.250% |
|
| Floor 0.500% |
|
| 12/01/2027 |
|
|
7.681 |
% |
|
|
1,954,774 |
|
|
|
1,955,223 |
|
| Tranche B6 Term Loan |
|
| 1-month Term SOFR + 2.500% |
|
| Floor 0.500% |
|
| 06/22/2028 |
|
|
7.831 |
% |
|
|
175,372 |
|
|
|
175,573 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
2,130,796 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Food and Beverage 0.0% |
|
| City Brewing Co.
LLC(b),(r),(t) |
|
| 1st Lien Term Loan |
|
| 3-month Term SOFR + 3.500% |
|
| Floor 0.750% |
|
| 04/05/2028 |
|
|
9.164 |
% |
|
|
489,287 |
|
|
|
393,387 |
|
| H-Food Holdings, LLC/Hearthside Food Solutions LLC(b),(t) |
|
| Term Loan |
|
| 3-month Term SOFR + 3.688% |
|
| 05/23/2025 |
|
|
9.337 |
% |
|
|
60,534 |
|
|
|
46,813 |
|
| Naked Juice LLC(b),(t) |
|
| 1st Lien Term Loan |
|
| 3-month Term SOFR + 3.250% |
|
| Floor 0.500% |
|
| 01/24/2029 |
|
|
8.740 |
% |
|
|
1,545,079 |
|
|
|
1,444,896 |
|
| 2nd Lien Term Loan |
|
| 3-month Term SOFR + 6.000% |
|
| Floor 0.500% |
|
| 01/24/2030 |
|
|
11.490 |
% |
|
|
251,405 |
|
|
|
199,711 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
2,084,807 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Gaming 0.0% |
|
| Churchill Downs,
Inc.(b),(t) |
|
| Tranche B Term Loan |
|
| 1-month Term SOFR + 2.000% |
|
| 03/17/2028 |
|
|
7.448 |
% |
|
|
99,490 |
|
|
|
99,199 |
|
| Fertitta Entertainment
LLC(b),(t) |
|
| Tranche B Term Loan |
|
| 1-month Term SOFR + 4.000% |
|
| Floor 0.500% |
|
| 01/27/2029 |
|
|
9.348 |
% |
|
|
539,559 |
|
|
|
535,313 |
|
|
|
|
| 72 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Senior Loans (continued) |
|
|
|
|
|
| Borrower |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Light and Wonder International,
Inc.(b),(t) |
|
| Tranche B Term Loan |
|
| 1-month Term SOFR + 3.000% |
|
| Floor 0.500% |
|
| 04/14/2029 |
|
|
8.421 |
% |
|
|
453,055 |
|
|
|
453,137 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
1,087,649 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care 0.1% |
|
| Avantor Funding,
Inc.(b),(t) |
|
| Tranche B5 Term Loan |
|
| 1-month Term SOFR + 2.250% |
|
| Floor 0.500% |
|
| 11/08/2027 |
|
|
7.698 |
% |
|
|
416,070 |
|
|
|
415,916 |
|
| Bausch & Lomb
Corp.(b),(t) |
|
| Term Loan |
|
| 3-month Term SOFR + 3.250% |
|
| Floor 0.500% |
|
| 05/10/2027 |
|
|
8.755 |
% |
|
|
217,367 |
|
|
|
210,466 |
|
| Bausch & Lomb Corp.
(b),(t) |
|
| Term Loan |
|
| 1-month Term SOFR + 4.000% |
|
| Floor 0.500% |
|
| 09/29/2028 |
|
|
9.348 |
% |
|
|
444,670 |
|
|
|
434,664 |
|
| Gainwell Acquisition
Corp.(b),(t) |
|
| Tranche B 1st Lien Term Loan |
|
| 3-month Term SOFR + 4.000% |
|
| Floor 0.750% |
|
| 10/01/2027 |
|
|
9.490 |
% |
|
|
736,743 |
|
|
|
709,115 |
|
| ICON PLC(b),(t) |
|
| Term Loan |
|
| 3-month Term SOFR + 2.250% |
|
| Floor 0.500% |
|
| 07/03/2028 |
|
|
7.902 |
% |
|
|
487,670 |
|
|
|
488,382 |
|
| 3-month Term SOFR + 2.250% |
|
| Cap 0.500% |
|
| 07/03/2028 |
|
|
7.902 |
% |
|
|
121,503 |
|
|
|
121,681 |
|
| Medline Borrower
LP(b),(t) |
|
| Term Loan |
|
| 1-month Term SOFR + 3.000% |
|
| Floor 0.500% |
|
| 10/23/2028 |
|
|
8.463 |
% |
|
|
492,500 |
|
|
|
492,436 |
|
| Star Parent, Inc.(b),(t) |
|
| Term Loan |
|
| 3-month Term SOFR + 4.000% |
|
| 09/27/2030 |
|
|
9.386 |
% |
|
|
312,893 |
|
|
|
305,549 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
3,178,209 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Leisure 0.0% |
|
| William Morris Endeavor Entertainment LLC/IMG Worldwide Holdings LLC(b),(t) |
|
| Tranche B1 1st Lien Term Loan |
|
| 1-month Term SOFR + 2.750% |
|
| 05/18/2025 |
|
|
8.213 |
% |
|
|
536,285 |
|
|
|
535,539 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Senior Loans (continued) |
|
|
|
|
|
| Borrower |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Media and Entertainment 0.0% |
|
| Diamond Sports Group
LLC(b),(t) |
|
| 1st Lien Term Loan |
|
| 3-month Term SOFR + 8.000% |
|
| Floor 1.000% |
|
| 05/25/2026 |
|
|
12.775 |
% |
|
|
331,326 |
|
|
|
239,029 |
|
| Diamond Sports Group
LLC(m),(t) |
|
| 2nd Lien Term Loan |
|
| 08/24/2026 |
|
|
10.680 |
% |
|
|
4,770,042 |
|
|
|
101,363 |
|
| MH Sub I LLC/Micro Holding
Corp.(b),(t) |
|
| 1st Lien Term Loan |
|
| 1-month Term SOFR + 4.250% |
|
| Floor 0.500% |
|
| 05/03/2028 |
|
|
9.598 |
% |
|
|
275,960 |
|
|
|
266,953 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
607,345 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Institutions 0.0% |
|
| Trans Union LLC(b),(t) |
|
| Tranche B6 Term Loan |
|
| 1-month Term SOFR + 2.250% |
|
| Floor 0.500% |
|
| 12/01/2028 |
|
|
7.713 |
% |
|
|
696,578 |
|
|
|
696,341 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Industry 0.0% |
|
| Adtalem Global Education,
Inc.(b),(t) |
|
| Tranche B Term Loan |
|
| 1-month Term SOFR + 4.000% |
|
| Floor 0.750% |
|
| 08/12/2028 |
|
|
9.463 |
% |
|
|
432,404 |
|
|
|
431,954 |
|
| Artera Services
LLC(b),(t) |
|
| 1st Lien Term Loan |
|
| 3-month Term SOFR + 3.250% |
|
| Floor 1.000% |
|
| 03/06/2025 |
|
|
8.740 |
% |
|
|
445,568 |
|
|
|
405,217 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
837,171 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Packaging 0.0% |
|
| Berry Global, Inc.
(b),(t) |
|
| Tranche AA Term Loan |
|
| 1-month Term SOFR + 1.750% |
|
| 07/01/2029 |
|
|
7.186 |
% |
|
|
2,665,077 |
|
|
|
2,655,350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Paper 0.0% |
|
| Mativ Holdings,
Inc.(b),(t) |
|
| Delayed Draw Term Loan |
|
| 1-month Term SOFR + 2.500% |
|
| 05/06/2027 |
|
|
7.948 |
% |
|
|
371,809 |
|
|
|
360,655 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Pharmaceuticals 0.1% |
|
| Elanco Animal Health,
Inc.(b),(t) |
|
| Term Loan |
|
| 1-month Term SOFR + 1.750% |
|
| 08/01/2027 |
|
|
7.170 |
% |
|
|
1,846,264 |
|
|
|
1,815,265 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
73 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Senior Loans (continued) |
|
|
|
|
|
| Borrower |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Grifols Worldwide Operations
Ltd.(b),(t) |
|
| Tranche B Term Loan |
|
| 1-month Term SOFR + 2.000% |
|
| 11/15/2027 |
|
|
7.538 |
% |
|
|
1,353,536 |
|
|
|
1,336,238 |
|
| Jazz Pharmaceuticals
PLC(b),(t) |
|
| Term Loan |
|
| 1-month Term SOFR + 3.500% |
|
| Floor 0.500% |
|
| 05/05/2028 |
|
|
8.963 |
% |
|
|
1,197,184 |
|
|
|
1,198,848 |
|
| Organon &
Co.(b),(t) |
|
| Term Loan |
|
| 1-month Term SOFR + 3.000% |
|
| Floor 0.500% |
|
| 06/02/2028 |
|
|
8.436 |
% |
|
|
3,008,898 |
|
|
|
3,001,376 |
|
| Sunshine Luxembourg VII
SARL(b),(t) |
|
| Tranche B3 Term Loan |
|
| 3-month Term SOFR + 3.750% |
|
| Floor 0.750% |
|
| 10/01/2026 |
|
|
8.990 |
% |
|
|
500,000 |
|
|
|
501,460 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
7,853,187 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Property & Casualty 0.0% |
|
| Acrisure LLC(b),(t) |
|
| 1st Lien Term Loan |
|
| 3-month Term SOFR + 3.500% |
|
| 02/15/2027 |
|
|
9.150 |
% |
|
|
900,949 |
|
|
|
892,129 |
|
| AmWINS Group,
Inc.(b),(t) |
|
| Term Loan |
|
| 1-month Term SOFR + 2.250% |
|
| Floor 0.750% |
|
| 02/19/2028 |
|
|
7.713 |
% |
|
|
1,630,426 |
|
|
|
1,627,605 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
2,519,734 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Railroads 0.0% |
|
| Genesee & Wyoming,
Inc.(b),(t) |
|
| Term Loan |
|
| 3-month Term SOFR + 2.000% |
|
| 12/30/2026 |
|
|
7.490 |
% |
|
|
90,565 |
|
|
|
90,588 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Restaurants 0.0% |
|
| 1011778 BC ULC(b),(t) |
|
| Tranche B5 Term Loan |
|
| 1-month Term SOFR + 2.250% |
|
| 09/23/2030 |
|
|
7.598 |
% |
|
|
404,488 |
|
|
|
402,656 |
|
| KFC Holding Co./Yum!
Brands(b),(t) |
|
| Tranche B Term Loan |
|
| 1-month Term SOFR + 1.750% |
|
| 03/15/2028 |
|
|
7.196 |
% |
|
|
364,449 |
|
|
|
363,629 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
766,285 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Senior Loans (continued) |
|
|
|
|
|
| Borrower |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Retailers 0.0% |
|
| Great Outdoors Group
LLC(b),(t) |
|
| Tranche B2 Term Loan |
|
| 3-month Term SOFR + 3.750% |
|
| Floor 0.750% |
|
| 03/06/2028 |
|
|
9.402 |
% |
|
|
1,567,005 |
|
|
|
1,552,181 |
|
| Michaels Companies, Inc.
(The)(b),(t) |
|
| Tranche B Term Loan |
|
| 3-month Term SOFR + 4.250% |
|
| Floor 0.750% |
|
| 04/15/2028 |
|
|
9.902 |
% |
|
|
1,955,000 |
|
|
|
1,483,356 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
3,035,537 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Technology 0.1% |
|
| athenahealth Group,
Inc.(b),(t) |
|
| Term Loan |
|
| 1-month Term SOFR + 3.250% |
|
| Floor 0.500% |
|
| 02/15/2029 |
|
|
8.598 |
% |
|
|
1,397,396 |
|
|
|
1,370,231 |
|
| Central Parent
LLC(b),(t) |
|
| 1st Lien Term Loan |
|
| 3-month Term SOFR + 4.000% |
|
| 07/06/2029 |
|
|
9.406 |
% |
|
|
328,373 |
|
|
|
328,432 |
|
| Coherent Corp.(b),(t) |
|
| Tranche B Term Loan |
|
| 1-month Term SOFR + 2.750% |
|
| Floor 0.500% |
|
| 07/02/2029 |
|
|
8.213 |
% |
|
|
131,997 |
|
|
|
131,832 |
|
| CommScope, Inc.(b),(t) |
|
| Term Loan |
|
| 1-month Term SOFR + 3.250% |
|
| 04/06/2026 |
|
|
8.713 |
% |
|
|
1,038,218 |
|
|
|
905,658 |
|
| DTI Holdco, Inc.(b),(t) |
|
| 1st Lien Term Loan |
|
| 3-month Term SOFR + 4.750% |
|
| Floor 0.750% |
|
| 04/26/2029 |
|
|
10.133 |
% |
|
|
87,081 |
|
|
|
84,880 |
|
| EagleView Technology
Corp.(b),(r),(t) |
|
| 1st Lien Term Loan |
|
| 3-month Term SOFR + 3.500% |
|
| 08/14/2025 |
|
|
9.153 |
% |
|
|
644,185 |
|
|
|
614,527 |
|
| Entegris, Inc.(b),(t) |
|
| Tranche B Term Loan |
|
| 3-month Term SOFR + 2.500% |
|
| 07/06/2029 |
|
|
7.890 |
% |
|
|
59,334 |
|
|
|
59,400 |
|
| Gen Digital, Inc.(b),(t) |
|
| Tranche A Term Loan |
|
| 1-month Term SOFR + 1.500% |
|
| 09/10/2027 |
|
|
6.948 |
% |
|
|
597,757 |
|
|
|
595,366 |
|
|
|
|
| 74 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| Senior Loans (continued) |
|
|
|
|
|
| Borrower |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Hudson River Trading
LLC(b),(t) |
|
| Term Loan |
|
| 1-month Term SOFR + 3.000% |
|
| 03/20/2028 |
|
|
8.463 |
% |
|
|
1,147,959 |
|
|
|
1,138,500 |
|
| Open Text Corp.(b),(t) |
|
| Term Loan |
|
| 1-month Term SOFR + 1.750% |
|
| 05/30/2025 |
|
|
7.198 |
% |
|
|
343,217 |
|
|
|
343,309 |
|
| 1-month Term SOFR + 2.750% |
|
| 01/31/2030 |
|
|
8.198 |
% |
|
|
358,159 |
|
|
|
358,517 |
|
| Oracle Corp.(b),(t) |
|
| Tranche 1 Term Loan |
|
| 1-month Term SOFR + 1.600% |
|
| 08/16/2027 |
|
|
7.043 |
% |
|
|
1,730,353 |
|
|
|
1,713,049 |
|
| Peraton Corp.(b),(t) |
|
| Tranche B 1st Lien Term Loan |
|
| 1-month Term SOFR + 3.750% |
|
| Floor 0.750% |
|
| 02/01/2028 |
|
|
9.198 |
% |
|
|
832,620 |
|
|
|
826,825 |
|
| Proofpoint, Inc.(b),(t) |
|
| 1st Lien Term Loan |
|
| 1-month Term SOFR + 3.250% |
|
| Floor 0.500% |
|
| 08/31/2028 |
|
|
8.713 |
% |
|
|
158,637 |
|
|
|
157,356 |
|
| RealPage, Inc.(b),(t) |
|
| 1st Lien Term Loan |
|
| 1-month Term SOFR + 3.000% |
|
| Floor 0.500% |
|
| 04/24/2028 |
|
|
8.463 |
% |
|
|
133,300 |
|
|
|
129,885 |
|
| Renaissance Holding
Corp.(b),(t) |
|
| 1st Lien Term Loan |
|
| 1-month Term SOFR + 4.750% |
|
| Floor 0.500% |
|
| 04/05/2030 |
|
|
10.098 |
% |
|
|
352,024 |
|
|
|
351,183 |
|
| Xerox Corp.(b),(r),(t) |
|
| Tranche B Term Loan |
|
| 1-month Term SOFR + 4.000% |
|
| Floor 0.500% |
|
| 11/17/2029 |
|
|
9.348 |
% |
|
|
75,608 |
|
|
|
74,191 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
9,183,141 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Wireless 0.1% |
|
| Digicel International Finance
Ltd.(b),(t) |
|
| Tranche B 1st Lien Term Loan |
|
| 3-month USD LIBOR + 3.250% |
|
| 05/28/2024 |
|
|
5.010 |
% |
|
|
2,704,005 |
|
|
|
2,514,725 |
|
| SBA Senior Finance II
LLC(b),(t) |
|
| Term Loan |
|
| 1-month Term SOFR + 1.750% |
|
| 04/11/2025 |
|
|
7.200 |
% |
|
|
705,888 |
|
|
|
706,361 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
3,221,086 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Senior Loans (continued) |
|
|
|
|
|
| Borrower |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Wirelines 0.0% |
|
| Frontier Communications Holdings
LLC(b),(t) |
|
| Tranche B Term Loan |
|
| 1-month Term SOFR + 3.750% |
|
| Floor 0.750% |
|
| 10/08/2027 |
|
|
9.213 |
% |
|
|
208,265 |
|
|
|
203,775 |
|
| Level 3 Financing,
Inc.(b),(t) |
|
| Tranche B Term Loan |
|
| 1-month Term SOFR + 1.750% |
|
| 03/01/2027 |
|
|
7.213 |
% |
|
|
420,000 |
|
|
|
390,776 |
|
| Lumen Technologies,
Inc.(b),(r),(t) |
|
| Tranche B Term Loan |
|
| 1-month Term SOFR + 2.250% |
|
| 03/15/2027 |
|
|
7.713 |
% |
|
|
150,000 |
|
|
|
89,679 |
|
| Zayo Group Holdings,
Inc.(b),(t) |
|
| Term Loan |
|
| 1-month Term SOFR + 3.000% |
|
| 03/09/2027 |
|
|
8.463 |
% |
|
|
1,613,487 |
|
|
|
1,375,336 |
|
| 1-month Term SOFR + 4.325% |
|
| Floor 0.500% |
|
| 03/09/2027 |
|
|
9.673 |
% |
|
|
302,723 |
|
|
|
257,566 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
2,317,132 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Senior Loans
(Cost $59,044,200) |
|
|
|
56,656,311 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Treasury Bills 0.5% |
|
|
|
|
|
| Issuer |
|
Yield |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| United States 0.5% |
|
| U.S. Treasury Bills(u) |
|
| 12/14/2023 |
|
|
5.200 |
% |
|
|
3,000,000 |
|
|
|
2,994,027 |
|
| 12/21/2023 |
|
|
5.220 |
% |
|
|
43,000,000 |
|
|
|
42,871,246 |
|
| U.S. Treasury Bills |
|
| 01/18/2024 |
|
|
5.180 |
% |
|
|
10,000,000 |
|
|
|
9,930,991 |
|
| 02/15/2024 |
|
|
5.310 |
% |
|
|
6,000,000 |
|
|
|
5,933,573 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
61,729,837 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Treasury Bills
(Cost $61,729,723) |
|
|
|
61,729,837 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Government & Agency Obligations 0.1% |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Federal National Mortgage
Association(g) |
|
| STRIPS |
|
| 05/15/2030 |
|
|
0.000 |
% |
|
|
295,000 |
|
|
|
217,789 |
|
| Residual Funding
Corp.(g) |
|
| STRIPS |
|
| 01/15/2030 |
|
|
0.000 |
% |
|
|
9,066,000 |
|
|
|
6,766,973 |
|
| 04/15/2030 |
|
|
0.000 |
% |
|
|
425,000 |
|
|
|
312,925 |
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
75 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Government & Agency Obligations (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| Resolution Funding
Corp.(g) |
|
| STRIPS |
|
| 04/15/2030 |
|
|
0.000 |
% |
|
|
2,965,000 |
|
|
|
2,192,941 |
|
| Tennessee Valley Authority Principal STRIP(g) |
|
| 09/15/2024 |
|
|
0.000 |
% |
|
|
445,000 |
|
|
|
425,074 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total U.S. Government & Agency Obligations
(Cost $10,784,517) |
|
|
|
9,915,702 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Treasury Obligations 18.0% |
|
| U.S. Treasury |
|
| 09/30/2024 |
|
|
2.125 |
% |
|
|
20,000,000 |
|
|
|
19,492,969 |
|
| 04/30/2025 |
|
|
0.375 |
% |
|
|
3,400,000 |
|
|
|
3,187,766 |
|
| 08/31/2025 |
|
|
5.000 |
% |
|
|
5,695,000 |
|
|
|
5,712,574 |
|
| 10/31/2025 |
|
|
5.000 |
% |
|
|
85,581,000 |
|
|
|
85,982,161 |
|
| 11/30/2025 |
|
|
4.875 |
% |
|
|
91,860,000 |
|
|
|
92,165,004 |
|
| 12/15/2025 |
|
|
4.000 |
% |
|
|
17,195,000 |
|
|
|
16,965,286 |
|
| 11/15/2026 |
|
|
4.625 |
% |
|
|
112,288,000 |
|
|
|
112,788,033 |
|
| 04/30/2028 |
|
|
3.500 |
% |
|
|
102,745,000 |
|
|
|
99,301,438 |
|
| 05/31/2028 |
|
|
3.625 |
% |
|
|
22,975,000 |
|
|
|
22,327,033 |
|
| 07/31/2028 |
|
|
4.125 |
% |
|
|
25,670,000 |
|
|
|
25,461,431 |
|
| 08/31/2028 |
|
|
4.375 |
% |
|
|
23,200,000 |
|
|
|
23,267,063 |
|
| 09/30/2028 |
|
|
4.625 |
% |
|
|
41,677,000 |
|
|
|
42,237,035 |
|
| 10/31/2028 |
|
|
4.875 |
% |
|
|
236,200,800 |
|
|
|
242,105,820 |
|
| 11/30/2028 |
|
|
4.375 |
% |
|
|
171,248,000 |
|
|
|
171,957,075 |
|
| 12/31/2029 |
|
|
3.875 |
% |
|
|
100,000,000 |
|
|
|
97,390,625 |
|
| 10/31/2030 |
|
|
4.875 |
% |
|
|
13,661,500 |
|
|
|
14,082,018 |
|
| 11/30/2030 |
|
|
4.375 |
% |
|
|
42,265,000 |
|
|
|
42,317,831 |
|
| 05/15/2033 |
|
|
3.375 |
% |
|
|
21,080,000 |
|
|
|
19,495,706 |
|
| 08/15/2033 |
|
|
3.875 |
% |
|
|
25,500,000 |
|
|
|
24,543,750 |
|
| 11/15/2033 |
|
|
4.500 |
% |
|
|
114,788,700 |
|
|
|
116,277,366 |
|
| 11/15/2040 |
|
|
1.375 |
% |
|
|
28,825,000 |
|
|
|
17,655,312 |
|
| 08/15/2041 |
|
|
1.750 |
% |
|
|
80,675,000 |
|
|
|
51,909,320 |
|
| 02/15/2042 |
|
|
2.375 |
% |
|
|
30,190,000 |
|
|
|
21,505,658 |
|
| 05/15/2042 |
|
|
3.250 |
% |
|
|
52,060,000 |
|
|
|
42,632,259 |
|
| 11/15/2042 |
|
|
2.750 |
% |
|
|
32,165,000 |
|
|
|
24,224,266 |
|
| 02/15/2043 |
|
|
3.875 |
% |
|
|
3,945,000 |
|
|
|
3,519,680 |
|
| 05/15/2043 |
|
|
3.875 |
% |
|
|
23,430,000 |
|
|
|
20,885,648 |
|
| 08/15/2043 |
|
|
4.375 |
% |
|
|
155,867,000 |
|
|
|
149,096,527 |
|
| 11/15/2043 |
|
|
4.750 |
% |
|
|
109,066,900 |
|
|
|
109,936,027 |
|
| 08/15/2049 |
|
|
2.250 |
% |
|
|
7,360,000 |
|
|
|
4,733,400 |
|
| 05/15/2050 |
|
|
1.250 |
% |
|
|
20,680,000 |
|
|
|
10,155,819 |
|
| 11/15/2050 |
|
|
1.625 |
% |
|
|
31,720,000 |
|
|
|
17,282,444 |
|
| 11/15/2052 |
|
|
4.000 |
% |
|
|
10,000,000 |
|
|
|
9,148,437 |
|
| 05/15/2053 |
|
|
3.625 |
% |
|
|
68,680,000 |
|
|
|
58,667,744 |
|
| 08/15/2053 |
|
|
4.125 |
% |
|
|
71,705,200 |
|
|
|
67,122,790 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Treasury Obligations (continued) |
|
|
|
|
|
| Issuer |
|
Coupon
Rate |
|
|
Principal
Amount ($) |
|
|
Value ($) |
|
| 11/15/2053 |
|
|
5.000 |
% |
|
|
130,417,000 |
|
|
|
135,633,680 |
|
| U.S. Treasury(u) |
|
| 05/15/2041 |
|
|
2.250 |
% |
|
|
57,200,000 |
|
|
|
40,451,125 |
|
| 11/15/2041 |
|
|
2.000 |
% |
|
|
68,115,000 |
|
|
|
45,647,693 |
|
| 08/15/2043 |
|
|
3.625 |
% |
|
|
4,995,000 |
|
|
|
4,289,456 |
|
| U.S. Treasury(g) |
|
| STRIPS |
|
| 02/15/2039 |
|
|
0.000 |
% |
|
|
2,670,000 |
|
|
|
1,291,925 |
|
| 05/15/2039 |
|
|
0.000 |
% |
|
|
4,595,000 |
|
|
|
2,190,164 |
|
| 02/15/2040 |
|
|
0.000 |
% |
|
|
5,735,000 |
|
|
|
2,621,522 |
|
| 05/15/2040 |
|
|
0.000 |
% |
|
|
980,000 |
|
|
|
441,727 |
|
| 11/15/2040 |
|
|
0.000 |
% |
|
|
3,590,000 |
|
|
|
1,571,046 |
|
| 02/15/2041 |
|
|
0.000 |
% |
|
|
7,960,000 |
|
|
|
3,434,616 |
|
| 05/15/2041 |
|
|
0.000 |
% |
|
|
7,485,000 |
|
|
|
3,189,896 |
|
| 08/15/2041 |
|
|
0.000 |
% |
|
|
4,455,000 |
|
|
|
1,872,840 |
|
| 11/15/2041 |
|
|
0.000 |
% |
|
|
3,500,000 |
|
|
|
1,452,090 |
|
| 05/15/2042 |
|
|
0.000 |
% |
|
|
400,000 |
|
|
|
161,641 |
|
| 08/15/2042 |
|
|
0.000 |
% |
|
|
5,510,000 |
|
|
|
2,206,798 |
|
| 11/15/2043 |
|
|
0.000 |
% |
|
|
6,314,000 |
|
|
|
2,378,109 |
|
| 02/15/2044 |
|
|
0.000 |
% |
|
|
980,000 |
|
|
|
365,203 |
|
| 08/15/2044 |
|
|
0.000 |
% |
|
|
1,255,000 |
|
|
|
457,340 |
|
| 02/15/2045 |
|
|
0.000 |
% |
|
|
8,770,000 |
|
|
|
3,233,595 |
|
| 02/15/2045 |
|
|
0.000 |
% |
|
|
695,000 |
|
|
|
247,621 |
|
| 08/15/2048 |
|
|
0.000 |
% |
|
|
1,913,621 |
|
|
|
588,438 |
|
| 02/15/2049 |
|
|
0.000 |
% |
|
|
2,000,000 |
|
|
|
606,328 |
|
| U.S. Treasury(g),(u) |
|
| STRIPS |
|
| 05/15/2043 |
|
|
0.000 |
% |
|
|
17,045,000 |
|
|
|
6,568,317 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations
(Cost $2,270,340,791) |
|
|
|
2,146,434,485 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Money Market Funds 8.9% |
|
|
|
|
|
| |
|
|
|
|
Shares |
|
|
Value ($) |
|
| Columbia Short-Term Cash
Fund,
5.605%(v),(w) |
|
|
|
1,067,564,354 |
|
|
|
1,067,350,841 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Money Market Funds
(Cost $1,067,305,387) |
|
|
|
1,067,350,841 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments in Securities
(Cost: $13,485,186,415) |
|
|
|
12,719,383,612 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Assets & Liabilities, Net |
|
|
|
(784,473,880 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Assets |
|
|
|
11,934,909,732 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
At November 30, 2023, securities
and/or cash totaling $62,551,782 were pledged as collateral.
|
|
|
| 76 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
Investments in derivatives
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Forward foreign currency exchange contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Currency to
be sold |
|
|
|
|
|
Currency to
be purchased |
|
|
|
|
|
Counterparty |
|
Settlement
date |
|
|
|
|
|
Unrealized
appreciation ($) |
|
|
|
|
|
Unrealized
depreciation ($) |
|
| |
572,379 EUR |
|
|
|
|
|
|
|
621,320 USD |
|
|
|
|
|
|
State Street |
|
|
12/15/2023 |
|
|
|
|
|
|
|
— |
|
|
|
|
|
|
|
(2,046 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Long futures contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Number of
contracts |
|
|
Expiration
date |
|
|
Trading
currency |
|
|
Notional
amount |
|
|
Value/Unrealized
appreciation ($) |
|
|
Value/Unrealized
depreciation ($) |
|
| U.S. Long Bond |
|
|
466 |
|
|
|
03/2024 |
|
|
|
USD |
|
|
|
54,259,875 |
|
|
|
557,796 |
|
|
|
— |
|
| U.S. Long Bond |
|
|
349 |
|
|
|
03/2024 |
|
|
|
USD |
|
|
|
40,636,688 |
|
|
|
32,822 |
|
|
|
— |
|
| U.S. Treasury 10-Year Note |
|
|
1,717 |
|
|
|
03/2024 |
|
|
|
USD |
|
|
|
188,521,234 |
|
|
|
881,624 |
|
|
|
— |
|
| U.S. Treasury 10-Year Note |
|
|
69 |
|
|
|
03/2024 |
|
|
|
USD |
|
|
|
7,575,984 |
|
|
|
69,935 |
|
|
|
— |
|
| U.S. Treasury 2-Year Note |
|
|
4,115 |
|
|
|
03/2024 |
|
|
|
USD |
|
|
|
841,356,760 |
|
|
|
2,304,880 |
|
|
|
— |
|
| U.S. Treasury 2-Year Note |
|
|
2,643 |
|
|
|
03/2024 |
|
|
|
USD |
|
|
|
540,390,259 |
|
|
|
1,699,863 |
|
|
|
— |
|
| U.S. Treasury 2-Year Note |
|
|
649 |
|
|
|
03/2024 |
|
|
|
USD |
|
|
|
132,695,149 |
|
|
|
516,638 |
|
|
|
— |
|
| U.S. Treasury 5-Year Note |
|
|
2,754 |
|
|
|
03/2024 |
|
|
|
USD |
|
|
|
294,269,205 |
|
|
|
1,277,191 |
|
|
|
— |
|
| U.S. Treasury 5-Year Note |
|
|
642 |
|
|
|
03/2024 |
|
|
|
USD |
|
|
|
68,598,703 |
|
|
|
446,560 |
|
|
|
— |
|
| U.S. Treasury 5-Year Note |
|
|
655 |
|
|
|
03/2024 |
|
|
|
USD |
|
|
|
69,987,774 |
|
|
|
— |
|
|
|
(258,837 |
) |
| U.S. Treasury Ultra 10-Year Note |
|
|
474 |
|
|
|
03/2024 |
|
|
|
USD |
|
|
|
53,806,406 |
|
|
|
432,309 |
|
|
|
— |
|
| U.S. Treasury Ultra 10-Year Note |
|
|
470 |
|
|
|
03/2024 |
|
|
|
USD |
|
|
|
53,352,344 |
|
|
|
384,997 |
|
|
|
— |
|
| U.S. Treasury Ultra Bond |
|
|
1,406 |
|
|
|
03/2024 |
|
|
|
USD |
|
|
|
172,938,000 |
|
|
|
1,905,134 |
|
|
|
— |
|
| U.S. Treasury Ultra Bond |
|
|
844 |
|
|
|
03/2024 |
|
|
|
USD |
|
|
|
103,812,000 |
|
|
|
1,869,670 |
|
|
|
— |
|
| U.S. Treasury Ultra Bond |
|
|
427 |
|
|
|
03/2024 |
|
|
|
USD |
|
|
|
52,521,000 |
|
|
|
626,005 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,005,424 |
|
|
|
(258,837 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Short futures contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Description |
|
Number of
contracts |
|
|
Expiration
date |
|
|
Trading
currency |
|
|
Notional
amount |
|
|
Value/Unrealized
appreciation ($) |
|
|
Value/Unrealized
depreciation ($) |
|
| U.S. Treasury Ultra 10-Year Note |
|
|
(323 |
) |
|
|
03/2024 |
|
|
|
USD |
|
|
|
(36,665,547 |
) |
|
|
— |
|
|
|
(406,941 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Cleared interest rate swap contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Fund receives |
|
Fund pays |
|
Payment frequency |
|
Counterparty |
|
Maturity
date |
|
|
Notional
currency |
|
|
Notional
amount |
|
|
Value
($) |
|
|
Upfront
payments ($) |
|
|
Upfront
receipts ($) |
|
|
Unrealized
appreciation
($) |
|
|
Unrealized
depreciation
($) |
|
| SOFR |
|
Fixed rate of 3.520% |
|
Receives Annually, Pays Annually |
|
Citi |
|
|
12/20/2053 |
|
|
|
USD |
|
|
|
15,356,000 |
|
|
|
791,001 |
|
|
|
— |
|
|
|
— |
|
|
|
791,001 |
|
|
|
— |
|
| Fixed rate of 5.384% |
|
SOFR |
|
Receives Annually, Pays Annually |
|
JPMorgan |
|
|
08/31/2024 |
|
|
|
USD |
|
|
|
427,680,000 |
|
|
|
246,092 |
|
|
|
— |
|
|
|
— |
|
|
|
246,092 |
|
|
|
— |
|
| Fixed rate of 4.946% |
|
SOFR |
|
Receives Annually, Pays Annually |
|
JPMorgan |
|
|
03/08/2025 |
|
|
|
USD |
|
|
|
33,920,000 |
|
|
|
(71,743 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(71,743 |
) |
| Fixed rate of 5.088% |
|
SOFR |
|
Receives Annually, Pays Annually |
|
JPMorgan |
|
|
03/10/2025 |
|
|
|
USD |
|
|
|
107,139,000 |
|
|
|
68,948 |
|
|
|
— |
|
|
|
— |
|
|
|
68,948 |
|
|
|
— |
|
| SOFR |
|
Fixed rate of 4.805% |
|
Receives Annually, Pays Annually |
|
JPMorgan |
|
|
08/31/2025 |
|
|
|
USD |
|
|
|
167,010,000 |
|
|
|
(94,386 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(94,386 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
939,912 |
|
|
|
— |
|
|
|
— |
|
|
|
1,106,041 |
|
|
|
(166,129 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Cleared credit default swap contracts - sell protection |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference entity |
|
Counterparty |
|
Maturity
date |
|
|
Receive
fixed rate
(%) |
|
|
Payment
frequency |
|
|
Implied
credit spread
(%)* |
|
|
Notional
currency |
|
|
Notional
amount |
|
|
Value
($) |
|
|
Upfront
payments ($) |
|
|
Upfront
receipts ($) |
|
|
Unrealized
appreciation
($) |
|
|
Unrealized
depreciation
($) |
|
| Markit CDX North America High Yield Index, Series 41 |
|
JPMorgan |
|
|
12/20/2028 |
|
|
|
5.000 |
|
|
|
Quarterly |
|
|
|
4.039 |
|
|
|
USD |
|
|
|
117,660,000 |
|
|
|
3,114,221 |
|
|
|
— |
|
|
|
— |
|
|
|
3,114,221 |
|
|
|
— |
|
| Markit CDX North America High Yield Index, Series 41 |
|
JPMorgan |
|
|
12/20/2028 |
|
|
|
5.000 |
|
|
|
Quarterly |
|
|
|
4.039 |
|
|
|
USD |
|
|
|
11,129,100 |
|
|
|
463,281 |
|
|
|
— |
|
|
|
— |
|
|
|
463,281 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,577,502 |
|
|
|
— |
|
|
|
— |
|
|
|
3,577,502 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
77 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
| * |
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit
default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit
spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s
credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
|
|
|
|
|
|
|
| Reference index and values for swap contracts as of period end |
|
|
|
|
| Reference index |
|
|
|
Reference rate |
|
| SOFR |
|
Secured Overnight Financing Rate |
|
|
5.330 |
% |
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 November 30, 2023, the total value of these securities amounted to
$3,095,255,689, which represents 25.93% of total net assets. |
| (b) |
Variable rate security. The interest rate shown was the current rate as of November 30, 2023.
|
| (c) |
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 November 30, 2023. |
| (d) |
Represents interest only securities which have the right to receive the monthly interest payments on an
underlying pool of mortgage loans. |
| (e) |
Represents a security purchased on a when-issued basis. |
| (f) |
Represents principal only securities which have the right to receive the principal portion only on an
underlying pool of mortgage loans. |
| (h) |
Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At
November 30, 2023, the total value of these securities amounted to $8,694,009, which represents 0.07% of total net assets. |
| (i) |
Non-income producing investment. |
| (j) |
Valuation based on significant unobservable inputs. |
| (k) |
Perpetual security with no specified maturity date. |
| (l) |
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 November 30, 2023. |
| (m) |
Represents a security in default. |
| (n) |
Payment-in-kind security. Interest can be paid by issuing additional par of the security or in cash.
|
| (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 November 30, 2023, the total value of these securities amounted to $2,656,649, which represents 0.02% of total net assets. |
| (r) |
Represents a security purchased on a forward commitment basis. |
| (s) |
Represents a variable rate security where the coupon adjusts periodically through an auction process.
|
| (t) |
The stated interest rate represents the weighted average interest rate at November 30, 2023 of contracts
within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. Base lending rates may be subject to a floor
or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or
permit the borrowers to repay at their election. The degree to which borrowers repay cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually
obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
| (u) |
This security or a portion of this security has been pledged as collateral in connection with derivative
contracts. |
| (v) |
The rate shown is the seven-day current annualized yield at November 30, 2023. |
| (w) |
As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund
owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended
November 30, 2023 are as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Affiliated issuers |
|
Beginning
of period($) |
|
|
Purchases($) |
|
|
Sales($) |
|
|
Net change in
unrealized
appreciation
(depreciation)($) |
|
|
End of
period($) |
|
|
Realized gain
(loss)($) |
|
|
Dividends($) |
|
|
End of
period shares |
|
| Columbia Short-Term Cash Fund, 5.605% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,015,009,456 |
|
|
|
1,881,556,461 |
|
|
|
(1,829,198,744 |
) |
|
|
(16,332 |
) |
|
|
1,067,350,841 |
|
|
|
155,262 |
|
|
|
14,163,703 |
|
|
|
1,067,564,354 |
|
|
|
|
| 78 |
|
Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
PORTFOLIO OF INVESTMENTS (continued)
Multi-Manager Total Return Bond Strategies Fund, November 30, 2023 (Unaudited)
Abbreviation Legend
|
|
|
| BAM |
|
Build America Mutual Assurance Co. |
| BIG |
|
Bond Investors Guarantee |
| CMO |
|
Collateralized Mortgage Obligation |
| CMT |
|
Constant Maturity Treasury |
| CVR |
|
Contingent Value Rights |
| EURIBOR |
|
Euro Interbank Offered Rate |
| FHLMC |
|
Federal Home Loan Mortgage Corporation |
| 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
Investments are valued using policies described in the Notes to Financial Statements in the most recent shareholder report.
|
|
|
| Multi-Manager Total Return Bond Strategies Fund | First Quarter Report 2023 |
|
79 |
You may at any time request, free of charge, to receive a paper copy of this report by calling 800.345.6611.
1QT101_08_P01_(01/24)
