Multi-Manager Total Return Bond Strategies Fund
Third Quarter Report
May 31, 2024 (Unaudited)
Not FDIC or NCUA Insured
|
No Financial Institution Guarantee
|
May Lose Value
|
Portfolio of Investments
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
Asset-Backed Securities - Non-Agency 12.1%
|
||||
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
|
7.325%
|
|
2,350,000
|
2,379,241
|
Affirm Asset Securitization Trust(a)
|
||||
Series 2023-A Class A
|
||||
01/18/2028
|
6.610%
|
|
575,000
|
577,387
|
Series 2023-B Class A
|
||||
09/15/2028
|
6.820%
|
|
2,070,000
|
2,096,491
|
Series 2023-X1 Class A
|
||||
11/15/2028
|
7.110%
|
|
706,488
|
709,185
|
Series 2024-A Class A
|
||||
02/15/2029
|
5.610%
|
|
1,235,000
|
1,229,113
|
AGL CLO 11 Ltd.(a),(b)
|
||||
Series 2021-11A Class AJ
|
||||
3-month Term SOFR + 1.612%
Floor 1.350%
04/15/2034
|
6.940%
|
|
12,200,000
|
12,219,239
|
AGL CLO 12 Ltd.(a),(b)
|
||||
Series 2021-12A Class C
|
||||
3-month Term SOFR + 2.112%
Floor 1.850%
07/20/2034
|
7.436%
|
|
1,000,000
|
1,000,427
|
AIG CLO(a),(b)
|
||||
Series 2021-1A Class C
|
||||
3-month Term SOFR + 2.012%
Floor 1.750%
04/22/2034
|
7.336%
|
|
1,750,000
|
1,735,459
|
AIG CLO Ltd.(a),(b)
|
||||
Series 2019-2A Class AR
|
||||
3-month Term SOFR + 1.362%
Floor 1.100%
10/25/2033
|
6.685%
|
|
12,500,000
|
12,518,612
|
Series 2021-2A Class A
|
||||
3-month Term SOFR + 1.432%
Floor 1.170%
07/20/2034
|
6.756%
|
|
6,950,000
|
6,971,302
|
AIMCO CLO Ltd.(a),(b)
|
||||
Series 2020-11A Class AR
|
||||
3-month Term SOFR + 1.392%
Floor 1.130%
10/17/2034
|
6.709%
|
|
4,000,000
|
4,011,396
|
Allegro CLO VII Ltd.(a),(b)
|
||||
Series 2018-1A Class A
|
||||
3-month Term SOFR + 1.362%
Floor 1.100%
06/13/2031
|
6.690%
|
|
5,870,514
|
5,870,508
|
Asset-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
American Credit Acceptance Receivables Trust(a)
|
||||
Subordinated Series 2022-4 Class C
|
||||
02/15/2029
|
7.860%
|
|
499,393
|
503,123
|
Subordinated Series 2023-3 Class C
|
||||
10/12/2029
|
6.440%
|
|
2,750,000
|
2,738,284
|
Subordinated Series 2023-4 Class B
|
||||
02/14/2028
|
6.630%
|
|
1,695,000
|
1,709,041
|
Americredit Automobile Receivables Trust
|
||||
Subordinated Series 2022-1 Class B
|
||||
04/19/2027
|
2.770%
|
|
2,175,000
|
2,101,154
|
Subordinated Series 2023-1 Class B
|
||||
03/20/2028
|
5.570%
|
|
3,130,000
|
3,139,836
|
AmeriCredit Automobile Receivables Trust
|
||||
Series 2020-1 Class D
|
||||
12/18/2025
|
1.800%
|
|
901,573
|
897,048
|
Series 2020-2 Class D
|
||||
03/18/2026
|
2.130%
|
|
500,000
|
489,807
|
Series 2021-2 Class B
|
||||
01/19/2027
|
0.690%
|
|
2,286,466
|
2,247,545
|
Series 2022-2 Class A3
|
||||
04/18/2028
|
4.380%
|
|
2,056,936
|
2,041,033
|
Series 2023-2 Class B
|
||||
07/18/2029
|
5.840%
|
|
4,505,000
|
4,518,012
|
Series 2024-1 Class A3
|
||||
01/18/2029
|
5.430%
|
|
3,165,000
|
3,163,052
|
Subordinated Series 2021-3 Class C
|
||||
08/18/2027
|
1.410%
|
|
3,080,000
|
2,865,214
|
AMMC CLO Ltd.(a),(b)
|
||||
Series 2023-26A Class A1
|
||||
3-month Term SOFR + 1.950%
Floor 1.950%
04/15/2036
|
7.279%
|
|
2,200,000
|
2,211,323
|
Series 2024-30A Class A1
|
||||
3-month Term SOFR + 1.680%
Floor 1.680%
01/15/2037
|
6.971%
|
|
5,250,000
|
5,289,554
|
AMMC CLO Ltd.(a),(b),(c)
|
||||
Series 2024-28 Class A1A
|
||||
3-month Term SOFR + 1.550%
Cap 1.550%
07/20/2037
|
6.882%
|
|
4,670,000
|
4,673,278
|
Anchorage Capital CLO Ltd.(a),(b)
|
||||
Series 2016-8A Class AR2
|
||||
3-month Term SOFR + 1.462%
Floor 1.200%
10/27/2034
|
6.787%
|
|
11,500,000
|
11,523,334
|
2
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Asset-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Series 2021-21A Class B
|
||||
3-month Term SOFR + 2.012%
Floor 1.750%
10/20/2034
|
7.336%
|
|
10,000,000
|
10,004,300
|
Apidos CLO XXIV(a),(b)
|
||||
Series 2016-24A
|
||||
3-month Term SOFR + 2.312%
Floor 2.050%
10/20/2030
|
7.636%
|
|
2,900,000
|
2,903,074
|
Apidos CLO XXV(a),(b)
|
||||
Series 2016-25A Class A1R2
|
||||
3-month Term SOFR + 1.150%
Floor 1.150%
10/20/2031
|
6.475%
|
|
5,940,651
|
5,961,628
|
Applebee’s Funding LLC/IHOP Funding LLC(a)
|
||||
Series 2019-1A Class AII
|
||||
06/07/2049
|
4.723%
|
|
495,000
|
475,367
|
Series 2023-1A Class A2
|
||||
03/05/2053
|
7.824%
|
|
2,750,000
|
2,840,353
|
Aqua Finance Trust(a)
|
||||
Series 2020-AA Class A
|
||||
07/17/2046
|
1.900%
|
|
321,818
|
290,258
|
Series 2021-A Class A
|
||||
07/17/2046
|
1.540%
|
|
1,410,611
|
1,263,023
|
ARES LII CLO Ltd.(a),(b)
|
||||
Series 2019-52A Class A1R
|
||||
3-month Term SOFR + 1.312%
Floor 1.050%
04/22/2031
|
6.636%
|
|
4,000,000
|
4,006,760
|
ArrowMark Colorado Holdings(a),(b)
|
||||
Series 2017-6A Class A1
|
||||
3-month Term SOFR + 1.542%
07/15/2029
|
6.870%
|
|
91,188
|
91,243
|
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
|
7.525%
|
|
7,500,000
|
7,600,778
|
Atlas Senior Loan Fund XXIII Ltd.(a),(b),(c)
|
||||
3-month Term SOFR + 1.530%
Floor 1.530%
07/20/2037
|
0.000%
|
|
25,000,000
|
25,000,000
|
Auxilior Term Funding LLC(a)
|
||||
Series 2023-1A Class A2
|
||||
12/15/2028
|
6.180%
|
|
1,205,000
|
1,207,814
|
Avis Budget Rental Car Funding AESOP LLC(a)
|
||||
Series 2020-2A Class A
|
||||
02/20/2027
|
2.020%
|
|
1,600,000
|
1,511,688
|
Series 2023-3A Class A
|
||||
02/22/2028
|
5.440%
|
|
8,020,000
|
7,998,033
|
Asset-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Series 2024-1A Class A
|
||||
06/20/2030
|
5.360%
|
|
6,210,000
|
6,189,864
|
Subordinated Series 2024-1A Class B
|
||||
06/20/2030
|
5.850%
|
|
500,000
|
496,983
|
Bain Capital CLO Ltd.(a),(b)
|
||||
Series 2024-1A Class A1
|
||||
3-month Term SOFR + 1.550%
Floor 1.550%
04/16/2037
|
6.875%
|
|
3,750,000
|
3,787,481
|
Bain Capital Credit CLO Ltd.(a),(b)
|
||||
Series 2019-3A Class AR
|
||||
3-month Term SOFR + 1.422%
Floor 1.160%
10/21/2034
|
6.746%
|
|
17,250,000
|
17,288,002
|
Balboa Bay Loan Funding Ltd.(a),(b)
|
||||
Series 2020-1A Class AR
|
||||
3-month Term SOFR + 1.382%
Floor 1.120%
01/20/2032
|
6.706%
|
|
13,665,771
|
13,685,928
|
Balboa Bay Loan Funding Ltd.(a),(b),(c)
|
||||
Series 2024-1A Class A1
|
||||
3-month Term SOFR + 1.510%
Floor 1.510%
07/20/2037
|
6.000%
|
|
14,000,000
|
14,007,406
|
Barings CLO Ltd.(a),(b)
|
||||
Series 2018-4A Class A1R
|
||||
3-month Term SOFR + 1.150%
Floor 1.150%
10/15/2030
|
6.479%
|
|
9,000,000
|
9,021,132
|
Series 2020-2A Class AR
|
||||
3-month Term SOFR + 1.272%
Floor 1.010%
10/15/2033
|
6.600%
|
|
7,143,730
|
7,159,531
|
Series 2020-4A Class A
|
||||
3-month Term SOFR + 1.482%
Floor 1.220%
01/20/2032
|
6.806%
|
|
6,039,106
|
6,055,400
|
Battalion CLO XII Ltd.(a),(b)
|
||||
Series 2018-12A Class A1
|
||||
3-month Term SOFR + 1.332%
Floor 1.070%
05/17/2031
|
6.661%
|
|
2,602,175
|
2,605,210
|
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
|
7.736%
|
|
2,810,000
|
2,813,684
|
BHG Securitization Trust(a)
|
||||
Series 2022-C Class A
|
||||
10/17/2035
|
5.320%
|
|
255,805
|
255,250
|
Multi-Manager Total Return Bond Strategies Fund | 2024
3
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Asset-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Series 2024-1CON Class A
|
||||
04/17/2035
|
5.810%
|
|
1,346,326
|
1,345,123
|
BlueMountain CLO Ltd.(a),(b)
|
||||
Series 2018-3A Class BR
|
||||
3-month Term SOFR + 1.850%
Floor 1.850%
10/25/2030
|
7.174%
|
|
8,500,000
|
8,527,566
|
Series 2024-3A Class A1R2
|
||||
3-month Term SOFR + 1.200%
Floor 1.200%
11/15/2030
|
6.261%
|
|
7,873,795
|
7,888,929
|
BlueMountain CLO XXVIII Ltd.(a),(b)
|
||||
Series 2021-28A Class C
|
||||
3-month Term SOFR + 2.262%
Floor 2.000%
04/15/2034
|
7.590%
|
|
1,300,000
|
1,294,769
|
BlueMountain CLO XXXI Ltd.(a),(b)
|
||||
Series 2021-31A Class A2
|
||||
3-month Term SOFR + 1.662%
Floor 1.400%
04/19/2034
|
6.988%
|
|
3,600,000
|
3,605,245
|
BlueMountain Fuji US CLO II Ltd.(a),(b)
|
||||
Series 2017-2A Class A1AR
|
||||
3-month Term SOFR + 1.262%
10/20/2030
|
6.586%
|
|
8,368,176
|
8,382,820
|
BMW Vehicle Lease Trust
|
||||
Series 2023-2 Class A4
|
||||
02/25/2027
|
5.980%
|
|
4,500,000
|
4,503,287
|
BOF URSA Funding(a)
|
||||
Series 2024-SN1 Class A3
|
||||
03/15/2028
|
5.660%
|
|
5,800,000
|
5,774,402
|
Bojangles Issuer LLC(a)
|
||||
Series 2020-1A Class A2
|
||||
10/20/2050
|
3.832%
|
|
1,572,000
|
1,482,817
|
Bridgecrest Lending Auto Securitization Trust
|
||||
Series 2023-1 Class A3
|
||||
11/15/2027
|
6.510%
|
|
6,325,000
|
6,354,547
|
Series 2024-2 Class A3
|
||||
06/15/2028
|
5.840%
|
|
6,515,000
|
6,515,958
|
Canyon Capital CLO Ltd.(a),(b)
|
||||
Series 2019-1A Class A1R
|
||||
3-month Term SOFR + 1.362%
Floor 1.100%
04/15/2032
|
6.690%
|
|
17,500,000
|
17,515,907
|
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
|
6.690%
|
|
2,040,691
|
2,041,693
|
Asset-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Series 2014-1A Class A1R2
|
||||
3-month Term SOFR + 1.232%
Floor 0.970%
04/17/2031
|
6.549%
|
|
1,581,943
|
1,583,293
|
Series 2014-3RA Class A1A
|
||||
3-month Term SOFR + 1.312%
07/27/2031
|
6.637%
|
|
15,410,612
|
15,431,632
|
Series 2015-4A Class A1RR
|
||||
3-month Term SOFR + 1.220%
Floor 1.220%
07/20/2032
|
6.283%
|
|
9,730,000
|
9,756,806
|
Carlyle US CLO Ltd.(a),(b)
|
||||
Series 2017-2A Class A2R
|
||||
3-month Term SOFR + 1.862%
Floor 1.600%
07/20/2031
|
7.186%
|
|
2,100,000
|
2,100,000
|
Series 2019-3A Class BRR
|
||||
3-month Term SOFR + 2.600%
Floor 2.600%
04/20/2037
|
7.925%
|
|
3,650,000
|
3,659,070
|
Series 2020-1A Class BR
|
||||
3-month Term SOFR + 2.262%
Floor 2.000%
07/20/2034
|
7.586%
|
|
1,250,000
|
1,251,406
|
Carmax Auto Owner Trust
|
||||
Series 2023-2 Class A3
|
||||
01/18/2028
|
5.050%
|
|
3,835,000
|
3,812,999
|
Series 2023-3 Class A3
|
||||
05/15/2028
|
5.280%
|
|
1,165,000
|
1,163,262
|
Subordinated Series 2023-3 Class B
|
||||
02/15/2029
|
5.470%
|
|
3,040,000
|
3,010,472
|
CarMax Auto Owner Trust
|
||||
Series 2024-2 Class A3
|
||||
01/16/2029
|
5.500%
|
|
2,015,000
|
2,022,728
|
Carvana Auto Receivables Trust
|
||||
Series 2021-P4 Class A3
|
||||
01/11/2027
|
1.310%
|
|
3,043,848
|
2,971,893
|
Carvana Auto Receivables Trust(a)
|
||||
Series 2023-N1 Class A
|
||||
04/12/2027
|
6.360%
|
|
1,429,437
|
1,432,568
|
Series 2023-P1 Class A3
|
||||
12/10/2027
|
5.980%
|
|
4,835,000
|
4,846,968
|
Chesapeake Funding II LLC(a)
|
||||
Series 2023-1A Class A1
|
||||
05/15/2035
|
5.650%
|
|
2,380,073
|
2,381,437
|
Series 2024-1A Class A1
|
||||
05/15/2036
|
5.520%
|
|
1,765,142
|
1,762,577
|
4
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Asset-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CIFC Funding IV Ltd.(a),(b)
|
||||
Series 2015-4A Class BR2
|
||||
3-month Term SOFR + 2.162%
Floor 1.900%
04/20/2034
|
7.486%
|
|
6,300,000
|
6,303,667
|
CIFC Funding Ltd.(a),(b)
|
||||
Series 2014-5A Class BR2
|
||||
3-month Term SOFR + 2.062%
Floor 1.800%
10/17/2031
|
7.379%
|
|
1,800,000
|
1,805,321
|
Series 2018-2A Class A1
|
||||
3-month Term SOFR + 1.302%
04/20/2031
|
6.626%
|
|
2,416,531
|
2,420,777
|
Series 2019-6A Class A2
|
||||
3-month Term SOFR + 2.012%
Floor 1.750%
01/16/2033
|
7.339%
|
|
2,000,000
|
2,002,856
|
CIFC Funding Ltd.(a),(b),(c)
|
||||
Series 2019-6A Class A2R
|
||||
3-month Term SOFR + 1.700%
Floor 1.700%
07/16/2037
|
6.000%
|
|
2,000,000
|
2,001,066
|
CIT Education Loan Trust(a),(b)
|
||||
Series 2007-1 Class B
|
||||
90-day Average SOFR + 0.562%
Floor 0.300%
06/25/2042
|
5.915%
|
|
295,107
|
265,981
|
Citizens Auto Receivables Trust(a)
|
||||
Series 2024-1 Class A3
|
||||
04/17/2028
|
5.110%
|
|
1,235,000
|
1,228,699
|
Commonbond Student Loan Trust(a)
|
||||
Series 2018-CGS Class B
|
||||
02/25/2046
|
4.250%
|
|
103,957
|
94,671
|
Series 2020-AGS Class A
|
||||
08/25/2050
|
1.980%
|
|
859,831
|
744,789
|
CQS US CLO Ltd.(a),(b)
|
||||
Series 2023-3A Class A1
|
||||
3-month Term SOFR + 1.890%
Floor 1.890%
01/25/2037
|
7.209%
|
|
20,000,000
|
20,108,240
|
Credit Acceptance Auto Loan Trust(a)
|
||||
Series 2022-3A Class A
|
||||
10/15/2032
|
6.570%
|
|
6,030,000
|
6,061,973
|
Series 2023-1A Class A
|
||||
03/15/2033
|
6.480%
|
|
4,080,000
|
4,110,889
|
Subordinated Series 2023-2A Class B
|
||||
07/15/2033
|
6.610%
|
|
1,215,000
|
1,221,077
|
Subordinated Series 2023-3A Class C
|
||||
12/15/2033
|
7.620%
|
|
695,000
|
711,527
|
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
|
6.699%
|
|
14,250,000
|
14,282,675
|
DataBank Issuer LLC(a)
|
||||
Series 2023-1 Class A2
|
||||
02/25/2053
|
5.116%
|
|
3,400,000
|
3,249,553
|
DB Master Finance LLC(a)
|
||||
Series 2017-1A Class A2II
|
||||
11/20/2047
|
4.030%
|
|
1,171,875
|
1,106,012
|
Series 2019-1A Class A23
|
||||
05/20/2049
|
4.352%
|
|
1,143,000
|
1,082,687
|
Series 2019-1A Class A2II
|
||||
05/20/2049
|
4.021%
|
|
619,125
|
597,206
|
Dell Equipment Finance Trust(a)
|
||||
Series 2023-3 Class A3
|
||||
04/23/2029
|
5.930%
|
|
4,855,000
|
4,879,996
|
Dewolf Park CLO Ltd.(a),(b)
|
||||
Series 2021-1A Class AR
|
||||
3-month Term SOFR + 1.182%
10/15/2030
|
6.510%
|
|
2,103,422
|
2,106,578
|
DLLMT LLC(a)
|
||||
Subordinated Series 2023-1A Class A3
|
||||
03/22/2027
|
5.340%
|
|
4,175,000
|
4,134,723
|
Domino’s Pizza Master Issuer LLC(a)
|
||||
Series 2018-1A Class A2I
|
||||
07/25/2048
|
4.116%
|
|
1,421,250
|
1,385,130
|
Driven Brands Funding LLC(a)
|
||||
Series 2019-1A Class A2
|
||||
04/20/2049
|
4.641%
|
|
1,705,500
|
1,652,511
|
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
|
7.578%
|
|
3,000,000
|
3,001,224
|
Dryden CLO Ltd.(a),(b)
|
||||
Series 2019-75A Class CR2
|
||||
3-month Term SOFR + 2.062%
Floor 1.800%
04/15/2034
|
7.390%
|
|
5,000,000
|
4,892,935
|
Dryden Senior Loan Fund(a),(b)
|
||||
Series 2015-40A Class AR2
|
||||
3-month Term SOFR + 1.150%
Floor 1.150%
08/15/2031
|
6.472%
|
|
8,295,890
|
8,307,347
|
Series 2038-RR Class ARR
|
||||
3-month Term SOFR + 1.150%
07/15/2030
|
6.479%
|
|
1,524,085
|
1,529,975
|
Multi-Manager Total Return Bond Strategies Fund | 2024
5
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Asset-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
DT Auto Owner Trust(a)
|
||||
Subordinated Series 2021-4A Class C
|
||||
09/15/2027
|
1.500%
|
|
2,418,427
|
2,367,030
|
Subordinated Series 2022-2A Class B
|
||||
01/15/2027
|
4.220%
|
|
2,720,203
|
2,712,337
|
Subordinated Series 2022-3A Class B
|
||||
07/17/2028
|
6.740%
|
|
3,155,000
|
3,164,687
|
Subordinated Series 2023-2A Class B
|
||||
02/15/2029
|
5.410%
|
|
2,525,000
|
2,506,978
|
Eaton Vance CLO Ltd.(a),(b)
|
||||
Series 2019-1A Class AR
|
||||
3-month Term SOFR + 1.362%
Floor 1.100%
04/15/2031
|
6.690%
|
|
4,670,000
|
4,681,801
|
Elevation CLO Ltd.(a),(b)
|
||||
Series 2021-12A Class A1R
|
||||
3-month Term SOFR + 1.620%
Floor 1.620%
04/20/2037
|
6.944%
|
|
30,000,000
|
30,020,580
|
ELFI Graduate Loan Program LLC(a)
|
||||
Series 2019-A Class A
|
||||
03/25/2044
|
2.540%
|
|
621,190
|
555,888
|
Series 2023-A Class A
|
||||
02/04/2048
|
6.370%
|
|
4,282,191
|
4,330,378
|
ELFI Graduate Loan Program LLC(a),(d)
|
||||
Subordinated Series 2019-A Class B
|
||||
03/25/2044
|
2.940%
|
|
252,431
|
216,606
|
Elmwood CLO II Ltd.(a),(b)
|
||||
Series 2019-2A Class AR
|
||||
3-month Term SOFR + 1.412%
Floor 1.150%
04/20/2034
|
6.736%
|
|
27,250,000
|
27,303,328
|
Enterprise Fleet Financing LLC(a)
|
||||
Series 2022-3 Class A2
|
||||
07/20/2029
|
4.380%
|
|
709,320
|
701,791
|
Series 2023-2 Class A2
|
||||
04/22/2030
|
5.560%
|
|
2,527,749
|
2,523,530
|
Series 2024-1 Class A3
|
||||
09/20/2030
|
5.160%
|
|
1,265,000
|
1,256,329
|
Exeter Automobile Receivables Trust
|
||||
Subordinated Series 2020-3A Class D
|
||||
07/15/2026
|
1.730%
|
|
76,294
|
75,940
|
Subordinated Series 2023-1A Class B
|
||||
04/15/2027
|
5.720%
|
|
2,580,000
|
2,578,777
|
Subordinated Series 2023-2A Class B
|
||||
09/15/2027
|
5.610%
|
|
2,450,000
|
2,441,898
|
Subordinated Series 2024-1A Class B
|
||||
08/15/2028
|
5.290%
|
|
6,650,000
|
6,595,409
|
Asset-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
SubordinatedSeries 2022-5A Class B
|
||||
03/15/2027
|
5.970%
|
|
4,383,275
|
4,383,693
|
Flagship Credit Auto Trust(a)
|
||||
Series 2022-4 Class A3
|
||||
06/15/2027
|
6.320%
|
|
3,475,000
|
3,484,756
|
Subordinated Series 2020-4 Class C
|
||||
02/16/2027
|
1.280%
|
|
237,309
|
234,236
|
Subordinated Series 2021-2 Class B
|
||||
06/15/2027
|
0.930%
|
|
370,862
|
369,443
|
Subordinated Series 2023-2 Class C
|
||||
05/15/2029
|
5.810%
|
|
3,240,000
|
3,217,446
|
Flatiron CLO 21 Ltd.(a),(b)
|
||||
Series 2021-1A Class C
|
||||
3-month Term SOFR + 2.112%
Floor 1.850%
07/19/2034
|
7.438%
|
|
2,000,000
|
2,006,192
|
Ford Credit Auto Owner Trust(a)
|
||||
Series 2018-1 Class A
|
||||
07/15/2031
|
3.190%
|
|
7,110,000
|
7,002,638
|
Series 2021-1 Class A
|
||||
10/17/2033
|
1.370%
|
|
3,415,000
|
3,171,356
|
Subordinated Series 2021-2 Class C
|
||||
05/15/2034
|
2.110%
|
|
3,900,000
|
3,559,195
|
Subordinated Series 2021-2 Class D
|
||||
05/15/2034
|
2.600%
|
|
2,300,000
|
2,092,787
|
Subordinated Series 2023-1 Class C
|
||||
08/15/2035
|
5.580%
|
|
3,900,000
|
3,872,116
|
Foursight Capital Automobile Receivables Trust(a)
|
||||
Series 2022-1 Class A3
|
||||
12/15/2026
|
1.830%
|
|
936,124
|
926,525
|
Series 2022-2 Class A3
|
||||
06/15/2027
|
4.590%
|
|
1,812,563
|
1,800,996
|
Frontier Issuer LLC(a)
|
||||
Series 2023-1 Class A2
|
||||
08/20/2053
|
6.600%
|
|
4,475,000
|
4,519,861
|
Galaxy XXII CLO Ltd.(a),(b)
|
||||
Series 2016-22A Class ARR
|
||||
3-month Term SOFR + 1.462%
Floor 1.200%
04/16/2034
|
6.789%
|
|
3,200,000
|
3,209,818
|
Galaxy XXVI CLO Ltd.(a),(b)
|
||||
Series 2018-26A Class AR
|
||||
3-month Term SOFR + 1.170%
Floor 1.170%, Cap 1.170%
11/22/2031
|
6.497%
|
|
7,570,000
|
7,575,307
|
GECU Auto Receivables Trust(a)
|
||||
Series 2023-1A Class A3
|
||||
08/15/2028
|
5.630%
|
|
2,500,000
|
2,487,690
|
6
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Asset-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Global SC Finance II SRL(a)
|
||||
Series 2014-1A Class A2
|
||||
07/17/2029
|
3.090%
|
|
63,405
|
62,949
|
GLS Auto Receivables Issuer Trust(a)
|
||||
Subordinated Series 2024-2A Class B
|
||||
11/15/2028
|
5.770%
|
|
3,445,000
|
3,446,588
|
GLS Auto Select Receivables Trust(a)
|
||||
Series 2024-2A Class A2
|
||||
06/17/2030
|
5.580%
|
|
940,000
|
939,333
|
GM Financial Automobile Leasing Trust
|
||||
Series 2023-2 Class A3
|
||||
07/20/2026
|
5.050%
|
|
1,790,000
|
1,782,531
|
Subordinated Series 2022-3 Class C
|
||||
08/20/2026
|
5.130%
|
|
2,350,000
|
2,327,533
|
GM Financial Consumer Automobile Receivables Trust
|
||||
Subordinated Series 2023-4 Class B
|
||||
04/16/2029
|
6.160%
|
|
2,800,000
|
2,848,895
|
GM Financial Revolving Receivables Trust(a)
|
||||
Series 2024-1 Class A
|
||||
12/11/2036
|
4.980%
|
|
3,985,000
|
3,951,694
|
Goal Capital Funding Trust(b)
|
||||
Series 2006-1 Class B
|
||||
3-month Term SOFR + 0.712%
Floor 0.450%
08/25/2042
|
6.048%
|
|
368,692
|
348,537
|
Goldentree Loan Management US CLO Ltd.(a),(b)
|
||||
Series 2017-2A Class AR
|
||||
3-month Term SOFR + 1.172%
11/20/2030
|
6.489%
|
|
1,419,944
|
1,421,233
|
GoodLeap Sustainable Home Solutions Trust(a)
|
||||
Series 2021-3CS Class A
|
||||
05/20/2048
|
2.100%
|
|
2,669,455
|
2,079,785
|
Greenwood Park CLO Ltd.(a),(b)
|
||||
Series 2018-1A Class A2
|
||||
3-month Term SOFR + 1.272%
Floor 1.010%
04/15/2031
|
6.600%
|
|
10,015,292
|
10,039,459
|
Greywolf CLO III Ltd.(a),(b)
|
||||
Series 2020-3RA Class A1R
|
||||
3-month Term SOFR + 1.550%
Floor 1.290%
04/15/2033
|
6.615%
|
|
6,500,000
|
6,501,099
|
Greywolf CLO VII Ltd.(a),(b)
|
||||
Series 2018-2A Class A1
|
||||
3-month Term SOFR + 1.440%
Floor 1.180%
10/20/2031
|
6.765%
|
|
5,366,009
|
5,378,464
|
Asset-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Hayfin US XV Ltd.(a),(b)
|
||||
Series 2024-15A Class A1
|
||||
3-month Term SOFR + 1.640%
Floor 1.640%
04/28/2037
|
6.000%
|
|
24,750,000
|
24,767,325
|
Helios Issuer LLC(a)
|
||||
Series 2020-AA Class A
|
||||
06/20/2047
|
2.980%
|
|
954,220
|
877,735
|
Henderson Receivables LLC(a)
|
||||
Series 2013-3A Class A
|
||||
01/17/2073
|
4.080%
|
|
1,348,375
|
1,244,452
|
Series 2014-2A Class A
|
||||
01/17/2073
|
3.610%
|
|
1,627,224
|
1,439,307
|
Hertz Vehicle Financing III LLC(a)
|
||||
Series 2023-3A Class A
|
||||
02/25/2028
|
5.940%
|
|
4,660,000
|
4,667,750
|
Hilton Grand Vacations Trust(a)
|
||||
Subordinated Series 2022-2A Class C
|
||||
01/25/2037
|
5.570%
|
|
174,439
|
170,824
|
HPS Loan Management Ltd.(a),(b)
|
||||
Series 2010-A16 Class A1RR
|
||||
3-month Term SOFR + 1.402%
Floor 1.140%
04/20/2034
|
6.726%
|
|
9,750,000
|
9,775,331
|
Series 2021-16A Class A1
|
||||
3-month Term SOFR + 1.402%
Floor 1.140%
01/23/2035
|
6.728%
|
|
7,300,000
|
7,318,761
|
HPS Loan Management Ltd.(a),(b),(c),(e),(f)
|
||||
Series 2013A-18 Class A1R
|
||||
3-month Term SOFR + 1.130%
Floor 1.130%
10/15/2030
|
6.000%
|
|
8,150,000
|
8,150,000
|
Huntington Auto Trust(a)
|
||||
Series 2024-1A Class A3
|
||||
01/16/2029
|
5.230%
|
|
2,260,000
|
2,253,579
|
ICG US CLO Ltd.(a),(b)
|
||||
Series 2014-3A Class A1RR
|
||||
3-month Term SOFR + 1.292%
04/25/2031
|
6.615%
|
|
3,717,006
|
3,721,355
|
JG Wentworth XLIII LLC(a)
|
||||
Series 2019-1A Class A
|
||||
08/17/2071
|
3.820%
|
|
907,451
|
797,520
|
JPMorgan Chase Bank NA(a)
|
||||
Series 2021-3 Class E
|
||||
02/26/2029
|
2.102%
|
|
139,158
|
136,108
|
Subordinated Series 2021-1 Class D
|
||||
09/25/2028
|
1.174%
|
|
34,279
|
34,068
|
Subordinated Series 2021-2 Class D
|
||||
12/26/2028
|
1.138%
|
|
154,204
|
151,977
|
Multi-Manager Total Return Bond Strategies Fund | 2024
7
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Asset-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Kayne CLO Ltd.(a),(b)
|
||||
Series 2019-6A Class A2
|
||||
3-month Term SOFR + 2.112%
Floor 1.850%
01/20/2033
|
7.436%
|
|
1,500,000
|
1,501,988
|
Kayne Ltd.(a),(b)
|
||||
Series 2021-10A Class C
|
||||
3-month Term SOFR + 2.012%
Floor 1.750%
04/23/2034
|
7.338%
|
|
1,600,000
|
1,603,050
|
LAD Auto Receivables Trust(a)
|
||||
Series 2024-1A Class A4
|
||||
09/15/2028
|
5.170%
|
|
1,015,000
|
1,004,834
|
Subordinated Series 2023-4A Class B
|
||||
10/16/2028
|
6.390%
|
|
1,515,000
|
1,512,306
|
LCM Ltd.(a),(b)
|
||||
Series 2030A Class AR
|
||||
3-month Term SOFR + 1.342%
Floor 1.080%
04/20/2031
|
6.666%
|
|
3,080,000
|
3,084,595
|
Lending Funding Trust(a)
|
||||
Series 2020-2A Class A
|
||||
04/21/2031
|
2.320%
|
|
700,000
|
652,001
|
Lendmark Funding Trust(a)
|
||||
Series 2021-1A Class A
|
||||
11/20/2031
|
1.900%
|
|
5,000,000
|
4,565,718
|
Loanpal Solar Loan Ltd.(a)
|
||||
Series 2020-2GF Class A
|
||||
07/20/2047
|
2.750%
|
|
1,288,326
|
1,035,848
|
M&T Equipment Notes(a)
|
||||
Series 2023-1A Class A3
|
||||
07/15/2030
|
5.740%
|
|
2,115,000
|
2,113,804
|
Madison Park Funding XLVIII Ltd.(a),(b)
|
||||
Series 2021-48A Class A
|
||||
3-month Term SOFR + 1.412%
Floor 1.150%
04/19/2033
|
6.738%
|
|
6,496,266
|
6,504,387
|
Series 2021-48A Class C
|
||||
3-month Term SOFR + 2.262%
Floor 2.000%
04/19/2033
|
7.588%
|
|
1,520,000
|
1,526,341
|
Madison Park Funding XXI Ltd.(a),(b)
|
||||
Series 2016-21A Class AARR
|
||||
3-month Term SOFR + 1.342%
Floor 1.080%
10/15/2032
|
6.670%
|
|
17,000,000
|
17,036,499
|
Series 2016-21A Class ABRR
|
||||
3-month Term SOFR + 1.662%
Floor 1.400%
10/15/2032
|
6.990%
|
|
1,750,000
|
1,750,530
|
Asset-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Madison Park Funding XXXVIII Ltd.(a),(b)
|
||||
Series 2021-38A Class A
|
||||
3-month Term SOFR + 1.382%
Floor 1.120%
07/17/2034
|
6.699%
|
|
15,000,000
|
15,044,685
|
Magnetite XII Ltd.(a),(b)
|
||||
Series 2015-12A Class AR4
|
||||
3-month Term SOFR + 1.150%
Floor 1.150%
10/15/2031
|
6.479%
|
|
5,188,941
|
5,206,324
|
Marble Point CLO XIX Ltd.(a),(b)
|
||||
Series 2020-3A Class AR
|
||||
3-month Term SOFR + 1.400%
Floor 1.400%
01/19/2034
|
6.988%
|
|
7,000,000
|
7,016,366
|
Mariner Finance Issuance Trust(a)
|
||||
Series 2020-AA Class A
|
||||
08/21/2034
|
2.190%
|
|
261,684
|
258,803
|
Marlette Funding Trust(a)
|
||||
Series 2022-3A Class A
|
||||
11/15/2032
|
5.180%
|
|
311,424
|
311,311
|
Massachusetts Educational Financing Authority
|
||||
Series 2018-A Class A
|
||||
05/25/2033
|
3.850%
|
|
1,096,270
|
1,059,020
|
Merchants Fleet Funding LLC(a)
|
||||
Series 2023-1A Class A
|
||||
05/20/2036
|
7.210%
|
|
4,785,581
|
4,788,401
|
Merlin Aviation Holdings DAC(a)
|
||||
Series 2016-1 Class A
|
||||
12/15/2032
|
4.500%
|
|
125,194
|
118,308
|
MF1 LLC(a),(b)
|
||||
Series 2024-FL14 Class A
|
||||
1-month Term SOFR + 1.737%
Floor 1.737%, Cap 1.737%
03/19/2039
|
7.120%
|
|
5,000,000
|
5,031,259
|
MF1 Ltd.(a),(b)
|
||||
Series 2021-FL6 Class D
|
||||
1-month Term SOFR + 2.664%
Floor 2.550%
07/16/2036
|
7.985%
|
|
7,000,000
|
6,660,035
|
MidOcean Credit CLO VIII(a),(b)
|
||||
Series 2018-8A Class B
|
||||
3-month Term SOFR + 1.912%
02/20/2031
|
7.237%
|
|
6,600,000
|
6,620,288
|
Mid-State Capital Corp. Trust(a)
|
||||
Series 2006-1 Class A
|
||||
10/15/2040
|
5.787%
|
|
468,289
|
458,328
|
Mill City Solar Loan Ltd.(a)
|
||||
Series 2019-1A Class A
|
||||
03/20/2043
|
4.340%
|
|
901,675
|
824,125
|
8
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Asset-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Series 2019-2GS Class A
|
||||
07/20/2043
|
3.690%
|
|
959,687
|
846,576
|
Mosaic Solar Loan Trust(a)
|
||||
Series 2018-1A Class A
|
||||
06/22/2043
|
4.010%
|
|
434,047
|
401,607
|
Series 2019-1A Class A
|
||||
12/21/2043
|
4.370%
|
|
887,501
|
823,944
|
Series 2020-2A Class A
|
||||
08/20/2046
|
1.440%
|
|
1,623,300
|
1,333,220
|
Series 2023-3A Class A
|
||||
11/20/2053
|
5.910%
|
|
2,454,411
|
2,390,727
|
Series 2023-4A Class A
|
||||
05/20/2053
|
6.400%
|
|
3,802,600
|
3,788,622
|
Series 2024-1 Class A
|
||||
09/20/2049
|
5.500%
|
|
2,470,710
|
2,425,751
|
Subordinated Series 2018-2GS Class B
|
||||
02/22/2044
|
4.740%
|
|
554,991
|
483,986
|
Subordinated Series 2020-2A Class B
|
||||
08/20/2046
|
2.210%
|
|
1,035,148
|
846,050
|
Subordinated Series 2021-2A Class B
|
||||
04/22/2047
|
2.090%
|
|
846,916
|
634,301
|
Mosaic Solar Loans LLC(a)
|
||||
Series 2017-2A Class A
|
||||
06/22/2043
|
3.820%
|
|
453,027
|
418,591
|
MP CLO VIII Ltd.(a),(b)
|
||||
Series 2015-2A Class ARR
|
||||
3-month Term SOFR + 1.462%
04/28/2034
|
6.787%
|
|
16,100,000
|
16,118,628
|
MVW LLC(a)
|
||||
Series 2024-1A Class A
|
||||
02/20/2043
|
5.320%
|
|
1,307,446
|
1,301,562
|
Navient Private Education Refi Loan Trust(a)
|
||||
Series 2020-BA Class A2
|
||||
01/15/2069
|
2.120%
|
|
890,840
|
825,341
|
Series 2020-DA Class A
|
||||
05/15/2069
|
1.690%
|
|
4,360,622
|
3,990,047
|
Series 2020-FA Class A
|
||||
07/15/2069
|
1.220%
|
|
574,960
|
520,494
|
Series 2020-GA Class A
|
||||
09/16/2069
|
1.170%
|
|
1,077,275
|
968,669
|
Series 2020-HA Class A
|
||||
01/15/2069
|
1.310%
|
|
496,972
|
458,226
|
Series 2021-A Class A
|
||||
05/15/2069
|
0.840%
|
|
581,405
|
512,618
|
Series 2021-BA Class A
|
||||
07/15/2069
|
0.940%
|
|
1,181,702
|
1,036,885
|
Asset-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Nelnet Student Loan Trust(a),(b)
|
||||
Series 2006-1 Class A6
|
||||
3-month Term SOFR + 0.712%
08/23/2036
|
6.041%
|
|
3,897,291
|
3,862,487
|
Series 2014-4A Class A2
|
||||
30-day Average SOFR + 1.064%
Floor 0.950%
11/25/2048
|
6.388%
|
|
3,231,912
|
3,243,278
|
Neuberger Berman CLO XVII Ltd.(a),(b)
|
||||
Series 2014-17A Class CR2
|
||||
3-month Term SOFR + 2.262%
Floor 2.000%
04/22/2029
|
7.586%
|
|
2,000,000
|
2,001,246
|
Subordinated Series 2014-17A Class AR2
|
||||
3-month Term SOFR + 1.292%
Floor 1.030%
04/22/2029
|
6.616%
|
|
2,120,398
|
2,122,009
|
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
|
7.489%
|
|
2,000,000
|
2,001,416
|
Series 2021-40A Class C
|
||||
3-month Term SOFR + 2.012%
Floor 1.750%
04/16/2033
|
7.339%
|
|
4,650,000
|
4,655,059
|
New Economy Assets Phase 1 Sponsor LLC(a)
|
||||
Series 2021-1 Class A1
|
||||
10/20/2061
|
1.910%
|
|
5,030,000
|
4,452,559
|
Oaktree CLO Ltd.(a),(b)
|
||||
Series 2019-1A Class A1R
|
||||
3-month Term SOFR + 1.372%
Floor 1.110%
04/22/2030
|
6.696%
|
|
9,800,000
|
9,809,800
|
Series 2024-25 Class C
|
||||
3-month Term SOFR + 2.500%
Floor 2.500%
04/20/2037
|
7.804%
|
|
1,950,000
|
1,953,052
|
OCP CLO Ltd.(a),(b)
|
||||
Series 2019-17A Class A1R
|
||||
3-month Term SOFR + 1.302%
07/20/2032
|
6.626%
|
|
2,270,000
|
2,271,544
|
Series 2020-18A Class CR
|
||||
3-month Term SOFR + 2.212%
Floor 1.950%
07/20/2032
|
7.536%
|
|
500,000
|
500,447
|
Octagon 61 Ltd.(a),(b)
|
||||
Series 2023-2A Class A
|
||||
3-month Term SOFR + 1.850%
Floor 1.850%
04/20/2036
|
7.175%
|
|
1,550,000
|
1,563,101
|
Multi-Manager Total Return Bond Strategies Fund | 2024
9
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Asset-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Octagon Investment Partners 27 Ltd.(a),(b)
|
||||
Series 2016-1A Class A2R
|
||||
3-month Term SOFR + 1.612%
07/15/2030
|
6.940%
|
|
6,925,000
|
6,922,943
|
Octagon Investment Partners 32 Ltd.(a),(b)
|
||||
Series 2017-1A Class A2R
|
||||
3-month Term SOFR + 1.462%
Floor 1.200%
07/15/2029
|
6.790%
|
|
7,400,000
|
7,402,272
|
Octagon Investment Partners 46 Ltd.(a),(b)
|
||||
Series 2020-2A Class AR
|
||||
3-month Term SOFR + 1.422%
Floor 1.160%
07/15/2036
|
6.750%
|
|
7,900,000
|
7,904,574
|
Octagon Investment Partners Ltd.(a),(b)
|
||||
Series 2016-1A Class AR
|
||||
3-month Term SOFR + 1.442%
Floor 1.180%
01/24/2033
|
6.765%
|
|
5,175,000
|
5,187,886
|
OHA Credit Funding Ltd.(a),(b)
|
||||
Series 2021-8A Class C
|
||||
3-month Term SOFR + 2.162%
Floor 1.900%
01/18/2034
|
7.489%
|
|
1,350,000
|
1,351,023
|
OHA Credit Partners VII Ltd.(a),(b)
|
||||
Series 2012-7A Class CR3
|
||||
3-month Term SOFR + 2.062%
Floor 1.800%
02/20/2034
|
7.387%
|
|
5,000,000
|
5,006,890
|
OneMain Direct Auto Receivables Trust(a)
|
||||
Series 2019-1A Class A
|
||||
09/14/2027
|
3.630%
|
|
5,866,803
|
5,789,341
|
Subordinated Series 2019-1A Class B
|
||||
11/14/2028
|
3.950%
|
|
1,500,000
|
1,455,486
|
Subordinated Series 2019-1A Class D
|
||||
04/14/2031
|
4.680%
|
|
2,900,000
|
2,794,306
|
Subordinated Series 2021-1A Class C
|
||||
07/14/2028
|
1.420%
|
|
7,367,000
|
6,802,975
|
Subordinated Series 2021-1A Class D
|
||||
11/14/2030
|
1.620%
|
|
900,000
|
832,455
|
Subordinated Series 2023-1A Class C
|
||||
02/14/2031
|
6.140%
|
|
3,100,000
|
2,975,821
|
Onemain Financial Issuance Trust(a)
|
||||
Series 2024-1A Class A
|
||||
05/14/2041
|
5.790%
|
|
5,400,000
|
5,483,374
|
OneMain Financial Issuance Trust(a)
|
||||
Series 2020-2A Class A
|
||||
09/14/2035
|
1.750%
|
|
2,700,000
|
2,515,500
|
Series 2022-S1 Class A
|
||||
05/14/2035
|
4.130%
|
|
5,945,000
|
5,810,952
|
Asset-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Subordinated Series 2022-2 Class D
|
||||
10/14/2034
|
6.550%
|
|
6,280,000
|
6,167,498
|
Subordinated Series 2023-1A Class D
|
||||
06/14/2038
|
7.490%
|
|
100,000
|
102,671
|
Subordinated Series 2023-2A Class C
|
||||
09/15/2036
|
6.740%
|
|
1,500,000
|
1,503,491
|
Subordinated Series 2023-2A Class D
|
||||
09/15/2036
|
7.520%
|
|
1,600,000
|
1,631,961
|
Oscar US Funding XII LLC(a)
|
||||
Series 2021-1A Class A4
|
||||
04/10/2028
|
1.000%
|
|
1,771,385
|
1,713,750
|
OZLM Funding IV Ltd.(a),(b)
|
||||
Series 2013-4A
|
||||
3-month Term SOFR + 1.512%
Floor 1.250%
10/22/2030
|
6.836%
|
|
4,238,488
|
4,240,849
|
Pagaya AI Debt Trust(a)
|
||||
Series 2022-1 Class A
|
||||
10/15/2029
|
2.030%
|
|
230,316
|
228,699
|
Palmer Square CLO Ltd.(a),(b)
|
||||
Series 2014-1A Class A1R2
|
||||
3-month Term SOFR + 1.392%
Floor 1.130%
01/17/2031
|
6.709%
|
|
2,851,160
|
2,855,961
|
Series 2020-3A Class BR2
|
||||
3-month Term SOFR + 2.650%
Floor 2.650%
11/15/2036
|
7.972%
|
|
2,000,000
|
2,024,148
|
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
|
6.791%
|
|
5,668,773
|
5,680,066
|
Series 2017-1A Class A1R
|
||||
3-month Term SOFR + 1.502%
Floor 1.240%
02/14/2034
|
6.824%
|
|
5,000,000
|
5,019,570
|
Series 2019-2A Class A1
|
||||
3-month Term SOFR + 1.442%
Floor 1.180%
10/15/2034
|
6.770%
|
|
15,000,000
|
15,046,260
|
Planet Fitness Master Issuer LLC(a)
|
||||
Series 2018-1A Class A2II
|
||||
09/05/2048
|
4.666%
|
|
3,808,350
|
3,731,111
|
Post Road Equipment Finance LLC(a)
|
||||
Subordinated Series 2024-1A Class A2
|
||||
11/15/2029
|
5.590%
|
|
870,000
|
869,546
|
Prestige Auto Receivables Trust(a)
|
||||
Subordinated Series 2021-1A Class C
|
||||
02/15/2028
|
1.530%
|
|
2,525,000
|
2,424,788
|
10
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Asset-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Subordinated Series 2023-1A Class C
|
||||
02/15/2028
|
5.650%
|
|
2,460,000
|
2,442,370
|
Primose Funding LLC(a)
|
||||
Series 2019-1A Class A2
|
||||
07/30/2049
|
4.475%
|
|
1,447,500
|
1,389,256
|
Regional Management Issuance Trust(a)
|
||||
Series 2022-1 Class A
|
||||
03/15/2032
|
3.070%
|
|
2,800,000
|
2,686,037
|
Rockford Tower CLO Ltd.(a),(b)
|
||||
Series 2021-1A Class B
|
||||
3-month Term SOFR + 1.912%
Floor 1.650%
07/20/2034
|
7.236%
|
|
7,900,000
|
7,917,301
|
Series 2021-3A Class B
|
||||
3-month Term SOFR + 2.012%
Floor 1.750%
10/20/2034
|
7.336%
|
|
10,000,000
|
10,023,000
|
Santander Bank Auto Credit-Linked Notes(a)
|
||||
Subordinated Series 2022-A Class C
|
||||
05/15/2032
|
7.375%
|
|
373,751
|
374,691
|
Santander Drive Auto Receivables Trust
|
||||
Series 2020-2 Class D
|
||||
09/15/2026
|
2.220%
|
|
80,089
|
79,815
|
Subordinated Series 2020-3 Class D
|
||||
11/16/2026
|
1.640%
|
|
836,421
|
828,291
|
Subordinated Series 2020-4 Class D
|
||||
01/15/2027
|
1.480%
|
|
757,748
|
746,718
|
Subordinated Series 2022-3 Class B
|
||||
08/16/2027
|
4.130%
|
|
3,710,000
|
3,670,540
|
Subordinated Series 2022-4 Class B
|
||||
11/15/2027
|
4.420%
|
|
3,505,000
|
3,465,732
|
Subordinated Series 2023-1 Class C
|
||||
05/15/2030
|
5.090%
|
|
810,000
|
802,248
|
Subordinated Series 2023-3 Class C
|
||||
11/15/2030
|
5.770%
|
|
1,160,000
|
1,164,927
|
Subordinated Series 2023-4 Class B
|
||||
12/15/2028
|
5.770%
|
|
2,410,000
|
2,421,694
|
Subordinated Series 2023-5 Class B
|
||||
12/17/2029
|
6.160%
|
|
3,885,000
|
3,939,597
|
Subordinated Series 2023-6 Class C
|
||||
03/17/2031
|
6.400%
|
|
600,000
|
614,740
|
Subordinated Series 2024-2 Class D
|
||||
08/15/2031
|
6.280%
|
|
1,500,000
|
1,519,915
|
SBNA Auto Lease Trust(a)
|
||||
Series 2024-A Class A3
|
||||
11/20/2026
|
5.390%
|
|
1,825,000
|
1,820,731
|
Series 2024-B Class A3
|
||||
11/22/2027
|
5.560%
|
|
2,310,000
|
2,309,282
|
Asset-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
SCF Equipment Leasing LLC(a)
|
||||
Series 2022-1A Class A3
|
||||
07/20/2029
|
2.920%
|
|
1,570,951
|
1,546,406
|
Series 2023-1A Class A2
|
||||
01/22/2030
|
6.560%
|
|
2,625,000
|
2,646,701
|
SEB Funding LLC(a)
|
||||
Series 2024-1A Class A2
|
||||
04/30/2054
|
7.386%
|
|
2,040,000
|
2,033,665
|
Servpro Master Issuer LLC(a)
|
||||
Series 2024-1A Class A2
|
||||
01/25/2054
|
6.174%
|
|
2,244,375
|
2,250,364
|
SFS Auto Receivables Securitization Trust(a)
|
||||
Series 2023-1A Class A3
|
||||
10/20/2028
|
5.470%
|
|
2,915,000
|
2,917,868
|
Shackleton VR CLO Ltd.(a),(b)
|
||||
Series 2014-5RA Class A
|
||||
3-month Term SOFR + 1.362%
Floor 1.100%
05/07/2031
|
6.689%
|
|
8,321,055
|
8,336,890
|
Silver Rock CLO III(a),(b)
|
||||
Series 2023-3A Class A1
|
||||
3-month Term SOFR + 1.880%
Floor 1.880%
01/20/2036
|
7.217%
|
|
19,000,000
|
19,168,302
|
SLM Student Loan Trust(b)
|
||||
Series 2008-2 Class B
|
||||
90-day Average SOFR + 1.462%
Floor 1.200%
01/25/2083
|
6.810%
|
|
1,165,000
|
1,168,825
|
Series 2008-3 Class B
|
||||
90-day Average SOFR + 1.462%
Floor 1.200%
04/26/2083
|
6.810%
|
|
1,165,000
|
1,179,880
|
Series 2008-4 Class B
|
||||
90-day Average SOFR + 2.112%
Floor 1.850%
04/25/2073
|
7.460%
|
|
1,165,000
|
1,180,680
|
Series 2008-5 Class B
|
||||
90-day Average SOFR + 2.112%
Floor 1.850%
07/25/2073
|
7.460%
|
|
4,060,000
|
4,052,091
|
Series 2008-6 Class A4
|
||||
90-day Average SOFR + 1.362%
Floor 1.100%
07/25/2024
|
6.710%
|
|
2,608,912
|
2,591,705
|
Series 2008-6 Class B
|
||||
90-day Average SOFR + 2.112%
Floor 1.850%
07/26/2083
|
7.460%
|
|
1,165,000
|
1,177,965
|
Multi-Manager Total Return Bond Strategies Fund | 2024
11
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Asset-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Series 2008-7 Class B
|
||||
90-day Average SOFR + 2.112%
Floor 1.850%
07/26/2083
|
7.460%
|
|
1,165,000
|
1,142,962
|
Series 2012-2 Class A
|
||||
30-day Average SOFR + 0.814%
Floor 0.700%
01/25/2029
|
6.138%
|
|
3,447,501
|
3,360,893
|
Series 2012-7 Class A3
|
||||
30-day Average SOFR + 0.764%
Floor 0.650%
05/26/2026
|
6.088%
|
|
1,692,064
|
1,681,661
|
SMB Private Education Loan Trust(a)
|
||||
Series 2019-B Class A2A
|
||||
06/15/2037
|
2.840%
|
|
7,631,434
|
7,258,591
|
Series 2020-PTA Class A2A
|
||||
09/15/2054
|
1.600%
|
|
7,335,727
|
6,655,642
|
Series 2024-A Class A1A
|
||||
03/15/2056
|
5.240%
|
|
11,992,755
|
11,863,226
|
SoFi Professional Loan Program LLC(a)
|
||||
Series 2017-D Class A2FX
|
||||
09/25/2040
|
2.650%
|
|
143,083
|
138,207
|
Series 2018-A Class A2B
|
||||
02/25/2042
|
2.950%
|
|
35,248
|
34,516
|
Series 2019-A Class BFX
|
||||
06/15/2048
|
4.110%
|
|
2,500,000
|
2,201,975
|
Subordinated Series 2018-B Class BFX
|
||||
08/25/2047
|
3.830%
|
|
2,700,000
|
2,451,681
|
Subordinated Series 2019-B Class BFX
|
||||
08/17/2048
|
3.730%
|
|
2,500,000
|
2,156,523
|
SoFi Professional Loan Program Trust(a)
|
||||
Subordinated Series 2020-B Class BFX
|
||||
05/15/2046
|
2.730%
|
|
2,200,000
|
1,629,123
|
Sonic Capital LLC(a)
|
||||
Series 2020-1A Class A2I
|
||||
01/20/2050
|
3.845%
|
|
1,828,750
|
1,726,541
|
Sound Point CLO II Ltd.(a),(b)
|
||||
Series 2013-1A Class A1R
|
||||
3-month Term SOFR + 1.332%
Floor 1.070%
01/26/2031
|
6.656%
|
|
4,355,754
|
4,359,848
|
Sound Point CLO XXVIII Ltd.(a),(b)
|
||||
Series 2020-3A Class A1R
|
||||
3-month Term SOFR + 1.280%
Floor 1.280%
01/25/2032
|
6.604%
|
|
10,570,000
|
10,623,019
|
Sunnova Helios XI Issuer LLC(a)
|
||||
Series 2023-A Class A
|
||||
05/20/2050
|
5.300%
|
|
4,476,454
|
4,299,596
|
Asset-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Sunnova Sol II Issuer LLC(a)
|
||||
Series 2020-2A Class A
|
||||
11/01/2055
|
2.730%
|
|
2,696,147
|
2,147,454
|
Sunnova Sol III Issuer LLC(a)
|
||||
Series 2021-1 Class A
|
||||
04/28/2056
|
2.580%
|
|
2,229,328
|
1,816,834
|
Sunrun Athena Issuer LLC(a)
|
||||
Series 2018-1 Class A
|
||||
04/30/2049
|
5.310%
|
|
1,733,051
|
1,624,560
|
Sunrun Callisto Issuer LLC(a)
|
||||
Series 2019-1A Class A
|
||||
06/30/2054
|
3.980%
|
|
1,245,512
|
1,151,125
|
Sunrun Iris Issuer LLC(a)
|
||||
Series 2023-1A Class A
|
||||
01/30/2059
|
5.750%
|
|
1,721,462
|
1,626,212
|
Symphony CLO XVI Ltd.(a)
|
||||
Series 2015-16A Class ARR
|
||||
10/15/2031
|
6.523%
|
|
6,300,000
|
6,304,366
|
Symphony CLO XVIII Ltd.(a),(b)
|
||||
Series 2016-18A Class A1RR
|
||||
3-month Term SOFR + 1.362%
Floor 1.100%
07/23/2033
|
6.688%
|
|
6,250,000
|
6,254,313
|
Taco Bell Funding LLC(a)
|
||||
Series 2021-1A Class A2I
|
||||
08/25/2051
|
1.946%
|
|
2,456,250
|
2,211,440
|
TCI-Flatiron CLO Ltd.(a),(b)
|
||||
Series 2018-1A Class CR
|
||||
3-month Term SOFR + 2.012%
Floor 1.750%
01/29/2032
|
7.337%
|
|
2,300,000
|
2,300,499
|
TCW CLO Ltd.(a),(b)
|
||||
Series 2017-1A Class A1RR
|
||||
3-month Term SOFR + 1.442%
Floor 1.180%
10/29/2034
|
6.767%
|
|
21,750,000
|
21,815,989
|
Series 2017-1A Class BRR
|
||||
3-month Term SOFR + 1.962%
Floor 1.700%
10/29/2034
|
7.287%
|
|
6,500,000
|
6,518,824
|
Series 2021-1A Class C
|
||||
3-month Term SOFR + 2.162%
Floor 1.900%
03/18/2034
|
7.486%
|
|
3,150,000
|
3,140,370
|
Telos CLO Ltd.(a),(b)
|
||||
Series 2013-4A Class AR
|
||||
3-month Term SOFR + 1.502%
Floor 1.240%
01/17/2030
|
6.819%
|
|
4,960,983
|
4,964,853
|
12
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Asset-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Texas Debt Capital CLO Ltd.(a),(b)
|
||||
Series 2023-1A Class A
|
||||
3-month Term SOFR + 1.800%
Floor 1.800%
04/20/2036
|
7.125%
|
|
4,050,000
|
4,073,883
|
THL Credit Wind River CLO Ltd.(a),(b)
|
||||
Series 2015-1A Class A1R3
|
||||
3-month Term SOFR + 1.200%
Floor 1.200%
10/20/2030
|
6.518%
|
|
9,994,059
|
10,005,982
|
Series 2019-1A Class AR
|
||||
3-month Term SOFR + 1.422%
Floor 1.160%
07/20/2034
|
6.746%
|
|
10,000,000
|
10,024,770
|
TIAA CLO I Ltd.(a),(b)
|
||||
Series 2016-1A Class ARR
|
||||
3-month Term SOFR + 1.250%
Floor 1.250%
07/20/2031
|
6.575%
|
|
10,570,000
|
10,605,378
|
Tikehau US CLO III Ltd.(a),(b)
|
||||
Series 2022-2A Class A1R
|
||||
3-month Term SOFR + 1.870%
Floor 1.870%
01/20/2036
|
7.195%
|
|
15,000,000
|
15,160,065
|
Tikehau US CLO IV Ltd.(a),(b)
|
||||
Series 2023-1A Class A1
|
||||
3-month Term SOFR + 2.200%
Floor 2.200%
07/15/2034
|
7.529%
|
|
28,000,000
|
28,525,504
|
Toyota Auto Loan Extended Note Trust(a)
|
||||
Series 2020-1A Class A
|
||||
05/25/2033
|
1.350%
|
|
1,405,000
|
1,348,695
|
Trafigura Securitisation Finance PLC(a)
|
||||
Subordinated Series 2021-1A Class B
|
||||
01/15/2025
|
1.780%
|
|
1,550,000
|
1,528,351
|
Tralee CLO VI Ltd.(a),(b)
|
||||
Series 2019-6A Class A1R
|
||||
3-month Term SOFR + 1.432%
Floor 1.170%
10/25/2032
|
6.755%
|
|
25,000,000
|
25,013,475
|
Tralee CLO VII Ltd(a),(b)
|
||||
Series 2021-7A Class A1
|
||||
3-month Term SOFR + 1.582%
Floor 1.320%
04/25/2034
|
6.905%
|
|
9,250,000
|
9,273,911
|
Trestles CLO V LTD.(a),(b)
|
||||
Series 2021-5A Class B1
|
||||
3-month Term SOFR + 1.912%
Floor 1.650%
10/20/2034
|
7.236%
|
|
6,800,000
|
6,811,431
|
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
|
6.785%
|
|
4,000,000
|
4,004,080
|
Trinitas CLO XX Ltd.(a),(b)
|
||||
Series 2022-20A Class A1
|
||||
3-month Term SOFR + 1.530%
Floor 1.530%
07/20/2035
|
6.855%
|
|
13,250,000
|
13,267,662
|
Trinitas CLO XXVI Ltd.(a),(b)
|
||||
Series 2023-26A Class A1
|
||||
3-month Term SOFR + 1.690%
Floor 1.690%
01/20/2035
|
7.015%
|
|
18,000,000
|
18,031,536
|
United Auto Credit Securitization Trust(a)
|
||||
Subordinated Series 2022-2 Class C
|
||||
05/10/2027
|
5.810%
|
|
1,995,000
|
1,991,402
|
Upstart Securitization Trust(a)
|
||||
Series 2023-1 Class A
|
||||
02/20/2033
|
6.590%
|
|
478,956
|
479,150
|
Venture CLO Ltd.(a),(b)
|
||||
Series 2017-28AA Class A1R
|
||||
3-month Term SOFR + 1.472%
Floor 1.210%
10/20/2034
|
6.796%
|
|
12,500,000
|
12,530,950
|
Venture CLO Ltd.(a),(b),(c)
|
||||
Series 2019-37A Class A1RR
|
||||
3-month Term SOFR + 1.250%
Floor 1.250%
07/15/2032
|
6.500%
|
|
16,080,000
|
16,088,667
|
Venture XXVII CLO Ltd.(a),(b)
|
||||
Series 2017-27A Class CR
|
||||
3-month Term SOFR + 2.562%
07/20/2030
|
7.886%
|
|
4,100,000
|
4,076,564
|
Voya CLO Ltd.(a),(b)
|
||||
Series 2013-1A Class A1AR
|
||||
3-month Term SOFR + 1.472%
Floor 1.210%
10/15/2030
|
6.800%
|
|
3,775,583
|
3,783,191
|
Series 2015-3A Class A1R3
|
||||
3-month Term SOFR + 1.150%
Floor 1.150%
10/20/2031
|
6.475%
|
|
8,500,000
|
8,507,421
|
Series 2016-1A Class A1R
|
||||
3-month Term SOFR + 1.332%
Floor 1.070%
01/20/2031
|
6.656%
|
|
6,214,213
|
6,229,201
|
Series 2016-3A Class A1R2
|
||||
3-month Term SOFR + 1.150%
Cap 1.150%
10/18/2031
|
6.476%
|
|
8,400,000
|
8,405,914
|
Multi-Manager Total Return Bond Strategies Fund | 2024
13
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Asset-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Series 2018-3A Class A1R2
|
||||
3-month Term SOFR + 1.200%
Floor 1.200%
10/15/2031
|
6.529%
|
|
8,500,000
|
8,508,466
|
VStrong Auto Receivables Trust(a)
|
||||
Subordinated Series 2024-A Class B
|
||||
07/15/2030
|
5.770%
|
|
409,000
|
407,737
|
Wachovia Student Loan Trust(a),(b)
|
||||
Series 2006-1 Class A6
|
||||
90-day Average SOFR + 0.432%
Floor 0.170%
04/25/2040
|
5.780%
|
|
3,187,246
|
3,122,473
|
Wellfleet CLO Ltd.(a),(b)
|
||||
Series 2019-1A Class A1R
|
||||
3-month Term SOFR + 1.382%
Floor 1.120%
07/20/2032
|
6.706%
|
|
15,000,000
|
15,004,305
|
Wendy’s Funding LLC(a)
|
||||
Series 2018-1A Class A2II
|
||||
03/15/2048
|
3.884%
|
|
937,439
|
875,374
|
Series 2019-1A Class A2I
|
||||
06/15/2049
|
3.783%
|
|
3,096,263
|
2,956,071
|
Series 2021-1A Class A2II
|
||||
06/15/2051
|
2.775%
|
|
4,974,329
|
4,111,591
|
Westlake Automobile Receivables Trust(a)
|
||||
Series 2021-2A Class C
|
||||
07/15/2026
|
0.890%
|
|
744,491
|
738,547
|
Subordinated Series 2023-2A Class B
|
||||
03/15/2028
|
6.140%
|
|
3,550,000
|
3,561,155
|
Subordinated Series 2023-3A Class C
|
||||
09/15/2028
|
6.020%
|
|
4,530,000
|
4,537,969
|
Subordinated Series 2024-1A Class B
|
||||
11/15/2027
|
5.550%
|
|
4,600,000
|
4,575,966
|
Wheels Fleet Lease Funding 1 LLC(a)
|
||||
Series 2023-1A Class A
|
||||
04/18/2038
|
5.800%
|
|
5,455,517
|
5,454,501
|
Series 2024-1A Class A1
|
||||
02/18/2039
|
5.490%
|
|
2,410,000
|
2,413,012
|
Wind River CLO Ltd.(a),(b)
|
||||
Series 2016-1A Class A1R2
|
||||
3-month Term SOFR + 1.472%
Floor 1.210%
10/15/2034
|
6.800%
|
|
4,250,000
|
4,258,156
|
Series 2024-1A Class A
|
||||
3-month Term SOFR + 1.600%
Floor 1.600%
04/20/2037
|
6.923%
|
|
3,100,000
|
3,101,993
|
World Omni Automobile Lease Securitization Trust
|
||||
Series 2023-A Class A3
|
||||
09/15/2026
|
5.070%
|
|
2,420,000
|
2,408,661
|
Asset-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
World Omni Select Auto Trust
|
||||
Subordinated Series 2021-A Class B
|
||||
08/16/2027
|
0.850%
|
|
2,170,000
|
2,101,883
|
York CLO-4 Ltd.(a),(b)
|
||||
Series 2016-2A Class A1R
|
||||
3-month Term SOFR + 1.352%
04/20/2032
|
6.676%
|
|
9,090,319
|
9,094,864
|
Zais CLO 7 Ltd.(a),(b)
|
||||
Series 2017-2A Class A
|
||||
3-month Term SOFR + 1.552%
04/15/2030
|
6.880%
|
|
1,278,068
|
1,279,070
|
Zaxbys Funding LLC(a)
|
||||
Series 2024-1A Class A2I
|
||||
04/30/2054
|
6.594%
|
|
6,100,000
|
6,160,161
|
Zaxby’s Funding LLC(a)
|
||||
Series 2021-1A Class A2
|
||||
07/30/2051
|
3.238%
|
|
5,494,625
|
4,844,370
|
Ziply Fiber Issuer LLC(a)
|
||||
Series 2024-1 Class A2
|
||||
04/20/2054
|
6.640%
|
|
3,580,000
|
3,631,322
|
Total Asset-Backed Securities — Non-Agency
(Cost $1,584,530,479)
|
1,576,412,045
|
|||
|
||||
Commercial Mortgage-Backed Securities - Agency 0.7%
|
||||
|
|
|
|
|
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through
Certificates(d),(g)
|
||||
CMO Series K055 Class X1
|
||||
03/25/2026
|
1.330%
|
|
1,917,363
|
36,500
|
CMO Series K057 Class X1
|
||||
07/25/2026
|
1.159%
|
|
2,286,965
|
41,547
|
CMO Series K059 Class X1
|
||||
09/25/2026
|
0.296%
|
|
6,825,096
|
35,559
|
CMO Series K060 Class X1
|
||||
10/25/2026
|
0.058%
|
|
24,718,443
|
40,575
|
CMO Series K152 Class X1
|
||||
01/25/2031
|
0.953%
|
|
3,931,781
|
180,455
|
Series 20K129 Class X1 (FHLMC)
|
||||
05/25/2031
|
1.032%
|
|
12,562,781
|
662,125
|
Series 20K141 Class X1 (FHLMC)
|
||||
02/25/2032
|
0.305%
|
|
7,247,355
|
145,847
|
Series 20K142 Class X1 (FHLMC)
|
||||
12/25/2031
|
0.297%
|
|
17,566,162
|
347,506
|
Series 20K143 Class X1 (FHLMC)
|
||||
04/25/2055
|
0.342%
|
|
7,933,130
|
183,784
|
Series 20K144 Class X1 (FHLMC)
|
||||
04/25/2032
|
0.326%
|
|
10,384,912
|
233,902
|
Series K069 Class X1
|
||||
09/25/2027
|
0.341%
|
|
35,660,528
|
372,036
|
14
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Commercial Mortgage-Backed Securities - Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Series K091 Class X1
|
||||
03/25/2029
|
0.561%
|
|
38,958,882
|
904,310
|
Series K095 Class X1
|
||||
06/25/2029
|
0.950%
|
|
74,575,999
|
2,906,212
|
Series K106 Class X1
|
||||
01/25/2030
|
1.318%
|
|
94,208,199
|
5,682,064
|
Series K131 Class X1 (FHLMC)
|
||||
07/25/2031
|
0.728%
|
|
12,782,179
|
531,488
|
Series K137 Class X1
|
||||
11/25/2031
|
0.198%
|
|
274,297,949
|
3,216,747
|
Series K145 Class X1
|
||||
06/25/2055
|
0.317%
|
|
4,653,573
|
101,749
|
Series K146 Class X1
|
||||
06/25/2032
|
0.230%
|
|
15,761,490
|
270,563
|
Series K147 Class X1
|
||||
06/25/2032
|
0.358%
|
|
12,172,243
|
310,273
|
Series K149 Class X1 (FHLMC)
|
||||
08/25/2032
|
0.264%
|
|
20,941,990
|
422,400
|
Series K-150 Class X1 (FHLMC)
|
||||
09/25/2032
|
0.310%
|
|
26,964,081
|
636,431
|
Series K-1515 Class X1
|
||||
02/25/2035
|
1.509%
|
|
7,068,306
|
765,641
|
Series K-1516 Class X1
|
||||
05/25/2035
|
1.509%
|
|
14,596,195
|
1,685,763
|
Series K-1517 Class X1
|
||||
07/25/2035
|
1.323%
|
|
19,923,428
|
2,005,064
|
Series K1521 Class X1
|
||||
08/25/2036
|
0.979%
|
|
23,305,392
|
1,720,183
|
Series K728 Class X1
|
||||
08/25/2024
|
0.461%
|
|
201,918,526
|
48,339
|
Series K729 Class X1
|
||||
10/25/2024
|
0.332%
|
|
127,279,074
|
71,124
|
Series K735 Class X1
|
||||
05/25/2026
|
0.958%
|
|
12,434,994
|
187,660
|
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates
|
||||
Series K056 Class A2
|
||||
05/25/2026
|
2.525%
|
|
6,137,000
|
5,853,104
|
Series K074 Class A2
|
||||
01/25/2028
|
3.600%
|
|
8,660,000
|
8,264,330
|
Series K155 Class A3
|
||||
04/25/2033
|
3.750%
|
|
6,935,000
|
6,309,847
|
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(d)
|
||||
Series K157 Class A3
|
||||
08/25/2033
|
3.990%
|
|
6,145,000
|
5,617,462
|
Series Q006 Class APT1
|
||||
07/25/2026
|
2.678%
|
|
3,235,426
|
3,097,653
|
Commercial Mortgage-Backed Securities - Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Federal National Mortgage Association
|
||||
11/01/2031
|
3.400%
|
|
1,500,000
|
1,325,702
|
02/01/2033
|
3.400%
|
|
3,927,175
|
3,529,205
|
07/01/2033
|
3.670%
|
|
8,000,000
|
7,251,820
|
03/01/2035
|
2.510%
|
|
3,000,000
|
2,413,228
|
04/01/2040
|
2.455%
|
|
3,495,000
|
2,450,599
|
Federal National Mortgage Association(d),(g)
|
||||
Series 2020-M43 Class X1
|
||||
08/25/2034
|
1.906%
|
|
33,464,762
|
2,710,418
|
Freddie Mac Multifamily Structured Pass-Through Certificates(d),(g)
|
||||
Series K514 Class X1 (FHLMC)
|
||||
12/25/2028
|
0.964%
|
|
67,394,980
|
2,589,463
|
Government National Mortgage Association(d),(g)
|
||||
CMO Series 2011-38 Class IO
|
||||
04/16/2053
|
0.530%
|
|
861,728
|
6,512
|
CMO Series 2013-162 Class IO
|
||||
09/16/2046
|
0.057%
|
|
15,768,436
|
16,604
|
CMO Series 2014-134 Class IA
|
||||
01/16/2055
|
0.141%
|
|
11,319,814
|
49,722
|
CMO Series 2015-101 Class IO
|
||||
03/16/2052
|
0.268%
|
|
2,785,936
|
25,197
|
CMO Series 2015-114
|
||||
03/15/2057
|
0.292%
|
|
1,146,694
|
12,157
|
CMO Series 2015-120 Class IO
|
||||
03/16/2057
|
0.610%
|
|
6,440,709
|
130,250
|
CMO Series 2015-125 Class IB
|
||||
01/16/2055
|
0.943%
|
|
6,706,891
|
137,539
|
CMO Series 2015-125 Class IO
|
||||
07/16/2055
|
0.605%
|
|
16,780,852
|
246,277
|
CMO Series 2015-146 Class IC
|
||||
07/16/2055
|
0.179%
|
|
5,345,844
|
26,979
|
CMO Series 2015-171 Class IO
|
||||
11/16/2055
|
0.836%
|
|
4,452,024
|
136,229
|
CMO Series 2015-174 Class IO
|
||||
11/16/2055
|
0.414%
|
|
5,590,658
|
99,296
|
CMO Series 2015-21 Class IO
|
||||
07/16/2056
|
0.700%
|
|
2,937,403
|
83,082
|
CMO Series 2015-29 Class EI
|
||||
09/16/2049
|
0.702%
|
|
4,571,873
|
77,743
|
CMO Series 2015-41 Class IO
|
||||
09/16/2056
|
0.168%
|
|
885,196
|
4,869
|
CMO Series 2015-6 Class IO
|
||||
02/16/2051
|
0.466%
|
|
1,959,128
|
27,546
|
CMO Series 2015-70 Class IO
|
||||
12/16/2049
|
0.565%
|
|
5,465,268
|
107,688
|
CMO Series 2016-39 Class IO
|
||||
01/16/2056
|
0.677%
|
|
3,467,557
|
96,383
|
Multi-Manager Total Return Bond Strategies Fund | 2024
15
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Commercial Mortgage-Backed Securities - Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CMO Series 2022-17 Class IO
|
||||
06/16/2064
|
0.802%
|
|
6,207,532
|
358,163
|
CMO Series 2022-4 Class IO
|
||||
03/16/2064
|
0.860%
|
|
15,294,451
|
927,382
|
CMO Series 2022-43 Class IO
|
||||
09/16/2061
|
0.740%
|
|
12,728,980
|
677,700
|
Series 2014-101 Class IO
|
||||
04/16/2056
|
0.572%
|
|
9,298,876
|
141,189
|
Series 2016-152 Class IO
|
||||
08/15/2058
|
0.770%
|
|
9,320,957
|
409,800
|
Series 2017-168 Class IO
|
||||
12/16/2059
|
0.544%
|
|
15,251,938
|
534,541
|
Series 2018-110 Class IA
|
||||
11/16/2059
|
0.638%
|
|
19,887,895
|
677,658
|
Series 2018-2 Class IO
|
||||
12/16/2059
|
0.705%
|
|
7,101,460
|
303,822
|
Series 2020-108 Class IO
|
||||
06/16/2062
|
0.847%
|
|
8,748,169
|
501,960
|
Series 2021-106 Class IO
|
||||
04/16/2063
|
0.859%
|
|
9,377,114
|
581,799
|
Series 2021-132 Class BI
|
||||
04/16/2063
|
0.923%
|
|
11,972,369
|
808,226
|
Series 2021-133 Class IO
|
||||
07/16/2063
|
0.881%
|
|
11,816,408
|
749,493
|
Series 2021-144 Class IO
|
||||
04/16/2063
|
0.825%
|
|
11,853,451
|
714,609
|
Series 2021-145 Class IO
|
||||
07/16/2061
|
0.771%
|
|
2,498,428
|
129,892
|
Series 2021-151 Class IO
|
||||
04/16/2063
|
0.918%
|
|
10,607,942
|
706,121
|
Series 2021-163 Class IO
|
||||
03/16/2064
|
0.801%
|
|
11,070,503
|
641,554
|
Series 2021-186 Class IO
|
||||
05/16/2063
|
0.764%
|
|
12,345,892
|
665,428
|
Series 2021-52 Class IO
|
||||
04/16/2063
|
0.720%
|
|
10,316,494
|
552,887
|
Series 2022-132 Class IO
|
||||
10/16/2064
|
0.538%
|
|
10,891,950
|
481,267
|
Series 2022-166 Class IO
|
||||
04/16/2065
|
0.792%
|
|
12,804,166
|
712,927
|
Series 2022-92 Class EI
|
||||
02/16/2064
|
0.809%
|
|
11,048,326
|
635,895
|
Series 2023-110 Class IO
|
||||
07/16/2058
|
1.022%
|
|
9,906,727
|
757,841
|
Commercial Mortgage-Backed Securities - Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
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%
|
|
63,847
|
63,609
|
Total Commercial Mortgage-Backed Securities - Agency
(Cost $118,475,732)
|
89,176,514
|
|||
|
||||
Commercial Mortgage-Backed Securities - Non-Agency 6.7%
|
||||
|
|
|
|
|
Arbor Multifamily Mortgage Securities Trust(a)
|
||||
Series 2021-MF2 Class A4
|
||||
06/15/2054
|
2.252%
|
|
18,000,000
|
14,798,963
|
Arbor Realty Commercial Real Estate Notes Ltd.(a),(b)
|
||||
Series 2021-FL2 Class A
|
||||
1-month Term SOFR + 1.214%
Floor 1.100%
05/15/2036
|
6.531%
|
|
3,750,272
|
3,740,422
|
Series 2021-FL3 Class A
|
||||
1-month Term SOFR + 1.184%
Floor 1.070%
08/15/2034
|
6.501%
|
|
3,990,900
|
3,956,737
|
Series 2021-FL4 Class A
|
||||
1-month Term SOFR + 1.464%
Floor 1.350%
11/15/2036
|
6.781%
|
|
5,000,000
|
4,986,664
|
Series 2021-FL4 Class D
|
||||
1-month Term SOFR + 3.014%
Floor 2.900%
11/15/2036
|
8.331%
|
|
3,250,000
|
3,056,038
|
AREIT LLC(a),(b)
|
||||
Series 2023-CRE8 Class A
|
||||
1-month Term SOFR + 2.112%
Floor 2.112%
08/17/2041
|
7.432%
|
|
2,957,894
|
2,958,831
|
AREIT Ltd.(a),(b)
|
||||
Series 2024-CRE9 Class A
|
||||
1-month Term SOFR + 1.686%
Floor 1.687%, Cap 1.687%
05/17/2041
|
6.987%
|
|
5,000,000
|
4,990,620
|
AREIT Trust(a),(b)
|
||||
Series 2022-CRE6 Class A
|
||||
30-day Average SOFR + 1.250%
Floor 1.250%
01/16/2037
|
6.574%
|
|
1,187,560
|
1,177,162
|
ARZ Trust(a)
|
||||
Subordinated Series 2024-BILT Class C
|
||||
06/11/2029
|
6.361%
|
|
1,500,000
|
1,498,405
|
BAMLL Commercial Mortgage Securities Trust(a)
|
||||
Series 2019-BPR Class AM
|
||||
11/05/2032
|
3.287%
|
|
6,325,000
|
6,012,348
|
16
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Banc of America Merrill Lynch Commercial Mortgage, Inc.(d),(g)
|
||||
Series 2019-BN18 Class XA
|
||||
05/15/2062
|
0.883%
|
|
59,051,039
|
2,054,197
|
BANK
|
||||
Series 2017-BNK4 Class A4
|
||||
05/15/2050
|
3.625%
|
|
2,420,000
|
2,285,964
|
BANK(d),(g)
|
||||
Series 2017-BNK8 Class XA
|
||||
11/15/2050
|
0.709%
|
|
26,459,916
|
534,469
|
BANK(d)
|
||||
Series 2021-BN37 Class A5
|
||||
11/15/2064
|
2.618%
|
|
5,605,000
|
4,629,883
|
BANK(a)
|
||||
Subordinated Series 2017-BNK6 Class D
|
||||
07/15/2060
|
3.100%
|
|
2,380,000
|
1,821,112
|
BANK5(d)
|
||||
Series 2023-5YR3 Class A3
|
||||
09/15/2056
|
6.724%
|
|
2,985,000
|
3,114,956
|
BANK5
|
||||
Series 2023-5YR4 Class A3
|
||||
12/15/2056
|
6.500%
|
|
1,207,531
|
1,250,153
|
BANK5 Trust
|
||||
Series 2024-5YR6 Class A3
|
||||
05/15/2057
|
6.225%
|
|
6,935,000
|
7,142,446
|
BBCMS Mortgage Trust(a)
|
||||
Series 2016-ETC Class A
|
||||
08/14/2036
|
2.937%
|
|
13,500,000
|
12,270,095
|
Subordinated Series 2016-ETC Class B
|
||||
08/14/2036
|
3.189%
|
|
900,000
|
791,600
|
Subordinated Series 2016-ETC Class C
|
||||
08/14/2036
|
3.391%
|
|
770,000
|
647,706
|
BBCMS Mortgage Trust(d),(g)
|
||||
Series 2018-C2 Class XA
|
||||
12/15/2051
|
0.749%
|
|
59,879,083
|
1,567,916
|
BBCMS Mortgage Trust(a),(b)
|
||||
Series 2020-BID Class A
|
||||
1-month Term SOFR + 2.254%
Floor 2.140%
10/15/2037
|
7.571%
|
|
14,360,000
|
14,288,200
|
BBCMS Mortgage Trust
|
||||
Series 2021-C12 Class A5
|
||||
11/15/2054
|
2.689%
|
|
15,495,000
|
12,938,512
|
Series 2024-5C25 Class A3
|
||||
03/15/2057
|
5.946%
|
|
3,445,000
|
3,508,648
|
BBCMS Mortgage Trust(a),(d)
|
||||
Subordinated Series 2016-ETC Class D
|
||||
08/14/2036
|
3.609%
|
|
2,790,000
|
2,264,056
|
Commercial Mortgage-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
BB-UBS Trust(a)
|
||||
Series 2012-TFT Class A
|
||||
06/05/2030
|
2.892%
|
|
2,131,554
|
1,980,217
|
BDS Ltd.(a),(b)
|
||||
Series 2021-FL8 Class B
|
||||
1-month Term SOFR + 1.464%
Floor 1.350%
01/18/2036
|
6.783%
|
|
1,000,000
|
995,724
|
Benchmark Mortgage Trust(d),(g)
|
||||
03/15/2053
|
1.413%
|
|
25,251,446
|
1,165,900
|
Series 2019-B10 Class XA
|
||||
03/15/2062
|
1.223%
|
|
24,915,970
|
1,205,076
|
Series 2020-B20 Class XA
|
||||
10/15/2053
|
1.607%
|
|
14,391,925
|
890,913
|
Benchmark Mortgage Trust
|
||||
Series 2021-B26 Class A4
|
||||
06/15/2054
|
2.295%
|
|
10,600,000
|
8,830,942
|
Series 2024-V7 Class A3
|
||||
05/15/2056
|
6.228%
|
|
5,000,000
|
5,151,939
|
Subordinated Series 2024-V6 Class B
|
||||
03/15/2029
|
6.785%
|
|
3,000,000
|
3,069,800
|
Benchmark Mortgage Trust(d)
|
||||
Series 2023-V2 Class A3
|
||||
05/15/2055
|
5.812%
|
|
17,305,000
|
17,463,114
|
Subordinated Series 2019-B13 Class C
|
||||
08/15/2057
|
3.839%
|
|
2,400,000
|
1,989,185
|
Subordinated Series 2019-B14 Class C
|
||||
12/15/2062
|
3.772%
|
|
1,500,000
|
1,101,052
|
BIG Commercial Mortgage Trust(a),(b)
|
||||
Subordinated Series 2022-BIG Class B
|
||||
1-month Term SOFR + 1.741%
Floor 1.741%
02/15/2039
|
7.058%
|
|
2,100,000
|
2,075,125
|
Subordinated Series 2022-BIG Class C
|
||||
1-month Term SOFR + 2.340%
Floor 2.340%
02/15/2039
|
7.657%
|
|
420,000
|
410,291
|
BLP Commercial Mortgage Trust(a),(b)
|
||||
Subordinated Series 2024-IND2 Class C
|
||||
1-month Term SOFR + 1.891%
03/15/2041
|
7.212%
|
|
2,500,000
|
2,496,872
|
BMD2 Re-Remic Trust(a),(h)
|
||||
Series 2019-FRR1 Class 3AB
|
||||
05/25/2052
|
0.000%
|
|
2,821,000
|
2,031,455
|
Subordinated Series 2019-FRR1 Class 2C
|
||||
05/25/2052
|
0.000%
|
|
14,258,000
|
13,228,734
|
Multi-Manager Total Return Bond Strategies Fund | 2024
17
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
BOCA Commercial Mortgage Trust(a),(b)
|
||||
Series 2022-BOCA Class A
|
||||
1-month Term SOFR + 1.770%
Floor 1.770%
05/15/2039
|
7.086%
|
|
1,000,000
|
999,676
|
BPR Trust(a),(b)
|
||||
Series 2021-NRD Class A
|
||||
1-month Term SOFR + 1.525%
Floor 1.525%
12/15/2038
|
6.842%
|
|
3,045,000
|
2,965,775
|
Series 2022-OANA Class A
|
||||
1-month Term SOFR + 1.898%
Floor 1.898%
04/15/2037
|
7.215%
|
|
2,300,000
|
2,312,938
|
BPR Trust(a),(d)
|
||||
Series 2023-BRK2 Class A
|
||||
11/05/2028
|
6.899%
|
|
5,400,000
|
5,575,809
|
BX Commercial Mortgage Trust(a),(b)
|
||||
Series 2020-VKNG Class A
|
||||
1-month Term SOFR + 1.044%
Floor 1.045%
10/15/2037
|
6.361%
|
|
5,644,954
|
5,630,842
|
Series 2021-VOLT Class G
|
||||
1-month Term SOFR + 2.964%
Floor 2.850%
09/15/2036
|
8.281%
|
|
3,000,000
|
2,955,000
|
Series 2022-CSMO Class A
|
||||
1-month Term SOFR + 2.115%
Floor 2.115%
06/15/2027
|
7.432%
|
|
5,918,000
|
5,947,619
|
Series 2023-VLT2 Class A
|
||||
1-month Term SOFR + 2.281%
Floor 2.281%
06/15/2040
|
7.598%
|
|
5,500,000
|
5,496,636
|
Series 2023-VLT3 Class A
|
||||
1-month Term SOFR + 1.940%
Floor 1.940%
11/15/2028
|
7.257%
|
|
5,000,000
|
5,012,490
|
Series 2023-XL3 Class A
|
||||
1-month Term SOFR + 1.761%
Floor 1.761%
12/09/2040
|
7.078%
|
|
5,000,000
|
5,029,687
|
Subordinated Series 2021-21M Class E
|
||||
1-month Term SOFR + 2.285%
Floor 2.171%
10/15/2036
|
7.602%
|
|
1,925,000
|
1,905,750
|
Subordinated Series 2021-IRON Class E
|
||||
1-month Term SOFR + 2.464%
Floor 2.350%
02/15/2038
|
7.781%
|
|
3,000,000
|
2,834,793
|
Commercial Mortgage-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Subordinated Series 2021-MFM1 Class D
|
||||
1-month Term SOFR + 1.614%
Floor 1.500%
01/15/2034
|
6.931%
|
|
383,131
|
378,826
|
Subordinated Series 2021-SOAR Class F
|
||||
1-month Term SOFR + 2.464%
Floor 2.350%
06/15/2038
|
7.781%
|
|
15,627,851
|
15,491,047
|
Subordinated Series 2022-CSMO Class B
|
||||
1-month Term SOFR + 3.141%
Floor 3.141%
06/15/2027
|
8.458%
|
|
3,490,000
|
3,503,097
|
Subordinated Series 2024-MF Class D
|
||||
1-month Term SOFR + 2.690%
Floor 2.690%
02/15/2039
|
8.015%
|
|
3,000,000
|
2,992,500
|
Subordinated Series 2024-XL5 Class C
|
||||
1-month Term SOFR + 1.941%
Floor 1.941%
03/15/2041
|
7.258%
|
|
4,794,913
|
4,793,414
|
BX Commercial Mortgage Trust(a),(d)
|
||||
Subordinated Series 2020-VIV3 Class B
|
||||
03/09/2044
|
3.544%
|
|
5,780,000
|
5,069,004
|
BX Trust(a),(b)
|
||||
1-month Term SOFR + 2.090%
Floor 2.090%
03/15/2041
|
7.407%
|
|
11,000,000
|
10,993,127
|
Series 2021-ARIA Class A
|
||||
1-month Term SOFR + 1.014%
10/15/2036
|
6.330%
|
|
3,118,000
|
3,090,731
|
Series 2021-LGCY Class D
|
||||
1-month Term SOFR + 1.302%
Floor 1.302%
10/15/2036
|
6.733%
|
|
590,000
|
578,938
|
Series 2023-DELC Class A
|
||||
1-month Term SOFR + 2.690%
Floor 2.690%
05/15/2038
|
8.007%
|
|
2,000,000
|
2,027,061
|
Series 2024-BRVE Class A
|
||||
1-month Term SOFR + 1.841%
Floor 1.841%
04/15/2026
|
7.158%
|
|
5,000,000
|
4,987,479
|
Series 2024-CNYN Class C
|
||||
1-month Term SOFR + 1.941%
Floor 1.941%
04/15/2029
|
7.262%
|
|
2,000,000
|
1,999,375
|
Subordinated Series 2021-RISE Class B
|
||||
1-month Term SOFR + 1.364%
Floor 1.250%
11/15/2036
|
6.681%
|
|
412,665
|
409,828
|
18
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Subordinated Series 2022-LBA6 Class D
|
||||
1-month Term SOFR + 2.000%
Floor 2.000%
01/15/2039
|
7.317%
|
|
750,000
|
745,319
|
Subordinated Series 2022-VAMF Class E
|
||||
1-month Term SOFR + 2.700%
Floor 2.700%
01/15/2039
|
8.017%
|
|
5,000,000
|
4,760,794
|
Subordinated Series 2024-BIO Class B
|
||||
1-month Term SOFR + 1.941%
02/15/2041
|
7.258%
|
|
6,250,000
|
6,246,096
|
BX Trust(a)
|
||||
Series 2019-OC11 Class A
|
||||
12/09/2041
|
3.202%
|
|
1,115,000
|
984,696
|
BX Trust(a),(b),(c)
|
||||
Series 2024-VLT4 Class A
|
||||
1-month Term SOFR + 1.491%
Floor 1.491%
07/15/2029
|
6.811%
|
|
3,870,000
|
3,860,325
|
BXHPP Trust(a),(b)
|
||||
Series 2021-FILM Class A
|
||||
1-month Term SOFR + 0.764%
Floor 0.650%
08/15/2036
|
6.081%
|
|
7,000,000
|
6,722,187
|
CAMB Commercial Mortgage Trust(a)
|
||||
Series 2021-CX2 Class A
|
||||
11/10/2046
|
2.700%
|
|
7,200,000
|
5,857,590
|
Cantor Commercial Real Estate Lending
|
||||
Series 2019-CF1 Class A2
|
||||
05/15/2052
|
3.623%
|
|
3,770,618
|
3,582,150
|
Series 2019-CF3 Class A3
|
||||
01/15/2053
|
2.752%
|
|
16,100,000
|
13,860,207
|
Cantor Commercial Real Estate Lending(d),(g)
|
||||
Series 2019-CF2 Class XA
|
||||
11/15/2052
|
1.204%
|
|
41,497,132
|
1,884,198
|
CCUBS Commercial Mortgage Trust(d)
|
||||
Subordinated Series 2017-C1 Class B
|
||||
11/15/2050
|
4.159%
|
|
1,505,000
|
1,359,594
|
CD Mortgage Trust
|
||||
Series 2016-CD1 Class A3
|
||||
08/10/2049
|
2.459%
|
|
13,995,435
|
13,140,169
|
Series 2017-CD6 Class A4
|
||||
11/13/2050
|
3.190%
|
|
20,000,000
|
18,693,304
|
CD Mortgage Trust(d),(g)
|
||||
Series 2019-CD8 Class XA
|
||||
08/15/2057
|
1.396%
|
|
46,409,175
|
2,523,299
|
CFCRE Commercial Mortgage Trust
|
||||
Series 2016-C4 Class A4
|
||||
05/10/2058
|
3.283%
|
|
5,900,000
|
5,657,763
|
Commercial Mortgage-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CFCRE Commercial Mortgage Trust(d),(g)
|
||||
Series 2016-C4 Class XA
|
||||
05/10/2058
|
1.598%
|
|
51,006,850
|
1,119,850
|
CFCRE Commercial Mortgage Trust(d)
|
||||
Subordinated Series 2016-C7 Class C
|
||||
12/10/2054
|
4.366%
|
|
2,250,000
|
1,968,808
|
Citigroup Commercial Mortgage Trust
|
||||
Series 2015-GC35 Class A3
|
||||
11/10/2048
|
3.549%
|
|
10,000,000
|
9,597,992
|
Series 2016-GC37 Class A4
|
||||
04/10/2049
|
3.314%
|
|
2,875,000
|
2,753,754
|
Series 2019-C7 Class A4
|
||||
12/15/2072
|
3.102%
|
|
3,985,000
|
3,547,612
|
Series 2019-GC43 Class A3
|
||||
11/10/2052
|
2.782%
|
|
10,000,000
|
8,711,076
|
Citigroup Commercial Mortgage Trust(a),(b)
|
||||
Series 2021-PRM2 Class F
|
||||
1-month Term SOFR + 3.864%
Floor 3.750%
10/15/2036
|
9.181%
|
|
1,500,000
|
1,473,996
|
Citigroup Commercial Mortgage Trust(d)
|
||||
Subordinated Series 2015-GC35 Class AS
|
||||
11/10/2048
|
4.072%
|
|
1,300,000
|
1,202,806
|
Subordinated Series 2020-GC46 Class B
|
||||
02/15/2053
|
3.150%
|
|
2,000,000
|
1,685,517
|
Citigroup Commercial Mortgage Trust(a),(d)
|
||||
Subordinated Series 2016-C2 Class E
|
||||
08/10/2049
|
4.389%
|
|
2,420,000
|
1,770,744
|
Subordinated Series 2023-SMRT Class C
|
||||
06/10/2028
|
6.048%
|
|
1,000,000
|
978,423
|
COMM Mortgage Trust(a),(d)
|
||||
Subordinated Series 2013-CR10 Class E
|
||||
08/10/2046
|
4.240%
|
|
192,562
|
171,765
|
Subordinated Series 2020-CBM Class F
|
||||
02/10/2037
|
3.633%
|
|
2,513,000
|
2,369,043
|
COMM Mortgage Trust(d)
|
||||
Subordinated Series 2015-CR27 Class B
|
||||
10/10/2048
|
4.337%
|
|
2,000,000
|
1,877,328
|
Subordinated Series 2017-COR2 Class B
|
||||
09/10/2050
|
4.206%
|
|
2,500,000
|
2,235,623
|
Commercial Mortgage Pass-Through Certificates(a)
|
||||
Series 2012-LTRT Class A2
|
||||
10/05/2030
|
3.400%
|
|
2,847,443
|
2,709,672
|
Commercial Mortgage Pass-Through Certificates(d)
|
||||
Subordinated Series 2019-BN24 Class C
|
||||
11/15/2062
|
3.517%
|
|
1,000,000
|
796,698
|
Commercial Mortgage Trust
|
||||
Series 2014-UBS4 Class A5
|
||||
08/10/2047
|
3.694%
|
|
5,000,000
|
4,984,633
|
Multi-Manager Total Return Bond Strategies Fund | 2024
19
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Series 2014-UBS6 Class A4
|
||||
12/10/2047
|
3.378%
|
|
2,564,668
|
2,542,623
|
Series 2015-DC1 Class A5
|
||||
02/10/2048
|
3.350%
|
|
790,000
|
776,901
|
Series 2015-LC19 Class A4
|
||||
02/10/2048
|
3.183%
|
|
835,000
|
822,686
|
Series 2015-PC1 Class A5
|
||||
07/10/2050
|
3.902%
|
|
2,755,000
|
2,707,266
|
Series 2016-COR1 Class A3
|
||||
10/10/2049
|
2.826%
|
|
8,410,989
|
7,893,294
|
Credit Suisse Mortgage Capital Certificates OA LLC(a)
|
||||
Series 2014-USA Class A2
|
||||
09/15/2037
|
3.953%
|
|
14,800,000
|
13,089,425
|
CSAIL Commercial Mortgage Trust
|
||||
Series 2019-C18 Class A4
|
||||
12/15/2052
|
2.968%
|
|
3,345,000
|
2,880,632
|
CSAIL Commercial Mortgage Trust(d)
|
||||
Subordinated Series 2018-C14 Class B
|
||||
11/15/2051
|
4.878%
|
|
1,000,000
|
885,153
|
Subordinated Series 2020-C19 Class C
|
||||
03/15/2053
|
3.735%
|
|
2,345,000
|
1,809,231
|
DBGS Mortgage Trust(a),(b)
|
||||
Series 2018-BIOD Class E
|
||||
1-month Term SOFR + 1.950%
Floor 1.700%
05/15/2035
|
7.267%
|
|
2,741,288
|
2,698,451
|
Series 2018-BIOD Class F
|
||||
1-month Term SOFR + 2.250%
Floor 2.000%
05/15/2035
|
7.567%
|
|
10,782,400
|
10,608,553
|
DBJPM Mortgage Trust(d),(g)
|
||||
Series 2020-C9 Class XA
|
||||
09/15/2053
|
1.701%
|
|
45,559,931
|
2,265,531
|
DBUBS Mortgage Trust(a)
|
||||
Series 2017-BRBK Class A
|
||||
10/10/2034
|
3.452%
|
|
2,800,000
|
2,642,046
|
DBWF Mortgage Trust(a),(d)
|
||||
Series 2016-85T Class D
|
||||
12/10/2036
|
3.808%
|
|
2,000,000
|
1,459,842
|
DC Commercial Mortgage Trust(a)
|
||||
Series 2023-DC Class A
|
||||
09/12/2040
|
6.314%
|
|
7,175,000
|
7,340,374
|
DK Trust(a),(b)
|
||||
Subordinated Series 2024-SPBX Class D
|
||||
1-month Term SOFR + 2.750%
Floor 1.500%
03/15/2034
|
8.067%
|
|
1,500,000
|
1,496,250
|
Commercial Mortgage-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
DTP Commercial Mortgage Trust(a),(d)
|
||||
Series 2023-STE2 Class A
|
||||
01/15/2041
|
6.038%
|
|
2,000,000
|
1,993,156
|
ELM Trust(a),(c),(d),(e),(f)
|
||||
Subordinated Series 2024-ELM Class C15
|
||||
06/10/2027
|
6.189%
|
|
5,000,000
|
5,000,000
|
Extended Stay America Trust(a),(b)
|
||||
Series 2021-ESH Class E
|
||||
1-month Term SOFR + 2.964%
Floor 2.850%
07/15/2038
|
8.281%
|
|
2,738,997
|
2,742,422
|
FirstKey Homes Trust(a)
|
||||
Series 2020-SFR1 Class A
|
||||
08/17/2037
|
1.339%
|
|
5,986,038
|
5,669,786
|
Subordinated Series 2020-SFR2 Class E
|
||||
10/19/2037
|
2.668%
|
|
3,432,000
|
3,249,917
|
FS Rialto(a),(b)
|
||||
Series 2021-FL3 Class A
|
||||
1-month Term SOFR + 1.364%
Floor 1.364%
11/16/2036
|
6.684%
|
|
4,748,831
|
4,722,768
|
GAM Investments(a),(i)
|
||||
Subordinated Series 2021-F Class A
|
||||
09/27/2051
|
0.000%
|
|
2,186,000
|
2,050,053
|
Subordinated Series 2021-F Class D
|
||||
09/27/2051
|
0.000%
|
|
1,777,000
|
1,559,815
|
Subordinated Series 2021-F Class E
|
||||
09/27/2051
|
0.000%
|
|
1,798,000
|
1,699,531
|
Subordinated Series 2021-F Class G
|
||||
09/27/2051
|
0.000%
|
|
1,797,000
|
1,687,898
|
Subordinated Series 2021-F Class H
|
||||
09/27/2051
|
0.000%
|
|
1,510,000
|
991,913
|
GAM Investments(a),(d)
|
||||
Subordinated Series 2021-F Class C
|
||||
09/27/2051
|
1.010%
|
|
1,778,000
|
1,616,739
|
Subordinated Series 2021-F Class F
|
||||
09/27/2051
|
2.400%
|
|
2,364,000
|
1,841,366
|
GAM Re-REMIC Trust(a),(i)
|
||||
Series 2021-FRR1 Class 1B
|
||||
07/28/2027
|
0.000%
|
|
2,690,000
|
2,106,519
|
Series 2021-FRR1 Class 2B
|
||||
12/29/2027
|
0.000%
|
|
4,900,000
|
3,720,828
|
GAM Resecuritization Trust(a),(d)
|
||||
Series 2022-FRR3 Class BK71
|
||||
01/29/2052
|
2.000%
|
|
3,736,000
|
3,028,578
|
GAM Resecuritization Trust(a),(i)
|
||||
Series 2022-FRR3 Class D728
|
||||
01/29/2052
|
0.000%
|
|
1,446,000
|
1,394,490
|
20
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Subordinated Series 2022-FRR3 Class BK89
|
||||
01/29/2052
|
0.000%
|
|
2,169,000
|
1,491,988
|
GAM Resecuritization Trust(a),(h)
|
||||
Subordinated Series 2022-FRR3 Class BK61
|
||||
11/27/2049
|
0.000%
|
|
2,543,000
|
1,997,632
|
Subordinated Series 2022-FRR3 Class C728
|
||||
08/27/2050
|
0.000%
|
|
1,446,000
|
1,405,210
|
Subordinated Series 2022-FRR3 Class CK47
|
||||
05/27/2048
|
0.000%
|
|
1,474,000
|
1,346,556
|
Subordinated Series 2022-FRR3 Class DK41
|
||||
10/27/2047
|
0.000%
|
|
1,165,000
|
1,118,194
|
Subordinated Series 2022-FRR3 Class DK47
|
||||
05/27/2048
|
0.000%
|
|
1,473,000
|
1,326,773
|
Great Wolf Trust(a),(b)
|
||||
Subordinated Series 2024-WLF2 Class B
|
||||
1-month Term SOFR + 2.141%
05/15/2041
|
7.441%
|
|
4,957,000
|
4,961,647
|
Greystone Commercial Capital Trust(a),(b)
|
||||
Series 2021-3 Class A
|
||||
1-month Term SOFR + 2.344%
Floor 2.230%
08/01/2024
|
7.665%
|
|
8,500,000
|
8,455,635
|
Greystone CRE Notes Ltd.(a),(b)
|
||||
Series 2019-FL2 Class A
|
||||
1-month Term SOFR + 1.364%
Floor 1.180%
09/15/2037
|
6.681%
|
|
2,217,755
|
2,215,226
|
GS Mortgage Securities Corp II(a),(d)
|
||||
Series 2017-375H Class A
|
||||
09/10/2037
|
3.475%
|
|
5,000,000
|
4,550,515
|
GS Mortgage Securities Corp. II(a)
|
||||
Series 2012-BWTR Class A
|
||||
11/05/2034
|
2.954%
|
|
3,857,000
|
3,094,418
|
GS Mortgage Securities Corp. Trust(a),(b)
|
||||
Series 2021-ARDN Class A
|
||||
1-month Term SOFR + 1.364%
Floor 1.250%
11/15/2036
|
6.681%
|
|
3,000,000
|
2,971,325
|
GS Mortgage Securities Trust(a),(d)
|
||||
Series 2013-PEMB Class A
|
||||
03/05/2033
|
3.550%
|
|
1,890,000
|
1,560,361
|
GS Mortgage Securities Trust
|
||||
Series 2016-GS2 Class A3
|
||||
05/10/2049
|
2.791%
|
|
4,386,124
|
4,180,886
|
Series 2017-GS7 Class A3
|
||||
08/10/2050
|
3.167%
|
|
10,000,000
|
9,364,313
|
Series 2017-GS8 Class A3
|
||||
11/10/2050
|
3.205%
|
|
20,000,000
|
18,597,254
|
Commercial Mortgage-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Series 2019-GSA1 Class A4
|
||||
11/10/2052
|
3.048%
|
|
3,000,000
|
2,675,585
|
Series 2020-GC45 Class A5
|
||||
02/13/2053
|
2.911%
|
|
1,810,000
|
1,582,676
|
GS Mortgage Securities Trust(d)
|
||||
Subordinated Series 2015-GC30 Class AS
|
||||
05/10/2050
|
3.777%
|
|
4,250,570
|
4,111,236
|
Subordinated Series 2016-GS3 Class C
|
||||
10/10/2049
|
3.981%
|
|
1,500,000
|
1,351,532
|
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%
|
|
999,827
|
998,051
|
HILT Commercial Mortgage Trust(a),(b)
|
||||
Series 2024-ORL Class A
|
||||
1-month Term SOFR + 1.541%
05/15/2037
|
6.841%
|
|
2,000,000
|
1,999,370
|
HTL Commercial Mortgage Trust(a),(d)
|
||||
Series 2024-T53 Class A
|
||||
05/10/2039
|
5.876%
|
|
5,500,000
|
5,483,182
|
Hudson Yards Mortgage Trust(a)
|
||||
Series 2019-30HY Class A
|
||||
07/10/2039
|
3.228%
|
|
2,160,000
|
1,901,056
|
Hudsons Bay Simon JV Trust(a)
|
||||
Series 2015-HB10 Class A10
|
||||
08/05/2034
|
4.155%
|
|
1,820,000
|
1,692,527
|
Series 2015-HB7 Class A7
|
||||
08/05/2034
|
3.914%
|
|
1,852,980
|
1,807,992
|
ILPT Commercial Mortgage Trust(a),(b)
|
||||
Series 2022-LPF2 Class A
|
||||
1-month Term SOFR + 2.245%
Floor 2.245%
10/15/2039
|
7.562%
|
|
5,123,089
|
5,116,701
|
IMT Trust(a)
|
||||
Series 2017-APTS Class AFX
|
||||
06/15/2034
|
3.478%
|
|
5,410,000
|
5,391,240
|
INTOWN Mortgage Trust(a),(b)
|
||||
Subordinated Series 2022-STAY Class D
|
||||
1-month Term SOFR + 4.134%
Floor 4.134%
08/15/2037
|
9.451%
|
|
2,500,000
|
2,515,625
|
JPMBB Commercial Mortgage Securities Trust
|
||||
Series 2014-C26 Class A3
|
||||
01/15/2048
|
3.231%
|
|
201,398
|
199,268
|
Series 2015-C30 Class A5
|
||||
07/15/2048
|
3.822%
|
|
4,200,000
|
4,055,627
|
JPMBB Commercial Mortgage Securities Trust(a),(d)
|
||||
Subordinated Series 2014-C19 Class D
|
||||
04/15/2047
|
4.885%
|
|
132,740
|
128,758
|
Multi-Manager Total Return Bond Strategies Fund | 2024
21
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
JPMBB Commercial Mortgage Securities Trust(d)
|
||||
Subordinated Series 2014-C25 Class B
|
||||
11/15/2047
|
4.347%
|
|
1,470,000
|
1,336,965
|
Subordinated Series 2015-C29 Class AS
|
||||
05/15/2048
|
3.917%
|
|
2,292,000
|
2,229,556
|
JPMCC_17-JP6
|
||||
Series 20 17-JP6 Class A5
|
||||
07/15/2050
|
3.490%
|
|
4,872,000
|
4,512,235
|
JPMDB Commercial Mortgage Securities Trust
|
||||
Series 2016-C4 Class A2
|
||||
12/15/2049
|
2.882%
|
|
6,009,632
|
5,677,621
|
Series 2019-COR6 Class A3
|
||||
11/13/2052
|
2.795%
|
|
7,500,000
|
6,592,672
|
JPMorgan Chase Commercial Mortgage Securities Trust(a)
|
||||
Series 2018-WPT Class AFX
|
||||
07/05/2033
|
4.248%
|
|
13,000,000
|
12,025,000
|
Series 2019-OSB Class A
|
||||
06/05/2039
|
3.397%
|
|
2,110,000
|
1,881,587
|
JPMorgan Chase Commercial Mortgage Securities Trust(a),(b)
|
||||
Series 2021-HTL5 Class A
|
||||
1-month Term SOFR + 1.229%
Floor 1.115%
11/15/2038
|
6.546%
|
|
7,080,000
|
7,031,301
|
Series 2021-MHC Class B
|
||||
1-month Term SOFR + 1.164%
Floor 1.050%
04/15/2038
|
6.481%
|
|
1,700,000
|
1,693,702
|
Series 2022-ACB Class E
|
||||
30-day Average SOFR + 3.350%
Floor 3.350%
03/15/2039
|
8.674%
|
|
6,450,000
|
6,296,711
|
Subordinated Series 2021-NYAH Class E
|
||||
1-month Term SOFR + 1.954%
06/15/2038
|
7.271%
|
|
600,000
|
518,597
|
Subordinated Series 2021-NYAH Class H
|
||||
1-month Term SOFR + 3.504%
06/15/2038
|
8.821%
|
|
3,500,000
|
2,010,605
|
KIND Trust(a),(b)
|
||||
Series 2021-KIND Class A
|
||||
1-month Term SOFR + 1.064%
Floor 0.950%
08/15/2038
|
6.381%
|
|
3,213,172
|
3,158,592
|
KSL Commercial Mortgage Trust(a),(b)
|
||||
Series 2023-HT Class A
|
||||
1-month Term SOFR + 2.290%
Floor 2.290%
12/15/2036
|
7.667%
|
|
5,000,000
|
5,034,385
|
Ladder Capital Commercial Mortgage(a)
|
||||
Series 2017-LC26 Class A4
|
||||
07/12/2050
|
3.551%
|
|
4,500,000
|
4,223,381
|
Commercial Mortgage-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
LAQ Mortgage Trust(a),(b)
|
||||
Series 2023-LAQ Class A
|
||||
1-month Term SOFR + 2.091%
Floor 2.091%
03/15/2036
|
7.408%
|
|
866,163
|
867,787
|
Life Mortgage Trust(a),(b)
|
||||
Series 2022-BMR2 Class A1
|
||||
1-month Term SOFR + 1.295%
Floor 1.295%
05/15/2039
|
6.612%
|
|
5,000,000
|
4,912,430
|
Subordinated Series 2021-BMR Class F
|
||||
1-month Term SOFR + 2.464%
Floor 2.350%
03/15/2038
|
7.781%
|
|
5,168,457
|
4,961,719
|
LSTAR Commercial Mortgage Trust(a)
|
||||
Series 2017-5 Class A4
|
||||
03/10/2050
|
3.390%
|
|
800,000
|
779,101
|
MARQ Trust(a),(b),(c)
|
||||
Series 2024-HOU Class A
|
||||
1-month Term SOFR + 1.591%
Floor 1.591%
06/15/2029
|
6.910%
|
|
5,000,000
|
4,987,500
|
MED Commercial Mortgage Trust(a),(b)
|
||||
Series 2024-MOB Class A
|
||||
1-month Term SOFR + 1.592%
Floor 1.592%
05/15/2041
|
6.902%
|
|
5,200,000
|
5,200,294
|
Med Trust(a),(b)
|
||||
Series 2021-MDLN Class A
|
||||
1-month Term SOFR + 1.064%
Floor 0.950%
11/15/2038
|
6.381%
|
|
5,254,781
|
5,228,518
|
MHP MHIL(a),(b)
|
||||
Subordinated Series 2022 Class E
|
||||
1-month Term SOFR + 2.611%
Floor 2.611%
01/15/2027
|
7.927%
|
|
2,734,842
|
2,714,318
|
MKT Mortgage Trust(a)
|
||||
Series 2020-525M Class A
|
||||
02/12/2040
|
2.694%
|
|
1,575,000
|
1,254,593
|
Morgan Stanley Bank of America Merrill Lynch Trust
|
||||
Series 2015-C21 Class A3
|
||||
03/15/2048
|
3.077%
|
|
407,904
|
404,302
|
Series 2016-C29 Class ASB
|
||||
05/15/2049
|
3.140%
|
|
345,705
|
338,041
|
Morgan Stanley Capital I Trust
|
||||
Series 2016-UB11 Class A3
|
||||
08/15/2049
|
2.531%
|
|
8,300,158
|
7,781,834
|
Morgan Stanley Capital I Trust(d),(g)
|
||||
Series 2021-L5 Class XA
|
||||
05/15/2054
|
1.287%
|
|
13,512,896
|
782,924
|
22
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
MTN Commercial Mortgage Trust(a),(b)
|
||||
Series 2022-LPFL Class A
|
||||
1-month Term SOFR + 1.397%
Floor 1.397%
03/15/2039
|
6.714%
|
|
2,000,000
|
1,976,860
|
NJ Trust(a),(d)
|
||||
Series 2023-GSP Class A
|
||||
01/06/2029
|
6.697%
|
|
6,800,000
|
7,006,715
|
ORL Trust(a),(b)
|
||||
Series 2023-GLKS Class A
|
||||
1-month Term SOFR + 2.350%
Floor 2.350%
10/19/2036
|
7.667%
|
|
5,000,000
|
5,020,343
|
PFP Ltd.(a),(b)
|
||||
Series 2023-10 Class A
|
||||
1-month Term SOFR + 2.365%
Floor 2.365%
09/16/2038
|
7.686%
|
|
3,200,000
|
3,218,063
|
Progress Residential Trust(a)
|
||||
Subordinated Series 2021-SFR1 Class G
|
||||
04/17/2038
|
3.861%
|
|
3,830,000
|
3,482,550
|
RFM Re-REMIC Trust(a),(i)
|
||||
Series 2022-FRR1 Class AB55
|
||||
03/28/2049
|
0.000%
|
|
1,150,000
|
991,716
|
Subordinated Series 2022-FRR1 Class CK55
|
||||
03/28/2049
|
0.000%
|
|
360,000
|
303,434
|
Subordinated Series 2022-FRR1 Class CK60
|
||||
11/08/2049
|
0.000%
|
|
450,000
|
352,563
|
RFM Re-REMIC Trust(a),(d)
|
||||
Series 2022-FRR1 Class AB60
|
||||
11/08/2049
|
2.470%
|
|
970,000
|
840,332
|
Series 2022-FRR1 Class AB64
|
||||
03/01/2050
|
2.314%
|
|
1,460,000
|
1,254,798
|
SCOTT Trust(a)
|
||||
Series 2023-SFS Class A
|
||||
03/15/2040
|
5.910%
|
|
3,340,000
|
3,343,308
|
SDR Commercial Mortgage Trust(a),(b)
|
||||
Subordinated Series 2024-DSNY Class B
|
||||
1-month Term SOFR + 1.741%
Floor 1.741%
05/15/2039
|
7.041%
|
|
2,500,000
|
2,499,024
|
SG Commercial Mortgage Securities Trust
|
||||
Series 2016-C5 Class A4
|
||||
10/10/2048
|
3.055%
|
|
5,120,000
|
4,811,020
|
SHER Trust(a),(b)
|
||||
Series 2024-DAL Class A
|
||||
1-month Term SOFR + 1.641%
Floor 1.641%
04/15/2029
|
6.971%
|
|
4,525,000
|
4,524,991
|
Commercial Mortgage-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
SMRT Commercial Mortgage Trust(a),(b)
|
||||
Subordinated Series 2022-MINI Class D
|
||||
1-month Term SOFR + 1.950%
Floor 1.950%
01/15/2039
|
7.267%
|
|
3,850,000
|
3,792,332
|
SPGN TFLM Mortgage Trust(a),(b)
|
||||
Series 2022 Class A
|
||||
1-month Term SOFR + 1.550%
Floor 1.550%
02/15/2039
|
6.867%
|
|
5,670,000
|
5,586,096
|
SREIT Trust(a),(b)
|
||||
Subordinated Series 2021-PALM Class E
|
||||
1-month Term SOFR + 2.024%
Floor 1.910%
10/15/2034
|
7.341%
|
|
6,275,000
|
6,173,031
|
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
|
1,371,613
|
THPT Mortgage Trust(a),(d),(g)
|
||||
Series 2023-THL Class A
|
||||
12/10/2034
|
6.994%
|
|
5,000,000
|
5,085,523
|
UBS Commercial Mortgage Trust
|
||||
Series 2018-C10 Class A3
|
||||
05/15/2051
|
4.048%
|
|
5,468,366
|
5,175,826
|
Wells Fargo Commercial Mortgage Trust
|
||||
Series 2015-LC20 Class A4
|
||||
04/15/2050
|
2.925%
|
|
1,965,000
|
1,928,761
|
Series 2015-SG1 Class A4
|
||||
09/15/2048
|
3.789%
|
|
9,036,083
|
8,804,859
|
Series 2017-C39 Class A4
|
||||
09/15/2050
|
3.157%
|
|
10,065,000
|
9,362,391
|
Series 2018-C45 Class A3
|
||||
06/15/2051
|
3.920%
|
|
15,968,202
|
15,012,668
|
Series 2021-C61 Class A4
|
||||
11/15/2054
|
2.658%
|
|
7,990,000
|
6,618,361
|
Subordinated Series 2014-LC18 Class B
|
||||
12/15/2047
|
3.959%
|
|
3,650,000
|
3,577,779
|
Wells Fargo Commercial Mortgage Trust(d),(g)
|
||||
Series 2021-C59 Class XA
|
||||
04/15/2054
|
1.514%
|
|
20,307,788
|
1,453,327
|
Series 2021-C60 Class XA
|
||||
08/15/2054
|
1.521%
|
|
4,061,048
|
288,434
|
Wells Fargo Commercial Mortgage Trust(d)
|
||||
Series 2022-C62 Class A4
|
||||
04/15/2055
|
4.000%
|
|
5,330,000
|
4,830,793
|
Subordinated Series 2016-C33 Class B
|
||||
03/15/2059
|
4.506%
|
|
3,005,000
|
2,879,736
|
Multi-Manager Total Return Bond Strategies Fund | 2024
23
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Subordinated Series 2016-C35 Class C
|
||||
07/15/2048
|
4.176%
|
|
2,100,000
|
1,952,053
|
Subordinated Series 2017-C41 Class B
|
||||
11/15/2050
|
4.188%
|
|
887,000
|
784,400
|
WSTN Trust(a),(d)
|
||||
Series 2023-MAUI Class A
|
||||
07/05/2037
|
6.297%
|
|
2,500,000
|
2,501,216
|
Total Commercial Mortgage-Backed Securities - Non-Agency
(Cost $911,246,887)
|
873,070,498
|
Common Stocks 0.0%
|
||
Issuer
|
Shares
|
Value ($)
|
Communication Services 0.0%
|
||
Diversified Telecommunication Services 0.0%
|
||
Intelsat Emergence SA(j)
|
88,937
|
3,263,988
|
Wireless Telecommunication Services 0.0%
|
||
Digicel Ltd.(e),(f),(j),(k)
|
59,381
|
148,452
|
Total Communication Services
|
3,412,440
|
|
Energy 0.0%
|
||
Oil, Gas & Consumable Fuels 0.0%
|
||
Prairie Provident Resources, Inc.(f),(j)
|
1,728
|
90
|
Total Energy
|
90
|
|
Total Common Stocks
(Cost $3,065,072)
|
3,412,530
|
Convertible Bonds 0.0%
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Banking 0.0%
|
||||
BBVA Bancomer SA(a),(l)
|
||||
Subordinated
|
||||
01/08/2039
|
8.125%
|
|
1,450,000
|
1,483,626
|
Lloyds Banking Group PLC(l),(m)
|
||||
|
8.000%
|
|
1,611,000
|
1,621,430
|
UBS Group AG(a),(l),(m)
|
||||
|
9.250%
|
|
994,000
|
1,062,192
|
|
9.250%
|
|
325,000
|
360,823
|
Total
|
4,528,071
|
|||
Total Convertible Bonds
(Cost $4,357,815)
|
4,528,071
|
Convertible Preferred Stocks 0.0%
|
|||
Issuer
|
|
Shares
|
Value ($)
|
Communication Services 0.0%
|
|||
Wireless Telecommunication Services 0.0%
|
|||
Digicel Ltd.(e),(f),(k)
|
6.750%
|
10,881
|
108,810
|
Total Communication Services
|
108,810
|
||
Total Convertible Preferred Stocks
(Cost $108,810)
|
108,810
|
Corporate Bonds & Notes 28.1%
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Aerospace & Defense 0.4%
|
||||
BAE Systems PLC(a)
|
||||
03/26/2029
|
5.125%
|
|
1,870,000
|
1,854,825
|
04/15/2030
|
3.400%
|
|
690,000
|
621,582
|
03/26/2031
|
5.250%
|
|
535,000
|
530,372
|
03/26/2054
|
5.500%
|
|
380,000
|
369,823
|
Boeing Co. (The)
|
||||
02/01/2031
|
3.625%
|
|
3,875,000
|
3,366,936
|
02/01/2035
|
3.250%
|
|
3,499,000
|
2,644,972
|
05/01/2040
|
5.705%
|
|
559,000
|
514,006
|
03/01/2047
|
3.650%
|
|
1,060,000
|
695,162
|
03/01/2048
|
3.625%
|
|
3,800,000
|
2,450,863
|
05/01/2050
|
5.805%
|
|
5,065,000
|
4,534,221
|
08/01/2059
|
3.950%
|
|
3,500,000
|
2,203,982
|
Boeing Co. (The)(a)
|
||||
05/01/2034
|
6.528%
|
|
1,655,000
|
1,677,581
|
05/01/2054
|
6.858%
|
|
2,029,000
|
2,057,564
|
05/01/2064
|
7.008%
|
|
797,000
|
803,892
|
Bombardier, Inc.(a)
|
||||
04/15/2027
|
7.875%
|
|
4,443,000
|
4,447,331
|
02/01/2029
|
7.500%
|
|
1,050,000
|
1,086,611
|
General Electric Co.(b)
|
||||
3-month Term SOFR + 0.742%
08/15/2036
|
6.064%
|
|
5,380,000
|
5,076,116
|
HEICO Corp.
|
||||
08/01/2028
|
5.250%
|
|
1,749,000
|
1,743,906
|
Huntington Ingalls Industries, Inc.
|
||||
08/16/2028
|
2.043%
|
|
7,466,000
|
6,520,723
|
05/01/2030
|
4.200%
|
|
3,200,000
|
2,988,851
|
L3Harris Technologies, Inc.
|
||||
06/01/2029
|
5.050%
|
|
953,000
|
944,003
|
Lockheed Martin Corp.
|
||||
02/15/2034
|
4.750%
|
|
463,000
|
448,240
|
08/15/2034
|
4.800%
|
|
973,000
|
945,613
|
06/15/2053
|
4.150%
|
|
744,000
|
600,254
|
11/15/2063
|
5.900%
|
|
316,000
|
332,788
|
02/15/2064
|
5.200%
|
|
705,000
|
664,175
|
Textron, Inc.
|
||||
03/01/2025
|
3.875%
|
|
289,000
|
285,315
|
24
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
TransDigm, Inc.(a)
|
||||
12/01/2031
|
7.125%
|
|
3,095,000
|
3,177,878
|
United Technologies Corp.
|
||||
11/16/2038
|
4.450%
|
|
986,000
|
868,602
|
06/01/2042
|
4.500%
|
|
1,407,000
|
1,221,736
|
Total
|
55,677,923
|
|||
Airlines 0.3%
|
||||
American Airlines Pass-Through Trust
|
||||
Series 2015-2 Class AA
|
||||
09/22/2027
|
3.600%
|
|
79,489
|
74,814
|
Series 2016-1 Class AA
|
||||
07/15/2029
|
3.575%
|
|
504,230
|
472,685
|
Series 2016-2 Class AA
|
||||
06/15/2028
|
3.200%
|
|
511,271
|
469,863
|
Series 2017-2 Class AA
|
||||
10/15/2029
|
3.350%
|
|
1,578,098
|
1,442,389
|
Series 2019-1 Class AA
|
||||
08/15/2033
|
3.150%
|
|
362,528
|
320,521
|
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a)
|
||||
04/20/2029
|
5.750%
|
|
1,050,000
|
1,015,494
|
Delta Air Lines Pass-Through Trust
|
||||
06/10/2028
|
2.000%
|
|
5,337,368
|
4,839,842
|
06/10/2028
|
2.500%
|
|
818,442
|
742,161
|
Delta Air Lines, Inc./SkyMiles IP Ltd.(a)
|
||||
10/20/2028
|
4.750%
|
|
7,285,382
|
7,090,248
|
Mileage Plus Holdings LLC/Intellectual Property Assets Ltd.(a)
|
||||
06/20/2027
|
6.500%
|
|
377,043
|
377,427
|
Southwest Airlines Co.
|
||||
06/15/2027
|
5.125%
|
|
1,665,000
|
1,654,000
|
U.S. Airways Pass-Through Trust
|
||||
10/01/2024
|
5.900%
|
|
405,202
|
404,310
|
06/03/2025
|
4.625%
|
|
1,763,162
|
1,733,301
|
United Airlines Pass-Through Trust
|
||||
Series 2023-1 Class A
|
||||
01/15/2036
|
5.800%
|
|
8,532,000
|
8,534,740
|
United Airlines, Inc.(a)
|
||||
04/15/2026
|
4.375%
|
|
2,775,000
|
2,674,882
|
04/15/2029
|
4.625%
|
|
840,000
|
776,869
|
United Airlines, Inc. Pass-Through Trust
|
||||
10/15/2027
|
5.875%
|
|
554,815
|
554,175
|
Total
|
33,177,721
|
|||
Apartment REIT 0.1%
|
||||
American Homes 4 Rent LP
|
||||
07/15/2031
|
2.375%
|
|
372,000
|
300,438
|
04/15/2032
|
3.625%
|
|
396,000
|
343,285
|
02/01/2034
|
5.500%
|
|
2,458,000
|
2,405,791
|
07/15/2051
|
3.375%
|
|
1,735,000
|
1,121,052
|
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
04/15/2052
|
4.300%
|
|
1,270,000
|
974,010
|
Camden Property Trust
|
||||
11/03/2026
|
5.850%
|
|
1,326,000
|
1,341,524
|
01/15/2034
|
4.900%
|
|
1,524,000
|
1,451,250
|
Invitation Homes Operating Partnership LP
|
||||
11/15/2028
|
2.300%
|
|
1,377,000
|
1,211,860
|
08/15/2031
|
2.000%
|
|
6,506,000
|
5,104,560
|
04/15/2032
|
4.150%
|
|
376,000
|
342,276
|
08/15/2033
|
5.500%
|
|
945,000
|
932,151
|
01/15/2034
|
2.700%
|
|
52,000
|
40,901
|
Mid-America Apartments LP
|
||||
02/15/2032
|
5.300%
|
|
1,040,000
|
1,030,980
|
Total
|
16,600,078
|
|||
Automotive 1.0%
|
||||
Adient Global Holdings Ltd.(a)
|
||||
08/15/2026
|
4.875%
|
|
2,700,000
|
2,620,106
|
American Axle & Manufacturing, Inc.
|
||||
03/15/2026
|
6.250%
|
|
427,000
|
423,782
|
04/01/2027
|
6.500%
|
|
600,000
|
596,198
|
American Honda Finance Corp.
|
||||
01/12/2028
|
4.700%
|
|
1,414,000
|
1,400,193
|
07/07/2028
|
5.125%
|
|
684,000
|
685,947
|
11/15/2028
|
5.650%
|
|
803,000
|
821,018
|
03/13/2029
|
4.900%
|
|
4,355,000
|
4,321,289
|
10/04/2030
|
5.850%
|
|
1,276,000
|
1,324,859
|
01/10/2034
|
4.900%
|
|
209,000
|
202,346
|
Aptiv PLC
|
||||
12/01/2051
|
3.100%
|
|
1,905,000
|
1,171,930
|
BMW US Capital LLC(a)
|
||||
04/02/2029
|
4.900%
|
|
5,500,000
|
5,454,241
|
Cummins, Inc.
|
||||
02/20/2029
|
4.900%
|
|
525,000
|
524,316
|
Dana, Inc.
|
||||
06/15/2028
|
5.625%
|
|
800,000
|
774,003
|
Denso Corp.(a)
|
||||
09/16/2026
|
1.239%
|
|
4,070,000
|
3,700,958
|
Ford Motor Co.
|
||||
08/19/2032
|
6.100%
|
|
1,262,000
|
1,257,583
|
01/15/2043
|
4.750%
|
|
2,600,000
|
2,101,478
|
Ford Motor Credit Co. LLC
|
||||
09/08/2024
|
3.664%
|
|
2,000,000
|
1,987,021
|
08/04/2025
|
4.134%
|
|
950,000
|
931,116
|
11/13/2025
|
3.375%
|
|
1,000,000
|
965,545
|
03/06/2026
|
6.950%
|
|
1,425,000
|
1,447,900
|
05/17/2027
|
5.850%
|
|
5,190,000
|
5,187,042
|
08/17/2027
|
4.125%
|
|
2,270,000
|
2,151,897
|
05/12/2028
|
6.800%
|
|
450,000
|
462,873
|
11/07/2028
|
6.798%
|
|
4,050,000
|
4,181,668
|
03/08/2029
|
5.800%
|
|
1,351,000
|
1,343,003
|
05/03/2029
|
5.113%
|
|
1,405,000
|
1,353,160
|
Multi-Manager Total Return Bond Strategies Fund | 2024
25
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
General Motors Co.
|
||||
10/01/2025
|
6.125%
|
|
529,000
|
531,633
|
04/01/2035
|
5.000%
|
|
5,365,000
|
4,995,422
|
04/01/2038
|
5.150%
|
|
1,550,000
|
1,420,968
|
10/02/2043
|
6.250%
|
|
452,000
|
450,123
|
04/01/2045
|
5.200%
|
|
1,500,000
|
1,319,802
|
General Motors Financial Co., Inc.
|
||||
07/13/2025
|
4.300%
|
|
1,060,000
|
1,044,504
|
10/10/2025
|
6.050%
|
|
3,385,000
|
3,402,344
|
03/01/2026
|
5.250%
|
|
2,260,000
|
2,248,095
|
06/23/2028
|
5.800%
|
|
1,850,000
|
1,864,781
|
07/15/2029
|
5.550%
|
|
5,145,000
|
5,123,624
|
06/21/2030
|
3.600%
|
|
1,710,000
|
1,527,756
|
01/08/2031
|
2.350%
|
|
1,873,000
|
1,526,794
|
01/07/2034
|
6.100%
|
|
666,000
|
670,506
|
04/04/2034
|
5.950%
|
|
2,683,000
|
2,668,199
|
Harley-Davidson Financial Services, Inc.(a)
|
||||
06/08/2025
|
3.350%
|
|
1,155,000
|
1,127,226
|
03/10/2028
|
6.500%
|
|
2,535,000
|
2,597,930
|
Hyundai Capital America(a)
|
||||
06/26/2025
|
5.800%
|
|
5,620,000
|
5,621,802
|
09/21/2026
|
5.950%
|
|
4,120,000
|
4,148,905
|
06/26/2028
|
5.680%
|
|
1,106,000
|
1,111,579
|
09/21/2028
|
6.100%
|
|
5,097,000
|
5,204,002
|
01/16/2029
|
6.500%
|
|
1,282,000
|
1,331,684
|
01/08/2031
|
5.400%
|
|
363,000
|
360,467
|
Hyundai Capital Services, Inc.(a)
|
||||
04/24/2025
|
2.125%
|
|
3,320,000
|
3,214,523
|
LKQ Corp.
|
||||
06/15/2028
|
5.750%
|
|
3,405,000
|
3,438,088
|
PACCAR Financial Corp.
|
||||
03/22/2034
|
5.000%
|
|
1,387,000
|
1,374,362
|
Tenneco, Inc.(a)
|
||||
11/17/2028
|
8.000%
|
|
1,825,000
|
1,666,168
|
Toyota Motor Credit Corp.
|
||||
01/13/2027
|
1.900%
|
|
400,000
|
368,938
|
09/20/2027
|
4.550%
|
|
1,642,000
|
1,619,133
|
05/16/2029
|
5.050%
|
|
6,480,000
|
6,469,623
|
11/20/2030
|
5.550%
|
|
1,484,000
|
1,518,512
|
Volkswagen Group of America Finance LLC(a)
|
||||
03/22/2027
|
5.300%
|
|
3,110,000
|
3,102,715
|
03/22/2029
|
5.250%
|
|
11,515,000
|
11,407,492
|
11/16/2030
|
6.450%
|
|
2,287,000
|
2,394,156
|
09/12/2033
|
5.900%
|
|
718,000
|
728,130
|
ZF North America Capital, Inc.(a)
|
||||
04/14/2030
|
7.125%
|
|
1,500,000
|
1,547,398
|
Total
|
136,538,856
|
|||
Banking 7.3%
|
||||
ABN AMRO Bank NV(a),(l)
|
||||
09/18/2027
|
6.339%
|
|
6,900,000
|
6,983,153
|
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Subordinated
|
||||
03/13/2037
|
3.324%
|
|
1,441,000
|
1,177,312
|
AIB Group PLC(a),(l)
|
||||
10/14/2026
|
7.583%
|
|
4,320,000
|
4,416,296
|
09/13/2029
|
6.608%
|
|
815,000
|
838,527
|
American Express Co.(l)
|
||||
05/01/2026
|
4.990%
|
|
525,000
|
521,624
|
02/16/2028
|
5.098%
|
|
1,271,000
|
1,263,281
|
07/27/2029
|
5.282%
|
|
2,265,000
|
2,263,209
|
04/25/2030
|
5.532%
|
|
10,540,000
|
10,636,374
|
ANZ New Zealand International Ltd.(a)
|
||||
08/14/2028
|
5.355%
|
|
4,595,000
|
4,618,216
|
ASB Bank Ltd.(a),(l)
|
||||
Subordinated
|
||||
06/17/2032
|
5.284%
|
|
2,355,000
|
2,314,225
|
Banco Bilbao Vizcaya Argentaria SA
|
||||
03/13/2029
|
5.381%
|
|
6,400,000
|
6,402,751
|
Banco Santander SA
|
||||
05/28/2025
|
2.746%
|
|
3,000,000
|
2,913,361
|
Banco Santander SA(l)
|
||||
03/14/2030
|
5.538%
|
|
8,600,000
|
8,536,811
|
Bank of America Corp.(l)
|
||||
07/22/2027
|
1.734%
|
|
13,400,000
|
12,373,812
|
04/27/2028
|
4.376%
|
|
1,208,000
|
1,174,973
|
03/05/2029
|
3.970%
|
|
2,159,000
|
2,055,729
|
06/14/2029
|
2.087%
|
|
11,335,000
|
9,996,731
|
09/15/2029
|
5.819%
|
|
1,450,000
|
1,474,503
|
07/23/2030
|
3.194%
|
|
35,251,000
|
31,796,316
|
02/13/2031
|
2.496%
|
|
8,712,000
|
7,467,412
|
04/29/2031
|
2.592%
|
|
4,710,000
|
4,036,084
|
07/23/2031
|
1.898%
|
|
425,000
|
346,860
|
10/24/2031
|
1.922%
|
|
3,775,000
|
3,059,896
|
03/11/2032
|
2.651%
|
|
3,099,000
|
2,604,140
|
04/22/2032
|
2.687%
|
|
852,000
|
715,730
|
07/21/2032
|
2.299%
|
|
785,000
|
638,782
|
10/20/2032
|
2.572%
|
|
7,680,000
|
6,335,001
|
02/04/2033
|
2.972%
|
|
1,822,000
|
1,536,120
|
04/25/2034
|
5.288%
|
|
1,896,000
|
1,866,433
|
09/15/2034
|
5.872%
|
|
4,454,000
|
4,558,354
|
01/23/2035
|
5.468%
|
|
9,174,000
|
9,118,878
|
Bank of America Corp.
|
||||
Subordinated
|
||||
01/22/2025
|
4.000%
|
|
795,000
|
785,841
|
04/21/2025
|
3.950%
|
|
2,500,000
|
2,461,564
|
03/03/2026
|
4.450%
|
|
2,000,000
|
1,965,329
|
Bank of America NA
|
||||
08/18/2026
|
5.526%
|
|
5,575,000
|
5,606,708
|
Bank of Ireland Group PLC(a),(l)
|
||||
09/16/2026
|
6.253%
|
|
3,560,000
|
3,575,145
|
03/20/2030
|
5.601%
|
|
5,590,000
|
5,535,313
|
26
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Bank of Montreal(c)
|
||||
06/04/2031
|
5.511%
|
|
11,205,000
|
11,253,180
|
Bank of New York Mellon Corp. (The)(l)
|
||||
04/26/2027
|
4.947%
|
|
4,700,000
|
4,662,886
|
03/14/2030
|
4.975%
|
|
3,581,000
|
3,540,932
|
03/14/2035
|
5.188%
|
|
3,056,000
|
3,001,644
|
Bank of New Zealand(a)
|
||||
01/27/2027
|
2.285%
|
|
2,140,000
|
1,976,954
|
Bank of Nova Scotia (The)(c)
|
||||
08/01/2029
|
5.450%
|
|
4,535,000
|
4,552,397
|
Bank of Nova Scotia (The)(l)
|
||||
Subordinated
|
||||
05/04/2037
|
4.588%
|
|
294,000
|
263,611
|
Banque Federative du Credit Mutuel SA(a)
|
||||
01/26/2026
|
4.935%
|
|
2,208,000
|
2,189,991
|
Barclays PLC
|
||||
03/16/2025
|
3.650%
|
|
270,000
|
265,657
|
Subordinated
|
||||
05/09/2028
|
4.836%
|
|
995,000
|
960,481
|
Barclays PLC(l)
|
||||
06/24/2031
|
2.645%
|
|
3,175,000
|
2,675,141
|
03/10/2032
|
2.667%
|
|
12,020,000
|
9,953,982
|
BNP Paribas SA(a),(l)
|
||||
06/09/2026
|
2.219%
|
|
2,150,000
|
2,074,584
|
09/30/2028
|
1.904%
|
|
3,535,000
|
3,148,744
|
06/12/2029
|
5.335%
|
|
1,815,000
|
1,810,847
|
01/09/2030
|
5.176%
|
|
1,069,000
|
1,059,205
|
04/19/2032
|
2.871%
|
|
7,775,000
|
6,540,269
|
01/20/2033
|
3.132%
|
|
3,920,000
|
3,307,220
|
BPCE SA(a)
|
||||
01/18/2027
|
5.203%
|
|
1,320,000
|
1,315,469
|
01/11/2028
|
3.250%
|
|
460,000
|
427,259
|
05/30/2029
|
5.281%
|
|
1,350,000
|
1,344,097
|
Subordinated
|
||||
07/11/2024
|
4.625%
|
|
4,200,000
|
4,191,554
|
07/21/2024
|
5.150%
|
|
3,363,000
|
3,356,455
|
BPCE SA(a),(l)
|
||||
01/18/2030
|
5.716%
|
|
1,320,000
|
1,320,251
|
05/30/2035
|
5.936%
|
|
2,740,000
|
2,739,230
|
CaixaBank SA(a),(l)
|
||||
03/15/2030
|
5.673%
|
|
3,455,000
|
3,440,896
|
06/15/2035
|
6.037%
|
|
2,085,000
|
2,092,361
|
Canadian Imperial Bank of Commerce
|
||||
04/08/2029
|
5.260%
|
|
5,840,000
|
5,820,419
|
Capital One Financial Corp.(l)
|
||||
10/29/2027
|
7.149%
|
|
3,985,000
|
4,119,322
|
11/02/2027
|
1.878%
|
|
883,000
|
806,928
|
06/08/2029
|
6.312%
|
|
485,000
|
494,852
|
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Citigroup, Inc.(l),(m)
|
||||
|
4.700%
|
|
10,225,000
|
10,014,381
|
|
5.000%
|
|
1,100,000
|
1,092,882
|
|
7.125%
|
|
8,890,000
|
8,883,780
|
Citigroup, Inc.
|
||||
05/01/2026
|
3.400%
|
|
1,300,000
|
1,252,929
|
Subordinated
|
||||
06/10/2025
|
4.400%
|
|
4,250,000
|
4,195,704
|
05/18/2046
|
4.750%
|
|
395,000
|
345,901
|
Citigroup, Inc.(l)
|
||||
06/09/2027
|
1.462%
|
|
1,785,000
|
1,647,507
|
11/05/2030
|
2.976%
|
|
14,780,000
|
13,099,373
|
01/29/2031
|
2.666%
|
|
5,550,000
|
4,807,863
|
05/01/2032
|
2.561%
|
|
4,520,000
|
3,758,256
|
01/25/2033
|
3.057%
|
|
2,800,000
|
2,367,282
|
Citizens Financial Group, Inc.
|
||||
02/06/2030
|
2.500%
|
|
1,496,000
|
1,261,018
|
Citizens Financial Group, Inc.(l)
|
||||
04/25/2035
|
6.645%
|
|
651,000
|
667,621
|
Subordinated
|
||||
05/21/2037
|
5.641%
|
|
4,121,000
|
3,809,849
|
Comerica, Inc.(l)
|
||||
01/30/2030
|
5.982%
|
|
1,535,000
|
1,513,902
|
Commonwealth Bank of Australia(a)
|
||||
Subordinated
|
||||
09/12/2039
|
3.743%
|
|
435,000
|
343,064
|
Cooperatieve Rabobank UA(a),(l)
|
||||
06/24/2026
|
1.339%
|
|
970,000
|
926,522
|
02/24/2027
|
1.106%
|
|
2,500,000
|
2,312,454
|
03/05/2030
|
5.447%
|
|
3,709,000
|
3,696,296
|
Credit Agricole SA(a)
|
||||
03/11/2034
|
5.365%
|
|
5,190,000
|
5,131,998
|
Credit Suisse AG
|
||||
02/21/2025
|
3.700%
|
|
855,000
|
842,517
|
08/07/2026
|
1.250%
|
|
289,000
|
263,871
|
07/09/2027
|
5.000%
|
|
2,861,000
|
2,826,893
|
Credit Suisse Group AG(a),(l)
|
||||
06/05/2026
|
2.193%
|
|
3,297,000
|
3,178,393
|
05/14/2032
|
3.091%
|
|
2,210,000
|
1,883,746
|
Danske Bank A/S(a),(l)
|
||||
09/10/2025
|
0.976%
|
|
5,665,000
|
5,586,275
|
09/22/2026
|
6.259%
|
|
4,875,000
|
4,907,566
|
03/01/2030
|
5.705%
|
|
1,244,000
|
1,244,557
|
Deutsche Bank AG(l)
|
||||
07/13/2027
|
7.146%
|
|
1,200,000
|
1,229,826
|
02/08/2028
|
5.706%
|
|
3,865,000
|
3,857,099
|
Subordinated
|
||||
01/14/2032
|
3.729%
|
|
2,000,000
|
1,686,378
|
Multi-Manager Total Return Bond Strategies Fund | 2024
27
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Deutsche Bank AG
|
||||
05/10/2029
|
5.414%
|
|
7,545,000
|
7,528,560
|
Discover Bank
|
||||
03/13/2026
|
4.250%
|
|
789,000
|
767,603
|
Discover Financial Services
|
||||
11/06/2024
|
3.950%
|
|
1,495,000
|
1,482,170
|
DNB Bank ASA(a),(l)
|
||||
09/16/2026
|
1.127%
|
|
3,950,000
|
3,728,762
|
Federation des Caisses Desjardins du Quebec(a)
|
||||
03/14/2028
|
5.700%
|
|
2,210,000
|
2,230,086
|
04/26/2029
|
5.250%
|
|
2,554,000
|
2,539,216
|
Fifth Third Bancorp(l)
|
||||
07/27/2029
|
6.339%
|
|
7,505,000
|
7,693,083
|
04/25/2033
|
4.337%
|
|
3,412,000
|
3,104,629
|
First Horizon Bank
|
||||
Subordinated
|
||||
05/01/2030
|
5.750%
|
|
3,273,000
|
3,105,946
|
Goldman Sachs Bank(l)
|
||||
03/18/2027
|
5.283%
|
|
1,860,000
|
1,852,590
|
Goldman Sachs Bank USA(l)
|
||||
05/21/2027
|
5.414%
|
|
5,765,000
|
5,750,390
|
Goldman Sachs Group, Inc. (The)(l),(m)
|
||||
|
3.650%
|
|
2,135,000
|
1,964,875
|
Goldman Sachs Group, Inc. (The)(l)
|
||||
09/29/2025
|
3.272%
|
|
4,160,000
|
4,125,401
|
08/10/2026
|
5.798%
|
|
10,790,000
|
10,799,598
|
03/09/2027
|
1.431%
|
|
11,330,000
|
10,537,378
|
02/24/2028
|
2.640%
|
|
3,320,000
|
3,084,694
|
10/24/2029
|
6.484%
|
|
755,000
|
785,859
|
04/25/2030
|
5.727%
|
|
755,000
|
765,103
|
04/22/2032
|
2.615%
|
|
12,585,000
|
10,505,763
|
07/21/2032
|
2.383%
|
|
10,475,000
|
8,547,740
|
02/24/2033
|
3.102%
|
|
1,627,000
|
1,381,911
|
04/25/2035
|
5.851%
|
|
1,079,000
|
1,101,815
|
Goldman Sachs Group, Inc. (The)
|
||||
Subordinated
|
||||
05/22/2045
|
5.150%
|
|
2,100,000
|
1,986,171
|
HSBC Holdings PLC(l)
|
||||
11/07/2025
|
2.633%
|
|
1,148,000
|
1,132,074
|
03/10/2026
|
2.999%
|
|
929,000
|
909,372
|
06/04/2026
|
2.099%
|
|
1,983,000
|
1,911,320
|
08/14/2027
|
5.887%
|
|
3,740,000
|
3,764,114
|
05/17/2028
|
5.597%
|
|
975,000
|
977,793
|
09/22/2028
|
2.013%
|
|
7,309,000
|
6,537,294
|
08/17/2029
|
2.206%
|
|
3,620,000
|
3,168,766
|
05/22/2030
|
3.973%
|
|
3,200,000
|
2,979,033
|
Huntington Bancshares, Inc.(l)
|
||||
08/21/2029
|
6.208%
|
|
4,040,000
|
4,117,368
|
02/02/2035
|
5.709%
|
|
2,134,000
|
2,095,383
|
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Subordinated
|
||||
08/15/2036
|
2.487%
|
|
502,000
|
378,936
|
Huntington National Bank (The)(l)
|
||||
Subordinated
|
||||
07/02/2029
|
4.125%
|
|
1,516,000
|
1,464,800
|
ING Groep NV(l)
|
||||
03/19/2035
|
5.550%
|
|
1,087,000
|
1,075,951
|
Intesa Sanpaolo SpA(a),(l)
|
||||
Subordinated
|
||||
06/01/2032
|
4.198%
|
|
1,100,000
|
928,122
|
JPMorgan Chase & Co.(l),(m)
|
||||
|
4.000%
|
|
2,993,000
|
2,900,402
|
|
4.600%
|
|
9,130,000
|
8,969,798
|
|
5.000%
|
|
1,290,000
|
1,285,761
|
|
6.875%
|
|
1,965,000
|
2,029,613
|
JPMorgan Chase & Co.(l)
|
||||
06/23/2025
|
0.969%
|
|
4,760,000
|
4,745,829
|
12/10/2025
|
1.561%
|
|
2,540,000
|
2,484,876
|
02/24/2026
|
2.595%
|
|
383,000
|
374,347
|
04/22/2026
|
2.083%
|
|
223,000
|
215,997
|
02/04/2027
|
1.040%
|
|
5,369,000
|
4,984,133
|
04/22/2027
|
1.578%
|
|
13,130,000
|
12,211,012
|
09/22/2027
|
1.470%
|
|
1,797,000
|
1,644,325
|
02/24/2028
|
2.947%
|
|
4,610,000
|
4,327,614
|
04/22/2028
|
5.571%
|
|
1,450,000
|
1,459,092
|
01/23/2029
|
3.509%
|
|
10,345,000
|
9,734,410
|
04/23/2029
|
4.005%
|
|
3,180,000
|
3,032,390
|
06/01/2029
|
2.069%
|
|
2,713,000
|
2,397,418
|
12/05/2029
|
4.452%
|
|
1,939,000
|
1,875,346
|
01/23/2030
|
5.012%
|
|
885,000
|
873,210
|
04/22/2030
|
5.581%
|
|
1,450,000
|
1,465,592
|
10/15/2030
|
2.739%
|
|
1,990,000
|
1,750,042
|
02/04/2032
|
1.953%
|
|
190,000
|
153,678
|
04/22/2032
|
2.580%
|
|
7,675,000
|
6,445,563
|
11/08/2032
|
2.545%
|
|
4,535,000
|
3,747,830
|
01/25/2033
|
2.963%
|
|
2,380,000
|
2,016,300
|
06/01/2034
|
5.350%
|
|
2,820,000
|
2,800,213
|
01/23/2035
|
5.336%
|
|
4,031,000
|
3,986,851
|
04/22/2035
|
5.766%
|
|
11,310,000
|
11,555,506
|
11/15/2048
|
3.964%
|
|
2,475,000
|
1,977,518
|
JPMorgan Chase & Co.
|
||||
Subordinated
|
||||
09/10/2024
|
3.875%
|
|
5,440,000
|
5,412,505
|
JPMorgan Chase Bank NA
|
||||
12/08/2026
|
5.110%
|
|
12,365,000
|
12,337,605
|
KeyBank NA
|
||||
11/15/2027
|
5.850%
|
|
3,050,000
|
3,028,800
|
KeyCorp(l)
|
||||
06/01/2033
|
4.789%
|
|
790,000
|
717,665
|
03/06/2035
|
6.401%
|
|
8,156,000
|
8,208,364
|
Lloyds Banking Group PLC(l)
|
||||
05/11/2027
|
1.627%
|
|
305,000
|
282,457
|
28
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Lloyds Banking Group PLC(c),(l)
|
||||
06/05/2030
|
5.721%
|
|
2,865,000
|
2,881,818
|
Lloyds Banking Group PLC
|
||||
Subordinated
|
||||
11/04/2024
|
4.500%
|
|
5,560,000
|
5,521,011
|
Mitsubishi UFJ Financial Group, Inc.(l)
|
||||
04/17/2030
|
5.258%
|
|
1,225,000
|
1,220,088
|
04/17/2035
|
5.426%
|
|
6,375,000
|
6,341,715
|
Mizuho Financial Group, Inc.(l)
|
||||
07/06/2029
|
5.778%
|
|
4,740,000
|
4,798,368
|
Morgan Stanley(b)
|
||||
SOFR + 0.509%
01/22/2025
|
5.839%
|
|
1,115,000
|
1,115,703
|
Morgan Stanley(l)
|
||||
07/22/2025
|
2.720%
|
|
720,000
|
716,790
|
10/21/2025
|
1.164%
|
|
4,545,000
|
4,462,970
|
04/28/2026
|
2.188%
|
|
605,000
|
586,087
|
05/04/2027
|
1.593%
|
|
3,193,000
|
2,962,668
|
07/20/2027
|
1.512%
|
|
615,000
|
566,041
|
01/21/2028
|
2.475%
|
|
998,000
|
926,986
|
07/22/2028
|
3.591%
|
|
7,821,000
|
7,411,853
|
10/18/2028
|
6.296%
|
|
977,000
|
1,004,566
|
01/24/2029
|
3.772%
|
|
4,315,000
|
4,089,067
|
04/20/2029
|
5.164%
|
|
2,928,000
|
2,908,171
|
07/20/2029
|
5.449%
|
|
2,410,000
|
2,417,545
|
01/23/2030
|
4.431%
|
|
2,885,000
|
2,777,672
|
04/18/2030
|
5.656%
|
|
1,450,000
|
1,469,016
|
02/13/2032
|
1.794%
|
|
985,000
|
784,413
|
04/28/2032
|
1.928%
|
|
1,899,000
|
1,515,931
|
07/21/2032
|
2.239%
|
|
8,910,000
|
7,224,250
|
10/20/2032
|
2.511%
|
|
1,560,000
|
1,281,799
|
01/21/2033
|
2.943%
|
|
3,610,000
|
3,042,072
|
04/21/2034
|
5.250%
|
|
4,676,000
|
4,572,776
|
01/18/2035
|
5.466%
|
|
1,454,000
|
1,443,863
|
04/19/2035
|
5.831%
|
|
7,164,000
|
7,307,594
|
04/22/2039
|
4.457%
|
|
283,000
|
253,249
|
Subordinated
|
||||
01/19/2038
|
5.948%
|
|
2,005,000
|
1,990,691
|
02/07/2039
|
5.942%
|
|
3,548,000
|
3,508,606
|
Morgan Stanley
|
||||
01/27/2026
|
3.875%
|
|
6,556,000
|
6,398,933
|
07/27/2026
|
3.125%
|
|
709,000
|
677,336
|
Subordinated
|
||||
09/08/2026
|
4.350%
|
|
9,045,000
|
8,841,665
|
Morgan Stanley Bank NA
|
||||
10/30/2026
|
5.882%
|
|
5,570,000
|
5,637,843
|
Morgan Stanley Bank NA(l)
|
||||
05/26/2028
|
5.504%
|
|
8,805,000
|
8,839,373
|
National Bank of Canada(l)
|
||||
06/09/2025
|
3.750%
|
|
7,465,000
|
7,461,805
|
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
National Bank of Canada
|
||||
12/18/2028
|
5.600%
|
|
3,883,000
|
3,913,672
|
Nationwide Building Society(a),(l)
|
||||
10/18/2027
|
6.557%
|
|
3,400,000
|
3,467,024
|
02/16/2028
|
2.972%
|
|
2,610,000
|
2,434,527
|
NatWest Group PLC(l)
|
||||
03/01/2035
|
5.778%
|
|
1,753,000
|
1,755,437
|
NatWest Markets PLC(a)
|
||||
05/17/2029
|
5.410%
|
|
2,370,000
|
2,364,235
|
Northern Trust Corp.(l)
|
||||
Subordinated
|
||||
05/08/2032
|
3.375%
|
|
1,316,000
|
1,235,655
|
PNC Financial Services Group, Inc. (The)(l),(m)
|
||||
|
6.250%
|
|
2,381,000
|
2,275,087
|
PNC Financial Services Group, Inc. (The)(l)
|
||||
06/12/2029
|
5.582%
|
|
5,175,000
|
5,205,203
|
05/14/2030
|
5.492%
|
|
6,935,000
|
6,943,138
|
10/28/2033
|
6.037%
|
|
3,600,000
|
3,695,004
|
10/20/2034
|
6.875%
|
|
2,085,000
|
2,258,150
|
01/22/2035
|
5.676%
|
|
2,817,000
|
2,816,301
|
Royal Bank of Scotland Group PLC(l)
|
||||
01/27/2030
|
5.076%
|
|
1,199,000
|
1,174,708
|
Santander Holdings USA, Inc.(l)
|
||||
05/31/2035
|
6.342%
|
|
2,845,000
|
2,848,447
|
Santander UK Group Holdings PLC(l)
|
||||
08/21/2026
|
1.532%
|
|
445,000
|
422,404
|
06/14/2027
|
1.673%
|
|
1,762,000
|
1,623,032
|
Societe Generale SA(a),(l)
|
||||
01/19/2028
|
2.797%
|
|
4,285,000
|
3,958,870
|
06/09/2032
|
2.889%
|
|
480,000
|
394,128
|
01/21/2033
|
3.337%
|
|
2,590,000
|
2,159,423
|
01/19/2035
|
6.066%
|
|
7,790,000
|
7,792,909
|
Subordinated
|
||||
01/19/2055
|
7.132%
|
|
3,460,000
|
3,437,001
|
Standard Chartered PLC(a),(l)
|
||||
02/08/2030
|
7.018%
|
|
5,365,000
|
5,642,083
|
State Street Corp.(l)
|
||||
11/21/2029
|
5.684%
|
|
1,233,000
|
1,258,037
|
11/21/2034
|
6.123%
|
|
3,890,000
|
4,019,454
|
Sumitomo Mitsui Trust Bank Ltd.(a)
|
||||
03/07/2027
|
5.200%
|
|
3,575,000
|
3,563,235
|
Swedbank AB(a)
|
||||
09/12/2026
|
6.136%
|
|
3,305,000
|
3,341,818
|
03/14/2029
|
5.407%
|
|
3,135,000
|
3,118,324
|
Synchrony Bank
|
||||
08/22/2025
|
5.400%
|
|
3,625,000
|
3,590,726
|
Synchrony Financial
|
||||
06/13/2025
|
4.875%
|
|
2,185,000
|
2,159,975
|
Multi-Manager Total Return Bond Strategies Fund | 2024
29
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Toronto-Dominion Bank (The)
|
||||
04/05/2029
|
4.994%
|
|
6,100,000
|
6,018,911
|
Truist Financial Corp.(l)
|
||||
03/02/2027
|
1.267%
|
|
340,000
|
315,409
|
10/30/2029
|
7.161%
|
|
5,815,000
|
6,158,897
|
01/24/2030
|
5.435%
|
|
5,282,000
|
5,250,709
|
06/08/2034
|
5.867%
|
|
1,375,000
|
1,380,058
|
01/24/2035
|
5.711%
|
|
1,113,000
|
1,106,384
|
Subordinated
|
||||
07/28/2033
|
4.916%
|
|
1,610,000
|
1,484,915
|
U.S. Bancorp(l),(m)
|
||||
Junior Subordinated
|
||||
|
5.300%
|
|
2,980,000
|
2,846,512
|
UBS Group AG(a),(l)
|
||||
05/12/2026
|
4.488%
|
|
980,000
|
967,288
|
01/30/2027
|
1.364%
|
|
912,000
|
847,900
|
08/10/2027
|
1.494%
|
|
460,000
|
420,149
|
09/22/2034
|
6.301%
|
|
628,000
|
655,352
|
UBS Group AG(a),(b)
|
||||
SOFR + 1.580%
05/12/2026
|
6.910%
|
|
3,055,000
|
3,078,804
|
UniCredit SpA(a),(l)
|
||||
09/22/2026
|
2.569%
|
|
5,195,000
|
4,980,547
|
US Bancorp(l)
|
||||
01/23/2030
|
5.384%
|
|
1,064,000
|
1,060,843
|
06/12/2034
|
5.836%
|
|
6,580,000
|
6,628,538
|
Wells Fargo & Co.(l)
|
||||
02/11/2026
|
2.164%
|
|
1,306,000
|
1,274,031
|
08/15/2026
|
4.540%
|
|
254,000
|
250,909
|
03/24/2028
|
3.526%
|
|
756,000
|
718,738
|
04/22/2028
|
5.707%
|
|
2,405,000
|
2,421,312
|
06/02/2028
|
2.393%
|
|
10,530,000
|
9,656,067
|
07/25/2028
|
4.808%
|
|
14,890,000
|
14,623,890
|
07/25/2029
|
5.574%
|
|
1,360,000
|
1,368,088
|
10/23/2029
|
6.303%
|
|
5,615,000
|
5,806,679
|
02/11/2031
|
2.572%
|
|
6,775,000
|
5,827,924
|
03/02/2033
|
3.350%
|
|
10,505,000
|
9,056,889
|
07/25/2033
|
4.897%
|
|
2,740,000
|
2,621,896
|
04/24/2034
|
5.389%
|
|
1,160,000
|
1,141,419
|
01/23/2035
|
5.499%
|
|
272,000
|
269,663
|
04/30/2041
|
3.068%
|
|
4,650,000
|
3,414,121
|
Westpac Banking Corp.
|
||||
04/16/2029
|
5.050%
|
|
6,510,000
|
6,497,531
|
Westpac New Zealand Ltd.(a)
|
||||
02/26/2027
|
5.132%
|
|
1,537,000
|
1,529,907
|
Total
|
949,063,667
|
|||
Brokerage/Asset Managers/Exchanges 0.4%
|
||||
Apollo Global Management, Inc.
|
||||
05/21/2054
|
5.800%
|
|
2,190,000
|
2,165,165
|
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Ares Finance Co. IV LLC(a)
|
||||
02/01/2052
|
3.650%
|
|
1,140,000
|
783,236
|
BlackRock Funding, Inc.
|
||||
03/14/2034
|
5.000%
|
|
679,000
|
670,384
|
03/14/2054
|
5.250%
|
|
940,000
|
906,724
|
Blackstone Holdings Finance Co. LLC(a)
|
||||
08/05/2028
|
1.625%
|
|
454,000
|
394,152
|
01/10/2030
|
2.500%
|
|
189,000
|
163,072
|
01/30/2032
|
2.000%
|
|
1,857,000
|
1,454,125
|
Brookfield Finance, Inc.
|
||||
06/02/2026
|
4.250%
|
|
964,000
|
943,481
|
02/15/2052
|
3.625%
|
|
1,019,000
|
709,682
|
Cantor Fitzgerald LP(a)
|
||||
12/12/2028
|
7.200%
|
|
2,300,000
|
2,365,756
|
Charles Schwab Corp. (The)(l),(m)
|
||||
|
4.000%
|
|
524,000
|
436,816
|
Charles Schwab Corp. (The)(l)
|
||||
11/17/2029
|
6.196%
|
|
1,186,000
|
1,225,906
|
Depository Trust & Clearing Corp. (The)(a),(l),(m)
|
||||
|
3.375%
|
|
673,000
|
596,704
|
Hunt Companies, Inc.(a)
|
||||
04/15/2029
|
5.250%
|
|
2,150,000
|
1,912,016
|
Intercontinental Exchange, Inc.
|
||||
06/15/2030
|
2.100%
|
|
2,664,000
|
2,242,232
|
09/15/2032
|
1.850%
|
|
3,230,000
|
2,492,837
|
Jane Street Group/JSG Finance, Inc.(a)
|
||||
11/15/2029
|
4.500%
|
|
1,000,000
|
928,244
|
Jefferies Financial Group, Inc.
|
||||
07/21/2028
|
5.875%
|
|
3,660,000
|
3,678,008
|
04/14/2034
|
6.200%
|
|
6,280,000
|
6,303,746
|
LPL Holdings, Inc.
|
||||
05/20/2027
|
5.700%
|
|
1,015,000
|
1,017,920
|
Nomura Holdings, Inc.
|
||||
07/12/2028
|
6.070%
|
|
7,560,000
|
7,715,220
|
07/14/2031
|
2.608%
|
|
1,100,000
|
902,441
|
Nuveen LLC(a)
|
||||
01/15/2030
|
5.550%
|
|
3,842,000
|
3,848,918
|
Stifel Financial Corp.
|
||||
05/15/2030
|
4.000%
|
|
3,755,000
|
3,436,809
|
Total
|
47,293,594
|
|||
Building Materials 0.2%
|
||||
Allegion US Holding Co., Inc.
|
||||
05/29/2034
|
5.600%
|
|
2,355,000
|
2,350,632
|
Builders FirstSource, Inc.(a)
|
||||
03/01/2034
|
6.375%
|
|
1,120,000
|
1,098,084
|
Cemex SAB de CV(a),(l),(m)
|
||||
|
5.125%
|
|
1,525,000
|
1,466,368
|
30
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CRH America Finance, Inc.
|
||||
05/21/2034
|
5.400%
|
|
914,000
|
904,226
|
CRH SMW Finance DAC
|
||||
05/21/2029
|
5.200%
|
|
1,380,000
|
1,372,716
|
Fortune Brands Innovations, Inc.
|
||||
09/15/2029
|
3.250%
|
|
3,200,000
|
2,881,712
|
06/01/2033
|
5.875%
|
|
722,000
|
726,990
|
Martin Marietta Materials, Inc.
|
||||
03/15/2030
|
2.500%
|
|
3,380,000
|
2,914,279
|
Mohawk Industries, Inc.
|
||||
09/18/2028
|
5.850%
|
|
684,000
|
696,368
|
Standard Industries, Inc.(a)
|
||||
07/15/2030
|
4.375%
|
|
3,295,000
|
2,942,435
|
01/15/2031
|
3.375%
|
|
1,530,000
|
1,277,269
|
Summit Materials LLC /Finance Corp.(a)
|
||||
01/15/2031
|
7.250%
|
|
2,010,000
|
2,073,580
|
Summit Materials LLC/Finance Corp.(a)
|
||||
01/15/2029
|
5.250%
|
|
500,000
|
482,060
|
Total
|
21,186,719
|
|||
Cable and Satellite 0.7%
|
||||
Cable One, Inc.(a)
|
||||
11/15/2030
|
4.000%
|
|
695,000
|
518,464
|
CCO Holdings LLC/Capital Corp.(a)
|
||||
06/01/2029
|
5.375%
|
|
100,000
|
89,593
|
03/01/2030
|
4.750%
|
|
320,000
|
272,500
|
08/15/2030
|
4.500%
|
|
750,000
|
622,770
|
02/01/2031
|
4.250%
|
|
1,725,000
|
1,390,379
|
CCO Holdings LLC/Holdings Capital Corp.(a)
|
||||
01/15/2034
|
4.250%
|
|
1,000,000
|
747,586
|
Charter Communications Operating LLC/Capital
|
||||
01/15/2029
|
2.250%
|
|
6,666,000
|
5,666,759
|
06/01/2029
|
6.100%
|
|
11,035,000
|
11,042,178
|
02/01/2034
|
6.650%
|
|
1,429,000
|
1,445,616
|
10/23/2035
|
6.384%
|
|
1,775,000
|
1,731,534
|
10/23/2045
|
6.484%
|
|
4,170,000
|
3,843,768
|
04/01/2048
|
5.750%
|
|
1,360,000
|
1,142,361
|
03/01/2050
|
4.800%
|
|
5,816,000
|
4,284,228
|
04/01/2051
|
3.700%
|
|
7,425,000
|
4,543,404
|
06/01/2052
|
3.900%
|
|
440,000
|
276,346
|
04/01/2053
|
5.250%
|
|
2,265,000
|
1,782,408
|
04/01/2061
|
3.850%
|
|
603,000
|
354,812
|
12/01/2061
|
4.400%
|
|
627,000
|
407,742
|
Comcast Corp.
|
||||
02/01/2030
|
2.650%
|
|
723,000
|
634,936
|
01/15/2031
|
1.950%
|
|
1,347,000
|
1,105,132
|
06/01/2034
|
5.300%
|
|
4,905,000
|
4,895,024
|
07/15/2036
|
3.200%
|
|
399,000
|
320,200
|
03/01/2038
|
3.900%
|
|
422,000
|
356,476
|
02/01/2050
|
3.450%
|
|
1,900,000
|
1,338,601
|
05/15/2064
|
5.500%
|
|
2,032,000
|
1,942,171
|
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Cox Communications, Inc.(a)
|
||||
09/15/2028
|
5.450%
|
|
3,855,000
|
3,858,201
|
10/01/2030
|
1.800%
|
|
562,000
|
448,821
|
06/15/2033
|
5.700%
|
|
1,000,000
|
993,502
|
CSC Holdings LLC(a)
|
||||
04/15/2027
|
5.500%
|
|
3,550,000
|
2,720,626
|
02/01/2028
|
5.375%
|
|
1,193,000
|
837,863
|
04/01/2028
|
7.500%
|
|
300,000
|
167,516
|
05/15/2028
|
11.250%
|
|
600,000
|
484,110
|
01/31/2029
|
11.750%
|
|
371,000
|
295,310
|
02/01/2029
|
6.500%
|
|
3,766,000
|
2,544,307
|
01/15/2030
|
5.750%
|
|
1,275,000
|
549,387
|
12/01/2030
|
4.625%
|
|
2,225,000
|
934,162
|
DISH DBS Corp.
|
||||
11/15/2024
|
5.875%
|
|
2,000,000
|
1,905,489
|
07/01/2026
|
7.750%
|
|
2,039,000
|
1,305,750
|
07/01/2028
|
7.375%
|
|
600,000
|
270,217
|
06/01/2029
|
5.125%
|
|
750,000
|
298,261
|
DISH Network Corp.(a)
|
||||
11/15/2027
|
11.750%
|
|
3,200,000
|
3,214,346
|
Sirius XM Radio, Inc.(a)
|
||||
07/01/2029
|
5.500%
|
|
1,685,000
|
1,566,806
|
Time Warner Cable LLC
|
||||
05/01/2037
|
6.550%
|
|
235,000
|
222,511
|
11/15/2040
|
5.875%
|
|
3,890,000
|
3,358,421
|
09/01/2041
|
5.500%
|
|
8,768,000
|
7,314,449
|
Viasat, Inc.(a)
|
||||
09/15/2025
|
5.625%
|
|
1,425,000
|
1,383,251
|
04/15/2027
|
5.625%
|
|
1,675,000
|
1,499,124
|
VZ Secured Financing BV(a)
|
||||
01/15/2032
|
5.000%
|
|
3,250,000
|
2,759,887
|
Ziggo BV(a)
|
||||
01/15/2030
|
4.875%
|
|
500,000
|
445,498
|
Total
|
90,132,803
|
|||
Chemicals 0.4%
|
||||
Air Products and Chemicals, Inc.
|
||||
02/08/2034
|
4.850%
|
|
909,000
|
886,354
|
Axalta Coating Systems Dutch Holding B BV(a)
|
||||
02/15/2031
|
7.250%
|
|
660,000
|
683,599
|
Braskem Netherlands Finance BV(a)
|
||||
01/10/2028
|
4.500%
|
|
356,000
|
316,563
|
01/31/2030
|
4.500%
|
|
400,000
|
334,950
|
01/12/2031
|
8.500%
|
|
2,783,000
|
2,816,940
|
Cabot Corp.
|
||||
07/01/2029
|
4.000%
|
|
1,810,000
|
1,692,082
|
CF Industries, Inc.
|
||||
03/15/2034
|
5.150%
|
|
3,125,000
|
2,987,281
|
06/01/2043
|
4.950%
|
|
1,700,000
|
1,496,283
|
Multi-Manager Total Return Bond Strategies Fund | 2024
31
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Ecolab, Inc.
|
||||
08/18/2055
|
2.750%
|
|
214,000
|
129,210
|
FMC Corp.
|
||||
05/18/2026
|
5.150%
|
|
490,000
|
486,228
|
10/01/2029
|
3.450%
|
|
1,005,000
|
903,045
|
10/01/2049
|
4.500%
|
|
340,000
|
262,174
|
Huntsman International LLC
|
||||
06/15/2031
|
2.950%
|
|
7,375,000
|
6,061,081
|
International Flavors & Fragrances, Inc.(a)
|
||||
10/15/2027
|
1.832%
|
|
455,000
|
403,338
|
11/01/2030
|
2.300%
|
|
5,075,000
|
4,202,259
|
11/15/2040
|
3.268%
|
|
365,000
|
258,597
|
12/01/2050
|
3.468%
|
|
470,000
|
307,406
|
International Flavors & Fragrances, Inc.
|
||||
06/01/2047
|
4.375%
|
|
1,115,000
|
856,393
|
09/26/2048
|
5.000%
|
|
3,400,000
|
2,889,116
|
LYB International Finance III LLC
|
||||
03/01/2034
|
5.500%
|
|
9,075,000
|
8,968,878
|
05/01/2050
|
4.200%
|
|
1,505,000
|
1,154,569
|
Mosaic Co. (The)
|
||||
11/15/2043
|
5.625%
|
|
985,000
|
935,488
|
Nutrien Ltd.
|
||||
11/07/2025
|
5.950%
|
|
496,000
|
498,791
|
12/01/2036
|
5.875%
|
|
141,000
|
144,027
|
Olin Corp.
|
||||
02/01/2030
|
5.000%
|
|
1,560,000
|
1,467,004
|
Rain CII Carbon LLC/Corp.(a)
|
||||
04/01/2025
|
7.250%
|
|
39,000
|
38,211
|
Sasol Financing USA LLC
|
||||
09/27/2028
|
6.500%
|
|
3,650,000
|
3,441,007
|
Solvay Finance America LLC(a),(c)
|
||||
06/04/2034
|
5.850%
|
|
2,700,000
|
2,710,038
|
Total
|
47,330,912
|
|||
Construction Machinery 0.2%
|
||||
AGCO Corp.
|
||||
03/21/2027
|
5.450%
|
|
1,090,000
|
1,088,860
|
03/21/2034
|
5.800%
|
|
699,000
|
697,792
|
Alta Equipment Group, Inc.(a),(c)
|
||||
06/01/2029
|
9.000%
|
|
1,045,000
|
1,010,714
|
CNH Industrial Capital LLC
|
||||
05/23/2025
|
3.950%
|
|
2,940,000
|
2,892,474
|
01/12/2029
|
5.500%
|
|
1,674,000
|
1,686,730
|
04/20/2029
|
5.100%
|
|
1,840,000
|
1,825,515
|
H&E Equipment Services, Inc.(a)
|
||||
12/15/2028
|
3.875%
|
|
5,359,000
|
4,797,701
|
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
John Deere Capital Corp.
|
||||
01/20/2028
|
4.750%
|
|
1,208,000
|
1,199,938
|
01/16/2029
|
4.500%
|
|
849,000
|
832,505
|
06/10/2030
|
4.700%
|
|
2,762,000
|
2,722,509
|
03/07/2031
|
4.900%
|
|
8,646,000
|
8,573,370
|
Maxim Crane Works Holdings Capital LLC(a)
|
||||
09/01/2028
|
11.500%
|
|
975,000
|
1,037,191
|
OT Merger Corp.(a)
|
||||
10/15/2029
|
7.875%
|
|
350,000
|
182,799
|
Ritchie Bros Holdings, Inc.(a)
|
||||
03/15/2028
|
6.750%
|
|
200,000
|
202,232
|
United Rentals North America, Inc.
|
||||
01/15/2030
|
5.250%
|
|
3,000,000
|
2,880,037
|
02/15/2031
|
3.875%
|
|
1,664,000
|
1,463,731
|
Total
|
33,094,098
|
|||
Consumer Cyclical Services 0.1%
|
||||
ADT Security Corp. (The)(a)
|
||||
08/01/2029
|
4.125%
|
|
1,645,000
|
1,494,492
|
Allied Universal Holdco LLC/Finance Corp.(a)
|
||||
07/15/2026
|
6.625%
|
|
76,000
|
76,000
|
06/01/2029
|
6.000%
|
|
1,300,000
|
1,109,223
|
Allied Universal Holdco LLC/Finance Corp./Atlas Luxco 4 Sarl(a)
|
||||
06/01/2028
|
4.625%
|
|
1,910,000
|
1,719,942
|
06/01/2028
|
4.625%
|
|
990,000
|
893,900
|
CBRE Services, Inc.
|
||||
04/01/2029
|
5.500%
|
|
1,325,000
|
1,324,106
|
Expedia Group, Inc.(a)
|
||||
05/01/2025
|
6.250%
|
|
1,094,000
|
1,096,098
|
Jones Lang LaSalle, Inc.
|
||||
12/01/2028
|
6.875%
|
|
4,179,000
|
4,371,797
|
Match Group Holdings II LLC(a)
|
||||
10/01/2031
|
3.625%
|
|
1,785,000
|
1,489,896
|
Total
|
13,575,454
|
|||
Consumer Products 0.1%
|
||||
Energizer Holdings, Inc.(a)
|
||||
03/31/2029
|
4.375%
|
|
1,745,000
|
1,549,577
|
Estee Lauder Companies, Inc. (The)
|
||||
02/14/2034
|
5.000%
|
|
5,455,000
|
5,325,514
|
Hasbro, Inc.
|
||||
05/14/2034
|
6.050%
|
|
2,685,000
|
2,675,529
|
Kenvue, Inc.
|
||||
03/22/2028
|
5.050%
|
|
705,000
|
706,968
|
03/22/2033
|
4.900%
|
|
1,613,000
|
1,586,880
|
03/22/2043
|
5.100%
|
|
354,000
|
341,620
|
03/22/2063
|
5.200%
|
|
796,000
|
748,018
|
Scotts Miracle-Gro Co. (The)
|
||||
12/15/2026
|
5.250%
|
|
235,000
|
228,630
|
32
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Spectrum Brands, Inc.(a)
|
||||
07/15/2030
|
5.500%
|
|
643,000
|
642,550
|
03/15/2031
|
3.875%
|
|
395,000
|
363,878
|
SWF Escrow Issuer Corp.(a)
|
||||
10/01/2029
|
6.500%
|
|
950,000
|
538,915
|
Tempur Sealy International, Inc.(a)
|
||||
04/15/2029
|
4.000%
|
|
1,500,000
|
1,344,754
|
10/15/2031
|
3.875%
|
|
980,000
|
822,939
|
Unilever Capital Corp.
|
||||
12/08/2033
|
5.000%
|
|
680,000
|
677,533
|
Whirlpool Corp.
|
||||
03/01/2034
|
5.750%
|
|
2,160,000
|
2,116,566
|
Total
|
19,669,871
|
|||
Diversified Manufacturing 0.2%
|
||||
Amsted Industries, Inc.(a)
|
||||
05/15/2030
|
4.625%
|
|
1,685,000
|
1,528,859
|
Carrier Global Corp.
|
||||
02/15/2030
|
2.722%
|
|
291,000
|
255,346
|
03/15/2034
|
5.900%
|
|
439,000
|
456,029
|
Chart Industries, Inc.(a)
|
||||
01/01/2030
|
7.500%
|
|
375,000
|
386,310
|
Emerald Debt Merger Sub LLC(a)
|
||||
12/15/2030
|
6.625%
|
|
1,440,000
|
1,442,817
|
Griffon Corp.
|
||||
03/01/2028
|
5.750%
|
|
525,000
|
507,729
|
Honeywell International, Inc.
|
||||
03/01/2054
|
5.250%
|
|
1,517,000
|
1,470,010
|
Ingersoll Rand, Inc.
|
||||
08/14/2028
|
5.400%
|
|
585,000
|
589,422
|
06/15/2029
|
5.176%
|
|
530,000
|
529,150
|
08/14/2033
|
5.700%
|
|
3,765,000
|
3,837,964
|
06/15/2034
|
5.450%
|
|
491,000
|
492,007
|
Johnson Controls International PLC/Tyco Fire & Security Finance SCA
|
||||
04/19/2029
|
5.500%
|
|
6,570,000
|
6,634,823
|
Valmont Industries, Inc.
|
||||
10/01/2054
|
5.250%
|
|
2,050,000
|
1,783,573
|
Wabtec Corp.(l)
|
||||
09/15/2028
|
4.700%
|
|
1,450,000
|
1,418,454
|
Westinghouse Air Brake Technologies Corp.
|
||||
03/11/2034
|
5.611%
|
|
1,935,000
|
1,941,201
|
Total
|
23,273,694
|
|||
Electric 2.7%
|
||||
AEP Texas Central Co.(a)
|
||||
10/01/2025
|
3.850%
|
|
1,828,000
|
1,780,488
|
AEP Texas Central Co.
|
||||
02/15/2033
|
6.650%
|
|
1,385,000
|
1,442,891
|
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
AEP Texas, Inc.
|
||||
05/15/2029
|
5.450%
|
|
1,910,000
|
1,908,738
|
AEP Transmission Co. LLC
|
||||
08/15/2051
|
2.750%
|
|
1,095,000
|
657,116
|
AES Corp. (The)(a)
|
||||
07/15/2025
|
3.300%
|
|
2,730,000
|
2,652,937
|
AES Corp. (The)
|
||||
01/15/2026
|
1.375%
|
|
662,000
|
619,062
|
06/01/2028
|
5.450%
|
|
1,052,000
|
1,046,980
|
01/15/2031
|
2.450%
|
|
1,522,000
|
1,249,913
|
AES Panama Generation Holdings SRL(a)
|
||||
05/31/2030
|
4.375%
|
|
982,095
|
833,277
|
Alabama Power Co.
|
||||
11/15/2033
|
5.850%
|
|
655,000
|
680,008
|
Alfa Desarrollo SpA(a)
|
||||
09/27/2051
|
4.550%
|
|
3,773,175
|
2,810,040
|
Algonquin Power & Utilities Corp.
|
||||
06/15/2026
|
5.365%
|
|
955,000
|
948,547
|
Ameren Corp.
|
||||
02/15/2026
|
3.650%
|
|
590,000
|
571,825
|
01/15/2029
|
5.000%
|
|
3,021,000
|
2,973,623
|
American Electric Power Co., Inc.(l)
|
||||
02/15/2062
|
3.875%
|
|
2,855,000
|
2,607,992
|
Junior Subordinated
|
||||
08/15/2025
|
5.699%
|
|
5,700,000
|
5,702,499
|
American Transmission Systems, Inc.(a)
|
||||
01/15/2032
|
2.650%
|
|
2,844,000
|
2,345,519
|
09/01/2044
|
5.000%
|
|
469,000
|
418,758
|
Appalachian Power Co.
|
||||
04/01/2034
|
5.650%
|
|
9,965,000
|
9,842,578
|
Arizona Public Service Co.
|
||||
12/15/2032
|
6.350%
|
|
5,330,000
|
5,580,618
|
08/15/2048
|
4.200%
|
|
365,000
|
283,027
|
Avangrid, Inc.
|
||||
04/15/2025
|
3.200%
|
|
1,614,000
|
1,579,515
|
06/01/2029
|
3.800%
|
|
655,000
|
604,618
|
Black Hills Corp.
|
||||
10/15/2029
|
3.050%
|
|
488,000
|
432,736
|
01/15/2035
|
6.000%
|
|
685,000
|
685,581
|
Calpine Corp.(a)
|
||||
02/15/2028
|
4.500%
|
|
2,250,000
|
2,120,452
|
03/15/2028
|
5.125%
|
|
575,000
|
548,032
|
02/01/2029
|
4.625%
|
|
2,000,000
|
1,858,703
|
02/01/2031
|
5.000%
|
|
5,500,000
|
5,077,781
|
CenterPoint Energy Houston Electric LLC
|
||||
03/01/2034
|
5.150%
|
|
7,000,000
|
6,901,004
|
CenterPoint Energy, Inc.
|
||||
06/01/2029
|
5.400%
|
|
7,250,000
|
7,248,215
|
Multi-Manager Total Return Bond Strategies Fund | 2024
33
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Cleveland Electric Illuminating Co. (The)(a)
|
||||
04/01/2028
|
3.500%
|
|
3,293,000
|
3,063,148
|
Cleveland Electric Illuminating Co. (The)
|
||||
12/15/2036
|
5.950%
|
|
1,279,000
|
1,275,247
|
CMS Energy Corp.
|
||||
02/15/2027
|
2.950%
|
|
80,000
|
74,801
|
CMS Energy Corp.(l)
|
||||
06/01/2050
|
4.750%
|
|
2,514,000
|
2,307,172
|
12/01/2050
|
3.750%
|
|
386,000
|
318,746
|
Commonwealth Edison Co.
|
||||
08/15/2047
|
3.750%
|
|
262,000
|
197,378
|
Consolidated Edison Co. of New York, Inc.
|
||||
03/01/2035
|
5.300%
|
|
161,000
|
159,618
|
06/15/2046
|
3.850%
|
|
1,310,000
|
1,007,832
|
12/01/2054
|
4.625%
|
|
594,000
|
503,757
|
12/01/2056
|
4.300%
|
|
197,000
|
155,623
|
Dominion Energy, Inc.(l),(m)
|
||||
|
4.650%
|
|
5,000,000
|
4,975,105
|
Dominion Energy, Inc.
|
||||
08/15/2026
|
2.850%
|
|
750,000
|
710,461
|
DTE Energy Co.
|
||||
10/01/2026
|
2.850%
|
|
10,155,000
|
9,595,282
|
03/01/2029
|
5.100%
|
|
3,033,000
|
2,993,835
|
Duke Energy Carolinas LLC
|
||||
04/15/2031
|
2.550%
|
|
370,000
|
313,936
|
12/15/2041
|
4.250%
|
|
9,000
|
7,546
|
09/30/2042
|
4.000%
|
|
386,000
|
312,351
|
06/01/2045
|
3.750%
|
|
98,000
|
74,048
|
03/15/2046
|
3.875%
|
|
29,000
|
22,333
|
01/15/2053
|
5.350%
|
|
3,506,000
|
3,341,501
|
Duke Energy Corp.(l),(m)
|
||||
|
4.875%
|
|
213,000
|
211,554
|
Duke Energy Corp.
|
||||
09/01/2026
|
2.650%
|
|
4,710,000
|
4,439,502
|
Duke Energy Florida LLC
|
||||
12/15/2031
|
2.400%
|
|
1,167,000
|
965,332
|
11/15/2033
|
5.875%
|
|
1,265,000
|
1,314,973
|
Duke Energy Ohio, Inc.
|
||||
06/01/2030
|
2.125%
|
|
430,000
|
359,331
|
06/15/2046
|
3.700%
|
|
1,907,000
|
1,402,287
|
03/15/2054
|
5.550%
|
|
2,135,000
|
2,067,721
|
Duke Energy Progress LLC
|
||||
03/15/2033
|
5.250%
|
|
1,570,000
|
1,560,563
|
03/15/2034
|
5.100%
|
|
2,165,000
|
2,128,711
|
05/15/2042
|
4.100%
|
|
898,000
|
734,604
|
03/15/2043
|
4.100%
|
|
297,000
|
241,708
|
03/30/2044
|
4.375%
|
|
770,000
|
643,101
|
08/15/2045
|
4.200%
|
|
205,000
|
165,993
|
10/15/2046
|
3.700%
|
|
195,000
|
145,488
|
09/15/2047
|
3.600%
|
|
940,000
|
683,554
|
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Duquesne Light Holdings, Inc.(a)
|
||||
10/01/2030
|
2.532%
|
|
463,000
|
387,301
|
Edison International
|
||||
08/15/2025
|
4.700%
|
|
5,675,000
|
5,602,210
|
Enel Finance International NV(a),(l)
|
||||
07/12/2028
|
1.875%
|
|
2,370,000
|
2,085,015
|
Entergy Arkansas LLC
|
||||
04/01/2049
|
4.200%
|
|
603,000
|
481,906
|
06/15/2051
|
2.650%
|
|
135,000
|
78,405
|
06/01/2054
|
5.750%
|
|
1,900,000
|
1,885,516
|
Entergy Corp.
|
||||
09/15/2025
|
0.900%
|
|
2,780,000
|
2,619,066
|
06/15/2030
|
2.800%
|
|
348,000
|
301,761
|
06/15/2031
|
2.400%
|
|
757,000
|
622,160
|
Entergy Corp.(l)
|
||||
12/01/2054
|
7.125%
|
|
510,000
|
507,626
|
Entergy Louisiana LLC
|
||||
10/01/2026
|
2.400%
|
|
2,409,000
|
2,256,653
|
03/15/2034
|
5.350%
|
|
323,000
|
318,740
|
Entergy Texas, Inc.
|
||||
03/30/2029
|
4.000%
|
|
348,000
|
330,955
|
Evergy Metro, Inc.
|
||||
06/01/2030
|
2.250%
|
|
572,000
|
483,127
|
Evergy Missouri West, Inc.(a)
|
||||
06/01/2034
|
5.650%
|
|
5,200,000
|
5,195,725
|
Eversource Energy
|
||||
08/15/2025
|
0.800%
|
|
662,000
|
623,860
|
08/15/2026
|
1.400%
|
|
752,000
|
686,700
|
03/01/2027
|
2.900%
|
|
1,335,000
|
1,247,914
|
07/01/2027
|
4.600%
|
|
2,675,000
|
2,611,823
|
03/01/2028
|
5.450%
|
|
1,024,000
|
1,024,401
|
02/01/2029
|
5.950%
|
|
8,574,000
|
8,741,397
|
03/15/2031
|
2.550%
|
|
3,200,000
|
2,642,859
|
05/15/2033
|
5.125%
|
|
664,000
|
636,255
|
01/01/2034
|
5.500%
|
|
851,000
|
833,294
|
07/15/2034
|
5.950%
|
|
2,750,000
|
2,771,438
|
Exelon Corp.
|
||||
03/15/2028
|
5.150%
|
|
1,648,000
|
1,640,338
|
03/15/2029
|
5.150%
|
|
1,525,000
|
1,516,951
|
04/15/2046
|
4.450%
|
|
1,050,000
|
875,455
|
FirstEnergy Corp.(l)
|
||||
07/15/2027
|
4.150%
|
|
1,450,000
|
1,383,150
|
FirstEnergy Transmission LLC(a)
|
||||
09/15/2028
|
2.866%
|
|
3,224,000
|
2,921,929
|
Florida Power & Light Co.
|
||||
05/15/2030
|
4.625%
|
|
677,000
|
662,390
|
12/04/2051
|
2.875%
|
|
230,000
|
146,313
|
Florida Power & Light Co.(c)
|
||||
06/15/2054
|
5.600%
|
|
6,640,000
|
6,684,774
|
34
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Georgia Power Co.
|
||||
09/15/2024
|
2.200%
|
|
848,000
|
839,586
|
05/16/2028
|
4.650%
|
|
575,000
|
565,026
|
Gulf Power Co.
|
||||
10/01/2044
|
4.550%
|
|
1,350,000
|
1,128,242
|
Interstate Power and Light Co.
|
||||
10/15/2033
|
5.700%
|
|
2,765,000
|
2,789,233
|
11/30/2051
|
3.100%
|
|
422,000
|
266,376
|
Interstate Power and Light, Co.
|
||||
12/01/2024
|
3.250%
|
|
552,000
|
545,415
|
IPALCO Enterprises, Inc.
|
||||
05/01/2030
|
4.250%
|
|
1,590,000
|
1,473,427
|
Jersey Central Power & Light Co.(a)
|
||||
01/15/2026
|
4.300%
|
|
2,000,000
|
1,959,175
|
03/01/2032
|
2.750%
|
|
318,000
|
262,092
|
Jersey Central Power & Light Co.
|
||||
06/01/2037
|
6.150%
|
|
1,985,000
|
2,024,937
|
Kansas City Power & Light Co.
|
||||
08/15/2025
|
3.650%
|
|
665,000
|
650,375
|
Kentucky Utilities Co.
|
||||
04/15/2033
|
5.450%
|
|
467,000
|
469,284
|
Liberty Utilities Co.(a)
|
||||
01/31/2029
|
5.577%
|
|
1,450,000
|
1,448,304
|
01/31/2034
|
5.869%
|
|
2,048,000
|
2,046,405
|
Louisville Gas and Electric Co.
|
||||
04/15/2033
|
5.450%
|
|
467,000
|
468,144
|
Metropolitan Edison Co.(a)
|
||||
01/15/2029
|
4.300%
|
|
1,928,000
|
1,844,685
|
Mississippi Power Co.
|
||||
03/15/2042
|
4.250%
|
|
259,000
|
213,989
|
Mong Duong Finance Holdings BV(a)
|
||||
05/07/2029
|
5.125%
|
|
252,984
|
239,609
|
Monongahela Power Co.(a)
|
||||
05/15/2027
|
3.550%
|
|
617,000
|
587,048
|
02/15/2034
|
5.850%
|
|
1,122,000
|
1,136,474
|
Narragansett Electric Co. (The)(a)
|
||||
04/09/2030
|
3.395%
|
|
2,179,000
|
1,983,183
|
National Grid PLC
|
||||
01/11/2034
|
5.418%
|
|
4,503,000
|
4,389,732
|
National Rural Utilities Cooperative Finance Corp.
|
||||
11/13/2026
|
5.600%
|
|
4,500,000
|
4,532,428
|
06/15/2029
|
5.150%
|
|
6,190,000
|
6,172,095
|
03/15/2030
|
2.400%
|
|
1,347,000
|
1,154,092
|
02/07/2031
|
5.000%
|
|
873,000
|
868,188
|
04/15/2032
|
2.750%
|
|
1,166,000
|
972,779
|
12/15/2032
|
4.150%
|
|
292,000
|
267,935
|
01/15/2033
|
5.800%
|
|
817,000
|
842,437
|
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
National Rural Utilities Cooperative Finance Corp.(b)
|
||||
3-month Term SOFR + 3.172%
04/30/2043
|
8.501%
|
|
1,147,000
|
1,145,294
|
National Rural Utilities Cooperative Finance Corp.(l)
|
||||
Subordinated
|
||||
04/20/2046
|
5.250%
|
|
1,687,000
|
1,636,192
|
Nevada Power Co.
|
||||
03/15/2054
|
6.000%
|
|
285,000
|
289,625
|
New England Power Co.(a)
|
||||
10/06/2050
|
2.807%
|
|
3,670,000
|
2,201,043
|
NextEra Energy Capital Holdings, Inc.
|
||||
09/01/2024
|
4.255%
|
|
1,137,000
|
1,132,358
|
03/01/2025
|
6.051%
|
|
1,522,000
|
1,525,510
|
01/15/2027
|
1.875%
|
|
1,155,000
|
1,059,186
|
NextEra Energy Capital Holdings, Inc.(l)
|
||||
09/01/2054
|
6.700%
|
|
925,000
|
922,785
|
03/15/2082
|
3.800%
|
|
1,497,000
|
1,366,438
|
Niagara Mohawk Power Corp.(a)
|
||||
06/27/2030
|
1.960%
|
|
1,416,000
|
1,168,319
|
01/17/2054
|
5.664%
|
|
893,000
|
856,871
|
Northern States Power Co.
|
||||
06/15/2054
|
5.650%
|
|
434,000
|
432,371
|
NRG Energy, Inc.(a),(l),(m)
|
||||
|
10.250%
|
|
600,000
|
654,486
|
NRG Energy, Inc.(a)
|
||||
12/02/2025
|
2.000%
|
|
560,000
|
527,143
|
12/02/2027
|
2.450%
|
|
2,420,000
|
2,171,207
|
02/15/2029
|
3.375%
|
|
542,000
|
479,430
|
06/15/2029
|
5.250%
|
|
1,875,000
|
1,789,568
|
02/15/2032
|
3.875%
|
|
1,125,000
|
963,922
|
NRG Energy, Inc.
|
||||
01/15/2027
|
6.625%
|
|
954,000
|
952,425
|
NSTAR Electric Co.
|
||||
08/15/2031
|
1.950%
|
|
495,000
|
395,800
|
06/01/2034
|
5.400%
|
|
3,040,000
|
3,035,836
|
OGE Energy Corp.
|
||||
05/15/2029
|
5.450%
|
|
480,000
|
481,279
|
Pacific Gas and Electric Co.
|
||||
07/01/2030
|
4.550%
|
|
2,723,000
|
2,570,592
|
06/01/2031
|
3.250%
|
|
2,840,000
|
2,440,355
|
05/15/2034
|
5.800%
|
|
7,450,000
|
7,431,548
|
04/15/2042
|
4.450%
|
|
352,000
|
282,869
|
03/15/2045
|
4.300%
|
|
593,000
|
456,171
|
07/01/2050
|
4.950%
|
|
545,000
|
454,388
|
PacifiCorp
|
||||
03/15/2051
|
3.300%
|
|
680,000
|
434,788
|
PECO Energy Co.
|
||||
05/15/2052
|
4.600%
|
|
2,500,000
|
2,158,808
|
Multi-Manager Total Return Bond Strategies Fund | 2024
35
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Pennsylvania Electric Co.(a)
|
||||
03/30/2026
|
5.150%
|
|
883,000
|
873,281
|
03/15/2028
|
3.250%
|
|
1,990,000
|
1,846,497
|
Public Service Co. of Colorado
|
||||
04/01/2053
|
5.250%
|
|
2,815,000
|
2,583,180
|
Public Service Electric and Gas Co.
|
||||
03/01/2034
|
5.200%
|
|
865,000
|
860,302
|
Public Service Enterprise Group, Inc.
|
||||
08/15/2025
|
0.800%
|
|
642,000
|
606,067
|
11/15/2027
|
5.850%
|
|
895,000
|
910,190
|
04/01/2029
|
5.200%
|
|
5,990,000
|
5,949,963
|
08/15/2030
|
1.600%
|
|
466,000
|
373,659
|
11/15/2031
|
2.450%
|
|
1,949,000
|
1,596,426
|
San Diego Gas & Electric Co.
|
||||
08/15/2028
|
4.950%
|
|
1,148,000
|
1,145,740
|
Southern California Edison Co.
|
||||
03/01/2028
|
5.300%
|
|
3,740,000
|
3,748,946
|
06/01/2031
|
5.450%
|
|
903,000
|
905,973
|
06/01/2034
|
5.200%
|
|
6,295,000
|
6,129,954
|
Southern Co. (The)
|
||||
03/15/2029
|
5.500%
|
|
6,055,000
|
6,119,069
|
07/01/2036
|
4.250%
|
|
595,000
|
528,249
|
Southern Co. (The)(l)
|
||||
09/15/2051
|
3.750%
|
|
1,122,000
|
1,045,350
|
Junior Subordinated
|
||||
08/01/2027
|
5.113%
|
|
932,000
|
926,837
|
Southwestern Electric Power Co.
|
||||
03/15/2026
|
1.650%
|
|
1,096,000
|
1,026,130
|
10/01/2026
|
2.750%
|
|
6,450,000
|
6,050,493
|
04/01/2033
|
5.300%
|
|
661,000
|
638,838
|
Tampa Electric Co.
|
||||
05/15/2044
|
4.350%
|
|
272,000
|
224,521
|
Toledo Edison Co. (The)
|
||||
05/15/2037
|
6.150%
|
|
951,000
|
992,088
|
Tucson Electric Power Co.
|
||||
12/01/2048
|
4.850%
|
|
166,000
|
144,018
|
06/15/2050
|
4.000%
|
|
2,690,000
|
2,020,051
|
Virginia Electric & Power Co.
|
||||
03/15/2027
|
3.500%
|
|
1,446,000
|
1,384,121
|
Vistra Corp.(a),(l),(m)
|
||||
|
7.000%
|
|
425,000
|
421,967
|
|
8.000%
|
|
4,650,000
|
4,720,776
|
|
8.875%
|
|
1,650,000
|
1,709,742
|
Vistra Operations Co. LLC(a)
|
||||
07/15/2024
|
3.550%
|
|
2,505,000
|
2,496,253
|
05/13/2025
|
5.125%
|
|
5,190,000
|
5,167,058
|
02/15/2027
|
5.625%
|
|
2,200,000
|
2,165,013
|
07/31/2027
|
5.000%
|
|
2,000,000
|
1,933,434
|
05/01/2029
|
4.375%
|
|
4,535,000
|
4,198,189
|
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Vistra Operations Co., LLC(a)
|
||||
01/30/2027
|
3.700%
|
|
885,000
|
839,359
|
WEC Energy Group, Inc.
|
||||
09/27/2025
|
5.000%
|
|
304,000
|
301,983
|
10/01/2027
|
5.150%
|
|
426,000
|
424,000
|
10/15/2027
|
1.375%
|
|
1,094,000
|
963,407
|
12/15/2028
|
2.200%
|
|
746,000
|
654,931
|
Wisconsin Electric Power Co.
|
||||
06/15/2028
|
1.700%
|
|
680,000
|
597,839
|
Wisconsin Power and Light Co.
|
||||
03/30/2034
|
5.375%
|
|
4,741,000
|
4,685,896
|
Wisconsin Public Service Corp.
|
||||
12/01/2042
|
3.671%
|
|
509,000
|
396,147
|
Xcel Energy, Inc.
|
||||
03/15/2034
|
5.500%
|
|
4,390,000
|
4,319,258
|
Total
|
351,477,119
|
|||
Environmental 0.0%
|
||||
GFL Environmental, Inc.(a)
|
||||
01/15/2031
|
6.750%
|
|
710,000
|
724,256
|
Waste Connections, Inc.
|
||||
04/01/2050
|
3.050%
|
|
885,000
|
582,238
|
Waste Management, Inc.
|
||||
06/01/2029
|
2.000%
|
|
142,000
|
123,405
|
02/15/2030
|
4.625%
|
|
673,000
|
659,244
|
02/15/2034
|
4.875%
|
|
1,185,000
|
1,156,056
|
Waste Pro USA, Inc.(a)
|
||||
02/15/2026
|
5.500%
|
|
760,000
|
748,620
|
Total
|
3,993,819
|
|||
Finance Companies 0.8%
|
||||
AerCap Ireland Capital DAC/Global Aviation Trust
|
||||
10/01/2025
|
4.450%
|
|
1,889,000
|
1,860,119
|
10/29/2026
|
2.450%
|
|
445,000
|
414,026
|
10/29/2028
|
3.000%
|
|
5,655,000
|
5,108,526
|
Air Lease Corp.
|
||||
03/01/2025
|
3.250%
|
|
2,500,000
|
2,450,937
|
07/01/2025
|
3.375%
|
|
2,750,000
|
2,682,569
|
01/15/2026
|
2.875%
|
|
2,075,000
|
1,983,646
|
12/01/2027
|
3.625%
|
|
465,000
|
437,632
|
Aircastle Ltd.(a)
|
||||
01/26/2028
|
2.850%
|
|
3,335,000
|
3,001,163
|
07/18/2028
|
6.500%
|
|
1,725,000
|
1,755,061
|
02/15/2029
|
5.950%
|
|
1,485,000
|
1,482,241
|
Ares Capital Corp.
|
||||
01/15/2027
|
7.000%
|
|
2,665,000
|
2,723,264
|
07/15/2029
|
5.950%
|
|
1,530,000
|
1,510,595
|
Ares Strategic Income Fund(a),(c)
|
||||
08/15/2029
|
6.350%
|
|
3,075,000
|
3,062,335
|
36
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Aviation Capital Group LLC(a)
|
||||
12/15/2024
|
5.500%
|
|
1,030,000
|
1,026,017
|
Avolon Holdings Funding Ltd.(a)
|
||||
07/01/2024
|
3.950%
|
|
750,000
|
748,595
|
02/15/2025
|
2.875%
|
|
2,905,000
|
2,839,229
|
11/18/2027
|
2.528%
|
|
2,283,000
|
2,038,879
|
Bain Capital Specialty Finance, Inc.
|
||||
10/13/2026
|
2.550%
|
|
3,250,000
|
2,985,231
|
Blackstone Private Credit Fund(a)
|
||||
07/16/2029
|
5.950%
|
|
1,375,000
|
1,353,458
|
Blackstone Secured Lending Fund
|
||||
11/15/2027
|
5.875%
|
|
3,125,000
|
3,103,164
|
09/30/2028
|
2.850%
|
|
2,850,000
|
2,502,453
|
Blue Owl Capital Corp. II(a)
|
||||
11/15/2026
|
8.450%
|
|
1,805,000
|
1,861,586
|
Blue Owl Credit Income Corp.
|
||||
09/16/2027
|
7.750%
|
|
953,000
|
986,046
|
06/13/2028
|
7.950%
|
|
2,555,000
|
2,656,763
|
03/15/2031
|
6.650%
|
|
637,000
|
629,882
|
Blue Owl Credit Income Corp.(a)
|
||||
09/15/2029
|
6.600%
|
|
1,275,000
|
1,267,950
|
Blue Owl Technology Finance Corp. II(a)
|
||||
04/04/2029
|
6.750%
|
|
5,230,000
|
5,140,603
|
FirstCash, Inc.(a)
|
||||
01/01/2030
|
5.625%
|
|
1,500,000
|
1,421,724
|
Freedom Mortgage Corp.(a)
|
||||
10/01/2028
|
12.000%
|
|
450,000
|
485,754
|
FS KKR Capital Corp.
|
||||
10/12/2028
|
3.125%
|
|
1,100,000
|
955,133
|
01/15/2029
|
7.875%
|
|
2,630,000
|
2,720,655
|
FS KKR Capital Corp.(c)
|
||||
08/15/2029
|
6.875%
|
|
4,210,000
|
4,171,130
|
GATX Corp.
|
||||
03/15/2027
|
5.400%
|
|
1,715,000
|
1,714,885
|
06/30/2030
|
4.000%
|
|
1,450,000
|
1,339,348
|
GGAM Finance Ltd.(a)
|
||||
02/15/2027
|
8.000%
|
|
2,495,000
|
2,566,512
|
Goldman Sachs BDC, Inc.
|
||||
03/11/2027
|
6.375%
|
|
1,670,000
|
1,682,643
|
Golub Capital BDC, Inc.
|
||||
08/24/2026
|
2.500%
|
|
4,100,000
|
3,775,277
|
07/15/2029
|
6.000%
|
|
220,000
|
215,572
|
Hercules Capital, Inc.
|
||||
01/20/2027
|
3.375%
|
|
3,675,000
|
3,385,482
|
Main Street Capital Corp.
|
||||
07/14/2026
|
3.000%
|
|
1,795,000
|
1,673,911
|
Main Street Capital Corp.(c)
|
||||
06/04/2027
|
6.500%
|
|
2,685,000
|
2,686,512
|
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Nationstar Mortgage Holdings Inc.(a)
|
||||
08/15/2028
|
5.500%
|
|
1,050,000
|
1,002,774
|
Nationstar Mortgage Holdings, Inc.(a)
|
||||
12/15/2030
|
5.125%
|
|
2,465,000
|
2,237,061
|
11/15/2031
|
5.750%
|
|
1,300,000
|
1,201,909
|
Navient Corp.
|
||||
03/15/2027
|
5.000%
|
|
1,555,000
|
1,476,173
|
New Mountain Finance Corp.
|
||||
02/01/2029
|
6.875%
|
|
1,265,000
|
1,249,514
|
Owl Rock Capital Corp.
|
||||
07/22/2025
|
3.750%
|
|
1,075,000
|
1,043,633
|
01/15/2026
|
4.250%
|
|
785,000
|
760,653
|
Owl Rock Technology Finance Corp.(a)
|
||||
12/15/2025
|
4.750%
|
|
3,230,000
|
3,118,103
|
PennyMac Financial Services, Inc.(a)
|
||||
09/15/2031
|
5.750%
|
|
1,825,000
|
1,683,977
|
Sixth Street Lending Partners(a)
|
||||
03/11/2029
|
6.500%
|
|
2,985,000
|
2,979,415
|
Sixth Street Specialty Lending, Inc.
|
||||
03/01/2029
|
6.125%
|
|
2,155,000
|
2,139,978
|
Total
|
105,299,698
|
|||
Food and Beverage 0.6%
|
||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc.
|
||||
02/01/2046
|
4.900%
|
|
6,835,000
|
6,283,082
|
Anheuser-Busch InBev Worldwide, Inc.
|
||||
06/15/2034
|
5.000%
|
|
5,650,000
|
5,552,599
|
01/23/2039
|
5.450%
|
|
794,000
|
795,934
|
B&G Foods, Inc.
|
||||
04/01/2025
|
5.250%
|
|
772,000
|
759,403
|
09/15/2027
|
5.250%
|
|
1,075,000
|
987,393
|
Bacardi Ltd.(a)
|
||||
05/15/2048
|
5.300%
|
|
1,060,000
|
949,724
|
Campbell Soup Co.
|
||||
03/21/2029
|
5.200%
|
|
1,336,000
|
1,328,681
|
Cargill Inc.(a)
|
||||
11/10/2031
|
2.125%
|
|
1,272,000
|
1,031,309
|
Cargill, Inc.(a)
|
||||
04/22/2025
|
3.500%
|
|
2,449,000
|
2,409,384
|
04/23/2030
|
2.125%
|
|
750,000
|
636,926
|
02/02/2031
|
1.700%
|
|
826,000
|
668,175
|
Coca-Cola Co. (The)
|
||||
05/13/2054
|
5.300%
|
|
7,432,000
|
7,334,956
|
05/13/2064
|
5.400%
|
|
928,000
|
914,217
|
Coca-Cola Consolidated, Inc.
|
||||
06/01/2029
|
5.250%
|
|
3,830,000
|
3,839,922
|
Multi-Manager Total Return Bond Strategies Fund | 2024
37
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
JBS SA/Food Co./Finance, Inc.
|
||||
02/01/2028
|
5.125%
|
|
2,025,000
|
1,989,236
|
02/02/2029
|
3.000%
|
|
1,955,000
|
1,732,269
|
12/01/2031
|
3.750%
|
|
1,500,000
|
1,301,928
|
05/15/2032
|
3.000%
|
|
335,000
|
272,527
|
12/01/2052
|
6.500%
|
|
2,535,000
|
2,540,977
|
JBS USA LUX SA/Food Co./Luxembourg SARL(a)
|
||||
03/15/2034
|
6.750%
|
|
5,335,000
|
5,614,575
|
11/15/2053
|
7.250%
|
|
2,030,000
|
2,217,375
|
Keurig Dr Pepper, Inc.
|
||||
03/15/2029
|
5.050%
|
|
676,000
|
671,444
|
Kraft Heinz Foods Co.
|
||||
10/01/2039
|
4.625%
|
|
950,000
|
836,496
|
02/09/2040
|
6.500%
|
|
1,215,000
|
1,301,137
|
06/01/2046
|
4.375%
|
|
465,000
|
381,511
|
Lamb Weston Holdings, Inc.(a)
|
||||
01/31/2030
|
4.125%
|
|
1,725,000
|
1,553,358
|
01/31/2032
|
4.375%
|
|
575,000
|
507,817
|
Mars, Inc.(a)
|
||||
04/01/2039
|
3.875%
|
|
983,000
|
828,238
|
07/16/2040
|
2.375%
|
|
602,000
|
408,375
|
Minerva Luxembourg SA(a)
|
||||
09/13/2033
|
8.875%
|
|
3,800,000
|
3,962,496
|
Mondelez International, Inc.
|
||||
02/20/2029
|
4.750%
|
|
1,069,000
|
1,051,836
|
Nestle Capital Corp.(a)
|
||||
03/12/2034
|
4.875%
|
|
1,074,000
|
1,053,804
|
03/12/2054
|
5.100%
|
|
455,000
|
432,937
|
Pilgrim’s Pride Corp.
|
||||
04/15/2031
|
4.250%
|
|
2,000,000
|
1,801,382
|
03/01/2032
|
3.500%
|
|
6,479,000
|
5,448,188
|
Post Holdings, Inc.(a)
|
||||
12/15/2029
|
5.500%
|
|
2,360,000
|
2,250,540
|
04/15/2030
|
4.625%
|
|
2,684,000
|
2,435,155
|
02/15/2032
|
6.250%
|
|
930,000
|
925,602
|
Primo Water Holdings, Inc.(a)
|
||||
04/30/2029
|
4.375%
|
|
1,610,000
|
1,480,280
|
Simmons Foods, Inc./Prepared Foods, Inc./Pet Food, Inc./Feed(a)
|
||||
03/01/2029
|
4.625%
|
|
495,000
|
432,535
|
Smithfield Foods, Inc.(a)
|
||||
02/01/2027
|
4.250%
|
|
2,500,000
|
2,395,184
|
10/15/2030
|
3.000%
|
|
2,020,000
|
1,701,854
|
Tyson Foods, Inc.
|
||||
03/15/2029
|
5.400%
|
|
1,153,000
|
1,152,393
|
Total
|
82,173,154
|
|||
Gaming 0.2%
|
||||
Caesars Entertainment, Inc.(a)
|
||||
10/15/2029
|
4.625%
|
|
3,100,000
|
2,800,635
|
02/15/2030
|
7.000%
|
|
950,000
|
961,132
|
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CCM Merger, Inc.(a)
|
||||
05/01/2026
|
6.375%
|
|
1,225,000
|
1,217,121
|
GLP Capital LP/Financing II, Inc.
|
||||
04/15/2026
|
5.375%
|
|
125,000
|
123,866
|
01/15/2029
|
5.300%
|
|
205,000
|
200,849
|
01/15/2030
|
4.000%
|
|
4,500,000
|
4,079,621
|
01/15/2031
|
4.000%
|
|
510,000
|
453,470
|
01/15/2032
|
3.250%
|
|
1,060,000
|
880,334
|
International Game Technology PLC(a)
|
||||
02/15/2025
|
6.500%
|
|
975,000
|
977,429
|
01/15/2027
|
6.250%
|
|
400,000
|
400,699
|
Jacobs Entertainment, Inc.(a)
|
||||
02/15/2029
|
6.750%
|
|
1,675,000
|
1,567,165
|
MGM Resorts International
|
||||
09/01/2026
|
4.625%
|
|
188,000
|
182,296
|
04/15/2027
|
5.500%
|
|
1,500,000
|
1,477,677
|
10/15/2028
|
4.750%
|
|
1,575,000
|
1,472,898
|
Penn National Gaming, Inc.(a)
|
||||
07/01/2029
|
4.125%
|
|
2,110,000
|
1,760,964
|
Premier Entertainment Sub LLC/Finance Corp.(a)
|
||||
09/01/2031
|
5.875%
|
|
2,575,000
|
1,794,226
|
Sands China Ltd.
|
||||
08/08/2028
|
5.400%
|
|
589,000
|
579,092
|
VICI Properties LP
|
||||
02/15/2030
|
4.950%
|
|
475,000
|
455,615
|
05/15/2032
|
5.125%
|
|
1,071,000
|
1,014,869
|
05/15/2052
|
5.625%
|
|
1,110,000
|
995,589
|
VICI Properties LP/Note Co., Inc.(a)
|
||||
06/15/2025
|
4.625%
|
|
140,000
|
138,194
|
09/01/2026
|
4.500%
|
|
1,915,000
|
1,858,793
|
02/01/2027
|
5.750%
|
|
545,000
|
544,279
|
02/15/2027
|
3.750%
|
|
2,000,000
|
1,894,443
|
01/15/2028
|
4.500%
|
|
66,000
|
63,175
|
02/15/2029
|
3.875%
|
|
410,000
|
376,710
|
08/15/2030
|
4.125%
|
|
249,000
|
224,299
|
Wynn Macau Ltd.(a)
|
||||
01/15/2026
|
5.500%
|
|
1,625,000
|
1,587,724
|
Wynn Resorts Finance LLC/Capital Corp.(a)
|
||||
10/01/2029
|
5.125%
|
|
1,000,000
|
940,892
|
Total
|
31,024,056
|
|||
Health Care 1.2%
|
||||
Abbott Laboratories
|
||||
11/30/2046
|
4.900%
|
|
128,000
|
120,289
|
AdaptHealth LLC(a)
|
||||
08/01/2028
|
6.125%
|
|
1,620,000
|
1,550,334
|
08/01/2029
|
4.625%
|
|
925,000
|
793,031
|
AMN Healthcare, Inc.(a)
|
||||
04/15/2029
|
4.000%
|
|
1,950,000
|
1,728,426
|
38
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Barnabas Health, Inc.
|
||||
07/01/2028
|
4.000%
|
|
3,200,000
|
3,021,613
|
Becton Dickinson and Co.
|
||||
12/15/2024
|
3.734%
|
|
44,000
|
43,533
|
02/13/2028
|
4.693%
|
|
1,459,000
|
1,431,733
|
08/22/2032
|
4.298%
|
|
2,913,000
|
2,709,336
|
05/15/2044
|
4.875%
|
|
1,555,000
|
1,326,233
|
Cardinal Health, Inc.
|
||||
02/15/2034
|
5.450%
|
|
379,000
|
376,656
|
Catalent Pharma Solutions, Inc.(a)
|
||||
02/15/2029
|
3.125%
|
|
1,000,000
|
953,718
|
Cencora, Inc.
|
||||
02/15/2034
|
5.125%
|
|
1,398,000
|
1,366,848
|
Cigna Corp.
|
||||
03/01/2027
|
3.400%
|
|
2,190,000
|
2,089,723
|
03/15/2031
|
2.375%
|
|
6,325,000
|
5,258,263
|
08/15/2038
|
4.800%
|
|
405,000
|
369,957
|
07/15/2046
|
4.800%
|
|
2,070,000
|
1,824,276
|
03/15/2051
|
3.400%
|
|
1,215,000
|
823,883
|
Cigna Group (The)
|
||||
02/15/2034
|
5.250%
|
|
1,291,000
|
1,266,182
|
02/15/2054
|
5.600%
|
|
4,924,000
|
4,736,798
|
CommonSpirit Health
|
||||
10/01/2025
|
1.547%
|
|
3,000,000
|
2,837,659
|
12/01/2031
|
5.205%
|
|
9,875,000
|
9,688,538
|
11/01/2042
|
4.350%
|
|
120,000
|
101,646
|
CVS Health Corp.
|
||||
07/20/2025
|
3.875%
|
|
1,002,000
|
983,296
|
02/21/2030
|
5.125%
|
|
3,805,000
|
3,742,382
|
09/15/2031
|
2.125%
|
|
854,000
|
680,381
|
02/21/2033
|
5.250%
|
|
328,000
|
318,658
|
06/01/2034
|
5.700%
|
|
5,814,000
|
5,786,212
|
07/20/2035
|
4.875%
|
|
720,000
|
668,285
|
03/25/2038
|
4.780%
|
|
8,543,000
|
7,598,529
|
04/01/2040
|
4.125%
|
|
1,795,000
|
1,445,644
|
08/21/2040
|
2.700%
|
|
623,000
|
412,800
|
02/21/2053
|
5.625%
|
|
389,000
|
360,497
|
06/01/2054
|
6.050%
|
|
606,000
|
593,993
|
06/01/2063
|
6.000%
|
|
139,000
|
133,428
|
DaVita, Inc.(a)
|
||||
06/01/2030
|
4.625%
|
|
4,630,000
|
4,148,603
|
02/15/2031
|
3.750%
|
|
1,900,000
|
1,594,466
|
Duke University Health System, Inc.
|
||||
06/01/2047
|
3.920%
|
|
875,000
|
705,162
|
Embecta Corp.(a)
|
||||
02/15/2030
|
5.000%
|
|
1,500,000
|
1,240,347
|
Fresenius Medical Care US Finance III, Inc.(a)
|
||||
12/01/2026
|
1.875%
|
|
2,825,000
|
2,559,801
|
GE HealthCare Technologies, Inc.
|
||||
11/15/2024
|
5.550%
|
|
5,095,000
|
5,087,458
|
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
HCA, Inc.
|
||||
02/01/2025
|
5.375%
|
|
2,900,000
|
2,889,518
|
04/15/2025
|
5.250%
|
|
1,659,000
|
1,652,106
|
06/15/2025
|
7.690%
|
|
750,000
|
763,379
|
06/15/2026
|
5.250%
|
|
1,169,000
|
1,161,962
|
02/15/2027
|
4.500%
|
|
679,000
|
662,540
|
03/15/2027
|
3.125%
|
|
687,000
|
647,056
|
12/01/2027
|
7.050%
|
|
10,000
|
10,533
|
06/15/2029
|
4.125%
|
|
850,000
|
800,793
|
09/01/2030
|
3.500%
|
|
1,282,000
|
1,147,365
|
04/01/2031
|
5.450%
|
|
1,279,000
|
1,270,880
|
07/15/2031
|
2.375%
|
|
1,530,000
|
1,248,173
|
06/15/2039
|
5.125%
|
|
1,282,000
|
1,188,515
|
06/15/2047
|
5.500%
|
|
2,515,000
|
2,330,000
|
07/15/2051
|
3.500%
|
|
1,697,000
|
1,132,684
|
04/01/2054
|
6.000%
|
|
503,000
|
493,508
|
04/01/2064
|
6.100%
|
|
444,000
|
433,664
|
Icon Investments Six DAC
|
||||
05/08/2029
|
5.849%
|
|
1,930,000
|
1,954,814
|
05/08/2034
|
6.000%
|
|
635,000
|
646,627
|
IQVIA, Inc.
|
||||
05/15/2028
|
5.700%
|
|
7,875,000
|
7,924,474
|
Laboratory Corp. of America Holdings
|
||||
09/01/2024
|
3.250%
|
|
2,561,000
|
2,544,674
|
Legacy LifePoint Health LLC(a)
|
||||
02/15/2027
|
4.375%
|
|
1,575,000
|
1,487,565
|
Mayo Clinic
|
||||
11/15/2052
|
4.128%
|
|
750,000
|
621,229
|
McKesson Corp.
|
||||
08/15/2026
|
1.300%
|
|
1,820,000
|
1,672,480
|
07/15/2033
|
5.100%
|
|
11,330,000
|
11,274,419
|
Medtronic Global Holdings SCA
|
||||
03/30/2033
|
4.500%
|
|
1,385,000
|
1,324,363
|
Memorial Sloan-Kettering Cancer Center
|
||||
07/01/2052
|
4.125%
|
|
1,130,000
|
925,892
|
ModivCare Escrow Issuer, Inc.(a)
|
||||
10/01/2029
|
5.000%
|
|
2,848,000
|
2,023,024
|
Mozart Debt Merger Sub, Inc.(a)
|
||||
04/01/2029
|
3.875%
|
|
4,870,000
|
4,440,295
|
10/01/2029
|
5.250%
|
|
1,875,000
|
1,768,040
|
New York and Presbyterian Hospital (The)
|
||||
08/01/2119
|
3.954%
|
|
305,000
|
215,288
|
NYU Langone Hospitals
|
||||
07/01/2043
|
5.750%
|
|
705,000
|
731,070
|
Providence Service Corp. (The)(a)
|
||||
11/15/2025
|
5.875%
|
|
1,065,000
|
1,059,281
|
Quest Diagnostics, Inc.
|
||||
06/30/2030
|
2.950%
|
|
380,000
|
334,852
|
06/30/2031
|
2.800%
|
|
401,000
|
341,898
|
11/30/2033
|
6.400%
|
|
862,000
|
919,686
|
Multi-Manager Total Return Bond Strategies Fund | 2024
39
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc.(a)
|
||||
12/01/2026
|
9.750%
|
|
2,875,000
|
2,879,546
|
Solventum Corp.(a)
|
||||
03/13/2031
|
5.450%
|
|
1,320,000
|
1,301,415
|
03/23/2034
|
5.600%
|
|
1,331,000
|
1,307,618
|
04/30/2054
|
5.900%
|
|
405,000
|
388,534
|
Tenet Healthcare Corp.
|
||||
11/01/2027
|
5.125%
|
|
1,450,000
|
1,412,754
|
06/01/2029
|
4.250%
|
|
425,000
|
394,475
|
01/15/2030
|
4.375%
|
|
4,100,000
|
3,773,645
|
Texas Health Resources
|
||||
11/15/2055
|
4.330%
|
|
700,000
|
591,988
|
Thermo Fisher Scientific, Inc.
|
||||
01/31/2029
|
5.000%
|
|
1,406,000
|
1,405,734
|
08/10/2030
|
4.977%
|
|
1,705,000
|
1,695,274
|
Universal Health Services, Inc.
|
||||
09/01/2026
|
1.650%
|
|
2,485,000
|
2,274,646
|
10/15/2030
|
2.650%
|
|
2,485,000
|
2,095,126
|
Zimmer Biomet Holdings, Inc.
|
||||
12/01/2028
|
5.350%
|
|
1,053,000
|
1,058,555
|
Total
|
163,100,574
|
|||
Healthcare Insurance 0.4%
|
||||
Aetna, Inc.
|
||||
06/15/2036
|
6.625%
|
|
590,000
|
628,827
|
Centene Corp.
|
||||
12/15/2027
|
4.250%
|
|
4,010,000
|
3,815,222
|
12/15/2029
|
4.625%
|
|
850,000
|
800,126
|
10/15/2030
|
3.000%
|
|
7,539,000
|
6,408,640
|
03/01/2031
|
2.500%
|
|
1,116,000
|
910,254
|
08/01/2031
|
2.625%
|
|
591,000
|
480,600
|
Elevance Health, Inc.
|
||||
02/08/2026
|
4.900%
|
|
596,000
|
590,486
|
Health Care Service Corp., a Mutual Legal Reserve Co.(a)
|
||||
06/01/2025
|
1.500%
|
|
577,000
|
553,675
|
Humana, Inc.
|
||||
12/01/2028
|
5.750%
|
|
3,025,000
|
3,074,901
|
04/15/2031
|
5.375%
|
|
1,335,000
|
1,322,186
|
04/15/2054
|
5.750%
|
|
3,980,000
|
3,831,688
|
UnitedHealth Group, Inc.
|
||||
04/15/2034
|
5.000%
|
|
5,499,000
|
5,396,188
|
08/15/2039
|
3.500%
|
|
583,000
|
469,347
|
05/15/2040
|
2.750%
|
|
229,000
|
164,318
|
05/15/2041
|
3.050%
|
|
119,000
|
87,892
|
07/15/2045
|
4.750%
|
|
277,000
|
252,158
|
10/15/2047
|
3.750%
|
|
303,000
|
231,575
|
05/15/2051
|
3.250%
|
|
3,750,000
|
2,565,950
|
02/15/2053
|
5.875%
|
|
915,000
|
949,297
|
04/15/2053
|
5.050%
|
|
1,520,000
|
1,403,811
|
04/15/2054
|
5.375%
|
|
7,055,000
|
6,840,035
|
04/15/2063
|
5.200%
|
|
3,358,000
|
3,112,189
|
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
04/15/2064
|
5.500%
|
|
567,000
|
549,483
|
Wellpoint, Inc.
|
||||
08/15/2024
|
3.500%
|
|
1,928,000
|
1,919,397
|
Total
|
46,358,245
|
|||
Healthcare REIT 0.1%
|
||||
Diversified Healthcare Trust
|
||||
06/15/2025
|
9.750%
|
|
487,000
|
487,271
|
03/01/2031
|
4.375%
|
|
1,500,000
|
1,083,901
|
Healthcare Realty Holdings LP
|
||||
01/15/2028
|
3.625%
|
|
435,000
|
399,548
|
03/15/2030
|
2.400%
|
|
1,514,000
|
1,235,710
|
03/15/2031
|
2.050%
|
|
400,000
|
306,630
|
Healthcare Trust of America Holdings LP
|
||||
02/15/2030
|
3.100%
|
|
1,246,000
|
1,082,358
|
03/15/2031
|
2.000%
|
|
2,960,000
|
2,324,254
|
Healthpeak OP LLC
|
||||
12/15/2032
|
5.250%
|
|
1,343,000
|
1,314,779
|
MPT Operating Partnership LP/Finance Corp.
|
||||
03/15/2031
|
3.500%
|
|
1,850,000
|
1,200,803
|
Omega Healthcare Investors, Inc.
|
||||
01/15/2025
|
4.500%
|
|
975,000
|
965,697
|
Physicians Realty LP
|
||||
03/15/2027
|
4.300%
|
|
380,000
|
370,163
|
01/15/2028
|
3.950%
|
|
77,000
|
73,454
|
11/01/2031
|
2.625%
|
|
1,100,000
|
904,559
|
Sabra Health Care LP
|
||||
12/01/2031
|
3.200%
|
|
543,000
|
446,995
|
Senior Housing Properties Trust
|
||||
02/15/2028
|
4.750%
|
|
25,000
|
20,571
|
Welltower, Inc.
|
||||
01/15/2031
|
2.750%
|
|
6,320,000
|
5,405,700
|
06/01/2031
|
2.800%
|
|
2,160,000
|
1,834,852
|
Total
|
19,457,245
|
|||
Home Construction 0.2%
|
||||
Ashton Woods USA LLC/Finance Co.(a)
|
||||
01/15/2028
|
6.625%
|
|
1,700,000
|
1,686,844
|
Brookfield Residential Properties, Inc./US Corp.(a)
|
||||
09/15/2027
|
6.250%
|
|
1,560,000
|
1,523,537
|
02/15/2030
|
4.875%
|
|
2,575,000
|
2,274,949
|
Century Communities, Inc.
|
||||
06/01/2027
|
6.750%
|
|
2,375,000
|
2,386,543
|
KB Home
|
||||
06/15/2031
|
4.000%
|
|
1,075,000
|
949,278
|
M/I Homes, Inc.
|
||||
02/01/2028
|
4.950%
|
|
650,000
|
617,494
|
40
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Mattamy Group Corp.(a)
|
||||
03/01/2030
|
4.625%
|
|
4,500,000
|
4,124,016
|
MDC Holdings, Inc.
|
||||
08/06/2061
|
3.966%
|
|
3,120,000
|
2,645,036
|
Meritage Homes Corp.
|
||||
06/06/2027
|
5.125%
|
|
2,000,000
|
1,966,378
|
PulteGroup, Inc.
|
||||
03/01/2026
|
5.500%
|
|
737,000
|
737,159
|
Taylor Morrison Communities, Inc.(a)
|
||||
01/15/2028
|
5.750%
|
|
2,000,000
|
1,970,855
|
08/01/2030
|
5.125%
|
|
1,114,000
|
1,057,427
|
Total
|
21,939,516
|
|||
Independent Energy 0.7%
|
||||
Aker BP ASA(a)
|
||||
01/15/2030
|
3.750%
|
|
4,800,000
|
4,397,082
|
01/15/2031
|
4.000%
|
|
6,640,000
|
6,000,238
|
06/13/2033
|
6.000%
|
|
1,250,000
|
1,261,763
|
Antero Resources Corp.(a)
|
||||
02/01/2029
|
7.625%
|
|
600,000
|
616,958
|
Ascent Resources Utica Holdings LLC/ARU Finance Corp.(a)
|
||||
11/01/2026
|
7.000%
|
|
600,000
|
600,640
|
11/01/2027
|
9.000%
|
|
150,000
|
188,155
|
12/31/2028
|
8.250%
|
|
2,500,000
|
2,554,887
|
Canadian Natural Resources Ltd.
|
||||
06/30/2033
|
6.450%
|
|
730,000
|
770,819
|
02/15/2037
|
6.500%
|
|
1,368,000
|
1,422,704
|
Chesapeake Energy Corp.(a)
|
||||
02/01/2026
|
5.500%
|
|
2,000,000
|
1,981,762
|
Civitas Resources, Inc.(a)
|
||||
07/01/2028
|
8.375%
|
|
1,275,000
|
1,339,614
|
ConocoPhillips Co.
|
||||
03/15/2042
|
3.758%
|
|
1,206,000
|
960,697
|
09/15/2063
|
5.700%
|
|
877,000
|
873,201
|
Continental Resources, Inc.
|
||||
06/01/2024
|
3.800%
|
|
1,683,000
|
1,682,904
|
Crescent Energy Finance LLC(a)
|
||||
04/01/2032
|
7.625%
|
|
1,485,000
|
1,515,296
|
Devon Energy Corp.
|
||||
09/15/2024
|
5.250%
|
|
78,000
|
77,837
|
07/15/2041
|
5.600%
|
|
1,875,000
|
1,762,887
|
Diamondback Energy, Inc.
|
||||
12/01/2026
|
3.250%
|
|
1,905,000
|
1,816,793
|
03/24/2031
|
3.125%
|
|
3,565,000
|
3,122,332
|
04/18/2034
|
5.400%
|
|
765,000
|
754,386
|
03/15/2052
|
4.250%
|
|
1,086,000
|
845,992
|
04/18/2054
|
5.750%
|
|
828,000
|
798,703
|
04/18/2064
|
5.900%
|
|
920,000
|
885,064
|
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Energean Israel Finance Ltd.(a)
|
||||
03/30/2026
|
4.875%
|
|
1,321,000
|
1,255,073
|
03/30/2028
|
5.375%
|
|
2,518,000
|
2,277,193
|
Hess Corp.
|
||||
04/01/2027
|
4.300%
|
|
1,902,000
|
1,851,245
|
Hilcorp Energy I LP/Finance Co.(a)
|
||||
04/15/2030
|
6.000%
|
|
825,000
|
796,416
|
02/01/2031
|
6.000%
|
|
1,560,000
|
1,494,455
|
04/15/2032
|
6.250%
|
|
2,350,000
|
2,255,690
|
11/01/2033
|
8.375%
|
|
1,455,000
|
1,560,821
|
Lundin Energy Finance BV(a)
|
||||
07/15/2026
|
2.000%
|
|
5,128,000
|
4,758,002
|
07/15/2031
|
3.100%
|
|
1,575,000
|
1,337,052
|
Occidental Petroleum Corp.
|
||||
07/15/2027
|
8.500%
|
|
213,000
|
228,244
|
01/01/2031
|
6.125%
|
|
1,986,000
|
2,029,544
|
03/15/2040
|
6.200%
|
|
1,433,000
|
1,442,211
|
03/15/2046
|
6.600%
|
|
396,000
|
414,949
|
Ovintiv, Inc.
|
||||
05/15/2028
|
5.650%
|
|
5,513,000
|
5,567,387
|
07/15/2053
|
7.100%
|
|
382,000
|
423,826
|
Permian Resources Operating LLC(a)
|
||||
04/15/2027
|
8.000%
|
|
1,600,000
|
1,642,658
|
Pioneer Natural Resources Co.
|
||||
03/29/2026
|
5.100%
|
|
3,350,000
|
3,338,942
|
Santos Finance Ltd.(a)
|
||||
09/19/2033
|
6.875%
|
|
8,790,000
|
9,221,382
|
Southwestern Energy Co.
|
||||
02/01/2029
|
5.375%
|
|
1,675,000
|
1,616,273
|
02/01/2032
|
4.750%
|
|
1,550,000
|
1,404,775
|
Var Energi ASA(a)
|
||||
05/18/2027
|
5.000%
|
|
4,995,000
|
4,890,876
|
Total
|
86,037,728
|
|||
Integrated Energy 0.2%
|
||||
BP Capital Markets America, Inc.
|
||||
09/11/2033
|
4.893%
|
|
572,000
|
555,081
|
04/10/2034
|
4.989%
|
|
335,000
|
326,266
|
11/17/2034
|
5.227%
|
|
9,150,000
|
9,057,642
|
06/04/2051
|
2.939%
|
|
395,000
|
251,589
|
BP Capital Markets PLC(l),(m)
|
||||
|
4.375%
|
|
1,035,000
|
1,016,003
|
|
4.875%
|
|
825,000
|
778,125
|
|
6.450%
|
|
696,000
|
711,763
|
Cenovus Energy, Inc.
|
||||
06/15/2047
|
5.400%
|
|
271,000
|
249,899
|
02/15/2052
|
3.750%
|
|
3,750,000
|
2,666,928
|
Chevron Corp.
|
||||
05/11/2050
|
3.078%
|
|
1,540,000
|
1,047,167
|
Multi-Manager Total Return Bond Strategies Fund | 2024
41
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Eni SpA(a)
|
||||
05/15/2034
|
5.500%
|
|
1,300,000
|
1,291,369
|
05/15/2054
|
5.950%
|
|
979,000
|
968,850
|
Exxon Mobil Corp.
|
||||
04/15/2051
|
3.452%
|
|
2,735,000
|
1,972,228
|
TotalEnergies Capital SA
|
||||
04/05/2034
|
5.150%
|
|
600,000
|
598,451
|
04/05/2054
|
5.488%
|
|
1,246,000
|
1,231,406
|
04/05/2064
|
5.638%
|
|
689,000
|
685,128
|
Total
|
23,407,895
|
|||
Leisure 0.1%
|
||||
Carnival Corp.(a)
|
||||
03/01/2027
|
5.750%
|
|
3,200,000
|
3,141,794
|
08/01/2028
|
4.000%
|
|
1,000,000
|
922,027
|
05/01/2029
|
6.000%
|
|
325,000
|
317,429
|
Carnival Holdings Bermuda Ltd.(a)
|
||||
05/01/2028
|
10.375%
|
|
600,000
|
649,849
|
Lindblad Expeditions LLC(a)
|
||||
02/15/2027
|
6.750%
|
|
2,750,000
|
2,720,902
|
NCL Corp., Ltd.(a)
|
||||
03/15/2026
|
5.875%
|
|
700,000
|
688,216
|
02/15/2027
|
5.875%
|
|
950,000
|
935,774
|
02/15/2029
|
7.750%
|
|
950,000
|
975,295
|
NCL Finance Ltd.(a)
|
||||
03/15/2028
|
6.125%
|
|
975,000
|
954,202
|
Royal Caribbean Cruises Ltd.(a)
|
||||
08/31/2026
|
5.500%
|
|
275,000
|
270,886
|
01/15/2029
|
9.250%
|
|
750,000
|
799,588
|
01/15/2030
|
7.250%
|
|
300,000
|
310,255
|
Viking Cruises Ltd.(a)
|
||||
09/15/2027
|
5.875%
|
|
1,575,000
|
1,537,271
|
VOC Escrow Ltd.(a)
|
||||
02/15/2028
|
5.000%
|
|
1,725,000
|
1,656,969
|
Total
|
15,880,457
|
|||
Life Insurance 0.9%
|
||||
AIG Global Funding(a)
|
||||
09/22/2025
|
0.900%
|
|
3,545,000
|
3,333,674
|
Athene Global Funding(a)
|
||||
02/23/2026
|
5.684%
|
|
3,810,000
|
3,807,666
|
06/29/2026
|
1.608%
|
|
2,930,000
|
2,698,917
|
03/08/2027
|
3.205%
|
|
1,430,000
|
1,328,792
|
03/24/2028
|
2.500%
|
|
1,620,000
|
1,448,295
|
08/19/2028
|
1.985%
|
|
4,380,000
|
3,791,756
|
01/07/2029
|
2.717%
|
|
320,000
|
282,565
|
Brighthouse Financial Global Funding(a)
|
||||
01/13/2025
|
1.750%
|
|
3,210,000
|
3,128,253
|
04/09/2027
|
5.550%
|
|
5,235,000
|
5,226,028
|
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CNO Global Funding(a),(c)
|
||||
06/04/2027
|
5.875%
|
|
1,910,000
|
1,914,693
|
CNO Global Funding(a)
|
||||
01/06/2029
|
2.650%
|
|
5,235,000
|
4,549,486
|
Corebridge Financial, Inc.
|
||||
04/05/2029
|
3.850%
|
|
3,622,000
|
3,378,263
|
04/05/2032
|
3.900%
|
|
4,286,000
|
3,827,266
|
01/15/2034
|
5.750%
|
|
1,525,000
|
1,533,091
|
Corebridge Financial, Inc.(a)
|
||||
09/15/2033
|
6.050%
|
|
936,000
|
957,173
|
Corebridge Financial, Inc.(l)
|
||||
12/15/2052
|
6.875%
|
|
1,189,000
|
1,194,707
|
Equitable Financial Life Global Funding(a)
|
||||
12/02/2025
|
5.500%
|
|
4,165,000
|
4,151,377
|
F&G Annuities & Life, Inc.(c)
|
||||
06/04/2029
|
6.500%
|
|
1,410,000
|
1,408,038
|
F&G Global Funding(a)
|
||||
07/07/2025
|
5.150%
|
|
4,475,000
|
4,412,083
|
GA Global Funding Trust(a)
|
||||
01/06/2027
|
2.250%
|
|
5,780,000
|
5,299,197
|
Great-West Lifeco US Finance 2020 LP(a)
|
||||
08/12/2025
|
0.904%
|
|
4,190,000
|
3,966,705
|
Hill City Funding Trust(a)
|
||||
08/15/2041
|
4.046%
|
|
2,750,000
|
1,987,364
|
Jackson National Life Global Funding(a)
|
||||
01/12/2025
|
1.750%
|
|
2,715,000
|
2,644,814
|
04/12/2028
|
5.250%
|
|
1,200,000
|
1,172,948
|
Lincoln National Corp.
|
||||
01/15/2031
|
3.400%
|
|
6,000,000
|
5,265,272
|
06/15/2040
|
7.000%
|
|
930,000
|
1,017,701
|
Met Tower Global Funding(a)
|
||||
04/12/2029
|
5.250%
|
|
1,895,000
|
1,893,118
|
Metropolitan Life Global Funding I(a)
|
||||
08/25/2029
|
4.300%
|
|
4,965,000
|
4,763,360
|
New York Life Global Funding(a)
|
||||
08/01/2031
|
1.850%
|
|
3,755,000
|
3,005,836
|
New York Life Insurance Co.(a)
|
||||
Subordinated
|
||||
05/15/2050
|
3.750%
|
|
2,545,000
|
1,881,947
|
05/15/2069
|
4.450%
|
|
34,000
|
26,857
|
Nippon Life Insurance Co.(a),(l)
|
||||
04/16/2054
|
5.950%
|
|
6,565,000
|
6,502,504
|
Northwestern Mutual Global Funding(a)
|
||||
06/01/2028
|
1.700%
|
|
1,265,000
|
1,105,296
|
06/12/2028
|
4.900%
|
|
5,740,000
|
5,669,795
|
Northwestern Mutual Life Insurance Co. (The)(a)
|
||||
Subordinated
|
||||
03/30/2051
|
3.450%
|
|
238,000
|
164,478
|
42
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Pine Street Trust II(a)
|
||||
02/15/2049
|
5.568%
|
|
1,890,000
|
1,720,811
|
Reinsurance Group of America, Inc.
|
||||
09/15/2034
|
5.750%
|
|
4,505,000
|
4,482,883
|
Reliance Standard Life Global Funding II(a)
|
||||
05/07/2025
|
2.750%
|
|
4,340,000
|
4,224,039
|
RGA Global Funding(a)
|
||||
01/18/2029
|
2.700%
|
|
2,440,000
|
2,181,511
|
05/24/2029
|
5.448%
|
|
4,000,000
|
4,001,493
|
Teachers Insurance & Annuity Association of America(a)
|
||||
Subordinated
|
||||
09/15/2044
|
4.900%
|
|
2,509,000
|
2,221,986
|
05/15/2047
|
4.270%
|
|
4,785,000
|
3,845,479
|
05/15/2050
|
3.300%
|
|
4,390,000
|
2,952,330
|
Total
|
124,369,847
|
|||
Lodging 0.1%
|
||||
Hyatt Hotels Corp.
|
||||
01/30/2027
|
5.750%
|
|
2,780,000
|
2,805,282
|
Marriott International, Inc.
|
||||
05/15/2029
|
4.875%
|
|
575,000
|
564,908
|
10/15/2032
|
3.500%
|
|
3,400,000
|
2,937,734
|
05/15/2034
|
5.300%
|
|
703,000
|
687,761
|
Total
|
6,995,685
|
|||
Media and Entertainment 0.4%
|
||||
Diamond Sports Group LLC/Finance Co.(a),(n)
|
||||
08/15/2026
|
0.000%
|
|
7,810,000
|
141,750
|
08/15/2027
|
0.000%
|
|
825,000
|
15,385
|
Discovery Communications LLC
|
||||
05/15/2030
|
3.625%
|
|
3,200,000
|
2,815,089
|
05/15/2049
|
5.300%
|
|
924,000
|
749,474
|
09/15/2055
|
4.000%
|
|
1,298,000
|
824,421
|
Fox Corp.
|
||||
10/13/2033
|
6.500%
|
|
3,135,000
|
3,277,298
|
Gray Television, Inc.(a)
|
||||
07/15/2026
|
5.875%
|
|
900,000
|
898,766
|
05/15/2027
|
7.000%
|
|
1,675,000
|
1,479,424
|
Meta Platforms, Inc.
|
||||
08/15/2027
|
3.500%
|
|
773,000
|
741,288
|
08/15/2052
|
4.450%
|
|
2,111,000
|
1,802,118
|
08/15/2062
|
4.650%
|
|
171,000
|
146,214
|
05/15/2063
|
5.750%
|
|
1,581,000
|
1,615,198
|
Netflix, Inc.
|
||||
11/15/2028
|
5.875%
|
|
1,545,000
|
1,588,755
|
Take-Two Interactive Software, Inc.
|
||||
03/28/2028
|
4.950%
|
|
3,645,000
|
3,604,089
|
Univision Communications, Inc.(a)
|
||||
05/01/2029
|
4.500%
|
|
1,690,000
|
1,443,046
|
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Viacom, Inc.
|
||||
09/01/2043
|
5.850%
|
|
613,000
|
498,162
|
ViacomCBS, Inc.
|
||||
05/19/2050
|
4.950%
|
|
300,000
|
215,916
|
Warnermedia Holdings, Inc.
|
||||
03/15/2027
|
3.755%
|
|
2,401,000
|
2,277,193
|
03/15/2032
|
4.279%
|
|
30,000
|
26,259
|
03/15/2042
|
5.050%
|
|
8,862,000
|
7,324,670
|
03/15/2052
|
5.141%
|
|
17,624,000
|
13,907,154
|
03/15/2062
|
5.391%
|
|
1,393,000
|
1,095,925
|
Total
|
46,487,594
|
|||
Metals and Mining 0.4%
|
||||
Anglo American Capital PLC(a)
|
||||
03/17/2028
|
2.250%
|
|
3,859,000
|
3,435,577
|
05/02/2033
|
5.500%
|
|
431,000
|
423,925
|
04/05/2034
|
5.750%
|
|
715,000
|
713,367
|
AngloGold Ashanti Holdings PLC
|
||||
10/01/2030
|
3.750%
|
|
1,800,000
|
1,562,468
|
Antofagasta PLC(a)
|
||||
05/02/2034
|
6.250%
|
|
1,550,000
|
1,590,277
|
Arsenal AIC Parent LLC(a)
|
||||
10/01/2031
|
11.500%
|
|
735,000
|
820,087
|
BHP Billiton Finance USA Ltd.
|
||||
09/08/2030
|
5.250%
|
|
1,162,000
|
1,169,175
|
02/28/2033
|
4.900%
|
|
710,000
|
692,136
|
09/08/2033
|
5.250%
|
|
1,319,000
|
1,311,051
|
Cleveland-Cliffs, Inc.(a)
|
||||
04/15/2030
|
6.750%
|
|
1,470,000
|
1,454,473
|
03/15/2032
|
7.000%
|
|
1,300,000
|
1,283,971
|
CSN Resources SA(a)
|
||||
12/05/2030
|
8.875%
|
|
2,500,000
|
2,496,808
|
First Quantum Minerals Ltd.(a)
|
||||
10/15/2027
|
6.875%
|
|
1,000,000
|
985,138
|
03/01/2029
|
9.375%
|
|
1,730,000
|
1,806,656
|
Freeport-McMoRan, Inc.
|
||||
11/14/2034
|
5.400%
|
|
5,000,000
|
4,893,528
|
Glencore Funding LLC(a)
|
||||
04/04/2054
|
5.893%
|
|
4,401,000
|
4,281,056
|
Hecla Mining Co.
|
||||
02/15/2028
|
7.250%
|
|
675,000
|
680,206
|
Kinross Gold Corp.
|
||||
07/15/2027
|
4.500%
|
|
1,239,000
|
1,203,139
|
Mineral Resources Ltd.(a)
|
||||
10/01/2028
|
9.250%
|
|
1,000,000
|
1,051,026
|
Newmont Corp.
|
||||
10/01/2030
|
2.250%
|
|
10,077,000
|
8,504,936
|
Multi-Manager Total Return Bond Strategies Fund | 2024
43
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Newmont Corp./Newcrest Finance Pty Ltd.(a)
|
||||
03/15/2026
|
5.300%
|
|
1,334,000
|
1,331,248
|
03/15/2034
|
5.350%
|
|
4,265,000
|
4,238,703
|
Novelis Corp.(a)
|
||||
01/30/2030
|
4.750%
|
|
1,755,000
|
1,622,753
|
Nucor Corp.
|
||||
05/23/2027
|
4.300%
|
|
690,000
|
675,155
|
05/01/2028
|
3.950%
|
|
1,500,000
|
1,439,505
|
Southern Copper Corp.
|
||||
04/23/2025
|
3.875%
|
|
600,000
|
589,910
|
Steel Dynamics, Inc.
|
||||
06/15/2025
|
2.400%
|
|
491,000
|
475,075
|
10/15/2027
|
1.650%
|
|
747,000
|
664,038
|
01/15/2031
|
3.250%
|
|
1,510,000
|
1,331,560
|
Total
|
52,726,947
|
|||
Midstream 0.9%
|
||||
AmeriGas Partners LP/Finance Corp.
|
||||
08/20/2026
|
5.875%
|
|
2,300,000
|
2,221,497
|
Antero Midstream Partners LP/Finance Corp.(a)
|
||||
01/15/2028
|
5.750%
|
|
1,300,000
|
1,273,623
|
02/01/2032
|
6.625%
|
|
1,455,000
|
1,457,809
|
Cheniere Energy Partners LP
|
||||
10/01/2029
|
4.500%
|
|
42,000
|
39,931
|
06/30/2033
|
5.950%
|
|
1,165,000
|
1,176,596
|
Cheniere Energy, Inc.(a)
|
||||
04/15/2034
|
5.650%
|
|
286,000
|
283,839
|
Colonial Enterprises, Inc.(a)
|
||||
05/15/2030
|
3.250%
|
|
3,505,000
|
3,116,638
|
Colorado Interstate Gas Co. LLC/Issuing Corp.(a)
|
||||
08/15/2026
|
4.150%
|
|
2,290,000
|
2,216,011
|
Columbia Pipelines Holding Co. LLC(a)
|
||||
08/15/2028
|
6.042%
|
|
3,775,000
|
3,843,838
|
Columbia Pipelines Operating Co. LLC(a)
|
||||
11/15/2033
|
6.036%
|
|
9,315,000
|
9,499,867
|
Crestwood Midstream Partners LP/Finance Corp.(a)
|
||||
05/01/2027
|
5.625%
|
|
1,375,000
|
1,371,904
|
DT Midstream, Inc.(a)
|
||||
06/15/2031
|
4.375%
|
|
1,795,000
|
1,613,371
|
EIG Pearl Holdings Sarl(a)
|
||||
08/31/2036
|
3.545%
|
|
1,400,000
|
1,187,486
|
08/31/2036
|
3.545%
|
|
550,000
|
466,512
|
Enbridge, Inc.
|
||||
04/05/2034
|
5.625%
|
|
2,695,000
|
2,678,308
|
Enbridge, Inc.(l)
|
||||
07/15/2080
|
5.750%
|
|
1,213,000
|
1,129,896
|
01/15/2084
|
8.500%
|
|
3,925,000
|
4,206,356
|
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Energy Transfer LP
|
||||
05/15/2034
|
5.550%
|
|
676,000
|
665,936
|
05/15/2054
|
5.950%
|
|
1,011,000
|
974,958
|
Energy Transfer Operating LP
|
||||
05/15/2030
|
3.750%
|
|
1,450,000
|
1,326,294
|
Energy Transfer Partners LP
|
||||
03/15/2035
|
4.900%
|
|
127,000
|
118,404
|
06/15/2038
|
5.800%
|
|
611,000
|
594,034
|
10/01/2043
|
5.950%
|
|
280,000
|
270,564
|
03/15/2045
|
5.150%
|
|
1,625,000
|
1,430,759
|
06/15/2048
|
6.000%
|
|
111,000
|
107,179
|
EnLink Midstream LLC(a)
|
||||
09/01/2030
|
6.500%
|
|
1,520,000
|
1,553,852
|
Enterprise Products Operating LLC
|
||||
05/15/2046
|
4.900%
|
|
1,400,000
|
1,266,700
|
Enterprise Products Operating LLC(b)
|
||||
3-month Term SOFR + 3.248%
08/16/2077
|
8.574%
|
|
324,000
|
323,669
|
Ferrellgas LP/Finance Corp.(a)
|
||||
04/01/2029
|
5.875%
|
|
1,075,000
|
1,017,199
|
Galaxy Pipeline Assets Bidco Ltd.(a)
|
||||
03/31/2034
|
2.160%
|
|
692,892
|
587,206
|
09/30/2040
|
2.940%
|
|
412,101
|
324,482
|
Greensaif Pipelines Bidco Sarl(a)
|
||||
02/23/2038
|
6.129%
|
|
500,000
|
505,394
|
02/23/2042
|
6.510%
|
|
975,000
|
1,007,797
|
Kinder Morgan Energy Partners LP
|
||||
09/01/2024
|
4.250%
|
|
482,000
|
479,982
|
03/15/2032
|
7.750%
|
|
635,000
|
710,545
|
09/01/2039
|
6.500%
|
|
1,000,000
|
1,028,246
|
03/01/2043
|
5.000%
|
|
332,000
|
290,576
|
MPLX LP
|
||||
12/01/2024
|
4.875%
|
|
325,000
|
323,694
|
06/01/2025
|
4.875%
|
|
200,000
|
198,388
|
03/01/2026
|
1.750%
|
|
335,000
|
313,801
|
03/15/2028
|
4.000%
|
|
1,100,000
|
1,049,905
|
08/15/2030
|
2.650%
|
|
1,989,000
|
1,699,696
|
06/01/2034
|
5.500%
|
|
6,625,000
|
6,480,605
|
03/01/2047
|
5.200%
|
|
1,500,000
|
1,346,812
|
NGPL PipeCo LLC(a)
|
||||
08/15/2027
|
4.875%
|
|
412,000
|
401,061
|
Northern Natural Gas Co.(a)
|
||||
10/16/2051
|
3.400%
|
|
317,000
|
211,159
|
ONEOK Partners LP
|
||||
09/15/2043
|
6.200%
|
|
451,000
|
455,896
|
ONEOK, Inc.
|
||||
01/15/2026
|
5.850%
|
|
504,000
|
506,300
|
09/01/2033
|
6.050%
|
|
4,230,000
|
4,332,078
|
09/15/2046
|
4.250%
|
|
320,000
|
249,173
|
03/15/2050
|
4.500%
|
|
6,830,000
|
5,429,670
|
44
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (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
|
1,784,848
|
06/01/2042
|
5.150%
|
|
2,185,000
|
1,930,431
|
Rockies Express Pipeline LLC(a)
|
||||
07/15/2029
|
4.950%
|
|
2,175,000
|
2,024,606
|
Sabine Pass Liquefaction LLC
|
||||
03/15/2027
|
5.000%
|
|
2,472,000
|
2,450,983
|
03/15/2028
|
4.200%
|
|
102,000
|
98,281
|
Southern Natural Gas Co. LLC
|
||||
02/15/2031
|
7.350%
|
|
2,910,000
|
3,112,064
|
Sunoco Logistics Partners Operations LP
|
||||
04/01/2044
|
5.300%
|
|
775,000
|
694,262
|
Tallgrass Energy Partners LP/Finance Corp.(a)
|
||||
01/15/2028
|
5.500%
|
|
142,000
|
135,716
|
Targa Resources Corp.
|
||||
03/30/2034
|
6.500%
|
|
4,947,000
|
5,222,067
|
07/01/2052
|
6.250%
|
|
482,000
|
485,432
|
Targa Resources Partners LP/Finance Corp.
|
||||
02/01/2031
|
4.875%
|
|
816,000
|
775,649
|
TMS Issuer Sarl(a)
|
||||
08/23/2032
|
5.780%
|
|
1,030,000
|
1,045,523
|
TransCanada PipeLines Ltd.
|
||||
03/15/2036
|
5.850%
|
|
185,000
|
185,906
|
Transcontinental Gas Pipe Line Co. LLC
|
||||
05/15/2030
|
3.250%
|
|
647,000
|
579,129
|
03/15/2048
|
4.600%
|
|
4,875,000
|
4,156,518
|
TransMontaigne Partners LP/TLP Finance Corp.
|
||||
02/15/2026
|
6.125%
|
|
1,500,000
|
1,444,071
|
Venture Global Calcasieu Pass LLC(a)
|
||||
08/15/2029
|
3.875%
|
|
750,000
|
676,205
|
08/15/2031
|
4.125%
|
|
3,250,000
|
2,873,457
|
Venture Global LNG, Inc.(a)
|
||||
02/01/2029
|
9.500%
|
|
1,104,000
|
1,198,026
|
06/01/2031
|
8.375%
|
|
3,130,000
|
3,227,761
|
Western Gas Partners LP
|
||||
08/15/2028
|
4.750%
|
|
768,000
|
748,190
|
03/01/2048
|
5.300%
|
|
1,876,000
|
1,614,331
|
Williams Companies, Inc. (The)
|
||||
01/15/2025
|
3.900%
|
|
1,050,000
|
1,038,917
|
09/15/2025
|
4.000%
|
|
2,327,000
|
2,281,120
|
03/15/2029
|
4.900%
|
|
440,000
|
432,482
|
03/15/2032
|
8.750%
|
|
3,486,000
|
4,135,168
|
Williams Companies., Inc. (The)
|
||||
03/02/2026
|
5.400%
|
|
3,250,000
|
3,245,937
|
Williams Partners LP
|
||||
03/04/2044
|
5.400%
|
|
164,000
|
154,345
|
Total
|
123,116,921
|
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Natural Gas 0.1%
|
||||
Boston Gas Co.(a)
|
||||
08/01/2027
|
3.150%
|
|
1,472,000
|
1,362,606
|
KeySpan Corp.
|
||||
11/15/2030
|
8.000%
|
|
670,000
|
743,214
|
KeySpan Gas East Corp.(a)
|
||||
03/06/2033
|
5.994%
|
|
4,625,000
|
4,622,154
|
NiSource, Inc.
|
||||
02/15/2031
|
1.700%
|
|
605,000
|
480,063
|
06/30/2033
|
5.400%
|
|
930,000
|
917,025
|
04/01/2034
|
5.350%
|
|
1,835,000
|
1,795,268
|
NiSource, Inc.(l)
|
||||
11/30/2054
|
6.950%
|
|
192,000
|
192,093
|
Piedmont Natural Gas Co., Inc.
|
||||
06/15/2033
|
5.400%
|
|
455,000
|
453,229
|
South Jersey Industries, Inc.
|
||||
Junior Subordinated
|
||||
04/15/2031
|
5.020%
|
|
1,422,000
|
1,112,532
|
Southern Co. Gas Capital Corp.
|
||||
09/15/2032
|
5.150%
|
|
5,715,000
|
5,640,298
|
Southwest Gas Corp.
|
||||
08/15/2051
|
3.180%
|
|
2,930,000
|
1,836,365
|
Washington Gas Light Co.
|
||||
09/15/2049
|
3.650%
|
|
376,000
|
271,818
|
Total
|
19,426,665
|
|||
Office REIT 0.1%
|
||||
Hudson Pacific Properties LP
|
||||
11/01/2027
|
3.950%
|
|
3,263,000
|
2,802,871
|
02/15/2028
|
5.950%
|
|
3,345,000
|
2,873,148
|
04/01/2029
|
4.650%
|
|
950,000
|
743,530
|
01/15/2030
|
3.250%
|
|
2,005,000
|
1,401,782
|
Kilroy Realty LP
|
||||
11/15/2033
|
2.650%
|
|
1,710,000
|
1,249,902
|
Piedmont Operating Partnership LP
|
||||
08/15/2030
|
3.150%
|
|
1,675,000
|
1,323,336
|
04/01/2032
|
2.750%
|
|
2,308,000
|
1,667,915
|
Total
|
12,062,484
|
|||
Oil Field Services 0.1%
|
||||
Schlumberger Holdings Corp.(a)
|
||||
05/17/2028
|
3.900%
|
|
2,053,000
|
1,957,818
|
11/15/2029
|
5.000%
|
|
1,277,000
|
1,261,740
|
Schlumberger Investment SA
|
||||
06/26/2030
|
2.650%
|
|
817,000
|
715,437
|
06/01/2034
|
5.000%
|
|
3,765,000
|
3,692,932
|
Multi-Manager Total Return Bond Strategies Fund | 2024
45
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Transocean, Inc.(a)
|
||||
05/15/2029
|
8.250%
|
|
645,000
|
644,965
|
Total
|
8,272,892
|
|||
Other Financial Institutions 0.2%
|
||||
Five Point Operating Co. LP/Capital Corp.(a),(l)
|
||||
01/15/2028
|
10.500%
|
|
1,973,028
|
2,030,345
|
Greystone Commercial Capital Trust(a),(b),(e),(f)
|
||||
1-month USD LIBOR + 2.270%
05/31/2025
|
7.701%
|
|
9,190,225
|
7,903,594
|
Howard Hughes Corp. (The)(a)
|
||||
08/01/2028
|
5.375%
|
|
3,000,000
|
2,840,921
|
02/01/2031
|
4.375%
|
|
750,000
|
639,187
|
Icahn Enterprises LP/Finance Corp.
|
||||
05/15/2027
|
5.250%
|
|
342,000
|
314,031
|
02/01/2029
|
4.375%
|
|
347,000
|
289,611
|
Icahn Enterprises LP/Finance Corp.(a)
|
||||
01/15/2029
|
9.750%
|
|
978,000
|
1,003,273
|
06/15/2030
|
9.000%
|
|
855,000
|
844,233
|
LeasePlan Corp NV(a)
|
||||
10/24/2024
|
2.875%
|
|
3,440,000
|
3,399,796
|
Lseg US Fin Corp.(a)
|
||||
03/28/2027
|
4.875%
|
|
1,352,000
|
1,338,061
|
03/28/2034
|
5.297%
|
|
1,872,000
|
1,857,616
|
ORIX Corp.
|
||||
12/04/2024
|
3.250%
|
|
1,560,000
|
1,540,085
|
Total
|
24,000,753
|
|||
Other Industry 0.2%
|
||||
Adtalem Global Education, Inc.(a)
|
||||
03/01/2028
|
5.500%
|
|
736,000
|
705,810
|
AECOM
|
||||
03/15/2027
|
5.125%
|
|
710,000
|
690,618
|
Booz Allen Hamilton, Inc.(a)
|
||||
09/01/2028
|
3.875%
|
|
3,924,000
|
3,681,781
|
07/01/2029
|
4.000%
|
|
2,321,000
|
2,164,555
|
CIMIC Finance USA Pty Ltd.(a)
|
||||
03/25/2034
|
7.000%
|
|
587,000
|
592,195
|
Gohl Capital Ltd.(a)
|
||||
01/24/2027
|
4.250%
|
|
1,050,000
|
1,007,974
|
Massachusetts Institute of Technology
|
||||
07/01/2114
|
4.678%
|
|
758,000
|
658,444
|
07/01/2116
|
3.885%
|
|
1,850,000
|
1,346,741
|
Northwestern University
|
||||
12/01/2057
|
3.662%
|
|
1,350,000
|
1,021,055
|
President and Fellows of Harvard College
|
||||
07/15/2046
|
3.150%
|
|
3,031,000
|
2,222,674
|
07/15/2056
|
3.300%
|
|
2,230,000
|
1,586,664
|
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Trustees of the University of Pennsylvania (The)
|
||||
09/01/2112
|
4.674%
|
|
1,620,000
|
1,400,078
|
University of Southern California
|
||||
10/01/2039
|
3.028%
|
|
4,525,000
|
3,568,706
|
Total
|
20,647,295
|
|||
Other REIT 0.2%
|
||||
American Assets Trust LP
|
||||
02/01/2031
|
3.375%
|
|
3,115,000
|
2,552,099
|
CubeSmart LP
|
||||
12/15/2028
|
2.250%
|
|
959,000
|
839,894
|
Extra Space Storage LP
|
||||
12/15/2027
|
3.875%
|
|
160,000
|
151,741
|
04/01/2029
|
3.900%
|
|
1,770,000
|
1,658,969
|
06/15/2029
|
4.000%
|
|
570,000
|
532,966
|
10/15/2030
|
2.200%
|
|
2,263,000
|
1,851,022
|
10/15/2031
|
2.400%
|
|
670,000
|
545,953
|
03/15/2032
|
2.350%
|
|
199,000
|
157,619
|
Host Hotels & Resorts LP
|
||||
06/15/2025
|
4.000%
|
|
1,050,000
|
1,030,406
|
02/01/2026
|
4.500%
|
|
520,000
|
509,159
|
Ladder Capital Finance Holdings LLLP/Corp.(a)
|
||||
06/15/2029
|
4.750%
|
|
1,745,000
|
1,577,687
|
Lexington Realty Trust
|
||||
10/01/2031
|
2.375%
|
|
3,805,000
|
3,006,151
|
Park Intermediate Holdings LLC/Domestic Property/Finance Co-Issuer(a)
|
||||
06/01/2025
|
7.500%
|
|
2,150,000
|
2,150,000
|
Prologis LP
|
||||
03/15/2054
|
5.250%
|
|
358,000
|
335,401
|
Prologis Targeted US Logistics Fund LP(a)
|
||||
04/01/2029
|
5.250%
|
|
2,302,000
|
2,292,212
|
04/01/2034
|
5.500%
|
|
601,000
|
595,682
|
Rexford Industrial Realty LP
|
||||
09/01/2031
|
2.150%
|
|
3,626,000
|
2,888,152
|
Sun Communities Operating LP
|
||||
01/15/2029
|
5.500%
|
|
963,000
|
957,813
|
WP Carey, Inc.
|
||||
04/01/2033
|
2.250%
|
|
4,080,000
|
3,105,114
|
XHR LP(a)
|
||||
06/01/2029
|
4.875%
|
|
1,625,000
|
1,496,926
|
Total
|
28,234,966
|
|||
Other Utility 0.0%
|
||||
American Water Capital Corp.
|
||||
03/01/2034
|
5.150%
|
|
865,000
|
854,121
|
03/01/2054
|
5.450%
|
|
1,494,000
|
1,441,830
|
46
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Essential Utilities, Inc.
|
||||
04/15/2030
|
2.704%
|
|
1,937,000
|
1,662,824
|
01/15/2034
|
5.375%
|
|
686,000
|
669,475
|
Total
|
4,628,250
|
|||
Packaging 0.3%
|
||||
Amcor Flexibles North America, Inc.
|
||||
05/17/2025
|
4.000%
|
|
2,085,000
|
2,049,995
|
Amcor Group Finance PLC
|
||||
05/23/2029
|
5.450%
|
|
9,980,000
|
9,994,814
|
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a)
|
||||
08/15/2026
|
4.125%
|
|
500,000
|
425,034
|
08/15/2027
|
5.250%
|
|
3,000,000
|
1,767,610
|
08/15/2027
|
5.250%
|
|
325,000
|
191,619
|
Ball Corp.
|
||||
03/15/2026
|
4.875%
|
|
600,000
|
590,131
|
06/15/2029
|
6.000%
|
|
1,800,000
|
1,803,541
|
Berry Global Escrow Corp.(a)
|
||||
07/15/2026
|
4.875%
|
|
782,000
|
769,036
|
Berry Global, Inc.
|
||||
01/15/2026
|
1.570%
|
|
3,261,000
|
3,054,717
|
01/15/2027
|
1.650%
|
|
1,273,000
|
1,154,685
|
04/15/2028
|
5.500%
|
|
6,438,000
|
6,399,298
|
Berry Global, Inc.(a)
|
||||
01/15/2034
|
5.650%
|
|
1,600,000
|
1,561,142
|
Owens-Brockway Glass Container, Inc.(a)
|
||||
05/15/2031
|
7.250%
|
|
1,455,000
|
1,455,144
|
Pactiv Evergreen Group Issuer LLC/Inc.(a)
|
||||
10/15/2028
|
4.375%
|
|
2,725,000
|
2,528,806
|
Reynolds Group Issuer, Inc./LLC(a)
|
||||
10/15/2027
|
4.000%
|
|
425,000
|
396,962
|
Sealed Air Corp.(a)
|
||||
10/15/2026
|
1.573%
|
|
857,000
|
781,380
|
02/01/2028
|
6.125%
|
|
225,000
|
223,306
|
02/15/2031
|
7.250%
|
|
1,455,000
|
1,495,661
|
Total
|
36,642,881
|
|||
Paper 0.1%
|
||||
Cascades, Inc./USA(a)
|
||||
01/15/2028
|
5.375%
|
|
1,515,000
|
1,445,253
|
Inversiones CMPC SA(a)
|
||||
02/26/2034
|
6.125%
|
|
1,500,000
|
1,507,304
|
Smurfit Kappa Treasury ULC(a)
|
||||
01/15/2030
|
5.200%
|
|
2,861,000
|
2,826,068
|
04/03/2034
|
5.438%
|
|
1,244,000
|
1,222,615
|
04/03/2054
|
5.777%
|
|
4,239,000
|
4,170,365
|
Weyerhaeuser Co.
|
||||
05/15/2026
|
4.750%
|
|
481,000
|
474,955
|
Total
|
11,646,560
|
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Pharmaceuticals 0.9%
|
||||
1375209 BC Ltd.(a)
|
||||
01/30/2028
|
9.000%
|
|
2,010,000
|
1,948,822
|
AbbVie, Inc.
|
||||
11/21/2026
|
2.950%
|
|
838,000
|
796,113
|
11/21/2029
|
3.200%
|
|
614,000
|
559,339
|
03/15/2031
|
4.950%
|
|
2,262,000
|
2,244,761
|
03/15/2034
|
5.050%
|
|
1,297,000
|
1,282,566
|
03/15/2035
|
4.550%
|
|
4,633,000
|
4,362,468
|
05/14/2035
|
4.500%
|
|
2,056,000
|
1,927,380
|
05/14/2036
|
4.300%
|
|
1,820,000
|
1,666,248
|
11/21/2039
|
4.050%
|
|
7,311,000
|
6,300,158
|
10/01/2042
|
4.625%
|
|
1,000,000
|
899,468
|
05/14/2045
|
4.700%
|
|
680,000
|
613,289
|
11/21/2049
|
4.250%
|
|
1,010,000
|
838,749
|
03/15/2054
|
5.400%
|
|
854,000
|
841,877
|
03/15/2064
|
5.500%
|
|
857,000
|
842,065
|
Amgen, Inc.
|
||||
03/02/2033
|
5.250%
|
|
2,735,000
|
2,714,265
|
03/02/2043
|
5.600%
|
|
1,943,000
|
1,923,888
|
02/22/2052
|
4.200%
|
|
345,000
|
273,496
|
03/02/2053
|
5.650%
|
|
4,586,000
|
4,523,509
|
03/02/2063
|
5.750%
|
|
677,000
|
665,592
|
Astrazeneca Finance LLC
|
||||
02/26/2031
|
4.900%
|
|
2,262,000
|
2,246,007
|
Bausch Health Companies, Inc.(a)
|
||||
01/31/2027
|
8.500%
|
|
100,000
|
72,834
|
01/15/2028
|
7.000%
|
|
415,000
|
242,832
|
01/30/2028
|
5.000%
|
|
1,100,000
|
620,672
|
06/01/2028
|
4.875%
|
|
475,000
|
343,797
|
02/15/2029
|
5.000%
|
|
100,000
|
48,853
|
02/15/2029
|
6.250%
|
|
3,475,000
|
1,878,830
|
01/30/2030
|
5.250%
|
|
1,200,000
|
611,802
|
02/15/2031
|
5.250%
|
|
1,200,000
|
611,150
|
Bayer US Finance II LLC(a)
|
||||
12/15/2028
|
4.375%
|
|
5,945,000
|
5,610,529
|
06/25/2038
|
4.625%
|
|
1,515,000
|
1,259,792
|
07/15/2044
|
4.400%
|
|
2,799,000
|
2,144,099
|
06/25/2048
|
4.875%
|
|
3,505,000
|
2,836,717
|
Bayer US Finance LLC(a)
|
||||
10/08/2024
|
3.375%
|
|
520,000
|
515,367
|
11/21/2033
|
6.500%
|
|
7,515,000
|
7,690,684
|
Bristol Myers Squibb Co.
|
||||
06/15/2039
|
4.125%
|
|
287,000
|
247,776
|
Bristol-Myers Squibb Co.
|
||||
08/15/2025
|
3.875%
|
|
74,000
|
72,701
|
02/22/2031
|
5.100%
|
|
938,000
|
935,964
|
05/15/2044
|
4.625%
|
|
555,000
|
491,902
|
11/15/2063
|
6.400%
|
|
718,000
|
781,911
|
02/22/2064
|
5.650%
|
|
612,000
|
597,804
|
Multi-Manager Total Return Bond Strategies Fund | 2024
47
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CSL Finance PLC(a)
|
||||
04/27/2029
|
4.050%
|
|
926,000
|
878,837
|
04/03/2054
|
5.417%
|
|
1,290,000
|
1,244,070
|
Eli Lilly & Co.
|
||||
02/09/2034
|
4.700%
|
|
861,000
|
836,584
|
02/09/2054
|
5.000%
|
|
358,000
|
339,528
|
Grifols Escrow Issuer SA(a)
|
||||
10/15/2028
|
4.750%
|
|
2,472,000
|
2,139,380
|
Jazz Securities DAC(a)
|
||||
01/15/2029
|
4.375%
|
|
963,000
|
886,688
|
Johnson & Johnson
|
||||
06/01/2034
|
4.950%
|
|
747,000
|
747,824
|
06/01/2054
|
5.250%
|
|
6,520,000
|
6,486,144
|
Kevlar SpA(a)
|
||||
09/01/2029
|
6.500%
|
|
2,240,000
|
2,044,990
|
Mylan NV
|
||||
06/15/2026
|
3.950%
|
|
5,000,000
|
4,823,654
|
06/15/2046
|
5.250%
|
|
635,000
|
520,328
|
Mylan, Inc.
|
||||
04/15/2048
|
5.200%
|
|
2,550,000
|
2,054,001
|
Organon Finance 1 LLC(a)
|
||||
04/30/2028
|
4.125%
|
|
1,750,000
|
1,616,372
|
04/30/2031
|
5.125%
|
|
1,725,000
|
1,523,657
|
Pfizer Investment Enterprises Pte., Ltd.
|
||||
05/19/2030
|
4.650%
|
|
793,000
|
775,328
|
05/19/2033
|
4.750%
|
|
2,313,000
|
2,237,645
|
05/19/2053
|
5.300%
|
|
642,000
|
614,278
|
05/19/2063
|
5.340%
|
|
3,175,000
|
2,982,327
|
Roche Holdings, Inc.(a)
|
||||
11/13/2030
|
5.489%
|
|
2,205,000
|
2,252,137
|
11/13/2033
|
5.593%
|
|
495,000
|
511,256
|
Royalty Pharma PLC
|
||||
09/02/2025
|
1.200%
|
|
385,000
|
364,446
|
09/02/2027
|
1.750%
|
|
489,000
|
436,235
|
09/02/2030
|
2.200%
|
|
5,443,000
|
4,498,066
|
09/02/2040
|
3.300%
|
|
1,017,000
|
736,345
|
Viatris, Inc.
|
||||
06/22/2030
|
2.700%
|
|
1,117,000
|
939,866
|
06/22/2040
|
3.850%
|
|
4,804,000
|
3,503,391
|
06/22/2050
|
4.000%
|
|
3,506,000
|
2,367,231
|
Total
|
113,446,684
|
|||
Property & Casualty 0.7%
|
||||
Alleghany Corp.
|
||||
09/15/2044
|
4.900%
|
|
854,000
|
790,769
|
08/15/2051
|
3.250%
|
|
412,000
|
276,433
|
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
American International Group, Inc.
|
||||
04/01/2028
|
4.200%
|
|
1,562,000
|
1,503,784
|
06/30/2030
|
3.400%
|
|
1,270,000
|
1,148,953
|
03/27/2033
|
5.125%
|
|
2,224,000
|
2,183,727
|
01/15/2055
|
4.375%
|
|
43,000
|
33,059
|
Aon Corp./Global Holdings PLC
|
||||
12/02/2031
|
2.600%
|
|
4,495,000
|
3,741,481
|
Aon North America, Inc.
|
||||
03/01/2027
|
5.125%
|
|
1,263,000
|
1,260,121
|
03/01/2029
|
5.150%
|
|
4,376,000
|
4,354,008
|
Arch Capital Finance LLC
|
||||
12/15/2046
|
5.031%
|
|
970,000
|
874,874
|
Arthur J Gallagher & Co.
|
||||
07/15/2034
|
5.450%
|
|
1,972,000
|
1,949,994
|
02/15/2054
|
6.750%
|
|
143,000
|
157,477
|
07/15/2054
|
5.750%
|
|
501,000
|
486,084
|
Arthur J. Gallagher & Co.
|
||||
03/09/2052
|
3.050%
|
|
6,725,000
|
4,131,835
|
03/02/2053
|
5.750%
|
|
299,000
|
289,207
|
CNA Financial Corp.
|
||||
08/15/2027
|
3.450%
|
|
3,828,000
|
3,613,986
|
Enact Holdings, Inc.
|
||||
05/28/2029
|
6.250%
|
|
9,335,000
|
9,333,993
|
Fairfax Financial Holdings Ltd.
|
||||
03/03/2031
|
3.375%
|
|
6,300,000
|
5,441,047
|
Farmers Exchange Capital(a)
|
||||
Subordinated
|
||||
07/15/2028
|
7.050%
|
|
800,000
|
818,710
|
07/15/2048
|
7.200%
|
|
1,290,000
|
1,210,926
|
Farmers Exchange Capital II(a),(l)
|
||||
Subordinated
|
||||
11/01/2053
|
6.151%
|
|
2,700,000
|
2,388,590
|
Hartford Financial Services Group Inc. (The)(a),(b)
|
||||
3-month Term SOFR + 2.387%
02/12/2047
|
7.709%
|
|
1,501,000
|
1,336,494
|
Liberty Mutual Group, Inc.(a)
|
||||
10/15/2050
|
3.951%
|
|
2,080,000
|
1,513,923
|
Markel Corp.
|
||||
05/20/2049
|
5.000%
|
|
5,095,000
|
4,503,363
|
Markel Group, Inc.
|
||||
05/16/2054
|
6.000%
|
|
3,915,000
|
3,896,837
|
Marsh & McLennan Cos., Inc.
|
||||
03/15/2054
|
5.450%
|
|
293,000
|
284,543
|
Nationwide Mutual Insurance Co.(a),(b)
|
||||
Subordinated
|
||||
3-month Term SOFR + 2.552%
12/15/2024
|
7.881%
|
|
5,725,000
|
5,742,888
|
NMI Holdings, Inc.
|
||||
08/15/2029
|
6.000%
|
|
5,820,000
|
5,765,433
|
48
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Old Republic International Corp.
|
||||
03/28/2034
|
5.750%
|
|
3,674,000
|
3,656,110
|
Panther Escrow Issuer LLC(a)
|
||||
06/01/2031
|
7.125%
|
|
2,180,000
|
2,198,718
|
Radian Group, Inc.
|
||||
05/15/2029
|
6.200%
|
|
3,480,000
|
3,498,939
|
SiriusPoint Ltd.
|
||||
04/05/2029
|
7.000%
|
|
3,580,000
|
3,614,010
|
Swiss RE Subordinated Finance PLC(a),(l)
|
||||
Subordinated
|
||||
04/05/2035
|
5.698%
|
|
3,800,000
|
3,742,914
|
Trustage Financial Group, Inc.(a)
|
||||
04/15/2032
|
4.625%
|
|
2,135,000
|
1,831,751
|
Willis North America, Inc.
|
||||
03/05/2054
|
5.900%
|
|
5,169,000
|
5,043,059
|
WR Berkley Corp.
|
||||
05/12/2050
|
4.000%
|
|
1,480,000
|
1,115,103
|
Total
|
93,733,143
|
|||
Railroads 0.0%
|
||||
Burlington Northern Santa Fe LLC
|
||||
08/01/2046
|
3.900%
|
|
727,000
|
574,999
|
04/15/2054
|
5.200%
|
|
373,000
|
354,371
|
Canadian Pacific Railway Co.
|
||||
11/15/2029
|
2.875%
|
|
633,000
|
564,865
|
05/01/2050
|
3.500%
|
|
3,280,000
|
2,360,074
|
CSX Corp.
|
||||
05/30/2042
|
4.750%
|
|
301,000
|
273,061
|
Norfolk Southern Corp.
|
||||
08/01/2030
|
5.050%
|
|
141,000
|
140,218
|
03/15/2034
|
5.550%
|
|
581,000
|
589,959
|
03/15/2064
|
5.950%
|
|
1,301,000
|
1,328,393
|
Union Pacific Corp.
|
||||
11/15/2045
|
4.050%
|
|
280,000
|
227,291
|
Total
|
6,413,231
|
|||
Refining 0.1%
|
||||
Marathon Petroleum Corp.
|
||||
12/15/2026
|
5.125%
|
|
578,000
|
574,406
|
Phillips 66 Co.
|
||||
02/15/2045
|
4.680%
|
|
1,300,000
|
1,111,381
|
06/15/2054
|
5.650%
|
|
4,015,000
|
3,871,912
|
Raizen Fuels Finance SA(a)
|
||||
03/05/2034
|
6.450%
|
|
1,825,000
|
1,855,826
|
Valero Energy Corp.
|
||||
12/01/2031
|
2.800%
|
|
3,235,000
|
2,728,391
|
Total
|
10,141,916
|
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Restaurants 0.1%
|
||||
Brinker International, Inc.(a)
|
||||
10/01/2024
|
5.000%
|
|
1,850,000
|
1,841,888
|
Fertitta Entertainment LLC/Finance Co., Inc.(a)
|
||||
01/15/2029
|
4.625%
|
|
1,500,000
|
1,354,827
|
McDonald’s Corp.
|
||||
05/17/2034
|
5.200%
|
|
5,190,000
|
5,153,495
|
09/01/2049
|
3.625%
|
|
910,000
|
661,659
|
Starbucks Corp.
|
||||
02/15/2034
|
5.000%
|
|
3,035,000
|
2,949,009
|
Total
|
11,960,878
|
|||
Retail REIT 0.1%
|
||||
Agree LP
|
||||
06/15/2034
|
5.625%
|
|
1,710,000
|
1,682,645
|
Brixmor Operating Partnership LP
|
||||
08/16/2031
|
2.500%
|
|
915,000
|
746,728
|
Kimco Realty Corp.
|
||||
02/01/2033
|
4.600%
|
|
3,780,000
|
3,527,878
|
Kite Realty Group LP
|
||||
10/01/2026
|
4.000%
|
|
320,000
|
308,090
|
Realty Income Corp.
|
||||
08/15/2027
|
3.950%
|
|
193,000
|
185,863
|
02/15/2034
|
5.125%
|
|
1,325,000
|
1,282,243
|
Total
|
7,733,447
|
|||
Retailers 0.2%
|
||||
Amazon.com, Inc.
|
||||
08/22/2027
|
3.150%
|
|
1,145,000
|
1,085,507
|
05/12/2031
|
2.100%
|
|
791,000
|
661,061
|
Asbury Automotive Group, Inc.
|
||||
03/01/2030
|
4.750%
|
|
1,725,000
|
1,582,125
|
AutoNation, Inc.
|
||||
11/15/2024
|
3.500%
|
|
2,185,000
|
2,160,162
|
10/01/2025
|
4.500%
|
|
2,465,000
|
2,425,241
|
AutoZone, Inc.
|
||||
04/21/2026
|
3.125%
|
|
415,000
|
398,057
|
11/01/2028
|
6.250%
|
|
533,000
|
553,356
|
01/15/2031
|
1.650%
|
|
1,175,000
|
936,757
|
Cencosud SA(a)
|
||||
05/28/2031
|
5.950%
|
|
800,000
|
791,060
|
Dick’s Sporting Goods, Inc.
|
||||
01/15/2052
|
4.100%
|
|
2,690,000
|
1,906,551
|
Gap Inc. (The)(a)
|
||||
10/01/2029
|
3.625%
|
|
1,550,000
|
1,339,747
|
Hanesbrands, Inc.(a)
|
||||
05/15/2026
|
4.875%
|
|
1,475,000
|
1,430,557
|
Multi-Manager Total Return Bond Strategies Fund | 2024
49
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Home Depot Inc (The)
|
||||
04/15/2030
|
2.700%
|
|
1,436,000
|
1,267,212
|
Home Depot, Inc. (The)
|
||||
04/15/2029
|
4.900%
|
|
127,000
|
126,741
|
Kontoor Brands, Inc.(a)
|
||||
11/15/2029
|
4.125%
|
|
475,000
|
429,063
|
L Brands, Inc.
|
||||
07/01/2036
|
6.750%
|
|
1,495,000
|
1,488,269
|
Lowe’s Companies, Inc.
|
||||
07/01/2053
|
5.750%
|
|
467,000
|
460,264
|
04/01/2062
|
4.450%
|
|
345,000
|
267,218
|
04/01/2063
|
5.850%
|
|
355,000
|
347,176
|
Macy’s Retail Holdings LLC
|
||||
12/15/2034
|
4.500%
|
|
1,950,000
|
1,674,292
|
Magic MergeCo, Inc.(a)
|
||||
05/01/2029
|
7.875%
|
|
1,400,000
|
949,379
|
O’Reilly Automotive, Inc.
|
||||
11/20/2026
|
5.750%
|
|
2,580,000
|
2,607,621
|
Sally Holdings LLC/Capital, Inc.
|
||||
03/01/2032
|
6.750%
|
|
3,215,000
|
3,156,301
|
Tractor Supply Co.
|
||||
11/01/2030
|
1.750%
|
|
3,885,000
|
3,128,280
|
Walmart, Inc.
|
||||
04/15/2030
|
4.000%
|
|
1,766,000
|
1,704,756
|
Total
|
32,876,753
|
|||
Stranded Utility 0.0%
|
||||
Empire District Bondco LLC
|
||||
01/01/2037
|
5.091%
|
|
3,300,000
|
3,212,738
|
Supermarkets 0.0%
|
||||
Ahold Finance U.S.A. LLC
|
||||
05/01/2029
|
6.875%
|
|
1,800,000
|
1,922,330
|
Albertsons Companies LLC/Safeway, Inc./New Albertsons LP/Albertsons LLC(a)
|
||||
03/15/2029
|
3.500%
|
|
1,770,000
|
1,581,579
|
C&S Group Enterprises LLC(a)
|
||||
12/15/2028
|
5.000%
|
|
725,000
|
536,222
|
Total
|
4,040,131
|
|||
Supranational 0.1%
|
||||
Corp Andina de Fomento
|
||||
01/24/2029
|
5.000%
|
|
495,000
|
490,884
|
Inter-American Development Bank
|
||||
10/15/2025
|
6.800%
|
|
2,500,000
|
2,548,157
|
07/15/2027
|
6.750%
|
|
4,000,000
|
4,179,291
|
Total
|
7,218,332
|
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Technology 1.2%
|
||||
Adobe, Inc.
|
||||
04/04/2034
|
4.950%
|
|
1,172,000
|
1,159,249
|
Arrow Electronics, Inc.
|
||||
04/10/2034
|
5.875%
|
|
5,112,000
|
5,020,073
|
Atlassian Corp.
|
||||
05/15/2034
|
5.500%
|
|
1,715,000
|
1,700,437
|
Avnet, Inc.
|
||||
03/15/2028
|
6.250%
|
|
883,000
|
903,724
|
06/01/2032
|
5.500%
|
|
795,000
|
759,659
|
Black Knight InfoServ LLC(a)
|
||||
09/01/2028
|
3.625%
|
|
1,500,000
|
1,404,852
|
Boxer Parent Co., Inc.(a)
|
||||
03/01/2026
|
9.125%
|
|
2,500,000
|
2,509,962
|
Broadcom, Inc.
|
||||
10/15/2024
|
3.625%
|
|
320,000
|
317,552
|
Broadcom, Inc.(a)
|
||||
04/15/2029
|
4.000%
|
|
2,765,000
|
2,614,859
|
02/15/2031
|
2.450%
|
|
2,435,000
|
2,033,415
|
11/15/2035
|
3.137%
|
|
4,561,000
|
3,621,392
|
11/15/2036
|
3.187%
|
|
9,456,000
|
7,413,504
|
05/15/2037
|
4.926%
|
|
3,016,000
|
2,806,438
|
CDW LLC/Finance Corp.
|
||||
05/01/2025
|
4.125%
|
|
2,500,000
|
2,456,134
|
12/01/2028
|
3.276%
|
|
3,880,000
|
3,504,088
|
Cisco Systems, Inc.
|
||||
02/26/2027
|
4.800%
|
|
614,000
|
612,238
|
02/26/2029
|
4.850%
|
|
1,233,000
|
1,229,277
|
02/26/2031
|
4.950%
|
|
1,536,000
|
1,527,285
|
02/26/2034
|
5.050%
|
|
1,471,000
|
1,461,340
|
02/26/2054
|
5.300%
|
|
622,000
|
609,982
|
02/26/2064
|
5.350%
|
|
705,000
|
685,024
|
CommScope, Inc.(a)
|
||||
09/01/2029
|
4.750%
|
|
155,000
|
109,638
|
Concentrix Corp.
|
||||
08/02/2028
|
6.600%
|
|
3,776,000
|
3,806,636
|
08/02/2033
|
6.850%
|
|
2,517,000
|
2,464,593
|
Condor Merger Sub, Inc.(a)
|
||||
02/15/2030
|
7.375%
|
|
1,475,000
|
1,365,267
|
Constellation Software, Inc.(a)
|
||||
02/16/2029
|
5.158%
|
|
1,313,000
|
1,302,135
|
DXC Technology Co.
|
||||
09/15/2028
|
2.375%
|
|
5,845,000
|
5,001,521
|
Equifax, Inc.
|
||||
06/01/2028
|
5.100%
|
|
5,695,000
|
5,655,213
|
05/15/2030
|
3.100%
|
|
3,200,000
|
2,838,947
|
Equinix Europe 2 Financing Corp. LLC
|
||||
06/15/2034
|
5.500%
|
|
1,810,000
|
1,790,209
|
50
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Everi Holdings, Inc.(a)
|
||||
07/15/2029
|
5.000%
|
|
2,100,000
|
2,040,555
|
Fidelity National Information Services, Inc.
|
||||
03/01/2041
|
3.100%
|
|
2,890,000
|
2,062,147
|
Fiserv, Inc.
|
||||
07/01/2024
|
2.750%
|
|
699,000
|
697,231
|
03/15/2027
|
5.150%
|
|
1,364,000
|
1,361,007
|
07/01/2049
|
4.400%
|
|
402,000
|
327,383
|
Flex Ltd.
|
||||
01/15/2028
|
6.000%
|
|
2,560,000
|
2,590,342
|
Foundry JV Holdco LLC(a)
|
||||
01/25/2030
|
5.900%
|
|
733,000
|
743,048
|
01/25/2032
|
6.150%
|
|
652,000
|
665,115
|
Genpact Luxembourg SARL/Genpact USA, Inc.(c)
|
||||
06/04/2029
|
6.000%
|
|
1,395,000
|
1,402,649
|
Global Payments, Inc.
|
||||
11/15/2024
|
1.500%
|
|
3,215,000
|
3,153,798
|
03/01/2026
|
1.200%
|
|
2,536,000
|
2,353,168
|
08/15/2029
|
3.200%
|
|
1,893,000
|
1,690,331
|
08/15/2052
|
5.950%
|
|
388,000
|
375,181
|
GTCR W-2 Merger Sub LLC(a)
|
||||
01/15/2031
|
7.500%
|
|
375,000
|
388,603
|
HP, Inc.
|
||||
06/17/2031
|
2.650%
|
|
859,000
|
721,425
|
IBM International Capital Pte., Ltd.
|
||||
02/05/2031
|
4.750%
|
|
1,854,000
|
1,803,640
|
02/05/2044
|
5.250%
|
|
776,000
|
731,186
|
02/05/2054
|
5.300%
|
|
693,000
|
646,528
|
Imola Merger Corp.(a)
|
||||
05/15/2029
|
4.750%
|
|
1,680,000
|
1,563,502
|
Insight Enterprises, Inc.(a)
|
||||
05/15/2032
|
6.625%
|
|
540,000
|
543,475
|
Intel Corp.
|
||||
08/05/2027
|
3.750%
|
|
749,000
|
720,038
|
02/10/2030
|
5.125%
|
|
1,202,000
|
1,200,259
|
08/12/2041
|
2.800%
|
|
1,055,000
|
729,079
|
02/10/2053
|
5.700%
|
|
448,000
|
438,275
|
02/21/2054
|
5.600%
|
|
535,000
|
516,441
|
08/12/2061
|
3.200%
|
|
430,000
|
262,726
|
International Business Machines Corp.
|
||||
05/15/2029
|
3.500%
|
|
607,000
|
564,813
|
Intuit, Inc.
|
||||
09/15/2028
|
5.125%
|
|
2,311,000
|
2,323,826
|
09/15/2033
|
5.200%
|
|
1,254,000
|
1,251,823
|
09/15/2053
|
5.500%
|
|
1,640,000
|
1,635,515
|
KLA Corp.
|
||||
02/01/2034
|
4.700%
|
|
680,000
|
655,840
|
07/15/2062
|
5.250%
|
|
573,000
|
545,881
|
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Kyndryl Holdings, Inc.
|
||||
10/15/2028
|
2.700%
|
|
3,200,000
|
2,836,642
|
Leidos, Inc.
|
||||
02/15/2031
|
2.300%
|
|
845,000
|
692,505
|
Marvell Technology, Inc.
|
||||
02/15/2029
|
5.750%
|
|
815,000
|
829,062
|
Microchip Technology, Inc.
|
||||
03/15/2029
|
5.050%
|
|
3,140,000
|
3,112,178
|
Micron Technology, Inc.
|
||||
11/01/2029
|
6.750%
|
|
3,575,000
|
3,792,947
|
Microsoft Corp.(a)
|
||||
09/15/2050
|
2.500%
|
|
315,000
|
195,127
|
Motorola Solutions, Inc.
|
||||
04/15/2029
|
5.000%
|
|
953,000
|
939,873
|
NCR Atleos Escrow Corp.(a)
|
||||
04/01/2029
|
9.500%
|
|
1,994,000
|
2,152,481
|
NetApp, Inc.
|
||||
06/22/2025
|
1.875%
|
|
1,845,000
|
1,773,174
|
NXP BV/Funding LLC
|
||||
03/01/2026
|
5.350%
|
|
1,056,000
|
1,052,738
|
NXP BV/Funding LLC/USA, Inc.
|
||||
05/01/2030
|
3.400%
|
|
342,000
|
308,273
|
05/11/2041
|
3.250%
|
|
450,000
|
328,225
|
Open Text Corp.(a)
|
||||
12/01/2027
|
6.900%
|
|
650,000
|
666,454
|
Open Text Holdings, Inc.(a)
|
||||
12/01/2031
|
4.125%
|
|
1,835,000
|
1,578,724
|
Oracle Corp.
|
||||
11/15/2027
|
3.250%
|
|
2,409,000
|
2,262,270
|
03/25/2028
|
2.300%
|
|
903,000
|
812,331
|
11/09/2029
|
6.150%
|
|
997,000
|
1,040,597
|
11/15/2037
|
3.800%
|
|
2,081,000
|
1,709,248
|
03/25/2041
|
3.650%
|
|
462,000
|
353,880
|
04/01/2050
|
3.600%
|
|
855,000
|
595,088
|
03/25/2051
|
3.950%
|
|
1,785,000
|
1,314,112
|
02/06/2053
|
5.550%
|
|
1,855,000
|
1,750,933
|
05/15/2055
|
4.375%
|
|
47,000
|
36,447
|
04/01/2060
|
3.850%
|
|
513,000
|
351,701
|
PayPal Holdings, Inc.
|
||||
06/01/2034
|
5.150%
|
|
8,470,000
|
8,332,472
|
Qorvo, Inc.
|
||||
12/15/2024
|
1.750%
|
|
1,200,000
|
1,171,872
|
QUALCOMM, Inc.
|
||||
05/20/2053
|
6.000%
|
|
1,301,000
|
1,399,774
|
S&P Global, Inc.
|
||||
03/01/2029
|
2.700%
|
|
1,348,000
|
1,214,560
|
08/15/2030
|
1.250%
|
|
592,000
|
474,837
|
03/01/2032
|
2.900%
|
|
759,000
|
652,419
|
Multi-Manager Total Return Bond Strategies Fund | 2024
51
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Seagate HDD Cayman
|
||||
12/01/2032
|
9.625%
|
|
1,116,475
|
1,264,952
|
Sensata Technologies, Inc.(a),(c)
|
||||
07/15/2032
|
6.625%
|
|
500,000
|
501,660
|
Teledyne FLIR LLC
|
||||
08/01/2030
|
2.500%
|
|
3,200,000
|
2,699,860
|
Tempo Acquisition LLC/Finance Corp.(a)
|
||||
06/01/2025
|
5.750%
|
|
1,550,000
|
1,548,599
|
Tencent Holdings Ltd.(a)
|
||||
04/22/2051
|
3.840%
|
|
760,000
|
561,571
|
Texas Instruments, Inc.
|
||||
05/18/2063
|
5.050%
|
|
1,317,000
|
1,227,003
|
VMware, Inc.
|
||||
08/15/2026
|
1.400%
|
|
1,441,000
|
1,319,137
|
Western Union Co. (The)
|
||||
03/15/2026
|
1.350%
|
|
140,000
|
129,719
|
Zebra Technologies Corp.(a)
|
||||
06/01/2032
|
6.500%
|
|
415,000
|
417,863
|
Total
|
158,790,781
|
|||
Tobacco 0.6%
|
||||
Altria Group, Inc.
|
||||
11/01/2028
|
6.200%
|
|
1,116,000
|
1,153,338
|
05/06/2030
|
3.400%
|
|
1,280,000
|
1,150,396
|
02/04/2041
|
3.400%
|
|
3,910,000
|
2,796,778
|
BAT Capital Corp.
|
||||
08/15/2027
|
3.557%
|
|
409,000
|
387,287
|
03/25/2028
|
2.259%
|
|
1,930,000
|
1,721,470
|
02/20/2031
|
5.834%
|
|
560,000
|
566,897
|
03/25/2031
|
2.726%
|
|
15,000
|
12,604
|
02/20/2034
|
6.000%
|
|
5,574,000
|
5,634,799
|
08/15/2037
|
4.390%
|
|
701,000
|
591,394
|
08/02/2043
|
7.079%
|
|
602,000
|
642,450
|
08/15/2047
|
4.540%
|
|
3,863,000
|
2,997,418
|
09/06/2049
|
4.758%
|
|
309,000
|
244,294
|
03/16/2052
|
5.650%
|
|
2,530,000
|
2,272,005
|
08/02/2053
|
7.081%
|
|
2,815,000
|
3,025,811
|
BAT International Finance PLC
|
||||
03/16/2028
|
4.448%
|
|
8,000,000
|
7,725,708
|
02/02/2029
|
5.931%
|
|
2,973,000
|
3,037,117
|
Imperial Brands Finance PLC(a)
|
||||
07/26/2024
|
3.125%
|
|
2,000,000
|
1,991,104
|
07/21/2025
|
4.250%
|
|
2,000,000
|
1,965,401
|
Philip Morris International, Inc.
|
||||
02/13/2029
|
4.875%
|
|
1,516,000
|
1,493,580
|
09/07/2030
|
5.500%
|
|
2,295,000
|
2,316,021
|
02/13/2031
|
5.125%
|
|
2,355,000
|
2,318,671
|
09/07/2033
|
5.625%
|
|
11,200,000
|
11,290,226
|
02/13/2034
|
5.250%
|
|
5,587,000
|
5,469,950
|
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Reynolds American, Inc.
|
||||
06/12/2025
|
4.450%
|
|
1,325,000
|
1,309,089
|
08/15/2035
|
5.700%
|
|
6,525,000
|
6,396,632
|
09/15/2043
|
6.150%
|
|
314,000
|
307,632
|
08/15/2045
|
5.850%
|
|
4,133,000
|
3,849,041
|
Vector Group Ltd.(a)
|
||||
02/01/2029
|
5.750%
|
|
3,250,000
|
2,982,146
|
Total
|
75,649,259
|
|||
Transportation Services 0.4%
|
||||
Element Fleet Management Corp.(a)
|
||||
06/15/2025
|
3.850%
|
|
2,795,000
|
2,738,606
|
03/13/2027
|
5.643%
|
|
2,289,000
|
2,289,342
|
12/04/2028
|
6.319%
|
|
6,715,000
|
6,921,754
|
ERAC USA Finance LLC(a)
|
||||
11/01/2025
|
3.800%
|
|
2,500,000
|
2,441,061
|
12/01/2026
|
3.300%
|
|
3,435,000
|
3,279,065
|
03/15/2042
|
5.625%
|
|
1,689,000
|
1,683,656
|
11/01/2046
|
4.200%
|
|
1,041,000
|
847,109
|
FedEx Corp.
|
||||
04/01/2046
|
4.550%
|
|
311,000
|
257,710
|
FedEx Corp. Pass-Through Trust
|
||||
Series 2020-1 Class AA
|
||||
02/20/2034
|
1.875%
|
|
599,067
|
489,551
|
GN Bondco LLC(a)
|
||||
10/15/2031
|
9.500%
|
|
3,975,000
|
3,614,133
|
Penske Truck Leasing Co. LP/Finance Corp.(a)
|
||||
11/15/2025
|
1.200%
|
|
842,000
|
789,882
|
03/30/2029
|
5.350%
|
|
3,738,000
|
3,719,058
|
06/15/2030
|
6.200%
|
|
2,234,000
|
2,313,773
|
Penske Truck Leasing Co. LP/PTL Finance Corp.(a)
|
||||
06/15/2026
|
1.700%
|
|
1,236,000
|
1,142,846
|
Penske Truck Leasing Co., LP/Finance Corp.(a)
|
||||
07/15/2025
|
4.000%
|
|
905,000
|
888,320
|
Ryder System, Inc.
|
||||
06/01/2028
|
5.250%
|
|
851,000
|
852,247
|
12/01/2028
|
6.300%
|
|
302,000
|
313,531
|
03/15/2029
|
5.375%
|
|
2,530,000
|
2,537,332
|
06/01/2029
|
5.500%
|
|
2,078,000
|
2,086,342
|
12/01/2033
|
6.600%
|
|
1,078,000
|
1,148,501
|
Triton Container International Ltd.(a)
|
||||
04/15/2026
|
2.050%
|
|
617,000
|
571,866
|
06/15/2031
|
3.150%
|
|
527,000
|
435,212
|
TTX Co.(a)
|
||||
01/15/2025
|
3.600%
|
|
1,620,000
|
1,599,903
|
United Parcel Service, Inc.
|
||||
05/22/2054
|
5.500%
|
|
6,640,000
|
6,578,238
|
52
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
XPO, Inc.(a)
|
||||
06/01/2028
|
6.250%
|
|
575,000
|
574,913
|
06/01/2031
|
7.125%
|
|
275,000
|
280,098
|
02/01/2032
|
7.125%
|
|
865,000
|
881,102
|
Total
|
51,275,151
|
|||
Wireless 0.7%
|
||||
Altice France SA(a)
|
||||
10/15/2029
|
5.500%
|
|
804,000
|
540,030
|
American Tower Corp.
|
||||
03/15/2027
|
3.650%
|
|
684,000
|
654,269
|
04/15/2031
|
2.700%
|
|
4,545,000
|
3,822,437
|
09/15/2031
|
2.300%
|
|
477,000
|
386,174
|
03/15/2033
|
5.650%
|
|
3,500,000
|
3,507,334
|
07/15/2033
|
5.550%
|
|
6,586,000
|
6,547,301
|
Crown Castle Inc
|
||||
03/01/2034
|
5.800%
|
|
681,000
|
685,626
|
Crown Castle International Corp.
|
||||
07/15/2026
|
1.050%
|
|
401,000
|
365,538
|
03/15/2027
|
2.900%
|
|
684,000
|
639,539
|
07/01/2030
|
3.300%
|
|
3,200,000
|
2,830,978
|
04/01/2031
|
2.100%
|
|
877,000
|
705,715
|
07/15/2031
|
2.500%
|
|
4,356,000
|
3,578,291
|
04/01/2041
|
2.900%
|
|
1,033,000
|
714,211
|
Crown Castle, Inc.
|
||||
09/01/2028
|
4.800%
|
|
1,609,000
|
1,570,691
|
06/01/2029
|
5.600%
|
|
7,457,000
|
7,504,268
|
05/01/2033
|
5.100%
|
|
381,000
|
365,838
|
Digicel Group Holdings Ltd.(a),(e),(f),(i)
|
||||
12/31/2030
|
0.000%
|
|
4,962
|
4,712
|
12/31/2030
|
0.000%
|
|
157
|
57
|
12/31/2030
|
0.000%
|
|
58,946
|
6
|
12/31/2030
|
0.000%
|
|
17,885
|
2
|
Digicel Holdings Bermuda Ltd./International Finance Ltd.(o)
|
||||
05/25/2027
|
9.000%
|
|
3,206,692
|
3,130,582
|
Digicel Midco Ltd.(o)
|
||||
11/25/2028
|
10.500%
|
|
978,832
|
782,885
|
Sprint Capital Corp.
|
||||
11/15/2028
|
6.875%
|
|
3,216,000
|
3,399,150
|
03/15/2032
|
8.750%
|
|
2,983,000
|
3,570,245
|
Sprint Corp.
|
||||
06/15/2024
|
7.125%
|
|
5,225,000
|
5,226,815
|
Sprint Spectrum Co. I/II/III LLC(a)
|
||||
03/20/2025
|
4.738%
|
|
1,280,750
|
1,272,704
|
03/20/2028
|
5.152%
|
|
6,620,000
|
6,571,401
|
T-Mobile US, Inc.
|
||||
02/15/2026
|
2.250%
|
|
99,000
|
93,740
|
04/15/2027
|
3.750%
|
|
3,514,000
|
3,368,884
|
02/01/2028
|
4.750%
|
|
961,000
|
944,434
|
02/15/2028
|
2.050%
|
|
1,548,000
|
1,382,766
|
02/15/2029
|
2.625%
|
|
597,000
|
531,521
|
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
04/15/2029
|
3.375%
|
|
3,200,000
|
2,938,053
|
04/15/2030
|
3.875%
|
|
5,132,000
|
4,769,809
|
04/15/2031
|
3.500%
|
|
3,258,000
|
2,911,395
|
07/15/2033
|
5.050%
|
|
4,690,000
|
4,564,981
|
04/15/2040
|
4.375%
|
|
1,179,000
|
1,025,567
|
02/15/2041
|
3.000%
|
|
3,880,000
|
2,781,829
|
04/15/2050
|
4.500%
|
|
213,000
|
177,355
|
06/15/2054
|
6.000%
|
|
373,000
|
384,800
|
Vmed O2 UK Financing I PLC(a)
|
||||
07/15/2031
|
4.750%
|
|
1,820,000
|
1,510,390
|
04/15/2032
|
7.750%
|
|
650,000
|
633,202
|
Total
|
86,395,525
|
|||
Wirelines 0.4%
|
||||
AT&T, Inc.
|
||||
02/15/2034
|
5.400%
|
|
5,560,000
|
5,515,508
|
05/15/2035
|
4.500%
|
|
169,000
|
154,561
|
08/15/2037
|
4.900%
|
|
552,000
|
511,125
|
06/01/2041
|
3.500%
|
|
412,000
|
314,495
|
09/15/2053
|
3.500%
|
|
4,787,000
|
3,235,713
|
09/15/2055
|
3.550%
|
|
3,950,000
|
2,653,488
|
09/15/2059
|
3.650%
|
|
4,199,000
|
2,798,797
|
Bell Telephone Co. of Canada
|
||||
02/15/2054
|
5.550%
|
|
3,205,000
|
3,089,108
|
C&W Senior Financing DAC(a)
|
||||
09/15/2027
|
6.875%
|
|
385,000
|
367,235
|
Frontier Communications Holdings LLC(a)
|
||||
03/15/2031
|
8.625%
|
|
2,308,000
|
2,366,152
|
GCI LLC(a)
|
||||
10/15/2028
|
4.750%
|
|
1,735,000
|
1,575,313
|
Iliad Holding SAS(a)
|
||||
10/15/2026
|
6.500%
|
|
550,000
|
547,367
|
10/15/2028
|
7.000%
|
|
500,000
|
495,187
|
Level 3 Financing, Inc.(a)
|
||||
04/15/2029
|
10.500%
|
|
1,925,000
|
1,920,655
|
06/15/2029
|
4.875%
|
|
225,000
|
134,989
|
11/15/2029
|
11.000%
|
|
6,771,745
|
6,949,707
|
04/01/2030
|
4.500%
|
|
425,000
|
243,347
|
05/15/2030
|
10.500%
|
|
950,000
|
939,998
|
Telecom Italia Capital SA(a)
|
||||
06/04/2038
|
7.721%
|
|
1,044,000
|
1,087,775
|
Telecom Italia Capital SA
|
||||
06/04/2038
|
7.721%
|
|
506,000
|
462,838
|
Total Play Telecomunicaciones SA de CV(a)
|
||||
09/20/2028
|
6.375%
|
|
1,270,000
|
660,817
|
Verizon Communications, Inc.
|
||||
02/15/2025
|
3.376%
|
|
2,527,000
|
2,486,657
|
03/22/2030
|
3.150%
|
|
530,000
|
474,934
|
01/20/2031
|
1.750%
|
|
555,000
|
445,566
|
03/21/2031
|
2.550%
|
|
552,000
|
465,364
|
03/15/2032
|
2.355%
|
|
5,418,000
|
4,397,527
|
Multi-Manager Total Return Bond Strategies Fund | 2024
53
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
11/01/2034
|
4.400%
|
|
1,750,000
|
1,613,561
|
03/22/2041
|
3.400%
|
|
1,913,000
|
1,462,074
|
09/15/2043
|
6.550%
|
|
886,000
|
977,796
|
02/23/2054
|
5.500%
|
|
3,762,000
|
3,660,639
|
Total
|
52,008,293
|
|||
Total Corporate Bonds & Notes
(Cost $3,845,344,996)
|
3,670,920,898
|
|||
|
||||
Foreign Government Obligations(p) 1.4%
|
||||
|
|
|
|
|
Australia 0.0%
|
||||
NBN Co., Ltd.(a)
|
||||
05/05/2026
|
1.450%
|
|
581,000
|
539,547
|
01/08/2027
|
1.625%
|
|
1,230,000
|
1,122,297
|
01/08/2032
|
2.500%
|
|
624,000
|
515,902
|
10/06/2033
|
6.000%
|
|
1,200,000
|
1,256,763
|
Total
|
3,434,509
|
|||
Bermuda 0.0%
|
||||
Bermuda Government International Bond(a)
|
||||
08/20/2030
|
2.375%
|
|
1,105,000
|
922,489
|
Brazil 0.1%
|
||||
Banco do Brasil SA(a)
|
||||
03/18/2031
|
6.000%
|
|
1,550,000
|
1,515,744
|
Brazil Minas SPE via State of Minas Gerais(a)
|
||||
02/15/2028
|
5.333%
|
|
1,160,000
|
1,144,674
|
Brazilian Government International Bond
|
||||
10/20/2033
|
6.000%
|
|
350,000
|
339,369
|
03/15/2034
|
6.125%
|
|
2,675,000
|
2,602,156
|
05/13/2054
|
7.125%
|
|
1,175,000
|
1,150,561
|
Total
|
6,752,504
|
|||
Canada 0.1%
|
||||
Antares Holdings LP(a)
|
||||
07/15/2027
|
3.750%
|
|
4,335,000
|
3,960,881
|
Province of British Columbia
|
||||
09/01/2036
|
7.250%
|
|
2,000,000
|
2,393,759
|
Province of Manitoba
|
||||
06/22/2026
|
2.125%
|
|
300,000
|
282,985
|
Province of Quebec(l)
|
||||
03/02/2026
|
7.485%
|
|
230,000
|
237,629
|
Total
|
6,875,254
|
|||
Chile 0.0%
|
||||
Corp. Nacional del Cobre de Chile(a)
|
||||
02/02/2033
|
5.125%
|
|
850,000
|
798,016
|
01/08/2034
|
5.950%
|
|
1,925,000
|
1,904,586
|
Foreign Government Obligations(p) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Corporación Nacional del Cobre de Chile(a)
|
||||
01/26/2036
|
6.440%
|
|
2,150,000
|
2,190,306
|
11/04/2044
|
4.875%
|
|
200,000
|
165,943
|
Empresa Nacional del Petroleo(a)
|
||||
11/06/2029
|
5.250%
|
|
450,000
|
437,557
|
Total
|
5,496,408
|
|||
China 0.0%
|
||||
Sinopec Group Overseas Development Ltd.(a)
|
||||
04/28/2025
|
3.250%
|
|
300,000
|
294,091
|
Colombia 0.1%
|
||||
Colombia Government International Bond
|
||||
03/15/2029
|
4.500%
|
|
250,000
|
226,683
|
01/30/2030
|
3.000%
|
|
315,000
|
255,869
|
04/15/2031
|
3.125%
|
|
700,000
|
548,780
|
04/20/2033
|
8.000%
|
|
700,000
|
722,793
|
11/14/2035
|
8.000%
|
|
1,862,000
|
1,904,123
|
11/14/2053
|
8.750%
|
|
2,000,000
|
2,097,952
|
Ecopetrol SA
|
||||
01/19/2029
|
8.625%
|
|
4,080,000
|
4,262,236
|
04/29/2030
|
6.875%
|
|
1,500,000
|
1,431,673
|
01/13/2033
|
8.875%
|
|
3,764,000
|
3,866,533
|
01/19/2036
|
8.375%
|
|
4,170,000
|
4,073,805
|
Total
|
19,390,447
|
|||
Costa Rica 0.0%
|
||||
Costa Rica Government International Bond(a)
|
||||
04/03/2034
|
6.550%
|
|
250,000
|
255,865
|
Dominican Republic 0.1%
|
||||
Dominican Republic International Bond(a)
|
||||
01/27/2025
|
5.500%
|
|
100,000
|
99,399
|
01/27/2025
|
5.500%
|
|
100,000
|
99,399
|
01/29/2026
|
6.875%
|
|
631,000
|
637,645
|
07/19/2028
|
6.000%
|
|
1,400,000
|
1,388,511
|
02/22/2029
|
5.500%
|
|
6,225,000
|
6,005,013
|
02/22/2029
|
5.500%
|
|
161,000
|
155,310
|
01/30/2030
|
4.500%
|
|
628,000
|
571,125
|
09/23/2032
|
4.875%
|
|
1,050,000
|
941,005
|
Total
|
9,897,407
|
|||
France 0.1%
|
||||
Electricite de France SA(a)
|
||||
04/22/2034
|
5.950%
|
|
6,465,000
|
6,511,539
|
Guatemala 0.0%
|
||||
Guatemala Government Bond(a)
|
||||
08/10/2029
|
5.250%
|
|
450,000
|
430,532
|
10/07/2033
|
3.700%
|
|
794,000
|
643,039
|
Total
|
1,073,571
|
54
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Foreign Government Obligations(p) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Hungary 0.0%
|
||||
Hungary Government International Bond(a)
|
||||
09/22/2031
|
2.125%
|
|
977,000
|
767,768
|
MVM Energetika Zrt(a)
|
||||
03/13/2031
|
6.500%
|
|
423,000
|
420,391
|
Total
|
1,188,159
|
|||
India 0.0%
|
||||
Export-Import Bank of India(a)
|
||||
08/05/2026
|
3.375%
|
|
860,000
|
823,111
|
02/01/2028
|
3.875%
|
|
1,025,000
|
975,600
|
01/13/2031
|
2.250%
|
|
1,030,000
|
846,775
|
Indian Railway Finance Corp., Ltd.(a)
|
||||
01/21/2032
|
3.570%
|
|
1,110,000
|
977,093
|
Power Finance Corp., Ltd.(a)
|
||||
12/06/2028
|
6.150%
|
|
546,000
|
556,481
|
Total
|
4,179,060
|
|||
Indonesia 0.1%
|
||||
Freeport Indonesia PT(a)
|
||||
04/14/2032
|
5.315%
|
|
1,045,000
|
1,006,725
|
Indonesia Asahan Aluminium PT/Mineral Industri Persero(a)
|
||||
05/15/2030
|
5.450%
|
|
560,000
|
548,371
|
Indonesia Government International Bond(a)
|
||||
01/17/2038
|
7.750%
|
|
1,000,000
|
1,222,626
|
Perusahaan Penerbit SBSN Indonesia III(a)
|
||||
06/23/2030
|
2.800%
|
|
1,000,000
|
878,652
|
PT Pertamina Persero(a)
|
||||
08/25/2030
|
3.100%
|
|
1,424,000
|
1,248,828
|
PT Perusahaan Listrik Negara(a)
|
||||
05/15/2027
|
4.125%
|
|
5,000,000
|
4,810,588
|
Total
|
9,715,790
|
|||
Israel 0.0%
|
||||
Israel Electric Corp., Ltd.(a)
|
||||
08/14/2028
|
4.250%
|
|
2,200,000
|
2,019,631
|
Italy 0.1%
|
||||
Cassa Depositi e Prestiti SpA(a)
|
||||
05/05/2026
|
5.750%
|
|
1,200,000
|
1,192,597
|
Republic of Italy Government International Bond
|
||||
10/17/2029
|
2.875%
|
|
1,700,000
|
1,493,465
|
06/15/2033
|
5.375%
|
|
8,270,000
|
8,069,885
|
Total
|
10,755,947
|
|||
Kazakhstan 0.0%
|
||||
KazMunayGas National Co. JSC(a)
|
||||
04/19/2027
|
4.750%
|
|
300,000
|
289,592
|
04/24/2030
|
5.375%
|
|
962,000
|
930,493
|
Foreign Government Obligations(p) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
KazTransGas JSC(a)
|
||||
09/26/2027
|
4.375%
|
|
200,000
|
187,859
|
Total
|
1,407,944
|
|||
Mexico 0.3%
|
||||
Comision Federal de Electricidad(a)
|
||||
05/15/2029
|
4.688%
|
|
3,647,000
|
3,427,315
|
Mexico City Airport Trust(a)
|
||||
10/31/2026
|
4.250%
|
|
1,435,000
|
1,381,941
|
04/30/2028
|
3.875%
|
|
420,000
|
393,843
|
10/31/2046
|
5.500%
|
|
2,303,000
|
1,952,067
|
07/31/2047
|
5.500%
|
|
5,582,000
|
4,732,839
|
Mexico Government International Bond
|
||||
04/22/2029
|
4.500%
|
|
1,500,000
|
1,434,676
|
05/24/2031
|
2.659%
|
|
2,068,000
|
1,705,495
|
04/27/2032
|
4.750%
|
|
250,000
|
232,662
|
02/09/2035
|
6.350%
|
|
470,000
|
475,470
|
05/24/2061
|
3.771%
|
|
550,000
|
342,483
|
04/19/2071
|
3.750%
|
|
750,000
|
457,031
|
Pemex Project Funding Master Trust
|
||||
06/15/2038
|
6.625%
|
|
50,000
|
35,786
|
Petroleos Mexicanos
|
||||
10/16/2025
|
6.875%
|
|
1,060,000
|
1,049,361
|
03/13/2027
|
6.500%
|
|
11,947,000
|
11,307,284
|
02/12/2028
|
5.350%
|
|
2,276,000
|
2,019,686
|
01/23/2029
|
6.500%
|
|
625,000
|
566,524
|
01/28/2031
|
5.950%
|
|
3,025,000
|
2,453,890
|
02/16/2032
|
6.700%
|
|
5,923,000
|
4,987,421
|
02/07/2033
|
10.000%
|
|
1,375,000
|
1,386,851
|
06/15/2035
|
6.625%
|
|
1,015,000
|
781,188
|
09/21/2047
|
6.750%
|
|
1,542,000
|
1,033,236
|
02/12/2048
|
6.350%
|
|
503,000
|
325,790
|
Total
|
42,482,839
|
|||
Morocco 0.0%
|
||||
OCP SA(a)
|
||||
06/23/2031
|
3.750%
|
|
357,000
|
301,320
|
05/02/2034
|
6.750%
|
|
2,981,000
|
3,004,418
|
Total
|
3,305,738
|
|||
Norway 0.0%
|
||||
Equinor ASA
|
||||
04/06/2030
|
3.125%
|
|
826,000
|
750,445
|
Oman 0.0%
|
||||
Oman Government International Bond(a)
|
||||
01/17/2028
|
5.625%
|
|
600,000
|
597,518
|
Panama 0.1%
|
||||
Banco Nacional de Panama(a)
|
||||
08/11/2030
|
2.500%
|
|
875,000
|
671,020
|
08/11/2030
|
2.500%
|
|
600,000
|
460,128
|
Multi-Manager Total Return Bond Strategies Fund | 2024
55
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Foreign Government Obligations(p) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Panama Government International Bond
|
||||
03/16/2025
|
3.750%
|
|
200,000
|
196,328
|
01/23/2030
|
3.160%
|
|
657,000
|
547,545
|
03/01/2031
|
7.500%
|
|
1,300,000
|
1,346,387
|
09/29/2032
|
2.252%
|
|
200,000
|
142,673
|
01/19/2033
|
3.298%
|
|
250,000
|
191,629
|
01/31/2036
|
6.875%
|
|
1,200,000
|
1,163,650
|
03/01/2038
|
8.000%
|
|
1,720,000
|
1,801,562
|
Total
|
6,520,922
|
|||
Paraguay 0.0%
|
||||
Paraguay Government International Bond(a)
|
||||
04/28/2031
|
4.950%
|
|
730,000
|
692,223
|
Peru 0.0%
|
||||
Corporación Financiera de Desarrollo SA(a)
|
||||
09/28/2027
|
2.400%
|
|
600,000
|
536,535
|
Peruvian Government International Bond
|
||||
01/23/2031
|
2.783%
|
|
420,000
|
354,314
|
03/14/2037
|
6.550%
|
|
1,785,000
|
1,880,723
|
Petroleos del Peru SA(a)
|
||||
06/19/2032
|
4.750%
|
|
2,100,000
|
1,512,641
|
Total
|
4,284,213
|
|||
Philippines 0.0%
|
||||
Philippine Government International Bond
|
||||
05/05/2030
|
2.457%
|
|
800,000
|
686,772
|
01/15/2032
|
6.375%
|
|
400,000
|
426,476
|
10/23/2034
|
6.375%
|
|
275,000
|
297,749
|
Total
|
1,410,997
|
|||
Qatar 0.0%
|
||||
Nakilat, Inc.(a)
|
||||
12/31/2033
|
6.067%
|
|
969,251
|
997,885
|
Romania 0.1%
|
||||
Romanian Government International Bond(a)
|
||||
02/17/2028
|
6.625%
|
|
200,000
|
204,627
|
02/14/2031
|
3.000%
|
|
2,100,000
|
1,740,247
|
01/30/2034
|
6.375%
|
|
1,532,000
|
1,528,476
|
05/25/2034
|
6.000%
|
|
5,488,000
|
5,366,471
|
Total
|
8,839,821
|
|||
Saudi Arabia 0.0%
|
||||
Saudi Government International Bond(a)
|
||||
01/16/2054
|
5.750%
|
|
1,750,000
|
1,687,611
|
02/02/2061
|
3.450%
|
|
575,000
|
369,290
|
Total
|
2,056,901
|
Foreign Government Obligations(p) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Serbia 0.1%
|
||||
Serbia International Bond(a)
|
||||
12/01/2030
|
2.125%
|
|
6,640,000
|
5,261,355
|
09/26/2033
|
6.500%
|
|
2,800,000
|
2,807,501
|
Total
|
8,068,856
|
|||
South Africa 0.1%
|
||||
Eskom Holdings SOC Ltd.(a)
|
||||
02/11/2025
|
7.125%
|
|
950,000
|
945,078
|
08/10/2028
|
6.350%
|
|
1,739,000
|
1,666,527
|
08/10/2028
|
8.450%
|
|
3,439,000
|
3,420,419
|
08/10/2028
|
8.450%
|
|
451,000
|
448,563
|
Republic of South Africa Government International Bond
|
||||
10/12/2028
|
4.300%
|
|
525,000
|
470,583
|
09/30/2029
|
4.850%
|
|
3,275,000
|
2,934,761
|
06/22/2030
|
5.875%
|
|
750,000
|
698,478
|
04/20/2032
|
5.875%
|
|
2,300,000
|
2,072,004
|
Total
|
12,656,413
|
|||
Ukraine 0.0%
|
||||
Ukraine Government International Bond(a),(n)
|
||||
09/01/2024
|
7.750%
|
|
2,410,000
|
747,872
|
02/01/2026
|
0.000%
|
|
1,000,000
|
315,680
|
09/01/2027
|
0.000%
|
|
3,050,000
|
860,115
|
11/01/2030
|
9.750%
|
|
3,850,000
|
1,171,624
|
Total
|
3,095,291
|
|||
United Arab Emirates 0.0%
|
||||
DP World Ltd.(a)
|
||||
07/02/2037
|
6.850%
|
|
300,000
|
322,394
|
Finance Department Government of Sharjah(a)
|
||||
11/23/2032
|
6.500%
|
|
202,000
|
208,491
|
Total
|
530,885
|
|||
Total Foreign Government Obligations
(Cost $203,891,743)
|
186,461,562
|
|||
|
||||
Municipal Bonds 0.2%
|
||||
Issue Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Higher Education 0.1%
|
||||
University of California
|
||||
Refunding Revenue Bonds
|
||||
Taxable General
|
||||
Series 2017AX
|
||||
07/01/2025
|
3.063%
|
|
5,700,000
|
5,565,702
|
University of Michigan
|
||||
Revenue Bonds
|
||||
Taxable
|
||||
Series 2022A
|
||||
04/01/2122
|
4.454%
|
|
4,020,000
|
3,260,298
|
56
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Municipal Bonds (continued)
|
||||
Issue Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
University of Virginia
|
||||
Refunding Revenue Bonds
|
||||
Taxable
|
||||
Series 2021B
|
||||
11/01/2051
|
2.584%
|
|
2,020,000
|
1,260,041
|
Revenue Bonds
|
||||
Taxable
|
||||
Series 2017C
|
||||
09/01/2117
|
4.179%
|
|
725,000
|
553,073
|
Total
|
10,639,114
|
|||
Hospital 0.0%
|
||||
California Health Facilities Financing Authority
|
||||
Refunding Revenue Bonds
|
||||
Cedars-Sinai Health System
|
||||
Series 2021
|
||||
08/15/2051
|
3.000%
|
|
1,785,000
|
1,372,075
|
Regents of the University of California Medical Center
|
||||
Revenue Bonds
|
||||
Taxable
|
||||
Series 2020N
|
||||
05/15/2060
|
3.256%
|
|
5,525,000
|
3,629,259
|
Total
|
5,001,334
|
|||
Local General Obligation 0.0%
|
||||
City of New York
|
||||
Unlimited General Obligation Bonds
|
||||
Series 2010 (BAM)
|
||||
03/01/2036
|
5.968%
|
|
3,100,000
|
3,221,141
|
Special Non Property Tax 0.1%
|
||||
New York City Transitional Finance Authority
|
||||
Refunding Revenue Bonds
|
||||
Future Tax Secured
|
||||
Subordinated Series 2020B-3
|
||||
08/01/2035
|
2.000%
|
|
3,000,000
|
2,193,525
|
Revenue Bonds
|
||||
Future Tax Secured
|
||||
Subordinated Series 2020D-3
|
||||
11/01/2032
|
2.400%
|
|
1,040,000
|
852,240
|
New York City Transitional Finance Authority Future Tax
|
||||
Secured Revenue Bonds
|
||||
Build America Bonds
|
||||
Series 2010
|
||||
08/01/2037
|
5.508%
|
|
1,245,000
|
1,244,142
|
State of Illinois
|
||||
Revenue Bonds
|
||||
Taxable Sales Tax
|
||||
Series 2013
|
||||
06/15/2028
|
3.350%
|
|
2,500,000
|
2,349,411
|
Total
|
6,639,318
|
Municipal Bonds (continued)
|
||||
Issue Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Turnpike / Bridge / Toll Road 0.0%
|
||||
Bay Area Toll Authority
|
||||
Revenue Bonds
|
||||
Series 2009 (BAM)
|
||||
04/01/2049
|
6.263%
|
|
1,920,000
|
2,063,492
|
Pennsylvania Turnpike Commission
|
||||
Revenue Bonds
|
||||
Build America Bonds
|
||||
Series 2009
|
||||
12/01/2039
|
6.105%
|
|
1,620,000
|
1,710,316
|
Total
|
3,773,808
|
|||
Total Municipal Bonds
(Cost $35,513,102)
|
29,274,715
|
|||
|
||||
Residential Mortgage-Backed Securities - Agency 26.3%
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Fannie Mae REMICS
|
||||
CMO Series 2011-84 Class Z
|
||||
09/25/2041
|
5.250%
|
|
1,219,558
|
1,191,984
|
Federal Home Loan Mortgage Corp.
|
||||
08/01/2024-
02/01/2025
|
8.000%
|
|
141
|
141
|
10/01/2028-
07/01/2032
|
7.000%
|
|
83,697
|
86,069
|
10/01/2031-
07/01/2037
|
6.000%
|
|
280,544
|
288,085
|
04/01/2033-
08/01/2053
|
5.500%
|
|
26,837,929
|
26,511,140
|
10/01/2039-
08/01/2053
|
5.000%
|
|
39,880,754
|
38,417,131
|
09/01/2040-
10/01/2052
|
4.000%
|
|
100,461,192
|
91,467,293
|
09/01/2040-
09/01/2052
|
4.500%
|
|
49,780,868
|
46,671,923
|
06/01/2043-
05/01/2052
|
3.500%
|
|
58,275,522
|
52,000,676
|
08/01/2046-
06/01/2052
|
3.000%
|
|
105,914,166
|
90,223,827
|
06/01/2050-
10/01/2052
|
2.500%
|
|
312,738,929
|
254,031,128
|
12/01/2050-
06/01/2052
|
2.000%
|
|
94,813,245
|
73,412,021
|
CMO Series 2060 Class Z
|
||||
05/15/2028
|
6.500%
|
|
33,274
|
33,412
|
CMO Series 2310 Class Z
|
||||
04/15/2031
|
6.000%
|
|
32,319
|
32,533
|
CMO Series 2725 Class TA
|
||||
12/15/2033
|
4.500%
|
|
1,466,131
|
1,431,158
|
CMO Series 2882 Class ZC
|
||||
11/15/2034
|
6.000%
|
|
2,400,498
|
2,438,442
|
Multi-Manager Total Return Bond Strategies Fund | 2024
57
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CMO Series 2953 Class LZ
|
||||
03/15/2035
|
6.000%
|
|
2,071,217
|
2,100,924
|
CMO Series 3028 Class ZE
|
||||
09/15/2035
|
5.500%
|
|
158,752
|
152,725
|
CMO Series 3032 Class PZ
|
||||
09/15/2035
|
5.800%
|
|
382,831
|
381,599
|
CMO Series 3071 Class ZP
|
||||
11/15/2035
|
5.500%
|
|
8,334,739
|
8,225,447
|
CMO Series 3121 Class EZ
|
||||
03/15/2036
|
6.000%
|
|
81,989
|
82,417
|
CMO Series 3181 Class AZ
|
||||
07/15/2036
|
6.500%
|
|
25,473
|
26,133
|
CMO Series 353 Class 300
|
||||
12/15/2046
|
3.000%
|
|
4,963,572
|
4,264,979
|
CMO Series 3740 Class BA
|
||||
10/15/2040
|
4.000%
|
|
1,032,745
|
974,977
|
CMO Series 3747 Class HY
|
||||
10/15/2040
|
4.500%
|
|
2,819,746
|
2,738,196
|
CMO Series 3753 Class KZ
|
||||
11/15/2040
|
4.500%
|
|
4,828,801
|
4,602,076
|
CMO Series 3769 Class ZC
|
||||
12/15/2040
|
4.500%
|
|
2,433,414
|
2,321,987
|
CMO Series 3841 Class JZ
|
||||
04/15/2041
|
5.000%
|
|
219,620
|
214,640
|
CMO Series 3888 Class ZG
|
||||
07/15/2041
|
4.000%
|
|
470,041
|
445,570
|
CMO Series 3926 Class NY
|
||||
09/15/2041
|
4.000%
|
|
404,562
|
384,486
|
CMO Series 3928 Class MB
|
||||
09/15/2041
|
4.500%
|
|
740,150
|
707,203
|
CMO Series 3934 Class CB
|
||||
10/15/2041
|
4.000%
|
|
2,498,731
|
2,354,673
|
CMO Series 3982 Class TZ
|
||||
01/15/2042
|
4.000%
|
|
965,913
|
896,633
|
CMO Series 4027 Class AB
|
||||
12/15/2040
|
4.000%
|
|
1,104,131
|
1,053,045
|
CMO Series 4057 Class ZB
|
||||
06/15/2042
|
3.500%
|
|
5,455,137
|
4,977,994
|
CMO Series 4057 Class ZL
|
||||
06/15/2042
|
3.500%
|
|
5,908,133
|
5,389,016
|
CMO Series 4091 Class KB
|
||||
08/15/2042
|
3.000%
|
|
6,500,000
|
5,611,985
|
CMO Series 4182 Class QN
|
||||
02/15/2033
|
3.000%
|
|
80,596
|
80,045
|
CMO Series 4361 Class VB
|
||||
02/15/2038
|
3.000%
|
|
1,256,613
|
1,241,796
|
Residential Mortgage-Backed Securities - Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CMO Series 4440 Class ZX
|
||||
01/15/2045
|
4.000%
|
|
12,391,618
|
11,080,550
|
CMO Series 4463 Class ZA
|
||||
04/15/2045
|
4.000%
|
|
4,319,612
|
4,046,086
|
CMO Series 4495 Class PA
|
||||
09/15/2043
|
3.500%
|
|
106,851
|
102,275
|
CMO Series 4682 Class HZ
|
||||
04/15/2047
|
3.500%
|
|
2,923,071
|
2,613,813
|
CMO Series 4771 Class HZ
|
||||
03/15/2048
|
3.500%
|
|
9,952,991
|
8,692,942
|
CMO Series 4787 Class PY
|
||||
05/15/2048
|
4.000%
|
|
1,013,591
|
914,425
|
CMO Series 4793 Class CD
|
||||
06/15/2048
|
3.000%
|
|
860,500
|
747,079
|
CMO Series 4839 Class A
|
||||
04/15/2051
|
4.000%
|
|
2,509,414
|
2,338,311
|
CMO Series 4941 Class CZ
|
||||
11/25/2049
|
3.000%
|
|
1,141,490
|
957,308
|
Federal Home Loan Mortgage Corp.(b),(g)
|
||||
-1.0 x 30-day Average SOFR +
5.986%
Cap 6.100%
11/15/2043
|
0.662%
|
|
10,825,918
|
725,933
|
CMO Series 2013-4258 Class SJ
|
||||
-1.0 x 30-day Average SOFR +
6.536%
Cap 6.650%
10/15/2043
|
1.212%
|
|
2,809,520
|
360,908
|
CMO Series 2014-4313 Class MS
|
||||
-1.0 x 30-day Average SOFR +
6.036%
Cap 6.150%
04/15/2039
|
0.712%
|
|
3,909,464
|
248,622
|
CMO Series 264 Class S1
|
||||
-1.0 x 30-day Average SOFR +
5.836%
Cap 5.950%
07/15/2042
|
0.512%
|
|
5,644,922
|
448,307
|
CMO Series 274 Class S1
|
||||
-1.0 x 30-day Average SOFR +
5.886%
Cap 6.000%
08/15/2042
|
0.562%
|
|
7,229,608
|
598,275
|
CMO Series 279 Class S6
|
||||
-1.0 x 30-day Average SOFR +
5.936%
Cap 6.050%
09/15/2042
|
0.612%
|
|
4,849,717
|
396,558
|
58
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CMO Series 299 Class S1
|
||||
-1.0 x 30-day Average SOFR +
5.886%
Cap 6.000%
01/15/2043
|
0.562%
|
|
2,992,336
|
232,773
|
CMO Series 300 Class S1
|
||||
-1.0 x 30-day Average SOFR +
5.986%
Cap 6.100%
01/15/2043
|
0.662%
|
|
7,462,718
|
629,937
|
CMO Series 326 Class S2
|
||||
-1.0 x 30-day Average SOFR +
5.836%
Cap 5.950%
03/15/2044
|
0.512%
|
|
12,325,333
|
1,017,247
|
CMO Series 336 Class 30
|
||||
-1.0 x 30-day Average SOFR +
5.936%
Cap 6.050%
08/15/2044
|
0.612%
|
|
5,152,923
|
422,830
|
CMO Series 3404 Class AS
|
||||
-1.0 x 30-day Average SOFR +
5.781%
Cap 5.895%
01/15/2038
|
0.457%
|
|
1,367,237
|
79,397
|
CMO Series 3578 Class DI
|
||||
-1.0 x 30-day Average SOFR +
6.536%
Cap 6.650%
04/15/2036
|
1.212%
|
|
2,005,705
|
119,257
|
CMO Series 3833 Class LI
|
||||
-1.0 x 30-day Average SOFR +
0.286%
10/15/2040
|
0.219%
|
|
4,849,908
|
342,652
|
CMO Series 3892 Class SC
|
||||
-1.0 x 30-day Average SOFR +
5.836%
Cap 5.950%
07/15/2041
|
0.512%
|
|
3,102,842
|
197,259
|
CMO Series 3997 Class SK
|
||||
-1.0 x 30-day Average SOFR +
6.486%
Cap 6.600%
11/15/2041
|
1.162%
|
|
5,168,527
|
241,541
|
CMO Series 4087 Class SC
|
||||
-1.0 x 30-day Average SOFR +
5.436%
Cap 5.550%
07/15/2042
|
0.112%
|
|
3,779,413
|
181,224
|
Residential Mortgage-Backed Securities - Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CMO Series 4281 Class SA
|
||||
-1.0 x 30-day Average SOFR +
5.986%
Cap 6.100%
12/15/2043
|
0.662%
|
|
6,193,626
|
381,728
|
CMO Series 4635 Class SE
|
||||
-1.0 x 30-day Average SOFR +
5.986%
Cap 6.100%
12/15/2046
|
0.662%
|
|
9,469,721
|
501,177
|
CMO Series 4910 Class SG
|
||||
-1.0 x 30-day Average SOFR +
5.936%
Cap 6.050%
09/25/2049
|
0.612%
|
|
15,012,263
|
1,706,027
|
CMO STRIPS Series 2012-278 Class S1
|
||||
-1.0 x 30-day Average SOFR +
5.936%
Cap 6.050%
09/15/2042
|
0.612%
|
|
6,779,978
|
483,061
|
CMO STRIPS Series 337 Class S1
|
||||
-1.0 x 30-day Average SOFR +
5.936%
Cap 6.050%
09/15/2044
|
0.612%
|
|
4,180,458
|
358,253
|
Federal Home Loan Mortgage Corp.(q)
|
||||
12/01/2051
|
2.500%
|
|
5,288,643
|
4,352,655
|
02/01/2052
|
3.000%
|
|
21,733,255
|
18,304,139
|
Federal Home Loan Mortgage Corp.(b)
|
||||
CMO Series 2380 Class F
|
||||
30-day Average SOFR +
0.564%
Floor 0.450%, Cap 8.500%
11/15/2031
|
5.888%
|
|
48,909
|
48,787
|
CMO Series 2557 Class FG
|
||||
30-day Average SOFR +
0.514%
Floor 0.400%, Cap 8.000%
01/15/2033
|
5.838%
|
|
113,149
|
112,806
|
CMO Series 2962 Class PF
|
||||
30-day Average SOFR +
0.364%
Floor 0.250%, Cap 7.000%
03/15/2035
|
5.688%
|
|
53,282
|
53,041
|
CMO Series 2981 Class FU
|
||||
30-day Average SOFR +
0.314%
Floor 0.200%, Cap 8.000%
05/15/2030
|
5.638%
|
|
149,229
|
147,685
|
Multi-Manager Total Return Bond Strategies Fund | 2024
59
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CMO Series 3065 Class EB
|
||||
-3.0 x 30-day Average SOFR +
19.547%
Cap 19.890%
11/15/2035
|
3.575%
|
|
275,036
|
276,254
|
CMO Series 3081 Class GC
|
||||
-3.7 x 30-day Average SOFR +
23.414%
Cap 23.833%
12/15/2035
|
3.893%
|
|
442,535
|
429,238
|
CMO Series 3085 Class FV
|
||||
30-day Average SOFR +
0.814%
Floor 0.700%, Cap 8.000%
08/15/2035
|
6.138%
|
|
386,670
|
387,160
|
CMO Series 3564 Class FC
|
||||
30-day Average SOFR +
1.364%
Floor 1.250%, Cap 6.500%
01/15/2037
|
6.500%
|
|
148,892
|
148,541
|
CMO Series 3680 Class FA
|
||||
30-day Average SOFR +
1.114%
Floor 1.000%, Cap 6.000%
06/15/2040
|
6.000%
|
|
451,265
|
443,839
|
CMO Series 3852 Class QN
|
||||
-3.6 x 30-day Average SOFR +
26.796%
Cap 5.500%
05/15/2041
|
5.500%
|
|
17,495
|
16,268
|
CMO Series 4048 Class FJ
|
||||
30-day Average SOFR +
0.514%
Floor 0.400%, Cap
9,999.000%
07/15/2037
|
5.618%
|
|
670,730
|
662,202
|
CMO Series 5115 Class FD
|
||||
30-day Average SOFR +
0.250%
Floor 0.250%, Cap 4.000%
08/15/2043
|
4.000%
|
|
5,972,837
|
5,618,948
|
Federal Home Loan Mortgage Corp.(g)
|
||||
CMO Series 303 Class C21
|
||||
01/15/2043
|
4.000%
|
|
9,449,190
|
1,531,726
|
CMO Series 303 Class C30
|
||||
12/15/2042
|
4.500%
|
|
6,026,260
|
929,516
|
CMO Series 364 Class C15
|
||||
12/15/2046
|
3.500%
|
|
3,851,866
|
606,609
|
CMO Series 4146 Class IA
|
||||
12/15/2032
|
3.500%
|
|
4,025,206
|
377,089
|
Residential Mortgage-Backed Securities - Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CMO Series 4186 Class IB
|
||||
03/15/2033
|
3.000%
|
|
4,134,560
|
337,680
|
CMO Series 4627 Class PI
|
||||
05/15/2044
|
3.500%
|
|
1,197,653
|
31,204
|
CMO Series 4698 Class BI
|
||||
07/15/2047
|
5.000%
|
|
10,683,092
|
1,750,568
|
CMO Series 5048 Class HI
|
||||
01/15/2042
|
4.500%
|
|
2,711,918
|
417,509
|
CMO Series 5078 Class NI
|
||||
06/15/2042
|
4.000%
|
|
2,740,000
|
483,669
|
Federal Home Loan Mortgage Corp.(d),(g)
|
||||
CMO Series 351 Class 213
|
||||
02/15/2046
|
4.143%
|
|
273,498
|
48,980
|
CMO Series 364 Class 141
|
||||
12/15/2046
|
2.731%
|
|
313,854
|
42,628
|
CMO Series 364 Class 151
|
||||
12/15/2046
|
3.373%
|
|
307,426
|
47,568
|
CMO Series 364 Class 158
|
||||
12/15/2046
|
3.775%
|
|
164,666
|
28,202
|
CMO Series 364 Class 167
|
||||
12/15/2046
|
2.550%
|
|
292,453
|
33,534
|
CMO Series 364 Class C23
|
||||
12/15/2046
|
2.938%
|
|
3,811,409
|
516,566
|
CMO Series 364 Class C24
|
||||
12/15/2046
|
3.459%
|
|
2,154,411
|
344,011
|
CMO Series 364 Class C25
|
||||
12/15/2046
|
3.974%
|
|
658,954
|
120,571
|
CMO Series 368 Class C15
|
||||
01/25/2048
|
3.254%
|
|
4,177,347
|
573,047
|
CMO Series 5094 Class IO
|
||||
12/15/2048
|
1.472%
|
|
12,998,626
|
1,024,483
|
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through
Certificates(d),(g)
|
||||
CMO Series K051 Class X1
|
||||
09/25/2025
|
0.490%
|
|
16,320,363
|
79,926
|
CMO Series K058 Class X1
|
||||
08/25/2026
|
0.905%
|
|
2,275,559
|
36,824
|
CMO Series KW02 Class X1
|
||||
12/25/2026
|
0.129%
|
|
7,274,571
|
18,595
|
Federal Home Loan Mortgage Corp. REMICS(b),(g)
|
||||
CMO Series 204236 Class IS
|
||||
-1.0 x 30-day Average SOFR +
5.886%
Cap 6.000%
08/15/2043
|
0.562%
|
|
9,901,696
|
760,806
|
60
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CMO Series 204419 Class BS
|
||||
-1.0 x 30-day Average SOFR +
5.936%
Cap 6.050%
05/15/2053
|
0.612%
|
|
24,948,235
|
2,413,373
|
CMO Series 204461 Class SA
|
||||
-1.0 x 30-day Average SOFR +
6.086%
Cap 6.200%
04/15/2045
|
0.762%
|
|
5,798,871
|
522,143
|
CMO Series 204839 Class WS
|
||||
-1.0 x 30-day Average SOFR +
5.986%
Cap 6.100%
08/15/2056
|
0.662%
|
|
36,782,056
|
4,211,906
|
Federal Home Loan Mortgage Corp. REMICS(g)
|
||||
CMO Series 204695 Class OI
|
||||
06/15/2047
|
4.000%
|
|
2,804,398
|
503,353
|
CMO Series 204864 Class IU
|
||||
12/15/2048
|
4.500%
|
|
2,565,973
|
508,161
|
CMO Series 205012 Class MI
|
||||
09/25/2050
|
4.000%
|
|
9,071,463
|
1,896,381
|
CMO Series 205038 Class ID
|
||||
11/25/2050
|
3.500%
|
|
29,235,480
|
5,288,333
|
CMO Series 4257 Class IK
|
||||
12/15/2042
|
4.000%
|
|
3,261,204
|
566,328
|
CMO Series 4999 Class IA
|
||||
08/25/2050
|
4.500%
|
|
26,533,826
|
6,026,458
|
CMO Series 5043 Class IO
|
||||
11/25/2050
|
5.000%
|
|
15,727,911
|
3,524,023
|
CMO Series 5058 Class NI
|
||||
06/25/2050
|
3.000%
|
|
14,847,499
|
2,522,005
|
CMO Series 5079 Class DI
|
||||
02/25/2051
|
6.500%
|
|
9,505,384
|
1,796,680
|
CMO Series 5081 Class PI
|
||||
03/25/2051
|
3.000%
|
|
42,803,349
|
7,209,034
|
CMO Series 5088 Class IB
|
||||
03/25/2051
|
2.500%
|
|
24,585,527
|
3,811,300
|
CMO Series 5095 Class AI
|
||||
04/25/2051
|
3.500%
|
|
20,714,504
|
3,738,133
|
CMO Series 5113 Class MI
|
||||
06/25/2051
|
3.500%
|
|
17,406,988
|
3,381,998
|
CMO Series 5115 Class GI
|
||||
09/25/2050
|
3.000%
|
|
10,441,010
|
1,763,985
|
CMO Series 5148 Class EI
|
||||
10/25/2051
|
3.000%
|
|
44,706,400
|
7,423,319
|
CMO Series 5153 Class JI
|
||||
10/25/2051
|
3.500%
|
|
8,146,706
|
1,517,981
|
Residential Mortgage-Backed Securities - Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CMO Series 5217 Class PI
|
||||
04/25/2052
|
3.500%
|
|
5,389,598
|
578,388
|
CMO Series 5223 Class IM
|
||||
02/25/2042
|
5.500%
|
|
9,359,795
|
1,597,228
|
Federal Home Loan Mortgage Corp. REMICS
|
||||
CMO Series 3843 Class JZ
|
||||
04/15/2041
|
5.100%
|
|
1,073,317
|
1,038,085
|
CMO Series 4372 Class Z
|
||||
08/15/2044
|
3.000%
|
|
2,896,121
|
2,529,546
|
CMO Series 4402 Class YB
|
||||
10/15/2044
|
3.000%
|
|
2,459,188
|
2,149,851
|
CMO Series 4612 Class HZ
|
||||
08/15/2046
|
2.500%
|
|
7,269,784
|
5,715,842
|
CMO Series 4753 Class VZ
|
||||
12/15/2047
|
3.000%
|
|
1,208,963
|
897,816
|
CMO Series 4755 Class Z
|
||||
02/15/2048
|
3.000%
|
|
1,208,963
|
1,010,205
|
CMO Series 5237 Class GA
|
||||
09/25/2046
|
4.000%
|
|
2,146,376
|
2,022,536
|
Federal Home Loan Mortgage Corp. REMICS(d),(g)
|
||||
CMO Series 5065 Class EI
|
||||
11/25/2044
|
5.387%
|
|
1,300,923
|
277,095
|
Federal National Mortgage Association
|
||||
02/01/2025-
08/01/2027
|
8.000%
|
|
4,266
|
4,294
|
03/01/2026-
03/01/2053
|
7.000%
|
|
1,201,713
|
1,234,877
|
04/01/2027-
06/01/2032
|
7.500%
|
|
17,315
|
17,556
|
05/01/2029-
03/01/2053
|
6.000%
|
|
30,889,641
|
31,029,928
|
03/01/2033-
09/01/2053
|
5.500%
|
|
105,380,647
|
103,742,718
|
09/01/2033-
10/01/2052
|
3.000%
|
|
252,301,421
|
213,611,073
|
10/01/2033-
12/01/2052
|
3.500%
|
|
97,633,642
|
86,854,603
|
02/01/2037-
06/01/2062
|
2.500%
|
|
299,079,500
|
243,664,730
|
07/01/2039-
08/01/2053
|
5.000%
|
|
110,949,826
|
106,930,238
|
08/01/2040-
04/01/2052
|
2.000%
|
|
331,815,157
|
258,411,591
|
10/01/2040-
06/01/2056
|
4.500%
|
|
87,287,166
|
81,863,577
|
02/01/2041-
11/01/2052
|
4.000%
|
|
101,653,700
|
93,337,301
|
11/01/2050-
06/01/2051
|
1.500%
|
|
39,763,524
|
29,326,436
|
CMO Series 2003-22 Class Z
|
||||
04/25/2033
|
6.000%
|
|
73,614
|
74,291
|
Multi-Manager Total Return Bond Strategies Fund | 2024
61
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CMO Series 2003-33 Class PT
|
||||
05/25/2033
|
4.500%
|
|
3,471
|
3,336
|
CMO Series 2007-50 Class DZ
|
||||
06/25/2037
|
5.500%
|
|
373,284
|
368,951
|
CMO Series 2010-139 Class HA
|
||||
11/25/2040
|
4.000%
|
|
1,341,635
|
1,233,938
|
CMO Series 2011-18 Class ZK
|
||||
03/25/2041
|
4.000%
|
|
2,783,722
|
2,637,576
|
CMO Series 2011-53 Class WT
|
||||
06/25/2041
|
4.500%
|
|
248,821
|
241,936
|
CMO Series 2011-87 Class GB
|
||||
09/25/2041
|
4.500%
|
|
7,000,000
|
6,633,489
|
CMO Series 2012-121 Class GZ
|
||||
11/25/2042
|
3.500%
|
|
9,548,038
|
8,658,752
|
CMO Series 2012-68 Class ZA
|
||||
07/25/2042
|
3.500%
|
|
7,510,777
|
6,813,686
|
CMO Series 2012-94
|
||||
09/25/2042
|
3.500%
|
|
8,715,334
|
7,910,578
|
CMO Series 2013-106 Class LA
|
||||
08/25/2041
|
4.000%
|
|
1,433,265
|
1,351,162
|
CMO Series 2013-16 Class GD
|
||||
03/25/2033
|
3.000%
|
|
664,481
|
655,147
|
CMO Series 2013-66 Class AP
|
||||
05/25/2043
|
6.000%
|
|
38,654
|
35,657
|
CMO Series 2018-38 Class PA
|
||||
06/25/2047
|
3.500%
|
|
406,903
|
382,866
|
CMO Series 2018-64 Class ET
|
||||
09/25/2048
|
3.000%
|
|
2,486,521
|
2,135,199
|
CMO Series 2018-94D Class KD
|
||||
12/25/2048
|
3.500%
|
|
646,175
|
573,958
|
CMO Series 2019-9 Class DZ
|
||||
03/25/2049
|
4.000%
|
|
3,161,107
|
2,843,770
|
CMO Series 98-17 Class Z
|
||||
04/18/2028
|
6.500%
|
|
17,272
|
17,104
|
Federal National Mortgage Association(q)
|
||||
06/01/2050
|
2.000%
|
|
19,267,803
|
15,022,163
|
02/01/2051
|
2.500%
|
|
3,073,626
|
2,493,129
|
04/01/2052
|
3.000%
|
|
38,915,418
|
32,747,500
|
06/01/2052-
10/01/2052
|
4.500%
|
|
42,886,842
|
40,164,761
|
Federal National Mortgage Association(b),(g)
|
||||
CMO Series 2004-29 Class PS
|
||||
-1.0 x 30-day Average SOFR +
7.486%
Cap 7.600%
05/25/2034
|
2.162%
|
|
913,872
|
89,235
|
Residential Mortgage-Backed Securities - Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CMO Series 2006-43 Class SJ
|
||||
-1.0 x 30-day Average SOFR +
6.476%
Cap 6.590%
06/25/2036
|
1.152%
|
|
660,993
|
55,843
|
CMO Series 2009-100 Class SA
|
||||
-1.0 x 30-day Average SOFR +
6.086%
Cap 6.200%
12/25/2039
|
0.762%
|
|
2,173,346
|
186,773
|
CMO Series 2009-87 Class NS
|
||||
-1.0 x 30-day Average SOFR +
6.136%
Cap 6.250%
11/25/2039
|
0.812%
|
|
3,174,358
|
202,266
|
CMO Series 2010-131 Class SA
|
||||
-1.0 x 30-day Average SOFR +
6.486%
Cap 6.600%
11/25/2040
|
1.162%
|
|
2,789,791
|
274,997
|
CMO Series 2010-21 Class SA
|
||||
-1.0 x 30-day Average SOFR +
6.136%
Cap 6.250%
03/25/2040
|
0.812%
|
|
4,938,956
|
272,737
|
CMO Series 2010-57 Class SA
|
||||
-1.0 x 30-day Average SOFR +
6.336%
Cap 6.450%
06/25/2040
|
1.012%
|
|
1,233,937
|
98,498
|
CMO Series 2011-131 Class ST
|
||||
-1.0 x 30-day Average SOFR +
6.426%
Cap 6.540%
12/25/2041
|
1.102%
|
|
15,920,927
|
1,807,571
|
CMO Series 2011-47 Class GS
|
||||
-1.0 x 30-day Average SOFR +
5.816%
Cap 5.930%
06/25/2041
|
0.492%
|
|
4,090,619
|
264,805
|
CMO Series 2012-17 Class MS
|
||||
-1.0 x 30-day Average SOFR +
6.586%
Cap 6.700%
03/25/2027
|
1.262%
|
|
583,775
|
6,320
|
CMO Series 2013-10 Class SJ
|
||||
-1.0 x 30-day Average SOFR +
6.036%
Cap 6.150%
02/25/2043
|
0.712%
|
|
3,678,374
|
292,467
|
62
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CMO Series 2013-124 Class SB
|
||||
-1.0 x 30-day Average SOFR +
5.836%
Cap 5.950%
12/25/2043
|
0.512%
|
|
10,365,650
|
863,158
|
CMO Series 2013-19 Class KS
|
||||
-1.0 x 30-day Average SOFR +
6.086%
Cap 6.200%
10/25/2041
|
0.762%
|
|
3,240,030
|
182,149
|
CMO Series 2013-34 Class SC
|
||||
-1.0 x 30-day Average SOFR +
6.036%
Cap 6.150%
04/25/2043
|
0.712%
|
|
10,247,288
|
1,004,746
|
CMO Series 2014-40 Class HS
|
||||
-1.0 x 30-day Average SOFR +
6.586%
Cap 6.700%
07/25/2044
|
1.262%
|
|
2,612,947
|
376,026
|
CMO Series 2014-52 Class SL
|
||||
-1.0 x 30-day Average SOFR +
5.986%
Cap 6.100%
09/25/2044
|
0.662%
|
|
4,387,304
|
450,436
|
CMO Series 2015-81 Class SD
|
||||
-1.0 x 30-day Average SOFR +
6.586%
Cap 6.700%
01/25/2037
|
1.262%
|
|
2,721,733
|
168,618
|
CMO Series 2016-19 Class SA
|
||||
-1.0 x 30-day Average SOFR +
5.986%
Cap 6.100%
04/25/2046
|
0.662%
|
|
3,781,986
|
197,358
|
CMO Series 2016-32 Class SA
|
||||
-1.0 x 30-day Average SOFR +
5.986%
Cap 6.100%
10/25/2034
|
0.662%
|
|
1,711,039
|
109,174
|
CMO Series 2016-60 Class QS
|
||||
-1.0 x 30-day Average SOFR +
5.986%
Cap 6.100%
09/25/2046
|
0.662%
|
|
4,917,711
|
351,211
|
CMO Series 2016-60 Class SD
|
||||
-1.0 x 30-day Average SOFR +
5.986%
Cap 6.100%
09/25/2046
|
0.662%
|
|
17,012,362
|
904,352
|
Residential Mortgage-Backed Securities - Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CMO Series 2016-60 Class SE
|
||||
-1.0 x 30-day Average SOFR +
6.136%
Cap 6.250%
09/25/2046
|
0.812%
|
|
4,848,812
|
312,742
|
CMO Series 2016-82 Class SG
|
||||
-1.0 x 30-day Average SOFR +
5.986%
Cap 6.100%
11/25/2046
|
0.662%
|
|
6,817,419
|
426,359
|
CMO Series 2016-88 Class BS
|
||||
-1.0 x 30-day Average SOFR +
5.986%
Cap 6.100%
12/25/2046
|
0.662%
|
|
11,866,773
|
888,952
|
CMO Series 2016-93 Class SL
|
||||
-1.0 x 30-day Average SOFR +
6.536%
Cap 6.650%
12/25/2046
|
1.212%
|
|
2,974,844
|
205,167
|
CMO Series 2017-26 Class SA
|
||||
-1.0 x 30-day Average SOFR +
6.036%
Cap 6.150%
04/25/2047
|
0.712%
|
|
4,561,908
|
249,118
|
CMO Series 2017-57 Class SD
|
||||
-1.0 x 30-day Average SOFR +
3.836%
Cap 2.750%
08/25/2047
|
0.000%
|
|
5,502,213
|
120,043
|
CMO Series 2018-43 Class SE
|
||||
-1.0 x 30-day Average SOFR +
6.136%
Cap 6.250%
09/25/2038
|
0.812%
|
|
3,730,571
|
272,431
|
CMO Series 2018-61 Class SA
|
||||
-1.0 x 30-day Average SOFR +
6.086%
Cap 6.200%
08/25/2048
|
0.762%
|
|
2,692,664
|
196,973
|
CMO Series 2019-35 Class SH
|
||||
-1.0 x 30-day Average SOFR +
6.036%
Cap 6.150%
07/25/2049
|
0.712%
|
|
11,355,087
|
678,497
|
CMO Series 2019-39 Class SB
|
||||
-1.0 x 30-day Average SOFR +
5.986%
Cap 6.100%
08/25/2049
|
0.662%
|
|
10,476,141
|
660,372
|
Multi-Manager Total Return Bond Strategies Fund | 2024
63
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Federal National Mortgage Association(b)
|
||||
CMO Series 2004-93 Class FC
|
||||
30-day Average SOFR +
0.314%
Floor 0.200%, Cap 8.000%
12/25/2034
|
5.638%
|
|
191,336
|
189,371
|
CMO Series 2006-71 Class SH
|
||||
-2.6 x 30-day Average SOFR +
15.437%
Cap 15.738%
05/25/2035
|
1.474%
|
|
119,505
|
110,604
|
CMO Series 2007-90 Class F
|
||||
30-day Average SOFR +
0.604%
Floor 0.490%, Cap 7.000%
09/25/2037
|
5.928%
|
|
9,201
|
9,150
|
CMO Series 2007-W7 Class 1A4
|
||||
-6.0 x 30-day Average SOFR +
38.493%
Cap 39.180%
07/25/2037
|
6.551%
|
|
38,852
|
44,260
|
CMO Series 2008-15 Class AS
|
||||
-5.0 x 30-day Average SOFR +
32.428%
Cap 33.000%
08/25/2036
|
5.809%
|
|
196,447
|
228,655
|
CMO Series 2010-142 Class HS
|
||||
-2.0 x 30-day Average SOFR +
9.771%
Cap 10.000%
12/25/2040
|
0.000%
|
|
452,249
|
262,436
|
CMO Series 2010-150 Class FL
|
||||
30-day Average SOFR +
0.664%
Floor 0.550%, Cap 7.000%
10/25/2040
|
5.988%
|
|
89,271
|
88,723
|
CMO Series 2012-1 Class FA
|
||||
30-day Average SOFR +
0.614%
Floor 0.500%, Cap 6.500%
02/25/2042
|
5.938%
|
|
656,056
|
642,638
|
CMO Series 2012-115 Class MT
|
||||
-3.0 x 30-day Average SOFR +
13.157%
Cap 4.500%
10/25/2042
|
0.000%
|
|
310,600
|
184,899
|
CMO Series 2016-32 Class GT
|
||||
-4.5 x 30-day Average SOFR +
17.485%
Cap 4.500%
01/25/2043
|
0.000%
|
|
32,299
|
18,490
|
Residential Mortgage-Backed Securities - Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Federal National Mortgage Association(g)
|
||||
CMO Series 2013-16 Class MI
|
||||
03/25/2043
|
4.000%
|
|
3,275,912
|
315,350
|
CMO Series 2013-23 Class AI
|
||||
03/25/2043
|
5.000%
|
|
4,297,768
|
712,019
|
CMO Series 2013-35 Class IB
|
||||
04/25/2033
|
3.000%
|
|
4,721,595
|
409,120
|
CMO Series 2013-41 Class HI
|
||||
02/25/2033
|
3.000%
|
|
5,102,596
|
298,354
|
CMO Series 2015-54 Class GI
|
||||
07/25/2045
|
5.500%
|
|
20,736,593
|
3,288,844
|
CMO Series 2020-42 Class AI
|
||||
06/25/2050
|
2.500%
|
|
17,712,063
|
1,858,815
|
CMO Series 2020-72 Class LI
|
||||
12/25/2040
|
5.000%
|
|
4,769,643
|
931,308
|
CMO Series 20434 Class C24
|
||||
06/25/2053
|
4.500%
|
|
30,791,040
|
7,496,152
|
CMO Series 385 Class 8
|
||||
12/25/2037
|
5.500%
|
|
1,650,913
|
318,083
|
CMO Series 426 Class C58
|
||||
03/25/2052
|
3.000%
|
|
35,621,350
|
5,962,957
|
CMO Series 427 Class C17
|
||||
01/25/2035
|
3.000%
|
|
10,247,578
|
973,866
|
CMO Series 427 Class C57
|
||||
02/25/2032
|
2.500%
|
|
57,600,451
|
3,640,700
|
STRIPS
|
||||
01/25/2052
|
4.500%
|
|
2,466,185
|
657,375
|
Federal National Mortgage Association(d),(g)
|
||||
CMO Series 2021-24 Class IO
|
||||
03/25/2059
|
1.119%
|
|
8,004,488
|
539,771
|
Federal National Mortgage Association REMICS
|
||||
CMO Series 2010-136 Class CY
|
||||
12/25/2040
|
4.000%
|
|
1,509,295
|
1,432,808
|
CMO Series 2012-105 Class Z
|
||||
10/25/2042
|
3.500%
|
|
2,502,769
|
2,268,790
|
CMO Series 2013-18 Class ZA
|
||||
03/25/2043
|
3.000%
|
|
3,302,672
|
2,903,886
|
CMO Series 2013-70 Class JZ
|
||||
07/25/2043
|
3.000%
|
|
13,730,588
|
11,709,098
|
CMO Series 2018-11 Class BX
|
||||
12/25/2047
|
4.000%
|
|
8,294,712
|
7,488,000
|
CMO Series 2019-70 Class CB
|
||||
12/25/2049
|
3.500%
|
|
2,547,777
|
2,237,126
|
CMO Series 2020-46 Class JG
|
||||
07/25/2050
|
2.000%
|
|
1,979,818
|
1,566,644
|
64
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Federal National Mortgage Association REMICS(g)
|
||||
CMO Series 2013-10 Class GI
|
||||
02/25/2033
|
3.000%
|
|
6,766,131
|
532,153
|
CMO Series 2017-54 Class ID
|
||||
07/25/2047
|
4.000%
|
|
2,402,220
|
431,139
|
CMO Series 2020-47 Class DI
|
||||
07/25/2050
|
4.000%
|
|
44,348,648
|
8,723,419
|
CMO Series 2020-74 Class HI
|
||||
10/25/2050
|
5.500%
|
|
4,828,306
|
910,267
|
CMO Series 2020-99 Class IB
|
||||
05/25/2050
|
3.500%
|
|
9,956,664
|
1,750,119
|
CMO Series 2021-1 Class IB
|
||||
02/25/2061
|
3.500%
|
|
13,085,749
|
2,291,461
|
CMO Series 2021-74 Class LI
|
||||
11/25/2051
|
3.500%
|
|
21,185,351
|
4,045,656
|
CMO Series 2021-94 Class AI
|
||||
01/25/2052
|
3.000%
|
|
25,703,349
|
4,288,275
|
CMO Series 2022-38 Class IH
|
||||
07/25/2052
|
4.500%
|
|
2,777,777
|
646,075
|
CMO Series 2022-5 Class LI
|
||||
02/25/2052
|
3.000%
|
|
28,286,219
|
3,538,456
|
Federal National Mortgage Association REMICS(b),(g)
|
||||
CMO Series 2013-136 Class SB
|
||||
-1.0 x 30-day Average SOFR +
5.786%
Cap 5.900%
01/25/2044
|
0.462%
|
|
9,456,048
|
734,002
|
CMO Series 2017-14 Class DS
|
||||
-1.0 x 30-day Average SOFR +
5.936%
Cap 6.050%
03/25/2047
|
0.612%
|
|
8,267,493
|
815,739
|
CMO Series 2017-38 Class S
|
||||
-1.0 x 30-day Average SOFR +
5.986%
Cap 6.100%
05/25/2047
|
0.662%
|
|
14,683,092
|
1,405,549
|
CMO Series 2018-45 Class SM
|
||||
-1.0 x 30-day Average SOFR +
6.086%
Cap 6.200%
06/25/2048
|
0.762%
|
|
10,609,185
|
1,150,060
|
CMO Series 2019-25 Class SA
|
||||
-1.0 x 30-day Average SOFR +
5.936%
Cap 6.050%
06/25/2049
|
0.612%
|
|
36,385,936
|
3,385,901
|
Residential Mortgage-Backed Securities - Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CMO Series 3908 Class XS
|
||||
-1.0 x 30-day Average SOFR +
6.336%
Cap 6.450%
06/15/2039
|
1.012%
|
|
7,925,776
|
668,084
|
Freddie Mac REMICS(g)
|
||||
CMO Series 5093 Class IV
|
||||
12/25/2050
|
4.500%
|
|
8,865,712
|
1,980,197
|
CMO Series 5093 Class VI
|
||||
12/25/2050
|
4.500%
|
|
15,163,705
|
3,392,906
|
Government National Mortgage Association
|
||||
05/15/2040-
05/20/2053
|
5.000%
|
|
5,934,925
|
5,795,037
|
05/20/2041-
05/20/2053
|
4.500%
|
|
11,301,709
|
10,658,880
|
02/15/2042-
03/20/2053
|
4.000%
|
|
31,685,693
|
28,993,027
|
03/20/2046-
05/20/2050
|
3.500%
|
|
31,614,059
|
28,488,082
|
12/20/2046-
06/20/2052
|
3.000%
|
|
94,391,105
|
81,645,398
|
01/20/2051
|
2.000%
|
|
7,947,757
|
6,373,325
|
01/20/2051-
04/20/2052
|
2.500%
|
|
38,437,903
|
32,056,647
|
01/20/2053-
04/20/2053
|
5.500%
|
|
40,982,165
|
40,680,690
|
CMO Series 2005-45 Class ZA
|
||||
06/16/2035
|
6.000%
|
|
1,706,313
|
1,702,253
|
CMO Series 2009-104 Class YD
|
||||
11/20/2039
|
5.000%
|
|
1,210,893
|
1,199,493
|
CMO Series 2009-55 Class LX
|
||||
07/20/2039
|
5.000%
|
|
1,509,431
|
1,486,618
|
CMO Series 2009-67 Class DB
|
||||
08/20/2039
|
5.000%
|
|
1,645,379
|
1,622,769
|
CMO Series 2010-108 Class WL
|
||||
04/16/2040
|
4.000%
|
|
1,672,083
|
1,590,570
|
CMO Series 2010-120 Class AY
|
||||
09/20/2040
|
4.000%
|
|
1,542,775
|
1,454,139
|
CMO Series 2010-135 Class PE
|
||||
10/16/2040
|
4.000%
|
|
3,537,964
|
3,367,351
|
CMO Series 2014-3 Class EP
|
||||
02/16/2043
|
2.750%
|
|
4,442,855
|
4,084,965
|
CMO Series 2016-111 Class PB
|
||||
08/20/2046
|
2.500%
|
|
1,097,000
|
766,031
|
CMO Series 2018-1 Class LZ
|
||||
01/20/2048
|
3.000%
|
|
4,476,663
|
3,375,274
|
CMO Series 2018-115 Class DE
|
||||
08/20/2048
|
3.500%
|
|
1,390,496
|
1,227,131
|
CMO Series 2018-147 Class BZ
|
||||
10/20/2048
|
3.500%
|
|
4,169,662
|
3,773,109
|
Multi-Manager Total Return Bond Strategies Fund | 2024
65
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CMO Series 2018-53 Class AL
|
||||
11/20/2045
|
3.500%
|
|
733,755
|
695,587
|
Government National Mortgage Association(b)
|
||||
1-year CMT + 1.137%
03/20/2066
|
6.127%
|
|
54,022
|
54,069
|
1-year CMT + 0.755%
04/20/2066
|
5.733%
|
|
156,247
|
156,031
|
CMO Series 2006-37 Class AS
|
||||
-6.0 x 1-month Term SOFR +
38.973%
Cap 39.660%
07/20/2036
|
7.053%
|
|
447,335
|
539,780
|
CMO Series 2010-H03 Class FA
|
||||
1-month Term SOFR + 0.664%
Floor 0.550%, Cap 10.690%
03/20/2060
|
5.997%
|
|
177,719
|
177,564
|
CMO Series 2010-H26 Class LF
|
||||
1-month Term SOFR + 0.464%
Floor 0.350%, Cap 13.898%
08/20/2058
|
5.789%
|
|
61,970
|
61,719
|
CMO Series 2011-114 Class KF
|
||||
1-month Term SOFR + 0.564%
Floor 0.450%, Cap 6.500%
03/20/2041
|
5.885%
|
|
17,377
|
17,360
|
CMO Series 2012-H20 Class BA
|
||||
1-month Term SOFR + 0.814%
Floor 0.700%, Cap 10.500%
09/20/2062
|
5.999%
|
|
28,598
|
28,175
|
CMO Series 2012-H21 Class CF
|
||||
1-month Term SOFR + 0.814%
Floor 0.700%
05/20/2061
|
6.139%
|
|
1,700
|
1,686
|
CMO Series 2012-H21 Class DF
|
||||
1-month Term SOFR + 0.764%
Floor 0.650%
05/20/2061
|
6.089%
|
|
1,515
|
1,503
|
CMO Series 2012-H25 Class FA
|
||||
1-month Term SOFR + 0.814%
Floor 0.700%
12/20/2061
|
6.139%
|
|
26,733
|
26,352
|
CMO Series 2013-H02 Class FD
|
||||
1-month Term SOFR + 0.454%
Floor 0.340%, Cap 10.500%
12/20/2062
|
5.779%
|
|
60,195
|
59,950
|
CMO Series 2013-H05 Class FB
|
||||
1-month Term SOFR + 0.514%
Floor 0.400%
02/20/2062
|
5.828%
|
|
1,910
|
1,883
|
Residential Mortgage-Backed Securities - Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CMO Series 2013-H08 Class BF
|
||||
1-month Term SOFR + 0.514%
Floor 0.400%, Cap 10.000%
03/20/2063
|
5.839%
|
|
501,318
|
497,965
|
CMO Series 2013-H14 Class FD
|
||||
1-month Term SOFR + 0.584%
Floor 0.470%, Cap 11.000%
06/20/2063
|
5.909%
|
|
259,910
|
259,375
|
CMO Series 2013-H17 Class FA
|
||||
1-month Term SOFR + 0.664%
Floor 0.550%, Cap 11.000%
07/20/2063
|
5.989%
|
|
48,409
|
48,370
|
CMO Series 2013-H18 Class EA
|
||||
1-month Term SOFR + 0.614%
Floor 0.500%, Cap 10.190%
07/20/2063
|
5.939%
|
|
43,843
|
43,785
|
CMO Series 2013-H19 Class FC
|
||||
1-month Term SOFR + 0.714%
Floor 0.600%, Cap 11.000%
08/20/2063
|
6.039%
|
|
328,435
|
328,339
|
CMO Series 2015-H26 Class FC
|
||||
1-month Term SOFR + 0.714%
Floor 0.600%, Cap 11.000%
08/20/2065
|
6.039%
|
|
26,783
|
26,777
|
CMO Series 2017-H03 Class FB
|
||||
1-month Term SOFR + 0.764%
Floor 0.650%, Cap 15.000%
06/20/2066
|
6.089%
|
|
619,772
|
619,904
|
CMO Series 2018-H04 Class FM
|
||||
1-month Term SOFR + 0.414%
Floor 0.300%, Cap 11.000%
03/20/2068
|
5.739%
|
|
1,190,725
|
1,184,982
|
CMO Series 2019-H01 Class FL
|
||||
1-month Term SOFR + 0.564%
Floor 0.450%, Cap 11.000%
12/20/2068
|
5.889%
|
|
258,133
|
257,956
|
CMO Series 2019-H10 Class FM
|
||||
1-month Term SOFR + 0.514%
Floor 0.400%, Cap 11.000%
05/20/2069
|
5.839%
|
|
1,004,362
|
1,001,117
|
CMO Series 2020-H13 Class FM
|
||||
1-month Term SOFR + 0.514%
Floor 0.400%, Cap 11.000%
08/20/2070
|
5.839%
|
|
1,522,392
|
1,505,648
|
CMO Series 2022-201 Class FB
|
||||
30-day Average SOFR +
1.250%
Floor 1.250%, Cap 6.500%
11/20/2052
|
6.500%
|
|
3,312,325
|
3,296,438
|
66
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CMO Series 2022-H01 Class FE
|
||||
1-month Term SOFR + 0.614%
Floor 0.500%, Cap 99.000%
01/20/2072
|
5.823%
|
|
9,584,517
|
9,512,485
|
CMO Series 2022-H09 Class EF
|
||||
30-day Average SOFR +
0.450%
Floor 0.450%, Cap 11.000%
04/20/2072
|
5.773%
|
|
3,707,502
|
3,683,994
|
CMO Series 2022-H09 Class GF
|
||||
30-day Average SOFR +
0.700%
Floor 0.700%
04/20/2072
|
6.023%
|
|
2,869,385
|
2,843,204
|
CMO Series 2022-H22 Class FE
|
||||
30-day Average SOFR +
1.040%
Floor 1.040%, Cap 7.500%
09/20/2072
|
6.363%
|
|
2,335,627
|
2,340,264
|
Government National Mortgage Association(b),(g)
|
||||
CMO Series 2010-31 Class ES
|
||||
-1.0 x 1-month Term SOFR +
4.886%
Cap 5.000%
03/20/2040
|
0.000%
|
|
6,134,015
|
313,938
|
CMO Series 2011-13 Class S
|
||||
-1.0 x 1-month Term SOFR +
5.836%
Cap 5.950%
01/16/2041
|
0.516%
|
|
3,969,928
|
248,422
|
CMO Series 2011-30 Class SB
|
||||
-1.0 x 1-month Term SOFR +
6.486%
Cap 6.600%
02/20/2041
|
1.165%
|
|
1,922,735
|
150,263
|
CMO Series 2015-155 Class SA
|
||||
-1.0 x 1-month Term SOFR +
5.586%
Cap 5.700%
10/20/2045
|
0.265%
|
|
2,627,683
|
218,465
|
CMO Series 2017-93 Class CS
|
||||
-1.0 x 1-month Term SOFR +
6.086%
Cap 6.200%
06/20/2047
|
0.765%
|
|
8,101,200
|
886,788
|
CMO Series 2019-123 Class SP
|
||||
-1.0 x 1-month Term SOFR +
5.986%
Cap 6.100%
10/20/2049
|
0.665%
|
|
11,204,024
|
713,321
|
Residential Mortgage-Backed Securities - Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CMO Series 2019-13 Class SA
|
||||
-1.0 x 1-month Term SOFR +
5.986%
Cap 6.100%
01/20/2049
|
0.665%
|
|
8,467,720
|
775,103
|
CMO Series 2019-30 Class SH
|
||||
-1.0 x 1-month Term SOFR +
5.936%
Cap 6.050%
03/20/2049
|
0.615%
|
|
12,161,353
|
1,063,896
|
CMO Series 2019-6 Class SJ
|
||||
-1.0 x 1-month Term SOFR +
5.986%
Cap 6.100%
01/20/2049
|
0.665%
|
|
7,118,141
|
472,696
|
CMO Series 2019-86 Class SG
|
||||
-1.0 x 1-month Term SOFR +
5.486%
Cap 5.600%
07/20/2049
|
0.165%
|
|
3,358,696
|
157,658
|
Government National Mortgage Association(d)
|
||||
CMO Series 2010-H17 Class XQ
|
||||
07/20/2060
|
5.139%
|
|
1,312
|
1,319
|
CMO Series 2017-H04 Class DA
|
||||
12/20/2066
|
4.342%
|
|
370
|
361
|
Series 2003-72 Class Z
|
||||
11/16/2045
|
5.419%
|
|
244,460
|
240,913
|
Government National Mortgage Association(g)
|
||||
CMO Series 2013-3 Class IT
|
||||
01/20/2043
|
5.000%
|
|
2,893,068
|
580,596
|
CMO Series 2016-88 Class PI
|
||||
07/20/2046
|
4.000%
|
|
5,449,877
|
938,561
|
CMO Series 2016-89 Class HI
|
||||
07/20/2046
|
3.500%
|
|
2,078,169
|
348,769
|
CMO Series 2017-101 Class AI
|
||||
07/20/2047
|
4.000%
|
|
3,615,937
|
621,250
|
CMO Series 2017-52 Class AI
|
||||
04/20/2047
|
6.000%
|
|
2,598,509
|
405,707
|
CMO Series 2017-68 Class TI
|
||||
05/20/2047
|
5.500%
|
|
1,063,691
|
162,068
|
CMO Series 2017-88 Class JI
|
||||
09/20/2046
|
5.500%
|
|
1,697,219
|
306,861
|
CMO Series 2019-110 Class PI
|
||||
09/20/2049
|
3.500%
|
|
20,809,782
|
3,790,899
|
CMO Series 2019-99 Class AI
|
||||
08/16/2049
|
4.000%
|
|
4,988,726
|
1,045,059
|
CMO Series 2020-129 Class GI
|
||||
09/20/2050
|
3.000%
|
|
25,424,401
|
4,195,540
|
Multi-Manager Total Return Bond Strategies Fund | 2024
67
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CMO Series 2020-134 Class AI
|
||||
09/20/2050
|
3.000%
|
|
9,128,471
|
1,438,853
|
CMO Series 2020-34 Class IO
|
||||
12/20/2039
|
5.000%
|
|
7,742,878
|
1,478,301
|
CMO Series 2021-57 Class IA
|
||||
12/20/2050
|
2.500%
|
|
3,106,419
|
397,835
|
CMO Series 2021-7 Class BI
|
||||
01/20/2051
|
2.000%
|
|
40,193,929
|
4,608,383
|
CMO Series 2021-7 Class QI
|
||||
01/20/2051
|
2.500%
|
|
7,910,627
|
1,102,638
|
CMO Series 2021-81 Class IM
|
||||
05/20/2051
|
3.500%
|
|
3,594,238
|
667,788
|
CMO Series 2022-125 Class PI
|
||||
07/20/2052
|
5.000%
|
|
10,247,435
|
1,836,160
|
CMO Series 2023-70 Class JI
|
||||
06/20/2052
|
5.500%
|
|
2,528,910
|
481,180
|
Government National Mortgage Association(d),(g)
|
||||
CMO Series 2014-150 Class IO
|
||||
07/16/2056
|
0.404%
|
|
9,761,062
|
183,133
|
CMO Series 2014-H05 Class AI
|
||||
02/20/2064
|
1.437%
|
|
4,050,321
|
137,942
|
CMO Series 2014-H14 Class BI
|
||||
06/20/2064
|
1.645%
|
|
4,406,080
|
113,452
|
CMO Series 2014-H15 Class HI
|
||||
05/20/2064
|
1.421%
|
|
1,958,487
|
74,949
|
CMO Series 2014-H20 Class HI
|
||||
10/20/2064
|
1.340%
|
|
841,128
|
48,616
|
CMO Series 2015-163 Class IO
|
||||
12/16/2057
|
0.736%
|
|
1,561,085
|
55,273
|
CMO Series 2015-189 Class IG
|
||||
01/16/2057
|
0.609%
|
|
5,974,954
|
164,309
|
CMO Series 2015-30 Class IO
|
||||
07/16/2056
|
0.690%
|
|
2,442,599
|
87,412
|
CMO Series 2015-32 Class IO
|
||||
09/16/2049
|
0.576%
|
|
3,630,232
|
77,480
|
CMO Series 2015-73 Class IO
|
||||
11/16/2055
|
0.441%
|
|
1,286,554
|
18,039
|
CMO Series 2015-9 Class IO
|
||||
02/16/2049
|
0.516%
|
|
6,505,580
|
117,190
|
CMO Series 2015-H22 Class BI
|
||||
09/20/2065
|
1.777%
|
|
1,355,107
|
53,473
|
CMO Series 2016-72 Class IO
|
||||
12/16/2055
|
0.763%
|
|
6,531,649
|
198,445
|
CMO Series 2020-171 Class IO
|
||||
10/16/2060
|
0.957%
|
|
5,934,654
|
401,757
|
Residential Mortgage-Backed Securities - Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CMO Series 2020-32 Class IA
|
||||
03/16/2047
|
3.992%
|
|
9,072,258
|
1,605,499
|
CMO Series 2021-33 Class IO
|
||||
10/16/2062
|
0.842%
|
|
7,727,642
|
485,841
|
CMO Series 2021-40 Class IO
|
||||
02/16/2063
|
0.821%
|
|
6,729,826
|
409,938
|
CMO Series 2021-H03 Class IO
|
||||
04/20/2070
|
0.000%
|
|
11,412,075
|
3,545
|
CMO Series 2021-H08 Class IA
|
||||
01/20/2068
|
0.008%
|
|
1,618,785
|
3,590
|
Government National Mortgage Association TBA(c)
|
||||
06/20/2054
|
2.000%
|
|
20,000,000
|
16,029,420
|
06/20/2054
|
2.500%
|
|
54,800,000
|
45,672,651
|
06/20/2054
|
4.500%
|
|
58,175,000
|
55,001,290
|
06/20/2054
|
5.000%
|
|
54,440,000
|
52,835,231
|
06/20/2054-
07/22/2054
|
5.500%
|
|
37,775,000
|
37,447,039
|
Seasoned Credit Risk Transfer Trust
|
||||
CMO Series 2018-2 Class MV (FHLMC)
|
||||
11/25/2057
|
3.500%
|
|
3,833,495
|
3,432,948
|
Uniform Mortgage-Backed Security TBA(c)
|
||||
06/13/2054
|
2.000%
|
|
85,900,000
|
66,255,938
|
06/13/2054-
07/15/2054
|
2.500%
|
|
50,000,000
|
40,383,768
|
06/13/2054
|
3.000%
|
|
51,300,000
|
43,131,581
|
06/13/2054-
07/15/2054
|
5.500%
|
|
31,625,000
|
31,108,443
|
07/15/2054
|
3.500%
|
|
79,700,000
|
69,900,974
|
07/15/2054
|
4.000%
|
|
146,750,000
|
133,220,266
|
07/15/2054
|
4.500%
|
|
83,075,000
|
77,796,339
|
07/15/2054
|
5.000%
|
|
12,825,000
|
12,341,331
|
07/15/2054
|
6.000%
|
|
37,701,000
|
37,738,051
|
07/15/2054
|
6.500%
|
|
3,690,000
|
3,748,105
|
Total Residential Mortgage-Backed Securities - Agency
(Cost $3,638,487,617)
|
3,430,436,539
|
|||
|
||||
Residential Mortgage-Backed Securities - Non-Agency(r) 3.7%
|
||||
|
|
|
|
|
ACE Securities Corp. Home Equity Loan Trust(b)
|
||||
CMO Series 2006-OP1 Class A2D
|
||||
1-month Term SOFR + 0.594%
Floor 0.240%
04/25/2036
|
5.919%
|
|
6,941,903
|
6,168,919
|
Ajax Mortgage Loan Trust(a),(d)
|
||||
CMO Series 2019-F Class A1
|
||||
07/25/2059
|
2.860%
|
|
3,772,685
|
3,534,202
|
Angel Oak Mortgage Trust(a),(d)
|
||||
CMO Series 2022-6 Class A1
|
||||
07/25/2067
|
4.300%
|
|
15,858,081
|
15,272,933
|
Arroyo Mortgage Trust(a)
|
||||
CMO Series 2022-1 Class A3
|
||||
12/25/2056
|
3.650%
|
|
1,000,000
|
771,343
|
68
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency(r) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Banc of America Funding Trust
|
||||
CMO Series 2006-3 Class 4A14
|
||||
03/25/2036
|
6.000%
|
|
317,206
|
247,872
|
CMO Series 2006-3 Class 5A3
|
||||
03/25/2036
|
5.500%
|
|
289,079
|
247,456
|
Banc of America Funding Trust(s)
|
||||
CMO Series 2006-D Class 3A1
|
||||
05/20/2036
|
5.205%
|
|
606,796
|
518,738
|
Banc of America Funding Trust(b)
|
||||
CMO Series 2007-C Class 7A1
|
||||
1-month Term SOFR + 0.534%
Floor 0.420%
05/20/2047
|
5.855%
|
|
1,269,919
|
1,133,647
|
Bayview MSR Opportunity Master Fund Trust(a),(b)
|
||||
CMO Series 2022-2 Class AF
|
||||
30-day Average SOFR +
0.850%
12/25/2051
|
6.174%
|
|
2,118,983
|
1,955,785
|
Bayview MSR Opportunity Master Fund Trust(a),(d)
|
||||
Subordinated CMO Series 2021-5 Class B1
|
||||
11/25/2051
|
3.488%
|
|
943,042
|
779,648
|
Subordinated CMO Series 2022-2 Class B3A
|
||||
12/25/2051
|
3.401%
|
|
1,424,431
|
1,119,495
|
Bellemeade Re Ltd.(a),(b)
|
||||
CMO Series 2021-3A Class M1C
|
||||
30-day Average SOFR +
1.550%
Floor 1.550%
09/25/2031
|
6.874%
|
|
2,200,000
|
2,174,044
|
CMO Series 2022-1 Class M1C
|
||||
30-day Average SOFR +
3.700%
Floor 3.700%
01/26/2032
|
9.024%
|
|
2,500,000
|
2,551,116
|
BRAVO Residential Funding Trust(a),(d)
|
||||
CMO Series 2021-B Class A1
|
||||
04/01/2069
|
5.115%
|
|
7,216,215
|
7,074,648
|
Carrington Mortgage Loan Trust(b)
|
||||
CMO Series 2006-NC3 Class A3
|
||||
1-month Term SOFR + 0.264%
Floor 0.150%, Cap 12.500%
08/25/2036
|
5.739%
|
|
1,172,591
|
1,112,218
|
CMO Series 2006-NC3 Class A4
|
||||
1-month Term SOFR + 0.354%
Floor 0.240%, Cap 12.500%
08/25/2036
|
5.919%
|
|
9,300,000
|
7,122,789
|
Chase Home Lending Mortgage Trust(a),(d),(e),(f)
|
||||
CMO Series 2024-RPL2 Class A1A
|
||||
08/25/2064
|
3.250%
|
|
1,250,000
|
1,078,926
|
Residential Mortgage-Backed Securities - Non-Agency(r) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Chase Mortgage Finance Corp.(a),(d)
|
||||
Subordinated CMO Series 2019-1 Class B2
|
||||
03/25/2050
|
3.884%
|
|
901,591
|
775,059
|
Subordinated Series 2016-SH1 Class M2
|
||||
04/25/2045
|
3.750%
|
|
177,547
|
158,050
|
CIM Group(a),(d)
|
||||
CMO Series 2020-R7 Class A1A
|
||||
12/27/2061
|
2.250%
|
|
5,387,861
|
4,671,840
|
CIM Trust(a),(d)
|
||||
CMO Series 2019-J2 Class B1
|
||||
10/25/2049
|
3.768%
|
|
798,364
|
692,790
|
CMO Series 2019-R5 Class M2
|
||||
09/25/2059
|
3.250%
|
|
1,100,000
|
967,089
|
CMO Series 2020-R6 Class A1A
|
||||
12/25/2060
|
2.250%
|
|
3,576,104
|
3,098,079
|
CMO Series 2021-NR2 Class A1
|
||||
07/25/2059
|
2.568%
|
|
3,669,814
|
3,626,266
|
CMO Series 2021-R3 Class A1
|
||||
06/25/2057
|
1.951%
|
|
4,586,526
|
3,998,781
|
CMO Series 2021-R3 Class A1A
|
||||
06/25/2057
|
1.951%
|
|
6,667,189
|
5,865,184
|
CMO Series 2022-I1 Class A1
|
||||
02/25/2067
|
4.350%
|
|
5,225,244
|
5,046,312
|
CMO Series 2023-NR2 Class A1
|
||||
06/25/2062
|
6.000%
|
|
5,345,367
|
5,213,934
|
CMO Series 2023-R1 Class A1A
|
||||
04/25/2062
|
5.400%
|
|
11,552,354
|
10,995,077
|
CMO Series 2023-R3 Class A1A
|
||||
01/25/2063
|
4.500%
|
|
9,939,456
|
9,093,277
|
Citicorp Mortgage Securities Trust
|
||||
CMO Series 2007-8 Class 1A3
|
||||
09/25/2037
|
6.000%
|
|
176,369
|
169,637
|
Citigroup Mortgage Loan Trust(a),(d)
|
||||
CMO Series 2022-A Class A1
|
||||
09/25/2062
|
6.170%
|
|
2,069,412
|
2,053,567
|
Citigroup Mortgage Loan Trust, Inc.(a),(d)
|
||||
Subordinated CMO Series 2021-J2 Class B3W
|
||||
07/25/2051
|
2.769%
|
|
458,623
|
362,478
|
Connecticut Avenue Securities(a),(b)
|
||||
CMO Series 2023-R07 Class 2M2
|
||||
30-day Average SOFR +
3.250%
09/25/2043
|
8.574%
|
|
1,000,000
|
1,047,114
|
Connecticut Avenue Securities Trust(a),(b)
|
||||
CMO Series 2019-R01 Class 2M2
|
||||
30-day Average SOFR +
2.564%
07/25/2031
|
7.888%
|
|
36,641
|
36,686
|
Multi-Manager Total Return Bond Strategies Fund | 2024
69
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency(r) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CMO Series 2020-SBT1 Class 1M2
|
||||
30-day Average SOFR +
3.764%
02/25/2040
|
9.088%
|
|
1,500,000
|
1,597,204
|
CMO Series 2020-SBT1 Class 2M2
|
||||
30-day Average SOFR +
3.764%
02/25/2040
|
9.088%
|
|
3,500,000
|
3,724,063
|
CMO Series 2022-R07 Class 1M2
|
||||
30-day Average SOFR +
4.650%
06/25/2042
|
9.974%
|
|
2,700,000
|
2,929,280
|
CMO Series 2023-R01 Class 1M2
|
||||
30-day Average SOFR +
3.750%
12/25/2042
|
9.074%
|
|
3,750,000
|
4,017,075
|
CMO Series 2024-R02 Class 1M2
|
||||
30-day Average SOFR +
1.800%
Floor 1.800%
02/25/2044
|
7.124%
|
|
1,500,000
|
1,510,461
|
CMO Series 2024-R04 Class 1B1
|
||||
30-day Average SOFR +
2.200%
05/25/2044
|
7.520%
|
|
2,000,000
|
2,003,750
|
CMO Series 2024-R04 Class 1M1
|
||||
30-day Average SOFR +
1.100%
05/25/2044
|
6.424%
|
|
6,243,000
|
6,249,829
|
Subordinated CMO Series 2019-R05 Class 1B1
|
||||
30-day Average SOFR +
4.214%
07/25/2039
|
9.538%
|
|
1,420,416
|
1,488,327
|
Subordinated CMO Series 2020-R02 Class 2B1
|
||||
30-day Average SOFR +
3.114%
01/25/2040
|
8.438%
|
|
5,250,000
|
5,410,807
|
Subordinated CMO Series 2022-R02 Class 2B1
|
||||
30-day Average SOFR +
4.500%
01/25/2042
|
9.824%
|
|
1,000,000
|
1,052,973
|
Subordinated CMO Series 2022-R04 Class 1B1
|
||||
30-day Average SOFR +
5.250%
03/25/2042
|
10.574%
|
|
750,000
|
815,078
|
Subordinated CMO Series 2024-R03 Class 2B1
|
||||
30-day Average SOFR +
2.800%
03/25/2044
|
8.124%
|
|
1,000,000
|
1,007,660
|
Residential Mortgage-Backed Securities - Non-Agency(r) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Countrywide Home Loan Mortgage Pass-Through Trust(d)
|
||||
CMO Series 2007-HY5 Class 1A1
|
||||
09/25/2047
|
4.752%
|
|
287,413
|
212,835
|
Credit Suisse Mortgage Capital Trust(a),(d)
|
||||
CMO Series 2021-RP11 Class PT
|
||||
10/25/2061
|
3.755%
|
|
7,312,008
|
5,773,526
|
Credit Suisse Mortgage Trust(a),(d)
|
||||
CMO Series 2022-ATH2 Class A1
|
||||
05/25/2067
|
4.547%
|
|
6,002,965
|
5,672,257
|
CMO Series 2022-ATH3 Class A3
|
||||
08/25/2067
|
6.567%
|
|
1,241,087
|
1,231,698
|
CMO Series 2022-JR1 Class A1
|
||||
10/25/2066
|
4.267%
|
|
3,307,413
|
3,252,321
|
Credit-Based Asset Servicing & Securitization LLC(d)
|
||||
CMO Series 2007-CB1 Class AF3
|
||||
01/25/2037
|
5.737%
|
|
3,304,931
|
943,192
|
CSMC Trust(a),(d)
|
||||
CMO Series 2018-RPL9 Class A
|
||||
09/25/2057
|
3.850%
|
|
4,657,966
|
4,355,864
|
CMO Series 2020-RPL2 Class A12
|
||||
02/25/2060
|
3.614%
|
|
3,039,004
|
3,083,161
|
CMO Series 2020-RPL6 Class A1
|
||||
03/25/2059
|
3.420%
|
|
2,280,396
|
2,270,604
|
CMO Series 2021-NQM6 Class A1
|
||||
07/25/2066
|
1.174%
|
|
7,284,001
|
6,003,680
|
CMO Series 2022-NQM1 Class A1
|
||||
11/25/2066
|
2.265%
|
|
11,873,127
|
10,326,859
|
CMO Series 2022-RPL4 Class A1
|
||||
04/25/2062
|
3.905%
|
|
2,448,451
|
2,280,824
|
CSMCM Trust(a)
|
||||
CMO Series 2021-RP11 Class CERT
|
||||
10/27/2061
|
3.778%
|
|
302,284
|
234,223
|
CSMCM Trust Certificates(a),(d)
|
||||
CMO Series 2018-RPL4 Class CERT
|
||||
07/25/2050
|
3.735%
|
|
1,350,617
|
1,194,665
|
Deephaven Residential Mortgage Trust(a),(d)
|
||||
CMO Series 2021-4 Class M1
|
||||
11/25/2066
|
3.257%
|
|
2,000,000
|
1,381,914
|
Domino’s Pizza Master Issuer LLC(a)
|
||||
CMO Series 2015-1A Class A2II
|
||||
10/25/2045
|
4.474%
|
|
1,855,000
|
1,815,993
|
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
|
6.015%
|
|
1,047,861
|
903,564
|
70
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency(r) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CMO Series 2006-AR2 Class 2A1A
|
||||
1-month Term SOFR + 0.314%
Floor 0.200%
10/19/2036
|
5.635%
|
|
1,766,777
|
1,138,940
|
First Franklin Mortgage Loan Trust(b)
|
||||
CMO Series 2006-FF18 Class A2D
|
||||
1-month Term SOFR + 0.324%
Floor 0.210%
12/25/2037
|
5.649%
|
|
1,147,546
|
1,008,961
|
CMO Series 2007-FF2 Class A2B
|
||||
1-month Term SOFR + 0.214%
Floor 0.100%
03/25/2037
|
5.539%
|
|
3,129,456
|
1,485,877
|
First Horizon Mortgage Pass-Through Trust(d)
|
||||
CMO Series 2007-AR1 Class 1A1
|
||||
05/25/2037
|
5.164%
|
|
197,243
|
82,618
|
Flagstar Mortgage Trust(a),(d)
|
||||
Subordinated CMO Series 2018-5 Class B3
|
||||
09/25/2048
|
4.456%
|
|
861,072
|
776,734
|
Subordinated CMO Series 2019-2 Class B1
|
||||
12/25/2049
|
3.999%
|
|
843,867
|
736,359
|
Subordinated CMO Series 2019-2 Class B2
|
||||
12/25/2049
|
3.999%
|
|
902,531
|
787,055
|
Subordinated CMO Series 2021-12 Class B2
|
||||
11/25/2051
|
2.982%
|
|
1,224,612
|
950,365
|
Freddie Mac Seasoned Credit Risk Transfer Trust(d)
|
||||
CMO Series 2018-3 Class MA
|
||||
08/25/2057
|
3.500%
|
|
5,807,506
|
5,448,994
|
Freddie Mac STACR Remic Trust(a),(b)
|
||||
CMO Series 2022-DNA2 Class M2
|
||||
30-day Average SOFR +
3.750%
02/25/2042
|
9.074%
|
|
4,500,000
|
4,727,717
|
Freddie Mac STACR REMIC Trust(a),(b)
|
||||
CMO Series 2021-DNA5 Class M2
|
||||
30-day Average SOFR +
1.650%
01/25/2034
|
6.974%
|
|
866,379
|
871,160
|
CMO Series 2021-DNA6 Class M2
|
||||
30-day Average SOFR +
1.500%
10/25/2041
|
6.824%
|
|
11,743,726
|
11,804,324
|
CMO Series 2021-HQA1 Class B1
|
||||
30-day Average SOFR +
3.000%
08/25/2033
|
8.324%
|
|
6,500,000
|
7,076,310
|
CMO Series 2021-HQA3 Class M2
|
||||
30-day Average SOFR +
2.100%
09/25/2041
|
7.424%
|
|
2,410,000
|
2,421,912
|
Residential Mortgage-Backed Securities - Non-Agency(r) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CMO Series 2021-HQA4 Class M2
|
||||
30-day Average SOFR +
2.350%
12/25/2041
|
7.674%
|
|
3,000,000
|
3,028,385
|
CMO Series 2022-DNA1 Class M2
|
||||
30-day Average SOFR +
2.500%
01/25/2042
|
7.824%
|
|
4,875,000
|
4,958,090
|
CMO Series 2022-DNA3 Class M1B
|
||||
30-day Average SOFR +
2.900%
04/25/2042
|
8.224%
|
|
4,140,000
|
4,299,802
|
CMO Series 2022-DNA3 Class M2
|
||||
30-day Average SOFR +
4.350%
04/25/2042
|
9.674%
|
|
5,500,000
|
5,884,667
|
CMO Series 2022-HQA3 Class M2
|
||||
30-day Average SOFR +
5.350%
08/25/2042
|
10.674%
|
|
1,500,000
|
1,637,557
|
Subordinated CMO Series 2021-DNA3 Class B1
|
||||
30-day Average SOFR +
3.500%
10/25/2033
|
8.824%
|
|
2,025,000
|
2,271,773
|
Subordinated CMO Series 2021-DNA6 Class B1
|
||||
30-day Average SOFR +
3.400%
10/25/2041
|
8.724%
|
|
2,000,000
|
2,074,383
|
Subordinated CMO Series 2021-DNA7 Class M2
|
||||
30-day Average SOFR +
1.800%
11/25/2041
|
7.124%
|
|
960,000
|
968,465
|
Subordinated CMO Series 2021-HQA3 Class B1
|
||||
30-day Average SOFR +
3.350%
09/25/2041
|
8.674%
|
|
620,000
|
639,058
|
Subordinated CMO Series 2022-DNA6 Class M2
|
||||
30-day Average SOFR +
5.750%
09/25/2042
|
11.074%
|
|
6,000,000
|
6,706,925
|
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(b)
|
||||
CMO Series 2022-DNA2 Class M1B
|
||||
30-day Average SOFR +
2.400%
02/25/2042
|
7.724%
|
|
5,000,000
|
5,121,587
|
Subordinated CMO Series 2020-HQA5 Class B1
|
||||
30-day Average SOFR +
4.000%
11/25/2050
|
9.324%
|
|
1,805,000
|
2,028,057
|
Multi-Manager Total Return Bond Strategies Fund | 2024
71
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency(r) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Subordinated CMO Series 2021-DNA7 Class B1
|
||||
30-day Average SOFR +
3.650%
11/25/2041
|
8.974%
|
|
710,000
|
739,643
|
Subordinated CMO Series 2022-DNA2 Class B1
|
||||
30-day Average SOFR +
4.750%
02/25/2042
|
10.074%
|
|
2,000,000
|
2,131,761
|
Galton Funding Mortgage Trust(a),(d)
|
||||
CMO Series 2019-1 Class B1
|
||||
02/25/2059
|
4.250%
|
|
1,561,785
|
1,436,422
|
Subordinated CMO Series 2018-2 Class B2
|
||||
10/25/2058
|
4.750%
|
|
455,924
|
427,902
|
Subordinated CMO Series 2019-1 Class B2
|
||||
02/25/2059
|
4.500%
|
|
877,060
|
814,547
|
GCAT LLC(a),(d)
|
||||
CMO Series 2021-1 Class A1
|
||||
11/25/2049
|
2.487%
|
|
5,108,719
|
4,933,948
|
Genworth Mortgage Insurance Corp.(a),(b)
|
||||
CMO Series 2021-3 Class M1B
|
||||
30-day Average SOFR +
2.900%
Floor 2.900%
02/25/2034
|
8.224%
|
|
970,260
|
978,155
|
GS Mortgage-Backed Securities Corp. Trust(a),(d)
|
||||
CMO Series 2019-PJ3 Class A1
|
||||
03/25/2050
|
3.500%
|
|
16,350
|
14,516
|
GS Mortgage-Backed Securities Trust(a),(d)
|
||||
CMO Series 2021-PJ10 Class A8
|
||||
03/25/2052
|
2.500%
|
|
787,993
|
670,895
|
CMO Series 2023-PJ4 Class A3
|
||||
01/25/2054
|
6.000%
|
|
2,248,636
|
2,226,765
|
Subordinated CMO Series 2021-GR3 Class B3
|
||||
04/25/2052
|
3.381%
|
|
970,707
|
765,588
|
GS Mortgage-Backed Securities Trust(a),(b)
|
||||
CMO Series 2024-HE1 Class A1
|
||||
30-day Average SOFR +
1.600%
Floor 1.600%
07/25/2054
|
6.924%
|
|
5,600,000
|
5,600,000
|
GSAMP Trust(b)
|
||||
CMO Series 2004-OPT Class M1
|
||||
1-month Term SOFR + 0.984%
Floor 0.580%
11/25/2034
|
6.309%
|
|
777,177
|
723,540
|
GSR Mortgage Loan Trust(d)
|
||||
CMO Series 2006-AR2 Class 2A1
|
||||
04/25/2036
|
4.358%
|
|
912,989
|
588,684
|
Residential Mortgage-Backed Securities - Non-Agency(r) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
HarborView Mortgage Loan Trust(b)
|
||||
CMO Series 2006-10 Class 1A1A
|
||||
1-month Term SOFR + 0.314%
Floor 0.200%
11/19/2036
|
5.635%
|
|
5,276,908
|
4,124,536
|
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
|
5.999%
|
|
2,192,309
|
2,064,387
|
JPMorgan Mortgage Trust(a),(d)
|
||||
CMO Series 2018-5 Class A13
|
||||
10/25/2048
|
3.500%
|
|
853,997
|
732,385
|
CMO Series 2018-6 Class 1A10
|
||||
12/25/2048
|
3.500%
|
|
129,631
|
111,858
|
CMO Series 2019-1 Class A3
|
||||
05/25/2049
|
4.000%
|
|
215,977
|
194,229
|
CMO Series 2019-2 Class A3
|
||||
08/25/2049
|
4.000%
|
|
63,780
|
58,091
|
CMO Series 2019-5 Class A3
|
||||
11/25/2049
|
4.000%
|
|
160,904
|
144,530
|
CMO Series 2019-8 Class A15
|
||||
03/25/2050
|
3.500%
|
|
123,648
|
107,098
|
CMO Series 2019-HYB1 Class B1
|
||||
10/25/2049
|
4.895%
|
|
931,537
|
894,555
|
CMO Series 2019-INV2 Class A3
|
||||
02/25/2050
|
3.500%
|
|
118,875
|
103,017
|
CMO Series 2019-LTV3 Class B3
|
||||
03/25/2050
|
4.369%
|
|
1,543,527
|
1,376,928
|
CMO Series 2020-1 Class A15
|
||||
06/25/2050
|
3.500%
|
|
405,789
|
348,413
|
CMO Series 2020-2 Class A15
|
||||
07/25/2050
|
3.500%
|
|
254,503
|
215,389
|
CMO Series 2020-5 Class A15
|
||||
12/25/2050
|
3.000%
|
|
189,753
|
154,273
|
CMO Series 2020-5 Class B1
|
||||
12/25/2050
|
3.572%
|
|
913,190
|
768,530
|
CMO Series 2021-13 Class A3
|
||||
04/25/2052
|
2.500%
|
|
9,391,426
|
7,377,405
|
CMO Series 2024-1 Class A9
|
||||
06/25/2054
|
6.000%
|
|
1,400,305
|
1,379,683
|
Subordinated CMO Series 2017-1 Class B4
|
||||
01/25/2047
|
3.450%
|
|
381,842
|
332,540
|
Subordinated CMO Series 2017-3 Class B1
|
||||
08/25/2047
|
3.765%
|
|
1,140,556
|
1,011,543
|
Subordinated CMO Series 2017-6 Class B2
|
||||
12/25/2048
|
3.778%
|
|
497,840
|
435,072
|
72
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency(r) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Subordinated CMO Series 2018-8 Class B1
|
||||
01/25/2049
|
4.026%
|
|
1,043,152
|
920,293
|
Subordinated CMO Series 2018-8 Class B2
|
||||
01/25/2049
|
4.026%
|
|
869,293
|
764,769
|
Subordinated CMO Series 2019-2 Class B2
|
||||
08/25/2049
|
4.448%
|
|
2,042,971
|
1,847,765
|
Subordinated CMO Series 2019-6 Class B1
|
||||
12/25/2049
|
4.276%
|
|
903,390
|
808,335
|
Subordinated CMO Series 2019-8 Class B3A
|
||||
03/25/2050
|
3.425%
|
|
1,811,796
|
1,494,333
|
Subordinated CMO Series 2019-LTV1 Class B2
|
||||
06/25/2049
|
4.570%
|
|
1,311,800
|
1,211,656
|
Subordinated CMO Series 2019-LTV2 Class B2
|
||||
12/25/2049
|
4.696%
|
|
1,050,138
|
977,457
|
Subordinated CMO Series 2019-LTV2 Class B3
|
||||
12/25/2049
|
4.696%
|
|
875,115
|
805,738
|
Subordinated CMO Series 2020-8 Class B2
|
||||
03/25/2051
|
3.515%
|
|
1,806,777
|
1,520,421
|
Subordinated CMO Series 2021-14 Class B2
|
||||
05/25/2052
|
3.158%
|
|
1,417,149
|
1,126,201
|
Subordinated CMO Series 2023-10 Class B3
|
||||
05/25/2054
|
6.519%
|
|
992,771
|
971,965
|
Subordinated CMO Series 2023-8 Class B3
|
||||
02/25/2054
|
6.348%
|
|
1,980,812
|
1,936,683
|
JPMorgan Mortgage Trust(a),(b)
|
||||
CMO Series 2018-7FRB Class A1
|
||||
1-month Term SOFR + 0.864%
04/25/2046
|
6.149%
|
|
435,343
|
421,027
|
CMO Series 2023-HE2 Class A1
|
||||
30-day Average SOFR +
1.700%
03/25/2054
|
7.023%
|
|
489,637
|
493,267
|
CMO Series 2023-HE3 Class A1
|
||||
30-day Average SOFR +
1.600%
05/25/2054
|
6.923%
|
|
544,895
|
548,287
|
CMO Series 2024-HE2 Class A1
|
||||
30-day Average SOFR +
1.200%
10/25/2054
|
6.524%
|
|
1,000,000
|
1,000,000
|
JPMorgan Mortgage Trust(a)
|
||||
CMO Series 2023-6 Class A2
|
||||
12/26/2053
|
6.000%
|
|
1,160,799
|
1,150,869
|
JPMorgan Trust(a),(d)
|
||||
Subordinated CMO Series 2015-3 Class B3
|
||||
05/25/2045
|
3.596%
|
|
362,577
|
329,621
|
Residential Mortgage-Backed Securities - Non-Agency(r) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Legacy Mortgage Asset Trust(a),(d)
|
||||
CMO Series 2019-PR1 Class A1
|
||||
09/25/2059
|
7.858%
|
|
5,074,067
|
5,053,760
|
CMO Series 2020-GS1 Class A1
|
||||
10/25/2059
|
6.882%
|
|
2,678,614
|
2,679,196
|
CMO Series 2020-GS2 Class A1
|
||||
03/25/2060
|
2.750%
|
|
9,784,979
|
9,841,857
|
CMO Series 2020-SL1 Class A
|
||||
01/25/2060
|
2.734%
|
|
4,228
|
4,226
|
CMO Series 2021-GS1 Class A1
|
||||
10/25/2066
|
4.892%
|
|
888,467
|
870,686
|
CMO Series 2021-SL1 Class A
|
||||
09/25/2060
|
4.991%
|
|
317,719
|
317,402
|
CMO Series 2021-SL2 Class A
|
||||
10/25/2068
|
1.875%
|
|
207,272
|
200,748
|
Lehman XS Trust(b)
|
||||
CMO Series 2005-5N Class 3A1A
|
||||
1-month Term SOFR + 0.414%
Floor 0.300%
11/25/2035
|
5.739%
|
|
234,496
|
230,176
|
CMO Series 2006-2N Class 1A1
|
||||
1-month Term SOFR + 0.634%
Floor 0.260%
02/25/2046
|
5.959%
|
|
1,037,678
|
893,048
|
loanDepot GMSR Master Trust(a),(b)
|
||||
Series 2018-GT1 Class A
|
||||
1-month Term SOFR + 2.914%
Floor 2.800%
10/16/2025
|
7.114%
|
|
1,300,000
|
1,296,146
|
Long Beach Mortgage Loan Trust(b)
|
||||
CMO Series 2006-10 Class 1A
|
||||
1-month Term SOFR + 0.414%
Floor 0.150%
11/25/2036
|
5.739%
|
|
3,317,167
|
2,281,933
|
CMO Series 2006-11 Class 2A2
|
||||
1-month Term SOFR + 0.214%
Floor 0.100%
12/25/2036
|
5.639%
|
|
28,653,309
|
9,837,483
|
MASTR Alternative Loan Trust
|
||||
CMO Series 2004-12 Class 4A1
|
||||
12/25/2034
|
5.500%
|
|
305,178
|
292,440
|
Mello Mortgage Capital Acceptance Trust(a),(d)
|
||||
Subordinated CMO Series 2021-INV1 Class B3
|
||||
06/25/2051
|
2.963%
|
|
1,898,349
|
1,460,428
|
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
|
5.779%
|
|
15,227,682
|
6,118,216
|
Multi-Manager Total Return Bond Strategies Fund | 2024
73
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency(r) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
MortgageIT Trust(b)
|
||||
CMO Series 2005-5 Class A1
|
||||
1-month Term SOFR + 0.634%
Floor 0.260%, Cap 11.500%
12/25/2035
|
5.959%
|
|
369,771
|
353,505
|
New Residential Mortgage Loan Trust(a),(b)
|
||||
CMO Series 2018-4A Class A1S
|
||||
1-month Term SOFR + 0.864%
Floor 0.750%
01/25/2048
|
6.189%
|
|
722,725
|
714,031
|
Oaktown Re VI Ltd.(a),(b)
|
||||
CMO Series 2021-1A Class M1B
|
||||
30-day Average SOFR +
2.050%
Floor 2.050%
10/25/2033
|
7.374%
|
|
259,232
|
259,627
|
CMO Series 2021-1A Class M1C
|
||||
30-day Average SOFR +
3.000%
Floor 3.000%
10/25/2033
|
8.324%
|
|
2,250,000
|
2,285,740
|
Oaktown Re VII Ltd.(a),(b)
|
||||
CMO Series 2021-2 Class M1B
|
||||
30-day Average SOFR +
2.900%
Floor 2.900%
04/25/2034
|
8.230%
|
|
2,200,000
|
2,226,912
|
CMO Series 2021-2 Class M1C
|
||||
30-day Average SOFR +
3.350%
Floor 3.350%
04/25/2034
|
8.680%
|
|
2,000,000
|
2,037,518
|
OBX Trust(a),(d)
|
||||
CMO Series 2019-EXP1 Class 1A3
|
||||
01/25/2059
|
4.000%
|
|
35,868
|
34,364
|
CMO Series 2019-INV2 Class A25
|
||||
05/27/2049
|
4.000%
|
|
82,290
|
73,947
|
Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates(b)
|
||||
CMO Series 2005-4 Class M2
|
||||
1-month Term SOFR + 0.864%
Floor 0.500%
11/25/2035
|
6.189%
|
|
11,526,000
|
11,118,988
|
Preston Ridge Partners Mortgage Trust(a),(d)
|
||||
CMO Series 2022-4 Class A1
|
||||
08/25/2027
|
5.000%
|
|
2,758,231
|
2,689,370
|
Pretium Mortgage Credit Partners LLC(a),(d)
|
||||
CMO Series 2021-RN2 Class A1
|
||||
07/25/2051
|
1.744%
|
|
4,917,043
|
4,744,188
|
CMO Series 2022-RN2 Class A1
|
||||
06/25/2052
|
5.000%
|
|
7,379,423
|
7,189,917
|
Residential Mortgage-Backed Securities - Non-Agency(r) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CMO Series 2022-RN2 Class A2
|
||||
06/25/2052
|
6.500%
|
|
13,780,000
|
13,065,291
|
PRPM LLC(a),(c),(d)
|
||||
CMO Series 2024-RPL2 Class A1
|
||||
05/25/2054
|
3.500%
|
|
1,250,000
|
1,176,324
|
Radnor RE Ltd.(a),(b)
|
||||
CMO Series 2021-1 Class M1C
|
||||
30-day Average SOFR +
2.700%
Floor 2.700%
12/27/2033
|
8.024%
|
|
2,514,355
|
2,532,961
|
RALI Trust(d)
|
||||
CMO Series 2005-QA4 Class A41
|
||||
04/25/2035
|
4.578%
|
|
4,744
|
4,703
|
RALI Trust(d),(g)
|
||||
CMO Series 2006-QS18 Class 1AV
|
||||
12/25/2036
|
0.482%
|
|
17,319,036
|
291,968
|
CMO Series 2007-QS1 Class 2AV
|
||||
01/25/2037
|
0.156%
|
|
19,325,428
|
95,435
|
Rathlin Residential(a),(b)
|
||||
CMO Series 2021-1A Class A
|
||||
1-month EURIBOR + 2.000%
09/27/2075
|
5.862%
|
EUR
|
1,767,762
|
1,897,677
|
RCKT Mortgage Trust(a),(d)
|
||||
Subordinated CMO Series 2019-1 Class B4
|
||||
09/25/2049
|
3.839%
|
|
3,489,127
|
2,858,058
|
RFMSI Trust(d)
|
||||
CMO Series 2005-SA5 Class 1A
|
||||
11/25/2035
|
4.033%
|
|
587,115
|
342,175
|
CMO Series 2006-SA4 Class 2A1
|
||||
11/25/2036
|
5.519%
|
|
132,577
|
108,467
|
Seasoned Credit Risk Transfer Trust(d)
|
||||
CMO Series 2017-3SC Class HT (FHLMC)
|
||||
07/25/2056
|
3.250%
|
|
16,189,553
|
14,068,402
|
Seasoned Credit Risk Transfer Trust
|
||||
CMO Series 2017-4 Class M45T
|
||||
06/25/2057
|
4.500%
|
|
2,186,659
|
2,068,992
|
CMO Series 2018-2 Class HT (FHLMC)
|
||||
11/25/2057
|
3.000%
|
|
1,014,848
|
862,086
|
CMO Series 2018-3 Class HT (FHLMC)
|
||||
08/25/2057
|
3.000%
|
|
343,970
|
290,611
|
CMO Series 2018-4 Class HT (FHLMC)
|
||||
03/25/2058
|
3.000%
|
|
231,481
|
194,940
|
CMO Series 2019-1 Class HT (FHLMC)
|
||||
07/25/2058
|
3.000%
|
|
922,487
|
779,866
|
CMO Series 2019-2 Class HT (FHLMC)
|
||||
08/25/2058
|
3.000%
|
|
170,528
|
144,906
|
CMO Series 2019-3 Class HT (FHLMC)
|
||||
10/25/2058
|
3.000%
|
|
68,943
|
58,480
|
74
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency(r) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Sequoia Mortgage Trust(a),(d)
|
||||
CMO Series 2019-4 Class A19
|
||||
11/25/2049
|
3.500%
|
|
136,669
|
115,987
|
CMO Series 2019-CH2 Class A1
|
||||
08/25/2049
|
4.500%
|
|
21,231
|
20,732
|
CMO Series 2021-5 Class A19
|
||||
07/25/2051
|
2.500%
|
|
630,947
|
488,984
|
CMO Series 2024-3 Class A19
|
||||
04/25/2054
|
6.000%
|
|
3,823,632
|
3,767,323
|
CMO Series 2024-4 Class A19
|
||||
05/25/2054
|
6.000%
|
|
1,482,842
|
1,461,005
|
Subordinated CMO Series 2018-6 Class B1
|
||||
07/25/2048
|
4.162%
|
|
1,058,515
|
958,386
|
Subordinated CMO Series 2019-2 Class B2
|
||||
06/25/2049
|
4.257%
|
|
1,712,132
|
1,548,271
|
Subordinated CMO Series 2020-3 Class B2
|
||||
04/25/2050
|
3.316%
|
|
960,381
|
804,229
|
Subordinated CMO Series 2023-3 Class B3
|
||||
09/25/2053
|
6.226%
|
|
1,357,233
|
1,316,075
|
Starwood Mortgage Residential Trust(a),(d)
|
||||
CMO Series 2021-3 Class A1
|
||||
06/25/2056
|
1.127%
|
|
5,084,064
|
4,116,953
|
Structured Adjustable Rate Mortgage Loan Trust(d)
|
||||
CMO Series 2004-20 Class 1A2
|
||||
01/25/2035
|
5.337%
|
|
314,416
|
285,709
|
CMO Series 2006-5 Class 1A1
|
||||
06/25/2036
|
5.171%
|
|
580,175
|
513,029
|
Toorak Mortgage Corp., Ltd.(a),(d)
|
||||
CMO Series 2022-INV2 Class A1
|
||||
06/25/2057
|
4.350%
|
|
5,348,621
|
5,165,827
|
Towd Point HE Trust(a)
|
||||
CMO Series 2023-1 Class A1A
|
||||
02/25/2063
|
6.875%
|
|
823,612
|
826,555
|
Verus Securitization Trust(a),(d)
|
||||
CMO Series 2022-INV1 Class A3
|
||||
08/25/2067
|
5.830%
|
|
1,653,690
|
1,647,949
|
WaMu Asset-Backed Certificates Trust(b)
|
||||
CMO Series 2007-HE1 Class 2A3
|
||||
1-month Term SOFR + 0.264%
Floor 0.150%
01/25/2037
|
5.739%
|
|
3,153,981
|
1,429,025
|
WaMu Mortgage Pass-Through Certificates Trust(d)
|
||||
CMO Series 2003-AR8 Class A
|
||||
08/25/2033
|
5.519%
|
|
172,901
|
161,717
|
CMO Series 2004-AR4 Class A6
|
||||
06/25/2034
|
5.077%
|
|
1,438,278
|
1,354,244
|
CMO Series 2004-AR7 Class A6
|
||||
07/25/2034
|
4.980%
|
|
651,692
|
601,980
|
Residential Mortgage-Backed Securities - Non-Agency(r) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CMO Series 2007-HY1 Class 3A3
|
||||
02/25/2037
|
4.172%
|
|
2,085,661
|
1,700,053
|
CMO Series 2007-HY3 Class 1A1
|
||||
03/25/2037
|
3.915%
|
|
365,487
|
283,984
|
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
|
6.079%
|
|
505,293
|
484,150
|
CMO Series 2005-AR17 Class A1A1
|
||||
1-month Term SOFR + 0.654%
Floor 0.270%, Cap 10.500%
12/25/2045
|
5.979%
|
|
1,732,414
|
1,554,440
|
CMO Series 2005-AR2 Class 2A1A
|
||||
1-month Term SOFR + 0.734%
Floor 0.310%, Cap 10.500%
01/25/2045
|
6.059%
|
|
426,041
|
414,396
|
CMO Series 2005-AR9 Class A1A
|
||||
1-month Term SOFR + 0.754%
Floor 0.320%, Cap 10.500%
07/25/2045
|
6.079%
|
|
395,747
|
378,640
|
CMO Series 2006-AR4 Class 1A1A
|
||||
1-year MTA + 0.940%
Floor 0.940%
05/25/2046
|
6.093%
|
|
1,053,880
|
927,810
|
CMO Series 2006-AR5 Class A12A
|
||||
1-year MTA + 0.980%
Floor 0.980%
06/25/2046
|
6.133%
|
|
319,520
|
280,310
|
Wells Fargo Mortgage-Backed Securities Trust(a),(d)
|
||||
CMO Series 2019-1 Class A1
|
||||
11/25/2048
|
3.933%
|
|
32,873
|
30,167
|
Subordinated CMO Series 2018-1 Class B3
|
||||
07/25/2047
|
3.658%
|
|
1,017,687
|
868,616
|
Subordinated CMO Series 2020-1 Class B3
|
||||
12/25/2049
|
3.376%
|
|
1,837,575
|
1,540,773
|
Total Residential Mortgage-Backed Securities - Non-Agency
(Cost $510,752,843)
|
485,724,789
|
|||
|
||||
Senior Loans 0.4%
|
||||
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Aerospace & Defense 0.0%
|
||||
TransDigm, Inc.(b),(t)
|
||||
Tranche I Term Loan
|
||||
3-month Term SOFR + 2.750%
08/24/2028
|
8.059%
|
|
825,458
|
828,991
|
Multi-Manager Total Return Bond Strategies Fund | 2024
75
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Senior Loans (continued)
|
||||
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Automotive 0.0%
|
||||
First Brands Group LLC(b),(q),(t)
|
||||
1st Lien Term Loan
|
||||
3-month Term SOFR + 5.000%
Floor 1.000%
03/30/2027
|
10.591%
|
|
336,366
|
332,461
|
Tenneco, Inc.(b),(t)
|
||||
Tranche A 1st Lien Term Loan
|
||||
1-month Term SOFR + 4.750%
Floor 0.500%
11/17/2028
|
10.176%
|
|
1,157,998
|
1,122,297
|
Total
|
1,454,758
|
|||
Brokerage/Asset Managers/Exchanges 0.0%
|
||||
Deerfield Dakota Holding LLC(b),(t)
|
||||
1st Lien Term Loan
|
||||
3-month Term SOFR + 3.750%
Floor 1.000%
04/09/2027
|
9.059%
|
|
710,892
|
710,494
|
Hudson River Trading LLC(b),(t)
|
||||
Term Loan
|
||||
1-month Term SOFR + 3.000%
03/20/2028
|
8.442%
|
|
1,142,072
|
1,142,609
|
Jane Street Group LLC(b),(t)
|
||||
Term Loan
|
||||
1-month Term SOFR + 2.500%
01/26/2028
|
7.944%
|
|
538,708
|
540,276
|
Total
|
2,393,379
|
|||
Cable and Satellite 0.1%
|
||||
Charter Communications Operating LLC(b),(t)
|
||||
Tranche B2 Term Loan
|
||||
3-month Term SOFR + 1.750%
02/01/2027
|
7.052%
|
|
239,348
|
239,090
|
CSC Holdings LLC(b),(t)
|
||||
Term Loan
|
||||
1-month Term SOFR + 2.500%
04/15/2027
|
7.931%
|
|
3,082,347
|
2,427,749
|
1-month Term SOFR + 4.500%
01/18/2028
|
9.817%
|
|
1,913,057
|
1,837,223
|
Virgin Media Bristol LLC(b),(t)
|
||||
Tranche N Term Loan
|
||||
1-month Term SOFR + 2.500%
01/31/2028
|
7.931%
|
|
1,250,000
|
1,215,625
|
Tranche Y Term Loan
|
||||
6-month Term SOFR + 3.250%
03/31/2031
|
8.656%
|
|
350,000
|
337,750
|
Total
|
6,057,437
|
Senior Loans (continued)
|
||||
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Chemicals 0.0%
|
||||
Chemours Co. (The)(b),(t)
|
||||
Tranche B3 Term Loan
|
||||
1-month Term SOFR + 3.500%
08/18/2028
|
8.829%
|
|
651,509
|
655,176
|
Consumer Cyclical Services 0.0%
|
||||
8th Avenue Food & Provisions, Inc.(b),(t)
|
||||
1st Lien Term Loan
|
||||
1-month Term SOFR + 3.750%
10/01/2025
|
9.194%
|
|
63,784
|
61,269
|
Amentum Government Services Holdings LLC(b),(t)
|
||||
Tranche 1 1st Lien Term Loan
|
||||
1-month Term SOFR + 4.000%
01/29/2027
|
9.444%
|
|
306,509
|
308,041
|
Arches Buyer, Inc.(b),(t)
|
||||
Term Loan
|
||||
1-month Term SOFR + 3.250%
Floor 0.500%
12/06/2027
|
8.679%
|
|
254,803
|
245,072
|
Match Group, Inc.(b),(t)
|
||||
Term Loan
|
||||
3-month Term SOFR + 1.750%
02/13/2027
|
7.233%
|
|
108,063
|
107,928
|
Pre-Paid Legal Services, Inc.(b),(t)
|
||||
1st Lien Term Loan
|
||||
1-month Term SOFR + 3.750%
Floor 0.500%
12/15/2028
|
9.194%
|
|
259,466
|
259,048
|
Spin Holdco, Inc.(b),(t)
|
||||
Term Loan
|
||||
3-month Term SOFR + 4.000%
Floor 0.750%
03/04/2028
|
9.585%
|
|
719,993
|
618,294
|
TruGreen LP(b),(t)
|
||||
1st Lien Term Loan
|
||||
1-month Term SOFR + 4.000%
Floor 0.750%
11/02/2027
|
9.429%
|
|
283,851
|
266,820
|
Total
|
1,866,472
|
|||
Consumer Products 0.0%
|
||||
Osmosis Buyer Ltd.(b),(t)
|
||||
Tranche B Term Loan
|
||||
1-month Term SOFR + 4.000%
Floor 0.500%
07/31/2028
|
9.320%
|
|
338,526
|
339,843
|
76
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Senior Loans (continued)
|
||||
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Diversified Manufacturing 0.0%
|
||||
Filtration Group Corp.(b),(t)
|
||||
Term Loan
|
||||
1-month Term SOFR + 4.250%
Floor 0.500%
10/21/2028
|
9.680%
|
|
186,323
|
187,046
|
Environmental 0.0%
|
||||
Clean Harbors, Inc.(b),(t)
|
||||
Term Loan
|
||||
1-month Term SOFR + 1.750%
10/08/2028
|
7.194%
|
|
647,283
|
650,927
|
Patriot Container Corp./Wastequip(b),(t)
|
||||
1st Lien Term Loan
|
||||
1-month Term SOFR + 3.750%
Floor 1.000%
03/20/2025
|
9.179%
|
|
125,737
|
120,911
|
Total
|
771,838
|
|||
Finance Companies 0.0%
|
||||
Avolon Borrower 1 LLC(b),(t)
|
||||
Tranche B6 Term Loan
|
||||
1-month Term SOFR + 2.000%
Floor 0.500%
06/22/2028
|
7.321%
|
|
571,268
|
572,804
|
Food and Beverage 0.0%
|
||||
BrewCo Borrower LLC(b),(t)
|
||||
Term Loan
|
||||
3-month Term SOFR + 6.250%
04/05/2028
|
11.579%
|
|
141,286
|
141,286
|
3-month Term SOFR + 5.000%
Floor 0.750%
04/05/2028
|
10.323%
|
|
546,961
|
410,221
|
3-month Term SOFR + 6.250%
Floor 0.750%
04/05/2028
|
11.573%
|
|
339,392
|
308,847
|
Naked Juice LLC(b),(t)
|
||||
1st Lien Term Loan
|
||||
3-month Term SOFR + 3.250%
Floor 0.500%
01/24/2029
|
8.659%
|
|
1,537,256
|
1,460,071
|
2nd Lien Term Loan
|
||||
3-month Term SOFR + 6.000%
Floor 0.500%
01/24/2030
|
11.402%
|
|
251,405
|
210,159
|
Triton Water Holdings, Inc.(b),(t)
|
||||
1st Lien Term Loan
|
||||
3-month Term SOFR + 3.250%
Floor 0.500%
03/31/2028
|
8.814%
|
|
267,964
|
267,447
|
Senior Loans (continued)
|
||||
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
United Natural Foods, Inc.(b),(t)
|
||||
Term Loan
|
||||
1-month Term SOFR + 4.750%
05/01/2031
|
10.079%
|
|
576,197
|
570,867
|
Total
|
3,368,898
|
|||
Gaming 0.0%
|
||||
Churchill Downs, Inc.(b),(t)
|
||||
Tranche B Term Loan
|
||||
1-month Term SOFR + 2.000%
03/17/2028
|
7.429%
|
|
98,980
|
99,227
|
Fertitta Entertainment LLC(b),(t)
|
||||
Tranche B Term Loan
|
||||
1-month Term SOFR + 3.750%
Floor 0.500%
01/27/2029
|
9.071%
|
|
406,905
|
407,975
|
Total
|
507,202
|
|||
Health Care 0.0%
|
||||
Bausch & Lomb Corp.(b),(t)
|
||||
Term Loan
|
||||
1-month Term SOFR + 3.250%
Floor 0.500%
05/10/2027
|
8.670%
|
|
183,686
|
181,746
|
Bausch & Lomb Corp. (b),(t)
|
||||
Term Loan
|
||||
1-month Term SOFR + 4.000%
Floor 0.500%
09/29/2028
|
9.329%
|
|
442,446
|
441,893
|
Carestream Dental Technology Parent Ltd.(b),(t)
|
||||
1st Lien Term Loan
|
||||
3-month Term SOFR + 3.250%
Floor 1.000%
09/01/2024
|
8.559%
|
|
547,434
|
448,212
|
Tranche B 1st Lien Term Loan
|
||||
3-month Term SOFR + 4.500%
Floor 0.500%
09/01/2024
|
10.071%
|
|
167,543
|
137,266
|
Catalent Pharma Solutions, Inc.(b),(t)
|
||||
Tranche B3 Term Loan
|
||||
1-month Term SOFR + 2.000%
Floor 0.500%
02/22/2028
|
7.435%
|
|
682,650
|
681,797
|
Gainwell Acquisition Corp.(b),(t)
|
||||
Tranche B 1st Lien Term Loan
|
||||
3-month Term SOFR + 4.000%
Floor 0.750%
10/01/2027
|
9.409%
|
|
732,955
|
711,274
|
Multi-Manager Total Return Bond Strategies Fund | 2024
77
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Senior Loans (continued)
|
||||
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Medline Borrower LP(b),(t)
|
||||
Term Loan
|
||||
1-month Term SOFR + 2.750%
Floor 0.500%
10/23/2028
|
8.079%
|
|
446,332
|
449,121
|
Star Parent, Inc.(b),(t)
|
||||
Term Loan
|
||||
3-month Term SOFR + 4.000%
09/27/2030
|
9.309%
|
|
362,893
|
362,940
|
Total
|
3,414,249
|
|||
Leisure 0.0%
|
||||
William Morris Endeavor Entertainment LLC/IMG Worldwide Holdings LLC(b),(t)
|
||||
Tranche B1 1st Lien Term Loan
|
||||
1-month Term SOFR + 2.750%
05/18/2025
|
8.194%
|
|
532,696
|
533,649
|
Media and Entertainment 0.0%
|
||||
Diamond Sports Group LLC(b),(t)
|
||||
1st Lien Term Loan
|
||||
1-month Term SOFR + 8.000%
Floor 1.000%
05/25/2026
|
12.775%
|
|
147,325
|
138,118
|
Diamond Sports Group LLC(n),(t)
|
||||
2nd Lien Term Loan
|
||||
08/24/2026
|
10.671%
|
|
4,770,042
|
89,438
|
Diamond Sports Group LLC (t),(u)
|
||||
Debtor In Possession Term Loan
|
||||
12/02/2024
|
5.000%
|
|
790,291
|
1,114,310
|
Erewards, Inc.(b),(c),(t)
|
||||
Term Loan
|
||||
3-month Term SOFR + 5.500%
Floor 1.000%
08/06/2024
|
14.187%
|
|
8,946
|
8,947
|
Magnite, Inc.(b),(t)
|
||||
Term Loan
|
||||
6-month Term SOFR + 4.500%
02/06/2031
|
9.792%
|
|
148,779
|
149,616
|
MH Sub I LLC/Micro Holding Corp.(b),(t)
|
||||
1st Lien Term Loan
|
||||
1-month Term SOFR + 4.250%
Floor 0.500%
05/03/2028
|
9.579%
|
|
274,577
|
274,890
|
Research Now Group LLC(b),(q),(t)
|
||||
1st Lien Term Loan
|
||||
3-month Term SOFR + 5.500%
Floor 1.000%
12/20/2024
|
10.836%
|
|
288,805
|
214,758
|
Total
|
1,990,077
|
Senior Loans (continued)
|
||||
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Other Financial Institutions 0.0%
|
||||
Trans Union LLC(b),(t)
|
||||
Tranche B7 Term Loan
|
||||
1-month Term SOFR + 2.000%
Floor 0.500%
12/01/2028
|
7.329%
|
|
322,833
|
323,825
|
Other Industry 0.0%
|
||||
Adtalem Global Education, Inc.(b),(t)
|
||||
Term Loan
|
||||
1-month Term SOFR + 3.500%
Floor 0.750%
08/12/2028
|
9.470%
|
|
363,956
|
364,563
|
Artera Services LLC(b),(t)
|
||||
Tranche C 1st Lien Term Loan
|
||||
3-month Term SOFR + 4.500%
02/15/2031
|
9.809%
|
|
369,824
|
372,520
|
Total
|
737,083
|
|||
Packaging 0.0%
|
||||
Berry Global, Inc. (b),(t)
|
||||
Tranche AA Term Loan
|
||||
1-month Term SOFR + 1.750%
07/01/2029
|
7.185%
|
|
2,213,326
|
2,219,037
|
Paper 0.0%
|
||||
Mativ Holdings, Inc.(b),(t)
|
||||
Delayed Draw Term Loan
|
||||
1-month Term SOFR + 2.500%
05/06/2027
|
7.929%
|
|
164,515
|
162,458
|
Pharmaceuticals 0.1%
|
||||
Elanco Animal Health, Inc.(b),(t)
|
||||
Term Loan
|
||||
1-month Term SOFR + 1.750%
08/01/2027
|
7.163%
|
|
1,836,010
|
1,833,311
|
Grifols Worldwide Operations Ltd.(b),(t)
|
||||
Tranche B Term Loan
|
||||
3-month Term SOFR + 2.000%
11/15/2027
|
7.459%
|
|
1,346,504
|
1,335,908
|
Jazz Pharmaceuticals PLC(b),(t)
|
||||
Tranche B1 Term Loan
|
||||
1-month Term SOFR + 3.000%
Floor 0.500%
05/05/2028
|
8.444%
|
|
1,190,388
|
1,199,506
|
Total
|
4,368,725
|
|||
Property & Casualty 0.0%
|
||||
Acrisure LLC(b),(t)
|
||||
1st Lien Term Loan
|
||||
1-month Term SOFR + 3.500%
02/15/2027
|
8.944%
|
|
896,282
|
895,412
|
78
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Senior Loans (continued)
|
||||
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
AmWINS Group, Inc.(b),(t)
|
||||
Term Loan
|
||||
1-month Term SOFR + 2.250%
Floor 0.750%
02/19/2028
|
7.694%
|
|
1,622,048
|
1,625,065
|
Asurion LLC(b),(t)
|
||||
Tranche B8 Term Loan
|
||||
1-month Term SOFR + 3.250%
12/23/2026
|
8.694%
|
|
891,645
|
884,958
|
Total
|
3,405,435
|
|||
Restaurants 0.0%
|
||||
1011778 BC ULC(b),(t)
|
||||
Tranche B5 Term Loan
|
||||
1-month Term SOFR + 2.250%
09/20/2030
|
7.578%
|
|
403,477
|
403,630
|
KFC Holding Co./Yum! Brands(b),(t)
|
||||
Tranche B Term Loan
|
||||
1-month Term SOFR + 1.750%
03/15/2028
|
7.185%
|
|
362,580
|
362,957
|
Whatabrands LLC(b),(t)
|
||||
Tranche B Term Loan
|
||||
1-month Term SOFR + 2.750%
Floor 0.500%
08/03/2028
|
8.079%
|
|
275,000
|
275,286
|
Total
|
1,041,873
|
|||
Retailers 0.0%
|
||||
Great Outdoors Group LLC(b),(t)
|
||||
Tranche B2 Term Loan
|
||||
1-month Term SOFR + 3.750%
Floor 0.750%
03/06/2028
|
9.194%
|
|
859,520
|
859,925
|
Hanesbrands, Inc.(b),(t)
|
||||
Term Loan
|
||||
1-month Term SOFR + 2.600%
11/19/2026
|
7.429%
|
|
400,217
|
392,212
|
Michaels Companies, Inc. (The)(b),(t)
|
||||
Tranche B Term Loan
|
||||
3-month Term SOFR + 4.250%
Floor 0.750%
04/15/2028
|
9.821%
|
|
1,945,000
|
1,770,825
|
Total
|
3,022,962
|
|||
Technology 0.1%
|
||||
athenahealth Group, Inc.(b),(t)
|
||||
Term Loan
|
||||
1-month Term SOFR + 3.250%
Floor 0.500%
02/15/2029
|
8.579%
|
|
1,140,321
|
1,137,150
|
Senior Loans (continued)
|
||||
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Central Parent LLC(b),(t)
|
||||
1st Lien Term Loan
|
||||
1-month Term SOFR + 3.250%
07/06/2029
|
8.577%
|
|
410,000
|
413,145
|
CommScope, Inc.(b),(t)
|
||||
Term Loan
|
||||
1-month Term SOFR + 3.250%
04/06/2026
|
8.694%
|
|
1,032,810
|
923,332
|
DTI Holdco, Inc.(b),(t)
|
||||
1st Lien Term Loan
|
||||
1-month Term SOFR + 4.750%
Floor 0.750%
04/26/2029
|
10.079%
|
|
86,641
|
86,858
|
EagleView Technology Corp.(b),(t)
|
||||
1st Lien Term Loan
|
||||
3-month Term SOFR + 3.500%
08/14/2025
|
9.065%
|
|
813,064
|
792,607
|
Gen Digital, Inc.(b),(t)
|
||||
Tranche A Term Loan
|
||||
1-month Term SOFR + 1.500%
09/10/2027
|
6.929%
|
|
582,231
|
582,476
|
Iron Mountain Information Management LLC(b),(t)
|
||||
Tranche B Term Loan
|
||||
1-month Term SOFR + 2.250%
01/31/2031
|
7.579%
|
|
281,624
|
280,920
|
Oracle Corp.(b),(f),(t)
|
||||
Tranche 1 Term Loan
|
||||
1-month Term SOFR + 1.600%
08/16/2027
|
8.349%
|
|
1,730,353
|
1,728,190
|
Peraton Corp.(b),(t)
|
||||
Tranche B 1st Lien Term Loan
|
||||
1-month Term SOFR + 3.750%
Floor 0.750%
02/01/2028
|
9.179%
|
|
828,258
|
828,548
|
Renaissance Holding Corp.(b),(t)
|
||||
1st Lien Term Loan
|
||||
3-month Term SOFR + 4.250%
Floor 0.500%
04/05/2030
|
9.597%
|
|
324,978
|
324,776
|
Total
|
7,098,002
|
|||
Wireless 0.1%
|
||||
Altice France SA(b),(t)
|
||||
Tranche B14 Term Loan
|
||||
3-month Term SOFR + 5.500%
08/15/2028
|
10.829%
|
|
347,548
|
260,661
|
Digicel International Finance Ltd.(b),(t)
|
||||
1st Lien Term Loan
|
||||
3-month Term SOFR + 5.250%
05/25/2027
|
10.575%
|
|
2,632,162
|
2,517,005
|
Multi-Manager Total Return Bond Strategies Fund | 2024
79
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Senior Loans (continued)
|
||||
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
SBA Senior Finance II LLC(b),(t)
|
||||
Term Loan
|
||||
1-month Term SOFR + 2.000%
01/25/2031
|
7.330%
|
|
704,025
|
706,715
|
Total
|
3,484,381
|
|||
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
|
9.194%
|
|
207,197
|
206,901
|
Level 3 Financing, Inc.(b),(t)
|
||||
Tranche B2 Term Loan
|
||||
1-month Term SOFR + 6.560%
Floor 2.000%
04/15/2030
|
11.881%
|
|
210,768
|
203,315
|
Level 3 Financing, Inc. (b),(t)
|
||||
Tranche B1 Term Loan
|
||||
1-month Term SOFR + 6.560%
04/15/2029
|
11.881%
|
|
209,233
|
202,694
|
Lumen Technologies, Inc.(b),(q),(t)
|
||||
Tranche A Term Loan
|
||||
3-month Term SOFR + 6.000%
06/01/2028
|
11.321%
|
|
73,900
|
58,381
|
Lumen Technologies, Inc.(b),(t)
|
||||
Tranche B1 Term Loan
|
||||
1-month Term SOFR + 2.350%
04/15/2029
|
7.785%
|
|
62,684
|
43,311
|
Tranche B2 Term Loan
|
||||
1-month Term SOFR + 2.350%
04/15/2030
|
7.785%
|
|
64,250
|
43,226
|
Telenet Financing USD LLC(b),(t)
|
||||
Tranche AR Term Loan
|
||||
1-month Term SOFR + 2.000%
04/30/2028
|
7.431%
|
|
265,856
|
255,698
|
Zayo Group Holdings, Inc.(b),(t)
|
||||
Term Loan
|
||||
1-month Term SOFR + 3.000%
03/09/2027
|
8.444%
|
|
1,613,487
|
1,395,795
|
1-month Term SOFR + 4.325%
Floor 0.500%
03/09/2027
|
9.654%
|
|
301,186
|
263,270
|
Total
|
2,672,591
|
|||
Total Senior Loans
(Cost $55,369,367)
|
53,478,191
|
|||
|
Treasury Bills 0.1%
|
||||
Issuer
|
Yield
|
|
Principal
Amount ($)
|
Value ($)
|
United States 0.1%
|
||||
U.S. Treasury Bills
|
||||
06/04/2024
|
5.170%
|
|
3,200,000
|
3,198,186
|
U.S. Treasury Bills(v)
|
||||
11/07/2024
|
5.260%
|
|
10,000,000
|
9,774,631
|
Total
|
12,972,817
|
|||
Total Treasury Bills
(Cost $12,971,047)
|
12,972,817
|
|||
|
||||
U.S. Government & Agency Obligations 0.1%
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Federal National Mortgage Association(i)
|
||||
STRIPS
|
||||
05/15/2030
|
0.000%
|
|
295,000
|
221,902
|
Residual Funding Corp.(i)
|
||||
STRIPS
|
||||
01/15/2030
|
0.000%
|
|
9,066,000
|
6,908,062
|
04/15/2030
|
0.000%
|
|
425,000
|
320,180
|
Resolution Funding Corp.(i)
|
||||
STRIPS
|
||||
04/15/2030
|
0.000%
|
|
2,965,000
|
2,231,613
|
Tennessee Valley Authority Principal STRIP(i)
|
||||
09/15/2024
|
0.000%
|
|
445,000
|
437,577
|
Total U.S. Government & Agency Obligations
(Cost $10,966,138)
|
10,119,334
|
|||
|
||||
U.S. Treasury Obligations 19.5%
|
||||
|
|
|
|
|
U.S. Treasury
|
||||
04/30/2025
|
0.375%
|
|
3,400,000
|
3,255,234
|
02/28/2026
|
4.625%
|
|
13,100,000
|
13,029,895
|
04/30/2026
|
4.875%
|
|
13,285,000
|
13,281,367
|
05/31/2026
|
4.875%
|
|
142,670,000
|
142,686,720
|
05/15/2027
|
4.750%
|
|
139,453,200
|
138,799,513
|
07/31/2028
|
4.125%
|
|
25,670,000
|
25,252,863
|
08/31/2028
|
4.375%
|
|
23,200,000
|
23,040,500
|
09/30/2028
|
4.625%
|
|
21,485,000
|
21,547,105
|
10/31/2028
|
4.875%
|
|
55,345,000
|
56,067,080
|
11/30/2028
|
4.375%
|
|
16,900,000
|
16,795,695
|
01/31/2029
|
4.000%
|
|
97,220,000
|
95,100,908
|
02/28/2029
|
4.250%
|
|
39,165,000
|
38,733,573
|
03/31/2029
|
4.125%
|
|
66,040,000
|
64,930,735
|
04/30/2029
|
4.625%
|
|
286,190,700
|
287,621,654
|
05/31/2029
|
4.500%
|
|
238,260,000
|
238,315,843
|
12/31/2029
|
3.875%
|
|
120,350,000
|
116,570,258
|
05/31/2031
|
4.625%
|
|
28,000,000
|
28,214,375
|
05/15/2032
|
2.875%
|
|
20,000,000
|
17,840,625
|
02/15/2034
|
4.000%
|
|
23,285,000
|
22,393,621
|
05/15/2034
|
4.625%
|
|
145,383,400
|
144,088,579
|
11/15/2040
|
1.375%
|
|
28,825,000
|
17,943,563
|
08/15/2041
|
1.750%
|
|
80,675,000
|
52,615,227
|
80
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
U.S. Treasury Obligations (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
02/15/2042
|
2.375%
|
|
36,740,000
|
26,429,838
|
05/15/2042
|
3.250%
|
|
52,060,000
|
42,827,484
|
11/15/2042
|
2.750%
|
|
32,165,000
|
24,339,859
|
05/15/2043
|
3.875%
|
|
19,435,000
|
17,348,774
|
08/15/2043
|
4.375%
|
|
29,925,000
|
28,587,727
|
11/15/2043
|
4.750%
|
|
22,835,000
|
22,899,223
|
02/15/2044
|
4.500%
|
|
114,800,000
|
111,445,688
|
05/15/2044
|
4.625%
|
|
128,710,000
|
127,342,456
|
02/15/2049
|
3.000%
|
|
108,630,000
|
81,217,899
|
08/15/2049
|
2.250%
|
|
7,360,000
|
4,687,400
|
05/15/2050
|
1.250%
|
|
6,315,000
|
3,075,602
|
11/15/2050
|
1.625%
|
|
31,720,000
|
17,064,369
|
11/15/2052
|
4.000%
|
|
10,000,000
|
8,981,250
|
05/15/2053
|
3.625%
|
|
24,500,000
|
20,526,406
|
08/15/2053
|
4.125%
|
|
31,460,000
|
28,859,634
|
11/15/2053
|
4.750%
|
|
8,130,000
|
8,284,978
|
02/15/2054
|
4.250%
|
|
91,012,700
|
85,381,289
|
05/15/2054
|
4.750%
|
|
166,560,000
|
166,355,534
|
U.S. Treasury(v)
|
||||
05/15/2041
|
2.250%
|
|
57,200,000
|
40,880,125
|
11/15/2041
|
2.000%
|
|
68,115,000
|
46,169,198
|
08/15/2043
|
3.625%
|
|
4,995,000
|
4,292,578
|
U.S. Treasury(i)
|
||||
STRIPS
|
||||
05/15/2039
|
0.000%
|
|
2,865,000
|
1,404,186
|
02/15/2040
|
0.000%
|
|
5,735,000
|
2,697,914
|
05/15/2040
|
0.000%
|
|
980,000
|
454,360
|
08/15/2040
|
0.000%
|
|
12,000,000
|
5,479,219
|
11/15/2040
|
0.000%
|
|
3,590,000
|
1,615,220
|
02/15/2041
|
0.000%
|
|
8,725,000
|
3,876,490
|
05/15/2041
|
0.000%
|
|
7,485,000
|
3,289,891
|
U.S. Treasury Obligations (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
08/15/2041
|
0.000%
|
|
6,400,000
|
2,774,500
|
11/15/2041
|
0.000%
|
|
5,230,000
|
2,232,556
|
05/15/2042
|
0.000%
|
|
5,400,000
|
2,246,484
|
08/15/2042
|
0.000%
|
|
23,610,000
|
9,699,468
|
11/15/2043
|
0.000%
|
|
6,314,000
|
2,442,482
|
02/15/2044
|
0.000%
|
|
980,000
|
374,161
|
08/15/2044
|
0.000%
|
|
1,255,000
|
468,027
|
02/15/2045
|
0.000%
|
|
8,770,000
|
3,312,731
|
02/15/2045
|
0.000%
|
|
695,000
|
253,349
|
08/15/2048
|
0.000%
|
|
1,910,000
|
596,427
|
02/15/2049
|
0.000%
|
|
2,000,000
|
611,328
|
U.S. Treasury(i),(v)
|
||||
STRIPS
|
||||
05/15/2043
|
0.000%
|
|
17,045,000
|
6,746,091
|
Total U.S. Treasury Obligations
(Cost $2,672,955,791)
|
2,545,697,128
|
Money Market Funds 6.6%
|
||
|
Shares
|
Value ($)
|
Columbia Short-Term Cash Fund, 5.547%(w),(x)
|
862,688,274
|
862,515,737
|
Total Money Market Funds
(Cost $862,486,660)
|
862,515,737
|
|
Total Investments in Securities
(Cost: $14,470,524,099)
|
13,834,310,178
|
|
Other Assets & Liabilities, Net
|
|
(764,774,240
)
|
Net Assets
|
13,069,535,938
|
At May 31, 2024, securities and/or cash totaling $57,268,839 were pledged as collateral.
Investments in derivatives
Forward foreign currency exchange contracts
|
|||||
Currency to
be sold
|
Currency to
be purchased
|
Counterparty
|
Settlement
date
|
Unrealized
appreciation ($)
|
Unrealized
depreciation ($)
|
224,740 EUR
|
242,063 USD
|
Morgan Stanley
|
06/14/2024
|
—
|
(1,902
)
|
52 USD
|
48 EUR
|
Morgan Stanley
|
06/14/2024
|
—
|
—
|
Total
|
|
|
|
—
|
(1,902
)
|
Long futures contracts
|
||||||
Description
|
Number of
contracts
|
Expiration
date
|
Trading
currency
|
Notional
amount
|
Value/Unrealized
appreciation ($)
|
Value/Unrealized
depreciation ($)
|
U.S. Long Bond
|
391
|
09/2024
|
USD
|
45,380,438
|
—
|
(285,244
)
|
U.S. Long Bond
|
736
|
09/2024
|
USD
|
85,422,000
|
—
|
(559,388
)
|
U.S. Treasury 10-Year Note
|
802
|
09/2024
|
USD
|
87,255,094
|
42,976
|
—
|
U.S. Treasury 2-Year Note
|
2,382
|
09/2024
|
USD
|
485,220,846
|
505,254
|
—
|
U.S. Treasury 2-Year Note
|
2,928
|
09/2024
|
USD
|
596,442,753
|
—
|
(196,680
)
|
U.S. Treasury 2-Year Note
|
3,202
|
09/2024
|
USD
|
652,257,409
|
—
|
(283,979
)
|
U.S. Treasury 5-Year Note
|
685
|
09/2024
|
USD
|
72,470,859
|
—
|
(149,874
)
|
Multi-Manager Total Return Bond Strategies Fund | 2024
81
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Long futures contracts (continued)
|
||||||
Description
|
Number of
contracts
|
Expiration
date
|
Trading
currency
|
Notional
amount
|
Value/Unrealized
appreciation ($)
|
Value/Unrealized
depreciation ($)
|
U.S. Treasury 5-Year Note
|
3,251
|
09/2024
|
USD
|
343,945,641
|
—
|
(647,316
)
|
U.S. Treasury Ultra 10-Year Note
|
225
|
09/2024
|
USD
|
25,207,031
|
—
|
(30,606
)
|
U.S. Treasury Ultra 10-Year Note
|
651
|
09/2024
|
USD
|
72,932,344
|
—
|
(293,215
)
|
U.S. Treasury Ultra 10-Year Note
|
1,026
|
09/2024
|
USD
|
114,944,063
|
—
|
(567,801
)
|
U.S. Treasury Ultra Bond
|
439
|
09/2024
|
USD
|
53,750,063
|
—
|
(576,818
)
|
U.S. Treasury Ultra Bond
|
980
|
09/2024
|
USD
|
119,988,750
|
—
|
(1,687,543
)
|
U.S. Treasury Ultra Bond
|
1,202
|
09/2024
|
USD
|
147,169,875
|
—
|
(1,824,450
)
|
Total
|
|
|
|
|
548,230
|
(7,102,914
)
|
Short futures contracts
|
||||||
Description
|
Number of
contracts
|
Expiration
date
|
Trading
currency
|
Notional
amount
|
Value/Unrealized
appreciation ($)
|
Value/Unrealized
depreciation ($)
|
U.S. Treasury 10-Year Note
|
(376)
|
09/2024
|
USD
|
(40,907,625
)
|
78,535
|
—
|
U.S. Treasury 5-Year Note
|
(6)
|
09/2024
|
USD
|
(634,781
)
|
133
|
—
|
Total
|
|
|
|
|
78,668
|
—
|
Cleared interest rate swap contracts
|
|||||||||||
Fund receives
|
Fund pays
|
Payment
frequency
|
Counterparty
|
Maturity
date
|
Notional
currency
|
Notional
amount
|
Value
($)
|
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
|
1,140,748
|
—
|
—
|
1,140,748
|
—
|
Fixed rate of
5.384%
|
SOFR
|
Receives Annually, Pays Annually
|
JPMorgan
|
08/31/2024
|
USD
|
427,680,000
|
(208,132
)
|
—
|
—
|
—
|
(208,132
)
|
Fixed rate of
4.946%
|
SOFR
|
Receives Annually, Pays Annually
|
JPMorgan
|
03/08/2025
|
USD
|
33,920,000
|
(126,101
)
|
—
|
—
|
—
|
(126,101
)
|
Fixed rate of
5.088%
|
SOFR
|
Receives Annually, Pays Annually
|
JPMorgan
|
03/10/2025
|
USD
|
107,139,000
|
(245,765
)
|
—
|
—
|
—
|
(245,765
)
|
Fixed rate of
5.112%
|
SOFR
|
Receives Annually, Pays Annually
|
JPMorgan
|
05/17/2025
|
USD
|
321,475,000
|
(334,704
)
|
—
|
—
|
—
|
(334,704
)
|
SOFR
|
Fixed rate of
4.805%
|
Receives Annually, Pays Annually
|
JPMorgan
|
08/31/2025
|
USD
|
167,010,000
|
1,358,392
|
—
|
—
|
1,358,392
|
—
|
SOFR
|
Fixed rate of
4.663%
|
Receives Annually, Pays Annually
|
JPMorgan
|
05/17/2026
|
USD
|
164,695,000
|
518,852
|
—
|
—
|
518,852
|
—
|
Fixed rate of
4.497%
|
SOFR
|
Receives Annually, Pays Annually
|
JPMorgan
|
05/13/2027
|
USD
|
74,475,000
|
(132,951
)
|
—
|
—
|
—
|
(132,951
)
|
SOFR
|
Fixed rate of
4.253%
|
Receives Annually, Pays Annually
|
JPMorgan
|
05/13/2029
|
USD
|
46,350,000
|
112,479
|
—
|
—
|
112,479
|
—
|
SOFR
|
Fixed rate of
1.350%
|
Receives Annually, Pays Annually
|
JPMorgan
|
05/11/2054
|
USD
|
5,710,000
|
(78,090
)
|
—
|
—
|
—
|
(78,090
)
|
Total
|
|
|
|
|
|
|
2,004,728
|
—
|
—
|
3,130,471
|
(1,125,743
)
|
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 42
|
JPMorgan
|
06/20/2029
|
5.000
|
Quarterly
|
3.348
|
USD
|
75,660,000
|
856,166
|
—
|
—
|
856,166
|
—
|
* 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.
82
Multi-Manager Total Return Bond Strategies Fund | 2024
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
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 May 31, 2024, the total value of these securities amounted
to $3,542,372,308, which represents 27.10% of total net assets.
|
(b)
|
Variable rate security. The interest rate shown was the current rate as of May 31,
2024.
|
(c)
|
Represents a security purchased on a when-issued basis.
|
(d)
|
Variable or floating rate security, the interest rate of which adjusts periodically
based on changes in current interest rates and prepayments on the underlying pool
of assets. The interest rate shown was the current rate as of May 31, 2024.
|
(e)
|
Represents fair value as determined in good faith under procedures approved by the
Board of Trustees. At May 31, 2024, the total value of these securities amounted to
$22,394,559, which represents 0.17% of total net assets.
|
(f)
|
Valuation based on significant unobservable inputs.
|
(g)
|
Represents interest only securities which have the right to receive the monthly interest
payments on an underlying pool of mortgage loans.
|
(h)
|
Represents principal only securities which have the right to receive the principal
portion only on an underlying pool of mortgage loans.
|
(i)
|
Zero coupon bond.
|
(j)
|
Non-income producing investment.
|
(k)
|
Denotes a restricted security, which is subject to legal or contractual restrictions
on resale under federal securities laws. Disposal of a restricted investment may involve
time-consuming negotiations and expenses, and prompt sale at an acceptable price may
be difficult to achieve. Private placement securities are generally considered to
be restricted, although certain of those securities may be traded between qualified institutional
investors under the provisions of Section 4(a)(2) and Rule 144A. The Fund will not
incur any registration costs upon such a trade. These securities are valued at fair value determined in good faith under consistently applied procedures approved by the Fund’s Board of Trustees. At May 31, 2024, the total market value of these securities amounted
to $257,262, which represents less than 0.01% of total net assets. Additional information on these securities is as follows:
|
Security
|
Acquisition
Dates
|
Shares
|
Cost ($)
|
Value ($)
|
Digicel Ltd.
|
01/29/2024
|
10,881
|
108,810
|
108,810
|
Digicel Ltd.
|
01/29/2024
|
59,381
|
34,842
|
148,452
|
|
|
|
143,652
|
257,262
|
(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 May 31, 2024.
|
(m)
|
Perpetual security with no specified maturity date.
|
(n)
|
Represents a security in default.
|
(o)
|
Payment-in-kind security. Interest can be paid by issuing additional par of the security
or in cash.
|
(p)
|
Principal and interest may not be guaranteed by a governmental entity.
|
(q)
|
Represents a security purchased on a forward commitment basis.
|
(r)
|
Principal amounts are denominated in United States Dollars unless otherwise noted.
|
(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 May 31,
2024 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)
|
The borrower filed for protection under Chapter 11 of the U.S. Federal Bankruptcy
Code.
|
(v)
|
This security or a portion of this security has been pledged as collateral in connection
with derivative contracts.
|
(w)
|
The rate shown is the seven-day current annualized yield at May 31, 2024.
|
Multi-Manager Total Return Bond Strategies Fund | 2024
83
Portfolio of Investments (continued)
Multi-Manager Total Return Bond Strategies Fund, May 31, 2024 (Unaudited)
Notes to Portfolio of Investments (continued)
(x)
|
As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of
the holdings and transactions in these affiliated companies during the period ended
May 31, 2024 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, 5.547%
|
||||||||
|
1,015,009,456
|
6,744,856,938
|
(6,897,317,948
)
|
(32,709
)
|
862,515,737
|
110,827
|
38,516,610
|
862,688,274
|
Abbreviation Legend
BAM
|
Build America Mutual Assurance Co.
|
BIG
|
Bond Investors Guarantee
|
CMO
|
Collateralized Mortgage Obligation
|
CMT
|
Constant Maturity Treasury
|
EURIBOR
|
Euro Interbank Offered Rate
|
FHLMC
|
Federal Home Loan Mortgage Corporation
|
LIBOR
|
London Interbank Offered Rate
|
MTA
|
Monthly Treasury Average
|
SDR
|
Swedish Depositary Receipt
|
SOFR
|
Secured Overnight Financing Rate
|
STRIPS
|
Separate Trading of Registered Interest and Principal Securities
|
TBA
|
To Be Announced
|
Currency Legend
EUR
|
Euro
|
USD
|
US Dollar
|
Investments are valued using policies described in the Notes to Financial Statements
in the most recent shareholder report.
84
Multi-Manager Total Return Bond Strategies Fund | 2024