UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-07988
LORD aBBETT INVESTMENT TRUST
(Exact name of Registrant as specified in charter)
90 Hudson Street, Jersey City, NJ 07302
(Address of principal executive offices) (Zip code)
John T. Fitzgerald, Esq., Vice President & Assistant Secretary
90 Hudson Street, Jersey City, NJ 07302
(Name and address of agent for service)
Registrant’s telephone number, including area code: (800) 201-6984
Date of fiscal year end: 11/30
Date of reporting period: 5/31/2018
Item 1: | Report(s) to Shareholders. |
LORD ABBETT
SEMIANNUAL REPORT
Lord Abbett
Convertible Fund
Core Fixed Income Fund
Core Plus Bond Fund
Corporate Bond Fund
Floating Rate Fund
High Yield Fund
Income Fund
Inflation Focused Fund
Short Duration Core Bond Fund
Short Duration Income Fund
Total Return Fund
Ultra Short Bond Fund
For the six-month period ended May 31, 2018
Table of Contents
Lord Abbett Investment Trust
Lord Abbett Convertible Fund, Lord Abbett Core Fixed Income Fund, Lord Abbett Core Plus Bond Fund, Lord Abbett Corporate Bond Fund, Lord Abbett Floating Rate Fund, Lord Abbett High Yield Fund, Lord Abbett Income Fund, Lord Abbett Inflation Focused Fund, Lord Abbett Short Duration Core Bond Fund, Lord Abbett Short Duration Income Fund, Lord Abbett Total Return Fund, and Lord Abbett Ultra Short Bond Fund Semiannual Report
For the six-month period ended May 31, 2018
From left to right: James L.L. Tullis, Independent Chairman of the Lord Abbett Funds and Douglas B. Sieg Trustee, President, and Chief Executive Officer of the Lord Abbett Funds.
Dear Shareholders: We are pleased to provide you with this semiannual report for the Funds for the six-month period ended May 31, 2018. For additional information about the Funds, please visit our website at www.lordabbett.com, where you can access the quarterly commentaries by the Funds’ portfolio managers. General information about Lord Abbett mutual funds, as well as in-depth discussions of market trends and investment strategies, is also provided in Lord Abbett Insights, a quarterly newsletter available on our website.
Thank you for investing in Lord Abbett mutual funds. We value the trust that you place in us and look forward to serving your investment needs in the years to come.
Best regards,
Douglas B. Sieg
Trustee, President and Chief Executive Officer
1
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (these charges vary among the share classes); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (these charges vary among the share classes); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in each Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2017 through May 31, 2018).
Actual Expenses
For each class of each Fund, the first line of the table on the following pages provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading titled “Expenses Paid During Period 12/1/17—5/31/18” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
For each class of each Fund, the second line of the table on the following pages provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
2
Convertible Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses | |||||||||||
Account | Account | Paid During | |||||||||||
Value | Value | Period† | |||||||||||
12/1/17 – | |||||||||||||
12/1/17 | 5/31/18 | 5/31/18 | |||||||||||
Class A | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,041.50 | $ | 5.19 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.85 | $ | 5.14 | |||||||
Class C | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,037.70 | $ | 8.48 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,016.60 | $ | 8.40 | |||||||
Class F | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,041.20 | $ | 4.68 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.34 | $ | 4.63 | |||||||
Class F3 | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,042.30 | $ | 4.07 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.90 | $ | 4.03 | |||||||
Class I | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,042.30 | $ | 4.18 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.84 | $ | 4.13 | |||||||
Class P | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,039.70 | $ | 6.46 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.60 | $ | 6.39 | |||||||
Class R2 | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,039.40 | $ | 7.22 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,017.85 | $ | 7.14 | |||||||
Class R3 | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,040.00 | $ | 6.71 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.35 | $ | 6.64 | |||||||
Class R4 | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,041.20 | $ | 5.45 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.60 | $ | 5.39 | |||||||
Class R5 | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,042.30 | $ | 4.23 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.15 | $ | 4.18 | |||||||
Class R6 | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,043.00 | $ | 4.07 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.94 | $ | 4.03 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.02% for Class A, 1.67% for Class C, 0.92% for Class F, 0.80% for Class F3, 0.82% for Class I, 1.27% for Class P, 1.42% for Class R2, 1.32% for Class R3, 1.07% for Class R4, 0.83% for Class R5 and 0.80% for Class R6) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
3
Portfolio Holdings Presented by Sector
May 31, 2018
Sector* | %** | ||
Automotive | 1.26 | % | |
Banking | 5.65 | % | |
Basic Industry | 3.31 | % | |
Capital Goods | 1.87 | % | |
Consumer Goods | 1.63 | % | |
Energy | 7.32 | % | |
Healthcare | 16.10 | % | |
Leisure | 2.22 | % | |
Media | 0.90 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | ||
Real Estate | 3.28 | % | |
Retail | 4.73 | % | |
Services | 1.11 | % | |
Technology & Electronics | 40.37 | % | |
Telecommunications | 0.81 | % | |
Transportation | 4.00 | % | |
Utility | 4.33 | % | |
Repurchase Agreement | 1.11 | % | |
Total | 100.00 | % |
4
Core Fixed Income Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses | |||||||||||
Account | Account | Paid During | |||||||||||
Value | Value | Period† | |||||||||||
12/1/17 – | |||||||||||||
12/1/17 | 5/31/18 | 5/31/18 | |||||||||||
Class A* | |||||||||||||
Actual | $ | 1,000.00 | $ | 986.60 | $ | 3.22 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.69 | $ | 3.28 | |||||||
Class C* | |||||||||||||
Actual | $ | 1,000.00 | $ | 984.30 | $ | 6.28 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.60 | $ | 6.39 | |||||||
Class F* | |||||||||||||
Actual | $ | 1,000.00 | $ | 987.10 | $ | 2.72 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.19 | $ | 2.77 | |||||||
Class F3* | |||||||||||||
Actual | $ | 1,000.00 | $ | 988.10 | $ | 1.69 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.20 | $ | 1.72 | |||||||
Class I* | |||||||||||||
Actual | $ | 1,000.00 | $ | 988.50 | $ | 2.18 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.74 | $ | 2.22 | |||||||
Class P* | |||||||||||||
Actual | $ | 1,000.00 | $ | 993.60 | $ | 4.47 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.44 | $ | 4.53 | |||||||
Class R2* | |||||||||||||
Actual | $ | 1,000.00 | $ | 985.50 | $ | 5.20 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.70 | $ | 5.29 | |||||||
Class R3* | |||||||||||||
Actual | $ | 1,000.00 | $ | 986.00 | $ | 4.70 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | |||||||
Class R4 | |||||||||||||
Actual | $ | 1,000.00 | $ | 986.30 | $ | 3.42 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.49 | $ | 3.48 | |||||||
Class R5 | |||||||||||||
Actual | $ | 1,000.00 | $ | 987.60 | $ | 2.18 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.74 | $ | 2.22 | |||||||
Class R6* | |||||||||||||
Actual | $ | 1,000.00 | $ | 989.00 | $ | 1.69 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,023.24 | $ | 1.72 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.65% for Class A, 1.27% for Class C, 0.55% for Class F, 0.34% for Class F3, 0.44% for Class I, 0.90% for Class P, 1.05% for Class R2, 0.95% for Class R3, 0.69% for Class R4, 0.44% for Class R5 and 0.34% for Class R6) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
* | The annualized expenses have been updated to 0.64% for Class A, 1.26% for Class C, 0.54% for Class F, 0.33% for Class F3, 0.40% for Class I, 0.89% for Class P, 1.04% for Class R2, 0.94% for Class R3 and 0.33% for Class R6. Had these updated expense ratios been in place throughout the most recent fiscal half-year, expenses paid during the period would have been: |
5
Hypothetical | |||||
(5% Return | |||||
Actual | Before Expenses) | ||||
Class A | $3.17 | $3.23 | |||
Class C | $6.23 | $6.34 | |||
Class F | $2.68 | $2.72 | |||
Class F3 | $1.64 | $1.66 | |||
Class I | $1.98 | $2.02 | |||
Class P | $4.42 | $4.48 | |||
Class R2 | $5.15 | $5.24 | |||
Class R3 | $4.65 | $4.73 | |||
Class R6 | $1.64 | $1.66 |
Portfolio Holdings Presented by Sector
May 31, 2018
Sector* | %** | ||
Auto | 0.69 | % | |
Basic Industry | 0.14 | % | |
Capital Goods | 0.17 | % | |
Consumer Cyclical | 0.11 | % | |
Consumer Services | 1.14 | % | |
Consumer Staples | 1.07 | % | |
Energy | 2.07 | % | |
Financial Services | 35.28 | % | |
Foreign Government | 1.93 | % | |
Health Care | 0.65 | % | |
Integrated Oils | 0.38 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | ||
Materials & Processing | 0.80 | % | |
Municipal | 0.05 | % | |
Producer Durables | 0.58 | % | |
Technology | 1.61 | % | |
Telecommunications | 0.53 | % | |
Transportation | 0.51 | % | |
U.S. Government | 44.48 | % | |
Utilities | 2.33 | % | |
Repurchase Agreement | 5.48 | % | |
Total | 100.00 | % |
6
Core Plus Bond Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses | |||||||||||
Account | Account | Paid During | |||||||||||
Value | Value | Period† | |||||||||||
12/1/17 – | |||||||||||||
12/1/17 | 5/31/18 | 5/31/18 | |||||||||||
Class A | |||||||||||||
Actual | $ | 1,000.00 | $ | 989.00 | $ | 3.37 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.54 | $ | 3.43 | |||||||
Class C | |||||||||||||
Actual | $ | 1,000.00 | $ | 985.60 | $ | 6.78 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.10 | $ | 6.89 | |||||||
Class F | |||||||||||||
Actual | $ | 1,000.00 | $ | 989.50 | $ | 2.88 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.04 | $ | 2.92 | |||||||
Class F3* | |||||||||||||
Actual | $ | 1,000.00 | $ | 991.00 | $ | 2.13 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.80 | $ | 2.17 | |||||||
Class I* | |||||||||||||
Actual | $ | 1,000.00 | $ | 990.00 | $ | 2.38 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.54 | $ | 2.42 | |||||||
Class R2 | |||||||||||||
Actual | $ | 1,000.00 | $ | 987.10 | $ | 5.35 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.55 | $ | 5.44 | |||||||
Class R3 | |||||||||||||
Actual | $ | 1,000.00 | $ | 987.60 | $ | 4.86 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.04 | $ | 4.94 | |||||||
Class R4 | |||||||||||||
Actual | $ | 1,000.00 | $ | 988.80 | $ | 3.62 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,021.29 | $ | 3.68 | |||||||
Class R5 | |||||||||||||
Actual | $ | 1,000.00 | $ | 990.00 | $ | 2.38 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.54 | $ | 2.42 | |||||||
Class R6* | |||||||||||||
Actual | $ | 1,000.00 | $ | 990.30 | $ | 1.98 | |||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,022.94 | $ | 2.02 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.68% for Class A, 1.37% for Class C, 0.58% for Class F, 0.43% for Class F3, 0.48% for Class I, 1.08% for Class R2, 0.98% for Class R3, 0.73% for Class R4, 0.48% for Class R5 and 0.40% for Class R6) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
* | The annualized expenses have been updated to 0.47% for Class F3, 0.46% for Class I and 0.47% for Class R6. Had these updated expense ratios been in place throughout the most recent fiscal half-year, expenses paid during the period would have been: |
Hypothetical | |||||
(5% Return | |||||
Actual | Before Expenses) | ||||
Class F3 | $2.33 | $2.37 | |||
Class I | $2.28 | $2.32 | |||
Class R6 | $2.33 | $2.37 |
7
Portfolio Holdings Presented by Sector
May 31, 2018
Sector* | %** | ||
Auto | 1.43 | % | |
Basic Industry | 0.38 | % | |
Capital Goods | 0.18 | % | |
Consumer Cyclical | 1.24 | % | |
Consumer Discretionary | 0.54 | % | |
Consumer Services | 2.61 | % | |
Consumer Staples | 0.90 | % | |
Energy | 5.80 | % | |
Financial Services | 49.08 | % | |
Foreign Government | 3.11 | % | |
Health Care | 2.70 | % | |
Integrated Oils | 0.56 | % | |
Manufacturing | 0.13 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | ||
Materials & Processing | 3.13 | % | |
Municipal | 0.03 | % | |
Other | 0.13 | % | |
Producer Durables | 0.92 | % | |
Service | 0.09 | % | |
Technology | 2.04 | % | |
Telecommunications | 1.78 | % | |
Transportation | 0.58 | % | |
U.S. Government | 17.16 | % | |
Utilities | 2.13 | % | |
Repurchase Agreement | 3.35 | % | |
Total | 100.00 | % |
8
Corporate Bond Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value | Expenses Paid During Period† | |||||
12/1/17 | 5/31/18 | 12/1/17 – 5/31/18 | |||||
Class A | |||||||
Actual | $1,000.00 | $ 981.30 | $3.36 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.54 | $3.43 | ||||
Class C | |||||||
Actual | $1,000.00 | $ 977.40 | $7.30 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,017.55 | $7.44 | ||||
Class F | |||||||
Actual | $1,000.00 | $ 981.80 | $2.87 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.04 | $2.92 | ||||
Class F3* | |||||||
Actual | $1,000.00 | $ 982.70 | $1.88 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.00 | $1.92 | ||||
Class I | |||||||
Actual | $1,000.00 | $ 982.00 | $2.37 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.54 | $2.42 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $ 979.30 | $5.33 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.55 | $5.44 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $ 979.80 | $4.84 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.04 | $4.94 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $ 981.00 | $3.61 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.29 | $3.68 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $ 982.20 | $2.37 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.54 | $2.42 | ||||
Class R6* | |||||||
Actual | $1,000.00 | $ 982.70 | $1.88 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.04 | $1.92 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.68% for Class A, 1.48% for Class C, 0.58% for Class F, 0.38% for Class F3, 0.48% for Class I, 1.08% for Class R2, 0.98% for Class R3, 0.73% for Class R4, 0.48% for Class R5 and 0.38% for Class R6) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
* | The annualized expenses have been updated to 0.37% for Class F3 and Class R6. Had these updated expense ratios been in place throughout the most recent fiscal half-year, expenses paid during the period would have been: |
Actual | Hypothetical (5% Return Before Expenses) | ||
Class F3 | $1.83 | $1.87 | |
Class R6 | $1.83 | $1.87 |
9
Portfolio Holdings Presented by Sector
May 31, 2018
Sector* | %** | |
Auto | 3.07 | % |
Basic Industry | 0.25 | % |
Capital Goods | 0.92 | % |
Consumer Cyclical | 1.12 | % |
Consumer Discretionary | 0.14 | % |
Consumer Services | 3.67 | % |
Consumer Staples | 1.66 | % |
Energy | 13.94 | % |
Financial Services | 30.45 | % |
Health Care | 7.88 | % |
Integrated Oils | 1.39 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | |
Materials & Processing | 5.26 | % |
Municipal | 0.60 | % |
Producer Durables | 2.08 | % |
Technology | 5.85 | % |
Telecommunications | 3.64 | % |
Transportation | 1.30 | % |
U.S. Government | 3.82 | % |
Utilities | 10.76 | % |
Repurchase Agreement | 2.20 | % |
Total | 100.00 | % |
10
Floating Rate Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value | Expenses Paid During Period† | |||||
12/1/17 | 5/31/18 | 12/1/17 – 5/31/18 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,021.80 | $3.93 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.04 | $3.93 | ||||
Class C | |||||||
Actual | $1,000.00 | $1,019.70 | $7.20 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,017.80 | $7.19 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,022.30 | $3.43 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.54 | $3.43 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $1,024.20 | $2.68 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.29 | $2.67 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,023.90 | $2.93 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.04 | $2.92 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,019.80 | $5.94 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.05 | $5.94 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,021.40 | $5.44 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.55 | $5.44 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,021.60 | $4.18 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.79 | $4.18 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,024.00 | $2.93 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.04 | $2.92 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $1,023.10 | $2.67 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.29 | $2.67 | ||||
Class T | |||||||
Actual | $1,000.00 | $1,023.10 | $3.83 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.14 | $3.83 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.78% for Class A, 1.43% for Class C, 0.68% for Class F, 0.53% for Class F3, 0.58% for Class I, 1.18% for Class R2, 1.08% for Class R3, 0.83% for Class R4, 0.58% for Class R5, 0.53% for Class R6 and 0.76% for Class T) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
11
Portfolio Holdings Presented by Sector
May 31, 2018
Sector* | %** | |
Aerospace | 4.48 | % |
Chemicals | 2.07 | % |
Consumer Durables | 1.20 | % |
Consumer Non-Durables | 1.18 | % |
Energy | 4.36 | % |
Exchange-Traded Fund | 1.09 | % |
Financial | 7.28 | % |
Food and Drug | 2.35 | % |
Food/Tobacco | 1.59 | % |
Forest Products | 0.99 | % |
Gaming/Leisure | 7.66 | % |
Healthcare | 6.30 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | |
Housing | 1.47 | % |
Information Technology | 10.31 | % |
Manufacturing | 6.15 | % |
Media/Telecommunications | 10.98 | % |
Metals/Minerals | 2.92 | % |
Retail | 4.74 | % |
Service | 10.69 | % |
Transportation | 4.24 | % |
Utility | 3.20 | % |
Repurchase Agreement | 4.75 | % |
Total | 100.00 | % |
12
High Yield Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value | Expenses Paid During Period† | |||||
12/1/17 | 5/31/18 | 12/1/17 – 5/31/18 | |||||
Class A | |||||||
Actual | $1,000.00 | $ 991.50 | $4.37 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.54 | $4.43 | ||||
Class C | |||||||
Actual | $1,000.00 | $ 988.20 | $7.58 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,017.30 | $7.70 | ||||
Class F | |||||||
Actual | $1,000.00 | $ 992.00 | $3.87 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.04 | $3.93 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $ 993.10 | $2.98 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.90 | $3.02 | ||||
Class I | |||||||
Actual | $1,000.00 | $ 992.60 | $3.38 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.54 | $3.43 | ||||
Class P | |||||||
Actual | $1,000.00 | $ 990.90 | $5.61 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.30 | $5.69 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $ 988.50 | $6.35 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.55 | $6.44 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $ 990.30 | $5.86 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.05 | $5.94 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $ 991.40 | $4.62 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.29 | $4.68 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $ 992.70 | $3.38 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.54 | $3.43 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $ 993.10 | $2.98 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.94 | $3.02 | ||||
Class T | |||||||
Actual | $1,000.00 | $ 991.70 | $4.12 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.79 | $4.18 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.88% for Class A, 1.53% for Class C, 0.78% for Class F, 0.60% for Class F3, 0.68% for Class I, 1.13% for Class P, 1.28% for Class R2, 1.18% for Class R3, 0.93% for Class R4, 0.68% for Class R5, 0.60% for Class R6 and 0.83% for Class T) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
13
Portfolio Holdings Presented by Sector
May 31, 2018
Sector* | %** | |
Asset Backed | 0.42 | % |
Automotive | 2.25 | % |
Banking | 3.80 | % |
Basic Industry | 13.48 | % |
Capital Goods | 5.68 | % |
Consumer Goods | 3.43 | % |
Energy | 14.32 | % |
Financial Services | 3.41 | % |
Foreign Government | 1.09 | % |
Healthcare | 9.85 | % |
Insurance | 0.78 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | |
Leisure | 5.60 | % |
Media | 6.92 | % |
Real Estate | 0.54 | % |
Retail | 5.97 | % |
Services | 6.57 | % |
Technology & Electronics | 4.27 | % |
Telecommunications | 4.66 | % |
Transportation | 3.04 | % |
Utility | 3.78 | % |
Repurchase Agreement | 0.14 | % |
Total | 100.00 | % |
14
Income Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value | Expenses Paid During Period† | |||||
12/1/17 | 5/31/18 | 12/1/17 – 5/31/18 | |||||
Class A* | |||||||
Actual | $1,000.00 | $ 987.70 | $3.82 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.09 | $3.88 | ||||
Class C* | |||||||
Actual | $1,000.00 | $ 984.70 | $6.88 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.00 | $6.99 | ||||
Class F* | |||||||
Actual | $1,000.00 | $ 988.10 | $3.32 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.59 | $3.38 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $ 989.00 | $2.33 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.60 | $2.37 | ||||
Class I* | |||||||
Actual | $1,000.00 | $ 988.60 | $2.83 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.09 | $2.87 | ||||
Class R2* | |||||||
Actual | $1,000.00 | $ 985.90 | $5.79 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.10 | $5.89 | ||||
Class R3* | |||||||
Actual | $1,000.00 | $ 982.80 | $5.29 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.60 | $5.39 | ||||
Class R4* | |||||||
Actual | $1,000.00 | $ 987.40 | $4.06 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.84 | $4.13 | ||||
Class R5* | |||||||
Actual | $1,000.00 | $ 988.60 | $2.88 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.04 | $2.92 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $ 985.50 | $2.33 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.59 | $2.37 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.77% for Class A, 1.39% for Class C, 0.67% for Class F, 0.47% for Class F3, 0.57% for Class I, 1.17% for Class R2, 1.07% for Class R3, 0.82% for Class R4, 0.58% for Class R5 and 0.47% for Class R6) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
* | The annualized expenses have been updated to 0.76% for Class A, 1.38% for Class C, 0.66% for Class F, 0.56% for Class I, 1.16% for Class R2, 1.06% for Class R3, 0.81% for Class R4 and 0.56% for Class R5. Had these updated expense ratios been in place throughout the most recent fiscal half-year, expenses paid during the period would have been: |
15
Actual | Hypothetical (5% Return Before Expenses) | ||
Class A | $3.77 | $3.83 | |
Class C | $6.83 | $6.94 | |
Class F | $3.27 | $3.33 | |
Class I | $2.78 | $2.82 | |
Class R2 | $5.74 | $5.84 | |
Class R3 | $5.24 | $5.34 | |
Class R4 | $4.01 | $4.08 | |
Class R5 | $2.78 | $2.82 |
Portfolio Holdings Presented by Sector
May 31, 2018
Sector* | %** | |
Auto | 2.66 | % |
Basic Industry | 0.70 | % |
Capital Goods | 0.87 | % |
Consumer Cyclical | 1.31 | % |
Consumer Discretionary | 1.06 | % |
Consumer Services | 3.54 | % |
Consumer Staples | 2.11 | % |
Energy | 13.66 | % |
Financial Services | 33.60 | % |
Foreign Government | 0.91 | % |
Health Care | 5.82 | % |
Integrated Oils | 0.70 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | |
Materials & Processing | 6.91 | % |
Municipal | 0.73 | % |
Other | 0.18 | % |
Producer Durables | 1.50 | % |
Technology | 5.45 | % |
Telecommunications | 3.51 | % |
Transportation | 1.88 | % |
U.S. Government | 4.06 | % |
Utilities | 7.06 | % |
Repurchase Agreement | 1.78 | % |
Total | 100.00 | % |
16
Inflation Focused Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value | Expenses Paid During Period† | |||||
12/1/17 | 5/31/18 | 12/1/17 – 5/31/18 | |||||
Class A* | |||||||
Actual | $1,000.00 | $1,015.10 | $3.62 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.34 | $3.63 | ||||
Class C* | |||||||
Actual | $1,000.00 | $1,011.80 | $6.92 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.05 | $6.94 | ||||
Class F* | |||||||
Actual | $1,000.00 | $1,015.60 | $3.07 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.89 | $3.07 | ||||
Class F3* | |||||||
Actual | $1,000.00 | $1,016.80 | $1.96 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.00 | $1.97 | ||||
Class I* | |||||||
Actual | $1,000.00 | $1,016.20 | $2.61 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.34 | $2.62 | ||||
Class R2* | |||||||
Actual | $1,000.00 | $1,013.10 | $5.62 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.35 | $5.64 | ||||
Class R3* | |||||||
Actual | $1,000.00 | $1,013.70 | $5.12 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.85 | $5.14 | ||||
Class R4* | |||||||
Actual | $1,000.00 | $1,014.90 | $3.82 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.14 | $3.83 | ||||
Class R5* | |||||||
Actual | $1,000.00 | $1,016.20 | $2.46 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.49 | $2.47 | ||||
Class R6* | |||||||
Actual | $1,000.00 | $1,016.80 | $1.96 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.99 | $1.97 | ||||
Class T* | |||||||
Actual | $1,000.00 | $1,015.20 | $3.57 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.39 | $3.58 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.72% for Class A, 1.38% for Class C, 0.61% for Class F, 0.39% for Class F3, 0.52% for Class I, 1.12% for Class R2, 1.02% for Class R3, 0.76% for Class R4, 0.49% for Class R5, 0.39% for Class R6 and 0.71% for Class T) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
* | The annualized expenses have been updated to 0.67% for Class A, 1.33% for Class C, 0.56% for Class F, 0.41% for Class F3, 0.47% for Class I, 1.07% for Class R2, 0.96% for Class R3, 0.71% for Class R4, 0.46% for Class R5, 0.41%, for Class R6 and 0.65% for Class T. Had these updated expense ratios been in place throughout the most recent fiscal half-year, expenses paid during the period would have been: |
17
Actual | Hypothetical (5% Return Before Expenses) | ||
Class A | $3.37 | $3.38 | |
Class C | $6.67 | $6.69 | |
Class F | $2.81 | $2.82 | |
Class F3 | $2.06 | $2.07 | |
Class I | $2.36 | $2.37 | |
Class R2 | $5.37 | $5.39 | |
Class R3 | $4.82 | $4.84 | |
Class R4 | $3.57 | $3.58 | |
Class R5 | $2.31 | $2.32 | |
Class R6 | $2.06 | $2.07 | |
Class T | $3.27 | $3.28 |
Portfolio Holdings Presented by Sector
May 31, 2018
Sector* | %** | |
Auto | 2.19 | % |
Basic Industry | 0.23 | % |
Capital Goods | 0.61 | % |
Consumer Cyclical | 1.35 | % |
Consumer Discretionary | 0.59 | % |
Consumer Services | 1.13 | % |
Consumer Staples | 0.54 | % |
Energy | 8.70 | % |
Financial Services | 60.17 | % |
Foreign Government | 1.14 | % |
Health Care | 2.08 | % |
Integrated Oils | 0.22 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | |
Materials & Processing | 3.57 | % |
Municipal | 0.27 | % |
Other | 0.13 | % |
Producer Durables | 1.06 | % |
Technology | 2.78 | % |
Telecommunications | 0.40 | % |
Transportation | 0.58 | % |
U.S. Government | 9.12 | % |
Utilities | 2.11 | % |
Repurchase Agreement | 1.03 | % |
Total | 100.00 | % |
18
Short Duration Core Bond Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value | Expenses Paid During Period† | |||||
12/1/17 | 5/31/18 | 12/1/17 – 5/31/18 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,002.00 | $2.99 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.94 | $3.02 | ||||
Class C | |||||||
Actual | $1,000.00 | $ 998.20 | $6.97 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,017.95 | $7.04 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,002.60 | $2.50 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.44 | $2.52 | ||||
Class F3* | |||||||
Actual | $1,000.00 | $1,003.50 | $1.55 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.40 | $1.56 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,003.10 | $2.00 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.94 | $2.02 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,000.10 | $4.99 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.95 | $5.04 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,000.60 | $4.49 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.44 | $4.53 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,001.80 | $3.24 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.69 | $3.28 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,003.10 | $2.00 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.94 | $2.02 | ||||
Class R6* | |||||||
Actual | $1,000.00 | $1,003.50 | $1.55 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.39 | $1.56 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.60% for Class A, 1.40% for Class C, 0.50% for Class F, 0.31% for Class F3, 0.40% for Class I, 1.00% for Class R2, 0.90% for Class R3, 0.65% for Class R4, 0.40% for Class R5 and 0.31% for Class R6) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
* | The annualized expenses have been updated to 0.32% for Class F3 and Class R6. Had these updated expense ratios been in place throughout the most recent fiscal half-year, expenses paid during the period would have been: |
Actual | Hypothetical (5% Return Before Expenses) | ||
Class F3 | $1.60 | $1.61 | |
Class R6 | $1.60 | $1.61 |
19
Portfolio Holdings Presented by Sector
May 31, 2018
Sector* | %** | |
Auto | 3.53 | % |
Capital Goods | 0.21 | % |
Consumer Discretionary | 0.10 | % |
Consumer Services | 1.06 | % |
Consumer Staples | 0.20 | % |
Energy | 7.87 | % |
Financial Services | 68.39 | % |
Foreign Government | 2.03 | % |
Health Care | 1.47 | % |
Materials & Processing | 2.86 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | |
Municipal | 0.06 | % |
Producer Durables | 1.21 | % |
Technology | 1.36 | % |
Telecommunications | 0.17 | % |
Undefined | 0.04 | % |
U.S. Government | 2.64 | % |
Utilities | 4.96 | % |
Repurchase Agreement | 1.84 | % |
Total | 100.00 | % |
20
Short Duration Income Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses | |||||
Account | Account | Paid During | |||||
Value | Value | Period† | |||||
12/1/17 – | |||||||
12/1/17 | 5/31/18 | 5/31/18 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,002.00 | $2.94 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.04 | $2.97 | ||||
Class C | |||||||
Actual | $1,000.00 | $ 999.00 | $6.13 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.80 | $6.19 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,002.50 | $2.45 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.54 | $2.47 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $1,005.70 | $1.60 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.30 | $1.61 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,005.40 | $1.95 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.04 | $1.97 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,000.10 | $4.94 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.00 | $4.99 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,002.90 | $4.44 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.49 | $4.48 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,001.90 | $3.19 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.79 | $3.23 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,005.40 | $1.95 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.04 | $1.97 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $1,003.40 | $1.60 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.34 | $1.61 | ||||
Class T | |||||||
Actual | $1,000.00 | $1,004.50 | $2.80 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.14 | $2.82 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.59% for Class A, 1.23% for Class C, 0.49% for Class F, 0.32% for Class F3, 0.39% for Class I, 0.99% for Class R2, 0.89% for Class R3, 0.64% for Class R4, 0.39% for Class R5, 0.32% for Class R6 and 0.56% for Class T) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
21
Portfolio Holdings Presented by Sector
May 31, 2018
Sector* | %** | |
Auto | 2.13 | % |
Basic Industry | 0.30 | % |
Capital Goods | 0.77 | % |
Consumer Cyclical | 0.86 | % |
Consumer Discretionary | 0.64 | % |
Consumer Services | 1.34 | % |
Consumer Staples | 0.63 | % |
Energy | 9.04 | % |
Financial Services | 64.86 | % |
Foreign Government | 0.66 | % |
Health Care | 1.98 | % |
Integrated Oils | 0.23 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | |
Materials & Processing | 3.71 | % |
Municipal | 0.34 | % |
Other | 0.12 | % |
Producer Durables | 0.81 | % |
Technology | 2.95 | % |
Telecommunications | 0.43 | % |
Transportation | 0.53 | % |
U.S. Government | 5.39 | % |
Utilities | 2.19 | % |
Repurchase Agreement | 0.09 | % |
Total | 100.00 | % |
22
Total Return Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses | |||||
Account | Account | Paid During | |||||
Value | Value | Period† | |||||
12/1/17 – | |||||||
12/1/17 | 5/31/18 | 5/31/18 | |||||
Class A* | |||||||
Actual | $1,000.00 | $ 986.70 | $3.37 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.54 | $3.43 | ||||
Class C* | |||||||
Actual | $1,000.00 | $ 983.60 | $6.43 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.45 | $6.54 | ||||
Class F* | |||||||
Actual | $1,000.00 | $ 987.20 | $2.87 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.04 | $2.92 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $ 988.20 | $1.78 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.10 | $1.82 | ||||
Class I* | |||||||
Actual | $1,000.00 | $ 987.80 | $2.28 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.64 | $2.32 | ||||
Class P* | |||||||
Actual | $1,000.00 | $ 985.60 | $4.60 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.29 | $4.68 | ||||
Class R2* | |||||||
Actual | $1,000.00 | $ 984.70 | $5.34 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.55 | $5.44 | ||||
Class R3* | |||||||
Actual | $1,000.00 | $ 984.20 | $4.85 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.04 | $4.94 | ||||
Class R4* | |||||||
Actual | $1,000.00 | $ 986.40 | $3.62 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.29 | $3.68 | ||||
Class R5* | |||||||
Actual | $1,000.00 | $ 987.70 | $2.38 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.54 | $2.42 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $ 988.30 | $1.78 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.14 | $1.82 | ||||
Class T* | |||||||
Actual | $1,000.00 | $ 985.60 | $3.42 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.49 | $3.48 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.68% for Class A, 1.30% for Class C, 0.58% for Class F, 0.36% for Class F3, 0.46% for Class I, 0.93% for Class P, 1.08% for Class R2, 0.98% for Class R3, 0.73% for Class R4, 0.48% for Class R5, 0.36% for Class R6 and 0.69% for Class T) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
* | The annualized expenses have been updated to 0.69% for Class A, 1.31% for Class C, 0.59% for Class F, 0.45% for Class I, 0.94% for Class P, 1.10% for Class R2, 1.10% for Class R3, 0.74% for Class R4, 0.49% for Class R5 and 0.62% for Class T. Had these updated expense ratios been in place throughout the most recent fiscal half-year, expenses paid during the period would have been: |
23
Hypothetical | |||||
(5% Return | |||||
Actual | Before Expenses) | ||||
Class A | $3.42 | $3.48 | |||
Class C | $6.48 | $6.59 | |||
Class F | $2.91 | $2.96 | |||
Class I | $2.23 | $2.27 | |||
Class P | $4.65 | $4.74 | |||
Class R2 | $5.44 | $5.54 | |||
Class R3 | $4.95 | $5.04 | |||
Class R4 | $3.67 | $3.73 | |||
Class R5 | $2.43 | $2.47 | |||
Class T | $3.07 | $3.13 |
Portfolio Holdings Presented by Sector
May 31, 2018
Sector* | %** | |
Auto | 1.08 | % |
Basic Industry | 0.18 | % |
Capital Goods | 0.11 | % |
Consumer Cyclical | 0.50 | % |
Consumer Discretionary | 0.31 | % |
Consumer Services | 1.29 | % |
Consumer Staples | 1.00 | % |
Energy | 2.90 | % |
Financial Services | 34.13 | % |
Food/Tobacco | 0.09 | % |
Foreign Government | 6.08 | % |
Health Care | 1.22 | % |
Integrated Oils | 0.30 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | |
Manufacturing | 0.09 | % |
Materials & Processing | 2.52 | % |
Municipal | 0.19 | % |
Other | 0.10 | % |
Producer Durables | 0.63 | % |
Service | 0.09 | % |
Technology | 2.07 | % |
Telecommunications | 0.63 | % |
Transportation | 0.33 | % |
U.S. Government | 37.48 | % |
Utilities | 1.57 | % |
Repurchase Agreement | 5.11 | % |
Total | 100.00 | % |
24
Ultra Short Bond Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses | |||||
Account | Account | Paid During | |||||
Value | Value | Period† | |||||
12/1/17 – | |||||||
12/1/17 | 5/31/18 | 5/31/18 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,007.90 | $2.00 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.94 | $2.02 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,009.10 | $1.75 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.19 | $1.77 | ||||
Class F3* | |||||||
Actual | $1,000.00 | $1,009.90 | $1.05 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.90 | $1.06 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,008.70 | $1.25 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.68 | $1.26 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,009.80 | $1.25 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.68 | $1.26 | ||||
Class R6* | |||||||
Actual | $1,000.00 | $1,009.90 | $1.10 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.83 | $1.11 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.40% for Class A, 0.35% for Class F, 0.21% for Class F3, 0.25% for Class I, 0.25% for Class R5, and 0.22% for Class R6) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
* | The annualized expenses have been updated to 0.23% for Class F3 and Class R6. Had these updated expense ratios been in place throughout the most recent fiscal half-year, expenses paid during the period would have been: |
Hypothetical | |||||
(5% Return | |||||
Actual | Before Expenses) | ||||
Class F3 | $1.15 | $1.16 | |||
Class R6 | $1.15 | $1.16 |
25
Portfolio Holdings Presented by Sector
May 31, 2018
Sector* | %** | |
Auto | 4.71 | % |
Basic Industry | 0.85 | % |
Capital Goods | 0.04 | % |
Consumer Cyclicals | 0.38 | % |
Consumer Discretionary | 1.18 | % |
Consumer Services | 2.90 | % |
Consumer Staples | 1.78 | % |
Energy | 8.49 | % |
Financial Services | 57.66 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | |
Health Care | 3.43 | % |
Materials & Processing | 4.52 | % |
Producer Durables | 2.14 | % |
Technology | 3.28 | % |
U.S. Government | 1.73 | % |
Utilities | 6.82 | % |
Repurchase Agreement | 0.09 | % |
Total | 100.00 | % |
26
Schedule of Investments (unaudited)
Investments | Shares (000) | Fair Value | ||||||
LONG-TERM INVESTMENTS 100.52% | ||||||||
COMMON STOCKS 16.30% | ||||||||
Banking 2.43% | ||||||||
Comerica, Inc. | 37 | $ | 3,469,872 | |||||
FCB Financial Holdings, Inc. Class A* | 59 | 3,596,050 | ||||||
JPMorgan Chase & Co. | 32 | 3,424,320 | ||||||
SVB Financial Group* | 15 | 4,557,098 | ||||||
Texas Capital Bancshares, Inc.* | 40 | 3,854,000 | ||||||
TriState Capital Holdings, Inc.* | 120 | 3,084,000 | ||||||
Total | 21,985,340 | |||||||
Beverages 0.33% | ||||||||
Treasury Wine Estates Ltd.(a) | AUD 237 | 2,960,721 | ||||||
Chemicals 0.30% | ||||||||
Balchem Corp. | 28 | 2,700,040 | ||||||
Diversified Capital Goods 0.48% | ||||||||
Exponent, Inc. | 45 | 4,384,180 | ||||||
Electronics 0.26% | ||||||||
Nintendo Co., Ltd.(a) | JPY 6 | 2,374,149 | ||||||
Energy: Exploration & Production 0.25% | ||||||||
Energen Corp.* | 34 | 2,286,208 | ||||||
Forestry/Paper 0.47% | ||||||||
Rayonier, Inc. | 108 | 4,213,508 | ||||||
Gaming 0.41% | ||||||||
Galaxy Entertainment Group Ltd.(a) | HKD 419 | 3,672,076 | ||||||
Health Services 0.77% | ||||||||
Accelerate Diagnostics, Inc.* | 57 | 1,162,800 | ||||||
Anthem, Inc. | 26 | 5,801,204 | ||||||
Total | 6,964,004 | |||||||
Hotels 0.40% | ||||||||
Wingstop, Inc. | 71 | 3,618,160 | ||||||
Medical Products 0.27% | ||||||||
Mazor Robotics Ltd. ADR* | 41 | 2,425,848 |
See Notes to Financial Statements. | 27 |
Schedule of Investments (unaudited)(continued)
CONVERTIBLE FUND May 31, 2018
Investments | Shares (000) | Fair Value | ||||||
Metals/Mining (Excluding Steel) 0.88% | ||||||||
Alcoa Corp.* | 60 | $ | 2,884,200 | |||||
BHP Billiton plc(a) | GBP 223 | 5,127,403 | ||||||
Total | 8,011,603 | |||||||
Oil Field Equipment & Services 0.34% | ||||||||
Core Laboratories NV (Netherlands)(b) | 25 | 3,104,500 | ||||||
Pharmaceuticals 2.15% | ||||||||
Aurora Cannabis, Inc. (Canada)*(b) | 462 | 2,885,000 | ||||||
Bluebird Bio, Inc.* | 12 | 2,148,600 | ||||||
Blueprint Medicines Corp.* | 33 | 2,771,781 | ||||||
GW Pharmaceuticals plc ADR* | 40 | 6,439,600 | ||||||
Sage Therapeutics, Inc.* | 18 | 2,809,496 | ||||||
Spark Therapeutics, Inc.* | 30 | 2,393,700 | ||||||
Total | 19,448,177 | |||||||
Rail 0.35% | ||||||||
Landstar System, Inc. | 28 | 3,175,200 | ||||||
Recreation & Travel 0.43% | ||||||||
Callaway Golf Co. | 207 | 3,922,474 | ||||||
Restaurants 0.25% | ||||||||
Texas Roadhouse, Inc. | 36 | 2,230,920 | ||||||
Software/Services 2.31% | ||||||||
Carbon Black, Inc.* | 159 | 3,738,090 | ||||||
GoDaddy, Inc. Class A* | 50 | 3,579,500 | ||||||
MSCI, Inc. | 23 | 3,787,881 | ||||||
Splunk, Inc.* | 47 | 5,208,070 | ||||||
Talend SA ADR* | 82 | 4,655,960 | ||||||
Total | 20,969,501 | |||||||
Specialty Retail 2.29% | ||||||||
American Eagle Outfitters, Inc. | 114 | 2,530,800 | ||||||
At Home Group, Inc.* | 106 | 3,651,355 | ||||||
Columbia Sportswear Co. | 41 | 3,545,377 | ||||||
Movado Group, Inc. | 55 | 2,700,500 | ||||||
PRADA SpA(a) | HKD 803 | 4,213,222 | ||||||
Swatch Group AG (The)(a) | CHF 9 | 4,135,346 | ||||||
Total | 20,776,600 |
28 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CONVERTIBLE FUND May 31, 2018
Investments | Shares (000) | Fair Value | ||||||||||
Technology Hardware & Equipment 0.51% | ||||||||||||
nLight, Inc.* | 124 | $ | 4,606,600 | |||||||||
Transportation: Infrastructure/Services 0.42% | ||||||||||||
XPO Logistics, Inc.* | 36 | 3,778,475 | ||||||||||
Total Common Stocks (cost $135,340,597) | 147,608,284 | |||||||||||
Interest Rate | Maturity Date | Principal Amount (000) | ||||||||||
CONVERTIBLE BONDS 76.60% | ||||||||||||
Air Transportation 0.84% | ||||||||||||
Atlas Air Worldwide Holdings, Inc. | 1.875% | 6/1/2024 | $ | 5,905 | 7,619,168 | |||||||
Automakers 1.28% | ||||||||||||
Navistar International Corp. | 4.50% | 10/15/2018 | 3,000 | 3,033,861 | ||||||||
Tesla, Inc. | 0.25% | 3/1/2019 | 8,420 | 8,522,438 | ||||||||
Total | 11,556,299 | |||||||||||
Cable & Satellite Television 0.26% | ||||||||||||
DISH Network Corp. | 3.375% | 8/15/2026 | 2,655 | 2,361,145 | ||||||||
Electric: Generation 2.75% | ||||||||||||
NRG Yield, Inc.† | 3.25% | 6/1/2020 | 25,065 | 24,954,915 | ||||||||
Electric: Integrated 0.79% | ||||||||||||
NextEra Energy Partners LP† | 1.50% | 9/15/2020 | 7,100 | 7,122,805 | ||||||||
Electronics 9.48% | ||||||||||||
Electronics For Imaging, Inc. | 0.75% | 9/1/2019 | 3,390 | 3,354,557 | ||||||||
Intel Corp. | 3.25% | 8/1/2039 | 9,490 | 25,220,880 | ||||||||
Microchip Technology, Inc. | 1.625% | 2/15/2025 | 12,805 | 24,333,918 | ||||||||
Micron Technology, Inc. | 2.125% | 2/15/2033 | 4,580 | 24,071,088 | ||||||||
Novellus Systems, Inc. | 2.625% | 5/15/2041 | 1,495 | 8,850,417 | ||||||||
Total | 85,830,860 | |||||||||||
Energy: Exploration & Production 2.16% | ||||||||||||
Chesapeake Energy Corp. | 5.50% | 9/15/2026 | 3,700 | 3,589,252 | ||||||||
PDC Energy, Inc. | 1.125% | 9/15/2021 | 6,190 | 6,453,075 | ||||||||
Tesla Energy Operations, Inc. | 1.625% | 11/1/2019 | 10,256 | 9,498,502 | ||||||||
Total | 19,540,829 |
See Notes to Financial Statements. | 29 |
Schedule of Investments (unaudited)(continued)
CONVERTIBLE FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Food: Wholesale 1.33% | ||||||||||||
Herbalife Nutrition Ltd.† | 2.625% | 3/15/2024 | $ | 11,615 | $ | 12,031,758 | ||||||
Gas Distribution 0.75% | ||||||||||||
Cheniere Energy, Inc. | 4.25% | 3/15/2045 | 8,500 | 6,798,292 | ||||||||
Health Facilities 0.87% | ||||||||||||
Teladoc, Inc.† | 3.00% | 12/15/2022 | 5,810 | 7,926,699 | ||||||||
Health Services 0.44% | ||||||||||||
Insmed, Inc. | 1.75% | 1/15/2025 | 3,970 | 3,963,005 | ||||||||
Hotels 1.02% | ||||||||||||
Caesars Entertainment Corp. | 5.00% | 10/1/2024 | 5,000 | 9,244,000 | ||||||||
Machinery 1.41% | ||||||||||||
Chart Industries, Inc.† | 1.00% | 11/15/2024 | 10,210 | 12,809,823 | ||||||||
Managed Care 0.77% | ||||||||||||
Molina Healthcare, Inc. | 1.125% | 1/15/2020 | 3,295 | 6,964,625 | ||||||||
Medical Products 4.40% | ||||||||||||
DexCom, Inc.† | 0.75% | 5/15/2022 | 9,200 | 10,231,044 | ||||||||
Insulet Corp.† | 1.375% | 11/15/2024 | 12,273 | 14,477,108 | ||||||||
Quidel Corp. | 3.25% | 12/15/2020 | 3,585 | 7,270,448 | ||||||||
Wright Medical Group NV (Netherlands)(b) | 2.25% | 11/15/2021 | 6,000 | 7,853,562 | ||||||||
Total | 39,832,162 | |||||||||||
Metals/Mining (Excluding Steel) 0.80% | ||||||||||||
Endeavour Mining Corp. (Monaco)†(b) | 3.00% | 2/15/2023 | 2,250 | 2,278,125 | ||||||||
Gold Exchangeable Ltd. (Jersey)(b) | 6.875% | 5/13/2022 | 5,000 | 4,978,100 | ||||||||
Total | 7,256,225 | |||||||||||
Oil Field Equipment & Services 2.40% | ||||||||||||
Ensco Jersey Finance Ltd. (Jersey)(b) | 3.00% | 1/31/2024 | 7,355 | 6,644,978 | ||||||||
Transocean, Inc. | 0.50% | 1/30/2023 | 4,115 | 5,623,641 | ||||||||
Weatherford International Ltd. | 5.875% | 7/1/2021 | 9,680 | 9,480,098 | ||||||||
Total | 21,748,717 | |||||||||||
Pharmaceuticals 5.67% | ||||||||||||
Amicus Therapeutics, Inc.† | 3.00% | 12/15/2023 | 1,250 | 3,587,769 | ||||||||
Illumina, Inc. | 0.50% | 6/15/2021 | 10,233 | 13,454,799 | ||||||||
Jazz Investments I Ltd. (Ireland)†(b) | 1.50% | 8/15/2024 | 5,400 | 5,539,331 | ||||||||
Ligand Pharmaceuticals, Inc.† | 0.75% | 5/15/2023 | 4,000 | 4,033,084 |
30 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CONVERTIBLE FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Pharmaceuticals (continued) | ||||||||||||
Ligand Pharmaceuticals, Inc. | 0.75% | 8/15/2019 | $ | 2,650 | $ | 6,778,279 | ||||||
Neurocrine Biosciences, Inc. | 2.25% | 5/15/2024 | 6,460 | 9,306,844 | ||||||||
Sarepta Therapeutics, Inc.† | 1.50% | 11/15/2024 | 5,810 | 8,631,655 | ||||||||
Total | 51,331,761 | |||||||||||
Printing & Publishing 0.66% | ||||||||||||
Okta, Inc.† | 0.25% | 2/15/2023 | 4,500 | 5,953,095 | ||||||||
Real Estate Investment Trusts 2.69% | ||||||||||||
Starwood Property Trust, Inc. | 4.375% | 4/1/2023 | 4,840 | 4,882,461 | ||||||||
VEREIT, Inc. | 3.00% | 8/1/2018 | 5,420 | 5,423,561 | ||||||||
VEREIT, Inc. | 3.75% | 12/15/2020 | 13,935 | 14,097,538 | ||||||||
Total | 24,403,560 | |||||||||||
Software/Services 22.32% | ||||||||||||
Altaba, Inc. | Zero Coupon | 12/1/2018 | 7,065 | 10,224,079 | ||||||||
Atlassian, Inc.† | 0.625% | 5/1/2023 | 8,000 | 8,412,520 | ||||||||
Booking Holdings, Inc. | 0.35% | 6/15/2020 | 10,840 | 17,574,545 | ||||||||
Carbonite, Inc. | 2.50% | 4/1/2022 | 4,050 | 6,555,034 | ||||||||
Cornerstone OnDemand, Inc. | 1.50% | 7/1/2018 | 30,127 | 30,208,463 | ||||||||
FireEye, Inc.† | 0.875% | 6/1/2024 | 7,000 | 6,929,839 | ||||||||
FireEye, Inc. | 1.00% | 6/1/2035 | 25 | 24,191 | ||||||||
Five9, Inc.† | 0.125% | 5/1/2023 | 4,037 | 4,268,288 | ||||||||
HubSpot, Inc. | 0.25% | 6/1/2022 | 5,060 | 7,093,062 | ||||||||
Nutanix, Inc.† | Zero Coupon | 1/15/2023 | 5,800 | 7,442,479 | ||||||||
Proofpoint, Inc. | 0.75% | 6/15/2020 | 3,911 | 5,851,243 | ||||||||
Q2 Holdings, Inc.† | 0.75% | 2/15/2023 | 4,700 | 5,407,900 | ||||||||
RealPage, Inc. | 1.50% | 11/15/2022 | 4,500 | 6,743,484 | ||||||||
Red Hat, Inc. | 0.25% | 10/1/2019 | 3,480 | 7,700,203 | ||||||||
RingCentral, Inc.† | Zero Coupon | 3/15/2023 | 4,000 | 4,461,644 | ||||||||
ServiceNow, Inc.† | Zero Coupon | 6/1/2022 | 6,076 | 8,570,836 | ||||||||
Twilio, Inc.† | 0.25% | 6/1/2023 | 8,250 | 8,470,853 | ||||||||
Twitter, Inc. | 0.25% | 9/15/2019 | 7,000 | 6,774,257 | ||||||||
Twitter, Inc. | 1.00% | 9/15/2021 | 20,810 | 19,652,673 | ||||||||
Vipshop Holdings Ltd. (China)(b) | 1.50% | 3/15/2019 | 10,000 | 9,865,000 | ||||||||
Web.com Group, Inc. | 1.00% | 8/15/2018 | 5,000 | 5,001,480 | ||||||||
Workday, Inc. | 1.50% | 7/15/2020 | 4,840 | 8,060,938 | ||||||||
Zendesk, Inc.† | 0.25% | 3/15/2023 | 6,281 | 6,887,657 | ||||||||
Total | 202,180,668 |
See Notes to Financial Statements. | 31 |
Schedule of Investments (unaudited)(continued)
CONVERTIBLE FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value |
| |||||||
Specialty Retail 2.27% | ||||||||||||
EZCORP, Inc.† | 2.375% | 5/1/2025 | $ | 5,000 | $ | 5,007,775 | ||||||
EZCORP, Inc.† | 2.875% | 7/1/2024 | 1,940 | 2,700,294 | ||||||||
RH† | Zero Coupon | 7/15/2020 | 12,296 | 12,875,277 | ||||||||
Total | 20,583,346 | |||||||||||
Steel Producers/Products 0.67% | ||||||||||||
Allegheny Technologies, Inc. | 4.75% | 7/1/2022 | 2,874 | 6,099,944 | ||||||||
Support: Services 1.13% | ||||||||||||
Chegg, Inc.† | 0.25% | 5/15/2023 | 4,500 | 5,436,266 | ||||||||
Macquarie Infrastructure Co. LLC | 2.875% | 7/15/2019 | 4,840 | 4,803,656 | ||||||||
Total | 10,239,922 | |||||||||||
Technology Hardware & Equipment 6.15% | ||||||||||||
Palo Alto Networks, Inc. | Zero Coupon | 7/1/2019 | 4,900 | 9,266,277 | ||||||||
Square, Inc. | 0.375% | 3/1/2022 | 3,155 | 8,051,033 | ||||||||
SunPower Corp. | 0.75% | 6/1/2018 | 23,890 | 24,009,450 | ||||||||
SunPower Corp. | 4.00% | 1/15/2023 | 17,102 | 14,349,758 | ||||||||
Total | 55,676,518 | |||||||||||
Telecommunications: Wireline Integrated & Services 0.83% | ||||||||||||
GDS Holdings Ltd. (China)†(b)(c) | 2.00% | 6/1/2025 | 7,499 | 7,499,000 | ||||||||
Transportation: Infrastructure/Services 2.46% | ||||||||||||
Echo Global Logistics, Inc. | 2.50% | 5/1/2020 | 8,750 | 8,997,931 | ||||||||
Scorpio Tankers, Inc. (Monaco)(b) | 3.00% | 5/15/2022 | 13,189 | 13,254,945 | ||||||||
Total | 22,252,876 | |||||||||||
Total Convertible Bonds (cost $634,888,176) | 693,782,017 | |||||||||||
Dividend Rate | Shares (000) | |||||||||||
CONVERTIBLE PREFERRED STOCKS 7.38% | ||||||||||||
Banking 3.32% | ||||||||||||
Bank of America Corp. | 7.25% | 12 | 14,812,200 | |||||||||
Wells Fargo & Co. | 7.50% | 12 | 15,222,270 | |||||||||
Total | 30,034,470 | |||||||||||
Electric: Integrated 0.86% | ||||||||||||
NextEra Energy, Inc. | 6.371% | 106 | 7,769,883 |
32 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CONVERTIBLE FUND May 31, 2018
Investments | Dividend Rate | Shares (000) | Fair Value | |||||||||
Energy: Exploration & Production 1.25% | ||||||||||||
Hess Corp. | 8.00% | 101 | $ | 6,914,965 | ||||||||
WPX Energy, Inc. | 6.25% | 58 | 4,391,760 | |||||||||
Total | 11,306,725 | |||||||||||
Medical Products 1.03% | ||||||||||||
Becton Dickinson & Co. | 6.125% | 161 | 9,355,954 | |||||||||
Oil Field Equipment & Services 0.28% | ||||||||||||
Nabors Industries Ltd. | 6.00% | 50 | 2,570,000 | |||||||||
Real Estate Investment Trusts 0.64% | ||||||||||||
Crown Castle International Corp. | 6.875% | 6 | 5,797,141 | |||||||||
Total Convertible Preferred Stocks (cost $65,140,266) | 66,834,173 | |||||||||||
Interest Rate | Maturity Date | Principal Amount (000) | ||||||||||
CORPORATE BOND 0.00% | ||||||||||||
Metals/Mining (Excluding Steel) | ||||||||||||
Peabody Energy Corp. (cost $0) | 10.00% | 3/15/2022 | $ | 2,785 | 278 | (d) | ||||||
EXCHANGE-TRADED FUND 0.24% | ||||||||||||
SPDR Gold Shares* (cost $2,255,560) | 18 | 2,215,800 | ||||||||||
Total Long-Term Investments (cost $837,624,599) | 910,440,552 | |||||||||||
SHORT-TERM INVESTMENT 1.12% | ||||||||||||
REPURCHASE AGREEMENT | ||||||||||||
Repurchase Agreement dated 5/31/2018, 0.90% due 6/1/2018 with Fixed Income Clearing Corp. collateralized by $10,600,000 of U.S. Treasury Note at 1.875% due 1/31/2022; value: $10,393,268; proceeds: $10,187,523 (cost $10,187,268) | 10,187 | 10,187,268 | ||||||||||
Total Investments in Securities 101.64% (cost $847,811,867) | 920,627,820 | |||||||||||
Liabilities in Excess of Foreign Cash and Other Assets(e) (1.64%) | (14,865,021 | ) | ||||||||||
Net Assets 100.00% | $ | 905,762,799 |
See Notes to Financial Statements. | 33 |
Schedule of Investments (unaudited)(continued)
CONVERTIBLE FUND May 31, 2018
ADR | American Depositary Receipt. | |
AUD | Australian dollar. | |
CHF | Swiss franc. | |
GBP | British pound. | |
HKD | Hong Kong dollar. | |
JPY | Japanese yen. | |
* | Non-income producing security. | |
† | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers. | |
(a) | Investment in non-U.S. dollar denominated securities. | |
(b) | Foreign security traded in U.S. dollars. | |
(c) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(d) | Level 3 Investment as described in Note 2(s) in the Notes to Financials. Security fair valued by the Pricing Committee. | |
(e) | Liabilities in Excess of Foreign Cash and Other Assets include net unrealized appreciation/depreciation on forward foreign currency exchange contracts as follows: |
Open Forward Foreign Currency Exchange Contracts at May 31, 2018:
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Appreciation | |||||||||||||
Japanese yen | Buy | Goldman Sachs | 7/12/2018 | 287,433,000 | $ | 2,635,090 | $ | 2,649,218 | $ | 14,128 | ||||||||||
Japanese yen | Buy | State Street Bank and Trust | 7/12/2018 | 186,934,000 | 1,721,185 | 1,722,937 | 1,752 | |||||||||||||
Japanese yen | Buy | State Street Bank and Trust | 7/12/2018 | 289,340,000 | 2,612,832 | 2,666,795 | 53,963 | |||||||||||||
Swiss franc | Buy | Barclays Bank plc | 8/16/2018 | 2,402,000 | 2,444,670 | 2,452,759 | 8,089 | |||||||||||||
British pound | Sell | Barclays Bank plc | 7/19/2018 | 4,021,000 | 5,406,955 | 5,357,368 | 49,587 | |||||||||||||
euro | Sell | J.P. Morgan | 8/16/2018 | 450,000 | 542,809 | 529,023 | 13,786 | |||||||||||||
Japanese yen | Sell | Barclays Bank plc | 7/12/2018 | 1,007,000,000 | 9,462,873 | 9,281,338 | 181,535 | |||||||||||||
Swiss franc | Sell | State Street Bank and Trust | 8/16/2018 | 1,157,000 | 1,183,362 | 1,181,450 | 1,912 | |||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 324,752 | ||||||||||||||||||
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Depreciation | |||||||||||||
euro | Buy | State Street Bank and Trust | 8/16/2018 | 450,000 | $ | 541,494 | $ | 529,023 | $ | (12,471 | ) | |||||||||
Swiss franc | Sell | Toronto Dominion Bank | 8/16/2018 | 5,288,000 | 5,346,431 | 5,399,747 | (53,316 | ) | ||||||||||||
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (65,787 | ) |
34 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(concluded)
CONVERTIBLE FUND May 31, 2018
The following is a summary of the inputs used as of May 31, 2018 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2)(3) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Long-Term Investments | ||||||||||||||||
Common Stocks | ||||||||||||||||
Beverages | $ | – | $ | 2,960,721 | $ | – | $ | 2,960,721 | ||||||||
Electronics | – | 2,374,149 | – | 2,374,149 | ||||||||||||
Gaming | – | 3,672,076 | – | 3,672,076 | ||||||||||||
Metals/Mining (Excluding Steel) | 2,884,200 | 5,127,403 | – | 8,011,603 | ||||||||||||
Specialty Retail | 12,428,032 | 8,348,568 | – | 20,776,600 | ||||||||||||
Remaining Industries | 109,813,135 | – | – | 109,813,135 | ||||||||||||
Convertible Bonds | – | 693,782,017 | – | 693,782,017 | ||||||||||||
Convertible Preferred Stocks | 66,834,173 | – | – | 66,834,173 | ||||||||||||
Corporate Bond | – | – | 278 | 278 | ||||||||||||
Exchange-Traded Fund | 2,215,800 | – | – | 2,215,800 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreement | – | 10,187,268 | – | 10,187,268 | ||||||||||||
Total | $ | 194,175,340 | $ | 726,452,202 | $ | 278 | $ | 920,627,820 | ||||||||
Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | $ | – | $ | 324,752 | $ | – | $ | 324,752 | ||||||||
Liabilities | – | (65,787 | ) | – | (65,787 | ) | ||||||||||
Total | $ | – | $ | 258,965 | $ | – | $ | 258,965 |
(1) | Refer to Note 2(s) for a description of fair value measurements and the three-tier hierarchy of inputs. |
(2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. The table above is presented by Investment Type. Industries are presented within an Investment Type should such Investment Type include securities classified as two or more levels within the three-tier fair value hierarchy. Each Level 3 security is identified on the Schedule of Investments along with the valuation technique utilized. |
(3) | There were no Level 1/Level 2 transfers during the period ended May 31, 2018. |
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
Investment Type | Corporate Bonds | |||
Balance as of December 1, 2017 | $ | 278 | ||
Accrued Discounts (Premiums) | – | |||
Realized Gain (Loss) | – | |||
Change in Unrealized Appreciation (Depreciation) | – | |||
Purchases | – | |||
Sales | – | |||
Transfers into Level 3 | – | |||
Transfers out of Level 3 | – | |||
Balance as of May 31, 2018 | $ | 278 | ||
Change in Unrealized appreciation/depreciation for period ended May 31, 2018 related to Level 3 investments held at May 31, 2018 | $ | – |
See Notes to Financial Statements. | 35 |
Schedule of Investments (unaudited)
CORE FIXED INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 111.77% | ||||||||||||
ASSET-BACKED SECURITIES 28.27% | ||||||||||||
Automobiles 12.44% | ||||||||||||
Ally Auto Receivables Trust 2017-5 A2 | 1.81% | 6/15/2020 | $ | 709 | $ | 706,729 | ||||||
American Credit Acceptance Receivables Trust 2015-1 C† | 4.29% | 4/12/2021 | 1,054 | 1,058,098 | ||||||||
American Credit Acceptance Receivables Trust 2015-3 C† | 4.84% | 10/12/2021 | 1,365 | 1,378,811 | ||||||||
American Credit Acceptance Receivables Trust 2016-2 C† | 6.09% | 5/12/2022 | 637 | 654,121 | ||||||||
American Credit Acceptance Receivables Trust 2017-3 A† | 1.82% | 3/10/2020 | 579 | 578,592 | ||||||||
American Credit Acceptance Receivables Trust 2018-1 A† | 2.72% | 3/10/2021 | 3,709 | 3,708,158 | ||||||||
AmeriCredit Automobile Receivables Trust 2013-5 D | 2.86% | 12/9/2019 | 1,506 | 1,505,724 | ||||||||
AmeriCredit Automobile Receivables Trust 2015-3 A3 | 1.54% | 3/9/2020 | 82 | 81,793 | ||||||||
AmeriCredit Automobile Receivables Trust 2015-3 B | 2.08% | 9/8/2020 | 1,185 | 1,182,873 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-2 B | 2.21% | 5/10/2021 | 2,995 | 2,982,432 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-4 A2A | 1.34% | 4/8/2020 | 175 | 174,950 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-2 A2A | 1.65% | 9/18/2020 | 2,725 | 2,715,756 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-2 C | 2.97% | 3/20/2023 | 1,664 | 1,655,672 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-3 A2A | 1.69% | 12/18/2020 | 923 | 919,254 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-3 B | 2.24% | 6/19/2023 | 684 | 673,308 | ||||||||
Avis Budget Rental Car Funding AESOP LLC 2013-1A A† | 1.92% | 9/20/2019 | 2,097 | 2,094,824 | ||||||||
Avis Budget Rental Car Funding AESOP LLC 2014-1A A† | 2.46% | 7/20/2020 | 1,454 | 1,448,923 | ||||||||
BMW Vehicle Owner Trust 2018-A A2A | 2.09% | 11/25/2020 | 5,056 | 5,040,393 | ||||||||
California Republic Auto Receivables Trust 2014-3 B | 2.66% | 8/17/2020 | 1,043 | 1,044,040 | ||||||||
California Republic Auto Receivables Trust 2015-1 A4 | 1.82% | 9/15/2020 | 976 | 972,005 |
36 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
California Republic Auto Receivables Trust 2015-3 B | 2.70% | 9/15/2021 | $ | 419 | $ | 417,265 | ||||||
California Republic Auto Receivables Trust 2016-2 A3 | 1.56% | 7/15/2020 | 249 | 248,832 | ||||||||
California Republic Auto Receivables Trust 2016-2 B | 2.52% | 5/16/2022 | 811 | 795,800 | ||||||||
California Republic Auto Receivables Trust 2017-1 A3 | 1.90% | 3/15/2021 | 2,753 | 2,740,302 | ||||||||
California Republic Auto Receivables Trust 2017-1 B | 2.91% | 12/15/2022 | 572 | 560,368 | ||||||||
Capital Auto Receivables Asset Trust 2016-2 A3 | 1.46% | 6/22/2020 | 585 | 583,731 | ||||||||
CarMax Auto Owner Trust 2014-2 C | 2.08% | 1/15/2020 | 785 | 784,818 | ||||||||
CarMax Auto Owner Trust 2014-3 B | 2.04% | 3/16/2020 | 1,558 | 1,554,930 | ||||||||
CarMax Auto Owner Trust 2014-3 C | 2.29% | 6/15/2020 | 977 | 976,154 | ||||||||
CarMax Auto Owner Trust 2015-2 A3 | 1.37% | 3/16/2020 | 138 | 137,769 | ||||||||
CarMax Auto Owner Trust 2016-3 A3 | 1.39% | 5/17/2021 | 1,090 | 1,080,923 | ||||||||
CarMax Auto Owner Trust 2016-4 A2 | 1.21% | 11/15/2019 | 168 | 167,415 | ||||||||
Chesapeake Funding II LLC 2016-1A A1† | 2.11% | 3/15/2028 | 520 | 518,581 | ||||||||
Chesapeake Funding II LLC 2016-2A A1† | 1.88% | 6/15/2028 | 5,795 | 5,765,136 | ||||||||
Chesapeake Funding II LLC 2017-2A A1† | 1.99% | 5/15/2029 | 1,568 | 1,552,140 | ||||||||
Chesapeake Funding II LLC 2017-3A A1† | 1.91% | 8/15/2029 | 3,371 | 3,328,458 | ||||||||
Chrysler Capital Auto Receivables Trust 2014-BA D† | 3.44% | 8/16/2021 | 1,022 | 1,024,878 | ||||||||
Chrysler Capital Auto Receivables Trust 2016-AA A3† | 1.77% | 10/15/2020 | 1,901 | 1,897,015 | ||||||||
Chrysler Capital Auto Receivables Trust 2016-AA B† | 2.88% | 2/15/2022 | 673 | 672,947 | ||||||||
Chrysler Capital Auto Receivables Trust 2016-AA C† | 3.25% | 6/15/2022 | 372 | 373,510 | ||||||||
CPS Auto Receivables Trust 2016-B D† | 6.58% | 3/15/2022 | 540 | 569,246 | ||||||||
CPS Auto Receivables Trust 2017-D A† | 1.87% | 3/15/2021 | 1,945 | 1,934,989 | ||||||||
CPS Auto Receivables Trust 2018-A B† | 2.77% | 4/18/2022 | 742 | 737,066 | ||||||||
CPS Auto Receivables Trust 2018-B D† | 4.26% | 3/15/2024 | 949 | 950,129 | ||||||||
Drive Auto Receivables Trust 2015-AA C† | 3.06% | 5/17/2021 | 2,465 | 2,468,069 | ||||||||
Drive Auto Receivables Trust 2015-BA E† | 5.15% | 8/15/2022 | 3,100 | 3,153,402 | ||||||||
Drive Auto Receivables Trust 2015-DA C† | 3.38% | 11/15/2021 | 2,165 | 2,170,045 | ||||||||
Drive Auto Receivables Trust 2016-AA C† | 3.91% | 5/17/2021 | 2,140 | 2,149,469 | ||||||||
Drive Auto Receivables Trust 2016-BA C† | 3.19% | 7/15/2022 | 649 | 649,964 | ||||||||
Drive Auto Receivables Trust 2016-CA B† | 2.37% | 11/16/2020 | 380 | 379,364 | ||||||||
Drive Auto Receivables Trust 2016-CA C† | 3.02% | 11/15/2021 | 1,974 | 1,977,363 | ||||||||
Drive Auto Receivables Trust 2016-CA D† | 4.18% | 3/15/2024 | 652 | 662,614 | ||||||||
Drive Auto Receivables Trust 2017-2 A3 | 1.82% | 6/15/2020 | 1,164 | 1,163,748 | ||||||||
Drive Auto Receivables Trust 2017-2 B | 2.25% | 6/15/2021 | 845 | 843,146 |
See Notes to Financial Statements. | 37 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Drive Auto Receivables Trust 2017-2 C | 2.75% | 9/15/2023 | $ | 964 | $ | 961,927 | ||||||
Drive Auto Receivables Trust 2017-2 D | 3.49% | 9/15/2023 | 4,111 | 4,084,829 | ||||||||
Drive Auto Receivables Trust 2017-AA B† | 2.51% | 1/15/2021 | 1,038 | 1,038,011 | ||||||||
Drive Auto Receivables Trust 2017-AA D† | 4.16% | 5/15/2024 | 1,145 | 1,164,631 | ||||||||
Drive Auto Receivables Trust 2017-BA B† | 2.20% | 5/15/2020 | 606 | 606,134 | ||||||||
Drive Auto Receivables Trust 2017-BA C† | 2.61% | 8/16/2021 | 1,279 | 1,279,511 | ||||||||
Enterprise Fleet Financing LLC 2017-1 A2† | 2.13% | 7/20/2022 | 1,098 | 1,091,907 | ||||||||
First Investors Auto Owner Trust 2016-2A A1† | 1.53% | 11/16/2020 | 280 | 279,859 | ||||||||
First Investors Auto Owner Trust 2017-2A A1† | 1.86% | 10/15/2021 | 2,453 | 2,440,742 | ||||||||
First Investors Auto Owner Trust 2017-3A A2† | 2.41% | 12/15/2022 | 1,339 | 1,322,435 | ||||||||
First Investors Auto Owner Trust 2017-3A B† | 2.72% | 4/17/2023 | 510 | 501,734 | ||||||||
Flagship Credit Auto Trust 2017-1 A† | 1.93% | 12/15/2021 | 1,281 | 1,276,622 | ||||||||
Flagship Credit Auto Trust 2017-2 A† | 1.85% | 7/15/2021 | 939 | 934,484 | ||||||||
Flagship Credit Auto Trust 2017-3 A† | 1.88% | 10/15/2021 | 996 | 989,403 | ||||||||
Flagship Credit Auto Trust 2017-3 B† | 2.59% | 7/15/2022 | 745 | 737,393 | ||||||||
Flagship Credit Auto Trust 2017-4 A† | 2.07% | 4/15/2022 | 1,329 | 1,318,610 | ||||||||
Flagship Credit Auto Trust 2018-1 A† | 2.59% | 6/15/2022 | 2,135 | 2,128,777 | ||||||||
Ford Credit Auto Lease Trust 2017-B A2A | 1.80% | 6/15/2020 | 3,037 | 3,023,203 | ||||||||
Ford Credit Auto Owner Trust 2016-C A2A | 1.04% | 9/15/2019 | 360 | 359,413 | ||||||||
Ford Credit Auto Owner Trust 2017-2 A† | 2.36% | 3/15/2029 | 530 | 513,480 | ||||||||
Ford Credit Auto Owner Trust 2017-2 B† | 2.60% | 3/15/2029 | 256 | 246,345 | ||||||||
Foursight Capital Automobile Receivables Trust 2016-1 A2† | 2.87% | 10/15/2021 | 839 | 838,452 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 A2† | 2.85% | 8/16/2021 | 1,655 | 1,654,299 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 A3† | 3.24% | 9/15/2022 | 1,890 | 1,887,883 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 B† | 3.53% | 4/17/2023 | 937 | 936,287 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 C† | 3.68% | 8/15/2023 | 442 | 441,694 | ||||||||
GM Financial Automobile Leasing Trust 2016-3 A3 | 1.61% | 12/20/2019 | 1,075 | 1,071,261 | ||||||||
GM Financial Automobile Leasing Trust 2017-2 A2A | 1.72% | 1/21/2020 | 665 | 661,817 | ||||||||
GM Financial Consumer Automobile 2017-1A B† | 2.30% | 6/16/2023 | 359 | 352,452 | ||||||||
GM Financial Consumer Automobile Receivables Trust 2017-3A A2A† | 1.71% | 9/16/2020 | 3,725 | 3,711,651 | ||||||||
Honda Auto Receivables Owner Trust 2015-4 A3 | 1.23% | 9/23/2019 | 2,421 | 2,411,348 | ||||||||
Honda Auto Receivables Owner Trust 2016-2 A3 | 1.39% | 4/15/2020 | 459 | 457,054 | ||||||||
Honda Auto Receivables Owner Trust 2016-4 A2 | 1.04% | 4/18/2019 | 230 | 229,838 |
38 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Hyundai Auto Lease Securitization Trust 2016-B A3† | 1.52% | 10/15/2019 | $ | 906 | $ | 903,895 | ||||||
Hyundai Auto Lease Securitization Trust 2017-C A2A† | 1.89% | 3/16/2020 | 2,825 | 2,809,255 | ||||||||
Mercedes-Benz Auto Lease Trust 2018-A A2 | 2.20% | 4/15/2020 | 3,121 | 3,113,237 | ||||||||
Mercedes-Benz Auto Receivables Trust 2016-1 A3 | 1.26% | 2/16/2021 | 1,167 | 1,156,438 | ||||||||
Nissan Auto Receivables Owner Trust 2016-A A3 | 1.34% | 10/15/2020 | 1,961 | 1,948,214 | ||||||||
Santander Drive Auto Receivables Trust 2013-5 E† | 3.73% | 3/15/2021 | 4,372 | 4,373,058 | ||||||||
Santander Drive Auto Receivables Trust 2014-3 D | 2.65% | 8/17/2020 | 824 | 823,844 | ||||||||
Santander Drive Auto Receivables Trust 2014-4 C | 2.60% | 11/16/2020 | 260 | 260,191 | ||||||||
Santander Drive Auto Receivables Trust 2014-5 E | 4.23% | 4/15/2022 | 2,800 | 2,833,636 | ||||||||
Santander Drive Auto Receivables Trust 2015-1 C | 2.57% | 4/15/2021 | 143 | 142,951 | ||||||||
Santander Drive Auto Receivables Trust 2015-5 C | 2.74% | 12/15/2021 | 4,124 | 4,125,795 | ||||||||
Santander Drive Auto Receivables Trust 2016-2 B | 2.08% | 2/16/2021 | 611 | 609,498 | ||||||||
Santander Drive Auto Receivables Trust 2016-3 B | 1.89% | 6/15/2021 | 734 | 731,019 | ||||||||
Santander Drive Auto Receivables Trust 2017-2 A2 | 1.60% | 3/16/2020 | 1,246 | 1,244,971 | ||||||||
Santander Drive Auto Receivables Trust 2017-3 C | 2.76% | 12/15/2022 | 454 | 450,555 | ||||||||
Santander Drive Auto Receivables Trust 2018-1 A2 | 2.10% | 11/16/2020 | 2,769 | 2,761,008 | ||||||||
SunTrust Auto Receivables Trust 2015-1A A4† | 1.78% | 1/15/2021 | 1,138 | 1,132,298 | ||||||||
SunTrust Auto Receivables Trust 2015-1A D† | 3.24% | 1/16/2023 | 2,589 | 2,537,150 | ||||||||
TCF Auto Receivables Owner Trust 2016-PT1A B† | 2.92% | 10/17/2022 | 1,508 | 1,488,148 | ||||||||
Westlake Automobile Receivables Trust 2017-2A A2A† | 1.80% | 7/15/2020 | 1,647 | 1,641,483 | ||||||||
Total | 151,606,172 | |||||||||||
Credit Cards 5.03% | ||||||||||||
American Express Credit Account Master Trust 2017-1 A | 1.93% | 9/15/2022 | 3,208 | 3,165,014 | ||||||||
Barclays Dryrock Issuance Trust 2015-4 A | 1.72% | 8/16/2021 | 6,007 | 5,991,606 | ||||||||
Barclays Dryrock Issuance Trust 2017-2 A | 2.219% (1 Mo. LIBOR + 0.30% | )# | 5/15/2023 | 5,056 | 5,065,834 | |||||||
Capital One Multi-Asset Execution Trust 2015-A5 | 1.60% | 5/17/2021 | 387 | 386,656 | ||||||||
Chase Issuance Trust 2015-A7 | 1.62% | 7/15/2020 | 1,824 | 1,822,203 | ||||||||
Citibank Credit Card Issuance Trust 2013-A7 | 2.359% (1 Mo. LIBOR + .43% | )# | 9/10/2020 | 3,602 | 3,605,729 | |||||||
Citibank Credit Card Issuance Trust 2017-A2 | 1.74% | 1/19/2021 | 5,108 | 5,084,845 | ||||||||
Discover Card Execution Note Trust 2013-A6 | 2.369% (1 Mo. LIBOR + .45% | )# | 4/15/2021 | 6,466 | 6,475,959 | |||||||
Discover Card Execution Note Trust 2014-A1 | 2.349% (1 Mo. LIBOR + .43% | )# | 7/15/2021 | 6,402 | 6,415,354 |
See Notes to Financial Statements. | 39 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Credit Cards (continued) | ||||||||||||
Discover Card Execution Note Trust 2016-A1 | 1.64% | 7/15/2021 | $ | 1,409 | $ | 1,401,776 | ||||||
Master Credit Card Trust II Series 2018-1A B† | 3.245% | 7/22/2024 | 1,758 | 1,736,563 | ||||||||
Synchrony Credit Card Master Note Trust 2016-1 A | 2.04% | 3/15/2022 | 3,048 | 3,036,162 | ||||||||
Synchrony Credit Card Master Note Trust 2017-2 A | 2.62% | 10/15/2025 | 1,940 | 1,894,351 | ||||||||
World Financial Network Credit Card Master Trust 2012-C A | 2.23% | 8/15/2022 | 4,402 | 4,397,519 | ||||||||
World Financial Network Credit Card Master Trust 2016-A | 2.03% | 4/15/2025 | 747 | 738,988 | ||||||||
World Financial Network Credit Card Master Trust 2017-B A | 1.98% | 6/15/2023 | 3,031 | 3,005,199 | ||||||||
World Financial Network Credit Card Master Trust 2017-C A | 2.31% | 8/15/2024 | 5,031 | 4,949,948 | ||||||||
World Financial Network Credit Card Master Trust 2017-C M | 2.66% | 8/15/2024 | 2,213 | 2,181,840 | ||||||||
Total | 61,355,546 | |||||||||||
Other 10.80% | ||||||||||||
Access Point Funding I LLC 2017-A† | 3.06% | 4/15/2029 | 724 | 720,654 | ||||||||
AMMC CLO XII Ltd. 2013-12A AR† | 3.553% (3 Mo. LIBOR + 1.2% | )# | 11/10/2030 | 1,867 | 1,877,480 | |||||||
Apidos CLO XVI 2013-16A CR† | 5.355% (3 Mo. LIBOR + 3.00% | )# | 1/19/2025 | 500 | 500,445 | |||||||
Ares XXIX CLO Ltd. 2014-1A A1R† | 3.543% (3 Mo. LIBOR + 1.19% | )# | 4/17/2026 | 2,500 | 2,502,823 | |||||||
Ares XXXIII CLO Ltd. 2015-1A A1R† | 3.375% (3 Mo. LIBOR + 1.35% | )# | 12/5/2025 | 300 | 300,829 | |||||||
Ascentium Equipment Receivables Trust 2016-2A A2† | 1.46% | 4/10/2019 | 138 | 137,712 | ||||||||
Ascentium Equipment Receivables Trust 2016-2A A3† | 1.65% | 5/10/2022 | 784 | 777,707 | ||||||||
Ascentium Equipment Receivables Trust 2016-2A B† | 2.50% | 9/12/2022 | 506 | 500,663 | ||||||||
Ascentium Equipment Receivables Trust 2017-1A A2† | 1.87% | 7/10/2019 | 1,050 | 1,047,720 | ||||||||
Ascentium Equipment Receivables Trust 2017-1A A3† | 2.29% | 6/10/2021 | 487 | 481,967 | ||||||||
Ascentium Equipment Receivables Trust 2017-2A A1† | 1.45% | 11/13/2018 | 1,062 | 1,061,334 | ||||||||
Avery Point IV CLO Ltd. 2014-1A BR† | 3.96% (3 Mo. LIBOR + 1.60% | )# | 4/25/2026 | 731 | 732,136 | |||||||
Avery Point VII CLO Ltd. 2015-7A A1† | 3.848% (3 Mo. LIBOR + 1.50% | )# | 1/15/2028 | 2,694 | 2,706,854 |
40 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Benefit Street Partners CLO IV Ltd. 2014-IVA A1R† | 3.849% (3 Mo. LIBOR + 1.49% | )# | 1/20/2029 | $ | 1,164 | $ | 1,169,039 | |||||
Benefit Street Partners CLO IV Ltd. 2014-IVA A2R† | 4.409% (3 Mo. LIBOR + 2.05% | )# | 1/20/2029 | 1,525 | 1,533,735 | |||||||
Birchwood Park CLO Ltd. 2014-1A AR† | 3.528% (3 Mo. LIBOR + 1.18% | )# | 7/15/2026 | 3,000 | 3,002,462 | |||||||
BMW Floorplan Master Owner Trust 2015-1A A† | 2.419% (1 Mo. LIBOR + .50% | )# | 7/15/2020 | 5,502 | 5,504,567 | |||||||
Carlyle Global Market Strategies CLO Ltd. 2014-4A A1R† | 3.548% (3 Mo. LIBOR + 1.20% | )# | 10/15/2026 | 2,500 | 2,501,750 | |||||||
Cavalry CLO IV Ltd. 2014-4A B1R† | 3.698% (3 Mo. LIBOR + 1.35% | )# | 10/15/2026 | 559 | 559,615 | |||||||
Cent CLO Ltd. 2013-18A A† | 3.482% (3 Mo. LIBOR + 1.12% | )# | 7/23/2025 | 484 | 484,034 | |||||||
CNH Equipment Trust 2014-C A3 | 1.05% | 11/15/2019 | 9 | 9,237 | ||||||||
CNH Equipment Trust 2014-C A4 | 1.65% | 9/15/2021 | 1,405 | 1,401,596 | ||||||||
Conn’s Receivables Funding LLC 2017-B A† | 2.73% | 7/15/2020 | 1,707 | 1,707,100 | ||||||||
Crestline Denali CLO XIV Ltd. 2016-1A A† | 3.932% (3 Mo. LIBOR + 1.57% | )# | 10/23/2028 | 2,096 | 2,102,256 | |||||||
Daimler Trucks Retail Trust 2018-1 A2† | 2.60% | 5/15/2020 | 3,901 | 3,902,045 | ||||||||
Dell Equipment Finance Trust 2016-1 A3† | 1.65% | 7/22/2021 | 151 | 150,824 | ||||||||
Dell Equipment Finance Trust 2017-1 A2† | 1.86% | 6/24/2019 | 283 | 282,611 | ||||||||
Diamond Resorts Owner Trust 2015-2 A† | 2.99% | 5/22/2028 | 313 | 311,371 | ||||||||
Diamond Resorts Owner Trust 2016-1 A† | 3.08% | 11/20/2028 | 215 | 212,735 | ||||||||
Diamond Resorts Owner Trust 2017-1A B† | 4.11% | 10/22/2029 | 1,450 | 1,418,808 | ||||||||
DLL LLC 2018-1 A3† | 3.10% | 4/18/2022 | 3,303 | 3,316,160 | ||||||||
DLL Securitization Trust 2017-A A1† | 1.50% | 11/15/2018 | 397 | 396,526 | ||||||||
DLL Securitization Trust 2017-A A4† | 2.43% | 11/17/2025 | 2,863 | 2,803,755 | ||||||||
DRB Prime Student Loan Trust 2015-D A2† | 3.20% | 1/25/2040 | 2,308 | 2,311,026 | ||||||||
Dryden 34 Senior Loan Fund 2014-34A A1R† | 3.508% (3 Mo. LIBOR + 1.16% | )# | 10/15/2026 | 1,314 | 1,313,659 | |||||||
Dryden 38 Senior Loan Fund 2015-38A† | 3.778% (3 Mo. LIBOR + 1.43% | )# | 7/15/2027 | 2,537 | 2,539,554 | |||||||
Engs Commercial Finance Trust 2015-1A A2† | 2.31% | 10/22/2021 | 673 | 670,415 | ||||||||
Engs Commercial Finance Trust 2018-1A A1† | 2.97% | 2/22/2021 | 3,566 | 3,565,211 | ||||||||
Ford Credit Floorplan Master Owner Trust 2016-4 A | 2.449% (1 Mo. LIBOR + .53% | )# | 7/15/2020 | 5,523 | 5,526,095 | |||||||
Galaxy XXI CLO Ltd. 2015-21A AR† | 3.379% (3 Mo. LIBOR + 1.02% | )# | 4/20/2031 | 485 | 485,137 | |||||||
GMF Floorplan Owner Revolving Trust 2018-2 A1† | 3.13% | 3/15/2023 | 3,657 | 3,664,194 |
See Notes to Financial Statements. | 41 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Hardee’s Funding LLC 2018-1A AII†(a) | 4.959% | 6/20/2048 | $ | 2,542 | $ | 2,542,000 | ||||||
ICG US CLO Ltd. 2015-2A AR† | 3.198% (3 Mo. LIBOR + .85% | )# | 1/16/2028 | 2,795 | 2,795,475 | |||||||
Jamestown CLO VII Ltd. 2015-7A CR† | 4.96% (3 Mo. LIBOR + 2.60% | )# | 7/25/2027 | 1,431 | 1,422,475 | |||||||
Jefferson Mill CLO Ltd. 2015-1A B1† | 4.509% (3 Mo. LIBOR + 2.15% | )# | 7/20/2027 | 1,250 | 1,251,167 | |||||||
JFIN CLO Ltd. 2014-1A B1R† | 3.809% (3 Mo. LIBOR + 1.45% | )# | 4/21/2025 | 2,500 | 2,504,031 | |||||||
Laurel Road Prime Student Loan Trust 2017-B A1FX† | 1.63% | 8/25/2042 | 72 | 72,302 | ||||||||
Massachusetts Educational Financing Authority 2008-1 A1 | 3.31% (3 Mo. LIBOR + .95% | )# | 4/25/2038 | 1,208 | 1,216,419 | |||||||
Missouri Higher Education Loan Authority 2012-1 A1 | 2.79% (1 Mo. LIBOR + 0.83% | )# | 1/26/2026 | 1,027 | 1,023,578 | |||||||
MMAF Equipment Finance LLC 2012-AA A5† | 1.98% | 6/10/2032 | 1,012 | 1,010,546 | ||||||||
Mountain View CLO X Ltd. 2015-10A BR† | 3.692% (3 Mo. LIBOR + 1.35% | )# | 10/13/2027 | 1,449 | 1,450,835 | |||||||
Navient Student Loan Trust 2016-7A A† | 3.11% (1 Mo. LIBOR + 1.15% | )# | 3/25/2066 | 1,639 | 1,673,108 | |||||||
Navient Student Loan Trust 2017-2A A† | 3.01% (1 Mo. LIBOR + 1.05% | )# | 12/27/2066 | 3,327 | 3,388,055 | |||||||
OHA Loan Funding Ltd. 2016-1A B1† | 4.159% (3 Mo. LIBOR + 1.80% | )# | 1/20/2028 | 4,200 | 4,219,435 | |||||||
OneMain Financial Issuance Trust 2015-1A A† | 3.19% | 3/18/2026 | 689 | 691,225 | ||||||||
OneMain Financial Issuance Trust 2016-1A A† | 3.66% | 2/20/2029 | 1,101 | 1,111,176 | ||||||||
OneMain Financial Issuance Trust 2016-2A B† | 5.94% | 3/20/2028 | 118 | 119,309 | ||||||||
Palmer Square Loan Funding Ltd. 2017-1A B† | 4.048% (3 Mo. LIBOR + 1.70% | )# | 10/15/2025 | 1,246 | 1,245,083 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A1† | 2.822% (3 Mo. LIBOR + 0.60% | )# | 4/15/2026 | 2,784 | 2,784,629 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A2† | 3.272% (3 Mo. LIBOR + 1.05% | )# | 4/15/2026 | 946 | 943,872 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A B† | 3.622% (3 Mo. LIBOR + 1.40% | )# | 4/15/2026 | 716 | 713,516 | |||||||
Pennsylvania Higher Education Assistance Agency 2006-1 B | 2.63% (3 Mo. LIBOR + .27% | )# | 4/25/2038 | 715 | 692,732 | |||||||
PFS Financing Corp. 2018-B† | 3.08% | 2/15/2023 | 1,069 | 1,059,534 | ||||||||
Regatta IV Funding Ltd. 2014-1A DR† | 5.66% (3 Mo. LIBOR + 3.30% | )# | 7/25/2026 | 1,500 | 1,504,430 | |||||||
SCF Equipment Leasing LLC 2017-2A A† | 3.41% | 12/20/2023 | 980 | 966,045 | ||||||||
SCF Equipment Leasing LLC 2018-1A A2† | 3.63% | 10/20/2024 | 2,893 | 2,907,963 |
42 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Shackleton CLO Ltd. 2015 7A AR† | 3.718% (3 Mo. LIBOR + 1.37% | )# | 4/15/2027 | $ | 962 | $ | 962,459 | |||||
Shackleton CLO Ltd. 2016-9A B† | 4.259% (3 Mo. LIBOR + 1.9% | )# | 10/20/2028 | 1,070 | 1,075,542 | |||||||
SLC Student Loan Trust 2008-1 A4A | 3.725% (3 Mo. LIBOR + 1.60% | )# | 12/15/2032 | 3,292 | 3,401,009 | |||||||
SLM Private Education Loan Trust 2010-A 2A† | 5.169% (1 Mo. LIBOR + 3.25% | )# | 5/16/2044 | 543 | 555,259 | |||||||
SoFi Professional Loan Program LLC 2017-E A1† | 2.46% (1 Mo. LIBOR + .50% | )# | 11/26/2040 | 1,850 | 1,856,705 | |||||||
SoFi Professional Loan Program LLC 2017-E A2B† | 2.72% | 11/26/2040 | 1,889 | 1,839,692 | ||||||||
SoFi Professional Loan Program LLC 2018-A A2B† | 2.95% | 2/25/2042 | 2,633 | 2,567,234 | ||||||||
Sound Point CLO II Ltd. 2013-1A A1R† | 3.432% (3 Mo. LIBOR + 1.07% | )# | 1/26/2031 | 843 | 845,059 | |||||||
Sound Point CLO XI Ltd. 2016-1A A† | 4.009% (3 Mo. LIBOR + 1.65% | )# | 7/20/2028 | 250 | 251,052 | |||||||
THL Credit Wind River CLO Ltd. 2014-3A BR† | 3.962% (3 Mo. LIBOR + 1.60% | )# | 1/22/2027 | 486 | 486,829 | |||||||
Towd Point Asset Trust 2018-SL1 A†(a) | 2.582% (1 Mo. LIBOR + .60% | )# | 1/25/2046 | 2,599 | 2,588,547 | (b) | ||||||
Tralee CLO III Ltd. 2014-3A AR† | 3.389% (3 Mo. LIBOR + 1.03% | )# | 10/20/2027 | 3,556 | 3,563,083 | |||||||
Volvo Financial Equipment LLC 2015-1A A4† | 1.91% | 1/15/2020 | 618 | 616,259 | ||||||||
Westgate Resorts LLC 2018-1A A† | 3.38% | 12/20/2031 | 1,129 | 1,129,344 | ||||||||
WhiteHorse VIII Ltd. 2014-1A AR† | 3.258% (3 Mo. LIBOR + .90%) | # | 5/1/2026 | 4,332 | 4,329,930 | |||||||
Total | 131,570,784 | |||||||||||
Total Asset-Backed Securities (cost $345,481,411) | 344,532,502 | |||||||||||
CORPORATE BONDS 23.99% | �� | |||||||||||
Automotive 0.82% | ||||||||||||
Daimler Finance North America LLC† | 3.75% | 2/22/2028 | 2,425 | 2,395,485 | ||||||||
Ford Motor Co. | 7.45% | 7/16/2031 | 2,559 | 3,028,083 | ||||||||
General Motors Co. | 6.60% | 4/1/2036 | 4,111 | 4,584,152 | ||||||||
Total | 10,007,720 | |||||||||||
Banks: Regional 5.82% | ||||||||||||
Banco de Credito e Inversiones SA (Chile)†(c) | 3.50% | 10/12/2027 | 1,290 | 1,166,644 | ||||||||
Bank of America Corp. | 3.593% | #(d) | 7/21/2028 | 2,890 | 2,771,553 | |||||||
Bank of America Corp. | 3.824% | #(d) | 1/20/2028 | 3,958 | 3,870,605 | |||||||
Bank of America Corp. | 4.00% | 1/22/2025 | 1,716 | 1,698,836 |
See Notes to Financial Statements. | 43 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Bank of America Corp. | 4.45% | 3/3/2026 | $ | 940 | $ | 949,465 | ||||||
Citigroup, Inc. | 3.668% | #(d) | 7/24/2028 | 3,377 | 3,225,269 | |||||||
Citigroup, Inc. | 3.887% | #(d) | 1/10/2028 | 2,574 | 2,505,594 | |||||||
Citigroup, Inc. | 4.45% | 9/29/2027 | 1,374 | 1,359,841 | ||||||||
Commonwealth Bank of Australia (Australia)†(c) | 4.50% | 12/9/2025 | 1,622 | 1,614,900 | ||||||||
Goldman Sachs Group, Inc. (The) | 4.223% | #(d) | 5/1/2029 | 1,158 | 1,144,199 | |||||||
Goldman Sachs Group, Inc. (The) | 6.75% | 10/1/2037 | 2,388 | 2,869,490 | ||||||||
ING Groep NV (Netherlands)(c) | 3.95% | 3/29/2027 | 1,259 | 1,238,058 | ||||||||
Intesa Sanpaolo SpA (Italy)†(c) | 3.875% | 1/12/2028 | 1,443 | 1,260,192 | ||||||||
JPMorgan Chase & Co. | 3.54% | #(d) | 5/1/2028 | 1,452 | 1,395,784 | |||||||
JPMorgan Chase & Co. | 3.782% | #(d) | 2/1/2028 | 6,183 | 6,047,961 | |||||||
Macquarie Group Ltd. (Australia)†(c) | 4.654% (3 Mo. LIBOR + 1.38% | )# | 3/27/2029 | 3,121 | 3,103,132 | |||||||
Morgan Stanley | 3.625% | 1/20/2027 | 1,528 | 1,476,106 | ||||||||
Morgan Stanley | 3.875% | 1/27/2026 | 2,306 | 2,281,872 | ||||||||
Morgan Stanley | 4.00% | 7/23/2025 | 2,870 | 2,883,023 | ||||||||
Morgan Stanley | 7.25% | 4/1/2032 | 290 | 374,663 | ||||||||
Royal Bank of Scotland Group plc (United Kingdom)(c) | 4.892% | #(d) | 5/18/2029 | 1,505 | 1,504,701 | |||||||
Santander UK plc (United Kingdom)†(c) | 5.00% | 11/7/2023 | 575 | 588,645 | ||||||||
Santander UK plc (United Kingdom)(c) | 7.95% | 10/26/2029 | 2,280 | 2,865,119 | ||||||||
Toronto-Dominion Bank (The) (Canada)(c) | 3.625% | #(d) | 9/15/2031 | 3,505 | 3,355,751 | |||||||
UBS AG | 7.625% | 8/17/2022 | 2,826 | 3,150,990 | ||||||||
UBS Group Funding Switzerland AG (Switzerland)†(c) | 4.253% | 3/23/2028 | 2,996 | 2,977,633 | ||||||||
Wells Fargo & Co. | 3.00% | 10/23/2026 | 2,539 | 2,358,662 | ||||||||
Wells Fargo Bank NA | 5.85% | 2/1/2037 | 5,775 | 6,819,831 | ||||||||
Wells Fargo Bank NA | 6.60% | 1/15/2038 | 1,583 | 2,021,709 | ||||||||
Westpac Banking Corp. (Australia)(c) | 4.322% | #(d) | 11/23/2031 | 2,122 | 2,062,590 | |||||||
Total | 70,942,818 | |||||||||||
Beverages 1.27% | ||||||||||||
Anheuser-Busch InBev Finance, Inc. | 4.625% | 2/1/2044 | 2,165 | 2,166,893 | ||||||||
Anheuser-Busch InBev Finance, Inc. | 4.70% | 2/1/2036 | 6,925 | 7,125,848 | ||||||||
Bacardi Ltd.† | 4.70% | 5/15/2028 | 2,370 | 2,362,305 | ||||||||
Becle SAB de CV (Mexico)†(c) | 3.75% | 5/13/2025 | 800 | 771,691 | ||||||||
Maple Escrow Subsidiary, Inc.† | 4.597% | 5/25/2028 | 1,997 | 2,001,983 | ||||||||
Maple Escrow Subsidiary, Inc.† | 5.085% | 5/25/2048 | 1,035 | 1,042,351 | ||||||||
Total | 15,471,071 |
44 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Biotechnology Research & Production 0.14% | ||||||||||||
Gilead Sciences, Inc. | 4.60% | 9/1/2035 | $ | 1,678 | $ | 1,734,298 | ||||||
Building Materials 0.09% | ||||||||||||
CRH America Finance, Inc.† | 4.50% | 4/4/2048 | 1,106 | 1,046,403 | ||||||||
Business Services 0.05% | ||||||||||||
Adani Ports & Special Economic Zone Ltd. (India)†(c) | 4.00% | 7/30/2027 | 704 | 645,786 | ||||||||
Chemicals 0.36% | ||||||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(c) | 3.50% | 7/19/2022 | 1,270 | 1,231,807 | ||||||||
Mexichem SAB de CV (Mexico)†(c) | 4.875% | 9/19/2022 | 550 | 555,500 | ||||||||
Phosagro OAO Via Phosagro Bond Funding DAC (Ireland)†(c) | 3.949% | 4/24/2023 | 2,250 | 2,140,144 | ||||||||
Syngenta Finance NV (Netherlands)†(c) | 4.441% | 4/24/2023 | 400 | 399,617 | ||||||||
Total | 4,327,068 | |||||||||||
Computer Hardware 0.43% | ||||||||||||
Dell International LLC/EMC Corp.† | 3.48% | 6/1/2019 | 656 | 658,678 | ||||||||
Dell International LLC/EMC Corp.† | 5.45% | 6/15/2023 | 592 | 623,306 | ||||||||
Dell International LLC/EMC Corp.† | 6.02% | 6/15/2026 | 1,950 | 2,059,814 | ||||||||
Dell International LLC/EMC Corp.† | 8.35% | 7/15/2046 | 1,558 | 1,893,991 | ||||||||
Total | 5,235,789 | |||||||||||
Computer Software 0.26% | ||||||||||||
Oracle Corp. | 6.125% | 7/8/2039 | 1,557 | 1,972,564 | ||||||||
salesforce.com, Inc. | 3.70% | 4/11/2028 | 1,145 | 1,139,188 | ||||||||
Total | 3,111,752 | |||||||||||
Containers 0.06% | ||||||||||||
Amcor Finance USA, Inc.† | 4.50% | 5/15/2028 | 775 | 783,448 | ||||||||
Drugs 0.19% | ||||||||||||
Bayer Corp.† | 6.65% | 2/15/2028 | 629 | 731,626 | ||||||||
CVS Health Corp. | 4.30% | 3/25/2028 | 1,534 | 1,525,423 | ||||||||
Total | 2,257,049 | |||||||||||
Electric: Power 2.55% | ||||||||||||
Appalachian Power Co. | 7.00% | 4/1/2038 | 1,098 | 1,473,507 | ||||||||
Ausgrid Finance Pty Ltd. (Australia)†(c) | 4.35% | 8/1/2028 | 2,282 | 2,290,367 | ||||||||
Berkshire Hathaway Energy Co. | 3.80% | 7/15/2048 | 733 | 690,491 | ||||||||
Cleveland Electric Illuminating Co. (The)† | 3.50% | 4/1/2028 | 918 | 876,245 | ||||||||
Dominion Energy, Inc. | 7.00% | 6/15/2038 | 468 | 600,393 |
See Notes to Financial Statements. | 45 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Power 2.55% | ||||||||||||
Edison International | 4.125% | 3/15/2028 | $ | 1,149 | $ | 1,143,789 | ||||||
Emirates Semb Corp., Water & Power Co. PJSC (United Arab Emirates)†(c) | 4.45% | 8/1/2035 | 650 | 621,009 | ||||||||
Entergy Louisiana LLC | 4.00% | 3/15/2033 | 934 | 945,622 | ||||||||
Exelon Generation Co. LLC | 5.60% | 6/15/2042 | 2,000 | 2,025,221 | ||||||||
Massachusetts Electric Co.† | 4.004% | 8/15/2046 | 1,317 | 1,282,146 | ||||||||
Minejesa Capital BV (Netherlands)†(c) | 4.625% | 8/10/2030 | 700 | 649,683 | ||||||||
Ohio Edison Co. | 8.25% | 10/15/2038 | 1,725 | 2,544,285 | ||||||||
Pacific Gas & Electric Co. | 3.30% | 12/1/2027 | 3,473 | 3,213,175 | ||||||||
Pacific Gas & Electric Co. | 6.05% | 3/1/2034 | 2,801 | 3,252,385 | ||||||||
PPL Electric Utilities Corp. | 5.20% | 7/15/2041 | 554 | 633,112 | ||||||||
Progress Energy, Inc. | 7.75% | 3/1/2031 | 3,047 | 4,091,560 | ||||||||
South Carolina Electric & Gas Co. | 6.05% | 1/15/2038 | 1,988 | 2,294,186 | ||||||||
South Carolina Electric & Gas Co. | 6.625% | 2/1/2032 | 581 | 692,315 | ||||||||
Texas-New Mexico Power Co.† | 9.50% | 4/1/2019 | 1,650 | 1,738,189 | ||||||||
Total | 31,057,680 | |||||||||||
Electrical Equipment 0.20% | ||||||||||||
Xilinx, Inc. | 2.95% | 6/1/2024 | 2,571 | 2,457,315 | ||||||||
Financial Services 1.12% | ||||||||||||
Affiliated Managers Group, Inc. | 3.50% | 8/1/2025 | 370 | 359,765 | ||||||||
Affiliated Managers Group, Inc. | 4.25% | 2/15/2024 | 715 | 729,400 | ||||||||
Discover Financial Services | 4.10% | 2/9/2027 | 1,087 | 1,053,724 | ||||||||
E*TRADE Financial Corp. | 3.80% | 8/24/2027 | 540 | 516,838 | ||||||||
GE Capital International Funding Co. Unlimited Co. (Ireland)(c) | 4.418% | 11/15/2035 | 5,559 | 5,333,818 | ||||||||
International Lease Finance Corp. | 5.875% | 4/1/2019 | 1,876 | 1,917,230 | ||||||||
International Lease Finance Corp. | 5.875% | 8/15/2022 | 353 | 378,709 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.50% | 3/15/2027 | 882 | 890,841 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 690 | 669,933 | ||||||||
SUAM Finance BV (Curacao)†(c) | 4.875% | 4/17/2024 | 1,835 | 1,853,809 | ||||||||
Total | 13,704,067 | |||||||||||
Health Care Services 0.44% | ||||||||||||
Ascension Health | 3.945% | 11/15/2046 | 681 | 680,012 | ||||||||
HCA, Inc. | 5.50% | 6/15/2047 | 2,364 | 2,210,340 | ||||||||
Kaiser Foundation Hospitals | 4.15% | 5/1/2047 | �� | 962 | 977,729 | |||||||
New York-Presbyterian Hospital (The) | 4.063% | 8/1/2056 | 1,286 | 1,256,437 |
46 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Health Care Services (continued) | ||||||||||||
NYU Langone Hospitals | 4.368% | 7/1/2047 | $ | 217 | $ | 223,393 | ||||||
Total | 5,347,911 | |||||||||||
Insurance 0.95% | ||||||||||||
American International Group, Inc. | 4.80% | 7/10/2045 | 818 | 810,229 | ||||||||
Assurant, Inc. | 4.90% | 3/27/2028 | 1,190 | 1,202,086 | ||||||||
Lincoln National Corp. | 6.30% | 10/9/2037 | 502 | 606,037 | ||||||||
Securian Financial Group, Inc.† | 4.80% | 4/15/2048 | 1,423 | 1,421,764 | ||||||||
Teachers Insurance & Annuity Association of America† | 4.90% | 9/15/2044 | 4,629 | 4,984,055 | ||||||||
Unum Group | 5.75% | 8/15/2042 | 713 | 772,007 | ||||||||
Willis North America, Inc. | 7.00% | 9/29/2019 | 1,675 | 1,756,625 | ||||||||
Total | 11,552,803 | |||||||||||
Leisure 0.13% | ||||||||||||
Carnival plc | 7.875% | 6/1/2027 | 1,230 | 1,561,721 | ||||||||
Machinery: Industrial/Specialty 0.25% | ||||||||||||
Nvent Finance Sarl (Luxembourg)†(c) | 4.55% | 4/15/2028 | 3,150 | 3,102,932 | ||||||||
Manufacturing 0.43% | ||||||||||||
General Electric Co. | 6.15% | 8/7/2037 | 2,578 | 3,018,947 | ||||||||
Siemens Financieringsmaatschappij NV (Netherlands)†(c) | 2.35% | 10/15/2026 | 2,448 | 2,207,045 | ||||||||
Total | 5,225,992 | |||||||||||
Media 1.34% | ||||||||||||
21st Century Fox America, Inc. | 6.20% | 12/15/2034 | 284 | 340,286 | ||||||||
21st Century Fox America, Inc. | 7.75% | 12/1/2045 | 634 | 929,186 | ||||||||
Comcast Corp. | 3.15% | 3/1/2026 | 4,318 | 4,064,280 | ||||||||
Comcast Corp. | 3.969% | 11/1/2047 | 4,136 | 3,655,530 | ||||||||
Cox Communications, Inc.† | 8.375% | 3/1/2039 | 3,874 | 5,196,044 | ||||||||
Time Warner Cable LLC | 7.30% | 7/1/2038 | 1,864 | 2,169,388 | ||||||||
Total | 16,354,714 | |||||||||||
Metals & Minerals: Miscellaneous 0.44% | ||||||||||||
Anglo American Capital plc (United Kingdom)†(c) | 4.00% | 9/11/2027 | 3,306 | 3,109,476 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(c) | 5.55% | 10/25/2042 | 2,270 | 2,291,694 | ||||||||
Total | 5,401,170 | |||||||||||
Natural Gas 0.14% | ||||||||||||
Dominion Energy Gas Holdings LLC | 4.60% | 12/15/2044 | 1,711 | 1,727,411 | ||||||||
See Notes to Financial Statements. | 47 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil 1.40% | ||||||||||||
Eni SpA (Italy)†(c) | 5.70% | 10/1/2040 | $ | 5,053 | $ | 5,470,656 | ||||||
Equinor ASA (Norway)(c) | 7.15% | 11/15/2025 | 1,354 | 1,660,684 | ||||||||
Kerr-McGee Corp. | 7.875% | 9/15/2031 | 1,678 | 2,161,791 | ||||||||
Petroleos Mexicanos (Mexico)(c) | 4.50% | 1/23/2026 | 2,600 | 2,428,400 | ||||||||
Raizen Fuels Finance SA (Luxembourg)†(c) | 5.30% | 1/20/2027 | 1,452 | 1,392,294 | ||||||||
Shell International Finance BV (Netherlands)(c) | 6.375% | 12/15/2038 | 1,603 | 2,091,712 | ||||||||
Valero Energy Corp. | 10.50% | 3/15/2039 | 1,127 | 1,841,380 | ||||||||
Total | 17,046,917 | |||||||||||
Oil: Crude Producers 0.91% | ||||||||||||
Abu Dhabi Crude Oil Pipeline LLC (United Arab Emirates)†(c) | 4.60% | 11/2/2047 | 770 | 721,485 | ||||||||
Colonial Pipeline Co.† | 4.25% | 4/15/2048 | 1,599 | 1,563,809 | ||||||||
Energy Transfer Partners LP | 7.50% | 7/1/2038 | 2,143 | 2,500,101 | ||||||||
IFM US Colonial Pipeline 2 LLC† | 6.45% | 5/1/2021 | 2,710 | 2,897,385 | ||||||||
Kinder Morgan, Inc. | 7.75% | 1/15/2032 | 2,422 | 3,007,170 | ||||||||
Peru LNG Srl (Peru)†(c) | 5.375% | 3/22/2030 | 370 | 367,447 | ||||||||
Total | 11,057,397 | |||||||||||
Oil: Integrated Domestic 0.45% | ||||||||||||
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc. | 3.337% | 12/15/2027 | 2,559 | 2,405,953 | ||||||||
Halliburton Co. | 7.45% | 9/15/2039 | 1,608 | 2,188,985 | ||||||||
National Oilwell Varco, Inc. | 3.95% | 12/1/2042 | 1,012 | 885,406 | ||||||||
Total | 5,480,344 | |||||||||||
Paper & Forest Products 0.10% | ||||||||||||
Fibria Overseas Finance Ltd. (Brazil)(c) | 4.00% | 1/14/2025 | 1,300 | 1,217,587 | ||||||||
Real Estate Investment Trusts 0.93% | ||||||||||||
EPR Properties | 4.75% | 12/15/2026 | 888 | 871,418 | ||||||||
EPR Properties | 4.95% | 4/15/2028 | 914 | 889,620 | ||||||||
EPR Properties | 5.25% | 7/15/2023 | 4,129 | 4,278,527 | ||||||||
Goodman US Finance Four LLC† | 4.50% | 10/15/2037 | 745 | 738,896 | ||||||||
Ontario Teachers’ Cadillac Fairview Properties Trust (Canada)†(c) | 3.875% | 3/20/2027 | 2,259 | 2,241,369 | ||||||||
SL Green Operating Partnership LP | 3.25% | 10/15/2022 | 877 | 854,323 | ||||||||
VEREIT Operating Partnership LP | 3.95% | 8/15/2027 | 1,574 | 1,463,437 | ||||||||
Total | 11,337,590 | |||||||||||
Steel 0.06% | ||||||||||||
Vale Overseas Ltd. (Brazil)(c) | 6.875% | 11/10/2039 | 610 | 696,925 | ||||||||
48 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Technology 1.22% | ||||||||||||
Alibaba Group Holding Ltd. (China)(c) | 3.60% | 11/28/2024 | $ | 1,950 | $ | 1,930,372 | ||||||
Alibaba Group Holding Ltd. (China)(c) | 4.20% | 12/6/2047 | 1,183 | 1,119,052 | ||||||||
Alibaba Group Holding Ltd. (China)(c) | 4.40% | 12/6/2057 | 200 | 188,443 | ||||||||
Amazon.com, Inc.† | 3.15% | 8/22/2027 | 3,383 | 3,267,406 | ||||||||
Amazon.com, Inc. | 5.20% | 12/3/2025 | 1,701 | 1,889,601 | ||||||||
Baidu, Inc. (China)(c) | 3.875% | 9/29/2023 | 1,862 | 1,866,888 | ||||||||
Tencent Holdings Ltd. (China)†(c) | 3.375% | 5/2/2019 | 900 | 905,546 | ||||||||
Tencent Holdings Ltd. (China)†(c) | 3.595% | 1/19/2028 | 3,868 | 3,706,455 | ||||||||
Total | 14,873,763 | |||||||||||
Telecommunications 0.63% | ||||||||||||
AT&T, Inc. | 6.00% | 8/15/2040 | 3,604 | 3,882,734 | ||||||||
Verizon Communications, Inc. | 4.862% | 8/21/2046 | 1,814 | 1,754,868 | ||||||||
Vodafone Group plc (United Kingdom)(c) | 4.375% | 5/30/2028 | 1,151 | 1,143,966 | ||||||||
Vodafone Group plc (United Kingdom)(c) | 5.25% | 5/30/2048 | 863 | 873,674 | ||||||||
Total | 7,655,242 | |||||||||||
Transportation: Miscellaneous 0.60% | ||||||||||||
Burlington Northern Santa Fe LLC | 5.75% | 5/1/2040 | 5,131 | 6,209,343 | ||||||||
Canadian Pacific Railway Co. (Canada)(c) | 4.00% | 6/1/2028 | 1,120 | 1,139,350 | ||||||||
Total | 7,348,693 | |||||||||||
Utilities 0.21% | ||||||||||||
Aquarion Co.† | 4.00% | 8/15/2024 | 2,500 | 2,540,778 | ||||||||
Total Corporate Bonds (cost $297,189,213) | 292,312,154 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS 5.18% | ||||||||||||
Bahamas 0.05% | ||||||||||||
Commonwealth of Bahamas†(c) | 6.95% | 11/20/2029 | 588 | 643,860 | ||||||||
Bermuda 0.11% | ||||||||||||
Government of Bermuda† | 3.717% | 1/25/2027 | 1,400 | 1,329,230 | ||||||||
Canada 2.90% | ||||||||||||
Ontario Teachers’ Finance Trust†(c) | 2.75% | 4/16/2021 | 3,436 | 3,425,070 | ||||||||
Province of Alberta Canada(c) | 3.30% | 3/15/2028 | 8,955 | 8,951,866 | ||||||||
Province of Ontario Canada(c) | 2.20% | 10/3/2022 | 14,670 | 14,148,104 | ||||||||
Province of Ontario Canada(c) | 2.50% | 9/10/2021 | 2,811 | 2,769,839 | ||||||||
Province of Quebec Canada(c) | 2.375% | 1/31/2022 | 6,189 | 6,055,844 | ||||||||
Total | 35,350,723 | |||||||||||
See Notes to Financial Statements. | 49 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Cayman Islands 0.06% | ||||||||||||
Cayman Islands Government† | 5.95% | 11/24/2019 | $ | 700 | $ | 736,750 | ||||||
Colombia 0.12% | ||||||||||||
Republic of Colombia(c) | 3.875% | 4/25/2027 | 1,520 | 1,453,500 | ||||||||
Indonesia 0.16% | ||||||||||||
Republic of Indonesia†(c) | 4.35% | 1/8/2027 | 1,948 | 1,944,776 | ||||||||
Japan 1.37% | ||||||||||||
Japan Bank for International Corp.(c) | 2.375% | 7/21/2022 | 3,694 | 3,586,870 | ||||||||
Japan Bank for International Corp.(c) | 2.375% | 11/16/2022 | 8,380 | 8,118,035 | ||||||||
Japan Bank for International Corp.(c) | 2.50% | 6/1/2022 | 5,130 | 5,017,420 | ||||||||
Total | 16,722,325 | |||||||||||
Mexico 0.28% | ||||||||||||
United Mexican States(c) | 4.00% | 10/2/2023 | 3,360 | 3,371,340 | ||||||||
Qatar 0.06% | ||||||||||||
State of Qatar†(c) | 5.103% | 4/23/2048 | 725 | 722,601 | ||||||||
Uruguay 0.07% | ||||||||||||
Republic of Uruguay(c) | 4.975% | 4/20/2055 | 925 | 892,625 | ||||||||
Total Foreign Government Obligations (cost $63,721,773) | 63,167,730 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 2.13% | ||||||||||||
Federal Home Loan Mortgage Corp. K072 A2 | 3.444% | 12/25/2027 | 2,364 | 2,372,491 | ||||||||
Federal Home Loan Mortgage Corp. Q001 XA IO | 2.289% | #(e) | 2/25/2032 | 12,370 | 1,880,240 | |||||||
Government National Mortgage Assoc. 2014-78 A | 2.20% | 4/16/2047 | 189 | 187,588 | ||||||||
Government National Mortgage Assoc. 2015-47 AE | 2.90% | #(e) | 11/16/2055 | 4,090 | 4,027,025 | |||||||
Government National Mortgage Assoc. 2015-48 AS | 2.90% | #(e) | 2/16/2049 | 3,254 | 3,192,923 | |||||||
Government National Mortgage Assoc. 2015-73 AC | 2.90% | #(e) | 2/16/2053 | 752 | 736,611 | |||||||
Government National Mortgage Assoc. 2017-168 AS | 2.70% | 8/16/2058 | 3,789 | 3,673,644 | ||||||||
Government National Mortgage Assoc. 2017-41 AS | 2.60% | 6/16/2057 | 3,351 | 3,221,090 | ||||||||
Government National Mortgage Assoc. 2017-69 AS | 2.75% | 2/16/2058 | 1,786 | 1,722,743 | ||||||||
Government National Mortgage Assoc. 2017-71 AS | 2.70% | 4/16/2057 | 1,170 | 1,123,918 | ||||||||
Government National Mortgage Assoc. 2017-86 AS | 2.75% | 2/16/2058 | 1,315 | 1,276,739 | ||||||||
Government National Mortgage Assoc. 2017-89 AB | 2.60% | 7/16/2058 | 1,100 | 1,062,773 | ||||||||
Government National Mortgage Assoc. 2017-90 AS | 2.70% | 7/16/2057 | 1,536 | 1,482,607 | ||||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $26,741,114) | 25,960,392 | |||||||||||
50 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 25.44% | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.00% | 8/1/2047 | $ | 11,751 | $ | 12,027,170 | ||||||
Federal Home Loan Mortgage Corp. | 5.00% | 4/1/2021 - 6/1/2026 | 922 | 953,965 | ||||||||
Federal National Mortgage Assoc. | 3.50% | 4/1/2043 - 7/1/2043 | 7,955 | 7,991,011 | ||||||||
Federal National Mortgage Assoc.(f) | 3.50% | TBA | 4,000 | 3,986,406 | ||||||||
Federal National Mortgage Assoc. | 4.00% | 10/1/2040 - 9/1/2047 | 29,993 | 30,772,592 | ||||||||
Federal National Mortgage Assoc.(f) | 4.00% | TBA | 128,000 | 130,760,004 | ||||||||
Federal National Mortgage Assoc.(f) | 4.50% | TBA | 114,000 | 118,996,409 | ||||||||
Federal National Mortgage Assoc. | 5.50% | 9/1/2034 - 9/1/2036 | 4,104 | 4,476,253 | ||||||||
Federal National Mortgage Assoc. | 6.50% | 1/1/2036 | 35 | 39,262 | ||||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $310,572,612) | 310,003,072 | |||||||||||
MUNICIPAL BOND 0.06% | ||||||||||||
Miscellaneous | ||||||||||||
Pennsylvania (cost $687,543) | 5.35% | 5/1/2030 | 650 | 675,708 | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 3.94% | ||||||||||||
Bancorp Commercial Mortgage Trust (The) 2018-CR3 A† | 2.769% (1 Mo. LIBOR + .85% | )# | 1/15/2033 | 1,155 | 1,155,654 | |||||||
BWAY Mortgage Trust 2015-1740 A† | 2.917% | 1/10/2035 | 2,100 | 2,004,207 | ||||||||
BX Commercial Mortgage Trust 2018-BIOA A† | 2.59% (1 Mo. LIBOR + .67% | )# | 3/15/2037 | 4,127 | 4,132,620 | |||||||
BX Trust 2018-GW A† | 2.70% (1 Mo. LIBOR + .80% | )# | 5/15/2035 | 3,064 | 3,070,197 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI A† | 3.531% | 10/15/2034 | 3,550 | 3,577,460 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI B† | 3.835% | 10/15/2034 | 2,164 | 2,181,919 | ||||||||
Citigroup Commercial Mortgage Trust 2014-GC21 XA IO | 1.222% | #(e) | 5/10/2047 | 23,837 | 1,319,818 | |||||||
Citigroup Commercial Mortgage Trust 2016-GC36 D† | 2.85% | 2/10/2049 | 3,025 | 2,337,737 | ||||||||
Citigroup Commercial Mortgage Trust 2016-P3 D† | 2.804% | #(e) | 4/15/2049 | 709 | 546,723 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-CR19 XA IO | 1.206% | #(e) | 8/10/2047 | 4,194 | 190,220 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-UBS4 AM | 3.968% | 8/10/2047 | 250 | 252,106 | ||||||||
Commercial Mortgage Pass-Through Certificates 2015-LC23 C | 4.646% | #(e) | 10/10/2048 | 1,000 | 991,888 |
See Notes to Financial Statements. | 51 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Commercial Mortgage Pass-Through Certificates 2015-LC23 D† | 3.646% | #(e) | 10/10/2048 | $ | 2,000 | $ | 1,765,751 | |||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 B | 4.441% | #(e) | 7/10/2050 | 620 | 631,426 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 C | 4.441% | #(e) | 7/10/2050 | 1,138 | 1,068,007 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 D | 4.441% | #(e) | 7/10/2050 | 1,471 | 1,235,074 | |||||||
Commercial Mortgage Pass-Through Certificates 2016-SAVA A† | 3.649% (1 Mo. LIBOR + 1.72% | )# | 10/15/2034 | 2,019 | 2,021,481 | |||||||
CSAIL Commercial Mortgage Trust 2015-C2 C | 4.208% | #(e) | 6/15/2057 | 325 | 305,390 | |||||||
DBWF Mortgage Trust 2015-LCM D† | 3.421% | #(e) | 6/10/2034 | 895 | 762,470 | |||||||
GAHR Commercial Mortgage Trust 2015-NRF DFX† | 3.382% | #(e) | 12/15/2034 | 953 | 948,558 | |||||||
GS Mortgage Securities Trust 2015-GC32 C | 4.412% | #(e) | 7/10/2048 | 685 | 682,371 | |||||||
Hilton Orlando Trust 2018-ORL A† | 2.689% (1 Mo. LIBOR + 0.77% | )# | 12/15/2034 | 4,123 | 4,133,301 | |||||||
Hudsons Bay Simon JV Trust 2015-HB7 B7† | 4.666% | 8/5/2034 | 2,410 | 2,347,913 | ||||||||
Hudsons Bay Simon JV Trust 2015-HB7 D7† | 5.159% | #(e) | 8/5/2034 | 2,231 | 2,082,709 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XA IO | 1.135% | #(e) | 4/15/2047 | 4,631 | 103,217 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XB IO | 0.266% | #(e) | 4/15/2047 | 1,381 | 25,555 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C30 C | 4.307% | #(e) | 7/15/2048 | 2,629 | 2,548,552 | |||||||
Sequoia Mortgage Trust 2012-4 A3 | 2.069% | #(e) | 9/25/2042 | 408 | 388,388 | |||||||
SFAVE Commercial Mortgage Securities Trust 2015-5AVE A2B† | 4.144% | #(e) | 1/5/2043 | 250 | 245,651 | |||||||
Wells Fargo Commercial Mortgage Trust 2015-C28 D | 4.131% | #(e) | 5/15/2048 | 2,000 | 1,660,929 | |||||||
Wells Fargo Commercial Mortgage Trust 2016-C35 C | 4.176% | #(e) | 7/15/2048 | 343 | 334,472 | |||||||
Wells Fargo Commercial Mortgage Trust 2016-NXS5 E† | 4.879% | #(e) | 1/15/2059 | 1,524 | 1,253,982 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C20 XA IO | 1.055% | #(e) | 5/15/2047 | 9,016 | 385,865 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C20 XB IO | 0.564% | #(e) | 5/15/2047 | 1,909 | 63,858 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C23 XA IO | 0.646% | #(e) | 10/15/2057 | 23,969 | 713,459 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C23 XB IO | 0.307% | #(e) | 10/15/2057 | 36,416 | 564,808 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $47,453,458) | 48,033,736 |
52 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
U.S. TREASURY OBLIGATIONS 22.76% | ||||||||||||
U.S. Treasury Bond | 3.00% | 2/15/2048 | $ | 17,884 | $ | 17,820,777 | ||||||
U.S. Treasury Bond | 3.125% | 5/15/2048 | 10,504 | 10,722,491 | ||||||||
U.S. Treasury Bond | 3.625% | 2/15/2044 | 27,247 | 30,239,913 | ||||||||
U.S. Treasury Note | 1.375% | 6/30/2018 | 7,349 | 7,346,854 | ||||||||
U.S. Treasury Note | 1.375% | 5/31/2021 | 12,020 | 11,610,569 | ||||||||
U.S. Treasury Note | 1.625% | 11/15/2022 | 29,515 | 28,230,060 | ||||||||
U.S. Treasury Note | 1.875% | 12/15/2020 | 25,018 | 24,632,957 | ||||||||
U.S. Treasury Note | 2.25% | 2/15/2021 | 6,334 | 6,289,093 | ||||||||
U.S. Treasury Note | 2.50% | 5/31/2020 | 74,901 | 75,012,182 | ||||||||
U.S. Treasury Note | 2.625% | 11/15/2020 | 5,412 | 5,427,221 | ||||||||
U.S. Treasury Note | 2.75% | 5/31/2023 | 54,743 | 54,908,726 | ||||||||
U.S. Treasury Note | 2.75% | 2/15/2028 | 5,196 | 5,147,896 | ||||||||
Total U.S. Treasury Obligations (cost $277,292,005) | 277,388,739 | |||||||||||
Total Long-Term Investments (cost $1,369,139,129) | 1,362,074,033 | |||||||||||
SHORT-TERM INVESTMENTS 6.48% | ||||||||||||
REPURCHASE AGREEMENTS | ||||||||||||
Repurchase Agreement dated 5/31/2018, 0.90% due 6/1/2018 with Fixed Income Clearing Corp. collateralized by $7,445,000 of U.S. Treasury Note at 1.625% due 8/31/2022; value: $7,173,071; proceeds: $7,029,548 | 7,029 | 7,029,372 | ||||||||||
Repurchase Agreement dated 5/31/2018, 1.70% due 6/1/2018 with JPMorgan Chase & Co. collateralized by $73,634,000 of U.S. Treasury Note at 2.50% due 8/15/023; value: $73,402,177; proceeds: $72,003,400 | 72,000 | 72,000,000 | ||||||||||
Total Short-Term Investments (cost $79,029,372) | 79,029,372 | |||||||||||
Total Investments in Securities 118.25% (cost $1,448,168,501) | 1,441,103,405 | |||||||||||
Liabilities in Excess of Cash and Other Assets(g) (18.25%) | (222,391,167 | ) | ||||||||||
Net Assets 100.00% | $ | 1,218,712,238 |
See Notes to Financial Statements. | 53 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUND May 31, 2018
IO | Interest Only. | |
LIBOR | London Interbank Offered Rate. | |
† | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers. | |
# | Variable rate security. The interest rate represents the rate in effect at May 31, 2018. | |
(a) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(b) | Level 3 Investment as described in Note 2(s) in the Notes to Financials. Security valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments. | |
(c) | Foreign security traded in U.S. dollars. | |
(d) | Variable Rate is Fixed to Float: Rate remains fixed until designated future date. | |
(e) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(f) | To-be-announced (“TBA”). Security purchased on a forward commitment basis with an approximate principal and maturity date. Actual principal and maturity will be determined upon settlement when the specific mortgage pools are assigned. | |
(g) | Liabilities in Excess of Cash and Other Assets include net unrealized appreciation/depreciation on futures contracts as follows: |
Open Futures Contracts at May 31, 2018:
Notional | Notional | Unrealized | ||||||||||||||||
Type | Expiration | Contracts | Position | Amount | Value | Appreciation | ||||||||||||
U.S. 2-Year Treasury Note | September 2018 | 214 | Long | $ | 45,371,021 | $ | 45,418,156 | $ | 47,135 | |||||||||
U.S. 5-Year Treasury Note | September 2018 | 636 | Long | 72,162,894 | 72,434,437 | 271,543 | ||||||||||||
U.S. Long Bond | September 2018 | 166 | Long | 24,039,169 | 24,090,750 | 51,581 | ||||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 370,259 | ||||||||||||||||
Notional | Notional | Unrealized | ||||||||||||||||
Type | Expiration | Contracts | Position | Amount | Value | Depreciation | ||||||||||||
U.S. 10-Year Ultra Treasury Bond | September 2018 | 305 | Short | $ | (39,144,319 | ) | $ | (39,144,843 | ) | $(524 | ) |
54 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(concluded)
CORE FIXED INCOME FUND May 31, 2018
The following is a summary of the inputs used as of May 31, 2018 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2)(3) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | ||||||||||||||||
Other | $ | – | $ | 128,982,237 | $ | 2,588,547 | $ | 131,570,784 | ||||||||
Remaining Industries | – | 212,961,718 | – | 212,961,718 | ||||||||||||
Corporate Bonds | – | 292,312,154 | – | 292,312,154 | ||||||||||||
Foreign Government Obligations | – | 63,167,730 | – | 63,167,730 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 25,960,392 | – | 25,960,392 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 310,003,072 | – | 310,003,072 | ||||||||||||
Municipal Bond | – | 675,708 | – | 675,708 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 48,033,736 | – | 48,033,736 | ||||||||||||
U.S. Treasury Obligations | – | 277,388,739 | – | 277,388,739 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | – | 79,029,372 | – | 79,029,372 | ||||||||||||
Total | $ | – | $ | 1,438,514,858 | $ | 2,588,547 | $ | 1,441,103,405 | ||||||||
Other Financial Instruments | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Assets | $ | 370,259 | $ | – | $ | – | $ | 370,259 | ||||||||
Liabilities | (524 | ) | – | – | (524 | ) | ||||||||||
Total | $ | 369,735 | $ | – | $ | – | $ | 369,735 |
(1) | Refer to Note 2(s) for a description of fair value measurements and the three-tier hierarchy of inputs. |
(2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. The table above is presented by Investment Type. Industries are presented within an Investment Type should such Investment Type include securities classified as two or more levels within the three-tier fair value hierarchy. Each Level 3 security is identified on the Schedule of Investments along with the valuation technique utilized. |
(3) | There were no Level 1/Level 2 transfers during the period ended May 31, 2018. |
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
Asset-Backed Securities | ||||
Balance as of December 1, 2017 | $ | 7,265,948 | ||
Accrued Discounts (Premiums) | – | |||
Realized Gain (Loss) | 26,444 | |||
Change in Unrealized Appreciation (Depreciation) | – | |||
Purchases | 2,588,547 | |||
Sales | (4,257,444) | |||
Transfers into Level 3 | – | |||
Transfers out of Level 3 | (3,034,948) | |||
Balance as of May 31, 2018 | $ | 2,588,547 | ||
Change in unrealized appreciation/depreciation for period ended May 31, 2018, related to Level 3 investments held at May 31, 2018 | $ | – |
See Notes to Financial Statements. | 55 |
Schedule of Investments (unaudited)
CORE PLUS BOND FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 108.81% | ||||||||||||
ASSET-BACKED SECURITIES 33.22% | ||||||||||||
Automobiles 14.36% | ||||||||||||
ACC Trust 2018-1 A† | 3.70% | 12/21/2020 | $ | 100 | $ | 100,116 | ||||||
ACC Trust 2018-1 B† | 4.82% | 5/20/2021 | 100 | 100,349 | ||||||||
Ally Auto Receivables Trust 2017-5 A2 | 1.81% | 6/15/2020 | 7 | 6,978 | ||||||||
American Credit Acceptance Receivables Trust 2016-2 C† | 6.09% | 5/12/2022 | 6 | 6,161 | ||||||||
American Credit Acceptance Receivables Trust 2017-3 A† | 1.82% | 3/10/2020 | 6 | 6,224 | ||||||||
American Credit Acceptance Receivables Trust 2018-1 A† | 2.72% | 3/10/2021 | 40 | 40,170 | ||||||||
AmeriCredit Automobile Receivables Trust 2013-5 D | 2.86% | 12/9/2019 | 71 | 71,488 | ||||||||
AmeriCredit Automobile Receivables Trust 2014-2 C | 2.18% | 6/8/2020 | 27 | 27,183 | ||||||||
AmeriCredit Automobile Receivables Trust 2015-3 B | 2.08% | 9/8/2020 | 12 | 11,978 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-4 A2A | 1.34% | 4/8/2020 | 2 | 1,576 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-2 C | 2.97% | 3/20/2023 | 16 | 15,920 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-3 A2A | 1.69% | 12/18/2020 | 9 | 8,748 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-3 B | 2.24% | 6/19/2023 | 7 | 6,891 | ||||||||
BMW Vehicle Owner Trust 2018-A A2A | 2.09% | 11/25/2020 | 53 | 52,836 | ||||||||
California Republic Auto Receivables Trust 2014-3 B | 2.66% | 8/17/2020 | 9 | 9,009 | ||||||||
California Republic Auto Receivables Trust 2015-2 B | 2.53% | 6/15/2021 | 43 | 42,718 | ||||||||
California Republic Auto Receivables Trust 2015-4 A3† | 2.04% | 1/15/2020 | – | (a) | 344 | |||||||
California Republic Auto Receivables Trust 2015-4 B† | 3.73% | 11/15/2021 | 25 | 25,110 | ||||||||
California Republic Auto Receivables Trust 2016-1 A3 | 1.89% | 5/15/2020 | 14 | 13,847 | ||||||||
California Republic Auto Receivables Trust 2016-2 A3 | 1.56% | 7/15/2020 | 11 | 11,435 | ||||||||
California Republic Auto Receivables Trust 2016-2 B | 2.52% | 5/16/2022 | 8 | 7,850 |
56 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
California Republic Auto Receivables Trust 2017-1 A3 | 1.90% | 3/15/2021 | $ | 30 | $ | 29,862 | ||||||
California Republic Auto Receivables Trust 2017-1 B | 2.91% | 12/15/2022 | 73 | 71,515 | ||||||||
CarMax Auto Owner Trust 2014-2 C | 2.08% | 1/15/2020 | 8 | 7,998 | ||||||||
CarMax Auto Owner Trust 2014-3 C | 2.29% | 6/15/2020 | 10 | 9,991 | ||||||||
CarMax Auto Owner Trust 2014-4 C | 2.44% | 11/16/2020 | 22 | 21,959 | ||||||||
CarMax Auto Owner Trust 2016-4 A2 | 1.21% | 11/15/2019 | 1 | 1,450 | ||||||||
Chesapeake Funding II LLC 2016-1A A1† | 2.11% | 3/15/2028 | 93 | 92,687 | ||||||||
Chesapeake Funding II LLC 2016-2A A1† | 1.88% | 6/15/2028 | 117 | 116,160 | ||||||||
Chesapeake Funding II LLC 2017-2A A1† | 1.99% | 5/15/2029 | 90 | 88,643 | ||||||||
Chesapeake Funding II LLC 2017-3A A1† | 1.91% | 8/15/2029 | 93 | 91,870 | ||||||||
CPS Auto Receivables Trust 2018-A B† | 2.77% | 4/18/2022 | 100 | 99,335 | ||||||||
Drive Auto Receivables Trust 2015-BA E† | 5.15% | 8/15/2022 | 50 | 50,861 | ||||||||
Drive Auto Receivables Trust 2016-AA C† | 3.91% | 5/17/2021 | 24 | 23,891 | ||||||||
Drive Auto Receivables Trust 2016-CA B† | 2.37% | 11/16/2020 | 4 | 3,574 | ||||||||
Drive Auto Receivables Trust 2016-CA C† | 3.02% | 11/15/2021 | 18 | 18,031 | ||||||||
Drive Auto Receivables Trust 2016-CA D† | 4.18% | 3/15/2024 | 4 | 4,065 | ||||||||
Drive Auto Receivables Trust 2017-2 A3 | 1.82% | 6/15/2020 | 11 | 11,356 | ||||||||
Drive Auto Receivables Trust 2017-AA B† | 2.51% | 1/15/2021 | 8 | 8,280 | ||||||||
Drive Auto Receivables Trust 2017-AA D† | 4.16% | 5/15/2024 | 11 | 11,189 | ||||||||
Drive Auto Receivables Trust 2017-BA B† | 2.20% | 5/15/2020 | 5 | 5,401 | ||||||||
Drive Auto Receivables Trust 2017-BA C† | 2.61% | 8/16/2021 | 12 | 12,005 | ||||||||
First Investors Auto Owner Trust 2016-2A A1† | 1.53% | 11/16/2020 | 3 | 2,572 | ||||||||
First Investors Auto Owner Trust 2017-3A A2† | 2.41% | 12/15/2022 | 14 | 13,827 | ||||||||
First Investors Auto Owner Trust 2017-3A B† | 2.72% | 4/17/2023 | 10 | 9,838 | ||||||||
Flagship Credit Auto Trust 2015-3 A† | 2.38% | 10/15/2020 | 8 | 7,618 | ||||||||
Flagship Credit Auto Trust 2017-3 A† | 1.88% | 10/15/2021 | 10 | 9,764 | ||||||||
Flagship Credit Auto Trust 2017-3 B† | 2.59% | 7/15/2022 | 10 | 9,898 | ||||||||
Flagship Credit Auto Trust 2017-4 A† | 2.07% | 4/15/2022 | 15 | 15,333 | ||||||||
Flagship Credit Auto Trust 2018-1 A† | 2.59% | 6/15/2022 | 23 | 23,081 | ||||||||
Ford Credit Auto Owner Trust 2016-C A2A | 1.04% | 9/15/2019 | 3 | 3,272 | ||||||||
Foursight Capital Automobile Receivables Trust 2016-1 A2† | 2.87% | 10/15/2021 | 43 | 42,844 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 A2† | 2.85% | 8/16/2021 | 100 | 99,958 | ||||||||
GM Financial Automobile Leasing Trust 2016-3 A3 | 1.61% | 12/20/2019 | 11 | 10,962 | ||||||||
GM Financial Automobile Leasing Trust 2017-2 A2A | 1.72% | 1/21/2020 | 7 | 6,894 | ||||||||
GM Financial Consumer Automobile 2017-1A B† | 2.30% | 6/16/2023 | 3 | 2,945 |
See Notes to Financial Statements. | 57 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Honda Auto Receivables Owner Trust 2016-2 A3 | 1.39% | 4/15/2020 | $ | 5 | $ | 5,002 | ||||||
Honda Auto Receivables Owner Trust 2016-4 A2 | 1.04% | 4/18/2019 | 2 | 2,045 | ||||||||
Hyundai Auto Lease Securitization Trust 2016-B A3† | 1.52% | 10/15/2019 | 67 | 66,708 | ||||||||
Hyundai Auto Lease Securitization Trust 2017-C A2A† | 1.89% | 3/16/2020 | 100 | 99,443 | ||||||||
Mercedes-Benz Auto Lease Trust 2018-A A2 | 2.20% | 4/15/2020 | 33 | 32,918 | ||||||||
Mercedes-Benz Auto Receivables Trust 2015-1 A3 | 1.34% | 12/16/2019 | 3 | 3,135 | ||||||||
Mercedes-Benz Auto Receivables Trust 2016-1 A3 | 1.26% | 2/16/2021 | 12 | 11,758 | ||||||||
Santander Drive Auto Receivables Trust 2014-3 D | 2.65% | 8/17/2020 | 16 | 16,171 | ||||||||
Santander Drive Auto Receivables Trust 2014-4 C | 2.60% | 11/16/2020 | 3 | 2,622 | ||||||||
Santander Drive Auto Receivables Trust 2016-3 B | 1.89% | 6/15/2021 | 7 | 6,972 | ||||||||
Santander Drive Auto Receivables Trust 2017-2 A2 | 1.60% | 3/16/2020 | 12 | 11,866 | ||||||||
Santander Drive Auto Receivables Trust 2017-3 C | 2.76% | 12/15/2022 | 5 | 4,962 | ||||||||
Santander Drive Auto Receivables Trust 2018-1 A2 | 2.10% | 11/16/2020 | 29 | 28,916 | ||||||||
SunTrust Auto Receivables Trust 2015-1A A4† | 1.78% | 1/15/2021 | 13 | 12,776 | ||||||||
TCF Auto Receivables Owner Trust 2015-1A D† | 3.53% | 3/15/2022 | 29 | 28,835 | ||||||||
TCF Auto Receivables Owner Trust 2016-PT1A B† | 2.92% | 10/17/2022 | 11 | 10,855 | ||||||||
Westlake Automobile Receivables Trust 2017-2A A2A† | 1.80% | 7/15/2020 | 18 | 17,970 | ||||||||
Total | 1,968,814 | |||||||||||
Credit Cards 5.39% | ||||||||||||
Barclays Dryrock Issuance Trust 2015-4 A | 1.72% | 8/16/2021 | 100 | 99,744 | ||||||||
Chase Issuance Trust 2015-A7 | 1.62% | 7/15/2020 | 100 | 99,902 | ||||||||
Citibank Credit Card Issuance Trust 2017-A2 | 1.74% | 1/19/2021 | 100 | 99,547 | ||||||||
Discover Card Execution Note Trust 2016-A1 | 1.64% | 7/15/2021 | 100 | 99,487 | ||||||||
Synchrony Credit Card Master Note Trust 2016-1 A | 2.04% | 3/15/2022 | 100 | 99,612 | ||||||||
Synchrony Credit Card Master Note Trust 2017-2 A | 2.62% | 10/15/2025 | 90 | 87,882 | ||||||||
World Financial Network Credit Card Master Trust 2012-A | 3.14% | 1/17/2023 | 50 | 50,185 | ||||||||
World Financial Network Credit Card Master Trust 2017-B A | 1.98% | 6/15/2023 | 29 | 28,753 | ||||||||
World Financial Network Credit Card Master Trust 2017-C A | 2.31% | 8/15/2024 | 52 | 51,162 | ||||||||
World Financial Network Credit Card Master Trust 2017-C M | 2.66% | 8/15/2024 | 23 | 22,676 | ||||||||
Total | 738,950 |
58 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other 13.47% | ||||||||||||
Access Point Funding I LLC 2017-A† | 3.06% | 4/15/2029 | $ | 150 | $ | 149,637 | ||||||
Ascentium Equipment Receivables Trust 2016-2A A2† | 1.46% | 4/10/2019 | 1 | 1,099 | ||||||||
Ascentium Equipment Receivables Trust 2017-1A A2† | 1.87% | 7/10/2019 | �� | 10 | 9,695 | |||||||
Ascentium Equipment Receivables Trust 2017-1A A3† | 2.29% | 6/10/2021 | 4 | 3,959 | ||||||||
CNH Equipment Trust 2014-C A3 | 1.05% | 11/15/2019 | – | (a) | 328 | |||||||
Conn’s Receivables Funding LLC 2017-B A† | 2.73% | 7/15/2020 | 44 | 43,884 | ||||||||
Daimler Trucks Retail Trust 2018-1 A2† | 2.60% | 5/15/2020 | 43 | 43,011 | ||||||||
Diamond Resorts Owner Trust 2015-2 A† | 2.99% | 5/22/2028 | 44 | 43,488 | ||||||||
Diamond Resorts Owner Trust 2017-1A B† | 4.11% | 10/22/2029 | 72 | 70,763 | ||||||||
DLL Securitization Trust 2017-A A4† | 2.43% | 11/17/2025 | 100 | 97,931 | ||||||||
Dryden 38 Senior Loan Fund 2015-38A† | 3.778% (3 Mo. LIBOR + 1.43% | )# | 7/15/2027 | 250 | 250,252 | |||||||
Engs Commercial Finance Trust 2015-1A A2† | 2.31% | 10/22/2021 | 14 | 13,817 | ||||||||
Engs Commercial Finance Trust 2018-1A A1† | 2.97% | 2/22/2021 | 93 | 92,699 | ||||||||
Ford Credit Floorplan Master Owner Trust 2017-2 A1 | 2.16% | 9/15/2022 | 22 | 21,653 | ||||||||
Hardee’s Funding LLC 2018-1A AII†(b) | 4.959% | 6/20/2048 | 28 | 28,000 | ||||||||
Leaf Receivables Funding 12 LLC 2017-1 A3† | 2.07% | 8/15/2020 | 99 | 98,497 | ||||||||
Missouri Higher Education Loan Authority 2012-1 A1 | 2.79% (1 Mo. LIBOR + 0.83% | )# | 1/26/2026 | 111 | 110,538 | |||||||
Navient Student Loan Trust 2017-2A A† | 3.01% (1 Mo. LIBOR + 1.05% | )# | 12/27/2066 | 85 | 86,962 | |||||||
Pennsylvania Higher Education Assistance Agency 2006-1 B | 2.63% (3 Mo. LIBOR + .27% | )# | 4/25/2038 | 45 | 43,733 | |||||||
PFS Financing Corp. 2018-B A† | 2.89% | 2/15/2023 | 100 | 99,238 | ||||||||
SCF Equipment Leasing LLC 2017-2A A† | 3.41% | 12/20/2023 | 90 | 88,873 | ||||||||
SCF Equipment Leasing LLC 2018-1A A2† | 3.63% | 10/20/2024 | 100 | 100,517 | ||||||||
Shackleton CLO 2014-6A A2R† | 3.513% (3 Mo. LIBOR + 1.16% | )# | 7/17/2026 | 250 | 250,321 | |||||||
SoFi Professional Loan Program LLC 2017-E A2B† | 2.72% | 11/26/2040 | 100 | 97,390 | ||||||||
Total | 1,846,285 | |||||||||||
Total Asset-Backed Securities (cost $4,570,665) | 4,554,049 | |||||||||||
CORPORATE BONDS 41.11% | ||||||||||||
Aerospace/Defense 0.24% | ||||||||||||
Bombardier, Inc.(Canada)†(c) | 7.50% | 3/15/2025 | 26 | 26,978 | ||||||||
Kratos Defense & Security Solutions, Inc.† | 6.50% | 11/30/2025 | 6 | 6,232 | ||||||||
Total | 33,210 |
See Notes to Financial Statements. | 59 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Auto Parts: Original Equipment 0.21% | ||||||||||||
American Axle & Manufacturing, Inc. | 6.25% | 4/1/2025 | $ | 20 | $ | 19,825 | ||||||
TI Group Automotive Systems LLC (United Kingdom)†(c) | 8.75% | 7/15/2023 | 8 | 8,370 | ||||||||
Total | 28,195 | |||||||||||
Automotive 1.25% | ||||||||||||
BCD Acquisition, Inc.† | 9.625% | 9/15/2023 | 10 | 10,863 | ||||||||
Ford Motor Co. | 7.45% | 7/16/2031 | 50 | 59,165 | ||||||||
General Motors Co. | 6.60% | 4/1/2036 | 67 | 74,711 | ||||||||
Tesla, Inc.† | 5.30% | 8/15/2025 | 31 | 27,009 | ||||||||
Total | 171,748 | |||||||||||
Banks: Regional 5.11% | ||||||||||||
Bank of America Corp. | 3.824% | #(d) | 1/20/2028 | 127 | 124,196 | |||||||
Bank of America Corp. | 4.00% | 1/22/2025 | 7 | 6,930 | ||||||||
Bank of America Corp. | 4.45% | 3/3/2026 | 8 | 8,081 | ||||||||
CIT Group, Inc. | 6.00% | 4/1/2036 | 15 | 14,100 | ||||||||
Citigroup, Inc. | 3.887% | #(d) | 1/10/2028 | 140 | 136,279 | |||||||
Citigroup, Inc. | 4.45% | 9/29/2027 | 13 | 12,866 | ||||||||
Goldman Sachs Group, Inc. (The) | 4.223% | #(d) | 5/1/2029 | 11 | 10,869 | |||||||
Goldman Sachs Group, Inc. (The) | 6.75% | 10/1/2037 | 27 | 32,444 | ||||||||
JPMorgan Chase & Co. | 3.782% | #(d) | 2/1/2028 | 55 | 53,799 | |||||||
Macquarie Bank Ltd. (Australia)†(c) | 6.625% | 4/7/2021 | 16 | 17,219 | ||||||||
Macquarie Group Ltd. (Australia)†(c) | 4.654% | #(d) | 3/27/2029 | 54 | 53,691 | |||||||
Morgan Stanley | 3.625% | 1/20/2027 | 25 | 24,151 | ||||||||
Morgan Stanley | 3.875% | 1/27/2026 | 9 | 8,906 | ||||||||
Morgan Stanley | 4.00% | 7/23/2025 | 17 | 17,077 | ||||||||
Popular, Inc. | 7.00% | 7/1/2019 | 20 | 20,500 | ||||||||
Royal Bank of Scotland Group plc (United Kingdom)(c) | 6.125% | 12/15/2022 | 40 | 42,358 | ||||||||
Santander UK plc (United Kingdom)(c) | 7.95% | 10/26/2029 | 30 | 37,699 | ||||||||
Toronto-Dominion Bank (The) (Canada)(c) | 3.625% | #(d) | 9/15/2031 | 7 | 6,702 | |||||||
Wells Fargo Capital X | 5.95% | 12/1/2086 | 50 | 53,487 | ||||||||
Westpac Banking Corp. (Australia)(c) | 4.322% | #(d) | 11/23/2031 | 20 | 19,440 | |||||||
Total | 700,794 | |||||||||||
Beverages 0.79% | ||||||||||||
Anheuser-Busch InBev Finance, Inc. | 4.70% | 2/1/2036 | 40 | 41,160 | ||||||||
Anheuser-Busch InBev Worldwide, Inc. | 4.00% | 4/13/2028 | 26 | 25,957 | ||||||||
Maple Escrow Subsidiary, Inc.† | 4.597% | 5/25/2028 | 21 | 21,052 |
60 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Beverages (continued) | ||||||||||||
Maple Escrow Subsidiary, Inc.† | 5.085% | 5/25/2048 | $ | 20 | $ | 20,142 | ||||||
Total | 108,311 | |||||||||||
Biotechnology Research & Production 0.14% | ||||||||||||
Amgen, Inc. | 6.40% | 2/1/2039 | 16 | 19,646 | ||||||||
Building Materials 0.31% | ||||||||||||
Norbord, Inc. (Canada)†(c) | 6.25% | 4/15/2023 | 11 | 11,553 | ||||||||
Standard Industries, Inc.† | 6.00% | 10/15/2025 | 5 | 5,075 | ||||||||
Summit Materials LLC/Summit Materials Finance Corp.† | 5.125% | 6/1/2025 | 17 | 16,023 | ||||||||
Vulcan Materials Co.† | 4.70% | 3/1/2048 | 10 | 9,546 | ||||||||
Total | 42,197 | |||||||||||
Business Services 1.05% | ||||||||||||
Ahern Rentals, Inc.† | 7.375% | 5/15/2023 | 21 | 20,580 | ||||||||
Brink’s Co. (The)† | 4.625% | 10/15/2027 | 15 | 13,537 | ||||||||
Jaguar Holding Co. II/Pharmaceutical Product Development LLC† | 6.375% | 8/1/2023 | 5 | 5,040 | ||||||||
Monitronics International, Inc. | 9.125% | 4/1/2020 | 20 | 14,150 | ||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc.† | 9.25% | 5/15/2023 | 13 | 13,809 | ||||||||
Rent-A-Center, Inc. | 4.75% | 5/1/2021 | 5 | 4,700 | ||||||||
Team Health Holdings, Inc.† | 6.375% | 2/1/2025 | 16 | 13,920 | ||||||||
United Rentals North America, Inc. | 4.875% | 1/15/2028 | 40 | 37,664 | ||||||||
Weight Watchers International, Inc.† | 8.625% | 12/1/2025 | 19 | 20,757 | ||||||||
Total | 144,157 | |||||||||||
Chemicals 0.60% | ||||||||||||
Chemours Co. (The) | 7.00% | 5/15/2025 | 12 | 12,930 | ||||||||
Dow Chemical Co. (The) | 9.40% | 5/15/2039 | 10 | 15,699 | ||||||||
Rain CII Carbon LLC/CII Carbon Corp.† | 7.25% | 4/1/2025 | 30 | 31,106 | ||||||||
Rayonier AM Products, Inc.† | 5.50% | 6/1/2024 | 18 | 17,100 | ||||||||
Valvoline, Inc. | 5.50% | 7/15/2024 | 5 | 5,050 | ||||||||
Total | 81,885 | |||||||||||
Coal 0.22% | ||||||||||||
Peabody Energy Corp.† | 6.375% | 3/31/2025 | 10 | 10,412 | ||||||||
Warrior Met Coal, Inc.† | 8.00% | 11/1/2024 | 19 | 19,499 | ||||||||
Total | 29,911 |
See Notes to Financial Statements. | 61 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Computer Hardware 1.03% | ||||||||||||
Dell International LLC/EMC Corp.† | 3.48% | 6/1/2019 | $ | 6 | $ | 6,025 | ||||||
Dell International LLC/EMC Corp.† | 5.45% | 6/15/2023 | 8 | 8,423 | ||||||||
Dell International LLC/EMC Corp.† | 6.02% | 6/15/2026 | 65 | 68,660 | ||||||||
Dell International LLC/EMC Corp.† | 7.125% | 6/15/2024 | 7 | 7,523 | ||||||||
Dell International LLC/EMC Corp.† | 8.35% | 7/15/2046 | 24 | 29,176 | ||||||||
Leidos, Inc. | 7.125% | 7/1/2032 | 20 | 21,900 | ||||||||
Total | 141,707 | |||||||||||
Computer Software 0.51% | ||||||||||||
MSCI, Inc.† | 5.75% | 8/15/2025 | 25 | 25,844 | ||||||||
Oracle Corp. | 6.125% | 7/8/2039 | 18 | 22,804 | ||||||||
Solera LLC/Solera Finance, Inc.† | 10.50% | 3/1/2024 | 19 | 21,179 | ||||||||
Total | 69,827 | |||||||||||
Construction/Homebuilding 0.95% | ||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co.† | 6.75% | 8/1/2025 | 21 | 20,239 | ||||||||
AV Homes, Inc. | 6.625% | 5/15/2022 | 19 | 19,337 | ||||||||
PulteGroup, Inc. | 5.50% | 3/1/2026 | 20 | 19,975 | ||||||||
PulteGroup, Inc. | 7.875% | 6/15/2032 | 15 | 17,325 | ||||||||
TRI Pointe Group, Inc. | 5.25% | 6/1/2027 | 31 | 28,937 | ||||||||
William Lyon Homes, Inc. | 5.875% | 1/31/2025 | 25 | 23,836 | ||||||||
Total | 129,649 | |||||||||||
Containers 0.34% | ||||||||||||
Amcor Finance USA, Inc.† | 4.50% | 5/15/2028 | 8 | 8,087 | ||||||||
BWAY Holding Co.† | 7.25% | 4/15/2025 | 23 | 22,641 | ||||||||
Sealed Air Corp.† | 5.50% | 9/15/2025 | 15 | 15,525 | ||||||||
Total | 46,253 | |||||||||||
Drugs 0.88% | ||||||||||||
Bayer Corp.† | 6.65% | 2/15/2028 | 7 | 8,142 | ||||||||
CVS Health Corp. | 4.30% | 3/25/2028 | 91 | 90,491 | ||||||||
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)(c) | 2.20% | 7/21/2021 | 8 | 7,353 | ||||||||
Valeant Pharmaceuticals International, Inc.† | 5.625% | 12/1/2021 | 11 | 10,942 | ||||||||
Valeant Pharmaceuticals International, Inc.† | 7.50% | 7/15/2021 | 3 | 3,068 | ||||||||
Total | 119,996 | |||||||||||
Electric: Power 2.07% | ||||||||||||
Appalachian Power Co. | 7.00% | 4/1/2038 | 10 | 13,420 | ||||||||
Ausgrid Finance Pty Ltd. (Australia)†(c) | 4.35% | 8/1/2028 | 25 | 25,092 | ||||||||
Berkshire Hathaway Energy Co. | 3.80% | 7/15/2048 | 8 | 7,536 |
62 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Power (continued) | ||||||||||||
Cleco Power LLC | 6.00% | 12/1/2040 | $ | 7 | $ | 8,186 | ||||||
Dominion Energy, Inc. | 7.00% | 6/15/2038 | 35 | 44,901 | ||||||||
Edison International | 4.125% | 3/15/2028 | 13 | 12,941 | ||||||||
Exelon Generation Co. LLC | 5.60% | 6/15/2042 | 45 | 45,568 | ||||||||
Pacific Gas & Electric Co. | 6.05% | 3/1/2034 | 62 | 71,991 | ||||||||
PPL Electric Utilities Corp. | 5.20% | 7/15/2041 | 6 | 6,857 | ||||||||
South Carolina Electric & Gas Co. | 6.05% | 1/15/2038 | 17 | 19,618 | ||||||||
South Carolina Electric & Gas Co. | 6.625% | 2/1/2032 | 6 | 7,150 | ||||||||
Vistra Energy Corp. | 7.625% | 11/1/2024 | 19 | 20,496 | ||||||||
Total | 283,756 | |||||||||||
Electrical Equipment 0.20% | ||||||||||||
Xilinx, Inc. | 2.95% | 6/1/2024 | 29 | 27,718 | ||||||||
Engineering & Contracting Services 0.17% | ||||||||||||
Brand Industrial Services, Inc.† | 8.50% | 7/15/2025 | 22 | 22,577 | ||||||||
Entertainment 0.45% | ||||||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op† | 5.375% | 4/15/2027 | 9 | 8,955 | ||||||||
Eldorado Resorts, Inc. | 6.00% | 4/1/2025 | 20 | 20,000 | ||||||||
Jacobs Entertainment, Inc.† | 7.875% | 2/1/2024 | 11 | 11,522 | ||||||||
Mohegan Gaming & Entertainment† | 7.875% | 10/15/2024 | 22 | 21,010 | ||||||||
Total | 61,487 | |||||||||||
Financial Services 1.31% | ||||||||||||
Affiliated Managers Group, Inc. | 3.50% | 8/1/2025 | 4 | 3,889 | ||||||||
Affiliated Managers Group, Inc. | 4.25% | 2/15/2024 | 6 | 6,121 | ||||||||
BrightSphere Investment Group plc (United Kingdom)(c) | 4.80% | 7/27/2026 | 11 | 10,898 | ||||||||
E*TRADE Financial Corp. | 3.80% | 8/24/2027 | 9 | 8,614 | ||||||||
International Lease Finance Corp. | 5.875% | 8/15/2022 | 4 | 4,291 | ||||||||
Navient Corp. | 6.625% | 7/26/2021 | 12 | 12,480 | ||||||||
Navient Corp. | 6.75% | 6/25/2025 | 35 | 35,690 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.50% | 3/15/2027 | 20 | 20,200 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 18 | 17,477 | ||||||||
Quicken Loans, Inc.† | 5.25% | 1/15/2028 | 24 | 22,050 | ||||||||
VFH Parent LLC/Orchestra Co-Issuer, Inc.† | 6.75% | 6/15/2022 | 37 | 38,410 | ||||||||
Total | 180,120 |
See Notes to Financial Statements. | 63 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Food 0.22% | ||||||||||||
Chobani LLC/Chobani Finance Corp., Inc.† | 7.50% | 4/15/2025 | $ | 7 | $ | 6,764 | ||||||
Kraft Heinz Foods Co. | 6.875% | 1/26/2039 | 20 | 23,710 | ||||||||
Total | 30,474 | |||||||||||
Health Care Products 0.11% | ||||||||||||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA† | 6.625% | 5/15/2022 | 15 | 14,850 | ||||||||
Health Care Services 1.91% | ||||||||||||
Acadia Healthcare Co., Inc. | 5.625% | 2/15/2023 | 9 | 9,146 | ||||||||
Acadia Healthcare Co., Inc. | 6.50% | 3/1/2024 | 4 | 4,160 | ||||||||
Ascension Health | 3.945% | 11/15/2046 | 6 | 5,991 | ||||||||
CHS/Community Health Systems, Inc. | 6.25% | 3/31/2023 | 11 | 10,313 | ||||||||
CHS/Community Health Systems, Inc. | 8.00% | 11/15/2019 | 25 | 24,375 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 4.75% | 10/15/2024 | 25 | 25,918 | ||||||||
HCA, Inc. | 5.50% | 6/15/2047 | 25 | 23,375 | ||||||||
HCA, Inc. | 7.50% | 11/6/2033 | 15 | 16,275 | ||||||||
Kaiser Foundation Hospitals | 4.15% | 5/1/2047 | 9 | 9,147 | ||||||||
MPH Acquisition Holdings LLC† | 7.125% | 6/1/2024 | 2 | 2,080 | ||||||||
New York-Presbyterian Hospital (The) | 4.063% | 8/1/2056 | 12 | 11,724 | ||||||||
NYU Langone Hospitals | 4.368% | 7/1/2047 | 2 | 2,059 | ||||||||
Polaris Intermediate Corp. PIK 8.50%† | 8.50% | 12/1/2022 | 18 | 18,653 | ||||||||
Universal Health Services, Inc.† | 5.00% | 6/1/2026 | 81 | 78,671 | ||||||||
WellCare Health Plans, Inc. | 5.25% | 4/1/2025 | 20 | 20,000 | ||||||||
Total | 261,887 | |||||||||||
Household Equipment/Products 0.16% | ||||||||||||
Central Garden & Pet Co. | 5.125% | 2/1/2028 | 7 | 6,562 | ||||||||
Scotts Miracle-Gro Co. (The) | 6.00% | 10/15/2023 | 15 | 15,619 | ||||||||
Total | 22,181 | |||||||||||
Insurance 1.83% | ||||||||||||
American International Group, Inc. | 4.70% | 7/10/2035 | 62 | 61,444 | ||||||||
American International Group, Inc. | 4.80% | 7/10/2045 | 9 | 8,914 | ||||||||
Assurant, Inc. | 4.90% | 3/27/2028 | 29 | 29,295 | ||||||||
CNO Financial Group, Inc. | 5.25% | 5/30/2025 | 14 | 14,140 | ||||||||
Hanover Insurance Group, Inc. (The) | 4.50% | 4/15/2026 | 30 | 30,136 | ||||||||
Lincoln National Corp. | 6.30% | 10/9/2037 | 8 | 9,658 | ||||||||
Protective Life Corp. | 8.45% | 10/15/2039 | 25 | 36,696 | ||||||||
Teachers Insurance & Annuity Association of America† | 4.90% | 9/15/2044 | 50 | 53,835 |
64 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Insurance (continued) | ||||||||||||
Unum Group | 5.75% | 8/15/2042 | $ | 6 | $ | 6,497 | ||||||
Total | 250,615 | |||||||||||
Leisure 0.58% | ||||||||||||
Carnival plc | 7.875% | 6/1/2027 | 10 | 12,697 | ||||||||
Royal Caribbean Cruises Ltd. | 7.50% | 10/15/2027 | 30 | 36,501 | ||||||||
Silversea Cruise Finance Ltd.† | 7.25% | 2/1/2025 | 22 | 23,045 | ||||||||
Viking Cruises Ltd.† | 5.875% | 9/15/2027 | 8 | 7,500 | ||||||||
Total | 79,743 | |||||||||||
Lodging 0.19% | ||||||||||||
MGM Resorts International | 6.00% | 3/15/2023 | 25 | 25,875 | ||||||||
Machinery: Agricultural 0.17% | ||||||||||||
BAT Capital Corp.† | 3.557% | 8/15/2027 | 16 | 15,078 | ||||||||
Reynolds American, Inc. | 5.70% | 8/15/2035 | 8 | 8,777 | ||||||||
Total | 23,855 | |||||||||||
Machinery: Industrial/Specialty 0.55% | ||||||||||||
Nvent Finance Sarl (Luxembourg)†(c) | 4.55% | 4/15/2028 | 64 | 63,044 | ||||||||
SPX FLOW, Inc.† | 5.625% | 8/15/2024 | 13 | 12,902 | ||||||||
Total | 75,946 | |||||||||||
Machinery: Oil Well Equipment & Services 0.09% | ||||||||||||
BlueLine Rental Finance Corp./BlueLine Rental LLC† | 9.25% | 3/15/2024 | 12 | 12,834 | ||||||||
Manufacturing 0.30% | ||||||||||||
General Electric Co. | 6.15% | 8/7/2037 | 32 | 37,473 | ||||||||
Koppers, Inc.† | 6.00% | 2/15/2025 | 4 | 4,065 | ||||||||
Total | 41,538 | |||||||||||
Media 2.94% | ||||||||||||
21st Century Fox America, Inc. | 7.75% | 12/1/2045 | 37 | 54,227 | ||||||||
AMC Networks, Inc. | 4.75% | 12/15/2022 | 20 | 20,150 | ||||||||
Cablevision Systems Corp. | 5.875% | 9/15/2022 | 20 | 20,000 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.75% | 2/15/2026 | 19 | 18,662 | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 6.484% | 10/23/2045 | 28 | 29,869 | ||||||||
Comcast Corp. | 3.15% | 3/1/2026 | 57 | 53,651 | ||||||||
Comcast Corp. | 3.969% | 11/1/2047 | 22 | 19,444 | ||||||||
Cox Communications, Inc.† | 8.375% | 3/1/2039 | 44 | 59,015 | ||||||||
DISH DBS Corp. | 7.75% | 7/1/2026 | 25 | 21,656 |
See Notes to Financial Statements. | 65 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Media (continued) | ||||||||||||
Sirius XM Radio, Inc.† | 5.00% | 8/1/2027 | $ | 30 | $ | 28,654 | ||||||
Sirius XM Radio, Inc.† | 6.00% | 7/15/2024 | 20 | 20,550 | ||||||||
Time Warner Cable LLC | 6.55% | 5/1/2037 | 53 | 57,665 | ||||||||
Total | 403,543 | |||||||||||
Metal Fabricating 0.28% | ||||||||||||
Grinding Media, Inc./Moly-Cop AltaSteel Ltd.† | 7.375% | 12/15/2023 | 4 | 4,220 | ||||||||
Hillman Group, Inc. (The)† | 6.375% | 7/15/2022 | 18 | 17,415 | ||||||||
Valmont Industries, Inc. | 5.25% | 10/1/2054 | 18 | 17,044 | ||||||||
Total | 38,679 | |||||||||||
Metals & Minerals: Miscellaneous 1.02% | ||||||||||||
Aleris International, Inc.† | 9.50% | 4/1/2021 | 11 | 11,536 | ||||||||
Barrick North America Finance LLC | 7.50% | 9/15/2038 | 15 | 19,511 | ||||||||
Century Aluminum Co.† | 7.50% | 6/1/2021 | 20 | 20,300 | ||||||||
Freeport-McMoRan, Inc. | 3.875% | 3/15/2023 | 14 | 13,493 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(c) | 5.55% | 10/25/2042 | 35 | 35,334 | ||||||||
Hudbay Minerals, Inc. (Canada)†(c) | 7.25% | 1/15/2023 | 2 | 2,075 | ||||||||
Hudbay Minerals, Inc. (Canada)†(c) | 7.625% | 1/15/2025 | 28 | 29,540 | ||||||||
Kinross Gold Corp. (Canada)(c) | 5.95% | 3/15/2024 | 7 | 7,278 | ||||||||
Total | 139,067 | |||||||||||
Oil 3.43% | ||||||||||||
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. | 7.875% | 12/15/2024 | 23 | 24,322 | ||||||||
Berry Petroleum Co. LLC† | 7.00% | 2/15/2026 | 7 | 7,140 | ||||||||
California Resources Corp.† | 8.00% | 12/15/2022 | 31 | 27,512 | ||||||||
Canadian Natural Resources Ltd. (Canada)(c) | 3.85% | 6/1/2027 | 23 | 22,583 | ||||||||
Cenovus Energy, Inc. (Canada)(c) | 5.40% | 6/15/2047 | 21 | 20,955 | ||||||||
Citgo Holding, Inc.† | 10.75% | 2/15/2020 | 10 | 10,725 | ||||||||
Continental Resources, Inc. | 3.80% | 6/1/2024 | 20 | 19,583 | ||||||||
Continental Resources, Inc. | 4.90% | 6/1/2044 | 23 | 22,720 | ||||||||
Eni USA, Inc. | 7.30% | 11/15/2027 | 70 | 84,868 | ||||||||
Halcon Resources Corp. | 6.75% | 2/15/2025 | 7 | 6,598 | ||||||||
Helmerich & Payne International Drilling Co. | 4.65% | 3/15/2025 | 20 | 20,782 | ||||||||
HighPoint Operating Corp. | 7.00% | 10/15/2022 | 15 | 15,183 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 5.00% | 12/1/2024 | 15 | 14,700 | ||||||||
Kerr-McGee Corp. | 7.875% | 9/15/2031 | 35 | 45,091 | ||||||||
MEG Energy Corp. (Canada)(c) | 6.375% | 1/30/2023 | 25 | 22,688 | ||||||||
Precision Drilling Corp. (Canada)(c) | 7.75% | 12/15/2023 | 6 | 6,375 |
66 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil (continued) | ||||||||||||
Sanchez Energy Corp. | 6.125% | 1/15/2023 | $ | 26 | $ | 17,225 | ||||||
SM Energy Co. | 6.50% | 1/1/2023 | 7 | 7,140 | ||||||||
Tapstone Energy LLC/Tapstone Energy Finance Corp.† | 9.75% | 6/1/2022 | 15 | 12,806 | ||||||||
Valero Energy Corp. | 10.50% | 3/15/2039 | 30 | 49,016 | ||||||||
WPX Energy, Inc. | 5.25% | 9/15/2024 | 12 | 11,940 | ||||||||
Total | 469,952 | |||||||||||
Oil: Crude Producers 2.80% | ||||||||||||
Cheniere Corpus Christi Holdings LLC | 5.125% | 6/30/2027 | 29 | 28,927 | ||||||||
Colonial Pipeline Co.† | 4.25% | 4/15/2048 | 18 | 17,604 | ||||||||
Enbridge Energy Partners LP | 6.106% (3 Mo. LIBOR + 3.80% | )# | 10/1/2077 | 15 | 14,963 | |||||||
Energy Transfer Partners LP | 7.50% | 7/1/2038 | 8 | 9,333 | ||||||||
Energy Transfer Partners LP | 6.125% | 12/15/2045 | 35 | 35,597 | ||||||||
Enterprise Products Operating LLC | 5.75% | 3/1/2035 | 20 | 21,988 | ||||||||
Florida Gas Transmission Co. LLC† | 4.35% | 7/15/2025 | 30 | 30,680 | ||||||||
Gulfstream Natural Gas System LLC† | 4.60% | 9/15/2025 | 25 | 25,947 | ||||||||
Kinder Morgan, Inc. | 7.75% | 1/15/2032 | 76 | 94,362 | ||||||||
Rockies Express Pipeline LLC† | 6.875% | 4/15/2040 | 20 | 23,100 | ||||||||
Sabine Pass Liquefaction LLC | 5.875% | 6/30/2026 | 75 | 81,322 | ||||||||
Total | 383,823 | |||||||||||
Oil: Integrated Domestic 0.64% | ||||||||||||
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc. | 3.337% | 12/15/2027 | 26 | 24,445 | ||||||||
National Oilwell Varco, Inc. | 2.60% | 12/1/2022 | 42 | 39,996 | ||||||||
National Oilwell Varco, Inc. | 3.95% | 12/1/2042 | 10 | 8,749 | ||||||||
Transocean Proteus Ltd.† | 6.25% | 12/1/2024 | 14 | 13,753 | ||||||||
Total | 86,943 | |||||||||||
Paper & Forest Products 0.09% | ||||||||||||
International Paper Co. | 7.30% | 11/15/2039 | 10 | 12,858 | ||||||||
Real Estate Investment Trusts 2.25% | ||||||||||||
Alexandria Real Estate Equities, Inc. | 3.95% | 1/15/2028 | 15 | 14,559 | ||||||||
Boston Properties LP | 3.20% | 1/15/2025 | 56 | 53,501 | ||||||||
CBRE Services, Inc. | 4.875% | 3/1/2026 | 25 | 26,032 | ||||||||
EPR Properties | 4.75% | 12/15/2026 | 10 | 9,813 | ||||||||
EPR Properties | 4.95% | 4/15/2028 | 10 | 9,733 | ||||||||
EPR Properties | 5.25% | 7/15/2023 | 35 | 36,267 | ||||||||
Equinix, Inc. | 5.875% | 1/15/2026 | 12 | 12,255 |
See Notes to Financial Statements. | 67 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Real Estate Investment Trusts (continued) | ||||||||||||
Goodman US Finance Four LLC† | 4.50% | 10/15/2037 | $ | 7 | $ | 6,943 | ||||||
Goodman US Finance Three LLC† | 3.70% | 3/15/2028 | 21 | 20,002 | ||||||||
Hunt Cos, Inc.† | 6.25% | 2/15/2026 | 14 | 13,213 | ||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. | 5.625% | 5/1/2024 | 5 | 5,075 | ||||||||
Physicians Realty LP | 4.30% | 3/15/2027 | 5 | 4,885 | ||||||||
VEREIT Operating Partnership LP | 3.00% | 2/6/2019 | 40 | 40,016 | ||||||||
VEREIT Operating Partnership LP | 3.95% | 8/15/2027 | 60 | 55,785 | ||||||||
Total | 308,079 | |||||||||||
Retail 0.52% | ||||||||||||
CEC Entertainment, Inc. | 8.00% | 2/15/2022 | 21 | 18,821 | ||||||||
Conn’s, Inc. | 7.25% | 7/15/2022 | 20 | 19,750 | ||||||||
IRB Holding Corp.† | 6.75% | 2/15/2026 | 14 | 13,265 | ||||||||
Men’s Wearhouse, Inc. (The) | 7.00% | 7/1/2022 | 19 | 19,618 | ||||||||
Total | 71,454 | |||||||||||
Steel 0.17% | ||||||||||||
AK Steel Corp. | 7.00% | 3/15/2027 | 10 | 9,600 | ||||||||
Cleveland-Cliffs, Inc. | 5.75% | 3/1/2025 | 14 | 13,414 | ||||||||
Total | 23,014 | |||||||||||
Technology 0.27% | ||||||||||||
Expedia Group, Inc. | 5.00% | 2/15/2026 | 10 | 10,240 | ||||||||
Netflix, Inc. | 4.375% | 11/15/2026 | 12 | 11,366 | ||||||||
Netflix, Inc. | 5.75% | 3/1/2024 | 15 | 15,432 | ||||||||
Total | 37,038 | |||||||||||
Telecommunications 2.01% | ||||||||||||
AT&T, Inc. | 6.00% | 8/15/2040 | 98 | 105,579 | ||||||||
Frontier Communications Corp. | 11.00% | 9/15/2025 | 16 | 12,880 | ||||||||
Intelsat Connect Finance SA (Luxembourg)†(c) | 12.50% | 4/1/2022 | 20 | 19,400 | ||||||||
T-Mobile USA, Inc. | 6.50% | 1/15/2026 | 20 | 20,925 | ||||||||
U.S. Cellular Corp. | 6.70% | 12/15/2033 | 30 | 31,275 | ||||||||
Verizon Communications, Inc. | 4.862% | 8/21/2046 | 50 | 48,370 | ||||||||
Vodafone Group plc (United Kingdom)(c) | 4.375% | 5/30/2028 | 25 | 24,847 | ||||||||
Vodafone Group plc (United Kingdom)(c) | 5.25% | 5/30/2048 | 12 | 12,149 | ||||||||
Total | 275,425 | |||||||||||
Transportation: Miscellaneous 0.56% | ||||||||||||
Burlington Northern Santa Fe LLC | 5.75% | 5/1/2040 | 17 | 20,573 | ||||||||
Canadian Pacific Railway Co. (Canada)(c) | 4.00% | 6/1/2028 | 7 | 7,121 |
68 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Transportation: Miscellaneous (continued) | ||||||||||||
Navios Maritime Acquisition Corp./Navios Acquisition Finance US, Inc. (Greece)†(c) | 8.125% | 11/15/2021 | $ | 15 | $ | 12,131 | ||||||
Navios Maritime Holdings, Inc./Navios Maritime Finance II US, Inc. (Monaco)†(c) | 7.375% | 1/15/2022 | 15 | 11,250 | ||||||||
XPO CNW, Inc. | 6.70% | 5/1/2034 | 25 | 25,812 | ||||||||
Total | 76,887 | |||||||||||
Utilities 0.19% | ||||||||||||
Aquarion Co.† | 4.00% | 8/15/2024 | 25 | 25,408 | ||||||||
Total Corporate Bonds (cost $5,699,668) | 5,635,112 | |||||||||||
FLOATING RATE LOANS(e) 1.60% | ||||||||||||
Auto Parts: Original Equipment 0.15% | ||||||||||||
Jason, Inc. 1st Lien Initial Term Loan | – | (f) | 6/30/2021 | 21 | 20,501 | |||||||
Building Materials 0.04% | ||||||||||||
Forterra Finance, LLC Replacement Term Loan | 4.98% (1 Mo. LIBOR + 3.00% | ) | 10/25/2023 | 6 | 5,620 | |||||||
Business Services 0.29% | ||||||||||||
BakerCorp International, Inc. Refinanced Term Loan | 5.359% (3 Mo. LIBOR + 3.00% | ) | 2/7/2020 | 20 | 19,728 | |||||||
Weight Watchers International, Inc. Initial Term Loan | 7.06% (3 Mo. LIBOR + 4.75% | ) | 11/29/2024 | 20 | 20,029 | |||||||
Total | 39,757 | |||||||||||
Computer Hardware 0.15% | ||||||||||||
Peak 10 Holding Corp. 2nd Lien Initial Term Loan | 9.608% (3 Mo. LIBOR + 7.25% | ) | 8/1/2025 | 20 | 20,175 | |||||||
Computer Software 0.09% | ||||||||||||
Misys Limited 2nd Lien Dollar Term Loan | 9.557% (3 Mo. LIBOR + 7.25% | ) | 6/13/2025 | 13 | 12,628 | |||||||
Electric: Power 0.14% | ||||||||||||
Calpine Construction Finance Co., LP Term Loan B | 4.48% (1 Mo. LIBOR + 2.50% | ) | 1/15/2025 | 20 | 19,965 | |||||||
Insurance 0.15% | ||||||||||||
York Risk Services Holding Corp. Term Loan | 5.73% (1 Mo. LIBOR + 3.75% | ) | 10/1/2021 | 21 | 20,438 | |||||||
Manufacturing 0.15% | ||||||||||||
Crosby US Acquisition Corp. 1st Lien Initial Term Loan | 4.953% (3 Mo. LIBOR + 3.00% | ) | 11/23/2020 | 21 | 20,559 |
See Notes to Financial Statements. | 69 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Miscellaneous 0.15% | ||||||||||||
Utex Industries, Inc. 1st Lien Initial Term Loan | – | (f) | 5/22/2021 | $ | 21 | $ | 20,820 | |||||
Retail 0.10% | ||||||||||||
BJ’s Wholesale Club, Inc. 1st Lien Tranche B Term Loan | 5.423% (1 Mo. LIBOR + 3.50% | ) | 2/3/2024 | 14 | 13,839 | |||||||
Service 0.10% | ||||||||||||
North American Lifting Holdings, Inc. 1st Lien Initial Term Loan | 6.802% (3 Mo. LIBOR + 4.50% | ) | 11/27/2020 | 14 | 13,382 | |||||||
Transportation: Miscellaneous 0.09% | ||||||||||||
Gruden Acquisition, Inc. 2nd Lien Term Loan | 10.802% (3 Mo. LIBOR + 8.50% | ) | 8/18/2023 | 12 | 12,080 | |||||||
Total Floating Rate Loans (cost $220,664) | 219,764 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS(c) 3.50% | ||||||||||||
Argentina 0.05% | ||||||||||||
Republic of Argentina | 4.625% | 1/11/2023 | 7 | 6,378 | ||||||||
Canada 2.04% | ||||||||||||
Province of Alberta Canada | 3.30% | 3/15/2028 | 100 | 99,965 | ||||||||
Province of Ontario Canada | 2.20% | 10/3/2022 | 95 | 91,620 | ||||||||
Province of Ontario Canada | 2.50% | 9/10/2021 | 29 | 28,575 | ||||||||
Province of Quebec Canada | 2.375% | 1/31/2022 | 61 | 59,688 | ||||||||
Total | 279,848 | |||||||||||
Japan 1.41% | ||||||||||||
Japan Bank for International Corp. | 2.375% | 11/16/2022 | 200 | 193,748 | ||||||||
Total Foreign Government Obligations (cost $484,408) | 479,974 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 1.52% | ||||||||||||
Federal Home Loan Mortgage Corp. K072 A2 | 3.444% | 12/25/2027 | 25 | 25,090 | ||||||||
Government National Mortgage Assoc. 2017-168 AS | 2.70% | 8/16/2058 | 38 | 36,611 | ||||||||
Government National Mortgage Assoc. 2017-41 AS | 2.60% | 6/16/2057 | 32 | 31,218 | ||||||||
Government National Mortgage Assoc. 2017-69 AS | 2.75% | 2/16/2058 | 34 | 33,130 | ||||||||
Government National Mortgage Assoc. 2017-71 AS | 2.70% | 4/16/2057 | 34 | 32,429 | ||||||||
Government National Mortgage Assoc. 2017-76 AS | 2.65% | 11/16/2050 | 14 | 13,170 | ||||||||
Government National Mortgage Assoc. 2017-86 AS | 2.75% | 2/16/2058 | 13 | 12,461 | ||||||||
Government National Mortgage Assoc. 2017-89 AB | 2.60% | 7/16/2058 | 11 | 10,494 | ||||||||
Government National Mortgage Assoc. 2017-90 AS | 2.70% | 7/16/2057 | 15 | 14,120 | ||||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $214,642) | 208,723 |
70 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 16.32% | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.00% | 8/1/2047 | $ | 119 | $ | 121,620 | ||||||
Federal National Mortgage Assoc.(g) | 3.50% | TBA | 100 | 99,660 | ||||||||
Federal National Mortgage Assoc.(g) | 4.00% | TBA | 850 | 868,328 | ||||||||
Federal National Mortgage Assoc.(g) | 4.50% | TBA | 1,100 | 1,148,211 | ||||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $2,233,919) | 2,237,819 | |||||||||||
MUNICIPAL BOND 0.04% | ||||||||||||
Miscellaneous | ||||||||||||
Pennsylvania (cost $5,289) | 5.35% | 5/1/2030 | 5 | 5,198 | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 9.82% | ||||||||||||
1345 Avenue of the Americas & Park Avenue Plaza Trust 2005-1 A3† | 5.278% | 8/10/2035 | 50 | 53,888 | ||||||||
Bancorp Commercial Mortgage Trust (The) 2018-CR3 A† | 2.769% | #(h) | 1/15/2033 | 13 | 13,007 | |||||||
BANK 2018-BN10 AS | 3.898% | 2/15/2061 | 21 | 21,092 | ||||||||
BBCMS Trust 2015-SRCH A2† | 4.197% | 8/10/2035 | 100 | 104,771 | ||||||||
BWAY Mortgage Trust 2015-1740 A† | 2.917% | 1/10/2035 | 100 | 95,439 | ||||||||
BX Commercial Mortgage Trust 2018-BIOA A† | 2.59% | #(h) | 3/15/2037 | 70 | 70,095 | |||||||
BX Trust 2018-GW A† | 2.70% | #(h) | 5/15/2035 | 36 | 36,073 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI A† | 3.531% | 10/15/2034 | 35 | 35,271 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI B† | 3.835% | 10/15/2034 | 22 | 22,182 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI C† | 4.138% | 10/15/2034 | 25 | 25,370 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI D† | 4.354% | #(h) | 10/15/2034 | 10 | 10,132 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI E† | 4.354% | #(h) | 10/15/2034 | 27 | 26,522 | |||||||
CCUBS Commercial Mortgage Trust 2017-C1 AS | 3.907% | #(h) | 11/15/2050 | 10 | 10,068 | |||||||
Citigroup Commercial Mortgage Trust 2016-GC36 D† | 2.85% | 2/10/2049 | 45 | 34,776 | ||||||||
Citigroup Commercial Mortgage Trust 2017-P8 AS | 3.789% | #(h) | 9/15/2050 | 26 | 25,961 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-UBS2 AM | 4.199% | 3/10/2047 | 50 | 51,145 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-UBS6 B | 4.349% | #(h) | 12/10/2047 | 50 | 50,331 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 B | 4.441% | #(h) | 7/10/2050 | 50 | 50,922 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 C | 4.441% | #(h) | 7/10/2050 | 10 | 9,385 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 D | 4.441% | #(h) | 7/10/2050 | 100 | 83,962 |
See Notes to Financial Statements. | 71 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Credit Suisse Mortgage Capital Certificates 2015-GLPB D† | 3.811% | #(h) | 11/15/2034 | $ | 100 | $ | 99,363 | |||||
GS Mortgage Securities Trust 2014-GC26 C | 4.51% | #(h) | 11/10/2047 | 50 | 49,328 | |||||||
Hilton Orlando Trust 2018-ORL A† | 2.689% (1 Mo. LIBOR + .77% | )# | 12/15/2034 | 45 | 45,113 | |||||||
Hilton Orlando Trust 2018-ORL D† | 3.619% (1 Mo. LIBOR + 1.70% | )# | 12/15/2034 | 27 | 27,128 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C30 C | 4.307% | #(h) | 7/15/2048 | 10 | 9,694 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WPT A† | 3.369% (1 Mo. LIBOR + 1.45% | )# | 10/15/2033 | 30 | 30,101 | |||||||
ReadyCap Commercial Mortgage Trust 2018-4 A† | 3.39% | 2/27/2051 | 35 | 34,773 | ||||||||
Wells Fargo Commercial Mortgage Trust 2013-LC12 B | 4.29% | #(h) | 7/15/2046 | 68 | 69,157 | |||||||
Wells Fargo Commercial Mortgage Trust 2015-C28 D | 4.131% | #(h) | 5/15/2048 | 60 | 49,828 | |||||||
WF-RBS Commercial Mortgage Trust 2012-C8 C | 4.893% | #(h) | 8/15/2045 | 50 | 50,722 | |||||||
WF-RBS Commercial Mortgage Trust 2013-C12 C | 4.336% | #(h) | 3/15/2048 | 50 | 50,444 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $1,345,300) | 1,346,043 | |||||||||||
U.S. TREASURY OBLIGATIONS 1.68% | ||||||||||||
U.S. Treasury Bond | 3.125% | 5/15/2048 | 38 | 38,791 | ||||||||
U.S. Treasury Bond | 3.625% | 2/15/2044 | 49 | 54,383 | ||||||||
U.S. Treasury Note | 2.75% | 5/31/2023 | 84 | 84,254 | ||||||||
U.S. Treasury Note | 2.75% | 2/15/2028 | 53 | 52,509 | ||||||||
Total U.S. Treasury Obligations (cost $227,562) | 229,937 | |||||||||||
Total Long-Term Investments (cost $15,002,117) | 14,916,619 | |||||||||||
SHORT-TERM INVESTMENTS 3.86% | ||||||||||||
ASSET-BACKED SECURITY 0.09% | ||||||||||||
Other | ||||||||||||
DLL Securitization Trust 2017-A A1† (cost $11,759) | 1.50% | 11/15/2018 | 12 | 11,763 |
72 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2018
Investments | Principal Amount (000) | Fair Value | ||||||
REPURCHASE AGREEMENTS 3.77% | ||||||||
Repurchase Agreement dated 5/31/2018, 0.90% due 6/1/2018 with Fixed Income Clearing Corp. collateralized by $540,000 of U.S. Treasury Note at 1.875% due 1/31/2022; value: $529,468; proceeds: $517,215 (cost $517,202) | $ | 517 | $ | 517,202 | ||||
Total Short-Term Investments (cost $528,961) | 528,965 | |||||||
Total Investments in Securities 112.67% (cost $15,531,078) | 15,445,584 | |||||||
Liabilities in Excess of Other Assets(i) (12.67%) | (1,736,676 | ) | ||||||
Net Assets 100.00% | $ | 13,708,908 |
LIBOR | London Interbank Offered Rate | |
PIK | Payment-in-kind. | |
† | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers. | |
# | Variable rate security. The interest rate represents the rate in effect at May 31, 2018. | |
(a) | Amount is less than $1,000. | |
(b) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(c) | Foreign security traded in U.S. dollars. | |
(d) | Variable Rate is Fixed to Float: Rate remains fixed until designated future date. | |
(e) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at May 31, 2018. | |
(f) | Interest rate to be determined. | |
(g) | To-be-announced (“TBA”). Security purchased on a forward commitment basis with an approximate principal and maturity date. Actual principal and maturity will be determined upon settlement when the specific mortgage pools are assigned. | |
(h) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(i) | Liabilities in Excess of Other Assets include net unrealized appreciation/depreciation on credit default swaps and futures contracts as follows: |
Centrally Cleared Credit Default Swaps on Indexes - Buy Protection May 31, 2018(1):
Referenced Index | Central Clearing party | Fund Pays (quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(3) | Unrealized Appreciation(4) | |||||||||||
Markit CDX. NA.HY.30(4)(5) | Credit Suisse | 5.00% | 6/20/2023 | $300,000 | $281,358 | $(20,049 | ) | $1,407 |
Centrally Cleared Credit Default Swaps on Indexes - Sell Protection May 31, 2018(1):
Referenced Index | Central Clearing party | Fund Receives (quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(3) | Unrealized Depreciation(4) | |||||||||||
Markit CDX. NA.EM.29(4)(6) | Credit Suisse | 1.00% | 6/20/2023 | $1,000,000 | $967,556 | $(24,679 | ) | $(7,765 | ) |
(1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities. If the Fund is a seller of protection and |
See Notes to Financial Statements. | 73 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2018
a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities. | ||
(2) | Upfront payments received by Central Clearinghouse are presented net of amortization (See Note 2(q)). | |
(3) | Total unrealized appreciation on Credit Default Swaps on Indexes amounted to $1,407. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $7,765. | |
(4) | Central Clearinghouse: Intercontinental Exchange (ICE). | |
(5) | The Referenced Index is for the Centrally Cleared Credit Default Swaps on Indexes, which is comprised of a basket of high yield issuers. | |
(6) | The Referenced Index is for the Centrally Cleared Credit Default Swaps on Indexes, which is comprised of a basket of emerging market sovereign issuers. |
Credit Default Swaps on Indexes - Buy Protection at May 31, 2018(1):
Referenced Index* | Swap Counterparty | Fund Pays (quarterly) | Termination Date | Notional Amount | Fair Value(2) | Payments Upfront(3) | Unrealized Depreciation(4) | Credit Default Swap Agreements Payable at Fair Value(5) | ||||||||||||||||||
Markit CMBX. NA.AAA.9 | Morgan Stanley | .50% | 9/17/2058 | $ | 780,000 | $ | 776,292 | $ | 44,497 | $ | (48,205 | ) | $ | (3,708 | ) | |||||||||||
Credit Default Swaps on Indexes - Sell Protection at May 31, 2018(1): | ||||||||||||||||||||||||||
Referenced Index* | Swap Counterparty | Fund Receives (quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Appreciation (Depreciation)(3) | Credit Default Swap Agreements Receivable (Payable) at Fair Value(4) | ||||||||||||||||||
Markit CMBX. NA.BBB-11 | Morgan Stanley | 3.00% | 11/18/2054 | $ | 75,000 | $ | 68,071 | $ | (6,617 | ) | $ | (312 | ) | $ | (6,929 | ) | ||||||||||
Markit CMBX. NA.A.8 | Morgan Stanley | 2.00% | 10/17/2057 | 175,000 | 170,751 | (10,123 | ) | 5,874 | (4,249 | ) | ||||||||||||||||
Markit CMBX.NA.AA.8 | Morgan Stanley | 1.50% | 10/17/2057 | 200,000 | 200,110 | (7,633 | ) | 7,743 | 110 | |||||||||||||||||
$ | (24,373 | ) | $ | 13,305 | $ | (11,068 | ) |
* | The Referenced Index is for Credit Default Swaps on Indexes, which is comprised of a basket of commercial mortgaged-backed securities. (See Note 2(q)). |
(1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities. If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities. |
(2) | Upfront payments received/paid are presented net of amortization (See Note 2(q)). |
(3) | Total unrealized appreciation on Credit Default Swaps on Indexes amounted to $13,617. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $48,517. |
(4) | Includes upfront payments received/paid. |
74 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUND May 31, 2018
Open Futures Contracts at May 31, 2018:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||
U.S. 2-Year Treasury Note | September 2018 | 4 | Long | $ | 848,057 | $ | 848,938 | $ | 881 | |||||||||
U.S. 5-Year Treasury Note | September 2018 | 16 | Long | 1,815,419 | 1,822,250 | 6,831 | ||||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 7,712 | ||||||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||
U.S. 10-Year Treasury Note | September 2018 | 4 | Short | $ | (478,243 | ) | $ | (481,750 | ) | $ | (3,507 | ) | ||||||
U.S. 10-Year Ultra Treasury Bond | September 2018 | 1 | Long | 128,424 | 128,344 | (80 | ) | |||||||||||
U.S. Long Bond | September 2018 | 2 | Short | (285,653 | ) | (290,250 | ) | (4,597 | ) | |||||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (8,184 | ) |
The following is a summary of the inputs used as of May 31, 2018 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2)(3) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | $ | – | $ | 4,554,049 | $ | – | $ | 4,554,049 | ||||||||
Corporate Bonds | – | 5,635,112 | – | 5,635,112 | ||||||||||||
Floating Rate Loans | – | 219,764 | – | 219,764 | ||||||||||||
Foreign Government Obligations | – | 479,974 | – | 479,974 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 208,723 | – | 208,723 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 2,237,819 | – | 2,237,819 | ||||||||||||
Municipal Bond | – | 5,198 | – | 5,198 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 1,346,043 | – | 1,346,043 | ||||||||||||
U.S. Treasury Obligations | – | 229,937 | – | 229,937 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Asset-Backed Security | – | 11,763 | – | 11,763 | ||||||||||||
Repurchase Agreement | – | 517,202 | – | 517,202 | ||||||||||||
Total | $ | – | $ | 15,445,584 | $ | – | $ | 15,445,584 |
See Notes to Financial Statements. | 75 |
Schedule of Investments (unaudited)(concluded)
CORE PLUS BOND FUND May 31, 2018
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Centrally Cleared Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 1,407 | $ | – | $ | 1,407 | ||||||||
Liabilities | – | (7,765 | ) | – | (7,765 | ) | ||||||||||
Credit Default Swap Contracts | ||||||||||||||||
Assets | – | 110 | – | 110 | ||||||||||||
Liabilities | – | (14,886 | ) | – | (14,886 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 7,712 | – | – | 7,712 | ||||||||||||
Liabilities | (8,184 | ) | – | – | (8,184 | ) | ||||||||||
Total | $ | (472 | ) | $ | (21,134 | ) | $ | – | $ | (21,606 | ) |
(1) | Refer to Note 2(s) for a description of fair value measurements and the three-tier hierarchy of inputs. | |
(2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. | |
(3) | There were no Level 1/Level 2 transfers during the period ended May 31, 2018. |
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
Investment Type | Asset-Backed Securities | |||
Balance as of December 1, 2017 | $ | 109,984 | ||
Accrued Discounts (Premiums) | – | |||
Realized Gain (Loss) | – | |||
Change in Unrealized Appreciation (Depreciation) | – | |||
Purchases | – | |||
Sales | – | |||
Transfers into Level 3 | – | |||
Transfers out of Level 3 | (109,984) | |||
Balance as of May 31, 2018 | $ | – | ||
Change in unrealized appreciation/depreciation for period ended May 31, 2018, related to Level 3 investments held at May 31, 2018 | $ | – |
76 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)
CORPORATE BOND FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 98.02% | ||||||||||||
ASSET-BACKED SECURITIES 3.54% | ||||||||||||
Automobiles 2.84% | ||||||||||||
American Credit Acceptance Receivables Trust 2015-3 C† | 4.84% | 10/12/2021 | $ | 20 | $ | 20,202 | ||||||
CPS Auto Receivables Trust 2018-A B† | 2.77% | 4/18/2022 | 100 | 99,335 | ||||||||
Drive Auto Receivables Trust 2017-1 C | 2.84% | 4/15/2022 | 18 | 17,988 | ||||||||
Santander Drive Auto Receivables Trust 2016-1 D | 4.02% | 4/15/2022 | 65 | 65,911 | ||||||||
Total | 203,436 | |||||||||||
Other 0.70% | ||||||||||||
Ford Credit Floorplan Master Owner Trust A 2015-5 A1 | 2.42% | 8/15/2022 | 25 | 24,732 | ||||||||
Hardee’s Funding LLC 2018-1A AII†(a) | 4.959% | 6/20/2048 | 25 | 25,000 | ||||||||
Total | 49,732 | |||||||||||
Total Asset-Backed Securities (cost $254,973) | 253,168 | |||||||||||
CORPORATE BONDS 89.67% | ||||||||||||
Aerospace/Defense 0.89% | ||||||||||||
Embraer SA (Brazil)(b) | 5.15% | 6/15/2022 | 34 | 35,003 | ||||||||
Lockheed Martin Corp. | 7.75% | 5/1/2026 | 15 | 18,568 | ||||||||
Northrop Grumman Systems Corp. | 7.875% | 3/1/2026 | 8 | 9,989 | ||||||||
Total | 63,560 | |||||||||||
Automotive 3.08% | ||||||||||||
Ford Motor Co. | 7.45% | 7/16/2031 | 52 | 61,532 | ||||||||
General Motors Co. | 6.75% | 4/1/2046 | 56 | 63,967 | ||||||||
Hyundai Capital America† | 2.50% | 3/18/2019 | 20 | 19,898 | ||||||||
Hyundai Capital America† | 2.875% | 8/9/2018 | 75 | 75,027 | ||||||||
Total | 220,424 | |||||||||||
Banks: Regional 14.55% | ||||||||||||
Bank of America Corp. | 3.824% | #(c) | 1/20/2028 | 140 | 136,909 | |||||||
Bank of Montreal (Canada)(b) | 3.803% | #(c) | 12/15/2032 | 11 | 10,287 | |||||||
Barclays Bank plc (United Kingdom)†(b) | 10.179% | 6/12/2021 | 80 | 93,136 | ||||||||
Citigroup, Inc. | 3.887% | #(c) | 1/10/2028 | 146 | 142,120 | |||||||
Credit Suisse AG | 5.40% | 1/14/2020 | 50 | 51,746 | ||||||||
Goldman Sachs Group, Inc. (The) | 6.75% | 10/1/2037 | 52 | 62,485 | ||||||||
HSBC USA, Inc. | 9.30% | 6/1/2021 | 23 | 26,519 | ||||||||
JPMorgan Chase & Co. | 3.782% | #(c) | 2/1/2028 | 130 | 127,161 |
See Notes to Financial Statements. | 77 |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Macquarie Bank Ltd. (Australia)†(b) | 6.625% | 4/7/2021 | $ | 80 | $ | 86,096 | ||||||
Macquarie Group Ltd. (Australia)†(b) | 4.654% | #(c) | 3/27/2029 | 17 | 16,902 | |||||||
Morgan Stanley | 3.875% | 1/27/2026 | 102 | 100,933 | ||||||||
Santander UK plc (United Kingdom)(b) | 7.95% | 10/26/2029 | 21 | 26,389 | ||||||||
Toronto-Dominion Bank (The) (Canada)(b) | 3.625% | #(c) | 9/15/2031 | 50 | 47,871 | |||||||
Wells Fargo Capital X | 5.95% | 12/1/2086 | 60 | 64,184 | ||||||||
Westpac Banking Corp. (Australia)(b) | 4.322% | #(c) | 11/23/2031 | 50 | 48,600 | |||||||
Total | 1,041,338 | |||||||||||
Beverages 1.33% | ||||||||||||
Anheuser-Busch InBev Worldwide, Inc. | 8.20% | 1/15/2039 | 54 | 78,338 | ||||||||
Maple Escrow Subsidiary, Inc.† | 4.597% | 5/25/2028 | 11 | 11,027 | ||||||||
Maple Escrow Subsidiary, Inc.† | 5.085% | 5/25/2048 | 6 | 6,043 | ||||||||
Total | 95,408 | |||||||||||
Biotechnology Research & Production 0.88% | ||||||||||||
Amgen, Inc. | 6.40% | 2/1/2039 | 28 | 34,381 | ||||||||
Gilead Sciences, Inc. | 4.60% | 9/1/2035 | 28 | 28,940 | ||||||||
Total | 63,321 | |||||||||||
Building Materials 1.38% | ||||||||||||
Boral Finance Pty Ltd. (Australia)†(b) | 3.00% | 11/1/2022 | 11 | 10,684 | ||||||||
Johnson Controls International plc | 5.00% | 3/30/2020 | 35 | 36,283 | ||||||||
Martin Marietta Materials, Inc. | 2.979% (3 Mo. LIBOR + .65% | )# | 5/22/2020 | 12 | 12,055 | |||||||
Vulcan Materials Co. | 2.725% (3 Mo. LIBOR + .60% | )# | 6/15/2020 | 10 | 10,005 | |||||||
Vulcan Materials Co. | 2.95% (3 Mo. LIBOR + .65% | )# | 3/1/2021 | 20 | 20,034 | |||||||
Vulcan Materials Co.† | 4.70% | 3/1/2048 | 10 | 9,546 | ||||||||
Total | 98,607 | |||||||||||
Business Services 0.08% | ||||||||||||
IHS Markit Ltd. (United kingdom)†(b) | 4.00% | 3/1/2026 | 6 | 5,742 | ||||||||
Chemicals 1.66% | ||||||||||||
Dow Chemical Co. (The) | 9.40% | 5/15/2039 | 10 | 15,699 | ||||||||
Yara International ASA (Norway)†(a)(b) | 4.75% | 6/1/2028 | 25 | 25,055 | ||||||||
Yara International ASA (Norway)†(b) | 7.875% | 6/11/2019 | 75 | 78,284 | ||||||||
Total | 119,038 | |||||||||||
Computer Hardware 1.23% | ||||||||||||
Apple, Inc. | 4.45% | 5/6/2044 | 25 | 26,462 | ||||||||
Dell International LLC/EMC Corp.† | 6.02% | 6/15/2026 | 47 | 49,647 |
78 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Computer Hardware (continued) | ||||||||||||
Dell International LLC/EMC Corp.† | 8.35% | 7/15/2046 | $ | 10 | $ | 12,156 | ||||||
Total | 88,265 | |||||||||||
Computer Software 1.84% | ||||||||||||
Microsoft Corp. | 3.50% | 2/12/2035 | 70 | 68,548 | ||||||||
Oracle Corp. | 6.125% | 7/8/2039 | 45 | 57,010 | ||||||||
salesforce.com, Inc. | 3.70% | 4/11/2028 | 6 | 5,970 | ||||||||
Total | 131,528 | |||||||||||
Drugs 2.74% | ||||||||||||
AbbVie, Inc. | 4.70% | 5/14/2045 | 20 | 20,162 | ||||||||
Allergan Funding SCS (Luxembourg)(b) | 4.85% | 6/15/2044 | 11 | 10,585 | ||||||||
Bayer Corp.† | 6.65% | 2/15/2028 | 10 | 11,632 | ||||||||
CVS Health Corp. | 4.30% | 3/25/2028 | 84 | 83,530 | ||||||||
Express Scripts Holding Co. | 6.125% | 11/15/2041 | 15 | 17,442 | ||||||||
Pfizer, Inc. | 7.20% | 3/15/2039 | 20 | 28,344 | ||||||||
Teva Pharmaceutical Finance Co. BV (Curacao)(b) | 3.65% | 11/10/2021 | 3 | 2,859 | ||||||||
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)(b) | 1.70% | 7/19/2019 | 22 | 21,499 | ||||||||
Total | 196,053 | |||||||||||
Electric: Power 10.44% | ||||||||||||
Appalachian Power Co. | 7.00% | 4/1/2038 | 10 | 13,420 | ||||||||
Ausgrid Finance Pty Ltd. (Australia)†(b) | 4.35% | 8/1/2028 | 22 | 22,081 | ||||||||
Avista Corp. | 4.35% | 6/1/2048 | 15 | 15,393 | ||||||||
Berkshire Hathaway Energy Co. | 3.80% | 7/15/2048 | 14 | 13,188 | ||||||||
Cleco Power LLC | 6.00% | 12/1/2040 | 20 | 23,389 | ||||||||
Dominion Energy, Inc. | 7.00% | 6/15/2038 | 30 | 38,487 | ||||||||
Duquesne Light Holdings, Inc.† | 6.40% | 9/15/2020 | 35 | 37,223 | ||||||||
Edison International | 4.125% | 3/15/2028 | 33 | 32,850 | ||||||||
Entergy Arkansas, Inc. | 4.95% | 12/15/2044 | 36 | 36,554 | ||||||||
Entergy Corp. | 5.125% | 9/15/2020 | 25 | 25,942 | ||||||||
Entergy Louisiana LLC | 4.00% | 3/15/2033 | 5 | 5,062 | ||||||||
Exelon Generation Co. LLC | 5.60% | 6/15/2042 | 42 | 42,530 | ||||||||
Florida Power & Light Co. | 2.643% (3 Mo. LIBOR + .28% | )# | 11/6/2020 | 10 | 10,001 | |||||||
Georgia Power Co. | 4.75% | 9/1/2040 | 30 | 32,169 | ||||||||
ITC Holdings Corp.† | 5.50% | 1/15/2020 | 40 | 41,345 | ||||||||
Mississippi Power Co. | 4.25% | 3/15/2042 | 9 | 8,560 | ||||||||
Ohio Edison Co. | 8.25% | 10/15/2038 | 18 | 26,549 | ||||||||
Oncor Electric Delivery Co. LLC | 7.00% | 5/1/2032 | 10 | 13,114 |
See Notes to Financial Statements. | 79 |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Power (continued) | ||||||||||||
Pacific Gas & Electric Co. | 6.05% | 3/1/2034 | $ | 45 | $ | 52,252 | ||||||
PPL Electric Utilities Corp. | 5.20% | 7/15/2041 | 18 | 20,570 | ||||||||
Progress Energy, Inc. | 7.75% | 3/1/2031 | 12 | 16,114 | ||||||||
PSEG Power LLC | 5.125% | 4/15/2020 | 30 | 31,012 | ||||||||
Puget Energy, Inc. | 6.00% | 9/1/2021 | 40 | 42,893 | ||||||||
San Diego Gas & Electric Co. | 1.914% | 2/1/2022 | 9 | 8,363 | ||||||||
SCANA Corp. | 4.125% | 2/1/2022 | 44 | 43,444 | ||||||||
SCANA Corp. | 4.75% | 5/15/2021 | 8 | 8,088 | ||||||||
Sempra Energy | 4.00% | 2/1/2048 | 23 | 21,253 | ||||||||
South Carolina Electric & Gas Co. | 6.05% | 1/15/2038 | 10 | 11,540 | ||||||||
Tampa Electric Co. | 6.15% | 5/15/2037 | 10 | 12,144 | ||||||||
TransAlta Corp. (Canada)(b) | 4.50% | 11/15/2022 | 42 | 42,000 | ||||||||
Total | 747,530 | |||||||||||
Electrical Equipment 0.92% | ||||||||||||
Applied Materials, Inc. | 3.30% | 4/1/2027 | 12 | 11,696 | ||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 2.65% | 1/15/2023 | 8 | 7,590 | ||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 3.125% | 1/15/2025 | 10 | 9,333 | ||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 3.875% | 1/15/2027 | 17 | 16,226 | ||||||||
Xilinx, Inc. | 2.95% | 6/1/2024 | 22 | 21,027 | ||||||||
Total | 65,872 | |||||||||||
Electronics 1.11% | ||||||||||||
Tech Data Corp. | 3.70% | 2/15/2022 | 55 | 54,303 | ||||||||
Trimble, Inc. | 4.75% | 12/1/2024 | 24 | 24,900 | ||||||||
Total | 79,203 | |||||||||||
Financial Services 3.25% | ||||||||||||
Affiliated Managers Group, Inc. | 3.50% | 8/1/2025 | 15 | 14,585 | ||||||||
BrightSphere Investment Group plc (United Kingdom)(b) | 4.80% | 7/27/2026 | 35 | 34,674 | ||||||||
Discover Financial Services | 4.10% | 2/9/2027 | 24 | 23,265 | ||||||||
Discover Financial Services | 5.20% | 4/27/2022 | 25 | 26,161 | ||||||||
E*TRADE Financial Corp. | 3.80% | 8/24/2027 | 9 | 8,614 | ||||||||
Fidelity National Financial, Inc. | 5.50% | 9/1/2022 | 32 | 34,279 | ||||||||
International Lease Finance Corp. | 5.875% | 8/15/2022 | 2 | 2,146 | ||||||||
International Lease Finance Corp. | 8.25% | 12/15/2020 | 32 | 35,646 | ||||||||
Lazard Group LLC | 4.25% | 11/14/2020 | 15 | 15,349 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.50% | 3/15/2027 | 23 | 23,231 |
80 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Financial Services (continued) | ||||||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | $ | 15 | $ | 14,564 | ||||||
Total | 232,514 | |||||||||||
Food 0.33% | ||||||||||||
Kraft Heinz Foods Co. | 6.875% | 1/26/2039 | 20 | 23,710 | ||||||||
Health Care Products 1.77% | ||||||||||||
Abbott Laboratories | 4.75% | 11/30/2036 | 23 | 24,221 | ||||||||
Life Technologies Corp. | 5.00% | 1/15/2021 | 19 | 19,711 | ||||||||
Life Technologies Corp. | 6.00% | 3/1/2020 | 48 | 50,228 | ||||||||
Medtronic, Inc. | 4.625% | 3/15/2045 | 19 | 20,486 | ||||||||
Zimmer Biomet Holdings, Inc. | 5.75% | 11/30/2039 | 11 | 12,337 | ||||||||
Total | 126,983 | |||||||||||
Health Care Services 2.50% | ||||||||||||
Fresenius Medical Care US Finance II, Inc.† | 4.75% | 10/15/2024 | 25 | 25,918 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 5.875% | 1/31/2022 | 14 | 14,978 | ||||||||
HCA, Inc. | 5.50% | 6/15/2047 | 21 | 19,635 | ||||||||
Kaiser Foundation Hospitals | 4.15% | 5/1/2047 | 14 | 14,229 | ||||||||
Northwell Healthcare, Inc. | 3.979% | 11/1/2046 | 16 | 14,685 | ||||||||
NYU Langone Hospitals | 4.368% | 7/1/2047 | 12 | 12,354 | ||||||||
NYU Langone Hospitals | 4.784% | 7/1/2044 | 7 | 7,635 | ||||||||
Universal Health Services, Inc.† | 3.75% | 8/1/2019 | 35 | 35,131 | ||||||||
Universal Health Services, Inc.† | 4.75% | 8/1/2022 | 34 | 34,262 | ||||||||
Total | 178,827 | |||||||||||
Household Equipment/Products 0.14% | ||||||||||||
Newell Brands, Inc. | 3.85% | 4/1/2023 | 10 | 9,957 | ||||||||
Insurance 4.34% | ||||||||||||
American International Group, Inc. | 4.80% | 7/10/2045 | 42 | 41,601 | ||||||||
Aon plc (United Kingdom)(b) | 3.875% | 12/15/2025 | 25 | 24,759 | ||||||||
Assurant, Inc. | 4.90% | 3/27/2028 | 15 | 15,152 | ||||||||
Hanover Insurance Group, Inc. (The) | 4.50% | 4/15/2026 | 12 | 12,054 | ||||||||
Liberty Mutual Group, Inc.† | 5.00% | 6/1/2021 | 20 | 20,879 | ||||||||
Lincoln National Corp. | 6.30% | 10/9/2037 | 25 | 30,181 | ||||||||
Protective Life Corp. | 8.45% | 10/15/2039 | 20 | 29,357 | ||||||||
Securian Financial Group, Inc.† | 4.80% | 4/15/2048 | 8 | 7,993 | ||||||||
Teachers Insurance & Annuity Association of America† | 4.90% | 9/15/2044 | 45 | 48,452 |
See Notes to Financial Statements. | 81 |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Insurance (continued) | ||||||||||||
Transatlantic Holdings, Inc. | 8.00% | 11/30/2039 | $ | 9 | $ | 12,351 | ||||||
Unum Group | 5.75% | 8/15/2042 | 17 | 18,407 | ||||||||
Willis North America, Inc. | 7.00% | 9/29/2019 | 10 | 10,487 | ||||||||
WR Berkley Corp. | 5.375% | 9/15/2020 | 5 | 5,233 | ||||||||
XLIT Ltd. (Ireland)(b) | 6.25% | 5/15/2027 | 30 | 33,857 | ||||||||
Total | 310,763 | |||||||||||
Leasing 0.21% | ||||||||||||
GATX Corp. | 4.55% | 11/7/2028 | 15 | 15,151 | ||||||||
Leisure 0.68% | ||||||||||||
Royal Caribbean Cruises Ltd. | 3.70% | 3/15/2028 | 2 | 1,878 | ||||||||
Royal Caribbean Cruises Ltd. | 5.25% | 11/15/2022 | 27 | 28,651 | ||||||||
Royal Caribbean Cruises Ltd. | 7.50% | 10/15/2027 | 15 | 18,251 | ||||||||
Total | 48,780 | |||||||||||
Machinery: Agricultural 0.15% | ||||||||||||
Bunge Ltd. Finance Corp. | 8.50% | 6/15/2019 | 10 | 10,538 | ||||||||
Machinery: Industrial/Specialty 1.01% | ||||||||||||
CNH Industrial Capital LLC | 4.375% | 4/5/2022 | 17 | 17,314 | ||||||||
CNH Industrial Capital LLC | 4.875% | 4/1/2021 | 5 | 5,163 | ||||||||
Kennametal, Inc. | 2.65% | 11/1/2019 | 25 | 24,930 | ||||||||
Nvent Finance Sarl (Luxembourg)†(b) | 4.55% | 4/15/2028 | 25 | 24,626 | ||||||||
Total | 72,033 | |||||||||||
Manufacturing 0.90% | ||||||||||||
General Electric Co. | 6.15% | 8/7/2037 | 55 | 64,407 | ||||||||
Media 3.68% | ||||||||||||
21st Century Fox America, Inc. | 7.75% | 12/1/2045 | 32 | 46,899 | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 6.484% | 10/23/2045 | 52 | 55,471 | ||||||||
Comcast Corp. | 3.969% | 11/1/2047 | 24 | 21,212 | ||||||||
Cox Communications, Inc.† | 8.375% | 3/1/2039 | 22 | 29,508 | ||||||||
Grupo Televisa SAB (Mexico)(b) | 6.625% | 1/15/2040 | 7 | 7,746 | ||||||||
NBCUniversal Enterprise, Inc.† | 5.25% | – | (d) | 100 | 102,250 | |||||||
Total | 263,086 | |||||||||||
Metal Fabricating 0.47% | ||||||||||||
Valmont Industries, Inc. | 5.25% | 10/1/2054 | 30 | 28,406 | ||||||||
Valmont Industries, Inc. | 6.625% | 4/20/2020 | 5 | 5,315 | ||||||||
Total | 33,721 |
82 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Metals & Minerals: Miscellaneous 1.46% | ||||||||||||
Barrick North America Finance LLC | 7.50% | 9/15/2038 | $ | 28 | $ | 36,421 | ||||||
FMG Resources (August 2006) Pty Ltd. (Australia)†(b) | 9.75% | 3/1/2022 | 6 | 6,200 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(b) | 5.55% | 10/25/2042 | 25 | 25,239 | ||||||||
Goldcorp, Inc. (Canada)(b) | 3.625% | 6/9/2021 | 15 | 15,045 | ||||||||
Goldcorp, Inc. (Canada)(b) | 3.70% | 3/15/2023 | 12 | 11,874 | ||||||||
Southern Copper Corp. (Peru)(b) | 5.875% | 4/23/2045 | 9 | 9,723 | ||||||||
Total | 104,502 | |||||||||||
Natural Gas 0.92% | ||||||||||||
National Fuel Gas Co. | 3.95% | 9/15/2027 | 8 | 7,659 | ||||||||
National Fuel Gas Co. | 4.90% | 12/1/2021 | 16 | 16,546 | ||||||||
National Fuel Gas Co. | 7.395% | 3/30/2023 | 15 | 17,117 | ||||||||
Piedmont Natural Gas Co., Inc. | 4.10% | 9/18/2034 | 25 | 24,320 | ||||||||
Total | 65,642 | |||||||||||
Office Furniture & Business Equipment 0.03% | ||||||||||||
Xerox Corp. | 3.625% | 3/15/2023 | 2 | 1,931 | ||||||||
Oil 5.82% | ||||||||||||
Apache Corp. | 6.00% | 1/15/2037 | 15 | 16,755 | ||||||||
Canadian Natural Resources Ltd. (Canada)(b) | 7.20% | 1/15/2032 | 25 | 31,385 | ||||||||
Canadian Oil Sands Ltd. (Canada)†(b) | 4.50% | 4/1/2022 | 5 | 5,117 | ||||||||
ConocoPhillips Canada Funding Co. I | 5.95% | 10/15/2036 | 23 | 28,115 | ||||||||
Continental Resources, Inc. | 5.00% | 9/15/2022 | 30 | 30,490 | ||||||||
Encana Corp. (Canada)(b) | 6.50% | 5/15/2019 | 10 | 10,303 | ||||||||
Eni USA, Inc. | 7.30% | 11/15/2027 | 30 | 36,372 | ||||||||
Equinor ASA (Norway)(b) | 7.15% | 11/15/2025 | 26 | 31,889 | ||||||||
Helmerich & Payne International Drilling Co. | 4.65% | 3/15/2025 | 50 | 51,956 | ||||||||
Kerr-McGee Corp. | 7.875% | 9/15/2031 | 42 | 54,109 | ||||||||
Motiva Enterprises LLC† | 5.75% | 1/15/2020 | 25 | 25,897 | ||||||||
Petroleos Mexicanos (Mexico)(b) | 4.50% | 1/23/2026 | 10 | 9,340 | ||||||||
Shell International Finance BV (Netherlands)(b) | 3.75% | 9/12/2046 | 43 | 40,773 | ||||||||
Valero Energy Corp. | 10.50% | 3/15/2039 | 27 | 44,115 | ||||||||
Total | 416,616 | |||||||||||
Oil: Crude Producers 7.23% | ||||||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. | 6.25% | 10/15/2022 | 38 | 39,663 | ||||||||
Buckeye Partners LP | 2.65% | 11/15/2018 | 40 | 39,955 | ||||||||
Colonial Pipeline Co.† | 4.25% | 4/15/2048 | 24 | 23,472 | ||||||||
Enbridge Energy Partners LP | 4.20% | 9/15/2021 | 25 | 25,313 |
See Notes to Financial Statements. | 83 |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil: Crude Producers (continued) | ||||||||||||
Enbridge Energy Partners LP | 9.875% | 3/1/2019 | $ | 45 | $ | 47,292 | ||||||
Energy Transfer Partners LP | 7.50% | 7/1/2038 | 32 | 37,332 | ||||||||
Energy Transfer Partners LP | 8.25% | 11/15/2029 | 6 | 7,383 | ||||||||
Enterprise Products Operating LLC | 6.066% (3 Mo. LIBOR + 3.71% | )# | 8/1/2066 | 30 | 30,113 | |||||||
Enterprise Products Operating LLC | 7.55% | 4/15/2038 | 15 | 20,186 | ||||||||
Florida Gas Transmission Co. LLC† | 7.90% | 5/15/2019 | 25 | 26,077 | ||||||||
Gulf South Pipeline Co. LP | 4.00% | 6/15/2022 | 7 | 7,000 | ||||||||
Kinder Morgan, Inc. | 7.75% | 1/15/2032 | 47 | 58,355 | ||||||||
Magellan Midstream Partners LP | 6.55% | 7/15/2019 | 5 | 5,192 | ||||||||
MPLX LP | 5.50% | 2/15/2023 | 45 | 46,069 | ||||||||
Northern Natural Gas Co.† | 4.25% | 6/1/2021 | 15 | 15,318 | ||||||||
ONEOK Partners LP | 3.20% | 9/15/2018 | 5 | 5,007 | ||||||||
Sabine Pass Liquefaction LLC | 5.875% | 6/30/2026 | 51 | 55,299 | ||||||||
TransCanada PipeLines Ltd. (Canada)(b) | 7.625% | 1/15/2039 | 16 | 21,379 | ||||||||
Transcontinental Gas Pipe Line Co. LLC | 6.05% | 6/15/2018 | 7 | 7,008 | ||||||||
Total | 517,413 | |||||||||||
Oil: Integrated Domestic 1.39% | ||||||||||||
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc. | 3.337% | 12/15/2027 | 18 | 16,923 | ||||||||
Halliburton Co. | 7.45% | 9/15/2039 | 28 | 38,117 | ||||||||
National Oilwell Varco, Inc. | 2.60% | 12/1/2022 | 10 | 9,523 | ||||||||
National Oilwell Varco, Inc. | 3.95% | 12/1/2042 | 40 | 34,996 | ||||||||
Total | 99,559 | |||||||||||
Paper & Forest Products 0.26% | ||||||||||||
International Paper Co. | 7.30% | 11/15/2039 | 12 | 15,429 | ||||||||
West Fraser Timber Co. Ltd. (Canada)†(b) | 4.35% | 10/15/2024 | 3 | 2,990 | ||||||||
Total | 18,419 | |||||||||||
Real Estate Investment Trusts 4.37% | ||||||||||||
Alexandria Real Estate Equities, Inc. | 3.45% | 4/30/2025 | 20 | 19,189 | ||||||||
Alexandria Real Estate Equities, Inc. | 3.95% | 1/15/2028 | 15 | 14,559 | ||||||||
American Homes 4 Rent LP | 4.25% | 2/15/2028 | 18 | 17,405 | ||||||||
EPR Properties | 4.75% | 12/15/2026 | 25 | 24,533 | ||||||||
EPR Properties | 5.25% | 7/15/2023 | 10 | 10,362 | ||||||||
EPR Properties | 5.75% | 8/15/2022 | 15 | 15,888 | ||||||||
Goodman US Finance Three LLC† | 3.70% | 3/15/2028 | 18 | 17,144 | ||||||||
Healthcare Realty Trust, Inc. | 3.625% | 1/15/2028 | 5 | 4,695 | ||||||||
Healthcare Realty Trust, Inc. | 3.875% | 5/1/2025 | 42 | 41,097 |
84 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Real Estate Investment Trusts (continued) | ||||||||||||
Healthcare Trust of America Holdings LP | 2.95% | 7/1/2022 | $ | 4 | $ | 3,893 | ||||||
Kilroy Realty LP | 6.625% | 6/1/2020 | 21 | 22,339 | ||||||||
Liberty Property LP | 4.75% | 10/1/2020 | 15 | 15,472 | ||||||||
Physicians Realty LP | 4.30% | 3/15/2027 | 31 | 30,289 | ||||||||
Senior Housing Properties Trust | 3.25% | 5/1/2019 | 5 | 5,004 | ||||||||
SL Green Operating Partnership LP | 3.25% | 10/15/2022 | 6 | 5,845 | ||||||||
SL Green Realty Corp. | 4.50% | 12/1/2022 | 30 | 30,543 | ||||||||
VEREIT Operating Partnership LP | 3.95% | 8/15/2027 | 16 | 14,876 | ||||||||
VEREIT Operating Partnership LP | 4.875% | 6/1/2026 | 20 | 19,941 | ||||||||
Total | 313,074 | |||||||||||
Retail 0.44% | ||||||||||||
Home Depot, Inc. (The) | 4.40% | 3/15/2045 | 18 | 18,868 | ||||||||
McDonald’s Corp. | 6.30% | 10/15/2037 | 10 | 12,495 | ||||||||
Total | 31,363 | |||||||||||
Steel 0.30% | ||||||||||||
Vale Overseas Ltd. (Brazil)(b) | 6.25% | 8/10/2026 | 20 | 21,650 | ||||||||
Technology 0.80% | ||||||||||||
Amazon.com, Inc.† | 4.05% | 8/22/2047 | 29 | 29,002 | ||||||||
Amazon.com, Inc.† | 4.25% | 8/22/2057 | 5 | 5,007 | ||||||||
Expedia Group, Inc. | 3.80% | 2/15/2028 | 14 | 12,800 | ||||||||
Expedia Group, Inc. | 5.00% | 2/15/2026 | 10 | 10,239 | ||||||||
Total | 57,048 | |||||||||||
Telecommunications 3.65% | ||||||||||||
AT&T, Inc. | 5.35% | 9/1/2040 | 22 | 22,338 | ||||||||
AT&T, Inc. | 6.00% | 8/15/2040 | 95 | 102,347 | ||||||||
Orange SA (France)(b) | 9.00% | 3/1/2031 | 15 | 21,404 | ||||||||
Verizon Communications, Inc. | 4.40% | 11/1/2034 | 100 | 96,012 | ||||||||
Vodafone Group plc (United Kingdom)(b) | 4.375% | 5/30/2028 | 13 | 12,920 | ||||||||
Vodafone Group plc (United Kingdom)(b) | 5.25% | 5/30/2048 | 6 | 6,074 | ||||||||
Total | 261,095 | |||||||||||
Transportation: Miscellaneous 1.10% | ||||||||||||
Burlington Northern Santa Fe LLC | 6.15% | 5/1/2037 | 40 | 49,822 | ||||||||
Canadian Pacific Railway Co. (Canada)(b) | 4.00% | 6/1/2028 | 3 | 3,052 | ||||||||
CSX Corp. | 4.50% | 8/1/2054 | 15 | 14,495 | ||||||||
Norfolk Southern Corp. | 5.59% | 5/17/2025 | 10 | 11,066 | ||||||||
Total | 78,435 |
See Notes to Financial Statements. | 85 |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Utilities 0.34% | ||||||||||||
Aquarion Co.† | 4.00% | 8/15/2024 | $ | 24 | $ | 24,391 | ||||||
Total Corporate Bonds (cost $6,580,133) | 6,417,497 | |||||||||||
MUNICIPAL BONDS 0.60% | ||||||||||||
Miscellaneous | ||||||||||||
California | 7.60% | 11/1/2040 | 15 | 22,843 | ||||||||
Chicago, IL | 6.314% | 1/1/2044 | 15 | 15,464 | ||||||||
Illinois | 5.10% | 6/1/2033 | 5 | 4,821 | ||||||||
Total Municipal Bonds (cost $43,218) | 43,128 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 0.38% | ||||||||||||
Caesars Palace Las Vegas Trust 2017-VICI A† | 3.531% | 10/15/2034 | 17 | 17,131 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI B† | 3.835% | 10/15/2034 | 10 | 10,083 | ||||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $27,792) | 27,214 | |||||||||||
U.S. TREASURY OBLIGATIONS 3.83% | ||||||||||||
U.S. Treasury Bond | 3.125% | 5/15/2048 | 40 | 40,832 | ||||||||
U.S. Treasury Note | 2.75% | 5/31/2023 | 108 | 108,327 | ||||||||
U.S. Treasury Note | 2.75% | 2/15/2028 | 126 | 124,834 | ||||||||
Total U.S. Treasury Obligations (cost $270,304) | 273,993 | |||||||||||
Total Long-Term Investments (cost $7,176,420) | 7,015,000 | |||||||||||
SHORT-TERM INVESTMENT 2.20% | ||||||||||||
REPURCHASE AGREEMENT 2.20% | ||||||||||||
Repurchase Agreement dated 5/31/2018, 0.90% due 6/1/2018 with Fixed Income Clearing Corp. collateralized by $165,000 of U.S. Treasury Note at 1.875% due 3/31/2022; value: $161,013; proceeds: $157,489 (cost $157,485) | 157 | 157,485 | ||||||||||
Total Investments in Securities 100.22% (cost $7,333,905) | 7,172,485 | |||||||||||
Liabilities in Excess of Other Assets(e) (0.22%) | (15,783 | ) | ||||||||||
Net Assets 100.00% | $ | 7,156,702 |
LIBOR | London Interbank Offered Rate | |
† | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers. | |
# | Variable rate security. The interest rate represents the rate in effect at May 31, 2018. | |
(a) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(b) | Foreign security traded in U.S. dollars. | |
(c) | Variable Rate is Fixed to Float: Rate remains fixed until designated future date. | |
(d) | Security is perpetual in nature and has no stated maturity. | |
(e) | Liabilities in Excess of Other Assets include net unrealized appreciation/depreciation on futures contracts as follows: |
86 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUND May 31, 2018
Open Futures Contracts at May 31, 2018: | |||||||||||||||
Notional | Notional | Unrealized | |||||||||||||
Type | Expiration | Contracts | Position | Amount | Value | Appreciation | |||||||||
U.S. 2-Year Treasury Note | September 2018 | 4 | Short | $ (849,743) | $ (848,937) | $ | 806 | ||||||||
U.S. 5-Year Treasury Note | September 2018 | 18 | Long | 2,042,346 | 2,050,031 | 7,685 | |||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 8,491 |
Notional | Notional | Unrealized | |||||||||||||
Type | Expiration | Contracts | Position | Amount | Value | Depreciation | |||||||||
U.S. 10-Year Treasury Note | September 2018 | 11 | Short | $(1,315,168) | $(1,324,812) | $ | (9,644) | ||||||||
U.S. 10-Year Ultra Treasury Bond | September 2018 | 1 | Short | (128,342) | (128,344) | (2) | |||||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (9,646) |
The following is a summary of the inputs used as of May 31, 2018 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2)(3) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | $ | – | $ | 253,168 | $ | – | $ | 253,168 | ||||||||
Corporate Bonds | – | 6,417,497 | – | 6,417,497 | ||||||||||||
Municipal Bonds | – | 43,128 | – | 43,128 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 27,214 | – | 27,214 | ||||||||||||
U.S. Treasury Obligations | – | 273,993 | – | 273,993 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreement | – | 157,485 | – | 157,485 | ||||||||||||
Total | $ | – | $ | 7,172,485 | $ | – | $ | 7,172,485 | ||||||||
Other Financial Instruments | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Assets | $ | 8,491 | $ | – | $ | – | $ | 8,491 | ||||||||
Liabilities | (9,646 | ) | – | – | (9,646 | ) | ||||||||||
Total | $ | (1,155 | ) | $ | – | $ | – | $ | (1,155 | ) |
(1) | Refer to Note 2(s) for a description of fair value measurements and the three-tier hierarchy of inputs. | |
(2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. | |
(3) | There were no Level 1/Level 2 transfers during the period ended May 31, 2018. |
See Notes to Financial Statements. | 87 |
Schedule of Investments (unaudited)(concluded)
CORPORATE BOND FUND May 31, 2018
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
Floating | ||||
Investment Type | Rate Loans | |||
Balance as of December 1, 2017 | $ | 27,947 | ||
Accrued Discounts (Premiums) | 26 | |||
Realized Gain (Loss) | 372 | |||
Change in Unrealized Appreciation (Depreciation) | 77 | |||
Purchases | 23 | |||
Sales | (28,445 | ) | ||
Transfers into Level 3 | – | |||
Transfers out of Level 3 | – | |||
Balance as of May 31, 2018 | $ | – | ||
Change in unrealized appreciation/depreciation for period ended May 31, 2018, related to Level 3 investments held at May 31, 2018 | $ | – |
88 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)
FLOATING RATE FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
LONG-TERM INVESTMENTS 98.65% | ||||||||||||
ASSET-BACKED SECURITIES 0.29% | ||||||||||||
Other | ||||||||||||
Anchorage Capital CLO 9 Ltd. 2016-9A D† | 6.348% (3 Mo. LIBOR + 4.00% | )# | 1/15/2029 | $ | 2,000 | $ | 2,018,415 | |||||
Apidos CLO XVI 2013-16A CR† | 5.355% (3 Mo. LIBOR + 3.00% | )# | 1/19/2025 | 3,000 | 3,002,669 | |||||||
Cedar Funding VII CLO Ltd. 2018-7A D† | 4.585% (3 Mo. LIBOR + 2.55% | )# | 1/20/2031 | 5,000 | 4,937,618 | |||||||
Cent CLO 19 Ltd. 2013-19A C† | 5.659% (3 Mo. LIBOR + 3.30% | )# | 10/29/2025 | 3,700 | 3,719,766 | |||||||
Jamestown CLO VII Ltd. 2015-7A CR† | 4.96% (3 Mo. LIBOR + 2.60% | )# | 7/25/2027 | 5,000 | 4,970,212 | |||||||
Jay Park CLO Ltd. 2016-1A C† | 6.209% (3 Mo. LIBOR + 3.85% | )# | 10/20/2027 | 2,200 | 2,213,748 | |||||||
KKR CLO Ltd. 15 D† | 6.355% (3 Mo. LIBOR + 4.00% | )# | 10/18/2028 | 2,000 | 2,014,086 | |||||||
LCM XXII Ltd. 22A C† | 6.209% (3 Mo. LIBOR + 3.85% | )# | 10/20/2028 | 2,500 | 2,518,748 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A D† | 6.173% (3 Mo. LIBOR + 3.95% | )# | 4/15/2026 | 5,000 | 5,001,122 | |||||||
Regatta IV Funding Ltd. 2014-1A DR† | 5.66% (3 Mo. LIBOR + 3.30% | )# | 7/25/2026 | 4,000 | 4,011,813 | |||||||
Sound Point CLO II Ltd. 2013-1A B1R† | 5.062% (3 Mo. LIBOR + 2.70% | )# | 1/26/2031 | 3,750 | 3,750,804 | |||||||
Symphony CLO XII Ltd. 2013-12A DR† | 5.598% (3 Mo. LIBOR + 3.25% | )# | 10/15/2025 | 2,000 | 2,003,314 | |||||||
Total Asset-Backed Securities (cost $39,997,786) | 40,162,315 | |||||||||||
Shares | ||||||||||||
(000) | ||||||||||||
COMMON STOCKS 0.29% | ||||||||||||
Energy 0.01% | ||||||||||||
Templar Energy LLC Class A Units | 747 | 625,554 | ||||||||||
Vistra Energy Corp. | 327 | 188,024 | ||||||||||
Total | 813,578 | |||||||||||
Gaming/Leisure 0.28% | ||||||||||||
Caesars Entertainment Corp.* | 1,532 | 18,613,703 | ||||||||||
VICI Properties, Inc. | 1,018 | 19,727,512 | ||||||||||
Total | 38,341,215 | |||||||||||
Total Common Stocks (cost $45,211,561) | 39,154,793 | |||||||||||
See Notes to Financial Statements. | 89 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
CONVERTIBLE BONDS 0.24% | ||||||||||||
Gaming/Leisure 0.05% | ||||||||||||
Caesars Entertainment Corp. | 5.00% | 10/1/2024 | $ | 3,998 | $ | 7,392,307 | ||||||
Land Transportation 0.15% | ||||||||||||
Scorpio Tankers, Inc. (Monaco)(a) | 3.00% | 5/15/2022 | 20,619 | 20,722,095 | ||||||||
Retail 0.04% | ||||||||||||
RH† | Zero Coupon | 7/15/2020 | 5,000 | 5,235,555 | ||||||||
Total Convertible Bonds (cost $32,244,062) | 33,349,957 | |||||||||||
CORPORATE BONDS 7.18% | ||||||||||||
Aerospace 0.14% | ||||||||||||
Bombardier, Inc.(Canada)†(a) | 7.50% | 3/15/2025 | 18,370 | 19,060,712 | ||||||||
Automotive 0.02% | ||||||||||||
Titan International, Inc.† | 6.50% | 11/30/2023 | 3,297 | 3,321,728 | ||||||||
Consumer Durables 0.14% | ||||||||||||
BlueLine Rental Finance Corp./BlueLine Rental LLC† | 9.25% | 3/15/2024 | 17,826 | 19,064,372 | ||||||||
Consumer Non-Durables 0.16% | ||||||||||||
Eagle Intermediate Global Holding BV/Ruyi US Finance LLC (Netherlands)†(a) | 7.50% | 5/1/2025 | 12,980 | 13,272,050 | ||||||||
High Ridge Brands Co.† | 8.875% | 3/15/2025 | 4,648 | 2,184,560 | ||||||||
W/S Packaging Holdings, Inc.† | 9.00% | 4/15/2023 | 6,251 | 6,422,902 | ||||||||
Total | 21,879,512 | |||||||||||
Energy 1.24% | ||||||||||||
Apergy Corp.† | 6.375% | 5/1/2026 | 9,702 | 9,883,913 | ||||||||
Calfrac Holdings LP† | 8.50% | 6/15/2026 | 16,609 | 16,520,972 | ||||||||
California Resources Corp.† | 8.00% | 12/15/2022 | 13,961 | 12,390,387 | ||||||||
Eclipse Resources Corp. | 8.875% | 7/15/2023 | 9,340 | 8,826,300 | ||||||||
Ensco plc (United Kingdom)(a) | 7.75% | 2/1/2026 | 16,428 | 15,709,275 | ||||||||
FTS International, Inc. | 6.25% | 5/1/2022 | 21,761 | 22,087,415 | ||||||||
Indigo Natural Resources LLC† | 6.875% | 2/15/2026 | 13,206 | 12,677,760 | ||||||||
Jonah Energy LLC/Jonah Energy Finance Corp.† | 7.25% | 10/15/2025 | 22,277 | 17,738,061 | ||||||||
Noble Holding International Ltd. | 7.95% | 4/1/2025 | 21,416 | 19,647,038 | ||||||||
Sanchez Energy Corp.† | 7.25% | 2/15/2023 | 19,696 | 19,400,560 | ||||||||
SM Energy Co. | 6.75% | 9/15/2026 | 4,251 | 4,325,393 | ||||||||
Tapstone Energy LLC/Tapstone Energy Finance Corp.† | 9.75% | 6/1/2022 | 7,331 | 6,258,841 | ||||||||
WildHorse Resource Development Corp.† | 6.875% | 2/1/2025 | 4,246 | 4,357,458 | ||||||||
Total | 169,823,373 |
90 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Financial 1.00% | ||||||||||||
ACE Cash Express, Inc.† | 12.00% | 12/15/2022 | $ | 22,690 | $ | 25,072,450 | ||||||
Acrisure LLC/Acrisure Finance, Inc.† | 7.00% | 11/15/2025 | 19,681 | 18,401,735 | ||||||||
Enova International, Inc.† | 8.50% | 9/1/2024 | 14,095 | 14,799,750 | ||||||||
Freedom Mortgage Corp.† | 8.125% | 11/15/2024 | 16,144 | 16,098,797 | ||||||||
Freedom Mortgage Corp.† | 8.25% | 4/15/2025 | 7,283 | 7,246,585 | ||||||||
HUB International Ltd.† | 7.00% | 5/1/2026 | 11,091 | 11,122,720 | ||||||||
Werner FinCo LP/Werner FinCo, Inc.† | 8.75% | 7/15/2025 | 17,829 | 18,007,290 | ||||||||
WeWork Cos., Inc.† | 7.875% | 5/1/2025 | 16,164 | 15,297,448 | ||||||||
York Risk Services Holding Corp.† | 8.50% | 10/1/2022 | 11,996 | 11,216,260 | ||||||||
Total | 137,263,035 | |||||||||||
Food/Tobacco 0.14% | ||||||||||||
Matterhorn Merger Sub LLC/Matterhorn Finance Sub, Inc.† | 8.50% | 6/1/2026 | 9,688 | 9,445,800 | ||||||||
PF Chang’s China Bistro, Inc.† | 10.25% | 6/30/2020 | 11,628 | 9,709,380 | ||||||||
Total | 19,155,180 | |||||||||||
Gaming/Leisure 0.10% | ||||||||||||
Jacobs Entertainment, Inc.† | 7.875% | 2/1/2024 | 13,045 | 13,664,638 | ||||||||
Healthcare 1.01% | ||||||||||||
Hadrian Merger Sub, Inc.† | 8.50% | 5/1/2026 | 7,451 | 7,404,431 | ||||||||
Kindred Healthcare, Inc. | 8.75% | 1/15/2023 | 24,497 | 26,181,169 | ||||||||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA† | 6.625% | 5/15/2022 | 12,122 | 12,000,780 | ||||||||
Polaris Intermediate Corp. PIK 8.50%† | 8.50% | 12/1/2022 | 14,628 | 15,158,265 | ||||||||
Sotera Health Topco, Inc. PIK 8.875%† | 8.125% | 11/1/2021 | 8,394 | 8,540,895 | ||||||||
Surgery Center Holdings, Inc.† | 6.75% | 7/1/2025 | 13,090 | 12,271,875 | ||||||||
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)(a) | 2.80% | 7/21/2023 | 19,243 | 16,484,394 | ||||||||
Valeant Pharmaceuticals International, Inc.† | 5.875% | 5/15/2023 | 14,674 | 13,995,327 | ||||||||
Valeant Pharmaceuticals International, Inc.† | 6.125% | 4/15/2025 | 28,645 | 26,604,044 | ||||||||
Total | 138,641,180 | |||||||||||
Information Technology 0.19% | ||||||||||||
CURO Financial Technologies Corp.† | 12.00% | 3/1/2022 | 17,306 | 18,950,070 | ||||||||
Kratos Defense & Security Solutions, Inc.† | 6.50% | 11/30/2025 | 6,660 | 6,918,075 | ||||||||
Total | 25,868,145 | |||||||||||
Land Transportation 0.15% | ||||||||||||
Eletson Holdings, Inc. (Greece)†(a) | 9.625% | 1/15/2022 | 13,212 | 8,389,620 | ||||||||
Kenan Advantage Group, Inc. (The)† | 7.875% | 7/31/2023 | 11,831 | 12,108,437 | ||||||||
Total | 20,498,057 |
See Notes to Financial Statements. | 91 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Manufacturing 0.46% | ||||||||||||
Brand Industrial Services, Inc.† | 8.50% | 7/15/2025 | $ | 5,174 | $ | 5,309,818 | ||||||
BWX Technologies, Inc.† | 5.375% | 7/15/2026 | 5,448 | 5,516,100 | ||||||||
Hillman Group, Inc. (The)† | 6.375% | 7/15/2022 | 19,540 | 18,904,950 | ||||||||
JB Poindexter & Co., Inc.† | 7.125% | 4/15/2026 | 11,745 | 11,979,900 | ||||||||
Optimas OE Solutions Holding LLC/Optimas OE Solutions, Inc.† | 8.625% | 6/1/2021 | 10,323 | 10,658,497 | ||||||||
Titan Acquisition Ltd./Titan Co-Borrower LLC (Canada)†(a) | 7.75% | 4/15/2026 | 11,659 | 11,105,197 | ||||||||
Total | 63,474,462 | |||||||||||
Metals & Mining 0.00% | ||||||||||||
Mirabela Nickel Ltd. (Australia)(a) | 1.00% | 9/10/2044 | 51 | 5 | (b) | |||||||
Metals/Minerals 1.19% | ||||||||||||
AK Steel Corp. | 6.375% | 10/15/2025 | 12,091 | 11,335,313 | ||||||||
Aleris International, Inc. | 7.875% | 11/1/2020 | 20,346 | 20,651,190 | ||||||||
Barminco Finance Pty Ltd. (Australia)†(a) | 6.625% | 5/15/2022 | 5,975 | 5,750,938 | ||||||||
Commercial Metals Co.† | 5.75% | 4/15/2026 | 14,555 | 14,482,225 | ||||||||
Ferroglobe plc/Globe Specialty Metals, Inc. (United Kingdom)†(a) | 9.375% | 3/1/2022 | 18,941 | 20,172,165 | ||||||||
First Quantum Minerals Ltd. (Canada)†(a) | 6.875% | 3/1/2026 | 14,690 | 13,937,137 | ||||||||
Imperial Metals Corp. (Canada)†(a) | 7.00% | 3/15/2019 | 12,313 | 11,358,742 | ||||||||
Peabody Energy Corp.† | 6.375% | 3/31/2025 | 11,316 | 11,782,785 | ||||||||
Peabody Energy Corp. | 10.00% | 3/15/2022 | 10,230 | 1,023 | (b) | |||||||
Taseko Mines Ltd. (Canada)†(a) | 8.75% | 6/15/2022 | 15,128 | 15,695,300 | ||||||||
TMS International Corp.† | 7.25% | 8/15/2025 | 17,394 | 18,046,275 | ||||||||
Trinidad Drilling Ltd. (Canada)†(a) | 6.625% | 2/15/2025 | 4,696 | 4,496,420 | ||||||||
Warrior Met Coal, Inc.† | 8.00% | 11/1/2024 | 14,262 | 14,636,377 | ||||||||
Total | 162,345,890 | |||||||||||
Retail 0.03% | ||||||||||||
IRB Holding Corp.† | 6.75% | 2/15/2026 | 4,871 | 4,615,273 | ||||||||
Service 0.77% | ||||||||||||
Ahern Rentals, Inc.† | 7.375% | 5/15/2023 | 20,515 | 20,104,700 | ||||||||
APX Group, Inc. | 7.625% | 9/1/2023 | 15,752 | 13,901,140 | ||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co.† | 6.75% | 8/1/2025 | 11,991 | 11,556,326 | ||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co.† | 6.875% | 2/15/2021 | 5,279 | 5,344,988 | ||||||||
Cloud Crane LLC† | 10.125% | 8/1/2024 | 17,118 | 18,701,415 | ||||||||
Jurassic Holdings III, Inc.† | 6.875% | 2/15/2021 | 12,315 | 11,914,763 | ||||||||
Laureate Education, Inc.† | 8.25% | 5/1/2025 | 10,860 | 11,538,750 |
92 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Service (continued) | ||||||||||||
TopBuild Corp.† | 5.625% | 5/1/2026 | $ | 12,485 | $ | 12,328,937 | ||||||
Total | 105,391,019 | |||||||||||
Shipping 0.34% | ||||||||||||
Dynagas LNG Partners LP/Dynagas Finance, Inc. (Greece)(a) | 6.25% | 10/30/2019 | 7,342 | 7,433,775 | ||||||||
Golar LNG Partners LP (United Kingdom)†(a) | 8.593% (3 Mo. LIBOR + 6.25% | )# | 5/18/2021 | 7,400 | 7,584,253 | |||||||
Hoegh LNG Holdings Ltd.(c) | 6.11% (3 Mo. NIBOR + 5.00% | )# | 2/1/2022 | NOK | 87,000 | 10,499,285 | ||||||
Navios Maritime Holdings, Inc./Navios Maritime Finance II US, Inc. (Monaco)†(a) | 7.375% | 1/15/2022 | $ | 14,310 | 10,732,500 | |||||||
Navios South American Logistics, Inc./Navios Logistics Finance US, Inc. (Uruguay)†(a) | 7.25% | 5/1/2022 | 9,820 | 9,635,875 | ||||||||
Total | 45,885,688 | |||||||||||
Telecommunications 0.10% | ||||||||||||
Intelsat Jackson Holdings SA (Luxembourg)(a) | 5.50% | 8/1/2023 | 15,517 | 13,606,469 | ||||||||
Total Corporate Bonds (cost $997,892,250) | 983,558,738 | |||||||||||
Shares | ||||||||||||
(000) | ||||||||||||
EXCHANGE-TRADED FUND 1.12% | ||||||||||||
PowerShares Senior Loan Portfolio ETF (cost $154,805,152) | 6,696 | 153,934,097 | ||||||||||
Principal | ||||||||||||
Amount | ||||||||||||
(000) | ||||||||||||
FLOATING RATE LOANS(d) 89.53% | ||||||||||||
Aerospace 4.51% | ||||||||||||
Air Canada Replacement Term Loan (Canada)(a) | 3.968% (1 Mo. LIBOR + 2.00% | ) | 10/6/2023 | $ | 25,503 | 25,642,946 | ||||||
Air Medical Group Holdings, Inc. 2018 New Term Loan | 6.184% (1 Mo. LIBOR + 4.00% | ) | 3/14/2025 | 14,632 | 14,694,808 | |||||||
Air Medical Group Holdings, Inc. 2018 Term Loan | 5.173% (1 Mo. LIBOR + 3.25% | ) | 4/28/2022 | 59,506 | 59,530,437 | |||||||
American Airlines, Inc. 2017 Replacement Term Loan | 3.929% (1 Mo. LIBOR + 2.00% | ) | 10/10/2021 | 25,927 | 25,950,896 | |||||||
American Airlines, Inc. 2017 Term Loan B | 3.919% (1 Mo. LIBOR + 2.00% | ) | 12/14/2023 | 44,920 | 44,711,218 |
See Notes to Financial Statements. | 93 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Aerospace (continued) | ||||||||||||
American Airlines, Inc. 2017 Term Loan B | 3.968% (1 Mo. LIBOR + 2.00% | ) | 4/28/2023 | $ | 22,487 | $ | 22,402,399 | |||||
American Airlines, Inc. 2018 Replacement Term Loan | 3.718% (1 Mo. LIBOR + 1.75% | ) | 6/27/2025 | 44,161 | 43,691,826 | |||||||
Circor International, Inc. Initial Term Loan | 5.418% (1 Mo. LIBOR + 3.50% | ) | 12/11/2024 | 26,266 | 26,364,668 | |||||||
Doncasters US Finance LLC 2nd Lien Term Loan | 10.552% (3 Mo. LIBOR + 8.25% | ) | 10/9/2020 | 8,103 | 7,774,966 | |||||||
Doncasters US Finance LLC Term Loan B | 5.837% (3 Mo. LIBOR + 3.50% | ) | 4/9/2020 | 42,977 | 41,697,073 | |||||||
Gol Luxco S.A. Term Loan (Luxembourg)(a) | 6.50% | 8/31/2020 | 32,127 | 32,956,785 | ||||||||
Hyster-Yale Group, Inc. Term Loan | 5.23% (1 Mo. LIBOR + 3.25% | ) | 5/30/2023 | 5,652 | 5,697,749 | |||||||
Jazz Acquisition, Inc. 1st Lien Term Loan | 5.802% (3 Mo. LIBOR + 3.50% | ) | 6/19/2021 | 44,886 | 43,987,866 | |||||||
Jazz Acquisition, Inc. 2nd Lien Term Loan | 9.052% (3 Mo. LIBOR + 6.75% | ) | 6/19/2022 | 17,386 | 16,777,490 | |||||||
MB Aerospace Holdings II Corp. 1st Lien Initial Term Loan | 5.48% (1 Mo. LIBOR + 3.50% | ) | 1/22/2025 | 7,080 | 7,120,081 | |||||||
Transdigm Inc. 2018 New Tranche E Term Loan | 4.476% (1 Mo. LIBOR + 2.50% | ) | 5/30/2025 | 23,145 | 23,104,353 | |||||||
Transdigm Inc. 2018 New Tranche F Term Loan | 4.476% (1 Mo. LIBOR + 2.50% | ) | 6/9/2023 | 47,702 | 47,663,116 | |||||||
Transdigm Inc. New Tranche G Term Loan | 4.48% (3 Mo. LIBOR + 2.50%) - 4.802% | 8/22/2024 | 26,556 | 26,525,435 | ||||||||
United AirLines, Inc. Refinanced Term Loan | 3.73% (1 Mo. LIBOR + 1.75% | ) | 4/1/2024 | 40,835 | 41,032,433 | |||||||
Wesco Aircraft Hardware Corp. New Tranche A Term Loan | 4.99% (1 Mo. LIBOR + 3.00% | ) | 11/30/2021 | 4,806 | 4,770,008 | |||||||
Wesco Aircraft Hardware Corp. Tranche B Term Loan | 4.802% (3 Mo. LIBOR + 2.50% | ) | 2/28/2021 | 12,857 | 12,664,346 | |||||||
WP CPP Holdings, LLC 1st Lien Initial Term Loan | 6.28% (3 Mo. LIBOR + 3.75% | ) | 4/30/2025 | 32,088 | 32,303,631 | |||||||
WP CPP Holdings, LLC 2nd Lien Initial Term Loan | 10.28% (3 Mo. LIBOR + 7.75% | ) | 4/30/2026 | 9,701 | 9,725,253 | |||||||
Total | 616,789,783 | |||||||||||
Chemicals 2.15% | ||||||||||||
Agro Merchants North America Holdings, Inc. 1st Lien Effective Date Term Loan | 6.052% (3 Mo. LIBOR + 3.75% | ) | 12/6/2024 | 25,855 | 26,081,391 |
94 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Chemicals (continued) | ||||||||||||
Ashland LLC Term Loan A1 | 3.711% (1 Mo. LIBOR + 1.75%) - 3.73% | 5/15/2020 | $ | 5,321 | $ | 5,344,561 | ||||||
Berry Global, Inc. Term Loan Q | 3.929% (1 Mo. LIBOR + 2.00%) - 3.98% | 10/1/2022 | 24,353 | 24,458,205 | ||||||||
Cyanco Intermediate 2 Corp. 1st Lien Initial Term Loan | 5.672% (3 Mo. LIBOR + 3.50% | ) | 3/17/2025 | 20,419 | 20,521,095 | |||||||
Cyanco Intermediate 2 Corp. 2nd Lien Initial Term Loan | 9.672% (3 Mo. LIBOR + 7.50% | ) | 3/16/2026 | 3,889 | 3,879,278 | (e) | ||||||
Ineos US Finance LLC New 2024 Dollar Term Loan | 3.98% (1 Mo. LIBOR + 2.00% | ) | 4/1/2024 | 18,467 | 18,508,720 | |||||||
Invictus U.S. Newco LLC 1st Lien Initial Term Loan | 5.099% (6 Mo. LIBOR + 3.00% | ) | 3/28/2025 | 14,587 | 14,684,222 | |||||||
Invictus U.S. Newco LLC 2nd Lien Initial Term Loan | 8.73% (6 Mo. LIBOR + 6.75% | ) | 3/30/2026 | 6,808 | 6,910,120 | |||||||
LTI Holdings, Inc. 1st Lien 2nd Amendment Incremental Term Loan | 5.48% (1 Mo. LIBOR + 3.50% | ) | 5/16/2024 | 7,779 | 7,798,447 | |||||||
MacDermid, Inc. Tranche B6 Term Loan | 4.98% (1 Mo. LIBOR + 3.00% | ) | 6/7/2023 | 13,466 | 13,533,487 | |||||||
MacDermid, Inc. Tranche B7 Term Loan | 4.48% (1 Mo. LIBOR + 2.50% | ) | 6/7/2020 | 6,083 | 6,110,724 | |||||||
Plastipak Holdings, Inc. 2018 Tranche B Term Loan | 4.49% (1 Mo. LIBOR + 2.50% | ) | 10/14/2024 | 19,912 | 19,996,003 | |||||||
Tata Chemicals North America Term Loan | 5.063% (3 Mo. LIBOR + 2.75% | ) | 8/7/2020 | 15,576 | 15,663,576 | |||||||
Tronox Blocked Borrower LLC 1st Lien Blocked Dollar Term Loan | 5.302% (3 Mo. LIBOR + 3.00% | ) | 9/23/2024 | 8,994 | 9,050,214 | |||||||
Tronox Finance LLC 1st Lien Initial Dollar Term Loan | 5.302% (3 Mo. LIBOR + 3.00% | ) | 9/23/2024 | 20,754 | 20,883,719 | |||||||
Univar USA Inc. Term Loan B3 | 4.48% (1 Mo. LIBOR + 2.50% | ) | 7/1/2024 | 20,031 | 20,156,095 | |||||||
Vectra Co. 1st Lien Initial Term Loan | 5.23% (1 Mo. LIBOR + 3.25% | ) | 3/8/2025 | 21,923 | 21,953,720 | |||||||
Vectra Co. 2nd Lien Initial Term Loan | 9.23% (1 Mo. LIBOR + 7.25% | ) | 3/8/2026 | 6,625 | 6,653,984 | |||||||
Venator Finance S.A.R.L. Initial Term Loan | 4.98% (3 Mo. LIBOR + 3.00% | ) | 8/8/2024 | 12,256 | 12,378,974 | (e) | ||||||
W.R. Grace & Co. Term Loan B1 | 4.058% (3 Mo. LIBOR + 1.75% | ) | 4/3/2025 | 7,165 | 7,193,438 | |||||||
W.R. Grace & Co. Term Loan B2 | 4.058% (3 Mo. LIBOR + 1.75% | ) | 4/3/2025 | 12,284 | 12,331,608 | |||||||
Total | 294,091,581 |
See Notes to Financial Statements. | 95 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Consumer Durables 1.10% | ||||||||||||
Britax US Holdings Inc. Initial Dollar Term Loan | 5.802% (3 Mo. LIBOR + 3.50% | ) | 10/15/2020 | $ | 22,301 | $ | 19,525,071 | |||||
G-III Apparel Group, LTD. Initial Term Loan | 7.188% (1 Mo. LIBOR + 5.25% | ) | 12/1/2022 | 25,948 | 26,369,510 | |||||||
Samsonite International S.A. Initial Tranche B Term Loan | 3.73% (1 Mo. LIBOR + 1.75% | ) | 4/25/2025 | 8,751 | 8,709,433 | |||||||
Serta Simmons Bedding, LLC 1st Lien Initial Term Loan | 5.423% (3 Mo. LIBOR + 3.50%) - 5.808% | 11/8/2023 | 28,949 | 25,634,752 | ||||||||
Serta Simmons Bedding, LLC 2nd Lien Initial Term Loan | 10.331% (3 Mo. LIBOR + 8.00% | ) | 11/8/2024 | 20,890 | 16,033,353 | |||||||
SRAM, LLC New 1st Lien 2018 Term Loan | 4.808% (6 Mo. LIBOR + 3.25%) - 4.857% | 3/15/2024 | 19,956 | 20,055,657 | ||||||||
TGP Holdings III LLC 1st Lien 2018 Refinancing Delayed Draw Term Loan | 6.23% (1 Mo. LIBOR + 4.25% | ) | 9/25/2024 | 3,223 | 3,254,217 | |||||||
TGP Holdings III LLC 1st Lien 2018 Refinancing Term Loan | 6.23% (1 Mo. LIBOR + 4.25% | ) | 9/25/2024 | 21,712 | 21,922,811 | |||||||
TGP Holdings III LLC 2nd Lien Initial Term Loan | 10.802% (3 Mo. LIBOR + 8.50% | ) | 9/25/2025 | 9,333 | 9,472,995 | |||||||
Total | 150,977,799 | |||||||||||
Consumer Non-Durables 1.06% | ||||||||||||
CHG PPC Parent LLC 1st Lien Initial Term Loan | 4.73% (1 Mo. LIBOR + 2.75% | ) | 3/31/2025 | 11,654 | 11,675,851 | |||||||
EG Group Limited 2nd Lien Term Loan (United Kingdom)(a) | 10.359% (3 Mo. LIBOR + 8.00% | ) | 4/20/2026 | 16,995 | 16,950,388 | |||||||
EG Group Limited Facility Term Loan B (United Kingdom)(a) | 6.338% (3 Mo. LIBOR + 4.00% | ) | 2/7/2025 | 4,718 | 4,712,598 | |||||||
Foundation Building Materials, LLC Term Loan B | – | (f) | 5/9/2025 | 24,097 | 24,164,833 | |||||||
H.B. Fuller Company Commitment Term Loan | 3.948% (1 Mo. LIBOR + 2.00% | ) | 10/20/2024 | 54,842 | 54,971,708 | |||||||
Hanesbrands Inc. New Term Loan B | 3.73% (1 Mo. LIBOR + 1.75% | ) | 12/16/2024 | 9,561 | 9,638,769 | |||||||
Spectrum Holdings III Corp. 1st Lien Closing Date Term Loan | 5.23% (1 Mo. LIBOR + 3.25% | ) | 1/31/2025 | 11,607 | 11,636,067 | |||||||
Spectrum Holdings III Corp. 2nd Lien Closing Date Term Loan | 8.98% (1 Mo. LIBOR + 7.00% | ) | 1/31/2026 | 11,425 | 11,510,659 | (e) | ||||||
Total | 145,260,873 | |||||||||||
Energy 3.27% | ||||||||||||
Apergy Corp. Initial Term Loan | 4.438% (3 Mo. LIBOR + 2.50% | ) | 5/9/2025 | 28,624 | 28,748,944 |
96 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
Principal | |||||||||||||
Interest | Maturity | Amount | Fair | ||||||||||
Investments | Rate | Date | (000) | Value | |||||||||
Energy (continued) | |||||||||||||
Brazos Delaware II, LLC Initial Term Loan | 5.948% (1 Mo. LIBOR + 4.00% | ) | 5/21/2025 | $ | 29,065 | $ | 29,074,155 | ||||||
California Resources Corp. Initial Term Loan | 6.698% (1 Mo. LIBOR + 4.75% | ) | 12/31/2022 | 38,075 | 39,058,477 | ||||||||
California Resources Corp. Term Loan | 12.336% (1 Mo. LIBOR + 10.38% | ) | 12/31/2021 | 6,829 | 7,682,659 | ||||||||
Chesapeake Energy Corp. Term Loan A | 9.468% (1 Mo. LIBOR + 7.50% | ) | 8/23/2021 | 28,550 | 30,075,365 | ||||||||
Compass Power Generation, LLC Term Loan | 6.052% (3 Mo. LIBOR + 3.75% | ) | 12/20/2024 | 24,299 | 24,554,727 | ||||||||
CONSOL Energy Inc. Initial Term Loan B | 7.97% (3 Mo. LIBOR + 6.00%) - 8.32% | 10/28/2022 | 22,084 | 22,691,439 | |||||||||
Consolidated Energy Finance S.A. Initial Term Loan (Luxembourg)(a) | 4.417% (3 Mo. LIBOR + 2.50% | ) | 5/7/2025 | 14,540 | 14,567,263 | ||||||||
EMG Utica, LLC Term Loan | 5.593% (3 Mo. LIBOR + 3.75% | ) | 3/27/2020 | 15,333 | 15,428,729 | ||||||||
Frontera Generation Holdings LLC Initial Term Loan | 6.159% (3 Mo. LIBOR + 4.25% | ) | 5/2/2025 | 28,436 | 28,536,663 | ||||||||
FTS International, Inc. Initial Term Loan | 6.73% (1 Mo. LIBOR + 4.75% | ) | 4/16/2021 | 15,488 | 15,582,036 | ||||||||
Keane Group Holdings, LLC Initial Term Loan | 5.75% (1 Mo. LIBOR + 3.75% | ) | 5/25/2025 | 24,215 | 24,275,659 | ||||||||
Lucid Energy Group II Borrower, LLC Initial Term Loan | 4.934% (1 Mo. LIBOR + 3.00% | ) | 2/17/2025 | 22,643 | 22,473,178 | (e) | |||||||
McDermott International, Inc. Term Loan | 6.908% (1 Mo. LIBOR + 5.00% | ) | 5/12/2025 | 24,278 | 24,526,364 | ||||||||
Moxie Patriot LLC Construction Advances Term Loan B1 | 8.052% (3 Mo. LIBOR + 5.75% | ) | 12/19/2020 | 16,887 | 16,639,027 | ||||||||
Navitas Midstream Midland Basin, LLC Initial Term Loan | 6.434% (1 Mo. LIBOR + 4.50% | ) | 12/13/2024 | 16,347 | 16,040,523 | ||||||||
Oryx Southern Delaware Holdings LLC Initial Term Loan | 5.23% (1 Mo. LIBOR + 3.25% | ) | 2/28/2025 | 28,400 | 28,151,500 | ||||||||
Pioneer Energy Services Corp. Term Loan | 9.678% (1 Mo. LIBOR + 7.75% | ) | 11/8/2022 | 4,871 | 5,090,195 | (e) | |||||||
Preferred Proppants, LLC Term Loan | 8.052% (3 Mo. LIBOR + 5.75% | ) | 7/27/2020 | 14,226 | 13,337,152 | ||||||||
Preferred Proppants, LLC Term Loan B2 | 8.052% (3 Mo. LIBOR + 7.75% | ) | 7/27/2020 | 68 | 66,052 | ||||||||
Seadrill Operating LP Initial Term Loan | 8.302% (3 Mo. LIBOR + 6.00% | ) | 2/21/2021 | 23,908 | 20,904,657 | ||||||||
TerraForm Power Operating, LLC Specified Refinancing Term Loan | 3.98% (1 Mo. LIBOR + 2.00% | ) | 11/8/2022 | 3,701 | 3,709,200 |
See Notes to Financial Statements. | 97 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
Principal | |||||||||||||
Interest | Maturity | Amount | Fair | ||||||||||
Investments | Rate | Date | (000) | Value | |||||||||
Energy (continued) | |||||||||||||
Traverse Midstream Partners LLC Advance Term Loan | 5.85% (3 Mo. LIBOR + 4.00% | ) | 9/27/2024 | $ | 16,451 | $ | 16,490,811 | ||||||
Total | 447,704,775 | ||||||||||||
Financial 6.25% | |||||||||||||
Acrisure, LLC 1st Lien 2017-2 Refinancing Term Loan | 6.609% (3 Mo. LIBOR + 4.25% | ) | 11/22/2023 | 11,285 | 11,387,977 | ||||||||
Alliant Holdings Intermediate, LLC 2018 Initial Term Loan | 4.929% (3 Mo. LIBOR + 3.00% | ) | 5/9/2025 | 27,192 | 27,211,655 | ||||||||
AmWINS Group, Inc. 2nd Lien Term Loan | 8.73% (1 Mo. LIBOR + 6.75% | ) | 1/25/2025 | 7,602 | 7,704,652 | ||||||||
BDF Acquisition Corp. Initial Term Loan | 6.73% (1 Mo. LIBOR + 4.75% | ) | 2/12/2021 | 33,055 | 32,890,177 | (e) | |||||||
Blackhawk Network Holdings, Inc. Term Loan | – | (f) | 5/23/2025 | 31,303 | 31,361,693 | ||||||||
Blackhawk Network Holdings, Inc. Term Loan | – | (f) | 5/25/2026 | 2,903 | 2,933,844 | ||||||||
Carlisle FoodService Products, Inc. 1st Lien Initial Term Loan | 4.948% (1 Mo. LIBOR + 3.00% | ) | 3/20/2025 | 4,755 | 4,756,361 | ||||||||
Clipper Acquisitions Corp. Term Loan B1 | 4.025% (3 Mo. LIBOR + 2.00% | ) | 12/27/2024 | 7,290 | 7,303,398 | ||||||||
Communications Sales & Leasing, Inc. Shortfall Term Loan | 4.98% (1 Mo. LIBOR + 3.00% | ) | 10/24/2022 | 34,322 | 33,458,697 | ||||||||
Culligan NewCo Ltd. 1st Lien 2017 Incremental Term Loan | 5.23% (1 Mo. LIBOR + 3.25% | ) | 12/13/2023 | 15,165 | 15,174,273 | (e) | |||||||
Culligan NewCo Ltd. 1st Lien Tranche B1 Term Loan | 5.23% (1 Mo. LIBOR + 3.25% | ) | 12/13/2023 | 23,338 | 23,403,223 | ||||||||
DG Investment Intermediate Holdings 2, Inc. 1st Lien Delayed Draw Term Loan | 4.98% (1 Mo. LIBOR + 3.00% | ) | 2/3/2025 | 211 | 210,460 | ||||||||
DG Investment Intermediate Holdings 2, Inc. 1st Lien Initial Term Loan | 5.302% (3 Mo. LIBOR + 3.00% | ) | 2/3/2025 | 6,955 | 6,941,801 | ||||||||
DG Investment Intermediate Holdings 2, Inc. 2nd Lien Initial Term Loan | 9.052% (3 Mo. LIBOR + 6.75% | ) | 2/2/2026 | 12,906 | 13,099,590 | (e) | |||||||
EmployBridge, LLC Term Loan | 7.503% (3 Mo. LIBOR + 5.00% | ) | 4/18/2025 | 24,070 | 24,385,919 | ||||||||
Fly Funding II S.A.R.L. Term Loan (Luxembourg)(a) | 4.37% (3 Mo. LIBOR + 2.00% | ) | 2/9/2023 | 40,475 | 40,519,550 | ||||||||
Freedom Mortgage Corp. Initial Term Loan | 6.711% (1 Mo. LIBOR + 4.75% | ) | 2/23/2022 | 14,431 | 14,625,182 | ||||||||
Genworth Holdings, Inc. Initial Term Loan | 6.428% (3 Mo. LIBOR + 4.50% | ) | 3/7/2023 | 30,913 | 31,569,901 | ||||||||
Greenhill & Co., Inc. Term Loan | 5.668% (1 Mo. LIBOR + 3.75%) - 6.052% | 10/12/2022 | 16,095 | 16,226,117 |
98 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
Principal | |||||||||||||
Interest | Maturity | Amount | Fair | ||||||||||
Investments | Rate | Date | (000) | Value | |||||||||
Financial (continued) | |||||||||||||
Hayward Industries, Inc. 1st Lien Initial Term Loan | 5.48% (1 Mo. LIBOR + 3.50% | ) | 8/5/2024 | $ | 22,439 | $ | 22,597,115 | ||||||
Helix Gen Funding, LLC Term Loan | 5.73% (3 Mo. LIBOR + 3.75% | ) | 6/3/2024 | 12,640 | 12,697,159 | ||||||||
Hub International Limited Initial Term Loan | 5.36% (3 Mo. LIBOR + 3.00% | ) | 4/25/2025 | 100,000 | 99,951,500 | ||||||||
Institutional Shareholder Services Inc. 1st Lien Delayed Draw Term Loan | 5.797% (3 Mo. LIBOR + 3.75% | ) | 10/16/2024 | 489 | 492,259 | ||||||||
Institutional Shareholder Services Inc. 1st Lien Initial Term Loan | 6.058% (3 Mo. LIBOR + 3.75% | ) | 10/16/2024 | 5,365 | 5,400,310 | ||||||||
Janus International Group, LLC 1st Lien Initial Term Loan | 4.98% (1 Mo. LIBOR + 3.00% | ) | 2/12/2025 | 8,960 | 8,892,845 | ||||||||
LifeMiles Ltd. Initial Term Loan | 7.448% (3 Mo. LIBOR + 5.50%) - 7.831% | 8/18/2022 | 22,617 | 22,984,987 | (e) | ||||||||
Nautilus Power, LLC Term Loan | 6.23% (1 Mo. LIBOR + 4.25% | ) | 5/16/2024 | 15,570 | 15,722,465 | ||||||||
Park Intermediate Holdings LLC Term Loan | 3.426% (1 Mo. LIBOR + 1.45% | ) | 12/24/2021 | 52,917 | 52,123,245 | (e) | |||||||
Perspecta Inc. Term Loan B | – | (f) | 4/30/2025 | 14,543 | 14,593,028 | ||||||||
PricewaterhouseCoopers Public Sector LLP 1st Lien Initial Term Loan | 5.157% (3 Mo. LIBOR + 3.25% | ) | 5/1/2025 | 13,080 | 13,177,749 | (e) | |||||||
Safe Fleet Holdings LLC 1st Lien Initial Term Loan | 4.91% (1 Mo. LIBOR + 3.00% | ) | 2/3/2025 | 27,196 | 27,145,582 | ||||||||
Safe Fleet Holdings LLC 2nd Lien Initial Term Loan | 8.66% (1 Mo. LIBOR + 6.75% | ) | 2/2/2026 | 4,675 | 4,692,531 | ||||||||
Sedgwick Claims Management Services, Inc. 1st Lien Initial Term Loan | 4.73% (1 Mo. LIBOR + 2.75% | ) | 3/1/2021 | 44,815 | 44,814,699 | ||||||||
Sedgwick Claims Management Services, Inc. 2nd Lien Initial Loan | 7.73% (1 Mo. LIBOR + 5.75%) - 8.057% | 2/28/2022 | 30,374 | 30,487,516 | |||||||||
Sigma Holdco B.V. Term Loan B (Netherlands)(a) | – | (f) | 3/6/2025 | 24,352 | 24,369,412 | ||||||||
Tecostar Holdings, Inc. 1st Lien 2017 Term Loan | 5.409% (1 Mo. LIBOR + 3.50% | ) | 5/1/2024 | 21,447 | 21,608,001 | ||||||||
VFH Parent LLC Term Loan B1 | 5.558% (3 Mo. LIBOR + 3.25% | ) | 12/30/2021 | 9,261 | 9,342,165 | (e) | |||||||
Vistage International, Inc. 1st Lien Term Loan B | 5.928% (3 Mo. LIBOR + 4.00% | ) | 2/10/2025 | 14,249 | 14,355,867 | ||||||||
Werner Finco LP Initial Term Loan | 5.907% (1 Mo. LIBOR + 4.00% | ) | 7/24/2024 | 17,605 | 17,715,231 | (e) | |||||||
York Risk Services Holding Corp. Term Loan | 5.73% (1 Mo. LIBOR + 3.75% | ) | 10/1/2021 | 47,897 | 46,735,031 | ||||||||
Total | 855,063,167 |
See Notes to Financial Statements. | 99 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
Principal | |||||||||||||
Interest | Maturity | Amount | Fair | ||||||||||
Investments | Rate | Date | (000) | Value | |||||||||
Food & Drug 2.43% | |||||||||||||
Albertson’s LLC 2017-1 Term Loan B4 | 4.73% (1 Mo. LIBOR + 2.75% | ) | 8/25/2021 | $ | 4,848 | $ | 4,805,289 | ||||||
Albertson’s LLC 2017-1 Term Loan B5 | 5.292% (3 Mo. LIBOR + 3.00% | ) | 12/21/2022 | 43,700 | 43,323,883 | ||||||||
Albertson’s LLC Last Out Term Loan | – | (f) | 5/3/2023 | 12,117 | 12,148,807 | ||||||||
Amneal Pharmaceuticals LLC Initial Term Loan | 5.625% (3 Mo. LIBOR + 3.50% | ) | 5/4/2025 | 48,049 | 48,038,910 | ||||||||
Aramark Intermediate HoldCo Corp. U.S. Term Loan B1 | 3.98% (1 Mo. LIBOR + 2.00% | ) | 3/11/2025 | 28,926 | 29,002,447 | ||||||||
Keurig Green Mountain, Inc. 2017 Term Loan A | 3.063% (1 Wk. LIBOR + 1.25% | ) | 3/3/2021 | 6,504 | 6,499,861 | ||||||||
Mastronardi Produce Limited Initial Term Loan (Canada)(a) | 5.157% (3 Mo. LIBOR + 3.25% | ) | 5/1/2025 | 6,793 | 6,843,947 | ||||||||
Miller’s Ale House, Inc. Term Loan | – | (f) | 5/30/2025 | 19,373 | 19,397,216 | (e) | |||||||
Panera Bread Co. Term Loan | 3.938% (1 Mo. LIBOR + 2.00% | ) | 7/18/2022 | 43,212 | 42,617,685 | (e) | |||||||
Post Holdings, Inc. Series A Incremental Term Loan | 3.97% (1 Mo. LIBOR + 2.00% | ) | 5/24/2024 | 19,563 | 19,606,891 | ||||||||
Red Lobster Management LLC 1st Lien Initial Term Loan | 7.23% (1 Mo. LIBOR + 5.25% | ) | 7/28/2021 | 24,099 | 24,083,475 | ||||||||
Southern Graphics Inc. 1st Lien Initial Term Loan | 5.48% (1 Mo. LIBOR + 3.50% | ) | 12/31/2022 | 26,729 | 26,840,831 | ||||||||
Southern Graphics Inc. 2nd Lien Initial Term Loan | 9.48% (1 Mo. LIBOR + 7.50% | ) | 12/31/2023 | 9,480 | 9,557,025 | ||||||||
Weight Watchers International, Inc. Initial Term Loan | 6.66% (3 Mo. LIBOR + 4.75%) - 7.06% | 11/29/2024 | 39,683 | 40,243,205 | |||||||||
Total | 333,009,472 | ||||||||||||
Food/Tobacco 1.51% | |||||||||||||
1011778 B.C. Unlimited Liability Co. Term Loan B3 (Canada)(a) | 4.23% (1 Mo. LIBOR + 2.25% | ) | 2/16/2024 | 9,671 | 9,677,438 | ||||||||
CEC Entertainment, Inc. Term B Loan | 5.23% (1 Mo. LIBOR + 3.25% | ) | 2/12/2021 | 29,895 | 28,008,295 | ||||||||
H-Food Holdings, LLC Initial Term Loan | – | (f) | 5/23/2025 | 16,956 | 16,905,641 | ||||||||
JBS USA Lux S.A. Initial Term Loan | 4.678% (1 Mo. LIBOR + 2.50% | ) | 10/30/2022 | 66,617 | 66,557,538 | ||||||||
Keurig Green Mountain, Inc. Term Loan A | 3.313% (1 Wk. LIBOR + 1.50% | ) | 3/3/2021 | 41,285 | 41,276,812 | ||||||||
NPC International, Inc. 2nd Lien Initial Term Loan | 9.48% (1 Mo. LIBOR + 7.50% | ) | 4/18/2025 | 9,531 | 9,745,447 | ||||||||
Sunshine Investments B.V. Facility Term Loan B3 (Netherlands)(a) | 5.593% (3 Mo. LIBOR + 3.25% | ) | 3/28/2025 | 9,780 | 9,831,981 |
100 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
Principal | |||||||||||||
Interest | Maturity | Amount | Fair | ||||||||||
Investments | Rate | Date | (000) | Value | |||||||||
Food/Tobacco (continued) | |||||||||||||
US Foods, Inc. Initial Term Loan | 4.48% (1 Mo. LIBOR + 2.50% | ) | 6/27/2023 | $ | 24,230 | $ | 24,363,369 | ||||||
Total | 206,366,521 | ||||||||||||
Forest Products 1.02% | |||||||||||||
Berry Global, Inc. Term Loan S | 3.73% (1 Mo. LIBOR + 1.75% | ) | 2/8/2020 | 12,054 | 12,093,360 | ||||||||
Berry Global, Inc. Term Loan T | 3.73% (1 Mo. LIBOR + 1.75% | ) | 1/6/2021 | 13,201 | 13,247,982 | ||||||||
BWay Holding Co. Initial Term Loan | 5.272% (3 Mo. LIBOR + 3.25%) - 5.587% | 4/3/2024 | 51,484 | 51,676,968 | |||||||||
Klockner Pentaplast of America, Inc. Dollar Term Loan | 6.23% (1 Mo. LIBOR + 4.25% | ) | 6/30/2022 | 39,001 | 37,709,106 | ||||||||
Ranpak Corp. 2nd Lien Initial Term Loan | 9.185% (1 Mo. LIBOR + 7.25% | ) | 10/3/2022 | 79 | 79,301 | (e) | |||||||
Ranpak Corp. Tranche B1 Dollar Term Loan | 5.23% (1 Mo. LIBOR + 3.25% | ) | 10/1/2021 | 2,740 | 2,754,123 | (e) | |||||||
SIG Combibloc Holdings S.C.A. Initial Dollar Term Loan | 4.73% (1 Mo. LIBOR + 2.75% | ) | 3/11/2022 | 22,170 | 22,331,755 | ||||||||
Total | 139,892,595 | ||||||||||||
Gaming/Leisure 7.50% | |||||||||||||
24 Hour Fitness Worldwide, Inc. Term Loan B | 6.025% (3 Mo. LIBOR + 3.75% | ) | 5/30/2025 | 28,579 | 28,614,724 | ||||||||
Aristocrat Leisure Limited Term Loan B3 (Marshall Islands) | 3.842% (3 Mo. LIBOR + 1.75%) - 4.105% | 10/19/2024 | 14,363 | 14,313,019 | |||||||||
Caesars Resort Collection, LLC Term Loan B | 4.73% (1 Mo. LIBOR + 2.75% | ) | 12/23/2024 | 65,241 | 65,344,595 | ||||||||
CCM Merger, Inc. Term Loan | 4.73% (1 Mo. LIBOR + 2.75% | ) | 8/6/2021 | 12,511 | 12,567,051 | ||||||||
CEOC, LLC Term B Loan | 3.98% (1 Mo. LIBOR + 2.00% | ) | 10/7/2024 | 45,579 | 45,628,894 | ||||||||
Churchill Downs Inc. Facility Term Loan B | 3.99% (1 Mo. LIBOR + 2.00% | ) | 12/27/2024 | 8,749 | 8,806,510 | ||||||||
Cowlitz Tribal Gaming Authority Term B Loan | 12.48% (1 Mo. LIBOR + 10.50% | ) | 12/6/2021 | 20,962 | 22,795,658 | (e) | |||||||
Crown Finance US, Inc. Initial Dollar Tranche Term Loan | 4.48% (1 Mo. LIBOR + 2.50% | ) | 2/28/2025 | 43,124 | 43,014,034 | ||||||||
Eldorado Resorts, Inc. Term Loan | 4.188% (2 Mo. LIBOR + 2.25%) - 4.375% | 4/17/2024 | 11,716 | 11,762,707 | |||||||||
Equinox Holdings Inc. Term Loan B1 | 4.98% (1 Mo. LIBOR + 3.00% | ) | 3/8/2024 | 20,954 | 21,050,791 |
See Notes to Financial Statements. | 101 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
Principal | |||||||||||||
Interest | Maturity | Amount | Fair | ||||||||||
Investments | Rate | Date | (000) | Value | |||||||||
Gaming/Leisure (continued) | |||||||||||||
Equinox Holdings Inc. 2nd Lien Initial Term Loan | 8.98% (1 Mo. LIBOR + 7.00% | ) | 9/6/2024 | $ | 8,825 | $ | 9,061,069 | ||||||
ESH Hospitality, Inc. Third Repriced Term Loan | 3.98% (1 Mo. LIBOR + 2.00% | ) | 8/30/2023 | 25,636 | 25,725,861 | ||||||||
Everi Payments Inc. Term Loan B | 4.98% (1 Mo. LIBOR + 3.00% | ) | 5/9/2024 | 32,895 | 33,014,254 | ||||||||
Four Seasons Holdings Inc. 1st Lien 2013 Term Loan (Canada)(a) | 3.98% (1 Mo. LIBOR + 2.00% | ) | 11/30/2023 | 16,142 | 16,221,715 | ||||||||
Gateway Casinos & Entertainment Limited Initial Term Loan (Canada)(a) | 5.473% (3 Mo. LIBOR + 3.00% | ) | 12/1/2023 | 11,667 | 11,787,287 | ||||||||
GLP Capital, LP Incremental Tranche A1 Term Loan | 3.434% (1 Mo. LIBOR + 1.50% | ) | 7/31/2021 | 41,886 | 41,624,303 | ||||||||
Golden Entertainment, Inc. 1st Lien Facility Term Loan B | 4.98% (1 Mo. LIBOR + 3.00% | ) | 10/21/2024 | 43,910 | 44,211,831 | ||||||||
Golden Entertainment, Inc. 2nd Lien Facility Term Loan B | 8.97% (1 Mo. LIBOR + 7.00% | ) | 10/20/2025 | 19,485 | 19,910,826 | ||||||||
GVC Holdings PLC Facility Term Loan B2 (Isle of Man)(a) | 4.48% (1 Mo. LIBOR + 2.50% | ) | 3/29/2024 | 9,716 | 9,752,435 | ||||||||
Intrawest Resorts Holdings, Inc. Initial Bluebird Term Loan | 4.98% (1 Mo. LIBOR + 3.00% | ) | 7/31/2024 | 29,864 | 29,976,292 | ||||||||
K-Mac Holdings Corp. 1st Lien Initial Term Loan | 5.184% (1 Mo. LIBOR + 3.25% | ) | 3/14/2025 | 17,555 | 17,675,691 | ||||||||
K-Mac Holdings Corp. 2nd Lien Initial Term Loan | 8.684% (1 Mo. LIBOR + 6.75% | ) | 3/16/2026 | 1,945 | 1,967,494 | ||||||||
Las Vegas Sands, LLC 2018 Refinancing Term Loan | 3.73% (1 Mo. LIBOR + 1.75% | ) | 3/27/2025 | 972 | 973,482 | ||||||||
Life Time Fitness, Inc. 2017 Refinancing Term Loan | 4.73% (1 Mo. LIBOR + 2.75%) - 5.057% | 6/10/2022 | 45,772 | 45,853,965 | |||||||||
MGM Growth Properties Operating Partnership LP Term Loan B | 3.754% (1 Wk. LIBOR + 2.00% | ) | 4/25/2023 | 22,765 | 22,800,000 | ||||||||
Mohegan Tribal Gaming Authority Term Loan A | 5.73% (1 Mo. LIBOR + 3.75% | ) | 10/13/2021 | 16,595 | 16,242,505 | ||||||||
Mohegan Tribal Gaming Authority Term Loan B | 5.98% (1 Mo. LIBOR + 3.75% | ) | 10/13/2023 | 25,732 | 24,761,451 | ||||||||
NAI Entertainment Holdings LLC Tranche B Term Loan | 4.43% (3 Mo. LIBOR + 2.50% | ) | 5/8/2025 | 7,276 | 7,272,980 | ||||||||
NCL Corp. Ltd. Term Loan B | 3.673% (1 Mo. LIBOR + 1.75% | ) | 10/10/2021 | 9,756 | 9,801,303 | ||||||||
Penn National Gaming, Inc. Term A Facility Refinancing Loan | 3.73% (1 Mo. LIBOR + 1.75% | ) | 1/19/2022 | 18,050 | 18,083,934 | ||||||||
Pinnacle Entertainment, Inc. Facility Term Loan A | 3.56% (2 Mo. LIBOR + 1.50% | ) | 4/28/2021 | 7,856 | 7,864,567 |
102 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
Principal | |||||||||||||
Interest | Maturity | Amount | Fair | ||||||||||
Investments | Rate | Date | (000) | Value | |||||||||
Gaming/Leisure (continued) | |||||||||||||
Recess Holdings, Inc. 1st Lien Initial Term Loan | 6.203% (3 Mo. LIBOR + 3.75% | ) | 9/30/2024 | $ | 14,710 | $ | 14,820,119 | ||||||
Scientific Games International, Inc. Initial Term Loan B5 | 4.73% (1 Mo. LIBOR + 2.75% | ) | 8/14/2024 | 61,880 | 62,156,170 | ||||||||
Seminole Tribe of Florida 2018 Replacement Term Loan B | 3.73% (1 Mo. LIBOR + 1.75% | ) | 7/8/2024 | 45,428 | 45,722,140 | ||||||||
Stars Group Inc., (The) 2018 Dollar Term Loan (Netherlands)(a) | 5.325% (3 Mo. LIBOR + 3.00% | ) | 4/6/2025 | 62,544 | 62,684,240 | ||||||||
Station Casinos LLC Facility Term Loan B | 4.49% (1 Mo. LIBOR + 2.50% | ) | 6/8/2023 | 25,810 | 25,856,958 | ||||||||
Town Sports International, LLC Initial Term Loan | 5.476% (1 Mo. LIBOR + 3.50% | ) | 11/15/2020 | 27,445 | 27,359,074 | ||||||||
Travel Leaders Group, LLC New Incremental Term Loan | 7.001% (6 Mo. LIBOR + 4.50% | ) | 1/25/2024 | 5,665 | 5,733,319 | ||||||||
VICI Properties 1 LLC Term B Loan | 3.961% (1 Mo. LIBOR + 2.00% | ) | 12/20/2024 | 34,047 | 34,094,360 | ||||||||
Wyndham Hotels & Resorts, Inc. Term Loan B | – | (f) | 5/30/2025 | 25,113 | 25,233,291 | ||||||||
Wynn America, LLC Extended Facility Term Loan | 3.74% (1 Mo. LIBOR + 1.75% | ) | 12/31/2021 | 34,931 | 34,931,000 | ||||||||
Total | 1,027,071,899 | ||||||||||||
Healthcare 5.51% | |||||||||||||
Air Methods Corp. Initial Term Loan | 5.802% (3 Mo. LIBOR + 3.50% | ) | 4/22/2024 | 13,522 | 13,460,668 | ||||||||
Catalent Pharma Solutions, Inc. Dollar Term Loan | 4.23% (1 Mo. LIBOR + 2.25% | ) | 5/20/2024 | 7,347 | 7,385,233 | ||||||||
Change Healthcare Holdings, Inc. Closing Date Term Loan | 4.73% (1 Mo. LIBOR + 2.75% | ) | 3/1/2024 | 40,458 | 40,488,708 | ||||||||
CHS/Community Health Systems, Inc. Incremental 2019 Term Loan G | 5.307% (3 Mo. LIBOR + 3.00% | ) | 12/31/2019 | 49,743 | 49,559,763 | ||||||||
CHS/Community Health Systems, Inc. Incremental 2021 Term Loan H | 5.557% (3 Mo. LIBOR + 3.25% | ) | 1/27/2021 | 4,784 | 4,667,580 | ||||||||
Concentra Inc. 1st Lien Tranche B1 Term Loan | 4.66% (1 Mo. LIBOR + 2.75% | ) | 6/1/2022 | 33,180 | 33,338,932 | ||||||||
CP VI Bella Midco, LLC 1st Lien Initial Term Loan | 4.98% (1 Mo. LIBOR + 3.00% | ) | 12/27/2024 | 14,161 | 14,129,569 | ||||||||
CP VI Bella Midco, LLC 2nd Lien Initial Loan | 8.73% (1 Mo. LIBOR + 6.75% | ) | 12/29/2025 | 7,710 | 7,658,574 | ||||||||
Diplomat Pharmacy, Inc. Initial Term Loan B | 6.49% (1 Mo. LIBOR + 4.50% | ) | 12/20/2024 | 12,800 | 12,960,144 | ||||||||
Envision Healthcare Corp. Initial Term Loan | 4.99% (1 Mo. LIBOR + 3.00% | ) | 12/1/2023 | 21,658 | 21,739,435 |
See Notes to Financial Statements. | 103 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
Principal | |||||||||||||
Interest | Maturity | Amount | Fair | ||||||||||
Investments | Rate | Date | (000) | Value | |||||||||
Healthcare (continued) | |||||||||||||
FHC Health Systems, Inc. Initial Term Loan | 5.98% (1 Mo. LIBOR + 4.00% | ) | 12/23/2021 | $ | 21,048 | $ | 19,785,044 | ||||||
Genoa, a QoL Healthcare Co., LLC 1st Lien Amendment No. 1 Term Loan | 5.23% (1 Mo. LIBOR + 3.25% | ) | 10/30/2023 | 10,827 | 10,906,148 | ||||||||
Genoa, a QoL Healthcare Co., LLC 2nd Lien Initial Term Loan | 9.98% (1 Mo. LIBOR + 8.00% | ) | 10/28/2024 | 2,430 | 2,478,600 | ||||||||
Grifols Worldwide Operations Limited Dollar Tranche A Term Loan | 3.505% (1 Wk. . LIBOR + 1.75% | ) | 1/31/2023 | 1,641 | 1,643,378 | ||||||||
Grifols Worldwide Operations Limited Tranche B Term Loan | 4.005% (1 Wk. LIBOR + 2.25% | ) | 1/31/2025 | 39,215 | 39,377,632 | ||||||||
HCA Inc. Tranche B10 Term Loan | 3.98% (1 Mo. LIBOR + 2.00% | ) | 3/13/2025 | 6,316 | 6,369,528 | ||||||||
Heartland Dental, LLC Initial Term Loan | 5.73% (1 Mo. LIBOR + 3.75% | ) | 4/30/2025 | 14,766 | 14,812,221 | ||||||||
Jaguar Holding Co. I, LLC 2018 Term Loan | 4.48% (1 Mo. LIBOR + 2.50%) - 4.802% | 8/18/2022 | 32,430 | 32,456,105 | |||||||||
Kindred Healthcare, Inc. New Term Loan | – | (f) | 4/9/2021 | 14,527 | 14,536,079 | (e) | |||||||
MPH Acquisition Holdings LLC Initial Term Loan | 5.052% (3 Mo. LIBOR + 2.75% | ) | 6/7/2023 | 28,659 | 28,746,659 | ||||||||
NVA Holdings, Inc. 1st Lien Term Loan B3 | 5.052% (3 Mo. LIBOR + 2.75% | ) | 2/2/2025 | 30,843 | 30,949,100 | ||||||||
Ortho-Clinical Diagnostics Holdings S.A.R.L. Initial Term Loan | 5.729% (1 Mo. LIBOR + 3.75% | ) | 6/30/2021 | 48,528 | 48,649,391 | ||||||||
Owens & Minor, Inc. Term Loan B | 6.48% (1 Mo. LIBOR + 4.50% | ) | 5/2/2025 | 24,233 | 23,788,809 | ||||||||
RPI Finance Trust Initial Term Loan B6 | 4.302% (3 Mo. LIBOR + 2.00% | ) | 3/27/2023 | 43,676 | 43,855,136 | ||||||||
Select Medical Corp. Tranche B Term Loan | 4.68% (3 Mo. LIBOR + 3.50%) - 6.50% | 3/1/2021 | 25,327 | 25,490,784 | |||||||||
Surgery Center Holdings, Inc. Initial Term Loan | 5.35% (2 Mo. LIBOR + 3.25% | ) | 9/2/2024 | 24,210 | 24,214,598 | ||||||||
Team Health Holdings, Inc. Initial Term Loan | 4.73% (1 Mo. LIBOR + 2.75% | ) | 2/6/2024 | 30,950 | 29,969,863 | ||||||||
Titan Acquisition Limited Initial Term Loan (United Kingdom)(a) | 5.056% (2 Mo. LIBOR + 3.00% | ) | 3/28/2025 | 55,931 | 55,631,769 | ||||||||
U.S. Renal Care, Inc. 1st Lien Initial Term Loan | 6.552% (3 Mo. LIBOR + 4.25% | ) | 12/30/2022 | 42,904 | 42,773,968 | ||||||||
Valeant Pharmaceuticals International, Inc. Initial Term Loan (Canada)(a) | – | (f) | 6/2/2025 | 19,376 | 19,428,121 | ||||||||
Valeant Pharmaceuticals International, Inc. Series F4 Tranche B Term Loan (Canada)(a) | – | (f) | 4/1/2022 | 9,690 | 9,719,700 |
104 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
Principal | |||||||||||||
Interest | Maturity | Amount | Fair | ||||||||||
Investments | Rate | Date | (000) | Value | |||||||||
Healthcare (continued) | |||||||||||||
Wink Holdco, Inc. 1st Lien Initial Term Loan | 4.98% (1 Mo. LIBOR + 3.00% | ) | 12/2/2024 | $ | 19,524 | $ | 19,463,543 | ||||||
Wink Holdco, Inc. 2nd Lien Initial Term Loan | 8.74% (1 Mo. LIBOR + 6.75% | ) | 12/1/2025 | 4,485 | 4,486,884 | ||||||||
Total | 754,921,666 | ||||||||||||
Housing 1.52% | |||||||||||||
Builders FirstSource, Inc. Refinancing Term Loan | 5.302% (3 Mo. LIBOR + 3.00% | ) | 2/29/2024 | 25,321 | 25,426,872 | ||||||||
C.H.I. Overhead Doors, Inc. 1st Lien Initial Term Loan | 5.23% (3 Mo. LIBOR + 3.25% | ) | 7/29/2022 | 11,917 | 11,987,839 | ||||||||
CPG International LLC New Term Loan | 5.593% (3 Mo. LIBOR + 3.75% | ) | 5/5/2024 | 21,926 | 22,070,084 | ||||||||
GYP Holdings III Corp. 1st Lien 2017 Incremental Term Loan | 5.359% (3 Mo. LIBOR + 3.00% | ) | 4/1/2023 | 18,671 | 18,684,530 | ||||||||
Invitation Homes Operating Partnership LP Term Loan A | 3.734% (1 Mo. LIBOR + 1.80% | ) | 2/7/2022 | 45,346 | 44,495,762 | ||||||||
LBM Borrower, LLC 1st Lien Tranche C Term Loan | 5.847% (2 Mo. LIBOR + 3.75% | ) | 8/20/2022 | 17,613 | 17,741,581 | ||||||||
NCI Building Systems, Inc. Initial Term Loan | 3.98% (1 Mo. LIBOR + 2.00% | ) | 2/7/2025 | 4,869 | 4,876,620 | ||||||||
PGT Innovations, Inc. Initial Term Loan | 5.48% (1 Mo. LIBOR + 3.50%) - 5.591% | 2/16/2022 | 3,224 | 3,263,857 | (e) | ||||||||
Realogy Group LLC Extended 2025 Term Loan | 4.179% (1 Mo. LIBOR + 2.25% | ) | 2/8/2025 | 9,994 | 10,057,947 | ||||||||
Summit Materials, LLC New Term Loan | 3.98% (1 Mo. LIBOR + 2.00% | ) | 11/21/2024 | 18,309 | 18,457,469 | ||||||||
USIC Holdings, Inc. 1st Lien New Term Loan | 5.277% (3 Mo. LIBOR + 3.25% | ) | 12/8/2023 | 27,984 | 28,150,543 | ||||||||
USIC Holdings, Inc. Incremental Term Loan B | – | (f) | 12/8/2023 | 2,785 | 2,800,587 | ||||||||
Total | 208,013,691 | ||||||||||||
Information Technology 10.49% | |||||||||||||
Altran Technologies Facility Term Loan B(c) | – | (f) | 3/20/2025 | EUR | 9,079 | 10,671,867 | |||||||
Altran Technologies Facility Term Loan B (France)(a) | 2.75% (2 Mo. LIBOR + 2.75% | ) | 3/20/2025 | $ | 9,739 | 9,802,303 | |||||||
Avaya, Inc. Initial Term Loan | 6.684% (1 Mo. LIBOR + 4.75% | ) | 12/15/2024 | 13,328 | 13,424,322 | ||||||||
Barracuda Networks, Inc. 1st Lien Term Loan | 5.168% (1 Mo. LIBOR + 3.25% | ) | 2/12/2025 | 16,459 | 16,565,243 | ||||||||
Barracuda Networks, Inc. 2nd Lien Term Loan | 9.168% (1 Mo. LIBOR + 7.25% | ) | 2/12/2026 | 11,116 | 11,310,530 |
See Notes to Financial Statements. | 105 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
Principal | |||||||||||||
Interest | Maturity | Amount | Fair | ||||||||||
Investments | Rate | Date | (000) | Value | |||||||||
Information Technology (continued) | |||||||||||||
BMC Software Finance, Inc. Initial Dollar Term Loan B2 | 5.23% (1 Mo. LIBOR + 3.25% | ) | 9/10/2022 | $ | 28,595 | $ | 28,665,519 | ||||||
Cavium, Inc. Term Loan B1 | 4.218% (1 Mo. LIBOR + 2.25% | ) | 8/16/2022 | 10,168 | 10,193,276 | (e) | |||||||
CDW LLC Term Loan | 4.06% (3 Mo. LIBOR + 1.75% | ) | 8/17/2023 | 3,206 | 3,225,127 | ||||||||
Cypress Intermediate Holdings III, Inc. 1st Lien Initial Term Loan | 4.99% (1 Mo. LIBOR + 3.00% | ) | 4/29/2024 | 35,544 | 35,674,495 | ||||||||
Cypress Intermediate Holdings III, Inc. 2nd Lien Initial Term Loan | 8.73% (1 Mo. LIBOR + 6.75% | ) | 4/28/2025 | 6,303 | 6,354,243 | ||||||||
Dell International LLC Refinancing Term Loan B | 3.99% (1 Mo. LIBOR + 2.00% | ) | 9/7/2023 | 72,042 | 72,055,383 | ||||||||
Dell International LLC Replacement Term Loan A2 | 3.74% (1 Mo. LIBOR + 1.75% | ) | 9/7/2021 | 144,019 | 144,083,981 | ||||||||
DigiCert, Inc. 1st Lien Term Loan | 6.73% (1 Mo. LIBOR + 4.75% | ) | 10/31/2024 | 9,780 | 9,778,924 | ||||||||
Epicor Software Corp. Term Loan B | 5.24% (1 Mo. LIBOR + 3.25% | ) | 6/1/2022 | 35,831 | 36,064,556 | ||||||||
First Data Corp. 2024A New Dollar Term Loan | 3.965% (1 Mo. LIBOR + 2.00% | ) | 4/26/2024 | 72,450 | 72,494,965 | ||||||||
FleetCor Technologies Operating Co., LLC Term Loan A | 3.48% (1 Mo. LIBOR + 1.50% | ) | 8/2/2022 | 6,752 | 6,777,195 | ||||||||
Gopher Resource, LLC Initial Term Loan | 5.478% (3 Mo. LIBOR + 3.25% | ) | 3/6/2025 | 19,996 | 20,233,465 | ||||||||
Hyland Software, Inc. 1st Lien Term Loan | 5.23% (1 Mo. LIBOR + 3.25% | ) | 7/1/2022 | 10,672 | 10,767,705 | ||||||||
Hyland Software, Inc. 2nd Lien Initial Loan | 8.98% (1 Mo. LIBOR + 7.00% | ) | 7/7/2025 | 29,561 | 30,152,231 | ||||||||
I-Logic Technologies Bidco Limited Initial Dollar Term Loan (United Kingdom)(a) | 6.302% (3 Mo. LIBOR + 4.00% | ) | 12/21/2024 | 19,208 | 19,376,338 | (e) | |||||||
Infor (US), Inc. Tranche B6 Term Loan | 4.73% (1 Mo. LIBOR + 2.75% | ) | 2/1/2022 | 53,916 | 53,998,612 | ||||||||
Intralinks, Inc. 1st Lien Initial Term Loan | 5.99% (1 Mo. LIBOR + 4.00% | ) | 11/14/2024 | 15,201 | 15,251,598 | ||||||||
KeyW Corp., (The) Term Loan | 6.428% (1 Mo. LIBOR + 4.50% | ) | 5/8/2024 | 14,258 | 14,382,757 | (e) | |||||||
Kronos Inc. 1st Lien Incremental Term Loan | 5.056% (2 Mo. LIBOR + 3.00%) - 5.358% | 11/1/2023 | 24,088 | 24,235,445 | |||||||||
Kronos Inc. 2nd Lien Initial Term Loan | 10.608% (3 Mo. LIBOR + 8.25% | ) | 11/1/2024 | 5,875 | 6,104,742 | ||||||||
Laird PLC Term Loan(a) | – | (f) | 5/2/2025 | 14,539 | 14,542,053 | ||||||||
MA FinanceCo., LLC Tranche B3 Term Loan | 4.73% (1 Mo. LIBOR + 2.75% | ) | 6/21/2024 | 6,923 | 6,912,876 |
106 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
Principal | |||||||||||||
Interest | Maturity | Amount | Fair | ||||||||||
Investments | Rate | Date | (000) | Value | |||||||||
Information Technology (continued) | |||||||||||||
MacDonald, Dettwiler and Associates Ltd. Initial Term Loan B (Canada)(a) | 4.74% (1 Mo. LIBOR + 2.75% | ) | 10/4/2024 | $ | 23,550 | $ | 23,579,312 | ||||||
Marketo, Inc. Term Loan | 5.613% (3 Mo. LIBOR + 3.25% | ) | 2/7/2025 | 20,951 | 20,895,375 | ||||||||
McAfee, LLC Closing Date USD Term Loan | 6.468% (1 Mo. LIBOR + 4.50% | ) | 9/30/2024 | 25,546 | 25,772,817 | ||||||||
Microchip Technology Inc. Initial Term Loan | – | (f) | 5/29/2025 | 40,083 | 40,368,591 | ||||||||
Numericable U.S. LLC Dollar Term Loan TLB12 (France)(a) | 5.348% (3 Mo. LIBOR + 3.00% | ) | 1/31/2026 | 7,298 | 7,205,089 | ||||||||
Omnitracs, LLC Term Loan | 5.021% (3 Mo. LIBOR + 2.75% | ) | 3/21/2025 | 10,688 | 10,644,607 | ||||||||
ON Semiconductor Corp. 2017 New Replacement Term Loan B2 | 3.73% (1 Mo. LIBOR + 1.75% | ) | 3/31/2023 | 19,706 | 19,771,633 | ||||||||
Peak 10 Holding Corp. 1st Lien Initial Term Loan | 5.802% (3 Mo. LIBOR + 3.50% | ) | 8/1/2024 | 36,681 | 36,233,538 | ||||||||
Peak 10 Holding Corp. 2nd Lien Initial Term Loan | 9.608% (3 Mo. LIBOR + 7.25% | ) | 8/1/2025 | 22,760 | 22,958,717 | ||||||||
Prometric Holdings Inc. 1st Lien Initial Term Loan | 4.99% (1 Mo. LIBOR + 3.00% | ) | 1/29/2025 | 9,741 | 9,807,969 | ||||||||
Quest Software US Holdings Inc. 1st Lien Initial Term Loan | 6.576% (3 Mo. LIBOR + 4.25% | ) | 5/16/2025 | 4,844 | 4,859,137 | ||||||||
Rackspace Hosting, Inc. 1st Lien Term Loan B | 5.032% (3 Mo. LIBOR + 3.00%) - 5.363% | 11/3/2023 | 77,724 | 77,311,359 | |||||||||
Renaissance Learning, Inc. Term Loan | – | (f) | 5/30/2025 | 11,624 | 11,648,236 | ||||||||
RP Crown Parent, LLC Initial Term Loan | 4.73% (1 Mo. LIBOR + 2.75% | ) | 10/12/2023 | 15,929 | 16,012,992 | ||||||||
Seattle SpinCo, Inc. Initial Term Loan | 4.73% (1 Mo. LIBOR + 2.75% | ) | 6/21/2024 | 46,848 | 46,781,466 | ||||||||
SolarWinds Holdings, Inc. 1st Lien 2018 Refinancing Term Loan | 4.98% (1 Mo. LIBOR + 3.00% | ) | 2/5/2024 | 56,241 | 56,539,717 | ||||||||
Sophia, LP Term Loan B | 5.552% (3 Mo. LIBOR + 3.25% | ) | 9/30/2022 | 54,113 | 54,252,797 | ||||||||
SS&C Technologies Holdings, Inc. Term Loan B3 (Luxembourg) | 4.48% (1 Mo. LIBOR + 2.50% | ) | 4/16/2025 | 66,858 | 67,314,232 | ||||||||
SS&C Technologies Holdings, Inc. Term Loan B4 (Luxembourg)(a) | 4.48% (1 Mo. LIBOR + 2.50% | ) | 4/16/2025 | 25,032 | 25,202,450 | ||||||||
TierPoint, LLC 1st Lien Initial Term Loan | 5.73% (1 Mo. LIBOR + 3.75% | ) | 5/6/2024 | 24,963 | 24,253,414 | ||||||||
TierPoint, LLC 2nd Lien Initial Term Loan | 9.23% (1 Mo. LIBOR + 7.25% | ) | 5/5/2025 | 6,324 | 6,260,760 | ||||||||
West Corp. Incremental Term Loan B1 | 5.48% (1 Mo. LIBOR + 3.50% | ) | 10/10/2024 | 9,710 | 9,645,817 | ||||||||
West Corp. Initial Term Loan B | 5.98% (1 Mo. LIBOR + 4.00% | ) | 10/10/2024 | 53,024 | 53,038,026 |
See Notes to Financial Statements. | 107 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
Principal | |||||||||||||
Interest | Maturity | Amount | Fair | ||||||||||
Investments | Rate | Date | (000) | Value | |||||||||
Information Technology (continued) | |||||||||||||
Western Digital Corp. U.S. Term Loan B4 | 3.71% (1 Mo. LIBOR + 1.75% | ) | 4/29/2023 | $ | 32,901 | $ | 33,020,670 | ||||||
Zotec Partners, LLC Term Loan | 6.934% (1 Mo. LIBOR + 5.00% | ) | 2/14/2024 | 29,158 | 29,376,685 | (e) | |||||||
Total | 1,435,855,157 | ||||||||||||
Manufacturing 5.91% | |||||||||||||
ABG Intermediate Holdings 2 LLC 1st Lien Initial Term Loan | 5.802% (3 Mo. LIBOR + 3.50% | ) | 9/27/2024 | 20,457 | 20,601,646 | ||||||||
Airxcel, Inc. 1st Lien Initial Term Loan | 6.468% (1 Mo. LIBOR + 4.50% | ) | 4/28/2025 | 12,610 | 12,646,821 | ||||||||
Alison US LLC 1st Lien Initial Dollar Term Loan B1 (Luxembourg)(a) | 6.859% (3 Mo. LIBOR + 4.50% | ) | 8/29/2021 | 7,638 | 7,557,266 | ||||||||
American Axle & Manufacturing, Inc. Tranche B Term Loan | 4.01% (1 Wk. LIBOR + 2.25% | ) | 4/6/2024 | 56,581 | 56,731,300 | ||||||||
ARVOS BidCo S.A.R.L. 1st Lien Initial Dollar Term Loan B2 (Luxembourg)(a) | 6.859% (3 Mo. LIBOR + 4.50% | ) | 8/29/2021 | 7,638 | 7,557,266 | ||||||||
Associated Asphalt Partners, LLC Tranche B Term Loan | – | (f) | 4/5/2024 | 14,886 | 14,461,359 | ||||||||
Bright Bidco B.V. 2018 Refinancing Term Loan B (Netherlands)(a) | 5.48% (3 Mo. LIBOR + 3.50%) - 5.802% | 6/30/2024 | 55,608 | 55,552,182 | |||||||||
CH Hold Corp. 2nd Lien Initial Term Loan | 9.23% (1 Mo. LIBOR + 7.25% | ) | 2/3/2025 | 2,625 | 2,690,625 | (e) | |||||||
Crosby US Acquisition Corp. 1st Lien Initial Term Loan | 4.953% (1 Mo. LIBOR + 3.00% | ) | 11/23/2020 | 44,829 | 44,003,030 | ||||||||
Crosby US Acquisition Corp. 2nd Lien Initial Term Loan | 7.953% (1 Mo. LIBOR + 6.00% | ) | 11/22/2021 | 4,863 | 4,796,134 | ||||||||
Dayco Products LLC Term Loan | 7.307% (3 Mo. LIBOR + 5.00% | ) | 5/19/2023 | 24,880 | 25,035,188 | (e) | |||||||
DiversiTech Holdings, Inc. 1st Lien Tranche B1 Term Loan | 5.31% (3 Mo. LIBOR + 3.00% | ) | 6/3/2024 | 19,592 | 19,555,081 | ||||||||
Electrical Components International, Inc. Term Loan | 7.052% (3 Mo. LIBOR + 4.75% | ) | 5/28/2021 | 27,289 | 27,357,435 | ||||||||
EXC Holdings III Corp. 1st Lien Initial Dollar Term Loan | 5.161% (6 Mo. LIBOR + 3.50% | ) | 12/2/2024 | 19,616 | 19,820,234 | ||||||||
EXC Holdings III Corp. 2nd Lien Initial Term Loan | 9.161% (3 Mo. LIBOR + 7.50% | ) | 12/1/2025 | 17,968 | 18,439,660 | (e) | |||||||
Forterra Finance, LLC Replacement Term Loan | 4.98% (1 Mo. LIBOR + 3.00% | ) | 10/25/2023 | 15,306 | 14,373,947 | ||||||||
FPC Holdings, Inc. 1st Lien Term Loan B1 | 6.30% (3 Mo. LIBOR + 4.00% | ) | 11/18/2022 | 30,984 | 31,177,650 |
108 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
Principal | |||||||||||||
Interest | Maturity | Amount | Fair | ||||||||||
Investments | Rate | Date | (000) | Value | |||||||||
Manufacturing (continued) | |||||||||||||
FPC Holdings, Inc. 2nd Lien Term Loan B1 | 10.30% (3 Mo. LIBOR + 8.00% | ) | 5/19/2023 | $ | 8,738 | $ | 8,650,620 | ||||||
Gardner Denver, Inc. Tranche B1 Dollar Term Loan | 5.052% (3 Mo. LIBOR + 2.75% | ) | 7/30/2024 | 32,168 | 32,354,125 | ||||||||
Gates Global LLC Initial Dollar Term Loan B2 | 5.052% (3 Mo. LIBOR + 2.75% | ) | 4/1/2024 | 13,195 | 13,277,004 | ||||||||
GYP Holdings III Corp. 1st Lien 2018 Incremental Term Loan | – | (f) | 6/1/2025 | 14,531 | 14,541,898 | ||||||||
Jason, Inc. 1st Lien Initial Term Loan | 6.556% - 6.802% | 6/30/2021 | 26,968 | 26,608,638 | |||||||||
Jason, Inc. 2nd Lien Initial Term Loan | 10.302% (3 Mo. LIBOR + 8.00% | ) | 6/30/2022 | 1,088 | 1,005,353 | ||||||||
KBR, Inc. Term Loan B | 5.71% (1 Mo. LIBOR + 3.75% | ) | 4/25/2025 | 26,703 | 26,811,548 | ||||||||
LTI Holdings, Inc. 1st Lien Initial Term Loan | 6.73% (1 Mo. LIBOR + 4.75% | ) | 5/16/2024 | 27,052 | 27,204,360 | ||||||||
LTI Holdings, Inc. 2nd Lien Initial Term Loan | 10.73% (1 Mo. LIBOR + 8.75% | ) | 5/16/2025 | 12,572 | 12,760,580 | (e) | |||||||
Milacron LLC Term Loan B | 4.48% (1 Mo. LIBOR + 2.50% | ) | 9/28/2023 | 20,274 | 20,330,516 | ||||||||
Pelican Products, Inc. 1st Lien Term Loan | 5.407% (3 Mo. LIBOR + 3.50% | ) | 5/1/2025 | 18,118 | 18,219,914 | ||||||||
Pelican Products, Inc. 2nd Lien Term Loan | 9.657% (3 Mo. LIBOR + 7.75% | ) | 5/1/2026 | 1,163 | 1,178,991 | ||||||||
Pisces Midco, Inc. Initial Term Loan | 6.089% (3 Mo. LIBOR + 3.75% | ) | 4/12/2025 | 29,130 | 29,246,520 | ||||||||
Plaze, Inc. Term Loan | 5.625% (3 Mo. LIBOR + 3.50%) - 5.808% | 7/31/2022 | 17,000 | 17,134,189 | |||||||||
Pro Mach Group, Inc. 1st Lien Initial Term Loan | 5.035% (3 Mo. LIBOR + 3.00% | ) | 3/7/2025 | 21,742 | 21,701,091 | ||||||||
ProAmpac PG Borrower LLC 1st Lien Initial Term Loan | 5.409% (1 Mo. LIBOR + 3.50%) - 5.858% | 11/20/2023 | 9,625 | 9,691,220 | |||||||||
RBS Global, Inc. Refinancing Term Loan | 4.211% (1 Mo. LIBOR + 2.25% | ) | 8/21/2024 | 16,343 | 16,432,972 | ||||||||
Shape Technologies Group, Inc. Initial Term Loan | 4.948% (6 Mo. LIBOR + 3.00%) - 5.499% | 4/20/2025 | 11,632 | 11,682,890 | (e) | ||||||||
SRS Distribution Inc. Initial Term Loan | 5.58% (3 Mo. LIBOR + 3.25% | ) | 5/23/2025 | 23,251 | 23,173,458 | ||||||||
Unifrax I LLC 2nd Lien Initial Term Loan | 9.802% (3 Mo. LIBOR + 7.50% | ) | 11/7/2025 | 7,804 | 7,914,583 | ||||||||
Unifrax I LLC Initial Dollar Term Loan | 5.802% (3 Mo. LIBOR + 3.50% | ) | 4/4/2024 | 25,467 | 25,694,767 | ||||||||
Utex Industries, Inc. 1st Lien Initial Term Loan | 5.98% | 5/21/2021 | 38,441 | 38,210,114 |
See Notes to Financial Statements. | 109 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Manufacturing (continued) | ||||||||||||
Utex Industries, Inc. 2nd Lien Initial Term Loan | 9.23% (1 Mo. LIBOR + 7.25% | ) | 5/20/2022 | $ | 22,775 | $ | 22,395,455 | |||||
Total | 808,577,630 | |||||||||||
Media/Telecommunications 11.27% | ||||||||||||
Altice Financing S.A. March 2017 Refinancing Term Loan (Luxembourg)(a) | 5.098% (3 Mo. LIBOR + 2.75% | ) | 7/15/2025 | 13,476 | 13,295,571 | |||||||
Altice US Finance I Corp. March 2017 Refinancing Term Loan | 4.23% (1 Mo. LIBOR + 2.25% | ) | 7/28/2025 | 34,128 | 34,047,211 | |||||||
CBS Radio Inc. Additional Term Loan B1 | 4.698% (1 Mo. LIBOR + 2.75% | ) | 11/18/2024 | 11,443 | 11,356,681 | |||||||
CenturyLink, Inc. Initial Term B Loan | 4.73% (1 Mo. LIBOR + 2.75% | ) | 1/31/2025 | 75,300 | 74,453,251 | |||||||
Charter Communications Operating, LLC Term B Loan | 3.99% (1 Mo. LIBOR + 2.00% | ) | 4/30/2025 | 118,332 | 118,695,708 | |||||||
Cogeco Communications (USA) II LP Term Loan B | 4.355% (1 Mo. LIBOR + 2.38% | ) | 1/3/2025 | 19,380 | 19,361,880 | |||||||
Cologix Holdings, Inc. 1st Lien Initial Term Loan (Canada) | 4.961% (1 Mo. LIBOR + 3.00% | ) | 3/20/2024 | 14,921 | 14,946,649 | |||||||
Consolidated Communications, Inc. Initial Term Loan | 4.99% (1 Mo. LIBOR + 3.00% | ) | 10/5/2023 | 12,124 | 12,083,054 | |||||||
CSC Holdings, LLC January 2018 Incremental Term Loan | 4.419% (1 Mo. LIBOR + 2.50% | ) | 1/25/2026 | 24,353 | 24,349,225 | |||||||
CSC Holdings, LLC March 2017 Refinancing Term Loan | 4.169% (1 Mo. LIBOR + 2.25% | ) | 7/17/2025 | 69,176 | 69,046,730 | |||||||
Cyxtera DC Holdings, Inc. 1st Lien Initial Term Loan | 5.36% (3 Mo. LIBOR + 3.00% | ) | 5/1/2024 | 39,097 | 39,169,866 | |||||||
Cyxtera DC Holdings, Inc. 2nd Lien Initial Term Loan | 9.61% (3 Mo. LIBOR + 7.25% | ) | 5/1/2025 | 26,341 | 26,160,215 | |||||||
Formula One Management Limited Facility Term Loan B3 (Luxembourg)(a) | 4.48% (1 Mo. LIBOR + 2.50% | ) | 2/1/2024 | 63,653 | 63,348,578 | |||||||
Frontier Communications Corp. Initial Loan | 4.74% (1 Mo. LIBOR + 2.75% | ) | 3/31/2021 | 22,085 | 21,857,559 | |||||||
Frontier Communications Corp. Term Loan B1 | 5.74% (1 Mo. LIBOR + 3.75% | ) | 6/15/2024 | 26,727 | 26,554,892 | |||||||
Getty Images, Inc. Initial Term Loan | 5.802% (3 Mo. LIBOR + 3.50% | ) | 10/18/2019 | 41,012 | 39,859,055 | |||||||
Hargray Communications Group, Inc. Initial Term Loan | 4.98% (1 Mo. LIBOR + 3.00% | ) | 5/16/2024 | 16,531 | 16,606,581 | |||||||
iHeartCommunications, Inc. Tranche E Term Loan | – | (f) | 7/30/2019 | 82,584 | 64,982,970 | |||||||
Intelsat Jackson Holdings S.A. Tranche B3 Term Loan (Luxembourg)(a) | 5.718% (1 Mo. LIBOR + 3.75% | ) | 11/27/2023 | 37,828 | 38,024,327 |
110 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Media/Telecommunications (continued) | ||||||||||||
Intelsat Jackson Holdings S.A. Tranche B4 Term Loan (Luxembourg)(a) | 6.468% (1 Mo. LIBOR + 4.50% | ) | 1/2/2024 | $ | 4,872 | $ | 5,056,430 | |||||
Level 3 Financing, Inc. 2024 Tranche B Term Loan | 4.211% (1 Mo. LIBOR + 2.25% | ) | 2/22/2024 | 31,473 | 31,543,027 | |||||||
Lions Gate Capital Holdings LLC Term Loan B | 4.211% (1 Mo. LIBOR + 2.25% | ) | 3/24/2025 | 29,162 | 29,171,186 | |||||||
MediArena Acquisition B.V. 1st Lien Dollar Term Loan B (Netherlands)(a) | 8.058% (3 Mo. LIBOR + 5.75% | ) | 8/13/2021 | 20,450 | 20,440,693 | |||||||
MediArena Acquisition B.V. 2nd Lien Dollar Term Loan B (Netherlands)(a) | 11.308% (3 Mo. LIBOR + 9.00% | ) | 8/13/2022 | 21,159 | 21,103,458 | |||||||
Meredith Corp. Term Loan | 4.98% (1 Mo. LIBOR + 3.00% | ) | 1/31/2025 | 14,613 | 14,691,545 | |||||||
Mission Broadcasting, Inc. Term Loan B2 | 4.407% (1 Mo. LIBOR + 2.50% | ) | 1/17/2024 | 3,562 | 3,576,707 | |||||||
Nexstar Broadcasting, Inc. Term Loan B2 | 4.407% (1 Mo. LIBOR + 2.50% | ) | 1/17/2024 | 27,737 | 27,852,254 | |||||||
Nielsen Finance LLC Term Loan B4 | 3.928% (1 Mo. LIBOR + 2.00% | ) | 10/4/2023 | 11,667 | �� | 11,700,724 | ||||||
Radiate Holdco, LLC Closing Date Term Loan | 4.98% (1 Mo. LIBOR + 3.00% | ) | 2/1/2024 | 40,789 | 40,251,195 | |||||||
SBA Senior Finance II LLC Initial Term Loan | 3.99% (1 Mo. LIBOR + 2.00% | ) | 4/11/2025 | 12,674 | 12,674,627 | |||||||
Sinclair Television Group, Inc. Term Loan B | – | (f) | 12/12/2024 | 35,801 | 35,834,653 | |||||||
Sinclair Television Group, Inc. Tranche B Term Loan | 4.24% (1 Mo. LIBOR + 2.25% | ) | 1/3/2024 | 33,086 | 33,141,312 | |||||||
SMG US Midco 2, Inc. 1st Lien Initial Term Loan | 5.23% (3 Mo. LIBOR + 3.25% | ) | 1/23/2025 | 23,713 | 23,841,524 | |||||||
SMG US Midco 2, Inc. 2nd Lien Initial Term Loan | 8.98% (1 Mo. LIBOR + 7.00% | ) | 1/23/2026 | 7,534 | 7,670,687 | |||||||
Sprint Communications, Inc. Initial Term Loan | 4.50% (1 Mo. LIBOR + 2.50% | ) | 2/2/2024 | 75,890 | 75,975,844 | |||||||
Syniverse Holdings, Inc. Tranche C Term Loan | 6.928% (1 Mo. LIBOR + 5.00% | ) | 3/9/2023 | 24,298 | 24,388,875 | |||||||
Telenet Financing USD LLC Facility Term Loan AL | 4.419% (1 Mo. LIBOR + 2.50% | ) | 3/1/2026 | 28,212 | 28,277,311 | |||||||
Telenet Financing USD LLC Facility Term Loan AN | – | (f) | 8/15/2026 | 23,348 | 23,346,833 | |||||||
Telesat Canada Term Loan B4 (Canada)(a) | 4.81% (3 Mo. LIBOR + 2.50% | ) | 11/17/2023 | 19,581 | 19,678,875 | |||||||
Townsquare Media, Inc. Additional Term Loan B | 4.98% (1 Mo. LIBOR + 3.00% | ) | 4/1/2022 | 9,426 | 9,463,100 | |||||||
Tribune Media Co. Term Loan B | 4.98% (1 Mo. LIBOR + 3.00% | ) | 12/27/2020 | 11,277 | 11,294,541 |
See Notes to Financial Statements. | 111 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Media/Telecommunications (continued) | ||||||||||||
Tribune Media Co. Term Loan C | 4.98% (1 Mo. LIBOR + 3.00% | ) | 1/26/2024 | $ | 12,157 | $ | 12,174,749 | |||||
Uber Technologies, Inc. Term Loan | 5.917% (1 Mo. LIBOR + 4.00% | ) | 4/4/2025 | 32,450 | 32,720,309 | |||||||
UFC Holdings, LLC 1st Lien Term Loan | 5.24% (1 Mo. LIBOR + 3.25% | ) | 8/18/2023 | 34,047 | 34,235,162 | |||||||
UFC Holdings, LLC 2nd Lien Term Loan | 9.48% (1 Mo. LIBOR + 7.50% | ) | 8/18/2024 | 16,891 | 17,118,015 | |||||||
Unitymedia Hessen GmbH & Co. KG Facility Term Loan B | 4.169% (1 Mo. LIBOR + 2.25% | ) | 9/30/2025 | 34,735 | 34,759,836 | |||||||
Unitymedia Hessen GmbH & Co. KG Facility Term Loan E (Germany)(a) | – | (f) | 6/1/2023 | 7,916 | 7,921,779 | |||||||
Univision Communications Inc. 1st Lien 2017 Replacement Repriced Term Loan | 4.73% (1 Mo. LIBOR + 2.75% | ) | 3/15/2024 | 32,538 | 31,444,310 | |||||||
UPC Financing Partnership Facility Term Loan AR | 4.419% (1 Mo. LIBOR + 2.50% | ) | 1/15/2026 | 47,370 | 47,288,760 | |||||||
Virgin Media Bristol LLC Facility Term Loan K | 4.419% (1 Mo. LIBOR + 2.50% | ) | 1/15/2026 | 26,870 | 26,828,755 | |||||||
Windstream Services, LLC 2016 Tranche B6 Term Loan | 5.94% (1 Mo. LIBOR + 4.00% | ) | 3/29/2021 | 30,804 | 29,693,792 | |||||||
Ziggo Secured Finance Partnership Facility Term Loan E | 4.419% (1 Mo. LIBOR + 2.50% | ) | 4/15/2025 | 29,612 | 29,476,997 | |||||||
Total | 1,542,837,868 | |||||||||||
Metals/Minerals 1.84% | ||||||||||||
AMG Advanced Metallurgical Group N.V. Initial Term Loan (Netherlands)(a) | 5.302% (3 Mo. LIBOR + 3.00% | ) | 2/3/2025 | 11,893 | 11,989,825 | (e) | ||||||
Dynacast International LLC 1st Lien Term Loan B2 | 5.552% (3 Mo. LIBOR + 3.25% | ) | 1/28/2022 | 17,563 | 17,629,153 | |||||||
Dynacast International LLC 2nd Lien Initial Term Loan | 10.802% (3 Mo. LIBOR + 8.50% | ) | 1/30/2023 | 10,530 | 10,582,562 | (e) | ||||||
Graftech International Ltd. Initial Term Loan | 5.423% (1 Mo. LIBOR + 3.50% | ) | 2/12/2025 | 50,283 | 50,502,988 | (e) | ||||||
Harsco Corp. Term Loan B1 | 5.00% (1 Mo. LIBOR + 3.00% | ) | 12/6/2024 | 3,989 | 4,038,652 | |||||||
Helix Acquisition Holdings, Inc. 1st Lien 2018 New Term Loan | 5.64% (3 Mo. LIBOR + 3.50% | ) | 9/30/2024 | 17,490 | 17,598,960 | |||||||
Helix Acquisition Holdings, Inc. 2nd Lien Initial Term Loan | 10.302% (3 Mo. LIBOR + 8.00% | ) | 9/29/2025 | 9,780 | 9,920,587 | |||||||
Murray Energy Corp. Term Loan B2 | 9.552% (3 Mo. LIBOR + 7.25% | ) | 4/16/2020 | 14,426 | 13,461,276 |
112 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Metals/Minerals (continued) | ||||||||||||
Oxbow Carbon LLC 1st Lien Tranche B Term Loan | 5.73% (1 Mo. LIBOR + 3.75% | ) | 1/4/2023 | $ | 9,447 | $ | 9,577,314 | (e) | ||||
Oxbow Carbon LLC 2nd Lien Term Loan | 9.48% (1 Mo. LIBOR + 7.50% | ) | 1/4/2024 | 13,932 | 14,210,640 | (e) | ||||||
Phoenix Services International LLC Term Loan B | 5.659% (1 Mo. LIBOR + 3.75% | ) | 3/1/2025 | 14,272 | 14,432,560 | |||||||
TMS International Corp. Term Loan B2 | 4.847% (2 Mo. LIBOR + 2.75% | ) | 8/14/2024 | 14,347 | 14,387,300 | |||||||
U.S. Silica Co. Term Loan | 5.813% (1 Wk. LIBOR + 4.00% | ) | 5/1/2025 | 38,712 | 39,058,860 | |||||||
UNIMIN Corp. Term Loan | – | (f) | 6/1/2025 | 24,219 | 24,274,462 | |||||||
Total | 251,665,139 | |||||||||||
Retail 4.84% | ||||||||||||
84 Lumber Co. Term Loan B1 | 7.21% (1 Mo. LIBOR + 5.25% | ) | 10/25/2023 | 20,514 | 20,795,827 | |||||||
99¢ Only Stores 1st Lien Tranche B2 Term Loan | 7.30% (3 Mo. LIBOR + 5.00% | ) | 1/13/2022 | 41,486 | 40,007,801 | |||||||
Bass Pro Group, LLC Initial Term Loan | 6.98% (1 Mo. LIBOR + 5.00% | ) | 9/25/2024 | 33,944 | 34,138,759 | |||||||
BJ’s Wholesale Club, Inc. 1st Lien Tranche B Term Loan | 5.423% (1 Mo. LIBOR + 3.50% | ) | 2/3/2024 | 40,361 | 40,478,428 | |||||||
BJ’s Wholesale Club, Inc. 2nd Lien Initial Term Loan | 9.423% (1 Mo. LIBOR + 7.50% | ) | 2/3/2025 | 31,560 | 31,971,275 | |||||||
Burlington Coat Factory Warehouse Corp. Term Loan B5 | 4.48% (1 Mo. LIBOR + 2.50% | ) | 11/17/2024 | 24,154 | 24,294,501 | |||||||
Calceus Acquisition, Inc. Term Loan B1 | 5.99% (1 M0. LIBOR + 4.00% | ) | 1/31/2020 | 20,488 | 20,432,247 | |||||||
Capital Automotive LP 1st Lien Initial Tranche B2 Term Loan | 4.49% (1 Mo. LIBOR + 2.50% | ) | 3/25/2024 | 14,348 | 14,367,939 | |||||||
Capital Automotive LP 2nd Lien Initial Tranche B Term Loan | 7.99% (1 Mo. LIBOR + 6.00% | ) | 3/24/2025 | 18,882 | 19,259,413 | |||||||
Comfort Holding, LLC 1st Lien Initial Term Loan | 6.668% (1 Mo. LIBOR + 4.75% | ) | 2/5/2024 | 33,445 | 32,692,233 | |||||||
Comfort Holding, LLC 2nd Lien Initial Term Loan | – | (f) | 2/3/2025 | 7,834 | 7,491,556 | |||||||
CVS Holdings I, LP 1st Lien Initial Term Loan | 4.99% (1 Mo. LIBOR + 3.00% | ) | 2/6/2025 | 20,595 | 20,466,281 | |||||||
CVS Holdings I, LP 2nd Lien Initial Term Loan | 8.74% (3 Mo. LIBOR + 6.75% | ) | 2/6/2026 | 15,305 | 15,305,410 | |||||||
CWGS Group, LLC Term Loan | 4.673% (1 Mo. LIBOR + 2.75%) - 4.73% | 11/8/2023 | 5,459 | 5,451,179 | ||||||||
EG Group Limited Additional Facility Term Loan (United Kingdom)(a) | 6.14% (3 Mo. LIBOR + 4.00% | ) | 2/7/2025 | 39,201 | 39,156,115 |
See Notes to Financial Statements. | 113 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Retail (continued) | ||||||||||||
Harbor Freight Tools USA, Inc. 2018 Initial Term Loan | 4.48% (1 Mo. LIBOR + 2.50% | ) | 8/18/2023 | $ | 39,489 | $ | 39,542,740 | |||||
IRB Holding Corp. Term Loan B | 5.173% (1 Mo. LIBOR + 3.25%) - 5.248% | 2/5/2025 | 22,475 | 22,598,613 | ||||||||
Isagenix International, LLC Term Loan | – | (f) | 4/25/2025 | 9,698 | 9,734,368 | |||||||
Jo-Ann Stores, LLC Initial Term Loan | 7.509% (3 Mo. LIBOR + 5.00% | ) | 10/20/2023 | 24,557 | 24,444,462 | |||||||
Lands’ End, Inc. Initial Term Loan B | 5.23% (1 Mo. LIBOR + 3.25% | ) | 4/4/2021 | 42,123 | 40,588,129 | |||||||
Mavis Tire Express Services Corp. 1st Lien Closing Date Term Loan | 5.203% (1 Mo. LIBOR + 3.25% | ) | 3/20/2025 | 25,701 | 25,596,913 | |||||||
Mavis Tire Express Services Corp. 1st Lien Delayed Draw Term Loan | 5.203% (1 Mo. LIBOR + 3.25% | ) | 3/20/2025 | 227 | 225,870 | |||||||
Men’s Wearhouse, Inc., (The) Tranche B2 Term Loan | 5.407% (1 Mo. LIBOR + 3.50% | ) | 4/9/2025 | 25,690 | 25,931,241 | |||||||
Michaels Stores, Inc. 2018 New Replacement Term Loan B | 4.418% (3 Mo. LIBOR + 2.50%) - 4.475% | 1/30/2023 | 19,401 | 19,420,070 | ||||||||
Neiman Marcus Group LTD LLC Other Term Loan | 5.173% (1 Mo. LIBOR + 3.25% | ) | 10/25/2020 | 64,880 | 57,600,712 | |||||||
Toys ‘R’ US Property Co. I, LLC Initial Term Loan | – | (f) | 8/21/2019 | 12,176 | 9,901,634 | |||||||
VF Holding Corp. 1st Lien Term Loan B1 | 5.23% (1 Mo. LIBOR + 3.25% | ) | 6/30/2023 | 10,181 | 10,214,885 | |||||||
VF Holding Corp. 2nd Lien Initial Term Loan | 10.98% (1 Mo. LIBOR + 9.00% | ) | 6/28/2023 | 10,721 | 10,734,401 | (e) | ||||||
Total | 662,843,002 | |||||||||||
Service 10.30% | ||||||||||||
American Seafoods Group LLC 1st Lien Tranche B Term Loan | 4.72% (1 Mo. LIBOR + 2.75% | ) | 8/21/2023 | 15,610 | 15,683,387 | |||||||
Asurion, LLC 2nd Lien Replacement Term Loan B2 | 7.98% (1 Mo. LIBOR + 6.00% | ) | 8/4/2025 | 61,298 | 62,945,384 | |||||||
Asurion, LLC Replacement Term Loan B6 | 4.73% (1 Mo. LIBOR +2.75% | ) | 11/3/2023 | 38,719 | 38,916,534 | |||||||
Avolon TLB Borrower 1 (US) LLC Term Loan B3 | 3.948% (1 Mo. LIBOR + 2.00% | ) | 1/15/2025 | 51,342 | 50,974,448 | |||||||
AVSC Holding Corp. 1st Lien Initial Term Loan | 5.167% (3 Mo. LIBOR + 3.25%) - 5.256% | 3/3/2025 | 9,625 | 9,614,990 | ||||||||
AVSC Holding Corp. 2nd Lien Initial Loan | 9.256% (3 Mo. LIBOR + 7.25% | ) | 9/1/2025 | 9,498 | 9,474,255 | |||||||
BakerCorp International, Inc. Refinanced Term Loan | 5.359% (3 Mo. LIBOR + 3.00% | ) | 2/7/2020 | 49,305 | 48,889,584 |
114 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Service (continued) | ||||||||||||
BCP Renaissance Parent LLC Initial Term Loan | 5.863% (3 Mo. LIBOR + 3.50% | ) | 10/31/2024 | $ | 14,671 | $ | 14,684,791 | |||||
Belron Finance US LLC Initial Term Loan B | 4.863% (3 Mo. LIBOR + 2.50% | ) | 11/7/2024 | 12,572 | 12,640,570 | |||||||
Boing US Holdco Inc. 2nd Lien Term Loan B | 9.863% (3 Mo. LIBOR + 7.50% | ) | 10/3/2025 | 10,585 | 10,611,462 | |||||||
Brand Energy & Infrastructure Services, Inc. Initial Term Loan | 6.552% (3 Mo. LIBOR + 4.25%) - 6.612% | 6/21/2024 | 53,339 | 53,711,472 | ||||||||
Brickman Group Ltd. LLC, (The) 1st Lien Initial Term Loan | 4.935% (1 Mo. LIBOR + 3.00%) - 4.98% | 12/18/2020 | 21,710 | 21,857,083 | ||||||||
Brickman Group Ltd. LLC, (The) 2nd Lien Initial Term Loan | 8.435% (1 Mo. LIBOR + 6.50% | ) | 12/17/2021 | 4,861 | 4,901,626 | |||||||
Ceridian HCM Holding Inc. Initial Term Loan | 5.226% (1 Mo. LIBOR + 3.25% | ) | 4/30/2025 | 35,926 | 36,150,537 | |||||||
Ceva Group PLC Pre-Funded L/C Term Loan (United Kingdom)(a) | 2.21% (3 Mo. LIBOR + 2.21% | ) | 3/19/2021 | 16,236 | 16,205,971 | |||||||
Ceva InterCo. BV Dutch BV Term Loan (Netherlands)(a) | 7.859% (3 Mo. LIBOR + 5.50% | ) | 3/19/2021 | 5,075 | 5,079,154 | |||||||
Ceva Logistics Canada, ULC Canadian Term Loan (Canada)(a) | 7.859% (3 Mo. LIBOR + 5.50% | ) | 3/19/2021 | 2,576 | 2,578,597 | |||||||
Ceva Logistics U.S. Holdings Inc. US Term Loan | 7.859% (3 Mo. LIBOR + 5.50% | ) | 3/19/2021 | 20,639 | 20,656,482 | |||||||
CIBT Global, Inc. 1st Lien Initial Term Loan | 6.052% (3 Mo. LIBOR + 3.75% | ) | 6/3/2024 | 13,821 | 13,890,554 | |||||||
Deliver Buyer, Inc. Term Loan | 6.98% (1 Mo. LIBOR + 5.00%) - 7.307% | 5/1/2024 | 19,668 | 19,643,223 | (e) | |||||||
Edelman Financial Center, LLC, (The) Initial Term Loan | 6.732% (3 Mo. LIBOR + 4.25% | ) | 11/11/2024 | 13,623 | 13,731,432 | |||||||
EIG Investors Corp. Refinancing Term Loan | 5.968% (3 Mo. LIBOR + 4.00%) - 6.319% | 2/9/2023 | 18,352 | 18,473,511 | ||||||||
Equian Buyer Corp. 2018 Incremental Term Loan | 5.203% (1 Mo. LIBOR + 3.25% | ) | 5/20/2024 | 15,854 | 15,967,619 | |||||||
First Data Corp. 2020 Term Loan A | 3.715% (1 Mo. LIBOR + 1.75% | ) | 6/2/2020 | 73,782 | 73,936,023 | |||||||
First Data Corp. 2022D New Dollar Term Loan | 3.965% (1 Mo. LIBOR + 2.00% | ) | 7/8/2022 | 76,175 | 76,238,666 | |||||||
GFL Environmental Inc. Delayed Term Loan (Canada)(a) | – | (f) | 5/30/2025 | 1,927 | 1,933,939 | |||||||
GFL Environmental Inc. Term Loan B (Canada)(a) | – | (f) | 5/30/2025 | 15,515 | 15,568,188 | |||||||
Global Payments Inc. Existing Term Loan | 3.73% (1 Mo. LIBOR + 1.75% | ) | 5/2/2022 | 18,969 | 19,020,356 | |||||||
Global Payments Inc. Term Loan A2 | 3.50% (1 Wk. LIBOR + 1.75% | ) | 5/2/2022 | 15,364 | 15,405,719 |
See Notes to Financial Statements. | 115 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Service (continued) | ||||||||||||
GW Honos Security Corp. Term Loan B (Canada)(a) | 5.506% (3 Mo. LIBOR + 3.50% | ) | 5/24/2024 | $ | 12,533 | $ | 12,630,670 | |||||
ICSH Parent, Inc. 1st Lien Delayed Draw Term Loan | 5.24% (3 Mo. LIBOR + 3.50%) - 5.81% | 4/29/2024 | 1,354 | 1,359,387 | (e) | |||||||
ICSH Parent, Inc. 1st Lien Initial Term Loan | 5.24% (1 Mo. LIBOR + 3.25% | ) | 4/29/2024 | 21,900 | 21,982,185 | (e) | ||||||
J.D. Power 2nd Lien Initial Loan | 10.802% (3 Mo. LIBOR + 8.50% | ) | 9/7/2024 | 1,946 | 1,975,190 | |||||||
Kasima, LLC Term Loan | 4.49% (3 Mo. LIBOR + 2.50%) - 4.81% | 5/17/2021 | 9,382 | 9,444,641 | ||||||||
KUEHG Corp 2nd Lien Tranche B Term Loan | 10.552% (3 Mo. LIBOR + 8.25% | ) | 8/22/2025 | 13,446 | 13,698,112 | |||||||
KUEHG Corp Term Loan B2 | 6.052% (3 Mo. LIBOR + 3.75% | ) | 8/12/2022 | 35,169 | 35,401,660 | |||||||
Laureate Education, Inc. Series 2024 Term Loan | 5.48% (1 Mo. LIBOR + 3.50% | ) | 4/26/2024 | 37,654 | 37,943,156 | |||||||
Learning Care Group (US) No. 2 Inc. 1st Lien Initial Term Loan | 5.20% (3 Mo. LIBOR + 3.25%) - 5.608% | 3/13/2025 | 18,567 | 18,652,130 | ||||||||
Misys Limited 1st Lien Dollar Term Loan | 5.807% (3 Mo. LIBOR + 3.50% | ) | 6/13/2024 | 41,157 | 40,583,144 | |||||||
Misys Limited 2nd Lien Dollar Term Loan | 9.557% (3 Mo. LIBOR + 7.25% | ) | 6/13/2025 | 38,000 | 36,912,630 | |||||||
Monitronics International, Inc. Term Loan B2 | 7.802% (3 Mo. LIBOR + 5.50% | ) | 9/30/2022 | 23,379 | 22,458,876 | |||||||
Navicure, Inc. 1st Lien Initial Term Loan | 5.726% (1 Mo. LIBOR + 3.75% | ) | 11/1/2024 | 19,702 | 19,775,504 | |||||||
Navicure, Inc. 2nd Lien Initial Term Loan | 9.476% (1 Mo. LIBOR + 7.50% | ) | 10/31/2025 | 9,588 | 9,635,940 | (e) | ||||||
North American Lifting Holdings, Inc. 1st Lien Initial Term Loan | 6.802% (3 Mo. LIBOR + 4.50% | ) | 11/27/2020 | 26,431 | 25,329,179 | |||||||
North American Lifting Holdings, Inc. 2nd Lien Term Loan | 11.302% (3 Mo. LIBOR + 9.00% | ) | 11/26/2021 | 12,577 | 10,271,196 | |||||||
Pike Corp. 2018 Initial Term Loan | 5.49% (1 Mo. LIBOR + 3.50% | ) | 3/23/2025 | 13,862 | 14,032,105 | |||||||
Playa Resorts Holding B.V. Initial Term Loan (Netherlands)(a) | 5.22% (1 Mo. LIBOR + 3.25% | ) | 4/29/2024 | 31,395 | 31,251,125 | |||||||
PODS, LLC Tranche B3 Term Loan | 4.928% (1 Mo. LIBOR + 3.00% | ) | 12/6/2024 | 33,250 | 33,360,804 | |||||||
Pre-Paid Legal Services, Inc. 1st Lien Initial Term Loan | 5.157% (3 Mo. LIBOR + 3.25% | ) | 5/1/2025 | 12,135 | 12,250,707 | |||||||
Press Ganey Holdings, Inc. 1st Lien 2018 Replacement Term Loan | 4.73% (1 Mo. LIBOR + 2.75% | ) | 10/23/2023 | 39,509 | 39,726,499 |
116 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Service (continued) | ||||||||||||
Press Ganey Holdings, Inc. 2nd Lien Initial Loan | 8.48% (1 Mo. LIBOR + 6.50% | ) | 10/21/2024 | $ | 4,960 | $ | 5,050,090 | |||||
Prime Security Services Borrower, LLC 1st Lien 2016-2 Refinancing Term Loan B1 | 4.73% (1 Mo. LIBOR + 2.75% | ) | 5/2/2022 | 42,692 | 42,622,864 | |||||||
Robertshaw US Holding Corp. 1st Lien Initial Term Loan | 5.50% (Prelim LIBOR + 3.50% | ) | 2/28/2025 | 19,450 | 19,529,064 | |||||||
Robertshaw US Holding Corp. 2nd Lien Initial Term Loan | 10.00% (Prelim LIBOR + 8.00% | ) | 2/28/2026 | 6,808 | 6,819,369 | |||||||
St. George’s University Scholastic Services LLC Term Loan | 5.74% (1 Mo. LIBOR + 3.75% | ) | 7/6/2022 | 13,522 | 13,647,115 | |||||||
TKC Holdings, Inc. 1st Lien Initial Term Loan | 6.23% (2 Mo. LIBOR + 4.25% | ) | 2/1/2023 | 16,735 | 16,865,674 | |||||||
TKC Holdings, Inc. 2nd Lien Initial Term Loan | 9.98% (1 Mo. LIBOR + 8.00% | ) | 2/1/2024 | 10,054 | 10,145,140 | |||||||
Trugreen Limited Partnership 1st Lien Initial Incremental Term Loan | 5.929% (1 Mo. LIBOR + 4.00% | ) | 4/13/2023 | 8,346 | 8,450,070 | (e) | ||||||
Vantiv, LLC New Term Loan B4 | 3.919% (1 Mo. LIBOR + 2.00% | ) | 8/9/2024 | 43,906 | 44,070,647 | |||||||
Vantiv, LLC Term Loan A5 | 3.919% (1 Mo. LIBOR + 2.25% | ) | 1/16/2023 | 10,830 | 10,884,204 | |||||||
Wash Multifamily Parent Inc. 1st Lien Initial Canadian Term Loan (Canada)(a) | 5.23% (1 Mo. LIBOR + 3.25% | ) | 5/16/2022 | 2,399 | 2,400,685 | |||||||
Wash Multifamily Parent Inc. 1st Lien Initial US Term Loan | 5.23% (1 Mo. LIBOR + 3.25% | ) | 5/16/2022 | 14,068 | 14,076,623 | |||||||
Wrangler Buyer Corp. Initial Term Loan | 4.73% (1 Mo. LIBOR + 2.75% | ) | 9/27/2024 | 17,540 | 17,600,574 | |||||||
Zodiac Pool Solutions LLC 1st Lien Tranche B1 Term Loan | 6.302% (3 Mo. LIBOR + 4.00% | ) | 12/20/2023 | 20,475 | 20,488,289 | |||||||
Zodiac Pool Solutions LLC 2nd Lien Term Loan | 11.302% (3 Mo. LIBOR + 9.00% | ) | 12/20/2024 | 9,719 | 9,864,785 | |||||||
Total | 1,410,575,590 | |||||||||||
Transportation 3.73% | ||||||||||||
Arctic LNG Carries LTD. Term Loan (Marshall Islands)(a) | 6.48% (1 Mo. LIBOR + 4.50% | ) | 5/18/2023 | 39,087 | 39,233,881 | |||||||
Chassix, Inc. Initial Term Loan | 7.875% (3 Mo. LIBOR + 5.50%) - 9.25% | 11/15/2023 | 26,717 | 26,951,011 | ||||||||
Daseke Co., Inc. Replacement Term Loan | 6.98% (1 Mo. LIBOR + 5.00% | ) | 2/27/2024 | 17,589 | 17,775,989 | |||||||
Deck Chassis Acquisition Inc. 2nd Lien Initial Term Loan | 7.98% (1 Mo. LIBOR + 6.00% | ) | 6/15/2023 | 30,708 | 31,283,775 | (e) | ||||||
FCA US LLC Tranche B Term Loan | 3.97% (1 Mo. LIBOR + 2.00% | ) | 12/31/2018 | 17,948 | 18,010,083 |
See Notes to Financial Statements. | 117 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Transportation (continued) | ||||||||||||
Federal-Mogul Corp. 2014 Tranche C Term Loan | 5.67% (1 Mo. LIBOR + 3.75%) - 5.73% | 4/15/2021 | $ | 34,067 | $ | 34,421,127 | ||||||
Gruden Acquisition, Inc. 1st Lien Incremental Term Loan | 7.802% (3 Mo. LIBOR + 5.50% | ) | 8/18/2022 | 50,664 | 51,170,381 | |||||||
Gruden Acquisition, Inc. 2nd Lien Term Loan | 10.802% (3 Mo. LIBOR + 8.50% | ) | 8/18/2023 | 25,179 | 25,346,944 | |||||||
Hornblower Holdings Term Loan | 6.866% (3 Mo. LIBOR + 4.50% | ) | 3/28/2025 | 25,486 | 25,677,145 | (e) | ||||||
International Seaways Operating Corp. Term Loan | 7.49% (1 Mo. LIBOR + 5.50% | ) | 6/22/2022 | 45,016 | 45,053,265 | |||||||
Kenan Advantage Group Holdings Corp. Initial Canadian Term Loan | 4.98% (1 Mo. LIBOR + 3.00% | ) | 7/29/2022 | 1,968 | 1,978,328 | |||||||
Kenan Advantage Group Holdings Corp. Initial U.S. Term Loan | 4.98% (1 Mo. LIBOR + 3.00% | ) | 7/29/2022 | 12,399 | 12,460,706 | |||||||
Lakeland Tours, LLC Initial Term Loan | 6.125% (3 Mo. LIBOR + 4.00% | ) | 12/16/2024 | 10,661 | 10,737,871 | |||||||
Navios Maritime Partners L.P Initial Term Loan (Marshall Islands)(a) | 7.08% (3 Mo. LIBOR + 5.00% | ) | 9/14/2020 | 33,029 | 33,138,824 | |||||||
Octavius Corp. New Tranche B Term Loan | 5.547% (3 Mo. LIBOR + 3.50% | ) | 11/8/2023 | 13,573 | 13,683,752 | |||||||
OSG Bulk Ships, Inc. Initial Term Loan | 6.77% (3 Mo. LIBOR + 4.25% | ) | 8/5/2019 | 38,245 | 37,958,097 | (e) | ||||||
Silk Bidco AS Facility Term Loan B (Norway)(c) | 4.00% (6 Mo. Euribor + 4.00% | ) | 2/24/2025 | EUR | 11,301 | 13,225,907 | ||||||
Stena International S.A. Term Loan (Luxembourg)(a) | 5.31% (3 Mo. LIBOR + 3.00% | ) | 3/3/2021 | $ | 13,474 | 13,153,931 | ||||||
TI Group Automotive Systems, LLC Initial US Term Loan | 4.48% (1 Mo. LIBOR + 2.50% | ) | 6/30/2022 | 25,307 | 25,461,353 | |||||||
XPO Logistics, Inc. 2018 Refinancing Term Loan | 3.961% (1 Mo. LIBOR + 2.00% | ) | 2/24/2025 | 22,385 | 22,465,186 | |||||||
YRC Worldwide Inc. Tranche B1 Term Loan | 10.48% (1 Mo. LIBOR + 8.50% | ) | 7/26/2022 | 11,253 | 11,403,137 | |||||||
Total | 510,590,693 | |||||||||||
Utility 3.32% | ||||||||||||
AES Corp., (The) 2018 Other Term Loan | 4.069% (3 Mo. LIBOR + 1.75% | ) | 5/31/2022 | 19,515 | 19,525,028 | |||||||
Calpine Construction Finance Co., LP Term Loan B | 4.48% (1 Mo. LIBOR + 2.50% | ) | 1/15/2025 | 24,634 | 24,652,570 | |||||||
Calpine Corp. 2015 Term Loan | 4.81% (3 Mo. LIBOR + 2.50% | ) | 1/15/2023 | 3,970 | 3,976,768 |
118 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Utility (continued) | ||||||||||||
Calpine Corp. 2016 Term Loan | 4.81% (3 Mo. LIBOR + 2.50% | ) | 5/31/2023 | $ | 15,365 | $ | 15,391,416 | |||||
Calpine Corp. 2017 Term Loan | 3.74% (1 Mo. LIBOR + 1.75% | ) | 12/31/2019 | 7,425 | 7,442,523 | |||||||
Calpine Corp. Term Loan | 4.81% (3 Mo. LIBOR + 2.50% | ) | 1/15/2024 | 6,084 | 6,095,767 | |||||||
Cheniere Energy Partners, LP CCTP Term Loan | 4.23% (1 Mo. LIBOR + 2.25% | ) | 2/25/2020 | 1,880 | 1,880,165 | |||||||
Cheniere Energy Partners, LP SPLNG Term Loan | 4.23% (1 Mo. LIBOR + 2.25% | ) | 2/25/2020 | 14,048 | 14,047,886 | |||||||
Dayton Power And Light Co., (The) Term Loan | 3.99% (1 Mo. LIBOR + 2.00% | ) | 8/24/2022 | 11,769 | 11,842,299 | |||||||
Delek US Holdings, Inc. Initial Term Loan | 4.48% (1 Mo. LIBOR + 2.50% | ) | 3/31/2025 | 12,144 | 12,212,310 | |||||||
Dynegy Inc. Tranche C2 Term Loan | 4.461% (1 Mo. LIBOR + 2.50% | ) | 2/7/2024 | 19,641 | 19,671,502 | |||||||
EFS Cogen Holdings I LLC AdvanceTerm Loan B | 5.56% (3 Mo. LIBOR + 3.25% | ) | 6/28/2023 | 10,730 | 10,769,897 | |||||||
Exgen Renewables IV, LLC Term Loan | 5.31% (3 Mo. LIBOR + 3.00% | ) | 11/28/2024 | 23,617 | 23,809,090 | |||||||
Hanjin International Corp. Initial Term Loan | 4.855% (3 Mo. LIBOR + 2.50% | ) | 10/19/2020 | 26,018 | 26,148,090 | |||||||
Lightstone Holdco LLC Refinancing Term Loan B | 5.73% (1 Mo. LIBOR + 3.75% | ) | 1/30/2024 | 36,626 | 36,843,132 | |||||||
Lightstone Holdco LLC Refinancing Term Loan C | 5.73% (1 Mo. LIBOR + 3.75% | ) | 1/30/2024 | 2,336 | 2,349,942 | |||||||
NRG Energy, Inc. Term Loan | 4.052% (3 Mo. LIBOR + 1.75% | ) | 6/30/2023 | 9,696 | 9,704,239 | |||||||
PowerTeam Services, LLC 1st Lien Initial Term Loan | 5.552% (3 Mo. LIBOR + 3.25% | ) | 3/6/2025 | 34,822 | 34,669,321 | |||||||
PowerTeam Services, LLC 2nd Lien Initial Term Loan | 9.552% (1 Mo. LIBOR + 7.25% | ) | 3/6/2026 | 12,484 | 12,546,420 | (e) | ||||||
Sandy Creek Energy Associates, LP Term Loan | 6.302% (3 Mo. LIBOR + 4.00% | ) | 11/9/2020 | 11,460 | 10,205,533 | |||||||
Southeast PowerGen, LLC Advance Term Loan B | 5.49% (1 Mo. LIBOR + 3.50% | ) | 12/2/2021 | 17,370 | 16,415,079 | |||||||
Star West Generation LLC AdvanceTerm Loan B | 6.74% (1 Mo. LIBOR + 4.75% | ) | 3/13/2020 | 23,280 | 21,941,672 | |||||||
Vistra Operations Co. LLC 2016 Incremental Term Loan | 4.189% (1 Mo. LIBOR + 2.25%) - 4.23% | 12/14/2023 | 24,248 | 24,330,375 | ||||||||
Vistra Operations Co. LLC Initial Term Loan | 4.48% (1 Mo. LIBOR + 2.50% | ) | 8/4/2023 | 49,462 | 49,485,748 |
See Notes to Financial Statements. | 119 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||||
Utility (continued) | |||||||||||||
Vistra Operations Co. LLC Initial Term Loan C | 4.48% (1 Mo. LIBOR + 2.50% | ) | 8/4/2023 | $ | 8,787 | $ | 8,791,295 | ||||||
Vistra Operations Co. LLC Term Loan B3 | – | (f) | 12/31/2025 | 29,069 | 29,038,768 | ||||||||
Total | 453,786,835 | ||||||||||||
Total Floating Rate Loans (cost $12,218,118,239) | 12,255,895,736 | ||||||||||||
Total Long-Term Investments (cost $13,488,269,050) | 13,506,055,636 | ||||||||||||
SHORT-TERM INVESTMENTS 4.92% | |||||||||||||
REPURCHASE AGREEMENTS 4.92% | |||||||||||||
Repurchase Agreement dated 5/31/2018, 0.90% due 6/1/2018 with Fixed Income Clearing Corp. collateralized by $74,000,000 of U.S. Treasury Note at 2.00% due 2/15/2022; $185,535,000 of U.S. Treasury Note at 1.875% due 1/31/2022; $24,505,000 of U.S. Treasury Note at 1.875% due 2/28/2022; value: $278,722,262; proceeds: $273,259,731 | 273,253 | 273,252,900 | |||||||||||
Repurchase Agreement dated 5/31/2018, 1.76% due 6/1/2018 with Toronto Dominion Grand Cayman collateralized by $399,408,000 of U.S. Treasury Note at 2.50% due 5/31/2020; value: $399,610,023; proceeds: $273,259,731 | 400,000 | 400,000,000 | |||||||||||
Total Short-Term Investments (cost $673,252,900) | 673,252,900 | ||||||||||||
Total Investments in Securities 103.57% (cost $14,161,521,950) | 14,179,308,536 | ||||||||||||
Liabilities in Excess of Other Assets(g) (3.57%) | (489,362,341 | ) | |||||||||||
Net Assets 100.00% | $ | 13,689,946,195 |
EUR | Euro Currency. | |
NOK | Norwegian krone. | |
ETF | Exchange Traded Fund. | |
EURIBOR | Euro Interbank Offered Rate. | |
LIBOR | London Interbank Offered Rate. | |
NIBOR | Nigerian Inter-bank Offered Rate. | |
PIK | Payment-in-kind. | |
Units | More than one class of securities traded together. | |
# | Variable rate security. The interest rate represents the rate in effect at May 31, 2018. | |
† | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers. | |
* | Non-income producing security. | |
(a) | Foreign security traded in U.S. dollars. | |
(b) | Level 3 Investment as described in Note 2(s) in the Notes to Financials. Security fair valued by the Pricing Committee. | |
(c) | Investment in non-U.S. dollar denominated securities. | |
(d) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at May 31, 2018. |
120 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
(e) | Floating Rate Loans categorized as Level 3 are valued based on a single quotation obtained from a dealer. Accounting principles generally accepted in the United States of America do not require the Fund to create quantitative unobservable inputs that were not developed by the Fund. Therefore, the Fund does not have access to unobservable inputs and cannot disclose such inputs in the valuation. | |
(f) | Interest rate to be determined. | |
(g) | Liabilities in Excess of Other Assets include net unrealized appreciation/depreciation on swaps contracts, forward foreign currency contracts and futures contracts as follows: |
Centrally Cleared Credit Default Swaps on Indexes - Sell Protection at May 31, 2018 (1):
Referenced Index | Central Clearing Party | Fund Receives (quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Appreciation(3) | |||||||||||||||||
Markit CDX. NA.HY.29(4)(5) | Credit Suisse | 5.00% | 12/20/2022 | $ 58,950,000 | $ 62,847,096 | $ 3,595,950 | $301,146 |
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities. | |
(2) | Upfront payments received by Central Clearinghouse are presented net of amortization (See Note 2(q)). | |
(3) | Total unrealized appreciation on Credit Default Swaps in Indexes amounted to $ 301,146. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $0. | |
(4) | Central Clearinghouse: Intercontinental Exchange (ICE). | |
(5) | The Referenced Index is for the Centrally Cleared Credit Default Swaps on Indexes, which is comprised of a basket of high yield issuers. | |
Open Forward Foreign Currency Exchange Contracts at May 31, 2018: | ||
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Appreciation | ||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 2,200,000 | $ 2,747,152 | $ 2,586,332 | $ 160,820 | ||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 7,178,000 | 8,937,510 | 8,438,498 | 499,012 | ||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 9,040,000 | 11,131,990 | 10,627,477 | 504,513 | ||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 1,203,000 | 1,485,507 | 1,414,254 | 71,253 | ||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 11,072,000 | 13,343,673 | 13,016,307 | 327,366 | ||||||||||||
NOK | Sell | J.P. Morgan | 8/23/2018 | 84,300,000 | 10,426,175 | 10,334,582 | 91,593 | ||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $1,654,557 |
See Notes to Financial Statements. | 121 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Depreciation | ||||||||||||
euro | Buy | State Street Bank and Trust | 8/16/2018 | 586,000 | $ 695,246 | $ 688,905 | $ (6,341) | ||||||||||||
euro | Buy | State Street Bank and Trust | 8/16/2018 | 4,987,000 | 5,900,719 | 5,862,746 | (37,973) | ||||||||||||
euro | Buy | State Street Bank and Trust | 8/16/2018 | 5,082,000 | 6,024,560 | 5,974,429 | (50,131) | ||||||||||||
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ (94,445) | ||||||||||||||||||
Open Futures Contracts at May 31, 2018: | |||||||||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | |||||||||||||
U.S. 2-Year Treasury Note | September 2018 | 1,048 | Short | $(222,632,750) | $(222,421,626) | $211,124 | |||||||||||||
U.S. 5-Year Treasury Note | September 2018 | 857 | Short | (97,854,171) | (97,604,266) | 249,905 | |||||||||||||
U.S. Long Bond | September 2018 | 98 | Long | 14,191,798 | 14,222,250 | 30,452 | |||||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $491,481 | ||||||||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | |||||||||||||
U.S. 10-Year Treasury Note | September 2018 | 1,614 | Short | $(192,971,018) | $(194,386,125) | $(1,415,107) |
122 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUND May 31, 2018
The following is a summary of the inputs used as of May 31, 2018 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | $ | – | $ | 40,162,315 | $ | – | $ | 40,162,315 | ||||||||
Common Stocks | ||||||||||||||||
Energy(3) | 188,024 | 625,554 | – | 813,578 | ||||||||||||
Other | 38,341,215 | – | – | 38,341,215 | ||||||||||||
Convertible Bonds | – | 33,349,957 | – | 33,349,957 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Metals/Minerals | – | 162,344,862 | 1,028 | 162,345,890 | ||||||||||||
Other | – | 821,212,848 | – | 821,212,848 | ||||||||||||
Exchange Traded Fund | 153,934,097 | – | – | 153,934,097 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Aerospace | – | 616,789,783 | – | 616,789,783 | ||||||||||||
Chemicals | – | 277,833,329 | 16,258,252 | 294,091,581 | ||||||||||||
Consumer Durables | – | 150,977,799 | – | 150,977,799 | ||||||||||||
Consumer Non-Durables | – | 133,750,214 | 11,510,659 | 145,260,873 | ||||||||||||
Energy | – | 420,141,402 | 27,563,373 | 447,704,775 | ||||||||||||
Financial | – | 678,555,750 | 176,507,417 | 855,063,167 | ||||||||||||
Food & Drug | – | 270,994,571 | 62,014,901 | 333,009,472 | ||||||||||||
Food/Tobacco | – | 206,366,521 | – | 206,366,521 | ||||||||||||
Forest Products | – | 137,059,171 | 2,833,424 | 139,892,595 | ||||||||||||
Gaming/Leisure | – | 1,004,276,241 | 22,795,658 | 1,027,071,899 | ||||||||||||
Healthcare | – | 740,385,587 | 14,536,079 | 754,921,666 | ||||||||||||
Housing | – | 204,749,834 | 3,263,857 | 208,013,691 | ||||||||||||
Information Technology | – | 1,362,526,101 | 73,329,056 | 1,435,855,157 | ||||||||||||
Manufacturing | – | 737,968,687 | 70,608,943 | 808,577,630 | ||||||||||||
Media/Telecommunications | – | 1,542,837,868 | – | 1,542,837,868 | ||||||||||||
Metals/Minerals | – | 154,801,810 | 96,863,329 | 251,665,139 | ||||||||||||
Retail | – | 652,108,601 | 10,734,401 | 662,843,002 | ||||||||||||
Service | – | 1,349,504,785 | 61,070,805 | 1,410,575,590 | ||||||||||||
Transportation | – | 415,671,676 | 94,919,017 | 510,590,693 | ||||||||||||
Utility | – | 441,240,415 | 12,546,420 | 453,786,835 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | – | 673,252,900 | – | 673,252,900 | ||||||||||||
Total | $ | 192,463,336 | $ | 13,229,488,581 | $ | 757,356,619 | $ | 14,179,308,536 |
See Notes to Financial Statements. | 123 |
Schedule of Investments (unaudited)(concluded)
FLOATING RATE FUND May 31, 2018
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Centrally Cleared Credit Default Swaps Contracts | ||||||||||||||||
Assets | $ | – | $ | 301,146 | $ | – | $ | 301,146 | ||||||||
Liabilities | – | – | – | – | ||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 1,654,557 | – | 1,654,557 | ||||||||||||
Liabilities | – | (94,445 | ) | – | (94,445 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 491,481 | – | – | 491,481 | ||||||||||||
Liabilities | (1,415,107 | ) | – | – | (1,415,107 | ) | ||||||||||
Unfunded Commitments | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | (27,625 | ) | – | (27,625 | ) | ||||||||||
Total | $ | (923,626 | ) | $ | 1,833,633 | $ | – | $ | 910,007 |
(1) | Refer to Note 2(s) for a description of fair value measurements and the three-tier hierarchy of inputs. | |
(2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. The table above is presented by Investment Type. Industries are presented within an Investment Type should such Investment Type include securities classified as two or more levels within the three-tier fair value hierarchy. Each Level 3 security is identified on the Schedule of Investments along with the valuation technique utilized. | |
(3) | Securities in the amount of $326,999 were transferred from Level 2 to Level 1 as a result of utilizing the last sale or official closing price on the exchange or system on which the securities are principally traded on May 31, 2018. |
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
Investment Type | Asset-Backed Securities | Corporate Bonds | Floating Rate Loans | |||||||||
Balance as of December 1, 2017 | $ | 5,025,000 | $1,028 | $ | 510,330,921 | |||||||
Accrued Discounts (Premiums) | – | – | 468,538 | |||||||||
Realized Gain (Loss) | – | – | 634,253 | |||||||||
Change in Unrealized Appreciation (Depreciation) | – | – | (321,025 | ) | ||||||||
Net Purchases | – | – | 342,946,370 | |||||||||
Net Sales | – | – | (155,951,196 | ) | ||||||||
Transfers into Level 3 | – | – | 180,096,627 | |||||||||
Transfers out of Level 3 | (5,025,000 | ) | – | (120,848,897 | ) | |||||||
Balance as of May 31, 2018 | $ | – | $1,028 | $ | 757,355,591 | |||||||
Change in unrealized appreciation/depreciation for period ended May 31, 2018 related to Level 3 investments held at May 31, 2018 | $ | – | $ – | $ | 1,412,886 |
124 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)
Investments | Shares (000) | Fair Value | ||||||
LONG-TERM INVESTMENTS 98.29% | ||||||||
COMMON STOCKS 5.30% | ||||||||
Automakers 0.11% | ||||||||
Ferrari NV (Italy)(a) | 58 | $ | 7,637,871 | |||||
Banking 0.46% | ||||||||
FCB Financial Holdings, Inc. Class A* | 171 | 10,448,049 | ||||||
SVB Financial Group* | 32 | 9,902,948 | ||||||
TCF Financial Corp. | 392 | 10,326,412 | ||||||
Total | 30,677,409 | |||||||
Beverages 0.30% | ||||||||
Boston Beer Co., Inc. (The) Class A* | 28 | 7,025,045 | ||||||
Brown-Forman Corp. Class B | 118 | 6,671,761 | ||||||
Fevertree Drinks plc(b) | GBP | 168 | 6,719,769 | |||||
Total | 20,416,575 | |||||||
Chemicals 0.10% | ||||||||
Balchem Corp. | 69 | 6,676,813 | ||||||
Discount Stores 0.10% | ||||||||
Amazon.com, Inc.* | 4 | 6,966,625 | ||||||
Electronics 0.10% | ||||||||
Zebra Technologies Corp. Class A* | 44 | 6,791,589 | ||||||
Energy: Exploration & Production 0.39% | ||||||||
Chaparral Energy, Inc. Class A* | 219 | 4,485,174 | ||||||
Chaparral Energy, Inc. Class B* | 65 | 1,340,597 | ||||||
Energen Corp.* | 101 | 6,835,491 | ||||||
MEG Energy Corp.*(b) | CAD | 943 | 6,747,654 | |||||
SolarEdge Technologies, Inc. (Israel)*(a) | 114 | 6,381,253 | ||||||
Templar Energy LLC Class A Units | 191 | 159,610 | ||||||
Total | 25,949,779 | |||||||
Food & Drug Retailers 0.00% | ||||||||
Fairway Group Holdings Corp. | 20 | 197 | (c) | |||||
Forestry/Paper 0.11% | ||||||||
Rayonier, Inc. | 188 | 7,299,941 | ||||||
Gaming 0.10% | ||||||||
Pinnacle Entertainment, Inc.* | 198 | 6,708,246 |
See Notes to Financial Statements. | 125 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Investments | Shares (000) | Fair Value | ||||||
Health Services 0.10% | ||||||||
HealthEquity, Inc.* | 89 | $ | 6,606,531 | |||||
Investments & Miscellaneous Financial Services 0.00% | ||||||||
Penson Technologies Class A Units | 4,881 | 48,812 | (c) | |||||
Machinery 0.10% | ||||||||
Gardner Denver Holdings, Inc.* | 198 | 6,502,409 | ||||||
Media: Content 0.11% | ||||||||
Netflix, Inc.* | 21 | 7,328,750 | ||||||
Medical Products 0.50% | ||||||||
Align Technology, Inc.* | 23 | 7,797,837 | ||||||
Foundation Medicine, Inc.* | 54 | 5,384,539 | ||||||
IDEXX Laboratories, Inc.* | 32 | 6,663,553 | ||||||
Intuitive Surgical, Inc.* | 15 | 6,883,099 | ||||||
Penumbra, Inc.* | 44 | 7,064,154 | ||||||
Total | 33,793,182 | |||||||
Oil Field Equipment & Services 0.19% | ||||||||
Core Laboratories NV (Netherlands)(a) | 52 | 6,460,216 | ||||||
Liberty Oilfield Services, Inc. Class A* | 297 | 6,308,693 | ||||||
Total | 12,768,909 | |||||||
Personal & Household Products 0.13% | ||||||||
Pola Orbis Holdings, Inc.(b) | JPY | 159 | 7,837,341 | |||||
Remington Outdoor Co., Inc. | 128 | 858,173 | (d) | |||||
Total | 8,695,514 | |||||||
Pharmaceuticals 0.42% | ||||||||
Agios Pharmaceuticals, Inc.* | 75 | 7,006,890 | ||||||
Blueprint Medicines Corp.* | 83 | 6,942,570 | ||||||
FibroGen, Inc.* | 131 | 7,061,816 | ||||||
Spark Therapeutics, Inc.* | 90 | 7,181,818 | ||||||
Total | 28,193,094 | |||||||
Recreation & Travel 0.16% | ||||||||
Malibu Boats, Inc. Class A* | 243 | 10,432,104 | ||||||
Restaurants 0.26% | ||||||||
Shake Shack, Inc. Class A* | 175 | 10,462,177 | ||||||
Texas Roadhouse, Inc. | 114 | 7,057,578 | ||||||
Total | 17,519,755 |
126 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Investments | Shares (000) | Fair Value | ||||||||||
Software/Services 0.42% | ||||||||||||
GrubHub, Inc.* | 65 | $ | 6,956,750 | |||||||||
Splunk, Inc.* | 62 | 6,862,574 | ||||||||||
Twitter, Inc.* | 201 | 6,970,119 | ||||||||||
Tyler Technologies, Inc.* | 31 | 7,173,503 | ||||||||||
Total | 27,962,946 | |||||||||||
Specialty Retail 0.64% | ||||||||||||
American Eagle Outfitters, Inc. | 147 | 3,273,634 | ||||||||||
At Home Group, Inc.* | 184 | 6,360,349 | ||||||||||
Canada Goose Holdings, Inc. (Canada)*(a) | 115 | 4,823,387 | ||||||||||
Columbia Sportswear Co. | 78 | 6,826,375 | ||||||||||
Crocs, Inc.* | 395 | 7,052,295 | ||||||||||
Deckers Outdoor Corp.* | 66 | 7,518,011 | ||||||||||
FirstCash, Inc. | 75 | 6,806,613 | ||||||||||
Total | 42,660,664 | |||||||||||
Support: Services 0.14% | ||||||||||||
Mobile Mini, Inc. | 213 | 9,697,433 | ||||||||||
Technology Hardware & Equipment 0.09% | ||||||||||||
Pure Storage, Inc. Class A* | 288 | 6,181,038 | ||||||||||
Theaters & Entertainment 0.12% | ||||||||||||
Manchester United plc Class A (United Kingdom)(a) | 49 | 1,021,229 | ||||||||||
SeaWorld Entertainment, Inc.* | 396 | 7,022,610 | ||||||||||
Total | 8,043,839 | |||||||||||
Transportation: Infrastructure/Services 0.15% | ||||||||||||
Chassix Holdings, Inc. | 160 | 3,351,516 | ||||||||||
Kirby Corp.* | 75 | 6,818,372 | ||||||||||
Total | 10,169,888 | |||||||||||
Total Common Stocks (cost $339,813,598) | 355,729,913 | |||||||||||
Interest Rate | Maturity Date | Principal Amount (000) | ||||||||||
CONVERTIBLE BONDS 0.97% | ||||||||||||
Health Services 0.10% | ||||||||||||
Insulet Corp. | 1.25% | 9/15/2021 | $ | 4,038 | 6,683,302 | |||||||
Machinery 0.15% | ||||||||||||
Chart Industries, Inc.† | 1.00% | 11/15/2024 | 8,111 | 10,176,345 |
See Notes to Financial Statements. | 127 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||||
Media: Content 0.10% | ||||||||||||||
World Wrestling Entertainment, Inc.† | 3.375% | 12/15/2023 | $ | 2,861 | $ | 6,735,767 | ||||||||
Software/Services 0.51% | ||||||||||||||
Guidewire Software, Inc. | 1.25% | 3/15/2025 | 6,481 | 6,782,341 | ||||||||||
Okta, Inc.† | 0.25% | 2/15/2023 | 5,369 | 7,102,704 | ||||||||||
Proofpoint, Inc. | 0.75% | 6/15/2020 | 4,295 | 6,425,745 | ||||||||||
Q2 Holdings, Inc.† | 0.75% | 2/15/2023 | 5,931 | 6,824,309 | ||||||||||
Twilio, Inc.† | 0.25% | 6/1/2023 | 6,894 | 7,078,552 | ||||||||||
Total | 34,213,651 | |||||||||||||
Support: Services 0.11% | ||||||||||||||
Chegg, Inc.† | 0.25% | 5/15/2023 | 5,934 | 7,168,622 | ||||||||||
Total Convertible Bonds (cost $58,176,607) | 64,977,687 | |||||||||||||
Dividend Rate | Shares (000) | |||||||||||||
CONVERTIBLE PREFERRED STOCK 0.10% | ||||||||||||||
Integrated Energy | ||||||||||||||
Hess Corp. (cost $6,510,392) | 8.00% | 97 | 6,661,645 | |||||||||||
Interest Rate | Maturity Date | Principal Amount (000) | ||||||||||||
Floating Rate Loans(e) 8.61% | ||||||||||||||
Advertising 0.11% | ||||||||||||||
Southern Graphics Inc. 2nd Lien Initial Term Loan | 9.48% (1 Mo. LIBOR + 7.50% | ) | 12/31/2023 | $ | 6,950 | 7,006,469 | ||||||||
Aerospace/Defense 0.08% | ||||||||||||||
Doncasters US Finance LLC Term Loan B | 5.837% (3 Mo. LIBOR + 3.50% | ) | 4/9/2020 | 5,262 | 5,105,690 | |||||||||
Air Transportation 0.21% | ||||||||||||||
LifeMiles Ltd. Initial Term Loan | 7.448% (3 Mo. LIBOR + 5.50%) - 7.831% | 8/18/2022 | 13,888 | 14,113,558 | (f) | |||||||||
Auto Parts & Equipment 0.39% | ||||||||||||||
Chassix, Inc. Initial Term Loan | 7.875% (3 Mo. LIBOR + 5.50%) - 9.25% | 11/15/2023 | 6,744 | 6,803,108 |
128 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||||
Auto Parts & Equipment (continued) | |||||||||||||
Deck Chassis Acquisition Inc. 2nd Lien Initial Term Loan | 7.98% (3 Mo. LIBOR + 6.00% | ) | 6/15/2023 | $ | 5,833 | $ | 5,942,369 | (f) | |||||
FPC Holdings, Inc. 2nd Lien Term Loan B1 | 10.98% (1 Mo. LIBOR + 9.00% | ) | 5/19/2023 | 6,708 | 6,640,920 | ||||||||
Jason, Inc. 1st Lien Initial Term Loan | 6.556% (3 Mo. LIBOR + 4.50%) - 6.80% | 6/30/2021 | 7,025 | 6,931,804 | |||||||||
Total | 26,318,201 | ||||||||||||
Building Materials 0.32% | |||||||||||||
Forterra Finance, LLC Replacement Term Loan | 4.98% (1 Mo. LIBOR + 3.00% | ) | 10/25/2023 | 10,571 | 9,926,695 | ||||||||
Zodiac Pool Solutions LLC 2nd Lien Term Loan | 11.302% (3 Mo. LIBOR + 9.00% | ) | 12/20/2024 | 11,560 | 11,733,400 | ||||||||
Total | 21,660,095 | ||||||||||||
Consumer/Commercial/Lease Financing 0.09% | |||||||||||||
Blackhawk Network Holdings, Inc. Term Loan | – | (g) | 5/25/2026 | 6,196 | 6,261,832 | ||||||||
Department Stores 0.21% | |||||||||||||
Neiman Marcus Group LTD LLC Other Term Loan | 5.173% (1 Mo. LIBOR + 3.25% | ) | 10/25/2020 | 16,082 | 14,277,779 | ||||||||
Discount Stores 0.18% | |||||||||||||
99¢ Only Stores 1st Lien Tranche B2 Term Loan | 7.302% (3 Mo. LIBOR + 5.00%) - 7.307% | 1/13/2022 | 12,772 | 12,317,437 | |||||||||
Diversified Capital Goods 0.82% | |||||||||||||
Crosby US Acquisition Corp. 1st Lien Initial Term Loan | 4.953% (1 Mo. LIBOR + 3.00% | ) | 11/23/2020 | 6,916 | 6,788,274 | ||||||||
EXC Holdings III Corp. 2nd Lien Initial Term Loan | 9.161% (3 Mo. LIBOR + 7.50% | ) | 12/1/2025 | 9,842 | 10,100,352 | (f) | |||||||
Graftech International Ltd. Initial Term Loan | 5.423% (1 Mo. LIBOR + 3.50% | ) | 2/12/2025 | 13,541 | 13,600,242 | (f) | |||||||
Pelican Products, Inc. 2nd Lien Term Loan | 9.657% (3 Mo. LIBOR + 7.75% | ) | 5/1/2026 | 2,594 | 2,629,668 | ||||||||
Safe Fleet Holdings LLC 2nd Lien Initial Term Loan | 8.66% (3 Mo. LIBOR + 6.75% | ) | 2/2/2026 | 9,510 | 9,545,662 | ||||||||
Utex Industries, Inc. 1st Lien Initial Term Loan | 5.98% (1 Mo. LIBOR + 4.00% | ) | 5/21/2021 | 7,993 | 7,945,515 | ||||||||
Utex Industries, Inc. 2nd Lien Initial Term Loan | 9.23% (1 Mo. LIBOR + 7.25% | ) | 5/20/2022 | 4,752 | 4,672,808 | ||||||||
Total | 55,282,521 |
See Notes to Financial Statements. | 129 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||||
Electric: Generation 0.93% | |||||||||||||
Frontera Generation Holdings LLC Initial Term Loan | 6.159% (3 Mo. LIBOR + 4.25% | ) | 5/2/2025 | $ | 16,977 | $ | 17,037,099 | ||||||
Longview Power LLC Advance Term Loan B | – | (g) | 4/13/2021 | 7,907 | 6,970,020 | ||||||||
Moxie Patriot LLC Construction Advances Term Loan B2 | 8.052% (1 Mo. LIBOR + 5.75% | ) | 12/19/2020 | 4,901 | 4,829,145 | ||||||||
Moxie Patriot LLC Construction Advances Term Loan B1 | 8.052% (3 Mo. LIBOR + 5.75% | ) | 12/19/2020 | 5,008 | 4,934,569 | ||||||||
Sandy Creek Energy Associates, LP Term Loan | 6.302% (3 Mo. LIBOR + 4.00% | ) | 11/9/2020 | 12,570 | 11,193,770 | ||||||||
Southeast PowerGen, LLC Advance Term Loan B | 5.49% (1 Mo. LIBOR + 3.50% | ) | 12/2/2021 | 7,013 | 6,626,882 | ||||||||
Star West Generation LLC AdvanceTerm Loan B | 6.74% (1 Mo. LIBOR + 4.75% | ) | 3/13/2020 | 7,515 | 7,083,295 | ||||||||
Temple Generation 1, LLC Advance Term Loan | 9.928% (1 Mo. LIBOR + 8.00% | ) | 2/7/2023 | 3,450 | 3,527,925 | ||||||||
Total | 62,202,705 | ||||||||||||
Electronics 0.10% | |||||||||||||
Vectra Co. 2nd Lien Initial Term Loan | 9.23% (1 Mo. LIBOR + 7.25% | ) | 3/8/2026 | 6,739 | 6,768,483 | ||||||||
Energy: Exploration & Production 0.05% | |||||||||||||
California Resources Corp. Initial Term Loan | 6.698% (1 Mo. LIBOR + 4.75% | ) | 12/31/2022 | 3,275 | 3,359,593 | ||||||||
Food & Drug Retailers 0.01% | |||||||||||||
Fairway Group Acquisition Company Last Out Term Loan | – | (g) | 1/3/2020 | 1,301 | 149,613 | (f) | |||||||
Fairway Group Acquisition Company Subordinated Holdco Term Loan | – | (g) | 10/3/2021 | 1,147 | 131,909 | (f) | |||||||
Total | 281,522 | ||||||||||||
Gaming 0.42% | |||||||||||||
Cowlitz Tribal Gaming Authority Term B Loan | 12.48% (1 Mo. LIBOR + 10.50% | ) | 12/6/2021 | 17,657 | 19,202,259 | (f) | |||||||
Golden Entertainment, Inc. 2nd Lien Facility Term Loan B | 8.97% (1 Mo. LIBOR + 7.00% | ) | 10/20/2025 | 8,621 | 8,809,176 | ||||||||
Total | 28,011,435 | ||||||||||||
Health Services 0.26% | |||||||||||||
Genoa, a QoL Healthcare Co., LLC 2nd Lien Initial Term Loan | 9.98% (1 Mo. LIBOR + 8.00% | ) | 10/28/2024 | 6,756 | 6,891,120 | ||||||||
Navicure, Inc. 2nd Lien Initial Term Loan | 9.476% (1 Mo. LIBOR + 7.50% | ) | 10/31/2025 | 7,199 | 7,234,995 | (f) |
130 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||||
Health Services (continued) | |||||||||||||
Press Ganey Holdings, Inc. 2nd Lien Initial Loan | 8.48% (1 Mo. LIBOR + 6.50% | ) | 10/21/2024 | $ | 3,150 | $ | 3,207,223 | ||||||
Total | 17,333,338 | ||||||||||||
Machinery 0.28% | |||||||||||||
Coinamatic Canada, Inc. 2nd Lien Initial Canadian Term Loan | 8.98% (1 Mo. LIBOR + 7.00% | ) | 5/12/2023 | 120 | 117,415 | (f) | |||||||
North American Lifting Holdings, Inc. 1st Lien Initial Term Loan | 6.802% (3 Mo. LIBOR + 4.50% | ) | 11/27/2020 | 10,057 | 9,638,372 | ||||||||
North American Lifting Holdings, Inc. 2nd Lien Term Loan | 11.302% (3 Mo. LIBOR + 9.00% | ) | 11/26/2021 | 10,011 | 8,175,633 | ||||||||
WASH MultiFamily Acquisition Inc. 2nd Lien Initial U.S. Term Loan | 8.98% (1 Mo. LIBOR + 7.00% | ) | 5/15/2023 | 688 | 670,385 | (f) | |||||||
Total | 18,601,805 | ||||||||||||
Media: Diversified 0.35% | |||||||||||||
Getty Images, Inc. Initial Term Loan | 5.802% (3 Mo. LIBOR + 3.50% | ) | 10/18/2019 | 10,283 | 9,994,172 | ||||||||
UFC Holdings, LLC 2nd Lien Term Loan | 9.48% (1 Mo. LIBOR + 7.50% | ) | 8/18/2024 | 13,281 | 13,459,497 | ||||||||
Total | 23,453,669 | ||||||||||||
Metals/Mining (Excluding Steel) 0.11% | |||||||||||||
Oxbow Carbon LLC 2nd Lien Term Loan | 9.48% (1 Mo. LIBOR + 7.50% | ) | 1/4/2024 | 7,122 | 7,264,440 | (f) | |||||||
Oil Field Equipment & Services 0.09% | |||||||||||||
Keane Group Holdings, LLC Initial Term Loan | 5.75% (1 Mo. LIBOR + 3.75% | ) | 5/19/2025 | 5,815 | 5,829,567 | ||||||||
Packaging 0.00% | |||||||||||||
Ranpak Corp. 2nd Lien Initial Term Loan | 9.185% (1 Mo. LIBOR + 7.25% | ) | 10/3/2022 | 61 | 61,278 | (f) | |||||||
Personal & Household Products 0.32% | |||||||||||||
Britax US Holdings Inc. Initial Dollar Term Loan | 5.802% (3 Mo. LIBOR + 3.50% | ) | 10/15/2020 | 14,511 | 12,704,407 | ||||||||
FGI Operating Co. LLC DIP Term Loan | 9.045% (3 Mo. LIBOR + 6.75% | ) | 6/28/2018 | 777 | 777,000 | (f) | |||||||
Gibson Brands, Inc. Term Loan | 11.00% (1 Mo. LIBOR + 9.00% | ) | 5/1/2019 | 807 | 821,727 | (f) | |||||||
TGP Holdings III LLC 2nd Lien Initial Term Loan | 10.802% (3 Mo. LIBOR + 8.50% | ) | 9/25/2025 | 7,243 | 7,351,645 | ||||||||
Total | 21,654,779 |
See Notes to Financial Statements. | 131 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||||
Printing & Publishing 0.16% | |||||||||||||
J.D. Power 2nd Lien Initial Term Loan | 10.802% (3 Mo. LIBOR + 8.50% | ) | 9/7/2024 | $ | 10,685 | $ | 10,845,275 | ||||||
Real Estate Development & Management 0.10% | |||||||||||||
Capital Automotive LP 2nd Lien Initial Tranche B Term Loan | 7.99% (1 Mo. LIBOR + 6.00% | ) | 3/24/2025 | 6,549 | 6,679,739 | ||||||||
Recreation & Travel 0.22% | |||||||||||||
Equinox Holdings Inc. 2nd Lien Initial Term Loan | 8.98% (1 Mo. LIBOR + 7.00% | ) | 9/6/2024 | 5,969 | 6,128,173 | ||||||||
Kingpin Intermediate Holdings LLC 1st Lien Initial Term Loan | 6.23% (1 Mo. LIBOR + 4.25% | ) | 7/3/2024 | 8,671 | 8,768,175 | (f) | |||||||
Total | 14,896,348 | ||||||||||||
Restaurants 0.33% | |||||||||||||
Fogo de Chao, Inc. Term Loan | 6.48% (1 Mo. LIBOR + 4.50% | ) | 4/7/2025 | 7,736 | 7,808,525 | (f) | |||||||
Panera Bread Co. Term Loan | 3.938% (3 Mo. LIBOR + 2.00% | ) | 7/18/2022 | 7,774 | 7,667,108 | (f) | |||||||
Red Lobster Management LLC 1st Lien Initial Term Loan | 7.23% (1 Mo. LIBOR + 5.25% | ) | 7/28/2021 | 6,592 | 6,587,470 | ||||||||
Total | 22,063,103 | ||||||||||||
Software/Services 0.22% | |||||||||||||
Hyland Software, Inc. 2nd Lien Initial Loan | 8.98% (1 Mo. LIBOR + 7.00% | ) | 7/7/2025 | 6,774 | 6,909,480 | ||||||||
KeyW Corp., (The) Initial Term Loan | 6.428% (1 Mo. LIBOR + 4.50% | ) | 5/8/2024 | 7,937 | 8,006,449 | (f) | |||||||
Total | 14,915,929 | ||||||||||||
Specialty Retail 0.77% | |||||||||||||
Bass Pro Group, LLC Initial Term Loan | 6.98% (1 Mo. LIBOR + 5.00% | ) | 9/25/2024 | 10,545 | 10,605,433 | ||||||||
BJ’s Wholesale Club, Inc. 2nd Lien Initial Term Loan | 9.423% (1 Mo. LIBOR + 7.50% | ) | 2/3/2025 | 7,093 | 7,185,528 | ||||||||
Boardriders, Inc. Initial Term Loan | 8.48% (1 Mo. LIBOR + 6.50% | ) | 4/8/2024 | 8,170 | 8,129,150 | ||||||||
Calceus Acquisition, Inc. Term Loan B1 | 5.99% (1 M0. LIBOR + 4.00% | ) | 1/31/2020 | 7,552 | 7,531,862 | ||||||||
Container Store, Inc. Term Loan B1 | 9.302% (3 Mo. LIBOR + 7.00% | ) | 8/18/2021 | 10,357 | 10,499,324 | (f) | |||||||
J. Crew Group, Inc. Amended Term Loan | – | (g) | 3/5/2021 | 8,645 | 7,309,866 | ||||||||
Total | 51,261,163 |
132 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||||
Support: Services 0.79% | |||||||||||||
Asurion, LLC 2nd Lien Replacement Term Loan B2 | 7.98% (1 Mo. LIBOR + 6.00% | ) | 8/4/2025 | $ | 6,503 | $ | 6,677,768 | ||||||
AVSC Holding Corp. 2nd Lien Initial Loan | 9.256% (3 Mo. LIBOR + 7.25% | ) | 9/1/2025 | 6,875 | 6,857,812 | ||||||||
CIBT Global, Inc. 2nd Lien Initial Term Loan | 10.052% (3 Mo. LIBOR + 7.75% | ) | 6/1/2025 | 8,131 | 8,212,310 | (f) | |||||||
DG Investment Intermediate Holdings 2, Inc. 2nd Lien Initial Term Loan | 9.052% (3 Mo. LIBOR + 6.75% | ) | 2/2/2026 | 9,310 | 9,449,650 | (f) | |||||||
KUEHG Corp 2nd Lien Tranche B Term Loan | 10.552% (3 Mo. LIBOR + 8.25% | ) | 8/22/2025 | 7,108 | 7,241,275 | ||||||||
PowerTeam Services, LLC 2nd Lien Initial Term Loan | 9.552% (1 Mo. LIBOR + 7.25% | ) | 3/6/2026 | 7,286 | 7,322,430 | (f) | |||||||
SMG US Midco 2, Inc. 2nd Lien Initial Term Loan | 8.98% (1 Mo. LIBOR + 7.00% | ) | 1/23/2026 | 7,232 | 7,362,909 | ||||||||
Total | 53,124,154 | ||||||||||||
Technology Hardware & Equipment 0.10% | |||||||||||||
Peak 10 Holding Corp. 2nd Lien Initial Term Loan | 9.608% (3 Mo. LIBOR + 7.25% | ) | 8/1/2025 | 6,893 | 6,953,314 | ||||||||
Telecommunications: Satellite 0.15% | |||||||||||||
Intelsat Jackson Holdings S.A. Tranche B5 Term Loan (Luxembourg)(a) | 6.625% | 1/2/2024 | 10,038 | 10,303,605 | |||||||||
Telecommunications: Wireline Integrated & Services 0.10% | |||||||||||||
Cyxtera DC Holdings, Inc. 2nd Lien Initial Term Loan | 9.61% (3 Mo. LIBOR + 7.25% | ) | 5/1/2025 | 6,610 | 6,564,556 | ||||||||
Transportation: Infrastructure/Services 0.34% | |||||||||||||
Commercial Barge Line Co. Initial Term Loan | – | (g) | 11/12/2020 | 7,755 | 5,455,991 | ||||||||
Hornblower Holdings Term Loan | 6.866% (3 Mo. LIBOR + 4.50% | ) | 3/28/2025 | 6,761 | 6,811,708 | (f) | |||||||
OSG Bulk Ships, Inc. Initial Term Loan | 6.77% (3 Mo. LIBOR + 4.25% | ) | 8/5/2019 | 10,392 | 10,313,986 | (f) | |||||||
Total | 22,581,685 | ||||||||||||
Total Floating Rate Loans (cost $572,201,138) | 577,355,067 | ||||||||||||
FOREIGN BONDS(b) 1.61% | |||||||||||||
Canada 0.16% | |||||||||||||
Valeant Pharmaceuticals International, Inc.† | 4.50% | 5/15/2023 | EUR | 9,502 | 10,534,185 |
See Notes to Financial Statements. | 133 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
France 0.20% | ||||||||||||
CMA CGM SA† | 5.25% | 1/15/2025 | EUR | 7,012 | $ | 7,131,723 | ||||||
Novafives SAS† | 5.00% | 6/15/2025 | EUR | 5,487 | 6,235,613 | |||||||
Total | 13,367,336 | |||||||||||
Italy 0.29% | ||||||||||||
Inter Media & Communication SpA† | 4.875% | 12/31/2022 | EUR | 8,337 | 9,734,192 | |||||||
UniCredit SpA | 5.375% | #(h) | – | (i) | EUR | 9,343 | 9,862,744 | |||||
Total | 19,596,936 | |||||||||||
Luxembourg 0.15% | ||||||||||||
Samsonite Finco Sarl† | 3.50% | 5/15/2026 | EUR | 9,338 | 10,002,635 | |||||||
Netherlands 0.46% | ||||||||||||
Darling Global Finance BV† | 3.625% | 5/15/2026 | EUR | 6,292 | 7,402,044 | |||||||
Dutch Lion BV PIK 12.00%† | 11.25% | 6/15/2020 | EUR | 7,250 | 7,993,803 | |||||||
Hema Bondco II BV† | 8.50% | 1/15/2023 | EUR | 14,088 | 15,843,822 | |||||||
Total | 31,239,669 | |||||||||||
United Kingdom 0.35% | ||||||||||||
Mclaren Finance plc | 5.00% | 8/1/2022 | GBP | 9,894 | 13,036,063 | |||||||
Stonegate Pub Co. Financing plc† | 4.875% | 3/15/2022 | GBP | 7,941 | 10,480,631 | |||||||
Total | 23,516,694 | |||||||||||
Total Foreign Bonds (cost $111,078,792) | 108,257,455 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS 0.96% | ||||||||||||
Angola 0.10% | ||||||||||||
Republic of Angola†(a) | 9.50% | 11/12/2025 | $ | 5,906 | 6,650,357 | |||||||
Argentina 0.76% | ||||||||||||
City of Buenos Aires†(a) | 7.50% | 6/1/2027 | 6,860 | 6,654,200 | ||||||||
Province of Santa Fe†(a) | 6.90% | 11/1/2027 | 10,224 | 9,329,400 | ||||||||
Provincia de la Rioja†(a) | 9.75% | 2/24/2025 | 6,592 | 6,509,600 | ||||||||
Provincia de Mendoza†(a) | 8.375% | 5/19/2024 | 6,563 | 6,464,555 | ||||||||
Provincia de Rio Negro†(a) | 7.75% | 12/7/2025 | 18,256 | 15,928,360 | ||||||||
Republic of Argentina(b) | 7.82% | 12/31/2033 | EUR | 5,286 | 6,520,622 | |||||||
Total | 51,406,737 | |||||||||||
Dominican Republic 0.10% | ||||||||||||
Dominican Republic†(b) | 8.90% | 2/15/2023 | DOP | 313,900 | 6,562,795 | |||||||
Total Foreign Government Obligations (cost $69,014,866) | 64,619,889 |
134 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
HIGH YIELD CORPORATE BONDS 80.31% | ||||||||||||
Advertising 0.40% | ||||||||||||
Clear Channel Worldwide Holdings, Inc. | 6.50% | 11/15/2022 | $ | 19,467 | $ | 19,978,009 | ||||||
Lamar Media Corp. | 5.75% | 2/1/2026 | 6,754 | 6,863,752 | ||||||||
Total | 26,841,761 | |||||||||||
Aerospace/Defense 1.32% | ||||||||||||
BBA US Holdings, Inc.† | 5.375% | 5/1/2026 | 6,546 | 6,578,730 | ||||||||
Bombardier, Inc. (Canada)†(a) | 7.50% | 12/1/2024 | 15,213 | 15,897,585 | ||||||||
Bombardier, Inc. (Canada)†(a) | 8.75% | 12/1/2021 | 5,998 | 6,687,770 | ||||||||
Bombardier, Inc. (Canada)†(a) | 7.50% | 3/15/2025 | 50,269 | 52,159,114 | ||||||||
Kratos Defense & Security Solutions, Inc.† | 6.50% | 11/30/2025 | 6,853 | 7,118,554 | ||||||||
Total | 88,441,753 | |||||||||||
Air Transportation 0.69% | ||||||||||||
Air Canada 2015-2 Class B Pass-Through Trust (Canada)†(a) | 5.00% | 6/15/2025 | 5,212 | 5,307,312 | ||||||||
Azul Investments LLP† | 5.875% | 10/26/2024 | 17,336 | 15,710,750 | ||||||||
GMR Hyderabad International Airport Ltd. (India)†(a) | 4.25% | 10/27/2027 | 11,549 | 10,136,349 | ||||||||
Gol Finance, Inc. (Brazil)†(a) | 7.00% | 1/31/2025 | 7,309 | 6,285,740 | ||||||||
Hawaiian Airlines 2013-1 Class B Pass-Through Certificates | 4.95% | 7/15/2023 | 8,977 | 9,070,503 | ||||||||
Total | 46,510,654 | |||||||||||
Auto Parts & Equipment 0.76% | ||||||||||||
Allison Transmission, Inc.† | 5.00% | 10/1/2024 | 10,355 | 10,303,225 | ||||||||
American Axle & Manufacturing, Inc. | 6.25% | 4/1/2025 | 11,162 | 11,064,332 | ||||||||
American Axle & Manufacturing, Inc. | 6.50% | 4/1/2027 | 12,458 | 12,216,938 | ||||||||
Optimas OE Solutions Holding LLC/Optimas OE Solutions, Inc.† | 8.625% | 6/1/2021 | 6,684 | 6,901,230 | ||||||||
Wabash National Corp.† | 5.50% | 10/1/2025 | 10,977 | 10,675,133 | ||||||||
Total | 51,160,858 | |||||||||||
Automakers 0.71% | ||||||||||||
Aston Martin Capital Holdings Ltd. (Jersey)†(a) | 6.50% | 4/15/2022 | 9,907 | 10,216,594 | ||||||||
General Motors Corp.(j) | 7.20% | – | (i) | 8,500 | 850 | (c) | ||||||
Tesla, Inc.† | 5.30% | 8/15/2025 | 42,604 | 37,118,735 | ||||||||
Total | 47,336,179 | |||||||||||
Banking 3.14% | ||||||||||||
Ally Financial, Inc. | 8.00% | 11/1/2031 | 19,009 | 22,905,845 | ||||||||
Banco de Galicia y Buenos Aires SA (Argentina)†(a) | 8.25% | #(h) | 7/19/2026 | 4,800 | 4,912,944 |
See Notes to Financial Statements. | 135 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banking (continued) | ||||||||||||
Banco do Brasil SA† | 6.25% | #(h) | – | (i) | $ | 7,750 | $ | 6,461,563 | ||||
Banco Mercantil del Norte SA† | 7.625% (10 Yr Treasury CMT + 5.35% | )#(h) | – | (i) | 4,400 | 4,358,244 | ||||||
Banco Votorantim SA (Brazil)†(a) | 8.25% | #(h) | – | (i) | 7,087 | 6,815,922 | ||||||
BankUnited, Inc. | 4.875% | 11/17/2025 | 12,909 | 13,180,476 | ||||||||
BNP Paribas SA (France)†(a) | 6.75% | #(h) | – | (i) | 3,416 | 3,471,510 | ||||||
CIT Group, Inc. | 5.25% | 3/7/2025 | 4,114 | 4,185,995 | ||||||||
CIT Group, Inc. | 5.80% | #(h) | – | (i) | 6,859 | 6,833,279 | ||||||
CIT Group, Inc. | 6.00% | 4/1/2036 | 2,695 | 2,533,300 | ||||||||
CIT Group, Inc. | 6.125% | 3/9/2028 | 3,429 | 3,514,725 | ||||||||
Intesa Sanpaolo SpA (Italy)†(a) | 5.71% | 1/15/2026 | 14,412 | 13,309,140 | ||||||||
Intesa Sanpaolo SpA (Italy)†(a) | 7.70% | #(h) | – | (i) | 12,051 | 11,478,577 | ||||||
Macquarie Bank Ltd. (United Kingdom)†(a) | 6.125% | #(h) | – | (i) | 6,917 | 6,363,640 | ||||||
Popular, Inc. | 7.00% | 7/1/2019 | 12,739 | 13,057,475 | ||||||||
Royal Bank of Scotland Group plc (United Kingdom)(a) | 5.125% | 5/28/2024 | 11,501 | 11,687,176 | ||||||||
Royal Bank of Scotland Group plc (United Kingdom)(a) | 6.00% | 12/19/2023 | 17,211 | 18,286,284 | ||||||||
Royal Bank of Scotland Group plc (United Kingdom)(a) | 6.10% | 6/10/2023 | 14,113 | 15,011,428 | ||||||||
Royal Bank of Scotland Group plc (United Kingdom)(a) | 7.50% | #(h) | – | (i) | 12,646 | 13,056,995 | ||||||
Royal Bank of Scotland Group plc (United Kingdom)(a) | 8.625% | #(h) | – | (i) | 12,700 | 13,775,690 | ||||||
Texas Capital Bank NA | 5.25% | 1/31/2026 | 10,952 | 10,893,880 | ||||||||
Turkiye Vakiflar Bankasi TAO (Turkey)†(a) | 5.75% | 1/30/2023 | 4,631 | 4,249,725 | ||||||||
Washington Mutual Bank(k) | 6.875% | 6/15/2011 | 10,000 | 1,000 | (c) | |||||||
Total | 210,344,813 | |||||||||||
Beverages 0.14% | ||||||||||||
Central American Bottling Corp. (Guatemala)†(a) | 5.75% | 1/31/2027 | 9,586 | 9,633,930 | ||||||||
Brokerage 0.22% | ||||||||||||
Freedom Mortgage Corp.† | 8.125% | 11/15/2024 | 8,373 | 8,349,556 | ||||||||
Freedom Mortgage Corp.† | 8.25% | 4/15/2025 | 6,197 | 6,166,015 | ||||||||
Total | 14,515,571 | |||||||||||
Building & Construction 2.25% | ||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co.† | 6.75% | 8/1/2025 | 6,688 | 6,445,560 | ||||||||
AV Homes, Inc. | 6.625% | 5/15/2022 | 6,755 | 6,874,901 | ||||||||
Century Communities, Inc. | 5.875% | 7/15/2025 | 10,584 | 10,028,340 |
136 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Building & Construction (continued) | ||||||||||||
Lennar Corp. | 4.50% | 4/30/2024 | $ | 8,771 | $ | 8,529,798 | ||||||
Lennar Corp. | 4.75% | 5/30/2025 | 3,436 | 3,337,215 | ||||||||
M/I Homes, Inc. | 5.625% | 8/1/2025 | 1,664 | 1,588,122 | ||||||||
MDC Holdings, Inc. | 6.00% | 1/15/2043 | 7,110 | 6,425,663 | ||||||||
New Home Co., Inc. (The) | 7.25% | 4/1/2022 | 9,477 | 9,761,310 | ||||||||
PulteGroup, Inc. | 5.00% | 1/15/2027 | 15,131 | 14,487,932 | ||||||||
PulteGroup, Inc. | 5.50% | 3/1/2026 | 13,107 | 13,090,616 | ||||||||
PulteGroup, Inc. | 6.375% | 5/15/2033 | 8,091 | 8,293,275 | ||||||||
Shea Homes LP/Shea Homes Funding Corp.† | 6.125% | 4/1/2025 | 11,085 | 11,154,281 | ||||||||
Toll Brothers Finance Corp. | 4.35% | 2/15/2028 | 6,168 | 5,588,208 | ||||||||
Toll Brothers Finance Corp. | 4.875% | 3/15/2027 | 7,695 | 7,329,488 | ||||||||
TRI Pointe Group, Inc. | 5.25% | 6/1/2027 | 21,909 | 20,450,956 | ||||||||
William Lyon Homes, Inc. | 5.875% | 1/31/2025 | 11,343 | 10,814,983 | ||||||||
William Lyon Homes, Inc.† | 6.00% | 9/1/2023 | 6,744 | 6,769,290 | ||||||||
Total | 150,969,938 | |||||||||||
Building Materials 1.24% | ||||||||||||
American Woodmark Corp.† | 4.875% | 3/15/2026 | 5,572 | 5,335,190 | ||||||||
BMC East LLC† | 5.50% | 10/1/2024 | 6,851 | 6,654,034 | ||||||||
Builders FirstSource, Inc.† | 5.625% | 9/1/2024 | 5,904 | 5,821,285 | ||||||||
Grupo Cementos de Chihuahua SAB de CV (Mexico)†(a) | 5.25% | 6/23/2024 | 8,508 | 8,380,380 | ||||||||
Hillman Group, Inc. (The)† | 6.375% | 7/15/2022 | 13,899 | 13,447,282 | ||||||||
Jeld-Wen, Inc.† | 4.625% | 12/15/2025 | 6,964 | 6,598,390 | ||||||||
Standard Industries, Inc.† | 6.00% | 10/15/2025 | 5,054 | 5,129,810 | ||||||||
Summit Materials LLC/Summit Materials Finance Corp.† | 5.125% | 6/1/2025 | 7,227 | 6,811,448 | ||||||||
U.S. Concrete, Inc. | 6.375% | 6/1/2024 | 6,067 | 6,195,924 | ||||||||
USG Corp.† | 5.50% | 3/1/2025 | 9,226 | 9,618,105 | ||||||||
WESCO Distribution, Inc. | 5.375% | 6/15/2024 | 8,994 | 9,027,727 | ||||||||
Total | 83,019,575 | |||||||||||
Cable & Satellite Television 2.47% | ||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.125% | 5/1/2023 | 7,122 | 7,095,292 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.125% | 5/1/2027 | 7,010 | 6,580,638 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.75% | 2/15/2026 | 33,893 | 33,289,705 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.875% | 4/1/2024 | 34,427 | 34,814,304 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.875% | 5/1/2027 | 26,066 | 25,691,301 | ||||||||
CSC Holdings LLC† | 10.875% | 10/15/2025 | 22,447 | 26,066,579 | ||||||||
DISH DBS Corp. | 7.75% | 7/1/2026 | 13,330 | 11,547,112 |
See Notes to Financial Statements. | 137 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Cable & Satellite Television (continued) | ||||||||||||
UPCB Finance IV Ltd.† | 5.375% | 1/15/2025 | $ | 13,500 | $ | 13,027,500 | ||||||
Ziggo BV (Netherlands)†(a) | 5.50% | 1/15/2027 | 7,981 | 7,639,413 | ||||||||
Total | 165,751,844 | |||||||||||
Chemicals 2.53% | ||||||||||||
Ashland LLC | 6.875% | 5/15/2043 | 15,374 | 15,912,090 | ||||||||
Blue Cube Spinco LLC | 10.00% | 10/15/2025 | 16,816 | 19,674,720 | ||||||||
CF Industries, Inc. | 4.95% | 6/1/2043 | �� | 1,059 | 882,941 | |||||||
CF Industries, Inc. | 5.15% | 3/15/2034 | 17,297 | 16,086,210 | ||||||||
Chemours Co. (The) | 5.375% | 5/15/2027 | 10,454 | 10,244,920 | ||||||||
Eagle Intermediate Global Holding BV/Ruyi US Finance LLC (Netherlands)†(a) | 7.50% | 5/1/2025 | 6,843 | 6,996,968 | ||||||||
GCP Applied Technologies, Inc.† | 5.50% | 4/15/2026 | 6,832 | 6,669,740 | ||||||||
Ingevity Corp.† | 4.50% | 2/1/2026 | 10,469 | 9,919,377 | ||||||||
Koppers, Inc.† | 6.00% | 2/15/2025 | 5,873 | 5,968,436 | ||||||||
Kraton Polymers LLC/Kraton Polymers Co.†(b) | 5.25% | 5/15/2026 | EUR | 5,844 | 6,871,823 | |||||||
Momentive Performance Materials, Inc.(k) | 10.00% | 10/15/2020 | $ | 3,105 | 311 | (c) | ||||||
Olin Corp. | 5.00% | 2/1/2030 | 8,306 | 7,828,820 | ||||||||
Olin Corp. | 5.125% | 9/15/2027 | 8,284 | 8,076,900 | ||||||||
SPCM SA (France)†(a) | 4.875% | 9/15/2025 | 11,931 | 11,364,277 | ||||||||
TPC Group, Inc.† | 8.75% | 12/15/2020 | 7,299 | 7,229,660 | ||||||||
Valvoline, Inc. | 5.50% | 7/15/2024 | 6,003 | 6,063,030 | ||||||||
Venator Finance S.a.r.l/Venator Materials LLC (Luxembourg)†(a) | 5.75% | 7/15/2025 | 6,772 | 6,670,420 | ||||||||
Versum Materials, Inc.† | 5.50% | 9/30/2024 | 12,218 | 12,309,635 | ||||||||
Yingde Gases Investment Ltd. (Hong Kong)†(a) | 6.25% | 1/19/2023 | 11,767 | 11,183,423 | ||||||||
Total | 169,953,701 | |||||||||||
Consumer/Commercial/Lease Financing 2.47% | ||||||||||||
ACE Cash Express, Inc.† | 12.00% | 12/15/2022 | 11,712 | 12,941,760 | ||||||||
CURO Financial Technologies Corp. † | 12.00% | 3/1/2022 | 13,544 | 14,794,830 | ||||||||
Enova International, Inc.† | 8.50% | 9/1/2024 | 13,517 | 14,192,850 | ||||||||
Enova International, Inc. | 9.75% | 6/1/2021 | 5,471 | 5,744,550 | ||||||||
Hunt Cos, Inc.† | 6.25% | 2/15/2026 | 7,556 | 7,130,975 | ||||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.† | 5.25% | 10/1/2025 | 11,070 | 10,378,125 | ||||||||
Navient Corp. | 5.875% | 3/25/2021 | 8,807 | 9,038,184 | ||||||||
Navient Corp. | 6.125% | 3/25/2024 | 28,259 | 28,470,942 | ||||||||
Navient Corp. | 6.625% | 7/26/2021 | 4,354 | 4,528,160 | ||||||||
Navient Corp. | 6.75% | 6/25/2025 | 30,463 | 31,063,121 |
138 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Consumer/Commercial/Lease Financing (continued) | ||||||||||||
Provident Funding Associates LP/PFG | ||||||||||||
Finance Corp.† | 6.375% | 6/15/2025 | $ | 6,671 | $ | 6,487,547 | ||||||
Quicken Loans, Inc.† | 5.25% | 1/15/2028 | 14,216 | 13,060,950 | ||||||||
WeWork Cos., Inc.† | 7.875% | 5/1/2025 | 8,004 | 7,574,906 | ||||||||
Total | 165,406,900 | |||||||||||
Diversified Capital Goods 1.52% | ||||||||||||
Apex Tool Group LLC/BC Mountain Finance, Inc.† | 9.00% | 2/15/2023 | 10,482 | 10,193,745 | ||||||||
BCD Acquisition, Inc.† | 9.625% | 9/15/2023 | 9,034 | 9,813,182 | ||||||||
BWX Technologies, Inc.† | 5.375% | 7/15/2026 | 5,333 | 5,399,663 | ||||||||
EnerSys† | 5.00% | 4/30/2023 | 6,124 | 6,078,070 | ||||||||
Griffon Corp. | 5.25% | 3/1/2022 | 5,735 | 5,555,781 | ||||||||
JB Poindexter & Co., Inc.† | 7.125% | 4/15/2026 | 9,888 | 10,085,760 | ||||||||
NANA Development Corp.† | 9.50% | 3/15/2019 | 4,206 | 4,211,258 | ||||||||
RBS Global, Inc./Rexnord LLC† | 4.875% | 12/15/2025 | 17,140 | 16,540,100 | ||||||||
SPX FLOW, Inc.† | 5.625% | 8/15/2024 | 6,252 | 6,205,110 | ||||||||
SPX FLOW, Inc.† | 5.875% | 8/15/2026 | 6,307 | 6,243,930 | ||||||||
Titan International, Inc.† | 6.50% | 11/30/2023 | 6,911 | 6,962,832 | ||||||||
Werner FinCo LP/Werner FinCo, Inc.† | 8.75% | 7/15/2025 | 8,442 | 8,526,420 | ||||||||
Zoomlion HK SPV Co. Ltd. (Hong Kong)†(a) | 6.125% | 12/20/2022 | 6,798 | 6,441,105 | ||||||||
Total | 102,256,956 | |||||||||||
Electric: Generation 2.14% | ||||||||||||
AES Argentina Generacion SA (Argentina)†(a) | 7.75% | 2/2/2024 | 6,194 | 6,088,454 | ||||||||
Calpine Corp. | 5.75% | 1/15/2025 | 33,550 | 30,614,375 | ||||||||
DPL, Inc. | 7.25% | 10/15/2021 | 6,507 | 7,117,031 | ||||||||
Elwood Energy LLC | 8.159% | 7/5/2026 | 7,456 | 8,313,037 | ||||||||
Listrindo Capital BV (Netherlands)†(a) | 4.95% | 9/14/2026 | 11,337 | 10,685,122 | ||||||||
NRG Yield Operating LLC | 5.00% | 9/15/2026 | 4,331 | 4,190,243 | ||||||||
NRG Yield Operating LLC | 5.375% | 8/15/2024 | 2,121 | 2,131,605 | ||||||||
NSG Holdings LLC/NSG Holdings, Inc.† | 7.75% | 12/15/2025 | 8,469 | 9,294,911 | ||||||||
Red Oak Power LLC | 9.20% | 11/30/2029 | 9,537 | 10,931,786 | ||||||||
Rio Energy SA/UGEN SA/UENSA SA (Argentina)†(a) | 6.875% | 2/1/2025 | 7,546 | 6,885,725 | ||||||||
Talen Energy Supply LLC | 4.60% | 12/15/2021 | 7,921 | 7,029,888 | ||||||||
Terraform Global Operating LLC† | 6.125% | 3/1/2026 | 6,836 | 6,818,910 | ||||||||
TerraForm Power Operating LLC† | 5.00% | 1/31/2028 | 9,829 | 9,312,978 | ||||||||
Vistra Energy Corp. | 7.625% | 11/1/2024 | 9,120 | 9,838,200 | ||||||||
Vistra Energy Corp.† | 8.125% | 1/30/2026 | 12,975 | 14,253,427 | ||||||||
Total | 143,505,692 |
See Notes to Financial Statements. | 139 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Integrated 0.65% | ||||||||||||
Aegea Finance Sarl (Brazil)†(a) | 5.75% | 10/10/2024 | $ | 7,749 | $ | 7,458,413 | ||||||
Eskom Holdings SOC Ltd. (South Africa)†(a) | 6.75% | 8/6/2023 | 9,938 | 9,929,950 | ||||||||
NRG Energy, Inc.† | 5.75% | 1/15/2028 | 16,504 | 16,340,445 | ||||||||
Pampa Energia SA (Argentina)†(a) | 7.50% | 1/24/2027 | 10,396 | 9,964,046 | ||||||||
Total | 43,692,854 | |||||||||||
Electronics 0.72% | ||||||||||||
Entegris, Inc.† | 4.625% | 2/10/2026 | 7,121 | 6,862,864 | ||||||||
Itron, Inc.† | 5.00% | 1/15/2026 | 7,175 | 6,905,937 | ||||||||
Nokia OYJ (Finland)(a) | 4.375% | 6/12/2027 | 7,116 | 6,717,789 | ||||||||
Qorvo, Inc. | 7.00% | 12/1/2025 | 12,847 | 13,890,819 | ||||||||
Sensata Technologies BV† | 5.625% | 11/1/2024 | 13,449 | 14,020,582 | ||||||||
Total | 48,397,991 | |||||||||||
Energy: Exploration & Production 6.98% | ||||||||||||
Afren plc (United Kingdom)†(a)(k) | 6.625% | 12/9/2020 | 4,806 | 21,050 | ||||||||
Afren plc (United Kingdom)†(a)(k) | 10.25% | 4/8/2019 | 3,367 | 14,746 | ||||||||
Afren plc (United Kingdom)†(a)(k) | 11.50% | 2/1/2016 | 4,294 | 18,806 | ||||||||
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. | 7.875% | 12/15/2024 | 15,981 | 16,899,907 | ||||||||
Baytex Energy Corp. (Canada)†(a) | 5.625% | 6/1/2024 | 7,371 | 6,744,465 | ||||||||
Berry Petroleum Co. LLC† | 7.00% | 2/15/2026 | 13,315 | 13,581,300 | ||||||||
California Resources Corp.† | 8.00% | 12/15/2022 | 26,581 | 23,590,637 | ||||||||
Callon Petroleum Co. | 6.125% | 10/1/2024 | 13,586 | 13,772,807 | ||||||||
Carrizo Oil & Gas, Inc. | 8.25% | 7/15/2025 | 8,474 | 9,067,180 | ||||||||
Centennial Resource Production LLC† | 5.375% | 1/15/2026 | 10,459 | 10,328,262 | ||||||||
Continental Resources, Inc. | 3.80% | 6/1/2024 | 20,758 | 20,324,768 | ||||||||
Continental Resources, Inc. | 4.375% | 1/15/2028 | 20,321 | 20,234,461 | ||||||||
Continental Resources, Inc. | 4.50% | 4/15/2023 | 7,861 | 8,008,899 | ||||||||
Denbury Resources, Inc. | 4.625% | 7/15/2023 | 4,690 | 3,939,600 | ||||||||
Denbury Resources, Inc. | 5.50% | 5/1/2022 | 7,635 | 6,776,063 | ||||||||
Denbury Resources, Inc.† | 9.00% | 5/15/2021 | 6,758 | 7,197,270 | ||||||||
Diamondback Energy, Inc. | 4.75% | 11/1/2024 | 19,941 | 19,317,844 | ||||||||
Eclipse Resources Corp. | 8.875% | 7/15/2023 | 9,057 | 8,558,865 | ||||||||
Endeavor Energy Resources LP/EER Finance, Inc.† | 5.50% | 1/30/2026 | 5,614 | 5,515,755 | ||||||||
Energen Corp. | 4.625% | 9/1/2021 | 9,496 | 9,519,740 | ||||||||
EP Energy LLC/Everest Acquisition Finance, Inc.† | 8.00% | 11/29/2024 | 8,260 | 8,218,700 | ||||||||
EP Energy LLC/Everest Acquisition Finance, Inc.† | 8.00% | 2/15/2025 | 6,188 | 4,517,240 | ||||||||
Extraction Oil & Gas, Inc.† | 7.375% | 5/15/2024 | 6,902 | 7,264,355 | ||||||||
Gulfport Energy Corp. | 6.00% | 10/15/2024 | 3,077 | 2,907,765 |
140 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Energy: Exploration & Production (continued) | ||||||||||||
Gulfport Energy Corp. | 6.375% | 5/15/2025 | $ | 3,955 | $ | 3,811,592 | ||||||
Gulfport Energy Corp. | 6.375% | 1/15/2026 | 4,209 | 4,030,118 | ||||||||
Halcon Resources Corp. | 6.75% | 2/15/2025 | 6,601 | 6,221,443 | ||||||||
HighPoint Operating Corp. | 7.00% | 10/15/2022 | 7,112 | 7,198,766 | ||||||||
HighPoint Operating Corp. | 8.75% | 6/15/2025 | 3,202 | 3,442,150 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 5.00% | 12/1/2024 | 10,163 | 9,959,740 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 5.75% | 10/1/2025 | 8,392 | 8,412,980 | ||||||||
Indigo Natural Resources LLC† | 6.875% | 2/15/2026 | 7,210 | 6,921,600 | ||||||||
Jagged Peak Energy LLC† | 5.875% | 5/1/2026 | 11,124 | 11,012,760 | ||||||||
Jonah Energy LLC/Jonah Energy Finance Corp.† | 7.25% | 10/15/2025 | 18,004 | 14,335,685 | ||||||||
MEG Energy Corp. (Canada)†(a) | 6.50% | 1/15/2025 | 10,802 | 10,866,164 | ||||||||
MEG Energy Corp. (Canada)†(a) | 7.00% | 3/31/2024 | 15,381 | 13,958,257 | ||||||||
Murphy Oil Corp. | 6.875% | 8/15/2024 | 6,769 | 7,192,062 | ||||||||
Newfield Exploration Co. | 5.75% | 1/30/2022 | 6,239 | 6,566,548 | ||||||||
Parsley Energy LLC/Parsley Finance Corp.† | 6.25% | 6/1/2024 | 8,256 | 8,544,960 | ||||||||
PDC Energy, Inc. | 6.125% | 9/15/2024 | 4,119 | 4,211,678 | ||||||||
Range Resources Corp. | 4.875% | 5/15/2025 | 7,290 | 6,889,050 | ||||||||
Sable Permian Resources Land LLC/AEPB Finance Corp.† | 13.00% | 11/30/2020 | 7,706 | 8,669,250 | ||||||||
Sanchez Energy Corp. | 6.125% | 1/15/2023 | 8,087 | 5,357,638 | ||||||||
Sanchez Energy Corp.† | 7.25% | 2/15/2023 | 9,174 | 9,036,390 | ||||||||
SM Energy Co. | 5.625% | 6/1/2025 | 4,483 | 4,314,888 | ||||||||
SM Energy Co. | 6.75% | 9/15/2026 | 2,224 | 2,262,920 | ||||||||
Southwestern Energy Co. | 7.50% | 4/1/2026 | 6,639 | 6,904,693 | ||||||||
Southwestern Energy Co. | 7.75% | 10/1/2027 | 5,491 | 5,765,550 | ||||||||
SRC Energy, Inc.† | 6.25% | 12/1/2025 | 12,231 | 12,506,197 | ||||||||
Tapstone Energy LLC/Tapstone Energy Finance Corp.† | 9.75% | 6/1/2022 | 22,778 | 19,446,717 | ||||||||
WildHorse Resource Development Corp.† | 6.875% | 2/1/2025 | 6,424 | 6,592,630 | ||||||||
WPX Energy, Inc. | 5.25% | 9/15/2024 | 11,997 | 11,937,015 | ||||||||
WPX Energy, Inc. | 5.75% | 6/1/2026 | 8,510 | 8,504,554 | ||||||||
YPF SA (Argentina)†(a) | 6.95% | 7/21/2027 | 7,429 | 6,908,970 | ||||||||
Total | 468,123,450 | |||||||||||
Environmental 0.35% | ||||||||||||
Hulk Finance Corp. (Canada)†(a) | 7.00% | 6/1/2026 | 10,224 | 9,942,840 | ||||||||
Waste Pro USA, Inc.† | 5.50% | 2/15/2026 | 7,069 | 6,839,258 | ||||||||
Wrangler Buyer Corp.† | 6.00% | 10/1/2025 | 7,303 | 6,992,622 | ||||||||
Total | 23,774,720 |
See Notes to Financial Statements. | 141 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Food & Drug Retailers 0.26% | ||||||||||||
Albertsons Cos LLC/Safeway, Inc./New Albertsons LP/Albertson’s LLC | 6.625% | 6/15/2024 | $ | 7,511 | $ | 7,100,148 | ||||||
Ingles Markets, Inc. | 5.75% | 6/15/2023 | 10,562 | 10,562,000 | ||||||||
Total | 17,662,148 | |||||||||||
Food: Wholesale 1.70% | ||||||||||||
B&G Foods, Inc. | 5.25% | 4/1/2025 | 8,617 | 8,121,522 | ||||||||
Chobani LLC/Chobani Finance Corp., Inc.† | 7.50% | 4/15/2025 | 7,753 | 7,491,336 | ||||||||
Dole Food Co., Inc.† | 7.25% | 6/15/2025 | 6,673 | 6,656,318 | ||||||||
FAGE International SA/FAGE USA Dairy Industry, Inc. (Luxembourg)†(a) | 5.625% | 8/15/2026 | 7,283 | 6,754,982 | ||||||||
JBS USA LUX SA/JBS USA Finance, Inc.† | 5.875% | 7/15/2024 | 6,909 | 6,641,276 | ||||||||
JBS USA LUX SA/JBS USA Finance, Inc.† | 6.75% | 2/15/2028 | 12,187 | 11,531,949 | ||||||||
KeHE Distributors LLC/KeHE Finance Corp.† | 7.625% | 8/15/2021 | 6,361 | 6,186,073 | ||||||||
Kernel Holding SA (Ukraine)†(a) | 8.75% | 1/31/2022 | 9,796 | 10,161,645 | ||||||||
Lamb Weston Holdings, Inc.† | 4.625% | 11/1/2024 | 8,698 | 8,589,275 | ||||||||
Matterhorn Merger Sub LLC/Matterhorn Finance Sub, Inc.† | 8.50% | 6/1/2026 | 7,396 | 7,211,100 | ||||||||
MHP Lux SA (Luxembourg)†(a) | 6.95% | 4/3/2026 | 10,478 | 10,175,710 | ||||||||
MHP SE (Ukraine)†(a) | 7.75% | 5/10/2024 | 8,529 | 8,766,533 | ||||||||
Performance Food Group, Inc.† | 5.50% | 6/1/2024 | 6,677 | 6,626,923 | ||||||||
Simmons Foods, Inc.† | 5.75% | 11/1/2024 | 7,944 | 6,792,120 | ||||||||
Tonon Luxembourg SA (Luxembourg)†(a)(k) | 10.50% | 5/14/2024 | 4,699 | 1,997,460 | ||||||||
Total | 113,704,222 | |||||||||||
Forestry/Paper 1.15% | ||||||||||||
Boise Cascade Co.† | 5.625% | 9/1/2024 | 16,563 | 16,707,926 | ||||||||
Eldorado Intl. Finance GmbH (Austria)†(a) | 8.625% | 6/16/2021 | 6,850 | 7,222,469 | ||||||||
Klabin Finance SA (Luxembourg)†(a) | 4.875% | 9/19/2027 | 7,165 | 6,609,713 | ||||||||
Louisiana-Pacific Corp. | 4.875% | 9/15/2024 | 14,123 | 13,875,847 | ||||||||
Mercer International, Inc. (Canada)†(a) | 5.50% | 1/15/2026 | 9,824 | 9,652,080 | ||||||||
Norbord, Inc. (Canada)†(a) | 6.25% | 4/15/2023 | 12,650 | 13,285,915 | ||||||||
Rayonier AM Products, Inc.† | 5.50% | 6/1/2024 | 10,344 | 9,826,800 | ||||||||
Total | 77,180,750 | |||||||||||
Gaming 2.73% | ||||||||||||
Buena Vista Gaming Authority† | 13.00% | 4/1/2023 | 9,348 | 9,488,220 | ||||||||
Caesars Resort Collection LLC/CRC Finco, Inc.† | 5.25% | 10/15/2025 | 6,849 | 6,575,040 | ||||||||
Churchill Downs, Inc.† | 4.75% | 1/15/2028 | 11,350 | 10,640,625 | ||||||||
Eldorado Resorts, Inc. | 6.00% | 4/1/2025 | 6,073 | 6,073,000 |
142 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Gaming (continued) | ||||||||||||
Everi Payments, Inc.† | 7.50% | 12/15/2025 | $ | 9,796 | $ | 9,955,185 | ||||||
Gateway Casinos & Entertainment Ltd. (Canada)†(a) | 8.25% | 3/1/2024 | 6,800 | 7,191,000 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 5.375% | 4/15/2026 | 4,415 | 4,392,925 | ||||||||
Jacobs Entertainment, Inc.† | 7.875% | 2/1/2024 | 9,358 | 9,802,505 | ||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. | 5.625% | 5/1/2024 | 6,675 | 6,775,125 | ||||||||
MGM Resorts International | 6.00% | 3/15/2023 | 22,721 | 23,516,235 | ||||||||
MGM Resorts International | 7.75% | 3/15/2022 | 2,156 | 2,366,210 | ||||||||
Mohegan Gaming & Entertainment†(l) | 7.875% | 10/15/2024 | 13,035 | 12,448,425 | ||||||||
Penn National Gaming, Inc.† | 5.625% | 1/15/2027 | 13,855 | 13,266,163 | ||||||||
Scientific Games International, Inc.†(b) | 3.375% | 2/15/2026 | EUR | 8,570 | 9,742,045 | |||||||
Scientific Games International, Inc.† | 5.00% | 10/15/2025 | $ | 6,910 | 6,685,425 | |||||||
Station Casinos LLC† | 5.00% | 10/1/2025 | 6,918 | 6,665,493 | ||||||||
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp.† | 5.875% | 5/15/2025 | 6,952 | 6,647,850 | ||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.† | 5.50% | 3/1/2025 | 20,283 | 19,928,047 | ||||||||
Wynn Macau Ltd. (Macau)†(a) | 5.50% | 10/1/2027 | 11,302 | 10,934,685 | ||||||||
Total | 183,094,203 | |||||||||||
Gas Distribution 2.32% | ||||||||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp. | 5.375% | 9/15/2024 | 8,225 | 8,101,625 | ||||||||
Cheniere Corpus Christi Holdings LLC | 5.125% | 6/30/2027 | 25,047 | 24,984,382 | ||||||||
Cheniere Corpus Christi Holdings LLC | 5.875% | 3/31/2025 | 16,628 | 17,417,830 | ||||||||
Cheniere Corpus Christi Holdings LLC | 7.00% | 6/30/2024 | 5,339 | 5,912,943 | ||||||||
Cheniere Energy Partners LP† | 5.25% | 10/1/2025 | 6,924 | 6,750,900 | ||||||||
Delek Logistics Partners LP | 6.75% | 5/15/2025 | 6,834 | 6,799,830 | ||||||||
Enable Oklahoma Intrastate Transmission LLC† | 6.25% | 3/15/2020 | 6,559 | 6,858,095 | ||||||||
Holly Energy Partners LP/Holly Energy Finance Corp.† | 6.00% | 8/1/2024 | 7,202 | 7,220,005 | ||||||||
IFM US Colonial Pipeline 2 LLC† | 6.45% | 5/1/2021 | 4,150 | 4,436,955 | ||||||||
LBC Tank Terminals Holding Netherlands BV (Belgium)†(a) | 6.875% | 5/15/2023 | 6,105 | 6,234,731 | ||||||||
NGPL PipeCo LLC† | 4.875% | 8/15/2027 | 12,545 | 12,226,984 | ||||||||
Rockies Express Pipeline LLC† | 5.625% | 4/15/2020 | 4,597 | 4,745,023 | ||||||||
Rockies Express Pipeline LLC† | 6.875% | 4/15/2040 | 13,093 | 15,122,415 | ||||||||
Rockpoint Gas Storage Canada Ltd. (Canada)†(a) | 7.00% | 3/31/2023 | 10,566 | 10,711,283 | ||||||||
Southern Star Central Corp.† | 5.125% | 7/15/2022 | 9,846 | 9,944,460 | ||||||||
Williams Cos., Inc. (The) | 3.70% | 1/15/2023 | 8,560 | 8,368,513 | ||||||||
Total | 155,835,974 |
See Notes to Financial Statements. | 143 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Health Facilities 3.54% | ||||||||||||
Acadia Healthcare Co., Inc. | 5.625% | 2/15/2023 | $ | 7,684 | $ | 7,808,865 | ||||||
Acadia Healthcare Co., Inc. | 6.50% | 3/1/2024 | 1,901 | 1,977,040 | ||||||||
CHS/Community Health Systems, Inc. | 5.125% | 8/1/2021 | 5,613 | 5,302,545 | ||||||||
CHS/Community Health Systems, Inc. | 7.125% | 7/15/2020 | 8,257 | 7,018,450 | ||||||||
CHS/Community Health Systems, Inc. | 8.00% | 11/15/2019 | 17,912 | 17,464,200 | ||||||||
HCA, Inc. | 5.25% | 4/15/2025 | 11,532 | 11,618,490 | ||||||||
HCA, Inc. | 5.25% | 6/15/2026 | 53,119 | 52,986,202 | ||||||||
HCA, Inc. | 5.50% | 6/15/2047 | 22,518 | 21,054,330 | ||||||||
HCA, Inc. | 5.875% | 3/15/2022 | 4,361 | 4,595,404 | ||||||||
HCA, Inc. | 7.50% | 2/15/2022 | 5,000 | 5,462,500 | ||||||||
HCA, Inc. | 7.50% | 12/15/2023 | 10,647 | 11,658,465 | ||||||||
HCA, Inc. | 7.69% | 6/15/2025 | 3,765 | 4,122,675 | ||||||||
HCA, Inc. | 8.36% | 4/15/2024 | 12,701 | 14,320,378 | ||||||||
RegionalCare Hospital Partners Holdings, Inc.† | 8.25% | 5/1/2023 | 9,379 | 9,883,121 | ||||||||
Surgery Center Holdings, Inc.† | 6.75% | 7/1/2025 | 7,290 | 6,834,375 | ||||||||
Tenet Healthcare Corp.† | 4.625% | 7/15/2024 | 14,970 | 14,445,301 | ||||||||
Tenet Healthcare Corp.† | 5.125% | 5/1/2025 | 32,615 | 31,758,856 | ||||||||
Tenet Healthcare Corp. | 6.75% | 6/15/2023 | 2,359 | 2,356,051 | ||||||||
Tenet Healthcare Corp.† | 7.00% | 8/1/2025 | 6,837 | 6,819,908 | ||||||||
Total | 237,487,156 | |||||||||||
Health Services 1.33% | ||||||||||||
Air Medical Group Holdings, Inc.† | 6.375% | 5/15/2023 | 14,187 | 13,442,182 | ||||||||
ASP AMC Merger Sub, Inc.† | 8.00% | 5/15/2025 | 12,792 | 11,045,124 | ||||||||
Hadrian Merger Sub, Inc.† | 8.50% | 5/1/2026 | 6,830 | 6,787,313 | ||||||||
inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc.† | 7.50% | 10/1/2024 | 3,766 | 3,991,960 | ||||||||
Jaguar Holding Co. II/Pharmaceutical Product Development LLC† | 6.375% | 8/1/2023 | 6,742 | 6,795,262 | ||||||||
MPH Acquisition Holdings LLC† | 7.125% | 6/1/2024 | 6,279 | 6,530,160 | ||||||||
Polaris Intermediate Corp. PIK 8.50%† | 8.50% | 12/1/2022 | 9,240 | 9,574,950 | ||||||||
Rede D’or Finance Sarl (Luxembourg)†(a) | 4.95% | 1/17/2028 | 10,999 | 9,893,326 | ||||||||
Service Corp. International | 4.625% | 12/15/2027 | 8,478 | 8,105,053 | ||||||||
Team Health Holdings, Inc.† | 6.375% | 2/1/2025 | 7,593 | 6,605,910 | ||||||||
West Street Merger Sub, Inc.† | 6.375% | 9/1/2025 | 6,950 | 6,672,000 | ||||||||
Total | 89,443,240 | |||||||||||
Hotels 0.60% | ||||||||||||
ESH Hospitality, Inc.† | 5.25% | 5/1/2025 | 10,075 | 9,703,232 | ||||||||
Hilton Domestic Operating Co., Inc. | 4.25% | 9/1/2024 | 7,611 | 7,268,505 |
144 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Hotels (continued) | ||||||||||||
Hilton Domestic Operating Co., Inc.† | 5.125% | 5/1/2026 | $ | 13,784 | $ | 13,525,550 | ||||||
Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower, Inc. | 6.125% | 12/1/2024 | 9,062 | 9,413,153 | ||||||||
Total | 39,910,440 | |||||||||||
Insurance Brokerage 0.22% | ||||||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer† | 8.25% | 8/1/2023 | 6,763 | 6,999,705 | ||||||||
HUB International Ltd.† | 7.00% | 5/1/2026 | 8,005 | 8,027,894 | ||||||||
Total | 15,027,599 | |||||||||||
Integrated Energy 0.65% | ||||||||||||
Petrobras Global Finance BV (Netherlands)(a) | 5.625% | 5/20/2043 | 39,837 | 33,413,284 | ||||||||
Rio Oil Finance Trust Series 2018-1 (Brazil)†(a) | 8.20% | 4/6/2028 | 9,652 | 9,929,495 | ||||||||
Total | 43,342,779 | |||||||||||
Investments & Miscellaneous Financial Services 0.58% | ||||||||||||
BrightSphere Investment Group plc (United Kingdom)(a) | 4.80% | 7/27/2026 | 7,100 | 7,033,957 | ||||||||
MSCI, Inc.† | 5.75% | 8/15/2025 | 14,906 | 15,409,077 | ||||||||
VFH Parent LLC/Orchestra Co-Issuer, Inc.† | 6.75% | 6/15/2022 | 15,708 | 16,306,632 | ||||||||
Total | 38,749,666 | |||||||||||
Life Insurance 0.10% | ||||||||||||
CNO Financial Group, Inc. | 5.25% | 5/30/2025 | 6,803 | 6,871,030 | ||||||||
Machinery 0.44% | ||||||||||||
Manitowoc Co., Inc. (The)† | 12.75% | 8/15/2021 | 5,831 | 6,523,431 | ||||||||
Tennant Co. | 5.625% | 5/1/2025 | 6,242 | 6,242,000 | ||||||||
Titan Acquisition Ltd./Titan Co-Borrower LLC (Canada)†(a) | 7.75% | 4/15/2026 | 9,491 | 9,040,178 | ||||||||
Welbilt, Inc. | 9.50% | 2/15/2024 | 7,122 | 7,887,615 | ||||||||
Total | 29,693,224 | |||||||||||
Managed Care 1.15% | ||||||||||||
Centene Corp. | 4.75% | 1/15/2025 | 15,663 | 15,604,264 | ||||||||
Centene Corp. | 6.125% | 2/15/2024 | 6,349 | 6,690,259 | ||||||||
Centene Escrow I Corp.† | 5.375% | 6/1/2026 | 18,919 | 19,155,487 | ||||||||
Molina Healthcare, Inc.† | 4.875% | 6/15/2025 | 12,895 | 12,314,725 | ||||||||
WellCare Health Plans, Inc. | 5.25% | 4/1/2025 | 23,451 | 23,451,000 | ||||||||
Total | 77,215,735 |
See Notes to Financial Statements. | 145 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Media: Content 2.97% | ||||||||||||
AMC Networks, Inc. | 4.75% | 8/1/2025 | $ | 10,603 | $ | 9,993,328 | ||||||
AMC Networks, Inc. | 5.00% | 4/1/2024 | 8,904 | 8,670,270 | ||||||||
Belo Corp. | 7.25% | 9/15/2027 | 11,082 | 11,802,330 | ||||||||
EW Scripps Co. (The)† | 5.125% | 5/15/2025 | 9,223 | 8,750,321 | ||||||||
Gray Television, Inc.† | 5.125% | 10/15/2024 | 2,555 | 2,414,475 | ||||||||
Gray Television, Inc.† | 5.875% | 7/15/2026 | 11,267 | 10,675,482 | ||||||||
iHeartCommunications, Inc.(k) | 9.00% | 3/1/2021 | 16,790 | 13,348,050 | ||||||||
Netflix, Inc.(b) | 3.625% | 5/15/2027 | EUR | 30,266 | 35,149,314 | |||||||
Netflix, Inc. | 4.375% | 11/15/2026 | $ | 7,423 | 7,030,991 | |||||||
Netflix, Inc.† | 4.875% | 4/15/2028 | 3,462 | 3,293,574 | ||||||||
Netflix, Inc. | 5.875% | 2/15/2025 | 28,899 | 29,804,984 | ||||||||
Salem Media Group, Inc.† | 6.75% | 6/1/2024 | 10,951 | 10,403,450 | ||||||||
Sirius XM Radio, Inc.† | 5.00% | 8/1/2027 | 22,174 | 21,179,274 | ||||||||
Sirius XM Radio, Inc.† | 5.375% | 7/15/2026 | 13,553 | 13,146,410 | ||||||||
Sirius XM Radio, Inc.† | 6.00% | 7/15/2024 | 7,306 | 7,506,915 | ||||||||
WMG Acquisition Corp.† | 5.00% | 8/1/2023 | 6,372 | 6,316,245 | ||||||||
Total | 199,485,413 | |||||||||||
Medical Products 0.72% | ||||||||||||
Charles River Laboratories International, Inc.† | 5.50% | 4/1/2026 | 6,616 | 6,657,350 | ||||||||
Hill-Rom Holdings, Inc.† | 5.00% | 2/15/2025 | 6,599 | 6,467,020 | ||||||||
Hill-Rom Holdings, Inc.† | 5.75% | 9/1/2023 | 8,123 | 8,366,690 | ||||||||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA† | 6.625% | 5/15/2022 | 13,560 | 13,424,400 | ||||||||
Teleflex, Inc. | 4.625% | 11/15/2027 | 4,187 | 3,951,481 | ||||||||
Teleflex, Inc. | 4.875% | 6/1/2026 | 9,379 | 9,214,868 | ||||||||
Total | 48,081,809 | |||||||||||
Metals/Mining (Excluding Steel) 4.75% | ||||||||||||
Alcoa Nederland Holding BV (Netherlands)†(a) | 6.125% | 5/15/2028 | 2,723 | 2,811,498 | ||||||||
Alcoa Nederland Holding BV (Netherlands)†(a) | 6.75% | 9/30/2024 | 18,337 | 19,486,730 | ||||||||
Baffinland Iron Mines Corp. (Canada)†(a) | 12.00% | 2/1/2022 | 9,277 | 10,320,662 | ||||||||
Barminco Finance Pty Ltd. (Australia)†(a) | 6.625% | 5/15/2022 | 12,224 | 11,765,600 | ||||||||
Cleveland-Cliffs, Inc. | 5.75% | 3/1/2025 | 14,618 | 14,005,871 | ||||||||
Coeur Mining, Inc. | 5.875% | 6/1/2024 | 7,525 | 7,402,719 | ||||||||
Compass Minerals International, Inc.† | 4.875% | 7/15/2024 | 12,225 | 11,644,312 | ||||||||
CONSOL Energy, Inc.† | 11.00% | 11/15/2025 | 14,244 | 15,650,595 | ||||||||
Eterna Capital Pte Ltd. PIK 8.00% (Singapore)(a) | 8.00% | 12/11/2022 | 4,970 | 4,759,201 | ||||||||
Ferroglobe plc/Globe Specialty Metals, Inc. (United Kingdom)†(a) | 9.375% | 3/1/2022 | 19,064 | 20,303,160 |
146 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Metals/Mining (Excluding Steel) (continued) | ||||||||||||
First Quantum Minerals Ltd. (Canada)†(a) | 7.25% | 4/1/2023 | $ | 6,747 | $ | 6,789,169 | ||||||
Freeport-McMoRan, Inc. | 3.875% | 3/15/2023 | 55,855 | 53,830,256 | ||||||||
Geo Coal International Pte Ltd. (Singapore)†(a) | 8.00% | 10/4/2022 | 7,287 | 6,983,832 | ||||||||
Grinding Media, Inc./Moly-Cop AltaSteel Ltd.† | 7.375% | 12/15/2023 | 5,794 | 6,112,670 | ||||||||
Hudbay Minerals, Inc. (Canada)†(a) | 7.25% | 1/15/2023 | 161 | 167,038 | ||||||||
Hudbay Minerals, Inc. (Canada)†(a) | 7.625% | 1/15/2025 | 6,130 | 6,467,150 | ||||||||
Imperial Metals Corp. (Canada)†(a) | 7.00% | 3/15/2019 | 8,089 | 7,462,102 | ||||||||
Indika Energy Capital III Pte Ltd. (Singapore)†(a) | 5.875% | 11/9/2024 | 10,424 | 9,766,600 | ||||||||
Mirabela Nickel Ltd. (Australia)(a) | 1.00% | 9/10/2044 | 51 | 5 | (c) | |||||||
Novelis Corp.† | 5.875% | 9/30/2026 | 9,509 | 9,343,543 | ||||||||
Novelis Corp.† | 6.25% | 8/15/2024 | 7,351 | 7,462,000 | ||||||||
Peabody Energy Corp.† | 6.375% | 3/31/2025 | 38,165 | 39,739,306 | ||||||||
Peabody Energy Corp. | 10.00% | 3/15/2022 | 7,120 | 712 | (c) | |||||||
Rain CII Carbon LLC/CII Carbon Corp.† | 7.25% | 4/1/2025 | 12,979 | 13,457,666 | ||||||||
Samarco Mineracao SA (Brazil)†(a)(k) | 4.125% | 11/1/2022 | 12,880 | 9,144,800 | ||||||||
Taseko Mines Ltd. (Canada)†(a) | 8.75% | 6/15/2022 | 7,011 | 7,273,913 | ||||||||
Vedanta Resources plc (India)†(a) | 6.125% | 8/9/2024 | 4,014 | 3,740,783 | ||||||||
Warrior Met Coal, Inc.† | 8.00% | 11/1/2024 | 12,632 | 12,963,590 | ||||||||
Total | 318,855,483 | |||||||||||
Monoline Insurance 0.44% | ||||||||||||
Acrisure LLC/Acrisure Finance, Inc.† | 7.00% | 11/15/2025 | 10,380 | 9,705,300 | ||||||||
MGIC Investment Corp. | 5.75% | 8/15/2023 | 12,840 | 13,161,000 | ||||||||
Radian Group, Inc. | 4.50% | 10/1/2024 | 7,035 | 6,727,219 | ||||||||
Total | 29,593,519 | |||||||||||
Oil Field Equipment & Services 3.07% | ||||||||||||
Apergy Corp.† | 6.375% | 5/1/2026 | 9,782 | 9,965,412 | ||||||||
Bristow Group, Inc.† | 8.75% | 3/1/2023 | 9,949 | 9,774,892 | ||||||||
Calfrac Holdings LP† | 8.50% | 6/15/2026 | 12,173 | 12,108,483 | ||||||||
CSI Compressco LP/CSI Compressco Finance, Inc. | 7.25% | 8/15/2022 | 10,378 | 9,781,265 | ||||||||
CSI Compressco LP/CSI Compressco Finance, Inc.† | 7.50% | 4/1/2025 | 11,534 | 11,649,340 | ||||||||
Ensco plc (United Kingdom)(a) | 4.50% | 10/1/2024 | 8,401 | 7,025,336 | ||||||||
Ensco plc (United Kingdom)(a) | 5.20% | 3/15/2025 | 3,762 | 3,164,783 | ||||||||
Ensco plc (United Kingdom)(a) | 7.75% | 2/1/2026 | 5,362 | 5,127,413 | ||||||||
Exterran Energy Solutions LP/EES Finance Corp. | 8.125% | 5/1/2025 | 14,668 | 15,529,745 | ||||||||
Forum Energy Technologies, Inc. | 6.25% | 10/1/2021 | 13,344 | 13,460,760 | ||||||||
Hunt Oil Co. of Peru LLC Sucursal Del Peru (Peru)†(a)(m) | 6.375% | 6/1/2028 | 6,434 | 6,450,085 | ||||||||
Noble Holding International Ltd.† | 7.875% | 2/1/2026 | 16,752 | 17,087,040 |
See Notes to Financial Statements. | 147 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Oil Field Equipment & Services (continued) | ||||||||||||
Pioneer Energy Services Corp. | 6.125% | 3/15/2022 | $ | 7,907 | $ | 7,551,185 | ||||||
Precision Drilling Corp. (Canada)(a) | 5.25% | 11/15/2024 | 20,251 | 19,137,195 | ||||||||
Precision Drilling Corp. (Canada)(a) | 7.75% | 12/15/2023 | 4,385 | 4,659,063 | ||||||||
Rowan Cos., Inc. | 4.75% | 1/15/2024 | 7,661 | 6,607,613 | ||||||||
Transocean Phoenix 2 Ltd.† | 7.75% | 10/15/2024 | 7,132 | 7,693,106 | ||||||||
Transocean Proteus Ltd.† | 6.25% | 12/1/2024 | 8,079 | 8,230,787 | ||||||||
Transocean, Inc.† | 7.50% | 1/15/2026 | 17,277 | 17,557,751 | ||||||||
Trinidad Drilling Ltd. (Canada)†(a) | 6.625% | 2/15/2025 | 7,040 | 6,740,800 | ||||||||
Unit Corp. | 6.625% | 5/15/2021 | 6,737 | 6,787,527 | ||||||||
Total | 206,089,581 | |||||||||||
Oil Refining & Marketing 0.24% | ||||||||||||
Citgo Holding, Inc.† | 10.75% | 2/15/2020 | 15,084 | 16,177,590 | ||||||||
Packaging 0.88% | ||||||||||||
BWAY Holding Co.† | 7.25% | 4/15/2025 | 13,843 | 13,627,049 | ||||||||
Pactiv LLC | 7.95% | 12/15/2025 | 9,754 | 10,729,400 | ||||||||
Sealed Air Corp.† | 6.875% | 7/15/2033 | 11,668 | 12,922,310 | ||||||||
Silgan Holdings, Inc. | 4.75% | 3/15/2025 | 6,319 | 6,018,848 | ||||||||
Trident Merger Sub, Inc.† | 6.625% | 11/1/2025 | 9,073 | 8,959,587 | ||||||||
W/S Packaging Holdings, Inc.† | 9.00% | 4/15/2023 | 6,783 | 6,969,533 | ||||||||
Total | 59,226,727 | |||||||||||
Personal & Household Products 0.53% | ||||||||||||
Central Garden & Pet Co. | 5.125% | 2/1/2028 | 11,321 | 10,613,438 | ||||||||
Gibson Brands, Inc.†(k) | 8.875% | 8/1/2018 | 10,533 | 8,953,050 | ||||||||
High Ridge Brands Co.† | 8.875% | 3/15/2025 | 9,249 | 4,347,030 | ||||||||
Mattel, Inc. | 5.45% | 11/1/2041 | 7,524 | 6,074,125 | ||||||||
Mattel, Inc.† | 6.75% | 12/31/2025 | 5,657 | 5,532,546 | ||||||||
Total | 35,520,189 | |||||||||||
Pharmaceuticals 1.42% | ||||||||||||
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)(a) | 3.15% | 10/1/2026 | 8,660 | 7,006,061 | ||||||||
Valeant Pharmaceuticals International, Inc.† | 5.50% | 3/1/2023 | 9,807 | 9,169,545 | ||||||||
Valeant Pharmaceuticals International, Inc.† | 5.625% | 12/1/2021 | 23,082 | 22,960,819 | ||||||||
Valeant Pharmaceuticals International, Inc.† | 5.875% | 5/15/2023 | 28,104 | 26,804,190 | ||||||||
Valeant Pharmaceuticals International, Inc.† | 6.50% | 3/15/2022 | 4,119 | 4,304,355 | ||||||||
Valeant Pharmaceuticals International, Inc.† | 7.00% | 3/15/2024 | 6,590 | 6,927,738 | ||||||||
Valeant Pharmaceuticals International, Inc.†(m) | 8.50% | 1/31/2027 | 17,681 | 18,012,519 | ||||||||
Total | 95,185,227 |
148 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Printing & Publishing 0.15% | ||||||||||||
Meredith Corp.† | 6.875% | 2/1/2026 | $ | 9,692 | $ | 9,813,150 | ||||||
Rail 0.28% | ||||||||||||
Rumo Luxembourg Sarl (Luxembourg)†(a) | 5.875% | 1/18/2025 | 6,602 | 6,234,764 | ||||||||
Rumo Luxembourg Sarl (Luxembourg)†(a) | 7.375% | 2/9/2024 | 11,801 | 12,237,637 | ||||||||
Total | 18,472,401 | |||||||||||
Real Estate Development & Management 0.44% | ||||||||||||
China Evergrande Group (China)(a) | 8.75% | 6/28/2025 | 13,333 | 12,351,425 | ||||||||
Greystar Real Estate Partners LLC† | 5.75% | 12/1/2025 | 6,435 | 6,290,212 | ||||||||
Kaisa Group Holdings Ltd. (China)(a) | 9.375% | 6/30/2024 | 13,233 | 10,537,173 | ||||||||
Total | 29,178,810 | |||||||||||
Recreation & Travel 0.93% | ||||||||||||
24 Hour Fitness Worldwide, Inc.† | 8.00% | 6/1/2022 | 7,771 | 7,848,710 | ||||||||
Boyne USA, Inc.† | 7.25% | 5/1/2025 | 6,575 | 6,850,361 | ||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op† | 5.375% | 4/15/2027 | 3,873 | 3,853,635 | ||||||||
Merlin Entertainments plc (United Kingdom)†(a) | 5.75% | 6/15/2026 | 7,625 | 7,696,522 | ||||||||
Silversea Cruise Finance Ltd.† | 7.25% | 2/1/2025 | 15,848 | 16,600,780 | ||||||||
Six Flags Entertainment Corp.† | 4.875% | 7/31/2024 | 6,820 | 6,598,350 | ||||||||
Speedway Motorsports, Inc. | 5.125% | 2/1/2023 | 6,485 | 6,403,938 | ||||||||
Viking Cruises Ltd.† | 5.875% | 9/15/2027 | 7,071 | 6,629,063 | ||||||||
Total | 62,481,359 | |||||||||||
Restaurants 1.34% | ||||||||||||
Arcos Dorados Holdings, Inc. (Uruguay)†(a) | 5.875% | 4/4/2027 | 10,163 | 10,035,962 | ||||||||
CEC Entertainment, Inc. | 8.00% | 2/15/2022 | 14,728 | 13,199,970 | ||||||||
IRB Holding Corp.† | 6.75% | 2/15/2026 | 14,478 | 13,717,905 | ||||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC† | 4.75% | 6/1/2027 | 9,463 | 8,918,878 | ||||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC† | 5.00% | 6/1/2024 | 19,685 | 19,586,575 | ||||||||
PF Chang’s China Bistro, Inc.† | 10.25% | 6/30/2020 | 7,501 | 6,263,335 | ||||||||
Wendy’s International LLC | 7.00% | 12/15/2025 | 10,154 | 10,814,010 | ||||||||
Yum! Brands, Inc. | 5.35% | 11/1/2043 | 8,462 | 7,591,006 | ||||||||
Total | 90,127,641 | |||||||||||
Software/Services 1.09% | ||||||||||||
Fair Isaac Corp.† | 5.25% | 5/15/2026 | 9,983 | 10,132,745 | ||||||||
First Data Corp.† | 5.75% | 1/15/2024 | 17,491 | 17,622,183 |
See Notes to Financial Statements. | 149 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Software/Services (continued) | ||||||||||||
Informatica LLC† | 7.125% | 7/15/2023 | $ | 5,464 | $ | 5,573,280 | ||||||
j2 Cloud Services LLC/j2 Global Co-Obligor, Inc.† | 6.00% | 7/15/2025 | 2,214 | 2,230,605 | ||||||||
Match Group, Inc.† | 5.00% | 12/15/2027 | 12,519 | 11,926,225 | ||||||||
Rackspace Hosting, Inc.† | 8.625% | 11/15/2024 | 7,103 | 7,245,060 | ||||||||
Solera LLC/Solera Finance, Inc.† | 10.50% | 3/1/2024 | 6,000 | 6,688,200 | ||||||||
VeriSign, Inc. | 5.25% | 4/1/2025 | 11,288 | 11,584,310 | ||||||||
Total | 73,002,608 | |||||||||||
Specialty Retail 1.26% | ||||||||||||
Claire’s Stores, Inc.†(k) | 9.00% | 3/15/2019 | 9,290 | 5,457,875 | ||||||||
Conn’s, Inc. | 7.25% | 7/15/2022 | 16,927 | 16,715,412 | ||||||||
Guitar Center Escrow Issuer, Inc.† | 9.50% | 10/15/2021 | 6,975 | 6,704,719 | ||||||||
Hot Topic, Inc.† | 9.25% | 6/15/2021 | 10,080 | 9,676,800 | ||||||||
Men’s Wearhouse, Inc. (The) | 7.00% | 7/1/2022 | 7,397 | 7,637,402 | ||||||||
Murphy Oil USA, Inc. | 5.625% | 5/1/2027 | 10,080 | 10,004,400 | ||||||||
Neiman Marcus Group Ltd. LLC† | 8.00% | 10/15/2021 | 1,997 | 1,437,840 | ||||||||
Neiman Marcus Group Ltd. LLC PIK 9.5%† | 8.75% | 10/15/2021 | 7,838 | 5,604,170 | ||||||||
PVH Corp.(b) | 3.125% | 12/15/2027 | EUR | 3,905 | 4,525,572 | |||||||
Rent-A-Center, Inc. | 4.75% | 5/1/2021 | $ | 5,869 | 5,516,860 | |||||||
Under Armour, Inc. | 3.25% | 6/15/2026 | 7,841 | 6,962,723 | ||||||||
Wolverine World Wide, Inc.† | 5.00% | 9/1/2026 | 4,456 | 4,233,200 | ||||||||
Total | 84,476,973 | |||||||||||
Steel Producers/Products 0.71% | ||||||||||||
AK Steel Corp. | 7.00% | 3/15/2027 | 9,591 | 9,207,360 | ||||||||
Allegheny Technologies, Inc. | 5.95% | 1/15/2021 | 1,430 | 1,451,450 | ||||||||
Allegheny Technologies, Inc. | 7.875% | 8/15/2023 | 5,161 | 5,643,295 | ||||||||
Commercial Metals Co. | 5.375% | 7/15/2027 | 6,727 | 6,457,920 | ||||||||
Joseph T Ryerson & Son, Inc.† | 11.00% | 5/15/2022 | 5,326 | 5,885,230 | ||||||||
Steel Dynamics, Inc. | 4.125% | 9/15/2025 | 5,697 | 5,412,150 | ||||||||
Steel Dynamics, Inc. | 5.00% | 12/15/2026 | 7,875 | 7,806,488 | ||||||||
Zekelman Industries, Inc.† | 9.875% | 6/15/2023 | 5,242 | 5,766,200 | ||||||||
Total | 47,630,093 | |||||||||||
Support: Services 4.87% | ||||||||||||
ADT Corp. (The)† | 4.875% | 7/15/2032 | 12,655 | 9,997,450 | ||||||||
AECOM | 5.125% | 3/15/2027 | 13,472 | 12,528,960 | ||||||||
Ahern Rentals, Inc.† | 7.375% | 5/15/2023 | 13,935 | 13,656,300 | ||||||||
APX Group, Inc. | 7.625% | 9/1/2023 | 17,702 | 15,622,015 | ||||||||
APX Group, Inc. | 8.75% | 12/1/2020 | 739 | 709,440 |
150 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
BakerCorp International, Inc. | 8.25% | 6/1/2019 | $ | 10,662 | $ | 10,555,380 | ||||||
BlueLine Rental Finance Corp./BlueLine Rental LLC† | 9.25% | 3/15/2024 | 15,621 | 16,706,191 | ||||||||
Brand Industrial Services, Inc.† | 8.50% | 7/15/2025 | 14,476 | 14,855,995 | ||||||||
Brink’s Co. (The)† | 4.625% | 10/15/2027 | 7,856 | 7,090,040 | ||||||||
Carlson Travel, Inc.† | 6.75% | 12/15/2023 | 5,450 | 5,320,563 | ||||||||
Cloud Crane LLC† | 10.125% | 8/1/2024 | 9,091 | 9,931,917 | ||||||||
Deck Chassis Acquisition, Inc.† | 10.00% | 6/15/2023 | 8,764 | 9,377,480 | ||||||||
Garda World Security Corp. (Canada)†(a) | 8.75% | 5/15/2025 | 6,224 | 6,348,480 | ||||||||
GEO Group, Inc. (The) | 6.00% | 4/15/2026 | 9,941 | 9,767,032 | ||||||||
H&E Equipment Services, Inc. | 5.625% | 9/1/2025 | 10,100 | 10,011,625 | ||||||||
Jurassic Holdings III, Inc.† | 6.875% | 2/15/2021 | 11,471 | 11,098,192 | ||||||||
Laureate Education, Inc.† | 8.25% | 5/1/2025 | 9,290 | 9,870,625 | ||||||||
Marble II Pte Ltd. (Singapore)†(a) | 5.30% | 6/20/2022 | 10,095 | 9,754,637 | ||||||||
MasTec, Inc. | 4.875% | 3/15/2023 | 10,880 | 10,812,000 | ||||||||
Mobile Mini, Inc. | 5.875% | 7/1/2024 | 8,651 | 8,802,393 | ||||||||
Monitronics International, Inc. | 9.125% | 4/1/2020 | 11,425 | 8,083,188 | ||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc.† | 9.25% | 5/15/2023 | 6,002 | 6,375,324 | ||||||||
Ritchie Bros Auctioneers, Inc. (Canada)†(a) | 5.375% | 1/15/2025 | 7,406 | 7,230,108 | ||||||||
Sotheby’s† | 4.875% | 12/15/2025 | 7,164 | 6,951,229 | ||||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp.† | 6.75% | 6/1/2025 | 6,914 | 6,717,297 | ||||||||
TopBuild Corp.† | 5.625% | 5/1/2026 | 9,453 | 9,334,837 | ||||||||
United Rentals North America, Inc. | 4.625% | 10/15/2025 | 13,976 | 13,486,840 | ||||||||
United Rentals North America, Inc. | 4.875% | 1/15/2028 | 20,331 | 19,143,670 | ||||||||
United Rentals North America, Inc. | 5.50% | 5/15/2027 | 10,820 | 10,738,850 | ||||||||
Weight Watchers International, Inc.† | 8.625% | 12/1/2025 | 13,995 | 15,289,537 | ||||||||
Williams Scotsman International, Inc.† | 7.875% | 12/15/2022 | 10,768 | 11,279,480 | ||||||||
York Risk Services Holding Corp.† | 8.50% | 10/1/2022 | 9,944 | 9,297,640 | ||||||||
Total | 326,744,715 | |||||||||||
Technology Hardware & Equipment 0.85% | ||||||||||||
CDW LLC/CDW Finance Corp. | 5.50% | 12/1/2024 | 8,825 | 9,133,875 | ||||||||
Dell International LLC/EMC Corp.† | 6.02% | 6/15/2026 | 26,451 | 27,940,582 | ||||||||
Dell International LLC/EMC Corp.† | 7.125% | 6/15/2024 | 6,569 | 7,059,900 | ||||||||
Western Digital Corp. | 4.75% | 2/15/2026 | 12,953 | 12,766,801 | ||||||||
Total | 56,901,158 | |||||||||||
Telecommunications: Satellite 0.79% | ||||||||||||
Intelsat Connect Finance SA (Luxembourg)†(a) | 12.50% | 4/1/2022 | 19,182 | 18,606,540 | ||||||||
Intelsat Jackson Holdings SA (Luxembourg)(a) | 5.50% | 8/1/2023 | 8,035 | 7,045,691 |
See Notes to Financial Statements. | 151 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Telecommunications: Satellite (continued) | ||||||||||||
Intelsat Jackson Holdings SA (Luxembourg)(a) | 7.50% | 4/1/2021 | $ | 28,142 | $ | 27,649,515 | ||||||
Total | 53,301,746 | |||||||||||
Telecommunications: Wireless 0.75% | ||||||||||||
T-Mobile USA, Inc. | 6.50% | 1/15/2026 | 47,922 | 50,138,393 | ||||||||
Telecommunications: Wireline Integrated & Services 2.79% | ||||||||||||
CenturyLink, Inc. | 5.625% | 4/1/2025 | 14,048 | 13,153,283 | ||||||||
CenturyLink, Inc. | 6.75% | 12/1/2023 | 7,024 | 7,067,900 | ||||||||
CenturyLink, Inc. | 7.50% | 4/1/2024 | 8,077 | 8,319,310 | ||||||||
Cogent Communications Group, Inc.† | 5.375% | 3/1/2022 | 12,907 | 13,165,140 | ||||||||
Equinix, Inc.(b) | 2.875% | 2/1/2026 | EUR | 15,128 | 16,935,766 | |||||||
Equinix, Inc. | 5.875% | 1/15/2026 | $ | 3,937 | 4,020,661 | |||||||
Frontier Communications Corp. | 6.875% | 1/15/2025 | 29,649 | 19,123,605 | ||||||||
Frontier Communications Corp. | 7.125% | 1/15/2023 | 3,721 | 2,739,586 | ||||||||
Frontier Communications Corp. | 7.625% | 4/15/2024 | 8,584 | 5,880,040 | ||||||||
Frontier Communications Corp.† | 8.50% | 4/1/2026 | 8,229 | 8,002,703 | ||||||||
Frontier Communications Corp. | 11.00% | 9/15/2025 | 15,603 | 12,560,415 | ||||||||
GCI LLC | 6.875% | 4/15/2025 | 17,246 | 18,043,627 | ||||||||
Telecom Italia Capital SA (Luxembourg)(a) | 6.375% | 11/15/2033 | 14,087 | 14,368,740 | ||||||||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC | 8.25% | 10/15/2023 | 16,887 | 16,544,194 | ||||||||
West Corp.† | 8.50% | 10/15/2025 | 7,300 | 6,807,250 | ||||||||
Wind Tre SpA (Italy)†(a) | 5.00% | 1/20/2026 | 12,453 | 10,024,665 | ||||||||
WTT Investment Ltd. (Hong Kong)†(a) | 5.50% | 11/21/2022 | 10,800 | 10,404,145 | ||||||||
Total | 187,161,030 | |||||||||||
Theaters & Entertainment 0.10% | ||||||||||||
Live Nation Entertainment, Inc.† | 5.625% | 3/15/2026 | 6,779 | 6,779,000 | ||||||||
Tobacco 0.10% | ||||||||||||
Alliance One International, Inc. | 9.875% | 7/15/2021 | 7,185 | 6,691,031 | ||||||||
Transportation: Infrastructure/Services 1.05% | ||||||||||||
Autopistas del Sol SA (Costa Rica)†(a) | 7.375% | 12/30/2030 | 13,083 | 13,230,032 | ||||||||
Delhi International Airport Ltd. (India)†(a) | 6.125% | 10/31/2026 | 7,016 | 6,989,690 | ||||||||
Dynagas LNG Partners LP/Dynagas Finance, Inc. (Greece)(a) | 6.25% | 10/30/2019 | 7,254 | 7,344,675 | ||||||||
Eletson Holdings, Inc. (Greece)†(a) | 9.625% | 1/15/2022 | 12,236 | 7,769,860 | ||||||||
Golar LNG Partners LP (United Kingdom)†(a) | 8.593% (3 Mo. LIBOR + 6.25% | )# | 5/18/2021 | 7,000 | 7,174,293 |
152 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Principal | |||||||||||||
Interest | Maturity | Amount | Fair | ||||||||||
Investments | Rate | Date | (000) | Value | |||||||||
Transportation: Infrastructure/Services (continued) | |||||||||||||
Great Lakes Dredge & Dock Corp. | 8.00% | 5/15/2022 | $ | 6,767 | $ | 6,902,340 | |||||||
JSL Europe SA (Luxembourg)†(a) | 7.75% | 7/26/2024 | 10,004 | 9,828,930 | |||||||||
Navios Maritime Acquisition Corp./Navios | |||||||||||||
Acquisition Finance US, Inc. (Greece)†(a) | 8.125% | 11/15/2021 | 8,115 | 6,563,006 | |||||||||
Navios South American Logistics, Inc./Navios | |||||||||||||
Logistics Finance US, Inc. (Uruguay)†(a) | 7.25% | 5/1/2022 | 4,902 | 4,810,088 | |||||||||
Total | 70,612,914 | ||||||||||||
Trucking & Delivery 0.32% | |||||||||||||
Kenan Advantage Group, Inc. (The)† | 7.875% | 7/31/2023 | 6,925 | 7,087,391 | |||||||||
XPO CNW, Inc. | 6.70% | 5/1/2034 | 13,989 | 14,443,643 | |||||||||
Total | 21,531,034 | ||||||||||||
Total High Yield Corporate Bonds (cost $5,474,232,505) | 5,388,116,900 | ||||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 0.41% | |||||||||||||
Caesars Palace Las Vegas Trust 2017-VICI E† | 4.354% | #(n) | 10/15/2034 | 14,954 | 14,689,467 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI F† | 4.354% | #(n) | 10/15/2034 | 13,397 | 12,904,886 | ||||||||
Morgan Stanley Capital I Trust 2005-IQ9 G† | 5.51% | #(n) | 7/15/2056 | 2,000 | 105,000 | ||||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $28,396,895) | 27,699,353 | ||||||||||||
Dividend | Shares | ||||||||||||
Rate | (000) | ||||||||||||
PREFERRED STOCK 0.02% | |||||||||||||
Energy: Exploration & Production | |||||||||||||
Templar Energy LLC (cost $1,866,653) | Zero Coupon | 187 | 1,358,545 | ||||||||||
Exercise | Expiration | Shares | |||||||||||
Price | Date | (000) | |||||||||||
WARRANT 0.00% | |||||||||||||
Personal & Household Products | |||||||||||||
Remington Outdoor Co., Inc.* (cost $754,851) | $ 35.05 | 5/15/2022 | 129 | 113,228 | (c) | ||||||||
Total Long-Term Investments (cost $6,662,046,297) | 6,594,889,682 |
See Notes to Financial Statements. | 153 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Principal | ||||||||
Amount | Fair | |||||||
Investments | (000) | Value | ||||||
SHORT-TERM INVESTMENT 0.14% | ||||||||
REPURCHASE AGREEMENT | ||||||||
Repurchase Agreement dated 5/31/2018, 0.90% due 6/1/2018 with Fixed Income Clearing Corp. collateralized by $9,610,000 of U.S. Treasury Note at 2.25% due 11/15/2025; value: $9,257,361; proceeds: $9,071,647 (cost $9,071,420) | $ | 9,071 | $ | 9,071,420 | ||||
Total Investments in Securities 98.43% (cost $6,671,117,717) | 6,603,961,102 | |||||||
Cash, Foreign Cash and Other Assets in Excess Liabilities(o) 1.57% | 105,642,907 | |||||||
Net Assets 100.00% | $ | 6,709,604,009 |
CAD | Canadian dollar. | |
DOP | Dominican peso. | |
EUR | euro. | |
GBP | British pound. | |
JPY | Japanese yen. | |
LIBOR | London Interbank Offered Rate. | |
PIK | Payment-in-kind. | |
Units | More than one class of securities traded together. | |
* | Non-income producing security. | |
† | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers. | |
# | Variable rate security. The interest rate represents the rate in effect at May 31, 2018. | |
(a) | Foreign security traded in U.S. dollars. | |
(b) | Investment in non-U.S. dollar denominated securities. | |
(c) | Level 3 Investment as described in Note 2(s) in the Notes to Financials. Security fair valued by the Pricing Committee. | |
(d) | Level 3 Investment as described in Note 2(s) in the Notes to Financials. Security valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments. | |
(e) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at May 31, 2018. | |
(f) | Level 3 Investment as described in Note 2(s) in the Notes to Financials. Floating Rate Loans categorized as Level 3 are valued based on a single quotation obtained from a dealer. Accounting principles generally accepted in the United States of America do not require the Fund to create quantitative unobservable inputs that were not developed by the Fund. Therefore, the Fund does not have access to unobservable inputs and cannot disclose such inputs in the valuation. | |
(g) | Interest rate to be determined. | |
(h) | Variable Rate is Fixed to Float: Rate remains fixed until designated future date. | |
(i) | Security is perpetual in nature and has no stated maturity. | |
(j) | Stub Rights issued in connection with a plan of reorganization. | |
(k) | Defaulted (non-income producing security). | |
(l) | Security has been fully or partially segregated for open reverse repurchase agreements as of May 31, 2018 (See Note 2(n)). | |
(m) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(n) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(o) | Cash, Foreign Cash and Other Assets in Excess Liabilities include net unrealized appreciation/depreciation on swaps, forward foreign currency exchange contracts, futures contracts and reverse repurchase agreements as follows: |
154 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Centrally Cleared Credit Default Swaps on Indexes - Buy Protection May 31, 2018(1):
Referenced Index | Central Clearing party | Fund Receives (quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Appreciation(3) | |||||||||||||||
Markit CDX. NA.EM.29(4)(5) | Credit Suisse | 1.00% | 6/20/2023 | $ | 277,799,000 | $ | 268,786,195 | $ | 7,991,003 | $ | 1,021,802 | |||||||||||
Centrally Cleared Credit Default Swaps on Indexes - Sell Protection May 31, 2018(1): | ||||||||||||||||||||||
Referenced Index | Central Clearing party | Fund Pays (quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Depreciation(3) | |||||||||||||||
Markit CDX. NA.HY.30(4)(6) | Credit Suisse | 5.00% | 6/20/2023 | $ | 148,856,000 | $ | 58,105,721 | $ | 9,280,034 | $ | (30,313) | |||||||||||
Markit CDX. ITRX.29(4)(7) | Credit Suisse | 5.00% | 6/20/2023 | EUR | 77,022,000 | EUR | 83,698,890 | EUR | 8,013,318 | (1,757,491) | ||||||||||||
$ | (1,787,804) |
(1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities. If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities. | |
(2) | Upfront payments received/paid by Central Clearinghouse are presented net of amortization (See Note 2(q)). | |
(3) | Total unrealized appreciation on Credit Default Swaps in Indexes amounted to $1,021,802. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $1,787,804. | |
(4) | Central Clearinghouse: Intercontinental Exchange (ICE). | |
(5) | The Referenced Index is for the Centrally Cleared Credit Default Swaps on Indexes, which is comprised of a basket of emerging market sovereign issuers. | |
(6) | The Referenced Index is for the Centrally Cleared Credit Default Swaps on Indexes, which is comprised of a basket of high yield issuers. | |
(7) | The Referenced Index is for the Centrally Cleared Credit Default Swaps on Indexes, which is comprised of equally weighted credit default swap entities. |
Credit Default Swaps - Buy Protection at May 31, 2018(1):
Referenced Issuer | Swap Counterparty | Fund Receives (quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Appreciation(3) | Credit Default Swap Agreements Receivable at Fair Value(4) | ||||||||||||||||||
Republic of Turkey(5) | Goldman Sachs | 1.00% | 6/20/2023 | $ | 4,167,000 | $ | 4,477,156 | $ | 307,445 | $2,711 | $310,156 |
(1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities. | |
(2) | Upfront payments received are presented net of amortization (See Note 2(q)). | |
(3) | Total unrealized appreciation on Credit Default Swaps in Indexes amounted to $2,711. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $0. | |
(4) | Includes upfront payments received. | |
(5) | Moody’s Credit Rating: Ba2 |
See Notes to Financial Statements. | 155 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Open Forward Foreign Currency Exchange Contracts at May 31, 2018:
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Appreciation | |||||||||||||
British pound | Sell | Morgan Stanley | 7/19/2018 | 2,427,000 | $ | 3,302,148 | $ | 3,233,607 | $ | 68,541 | ||||||||||
British pound | Sell | State Street Bank and Trust | 7/19/2018 | 20,156,000 | 28,951,052 | 26,854,794 | 2,096,258 | |||||||||||||
euro | Sell | Deutsche Bank AG | 8/16/2018 | 5,893,000 | 7,357,110 | 6,927,845 | 429,265 | |||||||||||||
euro | Sell | Deutsche Bank AG | 8/16/2018 | 2,825,000 | 3,486,816 | 3,321,086 | 165,730 | |||||||||||||
euro | Sell | Goldman Sachs | 8/16/2018 | 2,675,000 | 3,264,622 | 3,144,746 | 119,876 | |||||||||||||
euro | Sell | J.P. Morgan | 8/16/2018 | 3,831,000 | 4,667,049 | 4,503,746 | 163,303 | |||||||||||||
euro | Sell | J.P. Morgan | 8/16/2018 | 2,601,000 | 3,142,314 | 3,057,751 | 84,563 | |||||||||||||
euro | Sell | J.P. Morgan | 8/16/2018 | 798,000 | 963,990 | 938,133 | 25,857 | |||||||||||||
euro | Sell | J.P. Morgan | 8/16/2018 | 2,843,000 | 3,388,579 | 3,342,247 | 46,332 | |||||||||||||
euro | Sell | J.P. Morgan | 8/16/2018 | 2,200,000 | 2,613,903 | 2,586,333 | 27,570 | |||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 5,524,000 | 6,877,939 | 6,494,046 | 383,893 | |||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 1,065,000 | 1,326,097 | 1,252,020 | 74,077 | |||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 1,130,000 | 1,411,598 | 1,328,435 | 83,163 | |||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 285,000 | 356,022 | 335,048 | 20,974 | |||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 744,000 | 929,406 | 874,651 | 54,755 | |||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 353,000 | 440,968 | 414,989 | 25,979 | |||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 7,243,000 | 9,043,474 | 8,514,913 | 528,561 | |||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 5,015,000 | 6,262,355 | 5,895,663 | 366,692 | |||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 3,415,000 | 4,264,330 | 4,014,694 | 249,636 | |||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 1,842,000 | 2,293,521 | 2,165,466 | 128,055 | |||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 7,354,000 | 9,157,755 | 8,645,405 | 512,350 | |||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 8,386,000 | 10,356,250 | 9,858,630 | 497,620 | |||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 309,000 | 381,564 | 363,262 | 18,302 | |||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 1,334,000 | 1,642,427 | 1,568,258 | 74,169 | |||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 6,292,000 | 7,727,558 | 7,396,912 | 330,646 | |||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 2,237,000 | 2,747,409 | 2,629,830 | 117,579 | |||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 1,414,000 | 1,728,390 | 1,662,307 | 66,083 |
156 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Appreciation | |||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 1,881,000 | $ | 2,299,355 | $ | 2,211,315 | $ | 88,040 | ||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 4,364,000 | 5,257,364 | 5,130,344 | 127,020 | |||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 1,910,000 | 2,294,918 | 2,245,407 | 49,511 | |||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 3,283,000 | 3,922,484 | 3,859,514 | 62,970 | |||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 10,410,000 | 12,456,132 | 12,238,056 | 218,076 | |||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 378,000 | 451,266 | 444,379 | 6,887 | |||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 2,613,000 | 3,137,602 | 3,071,858 | 65,744 | |||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 25,840,000 | 31,141,665 | 30,377,654 | 764,011 | |||||||||||||
euro | Sell | State Street Bank and Trust | 8/16/2018 | 2,024,000 | 2,403,005 | 2,379,426 | 23,579 | |||||||||||||
euro | Sell | J.P. Morgan | 9/24/2018 | 292,000 | 347,439 | 344,329 | 3,110 | |||||||||||||
euro | Sell | Morgan Stanley | 9/24/2018 | 3,868,000 | 4,604,143 | 4,561,182 | 42,961 | |||||||||||||
euro | Sell | State Street Bank and Trust | 9/24/2018 | 2,354,000 | 2,778,956 | 2,775,859 | 3,097 | |||||||||||||
euro | Sell | State Street Bank and Trust | 9/24/2018 | 3,474,000 | 4,111,887 | 4,096,574 | 15,313 | |||||||||||||
Japanese yen | Sell | State Street Bank and Trust | 7/26/2018 | 789,445,000 | 7,413,080 | 7,282,953 | 130,127 | |||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 8,360,275 | ||||||||||||||||||
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Depreciation | |||||||||||||
euro | Buy | State Street Bank and Trust | 8/16/2018 | 666,000 | $ | 788,636 | $ | 782,953 | $(5,683) | |||||||||||
euro | Sell | State Street Bank and Trust | 9/24/2018 | 1,142,000 | 1,345,848 | 1,346,657 | (809) | |||||||||||||
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $(6,492) |
See Notes to Financial Statements. | 157 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
Open Futures Contracts at May 31, 2018:
Notional | Notional | Unrealized | ||||||||||||||||
Type | Expiration | Contracts | Position | Amount | Value | Appreciation | ||||||||||||
U.S. 2-Year Treasury Note | September 2018 | 4,832 | Long | $ | 1,025,051,855 | $ | 1,025,516,505 | $464,650 | ||||||||||
U.S. 5-Year Treasury Note | September 2018 | 29 | Long | 3,290,447 | 3,302,828 | 12,381 | ||||||||||||
Ultra Long U.S. Treasury Bond | September 2018 | 252 | Long | 40,046,799 | 40,194,000 | 147,201 | ||||||||||||
Total Unrealized Depreciation on Open Futures Contracts | $624,232 | |||||||||||||||||
Notional | Notional | Unrealized | ||||||||||||||||
Type | Expiration | Contracts | Position | Amount | Value | Depreciation | ||||||||||||
Euro-Bobl | June 2018 | 33 | Short | EUR | (5,326,971) | EUR | (5,112,831) | $ | (92,271) | |||||||||
U.S. 10-Year Treasury Note | September 2018 | 1,197 | Short | $ | (143,114,194) | $ | (144,163,688) | (1,049,494) | ||||||||||
U.S. Long Bond | September 2018 | 446 | Short | (63,700,588) | �� | (64,725,750) | (1,025,162) | |||||||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (2,166,927) |
Reverse Repurchase Agreement Payable as of May 31, 2018:
Counterparty | Principal | Counterparty Held by Collateral | Interest Rate(1) | Trade Date | Maturity Date(2) | Fair Value(3) | ||||||
J.P. Morgan Chase & Co. | $1,322,693 | $1,700,000 principal, Mohegan Gaming & Entertainment at 7.875% due 10/15/2024, $1,623,500 fair value | (6.00%) | 4/6/2019 | On Demand | $1,310,348 |
(1) | The negative interest rate on the reverse repurchase agreement results in interest income to the Fund. | |
(2) | This reverse repurchase agreement has no stated maturity and may be terminated by either party at any time. | |
(3) | Total fair value of reverse repurchase agreement is presented net of interest receivable of $12,345. |
158 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUND May 31, 2018
The following is a summary of the inputs used as of May 31, 2018 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2)(3) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Long-Term Investments | ||||||||||||||||
Common Stocks | ||||||||||||||||
Beverages | $ | 13,696,806 | $ | 6,719,769 | $ | – | $ | 20,416,575 | ||||||||
Energy: Exploration & Production | 24,449,572 | 1,500,207 | – | 25,949,779 | ||||||||||||
Food & Drug Retailers | – | – | 197 | 197 | ||||||||||||
Investments & Miscellaneous Financial Services | – | – | 48,812 | 48,812 | ||||||||||||
Personal & Household Products | – | 7,837,341 | 858,173 | 8,695,514 | ||||||||||||
Transportation: Infrastructure/ Services | 6,818,372 | 3,351,516 | – | 10,169,888 | ||||||||||||
Remaining Industries | 290,449,148 | – | – | 290,449,148 | ||||||||||||
Convertible Bonds | – | 64,977,687 | – | 64,977,687 | ||||||||||||
Convertible Preferred Stock | 6,661,645 | – | – | 6,661,645 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Air Transportation | – | – | 14,113,558 | 14,113,558 | ||||||||||||
Auto Parts & Equipment | – | 20,375,832 | 5,942,369 | 26,318,201 | ||||||||||||
Diversified Capital Goods | – | 31,581,927 | 23,700,594 | 55,282,521 | ||||||||||||
Food & Drug Retailers | – | – | 281,522 | 281,522 | ||||||||||||
Gaming | – | 8,809,176 | 19,202,259 | 28,011,435 | ||||||||||||
Health Services | – | 10,098,343 | 7,234,995 | 17,333,338 | ||||||||||||
Machinery | – | 17,814,005 | 787,800 | 18,601,805 | ||||||||||||
Metals/Mining (Excluding Steel) | – | – | 7,264,440 | 7,264,440 | ||||||||||||
Packaging | – | – | 61,278 | 61,278 | ||||||||||||
Personal & Household Products | – | 20,056,052 | 1,598,727 | 21,654,779 | ||||||||||||
Recreation & Travel | – | 6,128,173 | 8,768,175 | 14,896,348 | ||||||||||||
Restaurants | – | 6,587,470 | 15,475,633 | 22,063,103 | ||||||||||||
Software/Services | – | 6,909,480 | 8,006,449 | 14,915,929 | ||||||||||||
Specialty Retail | – | 40,761,839 | 10,499,324 | 51,261,163 | ||||||||||||
Support: Services | – | 28,139,764 | 24,984,390 | 53,124,154 | ||||||||||||
Transportation: Infrastructure/Services | – | 5,455,991 | 17,125,694 | 22,581,685 | ||||||||||||
Remaining Industries | – | 209,589,808 | – | 209,589,808 | ||||||||||||
Foreign Bonds | – | 108,257,455 | – | 108,257,455 | ||||||||||||
Foreign Government Obligations | – | 64,619,889 | – | 64,619,889 | ||||||||||||
High Yield Corporate Bonds | ||||||||||||||||
Automakers | – | 47,335,329 | 850 | 47,336,179 | ||||||||||||
Banking | – | 210,343,813 | 1,000 | 210,344,813 | ||||||||||||
Chemicals | – | 169,953,390 | 311 | 169,953,701 | ||||||||||||
Metals/Mining (Excluding Steel) | – | 318,854,766 | 717 | 318,855,483 | ||||||||||||
Remaining Industries | – | 4,641,626,724 | – | 4,641,626,724 | ||||||||||||
Non-Agency Commercial | ||||||||||||||||
Mortgage-Backed Securities | – | 27,699,353 | – | 27,699,353 | ||||||||||||
Preferred Stock | – | 1,358,545 | – | 1,358,545 | ||||||||||||
Warrant | – | – | 113,228 | 113,228 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreement | – | 9,071,420 | – | 9,071,420 | ||||||||||||
Total | $ | 342,075,543 | $ | 6,095,815,064 | $ | 166,070,495 | $ | 6,603,961,102 |
See Notes to Financial Statements. | 159 |
Schedule of Investments (unaudited)(concluded)
HIGH YIELD FUND May 31, 2018
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Centrally Cleared Credit Default Swaps Contracts | ||||||||||||||||
Assets | $ | – | $ | 1,021,802 | $ | – | $ | 1,021,802 | ||||||||
Liabilities | – | (1,787,804 | ) | – | (1,787,804 | ) | ||||||||||
Credit Default Swaps Contracts | ||||||||||||||||
Assets | – | 310,156 | – | 310,156 | ||||||||||||
Liabilities | – | – | – | – | ||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 8,360,275 | – | 8,360,275 | ||||||||||||
Liabilities | – | (6,492 | ) | – | (6,492 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 624,232 | – | – | 624,232 | ||||||||||||
Liabilities | (2,166,927 | ) | – | – | (2,166,927 | ) | ||||||||||
Reverse Repurchase Agreements | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | (1,310,348 | ) | – | (1,310,348 | ) | ||||||||||
Total | $ | (1,542,695 | ) | $ | 6,587,589 | $ | – | $ | 5,044,894 |
(1) | Refer to Note 2(s) for a description of fair value measurements and the three-tier hierarchy of inputs. | |
(2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. The table above is presented by Investment Type. Industries are presented within an Investment Type should such Investment Type include securities classified as two or more levels within the three-tier fair value hierarchy. Each Level 3 security is identified on the Schedule of Investments along with the valuation technique utilized. | |
(3) | There were no Level 1/Level 2 transfers during the period ended May 31, 2018. |
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
Investment Type | Common Stocks | Floating Rate Loans | High Yield Corporate Bonds | Warrants | ||||||||||||
Balance as of December 1, 2017 | $ | 49,009 | $ | 71,349,513 | $ | 2,878 | $ | – | ||||||||
Accrued Discounts (Premiums) | – | 217,693 | – | – | ||||||||||||
Realized Gain (Loss) | (6 | ) | 314,919 | – | (3) | |||||||||||
Change in Unrealized Appreciation (Depreciation) | (8,338,461 | ) | (98,985 | ) | – | (641,624) | ||||||||||
Purchases | 9,196,640 | 88,195,652 | – | 754,855 | ||||||||||||
Sales | – | (20,788,059 | ) | – | – | |||||||||||
Transfers into Level 3 | – | 36,406,749 | – | – | ||||||||||||
Transfers out of Level 3 | – | (10,550,275 | ) | – | – | |||||||||||
Balance as of May 31, 2018 | $ | 907,182 | $ | 165,047,207 | $ | 2,878 | $ | 113,228 | ||||||||
Change in unrealized appreciation/depreciation for period ended May 31, 2018, related to Level 3 investments held at May 31, 2018 | $ | (8,338,461 | ) | $ | 38,314 | $ | – | $ | (641,624) |
160 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 95.65% | ||||||||||||
ASSET-BACKED SECURITIES 9.12% | ||||||||||||
Automobiles 2.58% | ||||||||||||
ACC Trust 2018-1 B† | 4.82% | 5/20/2021 | $ | 1,124 | $ | 1,127,925 | ||||||
ACC Trust 2018-1 C† | 6.81% | 2/21/2023 | 870 | 873,675 | ||||||||
AmeriCredit Automobile Receivables Trust 2014-2 C | 2.18% | 6/8/2020 | 888 | 887,813 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-4 A2A | 1.34% | 4/8/2020 | 262 | 261,637 | ||||||||
Avis Budget Rental Car Funding AESOP LLC 2013-2A† | 2.97% | 2/20/2020 | 2,503 | 2,505,007 | ||||||||
Avis Budget Rental Car Funding AESOP LLC 2014-1A† | 2.46% | 7/20/2020 | 2,412 | 2,403,578 | ||||||||
Avis Budget Rental Car Funding AESOP LLC 2015-2A† | 2.63% | 12/20/2021 | 710 | 701,535 | ||||||||
California Republic Auto Receivables Trust 2015-2 A4 | 1.75% | 1/15/2021 | 3,519 | 3,499,995 | ||||||||
California Republic Auto Receivables Trust 2015-2 B | 2.53% | 6/15/2021 | 5,359 | 5,323,825 | ||||||||
California Republic Auto Receivables Trust 2015-4 A3† | 2.04% | 1/15/2020 | 18 | 18,050 | ||||||||
California Republic Auto Receivables Trust 2015-4 B† | 3.73% | 11/15/2021 | 1,131 | 1,135,984 | ||||||||
Capital Auto Receivables Asset Trust 2014-3 C† | 2.71% | 11/20/2019 | 2,737 | 2,737,477 | ||||||||
Chrysler Capital Auto Receivables Trust 2015-BA B† | 2.70% | 12/15/2020 | 2,963 | 2,963,884 | ||||||||
CPS Auto Receivables Trust 2016-B A† | 2.07% | 11/15/2019 | 64 | 64,560 | ||||||||
Drive Auto Receivables Trust 2015-BA D† | 3.84% | 7/15/2021 | 2,862 | 2,881,754 | ||||||||
Drive Auto Receivables Trust 2015-DA D† | 4.59% | 1/17/2023 | 843 | 857,949 | ||||||||
Drive Auto Receivables Trust 2016-CA B† | 2.37% | 11/16/2020 | 571 | 570,834 | ||||||||
Drive Auto Receivables Trust 2016-CA C† | 3.02% | 11/15/2021 | 2,975 | 2,980,068 | ||||||||
Drive Auto Receivables Trust 2016-CA D† | 4.18% | 3/15/2024 | 707 | 718,510 | ||||||||
Drive Auto Receivables Trust 2017-1 C | 2.84% | 4/15/2022 | 6,976 | 6,971,277 | ||||||||
Flagship Credit Auto Trust 2015-3 A† | 2.38% | 10/15/2020 | 198 | 198,060 | ||||||||
Huntington Auto Trust 2016-1 A3 | 1.59% | 11/16/2020 | 3,025 | 3,008,085 | ||||||||
NextGear Floorplan Master Owner Trust 2016-1A A2† | 2.74% | 4/15/2021 | 2,955 | 2,954,224 | ||||||||
Santander Drive Auto Receivables Trust 2014-5 E | 4.23% | 4/15/2022 | 4,200 | 4,250,454 | ||||||||
Santander Drive Auto Receivables Trust 2015-1 C | 2.57% | 4/15/2021 | 217 | 216,747 | ||||||||
Santander Drive Auto Receivables Trust 2016-1 D | 4.02% | 4/15/2022 | 887 | 899,435 | ||||||||
Santander Drive Auto Receivables Trust 2016-2 B | 2.08% | 2/16/2021 | 797 | 795,604 | ||||||||
Santander Drive Auto Receivables Trust 2016-3 B | 1.89% | 6/15/2021 | 1,099 | 1,094,537 |
See Notes to Financial Statements. | 161 |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
SunTrust Auto Receivables Trust 2015-1A D† | 3.24% | 1/16/2023 | $ | 4,300 | $ | 4,213,884 | ||||||
TCF Auto Receivables Owner Trust 2015-1A D† | 3.53% | 3/15/2022 | 257 | 255,534 | ||||||||
Total | 57,371,901 | |||||||||||
Credit Cards 1.04% | ||||||||||||
Barclays Dryrock Issuance Trust 2016-1 A | 1.52% | 5/16/2022 | 1,858 | 1,834,149 | ||||||||
Synchrony Credit Card Master Note Trust 2017-2 A | 2.62% | 10/15/2025 | 3,166 | 3,091,503 | ||||||||
Synchrony Credit Card Master Note Trust 2017-2 B | 2.82% | 10/15/2025 | 1,844 | 1,796,729 | ||||||||
World Financial Network Credit Card Master Trust 2016-A | 2.03% | 4/15/2025 | 4,424 | 4,376,551 | ||||||||
World Financial Network Credit Card Master Trust 2017-C A | 2.31% | 8/15/2024 | 8,373 | 8,238,106 | ||||||||
World Financial Network Credit Card Master Trust 2017-C M | 2.66% | 8/15/2024 | 3,684 | 3,632,127 | ||||||||
Total | 22,969,165 | |||||||||||
Other 5.50% | ||||||||||||
Access Point Funding I LLC 2017-A† | 3.06% | 4/15/2029 | 1,205 | 1,198,895 | ||||||||
Ammc CLO 19 Ltd. 2016-19A A† | 3.848% (3 Mo. LIBOR + 1.50% | )# | 10/15/2028 | 5,000 | 5,020,536 | |||||||
Apidos CLO XVI 2013-16A CR† | 5.355% (3 Mo. LIBOR + 3.00% | )# | 1/19/2025 | 750 | 750,667 | |||||||
Apollo Credit Funding IV Ltd. 4A A1† | 3.818% (3 Mo. LIBOR + 1.47% | )# | 4/15/2027 | 5,750 | 5,759,696 | |||||||
Avery Point IV CLO Ltd. 2014-1A BR† | 3.96% (3 Mo. LIBOR + 1.60% | )# | 4/25/2026 | 1,294 | 1,296,010 | |||||||
Avery Point V CLO Ltd. 2014-5A AR† | 3.333% (3 Mo. LIBOR + .98% | )# | 7/17/2026 | 906 | 907,848 | |||||||
Avery Point V CLO Ltd. 2014-5A BR† | 3.853% (3 Mo. LIBOR + 1.50% | )# | 7/17/2026 | 1,505 | 1,507,869 | |||||||
Avery Point VII CLO Ltd. 2015-7A A1† | 3.848% (3 Mo. LIBOR + 1.50% | )# | 1/15/2028 | 4,768 | 4,790,749 | |||||||
Benefit Street Partners CLO IV Ltd. 2014-IVA A2R† | 4.409% (3 Mo. LIBOR + 2.05% | )# | 1/20/2029 | 2,720 | 2,735,580 | |||||||
Birchwood Park CLO Ltd. 2014-1A AR† | 3.528% (3 Mo. LIBOR + 1.18% | )# | 7/15/2026 | 3,500 | 3,502,872 | |||||||
BlueMountain CLO Ltd. 2014-1A A1R† | 3.619% (3 Mo. LIBOR + 1.26% | )# | 4/30/2026 | 2,767 | 2,769,609 | |||||||
Bowman Park CLO Ltd. 2014-1A AR† | 3.51% (3 Mo. LIBOR + 1.18% | )# | 11/23/2025 | 2,500 | 2,503,176 | |||||||
Carlyle Global Market Strategies CLO Ltd. 2014-4A A1R† | 3.548% (3 Mo. LIBOR + 1.20% | )# | 10/15/2026 | 6,000 | 6,004,200 |
162 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Cent CLO Ltd. 2013-18A A† | 3.482% (3 Mo. LIBOR + 1.12% | )# | 7/23/2025 | $ | 2,015 | $ | 2,016,808 | |||||
Cent CLO Ltd. 2013-19A A1A† | 3.689% (3 Mo. LIBOR + 1.33% | )# | 10/29/2025 | 2,436 | 2,440,477 | |||||||
Cent CLO Ltd. 2014-22A A1R† | 3.773% (3 Mo. LIBOR + 1.41% | )# | 11/7/2026 | 3,500 | 3,505,507 | |||||||
CIFC Funding V Ltd. 2014-5A A1R† | 3.753% (3 Mo. LIBOR + 1.40% | )# | 1/17/2027 | 2,250 | 2,251,452 | |||||||
CNH Equipment Trust 2015-B A4 | 1.89% | 4/15/2022 | 2,230 | 2,215,938 | ||||||||
Conn’s Receivables Funding LLC 2017-B A† | 2.73% | 7/15/2020 | 2,857 | 2,856,431 | ||||||||
Conn’s Receivables Funding LLC 2017-B C† | 5.95% | 11/15/2022 | 4,151 | 4,109,729 | ||||||||
Crestline Denali CLO XIV Ltd. 2016-1A A† | 3.932% (3 Mo. LIBOR + 1.57% | )# | 10/23/2028 | 3,768 | 3,779,246 | |||||||
Diamond Resorts Owner Trust 2015-2 A† | 2.99% | 5/22/2028 | 607 | 604,260 | ||||||||
Diamond Resorts Owner Trust 2016-1 A† | 3.08% | 11/20/2028 | 312 | 308,277 | ||||||||
Dryden 34 Senior Loan Fund 2014-34A A1R† | 2.88% (3 Mo. LIBOR 1.16% | )# | 10/15/2026 | 2,325 | 2,325,177 | |||||||
Engs Commercial Finance Trust 2015-1A A2† | 2.31% | 10/22/2021 | 763 | 759,951 | ||||||||
Galaxy XXI CLO Ltd. 2015-21A AR† | 3.379% (3 Mo. LIBOR + 1.02% | )# | 4/20/2031 | 1,012 | 1,012,285 | |||||||
GMF Floorplan Owner Revolving Trust 2018-2 A1† | 3.13% | 3/15/2023 | 6,360 | 6,372,512 | ||||||||
GoldenTree Loan Opportunities IX Ltd. 2014-9A AR† | 3.729% (3 Mo. LIBOR + 1.37% | )# | 10/29/2026 | 5,000 | 5,008,013 | |||||||
Hardee’s Funding LLC 2018-1A AII†(a) | 4.959% | 6/20/2048 | 4,583 | 4,583,000 | ||||||||
ICG US CLO Ltd. 2015-2A AR† | 3.198% (3 Mo. LIBOR + .85% | )# | 1/16/2028 | 4,946 | 4,946,840 | |||||||
Jamestown CLO VII Ltd. 2015-7A A2R† | 3.66% (3 Mo. LIBOR + 1.30% | )# | 7/25/2027 | 1,789 | 1,779,054 | |||||||
Magnetite XVIII Ltd. 2016-18A A† | 3.743% (3 Mo. LIBOR + 1.40% | )# | 11/15/2028 | 830 | 832,905 | |||||||
Mountain Hawk III CLO Ltd. 2014-3A AR† | 3.555% (3 Mo. LIBOR + 1.20% | )# | 4/18/2025 | 3,500 | 3,504,491 | |||||||
Mountain View CLO X Ltd. 2015-10A BR† | 3.692% (3 Mo. LIBOR + 1.35% | )# | 10/13/2027 | 2,400 | 2,403,039 | |||||||
OHA Loan Funding Ltd. 2016-1A B1† | 4.159% (3 Mo. LIBOR + 1.80% | )# | 1/20/2028 | 4,500 | 4,520,823 | |||||||
OneMain Financial Issuance Trust 2016-1A A† | 3.66% | 2/20/2029 | 899 | 907,309 | ||||||||
Palmer Square Loan Funding Ltd. 2017-1A B† | 4.048% (3 Mo. LIBOR + 1.70% | )# | 10/15/2025 | 2,079 | 2,077,470 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A1† | 2.823% (3 Mo. LIBOR + .60% | )# | 4/15/2026 | 4,810 | 4,811,087 |
See Notes to Financial Statements. | 163 |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Palmer Square Loan Funding Ltd. 2018-1A A2† | 3.273% (3 Mo. LIBOR + 1.05% | )# | 4/15/2026 | $ | 1,633 | $ | 1,629,327 | |||||
Palmer Square Loan Funding Ltd. 2018-1A B† | 3.623% (3 Mo. LIBOR + 1.40% | )# | 4/15/2026 | 1,237 | 1,232,709 | |||||||
Regatta IV Funding Ltd. 2014-1A DR† | 5.66% (3 Mo. LIBOR + 3.30% | )# | 7/25/2026 | 2,300 | 2,306,793 | |||||||
SCF Equipment Leasing LLC 2017-2A A† | 3.41% | 12/20/2023 | 1,627 | 1,603,261 | ||||||||
Seneca Park CLO Ltd. 2014-1A AR† | 3.473% (3 Mo. LIBOR + 1.12% | )# | 7/17/2026 | 1,500 | 1,500,978 | |||||||
Sound Point CLO II Ltd. 2013-1A A1R† | 3.432% (3 Mo. LIBOR + 1.07% | )# | 1/26/2031 | 1,430 | 1,433,493 | |||||||
Thacher Park CLO Ltd. 2014-1A AR† | 3.519% (3 Mo. LIBOR + 1.16% | )# | 10/20/2026 | 3,000 | 3,000,598 | |||||||
THL Credit Wind River CLO Ltd. 2014-3A BR† | 3.962% (3 Mo. LIBOR + 1.60% | )# | 1/22/2027 | 860 | 861,467 | |||||||
Total | 122,248,414 | |||||||||||
Total Asset-Backed Securities (cost $203,045,202) | 202,589,480 | |||||||||||
Shares (000) | ||||||||||||
COMMON STOCKS 0.08% | ||||||||||||
Electric: Power 0.00% | ||||||||||||
Eneva SA*(b) | BRL | 3 | 10,515 | |||||||||
Oil 0.08% | ||||||||||||
Chaparral Energy, Inc. Class A* | 64 | 1,305,194 | ||||||||||
Chaparral Energy, Inc. Class B* | 13 | 272,384 | ||||||||||
Dommo Energia SA*(b) | BRL | 318 | 141,363 | |||||||||
Dommo Energia SA ADR | – | (c) | 12,539 | |||||||||
Templar Energy LLC Class A Units | 97 | 81,278 | ||||||||||
Total | 1,812,758 | |||||||||||
Total Common Stocks (cost $3,374,868) | 1,823,273 | |||||||||||
Principal Amount (000) | ||||||||||||
CONVERTIBLE BONDS 0.17% | ||||||||||||
Energy Equipment & Services 0.04% | ||||||||||||
Tesla Energy Operations, Inc. | 2.75% | 11/1/2018 | $ | 805 | 794,098 |
164 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Real Estate Investment Trusts 0.13% | ||||||||||||
VEREIT, Inc. | 3.00% | 8/1/2018 | $ | 2,925 | $ | 2,926,922 | ||||||
Total Convertible Bonds (cost $3,723,160) | 3,721,020 | |||||||||||
CORPORATE BONDS 77.60% | ||||||||||||
Aerospace/Defense 0.72% | ||||||||||||
Bombardier, Inc. (Canada)†(d) | 5.75% | 3/15/2022 | 972 | 978,075 | ||||||||
Bombardier, Inc. (Canada)†(d) | 6.125% | 1/15/2023 | 5,208 | 5,214,510 | ||||||||
Embraer Netherlands Finance BV (Netherlands)(d) | 5.05% | 6/15/2025 | 3,622 | 3,635,619 | ||||||||
Embraer Overseas Ltd.† | 5.696% | 9/16/2023 | 4,875 | 5,076,142 | ||||||||
Lockheed Martin Corp. | 7.75% | 5/1/2026 | 900 | 1,114,087 | ||||||||
Total | 16,018,433 | |||||||||||
Air Transportation 1.20% | ||||||||||||
Air Canada 2015-2 Class B Pass-Through Trust (Canada)†(d) | 5.00% | 6/15/2025 | 2,505 | 2,550,767 | ||||||||
American Airlines 2013-1 Class B Pass-Through Trust† | 5.625% | 7/15/2022 | 7,279 | 7,470,332 | ||||||||
American Airlines 2013-2 Class B Pass-Through Trust† | 5.60% | 1/15/2022 | 8,269 | 8,419,738 | ||||||||
American Airlines 2014-1 Class B Pass-Through Trust | 4.375% | 4/1/2024 | 8,130 | 8,117,569 | ||||||||
Total | 26,558,406 | |||||||||||
Apparel 0.32% | ||||||||||||
PVH Corp. | 7.75% | 11/15/2023 | 5,967 | 7,078,354 | ||||||||
Auto Parts: Original Equipment 0.22% | ||||||||||||
American Axle & Manufacturing, Inc. | 6.50% | 4/1/2027 | 3,875 | 3,800,019 | ||||||||
TI Group Automotive Systems LLC (United Kingdom)†(d) | 8.75% | 7/15/2023 | 1,042 | 1,090,192 | ||||||||
Total | 4,890,211 | |||||||||||
Automotive 2.43% | ||||||||||||
Fiat Chrysler Automobiles NV (United Kingdom)(d) | 5.25% | 4/15/2023 | 200 | 202,000 | ||||||||
Ford Motor Co. | 7.45% | 7/16/2031 | 12,874 | 15,233,895 | ||||||||
General Motors Co. | 6.75% | 4/1/2046 | 14,530 | 16,597,147 | ||||||||
Hyundai Capital America† | 1.75% | 9/27/2019 | 1,755 | 1,721,469 | ||||||||
Hyundai Capital America† | 2.00% | 7/1/2019 | 2,847 | 2,807,352 | ||||||||
Hyundai Capital America† | 2.50% | 3/18/2019 | 17,525 | 17,435,458 | ||||||||
Total | 53,997,321 |
See Notes to Financial Statements. | 165 |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Banks: Regional 11.41% | ||||||||||||
ABN AMRO Bank NV (Netherlands)†(d) | 4.75% | 7/28/2025 | $ | 3,900 | $ | 3,911,778 | ||||||
Akbank Turk AS (Turkey)†(d) | 7.20% | #(e) | 3/16/2027 | 1,885 | 1,825,283 | |||||||
Banco Inbursa SA Institucion de Banca Multiple (Mexico)†(d) | 4.375% | 4/11/2027 | 1,565 | 1,445,669 | ||||||||
Banco Mercantil del Norte SA† | 7.625% | #(e) | – | (f) | 2,000 | 1,981,020 | ||||||
Banco Santander SA (Spain)(d) | 3.125% | 2/23/2023 | 3,200 | 3,052,286 | ||||||||
Bank of America Corp. | 2.60% | 1/15/2019 | 281 | 280,953 | ||||||||
Bank of America Corp. | 3.824% | #(e) | 1/20/2028 | 8,949 | 8,751,401 | |||||||
Bank of America Corp. | 4.45% | 3/3/2026 | 9,494 | 9,589,599 | ||||||||
Bank of Ireland Group plc (Ireland)(d) | 4.125% | #(e) | 9/19/2027 | 6,794 | 6,478,181 | |||||||
Bank of Montreal (Canada)(d) | 3.803% | #(e) | 12/15/2032 | 3,570 | 3,338,592 | |||||||
Barclays Bank plc (United Kingdom)†(d) | 10.179% | 6/12/2021 | 2,920 | 3,399,476 | ||||||||
BBVA Bancomer SA† | 5.125% | #(e) | 1/18/2033 | 4,300 | 3,886,168 | |||||||
BNP Paribas SA (France)†(d) | 4.375% | #(e) | 3/1/2033 | 4,800 | 4,560,480 | |||||||
BNP Paribas SA (France)†(d) | 6.75% | #(e) | – | (f) | 4,406 | 4,477,597 | ||||||
CIT Group, Inc. | 5.80% | #(e) | – | (f) | 619 | 616,679 | ||||||
CIT Group, Inc. | 6.125% | 3/9/2028 | 2,428 | 2,488,700 | ||||||||
Citigroup, Inc. | 3.668% | #(e) | 7/24/2028 | 5,426 | 5,182,206 | |||||||
Citigroup, Inc. | 3.887% | #(e) | 1/10/2028 | 22,388 | 21,793,024 | |||||||
Citigroup, Inc. | 4.60% | 3/9/2026 | 2,161 | 2,184,983 | ||||||||
Citigroup, Inc. | 5.95% | #(e) | – | (f) | 1,077 | 1,086,424 | ||||||
Commonwealth Bank of Australia (Australia)†(d) | 4.50% | 12/9/2025 | 10,500 | 10,454,040 | ||||||||
Discover Bank | 3.45% | 7/27/2026 | 5,548 | 5,180,488 | ||||||||
Discover Bank | 7.00% | 4/15/2020 | 3,000 | 3,179,539 | ||||||||
Goldman Sachs Group, Inc. (The) | 6.75% | 10/1/2037 | 7,767 | 9,333,051 | ||||||||
Huntington Bancshares, Inc. | 5.70% | #(e) | – | (f) | 1,834 | 1,820,061 | ||||||
Intesa Sanpaolo SpA (Italy)†(d) | 3.875% | 1/12/2028 | 2,429 | 2,121,280 | ||||||||
Intesa Sanpaolo SpA (Italy)†(d) | 5.71% | 1/15/2026 | 7,000 | 6,464,334 | ||||||||
Intesa Sanpaolo SpA (Italy)†(d) | 6.50% | 2/24/2021 | 538 | 564,896 | ||||||||
Itau Unibanco Holding SA† | 6.125% | #(e) | – | (f) | 1,863 | 1,758,579 | ||||||
JPMorgan Chase & Co. | 3.54% | #(e) | 5/1/2028 | 3,179 | 3,055,922 | |||||||
JPMorgan Chase & Co. | 4.25% | 10/15/2020 | 14,459 | 14,815,054 | ||||||||
Macquarie Bank Ltd. (Australia)†(d) | 4.875% | 6/10/2025 | 1,850 | 1,858,728 | ||||||||
Macquarie Bank Ltd. (Australia)†(d) | 6.125% | #(e) | – | (f) | 1,150 | 1,058,000 | ||||||
Macquarie Bank Ltd. (Australia)†(d) | 6.625% | 4/7/2021 | 4,261 | 4,585,674 | ||||||||
Macquarie Group Ltd. (Australia)†(d) | 4.654% | #(e) | 3/27/2029 | 5,682 | 5,649,469 | |||||||
Morgan Stanley | 3.583% (3 Mo. LIBOR + 1.22% | )# | 5/8/2024 | 4,110 | 4,184,550 | |||||||
Morgan Stanley | 3.875% | 1/27/2026 | 7,343 | 7,266,168 | ||||||||
Morgan Stanley | 7.30% | 5/13/2019 | 3,195 | 3,326,767 |
166 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Popular, Inc. | 7.00% | 7/1/2019 | $ | 2,476 | $ | 2,537,900 | ||||||
Provident Funding Associates LP/PFG Finance Corp.† | 6.375% | 6/15/2025 | 1,276 | 1,240,910 | ||||||||
Royal Bank of Scotland Group plc (United Kingdom)(d) | 3.875% | 9/12/2023 | 10,750 | 10,505,783 | ||||||||
Royal Bank of Scotland Group plc (United Kingdom)(d) | 4.892% | #(e) | 5/18/2029 | 2,707 | 2,706,462 | |||||||
Santander UK Group Holdings plc (United Kingdom)(d) | 3.823% | #(e) | 11/3/2028 | 3,815 | 3,522,260 | |||||||
Santander UK plc (United Kingdom)†(d) | 5.00% | 11/7/2023 | 900 | 921,358 | ||||||||
Santander UK plc (United Kingdom)(d) | 7.95% | 10/26/2029 | 5,730 | 7,200,496 | ||||||||
Sberbank of Russia Via SB Capital SA (Luxembourg)(d) | 4.15% | 3/6/2019 | 4,807 | 4,812,985 | ||||||||
Toronto-Dominion Bank (The) (Canada)(d) | 3.625% | #(e) | 9/15/2031 | 1,274 | 1,219,751 | |||||||
Turkiye Vakiflar Bankasi TAO (Turkey)†(d) | 5.75% | 1/30/2023 | 2,907 | 2,667,664 | ||||||||
UBS AG | 7.625% | 8/17/2022 | 8,750 | 9,756,250 | ||||||||
UBS AG (Switzerland)(d) | 5.125% | 5/15/2024 | 13,800 | 13,912,056 | ||||||||
Wells Fargo Capital X | 5.95% | 12/1/2086 | 8,224 | 8,797,542 | ||||||||
Westpac Banking Corp. (Australia)(d) | 4.322% | #(e) | 11/23/2031 | 3,197 | 3,107,493 | |||||||
Woori Bank (South Korea)†(d) | 4.75% | 4/30/2024 | 3,500 | 3,541,919 | ||||||||
Total | 253,457,928 | |||||||||||
Beverages 1.03% | ||||||||||||
Anheuser-Busch InBev Worldwide, Inc. | 4.60% | 4/15/2048 | 2,568 | 2,569,625 | ||||||||
Bacardi Ltd.† | 4.70% | 5/15/2028 | 8,673 | 8,644,842 | ||||||||
Becle SAB de CV (Mexico)†(d) | 3.75% | 5/13/2025 | 5,050 | 4,871,301 | ||||||||
Maple Escrow Subsidiary, Inc.† | 4.597% | 5/25/2028 | 3,437 | 3,445,575 | ||||||||
Maple Escrow Subsidiary, Inc.† | 5.085% | 5/25/2048 | 3,241 | 3,264,019 | ||||||||
Total | 22,795,362 | |||||||||||
Biotechnology Research & Production 0.68% | ||||||||||||
Amgen, Inc. | 6.40% | 2/1/2039 | 8,970 | 11,014,318 | ||||||||
Baxalta, Inc. | 3.028% (3 Mo. LIBOR + .78% | )# | 6/22/2018 | 2,925 | 2,925,012 | |||||||
Sotera Health Topco, Inc. PIK 8.875%† | 8.125% | 11/1/2021 | 1,215 | 1,236,263 | ||||||||
Total | 15,175,593 | |||||||||||
Building Materials 0.56% | ||||||||||||
CPG Merger Sub LLC† | 8.00% | 10/1/2021 | 1,587 | 1,628,659 | ||||||||
CRH America Finance, Inc.† | 4.50% | 4/4/2048 | 1,923 | 1,819,378 | ||||||||
Griffon Corp. | 5.25% | 3/1/2022 | 2,220 | 2,150,625 |
See Notes to Financial Statements. | 167 |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Building Materials (continued) | ||||||||||||
Martin Marietta Materials, Inc. | 2.979% (3 Mo. LIBOR + .65% | )# | 5/22/2020 | $ | 1,950 | $ | 1,958,867 | |||||
Summit Materials LLC/Summit Materials Finance Corp. | 6.125% | 7/15/2023 | 909 | 922,635 | ||||||||
Vulcan Materials Co. | 2.95% (3 Mo. LIBOR + .65% | )# | 3/1/2021 | 3,900 | 3,906,689 | |||||||
Total | 12,386,853 | |||||||||||
Business Services 0.55% | ||||||||||||
Acwa Power Management & Investments One Ltd. (United Arab Emirates)†(d) | 5.95% | 12/15/2039 | 2,200 | 2,159,654 | ||||||||
Adani Ports & Special Economic Zone Ltd. (India)†(d) | 4.00% | 7/30/2027 | 2,200 | 2,018,080 | ||||||||
APX Group, Inc. | 8.75% | 12/1/2020 | 804 | 771,840 | ||||||||
Chicago Parking Meters LLC† | 5.489% | 12/30/2020 | 3,147 | 3,137,042 | ||||||||
IHS Markit Ltd. (United Kingdom)†(d) | 4.00% | 3/1/2026 | 1,326 | 1,268,982 | ||||||||
United Rentals North America, Inc. | 4.875% | 1/15/2028 | 3,155 | 2,970,748 | ||||||||
Total | 12,326,346 | |||||||||||
Chemicals 1.80% | ||||||||||||
Braskem Netherlands Finance BV (Netherlands)†(d) | 4.50% | 1/10/2028 | 2,140 | 2,006,036 | ||||||||
CF Industries, Inc.† | 4.50% | 12/1/2026 | 2,044 | 2,025,558 | ||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(d) | 3.00% | 7/19/2020 | 7,350 | 7,234,429 | ||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(d) | 3.50% | 7/19/2022 | 3,000 | 2,909,781 | ||||||||
Dow Chemical Co. (The) | 9.40% | 5/15/2039 | 1,143 | 1,794,399 | ||||||||
Phosagro OAO Via Phosagro Bond Funding DAC (Ireland)†(d) | 3.949% | 4/24/2023 | 4,600 | 4,375,405 | ||||||||
Syngenta Finance NV (Netherlands)†(d) | 4.441% | 4/24/2023 | 1,332 | 1,330,723 | ||||||||
Yara International ASA (Norway)†(a)(d) | 4.75% | 6/1/2028 | 7,740 | 7,756,855 | ||||||||
Yara International ASA (Norway)†(d) | 7.875% | 6/11/2019 | 8,552 | 8,926,500 | ||||||||
Yingde Gases Investment Ltd. (Hong Kong)†(d) | 6.25% | 1/19/2023 | 1,800 | 1,710,730 | ||||||||
Total | 40,070,416 | |||||||||||
Coal 0.21% | ||||||||||||
Eterna Capital Pte Ltd. PIK 1.00% (Singapore)(d) | 7.50% | 12/11/2022 | 1,417 | 1,407,944 | ||||||||
Peabody Energy Corp.† | 6.00% | 3/31/2022 | 2,737 | 2,808,025 | ||||||||
Peabody Energy Corp.† | 6.375% | 3/31/2025 | 506 | 526,873 | ||||||||
Total | 4,742,842 | |||||||||||
Computer Hardware 0.92% | ||||||||||||
Dell International LLC/EMC Corp.† | 6.02% | 6/15/2026 | 5,465 | 5,772,760 | ||||||||
Dell International LLC/EMC Corp.† | 8.35% | 7/15/2046 | 8,225 | 9,998,767 | ||||||||
Leidos, Inc. | 7.125% | 7/1/2032 | 4,309 | 4,718,355 | ||||||||
Total | 20,489,882 |
168 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Computer Software 0.50% | ||||||||||||
Activision Blizzard, Inc.† | 6.125% | 9/15/2023 | $ | 1,271 | $ | 1,322,926 | ||||||
First Data Corp.† | 7.00% | 12/1/2023 | 2,922 | 3,068,100 | ||||||||
Infor Software Parent LLC/Infor Software Parent, Inc. PIK 7.875%† | 7.125% | 5/1/2021 | 1,070 | 1,079,362 | ||||||||
Solera LLC/Solera Finance, Inc.† | 10.50% | 3/1/2024 | 3,428 | 3,821,192 | ||||||||
TIBCO Software, Inc.† | 11.375% | 12/1/2021 | 1,737 | 1,891,159 | ||||||||
Total | 11,182,739 | |||||||||||
Construction/Homebuilding 0.23% | ||||||||||||
Century Communities, Inc. | 5.875% | 7/15/2025 | 1,453 | 1,376,718 | ||||||||
William Lyon Homes, Inc. | 7.00% | 8/15/2022 | 1,576 | 1,615,400 | ||||||||
Williams Scotsman International, Inc.† | 7.875% | 12/15/2022 | 1,942 | 2,034,245 | ||||||||
Total | 5,026,363 | |||||||||||
Containers 0.43% | ||||||||||||
Amcor Finance USA, Inc.† | 4.50% | 5/15/2028 | 6,804 | 6,878,168 | ||||||||
OI European Group BV (Netherlands)†(d) | 4.00% | 3/15/2023 | 538 | 507,065 | ||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA | 6.875% | 2/15/2021 | 234 | 237,129 | ||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA | 5.75% | 10/15/2020 | 1,874 | 1,885,968 | ||||||||
Total | 9,508,330 | |||||||||||
Diversified 0.09% | ||||||||||||
KOC Holding AS (Turkey)†(d) | 5.25% | 3/15/2023 | 2,000 | 1,973,654 | ||||||||
Drugs 1.78% | ||||||||||||
AbbVie, Inc. | 4.70% | 5/14/2045 | 1,890 | 1,905,286 | ||||||||
Allergan Funding SCS (Luxembourg)(d) | 4.85% | 6/15/2044 | 3,062 | 2,946,587 | ||||||||
Bayer Corp.† | 6.65% | 2/15/2028 | 2,915 | 3,390,604 | ||||||||
CVS Health Corp. | 4.30% | 3/25/2028 | 23,462 | 23,330,811 | ||||||||
Express Scripts Holding Co. | 6.125% | 11/15/2041 | 1,310 | 1,523,300 | ||||||||
Teva Pharmaceutical Finance Co. BV (Curacao)(d) | 3.65% | 11/10/2021 | 323 | 307,785 | ||||||||
Teva Pharmaceutical Finance Co. LLC | 6.15% | 2/1/2036 | 1,437 | 1,396,040 | ||||||||
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)(d) | 1.70% | 7/19/2019 | 4,855 | 4,744,428 | ||||||||
Total | 39,544,841 | |||||||||||
Electric: Power 6.66% | ||||||||||||
Abu Dhabi National Energy Co. PJSC (United Arab Emirates)†(d) | 4.875% | 4/23/2030 | 3,800 | 3,803,952 | ||||||||
Appalachian Power Co. | 7.00% | 4/1/2038 | 2,230 | 2,992,642 |
See Notes to Financial Statements. | 169 |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Electric: Power (continued) | ||||||||||||
Ausgrid Finance Pty Ltd. (Australia)†(d) | 4.35% | 8/1/2028 | $ | 6,842 | $ | 6,867,085 | ||||||
Avista Corp. | 4.35% | 6/1/2048 | 3,275 | 3,360,688 | ||||||||
Calpine Corp. | 5.50% | 2/1/2024 | 3,885 | 3,549,919 | ||||||||
Cleco Power LLC | 6.00% | 12/1/2040 | 4,723 | 5,523,302 | ||||||||
Cleveland Electric Illuminating Co. (The)† | 3.50% | 4/1/2028 | 2,361 | 2,253,610 | ||||||||
Dominion Energy, Inc. | 7.00% | 6/15/2038 | 4,000 | 5,131,566 | ||||||||
Duquesne Light Holdings, Inc. | 6.25% | 8/15/2035 | 2,650 | 3,069,582 | ||||||||
Edison International | 4.125% | 3/15/2028 | 5,474 | 5,449,173 | ||||||||
Emera US Finance LP | 2.70% | 6/15/2021 | 1,052 | 1,026,197 | ||||||||
Enel Finance International NV (Netherlands)†(d) | 2.75% | 4/6/2023 | 5,440 | 5,106,674 | ||||||||
Exelon Generation Co. LLC | 5.60% | 6/15/2042 | 2,950 | 2,987,201 | ||||||||
Exelon Generation Co. LLC | 6.25% | 10/1/2039 | 7,125 | 7,748,890 | ||||||||
Infraestructura Energetica Nova SAB de CV (Mexico)†(d) | 4.875% | 1/14/2048 | 1,954 | 1,719,520 | ||||||||
Israel Electric Corp. Ltd. (Israel)†(d) | 4.25% | 8/14/2028 | 4,800 | 4,573,157 | ||||||||
ITC Holdings Corp.† | 5.50% | 1/15/2020 | 750 | 775,222 | ||||||||
Minejesa Capital BV (Netherlands)†(d) | 5.625% | 8/10/2037 | 1,800 | 1,671,462 | ||||||||
Mississippi Power Co. | 4.25% | 3/15/2042 | 3,605 | 3,428,911 | ||||||||
NextEra Energy Operating Partners LP† | 4.50% | 9/15/2027 | 3,202 | 2,989,868 | ||||||||
Oncor Electric Delivery Co. LLC | 7.00% | 9/1/2022 | 3,243 | 3,706,317 | ||||||||
Oncor Electric Delivery Co. LLC | 7.00% | 5/1/2032 | 247 | 323,918 | ||||||||
Oncor Electric Delivery Co. LLC | 7.50% | 9/1/2038 | 299 | 427,673 | ||||||||
Origin Energy Finance Ltd. (Australia)†(d) | 5.45% | 10/14/2021 | 4,289 | 4,516,525 | ||||||||
Pacific Gas & Electric Co. | 3.30% | 12/1/2027 | 4,316 | 3,993,108 | ||||||||
Pacific Gas & Electric Co. | 6.05% | 3/1/2034 | 6,546 | 7,600,898 | ||||||||
PPL WEM Ltd./Western Power Distribution Ltd. (United Kingdom)†(d) | 5.375% | 5/1/2021 | 1,000 | 1,046,863 | ||||||||
Progress Energy, Inc. | 7.75% | 3/1/2031 | 5,822 | 7,817,875 | ||||||||
PSEG Power LLC | 8.625% | 4/15/2031 | 8,171 | 10,765,217 | ||||||||
SCANA Corp. | 4.125% | 2/1/2022 | 11,685 | 11,537,417 | ||||||||
SCANA Corp. | 4.75% | 5/15/2021 | 5,597 | 5,658,459 | ||||||||
SCANA Corp. | 6.25% | 4/1/2020 | 1,427 | 1,476,940 | ||||||||
Sempra Energy | 4.00% | 2/1/2048 | 4,594 | 4,245,073 | ||||||||
TECO Finance, Inc. | 5.15% | 3/15/2020 | 983 | 1,015,867 | ||||||||
TransAlta Corp. (Canada)(d) | 4.50% | 11/15/2022 | 8,265 | 8,265,000 | ||||||||
Virginia Electric & Power Co. | 8.875% | 11/15/2038 | 974 | 1,558,809 | ||||||||
Total | 147,984,580 |
170 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Electrical Equipment 0.77% | ||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 3.125% | 1/15/2025 | $ | 6,800 | $ | 6,346,202 | ||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 3.875% | 1/15/2027 | 3,411 | 3,255,780 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(d) | 3.875% | 9/1/2022 | 400 | 398,250 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(d) | 4.625% | 6/1/2023 | 7,000 | 7,156,100 | ||||||||
Total | 17,156,332 | |||||||||||
Electrical: Household 0.12% | ||||||||||||
General Cable Corp. | 5.75% | 10/1/2022 | 2,652 | 2,724,930 | ||||||||
Electronics 0.73% | ||||||||||||
Itron, Inc.† | 5.00% | 1/15/2026 | 2,428 | 2,336,950 | ||||||||
Tech Data Corp. | 3.70% | 2/15/2022 | 13,967 | 13,790,103 | ||||||||
Total | 16,127,053 | |||||||||||
Engineering & Contracting Services 0.10% | ||||||||||||
Brand Industrial Services, Inc.† | 8.50% | 7/15/2025 | 2,087 | 2,141,784 | ||||||||
Entertainment 0.38% | ||||||||||||
EMI Music Publishing Group North America Holdings, Inc.† | 7.625% | 6/15/2024 | 1,183 | 1,283,555 | ||||||||
Mohegan Gaming & Entertainment†(g) | 7.875% | 10/15/2024 | 2,045 | 1,952,975 | ||||||||
Scientific Games International, Inc. | 6.625% | 5/15/2021 | 2,493 | 2,555,325 | ||||||||
Scientific Games International, Inc. | 10.00% | 12/1/2022 | 2,467 | 2,655,133 | ||||||||
Total | 8,446,988 | |||||||||||
Environmental Services 0.05% | ||||||||||||
Waste Pro USA, Inc.† | 5.50% | 2/15/2026 | 1,164 | 1,126,170 | ||||||||
Financial Services 2.43% | ||||||||||||
Affiliated Managers Group, Inc. | 3.50% | 8/1/2025 | 541 | 526,035 | ||||||||
Affiliated Managers Group, Inc. | 4.25% | 2/15/2024 | 605 | 617,185 | ||||||||
BrightSphere Investment Group plc (United Kingdom)(d) | 4.80% | 7/27/2026 | 3,933 | 3,896,416 | ||||||||
Discover Financial Services | 4.10% | 2/9/2027 | 4,115 | 3,989,030 | ||||||||
E*TRADE Financial Corp. | 3.80% | 8/24/2027 | 1,448 | 1,385,891 | ||||||||
Fidelity National Financial, Inc. | 5.50% | 9/1/2022 | 1,174 | 1,257,601 | ||||||||
GE Capital International Funding Co. Unlimited Co. (Ireland)(d) | 4.418% | 11/15/2035 | 10,202 | 9,788,740 | ||||||||
International Lease Finance Corp. | 5.875% | 4/1/2019 | 5,630 | 5,753,732 | ||||||||
International Lease Finance Corp. | 5.875% | 8/15/2022 | 613 | 657,645 | ||||||||
Nationstar Mortgage LLC/Nationstar Capital Corp. | 6.50% | 7/1/2021 | 1,237 | 1,252,462 | ||||||||
Nationstar Mortgage LLC/Nationstar Capital Corp. | 7.875% | 10/1/2020 | 1,924 | 1,955,746 |
See Notes to Financial Statements. | 171 |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Financial Services (continued) | ||||||||||||
Navient Corp. | 5.875% | 3/25/2021 | $ | 2,405 | $ | 2,468,131 | ||||||
Navient Corp. | 6.625% | 7/26/2021 | 7,170 | 7,456,800 | ||||||||
Navient Corp. | 6.75% | 6/25/2025 | 1,950 | 1,988,415 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.50% | 3/15/2027 | 3,243 | 3,275,509 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 5,679 | 5,513,841 | ||||||||
SURA Asset Management SA (Colombia)†(d) | 4.375% | 4/11/2027 | 2,285 | 2,193,600 | ||||||||
Total | 53,976,779 | |||||||||||
Food 0.75% | ||||||||||||
Albertsons Cos LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC | 6.625% | 6/15/2024 | 1,950 | 1,843,335 | ||||||||
Chobani LLC/Chobani Finance Corp., Inc.† | 7.50% | 4/15/2025 | 1,594 | 1,540,203 | ||||||||
JBS USA LUX SA/JBS USA Finance, Inc.† | 7.25% | 6/1/2021 | 3,319 | 3,372,934 | ||||||||
Kraft Heinz Foods Co. | 6.875% | 1/26/2039 | 4,606 | 5,460,457 | ||||||||
Kraft Heinz Foods Co.† | 7.125% | 8/1/2039 | 493 | 600,440 | ||||||||
Sigma Alimentos SA de CV (Mexico)†(d) | 4.125% | 5/2/2026 | 3,230 | 3,015,366 | ||||||||
Smithfield Foods, Inc.† | 3.35% | 2/1/2022 | 975 | 947,586 | ||||||||
Total | 16,780,321 | |||||||||||
Health Care Products 0.48% | ||||||||||||
Life Technologies Corp. | 6.00% | 3/1/2020 | 4,643 | 4,858,476 | ||||||||
Zimmer Biomet Holdings, Inc. | 3.375% | 11/30/2021 | 1,950 | 1,939,021 | ||||||||
Zimmer Biomet Holdings, Inc. | 5.75% | 11/30/2039 | 3,372 | 3,781,736 | ||||||||
Total | 10,579,233 | |||||||||||
Health Care Services 2.72% | ||||||||||||
Centene Corp. | 5.625% | 2/15/2021 | 3,547 | 3,650,608 | ||||||||
Centene Escrow I Corp.† | 5.375% | 6/1/2026 | 3,240 | 3,280,500 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 4.75% | 10/15/2024 | 3,754 | 3,891,809 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 5.875% | 1/31/2022 | 6,313 | 6,754,156 | ||||||||
HCA, Inc. | 5.50% | 6/15/2047 | 13,422 | 12,549,570 | ||||||||
Kaiser Foundation Hospitals | 4.15% | 5/1/2047 | 1,429 | 1,452,364 | ||||||||
Kindred Healthcare, Inc. | 8.00% | 1/15/2020 | 1,529 | 1,636,015 | ||||||||
Kindred Healthcare, Inc. | 8.75% | 1/15/2023 | 1,155 | 1,234,406 | ||||||||
Northwell Healthcare, Inc. | 3.979% | 11/1/2046 | 3,786 | 3,474,921 | ||||||||
NYU Langone Hospitals | 4.368% | 7/1/2047 | 652 | 671,209 | ||||||||
Rede D’or Finance Sarl (Luxembourg)†(d) | 4.95% | 1/17/2028 | 1,096 | 985,825 | ||||||||
Universal Health Services, Inc.† | 4.75% | 8/1/2022 | 14,038 | 14,146,093 |
172 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Health Care Services (continued) | ||||||||||||
Universal Health Services, Inc.† | 5.00% | 6/1/2026 | $ | 6,807 | $ | 6,611,299 | ||||||
Total | 60,338,775 | |||||||||||
Household Equipment/Products 0.23% | ||||||||||||
Newell Brands, Inc. | 3.15% | 4/1/2021 | 4,083 | 4,048,012 | ||||||||
Newell Brands, Inc. | 3.85% | 4/1/2023 | 975 | 970,767 | ||||||||
Total | 5,018,779 | |||||||||||
Insurance 3.16% | ||||||||||||
American International Group, Inc. | 4.125% | 2/15/2024 | 2,922 | 2,949,353 | ||||||||
American International Group, Inc. | 4.80% | 7/10/2045 | 9,790 | 9,696,999 | ||||||||
Aon Corp. | 8.205% | 1/1/2027 | 5,545 | 6,868,869 | ||||||||
Assurant, Inc. | 4.90% | 3/27/2028 | 4,610 | 4,656,820 | ||||||||
Brighthouse Financial, Inc. | 3.70% | 6/22/2027 | 5,000 | 4,542,186 | ||||||||
CNO Financial Group, Inc. | 5.25% | 5/30/2025 | 4,866 | 4,914,660 | ||||||||
Hanover Insurance Group, Inc. (The) | 4.50% | 4/15/2026 | 4,460 | 4,480,186 | ||||||||
Liberty Mutual Group, Inc.† | 5.00% | 6/1/2021 | 1,950 | 2,035,743 | ||||||||
Lincoln National Corp. | 6.30% | 10/9/2037 | 584 | 705,031 | ||||||||
Lincoln National Corp. | 7.00% | 6/15/2040 | 2,218 | 2,903,298 | ||||||||
MGIC Investment Corp. | 5.75% | 8/15/2023 | 2,475 | 2,536,875 | ||||||||
Protective Life Corp. | 8.45% | 10/15/2039 | 5,103 | 7,490,467 | ||||||||
Teachers Insurance & Annuity Association of America† | 4.90% | 9/15/2044 | 11,365 | 12,236,721 | ||||||||
Unum Group | 5.75% | 8/15/2042 | 2,922 | 3,163,820 | ||||||||
Willis North America, Inc. | 7.00% | 9/29/2019 | 989 | 1,037,196 | ||||||||
Total | 70,218,224 | |||||||||||
Leasing 0.22% | ||||||||||||
GATX Corp. | 4.55% | 11/7/2028 | 4,845 | 4,893,726 | ||||||||
Leisure 0.74% | ||||||||||||
Carnival plc | 7.875% | 6/1/2027 | 5,500 | 6,983,307 | ||||||||
Royal Caribbean Cruises Ltd. | 3.70% | 3/15/2028 | 1,088 | 1,021,788 | ||||||||
Royal Caribbean Cruises Ltd. | 5.25% | 11/15/2022 | 3,894 | 4,132,104 | ||||||||
Royal Caribbean Cruises Ltd. | 7.50% | 10/15/2027 | 1,795 | 2,183,980 | ||||||||
Silversea Cruise Finance Ltd.† | 7.25% | 2/1/2025 | 1,950 | 2,042,625 | ||||||||
Total | 16,363,804 | |||||||||||
Lodging 0.04% | ||||||||||||
Studio City Co., Ltd. (Macau)†(d) | 7.25% | 11/30/2021 | 913 | 954,085 |
See Notes to Financial Statements. | 173 |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Machinery: Agricultural 0.11% | ||||||||||||
Bunge Ltd. Finance Corp. | 8.50% | 6/15/2019 | $ | 485 | $ | 511,096 | ||||||
MHP Lux SA (Luxembourg)†(d) | 6.95% | 4/3/2026 | 2,000 | 1,942,300 | ||||||||
Total | 2,453,396 | |||||||||||
Machinery: Industrial/Specialty 1.01% | ||||||||||||
CNH Industrial Capital LLC | 4.375% | 4/5/2022 | 9,059 | 9,226,139 | ||||||||
CNH Industrial Capital LLC | 4.875% | 4/1/2021 | 2,925 | 3,020,062 | ||||||||
Nvent Finance Sarl (Luxembourg)†(d) | 4.55% | 4/15/2028 | 10,246 | 10,092,902 | ||||||||
Total | 22,339,103 | |||||||||||
Machinery: Oil Well Equipment & Services 0.08% | ||||||||||||
BlueLine Rental Finance Corp./BlueLine Rental LLC† | 9.25% | 3/15/2024 | 1,687 | 1,804,196 | ||||||||
Manufacturing 0.18% | ||||||||||||
Pentair Finance Sarl (Luxembourg)(d) | 2.65% | 12/1/2019 | 4,118 | 4,082,947 | ||||||||
Media 3.36% | ||||||||||||
21st Century Fox America, Inc. | 7.75% | 12/1/2045 | 7,994 | 11,715,946 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.875% | 4/1/2024 | 1,215 | 1,228,669 | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 6.484% | 10/23/2045 | 1,515 | 1,616,126 | ||||||||
Comcast Corp. | 3.969% | 11/1/2047 | 5,567 | 4,920,294 | ||||||||
Cox Communications, Inc.† | 4.50% | 6/30/2043 | 590 | 521,628 | ||||||||
Cox Communications, Inc.† | 4.70% | 12/15/2042 | 410 | 370,049 | ||||||||
Cox Communications, Inc.† | 8.375% | 3/1/2039 | 7,556 | 10,134,565 | ||||||||
CSC Holdings LLC† | 10.125% | 1/15/2023 | 2,458 | 2,731,453 | ||||||||
Myriad International Holdings BV (Netherlands)†(d) | 6.00% | 7/18/2020 | 8,333 | 8,713,785 | ||||||||
NBCUniversal Enterprise, Inc.† | 5.25% | – | (f) | 14,243 | 14,563,468 | |||||||
Time Warner Cable LLC | 6.55% | 5/1/2037 | 2,560 | 2,785,313 | ||||||||
Time Warner Cable LLC | 7.30% | 7/1/2038 | 9,716 | 11,307,821 | ||||||||
Time Warner Entertainment Co. LP | 8.375% | 7/15/2033 | 3,215 | 4,087,050 | ||||||||
Total | 74,696,167 | |||||||||||
Metal Fabricating 0.08% | ||||||||||||
Valmont Industries, Inc. | 5.25% | 10/1/2054 | 1,946 | 1,842,633 | ||||||||
Metals & Minerals: Miscellaneous 2.92% | ||||||||||||
Alcoa Nederland Holding BV (Netherlands)†(d) | 6.125% | 5/15/2028 | 1,071 | 1,105,808 | ||||||||
Aleris International, Inc.† | 9.50% | 4/1/2021 | 2,878 | 3,018,303 | ||||||||
Anglo American Capital plc (United Kingdom)†(d) | 4.75% | 4/10/2027 | 6,235 | 6,209,918 | ||||||||
Ausdrill Finance Pty Ltd. (Australia)†(d) | 6.875% | 11/1/2019 | 2,000 | 2,010,000 | ||||||||
Barrick International Barbados Corp. (Barbados)†(d) | 6.35% | 10/15/2036 | 2,799 | 3,354,700 |
174 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Metals & Minerals: Miscellaneous (continued) | ||||||||||||
Barrick North America Finance LLC | 7.50% | 9/15/2038 | $ | 1,310 | $ | 1,703,959 | ||||||
First Quantum Minerals Ltd. (Canada)†(d) | 6.875% | 3/1/2026 | 3,000 | 2,846,250 | ||||||||
FMG Resources (August 2006) Pty Ltd. (Australia)†(d) | 9.75% | 3/1/2022 | 1,776 | 1,958,619 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(d) | 4.25% | 10/25/2022 | 965 | 975,432 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(d) | 4.95% | 11/15/2021 | 767 | 798,310 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(d) | 5.55% | 10/25/2042 | 5,774 | 5,829,182 | ||||||||
Glencore Funding LLC† | 3.00% | 10/27/2022 | 836 | 804,864 | ||||||||
Glencore Funding LLC† | 4.125% | 5/30/2023 | 836 | 836,256 | ||||||||
Goldcorp, Inc. (Canada)(d) | 3.625% | 6/9/2021 | 1,950 | 1,955,838 | ||||||||
Goldcorp, Inc. (Canada)(d) | 3.70% | 3/15/2023 | 7,259 | 7,183,067 | ||||||||
Hudbay Minerals, Inc. (Canada)†(d) | 7.25% | 1/15/2023 | 344 | 356,900 | ||||||||
Hudbay Minerals, Inc. (Canada)†(d) | 7.625% | 1/15/2025 | 576 | 607,680 | ||||||||
Joseph T Ryerson & Son, Inc.† | 11.00% | 5/15/2022 | 927 | 1,024,335 | ||||||||
Kinross Gold Corp. (Canada)†(d) | 4.50% | 7/15/2027 | 5,828 | 5,361,760 | ||||||||
MMC Norilsk Nickel OJSC via MMC Finance DAC (Ireland)†(d) | 4.10% | 4/11/2023 | 4,300 | 4,143,136 | ||||||||
New Gold, Inc. (Canada)†(d) | 6.25% | 11/15/2022 | 4,808 | 4,922,190 | ||||||||
Newmont Mining Corp. | 5.125% | 10/1/2019 | 1,950 | 2,000,726 | ||||||||
Southern Copper Corp. (Peru)(d) | 5.25% | 11/8/2042 | 3,885 | 3,901,218 | ||||||||
Vedanta Resources plc (India)†(d) | 6.125% | 8/9/2024 | 2,000 | 1,863,868 | ||||||||
Total | 64,772,319 | |||||||||||
Natural Gas 0.69% | ||||||||||||
National Fuel Gas Co. | 3.75% | 3/1/2023 | 2,919 | 2,899,681 | ||||||||
National Fuel Gas Co. | 3.95% | 9/15/2027 | 2,687 | 2,572,441 | ||||||||
National Fuel Gas Co. | 4.90% | 12/1/2021 | 3,887 | 4,019,582 | ||||||||
Southern Star Central Corp.† | 5.125% | 7/15/2022 | 5,850 | 5,908,500 | ||||||||
Total | 15,400,204 | |||||||||||
Office Furniture & Business Equipment 0.01% | ||||||||||||
Xerox Corp. | 3.625% | 3/15/2023 | 232 | 224,013 | ||||||||
Oil 6.81% | ||||||||||||
Afren plc (United Kingdom)†(d)(h) | 6.625% | 12/9/2020 | 976 | 4,274 | ||||||||
Afren plc (United Kingdom)†(d)(h) | 10.25% | 4/8/2019 | 2,049 | 8,976 | ||||||||
Antero Resources Corp. | 5.125% | 12/1/2022 | 232 | 234,320 | ||||||||
Apache Corp. | 5.10% | 9/1/2040 | 3,225 | 3,281,383 | ||||||||
Berry Petroleum Co. LLC† | 7.00% | 2/15/2026 | 1,941 | 1,979,820 | ||||||||
Canadian Natural Resources Ltd. (Canada)(d) | 7.20% | 1/15/2032 | 789 | 990,505 | ||||||||
Carrizo Oil & Gas, Inc. | 7.50% | 9/15/2020 | 863 | 868,394 |
See Notes to Financial Statements. | 175 |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Oil (continued) | ||||||||||||
Carrizo Oil & Gas, Inc. | 8.25% | 7/15/2025 | $ | 761 | $ | 814,270 | ||||||
CNOOC Curtis Funding No 1 Pty Ltd. (Australia)†(d) | 4.50% | 10/3/2023 | 4,800 | 4,969,171 | ||||||||
Continental Resources, Inc. | 4.90% | 6/1/2044 | 1,943 | 1,919,333 | ||||||||
Continental Resources, Inc. | 5.00% | 9/15/2022 | 12,693 | 12,900,317 | ||||||||
Encana Corp. (Canada)(d) | 6.50% | 5/15/2019 | 1,950 | 2,009,065 | ||||||||
Eni SpA (Italy)†(d) | 5.70% | 10/1/2040 | 9,380 | 10,155,304 | ||||||||
Eni USA, Inc. | 7.30% | 11/15/2027 | 3,245 | 3,934,225 | ||||||||
Gazprom OAO via Gaz Capital SA (Luxembourg)†(d) | 4.95% | 2/6/2028 | 4,000 | 3,924,856 | ||||||||
Helmerich & Payne International Drilling Co. | 4.65% | 3/15/2025 | 11,216 | 11,654,777 | ||||||||
HighPoint Operating Corp. | 7.00% | 10/15/2022 | 1,119 | 1,132,652 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 5.75% | 10/1/2025 | 8,382 | 8,402,955 | ||||||||
KazMunayGas National Co. JSC (Kazakhstan)†(d) | 6.375% | 10/24/2048 | 1,800 | 1,839,690 | ||||||||
Kerr-McGee Corp. | 7.875% | 9/15/2031 | 6,505 | 8,380,482 | ||||||||
Kosmos Energy Ltd.† | 7.875% | 8/1/2021 | 1,131 | 1,153,620 | ||||||||
Matador Resources Co. | 6.875% | 4/15/2023 | 3,350 | 3,513,312 | ||||||||
Motiva Enterprises LLC† | 5.75% | 1/15/2020 | 6,412 | 6,642,175 | ||||||||
Newfield Exploration Co. | 5.75% | 1/30/2022 | 975 | 1,026,188 | ||||||||
Oasis Petroleum, Inc. | 6.875% | 3/15/2022 | 2,815 | 2,864,262 | ||||||||
OGX Austria GmbH (Brazil)†(d)(h) | 8.50% | 6/1/2018 | 1,800 | 36 | ||||||||
Petrobras Global Finance BV (Netherlands)(d) | 5.75% | 2/1/2029 | 3,000 | 2,691,300 | ||||||||
Petroleos Mexicanos (Mexico)(d) | 5.50% | 6/27/2044 | 2,365 | 1,981,633 | ||||||||
Precision Drilling Corp. (Canada)(d) | 5.25% | 11/15/2024 | 2,621 | 2,476,845 | ||||||||
PT Saka Energi Indonesia (Indonesia)†(d) | 4.45% | 5/5/2024 | 4,300 | 4,084,540 | ||||||||
Raizen Fuels Finance SA (Luxembourg)†(d) | 5.30% | 1/20/2027 | 675 | 647,244 | ||||||||
Range Resources Corp. | 5.00% | 8/15/2022 | 957 | 952,215 | ||||||||
Range Resources Corp. | 5.875% | 7/1/2022 | 486 | 492,075 | ||||||||
Ras Laffan Liquefied Natural Gas Co., Ltd. III (Qatar)†(d) | 6.75% | 9/30/2019 | 5,000 | 5,206,593 | ||||||||
Resolute Energy Corp. | 8.50% | 5/1/2020 | 2,921 | 2,928,302 | ||||||||
RSP Permian, Inc. | 6.625% | 10/1/2022 | 2,933 | 3,064,985 | ||||||||
Sanchez Energy Corp. | 6.125% | 1/15/2023 | 4,236 | 2,806,350 | ||||||||
Seven Generations Energy Ltd. (Canada)†(d) | 6.875% | 6/30/2023 | 2,545 | 2,646,800 | ||||||||
Tapstone Energy LLC/Tapstone Energy Finance Corp.† | 9.75% | 6/1/2022 | 4,967 | 4,240,576 | ||||||||
Tengizchevroil Finance Co. International Ltd. (Kazakhstan)†(d) | 4.00% | 8/15/2026 | 4,975 | 4,706,340 | ||||||||
Trinidad Drilling Ltd. (Canada)†(d) | 6.625% | 2/15/2025 | 2,509 | 2,402,367 | ||||||||
Valero Energy Corp. | 10.50% | 3/15/2039 | 7,394 | 12,080,893 | ||||||||
WildHorse Resource Development Corp.† | 6.875% | 2/1/2025 | 850 | 872,313 | ||||||||
YPF SA (Argentina)†(d) | 7.00% | 12/15/2047 | 3,015 | 2,519,032 | ||||||||
Total | 151,404,765 |
176 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Oil: Crude Producers 5.13% | ||||||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. | 6.25% | 10/15/2022 | $ | 1,444 | $ | 1,507,175 | ||||||
Cheniere Corpus Christi Holdings LLC | 5.125% | 6/30/2027 | 1,769 | 1,764,578 | ||||||||
Columbia Pipeline Group, Inc. | 3.30% | 6/1/2020 | 2,630 | 2,625,382 | ||||||||
Enable Midstream Partners LP | 2.40% | 5/15/2019 | 1,950 | 1,937,671 | ||||||||
Enbridge Energy Partners LP | 6.106% (3 Mo. LIBOR + 3.80% | )# | 10/1/2077 | 4,055 | 4,044,862 | |||||||
Enbridge Energy Partners LP | 9.875% | 3/1/2019 | 1,950 | 2,049,330 | ||||||||
Enbridge, Inc. (Canada)(d) | 6.00% | #(e) | 1/15/2077 | 4,462 | 4,305,830 | |||||||
Energy Transfer Partners LP | 7.50% | 7/1/2038 | 6,948 | 8,105,786 | ||||||||
Energy Transfer Partners LP | 6.125% | 12/15/2045 | 1,073 | 1,091,297 | ||||||||
Energy Transfer Partners LP | 8.25% | 11/15/2029 | 3,202 | 3,939,941 | ||||||||
Energy Transfer Partners LP/Regency Energy Finance Corp. | 5.00% | 10/1/2022 | 275 | 285,121 | ||||||||
Enterprise Products Operating LLC | 6.066% (3 Mo. LIBOR + 3.71% | )# | 8/1/2066 | 4,040 | 4,055,150 | |||||||
Enterprise Products Operating LLC | 7.55% | 4/15/2038 | 1,199 | 1,613,567 | ||||||||
Florida Gas Transmission Co. LLC† | 7.90% | 5/15/2019 | 975 | 1,017,019 | ||||||||
Gulf South Pipeline Co. LP | 4.00% | 6/15/2022 | 2,241 | 2,240,956 | ||||||||
IFM US Colonial Pipeline 2 LLC† | 6.45% | 5/1/2021 | 6,020 | 6,436,258 | ||||||||
Kinder Morgan, Inc.† | 5.625% | 11/15/2023 | 972 | 1,041,770 | ||||||||
Kinder Morgan, Inc. | 7.75% | 1/15/2032 | 12,703 | 15,772,126 | ||||||||
Magellan Midstream Partners LP | 6.55% | 7/15/2019 | 2,925 | 3,037,429 | ||||||||
Midcontinent Express Pipeline LLC† | 6.70% | 9/15/2019 | 6,700 | 6,917,750 | ||||||||
MPLX LP | 5.50% | 2/15/2023 | 874 | 894,766 | ||||||||
Northwest Pipeline LLC | 6.05% | 6/15/2018 | 1,950 | 1,952,179 | ||||||||
ONEOK Partners LP | 8.625% | 3/1/2019 | 1,950 | 2,031,339 | ||||||||
Sabal Trail Transmission LLC† | 4.246% | 5/1/2028 | 2,429 | 2,446,972 | ||||||||
Sabine Pass Liquefaction LLC | 5.625% | 4/15/2023 | 10,183 | 10,877,126 | ||||||||
Sabine Pass Liquefaction LLC | 5.875% | 6/30/2026 | 8,398 | 9,105,934 | ||||||||
Spectra Energy Partners LP | 2.725% (3 Mo. LIBOR + .70% | )# | 6/5/2020 | 3,900 | 3,928,257 | |||||||
Sunoco Logistics Partners Operations LP | 3.45% | 1/15/2023 | 486 | 473,586 | ||||||||
Texas Eastern Transmission LP† | 4.125% | 12/1/2020 | 1,950 | 1,981,546 | ||||||||
Williams Cos., Inc. (The) | 8.75% | 3/15/2032 | 4,908 | 6,404,940 | ||||||||
Total | 113,885,643 | |||||||||||
Oil: Integrated Domestic 0.69% | ||||||||||||
Halliburton Co. | 7.45% | 9/15/2039 | 4,134 | 5,627,651 | ||||||||
National Oilwell Varco, Inc. | 3.95% | 12/1/2042 | 5,377 | 4,704,377 | ||||||||
SESI LLC | 7.125% | 12/15/2021 | 2,296 | 2,341,920 |
See Notes to Financial Statements. | 177 |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil: Integrated Domestic (continued) | ||||||||||||
Weatherford International Ltd. | 9.875% | 3/1/2039 | $ | 2,825 | $ | 2,754,375 | ||||||
Total | 15,428,323 | |||||||||||
Paper & Forest Products 0.22% | ||||||||||||
International Paper Co. | 7.30% | 11/15/2039 | 2,955 | 3,799,449 | ||||||||
West Fraser Timber Co. Ltd. (Canada)†(d) | 4.35% | 10/15/2024 | 1,065 | 1,061,266 | ||||||||
Total | 4,860,715 | |||||||||||
Real Estate Investment Trusts 4.16% | ||||||||||||
Alexandria Real Estate Equities, Inc. | 3.45% | 4/30/2025 | 6,683 | 6,411,872 | ||||||||
Alexandria Real Estate Equities, Inc. | 3.95% | 1/15/2028 | 2,324 | 2,255,640 | ||||||||
American Homes 4 Rent LP | 4.25% | 2/15/2028 | 5,564 | 5,380,190 | ||||||||
Brixmor Operating Partnership LP | 3.85% | 2/1/2025 | 4,742 | 4,607,009 | ||||||||
China Evergrande Group (China)(d) | 8.75% | 6/28/2025 | 2,000 | 1,852,760 | ||||||||
China Overseas Finance Cayman V Ltd. | 5.35% | 11/15/2042 | 1,700 | 1,823,677 | ||||||||
Country Garden Holdings Co. Ltd. (China)(d) | 4.75% | 9/28/2023 | 4,200 | 3,960,759 | ||||||||
EPR Properties | 4.50% | 4/1/2025 | 1,947 | 1,934,412 | ||||||||
EPR Properties | 4.95% | 4/15/2028 | 2,526 | 2,458,621 | ||||||||
EPR Properties | 5.25% | 7/15/2023 | 9,021 | 9,347,686 | ||||||||
Goodman US Finance Three LLC† | 3.70% | 3/15/2028 | 1,066 | 1,015,334 | ||||||||
Healthcare Realty Trust, Inc. | 3.625% | 1/15/2028 | 6,800 | 6,384,913 | ||||||||
Healthcare Trust of America Holdings LP | 2.95% | 7/1/2022 | 1,619 | 1,575,779 | ||||||||
Hunt Cos, Inc.† | 6.25% | 2/15/2026 | 2,647 | 2,498,106 | ||||||||
Kilroy Realty LP | 6.625% | 6/1/2020 | 6,650 | 7,073,911 | ||||||||
Ontario Teachers’ Cadillac Fairview Properties Trust (Canada)†(d) | 3.875% | 3/20/2027 | 3,429 | 3,402,238 | ||||||||
Physicians Realty LP | 4.30% | 3/15/2027 | 1,945 | 1,900,382 | ||||||||
Reckson Operating Partnership LP | 7.75% | 3/15/2020 | 7,961 | 8,563,573 | ||||||||
SL Green Operating Partnership LP | 3.25% | 10/15/2022 | 2,088 | 2,034,009 | ||||||||
SL Green Realty Corp. | 4.50% | 12/1/2022 | 590 | 600,671 | ||||||||
VEREIT Operating Partnership LP | 3.00% | 2/6/2019 | 3,299 | 3,300,278 | ||||||||
VEREIT Operating Partnership LP | 3.95% | 8/15/2027 | 4,268 | 3,968,201 | ||||||||
VEREIT Operating Partnership LP | 4.875% | 6/1/2026 | 7,114 | 7,093,085 | ||||||||
WeWork Cos., Inc.† | 7.875% | 5/1/2025 | 3,238 | 3,064,411 | ||||||||
Total | 92,507,517 | |||||||||||
Retail 0.09% | ||||||||||||
Yum! Brands, Inc. | 6.875% | 11/15/2037 | 1,949 | 2,026,960 | ||||||||
Savings & Loan 0.25% | ||||||||||||
People’s United Financial, Inc. | 3.65% | 12/6/2022 | 5,613 | 5,638,897 |
178 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Steel 0.86% | ||||||||||||
Cleveland-Cliffs, Inc. | 5.75% | 3/1/2025 | $ | 2,557 | $ | 2,449,926 | ||||||
Gerdau Trade, Inc.† | 4.875% | 10/24/2027 | 2,785 | 2,653,687 | ||||||||
Vale Overseas Ltd. (Brazil)(d) | 6.25% | 8/10/2026 | 2,747 | 2,973,628 | ||||||||
Vale Overseas Ltd. (Brazil)(d) | 6.875% | 11/10/2039 | 9,645 | 11,019,412 | ||||||||
Total | 19,096,653 | |||||||||||
Technology 2.25% | ||||||||||||
Alibaba Group Holding Ltd. (China)(d) | 4.20% | 12/6/2047 | 2,000 | 1,891,888 | ||||||||
Alibaba Group Holding Ltd. (China)(d) | 4.40% | 12/6/2057 | 3,400 | 3,203,527 | ||||||||
Alibaba Group Holding Ltd. (China)(d) | 4.50% | 11/28/2034 | 5,000 | 5,066,071 | ||||||||
Baidu, Inc. (China)(d) | 3.625% | 7/6/2027 | 4,500 | 4,289,922 | ||||||||
Baidu, Inc. (China)(d) | 3.875% | 9/29/2023 | 9,000 | 9,023,625 | ||||||||
Expedia Group, Inc. | 3.80% | 2/15/2028 | 2,911 | 2,661,474 | ||||||||
Expedia Group, Inc. | 5.00% | 2/15/2026 | 3,920 | 4,013,875 | ||||||||
JD.com, Inc. (China)(d) | 3.875% | 4/29/2026 | 4,335 | 4,134,248 | ||||||||
Netflix, Inc.(b) | 3.625% | 5/15/2027 | EUR | 3,900 | 4,529,251 | |||||||
Tencent Holdings Ltd. (China)†(d) | 3.595% | 1/19/2028 | $ | 11,645 | 11,158,655 | |||||||
Total | 49,972,536 | |||||||||||
Telecommunications 3.50% | ||||||||||||
AT&T, Inc. | 5.35% | 9/1/2040 | 3,881 | 3,940,558 | ||||||||
AT&T, Inc. | 6.00% | 8/15/2040 | 21,310 | 22,958,118 | ||||||||
AT&T, Inc. | 6.35% | 3/15/2040 | 7,542 | 8,448,105 | ||||||||
GCI, Inc. | 6.875% | 4/15/2025 | 2,900 | 3,034,125 | ||||||||
Level 3 Parent LLC | 5.75% | 12/1/2022 | 3,001 | 3,008,502 | ||||||||
Oztel Holdings SPC Ltd. (United Arab Emirates)†(d) | 6.625% | 4/24/2028 | 1,975 | 1,936,191 | ||||||||
T-Mobile USA, Inc. | 6.00% | 4/15/2024 | 2,395 | 2,493,914 | ||||||||
U.S. Cellular Corp. | 6.70% | 12/15/2033 | 2,459 | 2,563,508 | ||||||||
Verizon Communications, Inc. | 4.862% | 8/21/2046 | 23,857 | 23,079,322 | ||||||||
Vodafone Group plc (United Kingdom)(d) | 4.375% | 5/30/2028 | 4,157 | 4,131,597 | ||||||||
Vodafone Group plc (United Kingdom)(d) | 5.25% | 5/30/2048 | 2,051 | 2,076,367 | ||||||||
Total | 77,670,307 | |||||||||||
Textiles Products 0.07% | ||||||||||||
Springs Industries, Inc. | 6.25% | 6/1/2021 | 1,450 | 1,477,985 | ||||||||
Toys 0.01% | ||||||||||||
Mattel, Inc. | 2.35% | 8/15/2021 | 325 | 297,375 |
See Notes to Financial Statements. | 179 |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Transportation: Miscellaneous 0.46% | ||||||||||||
Burlington Northern Santa Fe LLC | 6.15% | 5/1/2037 | $ | 2,449 | $ | 3,050,363 | ||||||
Burlington Northern Santa Fe LLC | 6.20% | 8/15/2036 | 245 | 304,835 | ||||||||
Lima Metro Line 2 Finance Ltd.† | 5.875% | 7/5/2034 | 2,400 | 2,419,824 | ||||||||
Navios South American Logistics, Inc./Navios Logistics Finance US, Inc. (Uruguay)†(d) | 7.25% | 5/1/2022 | 973 | 954,756 | ||||||||
Norfolk Southern Corp. | 5.59% | 5/17/2025 | 2,150 | 2,379,119 | ||||||||
Rumo Luxembourg Sarl (Luxembourg)†(d) | 7.375% | 2/9/2024 | 1,000 | 1,037,000 | ||||||||
Total | 10,145,897 | |||||||||||
Total Corporate Bonds (cost $1,756,227,225) | 1,724,083,988 | |||||||||||
FLOATING RATE LOANS(i) 0.98% | ||||||||||||
Beverages 0.09% | ||||||||||||
Keurig Green Mountain, Inc. 2017 Term Loan A | 3.063% (1 Wk. LIBOR + 1.25% | ) | 3/3/2021 | 2,006 | 2,004,578 | |||||||
Biotechnology Research & Production 0.14% | ||||||||||||
Alexion Pharmaceuticals, Inc. Global Term Loan | 3.254% (1 Wk. LIBOR + 1.50% | ) | 6/22/2020 | 3,095 | 3,098,569 | (j) | ||||||
Chemicals 0.16% | ||||||||||||
Mosaic Company (The) Term Loan | 3.48% (1 Mo. LIBOR + 1.50% | ) | 11/18/2021 | 3,640 | 3,630,900 | (j) | ||||||
Computer Hardware 0.03% | ||||||||||||
Everett SpinCo, Inc Tranche Term Loan A2 | 3.23% (1 Mo. LIBOR + 1.25% | ) | 12/16/2019 | 725 | 725,419 | (j) | ||||||
Electrical Equipment 0.10% | ||||||||||||
Microchip Technology, Inc. Term Loan B | – | (k) | 5/29/2025 | 2,069 | 2,083,742 | |||||||
Lodging 0.11% | ||||||||||||
Wyndham Hotels & Resorts, Inc. Term Loan B | – | (k) | 5/30/2025 | 2,512 | 2,524,032 | |||||||
Media 0.16% | ||||||||||||
Discovery Communications, LLC Tranche 1 Term Loan | 3.48% (1 Mo. LIBOR + 1.50% | ) | 3/5/2021 | 3,500 | 3,504,375 | |||||||
Metal Fabricating 0.10% | ||||||||||||
Doncasters U.S. Finance LLC 2nd Lien Term Loan | 10.552% (3 Mo. LIBOR + 8.25% | ) | 10/9/2020 | 959 | 920,608 | |||||||
Doncasters U.S. Finance LLC Term Loan B | 5.837% (3 Mo. LIBOR + 3.50% | ) | 4/9/2020 | 1,409 | 1,366,678 | |||||||
Total | 2,287,286 |
180 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Miscellaneous 0.09% | ||||||||||||
UTEX Industries, Inc. 1st Lien Initial Term Loan | 5.98% (1 Mo. LIBOR + 4.00% | ) | 5/21/2021 | $ | 727 | $ | 722,749 | |||||
UTEX Industries, Inc. 2nd Lien Term Loan | 9.23% (1 Mo. LIBOR + 7.25% | ) | 5/20/2022 | 1,275 | 1,253,752 | |||||||
Total | 1,976,501 | |||||||||||
Total Floating Rate Loans (cost $21,801,541) | 21,835,402 | |||||||||||
FOREIGN BONDS(b) 0.22% | ||||||||||||
Mexico 0.07% | ||||||||||||
Red de Carreteras de Occidente S.A.P.I.B. de CV† | 9.00% | 6/10/2028 | MXN | 31,250 | 1,523,911 | |||||||
United Kingdom 0.15% | ||||||||||||
Old Mutual plc | 8.00% | 6/3/2021 | GBP | 2,235 | 3,312,638 | |||||||
Total Foreign Bonds (cost $6,272,873) | 4,836,549 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS 0.90% | ||||||||||||
Argentina 0.27% | ||||||||||||
Republic of Argentina(d) | 4.625% | 1/11/2023 | $ | 3,736 | 3,404,001 | |||||||
Republic of Argentina(d) | 5.875% | 1/11/2028 | 2,916 | 2,563,193 | ||||||||
Total | 5,967,194 | |||||||||||
Bermuda 0.34% | ||||||||||||
Government of Bermuda† | 3.717% | 1/25/2027 | 8,090 | 7,681,050 | ||||||||
India 0.29% | ||||||||||||
Export-Import Bank of India†(d) | 3.875% | 2/1/2028 | 6,800 | 6,400,697 | ||||||||
Total Foreign Government Obligations (cost $21,212,751) | 20,048,941 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 0.52% | ||||||||||||
Federal Home Loan Mortgage Corp. 1020 S IO | 900.95% | #(l)(m) | 12/15/2020 | – | (n) | 191 | ||||||
Federal Home Loan Mortgage Corp. 1032 O IO | 544.714% | (m) | 12/15/2020 | – | (n) | 266 | ||||||
Federal Home Loan Mortgage Corp. 1046 I IO | 1009.00% | (m) | 2/15/2021 | – | (n) | 149 | ||||||
Federal Home Loan Mortgage Corp. 1049 N IO | 1010.50% | (m) | 2/15/2021 | – | (n) | 80 | ||||||
Federal Home Loan Mortgage Corp. 1058 I IO | 1008.50% | (m) | 4/15/2021 | – | (n) | 90 | ||||||
Federal Home Loan Mortgage Corp. 1059 U IO | 409.00% | (m) | 4/15/2021 | – | (n) | 198 | ||||||
Federal Home Loan Mortgage Corp. 1066 S IO | 1195.607% | (m) | 4/15/2021 | – | (n) | 528 | ||||||
Federal Home Loan Mortgage Corp. 1082 D IO | 1007.78% | (m) | 5/15/2021 | – | (n) | 248 | ||||||
Federal Home Loan Mortgage Corp. 1095 A PO | Zero Coupon | 6/15/2021 | 1 | 1,152 | ||||||||
Federal Home Loan Mortgage Corp. 1137 M IO | 1185.497% | (m) | 9/15/2021 | – | (n) | 190 |
See Notes to Financial Statements. | 181 |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | ||||||||||||
Federal Home Loan Mortgage Corp. 1148 F PO | Zero Coupon | 10/15/2021 | $ | 1 | $ | 1,075 | ||||||
Federal Home Loan Mortgage Corp. 1180 G IO | 1008.40% | (m) | 11/15/2021 | – | (n) | 226 | ||||||
Federal Home Loan Mortgage Corp. 1200 IB IO | 1007.00% | (m) | 2/15/2022 | – | (n) | 69 | ||||||
Federal Home Loan Mortgage Corp. 1241 X IO | 982.654% | (m) | 4/15/2022 | – | (n) | 80 | ||||||
Federal Home Loan Mortgage Corp. 1363 B PO | Zero Coupon | 8/15/2022 | 22 | 20,907 | ||||||||
Federal Home Loan Mortgage Corp. 1372 C PO | Zero Coupon | 9/15/2022 | 5 | 5,284 | ||||||||
Federal Home Loan Mortgage Corp. 141 A PO | Zero Coupon | 7/1/2022 | 1 | 733 | ||||||||
Federal Home Loan Mortgage Corp. 73 G IO | 1095.35% | (m) | 10/15/2020 | – | (n) | 5 | ||||||
Federal National Mortgage Assoc. 133 1 PO | Zero Coupon | 4/25/2022 | 1 | 592 | ||||||||
Federal National Mortgage Assoc. 1991-158 E IO | 1008.00% | #(l)(m) | 12/25/2021 | – | (n) | 210 | ||||||
Federal National Mortgage Assoc. 94 2 IO | 9.50% | (m) | 8/25/2021 | 1 | 114 | |||||||
Government National Mortgage Assoc. 2013-48 IO | 0.613% | #(l)(m) | 7/16/2054 | 15,739 | 689,067 | |||||||
Government National Mortgage Assoc. 2017-41 AS | 2.60% | 6/16/2057 | 5,101 | 4,904,004 | ||||||||
Government National Mortgage Assoc. 2017-86 AS | 2.75% | 2/16/2058 | 2,055 | 1,995,623 | ||||||||
Government National Mortgage Assoc. 2017-89 AB | 2.60% | 7/16/2058 | 1,713 | 1,655,217 | ||||||||
Government National Mortgage Assoc. 2017-90 AS | 2.70% | 7/16/2057 | 2,391 | 2,307,748 | ||||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $11,962,091) | 11,584,046 | |||||||||||
MUNICIPAL BONDS 0.73% | ||||||||||||
Miscellaneous | ||||||||||||
Illinois | 5.10% | 6/1/2033 | 1,935 | 1,865,611 | ||||||||
Illinois | 5.52% | 4/1/2038 | 660 | 629,713 | ||||||||
Illinois | 5.877% | 3/1/2019 | 2,915 | 2,972,163 | ||||||||
North Texas Tollway Auth | 8.41% | 2/1/2030 | 1,950 | 2,548,689 | ||||||||
North Texas Tollway Auth | 8.91% | 2/1/2030 | 7,500 | 8,194,200 | ||||||||
Total Municipal Bonds (cost $15,538,227) | 16,210,376 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 1.64% | ||||||||||||
Caesars Palace Las Vegas Trust 2017-VICI A† | 3.531% | 10/15/2034 | 5,744 | 5,788,431 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI B† | 3.835% | 10/15/2034 | 3,513 | 3,542,089 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI C† | 4.138% | 10/15/2034 | 2,103 | 2,134,121 | ||||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 C | 4.441% | #(l) | 7/10/2050 | 1,776 | 1,666,766 | |||||||
Commercial Mortgage Pass-Through Certificates 2016-SAVA A† | 3.649% (1 Mo. LIBOR + 1.72% | )# | 10/15/2034 | 2,962 | 2,965,530 | |||||||
182 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Credit Suisse Mortgage Capital Certificates 2014-USA E† | 4.373% | 9/15/2037 | $ | 2,000 | $ | 1,794,980 | ||||||
DBWF Mortgage Trust 2015-LCM D† | 3.421% | #(l) | 6/10/2034 | 1,600 | 1,363,074 | |||||||
DBWF Mortgage Trust 2018-AMXP D† | 3.916% | #(l) | 5/5/2035 | 5,497 | 5,451,376 | |||||||
GAHR Commercial Mortgage Trust 2015-NRF DFX† | 3.382% | #(l) | 12/15/2034 | 1,472 | 1,465,139 | |||||||
GS Mortgage Securities Trust 2013-GC12 XA IO | 1.444% | #(l)(m) | 6/10/2046 | 23,073 | 1,297,917 | |||||||
GS Mortgage Securities Trust 2013-GC12 XB IO | 0.517% | #(l)(m) | 6/10/2046 | 47,400 | 1,175,676 | |||||||
GS Mortgage Securities Trust 2015-GC32 C | 4.412% | #(l) | 7/10/2048 | 1,022 | 1,018,078 | |||||||
GS Mortgage Securities Trust 2015-GS1 XB IO | 0.184% | #(l)(m) | 11/10/2048 | 30,000 | 464,250 | |||||||
Hudsons Bay Simon JV Trust 2015-HB10 XB10 IO† | 0.541% | #(l)(m) | 8/5/2034 | 16,028 | 596,642 | |||||||
Hudsons Bay Simon JV Trust 2015-HB7 XB7 IO† | 0.493% | #(l)(m) | 8/5/2034 | 18,308 | 388,404 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XA IO | 1.135% | #(l)(m) | 4/15/2047 | 6,357 | 141,665 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XB IO | 0.266% | #(l)(m) | 4/15/2047 | 1,896 | 35,085 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C30 C | 4.307% | #(l) | 7/15/2048 | 1,674 | 1,622,775 | |||||||
Merrill Lynch Mortgage Investors Trust 2006-AF2 AF1 | 6.25% | 10/25/2036 | 831 | 696,044 | ||||||||
Sequoia Mortgage Trust 2012-4 A3 | 2.069% | #(l) | 9/25/2042 | 389 | 369,894 | |||||||
Wells Fargo Commercial Mortgage Trust 2013-LC12 D† | 4.29% | #(l) | 7/15/2046 | 2,256 | 1,900,935 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C20 XA IO | 1.055% | #(l)(m) | 5/15/2047 | 12,359 | 528,927 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C20 XB IO | 0.564% | #(l)(m) | 5/15/2047 | 2,617 | 87,542 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $36,584,500) | 36,495,340 | |||||||||||
Dividend Rate | Shares (000) | |||||||||||
PREFERRED STOCKS 0.17% | ||||||||||||
Electric: Power 0.14% | ||||||||||||
SCE Trust III | 5.75% | #(o) | 120 | 3,144,284 | ||||||||
Oil 0.03% | ||||||||||||
Templar Energy LLC | Zero Coupon | 85 | 615,830 | |||||||||
Total Preferred Stocks (cost $3,836,155) | 3,760,114 |
See Notes to Financial Statements. | 183 |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
U.S. TREASURY OBLIGATIONS 3.52% | ||||||||||||
U.S. Treasury Bond | 3.00% | 2/15/2048 | $ | 221 | $ | 220,219 | ||||||
U.S. Treasury Bond | 3.625% | 2/15/2044 | 905 | 1,004,408 | ||||||||
U.S. Treasury Note | 1.625% | 11/15/2022 | 32,873 | 31,441,869 | ||||||||
U.S. Treasury Note | 2.75% | 5/31/2023 | 44,533 | 44,667,816 | ||||||||
U.S. Treasury Note | 2.75% | 2/15/2028 | 843 | 835,197 | ||||||||
Total U.S. Treasury Obligations (cost $77,730,930) | 78,169,509 | |||||||||||
Total Long-Term Investments (cost $2,161,309,523) | 2,125,158,038 | |||||||||||
SHORT-TERM INVESTMENTS 3.87% | ||||||||||||
COMMERCIAL PAPER 2.01% | ||||||||||||
Aerospace/Defense 0.22% | ||||||||||||
Lockheed Martin Corp. | 2.058% | 6/1/2018 | 5,000 | 5,000,000 | ||||||||
Electric: Power 0.22% | ||||||||||||
Southern California Edison Co. | 2.099% | 6/4/2018 | 5,000 | 4,999,138 | ||||||||
Electrical: Household 0.09% | ||||||||||||
Molex Electronic Technologies LLC | 2.765% | 6/11/2018 | 2,000 | 1,998,494 | ||||||||
Electronics 0.04% | ||||||||||||
Amphenol Corp. | 2.078% | 6/1/2018 | 1,000 | 1,000,000 | ||||||||
Financial Services 0.13% | ||||||||||||
Syngenta Wilmington, Inc. | 2.948% | 6/25/2018 | 3,000 | 2,994,200 | ||||||||
Food 0.23% | ||||||||||||
Sysco Corp. | 2.079% | 6/1/2018 | 5,000 | 5,000,000 | ||||||||
Household Furnishings 0.23% | ||||||||||||
Leggett & Platt, Inc. | 2.079% | 6/1/2018 | 5,000 | 5,000,000 | ||||||||
Insurance 0.23% | ||||||||||||
Aegon NV | 2.129% | 6/1/2018 | 5,000 | 5,000,000 | ||||||||
Manufacturing 0.18% | ||||||||||||
Pentair Finance Sarl | 2.434% | 6/1/2018 | 4,000 | 4,000,000 | ||||||||
Oil: Crude Producers 0.44% | ||||||||||||
Enbridge Energy Partners LP | 3.026% | 6/11/2018 | 4,750 | 4,746,081 | ||||||||
Plains All American Pipeline LP | 2.84% | 6/1/2018 | 5,000 | 5,000,000 | ||||||||
Total | 9,746,081 | |||||||||||
Total Commercial Paper (cost $44,737,913) | 44,737,913 |
184 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
CORPORATE BOND 0.09% | ||||||||||||
Oil: Crude Producers | ||||||||||||
Columbia Pipeline Group, Inc. (cost $1,950,000) | 2.45% | 6/1/2018 | $ | 1,950 | $ | 1,950,000 | ||||||
REPURCHASE AGREEMENT 1.77% | ||||||||||||
Repurchase Agreement dated 5/31/2018, 0.90% due 6/1/2018 with Fixed Income Clearing Corp. collateralized by $40,935,000 of U.S. Treasury Note at 1.875% due 2/28/2022; value: $40,044,868; proceeds: $39,256,752 (cost $39,255,771) | 39,256 | 39,255,771 | ||||||||||
Total Short-Term Investments (cost $85,943,684) | 85,943,684 | |||||||||||
Total Investments in Securities 99.52% (cost $2,247,253,207) | 2,211,101,722 | |||||||||||
Liabilities in Excess of Cash and Other Assets(p) 0.48% | 10,603,792 | |||||||||||
Net Assets 100.00% | $ | 2,221,705,514 |
BRL | Brazilian real. | |
GBP | British pound. | |
MXN | Mexican peso. | |
ADR | American Depositary Receipt. | |
IO | Interest Only. | |
LIBOR | London Interbank Offered Rate. | |
PIK | Payment-in-kind. | |
PO | Principal Only. | |
Units | More than one class of securities traded together. | |
† | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers. | |
# | Variable rate security. The interest rate represents the rate in effect at May 31, 2018. | |
* | Non-income producing security. | |
(a) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(b) | Investment in non-U.S. dollar denominated securities. | |
(c) | Amount represents less than 1,000 shares. | |
(d) | Foreign security traded in U.S. dollars. | |
(e) | Variable Rate is Fixed to Float: Rate remains fixed until designated future date. | |
(f) | Security is perpetual in nature and has no stated maturity. | |
(g) | Security has been fully or partially segregated for open reverse repurchase agreements as of May 31, 2018 (See Note 2(n)). | |
(h) | Defaulted (non-income producing security). | |
(i) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at May 31, 2018. | |
(j) | Floating Rate Loans categorized as Level 3 are valued based on a single quotation obtained from a dealer. Accounting principles generally accepted in the United States of America do not require the Fund to create quantitative unobservable inputs that were not developed by the Fund. Therefore, the Fund does not have access to unobservable inputs and cannot disclose such inputs in the valuation. | |
(k) | Interest rate to be determined. | |
(l) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. |
See Notes to Financial Statements. | 185 |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2018
(m) | IOettes. These securities represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO’s, however, a nominal amount of principal is assigned to an IOette. This amount is very small in relation to the interest flow that constitutes almost all of the IOette cash flow. The stated price and coupon are linked to that small principal amount and therefore appear unusually large. | |
(n) | Amount is less than $1,000. | |
(o) | Variable Rate is Fixed to Float: Rate remains fixed until designated future date. | |
(p) | Liabilities in Excess of Cash and Other Assets include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts, swap contract and reverse repurchase agreement as follows: |
Credit Default Swaps on Indexes - Buy Protection at May 31, 2018(1):
Referenced Index* | Swap Counterparty | Fund Pays (quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Depreciation(3) | Credit Default Swap Agreements Payable at Fair Value(4) | ||||||||
Markit CMBX. NA.AAA.8 | Morgan Stanley | .50% | 10/17/2057 | $8,877,000 | $8,810,401 | $413,756 | $(480,355) | $(66,599) |
* | The Referenced Index is for Credit Default Swaps on Indexes, which is comprised of a basket of commercial mortgage-backed securities. (See Note 2(q)). | |
(1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities. | |
(2) | Upfront payments paid are presented net of amortization (See Note 2(q)). | |
(3) | Total unrealized appreciation on Credit Default Swaps on Indexes amounted to $0. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $480,355. | |
(4) | Includes upfront payments paid. |
Open Forward Foreign Currency Exchange Contracts at May 31, 2018:
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Appreciation | ||||||||||
Brazilian real | Sell | Goldman Sachs | 7/12/2018 | 3,025,000 | $ 885,772 | $ 809,387 | $ 76,385 | ||||||||||
British pound | Sell | State Street Bank and Trust | 7/19/2018 | 2,625,000 | 3,770,416 | 3,497,412 | 273,004 | ||||||||||
Mexican peso | Sell | Citibank | 8/14/2018 | 31,315,000 | 1,597,554 | 1,551,117 | 46,437 | ||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ 395,826 | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Depreciation | ||||||||||
euro | Sell | State Street Bank and Trust | 9/24/2018 | 3,783,000 | $4,458,268 | $4,460,950 | $(2,682) |
186 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2018
Open Futures Contracts at May 31, 2018:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||
U.S. 2-Year Treasury Note | September 2018 | 922 | Long | $195,477,065 | $195,680,095 | $ 203,030 | ||||||||||||
U.S. 5-Year Treasury Note | September 2018 | 2,332 | Long | 264,638,197 | 265,592,937 | 954,740 | ||||||||||||
Ultra Long U.S. Treasury Bond | September 2018 | 64 | Long | 10,170,616 | 10,208,000 | 37,384 | ||||||||||||
U.S. Long Bond | September 2018 | 331 | Long | 47,933,523 | 48,036,375 | 102,852 | ||||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $1,298,006 |
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||
U.S. 10-Year Treasury Note | September 2018 | 814 | Short | $(97,322,434) | $(98,036,125) | $(713,691) | ||||||||||||
U.S. 10-Year Ultra Treasury Bond | September 2018 | 585 | Short | (75,080,088) | (75,081,094) | (1,006) | ||||||||||||
Total Unrealized Depreciation on Open Futures Contracts | $(714,697) |
Reverse Repurchase Agreement Payable as of May 31, 2018:
Counterparty | Principal | Collateral Held by Counterparty | Interest Rate(1) | Trade Date | Maturity Date(2) | Fair Value(3) | ||||||
J.P. Morgan Chase & Co. | $233,416 | $300,000 principal, Mohegan Gaming & Entertainment at 7.875% due 10/15/2024, $283,000 fair value | (6.00)% | 4/6/2018 | On Demand | $231,237 |
(1) | The negative interest rate on the reverse repurchase agreement results in interest income to the Fund. | |
(2) | This reverse repurchase agreement has no stated maturity and may be terminated by either party at any time. | |
(3) | Total fair value of reverse repurchase agreement is presented net of interest receivable of $2,179. |
See Notes to Financial Statements. | 187 |
Schedule of Investments (unaudited)(continued)
INCOME FUND May 31, 2018
The following is a summary of the inputs used as of May 31, 2018 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2)(3) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | $ | – | $ | 202,589,480 | $ | – | $ | 202,589,480 | ||||||||
Common Stocks | ||||||||||||||||
Oil | 1,317,733 | 495,025 | – | 1,812,758 | ||||||||||||
Remaining Industries | 10,515 | – | – | 10,515 | ||||||||||||
Convertible Bonds | – | 3,721,020 | – | 3,721,020 | ||||||||||||
Corporate Bonds | – | 1,724,083,988 | – | 1,724,083,988 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Biotechnology Research & Production | – | – | 3,098,569 | 3,098,569 | ||||||||||||
Chemicals | – | – | 3,630,900 | 3,630,900 | ||||||||||||
Computer Hardware | – | – | 725,419 | 725,419 | ||||||||||||
Remaining Industries | – | 14,380,514 | – | 14,380,514 | ||||||||||||
Foreign Bonds | – | 4,836,549 | – | 4,836,549 | ||||||||||||
Foreign Government Obligations | – | 20,048,941 | – | 20,048,941 | ||||||||||||
Government Sponsored Enterprises | ||||||||||||||||
Collateralized Mortgage Obligations | – | 11,584,046 | – | 11,584,046 | ||||||||||||
Municipal Bonds | – | 16,210,376 | – | 16,210,376 | ||||||||||||
Non-Agency Commercial | ||||||||||||||||
Mortgage-Backed Securities | – | 36,495,340 | – | 36,495,340 | ||||||||||||
Preferred Stocks | 3,144,284 | 615,830 | – | 3,760,114 | ||||||||||||
U.S. Treasury Obligations | – | 78,169,509 | – | 78,169,509 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | – | 44,737,913 | – | 44,737,913 | ||||||||||||
Corporate Bond | – | 1,950,000 | – | 1,950,000 | ||||||||||||
Repurchase Agreement | – | 39,255,771 | – | 39,255,771 | ||||||||||||
Total | $ | 4,472,532 | $ | 2,199,174,302 | $ | 7,454,888 | $ | 2,211,101,722 | ||||||||
Other Financial Instruments | ||||||||||||||||
Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | – | $ | – | $ | – | ||||||||
Liabilities | – | (66,599 | ) | – | (66,599 | ) | ||||||||||
Forward Foreign Currency | ||||||||||||||||
Exchange Contracts | ||||||||||||||||
Assets | – | 395,826 | – | 395,826 | ||||||||||||
Liabilities | – | (2,682 | ) | – | (2,682 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 1,298,006 | – | – | 1,298,006 | ||||||||||||
Liabilities | (714,697 | ) | – | – | (714,697 | ) | ||||||||||
Reverse Repurchase Agreement | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | (231,237 | ) | – | (231,237 | ) | ||||||||||
Total | $ | 583,309 | $ | 95,308 | $ | – | $ | 678,617 |
(1) | Refer to Note 2(s) for a description of fair value measurements and the three-tier hierarchy of inputs. | |
(2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. The table above is presented by Investment Type. Industries are presented within an Investment Type should such Investment Type include securities classified as two or more levels within the three-tier fair value hierarchy. Each Level 3 security is identified on the Schedule of Investments along with the valuation technique utilized. |
188 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(concluded)
INCOME FUND May 31, 2018
(3) | There were no Level 1/Level 2 transfers during the period ended May 31, 2018. |
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
Investment Type | Asset-Backed Securities | Convertible Bonds | Floating Rate Loans | Foreign Bonds | Foreign Government Obligations | |||||||||||||||
Balance as of December 1, 2017 | $ | 3,592,718 | $ 6,986 | $ | 14,922,196 | $ | 8,839 | $1,051,541 | ||||||||||||
Accrued Discounts (Premiums) | – | – | 6,074 | – | – | |||||||||||||||
Realized Gain (Loss) | – | 8,104 | 100,741 | 8,285 | (96,399) | |||||||||||||||
Change in Unrealized Appreciation (Depreciation) | – | 49,389 | (20,081) | 64,454 | (24,876) | |||||||||||||||
Purchases | – | – | 2,921,134 | – | – | |||||||||||||||
Sales | – | (64,479) | (10,475,176) | (81,578) | (930,266) | |||||||||||||||
Transfers into Level 3 | – | – | – | – | – | |||||||||||||||
Transfers out of Level 3 | (3,592,718) | – | – | – | – | |||||||||||||||
Balance as of May 31, 2018 | $ | – | $ – | $ | 7,454,888 | $ | – | $ – | ||||||||||||
Change in unrealized appreciation/depreciation for period ended May 31, 2018, related to Level 3 investments held at May 31, 2018 | $ | – | $ – | $ | (40,404) | $ | – | $ – |
See Notes to Financial Statements. | 189 |
Schedule of Investments (unaudited)
INFLATION FOCUSED FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 97.71% | ||||||||||||
ASSET-BACKED SECURITIES 23.56% | ||||||||||||
Automobiles 8.53% | ||||||||||||
ACC Trust 2018-1 A† | 3.70% | 12/21/2020 | $ | 1,310 | $ | 1,311,519 | ||||||
Ally Auto Receivables Trust 2014-2 B | 2.10% | 3/16/2020 | 3,500 | 3,498,434 | ||||||||
Ally Auto Receivables Trust 2015-2 A3 | 1.49% | 11/15/2019 | 60 | 60,361 | ||||||||
American Credit Acceptance Receivables Trust 2015-3 C† | 4.84% | 10/12/2021 | 183 | 184,852 | ||||||||
AmeriCredit Automobile Receivables Trust 2014-2 C | 2.18% | 6/8/2020 | 713 | 712,752 | ||||||||
AmeriCredit Automobile Receivables Trust 2015-2 C | 2.40% | 1/8/2021 | 1,855 | 1,850,233 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-2 C | 2.87% | 11/8/2021 | 1,499 | 1,498,939 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-3 B | 1.80% | 10/8/2021 | 718 | 707,672 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-4 A2A | 1.34% | 4/8/2020 | 94 | 93,564 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-1 A2A | 1.51% | 5/18/2020 | 309 | 308,386 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-2 C | 2.97% | 3/20/2023 | 1,456 | 1,448,713 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-3 A2A | 1.69% | 12/18/2020 | 875 | 871,141 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-3 B | 2.24% | 6/19/2023 | 649 | 638,856 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-4 A3 | 2.04% | 7/18/2022 | 1,904 | 1,879,356 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-4 B | 2.36% | 12/19/2022 | 816 | 802,534 | ||||||||
Avid Automobile Receivables Trust 2018-1 A† | 2.84% | 8/15/2023 | 975 | 970,044 | ||||||||
Avis Budget Rental Car Funding AESOP LLC 2013-2A† | 2.97% | 2/20/2020 | 463 | 463,371 | ||||||||
Avis Budget Rental Car Funding AESOP LLC 2014-1A† | 2.46% | 7/20/2020 | 2,637 | 2,627,792 | ||||||||
Avis Budget Rental Car Funding AESOP LLC 2015-2A† | 2.63% | 12/20/2021 | 283 | 279,626 | ||||||||
Bank of The West Auto Trust 2017-1 A3† | 2.11% | 1/15/2023 | 1,834 | 1,805,765 | ||||||||
Bank of The West Auto Trust 2017-1 A4† | 2.33% | 9/15/2023 | 506 | 494,999 | ||||||||
California Republic Auto Receivables Trust 2015-1 B | 2.51% | 2/16/2021 | 1,183 | 1,177,612 |
190 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
California Republic Auto Receivables Trust 2015-3 A4 | 2.13% | 5/17/2021 | $ | 624 | $ | 621,976 | ||||||
California Republic Auto Receivables Trust 2015-4 A4† | 2.58% | 6/15/2021 | 610 | 609,790 | ||||||||
California Republic Auto Receivables Trust 2015-4 B† | 3.73% | 11/15/2021 | 417 | 418,838 | ||||||||
California Republic Auto Receivables Trust 2016-1 A3 | 1.89% | 5/15/2020 | 209 | 208,736 | ||||||||
California Republic Auto Receivables Trust 2016-1 A4 | 2.24% | 10/15/2021 | 1,256 | 1,248,908 | ||||||||
California Republic Auto Receivables Trust 2016-2 A3 | 1.56% | 7/15/2020 | 112 | 111,609 | ||||||||
California Republic Auto Receivables Trust 2016-2 A4 | 1.83% | 12/15/2021 | 320 | 316,573 | ||||||||
Capital Auto Receivables Asset Trust 2014-3 C† | 2.71% | 11/20/2019 | 134 | 134,165 | ||||||||
Capital Auto Receivables Asset Trust 2016-1 A4 | 1.98% | 10/20/2020 | 353 | 351,364 | ||||||||
Capital Auto Receivables Asset Trust 2016-1 B | 2.67% | 12/21/2020 | 338 | 337,518 | ||||||||
Capital Auto Receivables Asset Trust 2016-2 A3 | 1.46% | 6/22/2020 | 229 | 227,995 | ||||||||
Capital Auto Receivables Asset Trust 2016-2 A4 | 1.63% | 1/20/2021 | 516 | 511,443 | ||||||||
Capital Auto Receivables Asset Trust 2016-2 B | 2.11% | 3/22/2021 | 83 | 82,219 | ||||||||
Capital Auto Receivables Asset Trust 2017-1 A2† | 1.76% | 6/22/2020 | 1,067 | 1,063,602 | ||||||||
Capital Auto Receivables Asset Trust 2017-1 A3† | 2.02% | 8/20/2021 | 549 | 542,543 | ||||||||
Capital Auto Receivables Asset Trust 2017-1 A4† | 2.22% | 3/21/2022 | 334 | 328,514 | ||||||||
CarMax Auto Owner Trust 2014-4 C | 2.44% | 11/16/2020 | 1,318 | 1,315,541 | ||||||||
CarMax Auto Owner Trust 2016-4 A2 | 1.21% | 11/15/2019 | 89 | 89,105 | ||||||||
CarMax Auto Owner Trust 2016-4 A3 | 1.40% | 8/15/2021 | 496 | 489,609 | ||||||||
CarMax Auto Owner Trust 2016-4 A4 | 1.60% | 6/15/2022 | 331 | 320,962 | ||||||||
CarMax Auto Owner Trust 2017-3 A3 | 1.97% | 4/15/2022 | 3,578 | 3,527,897 | ||||||||
CarMax Auto Owner Trust 2017-3 A4 | 2.22% | 11/15/2022 | 1,058 | 1,037,775 | ||||||||
CarMax Auto Owner Trust 2017-3 B | 2.44% | 2/15/2023 | 373 | 365,882 | ||||||||
CarMax Auto Owner Trust 2017-3 C | 2.72% | 5/15/2023 | 454 | 446,828 | ||||||||
CarMax Auto Owner Trust 2017-4 A3 | 2.11% | 10/17/2022 | 2,458 | 2,424,797 | ||||||||
Chesapeake Funding II LLC 2016-1A A1† | 2.11% | 3/15/2028 | 545 | 543,607 | ||||||||
Chesapeake Funding II LLC 2016-2A A1† | 1.88% | 6/15/2028 | 1,861 | 1,851,790 | ||||||||
Chesapeake Funding II LLC 2017-2A A1† | 1.99% | 5/15/2029 | 1,627 | 1,610,644 | ||||||||
Chesapeake Funding II LLC 2017-3A A1† | 1.91% | 8/15/2029 | 3,498 | 3,454,321 | ||||||||
Chesapeake Funding II LLC 2017-4A A1† | 2.12% | 11/15/2029 | 2,523 | 2,495,264 | ||||||||
Chrysler Capital Auto Receivables Trust 2015-AA A4† | 1.55% | 2/18/2020 | 148 | 147,438 | ||||||||
Chrysler Capital Auto Receivables Trust 2015-BA B† | 2.70% | 12/15/2020 | 109 | 109,033 |
See Notes to Financial Statements. | 191 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Chrysler Capital Auto Receivables Trust 2016-AA A3† | 1.77% | 10/15/2020 | $ | 498 | $ | 496,765 | ||||||
CPS Auto Receivables Trust 2016-B A† | 2.07% | 11/15/2019 | 2 | 2,082 | ||||||||
CPS Auto Receivables Trust 2016-B D† | 6.58% | 3/15/2022 | 220 | 231,915 | ||||||||
CPS Auto Receivables Trust 2017-C A† | 1.78% | 9/15/2020 | 464 | 462,092 | ||||||||
CPS Auto Receivables Trust 2017-C B† | 2.30% | 7/15/2021 | 246 | 244,043 | ||||||||
CPS Auto Receivables Trust 2017-D† | 3.73% | 9/15/2023 | 229 | 228,338 | ||||||||
CPS Auto Receivables Trust 2017-D B† | 2.43% | 1/18/2022 | 152 | 150,494 | ||||||||
CPS Auto Receivables Trust 2017-D C† | 3.01% | 10/17/2022 | 232 | 229,907 | ||||||||
CPS Auto Receivables Trust 2018-B C† | 3.58% | 3/15/2023 | 408 | 408,024 | ||||||||
Drive Auto Receivables Trust 2015-AA C† | 3.06% | 5/17/2021 | 104 | 104,217 | ||||||||
Drive Auto Receivables Trust 2015-BA E† | 5.15% | 8/15/2022 | 1,000 | 1,017,226 | ||||||||
Drive Auto Receivables Trust 2015-CA C† | 3.01% | 5/17/2021 | 255 | 255,836 | ||||||||
Drive Auto Receivables Trust 2015-DA C† | 3.38% | 11/15/2021 | 527 | 528,347 | ||||||||
Drive Auto Receivables Trust 2015-DA D† | 4.59% | 1/17/2023 | 912 | 928,173 | ||||||||
Drive Auto Receivables Trust 2016-BA C† | 3.19% | 7/15/2022 | 403 | 403,861 | ||||||||
Drive Auto Receivables Trust 2016-BA D† | 4.53% | 8/15/2023 | 927 | 944,969 | ||||||||
Drive Auto Receivables Trust 2016-CA B† | 2.37% | 11/16/2020 | 263 | 262,440 | ||||||||
Drive Auto Receivables Trust 2016-CA C† | 3.02% | 11/15/2021 | 1,283 | 1,285,186 | ||||||||
Drive Auto Receivables Trust 2016-CA D† | 4.18% | 3/15/2024 | 475 | 482,733 | ||||||||
Drive Auto Receivables Trust 2017-2 B | 2.25% | 6/15/2021 | 797 | 795,251 | ||||||||
Drive Auto Receivables Trust 2017-2 C | 2.75% | 9/15/2023 | 910 | 908,044 | ||||||||
Drive Auto Receivables Trust 2017-2 D | 3.49% | 9/15/2023 | 3,913 | 3,888,090 | ||||||||
Drive Auto Receivables Trust 2017-BA B† | 2.20% | 5/15/2020 | 567 | 567,126 | ||||||||
Drive Auto Receivables Trust 2017-BA C† | 2.61% | 8/16/2021 | 1,196 | 1,196,477 | ||||||||
Drive Auto Receivables Trust 2017-BA D† | 3.72% | 10/17/2022 | 790 | 795,709 | ||||||||
Exeter Automobile Receivables Trust 2014-3A D† | 5.69% | 4/15/2021 | 250 | 255,526 | ||||||||
Exeter Automobile Receivables Trust 2017-3A A† | 2.05% | 12/15/2021 | 772 | 767,661 | ||||||||
Exeter Automobile Receivables Trust 2017-3A B† | 2.81% | 9/15/2022 | 1,015 | 1,004,943 | ||||||||
Fifth Third Auto Trust 2017-1 A4 | 2.03% | 7/15/2024 | 787 | 768,651 | ||||||||
First Investors Auto Owner Trust 2015-1A C† | 2.71% | 6/15/2021 | 2,145 | 2,133,194 | ||||||||
First Investors Auto Owner Trust 2016-2A A1† | 1.53% | 11/16/2020 | 153 | 152,448 | ||||||||
First Investors Auto Owner Trust 2017-1A A1† | 1.69% | 4/15/2021 | 296 | 295,149 | ||||||||
First Investors Auto Owner Trust 2018-1A B† | 3.51% | 5/15/2023 | 265 | 264,985 | ||||||||
Flagship Credit Auto Trust 2015-3 A† | 2.38% | 10/15/2020 | 73 | 73,130 | ||||||||
Flagship Credit Auto Trust 2016-2 A2† | 3.05% | 8/16/2021 | 1,295 | 1,297,025 | ||||||||
Flagship Credit Auto Trust 2016-4 A2† | 1.96% | 2/16/2021 | 130 | 129,573 | ||||||||
Flagship Credit Auto Trust 2017-4 A† | 2.07% | 4/15/2022 | 1,205 | 1,195,948 | ||||||||
Ford Credit Auto Owner Trust 2017-2 B† | 2.60% | 3/15/2029 | 235 | 226,137 |
192 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Honda Auto Receivables Owner Trust 2016-4 A2 | 1.04% | 4/18/2019 | $ | 123 | $ | 122,929 | ||||||
Hyundai Floorplan Master Owner Trust 2016-1A A1† | 2.819% (1 Mo. LIBOR + .90% | )# | 3/15/2021 | 259 | 260,974 | |||||||
Hyundai Floorplan Master Owner Trust 2016-1A A2† | 1.81% | 3/15/2021 | 301 | 298,980 | ||||||||
NextGear Floorplan Master Owner Trust 2015-2A A† | 2.38% | 10/15/2020 | 1,024 | 1,023,008 | ||||||||
NextGear Floorplan Master Owner Trust 2016-1A A2† | 2.74% | 4/15/2021 | 943 | 942,752 | ||||||||
Nissan Auto Receivables Owner Trust 2016-A A3 | 1.34% | 10/15/2020 | 925 | 918,444 | ||||||||
OSCAR US Funding Trust V 2016-2A A2A† | 2.31% | 11/15/2019 | 368 | 367,967 | ||||||||
Santander Drive Auto Receivables Trust 2014-4 C | 2.60% | 11/16/2020 | 27 | 26,991 | ||||||||
Santander Drive Auto Receivables Trust 2014-5 E | 4.23% | 4/15/2022 | 1,025 | 1,037,313 | ||||||||
Santander Drive Auto Receivables Trust 2015-1 C | 2.57% | 4/15/2021 | 1,403 | 1,402,592 | ||||||||
Santander Drive Auto Receivables Trust 2015-3 C | 2.74% | 1/15/2021 | 654 | 653,689 | ||||||||
Santander Drive Auto Receivables Trust 2015-4 C | 2.97% | 3/15/2021 | 206 | 205,934 | ||||||||
Santander Drive Auto Receivables Trust 2015-5 C | 2.74% | 12/15/2021 | 2,534 | 2,534,649 | ||||||||
Santander Drive Auto Receivables Trust 2016-1 D | 4.02% | 4/15/2022 | 282 | 285,954 | ||||||||
Santander Drive Auto Receivables Trust 2016-2 B | 2.08% | 2/16/2021 | 3,957 | 3,950,103 | ||||||||
Santander Drive Auto Receivables Trust 2016-3 B | 1.89% | 6/15/2021 | 1,646 | 1,639,315 | ||||||||
Santander Drive Auto Receivables Trust 2017-2 B | 2.21% | 10/15/2021 | 1,365 | 1,358,206 | ||||||||
Santander Drive Auto Receivables Trust 2017-2 C | 2.79% | 8/15/2022 | 1,733 | 1,725,915 | ||||||||
Santander Drive Auto Receivables Trust 2017-2 D | 3.49% | 7/17/2023 | 2,013 | 2,017,218 | ||||||||
Santander Drive Auto Receivables Trust 2017-3 C | 2.76% | 12/15/2022 | 417 | 413,836 | ||||||||
TCF Auto Receivables Owner Trust 2015-1A A4† | 1.96% | 11/16/2020 | 602 | 600,612 | ||||||||
TCF Auto Receivables Owner Trust 2015-2A B† | 3.00% | 9/15/2021 | 215 | 214,555 | ||||||||
TCF Auto Receivables Owner Trust 2015-2A C† | 3.75% | 12/15/2021 | 136 | 136,550 | ||||||||
TCF Auto Receivables Owner Trust 2015-2A D† | 4.24% | 8/15/2022 | 2,369 | 2,354,094 | ||||||||
TCF Auto Receivables Owner Trust 2016-1A A4† | 2.03% | 2/15/2022 | 963 | 951,899 | ||||||||
TCF Auto Receivables Owner Trust 2016-1A B† | 2.32% | 6/15/2022 | 622 | 607,789 | ||||||||
TCF Auto Receivables Owner Trust 2016-1A C† | 2.51% | 9/15/2022 | 172 | 166,600 | ||||||||
TCF Auto Receivables Owner Trust 2016-PT1A A† | 1.93% | 6/15/2022 | 1,009 | 998,819 | ||||||||
Toyota Auto Receivables Owner Trust 2016-A A3 | 1.25% | 3/16/2020 | 500 | 497,238 | ||||||||
Toyota Auto Receivables Owner Trust 2016-D A3 | 1.23% | 10/15/2020 | 782 | 774,866 | ||||||||
Westlake Automobile Receivables Trust 2016-2A C† | 2.83% | 5/17/2021 | 260 | 259,991 | ||||||||
Westlake Automobile Receivables Trust 2016-3A B† | 2.07% | 12/15/2021 | 173 | 172,566 | ||||||||
Westlake Automobile Receivables Trust 2017-1A B† | 2.30% | 10/17/2022 | 408 | 406,477 | ||||||||
Westlake Automobile Receivables Trust 2017-2A A2A† | 1.80% | 7/15/2020 | 1,432 | 1,427,411 | ||||||||
Westlake Automobile Receivables Trust 2017-2A B† | 2.25% | 12/15/2020 | 1,494 | 1,484,246 | ||||||||
Total | 108,655,004 |
See Notes to Financial Statements. | 193 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Credit Cards 7.01% | ||||||||||||
American Express Credit Account Master Trust 2017-6 A | 2.04% | 5/15/2023 | $ | 3,252 | $ | 3,193,193 | ||||||
American Express Credit Account Master Trust 2017-7 A | 2.35% | 5/15/2025 | 2,509 | 2,445,840 | ||||||||
BA Credit Card Trust 2016-A1 A | 2.309% (1 Mo. LIBOR + .39% | )# | 10/15/2021 | 1,045 | 1,047,907 | |||||||
BA Credit Card Trust 2017-A2 | 1.84% | 1/17/2023 | 5,238 | 5,131,892 | ||||||||
Barclays Dryrock Issuance Trust 2016-1 A | 1.52% | 5/16/2022 | 2,325 | 2,295,154 | ||||||||
Barclays Dryrock Issuance Trust 2017-1 A | 2.249% (1 Mo. LIBOR + .33% | )# | 3/15/2023 | 3,002 | 3,013,477 | |||||||
Barclays Dryrock Issuance Trust 2017-2 A | 2.219% (1 Mo. LIBOR + .30% | )# | 5/15/2023 | 4,767 | 4,776,272 | |||||||
Capital One Multi-Asset Execution Trust 2015-A3 | 2.319% (1 Mo. LIBOR + .40% | )# | 3/15/2023 | 2,740 | 2,754,281 | |||||||
Capital One Multi-Asset Execution Trust 2016-A4 | 1.33% | 6/15/2022 | 619 | 608,845 | ||||||||
Capital One Multi-Asset Execution Trust 2017-A4 | 1.99% | 7/17/2023 | 4,977 | 4,884,218 | ||||||||
Capital One Multi-Asset Execution Trust 2017-A6 | 2.29% | 7/15/2025 | 2,674 | 2,592,309 | ||||||||
Chase Issuance Trust 2016-A2 A | 1.37% | 6/15/2021 | 2,943 | 2,907,197 | ||||||||
Citibank Credit Card Issuance Trust 2017-A8 | 1.86% | 8/8/2022 | 3,978 | 3,891,005 | ||||||||
Discover Card Execution Note Trust 2017-A6 | 1.88% | 2/15/2023 | 3,566 | 3,501,369 | ||||||||
First National Master Note Trust 2017-2 A | 2.359% (1 Mo. LIBOR + .44% | )# | 10/16/2023 | 2,550 | 2,553,650 | |||||||
GE Capital Credit Card Master Note Trust 2012-2 A | 2.22% | 1/15/2022 | 1,195 | 1,192,992 | ||||||||
Golden Credit Card Trust 2018-1A A† | 2.62% | 1/15/2023 | 3,212 | 3,184,894 | ||||||||
Master Credit Card Trust II Series 2018-1A A† | 2.443% (1 Mo. LIBOR + .49% | )# | 7/22/2024 | 1,254 | 1,254,392 | |||||||
MBNA Credit Card Master Note Trust 2004-A3 | 2.179% (1 Mo. LIBOR + .26% | )# | 8/16/2021 | 891 | 891,371 | |||||||
Synchrony Credit Card Master Note Trust 2015-1 A | 2.37% | 3/15/2023 | 550 | 545,502 | ||||||||
Synchrony Credit Card Master Note Trust 2015-1 B | 2.64% | 3/15/2023 | 5,076 | 5,028,594 | ||||||||
Synchrony Credit Card Master Note Trust 2016-1 A | 2.04% | 3/15/2022 | 847 | 843,710 | ||||||||
Synchrony Credit Card Master Note Trust 2016-2 A | 2.21% | 5/15/2024 | 3,905 | 3,818,892 | ||||||||
Synchrony Credit Card Master Note Trust 2016-2 B | 2.55% | 5/15/2024 | 693 | 680,270 | ||||||||
Synchrony Credit Card Master Note Trust 2017-1 A | 1.93% | 6/15/2023 | 2,150 | 2,111,628 | ||||||||
Synchrony Credit Card Master Note Trust 2017-1 B | 2.19% | 6/15/2023 | 967 | 950,796 | ||||||||
Synchrony Credit Card Master Note Trust 2017-2 A | 2.62% | 10/15/2025 | 2,595 | 2,533,939 | ||||||||
Synchrony Credit Card Master Note Trust 2017-2 B | 2.82% | 10/15/2025 | 999 | 973,391 | ||||||||
World Financial Network Credit Card Master Trust 2012-A | 3.14% | 1/17/2023 | 379 | 380,405 |
194 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Credit Cards (continued) | ||||||||||||
World Financial Network Credit Card Master Trust 2012-D A | 2.15% | 4/17/2023 | $ | 8,256 | $ | 8,220,755 | ||||||
World Financial Network Credit Card Master Trust 2015-B A | 2.55% | 6/17/2024 | 1,112 | 1,097,853 | ||||||||
World Financial Network Credit Card Master Trust 2016-A | 2.03% | 4/15/2025 | 2,704 | 2,674,998 | ||||||||
World Financial Network Credit Card Master Trust 2017-A | 2.12% | 3/15/2024 | 3,444 | 3,389,192 | ||||||||
World Financial Network Credit Card Master Trust 2017-B A | 1.98% | 6/15/2023 | 2,885 | 2,860,442 | ||||||||
World Financial Network Credit Card Master Trust 2017-C A | 2.31% | 8/15/2024 | 1,048 | 1,031,116 | ||||||||
Total | 89,261,741 | |||||||||||
Home Equity 0.01% | ||||||||||||
New Century Home Equity Loan Trust 2005-A A6 | 4.518% | 8/25/2035 | 85 | 85,783 | ||||||||
Other 8.01% | ||||||||||||
Allegro CLO IV Ltd. 2016-1A† | 3.748% (3 Mo. LIBOR + 1.40% | )# | 1/15/2029 | 418 | 419,429 | |||||||
Anchorage Capital CLO 3-R Ltd. 2014-3RA A† | 3.409% (3 Mo. LIBOR + 1.05% | )# | 1/28/2031 | 970 | 974,227 | |||||||
Anchorage Capital CLO 4-R Ltd. 2014-4RA A† | 3.409% (3 Mo. LIBOR + 1.05% | )# | 1/28/2031 | 1,212 | 1,212,479 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. 2018-FL1 A†(a) | 3.059% (1 Mo. LIBOR + 1.15% | )# | 6/15/2028 | 1,020 | 1,020,329 | |||||||
Ares XXXIII CLO Ltd. 2015-1A A1R† | 3.375% (3 Mo. LIBOR + 1.35% | )# | 12/5/2025 | 2,250 | 2,256,215 | |||||||
Ascentium Equipment Receivables Trust 2016-2A A2† | 1.46% | 4/10/2019 | 64 | 64,224 | ||||||||
Ascentium Equipment Receivables Trust 2016-2A A3† | 1.65% | 5/10/2022 | 420 | 416,628 | ||||||||
Ascentium Equipment Receivables Trust 2017-1A A3† | 2.29% | 6/10/2021 | 457 | 452,277 | ||||||||
Ascentium Equipment Receivables Trust 2017-2A A2† | 2.00% | 5/11/2020 | 437 | 434,254 | ||||||||
Avery Point V CLO Ltd. 2014-5A AR† | 3.333% (3 Mo. LIBOR + .98% | )# | 7/17/2026 | 529 | 530,079 | |||||||
Birchwood Park CLO Ltd. 2014-1A AR† | 3.528% (3 Mo. LIBOR + 1.18% | )# | 7/15/2026 | 1,500 | 1,501,231 | |||||||
Carlyle Global Market Strategies CLO Ltd. 2013-2A AR† | 3.245% (3 Mo. LIBOR + .89% | )# | 1/18/2029 | 938 | 937,529 |
See Notes to Financial Statements. | 195 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Cavalry CLO IV Ltd. 2014-4A B1R† | 3.698% (3 Mo. LIBOR + 1.35% | )# | 10/15/2026 | $ | 511 | $ | 511,562 | |||||
Cent CLO Ltd. 2013-18A A† | 3.482% (3 Mo. LIBOR + 1.12% | )# | 7/23/2025 | 806 | 806,723 | |||||||
CNH Equipment Trust 2015-B A4 | 1.89% | 4/15/2022 | 859 | 853,583 | ||||||||
CNH Equipment Trust 2015-C A3 | 1.66% | 11/16/2020 | 553 | 550,499 | ||||||||
Dell Equipment Finance Trust 2016-1 A3† | 1.65% | 7/22/2021 | 61 | 60,572 | ||||||||
Dell Equipment Finance Trust 2016-1 B† | 2.03% | 7/22/2021 | 100 | 99,684 | ||||||||
Dell Equipment Finance Trust 2017-1 A2† | 1.86% | 6/24/2019 | 265 | 264,414 | ||||||||
Dell Equipment Finance Trust 2017-1 A3† | 2.14% | 4/22/2022 | 345 | 343,403 | ||||||||
Diamond Resorts Owner Trust 2015-2 A† | 2.99% | 5/22/2028 | 942 | 937,158 | ||||||||
Diamond Resorts Owner Trust 2016-1 A† | 3.08% | 11/20/2028 | 115 | 113,413 | ||||||||
DLL LLC 2018-1 A3† | 3.10% | 4/18/2022 | 3,362 | 3,375,396 | ||||||||
DLL LLC 2018-1 A4† | 3.27% | 4/17/2026 | 2,007 | 2,016,441 | ||||||||
DLL Securitization Trust 2017-A A1† | 1.50% | 11/15/2018 | 206 | 206,438 | ||||||||
DLL Securitization Trust 2017-A A2† | 1.89% | 7/15/2020 | 985 | 980,942 | ||||||||
DLL Securitization Trust 2017-A A3† | 2.14% | 12/15/2021 | 862 | 850,711 | ||||||||
DRB Prime Student Loan Trust 2015-D A2† | 3.20% | 1/25/2040 | 113 | 113,375 | ||||||||
Dryden 30 Senior Loan Fund 2013-30A AR† | 3.163% (3 Mo. LIBOR + .82% | )# | 11/15/2028 | 2,541 | 2,536,115 | |||||||
Dryden 34 Senior Loan Fund 2014-34A A1R† Zero Coupon | (3 Mo. LIBOR 1.16% | )# | 10/15/2026 | 976 | 975,611 | |||||||
Dryden XXV Senior Loan Fund 2012-25A BRR† | 3.698% (3 Mo. LIBOR + 1.35% | )# | 10/15/2027 | 1,000 | 997,000 | |||||||
Engs Commercial Finance Trust 2016-1A A2† | 2.63% | 2/22/2022 | 390 | 385,794 | ||||||||
Ford Credit Floorplan Master Owner Trust 2015-4 A1 | 1.77% | 8/15/2020 | 1,213 | 1,211,277 | ||||||||
Ford Credit Floorplan Master Owner Trust 2017-2 A1 | 2.16% | 9/15/2022 | 2,028 | 1,996,061 | ||||||||
Greystone Commercial Real Estate Notes Ltd. 2017-FL1A A† | 3.469% (1 Mo. LIBOR + 1.55% | )# | 3/15/2027 | 1,680 | 1,695,427 | |||||||
Greystone Commercial Real Estate Notes Ltd. 2017-FL1A B† | 4.669% (1 Mo. LIBOR + 2.75% | )# | 3/15/2027 | 200 | 201,734 | |||||||
Jamestown CLO VII Ltd. 2015-7A A1R† | 3.19% (3 Mo. LIBOR + .83% | )# | 7/25/2027 | 1,175 | 1,169,219 | |||||||
Jamestown CLO VII Ltd. 2015-7A A2R† | 3.66% (3 Mo. LIBOR + 1.30% | )# | 7/25/2027 | 944 | 938,752 | |||||||
Leaf Receivables Funding 12 LLC 2017-1 A3† | 2.07% | 8/15/2020 | 395 | 393,031 | ||||||||
Magnetite VII Ltd. 2012-7A A1R2† | 3.148% (3 Mo. LIBOR + .80% | )# | 1/15/2028 | 3,712 | 3,708,259 | |||||||
Magnetite XVIII Ltd. 2016-18A A† | 3.743% (3 Mo. LIBOR + 1.40% | )# | 11/15/2028 | 2,492 | 2,500,722 |
196 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Mountain Hawk III CLO Ltd. 2014-3A AR† | 3.555% (3 Mo. LIBOR + 1.20% | )# | 4/18/2025 | $ | 2,200 | $ | 2,202,823 | |||||
Mountain View CLO X Ltd. 2015-10A AR† | 3.162% (3 Mo. LIBOR + .82% | )# | 10/13/2027 | 1,724 | 1,722,337 | |||||||
MVW Owner Trust 2017-1A A† | 2.42% | 12/20/2034 | 328 | 320,650 | ||||||||
N-Star REL CDO VIII Ltd. 2006-8A B† | 2.403% (1 Mo. LIBOR + .42% | )# | 2/1/2041 | 1,600 | 1,588,274 | |||||||
Navient Student Loan Trust 2018-1A A1† | 2.15% (1 Mo. LIBOR + .19% | )# | 3/25/2067 | 342 | 342,087 | |||||||
NextGear Floorplan Master Owner Trust 2017-1A A2† | 2.54% | 4/18/2022 | 2,071 | 2,052,115 | ||||||||
Nissan Master Owner Trust Receivables 2016-A A2 | 1.54% | 6/15/2021 | 369 | 364,598 | ||||||||
Oaktree CLO Ltd. 2015-1A A1R† | 3.229% (3 Mo. LIBOR + .87% | )# | 10/20/2027 | 769 | 769,218 | |||||||
OCP CLO Ltd. 2015-10A A2AR† | 3.662% (3 Mo. LIBOR + 1.30% | )# | 10/26/2027 | 645 | 645,078 | |||||||
Octagon Investment Partners XXI Ltd. 2014-1A A1AR† | 3.705% (3 Mo. LIBOR + 1.35% | )# | 11/14/2026 | 2,564 | 2,569,504 | |||||||
OneMain Financial Issuance Trust 2015-1A A† | 3.19% | 3/18/2026 | 775 | 777,304 | ||||||||
OneMain Financial Issuance Trust 2015-2A A† | 2.57% | 7/18/2025 | 296 | 296,171 | ||||||||
OneMain Financial Issuance Trust 2016-2A A† | 4.10% | 3/20/2028 | 6,063 | 6,110,831 | ||||||||
OneMain Financial Issuance Trust 2016-2A B† | 5.94% | 3/20/2028 | 116 | 117,287 | ||||||||
Palmer Square Loan Funding Ltd. 2018-1A A1† | 2.823% (3 Mo. LIBOR + .60% | )# | 4/15/2026 | 2,667 | 2,667,603 | |||||||
Parallel Ltd. 2015-1A AR† | 3.209% (3 Mo. LIBOR + .85% | )# | 7/20/2027 | 2,054 | 2,059,589 | |||||||
PFS Financing Corp. 2016-BA A† | 1.87% | 10/15/2021 | 626 | 617,918 | ||||||||
PFS Financing Corp. 2018-A A† | 2.319% (1 Mo. LIBOR + .40% | )# | 2/15/2022 | 593 | 593,120 | |||||||
PFS Financing Corp. 2018-B A† | 2.89% | 2/15/2023 | 2,372 | 2,353,916 | ||||||||
SCF Equipment Leasing LLC 2018-1A A1† | 2.81% | 4/20/2021 | 2,703 | 2,708,852 | ||||||||
SCF Equipment Leasing LLC 2018-1A A2† | 3.63% | 10/20/2024 | 2,992 | 3,007,475 | ||||||||
Seneca Park CLO Ltd. 2014-1A AR† | 3.473% (3 Mo. LIBOR + 1.12% | )# | 7/17/2026 | 750 | 750,489 | |||||||
SLM Private Education Loan Trust 2010-A 2A† | 5.169% (1 Mo. LIBOR + 3.25% | )# | 5/16/2044 | 337 | 344,957 | |||||||
SLM Student Loan Trust 2011-1 A1 | 2.48% (1 Mo. LIBOR + .52% | )# | 3/25/2026 | 89 | 89,126 | |||||||
SoFi Professional Loan Program 2017-D A1FX† | 1.72% | 9/25/2040 | 1,138 | 1,130,120 | ||||||||
SoFi Professional Loan Program LLC 2017-C A2A† | 1.75% | 7/25/2040 | 654 | 648,555 | ||||||||
SoFi Professional Loan Program LLC 2017-E A2A† | 1.86% | 11/26/2040 | 2,117 | 2,092,128 | ||||||||
Springleaf Funding Trust 2015-AA A† | 3.16% | 11/15/2024 | 158 | 158,427 |
See Notes to Financial Statements. | 197 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Taco Bell Funding LLC 2016-1A A2I† | 3.832% | 5/25/2046 | $ | 418 | $ | 419,367 | ||||||
Thacher Park CLO Ltd. 2014-1A AR† | 3.519% (3 Mo. LIBOR + 1.16% | )# | 10/20/2026 | 3,500 | 3,500,697 | |||||||
THL Credit Wind River CLO Ltd. 2012-1A BR† | 4.198% (3 Mo. LIBOR + 1.85% | )# | 1/15/2026 | 3,820 | 3,836,297 | |||||||
Towd Point Asset Trust 2018-SL1 A†(a) | 2.583% (1 Mo. LIBOR + .60% | )# | 1/25/2046 | 2,692 | 2,681,173 | (b) | ||||||
Wells Fargo Dealer Floorplan Master Note Trust 2015-2 A | 2.598% (1 Mo. LIBOR + .65% | )# | 1/20/2022 | 5,923 | 5,956,890 | |||||||
West CLO Ltd. 2014-2A A1AR† | 3.218% (3 Mo. LIBOR + .87% | )# | 1/16/2027 | 3,602 | 3,604,999 | |||||||
Westgate Resorts LLC 2014-1A A† | 2.15% | 12/20/2026 | 100 | 99,864 | ||||||||
Westgate Resorts LLC 2014-1A B† | 3.25% | 12/20/2026 | 234 | 233,537 | ||||||||
WhiteHorse VIII Ltd. 2014-1A BR† | 3.808% (3 Mo. LIBOR + 1.45% | )# | 5/1/2026 | 1,501 | 1,502,215 | |||||||
Total | 101,947,808 | |||||||||||
Total Asset-Backed Securities (cost $301,622,329) | 299,950,336 |
Shares (000) | ||||||||||||
COMMON STOCKS 0.00% | ||||||||||||
Electric: Power 0.00% | ||||||||||||
Eneva SA*(c) | BRL | – | (d) | 1,310 | ||||||||
Oil 0.00% | ||||||||||||
Dommo Energia SA*(c) | BRL | 40 | 17,967 | |||||||||
Dommo Energia SA ADR | – | (d) | 1,551 | |||||||||
Templar Energy LLC Class A Units | 10 | 8,636 | ||||||||||
Total | 28,154 | |||||||||||
Total Common Stocks (cost $126,933) | 29,464 |
Principal Amount (000) | ||||||||||||
CONVERTIBLE BONDS 0.28% | ||||||||||||
Electric: Power 0.06% | ||||||||||||
NRG Yield, Inc.† | 3.25% | 6/1/2020 | $ | 807 | 803,456 | |||||||
Energy Equipment & Services 0.01% | ||||||||||||
Tesla Energy Operations, Inc. | 1.625% | 11/1/2019 | 186 | 172,262 |
198 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Real Estate Investment Trusts 0.21% | ||||||||||||
VEREIT, Inc. | 3.00% | 8/1/2018 | $ | 1,737 | $ | 1,738,141 | ||||||
VEREIT, Inc. | 3.75% | 12/15/2020 | 870 | 880,148 | ||||||||
Total | 2,618,289 | |||||||||||
Total Convertible Bonds (cost $3,601,528) | 3,594,007 | |||||||||||
CORPORATE BONDS 37.63% | ||||||||||||
Aerospace/Defense 0.45% | ||||||||||||
Bombardier, Inc. (Canada)†(e) | 6.125% | 1/15/2023 | 1,201 | 1,202,501 | ||||||||
Bombardier, Inc. (Canada)†(e) | 7.50% | 12/1/2024 | 264 | 275,880 | ||||||||
Bombardier, Inc. (Canada)†(e) | 8.75% | 12/1/2021 | 1,729 | 1,927,835 | ||||||||
Embraer Overseas Ltd.† | 5.696% | 9/16/2023 | 587 | 611,220 | ||||||||
Embraer SA (Brazil)(e) | 5.15% | 6/15/2022 | 25 | 25,737 | ||||||||
KLX, Inc.† | 5.875% | 12/1/2022 | 773 | 810,684 | ||||||||
L3 Technologies, Inc. | 4.95% | 2/15/2021 | 109 | 112,980 | ||||||||
Orbital ATK, Inc. | 5.50% | 10/1/2023 | 672 | 702,240 | ||||||||
Total | 5,669,077 | |||||||||||
Air Transportation 0.27% | ||||||||||||
Air Canada 2015-1 Class B Pass-Through Trust (Canada)†(e) | 3.875% | 9/15/2024 | 321 | 314,667 | ||||||||
Air Canada 2015-2 Class B Pass-Through Trust (Canada)†(e) | 5.00% | 6/15/2025 | 192 | 195,270 | ||||||||
American Airlines 2013-1 Class B Pass-Through Trust† | 5.625% | 7/15/2022 | 215 | 220,219 | ||||||||
American Airlines 2014-1 Class B Pass-Through Trust | 4.375% | 4/1/2024 | 1,339 | 1,337,142 | ||||||||
Continental Airlines 2012-1 Class B Pass-Through Trust | 6.25% | 10/11/2021 | 54 | 55,510 | ||||||||
Delta Airlines 2011-1 Class A Pass Through Trust | 5.30% | 10/15/2020 | 387 | 393,884 | ||||||||
United Airlines 2014-1 Class B Pass-Through Trust | 4.75% | 10/11/2023 | 201 | 202,969 | ||||||||
US Airways 2012-2 Class B Pass-Through Trust | 6.75% | 12/3/2022 | 28 | 29,456 | ||||||||
US Airways 2013-1 Class B Pass-Through Trust | 5.375% | 5/15/2023 | 632 | 649,086 | ||||||||
Total | 3,398,203 | |||||||||||
Auto Parts: Original Equipment 0.26% | ||||||||||||
American Axle & Manufacturing, Inc. | 6.625% | 10/15/2022 | 1,357 | 1,401,102 | ||||||||
Nexteer Automotive Group Ltd.† | 5.875% | 11/15/2021 | 1,000 | 1,032,500 | ||||||||
TI Group Automotive Systems LLC (United Kingdom)†(e) | 8.75% | 7/15/2023 | 239 | 250,054 | ||||||||
ZF North America Capital, Inc.† | 4.00% | 4/29/2020 | 669 | 674,018 | ||||||||
Total | 3,357,674 |
See Notes to Financial Statements. | 199 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automotive 1.84% | ||||||||||||
Daimler Finance North America LLC† | 2.45% | 5/18/2020 | $ | 415 | $ | 410,286 | ||||||
Deck Chassis Acquisition, Inc.† | 10.00% | 6/15/2023 | 472 | 505,040 | ||||||||
Fiat Chrysler Automobiles NV (United Kingdom)(e) | 5.25% | 4/15/2023 | 200 | 202,000 | ||||||||
Ford Motor Credit Co. LLC | 2.979% | 8/3/2022 | 500 | 483,336 | ||||||||
Ford Motor Credit Co. LLC | 3.339% | 3/28/2022 | 443 | 436,448 | ||||||||
Ford Motor Credit Co. LLC | 5.875% | 8/2/2021 | 3,326 | 3,543,253 | ||||||||
Ford Motor Credit Co. LLC | 8.125% | 1/15/2020 | 5,822 | 6,269,894 | ||||||||
General Motors Financial Co., Inc. | 2.40% | 5/9/2019 | 444 | 442,071 | ||||||||
General Motors Financial Co., Inc. | 3.15% | 6/30/2022 | 2,577 | 2,515,461 | ||||||||
General Motors Financial Co., Inc. | 3.20% | 7/13/2020 | 430 | 429,623 | ||||||||
General Motors Financial Co., Inc. | 3.20% | 7/6/2021 | 905 | 896,693 | ||||||||
General Motors Financial Co., Inc. | 4.20% | 3/1/2021 | 2,300 | 2,343,466 | ||||||||
General Motors Financial Co., Inc. | 4.375% | 9/25/2021 | 1,301 | 1,333,200 | ||||||||
Hyundai Capital America† | 1.75% | 9/27/2019 | 905 | 887,709 | ||||||||
Hyundai Capital America† | 2.00% | 7/1/2019 | 107 | 105,510 | ||||||||
Hyundai Capital America† | 2.50% | 3/18/2019 | 473 | 470,583 | ||||||||
Hyundai Capital America† | 3.25% | 9/20/2022 | 636 | 621,924 | ||||||||
Hyundai Capital America† | 3.45% | 3/12/2021 | 280 | 278,975 | ||||||||
Hyundai Capital Services, Inc. (South Korea)†(e) | 3.00% | 8/29/2022 | 1,287 | 1,243,964 | ||||||||
Total | 23,419,436 | |||||||||||
Banks: Regional 7.98% | ||||||||||||
ABN AMRO Bank NV (Netherlands)†(e) | 1.80% | 6/4/2018 | 1,729 | 1,729,000 | ||||||||
ABN AMRO Bank NV (Netherlands)†(e) | 1.80% | 9/20/2019 | 800 | 788,854 | ||||||||
ABN AMRO Bank NV (Netherlands)†(e) | 2.10% | 1/18/2019 | 839 | 836,502 | ||||||||
ABN AMRO Bank NV (Netherlands)(e) | 6.25% | 4/27/2022 | 4,533 | 4,897,494 | ||||||||
Akbank Turk AS (Turkey)†(e) | 5.00% | 10/24/2022 | 600 | 574,756 | ||||||||
Associated Banc-Corp. | 2.75% | 11/15/2019 | 496 | 493,614 | ||||||||
Banco Bilbao Vizcaya Argentaria SA (Spain)(e) | 3.00% | 10/20/2020 | 417 | 414,153 | ||||||||
Banco de Credito del Peru (Panama)†(e) | 2.25% | 10/25/2019 | 200 | 197,500 | ||||||||
Banco Santander SA (Spain)(e) | 3.125% | 2/23/2023 | 800 | 763,071 | ||||||||
Banco Santander SA (Spain)(e) | 3.848% | 4/12/2023 | 800 | 787,344 | ||||||||
Bank of America Corp. | 2.328% | #(f) | 10/1/2021 | 1,205 | 1,180,227 | |||||||
Bank of America Corp. | 2.369% | #(f) | 7/21/2021 | 797 | 782,775 | |||||||
Bank of America Corp. | 3.004% | #(f) | 12/20/2023 | 3,456 | 3,356,612 | |||||||
Bank of America Corp. | 5.49% | 3/15/2019 | 5,475 | 5,587,108 | ||||||||
Bank of America Corp. | 6.875% | 11/15/2018 | 309 | 314,910 | ||||||||
Barclays Bank plc (United Kingdom)†(e) | 10.179% | 6/12/2021 | 1,513 | 1,761,441 | ||||||||
BNP Paribas SA (France)†(e) | 3.50% | 3/1/2023 | 1,375 | 1,350,982 |
200 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
CIT Group, Inc. | 3.875% | 2/19/2019 | $ | 24 | $ | 24,120 | ||||||
CIT Group, Inc. | 4.125% | 3/9/2021 | 554 | 555,385 | ||||||||
Citigroup, Inc. | 2.876% (3 Mo. LIBOR + .95% | )# | 7/24/2023 | 1,329 | 1,286,088 | |||||||
Citigroup, Inc. | 2.90% | 12/8/2021 | 693 | 681,720 | ||||||||
Citigroup, Inc. | 3.056% (3 Mo. LIBOR + .69% | )# | 10/27/2022 | 833 | 831,993 | |||||||
Citigroup, Inc. | 3.32% (3 Mo. LIBOR + .96% | )# | 4/25/2022 | 491 | 496,103 | |||||||
Citigroup, Inc. | 4.05% | 7/30/2022 | 812 | 823,714 | ||||||||
Citigroup, Inc. | 8.50% | 5/22/2019 | 391 | 411,984 | ||||||||
Compass Bank | 2.75% | 9/29/2019 | 1,250 | 1,243,510 | ||||||||
Credit Suisse AG | 5.40% | 1/14/2020 | 423 | 437,769 | ||||||||
Credit Suisse Group Funding Guernsey Ltd. (Guernsey)(e) | 3.125% | 12/10/2020 | 1,400 | 1,393,345 | ||||||||
Discover Bank | 3.35% | 2/6/2023 | 477 | 468,435 | ||||||||
Discover Bank | 7.00% | 4/15/2020 | 2,941 | 3,117,008 | ||||||||
Discover Bank | 8.70% | 11/18/2019 | 796 | 853,376 | ||||||||
Goldman Sachs Group, Inc. (The) | 2.876% | #(f) | 10/31/2022 | 1,868 | 1,822,798 | |||||||
Goldman Sachs Group, Inc. (The) | 2.908% | #(f) | 6/5/2023 | 1,507 | 1,460,809 | |||||||
Goldman Sachs Group, Inc. (The) | 3.472% (3 Mo. LIBOR + 1.11% | )# | 4/26/2022 | 1,491 | 1,508,698 | |||||||
Goldman Sachs Group, Inc. (The) | 5.25% | 7/27/2021 | 1,077 | 1,136,337 | ||||||||
Goldman Sachs Group, Inc. (The) | 5.375% | 3/15/2020 | 1,643 | 1,707,903 | ||||||||
Goldman Sachs Group, Inc. (The) | 5.75% | 1/24/2022 | 515 | 554,417 | ||||||||
Goldman Sachs Group, Inc. (The) | 6.00% | 6/15/2020 | 739 | 781,424 | ||||||||
Huntington Bancshares, Inc. | 7.00% | 12/15/2020 | 225 | 244,458 | ||||||||
Huntington National Bank (The) | 2.581% (3 Mo. LIBOR + .51% | )# | 3/10/2020 | 770 | 772,003 | |||||||
Industrial & Commercial Bank of China Ltd. | 3.113% (3 Mo. LIBOR + .75% | )# | 11/8/2020 | 623 | 623,771 | |||||||
ING Bank NV (Netherlands)†(e) | 2.45% | 3/16/2020 | 250 | 246,893 | ||||||||
ING Bank NV (Netherlands)(e) | 4.125% | #(f) | 11/21/2023 | 1,903 | 1,912,663 | |||||||
ING Bank NV (Netherlands)†(e) | 5.80% | 9/25/2023 | 559 | 597,496 | ||||||||
Intesa Sanpaolo SpA (Italy)†(e) | 3.125% | 7/14/2022 | 667 | 623,587 | ||||||||
Intesa Sanpaolo SpA (Italy)†(e) | 3.375% | 1/12/2023 | 509 | 477,175 | ||||||||
Intesa Sanpaolo SpA (Italy)(e) | 3.875% | 1/15/2019 | 3,420 | 3,424,990 | ||||||||
Intesa Sanpaolo SpA (Italy)†(e) | 6.50% | 2/24/2021 | 2,138 | 2,244,885 | ||||||||
Lloyds Bank plc (United Kingdom)†(e) | 6.50% | 9/14/2020 | 1,894 | 2,017,484 | ||||||||
Macquarie Group Ltd. (Australia)†(e) | 4.15% | #(f) | 3/27/2024 | 1,393 | 1,388,134 | |||||||
Macquarie Group Ltd. (Australia)†(e) | 6.00% | 1/14/2020 | 619 | 644,629 | ||||||||
Macquarie Group Ltd. (Australia)†(e) | 7.625% | 8/13/2019 | 324 | 341,037 |
See Notes to Financial Statements. | 201 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Manufacturers & Traders Trust Co. | 3.183% (1 Mo. LIBOR + 1.22% | )# | 12/28/2020 | $ | 346 | $ | 346,185 | |||||
Morgan Stanley | 3.155% (3 Mo. LIBOR + .80% | )# | 2/14/2020 | 1,337 | 1,341,897 | |||||||
Morgan Stanley | 3.539% (3 Mo. LIBOR + 1.18% | )# | 1/20/2022 | 1,300 | 1,320,286 | |||||||
Morgan Stanley | 4.875% | 11/1/2022 | 849 | 885,986 | ||||||||
Morgan Stanley | 5.50% | 7/24/2020 | 300 | 314,650 | ||||||||
Morgan Stanley | 5.625% | 9/23/2019 | 1,750 | 1,812,233 | ||||||||
Morgan Stanley | 7.30% | 5/13/2019 | 1,162 | 1,209,923 | ||||||||
National Savings Bank (Sri Lanka)†(e) | 8.875% | 9/18/2018 | 903 | 911,443 | ||||||||
NBK SPC Ltd. (United Arab Emirates)†(e) | 2.75% | 5/30/2022 | 960 | 917,635 | ||||||||
Nordea Bank AB (Sweden)†(e) | 4.875% | 5/13/2021 | 1,768 | 1,827,538 | ||||||||
Popular, Inc. | 7.00% | 7/1/2019 | 806 | 826,150 | ||||||||
QNB Finansbank AS (Turkey)†(e) | 6.25% | 4/30/2019 | 558 | 562,472 | ||||||||
Regions Bank | 2.25% | 9/14/2018 | 885 | 884,120 | ||||||||
Royal Bank of Scotland Group plc (United Kingdom)(e) | 3.498% (3 Mo. LIBOR + 1.48% | )# | 5/15/2023 | 1,522 | 1,484,997 | |||||||
Royal Bank of Scotland Group plc (United Kingdom)(e) | 6.125% | 12/15/2022 | 435 | 460,648 | ||||||||
Royal Bank of Scotland Group plc (United Kingdom)(e) | 6.40% | 10/21/2019 | 736 | 767,201 | ||||||||
Santander Holdings USA, Inc. | 2.70% | 5/24/2019 | 396 | 394,094 | ||||||||
Santander UK Group Holdings plc (United Kingdom)(e) | 2.875% | 10/16/2020 | 172 | 170,488 | ||||||||
Santander UK Group Holdings plc (United Kingdom)(e) | 2.875% | 8/5/2021 | 1,791 | 1,751,657 | ||||||||
Santander UK Group Holdings plc (United Kingdom)(e) | 3.373% | #(f) | 1/5/2024 | 1,011 | 981,994 | |||||||
Santander UK Group Holdings plc (United Kingdom)(e) | 3.571% | 1/10/2023 | 1,067 | 1,042,175 | ||||||||
Santander UK plc (United Kingdom)(e) | 2.00% | 8/24/2018 | 208 | 207,831 | ||||||||
Santander UK plc (United Kingdom)(e) | 2.50% | 3/14/2019 | 2,581 | 2,577,370 | ||||||||
Santander UK plc (United Kingdom)(e) | 3.05% | 8/23/2018 | 327 | 327,496 | ||||||||
Sberbank of Russia Via SB Capital SA (Luxembourg)(e) | 4.15% | 3/6/2019 | 2,539 | 2,542,161 | ||||||||
Standard Chartered Bank Hong Kong Ltd. (Hong Kong)(e) | 5.875% | 6/24/2020 | 555 | 579,757 | ||||||||
SVB Financial Group | 5.375% | 9/15/2020 | 70 | 73,411 | ||||||||
Turkiye Halk Bankasi AS (Turkey)†(e) | 3.875% | 2/5/2020 | 418 | 383,110 | ||||||||
Turkiye Halk Bankasi AS (Turkey)†(e) | 4.75% | 6/4/2019 | 1,619 | 1,562,754 | ||||||||
Turkiye Vakiflar Bankasi TAO (Turkey)†(e) | 5.625% | 5/30/2022 | 821 | 760,310 |
202 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Turkiye Vakiflar Bankasi TAO (Turkey)†(e) | 5.75% | 1/30/2023 | $ | 806 | $ | 739,641 | ||||||
UBS AG | 7.625% | 8/17/2022 | 2,422 | 2,700,530 | ||||||||
UBS AG (United Kingdom)†(e) | 2.45% | 12/1/2020 | 1,200 | 1,178,524 | ||||||||
UBS Group Funding Switzerland AG (Switzerland)†(e) | 2.65% | 2/1/2022 | 1,262 | 1,218,984 | ||||||||
UBS Group Funding Switzerland AG (Switzerland)†(e) | 3.491% | 5/23/2023 | 630 | 620,919 | ||||||||
UBS Group Funding Switzerland AG (Switzerland)†(e) | 3.549% (3 Mo. LIBOR + 1.22% | )# | 5/23/2023 | 1,085 | 1,103,427 | |||||||
Wells Fargo & Co. | 3.069% | 1/24/2023 | 1,894 | 1,844,880 | ||||||||
Total | 101,607,361 | |||||||||||
Beverages 0.12% | ||||||||||||
Maple Escrow Subsidiary, Inc.† | 4.057% | 5/25/2023 | 1,557 | 1,567,730 | ||||||||
Biotechnology Research & Production 0.01% | ||||||||||||
Sotera Health Topco, Inc. PIK 8.875%† | 8.125% | 11/1/2021 | 175 | 178,063 | ||||||||
Building Materials 0.43% | ||||||||||||
Boral Finance Pty Ltd. (Australia)†(e) | 3.00% | 11/1/2022 | 374 | 363,258 | ||||||||
CPG Merger Sub LLC† | 8.00% | 10/1/2021 | 955 | 980,069 | ||||||||
Griffon Corp. | 5.25% | 3/1/2022 | 1,211 | 1,173,156 | ||||||||
Holcim US Finance Sarl & Cie SCS (Luxembourg)†(e) | 6.00% | 12/30/2019 | 1,781 | 1,857,611 | ||||||||
Martin Marietta Materials, Inc. | 2.979% (3 Mo. LIBOR + .65% | )# | 5/22/2020 | 230 | 231,046 | |||||||
Summit Materials LLC/Summit Materials Finance Corp. | 6.125% | 7/15/2023 | 466 | 472,990 | ||||||||
Summit Materials LLC/Summit Materials Finance Corp. | 8.50% | 4/15/2022 | 30 | 32,400 | ||||||||
Vulcan Materials Co. | 2.95% (3 Mo. LIBOR + .65% | )# | 3/1/2021 | 363 | 363,622 | |||||||
Total | 5,474,152 | |||||||||||
Business Services 0.31% | ||||||||||||
APX Group, Inc. | 8.75% | 12/1/2020 | 2,278 | 2,186,880 | ||||||||
Chicago Parking Meters LLC† | 5.489% | 12/30/2020 | 334 | 332,943 | ||||||||
Equifax, Inc. | 3.60% | 8/15/2021 | 429 | 430,300 | ||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc.† | 9.25% | 5/15/2023 | 399 | 423,818 | ||||||||
Total System Services, Inc. | 4.00% | 6/1/2023 | 506 | 510,001 | ||||||||
Verisk Analytics, Inc. | 4.875% | 1/15/2019 | 41 | 41,444 | ||||||||
Total | 3,925,386 |
See Notes to Financial Statements. | 203 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Chemicals 0.50% | ||||||||||||
Blue Cube Spinco LLC | 9.75% | 10/15/2023 | $ | 531 | $ | 609,986 | ||||||
Braskem Netherlands Finance BV (Netherlands)†(e) | 3.50% | 1/10/2023 | 375 | 356,363 | ||||||||
Celanese US Holdings LLC | 5.875% | 6/15/2021 | 700 | 745,248 | ||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(e) | 3.00% | 7/19/2020 | 200 | 196,855 | ||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(e) | 3.50% | 7/19/2022 | 600 | 581,956 | ||||||||
Equate Petrochemical BV (Netherlands)†(e) | 3.00% | 3/3/2022 | 200 | 192,264 | ||||||||
Syngenta Finance NV (Netherlands)†(e) | 3.698% | 4/24/2020 | 700 | 699,928 | ||||||||
Syngenta Finance NV (Netherlands)†(e) | 3.933% | 4/23/2021 | 826 | 826,169 | ||||||||
Syngenta Finance NV (Netherlands)†(e) | 4.441% | 4/24/2023 | 250 | 249,760 | ||||||||
Yara International ASA (Norway)†(e) | 7.875% | 6/11/2019 | 1,848 | 1,928,926 | ||||||||
Total | 6,387,455 | |||||||||||
Coal 0.05% | ||||||||||||
Eterna Capital Pte Ltd. PIK 1.00% (Singapore)(e) | 7.50% | 12/11/2022 | 489 | 486,204 | ||||||||
Peabody Energy Corp.† | 6.00% | 3/31/2022 | 202 | 207,242 | ||||||||
Total | 693,446 | |||||||||||
Computer Hardware 0.52% | ||||||||||||
Dell International LLC/EMC Corp.† | 3.48% | 6/1/2019 | 776 | 779,168 | ||||||||
Dell International LLC/EMC Corp.† | 5.45% | 6/15/2023 | 1,222 | 1,286,621 | ||||||||
Dell International LLC/EMC Corp.† | 4.42% | 6/15/2021 | 2,358 | 2,401,273 | ||||||||
Dell International LLC/EMC Corp.† | 5.875% | 6/15/2021 | 774 | 796,232 | ||||||||
Hewlett Packard Enterprise Co. | 4.251% (3 Mo. LIBOR + 1.93% | )# | 10/5/2018 | 650 | 653,761 | |||||||
HT Global IT Solutions Holdings Ltd. (Mauritius)†(e) | 7.00% | 7/14/2021 | 700 | 717,277 | ||||||||
Total | 6,634,332 | |||||||||||
Computer Software 0.86% | ||||||||||||
Activision Blizzard, Inc.† | 6.125% | 9/15/2023 | 4,681 | 4,872,242 | ||||||||
BMC Software Finance, Inc.† | 8.125% | 7/15/2021 | 911 | 936,144 | ||||||||
Dun & Bradstreet Corp. (The) | 4.25% | 6/15/2020 | 63 | 63,192 | ||||||||
First Data Corp.† | 7.00% | 12/1/2023 | 1,631 | 1,712,550 | ||||||||
Infor Software Parent LLC/Infor Software Parent, Inc. PIK 7.875%† | 7.125% | 5/1/2021 | 825 | 832,219 | ||||||||
Solera LLC/Solera Finance, Inc.† | 10.50% | 3/1/2024 | 998 | 1,112,470 | ||||||||
Sophia LP/Sophia Finance, Inc.† | 9.00% | 9/30/2023 | 176 | 186,560 | ||||||||
TIBCO Software, Inc.† | 11.375% | 12/1/2021 | 1,100 | 1,197,625 | ||||||||
Total | 10,913,002 |
204 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Construction/Homebuilding 0.38% | ||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co.† | 6.875% | 2/15/2021 | $ | 202 | $ | 204,525 | ||||||
Brookfield Residential Properties, Inc. (Canada)†(e) | 6.50% | 12/15/2020 | 1,872 | 1,904,760 | ||||||||
Century Communities, Inc. | 6.875% | 5/15/2022 | 400 | 413,672 | ||||||||
D.R. Horton, Inc. | 3.75% | 3/1/2019 | 40 | 40,161 | ||||||||
M/I Homes, Inc. | 6.75% | 1/15/2021 | 2,026 | 2,094,378 | ||||||||
William Lyon Homes, Inc. | 7.00% | 8/15/2022 | 173 | 177,325 | ||||||||
Total | 4,834,821 | |||||||||||
Containers 0.20% | ||||||||||||
OI European Group BV (Netherlands)†(e) | 4.00% | 3/15/2023 | 280 | 263,900 | ||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA | 6.875% | 2/15/2021 | 84 | 84,664 | ||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA | 5.75% | 10/15/2020 | 2,131 | 2,144,387 | ||||||||
Total | 2,492,951 | |||||||||||
Drugs 0.40% | ||||||||||||
Bayer US Finance LLC† | 2.375% | 10/8/2019 | 200 | 198,525 | ||||||||
CVS Health Corp. | 3.125% | 3/9/2020 | 277 | 277,476 | ||||||||
CVS Health Corp. | 3.35% | 3/9/2021 | 371 | 371,961 | ||||||||
CVS Health Corp. | 3.70% | 3/9/2023 | 971 | 969,265 | ||||||||
inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc.† | 7.50% | 10/1/2024 | 746 | 790,760 | ||||||||
Mylan, Inc. | 2.55% | 3/28/2019 | 769 | 767,430 | ||||||||
Teva Pharmaceutical Finance Co. BV (Curacao)(e) | 3.65% | 11/10/2021 | 179 | 170,568 | ||||||||
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)(e) | 1.70% | 7/19/2019 | 663 | 647,900 | ||||||||
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)(e) | 2.20% | 7/21/2021 | 955 | 877,724 | ||||||||
Total | 5,071,609 | |||||||||||
Electric: Power 2.01% | ||||||||||||
AES Corp. (The) | 4.875% | 5/15/2023 | 637 | 641,778 | ||||||||
Ausgrid Finance Pty Ltd. (Australia)†(e) | 3.85% | 5/1/2023 | 2,099 | 2,111,602 | ||||||||
Dominion Energy, Inc. | 2.50% | 12/1/2019 | 675 | 670,102 | ||||||||
Dominion Energy, Inc. | 2.962% | 7/1/2019 | 519 | 518,364 | ||||||||
Dominion Energy, Inc. | 4.104% | 4/1/2021 | 1,478 | 1,500,785 | ||||||||
Duquesne Light Holdings, Inc.† | 5.90% | 12/1/2021 | 294 | 315,022 | ||||||||
Duquesne Light Holdings, Inc.† | 6.40% | 9/15/2020 | 456 | 484,968 | ||||||||
Emera US Finance LP | 2.15% | 6/15/2019 | 574 | 568,099 | ||||||||
Enel Finance International NV (Netherlands)†(e) | 2.75% | 4/6/2023 | 1,010 | 948,114 |
See Notes to Financial Statements. | 205 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Power (continued) | ||||||||||||
Enel Finance International NV (Netherlands)†(e) | 2.875% | 5/25/2022 | $ | 2,050 | $ | 1,963,833 | ||||||
Exelon Generation Co. LLC | 3.40% | 3/15/2022 | 151 | 150,390 | ||||||||
Exelon Generation Co. LLC | 4.25% | 6/15/2022 | 35 | 35,932 | ||||||||
Jersey Central Power & Light Co. | 7.35% | 2/1/2019 | 1,537 | 1,578,709 | ||||||||
Metropolitan Edison Co. | 7.70% | 1/15/2019 | 300 | 309,165 | ||||||||
Oklahoma Gas & Electric Co. | 8.25% | 1/15/2019 | 127 | 131,446 | ||||||||
Origin Energy Finance Ltd. (Australia)†(e) | 3.50% | 10/9/2018 | 2,700 | 2,702,177 | ||||||||
Origin Energy Finance Ltd. (Australia)†(e) | 5.45% | 10/14/2021 | 2,077 | 2,187,182 | ||||||||
Pacific Gas & Electric Co. | 2.549% (3 Mo. LIBOR + .23% | )# | 11/28/2018 | 346 | 345,990 | |||||||
Pennsylvania Electric Co. | 5.20% | 4/1/2020 | 319 | 328,075 | ||||||||
PNM Resources, Inc. | 3.25% | 3/9/2021 | 546 | 544,194 | ||||||||
PPL WEM Ltd./Western Power Distribution Ltd. (United Kingdom)†(e) | 5.375% | 5/1/2021 | 203 | 212,513 | ||||||||
PSEG Power LLC | 5.125% | 4/15/2020 | 45 | 46,518 | ||||||||
Puget Energy, Inc. | 6.00% | 9/1/2021 | 759 | 813,885 | ||||||||
San Diego Gas & Electric Co. | 1.914% | 2/1/2022 | 310 | 302,741 | ||||||||
SCANA Corp. | 4.125% | 2/1/2022 | 1,093 | 1,079,195 | ||||||||
SCANA Corp. | 4.75% | 5/15/2021 | 1,777 | 1,796,513 | ||||||||
SCANA Corp. | 6.25% | 4/1/2020 | 786 | 813,507 | ||||||||
Sempra Energy | 2.848% (3 Mo. LIBOR + .50% | )# | 1/15/2021 | 716 | 716,961 | |||||||
South Carolina Electric & Gas Co. | 6.50% | 11/1/2018 | 207 | 210,106 | ||||||||
State Grid Overseas Investment 2016 Ltd.† | 2.25% | 5/4/2020 | 1,220 | 1,197,316 | ||||||||
TECO Finance, Inc. | 5.15% | 3/15/2020 | 335 | 346,201 | ||||||||
Total | 25,571,383 | |||||||||||
Electrical Equipment 0.51% | ||||||||||||
Analog Devices, Inc. | 2.85% | 3/12/2020 | 83 | 82,844 | ||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 2.375% | 1/15/2020 | 1,567 | 1,549,566 | ||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 2.65% | 1/15/2023 | 1,435 | 1,361,444 | ||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 3.00% | 1/15/2022 | 909 | 887,353 | ||||||||
Microchip Technology, Inc.† | 3.922% | 6/1/2021 | 429 | 431,473 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(e) | 3.875% | 9/1/2022 | 563 | 560,537 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(e) | 4.125% | 6/1/2021 | 1,258 | 1,272,165 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(e) | 4.625% | 6/1/2023 | 400 | 408,920 | ||||||||
Total | 6,554,302 | |||||||||||
Electrical: Household 0.11% | ||||||||||||
General Cable Corp. | 5.75% | 10/1/2022 | 1,408 | 1,446,720 |
206 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electronics 0.12% | ||||||||||||
PerkinElmer, Inc. | 5.00% | 11/15/2021 | $ | 427 | $ | 447,760 | ||||||
Tech Data Corp. | 3.70% | 2/15/2022 | 1,144 | 1,129,511 | ||||||||
Total | 1,577,271 | |||||||||||
Engineering & Contracting Services 0.04% | ||||||||||||
StandardAero Aviation Holdings, Inc.† | 10.00% | 7/15/2023 | 455 | 493,675 | ||||||||
Entertainment 0.31% | ||||||||||||
Eldorado Resorts, Inc. | 7.00% | 8/1/2023 | 500 | 530,625 | ||||||||
Scientific Games International, Inc. | 6.25% | 9/1/2020 | 674 | 678,212 | ||||||||
Scientific Games International, Inc. | 6.625% | 5/15/2021 | 399 | 408,975 | ||||||||
Scientific Games International, Inc. | 10.00% | 12/1/2022 | 1,907 | 2,052,428 | ||||||||
Seminole Tribe of Florida, Inc.† | 7.804% | 10/1/2020 | 267 | 268,335 | ||||||||
WMG Acquisition Corp.† | 5.625% | 4/15/2022 | 43 | 43,860 | ||||||||
Total | 3,982,435 | |||||||||||
Financial Services 2.45% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(e) | 3.50% | 5/26/2022 | 273 | 268,485 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(e) | 3.75% | 5/15/2019 | 176 | 177,278 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(e) | 4.25% | 7/1/2020 | 1,038 | 1,054,826 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(e) | 4.625% | 10/30/2020 | 442 | 452,679 | ||||||||
Discover Financial Services | 5.20% | 4/27/2022 | 3,557 | 3,722,203 | ||||||||
E*TRADE Financial Corp. | 2.95% | 8/24/2022 | 394 | 384,519 | ||||||||
GE Capital International Funding Co. Unlimited Co. (Ireland)(e) | 2.342% | 11/15/2020 | 281 | 275,081 | ||||||||
General Electric Co./LJ VP Holdings LLC† | 3.80% | 6/18/2019 | 534 | 537,139 | ||||||||
International Lease Finance Corp. | 5.875% | 4/1/2019 | 1,672 | 1,708,746 | ||||||||
International Lease Finance Corp. | 6.25% | 5/15/2019 | 1,149 | 1,183,126 | ||||||||
International Lease Finance Corp.† | 7.125% | 9/1/2018 | 1,737 | 1,754,449 | ||||||||
International Lease Finance Corp. | 8.25% | 12/15/2020 | 2,944 | 3,279,463 | ||||||||
International Lease Finance Corp. | 8.625% | 1/15/2022 | 2,214 | 2,558,837 | ||||||||
Jefferies Group LLC | 8.50% | 7/15/2019 | 4,428 | 4,685,872 | ||||||||
Lazard Group LLC | 4.25% | 11/14/2020 | 764 | 781,758 | ||||||||
Nationstar Mortgage LLC/Nationstar Capital Corp. | 6.50% | 7/1/2021 | 198 | 200,475 | ||||||||
Nationstar Mortgage LLC/Nationstar Capital Corp. | 7.875% | 10/1/2020 | 1,699 | 1,727,033 | ||||||||
Nationstar Mortgage LLC/Nationstar Capital Corp. | 9.625% | 5/1/2019 | 738 | 749,254 | ||||||||
Navient Corp. | 5.00% | 10/26/2020 | 1,338 | 1,349,373 |
See Notes to Financial Statements. | 207 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Financial Services (continued) | ||||||||||||
Navient Corp. | 5.50% | 1/15/2019 | $ | 1,322 | $ | 1,338,855 | ||||||
Navient Corp. | 5.875% | 3/25/2021 | 228 | 233,985 | ||||||||
Navient Corp. | 6.625% | 7/26/2021 | 356 | 370,240 | ||||||||
Navient Corp. | 8.00% | 3/25/2020 | 744 | 793,104 | ||||||||
OneMain Financial Holdings LLC† | 7.25% | 12/15/2021 | 1,350 | 1,400,119 | ||||||||
VFH Parent LLC/Orchestra Co-Issuer, Inc.† | 6.75% | 6/15/2022 | 157 | 162,983 | ||||||||
Total | 31,149,882 | |||||||||||
Food 0.29% | ||||||||||||
B&G Foods, Inc. | 4.625% | 6/1/2021 | 589 | 581,637 | ||||||||
JBS USA LUX SA/JBS USA Finance, Inc. † | 7.25% | 6/1/2021 | 2,521 | 2,561,966 | ||||||||
Smithfield Foods, Inc.† | 2.70% | 1/31/2020 | 386 | 380,867 | ||||||||
Smithfield Foods, Inc.† | 3.35% | 2/1/2022 | 226 | 219,646 | ||||||||
Total | 3,744,116 | |||||||||||
Health Care Products 0.59% | ||||||||||||
Becton Dickinson & Co. | 2.944% (3 Mo. LIBOR + .88% | )# | 12/29/2020 | 797 | 799,086 | |||||||
Kinetic Concepts, Inc./KCI USA, Inc.† | 7.875% | 2/15/2021 | 867 | 891,926 | ||||||||
Life Technologies Corp. | 5.00% | 1/15/2021 | 4,150 | 4,305,242 | ||||||||
Life Technologies Corp. | 6.00% | 3/1/2020 | 1,183 | 1,237,901 | ||||||||
Zimmer Biomet Holdings, Inc. | 3.70% | 3/19/2023 | 278 | 276,824 | ||||||||
Total | 7,510,979 | |||||||||||
Health Care Services 0.76% | ||||||||||||
Acadia Healthcare Co., Inc. | 6.125% | 3/15/2021 | 1,796 | 1,822,940 | ||||||||
Centene Corp. | 5.625% | 2/15/2021 | 2,820 | 2,902,372 | ||||||||
Eagle Holding Co. II LLC PIK 8.375%† | 7.625% | 5/15/2022 | 474 | 481,205 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 4.125% | 10/15/2020 | 123 | 124,610 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 5.875% | 1/31/2022 | 150 | 160,482 | ||||||||
Fresenius Medical Care US Finance, Inc.† | 5.75% | 2/15/2021 | 118 | 124,237 | ||||||||
Kindred Healthcare, Inc. | 6.375% | 4/15/2022 | 136 | 140,212 | ||||||||
Kindred Healthcare, Inc. | 8.00% | 1/15/2020 | 941 | 1,006,861 | ||||||||
Kindred Healthcare, Inc. | 8.75% | 1/15/2023 | 559 | 597,431 | ||||||||
Universal Health Services, Inc.† | 3.75% | 8/1/2019 | 705 | 707,644 | ||||||||
Universal Health Services, Inc.† | 4.75% | 8/1/2022 | 1,604 | 1,616,351 | ||||||||
Total | 9,684,345 | |||||||||||
Household Equipment/Products 0.10% | ||||||||||||
Newell Brands, Inc. | 3.15% | 4/1/2021 | 659 | 653,353 | ||||||||
Newell Brands, Inc. | 3.85% | 4/1/2023 | 234 | 232,984 |
208 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Household Equipment/Products (continued) | ||||||||||||
Newell Brands, Inc. | 2.875% | 12/1/2019 | $ | 139 | $ | 138,475 | ||||||
Scotts Miracle-Gro Co. (The) | 6.00% | 10/15/2023 | 165 | 171,806 | ||||||||
Spectrum Brands, Inc. | 6.625% | 11/15/2022 | 89 | 92,204 | ||||||||
Total | 1,288,822 | |||||||||||
Insurance 0.40% | ||||||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer† | 8.25% | 8/1/2023 | 920 | 952,200 | ||||||||
Assurant, Inc. | 4.20% | 9/27/2023 | 838 | 842,823 | ||||||||
AXA Equitable Holdings, Inc.† | 3.90% | 4/20/2023 | 422 | 420,868 | ||||||||
CNA Financial Corp. | 5.875% | 8/15/2020 | 600 | 634,289 | ||||||||
CNO Financial Group, Inc. | 4.50% | 5/30/2020 | 99 | 99,990 | ||||||||
Liberty Mutual Group, Inc.† | 5.00% | 6/1/2021 | 320 | 334,071 | ||||||||
Protective Life Corp. | 7.375% | 10/15/2019 | 225 | 238,213 | ||||||||
Willis North America, Inc. | 7.00% | 9/29/2019 | 1,005 | 1,053,975 | ||||||||
WR Berkley Corp. | 5.375% | 9/15/2020 | 470 | 491,885 | ||||||||
Total | 5,068,314 | |||||||||||
Investment Management Companies 0.02% | ||||||||||||
Huarong Finance Co. Ltd. | 4.00% | 7/17/2019 | 250 | 250,680 | ||||||||
Leasing 0.10% | ||||||||||||
Aviation Capital Group LLC† | 2.875% | 9/17/2018 | 150 | 150,077 | ||||||||
Aviation Capital Group LLC† | 3.875% | 5/1/2023 | 706 | 705,599 | ||||||||
DAE Funding LLC† | 4.00% | 8/1/2020 | 397 | 394,022 | ||||||||
Total | 1,249,698 | |||||||||||
Leisure 0.31% | ||||||||||||
LTF Merger Sub, Inc.† | 8.50% | 6/15/2023 | 2,365 | 2,471,425 | ||||||||
NCL Corp. Ltd.† | 4.75% | 12/15/2021 | 334 | 334,835 | ||||||||
Royal Caribbean Cruises Ltd. | 5.25% | 11/15/2022 | 1,107 | 1,174,689 | ||||||||
Total | 3,980,949 | |||||||||||
Lodging 0.08% | ||||||||||||
Hyatt Hotels Corp.† | 6.875% | 8/15/2019 | 50 | 52,244 | ||||||||
Studio City Co., Ltd. (Macau)†(e) | 7.25% | 11/30/2021 | 481 | 502,645 | ||||||||
Studio City Finance Ltd. (Hong Kong)†(e) | 8.50% | 12/1/2020 | 505 | 508,787 | ||||||||
Total | 1,063,676 |
See Notes to Financial Statements. | 209 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Machinery: Agricultural 0.28% | ||||||||||||
BAT International Finance plc (United Kingdom)†(e) | 1.85% | 6/15/2018 | $ | 1,000 | $ | 999,770 | ||||||
Bunge Ltd. Finance Corp. | 8.50% | 6/15/2019 | 32 | 33,722 | ||||||||
Viterra, Inc. (Canada)†(e) | 5.95% | 8/1/2020 | 2,394 | 2,515,692 | ||||||||
Total | 3,549,184 | |||||||||||
Machinery: Industrial/Specialty 0.27% | ||||||||||||
CNH Industrial Capital LLC | 4.375% | 4/5/2022 | 1,119 | 1,139,646 | ||||||||
CNH Industrial Capital LLC | 4.875% | 4/1/2021 | 898 | 927,185 | ||||||||
Kennametal, Inc. | 2.65% | 11/1/2019 | 275 | 274,235 | ||||||||
Nvent Finance Sarl (Luxembourg)†(e) | 3.95% | 4/15/2023 | 1,105 | 1,100,430 | ||||||||
Total | 3,441,496 | |||||||||||
Manufacturing 0.37% | ||||||||||||
Gates Global LLC/Gates Global Co.† | 6.00% | 7/15/2022 | 859 | 869,737 | ||||||||
General Electric Co. | 5.50% | 1/8/2020 | 326 | 338,957 | ||||||||
Pentair Finance Sarl (Luxembourg)(e) | 2.65% | 12/1/2019 | 1,999 | 1,981,984 | ||||||||
Pentair Finance Sarl (Luxembourg)(e) | 2.90% | 9/15/2018 | 1,491 | 1,493,580 | ||||||||
Total | 4,684,258 | |||||||||||
Media 1.06% | ||||||||||||
Altice Financing SA (Luxembourg)†(e) | 6.625% | 2/15/2023 | 1,025 | 1,013,008 | ||||||||
Altice France SA (France)†(e) | 6.00% | 5/15/2022 | 1,350 | 1,346,625 | ||||||||
Cox Communications, Inc.† | 2.95% | 6/30/2023 | 1,607 | 1,540,054 | ||||||||
Cox Communications, Inc.† | 3.25% | 12/15/2022 | 1,343 | 1,318,581 | ||||||||
CSC Holdings LLC† | 10.125% | 1/15/2023 | 914 | 1,015,682 | ||||||||
Myriad International Holdings BV (Netherlands)†(e) | 6.00% | 7/18/2020 | 1,825 | 1,908,395 | ||||||||
NBCUniversal Enterprise, Inc.† | 5.25% | – | (g) | 2,880 | 2,944,800 | |||||||
Sky plc (United Kingdom)†(e) | 9.50% | 11/15/2018 | 250 | 257,467 | ||||||||
Time Warner Cable LLC | 8.25% | 4/1/2019 | 963 | 1,004,949 | ||||||||
Time Warner Cable LLC | 8.75% | 2/14/2019 | 431 | 447,930 | ||||||||
Viacom, Inc. | 2.75% | 12/15/2019 | 171 | 169,771 | ||||||||
Virgin Media Finance plc (United Kingdom)†(e) | 6.375% | 4/15/2023 | 500 | 508,750 | ||||||||
Total | 13,476,012 | |||||||||||
Metal Fabricating 0.04% | ||||||||||||
Zekelman Industries, Inc.† | 9.875% | 6/15/2023 | 423 | 465,300 | ||||||||
Metals & Minerals: Miscellaneous 1.80% | ||||||||||||
Aleris International, Inc.† | 9.50% | 4/1/2021 | 1,064 | 1,115,870 | ||||||||
Anglo American Capital plc (United Kingdom)†(e) | 3.75% | 4/10/2022 | 410 | 408,251 | ||||||||
Anglo American Capital plc (United Kingdom)†(e) | 4.125% | 4/15/2021 | 400 | 404,526 |
210 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Metals & Minerals: Miscellaneous (continued) | ||||||||||||
Anglo American Capital plc (United Kingdom)†(e) | 4.125% | 9/27/2022 | $ | 1,289 | $ | 1,300,084 | ||||||
Ausdrill Finance Pty Ltd. (Australia)†(e) | 6.875% | 11/1/2019 | 1,300 | 1,306,500 | ||||||||
Century Aluminum Co.† | 7.50% | 6/1/2021 | 395 | 400,925 | ||||||||
First Quantum Minerals Ltd. (Canada)†(e) | 7.00% | 2/15/2021 | 1,150 | 1,157,906 | ||||||||
FMG Resources (August 2006) Pty Ltd. (Australia)†(e) | 9.75% | 3/1/2022 | 546 | 602,000 | ||||||||
Freeport-McMoRan, Inc. | 6.875% | 2/15/2023 | 308 | 331,870 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(e) | 4.25% | 10/25/2022 | 1,555 | 1,571,810 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(e) | 4.95% | 11/15/2021 | 1,331 | 1,385,334 | ||||||||
Glencore Funding LLC† | 2.50% | 1/15/2019 | 213 | 212,817 | ||||||||
Glencore Funding LLC† | 3.00% | 10/27/2022 | 225 | 216,620 | ||||||||
Glencore Funding LLC† | 3.125% | 4/29/2019 | 2,551 | 2,548,783 | ||||||||
Glencore Funding LLC† | 4.125% | 5/30/2023 | 225 | 225,069 | ||||||||
Goldcorp, Inc. (Canada)(e) | 3.625% | 6/9/2021 | 2,102 | 2,108,293 | ||||||||
Goldcorp, Inc. (Canada)(e) | 3.70% | 3/15/2023 | 360 | 356,234 | ||||||||
Hecla Mining Co. | 6.875% | 5/1/2021 | 339 | 346,416 | ||||||||
Hudbay Minerals, Inc. (Canada)†(e) | 7.25% | 1/15/2023 | 521 | 540,538 | ||||||||
Joseph T Ryerson & Son, Inc.† | 11.00% | 5/15/2022 | 483 | 533,715 | ||||||||
Kinross Gold Corp. (Canada)(e) | 5.125% | 9/1/2021 | 257 | 265,355 | ||||||||
Kinross Gold Corp. (Canada)(e) | 5.95% | 3/15/2024 | 1,044 | 1,085,436 | ||||||||
Lundin Mining Corp. (Canada)†(e) | 7.875% | 11/1/2022 | 1,265 | 1,337,737 | ||||||||
New Gold, Inc. (Canada)†(e) | 6.25% | 11/15/2022 | 1,473 | 1,507,984 | ||||||||
Newmont Mining Corp. | 3.50% | 3/15/2022 | 326 | 325,261 | ||||||||
Newmont Mining Corp. | 5.125% | 10/1/2019 | 1,283 | 1,316,375 | ||||||||
Total | 22,911,709 | |||||||||||
Natural Gas 0.05% | ||||||||||||
CenterPoint Energy Resources Corp. | 4.50% | 1/15/2021 | 273 | 280,367 | ||||||||
National Fuel Gas Co. | 3.75% | 3/1/2023 | 153 | 151,987 | ||||||||
National Fuel Gas Co. | 4.90% | 12/1/2021 | 215 | 222,333 | ||||||||
Total | 654,687 | |||||||||||
Office Furniture & Business Equipment 0.03% | ||||||||||||
Xerox Corp. | 3.625% | 3/15/2023 | 127 | 122,628 | ||||||||
Xerox Corp. | 5.625% | 12/15/2019 | 200 | 206,089 | ||||||||
Total | 328,717 | |||||||||||
Oil 3.90% | ||||||||||||
Afren plc (United Kingdom)†(e)(h) | 6.625% | 12/9/2020 | 195 | 855 | ||||||||
Afren plc (United Kingdom)†(e)(h) | 10.25% | 4/8/2019 | 195 | 855 | ||||||||
Afren plc (United Kingdom)†(e)(h) | 11.50% | 2/1/2016 | 390 | 1,710 |
See Notes to Financial Statements. | 211 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil (continued) | ||||||||||||
Anadarko Petroleum Corp. | 4.85% | 3/15/2021 | $ | 488 | $ | 505,488 | ||||||
Antero Resources Corp. | 5.125% | 12/1/2022 | 2,570 | 2,595,700 | ||||||||
Canadian Oil Sands Ltd. (Canada)†(e) | 7.75% | 5/15/2019 | 295 | 307,605 | ||||||||
Canadian Oil Sands Ltd. (Canada)†(e) | 9.40% | 9/1/2021 | 125 | 145,043 | ||||||||
Carrizo Oil & Gas, Inc. | 6.25% | 4/15/2023 | 580 | 590,150 | ||||||||
Carrizo Oil & Gas, Inc. | 7.50% | 9/15/2020 | 506 | 509,162 | ||||||||
Cenovus Energy, Inc. (Canada)(e) | 5.70% | 10/15/2019 | 400 | 411,615 | ||||||||
CNOOC Curtis Funding No 1 Pty Ltd. (Australia)†(e) | 4.50% | 10/3/2023 | 500 | 517,622 | ||||||||
CNOOC Finance 2015 Australia Pty Ltd. (Australia)(e) | 2.625% | 5/5/2020 | 1,000 | 988,042 | ||||||||
CNX Resources Corp. | 5.875% | 4/15/2022 | 520 | 525,850 | ||||||||
CNX Resources Corp. | 8.00% | 4/1/2023 | 940 | 998,750 | ||||||||
Continental Resources, Inc. | 5.00% | 9/15/2022 | 3,838 | 3,900,687 | ||||||||
Devon Energy Corp. | 2.25% | 12/15/2018 | 300 | 298,491 | ||||||||
Devon Energy Corp. | 6.30% | 1/15/2019 | 134 | 136,390 | ||||||||
Eclipse Resources Corp. | 8.875% | 7/15/2023 | 961 | 908,145 | ||||||||
Encana Corp. (Canada)(e) | 6.50% | 5/15/2019 | 3,025 | 3,116,626 | ||||||||
Eni SpA (Italy)†(e) | 4.15% | 10/1/2020 | 600 | 610,065 | ||||||||
Equinor ASA (Norway)†(e) | 7.875% | 12/9/2022 | 1,000 | 1,177,927 | ||||||||
Gazprom OAO Via Gaz Capital SA (Luxembourg)†(e) | 6.51% | 3/7/2022 | 700 | 744,076 | ||||||||
Gulfport Energy Corp. | 6.625% | 5/1/2023 | 654 | 660,540 | ||||||||
Harvest Operations Corp. (Canada)†(e) | 4.20% | 6/1/2023 | 250 | 254,548 | ||||||||
HighPoint Operating Corp. | 7.00% | 10/15/2022 | 133 | 134,623 | ||||||||
KazMunayGas National Co. JSC (Kazakhstan)†(e) | 9.125% | 7/2/2018 | 2,160 | 2,169,958 | ||||||||
Matador Resources Co. | 6.875% | 4/15/2023 | 1,960 | 2,055,550 | ||||||||
Motiva Enterprises LLC† | 5.75% | 1/15/2020 | 891 | 922,985 | ||||||||
Newfield Exploration Co. | 5.75% | 1/30/2022 | 1,100 | 1,157,750 | ||||||||
Nexen Energy ULC (Canada)(e) | 6.20% | 7/30/2019 | 74 | 76,683 | ||||||||
Oasis Petroleum, Inc. | 6.875% | 3/15/2022 | 1,760 | 1,790,800 | ||||||||
OGX Austria GmbH (Brazil)†(e)(h) | 8.50% | 6/1/2018 | 225 | 5 | ||||||||
Petrobras Global Finance BV (Netherlands)(e) | 6.125% | 1/17/2022 | 593 | 622,650 | ||||||||
Petroleos Mexicanos (Mexico)(e) | 3.50% | 1/30/2023 | 1,714 | 1,612,017 | ||||||||
Petroleos Mexicanos (Mexico)(e) | 4.625% | 9/21/2023 | 3,045 | 2,992,930 | ||||||||
Petroleos Mexicanos (Mexico)(e) | 8.00% | 5/3/2019 | 862 | 893,463 | ||||||||
Phillips 66 | 2.919% (3 Mo. LIBOR + .60% | )# | 2/26/2021 | 362 | 362,755 | |||||||
Phillips 66† | 2.998% (3 Mo. LIBOR + .65% | )# | 4/15/2019 | 373 | 373,212 | |||||||
Pioneer Natural Resources Co. | 3.95% | 7/15/2022 | 184 | 186,934 | ||||||||
Pioneer Natural Resources Co. | 7.50% | 1/15/2020 | 101 | 107,953 | ||||||||
Range Resources Corp. | 5.00% | 8/15/2022 | 540 | 537,300 |
212 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil (continued) | ||||||||||||
Range Resources Corp. | 5.75% | 6/1/2021 | $ | 1,133 | $ | 1,169,822 | ||||||
Range Resources Corp. | 5.875% | 7/1/2022 | 267 | 270,337 | ||||||||
Ras Laffan Liquefied Natural Gas Co., Ltd. III (Qatar)†(e) | 6.75% | 9/30/2019 | 1,150 | 1,197,516 | ||||||||
Resolute Energy Corp. | 8.50% | 5/1/2020 | 822 | 824,055 | ||||||||
RSP Permian, Inc. | 6.625% | 10/1/2022 | 1,078 | 1,126,510 | ||||||||
Sable Permian Resources Land LLC/AEPB Finance Corp.† | 13.00% | 11/30/2020 | 549 | 617,625 | ||||||||
Sanchez Energy Corp. | 6.125% | 1/15/2023 | 492 | 325,950 | ||||||||
Seven Generations Energy Ltd. (Canada)†(e) | 6.75% | 5/1/2023 | 1,660 | 1,738,850 | ||||||||
Seven Generations Energy Ltd. (Canada)†(e) | 6.875% | 6/30/2023 | 1,343 | 1,396,720 | ||||||||
Sinopec Group Overseas Development 2013 Ltd.† | 2.50% | 10/17/2018 | 2,000 | 1,997,674 | ||||||||
Sinopec Group Overseas Development 2016 Ltd. (China)†(e) | 2.125% | 5/3/2019 | 561 | 556,194 | ||||||||
SM Energy Co. | 6.50% | 11/15/2021 | 1,374 | 1,404,915 | ||||||||
SM Energy Co. | 6.50% | 1/1/2023 | 1,046 | 1,066,920 | ||||||||
YPF SA (Argentina)(e) | 9.843% (3 Mo. LIBOR + 7.50% | )# | 8/15/2018 | 59 | 59,470 | |||||||
Total | 49,656,068 | |||||||||||
Oil: Crude Producers 4.48% | ||||||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. | 5.50% | 10/15/2019 | 709 | 728,249 | ||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. | 6.25% | 10/15/2022 | 982 | 1,024,962 | ||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. | 6.375% | 5/1/2024 | 2,501 | 2,677,971 | ||||||||
Boardwalk Pipelines LP | 5.20% | 6/1/2018 | 1,175 | 1,175,000 | ||||||||
Boardwalk Pipelines LP | 5.75% | 9/15/2019 | 125 | 129,064 | ||||||||
Buckeye Partners LP | 2.65% | 11/15/2018 | 1,640 | 1,638,137 | ||||||||
Buckeye Partners LP | 4.875% | 2/1/2021 | 510 | 521,849 | ||||||||
Buckeye Partners LP | 5.50% | 8/15/2019 | 75 | 77,071 | ||||||||
Columbia Pipeline Group, Inc. | 2.45% | 6/1/2018 | 1,153 | 1,153,000 | ||||||||
Columbia Pipeline Group, Inc. | 3.30% | 6/1/2020 | 1,933 | 1,929,605 | ||||||||
DCP Midstream Operating LP† | 9.75% | 3/15/2019 | 950 | 1,001,746 | ||||||||
Enable Midstream Partners LP | 2.40% | 5/15/2019 | 1,000 | 993,678 | ||||||||
Enable Oklahoma Intrastate Transmission LLC† | 6.25% | 3/15/2020 | 1,937 | 2,025,329 | ||||||||
Enbridge Energy Partners LP | 5.20% | 3/15/2020 | 133 | 137,323 | ||||||||
Enbridge Energy Partners LP | 9.875% | 3/1/2019 | 2,798 | 2,940,526 | ||||||||
Energy Transfer Partners LP | 4.65% | 6/1/2021 | 400 | 412,111 | ||||||||
Energy Transfer Partners LP | 9.00% | 4/15/2019 | 3,149 | 3,305,853 |
See Notes to Financial Statements. | 213 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil: Crude Producers (continued) | ||||||||||||
Energy Transfer Partners LP | 9.70% | 3/15/2019 | $ | 3,152 | $ | 3,317,800 | ||||||
Energy Transfer Partners LP/Regency Energy Finance Corp. | 5.75% | 9/1/2020 | 800 | 835,041 | ||||||||
Florida Gas Transmission Co. LLC† | 3.875% | 7/15/2022 | 320 | 323,462 | ||||||||
Florida Gas Transmission Co. LLC† | 5.45% | 7/15/2020 | 334 | 347,722 | ||||||||
Florida Gas Transmission Co. LLC† | 7.90% | 5/15/2019 | 1,495 | 1,559,429 | ||||||||
Gulf South Pipeline Co. LP | 4.00% | 6/15/2022 | 629 | 628,988 | ||||||||
Kinder Morgan Energy Partners LP | 5.00% | 10/1/2021 | 1,333 | 1,387,545 | ||||||||
Kinder Morgan Energy Partners LP | 5.30% | 9/15/2020 | 1,667 | 1,736,743 | ||||||||
Kinder Morgan Energy Partners LP | 5.80% | 3/1/2021 | 1,426 | 1,510,907 | ||||||||
Kinder Morgan Energy Partners LP | 6.50% | 4/1/2020 | 1,646 | 1,738,830 | ||||||||
Kinder Morgan Energy Partners LP | 6.85% | 2/15/2020 | 2,182 | 2,308,100 | ||||||||
Kinder Morgan Energy Partners LP | 9.00% | 2/1/2019 | 344 | 357,438 | ||||||||
Kinder Morgan, Inc.† | 5.00% | 2/15/2021 | 283 | 293,119 | ||||||||
Kinder Morgan, Inc.† | 5.625% | 11/15/2023 | 361 | 386,913 | ||||||||
Kinder Morgan, Inc. | 6.50% | 9/15/2020 | 166 | 177,282 | ||||||||
Kinder Morgan, Inc. | 7.25% | 6/1/2018 | 603 | 603,000 | ||||||||
Magellan Midstream Partners LP | 6.55% | 7/15/2019 | 481 | 499,488 | ||||||||
Midcontinent Express Pipeline LLC† | 6.70% | 9/15/2019 | 947 | 977,777 | ||||||||
MPLX LP | 5.50% | 2/15/2023 | 3,464 | 3,546,305 | ||||||||
NGPL PipeCo LLC† | 4.375% | 8/15/2022 | 203 | 203,508 | ||||||||
Northern Natural Gas Co.† | 4.25% | 6/1/2021 | 276 | 281,857 | ||||||||
ONEOK Partners LP | 3.20% | 9/15/2018 | 499 | 499,702 | ||||||||
ONEOK Partners LP | 8.625% | 3/1/2019 | 363 | 378,141 | ||||||||
Panhandle Eastern Pipe Line Co. LP | 7.00% | 6/15/2018 | 1,200 | 1,201,530 | ||||||||
Rockies Express Pipeline LLC† | 6.00% | 1/15/2019 | 185 | 188,413 | ||||||||
Rockies Express Pipeline LLC† | 6.85% | 7/15/2018 | 175 | 175,875 | ||||||||
Sabine Pass Liquefaction LLC | 5.625% | 2/1/2021 | 5,180 | 5,431,720 | ||||||||
Sabine Pass Liquefaction LLC | 5.625% | 4/15/2023 | 1,500 | 1,602,248 | ||||||||
Spectra Energy Partners LP | 2.95% | 9/25/2018 | 1,020 | 1,020,495 | ||||||||
Spectra Energy Partners LP | 4.60% | 6/15/2021 | 297 | 306,108 | ||||||||
Texas Eastern Transmission LP† | 4.125% | 12/1/2020 | 500 | 508,089 | ||||||||
Texas Gas Transmission LLC† | 4.50% | 2/1/2021 | 729 | 740,620 | ||||||||
TransCanada PipeLines Ltd. (Canada)(e) | 6.50% | 8/15/2018 | 18 | 18,142 | ||||||||
Western Gas Partners LP | 2.60% | 8/15/2018 | 113 | 112,941 | ||||||||
Total | 57,076,752 | |||||||||||
Oil: Integrated Domestic 0.22% | �� | |||||||||||
National Oilwell Varco, Inc. | 2.60% | 12/1/2022 | 1,645 | 1,566,498 | ||||||||
SESI LLC | 7.125% | 12/15/2021 | 1,126 | 1,148,520 |
214 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil: Integrated Domestic (continued) | ||||||||||||
TechnipFMC plc (United Kingdom)(e) | 3.45% | 10/1/2022 | $ | 72 | $ | 70,104 | ||||||
Total | 2,785,122 | |||||||||||
Real Estate Investment Trusts 0.80% | ||||||||||||
Brixmor Operating Partnership LP | 3.875% | 8/15/2022 | 527 | 526,781 | ||||||||
Country Garden Holdings Co. Ltd. (China)(e) | 7.50% | 3/9/2020 | 446 | 461,183 | ||||||||
DDR Corp. | 4.625% | 7/15/2022 | 489 | 504,939 | ||||||||
EPR Properties | 5.25% | 7/15/2023 | 172 | 178,229 | ||||||||
EPR Properties | 5.75% | 8/15/2022 | 747 | 791,232 | ||||||||
HCP, Inc. | 5.375% | 2/1/2021 | 174 | 181,991 | ||||||||
Healthcare Trust of America Holdings LP | 2.95% | 7/1/2022 | 228 | 221,913 | ||||||||
Kilroy Realty LP | 6.625% | 6/1/2020 | 440 | 468,048 | ||||||||
Ontario Teachers’ Cadillac Fairview Properties Trust (Canada)†(e) | 3.125% | 3/20/2022 | 1,068 | 1,058,406 | ||||||||
Reckson Operating Partnership LP | 7.75% | 3/15/2020 | 850 | 914,337 | ||||||||
Senior Housing Properties Trust | 3.25% | 5/1/2019 | 942 | 942,850 | ||||||||
SL Green Operating Partnership LP | 3.25% | 10/15/2022 | 127 | 123,716 | ||||||||
SL Green Realty Corp. | 4.50% | 12/1/2022 | 247 | 251,467 | ||||||||
SL Green Realty Corp. | 5.00% | 8/15/2018 | 102 | 102,062 | ||||||||
VEREIT Operating Partnership LP | 3.00% | 2/6/2019 | 2,761 | 2,762,070 | ||||||||
VEREIT Operating Partnership LP | 4.125% | 6/1/2021 | 329 | 334,475 | ||||||||
Weyerhaeuser Co. | 4.70% | 3/15/2021 | 292 | 302,917 | ||||||||
Weyerhaeuser Co. | 7.375% | 10/1/2019 | 68 | 71,748 | ||||||||
Total | 10,198,364 | |||||||||||
Retail 0.31% | ||||||||||||
Best Buy Co., Inc. | 5.00% | 8/1/2018 | 3,563 | 3,574,844 | ||||||||
Dollar Tree, Inc. | 3.70% | 5/15/2023 | 334 | 333,174 | ||||||||
Total | 3,908,018 | |||||||||||
Savings & Loan 0.03% | ||||||||||||
People’s United Financial, Inc. | 3.65% | 12/6/2022 | 370 | 371,707 | ||||||||
Steel 0.08% | ||||||||||||
BlueScope Steel Finance Ltd/BlueScope Steel Finance USA LLC (Australia)†(e) | 6.50% | 5/15/2021 | 967 | 999,878 | ||||||||
Technology 0.45% | ||||||||||||
Alibaba Group Holding Ltd. (China)(e) | 2.80% | 6/6/2023 | 478 | 462,339 | ||||||||
Baidu, Inc. (China)(e) | 2.75% | 6/9/2019 | 200 | 199,389 | ||||||||
Baidu, Inc. (China)(e) | 3.25% | 8/6/2018 | 700 | 700,731 |
See Notes to Financial Statements. | 215 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Technology (continued) | ||||||||||||
Baidu, Inc. (China)(e) | 3.50% | 11/28/2022 | $ | 650 | $ | 643,148 | ||||||
Baidu, Inc. (China)(e) | 3.875% | 9/29/2023 | 1,448 | 1,451,801 | ||||||||
eBay, Inc. | 2.838% (3 Mo. LIBOR + .48% | )# | 8/1/2019 | 640 | 641,484 | |||||||
Expedia Group, Inc. | 7.456% | 8/15/2018 | 716 | 722,567 | ||||||||
Tencent Holdings Ltd. (China)†(e) | 3.375% | 5/2/2019 | 750 | 754,622 | ||||||||
VeriSign, Inc. | 4.625% | 5/1/2023 | 109 | 110,363 | ||||||||
Total | 5,686,444 | |||||||||||
Telecommunications 0.39% | ||||||||||||
GCI, Inc. | 6.75% | 6/1/2021 | 582 | 590,002 | ||||||||
GTH Finance BV (Netherlands)†(e) | 6.25% | 4/26/2020 | 200 | 204,937 | ||||||||
Intelsat Jackson Holdings SA (Luxembourg)(e) | 7.25% | 10/15/2020 | 632 | 622,520 | ||||||||
T-Mobile USA, Inc. | 6.00% | 4/15/2024 | 1,352 | 1,407,838 | ||||||||
Vodafone Group plc (United Kingdom)(e) | 3.308% (3 Mo. LIBOR + .99% | )# | 1/16/2024 | 866 | 864,254 | |||||||
Vodafone Group plc (United Kingdom)(e) | 3.75% | 1/16/2024 | 1,273 | 1,267,769 | ||||||||
Total | 4,957,320 | |||||||||||
Textiles Products 0.05% | ||||||||||||
Springs Industries, Inc. | 6.25% | 6/1/2021 | 574 | 585,078 | ||||||||
Toys 0.01% | ||||||||||||
Mattel, Inc. | 2.35% | 8/15/2021 | 178 | 162,870 | ||||||||
Transportation: Miscellaneous 0.20% | ||||||||||||
CEVA Group plc PIK 3.00% (United Kingdom)†(e) | 9.00% | 9/1/2020 | 717 | 751,162 | ||||||||
Pelabuhan Indonesia III Persero PT (Indonesia)†(e) | 4.50% | 5/2/2023 | 622 | 622,573 | ||||||||
Watco Cos. LLC/Watco Finance Corp.† | 6.375% | 4/1/2023 | 819 | 841,523 | ||||||||
XPO Logistics, Inc.† | 6.50% | 6/15/2022 | 383 | 393,628 | ||||||||
Total | 2,608,886 | |||||||||||
Utilities 0.02% | ||||||||||||
United Utilities plc (United Kingdom)(e) | 5.375% | 2/1/2019 | 233 | 236,544 | ||||||||
Wholesale 0.01% | ||||||||||||
HD Supply, Inc.† | 5.75% | 4/15/2024 | 181 | 190,276 | ||||||||
Total Corporate Bonds (cost $483,579,199) | 479,176,635 | |||||||||||
FLOATING RATE LOANS(i) 2.87% | ||||||||||||
Aerospace/Defense 0.01% | ||||||||||||
Gol Luxco S.A. Term Loan (Luxembourg)(e) | 6.50% | 8/31/2020 | 136 | 139,513 |
216 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Principal | |||||||||||||
Interest | Maturity | Amount | Fair | ||||||||||
Investments | Rate | Date | (000) | Value | |||||||||
Auto Parts: Original Equipment 0.01% | |||||||||||||
Federal-Mogul Corp. 2014 Tranche C Term Loan | 5.67% - 5.73% (1 Mo. LIBOR + 3.75% | ) | 4/15/2021 | $ | 165 | $ | 167,170 | ||||||
Beverages 0.12% | |||||||||||||
Keurig Green Mountain, Inc. 2017 Term Loan A | 3.063% (1 Wk. LIBOR + 1.25% | ) | 3/3/2021 | 1,136 | 1,135,146 | ||||||||
Keurig Green Mountain, Inc. Term Loan A | 3.313% (1 Wk. LIBOR + 1.50% | ) | 3/3/2021 | 328 | 327,987 | ||||||||
Total | 1,463,133 | ||||||||||||
Biotechnology Research & Production 0.13% | |||||||||||||
Alexion Pharmaceuticals, Inc. Global Term Loan | 3.25% (1 Mo. LIBOR + 1.50% | ) | 6/22/2020 | 1,700 | 1,702,142 | (j) | |||||||
Chemicals 0.23% | |||||||||||||
Celanese U.S. Holdings LLC Term Loan | 3.407% (1 Mo. LIBOR + 1.50% | ) | 7/15/2021 | 1,588 | 1,591,103 | ||||||||
FMC Corporation Delayed Draw Term Loan A | 3.23% (1 Mo. LIBOR + 1.25% | ) | 4/21/2020 | 240 | 240,600 | (j) | |||||||
Mosaic Company (The) Term Loan | 3.48% (1 Mo. LIBOR + 1.50% | ) | 11/18/2021 | 996 | 993,776 | (j) | |||||||
Sherwin-Williams Company (The) Term Loan A | 3.173% (1 Mo. LIBOR + 1.25% | ) | 4/13/2021 | 109 | 109,200 | (j) | |||||||
Total | 2,934,679 | ||||||||||||
Computer Hardware 0.29% | |||||||||||||
Dell International LLC Replacement Term Loan A2 | 3.74% (1 Mo. LIBOR + 1.75% | ) | 9/7/2021 | 1,772 | 1,772,567 | ||||||||
Dell International LLC Replacement Term Loan A3 | 3.49% (1 Mo. LIBOR + 1.50% | ) | 12/31/2018 | 1,865 | 1,866,112 | ||||||||
Total | 3,638,679 | ||||||||||||
Computer Software 0.07% | |||||||||||||
Cadence Design Systems, Inc. Term Loan | 3.092% - 3.443% (3 Mo. LIBOR + 1.13% | ) | 1/28/2019 | 832 | 830,960 | (j) | |||||||
Containers 0.04% | |||||||||||||
Ball Corp. Dollar Term Loan A | 3.73% (1 Mo. LIBOR + 1.75% | ) | 3/18/2021 | 463 | 465,441 | (j) | |||||||
Electrical Equipment 0.09% | |||||||||||||
Analog Devices, Inc. Three Year Term Loan | 3.055% (1 Mo. LIBOR + 1.13% | ) | 9/23/2019 | 1,200 | 1,201,596 | (j) |
See Notes to Financial Statements. | 217 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Principal | |||||||||||||
Interest | Maturity | Amount | Fair | ||||||||||
Investments | Rate | Date | (000) | Value | |||||||||
Entertainment 0.01% | |||||||||||||
GLP Capital, LP Incremental Tranche A1 Term Loan | 3.434% (1 Mo. LIBOR + 1.50% | ) | 7/31/2020 | $ | 136 | $ | 134,698 | ||||||
Health Care Products 0.17% | |||||||||||||
Zimmer Biomet Holdings, Inc. Term Loan A | 3.23% (1 Mo. LIBOR + 1.25% | ) | 9/30/2019 | 1,412 | 1,414,748 | (j) | |||||||
Zimmer Holdings, Inc. Term Loan | 3.355% (1 Mo. LIBOR + 1.38% | ) | 5/29/2019 | 686 | 685,571 | (j) | |||||||
Total | 2,100,319 | ||||||||||||
Health Care Services 0.00% | |||||||||||||
Laboratory Corp. of America Holdings Term Loan | 3.23% (1 Mo. LIBOR + 1.25% | ) | 12/19/2019 | 43 | 42,911 | (j) | |||||||
Investment Management Companies 0.05% | |||||||||||||
RPI Finance Trust Term Loan A4 | 3.802% (2 Mo. LIBOR + 1.50% | ) | 5/4/2022 | 604 | 605,162 | ||||||||
Lodging 0.18% | |||||||||||||
Venetian Macan New Initial Term Loan | 3.605% (1 Mo. LIBOR + 1.63% | ) | 5/31/2022 | 2,245 | 2,247,806 | (j) | |||||||
Machinery: Industrial/Specialty 0.03% | |||||||||||||
Flowserve Corp. 2012 Term Loan | 3.802% (3 Mo. LIBOR + 1.50% | ) | 10/14/2020 | 375 | 376,406 | (j) | |||||||
Manufacturing 0.05% | |||||||||||||
Tyco International Holding S.a.r.I. Term Loan (Luxembourg)(e) | 3.373% (2 Mo. LIBOR + 1.38% | ) | 3/2/2020 | 629 | 628,786 | ||||||||
Media 0.06% | |||||||||||||
Discovery Communications, LLC Tranche 1 Term Loan | 3.48% (1 Mo. LIBOR + 1.50% | ) | 3/5/2021 | 822 | 822,527 | ||||||||
Metal Fabricating 0.01% | |||||||||||||
Doncasters US Finance LLC 2nd Lien Term Loan | 10.552% (3 Mo. LIBOR + 8.25% | ) | 10/9/2020 | 141 | 135,706 | ||||||||
Miscellaneous 0.11% | |||||||||||||
Rockwell Collins, Inc. Term Loan | 3.168% (1 Mo. LIBOR + 1.25% | ) | 12/16/2019 | 1,031 | 1,028,245 | (j) | |||||||
Utex Industries, Inc. 1st Lien Initial Term Loan | 5.98% | 5/21/2021 | 263 | 261,421 | |||||||||
Utex Industries, Inc. 2nd Lien Initial Term Loan | 9.23% (1 Mo. LIBOR + 7.25% | ) | 5/20/2022 | 111 | 109,150 | ||||||||
Total | 1,398,816 |
218 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Principal | |||||||||||||
Interest | Maturity | Amount | Fair | ||||||||||
Investments | Rate | Date | (000) | Value | |||||||||
Office Furniture & Business Equipment 0.03% | |||||||||||||
Eastman Chemical Company Term Loan | 3.23% (1 Mo. LIBOR + 1.25% | ) | 12/15/2021 | $ | 351 | $ | 350,402 | (j) | |||||
Oil 0.02% | |||||||||||||
Petroleos Mexicanos Term Loan (Mexico)(e) | 2.79% (1 Mo. LIBOR + 0.85% | ) | 2/14/2020 | 305 | 304,047 | (j) | |||||||
Oil: Crude Producers 0.02% | |||||||||||||
Buckeye Partners L.P. Delay Drew Term Loan | 3.34% (1 Mo. LIBOR + 1.35% | ) | 9/30/2019 | 317 | 316,207 | (j) | |||||||
Real Estate Investment Trusts 0.68% | |||||||||||||
American Tower Corporation 2017 Term Loan | 3.24% (1 Mo. LIBOR + 1.25% | ) | 1/31/2023 | 5,120 | 5,126,400 | (j) | |||||||
Crown Castle International Corp. Term Loan | 3.135% (1 Wk. LIBOR + 1.375% | ) | 1/21/2022 | 1,424 | 1,426,229 | ||||||||
Invitation Homes Operating Partnership LP Term Loan A | 3.734% (1 Mo. LIBOR + 1.80% | ) | 2/7/2022 | 2,149 | 2,108,706 | ||||||||
Total | 8,661,335 | ||||||||||||
Retail 0.46% | |||||||||||||
Panera Bread Co. Term Loan | 3.938% (1 Mo. LIBOR + 2.00% | ) | 7/18/2022 | 1,817 | 1,792,127 | (j) | |||||||
PVH Corp. Tranche A Term Loan | 3.439% (1 Mo. LIBOR + 1.50% | ) | 5/19/2021 | 4,016 | 4,015,538 | ||||||||
Total | 5,807,665 | ||||||||||||
Technology 0.00% | |||||||||||||
Symantec Corp. Term Loan A2 | 3.875% (3 Mo. LIBOR + 1.50% | ) | 8/1/2019 | 38 | 37,437 | ||||||||
Total Floating Rate Loans (cost $36,464,810) | 36,513,543 | ||||||||||||
FOREIGN GOVERNMENT OBLIGATIONS 2.24% | |||||||||||||
Argentina 0.21% | |||||||||||||
Provincia de Buenos Aires†(e) | 9.375% | 9/14/2018 | 191 | 193,197 | |||||||||
Republic of Argentina(c) | 3.375% | 1/15/2023 | EUR | 625 | 689,557 | ||||||||
Republic of Argentina(e) | 4.625% | 1/11/2023 | $ | 1,053 | 959,425 | ||||||||
Republic of Argentina(e) | 6.25% | 4/22/2019 | 828 | 837,936 | |||||||||
Total | 2,680,115 | ||||||||||||
Bermuda 0.09% | |||||||||||||
Government of Bermuda† | 4.138% | 1/3/2023 | 600 | 606,762 | |||||||||
Government of Bermuda† | 4.854% | 2/6/2024 | 500 | 516,320 | |||||||||
Total | 1,123,082 |
See Notes to Financial Statements. | 219 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Principal | |||||||||||||
Interest | Maturity | Amount | Fair | ||||||||||
Investments | Rate | Date | (000) | Value | |||||||||
Canada 1.09% | |||||||||||||
Ontario Teachers’ Finance Trust†(e) | 2.75% | 4/16/2021 | $ | 3,348 | $ | 3,337,350 | |||||||
Province of Ontario Canada(e) | 2.20% | 10/3/2022 | 11,006 | 10,614,453 | |||||||||
Total | 13,951,803 | ||||||||||||
Indonesia 0.05% | |||||||||||||
Perusahaan Penerbit SBSN†(e) | 3.40% | 3/29/2022 | 270 | 264,095 | |||||||||
Perusahaan Penerbit SBSN†(e) | 3.75% | 3/1/2023 | 405 | 397,945 | |||||||||
Total | 662,040 | ||||||||||||
Japan 0.71% | |||||||||||||
Japan Bank for International Corp.(e) | 2.375% | 7/21/2022 | 3,272 | 3,177,109 | |||||||||
Japan Bank for International Corp.(e) | 2.375% | 11/16/2022 | 908 | 879,615 | |||||||||
Japan Bank for International Corp.(e) | 2.50% | 6/1/2022 | 5,056 | 4,945,044 | |||||||||
Total | 9,001,768 | ||||||||||||
Qatar 0.04% | |||||||||||||
State of Qatar†(e) | 5.25% | 1/20/2020 | 516 | 532,636 | |||||||||
Sri Lanka 0.05% | |||||||||||||
Republic of Sri Lanka†(e) | 5.75% | 4/18/2023 | 620 | 611,441 | |||||||||
Total Foreign Government Obligations (cost $28,914,857) | 28,562,885 | ||||||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 2.70% | |||||||||||||
Federal Home Loan Mortgage Corp. 2011-K704 B† | 4.491% | #(k) | 10/25/2030 | 508 | 507,984 | ||||||||
Federal Home Loan Mortgage Corp. 2012-K705 C† | 4.158% | #(k) | 9/25/2044 | 135 | 134,982 | ||||||||
Federal Home Loan Mortgage Corp. 2012-K706 B† | 4.03% | #(k) | 11/25/2044 | 300 | 300,363 | ||||||||
Federal Home Loan Mortgage Corp. 2012-K707 B† | 3.883% | #(k) | 1/25/2047 | 2,032 | 2,036,309 | ||||||||
Federal Home Loan Mortgage Corp. 2012-K708 C† | 3.75% | #(k) | 2/25/2045 | 500 | 501,524 | ||||||||
Federal Home Loan Mortgage Corp. 2012-K710 B† | 3.812% | #(k) | 6/25/2047 | 200 | 201,695 | ||||||||
Federal Home Loan Mortgage Corp. 2013-K712 B† | 3.362% | #(k) | 5/25/2045 | 360 | 361,460 | ||||||||
Federal Home Loan Mortgage Corp. 2014-K503 B† | 3.002% | #(k) | 10/25/2047 | 47 | 46,778 | ||||||||
Federal Home Loan Mortgage Corp. 2015-K721 B† | 3.565% | #(k) | 11/25/2047 | 3,624 | 3,571,060 | ||||||||
Federal Home Loan Mortgage Corp. K061 X1 IO | 0.178% | #(k) | 11/25/2026 | 15,440 | 228,726 | ||||||||
Federal Home Loan Mortgage Corp. Q001 XA IO | 2.289% | #(k) | 2/25/2032 | 1,417 | 215,443 | ||||||||
Government National Mortgage Assoc. 2013-162 A | 2.75% | #(k) | 9/16/2046 | 98 | 95,364 | ||||||||
Government National Mortgage Assoc. 2013-171 IO | 0.889% | #(k) | 6/16/2054 | 6,437 | 301,722 | ||||||||
Government National Mortgage Assoc. 2013-193 IO | 0.929% | #(k) | 1/16/2055 | 2,434 | 115,937 | ||||||||
Government National Mortgage Assoc. 2014-112 A | 3.00% | #(k) | 1/16/2048 | 295 | 287,104 | ||||||||
Government National Mortgage Assoc. 2014-135 AS | 2.30% | 2/16/2047 | 513 | 503,947 | |||||||||
Government National Mortgage Assoc. 2014-15 IO | 0.762% | #(k) | 8/16/2054 | 5,818 | 236,500 | ||||||||
Government National Mortgage Assoc. 2014-64 IO | 1.17% | #(k) | 12/16/2054 | 36,526 | 2,163,032 |
220 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Principal | |||||||||||||
Interest | Maturity | Amount | Fair | ||||||||||
Investments | Rate | Date | (000) | Value | |||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||||||||||
Government National Mortgage Assoc. 2014-70 A | 2.50% | 3/16/2049 | $ | 23 | $ | 22,117 | |||||||
Government National Mortgage Assoc. 2014-78 A | 2.20% | 4/16/2047 | 132 | 131,187 | |||||||||
Government National Mortgage Assoc. 2015-19 AD | 2.90% | 10/16/2055 | 253 | 250,506 | |||||||||
Government National Mortgage Assoc. 2017-100 AS | 2.75% | 2/16/2058 | 1,045 | 1,007,882 | |||||||||
Government National Mortgage Assoc. 2017-168 AS | 2.70% | 8/16/2058 | 3,412 | 3,308,496 | |||||||||
Government National Mortgage Assoc. 2017-44 AD | 2.65% | 11/17/2048 | 1,295 | 1,246,603 | |||||||||
Government National Mortgage Assoc. 2017-51 AS | 2.75% | 4/16/2058 | 1,621 | 1,563,791 | |||||||||
Government National Mortgage Assoc. 2017-53 B | 2.75% | 3/16/2050 | 2,014 | 1,951,121 | |||||||||
Government National Mortgage Assoc. 2017-54 AD | 2.75% | 1/16/2057 | 1,906 | 1,848,377 | |||||||||
Government National Mortgage Assoc. 2017-61 A | 2.60% | 8/16/2058 | 987 | 948,316 | |||||||||
Government National Mortgage Assoc. 2017-69 AS | 2.75% | 2/16/2058 | 1,677 | 1,617,674 | |||||||||
Government National Mortgage Assoc. 2017-71 AS | 2.70% | 4/16/2057 | 1,099 | 1,055,352 | |||||||||
Government National Mortgage Assoc. 2017-72 AM | 2.60% | 9/16/2051 | 682 | 653,849 | |||||||||
Government National Mortgage Assoc. 2017-74 AS | 2.60% | 10/16/2057 | 684 | 654,289 | |||||||||
Government National Mortgage Assoc. 2017-76 AS | 2.65% | 11/16/2050 | 1,364 | 1,305,754 | |||||||||
Government National Mortgage Assoc. 2017-86 AS | 2.75% | 2/16/2058 | 1,275 | 1,238,398 | |||||||||
Government National Mortgage Assoc. 2017-89 AB | 2.60% | 7/16/2058 | 1,069 | 1,032,245 | |||||||||
Government National Mortgage Assoc. 2017-90 AS | 2.70% | 7/16/2057 | 1,488 | 1,436,717 | |||||||||
Government National Mortgage Assoc. 2017-92 AS | 2.75% | 6/16/2058 | 1,355 | 1,315,834 | |||||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $36,606,777) | 34,398,438 | ||||||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 0.70% | |||||||||||||
Federal Home Loan Mortgage Corp. | 3.121% (12 Mo. LIBOR + 1.64% | )# | 11/1/2043 | 1,261 | 1,277,011 | ||||||||
Federal Home Loan Mortgage Corp. | 3.574% (12 Mo. LIBOR + 1.66% | )# | 2/1/2038 | 244 | 253,965 | ||||||||
Federal Home Loan Mortgage Corp. | 3.575% (12 Mo. LIBOR + 1.71% | )# | 4/1/2037 | 90 | 94,520 | ||||||||
Federal Home Loan Mortgage Corp. | 3.585% (12 Mo. LIBOR + 1.79% | )# | 12/1/2036 | 210 | 220,560 | ||||||||
Federal Home Loan Mortgage Corp. | 3.59% (12 Mo. LIBOR + 1.77% | )# | 10/1/2038 | 59 | 61,585 | ||||||||
Federal Home Loan Mortgage Corp. | 3.596% (12 Mo. LIBOR + 1.78% | )# | 5/1/2036 | 77 | 80,798 | ||||||||
Federal Home Loan Mortgage Corp. | 3.723% (12 Mo. LIBOR + 1.96% | )# | 2/1/2037 | 204 | 215,311 | ||||||||
Federal Home Loan Mortgage Corp. | 3.757% (12 Mo. LIBOR + 1.94% | )# | 9/1/2036 | 202 | 214,009 | ||||||||
Federal National Mortgage Assoc. | 2.58% | 11/1/2018 | 467 | 466,506 |
See Notes to Financial Statements. | 221 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Principal | |||||||||||||
Interest | Maturity | Amount | Fair | ||||||||||
Investments | Rate | Date | (000) | Value | |||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued) | |||||||||||||
Federal National Mortgage Assoc. | 2.689% (12 Mo. LIBOR + 1.60% | )# | 12/1/2045 | $ | 356 | $ | 355,830 | ||||||
Federal National Mortgage Assoc. | 2.716% (12 Mo. LIBOR + 1.60% | )# | 12/1/2045 | 1,156 | 1,156,219 | ||||||||
Federal National Mortgage Assoc. | 2.835% (12 Mo. LIBOR + 1.60% | )# | 10/1/2045 | 402 | 403,158 | ||||||||
Federal National Mortgage Assoc. | 3.133% (12 Mo. LIBOR + 1.78% | )# | 3/1/2042 | 1,928 | 2,022,924 | ||||||||
Federal National Mortgage Assoc. | 3.211% (12 Mo. LIBOR + 1.22% | )# | 6/1/2038 | 362 | 371,892 | ||||||||
Federal National Mortgage Assoc. | 3.301% (12 Mo. LIBOR + 1.50% | )# | 10/1/2035 | 288 | 300,896 | ||||||||
Federal National Mortgage Assoc. | 3.433% (12 Mo. LIBOR + 1.54% | )# | 3/1/2039 | 134 | 139,436 | ||||||||
Federal National Mortgage Assoc. | 3.508% (12 Mo. LIBOR + 1.66% | )# | 9/1/2038 | 161 | 168,702 | ||||||||
Federal National Mortgage Assoc. | 3.527% (12 Mo. LIBOR + 1.70% | )# | 8/1/2038 | 77 | 80,257 | ||||||||
Federal National Mortgage Assoc. | 3.561% (12 Mo. LIBOR + 1.81% | )# | 10/1/2040 | 92 | 96,330 | ||||||||
Federal National Mortgage Assoc. | 3.562% (12 Mo. LIBOR + 1.81% | )# | 12/1/2040 | 136 | 142,450 | ||||||||
Federal National Mortgage Assoc. | 3.572% (1 Yr Treasury Constant Maturity Rate + 2.20% | )# | 1/1/2038 | 185 | 194,905 | ||||||||
Federal National Mortgage Assoc. | 3.577% (12 Mo. LIBOR + 1.82% | )# | 12/1/2040 | 245 | 258,232 | ||||||||
Federal National Mortgage Assoc. | 3.586% (12 Mo. LIBOR + 1.62% | )# | 8/1/2037 | 17 | 17,464 | ||||||||
Federal National Mortgage Assoc. | 3.602% (1 Yr Treasury Constant Maturity Rate + 2.23% | )# | 3/1/2038 | 76 | 80,076 | ||||||||
Federal National Mortgage Assoc. | 3.668% (12 Mo. LIBOR + 1.82% | )# | 4/1/2040 | 138 | 145,501 | ||||||||
Federal National Mortgage Assoc. | 3.946% (12 Mo. LIBOR + 1.90% | )# | 12/1/2038 | 80 | 84,195 | ||||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $9,010,005) | 8,902,732 | ||||||||||||
MUNICIPAL BONDS 0.27% | |||||||||||||
Miscellaneous | |||||||||||||
IL State GO | 4.35% | 6/1/2018 | 264 | 264,000 | |||||||||
IL State GO | 6.20% | 7/1/2021 | 400 | 414,408 | |||||||||
Illinois | 4.95% | 6/1/2023 | 79 | 81,315 |
222 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Principal | |||||||||||||
Interest | Maturity | Amount | Fair | ||||||||||
Investments | Rate | Date | (000) | Value | |||||||||
Miscellaneous (continued) | |||||||||||||
Illinois | 5.877% | 3/1/2019 | $ | 1,495 | $ | 1,524,317 | |||||||
New Jersey Econ Dev Auth | 2.421% | 6/15/2018 | 500 | 499,885 | |||||||||
New Jersey Econ Dev Auth (AGM) | Zero Coupon | 2/15/2019 | 100 | 98,450 | |||||||||
New Jersey Transp Tr Fnd Auth | 1.758% | 12/15/2018 | 220 | 218,755 | |||||||||
New Jersey Transp Tr Fnd Auth | 5.00% | 12/15/2018 | 300 | 304,500 | |||||||||
Total Municipal Bonds (cost $3,404,498) | 3,405,630 | ||||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 22.04% | |||||||||||||
A10 Term Asset Financing LLC 2017-1A A1FX† | 2.34% | 3/15/2036 | 1,652 | 1,652,292 | |||||||||
Americold LLC 2010-ARTA A1† | 3.847% | 1/14/2029 | 491 | 496,023 | |||||||||
AOA Mortgage Trust 2015-1177 A† | 2.957% | 12/13/2029 | 310 | 306,516 | |||||||||
Atrium Hotel Portfolio Trust 2017-ATRM B† | 3.419% (1 Mo. LIBOR + 1.50% | )# | 12/15/2036 | 842 | 842,870 | ||||||||
Aventura Mall Trust 2013-AVM A† | 3.743% | #(k) | 12/5/2032 | 972 | 990,789 | ||||||||
Aventura Mall Trust 2013-AVM D† | 3.743% | #(k) | 12/5/2032 | 500 | 506,179 | ||||||||
BAMLL Commercial Mortgage Securities Trust 2014-IP B† | 2.717% | #(k) | 6/15/2028 | 350 | 349,593 | ||||||||
BAMLL Commercial Mortgage Securities Trust 2014-IP C† | 2.717% | #(k) | 6/15/2028 | 620 | 619,272 | ||||||||
BAMLL Trust 2011-FSHN A† | 4.42% | 7/11/2033 | 1,500 | 1,549,946 | |||||||||
Bancorp Commercial Mortgage Trust (The) 2018-CR3 A† | 2.769% (1 Mo. LIBOR + .85% Floor .85% | )# | 1/15/2033 | 1,131 | 1,131,640 | ||||||||
Bancorp Commercial Mortgage Trust 2016-CRE1 A† | 3.349% (1 Mo. LIBOR + 1.43% | )# | 11/15/2033 | 126 | 126,221 | ||||||||
BB-UBS Trust 2012-TFT A† | 2.892% | 6/5/2030 | 2,574 | 2,521,561 | |||||||||
BB-UBS Trust 2012-TFT B† | 3.468% | #(k) | 6/5/2030 | 2,149 | 2,091,086 | ||||||||
BB-UBS Trust 2012-TFT C† | 3.468% | #(k) | 6/5/2030 | 3,000 | 2,904,698 | ||||||||
BBCMS Mortgage Trust 2018-TALL A† | 2.641% (1 Mo. LIBOR + .722% | )# | 3/15/2037 | 6,000 | 6,008,069 | ||||||||
BBCMS Mortgage Trust 2018-TALL E† | 4.356% (1 Mo. LIBOR + 2.44% | )#(k) | 3/15/2037 | 2,468 | 2,473,796 | ||||||||
BBCMS Trust 2013-TYSN C† | 3.821% | 9/5/2032 | 260 | 261,099 | |||||||||
BBCMS Trust 2015-STP XB IO† | 0.205% | #(k) | 9/10/2028 | 88,000 | 407,440 | ||||||||
BBCMS Trust 2015-VFM A1† | 2.466% | 3/10/2036 | 419 | 397,484 | |||||||||
BBCMS Trust 2015-VFM X IO† | 0.453% | #(k) | 3/12/2036 | 86,399 | 1,850,232 | ||||||||
BDS 2018-FL1 A† | 2.789% (1 Mo. LIBOR + .85% | )# | 1/15/2035 | 3,000 | 3,002,196 | ||||||||
Bear Stearns Commercial Mortgage Securities Trust 2004-PWR6 E† | 5.406% | #(k) | 11/11/2041 | 595 | 606,547 | ||||||||
Bear Stearns Commercial Mortgage Securities Trust 2004-PWR6 F† | 5.674% | #(k) | 11/11/2041 | 595 | 607,976 |
See Notes to Financial Statements. | 223 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Principal | |||||||||||||
Interest | Maturity | Amount | Fair | ||||||||||
Investments | Rate | Date | (000) | Value | |||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | |||||||||||||
Bear Stearns Deutsche Bank Trust 2005-AFR1 A2† | 5.008% | 9/15/2027 | $ | 131 | $ | 134,027 | |||||||
BWAY Mortgage Trust 2013-1515 XB IO† | 0.403% | #(k) | 3/10/2033 | 47,800 | 1,207,289 | ||||||||
BX Commercial Mortgage Trust 2018-BIOA A† | 2.59% | #(k) | 3/15/2037 | 4,024 | 4,029,480 | ||||||||
BX Trust 2017-APPL A† | 2.799% (1 Mo. LIBOR + .88% | )# | 7/15/2034 | 1,000 | 1,003,834 | ||||||||
BX Trust 2017-APPL D† | 3.969% (1 Mo. LIBOR + 2.05% | )# | 7/15/2034 | 678 | 682,277 | ||||||||
BX Trust 2017-APPL E† | 5.069% (1 Mo. LIBOR + 3.15% | )# | 7/15/2034 | 988 | 998,278 | ||||||||
BX Trust 2017-SLCT A† | 2.839% (1 Mo. LIBOR + .92% | )# | 7/15/2034 | 1,198 | 1,200,671 | ||||||||
BX Trust 2017-SLCT B† | 3.119% (1 Mo. LIBOR + 1.20% | )# | 7/15/2034 | 1,033 | 1,035,437 | ||||||||
BX Trust 2017-SLCT D† | 3.969% (1 Mo. LIBOR + 2.05% | )# | 7/15/2034 | 1,597 | 1,603,512 | ||||||||
BX Trust 2017-SLCT E† | 5.069% (1 Mo. LIBOR + 3.15% | )# | 7/15/2034 | 1,400 | 1,412,754 | ||||||||
BX Trust 2018-BILT A† | 2.70% (1 Mo. LIBOR + .80% Floor .80% | )# | 5/15/2035 | 857 | 857,391 | ||||||||
BX Trust 2018-BILT D† | 3.67% (1 Mo. LIBOR + 1.77% Floor 1.77% | )# | 5/15/2035 | 357 | 358,183 | ||||||||
BX Trust 2018-GW A† | 2.70% | # | 5/15/2035 | 667 | 668,349 | ||||||||
BX Trust 2018-GW D† | 3.67% (1 Mo. LIBOR + 1.77% Floor 1.77% | )# | 5/15/2035 | 487 | 488,920 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI A† | 3.531% | 10/15/2034 | 6,000 | 6,046,411 | |||||||||
Caesars Palace Las Vegas Trust 2017-VICI B† | 3.835% | 10/15/2034 | 3,445 | 3,473,526 | |||||||||
Caesars Palace Las Vegas Trust 2017-VICI C† | 4.138% | 10/15/2034 | 2,453 | 2,489,300 | |||||||||
Caesars Palace Las Vegas Trust 2017-VICI D† | 4.354% | #(k) | 10/15/2034 | 753 | 762,959 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI E† | 4.354% | #(k) | 10/15/2034 | 2,450 | 2,406,660 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI XA IO† | 0.823% | #(k) | 10/15/2034 | 13,222 | 438,993 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI XB IO† | 0.393% | #(k) | 10/15/2034 | 8,470 | 143,179 | ||||||||
CFCRE Commercial Mortgage Trust 2011-C2 AJ† | 5.754% | #(k) | 12/15/2047 | 204 | 216,448 | ||||||||
CFCRE Commercial Mortgage Trust 2016-C4 XA IO | 1.744% | #(k) | 5/10/2058 | 1,025 | 104,551 | ||||||||
CFCRE Commercial Mortgage Trust 2016-C6 XA IO | 1.199% | #(k) | 11/10/2049 | 2,833 | 209,891 | ||||||||
CFCRE Commercial Mortgage Trust 2016-C7 XA IO | 0.782% | #(k) | 12/10/2054 | 3,758 | 197,185 | ||||||||
CFCRE Commercial Mortgage Trust 2018-TAN A† | 4.236% | 2/15/2033 | 3,500 | 3,584,377 | |||||||||
CGBAM Commercial Mortgage Trust 2015-SMRT B† | 3.213% | 4/10/2028 | 488 | 486,981 | |||||||||
CGBAM Commercial Mortgage Trust 2015-SMRT C† | 3.516% | 4/10/2028 | 366 | 365,254 | |||||||||
CGRBS Commercial Mortgage Trust 2013-VN05 A† | 3.369% | 3/13/2035 | 1,000 | 1,003,840 | |||||||||
Cherrywood SB Commercial Mortgage Loan Trust 2016-1A AFX† | 3.73% | #(k) | 3/25/2049 | 167 | 162,176 | ||||||||
Citigroup Commercial Mortgage Trust 2012-GC8 A4 | 3.024% | 9/10/2045 | 2,708 | 2,690,079 | |||||||||
Citigroup Commercial Mortgage Trust 2013-375P B† | 3.518% | #(k) | 5/10/2035 | 2,019 | 2,020,174 | ||||||||
Citigroup Commercial Mortgage Trust 2013-375P C† | 3.518% | #(k) | 5/10/2035 | 1,350 | 1,335,214 |
224 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Principal | |||||||||||||
Interest | Maturity | Amount | Fair | ||||||||||
Investments | Rate | Date | (000) | Value | |||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | |||||||||||||
Citigroup Commercial Mortgage Trust 2014-GC23 XB IO | 0.23% | #(k) | 7/10/2047 | $ | 3,452 | $ | 47,803 | ||||||
Citigroup Commercial Mortgage Trust 2015-GC31 XA IO | 0.436% | #(k) | 6/10/2048 | 6,059 | 144,728 | ||||||||
Citigroup Commercial Mortgage Trust 2015-SSHP C† | 4.019% (1 Mo. LIBOR + 2.10% | )# | 9/15/2027 | 4,431 | 4,419,381 | ||||||||
Citigroup Commercial Mortgage Trust 2016-SMPL A† | 2.228% | 9/10/2031 | 2,130 | 2,069,199 | |||||||||
Citigroup Mortgage Loan Trust 2013-2 5A1† | 2.037% | #(k) | 7/25/2036 | 265 | 257,987 | ||||||||
Commercial Mortgage Pass-Through Certificates 2004-LB2A G† | 5.54% | #(k) | 3/10/2039 | 750 | 758,891 | ||||||||
Commercial Mortgage Pass-Through Certificates 2010-C1 C† | 5.991% | #(k) | 7/10/2046 | 100 | 104,221 | ||||||||
Commercial Mortgage Pass-Through Certificates 2012-CR1 D† | 5.32% | #(k) | 5/15/2045 | 3,000 | 2,893,102 | ||||||||
Commercial Mortgage Pass-Through Certificates 2012-CR3 B† | 3.922% | 10/15/2045 | 617 | 612,415 | |||||||||
Commercial Mortgage Pass-Through Certificates 2012-CR4 XA IO | 1.792% | #(k) | 10/15/2045 | 4,998 | 287,951 | ||||||||
Commercial Mortgage Pass-Through Certificates 2012-LTRT A1† | 2.15% | 10/5/2030 | 596 | 573,984 | |||||||||
Commercial Mortgage Pass-Through Certificates 2012-LTRT A2† | 3.40% | 10/5/2030 | 1,080 | 1,048,593 | |||||||||
Commercial Mortgage Pass-Through Certificates 2013-CR6 A2 | 2.122% | 3/10/2046 | 6 | 5,621 | |||||||||
Commercial Mortgage Pass-Through Certificates 2013-CR7 A4 | 3.213% | 3/10/2046 | 1,500 | 1,493,209 | |||||||||
Commercial Mortgage Pass-Through Certificates 2013-CR7 XA IO | 1.199% | #(k) | 3/10/2046 | 8,874 | 404,309 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-CR8 XA IO | 0.532% | #(k) | 6/10/2046 | 16,911 | 308,961 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-GAM A2† | 3.367% | 2/10/2028 | 100 | 99,370 | |||||||||
Commercial Mortgage Pass-Through Certificates 2013-SFS A1† | 1.873% | 4/12/2035 | 367 | 356,807 | |||||||||
Commercial Mortgage Pass-Through Certificates 2013-WWP D† | 3.898% | 3/10/2031 | 965 | 996,961 | |||||||||
Commercial Mortgage Pass-Through Certificates 2014-CR19 XA IO | 1.206% | #(k) | 8/10/2047 | 3,453 | 156,592 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-FL4 C† | 3.868% (1 Mo. LIBOR + 1.95% | )# | 7/13/2031 | 935 | 940,173 |
See Notes to Financial Statements. | 225 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Principal | |||||||||||||
Interest | Maturity | Amount | Fair | ||||||||||
Investments | Rate | Date | (000) | Value | |||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | |||||||||||||
Commercial Mortgage Pass-Through Certificates 2014-FL5 B† | 3.161% (1 Mo. LIBOR + 2.15% | )# | 10/15/2031 | $ | 645 | $ | 642,629 | ||||||
Commercial Mortgage Pass-Through Certificates 2015-CR23 CMC† | 3.685% | #(k) | 5/10/2048 | 1,300 | 1,297,700 | ||||||||
Commercial Mortgage Pass-Through Certificates 2016-COR1 A2 | 2.499% | 10/10/2049 | 227 | 222,416 | |||||||||
Commercial Mortgage Pass-Through Certificates 2016-GCT D† | 3.461% | #(k) | 8/10/2029 | 3,000 | 2,913,681 | ||||||||
Commercial Mortgage Pass-Through Certificates 2016-GCT E† | 3.461% | #(k) | 8/10/2029 | 3,000 | 2,892,323 | ||||||||
Commercial Mortgage Pass-Through Certificates 2016-GCT XA IO† | 0.784% | 8/10/2029 | 101,318 | 2,022,814 | |||||||||
Commercial Mortgage Pass-Through Certificates 2016-SAVA A† | 3.649% (1 Mo. LIBOR + 1.72% | )# | 10/15/2034 | 1,463 | 1,465,142 | ||||||||
Commercial Mortgage Pass-Through Certificates 2016-SAVA B† | 4.229% (1 Mo. LIBOR + 2.30% | )# | 10/15/2034 | 1,010 | 1,011,538 | ||||||||
Commercial Mortgage Pass-Through Certificates 2016-SAVA XCP IO† | 2.173% | #(k) | 10/15/2034 | 8,597 | 70,581 | (b) | |||||||
Commercial Mortgage Trust 2006-GG7 AM | 5.753% | #(k) | 7/10/2038 | 818 | 819,814 | ||||||||
Commercial Mortgage Trust 2016-CD1 XA IO | 1.432% | #(k) | 8/10/2049 | 962 | 83,550 | ||||||||
Credit Suisse Commercial Mortgage Trust 2008-C1 AM† | 5.972% | #(k) | 2/15/2041 | 150 | 149,602 | ||||||||
Credit Suisse First Boston Mortgage Securities Corp. 2006-OMA B1† | 5.466% | 5/15/2023 | 467 | 474,718 | |||||||||
Credit Suisse First Boston Mortgage Securities Corp. 2006-OMA B2† | 5.538% | 5/15/2023 | 3,710 | 3,816,056 | |||||||||
Credit Suisse Mortgage Capital Certificates 2014-USA X1 IO† | 0.552% | #(k) | 9/15/2037 | 40,000 | 1,301,400 | ||||||||
Credit Suisse Mortgage Capital Certificates 2015-GLPB A† | 3.639% | 11/15/2034 | 2,965 | 3,017,245 | |||||||||
Credit Suisse Mortgage Capital Certificates 2016-MFF B† | 4.419% (1 Mo. LIBOR + 2.50% | )# | 11/15/2033 | 578 | 580,967 | ||||||||
Credit Suisse Mortgage Capital Certificates 2016-MFF C† | 5.419% (1 Mo. LIBOR + 3.50% | )# | 11/15/2033 | 657 | 662,031 | ||||||||
Credit Suisse Mortgage Capital Certificates 2016-NXSR XB IO | 0.112% | #(k) | 12/15/2049 | 20,135 | 330,709 | ||||||||
Credit Suisse Mortgage Capital Certificates 2017-HD A† | 2.869% (1 Mo. LIBOR + .95% | )# | 2/15/2031 | 831 | 832,058 | ||||||||
Credit Suisse Mortgage Capital Certificates 2017-HD B† | 3.269% (1 Mo. LIBOR + 1.35% | )# | 2/15/2031 | 349 | 349,240 | ||||||||
Credit Suisse Mortgage Capital Certificates 2017-HD D† | 4.419% (1 Mo. LIBOR + 2.50% | )# | 2/15/2031 | 353 | 354,051 |
226 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Credit Suisse Mortgage Capital Certificates 2017-HD E† | 5.569% (1 Mo. LIBOR + 3.65% | )# | 2/15/2031 | $ | 513 | $ | 514,978 | |||||
Credit Suisse Mortgage Capital Certificates 2017-LSTK A† | 2.761% | 4/5/2033 | 1,942 | 1,918,407 | ||||||||
Credit Suisse Mortgage Capital Certificates 2017-LSTK B† | 3.03% | 4/5/2033 | 350 | 345,872 | ||||||||
Credit Suisse Mortgage Capital Certificates 2017-LSTK C† | 3.229% | 4/5/2033 | 250 | 247,399 | ||||||||
Credit Suisse Mortgage Capital Certificates 2017-LSTK D† | 3.331% | #(k) | 4/5/2033 | 275 | 270,359 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-MOON A† | 3.197% | 7/10/2034 | 1,308 | 1,308,643 | ||||||||
Credit Suisse Mortgage Capital Certificates 2017-MOON B† | 3.197% | #(k) | 7/10/2034 | 200 | 198,932 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-MOON C† | 3.197% | #(k) | 7/10/2034 | 2,388 | 2,353,746 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-MOON D† | 3.197% | #(k) | 7/10/2034 | 150 | 144,058 | |||||||
Credit Suisse Mortgage Capital Certificates Trust 2017-HD XCP IO† | 1.935% | #(k) | 2/15/2031 | 31,669 | 332,220 | |||||||
Credit Suisse Mortgage Capital Certificates Trust 2017-PFHP A† | 2.869% (1 Mo. LIBOR + .95% | )# | 12/15/2030 | 502 | 502,503 | |||||||
Credit Suisse Mortgage Capital Certificates Trust 2017-PFHP C† | 3.519% (1 Mo. LIBOR + 1.60% | )# | 12/15/2030 | 400 | 400,666 | |||||||
CSAIL Commercial Mortgage Trust 2015-C2 XB IO† | Zero Coupon | #(k) | 6/15/2057 | 82,732 | 279,634 | |||||||
CSAIL Commercial Mortgage Trust 2016-C7 XA IO | 1.083% | #(k) | 11/15/2049 | 4,803 | 295,380 | |||||||
DBJPM Mortgage Trust 2016-C3 XA IO | 1.508% | #(k) | 9/10/2049 | 9,881 | 934,170 | |||||||
DBUBS Mortgage Trust 2011-LC2A A1† | 3.527% | 7/10/2044 | 241 | 243,265 | ||||||||
DBUBS Mortgage Trust 2011-LC2A B† | 4.998% | #(k) | 7/10/2044 | 175 | 181,506 | |||||||
DBWF Mortgage Trust 2015-LCM A1† | 2.998% | 6/10/2034 | 449 | 437,787 | ||||||||
DBWF Mortgage Trust 2015-LCM XA IO† | 0.423% | #(k) | 6/10/2034 | 899 | 16,322 | |||||||
DBWF Mortgage Trust 2016-85T XA IO† | 0.014% | #(k) | 12/10/2036 | 61,529 | 243,040 | |||||||
DBWF Mortgage Trust 2018-AMXP A† | 3.873% | #(k) | 5/5/2035 | 6,000 | 6,115,939 | |||||||
DBWF Mortgage Trust 2018-AMXP B† | 3.916% | #(k) | 5/5/2035 | 1,500 | 1,525,510 | |||||||
DBWF Mortgage Trust 2018-AMXP C† | 3.916% | #(k) | 5/5/2035 | 1,000 | 1,002,054 | |||||||
GAHR Commercial Mortgage Trust 2015-NRF BFX† | 3.382% | #(k) | 12/15/2034 | 100 | 100,080 | |||||||
GAHR Commercial Mortgage Trust 2015-NRF CFX† | 3.382% | #(k) | 12/15/2034 | 1,850 | 1,845,454 | |||||||
GAHR Commercial Mortgage Trust 2015-NRF DFX† | 3.382% | #(k) | 12/15/2034 | 4,728 | 4,705,964 | |||||||
GAHR Commercial Mortgage Trust 2015-NRF EFX† | 3.382% | #(k) | 12/15/2034 | 390 | 386,190 | |||||||
GRACE Mortgage Trust 2014-GRCE A† | 3.369% | 6/10/2028 | 550 | 554,415 |
See Notes to Financial Statements. | 227 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Interest | Maturity | Principal Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
GS Mortgage Securities Corp. II 2012-BWTR A† | 2.954% | 11/5/2034 | $ | 2,000 | $ | 1,947,022 | ||||||
GS Mortgage Securities Corp. II 2012-TMSQ A† | 3.007% | 12/10/2030 | 1,300 | 1,268,157 | ||||||||
GS Mortgage Securities Corp. II 2013-KING C† | 3.435% | #(k) | 12/10/2027 | 700 | 697,763 | |||||||
GS Mortgage Securities Corp. II 2017-SLP A† | 3.419% | 10/10/2032 | 1,300 | 1,303,246 | ||||||||
GS Mortgage Securities Corp. Trust 2012-ALOH A† | 3.551% | 4/10/2034 | 1,335 | 1,351,010 | ||||||||
GS Mortgage Securities Corp. Trust 2012-ALOH C† | 4.13% | #(k) | 4/10/2034 | 115 | 117,152 | |||||||
GS Mortgage Securities Corp. Trust 2012-SHOP A† | 2.933% | 6/5/2031 | 758 | 759,226 | ||||||||
GS Mortgage Securities Corp. Trust 2012-SHOP B† | 3.311% | 6/5/2031 | 1,613 | 1,615,717 | ||||||||
GS Mortgage Securities Corp. Trust 2012-SHOP C† | 3.633% | 6/5/2031 | 1,200 | 1,192,707 | ||||||||
GS Mortgage Securities Corp. Trust 2012-SHOP D† | 4.182% | 6/5/2031 | 300 | 298,189 | ||||||||
GS Mortgage Securities Corp. Trust 2016-RENT C† | 4.067% (1 Mo. LIBOR + 2.30% Floor 2.30% | )# | 2/10/2029 | 252 | 254,295 | |||||||
GS Mortgage Securities Corp. Trust 2017-GPTX A† | 2.856% | 5/10/2034 | 695 | 683,932 | ||||||||
GS Mortgage Securities Corp. Trust 2017-GPTX B† | 3.104% | 5/10/2034 | 1,060 | 1,041,673 | ||||||||
GS Mortgage Securities Corp. Trust 2017-GPTX C† | 3.302% | 5/10/2034 | 316 | 309,884 | ||||||||
GS Mortgage Securities Corp. Trust 2017-STAY A† | 2.769% (1 Mo. LIBOR + .85% | )# | 7/15/2032 | 888 | 891,117 | |||||||
GS Mortgage Securities Corp. Trust 2017-STAY B† | 3.019% (1 Mo. LIBOR + 1.10% | )# | 7/15/2032 | 313 | 314,915 | |||||||
GS Mortgage Securities Corp. Trust 2017-STAY C† | 3.269% (1 Mo. LIBOR + 1.35% | )# | 7/15/2032 | 225 | 226,635 | |||||||
GS Mortgage Securities Corp. Trust 2017-STAY D† | 3.869% (1 Mo. LIBOR + 1.95% | )# | 7/15/2032 | 531 | 533,249 | |||||||
GS Mortgage Securities Trust 2010-C2 A1† | 3.849% | 12/10/2043 | 74 | 75,346 | ||||||||
GS Mortgage Securities Trust 2012-GCJ7 B | 4.74% | 5/10/2045 | 259 | 267,123 | ||||||||
GS Mortgage Securities Trust 2012-GCJ9 IO | 1.968% | #(k) | 11/10/2045 | 1,474 | 105,215 | |||||||
GS Mortgage Securities Trust 2013-G1 A2† | 3.557% | #(k) | 4/10/2031 | 2,584 | 2,557,159 | |||||||
GS Mortgage Securities Trust 2013-GC12 XA IO | 1.444% | #(k) | 6/10/2046 | 19,930 | 1,121,124 | |||||||
GS Mortgage Securities Trust 2013-GC14 A5 | 4.243% | 8/10/2046 | 2,725 | 2,842,046 | ||||||||
GS Mortgage Securities Trust 2015-GS1 XA IO | 0.817% | #(k) | 11/10/2048 | 1,081 | 51,927 | |||||||
GS Mortgage Securities Trust 2016-GS4 225A† | 2.636% | 11/10/2029 | 248 | 242,095 | (b) | |||||||
GS Mortgage Securities Trust 2016-GS4 225C† | 3.778% | 11/10/2029 | 433 | 428,616 | (b) | |||||||
GS Mortgage Securities Trust 2016-GS4 225D† | 4.766% | 11/10/2029 | 588 | 583,203 | (b) | |||||||
H/2 Asset Funding 2014-1 Ltd. | 2.425% (1 Mo. LIBOR + .77% | )# | 3/19/2037 | 459 | 465,864 | |||||||
H/2 Asset Funding 2015-1A-AFL | 2.174% (1 Mo. LIBOR + 1.70% | )# | 6/24/2049 | 419 | 426,085 | (b) | ||||||
H/2 Asset Funding 2015-1A-AFX | 3.353% | 6/24/2049 | 210 | 209,612 | (b) | |||||||
H/2 Asset Funding 2015-1A-BFX | 3.993% | 6/24/2049 | 563 | 563,640 | (b) |
228 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Interest | Maturity | Principal Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Hilton Orlando Trust 2018-ORL A† | 2.689% (1 Mo. LIBOR + .77% | )# | 12/15/2034 | $ | 808 | $ | 810,019 | |||||
Hilton Orlando Trust 2018-ORL D† | 3.619% (1 Mo. LIBOR + 1.70% | )# | 12/15/2034 | 664 | 667,137 | |||||||
HMH Trust 2017-NSS A† | 3.062% | 7/5/2031 | 974 | 949,550 | ||||||||
HMH Trust 2017-NSS B† | 3.343% | 7/5/2031 | 629 | 619,914 | ||||||||
HMH Trust 2017-NSS C† | 3.787% | 7/5/2031 | 469 | 459,432 | ||||||||
HMH Trust 2017-NSS D† | 4.723% | 7/5/2031 | 618 | 611,855 | ||||||||
Hospitality Mortgage Trust 2017-HIT B† | 3.103% (1 Mo. LIBOR + 1.18% | )# | 5/8/2030 | 415 | 416,437 | |||||||
Hospitality Mortgage Trust 2017-HIT C† | 3.273% (1 Mo. LIBOR + 1.35% | )# | 5/8/2030 | 278 | 278,970 | |||||||
Hospitality Mortgage Trust 2017-HIT D† | 4.073% (1 Mo. LIBOR + 2.15% | )# | 5/8/2030 | 943 | 948,247 | |||||||
Hospitality Mortgage Trust 2017-HIT E† | 5.473% (1 Mo. LIBOR + 3.55% | )# | 5/8/2030 | 1,396 | 1,408,413 | |||||||
Hudsons Bay Simon JV Trust 2015-HB7 A7† | 3.914% | 8/5/2034 | 2,366 | 2,349,071 | ||||||||
Hudsons Bay Simon JV Trust 2015-HB7 B7† | 4.666% | 8/5/2034 | 1,200 | 1,169,085 | ||||||||
Hudsons Bay Simon JV Trust 2015-HB7 D7† | 5.159% | #(k) | 8/5/2034 | 559 | 521,844 | |||||||
Hudsons Bay Simon JV Trust 2015-HBFL CFL† | 4.465% (1 Mo. LIBOR + 2.55% | )# | 8/5/2034 | 1,961 | 1,961,616 | |||||||
Irvine Core Office Trust 2013-IRV A1† | 2.068% | 5/15/2048 | 1,260 | 1,228,168 | ||||||||
Irvine Core Office Trust 2013-IRV A2† | 3.173% | #(k) | 5/15/2048 | 310 | 308,018 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CB18 AMFX | 5.40% | 6/12/2047 | 76 | 76,056 | ||||||||
JPMorgan Chase Commercial Mortgage Securities rust 2012-C6 B | 4.819% | #(k) | 5/15/2045 | 253 | 262,452 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2012-C8 A3 | 2.829% | 10/15/2045 | 1,156 | 1,137,952 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2012-WLDN A† | 3.905% | 5/5/2030 | 5,221 | 5,285,535 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2012-WLDN B† | 4.342% | #(k) | 5/5/2030 | 1,254 | 1,271,553 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C10 XA IO | 1.036% | #(k) | 12/15/2047 | 9,918 | 384,084 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C12 XA IO | 0.584% | #(k) | 7/15/2045 | 5,751 | 112,609 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2013-LC11 XA IO | 1.286% | #(k) | 4/15/2046 | 1,535 | 74,870 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 A2 | 3.046% | 4/15/2047 | 474 | 474,866 |
See Notes to Financial Statements. | 229 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Interest | Maturity | Principal Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XA IO | 1.135% | #(k) | 4/15/2047 | $ | 3,330 | $ | 74,221 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XB IO | 0.266% | #(k) | 4/15/2047 | 1,000 | 18,505 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C24 XA IO | 1.041% | #(k) | 11/15/2047 | 3,095 | 121,893 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY A† | 3.429% | 6/10/2027 | 3,435 | 3,433,612 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY XA IO† | 0.376% | #(k) | 6/10/2027 | 2,906 | 10,229 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY XB IO† | 0.034% | #(k) | 6/10/2027 | 1,292 | 904 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-FL4 D† | 5.019% (1 Mo. LIBOR + 3.10% | )# | 12/15/2030 | 500 | 501,812 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C29 XA IO | 0.916% | #(k) | 5/15/2048 | 2,790 | 91,531 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-UES D† | 3.621% | #(k) | 9/5/2032 | 1,175 | 1,172,620 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-JP4 XA IO | 0.808% | #(k) | 12/15/2049 | 4,156 | 173,249 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI A† | 2.798% | 10/5/2031 | 1,000 | 984,481 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI B† | 3.201% | 10/5/2031 | 216 | 213,052 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI C† | 3.554% | 10/5/2031 | 1,044 | 1,033,260 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI D† | 4.009% | #(k) | 10/5/2031 | 698 | 689,290 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI E† | 4.009% | #(k) | 10/5/2031 | 138 | 134,843 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI XA IO† | 1.211% | #(k) | 10/5/2031 | 2,367 | 82,218 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI XB IO† | 0.657% | #(k) | 10/5/2031 | 1,432 | 28,447 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WPT A† | 3.369% (1 Mo. LIBOR + 1.45% | )# | 10/15/2033 | 1,010 | 1,013,405 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WPT C† | 4.769% (1 Mo. LIBOR + 2.85% | )# | 10/15/2033 | 152 | 152,485 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WPT D† | 5.669% (1 Mo. LIBOR + 3.75% | )# | 10/15/2033 | 402 | 404,327 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-JP7 XA IO | 1.09% | #(k) | 9/15/2050 | 8,411 | 592,696 |
230 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK A† | 3.392% | 6/5/2032 | $ | 1,482 | $ | 1,474,593 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK B† | 3.795% | 6/5/2032 | 608 | 606,265 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK C† | 4.036% | #(k) | 6/5/2032 | 452 | 450,975 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK X IO† | 0.527% | #(k) | 6/5/2032 | 32,692 | 665,178 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MAUI C† | 3.178% (1 Mo. LIBOR + 1.25% | )# | 7/15/2034 | 430 | 431,540 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MAUI D† | 3.878% (1 Mo. LIBOR + 1.95% | )# | 7/15/2034 | 661 | 664,651 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC A† | 3.10% (1 Mo. LIBOR + 1.20% | )#(k) | 4/15/2031 | 1,658 | 1,661,109 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC B† | 3.80% (1 Mo. LIBOR + 1.90% Floor 1.90% | )#(k) | 4/15/2031 | 449 | 449,842 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC C† | 4.20% | #(k) | 4/15/2031 | 332 | 332,320 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC D† | 5.02% (1 Mo. LIBOR + 3.12% Floor 3.12% | )#(k) | 4/15/2031 | 174 | 174,013 | |||||||
Ladder Capital Commercial Mortgage Securities LLC 2014-PKMD B† | 2.857% | #(k) | 11/14/2027 | 410 | 406,938 | |||||||
LMREC, Inc. 2015-CRE1 AR† | 2.948% (1 Mo. LIBOR + .98% | )# | 2/22/2032 | 2,281 | 2,285,893 | (b) | ||||||
LMREC, Inc. 2015-CRE1 BR† | 5.468% (1 Mo. LIBOR + 2.25% | )# | 2/22/2032 | 381 | 381,794 | (b) | ||||||
LSTAR Commercial Mortgage Trust 2014-2 XA IO† | 1.00% | #(k) | 1/20/2041 | 1,310 | 5,910 | |||||||
LSTAR Commercial Mortgage Trust 2015-3 A2† | 2.729% | #(k) | 4/20/2048 | 413 | 408,905 | |||||||
LSTAR Commercial Mortgage Trust 2016-4 XA IO† | 1.949% | #(k) | 3/10/2049 | 1,623 | 119,692 | |||||||
LSTAR Commercial Mortgage Trust 2016-4 XB IO† | 0.597% | #(k) | 3/10/2049 | 19,753 | 865,478 | |||||||
LSTAR Commercial Mortgage Trust 2017-5 A1† | 2.417% | 3/10/2050 | 979 | 968,414 | ||||||||
LSTAR Commercial Mortgage Trust 2017-5 A2† | 2.776% | 3/10/2050 | 800 | 783,785 | ||||||||
LSTAR Commercial Mortgage Trust 2017-5 A3† | 4.50% | 3/10/2050 | 2,100 | 2,187,874 | ||||||||
Madison Avenue Trust 2013-650M B† | 4.034% | #(k) | 10/12/2032 | 1,423 | 1,443,807 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-CKSV A2† | 3.277% | 10/15/2030 | 2,090 | 2,029,524 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11 A4 | 4.162% | #(k) | 8/15/2046 | 1,736 | 1,806,489 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12 A2 | 3.001% | 10/15/2046 | 181 | 181,442 |
See Notes to Financial Statements. | 231 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Interest | Maturity | Principal Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 A4 | 2.918% | 2/15/2046 | $ | 500 | $ | 491,849 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8 B | 3.562% | #(k) | 12/15/2048 | 1,000 | 986,873 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 XA IO | 0.71% | #(k) | 7/15/2050 | 7,242 | 220,268 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31 XA IO | 1.448% | #(k) | 11/15/2049 | 4,921 | 423,081 | |||||||
Morgan Stanley Capital Barclays Bank Trust 2016-MART B† | 2.48% | 9/13/2031 | 250 | 242,166 | ||||||||
Morgan Stanley Capital Barclays Bank Trust 2016-MART C† | 2.817% | 9/13/2031 | 500 | 486,184 | ||||||||
Morgan Stanley Capital Barclays Bank Trust 2016-MART XCP IO† | 0.316% | #(k) | 9/13/2031 | 188,074 | 171,147 | |||||||
Morgan Stanley Capital I Trust 2012-C4 B† | 5.213% | #(k) | 3/15/2045 | 1,070 | 1,123,959 | |||||||
Morgan Stanley Capital I Trust 2012-C4 XA IO† | 2.091% | #(k) | 3/15/2045 | 13,555 | 848,142 | |||||||
Morgan Stanley Capital I Trust 2012-STAR A1† | 2.084% | 8/5/2034 | 284 | 278,212 | ||||||||
Morgan Stanley Capital I Trust 2014-CPT A† | 3.35% | 7/13/2029 | 100 | 100,649 | ||||||||
Morgan Stanley Capital I Trust 2014-CPT XA IO† | 0.089% | #(k) | 7/13/2029 | 60,000 | 211,800 | |||||||
Morgan Stanley Capital I Trust 2014-MP A† | 3.469% | 8/11/2033 | 100 | 100,255 | ||||||||
Morgan Stanley Capital I Trust 2016-UB11 XA IO | 1.655% | #(k) | 8/15/2049 | 4,518 | 414,833 | |||||||
Morgan Stanley Capital I Trust 2017-PRME A† | 2.819% (1 Mo. LIBOR + .90% | )# | 2/15/2034 | 413 | 414,000 | |||||||
Morgan Stanley Capital I Trust 2017-PRME B† | 3.269% (1 Mo. LIBOR + 1.35% | )# | 2/15/2034 | 362 | 362,584 | |||||||
Morgan Stanley Capital I Trust 2017-PRME C† | 3.569% (1 Mo. LIBOR + 1.65% | )# | 2/15/2034 | 179 | 179,295 | |||||||
Morgan Stanley Capital I Trust 2017-PRME D† | 5.319% (1 Mo. LIBOR + 3.40% | )# | 2/15/2034 | 334 | 335,349 | |||||||
Morgan Stanley Capital I Trust 2017-PRME E† | 6.419% (1 Mo. LIBOR + 4.50% | )# | 2/15/2034 | 359 | 359,547 | |||||||
Morgan Stanley Reremic Trust 2012-IO AXA† | 1.00% | 3/27/2051 | 118 | 117,710 | ||||||||
Motel 6 Trust 2017-MTL6 F† | 6.169% (1 Mo. LIBOR + 4.25% | )# | 8/15/2034 | 1,197 | 1,215,825 | |||||||
MSCG Trust 2015-ALDR A1† | 2.612% | 6/7/2035 | 488 | 471,441 | ||||||||
MSCG Trust 2016-SNR A† | 3.348% | #(k) | 11/15/2034 | 1,247 | 1,216,163 | |||||||
MSCG Trust 2016-SNR B† | 4.181% | 11/15/2034 | 602 | 592,393 | ||||||||
MSCG Trust 2016-SNR C† | 5.205% | 11/15/2034 | 387 | 385,414 | ||||||||
Natixis Commercial Mortgage Securities Trust 2018-285M A† | 3.79% | #(k) | 11/15/2032 | 1,890 | 1,909,895 | |||||||
Natixis Commercial Mortgage Securities Trust 2018-285M B† | 3.79% | #(k) | 11/15/2032 | 472 | 472,183 |
232 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Interest | Maturity | Principal Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Palisades Center Trust 2016-PLSD D† | 4.737% | 4/13/2033 | $ | 654 | $ | 645,554 | ||||||
PFP Ltd. 2017-3 A† | 2.969% (1 Mo. LIBOR + 1.05% | )# | 1/14/2035 | 199 | 199,250 | |||||||
PFP Ltd. 2017-3 B† | 3.669% (1 Mo. LIBOR + 1.75% | )# | 1/14/2035 | 1,750 | 1,755,438 | |||||||
PFP Ltd. 2017-3 D† | 5.419% (1 Mo. LIBOR + 3.50% | )# | 1/14/2035 | 2,100 | 2,113,925 | |||||||
Prima Capital CRE Securitization 2015-5A C† | 4.50% | 12/24/2050 | 2,749 | 2,715,284 | ||||||||
Prima Capital CRE Securitization Ltd. 2016-6A A† | 2.85% | 8/24/2040 | 2,493 | 2,474,226 | ||||||||
Prima Capital Ltd. | 2.214% | 5/24/2021 | 357 | 354,048 | (b) | |||||||
RAIT Trust 2017-FL7 A† | 2.869% (1 Mo. LIBOR + .95% | )# | 6/15/2037 | 667 | 667,936 | |||||||
RBS Commercial Funding, Inc. Trust 2013-GSP A† | 3.834% | #(k) | 1/13/2032 | 592 | 600,807 | |||||||
ReadyCap Commercial Mortgage Trust 2014-1A A† | 3.01% | #(k) | 6/25/2055 | 61 | 60,335 | |||||||
ReadyCap Commercial Mortgage Trust 2017-FL1 A† | 2.81% (1 Mo. LIBOR + .85% | )# | 5/25/2034 | 379 | 379,354 | |||||||
ReadyCap Commercial Mortgage Trust 2018-4 A† | 3.39% | 2/27/2051 | 1,997 | 1,993,998 | ||||||||
Sequoia Mortgage Trust 2012-4 A2 | 3.00% | #(k) | 9/25/2042 | 68 | 65,855 | |||||||
Stonemont Portfolio Trust 2017-MONT F† | 5.548% (1 Mo. LIBOR + 3.60% | )# | 8/20/2030 | 1,823 | 1,844,071 | |||||||
Structured Asset Securities Corp. 2006-3H 1A3 | 5.75% | 12/25/2035 | 69 | 69,068 | ||||||||
UBS-BAMLL Trust 2012-WRM A† | 3.663% | 6/10/2030 | 1,250 | 1,247,414 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2012-C2 A4 | 3.525% | 5/10/2063 | 625 | 632,049 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2012-C3 A4 | 3.091% | 8/10/2049 | 973 | 965,821 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2012-C4 A4 | 2.792% | 12/10/2045 | 1,208 | 1,187,699 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2012-C4 A5 | 2.85% | 12/10/2045 | 1,000 | 982,163 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2013-C5 A4 | 3.185% | 3/10/2046 | 1,378 | 1,374,623 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2013-C5 AS† | 3.347% | 3/10/2046 | 4,200 | 4,129,574 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2013-C5 B† | 3.649% | #(k) | 3/10/2046 | 635 | 628,948 | |||||||
UBS-Barclays Commercial Mortgage Trust 2013-C5 XA IO† | 0.975% | #(k) | 3/10/2046 | 10,839 | 405,223 | |||||||
UBS-Barclays Commercial Mortgage Trust 2013-C6 XA IO† | 1.136% | #(k) | 4/10/2046 | 17,805 | 802,437 | |||||||
Vornado DP LLC Trust 2010-VNO A1† | 2.97% | 9/13/2028 | 135 | 135,486 | ||||||||
Waldorf Astoria Boca Raton Trust 2016-BOCA C† | 4.419% (1 Mo. LIBOR + 2.50% | )# | 6/15/2029 | 168 | 168,538 | |||||||
Waldorf Astoria Boca Raton Trust 2016-BOCA E† | 6.269% (1 Mo. LIBOR + 4.35% | )# | 6/15/2029 | 550 | 553,613 |
See Notes to Financial Statements. | 233 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Interest | Maturity | Principal Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Wells Fargo Commercial Mortgage Trust 2010-C1 C† | 5.597% | #(k) | 11/15/2043 | $ | 520 | $ | 533,117 | |||||
Wells Fargo Commercial Mortgage Trust 2015-C29 XA IO | 0.724% | #(k) | 6/15/2048 | 3,881 | 143,731 | |||||||
Wells Fargo Commercial Mortgage Trust 2015-C29 XB IO | 0.018% | #(k) | 6/15/2048 | 58,000 | 178,060 | |||||||
Wells Fargo Commercial Mortgage Trust 2016-BNK1 XA IO | 1.791% | #(k) | 8/15/2049 | 1,749 | 196,017 | |||||||
Wells Fargo Commercial Mortgage Trust 2016-LC24 XB IO | 1.012% | #(k) | 10/15/2049 | 7,057 | 510,026 | |||||||
Wells Fargo Commercial Mortgage Trust 2018-C44 A2 | 4.178% | 5/15/2051 | 675 | 698,871 | ||||||||
West Town Mall Trust 2017-KNOX A† | 3.823% | 7/5/2030 | 1,620 | 1,629,487 | ||||||||
West Town Mall Trust 2017-KNOX B† | 4.322% | 7/5/2030 | 679 | 686,186 | ||||||||
West Town Mall Trust 2017-KNOX C† | 4.346% | #(k) | 7/5/2030 | 500 | 494,449 | |||||||
West Town Mall Trust 2017-KNOX D† | 4.346% | #(k) | 7/5/2030 | 625 | 603,326 | |||||||
West Town Mall Trust 2017-KNOX X IO† | 0.376% | #(k) | 7/5/2030 | 34,983 | 507,351 | |||||||
WF-RBS Commercial Mortgage Trust 2011-C2 A4† | 4.869% | #(k) | 2/15/2044 | 147 | 152,563 | |||||||
WF-RBS Commercial Mortgage Trust 2012-C10 A3 | 2.875% | 12/15/2045 | 275 | 270,349 | ||||||||
WF-RBS Commercial Mortgage Trust 2012-C7 A2 | 3.431% | 6/15/2045 | 790 | 795,738 | ||||||||
WF-RBS Commercial Mortgage Trust 2012-C7 B | 4.759% | #(k) | 6/15/2045 | 300 | 308,171 | |||||||
WF-RBS Commercial Mortgage Trust 2012-C7 XA IO† | 1.428% | #(k) | 6/15/2045 | 11,084 | 483,271 | |||||||
WF-RBS Commercial Mortgage Trust 2012-C8 A2 | 1.881% | 8/15/2045 | – | (d) | 20 | |||||||
WF-RBS Commercial Mortgage Trust 2012-C9 A3 | 2.87% | 11/15/2045 | 201 | 198,000 | ||||||||
WF-RBS Commercial Mortgage Trust 2013-C11 AS | 3.311% | 3/15/2045 | 1,166 | 1,156,606 | ||||||||
WF-RBS Commercial Mortgage Trust 2013-C13 XA IO† | 1.214% | #(k) | 5/15/2045 | 10,476 | 514,600 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C20 XA IO | 1.055% | #(k) | 5/15/2047 | 6,462 | 276,531 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C20 XB IO | 0.564% | #(k) | 5/15/2047 | 1,368 | 45,761 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C21 XB IO | 0.604% | #(k) | 8/15/2047 | 15,000 | 558,035 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $284,353,307) | 280,686,569 |
Dividend | Shares | |||||||||||
Rate | (000) | |||||||||||
PREFERRED STOCK 0.01% | ||||||||||||
Oil | ||||||||||||
Templar Energy LLC (cost $137,346) | Zero Coupon | 14 | 99,960 |
234 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
U.S. TREASURY OBLIGATIONS 5.41% | ||||||||||||
U.S. Treasury Note(l) | 1.375% | 6/30/2018 | $ | 6,000 | $ | 5,998,248 | ||||||
U.S. Treasury Note | 2.50% | 5/31/2020 | 57,068 | 57,152,711 | ||||||||
U.S. Treasury Note | 2.75% | 5/31/2023 | 5,743 | 5,760,386 | ||||||||
Total U.S. Treasury Obligations (cost $68,725,081) | 68,911,345 | |||||||||||
Total Long-Term Investments (cost $1,256,546,670) | 1,244,231,544 | |||||||||||
SHORT-TERM INVESTMENTS 1.14% | ||||||||||||
COMMERCIAL PAPER 0.05% | ||||||||||||
Automotive | ||||||||||||
Ford Motor Credit Co. (cost $659,356) | 2.058% | 7/16/2018 | 661 | 659,356 | ||||||||
CONVERTIBLE BOND 0.05% | ||||||||||||
Energy Equipment & Services | ||||||||||||
Tesla Energy Operations, Inc. (cost $565,032) | 2.75% | 11/1/2018 | 570 | 562,281 | ||||||||
CORPORATE BONDS 0.02% | ||||||||||||
Financial Services 0.01% | ||||||||||||
Nationstar Mortgage LLC/Nationstar Capital Corp. | 6.50% | 8/1/2018 | 112 | 112,091 | ||||||||
Oil: Crude Producers 0.01% | ||||||||||||
Kinder Morgan Energy Partners LP | 2.65% | 2/1/2019 | 139 | 138,572 | ||||||||
Telecommunications 0.00% | ||||||||||||
Nortel Networks Ltd. (Canada)(e)(h) | 10.75% | 7/15/2016 | 1,687 | 54,828 | ||||||||
Total Corporate Bonds (cost $297,521) | 305,491 | |||||||||||
REPURCHASE AGREEMENT 1.02% | ||||||||||||
Repurchase Agreement dated 5/31/2018, 0.90% due 6/1/2018 with Fixed Income Clearing Corp. collateralized by $13,470,000 of U.S. Treasury Note at 1.875% due 1/31/2022; value: $13,207,295; proceeds: $12,946,584 (cost $12,946,260) | 12,946 | 12,946,260 | ||||||||||
Total Short-Term Investments (cost $14,468,169) | 14,473,388 | |||||||||||
Total Investments in Securities 98.85% (cost $1,271,014,839) | 1,258,704,932 | |||||||||||
Cash and Other Assets in Excess of Liabilities(m) 1.15% | 14,621,143 | |||||||||||
Net Assets 100.00% | $ | 1,273,326,075 |
See Notes to Financial Statements. | 235 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
BRL | Brazilian real. | |
EUR | euro. | |
ADR | American Depositary Receipt. | |
AGM | Assured Guaranty Municipal Corporation. | |
IO | Interest Only. | |
LIBOR | London Interbank Offered Rate | |
PIK | Payment-in-kind. | |
Units | More than one class of securities traded together. | |
† | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers. | |
# | Variable rate security. The interest rate represents the rate in effect at May 31, 2018. | |
* | Non-income producing security. | |
(a) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(b) | Level 3 Investment as described in Note 2(s) in the Notes to Financials. Security valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments. | |
(c) | Investment in non-U.S. dollar denominated securities. | |
(d) | Amount is less than $1,000. | |
(e) | Foreign security traded in U.S. dollars. | |
(f) | Variable Rate is Fixed to Float: Rate remains fixed until designated future date. | |
(g) | Security is perpetual in nature and has no stated maturity. | |
(h) | Defaulted (non-income producing security). | |
(i) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate shown is the rate in effect at May 31, 2018. | |
(j) | Level 3 Investment as described in Note 2(s) in the Notes to Financials. Floating Rate Loans categorized as Level 3 are valued based on a single quotation obtained from a dealer. Accounting principles generally accepted in the United States of America do not require the Fund to create quantitative unobservable inputs that were not developed by the Fund. Therefore, the Fund does not have access to unobservable inputs and cannot disclose such inputs in the valuation. | |
(k) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(l) | Security has been pledged as collateral for swap contracts as of May 31, 2018. | |
(m) | Cash and Other Assets in Excess of Liabilities include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and swaps as follows: |
Open Forward Foreign Currency Exchange Contracts at May 31, 2018:
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Appreciation | |||||||||||||
euro | Sell | Standard Chartered Bank | 12/20/2018 | 363,000 | $438,987 | $431,135 | $ | 7,852 | ||||||||||||
euro | Sell | Standard Chartered Bank | 12/20/2018 | 250,000 | 303,355 | 296,925 | 6,430 | |||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 14,282 |
236 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Open Futures Contracts at May 31, 2018:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||||
U.S. 2-Year Treasury Note | September 2018 | 2,137 | Long | $ | 453,104,003 | $ | 453,544,862 | $ | 440,859 | |||||||||||
U.S. 5-Year Treasury Note | September 2018 | 900 | Short | (102,759,433 | ) | (102,501,563 | ) | 257,870 | ||||||||||||
U.S. Long Bond | September 2018 | 72 | Long | 10,426,627 | 10,449,000 | 22,373 | ||||||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 721,102 | ||||||||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||||
U.S. 10-Year Treasury Note | September 2018 | 149 | Long | $ | 17,971,065 | $ | 17,945,188 | $ | (25,877 | ) |
Open Consumer Price Index (“CPI”) OTC Swaps at May 31, 2018:
Swap Counterparty | Payments to be Made By The Fund at Termination Date | Payments to be Received By The Fund at Termination Date | Termination Date | Notional Amount | Fair Value | Unrealized Appreciation | ||||||||||||
Bank of America | 1.676% | CPI Urban Consumer NSA | 8/4/2026 | $ | 15,000,000 | $ | 15,897,761 | $ | 897,761 | |||||||||
Bank of America | 1.7395% | CPI Urban Consumer NSA | 8/23/2026 | 40,000,000 | 42,116,140 | 2,116,140 | ||||||||||||
Bank of America | 1.7465% | CPI Urban Consumer NSA | 8/22/2026 | 20,000,000 | 21,046,911 | 1,046,911 | ||||||||||||
Bank of America | 1.769% | CPI Urban Consumer NSA | 7/22/2026 | 35,000,000 | 36,808,154 | 1,808,154 | ||||||||||||
Bank of America | 1.9625% | CPI Urban Consumer NSA | 12/13/2019 | 30,000,000 | 30,149,501 | 149,501 | ||||||||||||
Bank of America | 2.0375% | CPI Urban Consumer NSA | 1/10/2020 | 20,000,000 | 20,075,134 | 75,134 | ||||||||||||
Bank of America | 2.080% | CPI Urban Consumer NSA | 4/22/2025 | 10,000,000 | 10,100,188 | 100,188 | ||||||||||||
Bank of America | 2.100% | CPI Urban Consumer NSA | 4/26/2025 | 10,000,000 | 10,121,034 | 121,034 | ||||||||||||
Bank of America | 2.100% | CPI Urban Consumer NSA | 6/30/2042 | 5,000,000 | 5,282,868 | 282,868 | ||||||||||||
Bank of America | 2.1425% | CPI Urban Consumer NSA | 11/22/2024 | 20,000,000 | 20,236,308 | 236,308 | ||||||||||||
Bank of America | 2.1438% | CPI Urban Consumer NSA | 7/24/2029 | 10,000,000 | 10,244,038 | 244,038 | ||||||||||||
Bank of America | 2.1475% | CPI Urban Consumer NSA | 7/31/2029 | 10,000,000 | 10,243,525 | 243,525 | ||||||||||||
Bank of America | 2.213% | CPI Urban Consumer NSA | 10/25/2032 | 5,000,000 | 5,118,599 | 118,599 | ||||||||||||
Bank of America | 2.275% | CPI Urban Consumer NSA | 1/6/2026 | 20,000,000 | 20,021,476 | 21,476 | ||||||||||||
Bank of America | 2.2975% | CPI Urban Consumer NSA | 4/5/2029 | 5,000,000 | 5,000,059 | 59 | ||||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 2.145% | 2/6/2019 | 30,000,000 | 30,890,146 | 890,146 |
See Notes to Financial Statements. | 237 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Swap Counterparty | Payments to be Made By The Fund at Termination Date | Payments to be Received By The Fund at Termination Date | Termination Date | Notional Amount | Fair Value | Unrealized Appreciation | ||||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 2.0925% | 4/1/2019 | $ | 25,000,000 | $ | 25,754,893 | $ | 754,893 | |||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 1.7625% | 12/4/2019 | 20,000,000 | 20,154,815 | 154,815 | ||||||||||||
Barclays Bank plc | 1.874% | CPI Urban Consumer NSA | 4/11/2026 | 10,000,000 | 10,417,520 | 417,520 | ||||||||||||
Barclays Bank plc | 1.944% | CPI Urban Consumer NSA | 3/22/2041 | 5,000,000 | 5,451,521 | 451,521 | ||||||||||||
Barclays Bank plc | 1.960% | CPI Urban Consumer NSA | 2/5/2025 | 10,000,000 | 10,095,185 | 95,185 | ||||||||||||
Barclays Bank plc | 2.0325% | CPI Urban Consumer NSA | 11/14/2021 | 35,000,000 | 35,382,293 | 382,293 | ||||||||||||
Barclays Bank plc | 2.0875% | CPI Urban Consumer NSA | 12/1/2024 | 10,000,000 | 10,159,607 | 159,607 | ||||||||||||
Barclays Bank plc | 2.1275% | CPI Urban Consumer NSA | 6/22/2025 | 10,000,000 | 10,049,939 | 49,939 | ||||||||||||
Barclays Bank plc | 2.1575% | CPI Urban Consumer NSA | 12/2/2024 | 10,000,000 | 10,103,828 | 103,828 | ||||||||||||
Barclays Bank plc | 2.159% | CPI Urban Consumer NSA | 11/25/2024 | 15,000,000 | 15,156,550 | 156,550 | ||||||||||||
Barclays Bank plc | 2.205% | CPI Urban Consumer NSA | 12/9/2024 | 15,000,000 | 15,095,758 | 95,758 | ||||||||||||
Barclays Bank plc | 2.207% | CPI Urban Consumer NSA | 1/11/2025 | 20,000,000 | 20,113,605 | 113,605 | ||||||||||||
Barclays Bank plc | 2.2225% | CPI Urban Consumer NSA | 12/30/2023 | 30,000,000 | 30,086,627 | 86,627 | ||||||||||||
Barclays Bank plc | 2.2275% | CPI Urban Consumer NSA | 12/5/2024 | 15,000,000 | 15,070,839 | 70,839 | ||||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 2.200% | 5/27/2019 | 30,000,000 | 31,065,009 | 1,065,009 | ||||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 1.720% | 12/5/2019 | 20,000,000 | 20,108,893 | 108,893 | ||||||||||||
Deutsche Bank AG | 1.270% | CPI Urban Consumer NSA | 9/2/2018 | 20,000,000 | 20,329,533 | 329,533 | ||||||||||||
Deutsche Bank AG | 1.6975% | CPI Urban Consumer NSA | 9/2/2022 | 10,000,000 | 10,241,223 | 241,223 | ||||||||||||
Deutsche Bank AG | 1.962% | CPI Urban Consumer NSA | 5/26/2036 | 5,000,000 | 5,373,465 | 373,465 | ||||||||||||
Deutsche Bank AG | 2.059% | CPI Urban Consumer NSA | 5/21/2025 | 20,000,000 | 20,221,997 | 221,997 | ||||||||||||
Goldman Sachs | CPI Urban Consumer NSA | 2.3125% | 9/30/2024 | 30,000,000 | 31,195,629 | 1,195,629 | ||||||||||||
Goldman Sachs | CPI Urban Consumer NSA | 2.0625% | 12/8/2024 | 15,000,000 | 15,130,411 | 130,411 | ||||||||||||
Goldman Sachs | 1.5675% | CPI Urban Consumer NSA | 3/2/2024 | 8,000,000 | 8,426,958 | 426,958 | ||||||||||||
Goldman Sachs | 1.649% | CPI Urban Consumer NSA | 3/4/2024 | 5,000,000 | 5,234,586 | 234,586 | ||||||||||||
Goldman Sachs | 2.183% | CPI Urban Consumer NSA | 3/20/2022 | 20,000,000 | 20,004,845 | 4,845 | ||||||||||||
Goldman Sachs | 2.230% | CPI Urban Consumer NSA | 12/14/2024 | 10,000,000 | 10,042,515 | 42,515 |
238 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Swap Counterparty | Payments to be Made By The Fund at Termination Date | Payments to be Received By The Fund at Termination Date | Termination Date | Notional Amount | Fair Value | Unrealized Appreciation | ||||||||||||
J.P. Morgan | CPI Urban Consumer NSA | 1.908% | 11/7/2019 | $ | 20,000,000 | $ | 20,327,323 | $ | 327,323 | |||||||||
J.P. Morgan | 1.950% | CPI Urban Consumer NSA | 10/14/2026 | 10,000,000 | 10,351,911 | 351,911 | ||||||||||||
J.P. Morgan | 2.1525% | CPI Urban Consumer NSA | 11/21/2024 | 25,000,000 | 25,276,149 | 276,149 | ||||||||||||
Unrealized Appreciation on CPI OTC Swaps | $ | 16,775,269 |
Swap Counterparty | Payments to be Made By The Fund at Termination Date | Payments to be Received By The Fund at Termination Date | Termination Date | Notional Amount | Fair Value | Unrealized Depreciation | ||||||||||||
Bank of America | CPI Urban Consumer NSA | 2.195% | 2/24/2022 | $ | 25,000,000 | $ | 24,972,619 | $ | (27,381 | ) | ||||||||
Bank of America | CPI Urban Consumer NSA | 2.194% | 1/19/2022 | 30,000,000 | 29,946,457 | (53,543 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 2.140% | 2/10/2022 | 30,000,000 | 29,867,038 | (132,962 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 2.0688% | 11/10/2022 | 15,000,000 | 14,817,863 | (182,137 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 2.054% | 12/5/2022 | 10,000,000 | 9,895,178 | (104,822 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.936% | 5/22/2022 | 10,000,000 | 9,851,300 | (148,700 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.930% | 9/7/2022 | 25,000,000 | 24,500,436 | (499,564 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.835% | 9/1/2019 | 20,000,000 | 19,783,239 | (216,761 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.813% | 3/31/2026 | 5,000,000 | 4,768,266 | (231,734 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.780% | 6/23/2022 | 15,000,000 | 14,637,856 | (362,144 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.740% | 6/16/2018 | 15,000,000 | 14,809,084 | (190,916 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.645% | 10/1/2025 | 15,000,000 | 14,252,404 | (747,596 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.580% | 8/6/2020 | 25,000,000 | 24,523,606 | (476,394 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.540% | 8/20/2021 | 20,000,000 | 19,442,311 | (557,689 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.523% | 12/16/2020 | 20,000,000 | 19,439,091 | (560,909 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.5125% | 11/9/2020 | 10,000,000 | 9,741,555 | (258,445 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.4625% | 1/19/2021 | 20,000,000 | 19,357,066 | (642,934 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.4025% | 1/21/2021 | 10,000,000 | 9,647,250 | (352,750 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.385% | 2/9/2021 | 10,000,000 | 9,627,495 | (372,505 | ) | |||||||||||
Bank of America | 2.3013% | CPI Urban Consumer NSA | 3/28/2029 | 5,000,000 | 4,998,689 | (1,311 | ) |
See Notes to Financial Statements. | 239 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Swap Counterparty | Payments to be Made By The Fund at Termination Date | Payments to be Received By The Fund at Termination Date | Termination Date | Notional Amount | Fair Value | Unrealized Depreciation | ||||||||||||
Bank of America | 2.345% | CPI Urban Consumer NSA | 2/13/2029 | $ | 30,000,000 | $ | 29,910,314 | $ | (89,686 | ) | ||||||||
Bank of America | 2.3475% | CPI Urban Consumer NSA | 3/10/2032 | 5,000,000 | 4,986,503 | (13,497 | ) | |||||||||||
Bank of America | 2.360% | CPI Urban Consumer NSA | 2/15/2029 | 10,000,000 | 9,951,547 | (48,453 | ) | |||||||||||
Bank of America | 2.360% | CPI Urban Consumer NSA | 2/8/2029 | 10,000,000 | 9,954,193 | (45,807 | ) | |||||||||||
Bank of America | 2.3625% | CPI Urban Consumer NSA | 2/1/2038 | 5,000,000 | 4,989,908 | (10,092 | ) | |||||||||||
Bank of America | 2.3663% | CPI Urban Consumer NSA | 2/20/2038 | 5,000,000 | 4,985,231 | (14,769 | ) | |||||||||||
Bank of America | 2.370% | CPI Urban Consumer NSA | 1/26/2029 | 5,000,000 | 4,971,638 | (28,362 | ) | |||||||||||
Bank of America | 2.370% | CPI Urban Consumer NSA | 2/27/2029 | 10,000,000 | 9,935,140 | (64,860 | ) | |||||||||||
Bank of America | 2.3763% | CPI Urban Consumer NSA | 2/26/2038 | 5,000,000 | 4,975,730 | (24,270 | ) | |||||||||||
Bank of America | 2.380% | CPI Urban Consumer NSA | 1/13/2029 | 10,000,000 | 9,927,043 | (72,957 | ) | |||||||||||
Bank of America | 2.380% | CPI Urban Consumer NSA | 1/18/2029 | 10,000,000 | 9,929,127 | (70,873 | ) | |||||||||||
Bank of America | 2.3975% | CPI Urban Consumer NSA | 1/24/2029 | 10,000,000 | 9,909,924 | (90,076 | ) | |||||||||||
Bank of America | 2.3975% | CPI Urban Consumer NSA | 2/12/2033 | 5,000,000 | 4,967,190 | (32,810 | ) | |||||||||||
Bank of America | 2.409% | CPI Urban Consumer NSA | 2/6/2038 | 5,000,000 | 4,944,900 | (55,100 | ) | |||||||||||
Bank of America | 2.445% | CPI Urban Consumer NSA | 4/24/2023 | 40,000,000 | 37,880,380 | (2,119,620 | ) | |||||||||||
Bank of America | 2.460% | CPI Urban Consumer NSA | 4/23/2023 | 30,000,000 | 28,370,467 | (1,629,533 | ) | |||||||||||
Bank of America | 2.590% | CPI Urban Consumer NSA | 6/26/2023 | 40,000,000 | 37,266,711 | (2,733,289 | ) | |||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 2.193% | 1/19/2022 | 40,000,000 | 39,926,605 | (73,395 | ) | |||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 2.150% | 2/10/2023 | 30,000,000 | 29,816,317 | (183,683 | ) | |||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 1.9785% | 11/3/2018 | 25,000,000 | 24,826,187 | (173,813 | ) | |||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 1.562% | 10/22/2022 | 10,000,000 | 9,632,505 | (367,495 | ) | |||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 1.500% | 7/29/2021 | 15,000,000 | 14,460,586 | (539,414 | ) | |||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 1.363% | 1/26/2021 | 15,000,000 | 14,439,826 | (560,174 | ) | |||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 1.2625% | 2/17/2021 | 10,000,000 | 9,559,856 | (440,144 | ) | |||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 1.210% | 2/11/2021 | 20,000,000 | 19,078,481 | (921,519 | ) | |||||||||||
Barclays Bank plc | 2.344% | CPI Urban Consumer NSA | 8/1/2019 | 40,000,000 | 38,136,471 | (1,863,529 | ) |
240 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Swap Counterparty | Payments to be Made By The Fund at Termination Date | Payments to be Received By The Fund at Termination Date | Termination Date | Notional Amount | Fair Value | Unrealized Depreciation | ||||||||||||
Barclays Bank plc | 2.354% | CPI Urban Consumer NSA | 12/23/2031 | $ | 10,000,000 | $ | 9,975,359 | $ | (24,641 | ) | ||||||||
Barclays Bank plc | 2.3925% | CPI Urban Consumer NSA | 12/13/2031 | 5,000,000 | 4,960,757 | (39,243 | ) | |||||||||||
Barclays Bank plc | 2.4095% | CPI Urban Consumer NSA | 2/1/2032 | 10,000,000 | 9,898,312 | (101,688 | ) | |||||||||||
Barclays Bank plc | 2.529% | CPI Urban Consumer NSA | 7/8/2022 | 30,000,000 | 28,173,150 | (1,826,850 | ) | |||||||||||
Barclays Bank plc | 2.620% | CPI Urban Consumer NSA | 10/18/2019 | 15,000,000 | 13,846,052 | (1,153,948 | ) | |||||||||||
Barclays Bank plc | 2.7425% | CPI Urban Consumer NSA | 9/14/2024 | 15,000,000 | 13,369,442 | (1,630,558 | ) | |||||||||||
Barclays Bank plc | 2.945% | CPI Urban Consumer NSA | 3/5/2038 | 15,000,000 | 11,730,483 | (3,269,517 | ) | |||||||||||
Credit Suisse | 2.560% | CPI Urban Consumer NSA | 6/27/2020 | 5,000,000 | 4,558,572 | (441,428 | ) | |||||||||||
Credit Suisse | 2.6713% | CPI Urban Consumer NSA | 4/11/2022 | 30,000,000 | 27,385,612 | (2,614,388 | ) | |||||||||||
Credit Suisse | 2.864% | CPI Urban Consumer NSA | 3/22/2032 | 8,000,000 | 6,599,533 | (1,400,467 | ) | |||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 2.105% | 7/10/2025 | 10,000,000 | 9,931,133 | (68,867 | ) | |||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 1.811% | 6/4/2020 | 20,000,000 | 19,822,958 | (177,042 | ) | |||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 1.7725% | 4/27/2023 | 35,000,000 | 33,746,807 | (1,253,193 | ) | |||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 1.6725% | 4/20/2023 | 20,000,000 | 19,160,051 | (839,949 | ) | |||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 1.667% | 4/20/2023 | 20,000,000 | 19,152,490 | (847,510 | ) | |||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 1.650% | 1/20/2026 | 10,000,000 | 9,429,335 | (570,665 | ) | |||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 1.618% | 8/25/2023 | 15,000,000 | 14,438,052 | (561,948 | ) | |||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 1.386% | 1/20/2021 | 10,000,000 | 9,640,056 | (359,944 | ) | |||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 1.315% | 11/18/2018 | 20,000,000 | 19,602,622 | (397,378 | ) | |||||||||||
Deutsche Bank AG | 2.385% | CPI Urban Consumer NSA | 1/24/2021 | 7,000,000 | 6,527,886 | (472,114 | ) | |||||||||||
Deutsche Bank AG | 2.4375% | CPI Urban Consumer NSA | 6/7/2021 | 20,000,000 | 18,754,798 | (1,245,202 | ) | |||||||||||
Deutsche Bank AG | 2.440% | CPI Urban Consumer NSA | 4/11/2020 | 8,000,000 | 7,438,524 | (561,476 | ) | |||||||||||
Deutsche Bank AG | 2.465% | CPI Urban Consumer NSA | 11/30/2031 | 5,000,000 | 4,565,947 | (434,053 | ) | |||||||||||
Deutsche Bank AG | 2.500% | CPI Urban Consumer NSA | 9/4/2021 | 10,000,000 | 9,277,215 | (722,785 | ) | |||||||||||
Deutsche Bank AG | 2.505% | CPI Urban Consumer NSA | 12/7/2031 | 5,000,000 | 4,524,029 | (475,971 | ) | |||||||||||
Deutsche Bank AG | 2.5175% | CPI Urban Consumer NSA | 4/17/2026 | 15,000,000 | 14,030,605 | (969,395 | ) |
See Notes to Financial Statements. | 241 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Swap Counterparty | Payments to be Made By The Fund at Termination Date | Payments to be Received By The Fund at Termination Date | Termination Date | Notional Amount | Fair Value | Unrealized Depreciation | ||||||||||||
Deutsche Bank AG | 2.6075% | CPI Urban Consumer NSA | 6/13/2020 | $ | 5,000,000 | $ | 4,540,391 | $ | (459,609 | ) | ||||||||
Deutsche Bank AG | 2.615% | CPI Urban Consumer NSA | 1/4/2020 | 15,000,000 | 13,798,297 | (1,201,703 | ) | |||||||||||
Deutsche Bank AG | 2.640% | CPI Urban Consumer NSA | 12/17/2020 | 15,000,000 | 13,696,399 | (1,303,601 | ) | |||||||||||
Deutsche Bank AG | 2.695% | CPI Urban Consumer NSA | 10/29/2021 | 9,000,000 | 8,160,378 | (839,622 | ) | |||||||||||
Deutsche Bank AG | 2.700% | CPI Urban Consumer NSA | 7/11/2019 | 6,000,000 | 5,404,144 | (595,856 | ) | |||||||||||
Deutsche Bank AG | 2.710% | CPI Urban Consumer NSA | 10/11/2020 | 15,000,000 | 13,681,202 | (1,318,798 | ) | |||||||||||
Deutsche Bank AG | 2.730% | CPI Urban Consumer NSA | 10/25/2021 | 15,000,000 | 13,554,648 | (1,445,352 | ) | |||||||||||
Deutsche Bank AG | 2.730% | CPI Urban Consumer NSA | 2/4/2021 | 15,000,000 | 13,610,314 | (1,389,686 | ) | |||||||||||
Deutsche Bank AG | 2.745% | CPI Urban Consumer NSA | 3/20/2022 | 30,000,000 | 27,198,906 | (2,801,094 | ) | |||||||||||
Deutsche Bank AG | 2.7475% | CPI Urban Consumer NSA | 2/26/2022 | 30,000,000 | 27,161,419 | (2,838,581 | ) | |||||||||||
Deutsche Bank AG | 2.750% | CPI Urban Consumer NSA | 3/30/2032 | 6,000,000 | 5,112,597 | (887,403 | ) | |||||||||||
Deutsche Bank AG | 2.7525% | CPI Urban Consumer NSA | 8/2/2021 | 8,000,000 | 7,068,356 | (931,644 | ) | |||||||||||
Deutsche Bank AG | 2.779% | CPI Urban Consumer NSA | 3/12/2022 | 25,000,000 | 22,576,070 | (2,423,930 | ) | |||||||||||
Deutsche Bank AG | 3.010% | CPI Urban Consumer NSA | 2/15/2033 | 15,000,000 | 12,000,216 | (2,999,784 | ) | |||||||||||
Goldman Sachs | CPI Urban Consumer NSA | 1.988% | 5/25/2023 | 10,000,000 | 9,836,579 | (163,421 | ) | |||||||||||
Goldman Sachs | CPI Urban Consumer NSA | 1.805% | 8/18/2019 | 10,000,000 | 9,889,710 | (110,290 | ) | |||||||||||
Goldman Sachs | 2.317% | CPI Urban Consumer NSA | 3/16/2029 | 5,000,000 | 4,993,472 | (6,528 | ) | |||||||||||
Goldman Sachs | 2.350% | CPI Urban Consumer NSA | 12/16/2036 | 10,000,000 | 9,987,348 | (12,652 | ) | |||||||||||
Goldman Sachs | 2.370% | CPI Urban Consumer NSA | 5/16/2028 | 10,000,000 | 9,943,534 | (56,466 | ) | |||||||||||
Goldman Sachs | 2.372% | CPI Urban Consumer NSA | 5/3/2030 | 5,000,000 | 4,971,867 | (28,133 | ) | |||||||||||
Goldman Sachs | 2.3775% | CPI Urban Consumer NSA | 4/17/2030 | 5,000,000 | 4,969,300 | (30,700 | ) | |||||||||||
Goldman Sachs | 2.380% | CPI Urban Consumer NSA | 12/8/2031 | 10,000,000 | 9,941,374 | (58,626 | ) | |||||||||||
Goldman Sachs | 2.387% | CPI Urban Consumer NSA | 5/24/2028 | 5,000,000 | 4,966,637 | (33,363 | ) | |||||||||||
Goldman Sachs | 2.390% | CPI Urban Consumer NSA | 2/7/2032 | 5,000,000 | 4,962,337 | (37,663 | ) | |||||||||||
Goldman Sachs | 2.4475% | CPI Urban Consumer NSA | 4/24/2023 | 30,000,000 | 28,403,005 | (1,596,995 | ) | |||||||||||
Goldman Sachs | 2.497% | CPI Urban Consumer NSA | 5/2/2021 | 30,000,000 | 27,927,146 | (2,072,854 | ) | |||||||||||
Goldman Sachs | 2.5375% | CPI Urban Consumer NSA | 4/17/2021 | 8,000,000 | 7,346,205 | (653,795 | ) |
242 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Swap Counterparty | Payments to be Made By The Fund at Termination Date | Payments to be Received By The Fund at Termination Date | Termination Date | Notional Amount | Fair Value | Unrealized Depreciation | ||||||||||||
Goldman Sachs | 2.675% | CPI Urban Consumer NSA | 12/13/2020 | $ | 15,000,000 | $ | 13,647,432 | $ | (1,352,568 | ) | ||||||||
Goldman Sachs | 2.7725% | CPI Urban Consumer NSA | 4/3/2023 | 20,000,000 | 17,987,115 | (2,012,885 | ) | |||||||||||
Goldman Sachs | 2.945% | CPI Urban Consumer NSA | 1/16/2038 | 15,000,000 | 11,657,294 | (3,342,706 | ) | |||||||||||
Goldman Sachs | 2.980% | CPI Urban Consumer NSA | 2/7/2033 | 10,000,000 | 8,065,976 | (1,934,024 | ) | |||||||||||
J.P. Morgan | CPI Urban Consumer NSA | 1.645% | 8/27/2023 | 5,000,000 | 4,825,337 | (174,663 | ) | |||||||||||
J.P. Morgan | CPI Urban Consumer NSA | 1.5625% | 1/11/2021 | 10,000,000 | 9,731,850 | (268,150 | ) | |||||||||||
J.P. Morgan | 2.074% | CPI Urban Consumer NSA | 11/21/2023 | 35,000,000 | 34,511,786 | (488,214 | ) | |||||||||||
J.P. Morgan | 2.4975% | CPI Urban Consumer NSA | 4/26/2020 | 9,000,000 | 8,318,119 | (681,881 | ) | |||||||||||
J.P. Morgan | 2.5275% | CPI Urban Consumer NSA | 5/9/2021 | 10,000,000 | 9,181,293 | (818,707 | ) | |||||||||||
J.P. Morgan | 2.549% | CPI Urban Consumer NSA | 7/23/2023 | 30,000,000 | 28,057,428 | (1,942,572 | ) | |||||||||||
J.P. Morgan | 2.6075% | CPI Urban Consumer NSA | 6/3/2020 | 5,000,000 | 4,543,890 | (456,110 | ) | |||||||||||
J.P. Morgan | 2.680% | CPI Urban Consumer NSA | 2/28/2021 | 20,000,000 | 18,328,295 | (1,671,705 | ) | |||||||||||
J.P. Morgan | 2.7175% | CPI Urban Consumer NSA | 5/13/2020 | 12,000,000 | 10,808,648 | (1,191,352 | ) | |||||||||||
J.P. Morgan | 2.730% | CPI Urban Consumer NSA | 9/20/2021 | 15,000,000 | 13,585,660 | (1,414,340 | ) | |||||||||||
J.P. Morgan | 2.7563% | CPI Urban Consumer NSA | 3/25/2022 | 30,000,000 | 27,165,024 | (2,834,976 | ) | |||||||||||
J.P. Morgan | 2.810% | CPI Urban Consumer NSA | 3/28/2032 | 7,000,000 | 5,865,931 | (1,134,069 | ) | |||||||||||
J.P. Morgan | 2.815% | CPI Urban Consumer NSA | 4/5/2032 | 5,000,000 | 4,182,876 | (817,124 | ) | |||||||||||
J.P. Morgan | 2.815% | CPI Urban Consumer NSA | 5/4/2020 | 4,000,000 | 3,567,632 | (432,368 | ) | |||||||||||
J.P. Morgan | 2.955% | CPI Urban Consumer NSA | 7/15/2026 | 5,000,000 | 4,131,790 | (868,210 | ) | |||||||||||
Merrill Lynch International Bank Ltd. | 2.555% | CPI Urban Consumer NSA | 7/15/2018 | 5,000,000 | 4,602,412 | (397,588 | ) | |||||||||||
Merrill Lynch International Bank Ltd. | 2.820% | CPI Urban Consumer NSA | 5/4/2020 | 4,000,000 | 3,565,480 | (434,520 | ) | |||||||||||
Merrill Lynch International Bank Ltd. | 2.825% | CPI Urban Consumer NSA | 7/22/2023 | 5,000,000 | 4,324,228 | (675,772 | ) | |||||||||||
Wells Fargo | 2.3925% | CPI Urban Consumer NSA | 6/26/2019 | 30,000,000 | 28,617,167 | (1,382,833 | ) | |||||||||||
Wells Fargo | 2.410% | CPI Urban Consumer NSA | 6/20/2021 | 10,000,000 | 9,283,782 | (716,218 | ) | |||||||||||
Wells Fargo | 2.560% | CPI Urban Consumer NSA | 5/2/2021 | 10,000,000 | 9,154,776 | (845,224 | ) |
See Notes to Financial Statements. | 243 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Swap Counterparty | Payments to be Made By The Fund at Termination Date | Payments to be Received By The Fund at Termination Date | Termination Date | Notional Amount | Fair Value | Unrealized Depreciation | ||||||||||||
Wells Fargo | 2.6275% | CPI Urban Consumer NSA | 10/5/2019 | $ | 15,000,000 | $ | 13,865,744 | $ | (1,134,256 | ) | ||||||||
Wells Fargo | 2.645% | CPI Urban Consumer NSA | 12/27/2020 | 15,000,000 | 13,693,805 | (1,306,195 | ) | |||||||||||
Wells Fargo | 2.7325% | CPI Urban Consumer NSA | 2/19/2021 | 20,000,000 | 18,218,480 | (1,781,520 | ) | |||||||||||
Wells Fargo | 2.745% | CPI Urban Consumer NSA | 2/21/2022 | 25,000,000 | 22,631,802 | (2,368,198 | ) | |||||||||||
Unrealized Depreciation on CPI OTC Swaps | $ | (102,025,734 | ) |
Open Consumer Price Index (“CPI”) Centrally Cleared Swaps at May 31, 2018:
Central Clearingparty* | Payments to be Made By The Fund at Termination Date | Payments to be Received By The Fund at Termination Date | Termination Date | Notional Amount | Fair Value | Unrealized Appreciation | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.275% | 4/18/2024 | $ | 50,000,000 | $ | 50,081,593 | $ | 81,593 | |||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.245% | 3/2/2019 | 40,000,000 | 40,061,669 | 61,669 | ||||||||||||
Credit Suisse | 1.7315% | CPI Urban Consumer NSA | 8/24/2026 | 10,000,000 | 10,535,566 | 535,566 | ||||||||||||
Credit Suisse | 1.7925% | CPI Urban Consumer NSA | 7/18/2026 | 35,000,000 | 36,742,365 | 1,742,365 | ||||||||||||
Credit Suisse | 1.9775% | CPI Urban Consumer NSA | 12/14/2019 | 30,000,000 | 30,141,940 | 141,940 | ||||||||||||
Credit Suisse | 2.0075% | CPI Urban Consumer NSA | 4/28/2020 | 30,000,000 | 30,079,704 | 79,704 | ||||||||||||
Credit Suisse | 2.030% | CPI Urban Consumer NSA | 5/3/2022 | 15,000,000 | 15,115,969 | 115,969 | ||||||||||||
Credit Suisse | 2.035% | CPI Urban Consumer NSA | 5/2/2021 | 10,000,000 | 10,046,877 | 46,877 | ||||||||||||
Credit Suisse | 2.075% | CPI Urban Consumer NSA | 1/8/2021 | 20,000,000 | 20,098,321 | 98,321 | ||||||||||||
Credit Suisse | 2.119% | CPI Urban Consumer NSA | 4/12/2022 | 25,000,000 | 25,067,084 | 67,084 | ||||||||||||
Credit Suisse | 2.1275% | CPI Urban Consumer NSA | 11/14/2024 | 60,000,000 | 60,791,545 | 791,545 | ||||||||||||
Credit Suisse | 2.140% | CPI Urban Consumer NSA | 7/20/2029 | 5,000,000 | 5,123,087 | 123,087 | ||||||||||||
Credit Suisse | 2.1438% | CPI Urban Consumer NSA | 12/14/2026 | 10,000,000 | 10,152,127 | 152,127 | ||||||||||||
Credit Suisse | 2.207% | CPI Urban Consumer NSA | 1/8/2027 | 10,000,000 | 10,101,014 | 101,014 | ||||||||||||
Credit Suisse | 2.285% | CPI Urban Consumer NSA | 5/31/2028 | 10,000,000 | 10,036,583 | 36,583 | ||||||||||||
Credit Suisse | 2.310% | CPI Urban Consumer NSA | 6/1/2028 | 10,000,000 | 10,013,418 | 13,418 | ||||||||||||
Credit Suisse | 2.335% | CPI Urban Consumer NSA | 11/21/2036 | 10,000,000 | 10,023,543 | 23,543 | ||||||||||||
Credit Suisse | 2.335% | CPI Urban Consumer NSA | 11/17/2036 | 8,000,000 | 8,019,537 | 19,537 | ||||||||||||
Unrealized Appreciation on Centrally Cleared CPI Swaps | $ | 4,231,942 |
244 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Central Clearingparty* | Payments to be Made By The Fund at Termination Date | Payments to be Received By The Fund at Termination Date | Termination Date | Notional Amount | Fair Value | Unrealized Depreciation | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.2775% | 2/16/2028 | $ | 15,000,000 | $ | 14,931,355 | $ | (68,645 | ) | ||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.250% | 3/21/2024 | 10,000,000 | 9,991,758 | (8,242 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.0363% | 11/21/2022 | 10,000,000 | 9,875,861 | (124,139 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.030% | 10/25/2019 | 10,000,000 | 9,926,431 | (73,569 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.9351% | 6/9/2022 | 10,000,000 | 9,837,916 | (162,084 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.811% | 10/3/2018 | 20,000,000 | 19,801,372 | (198,628 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.790% | 4/27/2024 | 30,000,000 | 28,782,166 | (1,217,834 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.6675% | 6/30/2026 | 7,000,000 | 6,562,322 | (437,678 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.485% | 1/14/2021 | 20,000,000 | 19,383,713 | (616,287 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.445% | 2/3/2021 | 15,000,000 | 14,493,883 | (506,117 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.390% | 11/13/2018 | 20,000,000 | 19,660,578 | (339,422 | ) | |||||||||||
Credit Suisse | 2.339% | CPI Urban Consumer NSA | 3/14/2029 | 10,000,000 | 9,962,314 | (37,686 | ) | |||||||||||
Credit Suisse | 2.340% | CPI Urban Consumer NSA | 3/23/2032 | 5,000,000 | 4,987,554 | (12,446 | ) | |||||||||||
Credit Suisse | 2.344% | CPI Urban Consumer NSA | 3/15/2029 | 5,000,000 | 4,977,861 | (22,139 | ) | |||||||||||
Credit Suisse | 2.354% | CPI Urban Consumer NSA | 3/6/2032 | 5,000,000 | 4,984,292 | (15,708 | ) | |||||||||||
Credit Suisse | 2.355% | CPI Urban Consumer NSA | 3/8/2032 | 10,000,000 | 9,963,359 | (36,641 | ) | |||||||||||
Credit Suisse | 2.3625% | CPI Urban Consumer NSA | 1/23/2033 | 5,000,000 | 4,994,071 | (5,929 | ) | |||||||||||
Credit Suisse | 2.3625% | CPI Urban Consumer NSA | 1/25/2033 | 5,000,000 | 4,993,941 | (6,059 | ) | |||||||||||
Credit Suisse | 2.3625% | CPI Urban Consumer NSA | 3/21/2032 | 5,000,000 | 4,972,315 | (27,685 | ) | |||||||||||
Credit Suisse | 2.365% | CPI Urban Consumer NSA | 1/30/2038 | 10,000,000 | 9,975,834 | (24,166 | ) | |||||||||||
Credit Suisse | 2.370% | CPI Urban Consumer NSA | 2/28/2038 | 5,000,000 | 4,981,895 | (18,105 | ) | |||||||||||
Credit Suisse | 2.370% | CPI Urban Consumer NSA | 4/18/2030 | 25,000,000 | 24,867,639 | (132,361 | ) | |||||||||||
Credit Suisse | 2.393% | CPI Urban Consumer NSA | 5/11/2028 | 10,000,000 | 9,917,488 | (82,512 | ) | |||||||||||
Credit Suisse | 2.400% | CPI Urban Consumer NSA | 4/26/2030 | 10,000,000 | 9,910,828 | (89,172 | ) | |||||||||||
Credit Suisse | 2.4075% | CPI Urban Consumer NSA | 5/21/2028 | 5,000,000 | 4,956,325 | (43,675 | ) | |||||||||||
Credit Suisse | 2.5475% | CPI Urban Consumer NSA | 4/20/2021 | 8,000,000 | 7,335,280 | (664,720 | ) | |||||||||||
Credit Suisse | 2.6725% | CPI Urban Consumer NSA | 1/28/2021 | 15,000,000 | 13,716,155 | (1,283,845 | ) |
See Notes to Financial Statements. | 245 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUND May 31, 2018
Central Clearingparty* | Payments to be Made By The Fund at Termination Date | Payments to be Received By The Fund at Termination Date | Termination Date | Notional Amount | Fair Value | Unrealized Depreciation | ||||||||||||
Credit Suisse | 2.735% | CPI Urban Consumer NSA | 5/13/2019 | $ | 12,000,000 | $ | 10,855,861 | $ | (1,144,139 | ) | ||||||||
Credit Suisse | 2.7875% | CPI Urban Consumer NSA | 6/8/2026 | 5,000,000 | 4,295,902 | (704,098 | ) | |||||||||||
Unrealized Depreciation on Centrally Cleared CPI Swaps | $ | (8,103,731 | ) |
* | Central Clearinghouse: London Clearing House (LCH) |
The following is a summary of the inputs used as of May 31, 2018 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2)(3) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | ||||||||||||||||
Other | $ | – | $ | 99,266,635 | $ | 2,681,173 | $ | 101,947,808 | ||||||||
Remaining Industries | – | 198,002,528 | – | 198,002,528 | ||||||||||||
Common Stocks | ||||||||||||||||
Electric: Power | 1,310 | – | – | 1,310 | ||||||||||||
Oil | 1,551 | 26,603 | – | 28,154 | ||||||||||||
Convertible Bonds | – | 3,594,007 | – | 3,594,007 | ||||||||||||
Corporate Bonds | – | 479,176,635 | – | 479,176,635 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Biotechnology Research & Production | – | – | 1,702,142 | 1,702,142 | ||||||||||||
Chemicals | – | 1,591,103 | 1,343,576 | 2,934,679 | ||||||||||||
Computer Software | – | – | 830,960 | 830,960 | ||||||||||||
Containers | – | – | 465,441 | 465,441 | ||||||||||||
Electrical Equipment | – | – | 1,201,596 | 1,201,596 | ||||||||||||
Health Care Products | – | – | 2,100,319 | 2,100,319 | ||||||||||||
Health Care Services | – | – | 42,911 | 42,911 | ||||||||||||
Lodging | – | – | 2,247,806 | 2,247,806 | ||||||||||||
Machinery: Industrial/Specialty | – | – | 376,406 | 376,406 | ||||||||||||
Miscellaneous | – | 370,571 | 1,028,245 | 1,398,816 | ||||||||||||
Office Furniture & Business Equipment | – | – | 350,402 | 350,402 | ||||||||||||
Oil | – | – | 304,047 | 304,047 | ||||||||||||
Oil: Crude Producers | – | – | 316,207 | 316,207 | ||||||||||||
Real Estate Investment Trusts | – | 3,534,935 | 5,126,400 | 8,661,335 | ||||||||||||
Retail | – | 4,015,538 | 1,792,127 | 5,807,665 | ||||||||||||
Remaining Industries | – | 7,772,811 | – | 7,772,811 | ||||||||||||
Foreign Government Obligations | – | 28,562,885 | – | 28,562,885 | ||||||||||||
Government Sponsored Enterprises | ||||||||||||||||
Collateralized Mortgage Obligations | – | 34,398,438 | – | 34,398,438 | ||||||||||||
Government Sponsored Enterprises | ||||||||||||||||
Pass-Throughs | – | 8,902,732 | – | 8,902,732 | ||||||||||||
Municipal Bonds | – | 3,405,630 | – | 3,405,630 | ||||||||||||
Non-Agency Commercial | ||||||||||||||||
Mortgage-Backed Securities | – | 274,808,782 | 5,877,787 | 280,686,569 | ||||||||||||
Preferred Stock | – | 99,960 | – | 99,960 | ||||||||||||
U.S. Treasury Obligations | – | 68,911,345 | – | 68,911,345 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | – | 659,356 | – | 659,356 | ||||||||||||
Convertible Bond | – | 562,281 | – | 562,281 | ||||||||||||
Corporate Bonds | – | 305,491 | – | 305,491 | ||||||||||||
Repurchase Agreement | – | 12,946,260 | – | 12,946,260 | ||||||||||||
Total | $ | 2,861 | $ | 1,230,914,526 | $ | 27,787,545 | $ | 1,258,704,932 |
246 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(concluded)
INFLATION FOCUSED FUND May 31, 2018
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
CPI Swaps | ||||||||||||||||
Assets | $ | – | $ | 16,775,269 | $ | – | $ | 16,775,269 | ||||||||
Liabilities | – | (102,025,734 | ) | – | (102,025,734 | ) | ||||||||||
Centrally Cleared CPI Swaps | ||||||||||||||||
Assets | – | 4,231,942 | – | 4,231,942 | ||||||||||||
Liabilities | – | (8,103,731 | ) | – | (8,103,731 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 14,282 | – | 14,282 | ||||||||||||
Liabilities | – | – | – | – | ||||||||||||
Futures Contracts | ||||||||||||||||
Assets | 721,102 | – | – | 721,102 | ||||||||||||
Liabilities | (25,877 | ) | – | – | (25,877 | ) | ||||||||||
Total | $ | 695,225 | $ | (89,107,972 | ) | $ | – | $ | (88,412,747 | ) |
(1) | Refer to Note 2(s) for a description of fair value measurements and the three-tier hierarchy of inputs. |
(2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. The table above is presented by Investment Type. Industries are presented within an Investment Type should such Investment Type include securities classified as two or more levels within the three-tier fair value hierarchy. Each Level 3 security is identified on the Schedule of Investments along with the valuation technique utilized. |
(3) | There were no Level 1/Level 2 transfers during the period ended May 31, 2018. |
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
Non-Agency | ||||||||||||||||||||
Commercial | ||||||||||||||||||||
Mortgage- | ||||||||||||||||||||
Asset-Backed | Convertible | Floating | Foreign | Backed | ||||||||||||||||
Investment Type | Securities | Bonds | Rate Loans | Bonds | Securities | |||||||||||||||
Balance as of December 1, 2017 | $ | 7,309,817 | $ | 849 | $ | 21,234,163 | $ | 1,119 | $ | 14,761,341 | ||||||||||
Accrued Discounts (Premiums) | – | – | 3,308 | – | (394,955 | ) | ||||||||||||||
Realized Gain (Loss) | – | 1,065 | 28,677 | 1,202 | 57,696 | |||||||||||||||
Change in Unrealized Appreciation (Depreciation) | – | 6,081 | (6,377 | ) | 8,217 | (6,377 | ) | |||||||||||||
Purchases | 2,681,173 | – | 11,031,754 | – | 2,662,000 | |||||||||||||||
Sales | – | (7,995 | ) | (13,798,781 | ) | (10,538 | ) | (6,150,066 | ) | |||||||||||
Transfers into Level 3 | – | – | 735,841 | – | – | |||||||||||||||
Transfers out of Level 3 | (7,309,817 | ) | – | – | – | (5,051,852 | ) | |||||||||||||
Balance as of May 31, 2018 | $ | 2,681,173 | $ | – | $ | 19,228,585 | $ | – | $ | 5,877,787 | ||||||||||
Change in unrealized appreciation/depreciation for period ended May 31, 2018, related to Level 3 investments held at May 31, 2018 | $ | – | $ | – | $ | (8,739 | ) | $ | – | $ | 26,072 |
See Notes to Financial Statements. | 247 |
Schedule of Investments (unaudited)
SHORT DURATION CORE BOND FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
LONG-TERM INVESTMENTS 96.61% | ||||||||||||
ASSET-BACKED SECURITIES 41.51% | ||||||||||||
Automobiles 21.02% | ||||||||||||
ACC Trust 2018-1 A† | 3.70% | 12/21/2020 | $ | 100 | $ | 100,116 | ||||||
Ally Auto Receivables Trust 2014-3 C | 2.14% | 7/15/2020 | 18 | 17,969 | ||||||||
American Credit Acceptance Receivables Trust 2015-3 C† | 4.84% | 10/12/2021 | 20 | 20,202 | ||||||||
American Credit Acceptance Receivables Trust 2018-1 A† | 2.72% | 3/10/2021 | 26 | 25,887 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-3 A2A | 1.69% | 12/18/2020 | 5 | 5,103 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-3 B | 2.24% | 6/19/2023 | 84 | 82,687 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-4 A3 | 2.04% | 7/18/2022 | 76 | 75,016 | ||||||||
Bank of The West Auto Trust 2017-1 A3† | 2.11% | 1/15/2023 | 100 | 98,460 | ||||||||
California Republic Auto Receivables Trust 2015-3 B | 2.70% | 9/15/2021 | 50 | 49,793 | ||||||||
California Republic Auto Receivables Trust 2017-1 B | 2.91% | 12/15/2022 | 39 | 38,207 | ||||||||
CarFinance Capital Auto Trust 2015-1A A† | 1.75% | 6/15/2021 | 11 | 10,689 | ||||||||
CarMax Auto Owner Trust 2016-3 A4 | 1.60% | 1/18/2022 | 50 | 48,782 | ||||||||
CarMax Auto Owner Trust 2016-4 A3 | 1.40% | 8/15/2021 | 25 | 24,678 | ||||||||
CarMax Auto Owner Trust 2017-3 A3 | 1.97% | 4/15/2022 | 28 | 27,608 | ||||||||
CarMax Auto Owner Trust 2017-3 A4 | 2.22% | 11/15/2022 | 11 | 10,790 | ||||||||
Chesapeake Funding II LLC 2016-1A A1† | 2.11% | 3/15/2028 | 93 | 92,687 | ||||||||
Chesapeake Funding II LLC 2017-2A A1† | 1.99% | 5/15/2029 | 90 | 88,643 | ||||||||
Chesapeake Funding II LLC 2017-3A A1† | 1.91% | 8/15/2029 | 93 | 91,870 | ||||||||
Chrysler Capital Auto Receivables Trust 2016-AA A3† | 1.77% | 10/15/2020 | 22 | 21,542 | ||||||||
CPS Auto Receivables Trust 2017-D C† | 3.01% | 10/17/2022 | 100 | 99,098 | ||||||||
Drive Auto Receivables Trust 2015-BA E† | 5.15% | 8/15/2022 | 50 | 50,861 | ||||||||
Drive Auto Receivables Trust 2016-BA D† | 4.53% | 8/15/2023 | 31 | 31,601 | ||||||||
Drive Auto Receivables Trust 2017-1 D | 3.84% | 3/15/2023 | 110 | 111,080 | ||||||||
Drive Auto Receivables Trust 2017-BA C† | 2.61% | 8/16/2021 | 45 | 45,018 | ||||||||
Exeter Automobile Receivables Trust 2017-3A A† | 2.05% | 12/15/2021 | 83 | 82,912 | ||||||||
Exeter Automobile Receivables Trust 2017-3A B† | 2.81% | 9/15/2022 | 33 | 32,673 | ||||||||
Fifth Third Auto Trust 2017-1 A4 | 2.03% | 7/15/2024 | 33 | 32,231 | ||||||||
First Investors Auto Owner Trust 2017-3A A1† | 2.00% | 3/15/2022 | 7 | 7,377 | ||||||||
First Investors Auto Owner Trust 2017-3A A2† | 2.41% | 12/15/2022 | 10 | 9,876 | ||||||||
First Investors Auto Owner Trust 2017-3A B† | 2.72% | 4/17/2023 | 10 | 9,838 |
248 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Automobiles (continued) | ||||||||||||
Flagship Credit Auto Trust 2017-3 B† | 2.59% | 7/15/2022 | $ | 10 | $ | 9,898 | ||||||
Flagship Credit Auto Trust 2017-4 A† | 2.07% | 4/15/2022 | 8 | 7,666 | ||||||||
Ford Credit Auto Owner Trust 2016-A C | 2.19% | 7/15/2022 | 50 | 49,592 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 A3† | 3.24% | 9/15/2022 | 100 | 99,888 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 B† | 3.53% | 4/17/2023 | 100 | 99,924 | ||||||||
GM Financial Consumer Automobile 2017-1A B† | 2.30% | 6/16/2023 | 2 | 1,964 | ||||||||
Huntington Auto Trust 2015-1 B | 1.95% | 6/15/2021 | 65 | 64,866 | ||||||||
NextGear Floorplan Master Owner Trust 2015-2A A† | 2.38% | 10/15/2020 | 100 | 99,903 | ||||||||
Santander Drive Auto Receivables Trust 2015-1 C | 2.57% | 4/15/2021 | 17 | 16,709 | ||||||||
Santander Drive Auto Receivables Trust 2016-1 D | 4.02% | 4/15/2022 | 65 | 65,911 | ||||||||
Santander Drive Auto Receivables Trust 2017-2 A2 | 1.60% | 3/16/2020 | 6 | 5,812 | ||||||||
Santander Drive Auto Receivables Trust 2017-2 B | 2.21% | 10/15/2021 | 6 | 5,970 | ||||||||
Santander Drive Auto Receivables Trust 2017-2 C | 2.79% | 8/15/2022 | 8 | 7,967 | ||||||||
TCF Auto Receivables Owner Trust 2016-PT1A B† | 2.92% | 10/17/2022 | 23 | 22,697 | ||||||||
Total | 2,002,061 | |||||||||||
Credit Cards 4.60% | ||||||||||||
BA Credit Card Trust 2016-A1 A | 2.309% (1 Mo. LIBOR + .39% | )# | 10/15/2021 | 50 | 50,139 | |||||||
Barclays Dryrock Issuance Trust 2014-3 A | 2.41% | 7/15/2022 | 100 | 99,573 | ||||||||
Barclays Dryrock Issuance Trust 2016-1 A | 1.52% | 5/16/2022 | 50 | 49,358 | ||||||||
Capital One Multi-Asset Execution Trust 2015-A5 | 1.60% | 5/17/2021 | 55 | 54,951 | ||||||||
Chase Issuance Trust 2014-A2 A2 | 2.77% | 3/15/2023 | 10 | 9,958 | ||||||||
World Financial Network Credit Card Master Trust 2012-D A | 2.15% | 4/17/2023 | 28 | 27,880 | ||||||||
World Financial Network Credit Card Master Trust 2012-D B | 3.34% | 4/17/2023 | 42 | 42,035 | ||||||||
World Financial Network Credit Card Master Trust 2016-A | 2.03% | 4/15/2025 | 48 | 47,485 | ||||||||
World Financial Network Credit Card Master Trust 2017-B A | 1.98% | 6/15/2023 | 16 | 15,864 | ||||||||
World Financial Network Credit Card Master Trust 2017-C A | 2.31% | 8/15/2024 | 29 | 28,533 | ||||||||
World Financial Network Credit Card Master Trust 2017-C M | 2.66% | 8/15/2024 | 13 | 12,817 | ||||||||
Total | 438,593 |
See Notes to Financial Statements. | 249 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Other 15.89% | ||||||||||||
Access Point Funding I LLC 2017-A† | 3.06% | 4/15/2029 | $ | 150 | $ | 149,637 | ||||||
Ascentium Equipment Receivables Trust 2016-2A A2† | 1.46% | 4/10/2019 | 8 | 7,851 | ||||||||
Ascentium Equipment Receivables Trust 2017-1A A2† | 1.87% | 7/10/2019 | 4 | 3,878 | ||||||||
Ascentium Equipment Receivables Trust 2017-1A A3† | 2.29% | 6/10/2021 | 2 | 1,979 | ||||||||
CNH Equipment Trust 2014-C A4 | 1.65% | 9/15/2021 | 30 | 29,927 | ||||||||
Diamond Resorts Owner Trust 2016-1 A† | 3.08% | 11/20/2028 | 35 | 34,368 | ||||||||
DLL LLC 2018-1 A3† | 3.10% | 4/18/2022 | 100 | 100,399 | ||||||||
DLL Securitization Trust 2017-A A4† | 2.43% | 11/17/2025 | 100 | 97,931 | ||||||||
Engs Commercial Finance Trust 2018-1A A1† | 2.97% | 2/22/2021 | 93 | 92,699 | ||||||||
GreatAmerica Leasing Receivables Funding LLC Series 2015-1 C† | 2.68% | 6/20/2022 | 50 | 49,984 | ||||||||
Leaf Receivables Funding 12 LLC 2017-1 A3† | 2.07% | 8/15/2020 | 96 | 95,628 | ||||||||
Massachusetts Educational Financing Authority 2008-1 A1 | 3.31% (3 Mo. LIBOR + .95% | )# | 4/25/2038 | 155 | 155,991 | |||||||
OneMain Financial Issuance Trust 2015-1A A† | 3.19% | 3/18/2026 | 64 | 64,721 | ||||||||
OneMain Financial Issuance Trust 2016-1A A† | 3.66% | 2/20/2029 | 100 | 100,924 | ||||||||
PFS Financing Corp. 2018-B A† | 2.89% | 2/15/2023 | 100 | 99,238 | ||||||||
SCF Equipment Leasing LLC 2017-2A A† | 3.41% | 12/20/2023 | 90 | 88,873 | ||||||||
SCF Equipment Leasing LLC 2018-1A A1† | 2.81% | 4/20/2021 | 100 | 100,217 | ||||||||
SCF Equipment Leasing LLC 2018-1A A2† | 3.63% | 10/20/2024 | 100 | 100,517 | ||||||||
Taco Bell Funding LLC 2016-1A A2I† | 3.832% | 5/25/2046 | 39 | 39,563 | ||||||||
Towd Point Asset Trust 2018-SL1 A†(a) | 2.583% (1 Mo. LIBOR + .60% | )# | 1/25/2046 | 100 | 99,598 | (b) | ||||||
Total | 1,513,923 | |||||||||||
Total Asset-Backed Securities (cost $3,972,075) | 3,954,577 | |||||||||||
CORPORATE BONDS 36.00% | ||||||||||||
Automotive 3.42% | ||||||||||||
Ford Motor Credit Co. LLC | 8.125% | 1/15/2020 | 100 | 107,693 | ||||||||
General Motors Financial Co., Inc. | 2.40% | 5/9/2019 | 9 | 8,961 | ||||||||
General Motors Financial Co., Inc. | 3.15% | 6/30/2022 | 23 | 22,451 | ||||||||
General Motors Financial Co., Inc. | 3.20% | 7/6/2021 | 46 | 45,578 | ||||||||
General Motors Financial Co., Inc. | 4.20% | 3/1/2021 | 40 | 40,756 | ||||||||
Hyundai Capital America† | 2.40% | 10/30/2018 | 25 | 24,949 | ||||||||
Hyundai Capital America† | 2.875% | 8/9/2018 | 75 | 75,027 | ||||||||
Total | 325,415 |
250 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Banks: Regional 7.10% | ||||||||||||
Bank of America Corp. | 2.328% | #(c) | 10/1/2021 | $ | 7 | $ | 6,856 | |||||
Bank of America Corp. | 2.369% | #(c) | 7/21/2021 | 4 | 3,929 | |||||||
BankAmerica Capital III | 2.918% (3 Mo. LIBOR + .57% | )# | 1/15/2027 | 25 | 25,006 | |||||||
Barclays Bank plc (United Kingdom)†(d) | 10.179% | 6/12/2021 | 80 | 93,136 | ||||||||
Compass Bank | 5.50% | 4/1/2020 | 19 | 19,671 | ||||||||
Credit Suisse AG | 5.40% | 1/14/2020 | 65 | 67,269 | ||||||||
Goldman Sachs Group, Inc. (The) | 2.625% | 1/31/2019 | 50 | 50,024 | ||||||||
Goldman Sachs Group, Inc. (The) | 2.876% | #(c) | 10/31/2022 | 11 | 10,734 | |||||||
HSBC USA, Inc. | 9.30% | 6/1/2021 | 27 | 31,131 | ||||||||
Lloyds Bank plc (United Kingdom)†(d) | 6.50% | 9/14/2020 | 100 | 106,520 | ||||||||
Macquarie Group Ltd. (Australia)†(d) | 6.00% | 1/14/2020 | 56 | 58,318 | ||||||||
Macquarie Group Ltd. (Australia)†(d) | 7.625% | 8/13/2019 | 80 | 84,207 | ||||||||
Santander UK Group Holdings plc (United Kingdom)(d) | 3.125% | 1/8/2021 | 80 | 79,323 | ||||||||
Santander UK plc (United Kingdom)(d) | 2.50% | 3/14/2019 | 40 | 39,944 | ||||||||
Total | 676,068 | |||||||||||
Beverages 0.12% | ||||||||||||
Maple Escrow Subsidiary, Inc.† | 4.057% | 5/25/2023 | 11 | 11,076 | ||||||||
Building Materials 0.41% | ||||||||||||
Holcim US Finance Sarl & Cie SCS (Luxembourg)†(d) | 6.00% | 12/30/2019 | 6 | 6,258 | ||||||||
Johnson Controls International plc | 5.00% | 3/30/2020 | 5 | 5,183 | ||||||||
Martin Marietta Materials, Inc. | 2.979% (3 Mo. LIBOR + .65% | )# | 5/22/2020 | 8 | 8,037 | |||||||
Vulcan Materials Co. | 2.725% (3 Mo. LIBOR + .60% | )# | 6/15/2020 | 10 | 10,005 | |||||||
Vulcan Materials Co. | 2.95% (3 Mo. LIBOR + .65% | )# | 3/1/2021 | 10 | 10,017 | |||||||
Total | 39,500 | |||||||||||
Business Services 0.03% | ||||||||||||
Equifax, Inc. | 3.60% | 8/15/2021 | 3 | 3,009 | ||||||||
Chemicals 1.03% | ||||||||||||
Celanese US Holdings LLC | 5.875% | 6/15/2021 | 4 | 4,259 | ||||||||
Yara International ASA (Norway)†(d) | 7.875% | 6/11/2019 | 90 | 93,941 | ||||||||
Total | 98,200 | |||||||||||
Computer Hardware 0.44% | ||||||||||||
Dell International LLC/EMC Corp.† | 3.48% | 6/1/2019 | 13 | 13,053 | ||||||||
Dell International LLC/EMC Corp.† | 5.45% | 6/15/2023 | 27 | 28,428 | ||||||||
Total | 41,481 |
See Notes to Financial Statements. | 251 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Computer Software 0.17% | ||||||||||||
Activision Blizzard, Inc.† | 6.125% | 9/15/2023 | $ | 16 | $ | 16,654 | ||||||
Drugs 0.59% | ||||||||||||
CVS Health Corp. | 3.125% | 3/9/2020 | 8 | 8,014 | ||||||||
CVS Health Corp. | 3.35% | 3/9/2021 | 20 | 20,052 | ||||||||
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)(d) | 1.70% | 7/19/2019 | 29 | 28,339 | ||||||||
Total | 56,405 | |||||||||||
Electric: Power 5.00% | ||||||||||||
Ausgrid Finance Pty Ltd. (Australia)†(d) | 3.85% | 5/1/2023 | 16 | 16,096 | ||||||||
Dominion Energy, Inc.† | 1.50% | 9/30/2018 | 40 | 39,851 | ||||||||
Dominion Energy, Inc. | 2.50% | 12/1/2019 | 60 | 59,565 | ||||||||
Dominion Energy, Inc. | 2.962% | 7/1/2019 | 20 | 19,975 | ||||||||
Duquesne Light Holdings, Inc.† | 6.40% | 9/15/2020 | 37 | 39,350 | ||||||||
Emera US Finance LP | 2.15% | 6/15/2019 | 23 | 22,764 | ||||||||
Entergy Corp. | 5.125% | 9/15/2020 | 75 | 77,825 | ||||||||
Florida Power & Light Co. | 2.643% (3 Mo. LIBOR + .28% | )# | 11/6/2020 | 20 | 20,001 | |||||||
ITC Holdings Corp.† | 5.50% | 1/15/2020 | 30 | 31,009 | ||||||||
NV Energy, Inc. | 6.25% | 11/15/2020 | 17 | 18,249 | ||||||||
Pennsylvania Electric Co. | 5.20% | 4/1/2020 | 45 | 46,280 | ||||||||
PNM Resources, Inc. | 3.25% | 3/9/2021 | 4 | 3,987 | ||||||||
PPL WEM Ltd./Western Power Distribution Ltd. (United Kingdom)†(d) | 5.375% | 5/1/2021 | 25 | 26,172 | ||||||||
Puget Energy, Inc. | 6.00% | 9/1/2021 | 20 | 21,446 | ||||||||
San Diego Gas & Electric Co. | 1.914% | 2/1/2022 | 20 | 19,514 | ||||||||
SCANA Corp. | 4.125% | 2/1/2022 | 1 | 987 | ||||||||
SCANA Corp. | 4.75% | 5/15/2021 | 4 | 4,044 | ||||||||
SCANA Corp. | 6.25% | 4/1/2020 | 4 | 4,140 | ||||||||
Sempra Energy | 2.848% (3 Mo. LIBOR + .50% | )# | 1/15/2021 | 5 | 5,007 | |||||||
Total | 476,262 | |||||||||||
Electrical Equipment 0.21% | ||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 2.375% | 1/15/2020 | 10 | 9,889 | ||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 2.65% | 1/15/2023 | 8 | 7,590 | ||||||||
Microchip Technology, Inc.† | 3.922% | 6/1/2021 | 3 | 3,017 | ||||||||
Total | 20,496 | |||||||||||
Electronics 0.55% | ||||||||||||
PerkinElmer, Inc. | 5.00% | 11/15/2021 | 50 | 52,431 |
252 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Financial Services 2.80% | ||||||||||||
Discover Financial Services | 5.20% | 4/27/2022 | $ | 65 | $ | 68,019 | ||||||
E*TRADE Financial Corp. | 2.95% | 8/24/2022 | 2 | 1,952 | ||||||||
International Lease Finance Corp. | 5.875% | 4/1/2019 | 30 | 30,659 | ||||||||
International Lease Finance Corp. | 8.25% | 12/15/2020 | 36 | 40,102 | ||||||||
Jefferies Group LLC | 8.50% | 7/15/2019 | 101 | 106,882 | ||||||||
Lazard Group LLC | 4.25% | 11/14/2020 | 19 | 19,442 | ||||||||
Total | 267,056 | |||||||||||
Health Care Products 0.90% | ||||||||||||
Becton Dickinson & Co. | 2.944% (3 Mo. LIBOR + .88% | )# | 12/29/2020 | 6 | 6,016 | |||||||
Life Technologies Corp. | 5.00% | 1/15/2021 | 28 | 29,047 | ||||||||
Life Technologies Corp. | 6.00% | 3/1/2020 | 48 | 50,228 | ||||||||
Total | 85,291 | |||||||||||
Household Equipment/Products 0.10% | ||||||||||||
Newell Brands, Inc. | 3.85% | 4/1/2023 | 10 | 9,956 | ||||||||
Insurance 0.68% | ||||||||||||
Liberty Mutual Group, Inc.† | 5.00% | 6/1/2021 | 15 | 15,659 | ||||||||
Willis North America, Inc. | 7.00% | 9/29/2019 | 42 | 44,047 | ||||||||
WR Berkley Corp. | 5.375% | 9/15/2020 | 5 | 5,233 | ||||||||
Total | 64,939 | |||||||||||
Machinery: Agricultural 0.28% | ||||||||||||
Bunge Ltd. Finance Corp. | 8.50% | 6/15/2019 | 25 | 26,345 | ||||||||
Manufacturing 0.84% | ||||||||||||
General Electric Co. | 5.50% | 1/8/2020 | 77 | 80,060 | ||||||||
Media 1.07% | ||||||||||||
NBCUniversal Enterprise, Inc.† | 5.25% | – | (e) | 100 | 102,250 | |||||||
Metals & Minerals: Miscellaneous 1.05% | ||||||||||||
FMG Resources (August 2006) Pty Ltd. (Australia)†(d) | 9.75% | 3/1/2022 | 6 | 6,303 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(d) | 4.95% | 11/15/2021 | 63 | 65,572 | ||||||||
Glencore Funding LLC† | 4.125% | 5/30/2023 | 3 | 3,001 | ||||||||
Goldcorp, Inc. (Canada)(d) | 3.625% | 6/9/2021 | 25 | 25,075 | ||||||||
Total | 99,951 | |||||||||||
Metals & Mining: Miscellaneous 0.10% | ||||||||||||
Southern Copper Corp. (Peru)(d) | 5.375% | 4/16/2020 | 9 | 9,382 | ||||||||
See Notes to Financial Statements. | 253 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Oil 1.22% | ||||||||||||
Continental Resources, Inc. | 4.50% | 4/15/2023 | $ | 15 | $ | 15,282 | ||||||
Continental Resources, Inc. | 5.00% | 9/15/2022 | 46 | 46,751 | ||||||||
Encana Corp. (Canada)(d) | 6.50% | 5/15/2019 | 17 | 17,515 | ||||||||
Motiva Enterprises LLC† | 5.75% | 1/15/2020 | 20 | 20,718 | ||||||||
Nexen Energy ULC (Canada)(d) | 6.20% | 7/30/2019 | 9 | 9,326 | ||||||||
Phillips 66 | 2.919% (3 Mo. LIBOR + .60% | )# | 2/26/2021 | 2 | 2,004 | |||||||
Pioneer Natural Resources Co. | 7.50% | 1/15/2020 | 4 | 4,276 | ||||||||
Total | 115,872 | |||||||||||
Oil: Crude Producers 5.92% | ||||||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. | 6.25% | 10/15/2022 | 52 | 54,275 | ||||||||
Buckeye Partners LP | 2.65% | 11/15/2018 | 43 | 42,951 | ||||||||
Buckeye Partners LP | 5.50% | 8/15/2019 | 25 | 25,690 | ||||||||
Columbia Pipeline Group, Inc. | 3.30% | 6/1/2020 | 4 | 3,993 | ||||||||
Enbridge Energy Partners LP | 4.20% | 9/15/2021 | 25 | 25,313 | ||||||||
Enbridge Energy Partners LP | 9.875% | 3/1/2019 | 21 | 22,070 | ||||||||
Energy Transfer Partners LP/Regency Energy Finance Corp. | 5.875% | 3/1/2022 | 50 | 53,157 | ||||||||
Florida Gas Transmission Co. LLC† | 5.45% | 7/15/2020 | 18 | 18,739 | ||||||||
Florida Gas Transmission Co. LLC† | 7.90% | 5/15/2019 | 25 | 26,077 | ||||||||
Kinder Morgan Energy Partners LP | 6.85% | 2/15/2020 | 45 | 47,601 | ||||||||
Magellan Midstream Partners LP | 6.55% | 7/15/2019 | 20 | 20,769 | ||||||||
MPLX LP | 5.50% | 2/15/2023 | 31 | 31,737 | ||||||||
Northern Natural Gas Co.† | 4.25% | 6/1/2021 | 25 | 25,530 | ||||||||
Sabine Pass Liquefaction LLC | 5.625% | 2/1/2021 | 100 | 104,859 | ||||||||
Spectra Energy Partners LP | 4.60% | 6/15/2021 | 20 | 20,613 | ||||||||
Sunoco Logistics Partners Operations LP | 4.40% | 4/1/2021 | 5 | 5,101 | ||||||||
Texas Eastern Transmission LP† | 4.125% | 12/1/2020 | 10 | 10,162 | ||||||||
Western Gas Partners LP | 2.60% | 8/15/2018 | 25 | 24,987 | ||||||||
Total | 563,624 | |||||||||||
Real Estate Investment Trusts 1.80% | ||||||||||||
HCP, Inc. | 5.375% | 2/1/2021 | 25 | 26,148 | ||||||||
Kilroy Realty LP | 6.625% | 6/1/2020 | 40 | 42,550 | ||||||||
Liberty Property LP | 4.75% | 10/1/2020 | 25 | 25,786 | ||||||||
Senior Housing Properties Trust | 3.25% | 5/1/2019 | 15 | 15,014 | ||||||||
VEREIT Operating Partnership LP | 3.00% | 2/6/2019 | 62 | 62,024 | ||||||||
Total | 171,522 |
254 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Telecommunications 0.17% | ||||||||||||
Vodafone Group plc (United Kingdom)(d) | 3.308% (3 Mo. LIBOR + .99% | )# | 1/16/2024 | $ | 7 | $ | 6,986 | |||||
Vodafone Group plc (United Kingdom)(d) | 3.75% | 1/16/2024 | 9 | 8,963 | ||||||||
Total | 15,949 | |||||||||||
Total Corporate Bonds (cost $3,450,017) | 3,429,194 | |||||||||||
FLOATING RATE LOANS(f) 0.24% | ||||||||||||
Beverages 0.08% | ||||||||||||
Keurig Green Mountain, Inc. 2017 Term Loan A | 3.06% (1 Wk. LIBOR + 1.25% | ) | 3/3/2021 | 8 | 7,815 | |||||||
Computer Hardware 0.12% | ||||||||||||
Dell International LLC Replacement Term Loan A3 | 3.49% (1 Mo. LIBOR + 1.50% | ) | 12/31/2018 | 11 | 10,787 | |||||||
Investment Management Companies 0.04% | ||||||||||||
RPI Finance Trust Term Loan A4 | 3.802% (2 Mo. LIBOR + 1.50% | ) | 5/4/2022 | 4 | 3,885 | |||||||
Total Floating Rate Loans (cost $22,484) | 22,487 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS(d) 2.62% | ||||||||||||
Canada 0.57% | ||||||||||||
Province of Ontario Canada | 2.20% | 10/3/2022 | 56 | 54,008 | ||||||||
Iraq 2.05% | ||||||||||||
Iraq Government AID Bond | 2.149% | 1/18/2022 | 200 | 195,697 | ||||||||
Total Foreign Government Obligations (cost $254,896) | 249,705 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 0.86% | ||||||||||||
Government National Mortgage Assoc. 2014-112 A | 3.00% | #(g) | 1/16/2048 | 18 | 17,226 | |||||||
Government National Mortgage Assoc. 2017-100 AS | 2.75% | 2/16/2058 | 6 | 5,710 | ||||||||
Government National Mortgage Assoc. 2017-168 AS | 2.70% | 8/16/2058 | 21 | 20,233 | ||||||||
Government National Mortgage Assoc. 2017-69 AS | 2.75% | 2/16/2058 | 15 | 14,199 | ||||||||
Government National Mortgage Assoc. 2017-71 AS | 2.70% | 4/16/2057 | 14 | 13,898 | ||||||||
Government National Mortgage Assoc. 2017-86 AS | 2.75% | 2/16/2058 | 6 | 5,751 | ||||||||
Government National Mortgage Assoc. 2017-89 AB | 2.60% | 7/16/2058 | 5 | 4,770 | ||||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $84,350) | 81,787 | |||||||||||
MUNICIPAL BOND 0.06% | ||||||||||||
Miscellaneous | ||||||||||||
Illinois (cost $6,016) | 4.95% | 6/1/2023 | 6 | 6,176 |
See Notes to Financial Statements. | 255 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 14.07% | ||||||||||||
Bancorp Commercial Mortgage Trust (The) 2018-CR3 A† | 2.769% | #(g) | 1/15/2033 | $ | 10 | $ | 10,006 | |||||
BBCMS Mortgage Trust 2017-GLKS B† | 3.119% (1 Mo. LIBOR + 1.20% | )# | 11/15/2034 | 20 | 20,036 | |||||||
BBCMS Mortgage Trust 2017-GLKS C† | 3.319% (1 Mo. LIBOR + 1.40% | )# | 11/15/2034 | 20 | 20,022 | |||||||
BX Commercial Mortgage Trust 2018-BIOA A† | 2.59% | #(g) | 3/15/2037 | 45 | 45,061 | |||||||
BX Trust 2017-APPL D† | 3.969% (1 Mo. LIBOR + 2.05% | )# | 7/15/2034 | 14 | 13,646 | |||||||
BX Trust 2017-SLCT C† | 3.319% (1 Mo. LIBOR + 1.40% | )# | 7/15/2034 | 35 | 35,099 | |||||||
BX Trust 2017-SLCT D† | 3.969% (1 Mo. LIBOR + 2.05% | )# | 7/15/2034 | 15 | 15,061 | |||||||
BX Trust 2018-GW A† | 2.70% | #(g) | 5/15/2035 | 24 | 24,049 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI A† | 3.531% | 10/15/2034 | 85 | 85,657 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI B† | 3.835% | 10/15/2034 | 77 | 77,638 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI C† | 4.138% | 10/15/2034 | 50 | 50,740 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI D† | 4.354% | #(g) | 10/15/2034 | 10 | 10,132 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI XB IO† | 0.393% | #(g) | 10/15/2034 | 1,000 | 16,904 | |||||||
CFCRE Commercial Mortgage Trust 2018-TAN A† | 4.236% | 2/15/2033 | 78 | 79,880 | ||||||||
Citigroup Commercial Mortgage Trust 2015-GC27 AAB | 2.944% | 2/10/2048 | 10 | 9,892 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-CR6 A2 | 2.122% | 3/10/2046 | 5 | 5,019 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-CR8 A4 | 3.334% | 6/10/2046 | 50 | 50,090 | ||||||||
Great Wolf Trust 2017-WOLF D† | 4.169% (1 Mo. LIBOR + 2.10% | )# | 9/15/2034 | 30 | 30,169 | |||||||
Hilton Orlando Trust 2018-ORL A† | 2.689% (1 Mo. LIBOR + .77% | )# | 12/15/2034 | 28 | 28,070 | |||||||
HMH Trust 2017-NSS C† | 3.787% | 7/5/2031 | 28 | 27,429 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI A† | 2.798% | 10/5/2031 | 40 | 39,379 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI C† | 3.554% | 10/5/2031 | 24 | 23,753 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI D† | 4.009% | #(g) | 10/5/2031 | 24 | 23,701 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-FL11 D† | 4.059% (1 Mo. LIBOR + 2.14% | )# | 10/15/2032 | 34 | 34,036 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MAUI C† | 3.178% (1 Mo. LIBOR + 1.25% | )# | 7/15/2034 | 35 | 35,125 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MAUI D† | 3.878% (1 Mo. LIBOR + 1.95% | )# | 7/15/2034 | 20 | 20,110 | |||||||
LSTAR Commercial Mortgage Trust 2014-2 A2† | 2.767% | 1/20/2041 | 7 | 6,684 |
256 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
LSTAR Commercial Mortgage Trust 2015-3 A2† | 2.729% | #(g) | 4/20/2048 | $ | 22 | $ | 22,183 | |||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9 A2 | 1.97% | 5/15/2046 | 1 | 1,478 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14 A5 | 4.064% | 2/15/2047 | 40 | 41,387 | ||||||||
Morgan Stanley Capital Barclays Bank Trust 2016-MART A† | 2.20% | 9/13/2031 | 95 | 92,125 | ||||||||
Morgan Stanley Capital I Trust 2012-C4 AS | 3.773% | 3/15/2045 | 25 | 25,131 | ||||||||
Motel 6 Trust 2017-MTL6 C† | 3.319% (1 Mo. LIBOR + 1.40% | )# | 8/15/2034 | 10 | 9,818 | |||||||
Motel 6 Trust 2017-MTL6 D† | 4.069% (1 Mo. LIBOR + 2.15% | )# | 8/15/2034 | 22 | 21,660 | |||||||
MSCG Trust 2015-ALDR A1† | 2.612% | 6/7/2035 | 54 | 51,665 | ||||||||
MSCG Trust 2016-SNR A† | 3.348% | #(g) | 11/15/2034 | 25 | 24,382 | |||||||
ReadyCap Commercial Mortgage Trust 2018-4 A† | 3.39% | 2/27/2051 | 25 | 24,838 | ||||||||
Stonemont Portfolio Trust 2017-MONT D† | 3.998% (1 Mo. LIBOR + 2.05% | )# | 8/20/2030 | 20 | 20,025 | |||||||
UBS-Citigroup Commercial Mortgage Trust 2011-C1 A3 | 3.595% | 1/10/2045 | 9 | 9,062 | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-C26 ASB | 2.991% | 2/15/2048 | 10 | 9,903 | ||||||||
West Town Mall Trust 2017-KNOX C† | 4.346% | #(g) | 7/5/2030 | 15 | 14,833 | |||||||
West Town Mall Trust 2017-KNOX D† | 4.346% | #(g) | 7/5/2030 | 15 | 14,480 | |||||||
WF-RBS Commercial Mortgage Trust 2011-C2 A4† | 4.869% | #(g) | 2/15/2044 | 39 | 40,684 | |||||||
WF-RBS Commercial Mortgage Trust 2012-C10 A3 | 2.875% | 12/15/2045 | 10 | 9,831 | ||||||||
WF-RBS Commercial Mortgage Trust 2012-C7 B | 4.759% | #(g) | 6/15/2045 | 25 | 25,681 | |||||||
WF-RBS Commercial Mortgage Trust 2012-C9 A3 | 2.87% | 11/15/2045 | 25 | 24,505 | ||||||||
WF-RBS Commercial Mortgage Trust 2013-C16 A2 | 3.223% | 9/15/2046 | 20 | 19,579 | ||||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $1,349,549) | 1,340,638 | |||||||||||
U.S. TREASURY OBLIGATIONS 1.25% | ||||||||||||
U.S. Treasury Note | 1.875% | 4/30/2022 | 24 | 23,321 | ||||||||
U.S. Treasury Note | 2.75% | 5/31/2023 | 95 | 95,287 | ||||||||
Total U.S. Treasury Obligations (cost $119,344) | 118,608 | |||||||||||
Total Long-Term Investments (cost $9,258,731) | 9,203,172 | |||||||||||
SHORT-TERM INVESTMENTS 4.62% | ||||||||||||
CORPORATE BONDS 2.75% | ||||||||||||
Automotive 0.16% | ||||||||||||
Nissan Motor Acceptance Corp.† | 2.65% | 9/26/2018 | 15 | 15,006 |
See Notes to Financial Statements. | 257 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional 0.80% | ||||||||||||
Santander Holdings USA, Inc. | 2.70% | 5/24/2019 | $ | 77 | $ | 76,629 | ||||||
Business Services 0.16% | ||||||||||||
Total System Services, Inc. | 2.375% | 6/1/2018 | 15 | 15,000 | ||||||||
Computer Hardware 0.11% | ||||||||||||
HP, Inc. | 3.288% (3 Mo. LIBOR + .94% | )# | 1/14/2019 | 10 | 10,025 | |||||||
Electric: Power 0.02% | ||||||||||||
South Carolina Electric & Gas Co. | 6.50% | 11/1/2018 | 2 | 2,030 | ||||||||
Financial Services 0.26% | ||||||||||||
International Lease Finance Corp. | 7.125% | 9/1/2018 | 10 | 10,100 | ||||||||
International Lease Finance Corp.† | 7.125% | 9/1/2018 | 15 | 15,151 | ||||||||
Total | 25,251 | |||||||||||
Manufacturing 0.11% | ||||||||||||
Pentair Finance Sarl (Luxembourg)(d) | 2.90% | 9/15/2018 | 10 | 10,017 | ||||||||
Metals & Minerals: Miscellaneous 0.30% | ||||||||||||
Glencore Funding LLC† | 2.50% | 1/15/2019 | 2 | 1,998 | ||||||||
Glencore Funding LLC† | 3.125% | 4/29/2019 | 27 | 26,977 | ||||||||
Total | 28,975 | |||||||||||
Oil 0.22% | ||||||||||||
Anadarko Petroleum Corp. | 8.70% | 3/15/2019 | 20 | 20,866 | ||||||||
Oil: Crude Producers 0.61% | ||||||||||||
Kinder Morgan Energy Partners LP | 2.65% | 2/1/2019 | 1 | 997 | ||||||||
Kinder Morgan, Inc. | 7.25% | 6/1/2018 | 5 | 5,000 | ||||||||
ONEOK Partners LP | 8.625% | 3/1/2019 | 50 | 52,086 | ||||||||
Total | 58,083 | |||||||||||
Total Corporate Bonds (cost $262,022) | 261,882 | |||||||||||
REPURCHASE AGREEMENT 1.87% | ||||||||||||
Repurchase Agreement dated 5/31/2018, 0.90% due 6/1/2018 with Fixed Income Clearing Corp. collateralized by $190,000 of U.S. Treasury Note at 1.625% due 8/31/2022; value: $183,060; proceeds: $177,653 (cost $177,649) | 178 | 177,649 | ||||||||||
Total Short-Term Investments (cost $439,671) | 439,531 | |||||||||||
Total Investments in Securities 101.23% (cost $9,698,402) | 9,642,703 | |||||||||||
Liabilities in Excess of Other Assets(h) (1.23%) | (116,874 | ) | ||||||||||
Net Assets 100.00% | $ | 9,525,829 |
258 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2018
IO | Interest Only. | |
LIBOR | London Interbank Offered Rate. | |
† | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers. | |
# | Variable rate security. The interest rate represents the rate in effect at May 31, 2018. | |
(a) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(b) | Level 3 Investment as described in Note 2(s) in the Notes to Financials. Security valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments. | |
(c) | Variable Rate is Fixed to Float: Rate remains fixed until designated future date. | |
(d) | Foreign security traded in U.S. dollars. | |
(e) | Security is perpetual in nature and has no stated maturity. | |
(f) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at May 31, 2018. | |
(g) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(h) | Liabilities in Excess of Cash and Other Assets include net unrealized appreciation/depreciation on credit default swaps and futures contracts as follows: |
Credit Default Swaps on Indexes – Sell Protection at May 31, 2018(1):
Credit | |||||||||||||||||||||||
Default | |||||||||||||||||||||||
Swap | |||||||||||||||||||||||
Agreements | |||||||||||||||||||||||
Fund | Receivable | ||||||||||||||||||||||
Referenced | Swap | Receives | Termination | Notional | Notional | Payments | Unrealized | (Payable) at | |||||||||||||||
Index* | Counterparty | (quarterly) | Date | Amount | Value | Upfront(2) | Appreciation(3) | Fair Value(4) | |||||||||||||||
Markit CMBX. NA.AA.6 | Morgan Stanley | 1.50% | 5/11/2063 | $160,000 | $161,991 | $ | (1,305 | ) | $3,296 | $1,991 | |||||||||||||
Markit CMBX. NA.A.6 | Morgan Stanley | 2.00% | 5/11/2063 | 78,000 | 77,149 | (4,163 | ) | 3,312 | (851 | ) | |||||||||||||
$ | (5,468 | ) | $6,608 | $1,140 |
* | The Referenced Index is for the Credit Default Swaps on Indexes, which is comprised of a basket of commercial mortgage-backed securities. (See Note 2(q)). |
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities. |
(2) | Upfront payments received are presented net of amortization (See Note 2(q)). |
(3) | Total unrealized appreciation on Credit Default Swaps on Indexes amounted to $6,608. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $0. |
(4) | Includes upfront payments received. |
See Notes to Financial Statements. | 259 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUND May 31, 2018
Open Futures Contracts at May 31, 2018:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | |||||||||
U.S. 2-Year Treasury Note | September 2018 | 4 | Long | $848,057 | $848,938 | $ | 881 | ||||||||
U.S. 5-Year Treasury Note | September 2018 | 2 | Short | (228,364) | (227,781) | 583 | |||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 1,464 | |||||||||||||
The following is a summary of the inputs used as of May 31, 2018 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2)(3) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | ||||||||||||||||
Other | $ | – | $ | 1,414,325 | $ | 99,598 | $ | 1,513,923 | ||||||||
Remaining Industries | – | 2,440,654 | – | 2,440,654 | ||||||||||||
Corporate Bonds | – | 3,429,194 | – | 3,429,194 | ||||||||||||
Floating Rate Loans | – | 22,487 | – | 22,487 | ||||||||||||
Foreign Government Obligations | – | 249,705 | – | 249,705 | ||||||||||||
Government Sponsored Enterprises | ||||||||||||||||
Collateralized Mortgage Obligations | – | 81,787 | – | 81,787 | ||||||||||||
Municipal Bond | – | 6,176 | – | 6,176 | ||||||||||||
Non-Agency Commercial | ||||||||||||||||
Mortgage-Backed Securities | – | 1,340,638 | – | 1,340,638 | ||||||||||||
U.S. Treasury Obligations | – | 118,608 | – | 118,608 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Corporate Bonds | – | 261,882 | – | 261,882 | ||||||||||||
Repurchase Agreement | – | 177,649 | – | 177,649 | ||||||||||||
Total | $ | – | $ | 9,543,105 | $ | 99,598 | $ | 9,642,703 | ||||||||
Other Financial Instruments | ||||||||||||||||
Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 1,991 | $ | – | $ | 1,991 | ||||||||
Liabilities | – | (851 | ) | – | (851 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 1,464 | – | – | 1,464 | ||||||||||||
Liabilities | – | – | – | – | ||||||||||||
Total | $ | 1,464 | $ | 1,140 | $ | – | $ | 2,604 |
(1) | Refer to Note 2(s) for a description of fair value measurements and the three-tier hierarchy of inputs. |
(2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. The table above is presented by Investment Type. Industries are presented within an Investment Type should such Investment Type include securities classified as two or more levels within the three-tier fair value hierarchy. Each level 3 security is identified on the Schedule of Investments along with the valuation technique utilized. |
(3) | There were no Level 1/Level 2 transfers during the period ended May 31, 2018. |
260 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(concluded)
SHORT DURATION CORE BOND FUND May 31, 2018
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
Asset-Backed | ||||
Investment Type | Securities | |||
Balance as of December 1, 2017 | $ | 119,983 | ||
Accrued Discounts (Premiums) | – | |||
Realized Gain (Loss) | – | |||
Change in Unrealized Appreciation (Depreciation) | – | |||
Purchases | 99,598 | |||
Sales | – | |||
Transfers into Level 3 | – | |||
Transfers out of Level 3 | (119,983 | ) | ||
Balance as of May 31, 2018 | $ | 99,598 | ||
Change in unrealized appreciation/depreciation for period ended May 31, 2018, related to Level 3 investments held at May 31, 2018 | $ | – |
See Notes to Financial Statements. | 261 |
Schedule of Investments (unaudited)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 98.82% | ||||||||||||
ASSET-BACKED SECURITIES 25.85% | ||||||||||||
Automobiles 10.13% | ||||||||||||
ACC Trust 2018-1 A† | 3.70% | 12/21/2020 | $ | 42,170 | $ | 42,218,888 | ||||||
Ally Auto Receivables Trust 2015-2 A3 | 1.49% | 11/15/2019 | 2,728 | 2,724,353 | ||||||||
American Credit Acceptance Receivables Trust 2015-3 C† | 4.84% | 10/12/2021 | 6,240 | 6,303,136 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-2 C | 2.87% | 11/8/2021 | 2,478 | 2,477,899 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-3 A3 | 1.46% | 5/10/2021 | 34,073 | 33,865,507 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-3 B | 1.80% | 10/8/2021 | 24,251 | 23,902,164 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-4 A2A | 1.34% | 4/8/2020 | 5,218 | 5,212,386 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-1 A2A | 1.51% | 5/18/2020 | 10,985 | 10,962,048 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-2 B | 2.40% | 5/18/2022 | 31,699 | 31,375,683 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-2 C | 2.97% | 3/20/2023 | 49,146 | 48,900,029 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-3 A2A | 1.69% | 12/18/2020 | 30,776 | 30,640,834 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-3 B | 2.24% | 6/19/2023 | 22,616 | 22,262,494 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-4 A3 | 2.04% | 7/18/2022 | 71,384 | 70,460,070 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-4 B | 2.36% | 12/19/2022 | 30,598 | 30,093,069 | ||||||||
Avid Automobile Receivables Trust 2018-1 A† | 2.84% | 8/15/2023 | 11,611 | 11,557,975 | ||||||||
Avis Budget Rental Car Funding AESOP LLC 2013-2A† | 2.97% | 2/20/2020 | 20,660 | 20,676,569 | ||||||||
Avis Budget Rental Car Funding AESOP LLC 2014-1A† | 2.46% | 7/20/2020 | 36,257 | 36,130,398 | ||||||||
Avis Budget Rental Car Funding AESOP LLC 2015-2A† | 2.63% | 12/20/2021 | 11,729 | 11,589,165 | ||||||||
Bank of The West Auto Trust 2017-1 A3† | 2.11% | 1/15/2023 | 71,411 | 70,311,599 | ||||||||
Bank of The West Auto Trust 2017-1 A4† | 2.33% | 9/15/2023 | 18,282 | 17,884,546 | ||||||||
California Republic Auto Receivables Trust 2015-2 A4 | 1.75% | 1/15/2021 | 12,222 | 12,157,237 |
262 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
California Republic Auto Receivables Trust 2015-3 A4 | 2.13% | 5/17/2021 | $ | 27,995 | $ | 27,903,767 | ||||||
California Republic Auto Receivables Trust 2015-4 A3† | 2.04% | 1/15/2020 | 308 | 308,092 | ||||||||
California Republic Auto Receivables Trust 2015-4 A4† | 2.58% | 6/15/2021 | 31,505 | 31,494,131 | ||||||||
California Republic Auto Receivables Trust 2015-4 B† | 3.73% | 11/15/2021 | 20,140 | 20,228,753 | ||||||||
California Republic Auto Receivables Trust 2016-1 A3 | 1.89% | 5/15/2020 | 12,003 | 11,990,532 | ||||||||
California Republic Auto Receivables Trust 2016-1 A4 | 2.24% | 10/15/2021 | 8,021 | 7,975,711 | ||||||||
California Republic Auto Receivables Trust 2016-2 A3 | 1.56% | 7/15/2020 | 7,647 | 7,629,174 | ||||||||
California Republic Auto Receivables Trust 2016-2 A4 | 1.83% | 12/15/2021 | 21,996 | 21,760,436 | ||||||||
California Republic Auto Receivables Trust 2017-1 A2 | 1.55% | 11/15/2019 | 3,652 | 3,649,599 | ||||||||
Capital Auto Receivables Asset Trust 2014-3 C† | 2.71% | 11/20/2019 | 10,110 | 10,111,746 | ||||||||
Capital Auto Receivables Asset Trust 2014-3 E | 3.94% | 4/20/2023 | 8,400 | 8,434,495 | ||||||||
Capital Auto Receivables Asset Trust 2015-1 E | 4.34% | 9/20/2023 | 66,350 | 66,838,860 | ||||||||
Capital Auto Receivables Asset Trust 2015-3 B | 2.43% | 9/21/2020 | 25,135 | 25,089,018 | ||||||||
Capital Auto Receivables Asset Trust 2015-3 C | 2.90% | 12/21/2020 | 23,813 | 23,836,770 | ||||||||
Capital Auto Receivables Asset Trust 2015-3 D | 3.34% | 3/22/2021 | 21,169 | 21,243,612 | ||||||||
Capital Auto Receivables Asset Trust 2016-1 A4 | 1.98% | 10/20/2020 | 12,190 | 12,133,510 | ||||||||
Capital Auto Receivables Asset Trust 2016-1 B | 2.67% | 12/21/2020 | 19,417 | 19,389,296 | ||||||||
Capital Auto Receivables Asset Trust 2016-2 A3 | 1.46% | 6/22/2020 | 16,385 | 16,344,473 | ||||||||
Capital Auto Receivables Asset Trust 2016-2 A4 | 1.63% | 1/20/2021 | 26,077 | 25,846,693 | ||||||||
Capital Auto Receivables Asset Trust 2016-2 B | 2.11% | 3/22/2021 | 2,811 | 2,784,545 | ||||||||
Capital Auto Receivables Asset Trust 2017-1 A2† | 1.76% | 6/22/2020 | 39,741 | 39,609,796 | ||||||||
Capital Auto Receivables Asset Trust 2017-1 A3† | 2.02% | 8/20/2021 | 20,450 | 20,209,471 | ||||||||
Capital Auto Receivables Asset Trust 2017-1 A4† | 2.22% | 3/21/2022 | 12,437 | 12,232,737 | ||||||||
CarMax Auto Owner Trust 2015-4 D | 3.00% | 5/16/2022 | 3,116 | 3,104,518 | ||||||||
CarMax Auto Owner Trust 2016-3 A3 | 1.39% | 5/17/2021 | 44,792 | 44,407,424 | ||||||||
CarMax Auto Owner Trust 2016-3 A4 | 1.60% | 1/18/2022 | 45,167 | 44,066,529 | ||||||||
CarMax Auto Owner Trust 2016-4 A2 | 1.21% | 11/15/2019 | 5,000 | 4,992,956 | ||||||||
CarMax Auto Owner Trust 2016-4 A3 | 1.40% | 8/15/2021 | 23,723 | 23,417,341 | ||||||||
CarMax Auto Owner Trust 2016-4 A4 | 1.60% | 6/15/2022 | 18,529 | 17,967,101 | ||||||||
CarMax Auto Owner Trust 2017-3 A2A | 1.64% | 9/15/2020 | 68,284 | 67,990,216 | ||||||||
CarMax Auto Owner Trust 2017-3 A3 | 1.97% | 4/15/2022 | 125,334 | 123,578,948 |
See Notes to Financial Statements. | 263 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
CarMax Auto Owner Trust 2017-3 A4 | 2.22% | 11/15/2022 | $ | 37,114 | $ | 36,404,525 | ||||||
CarMax Auto Owner Trust 2017-3 B | 2.44% | 2/15/2023 | 12,944 | 12,697,004 | ||||||||
CarMax Auto Owner Trust 2017-3 C | 2.72% | 5/15/2023 | 15,857 | 15,606,504 | ||||||||
CarMax Auto Owner Trust 2017-4 A3 | 2.11% | 10/17/2022 | 91,078 | 89,847,700 | ||||||||
Chesapeake Funding II LLC 2016-1A A1† | 2.11% | 3/15/2028 | 17,259 | 17,212,826 | ||||||||
Chesapeake Funding II LLC 2016-2A A1† | 1.88% | 6/15/2028 | 70,804 | 70,437,397 | ||||||||
Chesapeake Funding II LLC 2017-2A A1† | 1.99% | 5/15/2029 | 50,914 | 50,414,857 | ||||||||
Chesapeake Funding II LLC 2017-3A A1† | 1.91% | 8/15/2029 | 110,776 | 109,385,289 | ||||||||
Chesapeake Funding II LLC 2017-4A A1† | 2.12% | 11/15/2029 | 108,802 | 107,605,929 | ||||||||
Chrysler Capital Auto Receivables Trust 2015-AA A4† | 1.55% | 2/18/2020 | 5,198 | 5,195,189 | ||||||||
Chrysler Capital Auto Receivables Trust 2015-BA B† | 2.70% | 12/15/2020 | 5,872 | 5,873,752 | ||||||||
Chrysler Capital Auto Receivables Trust 2016-AA A3† | 1.77% | 10/15/2020 | 28,582 | 28,517,691 | ||||||||
CPS Auto Receivables Trust 2016-B A† | 2.07% | 11/15/2019 | 72 | 72,149 | ||||||||
CPS Auto Receivables Trust 2016-B D† | 6.58% | 3/15/2022 | 13,845 | 14,594,841 | ||||||||
CPS Auto Receivables Trust 2017-C A† | 1.78% | 9/15/2020 | 16,250 | 16,185,961 | ||||||||
CPS Auto Receivables Trust 2017-C B† | 2.30% | 7/15/2021 | 8,261 | 8,195,290 | ||||||||
CPS Auto Receivables Trust 2017-D† | 3.73% | 9/15/2023 | 8,345 | 8,320,871 | ||||||||
CPS Auto Receivables Trust 2017-D B† | 2.43% | 1/18/2022 | 5,431 | 5,377,206 | ||||||||
CPS Auto Receivables Trust 2017-D C† | 3.01% | 10/17/2022 | 8,036 | 7,963,495 | ||||||||
CPS Auto Receivables Trust 2018-B A† | 2.72% | 9/15/2021 | 15,918 | 15,914,557 | ||||||||
CPS Auto Receivables Trust 2018-B B† | 3.23% | 7/15/2022 | 11,465 | 11,463,136 | ||||||||
CPS Auto Receivables Trust 2018-B C† | 3.58% | 3/15/2023 | 12,992 | 12,992,767 | ||||||||
Drive Auto Receivables Trust 2015-AA C† | 3.06% | 5/17/2021 | 7,365 | 7,375,273 | ||||||||
Drive Auto Receivables Trust 2015-BA C† | 2.76% | 7/15/2021 | 716 | 716,587 | ||||||||
Drive Auto Receivables Trust 2015-BA D† | 3.84% | 7/15/2021 | 2,900 | 2,920,017 | ||||||||
Drive Auto Receivables Trust 2015-BA E† | 5.15% | 8/15/2022 | 32,350 | 32,907,277 | ||||||||
Drive Auto Receivables Trust 2015-CA C† | 3.01% | 5/17/2021 | 10,874 | 10,889,863 | ||||||||
Drive Auto Receivables Trust 2015-DA C† | 3.38% | 11/15/2021 | 23,942 | 23,995,947 | ||||||||
Drive Auto Receivables Trust 2015-DA D† | 4.59% | 1/17/2023 | 41,590 | 42,327,532 | ||||||||
Drive Auto Receivables Trust 2016-BA C† | 3.19% | 7/15/2022 | 27,754 | 27,813,226 | ||||||||
Drive Auto Receivables Trust 2016-BA D† | 4.53% | 8/15/2023 | 63,705 | 64,939,832 | ||||||||
Drive Auto Receivables Trust 2016-CA B† | 2.37% | 11/16/2020 | 12,112 | 12,104,939 | ||||||||
Drive Auto Receivables Trust 2016-CA C† | 3.02% | 11/15/2021 | 63,065 | 63,172,438 | ||||||||
Drive Auto Receivables Trust 2016-CA D† | 4.18% | 3/15/2024 | 21,109 | 21,452,648 | ||||||||
Drive Auto Receivables Trust 2017-1 D | 3.84% | 3/15/2023 | 3,410 | 3,443,472 | ||||||||
Drive Auto Receivables Trust 2017-2 B | 2.25% | 6/15/2021 | 28,162 | 28,100,207 | ||||||||
Drive Auto Receivables Trust 2017-2 C | 2.75% | 9/15/2023 | 32,160 | 32,090,859 | ||||||||
Drive Auto Receivables Trust 2017-2 D | 3.49% | 9/15/2023 | 137,019 | 136,146,734 |
264 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Drive Auto Receivables Trust 2017-AA D† | 4.16% | 5/15/2024 | $ | 14,904 | $ | 15,159,529 | ||||||
Drive Auto Receivables Trust 2017-BA B† | 2.20% | 5/15/2020 | 19,459 | 19,470,718 | ||||||||
Drive Auto Receivables Trust 2017-BA C† | 2.61% | 8/16/2021 | 44,046 | 44,063,583 | ||||||||
Drive Auto Receivables Trust 2017-BA D† | 3.72% | 10/17/2022 | 35,827 | 36,085,900 | ||||||||
Exeter Automobile Receivables Trust 2014-3A D† | 5.69% | 4/15/2021 | 8,720 | 8,912,750 | ||||||||
Exeter Automobile Receivables Trust 2017-3A A† | 2.05% | 12/15/2021 | 35,577 | 35,392,414 | ||||||||
Exeter Automobile Receivables Trust 2017-3A B† | 2.81% | 9/15/2022 | 37,187 | 36,818,547 | ||||||||
Fifth Third Auto Trust 2017-1 A4 | 2.03% | 7/15/2024 | 28,165 | 27,508,313 | ||||||||
First Investors Auto Owner Trust 2017-1A A1† | 1.69% | 4/15/2021 | 10,598 | 10,555,926 | ||||||||
First Investors Auto Owner Trust 2017-3A A1† | 2.00% | 3/15/2022 | 28,993 | 28,813,809 | ||||||||
First Investors Auto Owner Trust 2018-1A B† | 3.51% | 5/15/2023 | 8,540 | 8,539,523 | ||||||||
Flagship Credit Auto Trust 2015-2 A† | 1.98% | 10/15/2020 | 4,271 | 4,265,891 | ||||||||
Flagship Credit Auto Trust 2015-3 A† | 2.38% | 10/15/2020 | 3,484 | 3,482,042 | ||||||||
Flagship Credit Auto Trust 2016-2 A2† | 3.05% | 8/16/2021 | 46,238 | 46,309,692 | ||||||||
Flagship Credit Auto Trust 2016-4 A2† | 1.96% | 2/16/2021 | 4,610 | 4,594,862 | ||||||||
Flagship Credit Auto Trust 2017-3 A† | 1.88% | 10/15/2021 | 33,152 | 32,939,946 | ||||||||
Flagship Credit Auto Trust 2017-3 B† | 2.59% | 7/15/2022 | 24,950 | 24,695,243 | ||||||||
Flagship Credit Auto Trust 2017-4 A† | 2.07% | 4/15/2022 | 45,221 | 44,877,957 | ||||||||
Ford Credit Auto Owner Trust 2016-C A2A | 1.04% | 9/15/2019 | 10,755 | 10,737,797 | ||||||||
Ford Credit Auto Owner Trust 2017-2 B† | 2.60% | 3/15/2029 | 8,257 | 7,945,595 | ||||||||
Ford Credit Auto Owner Trust/Ford Credit 2014-1 A† | 2.26% | 11/15/2025 | 5,502 | 5,482,103 | ||||||||
Honda Auto Receivables Owner Trust 2016-4 A2 | 1.04% | 4/18/2019 | 6,842 | 6,834,711 | ||||||||
Huntington Auto Trust 2016-1 A3 | 1.59% | 11/16/2020 | 67,060 | 66,694,380 | ||||||||
Hyundai Floorplan Master Owner Trust 2016-1A A1† | 2.819% (1 Mo. LIBOR + .90% | )# | 3/15/2021 | 14,807 | 14,919,832 | |||||||
Hyundai Floorplan Master Owner Trust 2016-1A A2† | 1.81% | 3/15/2021 | 17,194 | 17,078,587 | ||||||||
Mercedes-Benz Auto Receivables Trust 2015-1 A3 | 1.34% | 12/16/2019 | 12,253 | 12,224,020 | ||||||||
NextGear Floorplan Master Owner Trust 2015-2A A† | 2.38% | 10/15/2020 | 55,811 | 55,756,958 | ||||||||
NextGear Floorplan Master Owner Trust 2016-1A A2† | 2.74% | 4/15/2021 | 56,589 | 56,574,128 | ||||||||
Nissan Auto Receivables Owner Trust 2016-A A3 | 1.34% | 10/15/2020 | 33,962 | 33,737,054 | ||||||||
Nissan Auto Receivables Owner Trust 2016-B A3 | 1.32% | 1/15/2021 | 37,580 | 37,237,579 | ||||||||
OSCAR US Funding Trust V 2016-2A A2A† | 2.31% | 11/15/2019 | 1,151 | 1,149,897 | ||||||||
Santander Drive Auto Receivables Trust 2013-5 D | 2.73% | 10/15/2019 | 1,430 | 1,430,003 | ||||||||
Santander Drive Auto Receivables Trust 2014-2 E† | 3.76% | 7/15/2021 | 27,800 | 27,891,167 | ||||||||
Santander Drive Auto Receivables Trust 2014-3 E† | 3.49% | 9/15/2021 | 24,555 | 24,668,326 | ||||||||
Santander Drive Auto Receivables Trust 2014-4 C | 2.60% | 11/16/2020 | 1,149 | 1,149,498 | ||||||||
Santander Drive Auto Receivables Trust 2014-5 E | 4.23% | 4/15/2022 | 41,595 | 42,094,676 |
See Notes to Financial Statements. | 265 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Santander Drive Auto Receivables Trust 2015-1 C | 2.57% | 4/15/2021 | $ | 10,277 | $ | 10,275,772 | ||||||
Santander Drive Auto Receivables Trust 2015-1 D | 3.24% | 4/15/2021 | 6,305 | 6,326,547 | ||||||||
Santander Drive Auto Receivables Trust 2015-3 C | 2.74% | 1/15/2021 | 27,180 | 27,183,248 | ||||||||
Santander Drive Auto Receivables Trust 2015-4 C | 2.97% | 3/15/2021 | 28,059 | 28,105,571 | ||||||||
Santander Drive Auto Receivables Trust 2015-5 D | 3.65% | 12/15/2021 | 28,059 | 28,273,438 | ||||||||
Santander Drive Auto Receivables Trust 2016-1 D | 4.02% | 4/15/2022 | 18,954 | 19,219,728 | ||||||||
Santander Drive Auto Receivables Trust 2016-2 B | 2.08% | 2/16/2021 | 18,434 | 18,401,245 | ||||||||
Santander Drive Auto Receivables Trust 2016-3 A3 | 1.50% | 8/17/2020 | 14,688 | 14,667,497 | ||||||||
Santander Drive Auto Receivables Trust 2016-3 B | 1.89% | 6/15/2021 | 21,825 | 21,736,366 | ||||||||
Santander Drive Auto Receivables Trust 2017-1 D | 3.17% | 4/17/2023 | 9,536 | 9,523,198 | ||||||||
Santander Drive Auto Receivables Trust 2017-2 B | 2.21% | 10/15/2021 | 46,296 | 46,065,562 | ||||||||
Santander Drive Auto Receivables Trust 2017-2 C | 2.79% | 8/15/2022 | 59,001 | 58,759,792 | ||||||||
Santander Drive Auto Receivables Trust 2017-2 D | 3.49% | 7/17/2023 | 68,340 | 68,483,213 | ||||||||
Santander Drive Auto Receivables Trust 2017-3 C | 2.76% | 12/15/2022 | 15,068 | 14,953,661 | ||||||||
Santander Drive Auto Receivables Trust 2018-1 C | 2.96% | 3/15/2024 | 37,842 | 37,561,882 | ||||||||
TCF Auto Receivables Owner Trust 2015-1A A4† | 1.96% | 11/16/2020 | 12,815 | 12,787,702 | ||||||||
TCF Auto Receivables Owner Trust 2015-1A D† | 3.53% | 3/15/2022 | 4,862 | 4,834,268 | ||||||||
TCF Auto Receivables Owner Trust 2015-2A B† | 3.00% | 9/15/2021 | 10,457 | 10,435,371 | ||||||||
TCF Auto Receivables Owner Trust 2015-2A C† | 3.75% | 12/15/2021 | 6,591 | 6,617,662 | ||||||||
TCF Auto Receivables Owner Trust 2016-1A A4† | 2.03% | 2/15/2022 | 52,575 | 51,968,963 | ||||||||
TCF Auto Receivables Owner Trust 2016-1A C† | 2.51% | 9/15/2022 | 5,943 | 5,756,431 | ||||||||
TCF Auto Receivables Owner Trust 2016-PT1A A† | 1.93% | 6/15/2022 | 41,586 | 41,179,647 | ||||||||
Toyota Auto Receivables Owner Trust 2016-A A3 | 1.25% | 3/16/2020 | 18,583 | 18,494,725 | ||||||||
Toyota Auto Receivables Owner Trust 2016-D A3 | 1.23% | 10/15/2020 | 29,100 | 28,834,532 | ||||||||
Westlake Automobile Receivables Trust 2016-2A C† | 2.83% | 5/17/2021 | 9,440 | 9,439,671 | ||||||||
Westlake Automobile Receivables Trust 2016-3A B† | 2.07% | 12/15/2021 | 5,684 | 5,669,732 | ||||||||
Westlake Automobile Receivables Trust 2017-1A B† | 2.30% | 10/17/2022 | 14,251 | 14,197,797 | ||||||||
Westlake Automobile Receivables Trust 2017-2A A2A† | 1.80% | 7/15/2020 | 50,349 | 50,182,044 | ||||||||
Westlake Automobile Receivables Trust 2017-2A B† | 2.25% | 12/15/2020 | 52,524 | 52,181,092 | ||||||||
World Omni Auto Receivables Trust 2017-A A3 | 1.93% | 9/15/2022 | 26,916 | 26,627,089 | ||||||||
Total | 4,073,788,488 | |||||||||||
Credit Cards 6.73% | ||||||||||||
American Express Credit Account Master Trust 2013-1 A | 2.339% (1 Mo. LIBOR + .42% | )# | 2/16/2021 | 16,050 | 16,057,136 | |||||||
American Express Credit Account Master Trust 2017-6 A | 2.04% | 5/15/2023 | 120,724 | 118,540,924 | ||||||||
American Express Credit Account Master Trust 2017-7 A | 2.35% | 5/15/2025 | 93,148 | 90,803,157 |
266 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Credit Cards (continued) | ||||||||||||
BA Credit Card Trust 2017-A2 | 1.84% | 1/17/2023 | $ | 186,581 | $ | 182,801,373 | ||||||
Barclays Dryrock Issuance Trust 2016-1 A | 1.52% | 5/16/2022 | 35,395 | 34,940,627 | ||||||||
Barclays Dryrock Issuance Trust 2017-1 A | 2.249% (1 Mo. LIBOR + .33% | )# | 3/15/2023 | 101,590 | 101,978,399 | |||||||
Barclays Dryrock Issuance Trust 2017-2 A | 2.219% (1 Mo. LIBOR + .30% | )# | 5/15/2023 | 168,102 | 168,428,958 | |||||||
Capital One Multi-Asset Execution Trust 2015-A5 | 1.60% | 5/17/2021 | 35,837 | 35,805,127 | ||||||||
Capital One Multi-Asset Execution Trust 2016-A4 | 1.33% | 6/15/2022 | 21,658 | 21,302,670 | ||||||||
Capital One Multi-Asset Execution Trust 2017-A4 | 1.99% | 7/17/2023 | 187,816 | 184,314,697 | ||||||||
Capital One Multi-Asset Execution Trust 2017-A6 | 2.29% | 7/15/2025 | 98,364 | 95,358,980 | ||||||||
Chase Issuance Trust 2012-A4 | 1.58% | 8/16/2021 | 14,915 | 14,731,000 | ||||||||
Chase Issuance Trust 2016-A2 A | 1.37% | 6/15/2021 | 19,161 | 18,927,899 | ||||||||
Citibank Credit Card Issuance Trust 2017-A8 | 1.86% | 8/8/2022 | 139,844 | 136,785,752 | ||||||||
Discover Card Execution Note Trust 2015-A2 A | 1.90% | 10/17/2022 | 9,583 | 9,418,142 | ||||||||
Discover Card Execution Note Trust 2016-A4 | 1.39% | 3/15/2022 | 107,179 | 105,389,550 | ||||||||
Discover Card Execution Note Trust 2017-A6 | 1.88% | 2/15/2023 | 125,489 | 123,214,612 | ||||||||
First National Master Note Trust 2017-2 A | 2.359% (1 Mo. LIBOR + .44% | )# | 10/16/2023 | 123,149 | 123,325,288 | |||||||
Golden Credit Card Trust 2018-1A A† | 2.62% | 1/15/2023 | 114,501 | 113,534,737 | ||||||||
Master Credit Card Trust II Series 2018-1A A† | 2.443% (1 Mo. LIBOR + .49% | )# | 7/22/2024 | 44,390 | 44,403,872 | |||||||
Synchrony Credit Card Master Note Trust 2015-1 A | 2.37% | 3/15/2023 | 18,713 | 18,559,965 | ||||||||
Synchrony Credit Card Master Note Trust 2015-1 B | 2.64% | 3/15/2023 | 9,594 | 9,504,400 | ||||||||
Synchrony Credit Card Master Note Trust 2016-1 A | 2.04% | 3/15/2022 | 28,252 | 28,142,275 | ||||||||
Synchrony Credit Card Master Note Trust 2016-2 A | 2.21% | 5/15/2024 | 134,727 | 131,756,175 | ||||||||
Synchrony Credit Card Master Note Trust 2016-2 B | 2.55% | 5/15/2024 | 42,808 | 42,021,858 | ||||||||
Synchrony Credit Card Master Note Trust 2017-1 A | 1.93% | 6/15/2023 | 74,152 | 72,828,565 | ||||||||
Synchrony Credit Card Master Note Trust 2017-1 B | 2.19% | 6/15/2023 | 33,423 | 32,862,755 | ||||||||
Synchrony Credit Card Master Note Trust 2017-2 A | 2.62% | 10/15/2025 | 95,747 | 93,494,054 | ||||||||
Synchrony Credit Card Master Note Trust 2017-2 B | 2.82% | 10/15/2025 | 36,807 | 35,863,456 | ||||||||
World Financial Network Credit Card Master Trust 2012-A | 3.14% | 1/17/2023 | 12,912 | 12,959,852 | ||||||||
World Financial Network Credit Card Master Trust 2012-D A | 2.15% | 4/17/2023 | 7,680 | 7,647,214 | ||||||||
World Financial Network Credit Card Master Trust 2015-B A | 2.55% | 6/17/2024 | 37,818 | 37,336,860 | ||||||||
World Financial Network Credit Card Master Trust 2016-A | 2.03% | 4/15/2025 | 193,189 | 191,116,951 | ||||||||
World Financial Network Credit Card Master Trust 2016-C M | 1.98% | 8/15/2023 | 7,444 | 7,332,688 |
See Notes to Financial Statements. | 267 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Credit Cards (continued) | ||||||||||||
World Financial Network Credit Card Master Trust 2017-A | 2.12% | 3/15/2024 | $ | 116,291 | $ | 114,440,333 | ||||||
World Financial Network Credit Card Master Trust 2017-B A | 1.98% | 6/15/2023 | 101,152 | 100,290,944 | ||||||||
World Financial Network Credit Card Master Trust 2017-C A | 2.31% | 8/15/2024 | 34,320 | 33,767,084 | ||||||||
Total | 2,709,988,329 | |||||||||||
Home Equity 0.01% | ||||||||||||
Meritage Mortgage Loan Trust 2004-2 M3 | 2.935% (1 Mo. LIBOR + 0.98% | )# | 1/25/2035 | 3,210 | 3,171,682 | |||||||
Other 8.98% | ||||||||||||
Access Point Funding I LLC 2017-A† | 3.06% | 4/15/2029 | 21,670 | 21,562,749 | ||||||||
Allegro CLO IV Ltd. 2016-1A† | 3.748% (3 Mo. LIBOR + 1.40% | )# | 1/15/2029 | 21,328 | 21,400,891 | |||||||
Ammc CLO 19 Ltd. 2016-19A A† | 3.848% (3 Mo. LIBOR + 1.50% | )# | 10/15/2028 | 21,700 | 21,789,128 | |||||||
Anchorage Capital CLO 3-R Ltd. 2014-3RA A† | 3.409% (3 Mo. LIBOR + 1.05% | )# | 1/28/2031 | 34,008 | 34,156,210 | |||||||
Anchorage Capital CLO 4-R Ltd. 2014-4RA A† | 3.409% (3 Mo. LIBOR + 1.05% | )# | 1/28/2031 | 42,636 | 42,652,846 | |||||||
Apollo Credit Funding IV Ltd. 4A A1† | 3.818% (3 Mo. LIBOR + 1.47% | )# | 4/15/2027 | 16,500 | 16,527,822 | |||||||
Arbor Realty Collateralized Loan Obligation Ltd. 2017-FL3 A† | 2.909% (1 Mo. LIBOR + .99% | )# | 12/15/2027 | 47,836 | 47,744,385 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. 2017-FL1 A† | 3.219% (1 Mo. LIBOR + 1.30% | )# | 4/15/2027 | 18,057 | 18,166,826 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. 2017-FL2 A† | 2.909% (1 Mo. LIBOR + .99% | )# | 8/15/2027 | 18,704 | 18,693,799 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. 2018-FL1 A†(a) | 3.059% (1 Mo. LIBOR + 1.15% | )# | 6/15/2028 | 35,293 | 35,304,382 | |||||||
Ares XXXIII CLO Ltd. 2015-1A A1R† | 3.375% (3 Mo. LIBOR + 1.35% | )# | 12/5/2025 | 46,550 | 46,678,580 | |||||||
Ascentium Equipment Receivables Trust 2016-2A A2† | 1.46% | 4/10/2019 | 3,595 | 3,591,042 | ||||||||
Ascentium Equipment Receivables Trust 2016-2A A3† | 1.65% | 5/10/2022 | 23,403 | 23,215,137 | ||||||||
Ascentium Equipment Receivables Trust 2017-1A A3† | 2.29% | 6/10/2021 | 15,436 | 15,276,474 | ||||||||
Ascentium Equipment Receivables Trust 2017-2A A2† | 2.00% | 5/11/2020 | 16,270 | 16,167,780 |
268 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Avery Point V CLO Ltd. 2014-5A AR† | 3.333% (3 Mo. LIBOR + .98% | )# | 7/17/2026 | $ | 15,894 | $ | 15,926,411 | |||||
Avery Point VII CLO Ltd. 2015-7A A1† | 3.848% (3 Mo. LIBOR + 1.50% | )# | 1/15/2028 | 23,500 | 23,612,123 | |||||||
B2R Mortgage Trust 2015-2 A† | 3.336% | 11/15/2048 | 21,289 | 21,228,225 | ||||||||
Birchwood Park CLO Ltd. 2014-1A AR† | 3.528% (3 Mo. LIBOR + 1.18% | )# | 7/15/2026 | 44,750 | 44,786,726 | |||||||
BlueMountain CLO Ltd. 2014-4A A1R† | 3.334% (3 Mo. LIBOR + 1.35% | )# | 11/30/2026 | 44,100 | 44,194,458 | |||||||
Bowman Park CLO Ltd. 2014-1A AR† | 3.51% (3 Mo. LIBOR + 1.18% | )# | 11/23/2025 | 55,500 | 55,570,507 | |||||||
Carlyle Global Market Strategies CLO Ltd. 2013-2A AR† | 3.245% (3 Mo. LIBOR + .89% | )# | 1/18/2029 | 34,850 | 34,832,498 | |||||||
Carlyle Global Market Strategies CLO Ltd. 2014-3A A1AR† | 3.516% (3 Mo. LIBOR + 1.15% | )# | 7/27/2026 | 10,000 | 10,009,059 | |||||||
Carlyle Global Market Strategies CLO Ltd. 2014-4A A1R† | 3.548% (3 Mo. LIBOR + 1.20% | )# | 10/15/2026 | 52,600 | 52,636,820 | |||||||
Cavalry CLO IV Ltd. 2014-4A B1R† | 3.698% (3 Mo. LIBOR + 1.35% | )# | 10/15/2026 | 8,467 | 8,476,319 | |||||||
Cavalry CLO IV Ltd. 2014-4A B2R† | 3.698% (3 Mo. LIBOR + 1.35% | )# | 10/15/2026 | 9,000 | 9,009,905 | |||||||
Cent CLO Ltd. 2013-19A A1A† | 3.689% (3 Mo. LIBOR + 1.33% | )# | 10/29/2025 | 17,849 | 17,881,186 | |||||||
CIFC Funding V Ltd. 2014-5A A1R† | 3.753% (3 Mo. LIBOR + 1.40% | )# | 1/17/2027 | 18,750 | 18,762,098 | |||||||
CNH Equipment Trust 2015-B A4 | 1.89% | 4/15/2022 | 36,108 | 35,880,307 | ||||||||
CNH Equipment Trust 2015-C A3 | 1.66% | 11/16/2020 | 20,563 | 20,488,316 | ||||||||
Dell Equipment Finance Trust 2016-1 A3† | 1.65% | 7/22/2021 | 3,303 | 3,296,918 | ||||||||
Dell Equipment Finance Trust 2016-1 B† | 2.03% | 7/22/2021 | 6,570 | 6,549,218 | ||||||||
Dell Equipment Finance Trust 2017-1 A2† | 1.86% | 6/24/2019 | 8,785 | 8,770,593 | ||||||||
Dell Equipment Finance Trust 2017-1 A3† | 2.14% | 4/22/2022 | 11,474 | 11,420,895 | ||||||||
Diamond Resorts Owner Trust 2015-2 A† | 2.99% | 5/22/2028 | 15,333 | 15,253,711 | ||||||||
Diamond Resorts Owner Trust 2016-1 A† | 3.08% | 11/20/2028 | 6,216 | 6,146,643 | ||||||||
DLL LLC 2018-1 A2† | 2.81% | 11/17/2020 | 14,900 | 14,915,399 | ||||||||
DLL LLC 2018-1 A3† | 3.10% | 4/18/2022 | 107,668 | 108,096,992 | ||||||||
DLL LLC 2018-1 A4† | 3.27% | 4/17/2026 | 64,285 | 64,587,410 | ||||||||
DLL Securitization Trust 2017-A A1† | 1.50% | 11/15/2018 | 7,754 | 7,752,541 | ||||||||
DLL Securitization Trust 2017-A A2† | 1.89% | 7/15/2020 | 36,871 | 36,719,084 | ||||||||
DLL Securitization Trust 2017-A A3† | 2.14% | 12/15/2021 | 32,196 | 31,774,352 | ||||||||
DRB Prime Student Loan Trust 2015-D A2† | 3.20% | 1/25/2040 | 3,848 | 3,853,131 |
See Notes to Financial Statements. | 269 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Dryden 30 Senior Loan Fund 2013-30A AR† | 3.163% (3 Mo. LIBOR + .82% | )# | 11/15/2028 | $ | 94,976 | $ | 94,793,428 | |||||
Dryden 34 Senior Loan Fund 2014-34A A1R† | 2.88% (3 Mo. LIBOR 1.16% | )# | 10/15/2026 | 35,447 | 35,446,904 | |||||||
Dryden XXV Senior Loan Fund 2012-25A BRR† | 3.698% (3 Mo. LIBOR + 1.35% | )# | 10/15/2027 | 36,320 | 36,211,040 | |||||||
Engs Commercial Finance Trust 2015-1A A2† | 2.31% | 10/22/2021 | 5,928 | 5,907,587 | ||||||||
Engs Commercial Finance Trust 2016-1A A2† | 2.63% | 2/22/2022 | 21,789 | 21,553,893 | ||||||||
Ford Credit Floorplan Master Owner Trust 2015-4 A1 | 1.77% | 8/15/2020 | 45,145 | 45,080,867 | ||||||||
Ford Credit Floorplan Master Owner Trust 2017-2 A1 | 2.16% | 9/15/2022 | 74,609 | 73,433,975 | ||||||||
GoldenTree Loan Opportunities IX Ltd. 2014-9A AR† | 3.729% (3 Mo. LIBOR + 1.37% | )# | 10/29/2026 | 48,850 | 48,928,282 | |||||||
GreatAmerica Leasing Receivables Funding LLC 2016-1 A3† | 1.73% | 6/20/2019 | 8,541 | 8,521,518 | ||||||||
Greystone Commercial Real Estate Notes Ltd. 2017-FL1A A† | 3.469% (1 Mo. LIBOR + 1.55% | )# | 3/15/2027 | 51,810 | 52,285,745 | |||||||
Greystone Commercial Real Estate Notes Ltd. 2017-FL1A B† | 4.669% (1 Mo. LIBOR + 2.75% | )# | 3/15/2027 | 5,711 | 5,760,587 | |||||||
Jamestown CLO VII Ltd. 2015-7A A1R† | 3.19% (3 Mo. LIBOR + .83% | )# | 7/25/2027 | 44,247 | 44,029,292 | |||||||
Jamestown CLO VII Ltd. 2015-7A A2R† | 3.66% (3 Mo. LIBOR + 1.30% | )# | 7/25/2027 | 35,299 | 35,102,752 | |||||||
Jefferson Mill CLO Ltd. 2015-1A A1† | 3.859% (3 Mo. LIBOR + 1.50% | )# | 7/20/2027 | 27,000 | 27,031,898 | |||||||
JFIN CLO Ltd. 2014-1A B1R† | 3.809% (3 Mo. LIBOR + 1.45% | )# | 4/21/2025 | 9,500 | 9,515,317 | |||||||
Leaf Receivables Funding 12 LLC 2017-1 A3† | 2.07% | 8/15/2020 | 12,882 | 12,821,802 | ||||||||
Magnetite VII Ltd. 2012-7A A1R2† | 3.148% (3 Mo. LIBOR + .80% | )# | 1/15/2028 | 103,715 | 103,610,466 | |||||||
Magnetite XVIII Ltd. 2016-18A A† | 3.743% (3 Mo. LIBOR + 1.40% | )# | 11/15/2028 | 14,920 | 14,972,220 | |||||||
Mercedes-Benz Master Owner Trust 2016-BA A† | 2.619% (1 Mo. LIBOR + .70% | )# | 5/17/2021 | 27,100 | 27,241,747 | |||||||
Mountain Hawk II CLO Ltd. 2013-2A A1† | 3.519% (3 Mo. LIBOR + 1.16% | )# | 7/22/2024 | 6,766 | 6,773,159 | |||||||
Mountain Hawk III CLO Ltd. 2014-3A AR† | 3.555% (3 Mo. LIBOR + 1.20% | )# | 4/18/2025 | 76,450 | 76,548,093 | |||||||
Mountain View CLO Ltd. 2015-9A A1A† | 3.808% (3 Mo. LIBOR + 1.46% | )# | 7/15/2027 | 21,250 | 21,261,938 |
270 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Mountain View CLO X Ltd. 2015-10A AR† | 3.162% (3 Mo. LIBOR + .82% | )# | 10/13/2027 | $ | 61,081 | $ | 61,022,075 | |||||
MVW Owner Trust 2017-1A A† | 2.42% | 12/20/2034 | 11,329 | 11,080,540 | ||||||||
Navient Student Loan Trust 2018-1A A1† | 2.15% (1 Mo. LIBOR + .19% | )# | 3/25/2067 | 11,876 | 11,873,683 | |||||||
NextGear Floorplan Master Owner Trust 2016-2A A2† | 2.19% | 9/15/2021 | 34,216 | 33,923,953 | ||||||||
NextGear Floorplan Master Owner Trust 2017-1A A2† | 2.54% | 4/18/2022 | 70,279 | 69,638,126 | ||||||||
Nissan Master Owner Trust Receivables 2016-A A2 | 1.54% | 6/15/2021 | 26,669 | 26,350,860 | ||||||||
NorthStar Real Estate CDO VIII Ltd. 2006-8A A2† | 2.343% (1 Mo. LIBOR + .36% | )# | 2/1/2041 | 9,841 | 9,794,843 | |||||||
Oaktree CLO Ltd. 2015-1A A1R† | 3.229% (3 Mo. LIBOR + .87% | )# | 10/20/2027 | 29,033 | 29,041,248 | |||||||
OCP CLO Ltd. 2015-10A A2AR† | 3.662% (3 Mo. LIBOR + 1.30% | )# | 10/26/2027 | 24,351 | 24,353,932 | |||||||
OCP CLO Ltd. 2015-9A A2R† | 3.698% (3 Mo. LIBOR + 1.35% | )# | 7/15/2027 | 25,719 | 25,751,030 | |||||||
Octagon Investment Partners XXI Ltd. 2014-1A A1AR† | 3.705% (3 Mo. LIBOR + 1.35% | )# | 11/14/2026 | 118,079 | 118,332,457 | |||||||
OneMain Financial Issuance Trust 2015-1A A† | 3.19% | 3/18/2026 | 52,332 | 52,514,965 | ||||||||
OneMain Financial Issuance Trust 2015-2A A† | 2.57% | 7/18/2025 | 8,287 | 8,295,046 | ||||||||
OneMain Financial Issuance Trust 2016-1A A† | 3.66% | 2/20/2029 | 36,598 | 36,936,261 | ||||||||
OneMain Financial Issuance Trust 2016-2A A† | 4.10% | 3/20/2028 | 4,007 | 4,038,848 | ||||||||
OneMain Financial Issuance Trust 2016-2A B† | 5.94% | 3/20/2028 | 2,851 | 2,882,622 | ||||||||
Palmer Square Loan Funding Ltd. 2018-1A A1† | 2.823% (3 Mo. LIBOR + .60% | )# | 4/15/2026 | 89,955 | 89,975,330 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A2† | 3.273% (3 Mo. LIBOR + 1.05% | )# | 4/15/2026 | 29,189 | 29,123,351 | |||||||
Parallel Ltd. 2015-1A AR† | 3.209% (3 Mo. LIBOR + .85% | )# | 7/20/2027 | 73,583 | 73,783,219 | |||||||
PFS Financing Corp. 2016-BA A† | 1.87% | 10/15/2021 | 19,317 | 19,067,610 | ||||||||
PFS Financing Corp. 2018-A A† | 2.319% (1 Mo. LIBOR + .40% | )# | 2/15/2022 | 20,037 | 20,041,039 | |||||||
PFS Financing Corp. 2018-B A† | 2.89% | 2/15/2023 | 80,262 | 79,650,083 | ||||||||
Recette CLO Ltd. 2015-1A AR† | 3.279% (3 Mo. LIBOR + .92% | )# | 10/20/2027 | 8,750 | 8,752,344 | |||||||
SCF Equipment Leasing LLC 2017-2A A† | 3.41% | 12/20/2023 | 31,415 | 30,954,311 | ||||||||
SCF Equipment Leasing LLC 2018-1A A1† | 2.81% | 4/20/2021 | 84,423 | 84,605,776 | ||||||||
SCF Equipment Leasing LLC 2018-1A A2† | 3.63% | 10/20/2024 | 94,412 | 94,900,299 | ||||||||
Seneca Park CLO Ltd. 2014-1A AR† | 3.473% (3 Mo. LIBOR + 1.12% | )# | 7/17/2026 | 23,650 | 23,665,413 |
See Notes to Financial Statements. | 271 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
SLM Private Education Loan Trust 2010-A 2A† | 5.169% (1 Mo. LIBOR + 3.25% | )# | 5/16/2044 | $ | 16,080 | $ | 16,444,944 | |||||
SLM Student Loan Trust 2011-1 A1 | 2.48% (1 Mo. LIBOR + .52% | )# | 3/25/2026 | 5,813 | 5,830,355 | |||||||
SoFi Consumer Loan Program LLC 2016-2A A† | 3.09% | 10/27/2025 | 4,289 | 4,290,240 | ||||||||
SoFi Professional Loan Program 2017-D A1FX† | 1.72% | 9/25/2040 | 40,178 | 39,901,312 | ||||||||
SoFi Professional Loan Program LLC 2017-C A2A† | 1.75% | 7/25/2040 | 22,217 | 22,032,670 | ||||||||
SoFi Professional Loan Program LLC 2017-E A2A† | 1.86% | 11/26/2040 | 77,900 | 76,988,156 | ||||||||
SoFi Professional Loan Program LLC 2017-F A1FX† | 2.05% | 1/25/2041 | 31,870 | 31,613,104 | ||||||||
SoFi Professional Loan Program LLC 2018-A A2A† | 2.39% | 2/25/2042 | 53,837 | 53,506,417 | ||||||||
Sound Point CLO IX Ltd. 2015-2A AR† | 3.239% (3 Mo. LIBOR + .88% | )# | 7/20/2027 | 13,272 | 13,286,846 | |||||||
Sound Point CLO XI Ltd. 2016-1A A† | 4.009% (3 Mo. LIBOR + 1.65% | )# | 7/20/2028 | 49,000 | 49,206,212 | |||||||
Springleaf Funding Trust 2015-AA A† | 3.16% | 11/15/2024 | 5,533 | 5,532,756 | ||||||||
Taco Bell Funding LLC 2016-1A A2I† | 3.832% | 5/25/2046 | 28,509 | 28,626,745 | ||||||||
Thacher Park CLO Ltd. 2014-1A AR† | 3.519% (3 Mo. LIBOR + 1.16% | )# | 10/20/2026 | 62,950 | 62,962,546 | |||||||
Towd Point Asset Trust 2018-SL1 A†(a) | 2.583% (1 Mo. LIBOR + .60% | )# | 1/25/2046 | 85,276 | 84,933,037 | (b) | ||||||
Wells Fargo Dealer Floorplan Master Note Trust 2015-2 A | 2.598% (1 Mo. LIBOR + .65% | )# | 1/20/2022 | 14,610 | 14,693,596 | |||||||
Westgate Resorts LLC 2014-1A A† | 2.15% | 12/20/2026 | 7,153 | 7,117,832 | ||||||||
Westgate Resorts LLC 2014-1A B† | 3.25% | 12/20/2026 | 2,674 | 2,671,437 | ||||||||
Westgate Resorts LLC 2015-1A A† | 2.75% | 5/20/2027 | 2,066 | 2,057,729 | ||||||||
Westgate Resorts LLC 2015-1A B† | 3.50% | 5/20/2027 | 3,640 | 3,624,560 | ||||||||
Westgate Resorts LLC 2016-1A A† | 3.50% | 12/20/2028 | 27,716 | 27,670,631 | ||||||||
WhiteHorse VIII Ltd. 2014-1A BR† | 3.808% (3 Mo. LIBOR + 1.45% | )# | 5/1/2026 | 55,578 | 55,623,007 | |||||||
Total | 3,611,155,802 | |||||||||||
Total Asset-Backed Securities (cost $10,459,677,728) | 10,398,104,301 | |||||||||||
Shares (000) | ||||||||||||
COMMON STOCKS 0.10% | ||||||||||||
Electric: Power 0.00% | ||||||||||||
Eneva SA*(c) | BRL | 52 | 181,613 |
272 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Shares (000) | Fair Value | ||||||||
OIL 0.10% | ||||||||||||
Chaparral Energy, Inc. Class A* | 1,577 | $ | 32,326,799 | |||||||||
Chaparral Energy, Inc. Class B* | 329 | 6,746,550 | ||||||||||
Dommo Energia SA*(c) | BRL | 5,487 | 2,439,076 | |||||||||
Dommo Energia SA ADR | 5 | 217,147 | ||||||||||
Templar Energy LLC Class A Units | 178 | 148,779 | ||||||||||
Total | 41,878,351 | |||||||||||
Total Common Stocks (cost $59,530,103) | 42,059,964 | |||||||||||
Principal Amount (000) | ||||||||||||
CONVERTIBLE BONDS 0.35% | ||||||||||||
Electric: Power 0.07% | ||||||||||||
NRG Yield, Inc.† | 3.25% | 6/1/2020 | $ | 28,794 | 28,667,537 | |||||||
Energy Equipment & Services 0.01% | ||||||||||||
Tesla Energy Operations, Inc. | 1.625% | 11/1/2019 | 6,257 | 5,794,864 | ||||||||
Real Estate Investment Trusts 0.27% | ||||||||||||
VEREIT, Inc. | 3.00% | 8/1/2018 | 77,622 | 77,672,998 | ||||||||
VEREIT, Inc. | 3.75% | 12/15/2020 | 29,318 | 29,659,965 | ||||||||
Total | 107,332,963 | |||||||||||
Total Convertible Bonds (cost $142,051,095) | 141,795,364 | |||||||||||
CORPORATE BONDS 38.08% | ||||||||||||
Aerospace/Defense 0.51% | ||||||||||||
Bombardier, Inc. (Canada)†(d) | 6.125% | 1/15/2023 | 43,997 | 44,051,996 | ||||||||
Bombardier, Inc. (Canada)†(d) | 7.50% | 12/1/2024 | 9,197 | 9,610,865 | ||||||||
Bombardier, Inc. (Canada)†(d) | 8.75% | 12/1/2021 | 62,307 | 69,472,305 | ||||||||
Embraer Overseas Ltd.† | 5.696% | 9/16/2023 | 21,598 | 22,489,134 | ||||||||
Embraer SA (Brazil)(d) | 5.15% | 6/15/2022 | 922 | 949,199 | ||||||||
KLX, Inc.† | 5.875% | 12/1/2022 | 27,053 | 28,371,834 | ||||||||
L3 Technologies, Inc. | 4.95% | 2/15/2021 | 3,507 | 3,635,060 | ||||||||
Orbital ATK, Inc. | 5.50% | 10/1/2023 | 24,617 | 25,724,765 | ||||||||
Total | 204,305,158 | |||||||||||
Air Transportation 0.25% | ||||||||||||
Air Canada 2015-1 Class B Pass-Through Trust (Canada)†(d) | 3.875% | 9/15/2024 | 10,603 | 10,400,008 |
See Notes to Financial Statements. | 273 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Air Transportation (continued) | ||||||||||||
Air Canada 2015-2 Class B Pass-Through Trust (Canada)†(d) | 5.00% | 6/15/2025 | $ | 6,485 | $ | 6,603,274 | ||||||
American Airlines 2011-1 Class A Pass-Through Trust | 5.25% | 7/31/2022 | 5,691 | 5,911,005 | ||||||||
American Airlines 2013-1 Class B Pass-Through Trust† | 5.625% | 7/15/2022 | 8,970 | 9,205,628 | ||||||||
American Airlines 2013-2 Class B Pass-Through Trust† | 5.60% | 1/15/2022 | 30,247 | 30,799,412 | ||||||||
American Airlines 2014-1 Class B Pass-Through Trust | 4.375% | 4/1/2024 | 18,585 | 18,556,334 | ||||||||
Continental Airlines 2012-1 Class B Pass-Through Trust | 6.25% | 10/11/2021 | 3,646 | 3,763,989 | ||||||||
United Airlines 2014-1 Class B Pass-Through Trust | 4.75% | 10/11/2023 | 6,777 | 6,851,866 | ||||||||
US Airways 2012-2 Class B Pass-Through Trust | 6.75% | 12/3/2022 | 8,348 | 8,841,722 | ||||||||
Total | 100,933,238 | |||||||||||
Auto Parts: Original Equipment 0.28% | ||||||||||||
American Axle & Manufacturing, Inc. | 6.625% | 10/15/2022 | 50,417 | 52,055,552 | ||||||||
Nexteer Automotive Group Ltd.† | 5.875% | 11/15/2021 | 18,774 | 19,384,155 | ||||||||
TI Group Automotive Systems LLC (United Kingdom)†(d) | 8.75% | 7/15/2023 | 17,268 | 18,066,645 | ||||||||
ZF North America Capital, Inc.† | 4.00% | 4/29/2020 | 21,215 | 21,374,113 | ||||||||
Total | 110,880,465 | |||||||||||
Automotive 1.78% | ||||||||||||
Daimler Finance North America LLC† | 2.45% | 5/18/2020 | 13,602 | 13,447,489 | ||||||||
Deck Chassis Acquisition, Inc.† | 10.00% | 6/15/2023 | 16,765 | 17,938,550 | ||||||||
Fiat Chrysler Automobiles NV (United Kingdom)(d) | 5.25% | 4/15/2023 | 7,400 | 7,474,000 | ||||||||
Ford Motor Credit Co. LLC | 2.24% | 6/15/2018 | 32,623 | 32,600,199 | ||||||||
Ford Motor Credit Co. LLC | 2.979% | 8/3/2022 | 22,750 | 21,991,768 | ||||||||
Ford Motor Credit Co. LLC | 3.339% | 3/28/2022 | 58,704 | 57,835,754 | ||||||||
Ford Motor Credit Co. LLC | 5.875% | 8/2/2021 | 52,163 | 55,570,266 | ||||||||
Ford Motor Credit Co. LLC | 8.125% | 1/15/2020 | 116,473 | 125,433,420 | ||||||||
General Motors Financial Co., Inc. | 2.40% | 5/9/2019 | 27,049 | 26,931,497 | ||||||||
General Motors Financial Co., Inc. | 3.15% | 6/30/2022 | 71,100 | 69,402,131 | ||||||||
General Motors Financial Co., Inc. | 3.20% | 7/13/2020 | 14,057 | 14,044,685 | ||||||||
General Motors Financial Co., Inc. | 3.20% | 7/6/2021 | 37,649 | 37,303,435 | ||||||||
General Motors Financial Co., Inc. | 4.20% | 3/1/2021 | 56,815 | 57,888,693 | ||||||||
General Motors Financial Co., Inc. | 4.375% | 9/25/2021 | 49,365 | 50,586,802 | ||||||||
Hyundai Capital America† | 1.75% | 9/27/2019 | 32,216 | 31,600,479 | ||||||||
Hyundai Capital America† | 2.00% | 7/1/2019 | 3,760 | 3,707,637 |
274 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automotive (continued) | ||||||||||||
Hyundai Capital America† | 2.50% | 3/18/2019 | $ | 15,873 | $ | 15,791,899 | ||||||
Hyundai Capital America† | 3.25% | 9/20/2022 | 23,225 | 22,710,986 | ||||||||
Hyundai Capital America† | 3.45% | 3/12/2021 | 8,901 | 8,868,399 | ||||||||
Hyundai Capital Services, Inc. (South Korea)†(d) | 3.00% | 8/29/2022 | 47,447 | 45,860,418 | ||||||||
Total | 716,988,507 | |||||||||||
Banks: Regional 8.25% | ||||||||||||
ABN AMRO Bank NV (Netherlands)†(d) | 1.80% | 6/4/2018 | 16,837 | 16,837,000 | ||||||||
ABN AMRO Bank NV (Netherlands)†(d) | 1.80% | 9/20/2019 | 47,900 | 47,232,609 | ||||||||
ABN AMRO Bank NV (Netherlands)†(d) | 2.10% | 1/18/2019 | 37,572 | 37,460,111 | ||||||||
ABN AMRO Bank NV (Netherlands)(d) | 6.25% | 4/27/2022 | 64,981 | 70,206,057 | ||||||||
Akbank Turk AS (Turkey)†(d) | 5.00% | 10/24/2022 | 20,000 | 19,158,520 | ||||||||
Associated Banc-Corp. | 2.75% | 11/15/2019 | 14,409 | 14,339,672 | ||||||||
Banco Bilbao Vizcaya Argentaria SA (Spain)(d) | 3.00% | 10/20/2020 | 9,390 | 9,325,887 | ||||||||
Banco de Credito del Peru (Panama)†(d) | 2.25% | 10/25/2019 | 4,200 | 4,147,500 | ||||||||
Banco Santander SA (Spain)(d) | 3.125% | 2/23/2023 | 29,600 | 28,233,643 | ||||||||
Banco Santander SA (Spain)(d) | 3.848% | 4/12/2023 | 22,600 | 22,242,463 | ||||||||
Bangkok Bank PCL (Hong Kong)†(d) | 3.30% | 10/3/2018 | 11,000 | 11,012,892 | ||||||||
Bank of America Corp. | 2.328% | #(e) | 10/1/2021 | 44,078 | 43,171,825 | |||||||
Bank of America Corp. | 2.369% | #(e) | 7/21/2021 | 27,991 | 27,491,426 | |||||||
Bank of America Corp. | 3.004% | #(e) | 12/20/2023 | 121,599 | 118,102,028 | |||||||
Bank of America Corp. | 5.49% | 3/15/2019 | 73,252 | 74,751,930 | ||||||||
Bank of China Hong Kong Ltd. (Hong Kong)†(d) | 5.55% | 2/11/2020 | 1,204 | 1,242,428 | ||||||||
Barclays Bank plc (United Kingdom)†(d) | 10.179% | 6/12/2021 | 64,766 | 75,400,852 | ||||||||
Barclays plc (United Kingdom)(d) | 2.75% | 11/8/2019 | 19,368 | 19,272,438 | ||||||||
BNP Paribas SA (France)†(d) | 3.50% | 3/1/2023 | 46,106 | 45,300,644 | ||||||||
Capital One NA | 3.471% (3 Mo. LIBOR + 1.15% | )# | 8/17/2018 | 3,700 | 3,705,107 | |||||||
CIT Group, Inc. | 3.875% | 2/19/2019 | 3,295 | 3,310,972 | ||||||||
CIT Group, Inc. | 4.125% | 3/9/2021 | 18,321 | 18,366,802 | ||||||||
Citigroup, Inc. | 2.876% (3 Mo. LIBOR + .95%) | #(e) | 7/24/2023 | 46,599 | 45,094,351 | |||||||
Citigroup, Inc. | 2.90% | 12/8/2021 | 19,680 | 19,359,655 | ||||||||
Citigroup, Inc. | 3.056% (3 Mo. LIBOR + .69% | )# | 10/27/2022 | 44,181 | 44,127,569 | |||||||
Citigroup, Inc. | 3.32% (3 Mo. LIBOR + .96% | )# | 4/25/2022 | 26,000 | 26,270,195 | |||||||
Citigroup, Inc. | 4.05% | 7/30/2022 | 30,148 | 30,582,922 | ||||||||
Citigroup, Inc. | 8.50% | 5/22/2019 | 20,811 | 21,927,887 | ||||||||
Citizens Financial Group, Inc.† | 4.15% | 9/28/2022 | 2,753 | 2,774,315 | ||||||||
Compass Bank | 2.75% | 9/29/2019 | 22,590 | 22,472,721 | ||||||||
Credit Suisse AG | 5.40% | 1/14/2020 | 25,975 | 26,881,882 |
See Notes to Financial Statements. | 275 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Credit Suisse Group Funding Guernsey Ltd. (Guernsey)(d) | 3.125% | 12/10/2020 | $ | 44,266 | $ | 44,055,586 | ||||||
Discover Bank | 3.10% | 6/4/2020 | 1,250 | 1,245,832 | ||||||||
Discover Bank | 3.35% | 2/6/2023 | 16,429 | 16,133,998 | ||||||||
Discover Bank | 7.00% | 4/15/2020 | 56,305 | 59,674,648 | ||||||||
Discover Bank | 8.70% | 11/18/2019 | 24,607 | 26,380,671 | ||||||||
Fifth Third Bancorp | 4.50% | 6/1/2018 | 6,596 | 6,596,000 | ||||||||
Goldman Sachs Group, Inc. (The) | 2.876% | #(e) | 10/31/2022 | 69,717 | 68,029,964 | |||||||
Goldman Sachs Group, Inc. (The) | 2.908% | #(e) | 6/5/2023 | 51,426 | 49,849,758 | |||||||
Goldman Sachs Group, Inc. (The) | 3.472% (3 Mo. LIBOR + 1.11% | )# | 4/26/2022 | 53,568 | 54,203,852 | |||||||
Goldman Sachs Group, Inc. (The) | 5.25% | 7/27/2021 | 28,945 | 30,539,720 | ||||||||
Goldman Sachs Group, Inc. (The) | 5.375% | 3/15/2020 | 43,678 | 45,403,396 | ||||||||
Goldman Sachs Group, Inc. (The) | 5.75% | 1/24/2022 | 18,050 | 19,431,520 | ||||||||
Goldman Sachs Group, Inc. (The) | 6.00% | 6/15/2020 | 58,885 | 62,265,448 | ||||||||
HSBC Bank USA NA | 4.875% | 8/24/2020 | 42,819 | 44,403,403 | ||||||||
Huntington Bancshares, Inc. | 7.00% | 12/15/2020 | 19,171 | 20,828,904 | ||||||||
Industrial & Commercial Bank of China Ltd. | 3.113% (3 Mo. LIBOR + .75% | )# | 11/8/2020 | 23,179 | 23,207,699 | |||||||
ING Bank NV (Netherlands)†(d) | 2.45% | 3/16/2020 | 8,472 | 8,366,709 | ||||||||
ING Bank NV (Netherlands)(d) | 4.125% | #(e) | 11/21/2023 | 45,902 | 46,135,090 | |||||||
ING Bank NV (Netherlands)†(d) | 5.80% | 9/25/2023 | 18,400 | 19,667,141 | ||||||||
Intesa Sanpaolo SpA (Italy)†(d) | 3.125% | 7/14/2022 | 21,382 | 19,990,306 | ||||||||
Intesa Sanpaolo SpA (Italy)†(d) | 3.375% | 1/12/2023 | 18,204 | 17,065,789 | ||||||||
Intesa Sanpaolo SpA (Italy)(d) | 3.875% | 1/15/2019 | 121,832 | 122,009,752 | ||||||||
Intesa Sanpaolo SpA (Italy)†(d) | 6.50% | 2/24/2021 | 77,183 | 81,041,618 | ||||||||
Lloyds Bank plc (United Kingdom)†(d) | 6.50% | 9/14/2020 | 63,110 | 67,224,600 | ||||||||
Macquarie Group Ltd. (Australia)†(d) | 4.15% | #(e) | 3/27/2024 | 45,822 | 45,661,935 | |||||||
Macquarie Group Ltd. (Australia)†(d) | 6.00% | 1/14/2020 | 23,234 | 24,195,968 | ||||||||
Macquarie Group Ltd. (Australia)†(d) | 7.625% | 8/13/2019 | 15,062 | 15,854,023 | ||||||||
Manufacturers & Traders Trust Co. | 2.94% (3 Mo. LIBOR + .64% | )# | 12/1/2021 | 15,000 | 14,972,982 | |||||||
Manufacturers & Traders Trust Co. | 3.183% (1 Mo. LIBOR + 1.22% | )# | 12/28/2020 | 12,384 | 12,390,626 | |||||||
Morgan Stanley | 3.155% (3 Mo. LIBOR + .80% | )# | 2/14/2020 | 46,830 | 47,001,529 | |||||||
Morgan Stanley | 3.539% (3 Mo. LIBOR + 1.18% | )# | 1/20/2022 | 47,070 | 47,804,505 | |||||||
Morgan Stanley | 4.875% | 11/1/2022 | 29,889 | 31,191,102 | ||||||||
Morgan Stanley | 5.50% | 7/24/2020 | 30,665 | 32,162,497 | ||||||||
Morgan Stanley | 5.625% | 9/23/2019 | 41,508 | 42,984,093 |
276 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Morgan Stanley | 7.30% | 5/13/2019 | $ | 67,100 | $ | 69,867,307 | ||||||
National Savings Bank (Sri Lanka)†(d) | 8.875% | 9/18/2018 | 37,833 | 38,186,739 | ||||||||
NBK SPC Ltd. (United Arab Emirates)†(d) | 2.75% | 5/30/2022 | 32,710 | 31,266,508 | ||||||||
Nordea Bank AB (Sweden)†(d) | 4.875% | 5/13/2021 | 62,259 | 64,355,579 | ||||||||
Popular, Inc. | 7.00% | 7/1/2019 | 17,102 | 17,529,550 | ||||||||
QNB Finansbank AS (Turkey)†(d) | 6.25% | 4/30/2019 | 19,403 | 19,558,515 | ||||||||
Regions Bank | 2.25% | 9/14/2018 | 6,526 | 6,519,508 | ||||||||
Royal Bank of Scotland Group plc (United Kingdom)(d) | 3.498% (3 Mo. LIBOR + 1.48% | )#(e) | 5/15/2023 | 51,464 | 50,212,809 | |||||||
Royal Bank of Scotland Group plc (United Kingdom)(d) | 6.125% | 12/15/2022 | 14,683 | 15,548,717 | ||||||||
Royal Bank of Scotland Group plc (United Kingdom)(d) | 6.40% | 10/21/2019 | 24,148 | 25,171,700 | ||||||||
Santander UK Group Holdings plc (United Kingdom)(d) | 2.875% | 10/16/2020 | 11,005 | 10,908,255 | ||||||||
Santander UK Group Holdings plc (United Kingdom)(d) | 2.875% | 8/5/2021 | 82,151 | 80,346,389 | ||||||||
Santander UK Group Holdings plc (United Kingdom)(d) | 3.373% | #(e) | 1/5/2024 | 36,966 | 35,905,430 | |||||||
Santander UK Group Holdings plc (United Kingdom)(d) | 3.571% | 1/10/2023 | 24,491 | 23,921,193 | ||||||||
Santander UK plc (United Kingdom)(d) | 2.00% | 8/24/2018 | 15,190 | 15,177,652 | ||||||||
Santander UK plc (United Kingdom)(d) | 2.50% | 3/14/2019 | 83,538 | 83,420,522 | ||||||||
Santander UK plc (United Kingdom)(d) | 3.05% | 8/23/2018 | 23,292 | 23,327,332 | ||||||||
Sberbank of Russia Via SB Capital SA (Luxembourg)(d) | 4.15% | 3/6/2019 | 90,911 | 91,024,184 | ||||||||
Standard Chartered Bank Hong Kong Ltd. (Hong Kong)(d) | 5.875% | 6/24/2020 | 29,122 | 30,421,074 | ||||||||
SVB Financial Group | 5.375% | 9/15/2020 | 6,523 | 6,840,848 | ||||||||
Turkiye Halk Bankasi AS (Turkey)†(d) | 3.875% | 2/5/2020 | 14,107 | 12,929,517 | ||||||||
Turkiye Halk Bankasi AS (Turkey)†(d) | 4.75% | 6/4/2019 | 32,806 | 31,666,287 | ||||||||
Turkiye Vakiflar Bankasi TAO (Turkey)†(d) | 5.625% | 5/30/2022 | 23,009 | 21,308,129 | ||||||||
Turkiye Vakiflar Bankasi TAO (Turkey)†(d) | 5.75% | 1/30/2023 | 28,476 | 26,131,542 | ||||||||
UBS AG | 7.625% | 8/17/2022 | 34,276 | 38,217,740 | ||||||||
UBS AG (United Kingdom)†(d) | 2.45% | 12/1/2020 | 45,415 | 44,602,208 | ||||||||
UBS Group Funding Switzerland AG (Switzerland)†(d) | 2.65% | 2/1/2022 | 51,737 | 49,973,526 | ||||||||
UBS Group Funding Switzerland AG (Switzerland)†(d) | 2.859% | #(e) | 8/15/2023 | 10,282 | 9,882,507 | |||||||
UBS Group Funding Switzerland AG (Switzerland)†(d) | 3.491% | 5/23/2023 | 19,104 | 18,828,620 | ||||||||
UBS Group Funding Switzerland AG (Switzerland)†(d) | 3.549% (3 Mo. LIBOR + 1.22% | )# | 5/23/2023 | 37,578 | 38,216,218 |
See Notes to Financial Statements. | 277 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Wells Fargo & Co. | 3.069% | 1/24/2023 | $ | 70,995 | $ | 69,153,791 | ||||||
Total | 3,318,194,863 | |||||||||||
Beverages 0.13% | ||||||||||||
Beam Suntory, Inc. | 1.75% | 6/15/2018 | 811 | 810,852 | ||||||||
Maple Escrow Subsidiary, Inc.† | 4.057% | 5/25/2023 | 49,630 | 49,972,026 | ||||||||
Total | 50,782,878 | |||||||||||
Biotechnology Research & Production 0.02% | ||||||||||||
Baxalta, Inc. | 3.028% (3 Mo. LIBOR + .78% | )# | 6/22/2018 | 1,700 | 1,700,007 | |||||||
Sotera Health Topco, Inc. PIK 8.875%† | 8.125% | 11/1/2021 | 8,109 | 8,250,907 | ||||||||
Total | 9,950,914 | |||||||||||
Building Materials 0.39% | ||||||||||||
Boral Finance Pty Ltd. (Australia)†(d) | 3.00% | 11/1/2022 | 13,924 | 13,524,059 | ||||||||
Cemex SAB de CV (Mexico)†(d) | 7.098% (3 Mo. LIBOR + 4.75% | )# | 10/15/2018 | 4,000 | 4,050,000 | |||||||
CPG Merger Sub LLC† | 8.00% | 10/1/2021 | 33,534 | 34,414,268 | ||||||||
Griffon Corp. | 5.25% | 3/1/2022 | 44,219 | 42,837,156 | ||||||||
Holcim US Finance Sarl & Cie SCS (Luxembourg)†(d) | 6.00% | 12/30/2019 | 33,267 | 34,698,011 | ||||||||
Johnson Controls International plc | 5.00% | 3/30/2020 | 225 | 233,250 | ||||||||
Martin Marietta Materials, Inc. | 2.979% (3 Mo. LIBOR + .65% | )# | 5/22/2020 | 7,786 | 7,821,406 | |||||||
Summit Materials LLC/Summit Materials Finance Corp. | 6.125% | 7/15/2023 | 3,156 | 3,203,340 | ||||||||
Summit Materials LLC/Summit Materials Finance Corp. | 8.50% | 4/15/2022 | 930 | 1,004,400 | ||||||||
Vulcan Materials Co. | 2.95% (3 Mo. LIBOR + .65% | )# | 3/1/2021 | 14,887 | 14,912,531 | |||||||
Total | 156,698,421 | |||||||||||
Business Services 0.43% | ||||||||||||
APX Group, Inc. | 8.75% | 12/1/2020 | 82,076 | 78,792,960 | ||||||||
Chicago Parking Meters LLC† | 5.489% | 12/30/2020 | 23,478 | 23,403,713 | ||||||||
Equifax, Inc. | 3.60% | 8/15/2021 | 13,589 | 13,630,180 | ||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc.† | 9.25% | 5/15/2023 | 37,668 | 40,010,950 | ||||||||
Total System Services, Inc. | 4.00% | 6/1/2023 | 16,251 | 16,379,515 | ||||||||
Verisk Analytics, Inc. | 4.875% | 1/15/2019 | 2,325 | 2,350,169 | ||||||||
Total | 174,567,487 |
278 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Chemicals 0.71% | ||||||||||||
Blue Cube Spinco LLC | 9.75% | 10/15/2023 | $ | 25,044 | $ | 28,769,295 | ||||||
Braskem Netherlands Finance BV (Netherlands)†(d) | 3.50% | 1/10/2023 | 14,085 | 13,384,976 | ||||||||
Celanese US Holdings LLC | 4.625% | 11/15/2022 | 9,901 | 10,224,992 | ||||||||
Celanese US Holdings LLC | 5.875% | 6/15/2021 | 48,400 | 51,528,587 | ||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(d) | 3.00% | 7/19/2020 | 20,000 | 19,685,520 | ||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(d) | 3.50% | 7/19/2022 | 19,800 | 19,204,555 | ||||||||
Equate Petrochemical BV (Netherlands)†(d) | 3.00% | 3/3/2022 | 11,400 | 10,959,048 | ||||||||
Syngenta Finance NV (Netherlands)†(d) | 3.698% | 4/24/2020 | 21,687 | 21,684,755 | ||||||||
Syngenta Finance NV (Netherlands)†(d) | 3.933% | 4/23/2021 | 25,537 | 25,542,237 | ||||||||
Syngenta Finance NV (Netherlands)†(d) | 4.441% | 4/24/2023 | 9,425 | 9,415,964 | ||||||||
Yara International ASA (Norway)†(d) | 7.875% | 6/11/2019 | 71,524 | 74,656,106 | ||||||||
Total | 285,056,035 | |||||||||||
Coal 0.06% | ||||||||||||
Eterna Capital Pte Ltd. PIK 1.00% (Singapore)(d) | 7.50% | 12/11/2022 | 18,158 | 18,037,279 | ||||||||
Peabody Energy Corp.† | 6.00% | 3/31/2022 | 7,563 | 7,759,260 | ||||||||
Total | 25,796,539 | |||||||||||
Computer Hardware 0.49% | ||||||||||||
Dell International LLC/EMC Corp.† | 3.48% | 6/1/2019 | 29,515 | 29,635,488 | ||||||||
Dell International LLC/EMC Corp.† | 5.45% | 6/15/2023 | 55,056 | 57,967,465 | ||||||||
Dell International LLC/EMC Corp.† | 4.42% | 6/15/2021 | 79,005 | 80,454,860 | ||||||||
Dell International LLC/EMC Corp.† | 5.875% | 6/15/2021 | 19,099 | 19,647,582 | ||||||||
Hewlett Packard Enterprise Co. | 4.251% (3 Mo. LIBOR + 1.93% | )# | 10/5/2018 | 700 | 704,051 | |||||||
HT Global IT Solutions Holdings Ltd. (Mauritius)†(d) | 7.00% | 7/14/2021 | 9,770 | 10,011,133 | ||||||||
Total | 198,420,579 | |||||||||||
Computer Software 0.73% | ||||||||||||
Activision Blizzard, Inc.† | 6.125% | 9/15/2023 | 47,809 | 49,762,231 | ||||||||
BMC Software Finance, Inc.† | 8.125% | 7/15/2021 | 29,151 | 29,955,567 | ||||||||
Dun & Bradstreet Corp. (The) | 4.25% | 6/15/2020 | 2,203 | 2,209,727 | ||||||||
First Data Corp.† | 5.75% | 1/15/2024 | 29,240 | 29,459,300 | ||||||||
First Data Corp.† | 7.00% | 12/1/2023 | 47,078 | 49,431,900 | ||||||||
Infor Software Parent LLC/Infor Software Parent, Inc. PIK 7.875%† | 7.125% | 5/1/2021 | 30,817 | 31,086,649 | ||||||||
Solera LLC/Solera Finance, Inc.† | 10.50% | 3/1/2024 | 48,444 | 54,000,527 | ||||||||
Sophia LP/Sophia Finance, Inc.† | 9.00% | 9/30/2023 | 5,764 | 6,109,840 | ||||||||
TIBCO Software, Inc.† | 11.375% | 12/1/2021 | 39,604 | 43,118,855 | ||||||||
Total | 295,134,596 |
See Notes to Financial Statements. | 279 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Construction/Homebuilding 0.25% | ||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co.† | 6.875% | 2/15/2021 | $ | 7,197 | $ | 7,286,963 | ||||||
Brookfield Residential Properties, Inc. (Canada)†(d) | 6.50% | 12/15/2020 | 51,305 | 52,202,837 | ||||||||
Century Communities, Inc. | 6.875% | 5/15/2022 | 13,750 | 14,219,975 | ||||||||
D.R. Horton, Inc. | 3.75% | 3/1/2019 | 400 | 401,613 | ||||||||
D.R. Horton, Inc. | 4.00% | 2/15/2020 | 500 | 507,493 | ||||||||
M/I Homes, Inc. | 6.75% | 1/15/2021 | 13,024 | 13,463,560 | ||||||||
William Lyon Homes, Inc. | 7.00% | 8/15/2022 | 11,616 | 11,906,400 | ||||||||
Total | 99,988,841 | |||||||||||
Containers 0.27% | ||||||||||||
OI European Group BV (Netherlands)†(d) | 4.00% | 3/15/2023 | 10,619 | 10,008,407 | ||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA | 6.875% | 2/15/2021 | 3,029 | 3,070,732 | ||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA | 5.75% | 10/15/2020 | 93,049 | 93,630,433 | ||||||||
WestRock RKT Co. | 4.45% | 3/1/2019 | 1,280 | 1,295,803 | ||||||||
Total | 108,005,375 | |||||||||||
Drugs 0.41% | ||||||||||||
Bayer US Finance LLC† | 2.375% | 10/8/2019 | 18,242 | 18,107,433 | ||||||||
CVS Health Corp. | 3.125% | 3/9/2020 | 9,163 | 9,178,738 | ||||||||
CVS Health Corp. | 3.35% | 3/9/2021 | 12,285 | 12,316,818 | ||||||||
CVS Health Corp. | 3.70% | 3/9/2023 | 32,054 | 31,996,708 | ||||||||
inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc.† | 7.50% | 10/1/2024 | 25,583 | 27,117,980 | ||||||||
Mylan, Inc. | 2.55% | 3/28/2019 | 11,359 | 11,335,814 | ||||||||
Teva Pharmaceutical Finance Co. BV (Curacao)(d) | 3.65% | 11/10/2021 | 6,532 | 6,224,302 | ||||||||
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)(d) | 1.70% | 7/19/2019 | 28,375 | 27,728,763 | ||||||||
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)(d) | 2.20% | 7/21/2021 | 24,065 | 22,117,737 | ||||||||
Total | 166,124,293 | |||||||||||
Electric: Power 2.00% | ||||||||||||
AES Corp. (The) | 4.875% | 5/15/2023 | 23,223 | 23,397,173 | ||||||||
Ausgrid Finance Pty Ltd. (Australia)†(d) | 3.85% | 5/1/2023 | 68,200 | 68,609,450 | ||||||||
Dominion Energy, Inc. | 2.50% | 12/1/2019 | 22,143 | 21,982,330 | ||||||||
Dominion Energy, Inc. | 2.962% | 7/1/2019 | 20,895 | 20,869,393 | ||||||||
Dominion Energy, Inc. | 4.104% | 4/1/2021 | 60,731 | 61,667,236 | ||||||||
Duquesne Light Holdings, Inc.† | 5.90% | 12/1/2021 | 15,369 | 16,467,945 | ||||||||
Duquesne Light Holdings, Inc.† | 6.40% | 9/15/2020 | 22,473 | 23,900,633 |
280 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Power (continued) | ||||||||||||
Emera US Finance LP | 2.15% | 6/15/2019 | $ | 23,381 | $ | 23,140,638 | ||||||
Emera US Finance LP | 2.70% | 6/15/2021 | 1,400 | 1,365,662 | ||||||||
Enel Finance International NV (Netherlands)†(d) | 2.75% | 4/6/2023 | 37,000 | 34,732,892 | ||||||||
Enel Finance International NV (Netherlands)†(d) | 2.875% | 5/25/2022 | 85,202 | 81,620,736 | ||||||||
Exelon Generation Co. LLC | 3.40% | 3/15/2022 | 5,404 | 5,382,158 | ||||||||
Exelon Generation Co. LLC | 4.25% | 6/15/2022 | 1,921 | 1,972,162 | ||||||||
Jersey Central Power & Light Co. | 7.35% | 2/1/2019 | 6,525 | 6,702,066 | ||||||||
Metropolitan Edison Co. | 7.70% | 1/15/2019 | 17,888 | 18,434,454 | ||||||||
Oklahoma Gas & Electric Co. | 8.25% | 1/15/2019 | 4,368 | 4,520,925 | ||||||||
Origin Energy Finance Ltd. (Australia)†(d) | 3.50% | 10/9/2018 | 91,966 | 92,040,158 | ||||||||
Origin Energy Finance Ltd. (Australia)†(d) | 5.45% | 10/14/2021 | 12,011 | 12,648,167 | ||||||||
Pennsylvania Electric Co. | 5.20% | 4/1/2020 | 2,065 | 2,123,742 | ||||||||
PNM Resources, Inc. | 3.25% | 3/9/2021 | 18,027 | 17,967,378 | ||||||||
PPL WEM Ltd./Western Power Distribution Ltd. (United Kingdom)†(d) | 5.375% | 5/1/2021 | 29,922 | 31,324,248 | ||||||||
PSEG Power LLC | 2.45% | 11/15/2018 | 1,598 | 1,598,420 | ||||||||
PSEG Power LLC | 4.15% | 9/15/2021 | 1,165 | 1,191,188 | ||||||||
PSEG Power LLC | 5.125% | 4/15/2020 | 2,486 | 2,569,870 | ||||||||
Puget Energy, Inc. | 6.00% | 9/1/2021 | 30,225 | 32,410,647 | ||||||||
SCANA Corp. | 4.125% | 2/1/2022 | 27,470 | 27,123,051 | ||||||||
SCANA Corp. | 4.75% | 5/15/2021 | 65,581 | 66,301,129 | ||||||||
SCANA Corp. | 6.25% | 4/1/2020 | 34,506 | 35,713,597 | ||||||||
Sempra Energy | 6.15% | 6/15/2018 | 1,555 | 1,556,837 | ||||||||
State Grid Overseas Investment 2016 Ltd.† | 2.25% | 5/4/2020 | 54,420 | 53,408,147 | ||||||||
TECO Finance, Inc. | 5.15% | 3/15/2020 | 9,631 | 9,953,014 | ||||||||
TransAlta Corp. (Canada)(d) | 4.50% | 11/15/2022 | 1,047 | 1,047,000 | ||||||||
Total | 803,742,446 | |||||||||||
Electrical Equipment 0.67% | ||||||||||||
Analog Devices, Inc. | 2.85% | 3/12/2020 | 2,748 | 2,742,836 | ||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 2.375% | 1/15/2020 | 54,177 | 53,574,244 | ||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 2.65% | 1/15/2023 | 55,592 | 52,742,419 | ||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 3.00% | 1/15/2022 | 33,073 | 32,285,410 | ||||||||
Microchip Technology, Inc.† | 3.922% | 6/1/2021 | 13,632 | 13,710,589 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(d) | 3.875% | 9/1/2022 | 10,454 | 10,408,264 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(d) | 4.125% | 6/1/2021 | 88,346 | 89,340,776 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(d) | 4.625% | 6/1/2023 | 12,325 | 12,599,848 | ||||||||
Total | 267,404,386 |
See Notes to Financial Statements. | 281 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electrical: Household 0.14% | ||||||||||||
General Cable Corp. | 5.75% | 10/1/2022 | $ | 52,789 | $ | 54,240,697 | ||||||
Electronics 0.14% | ||||||||||||
PerkinElmer, Inc. | 5.00% | 11/15/2021 | 15,618 | 16,377,311 | ||||||||
Tech Data Corp. | 3.70% | 2/15/2022 | 40,828 | 40,310,898 | ||||||||
Total | 56,688,209 | |||||||||||
Engineering & Contracting Services 0.04% | ||||||||||||
StandardAero Aviation Holdings, Inc.† | 10.00% | 7/15/2023 | 14,694 | 15,942,990 | ||||||||
Entertainment 0.36% | ||||||||||||
Eldorado Resorts, Inc. | 7.00% | 8/1/2023 | 8,846 | 9,387,818 | ||||||||
Scientific Games International, Inc. | 6.25% | 9/1/2020 | 24,837 | 24,992,231 | ||||||||
Scientific Games International, Inc. | 6.625% | 5/15/2021 | 26,158 | 26,811,950 | ||||||||
Scientific Games International, Inc. | 10.00% | 12/1/2022 | 66,859 | 71,957,667 | ||||||||
Seminole Tribe of Florida, Inc.† | 7.804% | 10/1/2020 | 10,003 | 10,053,015 | ||||||||
WMG Acquisition Corp.† | 5.625% | 4/15/2022 | 3,000 | 3,060,000 | ||||||||
Total | 146,262,681 | |||||||||||
Financial Services 2.45% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(d) | 3.50% | 5/26/2022 | 8,657 | 8,513,830 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(d) | 3.75% | 5/15/2019 | 10,558 | 10,634,669 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(d) | 4.25% | 7/1/2020 | 34,082 | 34,634,473 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(d) | 4.625% | 10/30/2020 | 14,164 | 14,506,201 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(d) | 5.00% | 10/1/2021 | 1,150 | 1,194,334 | ||||||||
Discover Financial Services | 5.20% | 4/27/2022 | 35,645 | 37,300,511 | ||||||||
E*TRADE Financial Corp. | 2.95% | 8/24/2022 | 13,988 | 13,651,396 | ||||||||
GE Capital International Funding Co. Unlimited Co. (Ireland)(d) | 2.342% | 11/15/2020 | 9,293 | 9,097,264 | ||||||||
General Electric Co./LJ VP Holdings LLC† | 3.80% | 6/18/2019 | 17,445 | 17,547,536 | ||||||||
International Lease Finance Corp. | 5.875% | 4/1/2019 | 47,301 | 48,340,551 | ||||||||
International Lease Finance Corp. | 6.25% | 5/15/2019 | 60,960 | 62,770,555 | ||||||||
International Lease Finance Corp.† | 7.125% | 9/1/2018 | 80,980 | 81,793,481 | ||||||||
International Lease Finance Corp. | 8.25% | 12/15/2020 | 95,118 | 105,956,506 | ||||||||
International Lease Finance Corp. | 8.625% | 1/15/2022 | 1,685 | 1,947,443 | ||||||||
Jefferies Group LLC | 8.50% | 7/15/2019 | 173,932 | 184,061,208 | ||||||||
Lazard Group LLC | 4.25% | 11/14/2020 | 28,780 | 29,448,931 |
282 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Financial Services (continued) | ||||||||||||
Nationstar Mortgage LLC/Nationstar Capital Corp. | 6.50% | 7/1/2021 | $ | 34,831 | $ | 35,266,388 | ||||||
Nationstar Mortgage LLC/Nationstar Capital Corp. | 7.875% | 10/1/2020 | 30,904 | 31,413,916 | ||||||||
Nationstar Mortgage LLC/Nationstar Capital Corp. | 9.625% | 5/1/2019 | 37,693 | 38,267,818 | ||||||||
Navient Corp. | 4.875% | 6/17/2019 | 25,980 | 26,291,760 | ||||||||
Navient Corp. | 5.00% | 10/26/2020 | 48,088 | 48,496,748 | ||||||||
Navient Corp. | 5.50% | 1/15/2019 | 41,385 | 41,912,659 | ||||||||
Navient Corp. | 5.875% | 3/25/2021 | 8,583 | 8,808,304 | ||||||||
Navient Corp. | 6.625% | 7/26/2021 | 41,546 | 43,207,840 | ||||||||
Navient Corp. | 8.00% | 3/25/2020 | 9,536 | 10,165,376 | ||||||||
OneMain Financial Holdings LLC† | 7.25% | 12/15/2021 | 34,633 | 35,918,750 | ||||||||
VFH Parent LLC/Orchestra Co-Issuer, Inc.† | 6.75% | 6/15/2022 | 5,390 | 5,595,413 | ||||||||
Total | 986,743,861 | |||||||||||
Food 0.38% | ||||||||||||
B&G Foods, Inc. | 4.625% | 6/1/2021 | 18,911 | 18,674,612 | ||||||||
JBS USA LUX SA/JBS USA Finance, Inc. † | 7.25% | 6/1/2021 | 109,608 | 111,389,130 | ||||||||
Smithfield Foods, Inc.† | 2.70% | 1/31/2020 | 14,159 | 13,970,715 | ||||||||
Smithfield Foods, Inc.† | 3.35% | 2/1/2022 | 8,450 | 8,212,411 | ||||||||
Total | 152,246,868 | |||||||||||
Health Care Products 0.44% | ||||||||||||
Becton Dickinson & Co. | 2.944% (3 Mo. LIBOR + .88% | )# | 12/29/2020 | 26,455 | 26,524,238 | |||||||
Kinetic Concepts, Inc./KCI USA, Inc.† | 7.875% | 2/15/2021 | 19,329 | 19,884,709 | ||||||||
Life Technologies Corp. | 5.00% | 1/15/2021 | 72,822 | 75,546,106 | ||||||||
Life Technologies Corp. | 6.00% | 3/1/2020 | 45,185 | 47,281,980 | ||||||||
Zimmer Biomet Holdings, Inc. | 3.70% | 3/19/2023 | 9,155 | 9,116,260 | ||||||||
Total | 178,353,293 | |||||||||||
Health Care Services 0.75% | ||||||||||||
Acadia Healthcare Co., Inc. | 6.125% | 3/15/2021 | 15,207 | 15,435,105 | ||||||||
Centene Corp. | 5.625% | 2/15/2021 | 81,003 | 83,369,098 | ||||||||
Eagle Holding Co. II LLC PIK 8.375%† | 7.625% | 5/15/2022 | 18,376 | 18,655,315 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 4.125% | 10/15/2020 | 16,485 | 16,700,798 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 5.875% | 1/31/2022 | 22,920 | 24,521,662 | ||||||||
Fresenius Medical Care US Finance, Inc.† | 5.75% | 2/15/2021 | 4,469 | 4,705,218 | ||||||||
Kindred Healthcare, Inc. | 6.375% | 4/15/2022 | 4,582 | 4,723,905 | ||||||||
Kindred Healthcare, Inc. | 8.00% | 1/15/2020 | 29,137 | 31,176,299 | ||||||||
Kindred Healthcare, Inc. | 8.75% | 1/15/2023 | 20,994 | 22,437,337 | ||||||||
Universal Health Services, Inc.† | 3.75% | 8/1/2019 | 15,846 | 15,905,423 | ||||||||
Universal Health Services, Inc.† | 4.75% | 8/1/2022 | 63,316 | 63,803,533 | ||||||||
Total | 301,433,693 |
See Notes to Financial Statements. | 283 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Household Equipment/Products 0.11% | ||||||||||||
Newell Brands, Inc. | 3.15% | 4/1/2021 | $ | 21,787 | $ | 21,600,302 | ||||||
Newell Brands, Inc. | 3.85% | 4/1/2023 | 8,254 | 8,218,168 | ||||||||
Newell Brands, Inc. | 2.875% | 12/1/2019 | 4,575 | 4,557,699 | ||||||||
Scotts Miracle-Gro Co. (The) | 6.00% | 10/15/2023 | 5,828 | 6,068,405 | ||||||||
Spectrum Brands, Inc. | 6.625% | 11/15/2022 | 2,960 | 3,066,560 | ||||||||
Total | 43,511,134 | |||||||||||
Insurance 0.35% | ||||||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer† | 8.25% | 8/1/2023 | 22,466 | 23,252,310 | ||||||||
Assurant, Inc. | 4.20% | 9/27/2023 | 27,456 | 27,614,024 | ||||||||
AXA Equitable Holdings, Inc.† | 3.90% | 4/20/2023 | 13,685 | 13,648,305 | ||||||||
CNA Financial Corp. | 5.875% | 8/15/2020 | 9,681 | 10,234,246 | ||||||||
CNO Financial Group, Inc. | 4.50% | 5/30/2020 | 3,332 | 3,365,320 | ||||||||
Liberty Mutual Group, Inc.† | 5.00% | 6/1/2021 | 10,662 | 11,130,818 | ||||||||
Lincoln National Corp. | 4.00% | 9/1/2023 | 1,581 | 1,607,572 | ||||||||
Protective Life Corp. | 7.375% | 10/15/2019 | 12,694 | 13,439,450 | ||||||||
Willis North America, Inc. | 7.00% | 9/29/2019 | 33,915 | 35,567,737 | ||||||||
WR Berkley Corp. | 5.375% | 9/15/2020 | 1,000 | 1,046,564 | ||||||||
Total | 140,906,346 | |||||||||||
Investment Management Companies 0.02% | ||||||||||||
Huarong Finance Co. Ltd. | 4.00% | 7/17/2019 | 8,530 | 8,553,202 | ||||||||
Leasing 0.09% | ||||||||||||
Aviation Capital Group LLC† | 3.875% | 5/1/2023 | 22,760 | 22,747,078 | ||||||||
DAE Funding LLC† | 4.00% | 8/1/2020 | 14,012 | 13,906,910 | ||||||||
Total | 36,653,988 | |||||||||||
Leisure 0.26% | ||||||||||||
LTF Merger Sub, Inc.† | 8.50% | 6/15/2023 | 35,663 | 37,267,835 | ||||||||
NCL Corp. Ltd.† | 4.75% | 12/15/2021 | 11,341 | 11,369,352 | ||||||||
Royal Caribbean Cruises Ltd. | 5.25% | 11/15/2022 | 51,924 | 55,098,963 | ||||||||
Total | 103,736,150 | |||||||||||
Lodging 0.04% | ||||||||||||
Hyatt Hotels Corp.† | 6.875% | 8/15/2019 | 5,030 | 5,255,696 | ||||||||
Studio City Co., Ltd. (Macau)†(d) | 7.25% | 11/30/2021 | 7,152 | 7,473,840 | ||||||||
Studio City Co., Ltd. (Macau)(d) | 7.25% | 11/30/2021 | 1,722 | 1,799,490 | ||||||||
Studio City Finance Ltd. (Hong Kong)†(d) | 8.50% | 12/1/2020 | 2,740 | 2,760,550 | ||||||||
Total | 17,289,576 |
284 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Machinery: Agricultural 0.21% | ||||||||||||
BAT International Finance plc (United Kingdom)†(d) | 1.85% | 6/15/2018 | $ | 6,344 | $ | 6,342,538 | ||||||
Bunge Ltd. Finance Corp. | 8.50% | 6/15/2019 | 1,361 | 1,434,230 | ||||||||
Viterra, Inc. (Canada)†(d) | 5.95% | 8/1/2020 | 73,339 | 77,066,981 | ||||||||
Total | 84,843,749 | |||||||||||
Machinery: Industrial/Specialty 0.28% | ||||||||||||
CNH Industrial Capital LLC | 4.375% | 4/5/2022 | 37,237 | 37,924,023 | ||||||||
CNH Industrial Capital LLC | 4.875% | 4/1/2021 | 29,224 | 30,173,780 | ||||||||
Kennametal, Inc. | 2.65% | 11/1/2019 | 9,826 | 9,798,681 | ||||||||
Nvent Finance Sarl (Luxembourg)†(d) | 3.95% | 4/15/2023 | 35,988 | 35,839,160 | ||||||||
Total | 113,735,644 | |||||||||||
Manufacturing 0.17% | ||||||||||||
Gates Global LLC/Gates Global Co.† | 6.00% | 7/15/2022 | 30,783 | 31,167,788 | ||||||||
General Electric Co. | 5.50% | 1/8/2020 | 10,720 | 11,146,059 | ||||||||
Pentair Finance Sarl (Luxembourg)(d) | 2.65% | 12/1/2019 | 2,245 | 2,225,890 | ||||||||
Pentair Finance Sarl (Luxembourg)(d) | 2.90% | 9/15/2018 | 24,201 | 24,242,870 | ||||||||
Total | 68,782,607 | |||||||||||
Media 1.27% | ||||||||||||
Altice Financing SA (Luxembourg)†(d) | 6.625% | 2/15/2023 | 37,092 | 36,658,024 | ||||||||
Altice France SA (France)†(d) | 6.00% | 5/15/2022 | 46,550 | 46,433,625 | ||||||||
Cox Communications, Inc.† | 2.95% | 6/30/2023 | 28,160 | 26,986,883 | ||||||||
Cox Communications, Inc.† | 3.25% | 12/15/2022 | 56,337 | 55,312,660 | ||||||||
CSC Holdings LLC† | 10.125% | 1/15/2023 | 74,616 | 82,917,030 | ||||||||
Myriad International Holdings BV (Netherlands)†(d) | 6.00% | 7/18/2020 | 44,159 | 46,176,890 | ||||||||
NBCUniversal Enterprise, Inc.† | 5.25% | – | (f) | 104,457 | 106,807,282 | |||||||
Sky plc (United Kingdom)†(d) | 9.50% | 11/15/2018 | 15,953 | 16,429,505 | ||||||||
Time Warner Cable LLC | 8.25% | 4/1/2019 | 28,012 | 29,232,212 | ||||||||
Time Warner Cable LLC | 8.75% | 2/14/2019 | 25,110 | 26,096,326 | ||||||||
Viacom, Inc. | 2.75% | 12/15/2019 | 9,653 | 9,583,606 | ||||||||
Viacom, Inc. | 5.625% | 9/15/2019 | 3,000 | 3,096,229 | ||||||||
Virgin Media Finance plc (United Kingdom)†(d) | 6.375% | 4/15/2023 | 23,772 | 24,188,010 | ||||||||
Total | 509,918,282 | |||||||||||
Metal Fabricating 0.04% | ||||||||||||
Valmont Industries, Inc. | 6.625% | 4/20/2020 | 1,000 | 1,062,988 | ||||||||
Zekelman Industries, Inc.† | 9.875% | 6/15/2023 | 14,188 | 15,606,800 | ||||||||
Total | 16,669,788 |
See Notes to Financial Statements. | 285 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Metals & Minerals: Miscellaneous 1.84% | ||||||||||||
Aleris International, Inc.† | 9.50% | 4/1/2021 | $ | 37,803 | $ | 39,645,896 | ||||||
Anglo American Capital plc (United Kingdom)†(d) | 3.75% | 4/10/2022 | 11,961 | 11,909,973 | ||||||||
Anglo American Capital plc (United Kingdom)†(d) | 4.125% | 4/15/2021 | 42,218 | 42,695,697 | ||||||||
Anglo American Capital plc (United Kingdom)†(d) | 4.125% | 9/27/2022 | 26,353 | 26,579,609 | ||||||||
Ausdrill Finance Pty Ltd. (Australia)†(d) | 6.875% | 11/1/2019 | 24,701 | 24,824,505 | ||||||||
Century Aluminum Co.† | 7.50% | 6/1/2021 | 18,650 | 18,929,750 | ||||||||
First Quantum Minerals Ltd. (Canada)†(d) | 7.00% | 2/15/2021 | 40,022 | 40,297,151 | ||||||||
FMG Resources (August 2006) Pty Ltd. (Australia)†(d) | 9.75% | 3/1/2022 | 19,829 | 21,865,025 | ||||||||
Freeport-McMoRan, Inc. | 6.875% | 2/15/2023 | 10,394 | 11,199,535 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(d) | 4.25% | 10/25/2022 | 67,914 | 68,648,156 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(d) | 4.95% | 11/15/2021 | 34,143 | 35,536,775 | ||||||||
Glencore Funding LLC† | 3.00% | 10/27/2022 | 8,392 | 8,079,448 | ||||||||
Glencore Funding LLC† | 3.125% | 4/29/2019 | 84,871 | 84,797,247 | ||||||||
Glencore Funding LLC† | 4.125% | 5/30/2023 | 8,384 | 8,386,571 | ||||||||
Goldcorp, Inc. (Canada)(d) | 3.625% | 6/9/2021 | 61,201 | 61,384,232 | ||||||||
Goldcorp, Inc. (Canada)(d) | 3.70% | 3/15/2023 | 12,379 | 12,249,509 | ||||||||
Hecla Mining Co. | 6.875% | 5/1/2021 | 19,472 | 19,897,950 | ||||||||
Hudbay Minerals, Inc. (Canada)†(d) | 7.25% | 1/15/2023 | 18,392 | 19,081,700 | ||||||||
Joseph T Ryerson & Son, Inc.† | 11.00% | 5/15/2022 | 22,136 | 24,460,280 | ||||||||
Kinross Gold Corp. (Canada)(d) | 5.125% | 9/1/2021 | 8,280 | 8,549,183 | ||||||||
Kinross Gold Corp. (Canada)(d) | 5.95% | 3/15/2024 | 34,549 | 35,920,250 | ||||||||
Lundin Mining Corp. (Canada)†(d) | 7.875% | 11/1/2022 | 10,557 | 11,164,028 | ||||||||
New Gold, Inc. (Canada)†(d) | 6.25% | 11/15/2022 | 41,391 | 42,374,036 | ||||||||
Newmont Mining Corp. | 3.50% | 3/15/2022 | 16,500 | 16,462,594 | ||||||||
Newmont Mining Corp. | 5.125% | 10/1/2019 | 43,911 | 45,053,278 | ||||||||
Total | 739,992,378 | |||||||||||
Natural Gas 0.10% | ||||||||||||
CenterPoint Energy Resources Corp. | 4.50% | 1/15/2021 | 20,495 | 21,048,031 | ||||||||
National Fuel Gas Co. | 3.75% | 3/1/2023 | 5,569 | 5,532,142 | ||||||||
National Fuel Gas Co. | 4.90% | 12/1/2021 | 9,218 | 9,532,419 | ||||||||
National Fuel Gas Co. | 7.395% | 3/30/2023 | 4,000 | 4,564,522 | ||||||||
NiSource, Inc. | 6.80% | 1/15/2019 | 403 | 412,897 | ||||||||
Southern Star Central Corp.† | 5.125% | 7/15/2022 | 1,000 | 1,010,000 | ||||||||
Total | 42,100,011 | |||||||||||
Office Furniture & Business Equipment 0.03% | ||||||||||||
Xerox Corp. | 3.625% | 3/15/2023 | 4,365 | 4,214,731 | ||||||||
Xerox Corp. | 5.625% | 12/15/2019 | 6,594 | 6,794,762 | ||||||||
Total | 11,009,493 |
286 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil 4.04% | ||||||||||||
Afren plc (United Kingdom)†(d)(g) | 6.625% | 12/9/2020 | $ | 8,099 | $ | 35,476 | ||||||
Afren plc (United Kingdom)†(d)(g) | 10.25% | 4/8/2019 | 11,027 | 48,298 | ||||||||
Afren plc (United Kingdom)†(d)(g) | 11.50% | 2/1/2016 | 16,833 | 73,729 | ||||||||
Anadarko Petroleum Corp. | 4.85% | 3/15/2021 | 41,411 | 42,895,027 | ||||||||
Anadarko Petroleum Corp. | 6.95% | 6/15/2019 | 4,910 | 5,099,795 | ||||||||
Anadarko Petroleum Corp. | 8.70% | 3/15/2019 | 13,782 | 14,378,469 | ||||||||
Antero Resources Corp. | 5.125% | 12/1/2022 | 14,663 | 14,809,630 | ||||||||
Apache Corp. | 6.90% | 9/15/2018 | 1,000 | 1,012,071 | ||||||||
Canadian Oil Sands Ltd. (Canada)†(d) | 7.75% | 5/15/2019 | 10,284 | 10,723,438 | ||||||||
Canadian Oil Sands Ltd. (Canada)†(d) | 9.40% | 9/1/2021 | 2,206 | 2,559,714 | ||||||||
Carrizo Oil & Gas, Inc. | 6.25% | 4/15/2023 | 21,844 | 22,226,270 | ||||||||
Carrizo Oil & Gas, Inc. | 7.50% | 9/15/2020 | 18,256 | 18,370,100 | ||||||||
Cenovus Energy, Inc. (Canada)(d) | 5.70% | 10/15/2019 | 4,445 | 4,574,070 | ||||||||
CNOOC Curtis Funding No 1 Pty Ltd. (Australia)†(d) | 4.50% | 10/3/2023 | 43,176 | 44,697,695 | ||||||||
CNOOC Finance 2015 Australia Pty Ltd. (Australia)(d) | 2.625% | 5/5/2020 | 41,367 | 40,872,333 | ||||||||
CNX Resources Corp. | 5.875% | 4/15/2022 | 17,831 | 18,031,599 | ||||||||
CNX Resources Corp. | 8.00% | 4/1/2023 | 27,888 | 29,631,000 | ||||||||
Continental Resources, Inc. | 5.00% | 9/15/2022 | 129,928 | 132,050,141 | ||||||||
Devon Energy Corp. | 2.25% | 12/15/2018 | 12,369 | 12,306,799 | ||||||||
Devon Energy Corp. | 6.30% | 1/15/2019 | 4,694 | 4,777,709 | ||||||||
Eclipse Resources Corp. | 8.875% | 7/15/2023 | 27,266 | 25,766,370 | ||||||||
Encana Corp. (Canada)(d) | 6.50% | 5/15/2019 | 110,090 | 113,424,592 | ||||||||
Energen Corp. | 4.625% | 9/1/2021 | 6,244 | 6,259,610 | ||||||||
Eni SpA (Italy)†(d) | 4.15% | 10/1/2020 | 25,456 | 25,883,011 | ||||||||
Equinor ASA (Norway)†(d) | 7.875% | 12/9/2022 | 10,000 | 11,779,272 | ||||||||
Gazprom OAO Via Gaz Capital SA (Luxembourg)†(d) | 6.51% | 3/7/2022 | 22,562 | 23,982,639 | ||||||||
Gulfport Energy Corp. | 6.625% | 5/1/2023 | 29,329 | 29,622,290 | ||||||||
Harvest Operations Corp. (Canada)†(d) | 4.20% | 6/1/2023 | 8,250 | 8,400,068 | ||||||||
HighPoint Operating Corp. | 7.00% | 10/15/2022 | 5,560 | 5,627,832 | ||||||||
KazMunayGas National Co. JSC (Kazakhstan)†(d) | 9.125% | 7/2/2018 | 71,128 | 71,455,900 | ||||||||
Kosmos Energy Ltd. † | 7.875% | 8/1/2021 | 12,037 | 12,277,740 | ||||||||
Matador Resources Co. | 6.875% | 4/15/2023 | 55,099 | 57,785,076 | ||||||||
Motiva Enterprises LLC† | 5.75% | 1/15/2020 | 20,582 | 21,320,843 | ||||||||
Newfield Exploration Co. | 5.75% | 1/30/2022 | 33,650 | 35,416,625 | ||||||||
Nexen Energy ULC (Canada)(d) | 6.20% | 7/30/2019 | 8,005 | 8,295,189 | ||||||||
Oasis Petroleum, Inc. | 6.875% | 3/15/2022 | 76,075 | 77,406,312 | ||||||||
OGX Austria GmbH (Brazil)†(d)(g) | 8.50% | 6/1/2018 | 31,150 | 623 | ||||||||
Petrobras Global Finance BV (Netherlands)(d) | 6.125% | 1/17/2022 | 21,967 | 23,065,350 |
See Notes to Financial Statements. | 287 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil (continued) | ||||||||||||
Petroleos Mexicanos (Mexico)(d) | 3.50% | 1/30/2023 | $ | 54,720 | $ | 51,464,160 | ||||||
Petroleos Mexicanos (Mexico)(d) | 4.625% | 9/21/2023 | 97,527 | 95,859,288 | ||||||||
Petroleos Mexicanos (Mexico)(d) | 8.00% | 5/3/2019 | 21,800 | 22,595,700 | ||||||||
Phillips 66 | 2.919% (3 Mo. LIBOR + .60% | )# | 2/26/2021 | 12,011 | 12,036,053 | |||||||
Pioneer Natural Resources Co. | 3.95% | 7/15/2022 | 6,444 | 6,546,759 | ||||||||
Pioneer Natural Resources Co. | 7.50% | 1/15/2020 | 9,915 | 10,597,534 | ||||||||
Range Resources Corp. | 5.00% | 8/15/2022 | 18,943 | 18,848,285 | ||||||||
Range Resources Corp. | 5.75% | 6/1/2021 | 41,339 | 42,682,517 | ||||||||
Range Resources Corp. | 5.875% | 7/1/2022 | 9,166 | 9,280,575 | ||||||||
Ras Laffan Liquefied Natural Gas Co., Ltd. III (Qatar)†(d) | 6.75% | 9/30/2019 | 31,591 | 32,896,295 | ||||||||
Resolute Energy Corp. | 8.50% | 5/1/2020 | 45,871 | 45,985,677 | ||||||||
RSP Permian, Inc. | 6.625% | 10/1/2022 | 33,396 | 34,898,820 | ||||||||
Sable Permian Resources Land LLC/AEPB Finance Corp.† | 13.00% | 11/30/2020 | 25,716 | 28,930,500 | ||||||||
Sanchez Energy Corp. | 6.125% | 1/15/2023 | 18,634 | 12,345,025 | ||||||||
Seven Generations Energy Ltd. (Canada)†(d) | 6.75% | 5/1/2023 | 18,088 | 18,947,180 | ||||||||
Seven Generations Energy Ltd. (Canada)†(d) | 6.875% | 6/30/2023 | 39,254 | 40,824,160 | ||||||||
Sinopec Group Overseas Development 2013 Ltd.† | 2.50% | 10/17/2018 | 24,600 | 24,571,390 | ||||||||
Sinopec Group Overseas Development 2016 Ltd. (China)†(d) | 2.125% | 5/3/2019 | 18,174 | 18,018,322 | ||||||||
Sinopec Group Overseas Development 2017 Ltd. (China)†(d) | 2.25% | 9/13/2020 | 41,600 | 40,684,301 | ||||||||
SM Energy Co. | 6.50% | 11/15/2021 | 48,673 | 49,768,142 | ||||||||
SM Energy Co. | 6.50% | 1/1/2023 | 28,926 | 29,504,520 | ||||||||
YPF SA (Argentina)(d) | 9.843% (3 Mo. LIBOR + 7.50% | )# | 8/15/2018 | 2,206 | 2,230,147 | |||||||
Total | 1,626,458,055 | |||||||||||
Oil: Crude Producers 4.17% | ||||||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. | 5.50% | 10/15/2019 | 22,755 | 23,372,798 | ||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. | 6.25% | 10/15/2022 | 33,109 | 34,557,519 | ||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. | 6.375% | 5/1/2024 | 64,900 | 69,492,324 | ||||||||
Boardwalk Pipelines LP | 5.20% | 6/1/2018 | 11,244 | 11,244,000 | ||||||||
Boardwalk Pipelines LP | 5.75% | 9/15/2019 | 4,629 | 4,779,511 | ||||||||
Buckeye Partners LP | 2.65% | 11/15/2018 | 54,395 | 54,333,204 | ||||||||
Buckeye Partners LP | 4.875% | 2/1/2021 | 9,040 | 9,250,024 | ||||||||
Buckeye Partners LP | 5.50% | 8/15/2019 | 6,313 | 6,487,311 | ||||||||
Columbia Pipeline Group, Inc. | 2.45% | 6/1/2018 | 30,945 | 30,945,000 | ||||||||
Columbia Pipeline Group, Inc. | 3.30% | 6/1/2020 | 80,538 | 80,396,569 | ||||||||
DCP Midstream Operating LP† | 9.75% | 3/15/2019 | 36,014 | 37,975,683 |
288 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil: Crude Producers (continued) | ||||||||||||
Enable Midstream Partners LP | 2.40% | 5/15/2019 | $ | 5,805 | $ | 5,768,299 | ||||||
Enable Oklahoma Intrastate Transmission LLC† | 6.25% | 3/15/2020 | 4,000 | 4,182,403 | ||||||||
Enbridge Energy LP | 7.00% | 10/1/2018 | 2,745 | 2,776,728 | ||||||||
Enbridge Energy Partners LP | 5.20% | 3/15/2020 | 18,376 | 18,973,231 | ||||||||
Enbridge Energy Partners LP | 9.875% | 3/1/2019 | 84,062 | 88,343,990 | ||||||||
Energy Transfer Partners LP | 5.20% | 2/1/2022 | 3,253 | 3,401,342 | ||||||||
Energy Transfer Partners LP | 9.00% | 4/15/2019 | 105,386 | 110,635,315 | ||||||||
Energy Transfer Partners LP | 9.70% | 3/15/2019 | 66,348 | 69,838,012 | ||||||||
Energy Transfer Partners LP/Regency Energy Finance Corp. | 5.75% | 9/1/2020 | 975 | 1,017,706 | ||||||||
Energy Transfer Partners LP/Regency Energy Finance Corp. | 5.875% | 3/1/2022 | 1,925 | 2,046,534 | ||||||||
Florida Gas Transmission Co. LLC† | 3.875% | 7/15/2022 | 2,354 | 2,379,468 | ||||||||
Florida Gas Transmission Co. LLC† | 5.45% | 7/15/2020 | 13,739 | 14,303,441 | ||||||||
Florida Gas Transmission Co. LLC† | 7.90% | 5/15/2019 | 31,266 | 32,613,456 | ||||||||
Gulf South Pipeline Co. LP | 4.00% | 6/15/2022 | 23,199 | 23,198,545 | ||||||||
Kinder Morgan Energy Partners LP | 5.00% | 10/1/2021 | 5,770 | 6,006,101 | ||||||||
Kinder Morgan Energy Partners LP | 5.30% | 9/15/2020 | 13,997 | 14,582,602 | ||||||||
Kinder Morgan Energy Partners LP | 5.80% | 3/1/2021 | 61,669 | 65,340,912 | ||||||||
Kinder Morgan Energy Partners LP | 6.50% | 4/1/2020 | 16,763 | 17,708,387 | ||||||||
Kinder Morgan Energy Partners LP | 6.85% | 2/15/2020 | 27,917 | 29,530,355 | ||||||||
Kinder Morgan Energy Partners LP | 9.00% | 2/1/2019 | 35,010 | 36,377,678 | ||||||||
Kinder Morgan, Inc.† | 5.00% | 2/15/2021 | 16,878 | 17,481,479 | ||||||||
Kinder Morgan, Inc.† | 5.625% | 11/15/2023 | 14,295 | 15,321,095 | ||||||||
Kinder Morgan, Inc. | 6.50% | 9/15/2020 | 5,792 | 6,185,636 | ||||||||
Kinder Morgan, Inc. | 7.25% | 6/1/2018 | 61,509 | 61,509,000 | ||||||||
Magellan Midstream Partners LP | 6.55% | 7/15/2019 | 15,772 | 16,378,231 | ||||||||
Midcontinent Express Pipeline LLC† | 6.70% | 9/15/2019 | 50,892 | 52,545,990 | ||||||||
MPLX LP | 5.50% | 2/15/2023 | 113,474 | 116,170,142 | ||||||||
NGPL PipeCo LLC† | 4.375% | 8/15/2022 | 7,186 | 7,203,965 | ||||||||
Northern Natural Gas Co.† | 4.25% | 6/1/2021 | 9,124 | 9,317,631 | ||||||||
Northwest Pipeline LLC | 6.05% | 6/15/2018 | 2,475 | 2,477,766 | ||||||||
ONEOK Partners LP | 8.625% | 3/1/2019 | 11,899 | 12,395,332 | ||||||||
Panhandle Eastern Pipe Line Co. LP | 7.00% | 6/15/2018 | 20,222 | 20,247,786 | ||||||||
Rockies Express Pipeline LLC† | 6.00% | 1/15/2019 | 20,767 | 21,150,151 | ||||||||
Rockies Express Pipeline LLC† | 6.85% | 7/15/2018 | 9,584 | 9,631,920 | ||||||||
Sabine Pass Liquefaction LLC | 5.625% | 2/1/2021 | 185,910 | 194,944,203 | ||||||||
Sabine Pass Liquefaction LLC | 5.625% | 4/15/2023 | 101,991 | 108,943,238 | ||||||||
Sabine Pass Liquefaction LLC | 6.25% | 3/15/2022 | 6,800 | 7,347,440 |
See Notes to Financial Statements. | 289 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil: Crude Producers (continued) | ||||||||||||
Southern Natural Gas Co. LLC/Southern Natural Issuing Corp. | 4.40% | 6/15/2021 | $ | 750 | $ | 770,669 | ||||||
Spectra Energy Partners LP | 2.725% (3 Mo. LIBOR + .70% | )# | 6/5/2020 | 12,600 | 12,691,292 | |||||||
Spectra Energy Partners LP | 2.95% | 9/25/2018 | 2,000 | 2,000,970 | ||||||||
Spectra Energy Partners LP | 4.60% | 6/15/2021 | 11,937 | 12,303,075 | ||||||||
Sunoco Logistics Partners Operations LP | 3.45% | 1/15/2023 | 12,485 | 12,166,103 | ||||||||
Sunoco Logistics Partners Operations LP | 4.65% | 2/15/2022 | 608 | 625,385 | ||||||||
Texas Eastern Transmission LP† | 2.80% | 10/15/2022 | 5,237 | 5,046,605 | ||||||||
Texas Eastern Transmission LP† | 4.125% | 12/1/2020 | 18,339 | 18,635,679 | ||||||||
Texas Gas Transmission LLC† | 4.50% | 2/1/2021 | 16,164 | 16,421,641 | ||||||||
TransCanada PipeLines Ltd. (Canada)(d) | 6.50% | 8/15/2018 | 1,205 | 1,214,523 | ||||||||
Western Gas Partners LP | 2.60% | 8/15/2018 | 4,961 | 4,958,415 | ||||||||
Total | 1,677,943,810 | |||||||||||
Oil: Integrated Domestic 0.23% | ||||||||||||
National Oilwell Varco, Inc. | 2.60% | 12/1/2022 | 49,005 | 46,666,405 | ||||||||
SESI LLC | 7.125% | 12/15/2021 | 42,146 | 42,988,920 | ||||||||
TechnipFMC plc (United Kingdom)(d) | 3.45% | 10/1/2022 | 2,514 | 2,447,784 | ||||||||
Total | 92,103,109 | |||||||||||
Real Estate Investment Trusts 1.07% | ||||||||||||
Brixmor Operating Partnership LP | 3.875% | 8/15/2022 | 43,248 | 43,229,987 | ||||||||
Country Garden Holdings Co. Ltd. (China)(d) | 7.50% | 3/9/2020 | 13,519 | 13,979,227 | ||||||||
DDR Corp. | 4.625% | 7/15/2022 | 24,648 | 25,451,387 | ||||||||
EPR Properties | 5.25% | 7/15/2023 | 5,410 | 5,605,917 | ||||||||
EPR Properties | 5.75% | 8/15/2022 | 23,939 | 25,356,486 | ||||||||
HCP, Inc. | 5.375% | 2/1/2021 | 3,751 | 3,923,255 | ||||||||
Healthcare Trust of America Holdings LP | 2.95% | 7/1/2022 | 7,782 | 7,574,252 | ||||||||
Healthcare Trust of America Holdings LP | 3.70% | 4/15/2023 | 613 | 606,204 | ||||||||
Kilroy Realty LP | 6.625% | 6/1/2020 | 17,727 | 18,857,025 | ||||||||
Ontario Teachers’ Cadillac Fairview Properties Trust (Canada)†(d) | 3.125% | 3/20/2022 | 37,590 | 37,252,315 | ||||||||
Reckson Operating Partnership LP | 7.75% | 3/15/2020 | 40,440 | 43,500,928 | ||||||||
Regency Centers LP | 4.80% | 4/15/2021 | 2,884 | 2,979,057 | ||||||||
Senior Housing Properties Trust | 3.25% | 5/1/2019 | 30,756 | 30,783,748 | ||||||||
SL Green Operating Partnership LP | 3.25% | 10/15/2022 | 5,685 | 5,537,998 | ||||||||
SL Green Realty Corp. | 4.50% | 12/1/2022 | 9,201 | 9,367,418 | ||||||||
SL Green Realty Corp. | 5.00% | 8/15/2018 | 11,525 | 11,532,046 | ||||||||
VEREIT Operating Partnership LP | 3.00% | 2/6/2019 | 109,317 | 109,359,359 | ||||||||
VEREIT Operating Partnership LP | 4.125% | 6/1/2021 | 12,830 | 13,043,522 |
290 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Real Estate Investment Trusts (continued) | ||||||||||||
WEA Finance LLC/Westfield UK & Europe Finance plc† | 3.25% | 10/5/2020 | $ | 640 | $ | 639,570 | ||||||
Weyerhaeuser Co. | 4.70% | 3/15/2021 | 14,433 | 14,972,623 | ||||||||
Weyerhaeuser Co. | 7.375% | 10/1/2019 | 5,227 | 5,515,135 | ||||||||
Total | 429,067,459 | |||||||||||
Retail 0.04% | ||||||||||||
Best Buy Co., Inc. | 5.00% | 8/1/2018 | 4,917 | 4,933,344 | ||||||||
Dollar Tree, Inc. | 3.70% | 5/15/2023 | 10,953 | 10,925,921 | ||||||||
Total | 15,859,265 | |||||||||||
Savings & Loan 0.09% | ||||||||||||
People’s United Financial, Inc. | 3.65% | 12/6/2022 | 34,249 | 34,407,015 | ||||||||
Steel 0.06% | ||||||||||||
BlueScope Steel Finance Ltd/BlueScope Steel Finance USA LLC (Australia)†(d) | 6.50% | 5/15/2021 | 22,316 | 23,074,744 | ||||||||
Technology 0.52% | ||||||||||||
Alibaba Group Holding Ltd. (China)(d) | 2.80% | 6/6/2023 | 21,865 | 21,148,606 | ||||||||
Baidu, Inc. (China)(d) | 2.75% | 6/9/2019 | 21,550 | 21,484,186 | ||||||||
Baidu, Inc. (China)(d) | 3.00% | 6/30/2020 | 1,000 | 993,123 | ||||||||
Baidu, Inc. (China)(d) | 3.25% | 8/6/2018 | 26,100 | 26,127,274 | ||||||||
Baidu, Inc. (China)(d) | 3.50% | 11/28/2022 | 8,474 | 8,384,667 | ||||||||
Baidu, Inc. (China)(d) | 3.875% | 9/29/2023 | 40,957 | 41,064,512 | ||||||||
eBay, Inc. | 2.838% (3 Mo. LIBOR + .48% | )# | 8/1/2019 | 500 | 501,160 | |||||||
Expedia Group, Inc. | 7.456% | 8/15/2018 | 51,930 | 52,406,279 | ||||||||
Tencent Holdings Ltd. (China)†(d) | 3.375% | 5/2/2019 | 32,546 | 32,746,573 | ||||||||
VeriSign, Inc. | 4.625% | 5/1/2023 | 5,744 | 5,815,800 | ||||||||
Total | 210,672,180 | |||||||||||
Telecommunications 0.43% | ||||||||||||
GCI, Inc. | 6.75% | 6/1/2021 | 19,818 | 20,090,497 | ||||||||
GTH Finance BV (Netherlands)†(d) | 6.25% | 4/26/2020 | 9,400 | 9,632,030 | ||||||||
Intelsat Jackson Holdings SA (Luxembourg)(d) | 7.25% | 10/15/2020 | 25,043 | 24,667,355 | ||||||||
Level 3 Parent LLC | 5.75% | 12/1/2022 | 5,042 | 5,054,605 | ||||||||
Nortel Networks Ltd. (Canada)(d)(g) | 10.75% | 7/15/2016 | 60,959 | 1,981,168 | ||||||||
T-Mobile USA, Inc. | 6.00% | 4/15/2024 | 42,682 | 44,444,767 | ||||||||
Vodafone Group plc (United Kingdom)(d) | 3.308% (3 Mo. LIBOR + .99% | )# | 1/16/2024 | 27,420 | 27,364,717 | |||||||
Vodafone Group plc (United Kingdom)(d) | 3.75% | 1/16/2024 | 40,359 | 40,193,171 | ||||||||
Total | 173,428,310 |
See Notes to Financial Statements. | 291 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Textiles Products 0.05% | ||||||||||||
Springs Industries, Inc. | 6.25% | 6/1/2021 | $ | 19,880 | $ | 20,263,684 | ||||||
Toys 0.01% | ||||||||||||
Mattel, Inc. | 2.35% | 8/15/2021 | 6,114 | 5,594,310 | ||||||||
Transportation: Miscellaneous 0.18% | ||||||||||||
CEVA Group plc PIK 3.00% (United Kingdom)†(d) | 9.00% | 9/1/2020 | 23,006 | 24,098,340 | ||||||||
Pelabuhan Indonesia III Persero PT (Indonesia)†(d) | 4.50% | 5/2/2023 | 20,485 | 20,503,858 | ||||||||
Watco Cos. LLC/Watco Finance Corp.† | 6.375% | 4/1/2023 | 13,534 | 13,906,185 | ||||||||
XPO Logistics, Inc.† | 6.50% | 6/15/2022 | 12,860 | 13,216,865 | ||||||||
Total | 71,725,248 | |||||||||||
Utilities 0.03% | ||||||||||||
United Utilities plc (United Kingdom)(d) | 4.55% | 6/19/2018 | 1,500 | 1,501,109 | ||||||||
United Utilities plc (United Kingdom)(d) | 5.375% | 2/1/2019 | 8,474 | 8,602,892 | ||||||||
Total | 10,104,001 | |||||||||||
Wholesale 0.02% | ||||||||||||
HD Supply, Inc.† | 5.75% | 4/15/2024 | 5,950 | 6,254,937 | ||||||||
Total Corporate Bonds (cost $15,492,396,480) | 15,319,545,788 | |||||||||||
FLOATING RATE LOANS(h) 2.88% | ||||||||||||
Aerospace/Defense 0.01% | ||||||||||||
Gol Luxco S.A. Term Loan (Luxembourg)(d) | 6.50% (6 Mo. LIBOR + 6.50% | ) | 8/31/2020 | 4,615 | 4,734,205 | |||||||
Auto Parts: Original Equipment 0.01% | ||||||||||||
Federal-Mogul Corp. 2014 Tranche C Term Loan | 5.67% (1 Mo. LIBOR + 3.75% | ) | 4/15/2021 | 5,274 | 5,328,519 | |||||||
Beverages 0.12% | ||||||||||||
Keurig Green Mountain, Inc. 2017 Term Loan A | 3.063% (1 Wk. LIBOR + 1.25% | ) | 3/3/2021 | 37,488 | 37,464,692 | |||||||
Keurig Green Mountain, Inc. Term Loan A | 3.313% (1 Wk. LIBOR + 1.50% | ) | 3/3/2021 | 10,857 | 10,854,788 | |||||||
Total | 48,319,480 | |||||||||||
Biotechnology Research & Production 0.14% | ||||||||||||
Alexion Pharmaceuticals, Inc. Global Term Loan | 3.25% (1 Mo. LIBOR + 1.50% | ) | 6/22/2020 | 58,203 | 58,275,538 | (i) |
292 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Chemicals 0.23% | ||||||||||||
Celanese U.S. Holdings LLC Term Loan | 3.407% (1 Mo. LIBOR + 1.50% | ) | 7/15/2021 | $ | 44,776 | $ | 44,860,418 | |||||
FMC Corporation Delayed Draw Term Loan A | 3.23% (1 Mo. LIBOR + 1.25% | ) | 4/21/2020 | 8,415 | 8,436,038 | (i) | ||||||
Mosaic Company (The) Term Loan | 3.48% (1 Mo. LIBOR + 1.50% | ) | 11/18/2021 | 35,051 | 34,963,603 | (i) | ||||||
Sherwin-Williams Company (The) Term Loan A | 3.173% (1 Mo. LIBOR + 1.25% | ) | 4/13/2021 | 3,738 | 3,738,000 | (i) | ||||||
Total | 91,998,059 | |||||||||||
Computer Hardware 0.45% | ||||||||||||
Dell International LLC Replacement Term Loan A2 | 3.74% (1 Mo. LIBOR + 1.75% | ) | 9/7/2021 | 97,911 | 97,954,790 | |||||||
Dell International LLC Replacement Term Loan A3 | 3.49% (1 Mo. LIBOR + 1.50% | ) | 12/31/2018 | 68,548 | 68,584,314 | |||||||
Everett SpinCo, Inc Tranche Term Loan A2 | 3.23% (1 Mo. LIBOR + 1.25% | ) | 12/16/2019 | 14,523 | 14,532,261 | (i) | ||||||
Total | 181,071,365 | |||||||||||
Computer Software 0.07% | ||||||||||||
Cadence Design Systems, Inc. Term Loan | 3.092% (3 Mo. LIBOR + 1.13% | ) | 1/28/2019 | 27,897 | 27,862,129 | (i) | ||||||
Containers 0.03% | ||||||||||||
Ball Corp. Dollar Term Loan A | 3.73% (1 Mo. LIBOR + 1.75% | ) | 3/18/2021 | 12,184 | 12,244,669 | (i) | ||||||
Electrical Equipment 0.10% | ||||||||||||
Analog Devices, Inc. Three Year Term Loan | 3.055% (1 Mo. LIBOR + 1.13% | ) | 9/23/2019 | 40,381 | 40,431,244 | (i) | ||||||
Entertainment 0.02% | ||||||||||||
GLP Capital, LP Incremental Tranche A1 Term Loan | 3.434% (1 Mo. LIBOR + 1.50% | ) | 7/31/2020 | 9,462 | 9,402,953 | |||||||
Health Care Products 0.20% | ||||||||||||
Zimmer Biomet Holdings, Inc. Term Loan A | 3.23% (1 Mo. LIBOR + 1.25% | ) | 9/30/2019 | 58,813 | 58,923,475 | (i) | ||||||
Zimmer Holdings, Inc. Term Loan | 3.355% (1 Mo. LIBOR + 1.38% | ) | 5/29/2019 | 20,350 | 20,324,187 | (i) | ||||||
Total | 79,247,662 |
See Notes to Financial Statements. | 293 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Health Care Services 0.01% | ||||||||||||
Laboratory Corp. of America Holdings Term Loan | 3.226% (1 Mo. LIBOR + 1.25% | ) | 12/19/2019 | $ | 3,021 | $ | 3,024,596 | (i) | ||||
Investment Management Companies 0.06% | ||||||||||||
RPI Finance Trust Term Loan A4 | 3.802% (2 Mo. LIBOR + 1.50% | ) | 5/4/2022 | 22,712 | 22,747,474 | |||||||
Lodging 0.11% | ||||||||||||
Venetian Macan New Initial Term Loan | 3.605% (1 Mo. LIBOR + 1.63% | ) | 5/31/2022 | 43,793 | 43,847,741 | (i) | ||||||
Machinery: Industrial/Specialty 0.02% | ||||||||||||
Flowserve Corp. 2012 Term Loan | 3.802% (3 Mo. LIBOR + 1.50% | ) | 10/14/2020 | 9,319 | 9,353,695 | (i) | ||||||
Manufacturing 0.06% | ||||||||||||
Tyco International Holding S.a.r.I. Term Loan (Luxembourg)(d) | 3.373% (2 Mo. LIBOR + 1.38% | ) | 3/2/2020 | 23,092 | 23,070,212 | |||||||
Media 0.07% | ||||||||||||
Discovery Communications, LLC Tranche 1 Term Loan | 3.48% (1 Mo. LIBOR + 1.50% | ) | 3/5/2021 | 26,925 | 26,958,656 | |||||||
Metal Fabricating 0.01% | ||||||||||||
Doncasters US Finance LLC 2nd Lien Term Loan | 10.552% (3 Mo. LIBOR + 8.25% | ) | 10/9/2020 | 4,552 | 4,367,312 | |||||||
Miscellaneous 0.12% | ||||||||||||
Rockwell Collins, Inc. Term Loan | 3.168% (1 Mo. LIBOR + 1.25% | ) | 12/16/2019 | 34,445 | 34,359,138 | (i) | ||||||
Utex Industries, Inc. 1st Lien Initial Term Loan | 5.98% | 5/21/2021 | 9,604 | 9,546,438 | ||||||||
Utex Industries, Inc. 2nd Lien Initial Term Loan | 9.23% (1 Mo. LIBOR + 7.25% | ) | 5/20/2022 | 3,938 | 3,872,373 | |||||||
Total | 47,777,949 | |||||||||||
Office Furniture & Business Equipment 0.03% | ||||||||||||
Eastman Chemical Company Term Loan | 3.23% (1 Mo. LIBOR + 1.25% | ) | 12/15/2021 | 13,032 | 12,991,275 | (i) | ||||||
Oil 0.03% | ||||||||||||
Petroleos Mexicanos Term Loan (Mexico)(d) | 2.79% (1 Mo. LIBOR + 0.85% | ) | 2/14/2020 | 12,268 | 12,229,662 | (i) | ||||||
Oil: Crude Producers 0.11% | ||||||||||||
Buckeye Partners L.P. Delay Drew Term Loan | 3.34% (1 Mo. LIBOR + 1.35% | ) | 9/30/2019 | 44,233 | 44,122,417 | (i) |
294 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Real Estate Investment Trusts 0.46% | ||||||||||||
American Tower Corporation 2017 Term Loan | 3.24% (1 Mo. LIBOR + 1.25% | ) | 1/31/2023 | $ | 68,728 | $ | 68,813,910 | (i) | ||||
Crown Castle International Corp. Term Loan | 3.135% (1 Wk. LIBOR + 1.38% | ) | 1/21/2022 | 45,737 | 45,808,579 | |||||||
Invitation Homes Operating Partnership LP Term Loan A | 3.734% (1 Mo. LIBOR + 1.80% | ) | 2/7/2022 | 71,209 | 69,873,831 | |||||||
Total | 184,496,320 | |||||||||||
Retail 0.41% | ||||||||||||
Panera Bread Co. Term Loan | 3.938% (1 Mo. LIBOR + 2.00% | ) | 7/18/2022 | 60,013 | 59,187,698 | (i) | ||||||
PVH Corp. Tranche A Term Loan | 3.439% (1 Mo. LIBOR + 1.50% | ) | 5/19/2019 | 105,331 | 105,308,823 | |||||||
Total | 164,496,521 | |||||||||||
Technology 0.00% | ||||||||||||
Symantec Corp. Term Loan A2 | 3.875% (3 Mo. LIBOR + 1.50% | ) | 8/1/2019 | 1,334 | 1,331,273 | |||||||
Total Floating Rate Loans (cost $1,157,794,178) | 1,159,730,926 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS 0.93% | ||||||||||||
Argentina 0.22% | ||||||||||||
Republic of Argentina(c) | 3.375% | 1/15/2023 | EUR | 23,684 | 26,130,355 | |||||||
Republic of Argentina(d) | 4.625% | 1/11/2023 | $ | 37,922 | 34,552,062 | |||||||
Republic of Argentina(d) | 6.25% | 4/22/2019 | 27,791 | 28,124,492 | ||||||||
Total | 88,806,909 | |||||||||||
Bermuda 0.09% | ||||||||||||
Government of Bermuda† | 4.138% | 1/3/2023 | 18,812 | 19,024,011 | ||||||||
Government of Bermuda† | 4.854% | 2/6/2024 | 16,500 | 17,038,560 | ||||||||
Total | 36,062,571 | |||||||||||
Canada 0.28% | ||||||||||||
Ontario Teachers’ Finance Trust†(d) | 2.75% | 4/16/2021 | 110,668 | 110,315,973 | ||||||||
Indonesia 0.08% | ||||||||||||
Perusahaan Penerbit SBSN†(d) | 3.40% | 3/29/2022 | 9,330 | 9,125,953 | ||||||||
Perusahaan Penerbit SBSN†(d) | 3.75% | 3/1/2023 | 13,995 | 13,751,207 | ||||||||
Republic of Indonesia†(d) | 3.70% | 1/8/2022 | 10,939 | 10,858,828 | ||||||||
Total | 33,735,988 |
See Notes to Financial Statements. | 295 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Japan 0.15% | ||||||||||||
Japan Bank for International Corp.(d) | 1.50% | 7/21/2021 | $ | 25,000 | $ | 23,873,591 | ||||||
Japan Bank for International Corp.(d) | 2.375% | 11/16/2022 | 17,774 | 17,218,372 | ||||||||
Japan Bank for International Corp.(d) | 2.50% | 6/1/2022 | 17,284 | 16,904,695 | ||||||||
Total | 57,996,658 | |||||||||||
Qatar 0.06% | ||||||||||||
State of Qatar†(d) | 5.25% | 1/20/2020 | 24,618 | 25,411,684 | ||||||||
Sri Lanka 0.05% | ||||||||||||
Republic of Sri Lanka†(d) | 5.75% | 4/18/2023 | 21,860 | 21,558,245 | ||||||||
Total Foreign Government Obligations (cost $382,781,236) | 373,888,028 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 3.58% | ||||||||||||
Federal Home Loan Mortgage Corp. 2011-K704 B† | 4.491% | #(j) | 10/25/2030 | 51,714 | 51,712,402 | |||||||
Federal Home Loan Mortgage Corp. 2012-K705 C† | 4.158% | #(j) | 9/25/2044 | 4,165 | 4,164,456 | |||||||
Federal Home Loan Mortgage Corp. 2012-K706 B† | 4.03% | #(j) | 11/25/2044 | 6,835 | 6,843,269 | |||||||
Federal Home Loan Mortgage Corp. 2012-K707 B† | 3.883% | #(j) | 1/25/2047 | 8,377 | 8,394,764 | |||||||
Federal Home Loan Mortgage Corp. 2012-K708 C† | 3.75% | #(j) | 2/25/2045 | 6,800 | 6,820,720 | |||||||
Federal Home Loan Mortgage Corp. 2012-K709 B† | 3.741% | #(j) | 4/25/2045 | 32,745 | 32,901,606 | |||||||
Federal Home Loan Mortgage Corp. 2012-K709 C† | 3.741% | #(j) | 4/25/2045 | 10,007 | 10,046,033 | |||||||
Federal Home Loan Mortgage Corp. 2012-K710 B† | 3.812% | #(j) | 6/25/2047 | 11,400 | 11,496,601 | |||||||
Federal Home Loan Mortgage Corp. 2012-K711 B† | 3.562% | #(j) | 8/25/2045 | 17,975 | 18,063,798 | |||||||
Federal Home Loan Mortgage Corp. 2012-K711 C† | 3.562% | #(j) | 8/25/2045 | 20,300 | 20,195,749 | |||||||
Federal Home Loan Mortgage Corp. 2013-K712 B† | 3.362% | #(j) | 5/25/2045 | 12,100 | 12,149,063 | |||||||
Federal Home Loan Mortgage Corp. 2013-K713 B† | 3.163% | #(j) | 4/25/2046 | 35,440 | 35,483,570 | |||||||
Federal Home Loan Mortgage Corp. 2014-K503 B† | 3.002% | #(j) | 10/25/2047 | 38,988 | 38,803,435 | |||||||
Federal Home Loan Mortgage Corp. K061 X1 IO | 0.178% | #(j) | 11/25/2026 | 573,252 | 8,492,105 | |||||||
Federal Home Loan Mortgage Corp. K503 X1 IO | 0.509% | #(j) | 8/25/2019 | 264,159 | 764,634 | |||||||
Federal Home Loan Mortgage Corp. K722 X1 IO | 1.31% | #(j) | 3/25/2023 | 202,756 | 10,265,005 | |||||||
Government National Mortgage Assoc. 2013-162 A | 2.75% | #(j) | 9/16/2046 | 9,497 | 9,218,521 | |||||||
Government National Mortgage Assoc. 2013-171 IO | 0.889% | #(j) | 6/16/2054 | 38,619 | 1,810,329 | |||||||
Government National Mortgage Assoc. 2013-193 IO | 0.929% | #(j) | 1/16/2055 | 89,396 | 4,257,728 | |||||||
Government National Mortgage Assoc. 2014-109 A | 2.325% | 1/16/2046 | 31,638 | 31,301,077 | ||||||||
Government National Mortgage Assoc. 2014-112 A | 3.00% | #(j) | 1/16/2048 | 16,793 | 16,347,711 | |||||||
Government National Mortgage Assoc. 2014-135 AS | 2.30% | 2/16/2047 | 15,512 | 15,234,513 | ||||||||
Government National Mortgage Assoc. 2014-15 IO | 0.762% | #(j) | 8/16/2054 | 43,633 | 1,773,754 | |||||||
Government National Mortgage Assoc. 2014-164 AK | 2.90% | #(j) | 3/16/2055 | 14,467 | 13,950,466 | |||||||
Government National Mortgage Assoc. 2014-172 A | 3.05% | #(j) | 1/16/2049 | 8,824 | 8,644,178 | |||||||
Government National Mortgage Assoc. 2014-186 AP | 2.80% | 4/16/2050 | 37,614 | 36,408,151 | ||||||||
Government National Mortgage Assoc. 2014-64 A | 2.20% | 2/16/2045 | 9,724 | 9,616,025 |
296 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | ||||||||||||
Government National Mortgage Assoc. 2014-64 IO | 1.17% | #(j) | 12/16/2054 | $ | 46,571 | $ | 2,757,865 | |||||
Government National Mortgage Assoc. 2014-70 A | 2.50% | 3/16/2049 | 4,478 | 4,268,578 | ||||||||
Government National Mortgage Assoc. 2014-78 A | 2.20% | 4/16/2047 | 5,013 | 4,980,110 | ||||||||
Government National Mortgage Assoc. 2014-78 IO | 0.60% | #(j) | 3/16/2056 | 45,084 | 1,595,871 | |||||||
Government National Mortgage Assoc. 2015-19 AD | 2.90% | 10/16/2055 | 25,076 | 24,800,091 | ||||||||
Government National Mortgage Assoc. 2015-22 AS | 2.90% | 1/16/2049 | 34,219 | 33,249,422 | ||||||||
Government National Mortgage Assoc. 2015-33 AS | 2.90% | #(j) | 5/16/2054 | 25,132 | 24,493,525 | |||||||
Government National Mortgage Assoc. 2015-41 AD | 2.90% | #(j) | 8/16/2055 | 14,454 | 14,266,181 | |||||||
Government National Mortgage Assoc. 2015-48 AS | 2.90% | #(j) | 2/16/2049 | 14,882 | 14,603,780 | |||||||
Government National Mortgage Assoc. 2017 20 AS | 2.50% | 2/16/2057 | 47,654 | 45,440,297 | ||||||||
Government National Mortgage Assoc. 2017 23 AB | 2.60% | 12/16/2057 | 33,441 | 32,241,422 | ||||||||
Government National Mortgage Assoc. 2017-100 AS | 2.75% | 2/16/2058 | 36,910 | 35,586,133 | ||||||||
Government National Mortgage Assoc. 2017-22 GA | 2.60% | #(j) | 8/16/2051 | 23,680 | 22,774,729 | |||||||
Government National Mortgage Assoc. 2017-28 AB | 2.50% | 10/16/2051 | 56,901 | 54,144,276 | ||||||||
Government National Mortgage Assoc. 2017-41 AS | 2.60% | 6/16/2057 | 59,915 | 57,600,289 | ||||||||
Government National Mortgage Assoc. 2017-44 AD | 2.65% | 11/17/2048 | 46,085 | 44,370,021 | ||||||||
Government National Mortgage Assoc. 2017-51 AS | 2.75% | 4/16/2058 | 69,771 | 67,323,875 | ||||||||
Government National Mortgage Assoc. 2017-53 B | 2.75% | 3/16/2050 | 68,845 | 66,696,338 | ||||||||
Government National Mortgage Assoc. 2017-54 AD | 2.75% | 1/16/2057 | 65,315 | 63,345,826 | ||||||||
Government National Mortgage Assoc. 2017-61 A | 2.60% | 8/16/2058 | 46,283 | 44,460,842 | ||||||||
Government National Mortgage Assoc. 2017-69 AS | 2.75% | 2/16/2058 | 56,212 | 54,208,397 | ||||||||
Government National Mortgage Assoc. 2017-71 AS | 2.70% | 4/16/2057 | 46,612 | 44,759,348 | ||||||||
Government National Mortgage Assoc. 2017-72 AM | 2.60% | 9/16/2051 | 23,001 | 22,046,211 | ||||||||
Government National Mortgage Assoc. 2017-74 AS | 2.60% | 10/16/2057 | 23,063 | 22,061,037 | ||||||||
Government National Mortgage Assoc. 2017-76 AS | 2.65% | 11/16/2050 | 45,984 | 44,012,747 | ||||||||
Government National Mortgage Assoc. 2017-86 AS | 2.75% | 2/16/2058 | 43,519 | 42,258,900 | ||||||||
Government National Mortgage Assoc. 2017-89 AB | 2.60% | 7/16/2058 | 36,400 | 35,163,108 | ||||||||
Government National Mortgage Assoc. 2017-90 AS | 2.70% | 7/16/2057 | 50,782 | 49,020,451 | ||||||||
Government National Mortgage Assoc. 2017-92 AS | 2.75% | 6/16/2058 | 44,952 | 43,655,187 | ||||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $1,491,616,318) | 1,441,344,520 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 1.31% | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.121% (12 Mo. LIBOR + 1.64% | )# | 11/1/2043 | 3,433 | 3,476,445 | |||||||
Federal Home Loan Mortgage Corp. | 3.128% (12 Mo. LIBOR + 1.64% | )# | 10/1/2043 | 3,462 | 3,507,771 | |||||||
Federal Home Loan Mortgage Corp. | 3.574% (12 Mo. LIBOR + 1.66% | )# | 2/1/2038 | 5,205 | 5,427,010 |
See Notes to Financial Statements. | 297 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued) | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.575% (12 Mo. LIBOR + 1.71% | )# | 4/1/2037 | $ | 12,255 | $ | 12,828,487 | |||||
Federal Home Loan Mortgage Corp. | 3.585% (12 Mo. LIBOR + 1.79% | )# | 12/1/2036 | 15,855 | 16,674,115 | |||||||
Federal Home Loan Mortgage Corp. | 3.59% (12 Mo. LIBOR + 1.77% | )# | 10/1/2038 | 6,930 | 7,254,383 | |||||||
Federal Home Loan Mortgage Corp. | 3.596% (12 Mo. LIBOR + 1.78% | )# | 5/1/2036 | 6,351 | 6,683,157 | |||||||
Federal Home Loan Mortgage Corp. | 3.632% (12 Mo. LIBOR + 1.88% | )# | 9/1/2035 | 4,874 | 5,155,237 | |||||||
Federal Home Loan Mortgage Corp. | 3.646% (12 Mo. LIBOR + 1.90% | )# | 12/1/2040 | 2,259 | 2,375,712 | |||||||
Federal Home Loan Mortgage Corp. | 3.673% (12 Mo. LIBOR + 1.82% | )# | 6/1/2041 | 4,289 | 4,503,772 | |||||||
Federal Home Loan Mortgage Corp. | 3.689% (12 Mo. LIBOR + 1.89% | )# | 12/1/2040 | 8,232 | 8,496,459 | |||||||
Federal Home Loan Mortgage Corp. | 3.692% (12 Mo. LIBOR + 1.83% | )# | 6/1/2042 | 15,694 | 16,420,294 | |||||||
Federal Home Loan Mortgage Corp. | 3.723% (12 Mo. LIBOR + 1.96% | )# | 2/1/2037 | 8,298 | 8,756,470 | |||||||
Federal Home Loan Mortgage Corp. | 3.757% (12 Mo. LIBOR + 1.94% | )# | 9/1/2036 | 15,198 | 16,100,998 | |||||||
Federal Home Loan Mortgage Corp. | 3.759% (1 Yr Treasury Constant Maturity Rate + 2.51% | )# | 12/1/2035 | 6,430 | 6,855,655 | |||||||
Federal Home Loan Mortgage Corp. | 3.788% (12 Mo. LIBOR + 1.81% | )# | 5/1/2037 | 4,689 | 4,920,914 | |||||||
Federal National Mortgage Assoc. | 2.58% | 11/1/2018 | 14,247 | 14,228,418 | ||||||||
Federal National Mortgage Assoc. | 2.689% (12 Mo. LIBOR + 1.60% | )# | 12/1/2045 | 16,815 | 16,807,144 | |||||||
Federal National Mortgage Assoc. | 2.716% (12 Mo. LIBOR + 1.60% | )# | 12/1/2045 | 14,073 | 14,078,348 | |||||||
Federal National Mortgage Assoc. | 2.835% (12 Mo. LIBOR + 1.60% | )# | 10/1/2045 | 18,687 | 18,747,127 | |||||||
Federal National Mortgage Assoc. | 2.914% (12 Mo. LIBOR + 1.72% | )# | 6/1/2042 | 12,430 | 12,502,967 | |||||||
Federal National Mortgage Assoc. | 2.954% (12 Mo. LIBOR + 1.74% | )# | 5/1/2042 | 26,615 | 26,817,372 | |||||||
Federal National Mortgage Assoc. | 3.133% (12 Mo. LIBOR + 1.78% | )# | 3/1/2042 | 16,487 | 17,300,160 | |||||||
Federal National Mortgage Assoc. | 3.211% (12 Mo. LIBOR + 1.22% | )# | 6/1/2038 | 4,521 | 4,641,270 |
298 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued) | ||||||||||||
Federal National Mortgage Assoc. | 3.215% (12 Mo. LIBOR + 1.46% | )# | 12/1/2035 | $ | 17,329 | $ | 18,057,523 | |||||
Federal National Mortgage Assoc. | 3.288% (12 Mo. LIBOR + 1.52% | )# | 2/1/2036 | 7,576 | 7,905,111 | |||||||
Federal National Mortgage Assoc. | 3.301% (12 Mo. LIBOR + 1.50% | )# | 10/1/2035 | 14,503 | 15,158,254 | |||||||
Federal National Mortgage Assoc. | 3.399% (12 Mo. LIBOR + 1.57% | )# | 11/1/2036 | 4,748 | 4,950,168 | |||||||
Federal National Mortgage Assoc. | 3.433% (12 Mo. LIBOR + 1.54% | )# | 3/1/2039 | 6,797 | 7,092,887 | |||||||
Federal National Mortgage Assoc. | 3.481% (12 Mo. LIBOR + 1.62% | )# | 4/1/2038 | 11,185 | 11,697,277 | |||||||
Federal National Mortgage Assoc. | 3.50% (12 Mo. LIBOR + 1.62% | )# | 1/1/2038 | 5,203 | 5,445,667 | |||||||
Federal National Mortgage Assoc. | 3.508% (12 Mo. LIBOR + 1.66% | )# | 9/1/2038 | 6,624 | 6,947,629 | |||||||
Federal National Mortgage Assoc. | 3.522% (12 Mo. LIBOR + 1.59% | )# | 8/1/2034 | 13,096 | 13,730,323 | |||||||
Federal National Mortgage Assoc. | 3.527% (12 Mo. LIBOR + 1.69% | )# | 8/1/2038 | 5,676 | 5,943,624 | |||||||
Federal National Mortgage Assoc. | 3.545% (12 Mo. LIBOR + 1.62% | )# | 3/1/2038 | 9,275 | 9,695,170 | |||||||
Federal National Mortgage Assoc. | 3.555% (12 Mo. LIBOR + 1.78% | )# | 1/1/2041 | 14,823 | 15,568,315 | |||||||
Federal National Mortgage Assoc. | 3.561% (12 Mo. LIBOR + 1.81% | )# | 10/1/2040 | 3,889 | 4,075,381 | |||||||
Federal National Mortgage Assoc. | 3.562% (12 Mo. LIBOR + 1.81% | )# | 12/1/2040 | 5,956 | 6,239,268 | |||||||
Federal National Mortgage Assoc. | 3.569% (12 Mo. LIBOR + 1.67% | )# | 12/1/2036 | 6,068 | 6,378,571 | |||||||
Federal National Mortgage Assoc. | 3.572% (1 Yr Treasury Constant Maturity Rate + 2.20% | )# | 1/1/2038 | 4,991 | 5,271,416 | |||||||
Federal National Mortgage Assoc. | 3.573% (12 Mo. LIBOR + 1.80% | )# | 11/1/2040 | 17,950 | 18,870,649 | |||||||
Federal National Mortgage Assoc. | 3.577% (12 Mo. LIBOR + 1.82% | )# | 12/1/2040 | 11,117 | 11,698,776 | |||||||
Federal National Mortgage Assoc. | 3.586% (12 Mo. LIBOR + 1.62% | )# | 8/1/2037 | 8,975 | 9,402,704 | |||||||
Federal National Mortgage Assoc. | 3.597% (12 Mo. LIBOR + 1.64% | )# | 9/1/2036 | 6,255 | 6,547,854 | |||||||
Federal National Mortgage Assoc. | 3.602% (1 Yr Treasury Constant Maturity Rate + 2.23% | )# | 3/1/2038 | 5,597 | 5,907,380 |
See Notes to Financial Statements. | 299 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued) | ||||||||||||
Federal National Mortgage Assoc. | 3.631% (12 Mo. LIBOR + 1.81% | )# | 8/1/2041 | $ | 8,154 | $ | 8,569,389 | |||||
Federal National Mortgage Assoc. | 3.667% (12 Mo. LIBOR + 1.82% | )# | 1/1/2042 | 15,557 | 15,886,092 | |||||||
Federal National Mortgage Assoc. | 3.668% (12 Mo. LIBOR + 1.82% | )# | 4/1/2040 | 4,979 | 5,235,304 | |||||||
Federal National Mortgage Assoc. | 3.677% (12 Mo. LIBOR + 1.76% | )# | 11/1/2038 | 11,004 | 11,591,574 | |||||||
Federal National Mortgage Assoc. | 3.687% (12 Mo. LIBOR + 1.73% | )# | 10/1/2036 | 9,136 | 9,593,586 | |||||||
Federal National Mortgage Assoc. | 3.704% (12 Mo. LIBOR + 1.79% | )# | 1/1/2041 | 7,095 | 7,330,283 | |||||||
Federal National Mortgage Assoc. | 3.707% (12 Mo. LIBOR + 1.78% | )# | 10/1/2036 | 6,806 | 7,166,152 | |||||||
Federal National Mortgage Assoc. | 3.946% (12 Mo. LIBOR + 1.90% | )# | 12/1/2038 | 4,798 | 5,047,363 | |||||||
Federal National Mortgage Assoc. | 4.223% (12 Mo. LIBOR + 1.84% | )# | 7/1/2040 | 3,998 | 4,129,071 | |||||||
Federal National Mortgage Assoc. | 5.50% | 1/1/2035 | 1,053 | 1,148,941 | ||||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $531,475,186) | 526,841,387 | |||||||||||
MUNICIPAL BONDS 0.34% | ||||||||||||
Miscellaneous | ||||||||||||
IL State GO | 4.35% | 6/1/2018 | 3,812 | 3,812,000 | ||||||||
IL State GO | 5.375% | 7/1/2018 | 700 | 701,169 | ||||||||
IL State GO | 6.20% | 7/1/2021 | 232 | 240,357 | ||||||||
Illinois | 4.95% | 6/1/2023 | 3,971 | 4,087,390 | ||||||||
Illinois | 5.877% | 3/1/2019 | 49,485 | 50,455,401 | ||||||||
New Jersey Econ Dev Auth | 2.421% | 6/15/2018 | 20,745 | 20,740,229 | ||||||||
New Jersey Econ Dev Auth (AGM) | Zero Coupon | 2/15/2019 | 13,255 | 13,049,547 | ||||||||
New Jersey Econ Dev Auth (AGM) | Zero Coupon | 2/15/2020 | 7,750 | 7,383,580 | ||||||||
New Jersey Transp Tr Fnd Auth | 5.00% | 6/15/2019 | 1,000 | 1,028,370 | ||||||||
New Jersey Transp Tr Fnd Auth | 1.758% | 12/15/2018 | 14,980 | 14,895,213 | ||||||||
New Jersey Transp Tr Fnd Auth | 5.00% | 6/15/2018 | 1,140 | 1,141,060 | ||||||||
New Jersey Transp Tr Fnd Auth | 5.00% | 12/15/2018 | 10,940 | 11,104,100 | ||||||||
New Jersey Transp Tr Fnd Auth | 5.00% | 12/15/2019 | 6,900 | 7,182,762 | ||||||||
Total Municipal Bonds (cost $135,652,696) | 135,821,178 |
300 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 24.26% | ||||||||||||
1211 Avenue of the Americas Trust 2015-1211 XA IO† | 0.242% | #(j) | 8/10/2035 | $ | 214,200 | $ | 3,882,225 | |||||
A10 Bridge Asset Financing LLC 2015-AA A1† | 3.30% | 5/15/2036 | 79,292 | 78,418,619 | ||||||||
Americold LLC 2010-ARTA A1† | 3.847% | 1/14/2029 | 22,597 | 22,847,472 | ||||||||
AOA Mortgage Trust 2015-1177 A† | 2.957% | 12/13/2029 | 10,910 | 10,787,380 | ||||||||
Assurant Commercial Mortgage Trust 2016-1A A1† | 1.362% | 5/15/2049 | 15,027 | 14,904,344 | ||||||||
Atrium Hotel Portfolio Trust 2017-ATRM B† | 3.419% (1 Mo. LIBOR + 1.50% | )# | 12/15/2036 | 31,196 | 31,228,238 | |||||||
Aventura Mall Trust 2013-AVM A† | 3.743% | #(j) | 12/5/2032 | 43,213 | 44,048,594 | |||||||
Aventura Mall Trust 2013-AVM D† | 3.743% | #(j) | 12/5/2032 | 11,000 | 11,135,930 | |||||||
BAMLL Commercial Mortgage Securities Trust 2014-ICTS C† | 3.319% (1 Mo. LIBOR + 1.50% | )# | 6/15/2028 | 10,000 | 9,995,235 | |||||||
BAMLL Commercial Mortgage Securities Trust 2014-IP A† | 2.717% | #(j) | 6/15/2028 | 215,533 | 215,325,981 | |||||||
BAMLL Commercial Mortgage Securities Trust 2014-IP B† | 2.717% | #(j) | 6/15/2028 | 23,050 | 23,023,207 | |||||||
BAMLL Commercial Mortgage Securities Trust 2014-IP C† | 2.717% | #(j) | 6/15/2028 | 23,040 | 23,012,935 | |||||||
BAMLL Trust 2011-FSHN A† | 4.42% | 7/11/2033 | 34,402 | 35,547,490 | ||||||||
Banc of America Commercial Mortgage Trust 2016-UB10 XA IO | 1.99% | #(j) | 7/15/2049 | 87,937 | 8,950,470 | |||||||
Bancorp Commercial Mortgage Trust (The) 2018-CR3 A† | 2.769% (1 Mo. LIBOR + .85% Floor .85% | )# | 1/15/2033 | 37,358 | 37,379,156 | |||||||
Bancorp Commercial Mortgage Trust 2016-CRE1 A† | 3.349% (1 Mo. LIBOR + 1.43% | )# | 11/15/2033 | 5,170 | 5,175,050 | |||||||
Bancorp Commercial Mortgage Trust 2017-CRE2 A† | 2.779% (1 Mo. LIBOR + .85% | )# | 8/15/2032 | 17,627 | 17,648,637 | (b) | ||||||
BB-UBS Trust 2012-TFT A† | 2.892% | 6/5/2030 | 71,213 | 69,762,220 | ||||||||
BB-UBS Trust 2012-TFT B† | 3.468% | #(j) | 6/5/2030 | 7,850 | 7,638,449 | |||||||
BB-UBS Trust 2012-TFT C† | 3.468% | #(j) | 6/5/2030 | 14,354 | 13,898,014 | |||||||
BBCMS Mortgage Trust 2017-DELC A† | 2.769% (1 Mo. LIBOR + .85% | )# | 8/15/2036 | 43,785 | 43,874,305 | |||||||
BBCMS Mortgage Trust 2017-GLKS B† | 3.119% (1 Mo. LIBOR + 1.20% | )# | 11/15/2034 | 23,607 | 23,649,573 | |||||||
BBCMS Mortgage Trust 2017-GLKS C† | 3.319% (1 Mo. LIBOR + 1.40% | )# | 11/15/2034 | 3,218 | 3,221,531 | |||||||
BBCMS Mortgage Trust 2018-TALL A† | 2.641% (1 Mo. LIBOR + .722% | )# | 3/15/2037 | 38,040 | 38,091,156 | |||||||
BBCMS Mortgage Trust 2018-TALL E† | 4.356% (1 Mo. LIBOR + 2.44% | )# | 3/15/2037 | 49,994 | 50,111,401 | |||||||
BBCMS Trust 2013-TYSN C† | 3.821% | 9/5/2032 | 5,475 | 5,498,137 |
See Notes to Financial Statements. | 301 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
BBCMS Trust 2015-MSQ A† | 3.593% | 9/15/2032 | $ | 19,174 | $ | 19,322,223 | ||||||
BBCMS Trust 2015-STP B† | 3.927% | 9/10/2028 | 11,400 | 11,462,091 | ||||||||
BBCMS Trust 2015-STP C† | 4.284% | #(j) | 9/10/2028 | 23,900 | 24,046,359 | |||||||
BBCMS Trust 2015-STP XA IO† | 0.962% | #(j) | 9/10/2028 | 277,308 | 5,614,104 | |||||||
BBCMS Trust 2015-VFM A1† | 2.466% | 3/10/2036 | 31,876 | 30,263,652 | ||||||||
BDS 2018-FL1 A† | 2.789% (1 Mo. LIBOR + .85% | )# | 1/15/2035 | 56,900 | 56,941,656 | |||||||
Bear Stearns Deutsche Bank Trust 2005-AFR1 A2† | 5.008% | 9/15/2027 | 4,624 | 4,748,914 | ||||||||
BWAY Mortgage Trust 2013-1515 XB IO† | 0.403% | #(j) | 3/10/2033 | 103,040 | 2,602,492 | |||||||
BX Commercial Mortgage Trust 2018-BIOA A† | 2.59% | #(j) | 3/15/2037 | 108,469 | 108,616,724 | |||||||
BX Trust 2017-APPL A† | 2.799% (1 Mo. LIBOR + .88% | )# | 7/15/2034 | 34,693 | 34,817,414 | |||||||
BX Trust 2017-APPL D† | 3.969% (1 Mo. LIBOR + 2.05% | )# | 7/15/2034 | 22,827 | 22,961,153 | |||||||
BX Trust 2017-APPL E† | 5.069% (1 Mo. LIBOR + 3.15% | )# | 7/15/2034 | 35,029 | 35,408,696 | |||||||
BX Trust 2017-SLCT A† | 2.839% (1 Mo. LIBOR + .92% | )# | 7/15/2034 | 41,613 | 41,706,245 | |||||||
BX Trust 2017-SLCT B† | 3.119% (1 Mo. LIBOR + 1.20% | )# | 7/15/2034 | 36,229 | 36,314,486 | |||||||
BX Trust 2017-SLCT C† | 3.319% (1 Mo. LIBOR + 1.40% | )# | 7/15/2034 | 22,076 | 22,138,479 | |||||||
BX Trust 2017-SLCT D† | 3.969% (1 Mo. LIBOR + 2.05% | )# | 7/15/2034 | 86,754 | 87,107,739 | |||||||
BX Trust 2017-SLCT E† | 5.069% (1 Mo. LIBOR + 3.15% | )# | 7/15/2034 | 65,885 | 66,485,212 | |||||||
BX Trust 2018-BILT A† | 2.70% (1 Mo. LIBOR + .80% Floor .80% | )# | 5/15/2035 | 30,399 | 30,412,856 | |||||||
BX Trust 2018-BILT D† | 3.67% (1 Mo. LIBOR + 1.77% Floor 1.77% | )#(j) | 5/15/2035 | 11,427 | 11,464,867 | |||||||
BX Trust 2018-GW A† | 2.70% | # | 5/15/2035 | 21,579 | 21,622,641 | |||||||
BX Trust 2018-GW D† | 3.67% (1 Mo. LIBOR + 1.77% Floor 1.77% | )# | 5/15/2035 | 15,601 | 15,662,510 | |||||||
BXP Trust 2017-CQHP A† | 2.769% (1 Mo. LIBOR + .85% | )# | 11/15/2034 | 30,609 | 30,689,189 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI A† | 3.531% | 10/15/2034 | 168,994 | 170,301,202 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI B† | 3.835% | 10/15/2034 | 70,044 | 70,623,992 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI C† | 4.138% | 10/15/2034 | 41,929 | 42,549,482 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI D† | 4.354% | #(j) | 10/15/2034 | 28,230 | 28,603,376 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI E† | 4.354% | #(j) | 10/15/2034 | 92,392 | 90,757,604 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI XA IO† | 0.823% | #(j) | 10/15/2034 | 495,108 | 16,438,427 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI XB IO† | 0.393% | #(j) | 10/15/2034 | 314,538 | 5,317,045 | |||||||
CFCRE Commercial Mortgage Trust 2011-C2 AJ† | 5.754% | #(j) | 12/15/2047 | 8,307 | 8,813,878 | |||||||
CFCRE Commercial Mortgage Trust 2016-C4 XA IO | 1.744% | #(j) | 5/10/2058 | 70,363 | 7,180,545 | |||||||
CFCRE Commercial Mortgage Trust 2016-C6 XA IO | 1.199% | #(j) | 11/10/2049 | 159,350 | 11,806,168 | |||||||
CFCRE Commercial Mortgage Trust 2016-C7 XA IO | 0.782% | #(j) | 12/10/2054 | 149,251 | 7,830,365 | |||||||
CFCRE Commercial Mortgage Trust 2018-TAN A† | 4.236% | 2/15/2033 | 40,657 | 41,637,147 | ||||||||
CGBAM Commercial Mortgage Trust 2015-SMRT B† | 3.213% | 4/10/2028 | 22,707 | 22,659,604 | ||||||||
CGBAM Commercial Mortgage Trust 2015-SMRT C† | 3.516% | 4/10/2028 | 15,195 | 15,164,034 |
302 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
CGBAM Commercial Mortgage Trust 2015-SMRT D† | 3.768% | 4/10/2028 | $ | 5,200 | $ | 5,191,521 | ||||||
Cherrywood SB Commercial Mortgage Loan Trust 2016-1A AFX† | 3.73% | #(j) | 3/25/2049 | 11,832 | 11,514,488 | |||||||
CHT Mortgage Trust 2017-CSMO A† | 2.849% | #(j) | 11/15/2036 | 69,650 | 69,827,635 | |||||||
CHT Mortgage Trust 2017-CSMO B† | 3.319% | #(j) | 11/15/2036 | 32,200 | 32,292,672 | |||||||
CHT Mortgage Trust 2017-CSMO D† | 4.169% | #(j) | 11/15/2036 | 27,825 | 28,057,088 | |||||||
Citigroup Commercial Mortgage Trust 2012-GC8 A4 | 3.024% | 9/10/2045 | 17,970 | 17,851,005 | ||||||||
Citigroup Commercial Mortgage Trust 2012-GC8 XB IO† | 0.165% | #(j) | 9/10/2045 | 218,445 | 1,507,813 | |||||||
Citigroup Commercial Mortgage Trust 2013-GC11 XA IO | 1.408% | #(j) | 4/10/2046 | 385,933 | 21,192,602 | |||||||
Citigroup Commercial Mortgage Trust 2014-GC21 XA IO | 1.222% | #(j) | 5/10/2047 | 261,872 | 14,499,623 | |||||||
Citigroup Commercial Mortgage Trust 2014-GC23 XB IO | 0.23% | #(j) | 7/10/2047 | 120,131 | 1,663,550 | |||||||
Citigroup Commercial Mortgage Trust 2015-GC27 AAB | 2.944% | 2/10/2048 | 9,186 | 9,086,470 | ||||||||
Citigroup Commercial Mortgage Trust 2015-GC27 XA IO | 1.394% | #(j) | 2/10/2048 | 124,312 | 8,826,115 | |||||||
Citigroup Commercial Mortgage Trust 2015-GC31 XA IO | 0.436% | #(j) | 6/10/2048 | 249,840 | 5,968,031 | |||||||
Citigroup Commercial Mortgage Trust 2015-GC35 XA IO | 0.883% | #(j) | 11/10/2048 | 180,199 | 7,868,041 | |||||||
Citigroup Commercial Mortgage Trust 2016-GC36 XA IO | 1.325% | #(j) | 2/10/2049 | 102,160 | 7,613,552 | |||||||
Citigroup Commercial Mortgage Trust 2016-GC37 XA IO | 1.793% | #(j) | 4/10/2049 | 68,294 | 7,212,708 | |||||||
Citigroup Commercial Mortgage Trust 2016-SMPL A† | 2.228% | 9/10/2031 | 56,262 | 54,656,001 | ||||||||
Citigroup Commercial Mortgage Trust 2016-SMPL B† | 2.576% | 9/10/2031 | 23,717 | 23,122,038 | ||||||||
Citigroup Commercial Mortgage Trust 2016-SMPL C† | 2.825% | 9/10/2031 | 11,400 | 11,023,598 | ||||||||
Citigroup Commercial Mortgage Trust 2016-SMPL D† | 3.52% | 9/10/2031 | 15,811 | 15,581,141 | ||||||||
Citigroup Mortgage Loan Trust 2013-2 5A1† | 2.037% | #(j) | 7/25/2036 | 5,413 | 5,270,673 | |||||||
Cold Storage Trust 2017-ICE3 A† | 2.919% (1 Mo. LIBOR + 1.00% | )# | 4/15/2036 | 47,846 | 48,087,818 | |||||||
Commercial Mortgage Pass-Through Certificates 2010-C1 C† | 5.991% | #(j) | 7/10/2046 | 17,961 | 18,719,177 |
See Notes to Financial Statements. | 303 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Commercial Mortgage Pass-Through Certificates 2010-C1 D† | 6.126% | #(j) | 7/10/2046 | $ | 12,446 | $ | 12,863,793 | |||||
Commercial Mortgage Pass-Through Certificates 2012-CR3 AM† | 3.416% | 10/15/2045 | 7,449 | 7,428,346 | ||||||||
Commercial Mortgage Pass-Through Certificates 2012-CR4 XA IO | 1.792% | #(j) | 10/15/2045 | 237,368 | 13,676,583 | |||||||
Commercial Mortgage Pass-Through Certificates 2012-CR5 AM† | 3.223% | 12/10/2045 | 22,028 | 21,757,608 | ||||||||
Commercial Mortgage Pass-Through Certificates 2012-LC4 XA IO† | 2.21% | #(j) | 12/10/2044 | 70,476 | 4,098,120 | |||||||
Commercial Mortgage Pass-Through Certificates 2012-LTRT A1† | 2.15% | 10/5/2030 | 22,403 | 21,567,926 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-CR10 A4 | 4.21% | #(j) | 8/10/2046 | 9,960 | 10,376,348 | |||||||
Commercial Mortgage Pass-Through Certificates 2013-CR11 A2 | 3.047% | 8/10/2050 | 15,034 | 15,059,444 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-CR6 A2 | 2.122% | 3/10/2046 | 11,623 | 11,614,376 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-CR7 A4 | 3.213% | 3/10/2046 | 27,822 | 27,696,047 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-CR7 XA IO | 1.199% | #(j) | 3/10/2046 | 262,869 | 11,976,821 | |||||||
Commercial Mortgage Pass-Through Certificates 2013-CR8 A2 | 2.367% | 6/10/2046 | 913 | 912,270 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-CR8 XA IO | 0.532% | #(j) | 6/10/2046 | 527,497 | 9,637,374 | |||||||
Commercial Mortgage Pass-Through Certificates 2013-CR9 A4 | 4.238% | #(j) | 7/10/2045 | 7,362 | 7,697,701 | |||||||
Commercial Mortgage Pass-Through Certificates 2013-GAM A2† | 3.367% | 2/10/2028 | 15,413 | 15,315,924 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-SFS A1† | 1.873% | 4/12/2035 | 21,050 | 20,440,828 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-WWP XB IO† | 0.256% | #(j) | 3/10/2031 | 265,903 | 3,585,569 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-CR19 XA IO | 1.206% | #(j) | 8/10/2047 | 112,078 | 5,083,073 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-CR21 XA IO | 0.964% | #(j) | 12/10/2047 | 136,530 | 5,887,568 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-FL4 C† | 3.868% (1 Mo. LIBOR + 1.95% | )# | 7/13/2031 | 10,279 | 10,333,753 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-FL5 B† | 3.161% (1 Mo. LIBOR + 2.15% | )# | 10/15/2031 | 11,824 | 11,780,528 |
304 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Commercial Mortgage Pass-Through Certificates 2014-LC17 XA IO | 0.933% | #(j) | 10/10/2047 | $ | 152,630 | $ | 4,856,011 | |||||
Commercial Mortgage Pass-Through Certificates 2014-UBS3 A2 | 2.844% | 6/10/2047 | 21,075 | 21,083,645 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-UBS5 XA IO | 1.023% | #(j) | 9/10/2047 | 258,261 | 9,621,960 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-CR23 CMC† | 3.685% | #(j) | 5/10/2048 | 8,800 | 8,784,429 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 XA IO† | 0.738% | #(j) | 7/10/2050 | 187,691 | 6,166,582 | |||||||
Commercial Mortgage Pass-Through Certificates 2016-COR1 A2 | 2.499% | 10/10/2049 | 7,414 | 7,264,291 | ||||||||
Commercial Mortgage Pass-Through Certificates 2016-GCT D† | 3.461% | #(j) | 8/10/2029 | 7,193 | 6,986,151 | |||||||
Commercial Mortgage Pass-Through Certificates 2016-GCT E† | 3.461% | #(j) | 8/10/2029 | 6,850 | 6,604,137 | |||||||
Commercial Mortgage Pass-Through Certificates 2016-SAVA A† | 3.649% (1 Mo. LIBOR + 1.72% | )# | 10/15/2034 | 60,683 | 60,756,380 | |||||||
Commercial Mortgage Pass-Through Certificates 2016-SAVA B† | 4.229% (1 Mo. LIBOR + 2.30% | )# | 10/15/2034 | 56,507 | 56,593,468 | |||||||
Commercial Mortgage Pass-Through Certificates 2016-SAVA XCP IO† | 2.173% | #(j) | 10/15/2034 | 482,843 | 3,964,141 | (b) | ||||||
Commercial Mortgage Trust 2006-GG7 AM | 5.753% | #(j) | 7/10/2038 | 26,076 | 26,121,346 | |||||||
Commercial Mortgage Trust 2016-CD1 XA IO | 1.432% | #(j) | 8/10/2049 | 120,155 | 10,440,255 | |||||||
Core Industrial Trust 2015-CALW XA IO† | 0.81% | #(j) | 2/10/2034 | 93,221 | 2,416,757 | |||||||
Core Industrial Trust 2015-WEST XA IO† | 0.935% | #(j) | 2/10/2037 | 183,565 | 10,132,935 | |||||||
Core Industrial Trust 2015-WEST XB IO† | 0.704% | #(j) | 2/10/2037 | 90,323 | 3,774,147 | |||||||
Credit Suisse Commercial Mortgage Trust 2008-C1 AM† | 5.972% | #(j) | 2/15/2041 | 3,796 | 3,783,766 | |||||||
Credit Suisse First Boston Mortgage Securities Corp. 2006-OMA B2† | 5.538% | 5/15/2023 | 9,750 | 10,028,719 | ||||||||
Credit Suisse First Boston Mortgage Securities Corp. 2006-OMA C† | 5.587% | 5/15/2023 | 9,852 | 10,131,450 | ||||||||
Credit Suisse Mortgage Capital Certificates 2011-2R 4A1† | 2.007% (1 Mo. LIBOR + .11% | )# | 2/27/2037 | 3,106 | 3,050,030 | |||||||
Credit Suisse Mortgage Capital Certificates 2012-7R 2A1† | 4.32% | #(j) | 6/26/2036 | 3,474 | 3,515,077 | |||||||
Credit Suisse Mortgage Capital Certificates 2014-USA X1 IO† | 0.552% | #(j) | 9/15/2037 | 115,519 | 3,758,409 | |||||||
Credit Suisse Mortgage Capital Certificates 2016-MFF B† | 4.419% (1 Mo. LIBOR + 2.50% | )# | 11/15/2033 | 32,527 | 32,693,974 |
See Notes to Financial Statements. | 305 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Credit Suisse Mortgage Capital Certificates 2016-MFF C† | 5.419% (1 Mo. LIBOR + 3.50% | )# | 11/15/2033 | $ | 36,978 | $ | 37,261,170 | |||||
Credit Suisse Mortgage Capital Certificates 2017-HD A† | 2.869% (1 Mo. LIBOR + .95% | )# | 2/15/2031 | 28,438 | 28,473,970 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-HD B† | 3.269% (1 Mo. LIBOR + 1.35% | )# | 2/15/2031 | 12,038 | 12,046,273 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-HD C† | 3.619% (1 Mo. LIBOR + 1.70% | )# | 2/15/2031 | 6,721 | 6,725,892 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-HD D† | 4.419% (1 Mo. LIBOR + 2.50% | )# | 2/15/2031 | 12,130 | 12,166,099 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-HD E† | 5.569% (1 Mo. LIBOR + 3.65% | )# | 2/15/2031 | 17,624 | 17,692,315 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-LSTK A† | 2.761% | 4/5/2033 | 64,341 | 63,559,102 | ||||||||
Credit Suisse Mortgage Capital Certificates 2017-LSTK B† | 3.03% | 4/5/2033 | 13,175 | 13,019,623 | ||||||||
Credit Suisse Mortgage Capital Certificates 2017-LSTK C† | 3.229% | 4/5/2033 | 8,450 | 8,362,079 | ||||||||
Credit Suisse Mortgage Capital Certificates 2017-LSTK D† | 3.331% | #(j) | 4/5/2033 | 9,850 | 9,683,763 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-MOON A† | 3.197% | 7/10/2034 | 45,816 | 45,838,532 | ||||||||
Credit Suisse Mortgage Capital Certificates 2017-MOON B† | 3.197% | #(j) | 7/10/2034 | 8,250 | 8,205,962 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-MOON D† | 3.197% | #(j) | 7/10/2034 | 9,093 | 8,732,643 | |||||||
Credit Suisse Mortgage Capital Certificates Trust 2017-PFHP A† | 2.869% (1 Mo. LIBOR + .95% | )# | 12/15/2030 | 18,561 | 18,579,600 | |||||||
Credit Suisse Mortgage Capital Certificates Trust 2017-PFHP C† | 3.519% (1 Mo. LIBOR + 1.60% | )# | 12/15/2030 | 14,832 | 14,856,698 | |||||||
CSAIL Commercial Mortgage Trust 2015-C2 ASB | 3.224% | 6/15/2057 | 15,409 | 15,356,372 | ||||||||
CSAIL Commercial Mortgage Trust 2015-C4 A2 | 3.157% | 11/15/2048 | 13,828 | 13,872,052 | ||||||||
CSAIL Commercial Mortgage Trust 2016-C6 XA IO | 1.805% | #(j) | 1/15/2049 | 210,639 | 20,636,793 | |||||||
CSAIL Commercial Mortgage Trust 2016-C7 XA IO | 1.083% | #(j) | 11/15/2049 | 236,827 | 14,565,598 | |||||||
DBJPM Mortgage Trust 2016-C3 XA IO | 1.508% | #(j) | 9/10/2049 | 197,482 | 18,669,755 | |||||||
DBUBS Mortgage Trust 2011-LC2A A1† | 3.527% | 7/10/2044 | 10,598 | 10,692,064 | ||||||||
DBUBS Mortgage Trust 2011-LC2A B† | 4.998% | #(j) | 7/10/2044 | 6,825 | 7,078,736 | |||||||
DBUBS Mortgage Trust 2011-LC2A C† | 5.534% | #(j) | 7/10/2044 | 5,000 | 5,237,806 | |||||||
DBUBS Mortgage Trust 2011-LC3A PM4† | 5.098% | #(j) | 5/10/2044 | 9,200 | 9,320,658 | |||||||
DBWF Mortgage Trust 2015-LCM A1† | 2.998% | 6/10/2034 | 18,655 | 18,177,560 | ||||||||
DBWF Mortgage Trust 2015-LCM XA IO† | 0.423% | #(j) | 6/10/2034 | 36,862 | 669,604 |
306 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
DBWF Mortgage Trust 2018-AMXP A† | 3.873% | #(j) | 5/5/2035 | $ | 303,200 | $ | 309,058,794 | |||||
DBWF Mortgage Trust 2018-AMXP B† | 3.916% | #(j) | 5/5/2035 | 53,868 | 54,784,106 | |||||||
DBWF Mortgage Trust 2018-AMXP C† | 3.916% | #(j) | 5/5/2035 | 49,438 | 49,539,565 | |||||||
DBWF Mortgage Trust 2018-AMXP D† | 3.916% | #(j) | 5/5/2035 | 6,780 | 6,723,727 | |||||||
GAHR Commercial Mortgage Trust 2015-NRF BFX† | 3.382% | #(j) | 12/15/2034 | 23,295 | 23,313,582 | |||||||
GAHR Commercial Mortgage Trust 2015-NRF CFX† | 3.382% | #(j) | 12/15/2034 | 5,440 | 5,426,633 | |||||||
GAHR Commercial Mortgage Trust 2015-NRF EFX† | 3.382% | #(j) | 12/15/2034 | 16,767 | 16,603,207 | |||||||
GRACE Mortgage Trust 2014-GRCE A† | 3.369% | 6/10/2028 | 37,238 | 37,537,084 | ||||||||
Great Wolf Trust 2017-WOLF D† | 4.169% (1 Mo. LIBOR + 2.10% | )# | 9/15/2034 | 70,104 | 70,499,975 | |||||||
Great Wolf Trust 2017-WOLF E† | 5.169% (1 Mo. LIBOR + 3.10% | )# | 9/15/2034 | 76,090 | 76,817,055 | |||||||
Great Wolf Trust 2017-WOLF F† | 6.139% (1 Mo. LIBOR + 4.07% | )# | 9/15/2034 | 15,289 | 15,451,583 | |||||||
GS Mortgage Securities Corp. II 2012-BWTR A† | 2.954% | 11/5/2034 | 7,400 | 7,203,983 | ||||||||
GS Mortgage Securities Corp. II 2012-TMSQ A† | 3.007% | 12/10/2030 | 40,072 | 39,090,440 | ||||||||
GS Mortgage Securities Corp. II 2013-KING A† | 2.706% | 12/10/2027 | 36,614 | 36,470,517 | ||||||||
GS Mortgage Securities Corp. II 2013-KING B† | 3.241% | 12/10/2027 | 28,300 | 28,191,099 | ||||||||
GS Mortgage Securities Corp. II 2013-KING C† | 3.435% | #(j) | 12/10/2027 | 22,300 | 22,228,747 | |||||||
GS Mortgage Securities Corp. II 2013-KING E† | 3.435% | #(j) | 12/10/2027 | 3,000 | 2,950,693 | |||||||
GS Mortgage Securities Corp. II 2017-SLP A† | 3.419% | 10/10/2032 | 4,900 | 4,912,233 | ||||||||
GS Mortgage Securities Corp. Trust 2012-ALOH A† | 3.551% | 4/10/2034 | 35,240 | 35,662,956 | ||||||||
GS Mortgage Securities Corp. Trust 2012-ALOH C† | 4.13% | #(j) | 4/10/2034 | 6,779 | 6,905,831 | |||||||
GS Mortgage Securities Corp. Trust 2012-SHOP B† | 3.311% | 6/5/2031 | 51,853 | 51,939,862 | ||||||||
GS Mortgage Securities Corp. Trust 2012-SHOP C† | 3.633% | 6/5/2031 | 44,905 | 44,632,103 | ||||||||
GS Mortgage Securities Corp. Trust 2012-SHOP D† | 4.182% | 6/5/2031 | 15,450 | 15,356,730 | ||||||||
GS Mortgage Securities Corp. Trust 2014-NEW B† | 3.79% | 1/10/2031 | 12,370 | 12,467,055 | ||||||||
GS Mortgage Securities Corp. Trust 2016-RENT C† | 4.067% (1 Mo. LIBOR + 2.30% Floor 2.30% | )# | 2/10/2029 | 13,648 | 13,772,301 | |||||||
GS Mortgage Securities Corp. Trust 2017-GPTX A† | 2.856% | 5/10/2034 | 23,542 | 23,167,089 | ||||||||
GS Mortgage Securities Corp. Trust 2017-GPTX B† | 3.104% | 5/10/2034 | 35,794 | 35,175,132 | ||||||||
GS Mortgage Securities Corp. Trust 2017-GPTX C† | 3.302% | 5/10/2034 | 11,172 | 10,955,776 | ||||||||
GS Mortgage Securities Corp. Trust 2017-STAY A† | 2.769% (1 Mo. LIBOR + .85% | )# | 7/15/2032 | 30,659 | 30,766,958 | |||||||
GS Mortgage Securities Corp. Trust 2017-STAY B† | 3.019% (1 Mo. LIBOR + 1.10% | )# | 7/15/2032 | 10,811 | 10,877,144 | |||||||
GS Mortgage Securities Corp. Trust 2017-STAY C† | 3.269% (1 Mo. LIBOR + 1.35% | )# | 7/15/2032 | 7,734 | 7,790,203 | |||||||
GS Mortgage Securities Corp. Trust 2017-STAY D† | 3.869% (1 Mo. LIBOR + 1.95% | )# | 7/15/2032 | 19,051 | 19,131,689 |
See Notes to Financial Statements. | 307 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
GS Mortgage Securities Trust 2010-C2 A1† | 3.849% | 12/10/2043 | $ | 3,609 | $ | 3,654,301 | ||||||
GS Mortgage Securities Trust 2011-GC3 C† | 5.638% | #(j) | 3/10/2044 | 5,000 | 5,225,746 | |||||||
GS Mortgage Securities Trust 2011-GC5 B† | 5.398% | #(j) | 8/10/2044 | 39,535 | 41,354,450 | |||||||
GS Mortgage Securities Trust 2012-GC6 B† | 5.652% | #(j) | 1/10/2045 | 14,812 | 15,719,947 | |||||||
GS Mortgage Securities Trust 2012-GC6 XA IO† | 1.951% | #(j) | 1/10/2045 | 180,218 | 10,143,484 | |||||||
GS Mortgage Securities Trust 2012-GCJ7 B | 4.74% | 5/10/2045 | 11,331 | 11,686,378 | ||||||||
GS Mortgage Securities Trust 2012-GCJ9 IO | 1.968% | #(j) | 11/10/2045 | 91,775 | 6,549,083 | |||||||
GS Mortgage Securities Trust 2012-GCJ9 XB IO† | 0.354% | #(j) | 11/10/2045 | 92,580 | 1,353,374 | |||||||
GS Mortgage Securities Trust 2013-G1 A1† | 2.059% | 4/10/2031 | 12,580 | 12,213,683 | ||||||||
GS Mortgage Securities Trust 2013-GC12 A2 | 2.011% | 6/10/2046 | 2,975 | 2,972,456 | ||||||||
GS Mortgage Securities Trust 2013-GC12 XA IO | 1.444% | #(j) | 6/10/2046 | 463,838 | 26,091,854 | |||||||
GS Mortgage Securities Trust 2013-GC14 A5 | 4.243% | 8/10/2046 | 8,475 | 8,839,025 | ||||||||
GS Mortgage Securities Trust 2014-GC26 XA IO | 1.055% | #(j) | 11/10/2047 | 102,677 | 5,009,624 | |||||||
GS Mortgage Securities Trust 2015-GS1 XA IO | 0.817% | #(j) | 11/10/2048 | 95,227 | 4,576,063 | |||||||
GS Mortgage Securities Trust 2016-GS2 XA IO | 1.664% | #(j) | 5/10/2049 | 222,703 | 20,421,407 | |||||||
GS Mortgage Securities Trust 2016-GS4 225A† | 2.636% | 11/10/2029 | 12,237 | 11,945,649 | (b) | |||||||
GS Mortgage Securities Trust 2016-GS4 225C† | 3.778% | 11/10/2029 | 21,308 | 21,092,263 | (b) | |||||||
GS Mortgage Securities Trust 2016-GS4 225D† | 4.766% | 11/10/2029 | 28,888 | 28,652,194 | (b) | |||||||
H/2 Asset Funding 2014-1 Ltd. | 3.848% (1 Mo. LIBOR + .77% | )# | 3/19/2037 | 50,597 | 51,390,023 | |||||||
H/2 Asset Funding 2015-1A-AFL | 1.846% (1 Mo. LIBOR + 1.70% | )# | 6/24/2049 | 24,919 | 25,314,535 | (b) | ||||||
H/2 Asset Funding 2015-1A-AFX | 3.353% | 6/24/2049 | 8,661 | 8,664,218 | (b) | |||||||
H/2 Asset Funding 2015-1A-BFX | 3.993% | 6/24/2049 | 23,250 | 23,276,449 | (b) | |||||||
Hilton Orlando Trust 2018-ORL A† | 2.689% (1 Mo. LIBOR + .77% | )# | 12/15/2034 | 25,541 | 25,604,812 | |||||||
Hilton Orlando Trust 2018-ORL D† | 3.619% (1 Mo. LIBOR + 1.70% | )# | 12/15/2034 | 22,717 | 22,824,338 | |||||||
HMH Trust 2017-NSS A† | 3.062% | 7/5/2031 | 33,687 | 32,841,382 | ||||||||
HMH Trust 2017-NSS B† | 3.343% | 7/5/2031 | 21,685 | 21,371,741 | ||||||||
HMH Trust 2017-NSS C† | 3.787% | 7/5/2031 | 16,116 | 15,787,234 | ||||||||
HMH Trust 2017-NSS D† | 4.723% | 7/5/2031 | 21,309 | 21,097,105 | ||||||||
Hospitality Mortgage Trust 2017-HIT B† | 3.103% (1 Mo. LIBOR + 1.18% | )# | 5/8/2030 | 14,008 | 14,056,496 | |||||||
Hospitality Mortgage Trust 2017-HIT C† | 3.273% (1 Mo. LIBOR + 1.35% | )# | 5/8/2030 | 9,193 | 9,224,952 | |||||||
Hospitality Mortgage Trust 2017-HIT D† | 4.073% (1 Mo. LIBOR + 2.15% | )# | 5/8/2030 | 31,875 | 32,052,365 | |||||||
Hospitality Mortgage Trust 2017-HIT E† | 5.473% (1 Mo. LIBOR + 3.55% | )# | 5/8/2030 | 47,231 | 47,650,964 |
308 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Hudsons Bay Simon JV Trust 2015-HB10 XA10 IO† | 1.293% | #(j) | 8/5/2034 | $ | 150,785 | $ | 12,282,192 | |||||
Hudsons Bay Simon JV Trust 2015-HB7 A7† | 3.914% | 8/5/2034 | 53,535 | 53,151,941 | ||||||||
Hudsons Bay Simon JV Trust 2015-HB7 B7† | 4.666% | 8/5/2034 | 5,000 | 4,871,188 | ||||||||
Hudsons Bay Simon JV Trust 2015-HB7 D7† | 5.159% | #(j) | 8/5/2034 | 5,000 | 4,667,658 | |||||||
Hudsons Bay Simon JV Trust 2015-HB7 XA7 IO† | 1.245% | #(j) | 8/5/2034 | 171,661 | 8,319,550 | |||||||
Irvine Core Office Trust 2013-IRV A1† | 2.068% | 5/15/2048 | 38,063 | 37,106,364 | ||||||||
Irvine Core Office Trust 2013-IRV A2† | 3.173% | #(j) | 5/15/2048 | 20,610 | 20,478,468 | |||||||
Irvine Core Office Trust 2013-IRV XA IO† | 1.105% | #(j) | 5/15/2048 | 77,561 | 2,096,649 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CB18 AM | 5.466% | #(j) | 6/12/2047 | 6,811 | 6,826,493 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CB18 AMFX | 5.40% | 6/12/2047 | 4,815 | 4,802,992 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2009-IWST C† | 7.445% | #(j) | 12/5/2027 | 5,730 | 6,092,298 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2010-C1 A2† | 4.608% | 6/15/2043 | 5,554 | 5,672,238 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2010-C2 B† | 5.075% | #(j) | 11/15/2043 | 1,710 | 1,756,761 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2012-C6 B | 4.819% | #(j) | 5/15/2045 | 9,466 | 9,819,647 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2012-HSBC A† | 3.093% | 7/5/2032 | 5,591 | 5,572,160 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2012-WLDN A† | 3.905% | 5/5/2030 | 49,248 | 49,859,233 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C10 XA IO | 1.036% | #(j) | 12/15/2047 | 307,450 | 11,906,606 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C12 A2 | 2.424% | 7/15/2045 | 8,015 | 8,006,638 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C12 XA IO | 0.584% | #(j) | 7/15/2045 | 169,629 | 3,321,295 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C13 A2 | 2.665% | 1/15/2046 | 10,817 | 10,808,370 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2013-LC11 XA IO | 1.286% | #(j) | 4/15/2046 | 111,391 | 5,434,799 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 A2 | 3.046% | 4/15/2047 | 39,214 | 39,287,017 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XA IO | 1.135% | #(j) | 4/15/2047 | 121,591 | 2,709,790 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XB IO | 0.266% | #(j) | 4/15/2047 | 34,361 | 635,840 |
See Notes to Financial Statements. | 309 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C24 XA IO | 1.041% | #(j) | 11/15/2047 | $ | 117,761 | $ | 4,638,165 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C25 XA IO | 0.957% | #(j) | 11/15/2047 | 205,449 | 8,741,686 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C26 XA IO | 1.121% | #(j) | 1/15/2048 | 201,342 | 8,896,117 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY A† | 3.429% | 6/10/2027 | 157,586 | 157,522,404 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY B† | 3.771% | 6/10/2027 | 20,772 | 20,612,494 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY C† | 3.805% | #(j) | 6/10/2027 | 14,352 | 14,145,343 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY D† | 3.805% | #(j) | 6/10/2027 | 20,795 | 16,674,516 | (b) | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY XA IO† | 0.376% | #(j) | 6/10/2027 | 102,274 | 360,004 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY XB IO† | 0.034% | #(j) | 6/10/2027 | 45,476 | 31,833 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-FL4 C† | 4.119% (1 Mo. LIBOR + 2.20% | )# | 12/15/2030 | 5,622 | 5,632,637 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-FL4 D† | 5.019% (1 Mo. LIBOR + 3.10% | )# | 12/15/2030 | 29,000 | 29,105,113 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-PHH E† | 5.469% (1 Mo. LIBOR + 3.35% | )# | 8/15/2027 | 5,000 | 5,008,083 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C28 A2 | 2.773% | 10/15/2048 | 2,966 | 2,959,546 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C29 XA IO | 0.916% | #(j) | 5/15/2048 | 100,653 | 3,302,597 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C30 XA IO | 0.667% | #(j) | 7/15/2048 | 145,352 | 4,296,537 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C31 A2 | 3.008% | 8/15/2048 | 5,000 | 4,999,906 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C32 ASB | 3.358% | 11/15/2048 | 15,275 | 15,304,288 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-UES B† | 3.387% | 9/5/2032 | 12,900 | 12,888,970 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-UES C† | 3.621% | #(j) | 9/5/2032 | 10,696 | 10,697,126 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-UES XA IO† | 0.688% | #(j) | 9/5/2032 | 242,750 | 3,300,186 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-JP4 XA IO | 0.808% | #(j) | 12/15/2049 | 175,270 | 7,306,955 |
310 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI A† | 2.798% | 10/5/2031 | $ | 42,735 | $ | 42,071,804 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI B† | 3.201% | 10/5/2031 | 12,036 | 11,871,713 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI C† | 3.554% | 10/5/2031 | 15,357 | 15,199,178 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI D† | 4.009% | #(j) | 10/5/2031 | 29,748 | 29,376,790 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI E† | 4.009% | #(j) | 10/5/2031 | 9,726 | 9,503,507 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI XA IO† | 1.211% | #(j) | 10/5/2031 | 131,129 | 4,554,766 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI XB IO† | 0.657% | #(j) | 10/5/2031 | 77,997 | 1,549,410 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WPT A† | 3.369% (1 Mo. LIBOR + 1.45% | )# | 10/15/2033 | 56,718 | 56,909,230 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WPT C† | 4.769% (1 Mo. LIBOR + 2.85% | )# | 10/15/2033 | 8,122 | 8,147,924 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WPT D† | 5.669% (1 Mo. LIBOR + 3.75% | )# | 10/15/2033 | 22,576 | 22,706,697 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-C5 A2 | 3.33% | 3/15/2050 | 20,929 | 21,040,429 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-JP7 XA IO | 1.09% | #(j) | 9/15/2050 | 295,946 | 20,853,883 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK A† | 3.392% | 6/5/2032 | 51,308 | 51,051,497 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK B† | 3.795% | 6/5/2032 | 21,137 | 21,076,669 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK C† | 4.036% | #(j) | 6/5/2032 | 15,721 | 15,685,337 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MAUI C† | 3.178% (1 Mo. LIBOR + 1.25% | )# | 7/15/2034 | 15,163 | 15,217,306 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MAUI D† | 3.878% (1 Mo. LIBOR + 1.95% | )# | 7/15/2034 | 23,331 | 23,459,850 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-BCON A† | 3.735% | 1/5/2031 | 20,099 | 20,460,826 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC A† | 3.10% (1 Mo. LIBOR + 1.20% | )# | 4/15/2031 | 53,048 | 53,147,465 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC B† | 3.80% (1 Mo. LIBOR + 1.90% Floor 1.90% | )# | 4/15/2031 | 14,359 | 14,385,923 | |||||||
See Notes to Financial Statements. | 311 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC C† | 4.20% | #(j) | 4/15/2031 | $ | 10,608 | $ | 10,618,237 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC D† | 5.02% (1 Mo. LIBOR + 3.12% Floor 3.12% | )# | 4/15/2031 | 5,572 | 5,572,418 | |||||||
Ladder Capital Commercial Mortgage Securities LLC 2014-909 D† | 3.898% | #(j) | 5/15/2031 | 1,896 | 1,854,512 | |||||||
Ladder Capital Commercial Mortgage Securities LLC 2014-PKMD A† | 2.857% | #(j) | 11/14/2027 | 190,968 | 189,808,290 | |||||||
Ladder Capital Commercial Mortgage Securities LLC 2014-PKMD B† | 2.857% | #(j) | 11/14/2027 | 16,023 | 15,903,332 | |||||||
LMREC, Inc. 2015-CRE1 AR† | 2.948% (1 Mo. LIBOR + .98% | )# | 2/22/2032 | 73,866 | 74,024,443 | (b) | ||||||
LMREC, Inc. 2015-CRE1 BR† | 5.468% (1 Mo. LIBOR + 2.25% | )# | 2/22/2032 | 12,355 | 12,380,760 | (b) | ||||||
LSTAR Commercial Mortgage Trust 2014-2 XA IO† | 1.00% | #(j) | 1/20/2041 | 48,615 | 219,347 | |||||||
LSTAR Commercial Mortgage Trust 2015-3 A2† | 2.729% | #(j) | 4/20/2048 | 14,194 | 14,059,522 | |||||||
LSTAR Commercial Mortgage Trust 2016-4 XA IO† | 1.949% | #(j) | 3/10/2049 | 113,099 | 8,339,378 | |||||||
LSTAR Commercial Mortgage Trust 2017-5 A1† | 2.417% | 3/10/2050 | 34,950 | 34,572,379 | ||||||||
LSTAR Commercial Mortgage Trust 2017-5 A2† | 2.776% | 3/10/2050 | 28,000 | 27,432,476 | ||||||||
LSTAR Commercial Mortgage Trust 2017-5 A3† | 4.50% | 3/10/2050 | 72,650 | 75,690,039 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-CKSV A1† | 2.117% | 10/15/2030 | 15,016 | 14,615,874 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-CKSV A2† | 3.277% | 10/15/2030 | 14,900 | 14,468,855 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12 A2 | 3.001% | 10/15/2046 | 43,284 | 43,389,153 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 A4 | 2.918% | 2/15/2046 | 5,280 | 5,193,921 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9 A2 | 1.97% | 5/15/2046 | 1,825 | 1,822,597 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9 XA IO | 1.089% | #(j) | 5/15/2046 | 221,310 | 9,502,178 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9 XB IO† | 0.315% | #(j) | 5/15/2046 | 107,177 | 1,608,109 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19 XA IO | 1.115% | #(j) | 12/15/2047 | 166,326 | 7,183,220 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24 ASB | 3.479% | 5/15/2048 | 16,231 | 16,357,701 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29 XA IO | 1.637% | #(j) | 5/15/2049 | 131,971 | 12,154,428 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31 XA IO | 1.448% | #(j) | 11/15/2049 | 276,055 | 23,735,581 |
312 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Morgan Stanley Capital Barclays Bank Trust 2016-MART A† | 2.20% | 9/13/2031 | $ | 5,681 | $ | 5,509,071 | ||||||
Morgan Stanley Capital Barclays Bank Trust 2016-MART B† | 2.48% | 9/13/2031 | 11,590 | 11,226,353 | ||||||||
Morgan Stanley Capital Barclays Bank Trust 2016-MART C† | 2.817% | 9/13/2031 | 25,000 | 24,309,190 | ||||||||
Morgan Stanley Capital I Trust 2012-C4 AS | 3.773% | 3/15/2045 | 10,107 | 10,159,989 | ||||||||
Morgan Stanley Capital I Trust 2012-C4 B† | 5.213% | #(j) | 3/15/2045 | 5,000 | 5,252,144 | |||||||
Morgan Stanley Capital I Trust 2012-C4 XA IO† | 2.091% | #(j) | 3/15/2045 | 185,295 | 11,594,182 | |||||||
Morgan Stanley Capital I Trust 2012-STAR A1† | 2.084% | 8/5/2034 | 21,993 | 21,561,442 | ||||||||
Morgan Stanley Capital I Trust 2012-STAR B† | 3.451% | 8/5/2034 | 1,267 | 1,254,456 | ||||||||
Morgan Stanley Capital I Trust 2013-WLSR A† | 2.695% | 1/11/2032 | 7,744 | 7,687,326 | ||||||||
Morgan Stanley Capital I Trust 2014-CPT A† | 3.35% | 7/13/2029 | 17,225 | 17,336,742 | ||||||||
Morgan Stanley Capital I Trust 2014-CPT XA IO† | 0.089% | #(j) | 7/13/2029 | 260,000 | 917,800 | |||||||
Morgan Stanley Capital I Trust 2014-MP A† | 3.469% | 8/11/2033 | 8,445 | 8,466,514 | ||||||||
Morgan Stanley Capital I Trust 2015-UBS8 ASB | 3.626% | 12/15/2048 | 9,549 | 9,657,301 | ||||||||
Morgan Stanley Capital I Trust 2016-UB11 XA IO | 1.655% | #(j) | 8/15/2049 | 88,144 | 8,093,829 | |||||||
Morgan Stanley Capital I Trust 2016-UB11 XB IO | 0.995% | #(j) | 8/15/2049 | 121,223 | 8,113,368 | |||||||
Morgan Stanley Capital I Trust 2017-PRME A† | 2.819% (1 Mo. LIBOR + .90% | )# | 2/15/2034 | 15,371 | 15,395,172 | |||||||
Morgan Stanley Capital I Trust 2017-PRME B† | 3.269% (1 Mo. LIBOR + 1.35% | )# | 2/15/2034 | 13,290 | 13,311,451 | |||||||
Morgan Stanley Capital I Trust 2017-PRME C† | 3.569% (1 Mo. LIBOR + 1.65% | )# | 2/15/2034 | 6,574 | 6,584,839 | |||||||
Morgan Stanley Capital I Trust 2017-PRME D† | 5.319% (1 Mo. LIBOR + 3.40% | )# | 2/15/2034 | 12,284 | 12,333,608 | |||||||
Morgan Stanley Capital I Trust 2017-PRME E† | 6.419% (1 Mo. LIBOR + 4.50% | )# | 2/15/2034 | 13,142 | 13,162,117 | |||||||
Morgan Stanley Reremic Trust 2012-IO AXA† | 1.00% | 3/27/2051 | 6,505 | 6,472,913 | ||||||||
Motel 6 Trust 2017-MTL6 C† | 3.319% (1 Mo. LIBOR + 1.40% | )# | 8/15/2034 | 33,787 | 33,908,977 | |||||||
Motel 6 Trust 2017-MTL6 D† | 4.069% (1 Mo. LIBOR + 2.15% | )# | 8/15/2034 | 138,807 | 139,694,571 | |||||||
Motel 6 Trust 2017-MTL6 E† | 5.169% (1 Mo. LIBOR + 3.25% | )# | 8/15/2034 | 134,532 | 136,221,013 | |||||||
Motel 6 Trust 2017-MTL6 F† | 6.169% (1 Mo. LIBOR + 4.25% | )# | 8/15/2034 | 40,528 | 41,150,320 | |||||||
MSCG Trust 2015-ALDR A1† | 2.612% | 6/7/2035 | 24,123 | 23,293,657 | ||||||||
MSCG Trust 2016-SNR A† | 3.348% | #(j) | 11/15/2034 | 54,599 | 53,248,805 | |||||||
MSCG Trust 2016-SNR B† | 4.181% | 11/15/2034 | 26,573 | 26,148,921 | ||||||||
See Notes to Financial Statements. | 313 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
MSCG Trust 2016-SNR C† | 5.205% | 11/15/2034 | $ | 17,083 | $ | 17,012,997 | ||||||
Natixis Commercial Mortgage Securities Trust 2018-285M A† | 3.79% | #(j) | 11/15/2032 | 68,091 | 68,807,767 | |||||||
Natixis Commercial Mortgage Securities Trust 2018-285M B† | 3.79% | #(j) | 11/15/2032 | 17,029 | 17,035,587 | |||||||
Palisades Center Trust 2016-PLSD A† | 2.713% | 4/13/2033 | 6,735 | 6,600,297 | ||||||||
Palisades Center Trust 2016-PLSD C† | 3.998% | 4/13/2033 | 40,040 | 39,394,491 | ||||||||
Palisades Center Trust 2016-PLSD D† | 4.737% | 4/13/2033 | 24,769 | 24,449,045 | ||||||||
PFP Ltd. 2017-3 A† | 2.969% (1 Mo. LIBOR + 1.05% | )# | 1/14/2035 | 7,401 | 7,408,476 | |||||||
PFP Ltd. 2017-3 AS† | 3.219% (1 Mo. LIBOR + 1.30% | )# | 1/14/2035 | 5,000 | 5,006,675 | |||||||
PFP Ltd. 2017-3 C† | 4.419% (1 Mo. LIBOR + 2.50% | )# | 1/14/2035 | 5,000 | 5,029,012 | |||||||
Prima Capital CRE Securitization 2015-5A B† | 3.50% | 12/24/2050 | 122,787 | 124,373,236 | ||||||||
Prima Capital CRE Securitization 2015-5A C† | 4.50% | 12/24/2050 | 93,302 | 92,157,651 | ||||||||
Prima Capital CRE Securitization Ltd. 2015-4A MR-A† | 2.55% | 8/24/2049 | 114,841 | 114,631,044 | ||||||||
Prima Capital CRE Securitization Ltd. 2016-6A A† | 2.85% | 8/24/2040 | 101,766 | 100,997,661 | ||||||||
Prima Capital Ltd. | 2.214% | 5/24/2021 | 10,807 | 10,709,961 | (b) | |||||||
RAIT Trust 2017-FL7 A† | 2.869% (1 Mo. LIBOR + .95% | )# | 6/15/2037 | 23,036 | 23,059,171 | |||||||
RAIT Trust 2017-FL8 A† | 2.769% (1 Mo. LIBOR + .85% | )# | 12/15/2037 | 27,394 | 27,413,148 | |||||||
RBS Commercial Funding, Inc. Trust 2013-SMV A† | 3.26% | 3/11/2031 | 57,896 | 56,680,178 | ||||||||
ReadyCap Commercial Mortgage Trust 2014-1A A† | 3.01% | #(j) | 6/25/2055 | 2,322 | 2,297,373 | |||||||
ReadyCap Commercial Mortgage Trust 2015-2 A† | 3.804% | 6/25/2055 | 24,101 | 23,891,115 | ||||||||
ReadyCap Commercial Mortgage Trust 2017-FL1 A† | 2.81% (1 Mo. LIBOR + .85% | )# | 5/25/2034 | 13,069 | 13,093,017 | |||||||
ReadyCap Commercial Mortgage Trust 2018-4 A† | 3.39% | 2/27/2051 | 27,028 | 26,988,025 | ||||||||
ReadyCap Mortgage Trust 2016-3 A† | 2.94% | 11/20/2038 | 4,480 | 4,448,244 | ||||||||
Sequoia Mortgage Trust 2012-4 A2 | 3.00% | #(j) | 9/25/2042 | 2,654 | 2,568,326 | |||||||
Shops at Crystals Trust 2016-CSTL XA IO† | 0.606% | #(j) | 7/5/2036 | 112,000 | 4,789,680 | |||||||
Stonemont Portfolio Trust 2017-MONT D† | 3.998% (1 Mo. LIBOR + 2.05% | )# | 8/20/2030 | 67,930 | 68,015,938 | |||||||
Stonemont Portfolio Trust 2017-MONT E† | 4.698% (1 Mo. LIBOR + 2.75% | )# | 8/20/2030 | 106,252 | 107,249,218 | |||||||
Stonemont Portfolio Trust 2017-MONT F† | 5.548% (1 Mo. LIBOR + 3.60% | )# | 8/20/2030 | 58,429 | 59,104,334 | |||||||
Structured Asset Securities Corp. 2005-14 2A1 | 5.75% | 7/25/2035 | 1,344 | 1,356,808 | ||||||||
Structured Asset Securities Corp. 2006-3H 1A2 | 5.75% | 12/25/2035 | 7,472 | 7,515,160 | ||||||||
Structured Asset Securities Corp. 2006-3H 1A3 | 5.75% | 12/25/2035 | 4,539 | 4,567,473 | ||||||||
UBS Commercial Mortgage Trust 2017-C6 XA IO | 1.044% | #(j) | 12/15/2050 | 381,088 | 28,138,901 | |||||||
UBS-BAMLL Trust 2012-WRM D† | 4.238% | #(j) | 6/10/2030 | 6,900 | 6,698,767 |
314 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
UBS-Barclays Commercial Mortgage Trust 2012-C2 A4 | 3.525% | 5/10/2063 | $ | 71,467 | $ | 72,273,278 | ||||||
UBS-Barclays Commercial Mortgage Trust 2012-C2 BEC† | 4.821% | #(j) | 5/10/2063 | 8,100 | 8,305,845 | |||||||
UBS-Barclays Commercial Mortgage Trust 2012-C2 XA IO† | 1.336% | #(j) | 5/10/2063 | 87,113 | 3,853,515 | |||||||
UBS-Barclays Commercial Mortgage Trust 2012-C3 A4 | 3.091% | 8/10/2049 | 11,200 | 11,116,918 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2012-C4 A4 | 2.792% | 12/10/2045 | 34,991 | 34,402,969 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2012-C4 A5 | 2.85% | 12/10/2045 | 6,200 | 6,089,409 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2013-C5 A4 | 3.185% | 3/10/2046 | 44,320 | 44,211,389 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2013-C5 AS† | 3.347% | 3/10/2046 | 23,805 | 23,406,080 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2013-C5 B† | 3.649% | #(j) | 3/10/2046 | 7,000 | 6,931,747 | |||||||
UBS-Barclays Commercial Mortgage Trust 2013-C5 XA IO† | 0.975% | #(j) | 3/10/2046 | 366,237 | 13,691,475 | |||||||
UBS-Barclays Commercial Mortgage Trust 2013-C6 XA IO† | 1.136% | #(j) | 4/10/2046 | 421,536 | 18,997,687 | |||||||
UBS-Citigroup Commercial Mortgage Trust 2011-C1 AS† | 5.154% | 1/10/2045 | 4,900 | 5,126,434 | ||||||||
VNDO Mortgage Trust 2012-6AVE A† | 2.996% | 11/15/2030 | 14,400 | 14,237,556 | ||||||||
Vornado DP LLC Trust 2010-VNO A1† | 2.97% | 9/13/2028 | 9,453 | 9,484,010 | ||||||||
Vornado DP LLC Trust 2010-VNO A2FX† | 4.004% | 9/13/2028 | 14,787 | 15,143,248 | ||||||||
Vornado DP LLC Trust 2010-VNO C† | 5.28% | 9/13/2028 | 6,120 | 6,428,255 | ||||||||
Waldorf Astoria Boca Raton Trust 2016-BOCA C† | 4.419% (1 Mo. LIBOR + 2.50% | )# | 6/15/2029 | 11,999 | 12,037,442 | |||||||
Waldorf Astoria Boca Raton Trust 2016-BOCA E† | 6.269% (1 Mo. LIBOR + 4.35% | )# | 6/15/2029 | 33,698 | 33,918,900 | |||||||
WaMu Mortgage Pass-Through Certificates Trust 2005-AR18 1A1 | 3.419% | #(j) | 1/25/2036 | 4,507 | 4,504,707 | |||||||
Wells Fargo Commercial Mortgage Trust 2010-C1 A2† | 4.393% | 11/15/2043 | 5,940 | 6,091,196 | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-C26 ASB | 2.991% | 2/15/2048 | 19,200 | 19,012,461 | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-C29 ASB | 3.40% | 6/15/2048 | 10,749 | 10,809,560 | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-C29 XA IO | 0.724% | #(j) | 6/15/2048 | 151,827 | 5,622,903 | |||||||
See Notes to Financial Statements. | 315 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Wells Fargo Commercial Mortgage Trust 2015-NXS4 A2A | 3.075% | 12/15/2048 | $ | 9,888 | $ | 9,874,002 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-NXS4 A2B | 4.60% | #(j) | 12/15/2048 | 66,103 | 68,450,516 | |||||||
Wells Fargo Commercial Mortgage Trust 2015-P2 A2B | 4.74% | #(j) | 12/15/2048 | 82,108 | 85,475,884 | |||||||
Wells Fargo Commercial Mortgage Trust 2015-SG1 ASB | 3.556% | 9/15/2048 | 9,675 | 9,771,613 | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-SG1 XA IO | 0.77% | #(j) | 9/15/2048 | 167,610 | 6,696,626 | |||||||
Wells Fargo Commercial Mortgage Trust 2016-BNK1 XA IO | 1.791% | #(j) | 8/15/2049 | 198,909 | 22,287,724 | |||||||
Wells Fargo Commercial Mortgage Trust 2016-C34 XA IO | 2.169% | #(j) | 6/15/2049 | 154,095 | 17,586,601 | |||||||
Wells Fargo Commercial Mortgage Trust 2017-SMP A† | 2.794% (1 Mo. LIBOR + .75% | )# | 12/15/2034 | 22,721 | 22,736,323 | |||||||
Wells Fargo Commercial Mortgage Trust 2017-SMP B† | 3.044% (1 Mo. LIBOR + 1.00% | )# | 12/15/2034 | 16,322 | 16,337,872 | |||||||
Wells Fargo Commercial Mortgage Trust 2018-C44 A2 | 4.178% | 5/15/2051 | 25,197 | 26,088,077 | ||||||||
Wells Fargo Mortgage Backed Securities Trust 2005-3 A4 | 5.50% | 5/25/2035 | 1,653 | 1,714,828 | ||||||||
West Town Mall Trust 2017-KNOX A† | 3.823% | 7/5/2030 | 56,515 | 56,846,442 | ||||||||
West Town Mall Trust 2017-KNOX B† | 4.322% | 7/5/2030 | 23,788 | 24,039,763 | ||||||||
West Town Mall Trust 2017-KNOX C† | 4.346% | #(j) | 7/5/2030 | 17,640 | 17,444,173 | |||||||
West Town Mall Trust 2017-KNOX D† | 4.346% | #(j) | 7/5/2030 | 21,720 | 20,966,772 | |||||||
WF-RBS Commercial Mortgage Trust 2011-C2 A4† | 4.869% | #(j) | 2/15/2044 | 12,146 | 12,628,171 | |||||||
WF-RBS Commercial Mortgage Trust 2011-C4 A3† | 4.394% | 6/15/2044 | 94 | 94,412 | ||||||||
WF-RBS Commercial Mortgage Trust 2011-C5 A3 | 3.526% | 11/15/2044 | 11,956 | 12,055,070 | ||||||||
WF-RBS Commercial Mortgage Trust 2012-C10 A3 | 2.875% | 12/15/2045 | 21,234 | 20,874,871 | ||||||||
WF-RBS Commercial Mortgage Trust 2012-C10 XA IO† | 1.574% | #(j) | 12/15/2045 | 57,233 | 3,260,095 | |||||||
WF-RBS Commercial Mortgage Trust 2012-C6 AS | 3.835% | 4/15/2045 | 5,000 | 5,065,857 | ||||||||
WF-RBS Commercial Mortgage Trust 2012-C7 A2 | 3.431% | 6/15/2045 | 5,393 | 5,432,168 | ||||||||
WF-RBS Commercial Mortgage Trust 2012-C7 B | 4.759% | #(j) | 6/15/2045 | 17,378 | 17,851,325 | |||||||
WF-RBS Commercial Mortgage Trust 2012-C7 XA IO† | 1.428% | #(j) | 6/15/2045 | 343,509 | 14,977,092 | |||||||
WF-RBS Commercial Mortgage Trust 2012-C8 A2 | 1.881% | 8/15/2045 | 1 | 1,118 | ||||||||
WF-RBS Commercial Mortgage Trust 2012-C8 XA IO† | 1.845% | #(j) | 8/15/2045 | 52,498 | 3,241,244 | |||||||
WF-RBS Commercial Mortgage Trust 2012-C9 A3 | 2.87% | 11/15/2045 | 18,575 | 18,310,128 |
316 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||||
WF-RBS Commercial Mortgage Trust 2012-C9 C | 4.543% | #(j) | 11/15/2045 | $ | 9,180 | $ | 9,209,888 | |||||||
WF-RBS Commercial Mortgage Trust 2013-C11 AS | 3.311% | 3/15/2045 | 5,000 | 4,959,716 | ||||||||||
WF-RBS Commercial Mortgage Trust 2013-C13 XA IO† | 1.214% | #(j) | 5/15/2045 | 261,699 | 12,855,100 | |||||||||
WF-RBS Commercial Mortgage Trust 2013-C15 A3 | 3.881% | 8/15/2046 | 6,763 | 6,924,656 | ||||||||||
WF-RBS Commercial Mortgage Trust 2013-C16 A2 | 3.223% | 9/15/2046 | 13,733 | 13,738,825 | ||||||||||
WF-RBS Commercial Mortgage Trust 2014-C20 XA IO | 1.055% | #(j) | 5/15/2047 | 239,406 | 10,245,539 | |||||||||
WF-RBS Commercial Mortgage Trust 2014-C20 XB IO | 0.564% | #(j) | 5/15/2047 | 50,603 | 1,692,725 | |||||||||
WF-RBS Commercial Mortgage Trust 2014-C21 XB IO | 0.604% | #(j) | 8/15/2047 | 77,369 | 2,878,286 | |||||||||
WF-RBS Commercial Mortgage Trust 2014-C22 XA IO | 0.893% | #(j) | 9/15/2057 | 97,047 | 3,863,933 | |||||||||
WF-RBS Commercial Mortgage Trust 2014-C22 XB IO | 0.452% | #(j) | 9/15/2057 | 37,769 | 913,302 | |||||||||
WFCG Commercial Mortgage Trust 2015-BXRP A† | 3.041% (1 Mo. LIBOR + 1.12% | )# | 11/15/2029 | 7,887 | 7,889,474 | |||||||||
WFCG Commercial Mortgage Trust 2015-BXRP C† | 3.69% (1 Mo. LIBOR + 1.77% | )# | 11/15/2029 | 4,747 | 4,748,583 | |||||||||
WFRBS Commercial Mortgage Trust 2014-C19 A4 | 3.829% | 3/15/2047 | 18,050 | 18,511,241 | ||||||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $9,893,207,263) | 9,759,121,419 | |||||||||||||
Dividend Rate | Shares (000) | |||||||||||||
PREFERRED STOCK 0.01% | ||||||||||||||
Oil | ||||||||||||||
Templar Energy LLC (cost $4,677,792) | Zero Coupon | 470 | 3,404,485 | |||||||||||
Interest Rate | Maturity Date | Principal Amount (000) | ||||||||||||
U.S. TREASURY OBLIGATION 1.13% | ||||||||||||||
U.S. Treasury Note (cost $452,085,256) | 2.50% | 5/31/2020 | $ | 452,557 | 453,228,767 | |||||||||
Total Long-Term Investments (cost $40,202,945,331) | 39,754,886,127 |
See Notes to Financial Statements. | 317 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
SHORT-TERM INVESTMENTS 0.92% | ||||||||||||
COMMERCIAL PAPER 0.55% | ||||||||||||
Automotive 0.06% | ||||||||||||
Ford Motor Credit Co. | 2.058% | 7/16/2018 | $ | 23,297 | $ | 23,239,049 | ||||||
Chemicals 0.07% | ||||||||||||
Sherwin Williams Co. | 2.491% | 6/18/2018 | 27,243 | 27,211,481 | ||||||||
Financial Services 0.13% | ||||||||||||
Syngenta Wilmington, Inc. | 2.842% | 6/6/2018 | 1,000 | 999,611 | ||||||||
Syngenta Wilmington, Inc. | 2.948% | 6/25/2018 | 54,000 | 53,895,600 | ||||||||
Total | 54,895,211 | |||||||||||
Oil: Crude Producers 0.29% | ||||||||||||
Enbridge Energy Partners LP | 2.887% | 6/7/2018 | 60,938 | 60,909,156 | ||||||||
Enbridge Energy Partners LP | 2.931% | 6/11/2018 | 25,000 | 24,980,000 | ||||||||
Enbridge Energy Partners LP | 3.026% | 6/11/2018 | 28,691 | 28,667,330 | ||||||||
Enbridge Energy Partners LP | 3.037% | 6/22/2018 | 500 | 499,131 | ||||||||
Plains All American Pipeline LP | 2.84% | 6/1/2018 | 1,000 | 1,000,000 | ||||||||
Total | 116,055,617 | |||||||||||
Total Commercial Paper (cost $221,401,358) | 221,401,358 | |||||||||||
CONVERTIBLE BOND 0.05% | ||||||||||||
Energy Equipment & Services | ||||||||||||
Tesla Energy Operations, Inc. (cost $21,135,998) | 2.75% | 11/1/2018 | 21,320 | 21,031,285 | ||||||||
CORPORATE BONDS 0.21% | ||||||||||||
Banks: Regional 0.03% | ||||||||||||
Santander Holdings USA, Inc. | 2.70% | 5/24/2019 | 12,529 | 12,468,699 | ||||||||
Business Services 0.00% | ||||||||||||
Total System Services, Inc. | 2.375% | 6/1/2018 | 425 | 425,000 | ||||||||
Computer Software 0.01% | ||||||||||||
Fidelity National Information Services, Inc. | 2.85% | 10/15/2018 | 2,390 | 2,394,424 | ||||||||
Electric: Power 0.05% | ||||||||||||
Pacific Gas & Electric Co. | 2.549% (3 Mo. LIBOR + .23% | )# | 11/28/2018 | 11,133 | 11,132,660 | |||||||
South Carolina Electric & Gas Co. | 5.25% | 11/1/2018 | 1,985 | 2,004,747 | ||||||||
South Carolina Electric & Gas Co. | 6.50% | 11/1/2018 | 6,663 | 6,762,967 | ||||||||
Total | 19,900,374 |
318 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Financial Services 0.01% | ||||||||||||
Nationstar Mortgage LLC/Nationstar Capital Corp. | 6.50% | 8/1/2018 | $ | 3,857 | $ | 3,860,143 | ||||||
Leasing 0.01% | ||||||||||||
Aviation Capital Group LLC† | 2.875% | 9/17/2018 | 4,953 | 4,955,527 | ||||||||
Machinery: Agricultural 0.00% | ||||||||||||
Imperial Brands Finance plc (United Kingdom)†(d) | 2.05% | 7/20/2018 | 1,000 | 999,352 | ||||||||
Media 0.01% | ||||||||||||
Time Warner Cable LLC | 6.75% | 7/1/2018 | 2,000 | 2,005,691 | ||||||||
Metals & Minerals: Miscellaneous 0.02% | ||||||||||||
Glencore Funding LLC† | 2.50% | 1/15/2019 | 6,980 | 6,973,997 | ||||||||
Glencore Funding LLC† | 3.708% (3 Mo. LIBOR + 1.36% | )# | 1/15/2019 | 1,320 | 1,326,293 | |||||||
Total | 8,300,290 | |||||||||||
Oil: Crude Producers 0.07% | ||||||||||||
Kinder Morgan Energy Partners LP | 2.65% | 2/1/2019 | 4,575 | 4,560,904 | ||||||||
ONEOK Partners LP | 3.20% | 9/15/2018 | 22,847 | 22,879,142 | ||||||||
Total | 27,440,046 | |||||||||||
Oil: Integrated Domestic 0.00% | ||||||||||||
Cameron International Corp. | 6.375% | 7/15/2018 | 500 | 502,071 | ||||||||
Total Corporate Bonds (cost $83,241,445) | 83,251,617 | |||||||||||
FOREIGN GOVERNMENT OBLIGATION 0.02% | ||||||||||||
Argentina | ||||||||||||
Provincia de Buenos Aires†(d) (cost $6,077,998) | 9.375% | 9/14/2018 | 6,034 | 6,103,391 | ||||||||
REPURCHASE AGREEMENT 0.09% | ||||||||||||
Repurchase Agreement dated 5/31/2018, 0.90% due 6/1/2018 with Fixed Income Clearing Corp. collateralized by $35,970,000 of U.S. Treasury Inflation Indexed Note at 0.125% due 4/15/2020; value: $38,001,370; proceeds: $37,252,779 (cost $37,251,848) | 37,252 | 37,251,848 | ||||||||||
Total Repurchase Agreement (cost $37,251,848) | 37,251,848 | |||||||||||
Total Short-Term Investments (cost $369,108,647) | 369,039,499 | |||||||||||
Total Investments in Securities 99.74% (cost $40,572,053,978) | 40,123,925,626 | |||||||||||
Cash and Other Assets in Excess of Liabilities(k) 0.26% | 103,942,647 | |||||||||||
Net Assets 100.00% | $ | 40,227,868,273 |
See Notes to Financial Statements. | 319 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
BRL | Brazilian real. | |
EUR | euro dollar. | |
ADR | American Depositary Receipt. | |
AGM | Assured Guaranty Municipal Corporation. | |
IO | Interest Only. | |
LIBOR | London Interbank Offered Rate. | |
PIK | Payment-in-kind. | |
Units | More than one class of securities traded together. | |
† | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers. | |
# | Variable rate security. The interest rate represents the rate in effect at May 31, 2018. | |
* | Non-income producing security. | |
(a) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(b) | Level 3 Investment as described in Note 2(s) in the Notes to Financials. Security valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments. | |
(c) | Investment in non-U.S. dollar denominated securities. | |
(d) | Foreign security traded in U.S. dollars. | |
(e) | Variable Rate is Fixed to Float: Rate remains fixed until designated future date. | |
(f) | Security is perpetual in nature and has no stated maturity. | |
(g) | Defaulted (non-income producing security). | |
(h) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at May 31, 2018. | |
(i) | Level 3 Investment as described in Note 2(s) in the Notes to Financials. Floating Rate Loans categorized as Level 3 are valued based on a single quotation obtained from a dealer. Accounting principles generally accepted in the United States of America do not require the Fund to create quantitative unobservable inputs that were not developed by the Fund. Therefore, the Fund does not have access to unobservable inputs and cannot disclose such inputs in the valuation. | |
(j) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(k) | Cash and Other Assets in Excess of Liabilities include net unrealized appreciation/depreciation on credit default swaps, forward foreign currency exchange contracts and futures contracts. |
320 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Credit Default Swaps on Indexes - Sell Protection at May 31, 2018(1):
Referenced Index* | Swap Counterparty | Fund Receives (quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Appreciation(3) | Credit Default Swap Agreements Payable at Fair Value(4) | ||||||||||||||||||
Markit CMBX. NA.A.6 | Credit Suisse | 2.00% | 5/11/2063 | $ | 30,000,000 | $ | 28,761,573 | $ | (1,238,427) | $ | 911,294 | $ | (327,133) | |||||||||||||
Markit CMBX. NA.AA.6 | Credit Suisse | 1.50% | 5/11/2063 | 27,000,000 | 26,656,297 | (343,703) | 679,636 | 335,933 | ||||||||||||||||||
Markit CMBX. NA.A.6 | Deutsche Bank | 2.00% | 5/11/2063 | 45,000,000 | 43,142,360 | (1,857,641) | 1,366,941 | (490,700) | ||||||||||||||||||
Markit CMBX. NA.AA.6 | Deutsche Bank | 1.50% | 5/11/2063 | 3,000,000 | 2,961,811 | (38,189) | 75,515 | 37,326 | ||||||||||||||||||
Markit CMBX. NA.A.6 | Morgan Stanley | 2.00% | 5/11/2063 | 75,000,000 | 71,903,933 | (3,096,067) | 2,278,235 | (817,832) | ||||||||||||||||||
Markit CMBX. NA.AA.6 | Morgan Stanley | 1.50% | 5/11/2063 | 15,000,000 | 14,809,054 | (190,946) | 377,576 | 186,630 | ||||||||||||||||||
$ | (6,764,973) | $ | 5,689,197 | $ | (1,075,776) |
* | The Referenced Index is for the Credit Default Swaps on Indexes, which is comprised of a basket of commercial mortgage-backed securities. (See Note 2(q)). | |
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities. | |
(2) | Upfront payments received are presented net of amortization (See Note 2(q)). | |
(3) | Total unrealized appreciation on Credit Default Swaps on Indexes amounted to $5,689,197. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $0. | |
(4) | Includes upfront payments received. |
See Notes to Financial Statements. | 321 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
Open Forward Foreign Currency Exchange Contracts at May 31, 2018:
Forward | ||||||||||||||||||||
Foreign | U.S. $ | |||||||||||||||||||
Currency | Cost on | U.S. $ | ||||||||||||||||||
Exchange | Transaction | Expiration | Foreign | Origination | Current | Unrealized | ||||||||||||||
Contracts | Type | Counterparty | Date | Currency | Date | Value | Appreciation | |||||||||||||
euro | Sell | Standard Chartered Bank | 12/20/2018 | 13,515,000 | $ | 16,344,095 | $ | 16,051,758 | $ | 292,337 | ||||||||||
euro | Sell | Standard Chartered Bank | 12/20/2018 | 9,513,000 | 11,543,265 | 11,298,585 | 244,680 | |||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 537,017 |
Open Futures Contracts at May 31, 2018:
Notional | Notional | Unrealized | ||||||||||||||||
Type | Expiration | Contracts | Position | Amount | Value | Appreciation | ||||||||||||
U.S. 2-Year Treasury Note | September 2018 | 30,000 | Long | $ | 6,265,152,182 | $ | 6,271,101,342 | $ | 5,949,160 | |||||||||
U.S. 5-Year Treasury Note | September 2018 | 1,265 | Short | (144,250,719 | ) | (144,071,641 | ) | 179,078 | ||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 6,128,238 |
322 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUND May 31, 2018
The following is a summary of the inputs used as of May 31, 2018 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2)(3) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | ||||||||||||||||
Other | $ | – | $ | 3,526,222,765 | $ | 84,933,037 | $ | 3,611,155,802 | ||||||||
Remaining Industries | – | 6,786,948,499 | – | 6,786,948,499 | ||||||||||||
Common Stocks | ||||||||||||||||
Oil | 32,543,946 | 9,334,405 | – | 41,878,351 | ||||||||||||
Remaining Industries | 181,613 | – | – | 181,613 | ||||||||||||
Convertible Bonds | – | 141,795,364 | – | 141,795,364 | ||||||||||||
Corporate Bonds | – | 15,319,545,788 | – | 15,319,545,788 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Biotechnology Research & Production | – | – | 58,275,538 | 58,275,538 | ||||||||||||
Chemicals | – | 44,860,418 | 47,137,641 | 91,998,059 | ||||||||||||
Computer Hardware | – | 166,539,104 | 14,532,261 | 181,071,365 | ||||||||||||
Computer Software | – | – | 27,862,129 | 27,862,129 | ||||||||||||
Containers | – | – | 12,244,669 | 12,244,669 | ||||||||||||
Electrical Equipment | – | – | 40,431,244 | 40,431,244 | ||||||||||||
Health Care Products | – | – | 79,247,662 | 79,247,662 | ||||||||||||
Health Care Services | – | – | 3,024,596 | 3,024,596 | ||||||||||||
Lodging | – | – | 43,847,741 | 43,847,741 | ||||||||||||
Machinery: Industrial/Specialty | – | – | 9,353,695 | 9,353,695 | ||||||||||||
Miscellaneous | – | 13,418,811 | 34,359,138 | 47,777,949 | ||||||||||||
Office Furniture & Business Equipment | – | – | 12,991,275 | 12,991,275 | ||||||||||||
Oil | – | – | 12,229,662 | 12,229,662 | ||||||||||||
Oil: Crude Producers | – | – | 44,122,417 | 44,122,417 | ||||||||||||
Real Estate Investment Trusts | – | 115,682,410 | 68,813,910 | 184,496,320 | ||||||||||||
Retail | – | 105,308,823 | 59,187,698 | 164,496,521 | ||||||||||||
Remaining Industries | – | 146,260,084 | – | 146,260,084 | ||||||||||||
Foreign Government Obligations | – | 373,888,028 | – | 373,888,028 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 1,441,344,520 | – | 1,441,344,520 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 526,841,387 | – | 526,841,387 | ||||||||||||
Municipal Bonds | – | 135,821,178 | – | 135,821,178 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 9,504,773,653 | 254,347,766 | 9,759,121,419 | ||||||||||||
Preferred Stock | – | 3,404,485 | – | 3,404,485 | ||||||||||||
U.S. Treasury Obligation | – | 453,228,767 | – | 453,228,767 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | – | 221,401,358 | – | 221,401,358 | ||||||||||||
Convertible Bond | – | 21,031,285 | – | 21,031,285 | ||||||||||||
Corporate Bonds | – | 83,251,617 | – | 83,251,617 | ||||||||||||
Foreign Government Obligation | – | 6,103,391 | – | 6,103,391 | ||||||||||||
Repurchase Agreement | – | 37,251,848 | – | 37,251,848 | ||||||||||||
Total | $ | 32,725,559 | $ | 39,184,257,988 | $ | 906,942,079 | $ | 40,123,925,626 |
See Notes to Financial Statements. | 323 |
Schedule of Investments (unaudited)(concluded)
SHORT DURATION INCOME FUND May 31, 2018
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Credit Default Swaps Contracts | ||||||||||||||||
Assets | $ | – | $ | – | $ | – | $ | – | ||||||||
Liabilities | – | (1,075,776 | ) | – | (1,075,776 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 537,017 | – | 537,017 | ||||||||||||
Liabilities | – | – | – | – | ||||||||||||
Futures Contracts | ||||||||||||||||
Assets | 6,128,238 | – | – | 6,128,238 | ||||||||||||
Liabilities | – | – | – | – | ||||||||||||
Total | $ | 6,128,238 | $ | (538,759 | ) | $ | – | $ | 5,589,479 |
(1) | Refer to Note 2(s) for a description of fair value measurements and the three-tier hierarchy of inputs. | |
(2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. The table above is presented by Investment Type. Industries are presented within an Investment Type should such Investment Type include securities classified as two or more levels within the three-tier fair value hierarchy. Each Level 3 security is identified on the Schedule of Investments along with the valuation technique utilized. | |
(3) | There were no Level 1/Level 2 transfers during the period ended May 31, 2018. |
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
Non-Agency | ||||||||||||||||||||
Commercial | ||||||||||||||||||||
Mortgage- | ||||||||||||||||||||
Asset-Backed | Convertible | Floating | Foreign | Backed | ||||||||||||||||
Investment Type | Securities | Bonds | Rate Loans | Bonds | Securities | |||||||||||||||
Balance as of December 1, 2017 | $ | 244,625,703 | $ | 120,845 | $ | 780,139,328 | $ | 152,533 | $ | 604,932,622 | ||||||||||
Accrued Discounts (Premiums) | (3,606 | ) | – | 149,664 | – | (4,996,781 | ) | |||||||||||||
Realized Gain (Loss) | (73,432 | ) | 140,276 | 1,110,065 | 142,423 | 2,198,088 | ||||||||||||||
Change in Unrealized Appreciation (Depreciation) | 71,859 | 852,955 | (542,398 | ) | 1,111,250 | (4,021,885 | ) | |||||||||||||
Purchases | 84,933,037 | – | 232,633,732 | – | 86,221,000 | |||||||||||||||
Sales | (31,990,000 | ) | (1,114,076 | ) | (466,106,659 | ) | (1,406,206 | ) | (216,182,326 | ) | ||||||||||
Transfers into Level 3 | – | – | 20,277,544 | – | 39,347,108 | |||||||||||||||
Transfers out of Level 3 | (212,630,524 | ) | – | – | – | (253,150,060 | ) | |||||||||||||
Balance as of May 31, 2018 | $ | 84,933,037 | $ | – | $ | 567,661,276 | $ | – | $ | 254,347,766 | ||||||||||
Change in unrealized appreciation/depreciation for period ended May 31, 2018, related to Level 3 investments held at May 31, 2018 | $ | – | $ | – | $ | (626,693 | ) | $ | – | $ | (2,710,715 | ) |
324 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)
TOTAL RETURN FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
LONG-TERM INVESTMENTS 107.56% | ||||||||||||
ASSET-BACKED SECURITIES 24.84% | ||||||||||||
Automobiles 11.50% | ||||||||||||
ACC Trust 2018-1 B† | 4.82% | 5/20/2021 | $ | 1,922 | $ | 1,928,712 | ||||||
ACC Trust 2018-1 C† | 6.81% | 2/21/2023 | 1,490 | 1,496,293 | ||||||||
Ally Auto Receivables Trust 2017-5 A2 | 1.81% | 6/15/2020 | 2,121 | 2,114,208 | ||||||||
American Credit Acceptance Receivables Trust 2015-1 C† | 4.29% | 4/12/2021 | 3,186 | 3,199,405 | ||||||||
American Credit Acceptance Receivables Trust 2016-2 C† | 6.09% | 5/12/2022 | 1,877 | 1,927,449 | ||||||||
American Credit Acceptance Receivables Trust 2017-3 A† | 1.82% | 3/10/2020 | 1,772 | 1,769,729 | ||||||||
American Credit Acceptance Receivables Trust 2018-1 A† | 2.72% | 3/10/2021 | 11,337 | 11,334,250 | ||||||||
AmeriCredit Automobile Receivables Trust 2013-5 D | 2.86% | 12/9/2019 | 3,937 | 3,937,224 | ||||||||
AmeriCredit Automobile Receivables Trust 2014-1 C | 2.15% | 3/9/2020 | 691 | 690,485 | ||||||||
AmeriCredit Automobile Receivables Trust 2015-2 C | 2.40% | 1/8/2021 | 12,880 | 12,846,898 | ||||||||
AmeriCredit Automobile Receivables Trust 2015-3 A3 | 1.54% | 3/9/2020 | 174 | 174,175 | ||||||||
AmeriCredit Automobile Receivables Trust 2015-3 B | 2.08% | 9/8/2020 | 3,518 | 3,511,684 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-4 A2A | 1.34% | 4/8/2020 | 415 | 414,807 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-2 A2A | 1.65% | 9/18/2020 | 7,123 | 7,099,507 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-2 C | 2.97% | 3/20/2023 | 4,919 | 4,894,381 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-3 A2A | 1.69% | 12/18/2020 | 2,728 | 2,716,210 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-3 B | 2.24% | 6/19/2023 | 2,022 | 1,990,395 | ||||||||
Avis Budget Rental Car Funding AESOP LLC 2013-1A A† | 1.92% | 9/20/2019 | 4,419 | 4,413,381 | ||||||||
Avis Budget Rental Car Funding AESOP LLC 2013-2A A† | 2.97% | 2/20/2020 | 3,109 | 3,111,493 | ||||||||
Avis Budget Rental Car Funding AESOP LLC 2014-1A A† | 2.46% | 7/20/2020 | 3,588 | 3,575,471 | ||||||||
BMW Vehicle Owner Trust 2018-A A2A | 2.09% | 11/25/2020 | 15,130 | 15,083,297 |
See Notes to Financial Statements. | 325 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Automobiles (continued) | ||||||||||||
California Republic Auto Receivables Trust 2014-3 B | 2.66% | 8/17/2020 | $ | 2,460 | $ | 2,462,453 | ||||||
California Republic Auto Receivables Trust 2015-1 A4 | 1.82% | 9/15/2020 | 2,883 | 2,872,264 | ||||||||
California Republic Auto Receivables Trust 2015-2 B | 2.53% | 6/15/2021 | 5,940 | 5,901,012 | ||||||||
California Republic Auto Receivables Trust 2015-3 B | 2.70% | 9/15/2021 | 750 | 746,895 | ||||||||
California Republic Auto Receivables Trust 2016-2 A3 | 1.56% | 7/15/2020 | 533 | 531,513 | ||||||||
California Republic Auto Receivables Trust 2016-2 A4 | 1.83% | 12/15/2021 | 4,001 | 3,958,152 | ||||||||
California Republic Auto Receivables Trust 2016-2 B | 2.52% | 5/16/2022 | 2,393 | 2,348,150 | ||||||||
California Republic Auto Receivables Trust 2017-1 A3 | 1.90% | 3/15/2021 | 8,452 | 8,413,016 | ||||||||
California Republic Auto Receivables Trust 2017-1 B | 2.91% | 12/15/2022 | 1,716 | 1,681,105 | ||||||||
Capital Auto Receivables Asset Trust 2016-2 A3 | 1.46% | 6/22/2020 | 1,252 | 1,248,851 | ||||||||
Capital Auto Receivables Asset Trust 2017-1 B† | 2.43% | 5/20/2022 | 3,190 | 3,138,228 | ||||||||
Capital Auto Receivables Asset Trust 2017-1 C† | 2.70% | 9/20/2022 | 4,537 | 4,469,384 | ||||||||
Capital Auto Receivables Asset Trust 2017-1 D† | 3.15% | 2/20/2025 | 2,950 | 2,921,053 | ||||||||
CarMax Auto Owner Trust 2014-2 C | 2.08% | 1/15/2020 | 2,318 | 2,317,464 | ||||||||
CarMax Auto Owner Trust 2014-3 C | 2.29% | 6/15/2020 | 2,881 | 2,878,505 | ||||||||
CarMax Auto Owner Trust 2015-2 A3 | 1.37% | 3/16/2020 | 294 | 293,456 | ||||||||
CarMax Auto Owner Trust 2016-3 A3 | 1.39% | 5/17/2021 | 3,391 | 3,362,228 | ||||||||
CarMax Auto Owner Trust 2016-4 A2 | 1.21% | 11/15/2019 | 400 | 399,121 | ||||||||
Chesapeake Funding II LLC 2016-1A A1† | 2.11% | 3/15/2028 | 1,622 | 1,617,381 | ||||||||
Chesapeake Funding II LLC 2016-2A A1† | 1.88% | 6/15/2028 | 16,752 | 16,664,987 | ||||||||
Chesapeake Funding II LLC 2017-2A A1† | 1.99% | 5/15/2029 | 4,829 | 4,781,407 | ||||||||
Chesapeake Funding II LLC 2017-3A A1† | 1.91% | 8/15/2029 | 10,383 | 10,252,718 | ||||||||
Chrysler Capital Auto Receivables Trust 2014-BA D† | 3.44% | 8/16/2021 | 2,425 | 2,431,828 | ||||||||
Chrysler Capital Auto Receivables Trust 2016-AA B† | 2.88% | 2/15/2022 | 1,265 | 1,264,900 | ||||||||
Chrysler Capital Auto Receivables Trust 2016-AA C† | 3.25% | 6/15/2022 | 888 | 891,603 | ||||||||
CPS Auto Receivables Trust 2016-B D† | 6.58% | 3/15/2022 | 1,010 | 1,064,701 | ||||||||
CPS Auto Receivables Trust 2017-D A† | 1.87% | 3/15/2021 | 5,690 | 5,659,330 | ||||||||
CPS Auto Receivables Trust 2018-A B† | 2.77% | 4/18/2022 | 1,428 | 1,418,504 | ||||||||
CPS Auto Receivables Trust 2018-A C† | 3.05% | 12/15/2023 | 1,277 | 1,268,217 | ||||||||
CPS Auto Receivables Trust 2018-B D† | 4.26% | 3/15/2024 | 2,879 | 2,882,424 | ||||||||
Drive Auto Receivables Trust 2015-AA C† | 3.06% | 5/17/2021 | 427 | 427,825 | ||||||||
Drive Auto Receivables Trust 2015-BA E† | 5.15% | 8/15/2022 | 9,500 | 9,663,652 |
326 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Automobiles (continued) | ||||||||||||
Drive Auto Receivables Trust 2015-DA C† | 3.38% | 11/15/2021 | $ | 1,642 | $ | 1,645,745 | ||||||
Drive Auto Receivables Trust 2015-DA D† | 4.59% | 1/17/2023 | 3,804 | 3,871,458 | ||||||||
Drive Auto Receivables Trust 2016-AA C† | 3.91% | 5/17/2021 | 6,539 | 6,569,224 | ||||||||
Drive Auto Receivables Trust 2016-BA C† | 3.19% | 7/15/2022 | 1,960 | 1,964,315 | ||||||||
Drive Auto Receivables Trust 2016-BA D† | 4.53% | 8/15/2023 | 6,742 | 6,872,684 | ||||||||
Drive Auto Receivables Trust 2016-CA B† | 2.37% | 11/16/2020 | 967 | 966,537 | ||||||||
Drive Auto Receivables Trust 2016-CA C† | 3.02% | 11/15/2021 | 5,026 | 5,034,562 | ||||||||
Drive Auto Receivables Trust 2016-CA D† | 4.18% | 3/15/2024 | 1,735 | 1,763,245 | ||||||||
Drive Auto Receivables Trust 2017-2 A3 | 1.82% | 6/15/2020 | 3,431 | 3,428,538 | ||||||||
Drive Auto Receivables Trust 2017-3 C | 2.80% | 7/15/2022 | 10,044 | 10,021,218 | ||||||||
Drive Auto Receivables Trust 2017-AA B† | 2.51% | 1/15/2021 | 2,690 | 2,688,741 | ||||||||
Drive Auto Receivables Trust 2017-AA D† | 4.16% | 5/15/2024 | 2,964 | 3,014,818 | ||||||||
Enterprise Fleet Financing LLC 2017-1 A2† | 2.13% | 7/20/2022 | 2,329 | 2,317,357 | ||||||||
First Investors Auto Owner Trust 2016-2A A1† | 1.53% | 11/16/2020 | 663 | 661,408 | ||||||||
First Investors Auto Owner Trust 2017-2A A1† | 1.86% | 10/15/2021 | 7,217 | 7,180,610 | ||||||||
First Investors Auto Owner Trust 2017-3A A2† | 2.41% | 12/15/2022 | 3,932 | 3,883,358 | ||||||||
First Investors Auto Owner Trust 2017-3A B† | 2.72% | 4/17/2023 | 1,475 | 1,451,092 | ||||||||
Flagship Credit Auto Trust 2017-1 A† | 1.93% | 12/15/2021 | 3,832 | 3,818,329 | ||||||||
Flagship Credit Auto Trust 2017-3 A† | 1.88% | 10/15/2021 | 2,941 | 2,922,643 | ||||||||
Flagship Credit Auto Trust 2017-3 B† | 2.59% | 7/15/2022 | 2,205 | 2,182,485 | ||||||||
Flagship Credit Auto Trust 2017-4 A† | 2.07% | 4/15/2022 | 4,071 | 4,040,158 | ||||||||
Flagship Credit Auto Trust 2018-1 A† | 2.59% | 6/15/2022 | 6,512 | 6,492,857 | ||||||||
Ford Credit Auto Lease Trust 2017-B A2A | 1.80% | 6/15/2020 | 9,083 | 9,041,735 | ||||||||
Ford Credit Auto Owner Trust 2016-C A2A | 1.04% | 9/15/2019 | 858 | 856,943 | ||||||||
Ford Credit Auto Owner Trust 2017-2 A† | 2.36% | 3/15/2029 | 1,593 | 1,543,346 | ||||||||
Ford Credit Auto Owner Trust 2017-2 B† | 2.60% | 3/15/2029 | 760 | 731,337 | ||||||||
Foursight Capital Automobile Receivables Trust 2016-1 A2† | 2.87% | 10/15/2021 | 1,620 | 1,618,637 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 A2† | 2.85% | 8/16/2021 | 4,385 | 4,383,142 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 A3† | 3.24% | 9/15/2022 | 5,179 | 5,173,199 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 B† | 3.53% | 4/17/2023 | 1,758 | 1,756,662 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 C† | 3.68% | 8/15/2023 | 962 | 961,334 | ||||||||
GM Financial Automobile Leasing Trust 2017-2 A2A | 1.72% | 1/21/2020 | 1,988 | 1,979,325 | ||||||||
GM Financial Consumer Automobile 2017-1A B† | 2.30% | 6/16/2023 | 1,062 | 1,042,629 |
See Notes to Financial Statements. | 327 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Automobiles (continued) | ||||||||||||
GM Financial Consumer Automobile Receivables Trust 2017-3A A2A† | 1.71% | 9/16/2020 | $ | 11,139 | $ | 11,099,709 | ||||||
Harley-Davidson Motorcycle Trust 2015-2 A4 | 1.66% | 12/15/2022 | 1,946 | 1,937,577 | ||||||||
Honda Auto Receivables Owner Trust 2015-4 A3 | 1.23% | 9/23/2019 | 7,123 | 7,093,931 | ||||||||
Honda Auto Receivables Owner Trust 2016-2 A3 | 1.39% | 4/15/2020 | 1,375 | 1,368,037 | ||||||||
Honda Auto Receivables Owner Trust 2016-4 A2 | 1.04% | 4/18/2019 | 549 | 548,295 | ||||||||
Hyundai Auto Lease Securitization Trust 2017-C A2A† | 1.89% | 3/16/2020 | 8,128 | 8,082,699 | ||||||||
Mercedes-Benz Auto Lease Trust 2018-A A2 | 2.20% | 4/15/2020 | 9,340 | 9,316,769 | ||||||||
Mercedes-Benz Auto Receivables Trust 2016-1 A3 | 1.26% | 2/16/2021 | 3,492 | 3,461,756 | ||||||||
Nissan Auto Receivables Owner Trust 2016-A A3 | 1.34% | 10/15/2020 | 2,729 | 2,711,386 | ||||||||
Santander Drive Auto Receivables Trust 2013-5 E† | 3.73% | 3/15/2021 | 12,435 | 12,438,009 | ||||||||
Santander Drive Auto Receivables Trust 2014-2 C | 2.33% | 11/15/2019 | 113 | 112,485 | ||||||||
Santander Drive Auto Receivables Trust 2014-4 C | 2.60% | 11/16/2020 | 1,417 | 1,416,629 | ||||||||
Santander Drive Auto Receivables Trust 2014-5 E | 4.23% | 4/15/2022 | 7,125 | 7,210,592 | ||||||||
Santander Drive Auto Receivables Trust 2015-1 C | 2.57% | 4/15/2021 | 5,816 | 5,815,512 | ||||||||
Santander Drive Auto Receivables Trust 2015-5 C | 2.74% | 12/15/2021 | 12,623 | 12,628,144 | ||||||||
Santander Drive Auto Receivables Trust 2016-2 B | 2.08% | 2/16/2021 | 1,161 | 1,158,511 | ||||||||
Santander Drive Auto Receivables Trust 2016-3 B | 1.89% | 6/15/2021 | 1,740 | 1,732,934 | ||||||||
Santander Drive Auto Receivables Trust 2017-2 A2 | 1.60% | 3/16/2020 | 3,263 | 3,261,723 | ||||||||
Santander Drive Auto Receivables Trust 2017-3 C | 2.76% | 12/15/2022 | 1,349 | 1,338,764 | ||||||||
Santander Drive Auto Receivables Trust 2018-1 A2 | 2.10% | 11/16/2020 | 8,292 | 8,268,068 | ||||||||
SunTrust Auto Receivables Trust 2015-1A A4† | 1.78% | 1/15/2021 | 3,476 | 3,459,978 | ||||||||
SunTrust Auto Receivables Trust 2015-1A D† | 3.24% | 1/16/2023 | 4,877 | 4,779,328 | ||||||||
TCF Auto Receivables Owner Trust 2015-1A B† | 2.49% | 4/15/2021 | 5,176 | 5,166,304 | ||||||||
TCF Auto Receivables Owner Trust 2016-PT1A B† | 2.92% | 10/17/2022 | 4,025 | 3,972,012 | ||||||||
Westlake Automobile Receivables Trust 2017-2A A2A† | 1.80% | 7/15/2020 | 5,058 | 5,040,862 | ||||||||
Wheels SPV 2 LLC 2016-1A A2† | 1.59% | 5/20/2025 | 2,497 | 2,486,386 | ||||||||
Total | 436,247,852 | |||||||||||
Credit Cards 4.20% | ||||||||||||
American Express Credit Account Master Trust 2017-1 A | 1.93% | 9/15/2022 | 9,783 | 9,651,911 | ||||||||
Barclays Dryrock Issuance Trust 2015-4 A | 1.72% | 8/16/2021 | 18,191 | 18,144,384 | ||||||||
Capital One Multi-Asset Execution Trust 2015-A5 | 1.60% | 5/17/2021 | 1,141 | 1,139,985 | ||||||||
Chase Issuance Trust 2015-A7 | 1.62% | 7/15/2020 | 4,055 | 4,051,005 | ||||||||
Citibank Credit Card Issuance Trust 2013-A7 | 2.359% (1 Mo. LIBOR + .43% | )# | 9/10/2020 | 10,322 | 10,332,685 | |||||||
Citibank Credit Card Issuance Trust 2014-A1 | 2.88% | 1/23/2023 | 1,000 | 1,000,080 |
328 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Credit Cards (continued) | ||||||||||||
Citibank Credit Card Issuance Trust 2017-A2 | 1.74% | 1/19/2021 | $ | 15,062 | $ | 14,993,724 | ||||||
Discover Card Execution Note Trust 2013-A6 | 2.369% (1 Mo. LIBOR + .45% | )# | 4/15/2021 | 18,705 | 18,733,809 | |||||||
Discover Card Execution Note Trust 2014-A1 | 2.349% (1 Mo. LIBOR + .43% | )# | 7/15/2021 | 18,497 | 18,535,583 | |||||||
Discover Card Execution Note Trust 2016-A1 | 1.64% | 7/15/2021 | 2,618 | 2,604,578 | ||||||||
Discover Card Execution Note Trust 2016-A4 | 1.39% | 3/15/2022 | 11,827 | 11,629,538 | ||||||||
Master Credit Card Trust II Series 2018-1A B† | 3.245% | 7/22/2024 | 5,251 | 5,186,969 | ||||||||
Synchrony Credit Card Master Note Trust 2016-1 A | 2.04% | 3/15/2022 | 7,697 | 7,667,106 | ||||||||
Synchrony Credit Card Master Note Trust 2017-2 A | 2.62% | 10/15/2025 | 5,631 | 5,498,501 | ||||||||
World Financial Network Credit Card Master Trust 2017-B A | 1.98% | 6/15/2023 | 8,959 | 8,882,737 | ||||||||
World Financial Network Credit Card Master Trust 2017-C A | 2.31% | 8/15/2024 | 14,800 | 14,561,563 | ||||||||
World Financial Network Credit Card Master Trust 2017-C M | 2.66% | 8/15/2024 | 6,515 | 6,423,265 | ||||||||
Total | 159,037,423 | |||||||||||
Home Equity 0.01% | ||||||||||||
New Century Home Equity Loan Trust 2005-A A6 | 4.518% | 8/25/2035 | 478 | 481,703 | ||||||||
Other 9.13% | ||||||||||||
Access Point Funding I LLC 2017-A† | 3.06% | 4/15/2029 | 2,131 | 2,120,063 | ||||||||
AMMC CLO XII Ltd. 2013-12A AR† | 3.553% (3 Mo. LIBOR + 1.20% | )# | 11/10/2030 | 5,502 | 5,532,884 | |||||||
Apidos CLO XVI 2013-16A CR† | 5.355% (3 Mo. LIBOR + 3.00% | )# | 1/19/2025 | 1,250 | 1,251,112 | |||||||
Ares XXIX CLO Ltd. 2014-1A A1R† | 3.543% (3 Mo. LIBOR + 1.19% | )# | 4/17/2026 | 7,000 | 7,007,904 | |||||||
Ares XXXIII CLO Ltd. 2015-1A A1R† | 3.375% (3 Mo. LIBOR + 1.35% | )# | 12/5/2025 | 740 | 742,044 | |||||||
Ascentium Equipment Receivables Trust 2016-2A A2† | 1.46% | 4/10/2019 | 287 | 286,731 | ||||||||
Ascentium Equipment Receivables Trust 2016-2A A3† | 1.65% | 5/10/2022 | 1,870 | 1,854,989 | ||||||||
Ascentium Equipment Receivables Trust 2016-2A B† | 2.50% | 9/12/2022 | 1,200 | 1,187,343 | ||||||||
Ascentium Equipment Receivables Trust 2017-1A A2† | 1.87% | 7/10/2019 | 2,642 | 2,636,428 | ||||||||
Ascentium Equipment Receivables Trust 2017-1A A3† | 2.29% | 6/10/2021 | 1,226 | 1,213,330 |
See Notes to Financial Statements. | 329 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Other (continued) | ||||||||||||
Avery Point IV CLO Ltd. 2014-1A BR† | 3.96% (3 Mo. LIBOR + 1.60% | )# | 4/25/2026 | $ | 2,019 | $ | 2,022,136 | |||||
Avery Point V CLO Ltd. 2014-5A BR† | 3.853% (3 Mo. LIBOR + 1.50% | )# | 7/17/2026 | 2,518 | 2,522,799 | |||||||
Avery Point VII CLO Ltd. 2015-7A A1† | 3.848% (3 Mo. LIBOR + 1.50% | )# | 1/15/2028 | 8,181 | 8,220,033 | |||||||
Benefit Street Partners CLO IV Ltd. 2014-IVA A1R† | 3.849% (3 Mo. LIBOR + 1.49% | )# | 1/20/2029 | 3,581 | 3,596,501 | |||||||
Benefit Street Partners CLO IV Ltd. 2014-IVA A2R† | 4.409% (3 Mo. LIBOR + 2.05% | )# | 1/20/2029 | 4,654 | 4,680,658 | |||||||
Birchwood Park CLO Ltd. 2014-1A AR† | 3.528% (3 Mo. LIBOR + 1.18% | )# | 7/15/2026 | 4,000 | 4,003,283 | |||||||
BlueMountain CLO Ltd. 2014-1A A1R† | 3.619% (3 Mo. LIBOR + 1.26% | )# | 4/30/2026 | 4,611 | 4,616,016 | |||||||
Cavalry CLO IV Ltd. 2014-4A B1R† | 3.698% (3 Mo. LIBOR + 1.35% | )# | 10/15/2026 | 1,652 | 1,653,818 | |||||||
Cent CLO Ltd. 2013-18A A† | 3.482% (3 Mo. LIBOR + 1.12% | )# | 7/23/2025 | 911 | 911,597 | |||||||
CNH Equipment Trust 2014-C A3 | 1.05% | 11/15/2019 | 22 | 21,805 | ||||||||
CNH Equipment Trust 2014-C A4 | 1.65% | 9/15/2021 | 4,131 | 4,120,990 | ||||||||
Conn’s Receivables Funding LLC 2017-B A† | 2.73% | 7/15/2020 | 4,954 | 4,952,785 | ||||||||
Conn’s Receivables Funding LLC 2017-B C† | 5.95% | 11/15/2022 | 7,326 | 7,253,162 | ||||||||
Crestline Denali CLO XIV Ltd. 2016-1A A† | 3.932% (3 Mo. LIBOR + 1.57% | )# | 10/23/2028 | 6,456 | 6,475,269 | |||||||
Daimler Trucks Retail Trust 2018-1 A2† | 2.60% | 5/15/2020 | 11,969 | 11,972,207 | ||||||||
Dell Equipment Finance Trust 2016-1 A3† | 1.65% | 7/22/2021 | 323 | 322,847 | ||||||||
Dell Equipment Finance Trust 2017-1 A2† | 1.86% | 6/24/2019 | 712 | 710,791 | ||||||||
Diamond Resorts Owner Trust 2015-2 A† | 2.99% | 5/22/2028 | 962 | 957,162 | ||||||||
Diamond Resorts Owner Trust 2016-1 A† | 3.08% | 11/20/2028 | 523 | 517,232 | ||||||||
Diamond Resorts Owner Trust 2017-1A B† | 4.11% | 10/22/2029 | 4,115 | 4,027,150 | ||||||||
DLL LLC 2018-1 A3† | 3.10% | 4/18/2022 | 10,200 | 10,240,641 | ||||||||
DLL Securitization Trust 2017-A A1† | 1.50% | 11/15/2018 | 1,083 | 1,083,241 | ||||||||
DLL Securitization Trust 2017-A A4† | 2.43% | 11/17/2025 | 7,850 | 7,687,558 | ||||||||
DRB Prime Student Loan Trust 2015-D A2† | 3.20% | 1/25/2040 | 3,633 | 3,637,814 | ||||||||
Dryden 34 Senior Loan Fund 2014-34A A1R† | 2.88% (3 Mo. LIBOR 1.16% | )# | 10/15/2026 | 3,876 | 3,876,170 | |||||||
Dryden 38 Senior Loan Fund 2015-38A† | 3.778% (3 Mo. LIBOR + 1.43% | )# | 7/15/2027 | 6,683 | 6,689,729 | |||||||
Engs Commercial Finance Trust 2015-1A A2† | 2.31% | 10/22/2021 | 1,189 | 1,184,419 | ||||||||
Engs Commercial Finance Trust 2018-1A A1† | 2.97% | 2/22/2021 | 10,624 | 10,621,472 |
330 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Other (continued) | ||||||||||||
Ford Credit Floorplan Master Owner Trust 2017-2 A1 | 2.16% | 9/15/2022 | $ | 6,558 | $ | 6,454,717 | ||||||
Galaxy XXI CLO Ltd. 2015-21A AR† | 3.379% (3 Mo. LIBOR + 1.02% | )# | 4/20/2031 | 1,970 | 1,970,555 | |||||||
GMF Floorplan Owner Revolving Trust 2018-2 A1† | 3.13% | 3/15/2023 | 11,118 | 11,139,872 | ||||||||
Hardee’s Funding LLC 2018-1A AII†(a) | 4.959% | 6/20/2048 | 7,831 | 7,831,000 | ||||||||
ICG US CLO Ltd. 2015-2A AR† | 3.198% (3 Mo. LIBOR + .85% | )# | 1/16/2028 | 8,495 | 8,496,442 | |||||||
Jamestown CLO VII Ltd. 2015-7A CR† | 4.96% (3 Mo. LIBOR + 2.60% | )# | 7/25/2027 | 4,209 | 4,183,924 | |||||||
Jefferson Mill CLO Ltd. 2015-1A B1† | 4.509% (3 Mo. LIBOR + 2.15% | )# | 7/20/2027 | 3,719 | 3,722,472 | |||||||
JFIN CLO Ltd. 2014-1A B1R† | 3.809% (3 Mo. LIBOR + 1.45% | )# | 4/21/2025 | 4,500 | 4,507,255 | |||||||
Laurel Road Prime Student Loan Trust 2017-B A1FX† | 1.63% | 8/25/2042 | 214 | 213,281 | ||||||||
Massachusetts Educational Financing Authority 2008-1 A1 | 3.31% (3 Mo. LIBOR + .95% | )# | 4/25/2038 | 3,136 | 3,157,573 | |||||||
Missouri Higher Education Loan Authority 2012-1 A1 | 2.79% (1 Mo. LIBOR + 0.83% | )# | 1/26/2026 | 2,862 | 2,852,423 | |||||||
Mountain View CLO X Ltd. 2015-10A BR† | 3.692% (3 Mo. LIBOR + 1.35% | )# | 10/13/2027 | 4,300 | 4,305,444 | |||||||
Navient Student Loan Trust 2016-7A A† | 3.11% (1 Mo. LIBOR + 1.15% | )# | 3/25/2066 | 4,386 | 4,478,074 | |||||||
Navient Student Loan Trust 2017-2A A† | 3.01% (1 Mo. LIBOR + 1.05% | )# | 12/27/2066 | 9,729 | 9,907,627 | |||||||
OHA Loan Funding Ltd. 2016-1A B1† | 4.159% (3 Mo. LIBOR + 1.80% | )# | 1/20/2028 | 12,625 | 12,683,421 | |||||||
OneMain Financial Issuance Trust 2015-1A A† | 3.19% | 3/18/2026 | 2,040 | 2,047,139 | ||||||||
OneMain Financial Issuance Trust 2016-1A A† | 3.66% | 2/20/2029 | 1,983 | 2,001,328 | ||||||||
OneMain Financial Issuance Trust 2016-2A B† | 5.94% | 3/20/2028 | 309 | 312,427 | ||||||||
Palmer Square Loan Funding Ltd. 2017-1A B† | 4.048% (3 Mo. LIBOR + 1.70% | )# | 10/15/2025 | 3,500 | 3,497,424 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A1† | 2.823% (3 Mo. LIBOR + .60% | )# | 4/15/2026 | 8,474 | 8,475,915 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A2† | 3.273% (3 Mo. LIBOR + 1.05% | )# | 4/15/2026 | 2,878 | 2,871,527 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A B† | 3.623% (3 Mo. LIBOR + 1.40% | )# | 4/15/2026 | 2,179 | 2,171,442 | |||||||
Pennsylvania Higher Education Assistance Agency 2006-1 B | 2.63% (3 Mo. LIBOR + .27% | )# | 4/25/2038 | 1,369 | 1,325,988 | |||||||
PFS Financing Corp. 2018-B† | 3.08% | 2/15/2023 | 3,180 | 3,151,841 |
See Notes to Financial Statements. | 331 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Other (continued) | ||||||||||||
Regatta IV Funding Ltd. 2014-1A DR† | 5.66% (3 Mo. LIBOR + 3.30% | )# | 7/25/2026 | $ | 4,250 | $ | 4,262,552 | |||||
SCF Equipment Leasing LLC 2017-2A A† | 3.41% | 12/20/2023 | 2,882 | 2,839,478 | ||||||||
SCF Equipment Leasing LLC 2018-1A A2† | 3.63% | 10/20/2024 | 8,906 | 8,952,062 | ||||||||
Shackleton CLO Ltd. 2015 7A AR† | 3.718% (3 Mo. LIBOR + 1.37% | )# | 4/15/2027 | 2,950 | 2,951,407 | |||||||
Shackleton CLO Ltd. 2016-9A B† | 4.259% (3 Mo. LIBOR + 1.90% | )# | 10/20/2028 | 3,333 | 3,350,262 | |||||||
SLC Student Loan Trust 2008-1 A4A | 3.725% (3 Mo. LIBOR + 1.60% | )# | 12/15/2032 | 9,833 | 10,158,945 | |||||||
SLM Private Education Loan Trust 2010-A 2A† | 5.169% (1 Mo. LIBOR + 3.25% | )# | 5/16/2044 | 925 | 946,455 | |||||||
SoFi Professional Loan Program LLC 2017-E A1† | 2.46% (1 Mo. LIBOR + .50% | )# | 11/26/2040 | 5,208 | 5,226,988 | |||||||
SoFi Professional Loan Program LLC 2017-E A2B† | 2.72% | 11/26/2040 | 4,694 | 4,571,474 | ||||||||
SoFi Professional Loan Program LLC 2018-A A2B† | 2.95% | 2/25/2042 | 7,714 | 7,521,322 | ||||||||
Sound Point CLO II Ltd. 2013-1A A1R† | 3.432% (3 Mo. LIBOR + 1.07% | )# | 1/26/2031 | 2,528 | 2,534,175 | |||||||
Sound Point CLO XI Ltd. 2016-1A A† | 4.009% (3 Mo. LIBOR + 1.65% | )# | 7/20/2028 | 550 | 552,315 | |||||||
THL Credit Wind River CLO Ltd. 2012-1A BR† | 4.198% (3 Mo. LIBOR-BBA + 1.85% | )# | 1/15/2026 | 3,000 | 3,012,799 | |||||||
THL Credit Wind River CLO Ltd. 2014-3A BR† | 3.962% (3 Mo. LIBOR + 1.60% | )# | 1/22/2027 | 1,726 | 1,728,945 | |||||||
Towd Point Asset Trust 2018-SL1 A†(a) | 2.583% (1 Mo. LIBOR + .60% | )# | 1/25/2046 | 8,001 | 7,968,822 | (b) | ||||||
Tralee CLO III Ltd. 2014-3A AR† | 3.389% (3 Mo. LIBOR + 1.03% | )# | 10/20/2027 | 9,817 | 9,836,554 | |||||||
Westgate Resorts LLC 2018-1A A† | 3.38% | 12/20/2031 | 3,486 | 3,486,236 | ||||||||
WhiteHorse VIII Ltd. 2014-1A AR† | 3.258% (3 Mo. LIBOR + .90% | )# | 5/1/2026 | 12,198 | 12,192,171 | |||||||
Total | 346,264,186 | |||||||||||
Total Asset-Backed Securities (cost $945,221,217) | 942,031,164 | |||||||||||
Shares | ||||||||||||
(000) | ||||||||||||
COMMON STOCKS 0.00% | ||||||||||||
Electric: Power 0.00% | ||||||||||||
Eneva SA*(c) | BRL | 3 | 10,075 |
332 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2018
Interest | Maturity | Shares | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Oil 0.00% | ||||||||||||
Dommo Energia SA*(c) | BRL | 305 | $ | 135,430 | ||||||||
Dommo Energia SA ADR | – | (d) | 12,051 | |||||||||
Total | 147,481 | |||||||||||
Total Common Stocks (cost $181,010) | 157,556 | |||||||||||
Principal | ||||||||||||
Amount | ||||||||||||
(000) | ||||||||||||
CORPORATE BONDS 28.90% | ||||||||||||
Aerospace/Defense 0.35% | ||||||||||||
Bombardier, Inc.(Canada)†(e) | 7.50% | 3/15/2025 | $ | 7,404 | 7,682,391 | |||||||
Kratos Defense & Security Solutions, Inc.† | 6.50% | 11/30/2025 | 5,299 | 5,504,336 | ||||||||
Total | 13,186,727 | |||||||||||
Air Transportation 0.04% | ||||||||||||
American Airlines 2013-2 Class B Pass-Through Trust† | 5.60% | 1/15/2022 | 1,320 | 1,343,967 | ||||||||
Apparel 0.07% | ||||||||||||
PVH Corp. | 7.75% | 11/15/2023 | 2,290 | 2,716,512 | ||||||||
Auto Parts: Original Equipment 0.10% | ||||||||||||
American Axle & Manufacturing, Inc. | 6.25% | 4/1/2025 | 3,738 | 3,705,292 | ||||||||
Automotive 1.02% | ||||||||||||
Aston Martin Capital Holdings Ltd. (Jersey)†(e) | 6.50% | 4/15/2022 | 1,797 | 1,853,156 | ||||||||
Daimler Finance North America LLC† | 3.75% | 2/22/2028 | 7,425 | 7,334,631 | ||||||||
Ford Motor Co. | 7.45% | 7/16/2031 | 10,643 | 12,593,937 | ||||||||
General Motors Co. | 6.60% | 4/1/2036 | 12,011 | 13,393,395 | ||||||||
Tesla, Inc.† | 5.30% | 8/15/2025 | 4,202 | 3,660,992 | ||||||||
Total | 38,836,111 | |||||||||||
Banks: Regional 5.69% | ||||||||||||
Akbank Turk AS (Turkey)†(e) | 4.00% | 1/24/2020 | 2,450 | 2,399,050 | ||||||||
Akbank Turk AS (Turkey)†(e) | 7.20% | #(f) | 3/16/2027 | 1,265 | 1,224,925 | |||||||
Banco de Credito e Inversiones SA (Chile)†(e) | 3.50% | 10/12/2027 | 3,725 | 3,368,797 | ||||||||
Banco Inbursa SA Institucion de Banca Multiple (Mexico)†(e) | 4.375% | 4/11/2027 | 2,450 | 2,263,188 | ||||||||
Banco Nacional de Comercio Exterior SNC† | 4.375% | 10/14/2025 | 1,000 | 972,500 | ||||||||
Bank of America Corp. | 3.593% | #(f) | 7/21/2028 | 10,865 | 10,419,697 | |||||||
Bank of America Corp. | 3.824% | #(f) | 1/20/2028 | 11,087 | 10,842,193 | |||||||
Bank of America Corp. | 3.95% | 4/21/2025 | 2,775 | 2,727,828 |
See Notes to Financial Statements. | 333 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Bank of America Corp. | 4.00% | 1/22/2025 | $ | 4,554 | $ | 4,508,450 | ||||||
Bank of America Corp. | 4.45% | 3/3/2026 | 2,000 | 2,020,139 | ||||||||
Citigroup, Inc. | 3.668% | #(f) | 7/24/2028 | 9,948 | 9,501,029 | |||||||
Citigroup, Inc. | 3.887% | #(f) | 1/10/2028 | 4,625 | 4,502,088 | |||||||
Citigroup, Inc. | 4.45% | 9/29/2027 | 4,060 | 4,018,161 | ||||||||
Goldman Sachs Group, Inc. (The) | 4.223% | #(f) | 5/1/2029 | 3,428 | 3,387,144 | |||||||
Goldman Sachs Group, Inc. (The) | 6.25% | 2/1/2041 | 3,848 | 4,608,606 | ||||||||
Goldman Sachs Group, Inc. (The) | 6.75% | 10/1/2037 | 3,565 | 4,283,807 | ||||||||
ING Groep NV (Netherlands)(e) | 3.95% | 3/29/2027 | 1,680 | 1,652,055 | ||||||||
Intesa Sanpaolo SpA (Italy)†(e) | 3.875% | 1/12/2028 | 4,312 | 3,765,731 | ||||||||
Intesa Sanpaolo SpA (Italy)†(e) | 5.71% | 1/15/2026 | 3,251 | 3,002,221 | ||||||||
Itau Unibanco Holding SA† | 6.125% | #(f) | – | (g) | 3,700 | 3,492,615 | ||||||
JPMorgan Chase & Co. | 3.54% | #(f) | 5/1/2028 | 3,733 | 3,588,473 | |||||||
JPMorgan Chase & Co. | 3.782% | #(f) | 2/1/2028 | 21,334 | 20,868,057 | |||||||
Macquarie Group Ltd. (Australia)†(e) | 4.654% | #(f) | 3/27/2029 | 9,640 | 9,584,809 | |||||||
Morgan Stanley | 3.625% | 1/20/2027 | 3,094 | 2,988,922 | ||||||||
Morgan Stanley | 3.875% | 1/27/2026 | 2,432 | 2,406,553 | ||||||||
Morgan Stanley | 4.00% | 7/23/2025 | 7,227 | 7,259,794 | ||||||||
Morgan Stanley | 7.25% | 4/1/2032 | 523 | 675,686 | ||||||||
Popular, Inc. | 7.00% | 7/1/2019 | 1,086 | 1,113,150 | ||||||||
Royal Bank of Scotland Group plc (United Kingdom)(e) | 4.892% | #(f) | 5/18/2029 | 4,628 | 4,627,080 | |||||||
Santander UK Group Holdings plc (United Kingdom)†(e) | 4.75% | 9/15/2025 | 6,755 | 6,665,300 | ||||||||
Santander UK plc (United Kingdom)†(e) | 5.00% | 11/7/2023 | 1,480 | 1,515,122 | ||||||||
Santander UK plc (United Kingdom)(e) | 7.95% | 10/26/2029 | 4,693 | 5,897,369 | ||||||||
Toronto-Dominion Bank (The) (Canada)(e) | 3.625% | #(f) | 9/15/2031 | 9,952 | 9,528,226 | |||||||
Turkiye Garanti Bankasi AS (Turkey)†(e) | 6.125% | #(f) | 5/24/2027 | 3,200 | 2,984,320 | |||||||
Turkiye Garanti Bankasi AS (Turkey)†(e) | 6.25% | 4/20/2021 | 1,100 | 1,107,799 | ||||||||
UBS AG | 7.625% | 8/17/2022 | 8,638 | 9,631,370 | ||||||||
UBS Group Funding Switzerland AG (Switzerland)†(e) | 4.253% | 3/23/2028 | 8,783 | 8,729,157 | ||||||||
Wells Fargo & Co. | 3.00% | 10/23/2026 | 3,172 | 2,946,702 | ||||||||
Wells Fargo Bank NA | 5.85% | 2/1/2037 | 12,028 | 14,204,144 | ||||||||
Wells Fargo Bank NA | 6.60% | 1/15/2038 | 8,839 | 11,288,618 | ||||||||
Westpac Banking Corp. (Australia)(e) | 4.322% | #(f) | 11/23/2031 | 5,402 | 5,250,759 | |||||||
Total | 215,821,634 | |||||||||||
Beverages 0.97% | ||||||||||||
Anheuser-Busch InBev Finance, Inc. | 4.70% | 2/1/2036 | 14,245 | 14,658,152 | ||||||||
Anheuser-Busch InBev Worldwide, Inc. | 4.00% | 4/13/2028 | 7,314 | 7,301,779 |
334 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Beverages (continued) | ||||||||||||
Bacardi Ltd.† | 4.70% | 5/15/2028 | $ | 7,310 | $ | 7,286,267 | ||||||
Becle SAB de CV (Mexico)†(e) | 3.75% | 5/13/2025 | 1,900 | 1,832,767 | ||||||||
Maple Escrow Subsidiary, Inc.† | 4.597% | 5/25/2028 | 5,882 | 5,896,676 | ||||||||
Total | 36,975,641 | |||||||||||
Building Materials 0.19% | ||||||||||||
CRH America Finance, Inc.† | 4.50% | 4/4/2048 | 2,758 | 2,609,384 | ||||||||
James Hardie International Finance DAC (Ireland)†(e) | 4.75% | 1/15/2025 | 3,591 | 3,505,714 | ||||||||
Standard Industries, Inc.† | 6.00% | 10/15/2025 | 967 | 981,505 | ||||||||
Total | 7,096,603 | |||||||||||
Business Services 0.91% | ||||||||||||
Adani Ports & Special Economic Zone Ltd. (India)†(e) | 4.00% | 7/30/2027 | 2,055 | 1,885,070 | ||||||||
Ahern Rentals, Inc.† | 7.375% | 5/15/2023 | 5,833 | 5,716,340 | ||||||||
Ashtead Capital, Inc.† | 4.375% | 8/15/2027 | 2,043 | 1,894,882 | ||||||||
Brink’s Co. (The)† | 4.625% | 10/15/2027 | 4,100 | 3,700,250 | ||||||||
Rent-A-Center, Inc. | 4.75% | 5/1/2021 | 2,813 | 2,644,220 | ||||||||
Team Health Holdings, Inc.† | 6.375% | 2/1/2025 | 4,321 | 3,759,270 | ||||||||
Total System Services, Inc. | 4.00% | 6/1/2023 | 4,435 | 4,470,073 | ||||||||
United Rentals North America, Inc. | 4.875% | 1/15/2028 | 4,942 | 4,653,387 | ||||||||
Weight Watchers International, Inc.† | 8.625% | 12/1/2025 | 5,240 | 5,724,700 | ||||||||
Total | 34,448,192 | |||||||||||
Chemicals 0.90% | ||||||||||||
Braskem Netherlands Finance BV (Netherlands)†(e) | 4.50% | 1/10/2028 | 3,800 | 3,562,120 | ||||||||
Chemours Co. (The) | 5.375% | 5/15/2027 | 1,903 | 1,864,940 | ||||||||
Chemours Co. (The) | 7.00% | 5/15/2025 | 3,411 | 3,675,352 | ||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(e) | 3.50% | 7/19/2022 | 4,000 | 3,879,708 | ||||||||
Equate Petrochemical BV (Netherlands)†(e) | 4.25% | 11/3/2026 | 4,800 | 4,633,766 | ||||||||
Mexichem SAB de CV (Mexico)†(e) | 4.875% | 9/19/2022 | 1,364 | 1,377,640 | ||||||||
Phosagro OAO Via Phosagro Bond Funding DAC (Ireland)†(e) | 3.949% | 4/24/2023 | 6,720 | 6,391,896 | ||||||||
Rain CII Carbon LLC/CII Carbon Corp.† | 7.25% | 4/1/2025 | 7,209 | 7,474,868 | ||||||||
Syngenta Finance NV (Netherlands)†(e) | 4.441% | 4/24/2023 | 1,200 | 1,198,850 | ||||||||
Total | 34,059,140 | |||||||||||
Coal 0.29% | ||||||||||||
Peabody Energy Corp.† | 6.375% | 3/31/2025 | 5,444 | 5,668,565 | ||||||||
Warrior Met Coal, Inc.† | 8.00% | 11/1/2024 | 5,365 | 5,505,831 | ||||||||
Total | 11,174,396 |
See Notes to Financial Statements. | 335 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Computer Hardware 0.48% | ||||||||||||
Dell International LLC/EMC Corp.† | 3.48% | 6/1/2019 | $ | 1,941 | $ | 1,948,924 | ||||||
Dell International LLC/EMC Corp.† | 5.45% | 6/15/2023 | 1,752 | 1,844,649 | ||||||||
Dell International LLC/EMC Corp.† | 6.02% | 6/15/2026 | 863 | 911,600 | ||||||||
Dell International LLC/EMC Corp.† | 7.125% | 6/15/2024 | 5,142 | 5,526,260 | ||||||||
Dell International LLC/EMC Corp.† | 8.35% | 7/15/2046 | 6,553 | 7,966,191 | ||||||||
Total | 18,197,624 | |||||||||||
Computer Software 0.18% | ||||||||||||
Oracle Corp. | 6.125% | 7/8/2039 | 2,768 | 3,506,781 | ||||||||
salesforce.com, Inc. | 3.70% | 4/11/2028 | 3,477 | 3,459,349 | ||||||||
Total | 6,966,130 | |||||||||||
Construction/Homebuilding 0.36% | ||||||||||||
AV Homes, Inc. | 6.625% | 5/15/2022 | 3,521 | 3,583,498 | ||||||||
Century Communities, Inc. | 5.875% | 7/15/2025 | 2,455 | 2,326,112 | ||||||||
PulteGroup, Inc. | 7.875% | 6/15/2032 | 3,136 | 3,622,080 | ||||||||
TRI Pointe Group, Inc. | 5.25% | 6/1/2027 | 2,171 | 2,026,520 | ||||||||
William Lyon Homes, Inc. | 5.875% | 1/31/2025 | 2,154 | 2,053,731 | ||||||||
Total | 13,611,941 | |||||||||||
Containers 0.11% | ||||||||||||
Amcor Finance USA, Inc.† | 4.50% | 5/15/2028 | 2,392 | 2,418,074 | ||||||||
BWAY Holding Co.† | 7.25% | 4/15/2025 | 1,845 | 1,816,218 | ||||||||
Total | 4,234,292 | |||||||||||
Diversified 0.02% | ||||||||||||
KOC Holding AS (Turkey)†(e) | 5.25% | 3/15/2023 | 625 | 616,767 | ||||||||
Drugs 0.34% | ||||||||||||
Bayer Corp.† | 6.65% | 2/15/2028 | 1,881 | 2,187,899 | ||||||||
CVS Health Corp. | 4.30% | 3/25/2028 | 4,684 | 4,657,809 | ||||||||
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)(e) | 2.20% | 7/21/2021 | 2,645 | 2,430,975 | ||||||||
Valeant Pharmaceuticals International, Inc.† | 5.625% | 12/1/2021 | 3,583 | 3,564,189 | ||||||||
Total | 12,840,872 | |||||||||||
Electric: Power 1.65% | ||||||||||||
Appalachian Power Co. | 7.00% | 4/1/2038 | 3,100 | 4,160,175 | ||||||||
Ausgrid Finance Pty Ltd. (Australia)†(e) | 4.35% | 8/1/2028 | 7,038 | 7,063,804 | ||||||||
Berkshire Hathaway Energy Co. | 3.80% | 7/15/2048 | 2,177 | 2,050,748 | ||||||||
Edison International | 4.125% | 3/15/2028 | 3,511 | 3,495,076 |
336 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Electric: Power (continued) | ||||||||||||
Emirates Semb Corp., Water & Power Co. PJSC (United Arab Emirates)†(e) | 4.45% | 8/1/2035 | $ | 1,845 | $ | 1,762,711 | ||||||
Entergy Louisiana LLC | 4.00% | 3/15/2033 | 2,862 | 2,897,612 | ||||||||
Exelon Generation Co. LLC | 5.60% | 6/15/2042 | 2,500 | 2,531,526 | ||||||||
Exelon Generation Co. LLC | 6.25% | 10/1/2039 | 4,230 | 4,600,393 | ||||||||
Massachusetts Electric Co.† | 4.004% | 8/15/2046 | 3,105 | 3,022,828 | ||||||||
Minejesa Capital BV (Netherlands)†(e) | 4.625% | 8/10/2030 | 1,800 | 1,670,614 | ||||||||
Orazul Energy Egenor S en C por A (Peru)†(e) | 5.625% | 4/28/2027 | 3,936 | 3,596,520 | ||||||||
Origin Energy Finance Ltd. (Australia)†(e) | 3.50% | 10/9/2018 | 1,500 | 1,501,210 | ||||||||
Pacific Gas & Electric Co. | 3.30% | 12/1/2027 | 12,555 | 11,615,726 | ||||||||
PSEG Power LLC | 8.625% | 4/15/2031 | 2,322 | 3,059,214 | ||||||||
South Carolina Electric & Gas Co. | 6.05% | 1/15/2038 | 4,911 | 5,667,377 | ||||||||
South Carolina Electric & Gas Co. | 6.625% | 2/1/2032 | 1,709 | 2,036,430 | ||||||||
Vistra Energy Corp. | 7.625% | 11/1/2024 | 1,748 | 1,885,655 | ||||||||
Total | 62,617,619 | |||||||||||
Electrical Equipment 0.13% | ||||||||||||
Xilinx, Inc. | 2.95% | 6/1/2024 | 5,120 | 4,893,603 | ||||||||
Engineering & Contracting Services 0.32% | ||||||||||||
Aeropuertos Dominicanos Siglo XXI SA (Dominican Republic)†(e) | 6.75% | 3/30/2029 | 1,955 | 2,038,088 | ||||||||
Brand Industrial Services, Inc.† | 8.50% | 7/15/2025 | 7,153 | 7,340,766 | ||||||||
China Railway Resources Huitung Ltd. (Hong Kong)(e) | 3.85% | 2/5/2023 | 2,849 | 2,856,698 | ||||||||
Total | 12,235,552 | |||||||||||
Entertainment 0.35% | ||||||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op† | 5.375% | 4/15/2027 | 1,554 | 1,546,230 | ||||||||
Eldorado Resorts, Inc. | 6.00% | 4/1/2025 | 3,772 | 3,772,000 | ||||||||
Jacobs Entertainment, Inc.† | 7.875% | 2/1/2024 | 2,986 | 3,127,835 | ||||||||
Mohegan Gaming & Entertainment†(h) | 7.875% | 10/15/2024 | 5,045 | 4,817,975 | ||||||||
Total | 13,264,040 | |||||||||||
Financial Services 1.48% | ||||||||||||
Affiliated Managers Group, Inc. | 3.50% | 8/1/2025 | 3,039 | 2,954,934 | ||||||||
Affiliated Managers Group, Inc. | 4.25% | 2/15/2024 | 1,612 | 1,644,466 | ||||||||
BrightSphere Investment Group plc (United Kingdom)(e) | 4.80% | 7/27/2026 | 3,066 | 3,037,481 | ||||||||
Discover Financial Services | 4.10% | 2/9/2027 | 1,910 | 1,851,530 |
See Notes to Financial Statements. | 337 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Financial Services (continued) | ||||||||||||
GE Capital International Funding Co. Unlimited Co. (Ireland)(e) | 4.418% | 11/15/2035 | $ | 16,744 | $ | 16,065,739 | ||||||
International Lease Finance Corp. | 5.875% | 4/1/2019 | 8,844 | 9,038,368 | ||||||||
International Lease Finance Corp. | 5.875% | 8/15/2022 | 1,071 | 1,149,001 | ||||||||
Navient Corp. | 6.625% | 7/26/2021 | 5,327 | 5,540,080 | ||||||||
Navient Corp. | 6.75% | 6/25/2025 | 1,809 | 1,844,637 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.50% | 3/15/2027 | 2,312 | 2,335,176 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 4,780 | 4,640,986 | ||||||||
Quicken Loans, Inc.† | 5.25% | 1/15/2028 | 2,012 | 1,848,525 | ||||||||
SURA Asset Management SA (Colombia)†(e) | 4.375% | 4/11/2027 | 4,400 | 4,224,000 | ||||||||
Total | 56,174,923 | |||||||||||
Food 0.15% | ||||||||||||
Arcor SAIC (Argentina)†(e) | 6.00% | 7/6/2023 | 2,538 | 2,544,345 | ||||||||
Chobani LLC/Chobani Finance Corp., Inc.† | 7.50% | 4/15/2025 | 2,262 | 2,185,657 | ||||||||
Gruma SAB de CV (Mexico)†(e) | 4.875% | 12/1/2024 | 1,100 | 1,116,511 | ||||||||
Total | 5,846,513 | |||||||||||
Health Care Services 1.04% | ||||||||||||
Acadia Healthcare Co., Inc. | 5.625% | 2/15/2023 | 4,692 | 4,768,245 | ||||||||
Acadia Healthcare Co., Inc. | 6.50% | 3/1/2024 | 722 | 750,880 | ||||||||
Ascension Health | 3.945% | 11/15/2046 | 1,803 | 1,800,385 | ||||||||
CHS/Community Health Systems, Inc. | 8.00% | 11/15/2019 | 4,553 | 4,439,175 | ||||||||
HCA, Inc. | 5.50% | 6/15/2047 | 7,559 | 7,067,665 | ||||||||
HCA, Inc. | 7.50% | 11/6/2033 | 880 | 954,800 | ||||||||
Kaiser Foundation Hospitals | 4.15% | 5/1/2047 | 2,452 | 2,492,090 | ||||||||
MPH Acquisition Holdings LLC† | 7.125% | 6/1/2024 | 645 | 670,800 | ||||||||
New York-Presbyterian Hospital (The) | 4.063% | 8/1/2056 | 3,330 | 3,253,450 | ||||||||
NYU Langone Hospitals | 4.368% | 7/1/2047 | 578 | 595,029 | ||||||||
Polaris Intermediate Corp. PIK 8.50%† | 8.50% | 12/1/2022 | 5,137 | 5,323,216 | ||||||||
WellCare Health Plans, Inc. | 5.25% | 4/1/2025 | 7,421 | 7,421,000 | ||||||||
Total | 39,536,735 | |||||||||||
Insurance 0.58% | ||||||||||||
Assurant, Inc. | 4.90% | 3/27/2028 | 3,627 | 3,663,837 | ||||||||
CNO Financial Group, Inc. | 5.25% | 5/30/2025 | 5,472 | 5,526,720 | ||||||||
Lincoln National Corp. | 6.30% | 10/9/2037 | 1,378 | 1,663,583 | ||||||||
Teachers Insurance & Annuity Association of America† | 4.90% | 9/15/2044 | 7,921 | 8,528,559 |
338 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Insurance (continued) | ||||||||||||
Willis North America, Inc. | 7.00% | 9/29/2019 | $ | 2,555 | $ | 2,679,509 | ||||||
Total | 22,062,208 | |||||||||||
Investment Management Companies 0.02% | ||||||||||||
GrupoSura Finance SA† | 5.50% | 4/29/2026 | 750 | 774,000 | ||||||||
Leisure 0.31% | ||||||||||||
Carlson Travel, Inc.† | 6.75% | 12/15/2023 | 3,073 | 3,000,016 | ||||||||
Carnival plc | 7.875% | 6/1/2027 | 3,957 | 5,024,173 | ||||||||
Silversea Cruise Finance Ltd.† | 7.25% | 2/1/2025 | 3,480 | 3,645,300 | ||||||||
Total | 11,669,489 | |||||||||||
Machinery: Industrial/Specialty 0.41% | ||||||||||||
Nvent Finance Sarl (Luxembourg)†(e) | 4.55% | 4/15/2028 | 13,974 | 13,765,197 | ||||||||
SPX FLOW, Inc.† | 5.625% | 8/15/2024 | 1,847 | 1,833,147 | ||||||||
Total | 15,598,344 | |||||||||||
Machinery: Oil Well Equipment & Services 0.15% | ||||||||||||
BlueLine Rental Finance Corp./BlueLine Rental LLC† | 9.25% | 3/15/2024 | 5,221 | 5,583,703 | ||||||||
Manufacturing 0.31% | ||||||||||||
General Electric Co. | 6.15% | 8/7/2037 | 2,787 | 3,263,695 | ||||||||
Koppers, Inc.† | 6.00% | 2/15/2025 | 2,485 | 2,525,381 | ||||||||
Siemens Financieringsmaatschappij NV (Netherlands)†(e) | 2.35% | 10/15/2026 | 6,435 | 5,801,609 | ||||||||
Total | 11,590,685 | |||||||||||
Media 1.47% | ||||||||||||
21st Century Fox America, Inc. | 7.75% | 12/1/2045 | 2,990 | 4,382,121 | ||||||||
Cablevision Systems Corp. | 5.875% | 9/15/2022 | 3,673 | 3,673,000 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.75% | 2/15/2026 | 1,871 | 1,837,696 | ||||||||
Comcast Corp. | 3.15% | 3/1/2026 | 12,598 | 11,857,758 | ||||||||
Comcast Corp. | 3.969% | 11/1/2047 | 4,687 | 4,142,522 | ||||||||
Cox Communications, Inc.† | 4.50% | 6/30/2043 | 3,857 | 3,410,030 | ||||||||
Cox Communications, Inc.† | 4.70% | 12/15/2042 | 2,680 | 2,418,860 | ||||||||
Cox Communications, Inc.† | 8.375% | 3/1/2039 | 6,139 | 8,233,999 | ||||||||
Myriad International Holdings BV (Netherlands)†(e) | 5.50% | 7/21/2025 | 5,300 | 5,494,065 | ||||||||
Time Warner Cable LLC | 7.30% | 7/1/2038 | 2,708 | 3,151,665 | ||||||||
Time Warner Entertainment Co. LP | 8.375% | 7/15/2033 | 2,400 | 3,050,986 | ||||||||
VTR Finance BV (Chile)†(e) | 6.875% | 1/15/2024 | 3,890 | 3,977,136 | ||||||||
Total | 55,629,838 |
See Notes to Financial Statements. | 339 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Metal Fabricating 0.02% | ||||||||||||
Grinding Media, Inc./Moly-Cop AltaSteel Ltd.† | 7.375% | 12/15/2023 | $ | 821 | $ | 866,155 | ||||||
Metals & Minerals: Miscellaneous 0.85% | ||||||||||||
Anglo American Capital plc (United Kingdom)†(e) | 4.00% | 9/11/2027 | 10,010 | 9,414,958 | ||||||||
Anglo American Capital plc (United Kingdom)†(e) | 4.75% | 4/10/2027 | 5,318 | 5,296,607 | ||||||||
Barrick North America Finance LLC | 7.50% | 9/15/2038 | 711 | 924,820 | ||||||||
Corp. Nacional del Cobre de Chile (Chile)†(e) | 4.50% | 9/16/2025 | 4,400 | 4,504,058 | ||||||||
Freeport-McMoRan, Inc. | 3.875% | 3/15/2023 | 1,814 | 1,748,242 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(e) | 5.55% | 10/25/2042 | 4,388 | 4,429,936 | ||||||||
Hudbay Minerals, Inc. (Canada)†(e) | 7.625% | 1/15/2025 | 703 | 741,665 | ||||||||
Kinross Gold Corp. (Canada)(e) | 5.95% | 3/15/2024 | 1,969 | 2,047,150 | ||||||||
MMC Norilsk Nickel OJSC via MMC Finance DAC (Ireland)†(e) | 4.10% | 4/11/2023 | 3,200 | 3,083,264 | ||||||||
Total | 32,190,700 | |||||||||||
Natural Gas 0.13% | ||||||||||||
Dominion Energy Gas Holdings LLC | 4.60% | 12/15/2044 | 4,920 | 4,967,190 | ||||||||
Oil 2.01% | ||||||||||||
Afren plc (United Kingdom)†(e)(i) | 10.25% | 4/8/2019 | 2,537 | 11,113 | ||||||||
Berry Petroleum Co. LLC† | 7.00% | 2/15/2026 | 2,002 | 2,042,040 | ||||||||
California Resources Corp.† | 8.00% | 12/15/2022 | 5,920 | 5,254,000 | ||||||||
Continental Resources, Inc. | 3.80% | 6/1/2024 | 5,621 | 5,503,686 | ||||||||
Eni SpA (Italy)†(e) | 5.70% | 10/1/2040 | 12,550 | 13,587,321 | ||||||||
Equinor ASA (Norway)(e) | 7.15% | 11/15/2025 | 4,060 | 4,979,598 | ||||||||
Gazprom OAO via Gaz Capital SA (Luxembourg)†(e) | 4.95% | 2/6/2028 | 1,300 | 1,275,578 | ||||||||
Halcon Resources Corp. | 6.75% | 2/15/2025 | 2,181 | 2,055,592 | ||||||||
Kerr-McGee Corp. | 7.875% | 9/15/2031 | 1,873 | 2,413,012 | ||||||||
MEG Energy Corp. (Canada)†(e) | 7.00% | 3/31/2024 | 1,788 | 1,622,610 | ||||||||
OGX Austria GmbH (Brazil)†(e)(i) | 8.50% | 6/1/2018 | 1,730 | 35 | ||||||||
Pertamina Persero PT (Indonesia)†(e) | 5.625% | 5/20/2043 | 2,300 | 2,254,996 | ||||||||
Petrobras Global Finance BV (Netherlands)(e) | 4.375% | 5/20/2023 | 2,346 | 2,222,483 | ||||||||
Petrobras Global Finance BV (Netherlands)(e) | 7.25% | 3/17/2044 | 5,436 | 5,123,430 | ||||||||
Petroleos Mexicanos (Mexico)(e) | 4.50% | 1/23/2026 | 6,372 | 5,951,448 | ||||||||
Precision Drilling Corp. (Canada)(e) | 7.75% | 12/15/2023 | 950 | 1,009,375 | ||||||||
Raizen Fuels Finance SA (Luxembourg)†(e) | 5.30% | 1/20/2027 | 4,142 | 3,971,681 | ||||||||
Sanchez Energy Corp. | 6.125% | 1/15/2023 | 4,843 | 3,208,487 | ||||||||
Sinopec Group Overseas Development Ltd. (British Virgin Islands)† | 4.375% | 10/17/2023 | 1,548 | 1,590,797 | ||||||||
SM Energy Co. | 6.50% | 1/1/2023 | 1,745 | 1,779,900 |
340 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil (continued) | ||||||||||||
Valero Energy Corp. | 10.50% | 3/15/2039 | $ | 3,563 | $ | 5,821,507 | ||||||
WPX Energy, Inc. | 5.25% | 9/15/2024 | 2,783 | 2,769,085 | ||||||||
YPF SA (Argentina)†(e) | 8.50% | 7/28/2025 | 1,787 | 1,829,441 | ||||||||
Total | 76,277,215 | |||||||||||
Oil: Crude Producers 0.70% | ||||||||||||
Abu Dhabi Crude Oil Pipeline LLC (United Arab Emirates)†(e) | 4.60% | 11/2/2047 | 2,240 | 2,098,864 | ||||||||
Cheniere Corpus Christi Holdings LLC | 5.125% | 6/30/2027 | 3,802 | 3,792,495 | ||||||||
Colonial Pipeline Co.† | 4.25% | 4/15/2048 | 4,898 | 4,790,204 | ||||||||
Energy Transfer Partners LP | 7.50% | 7/1/2038 | 3,541 | 4,131,058 | ||||||||
Energy Transfer Partners LP/Regency Energy Finance Corp. | 5.00% | 10/1/2022 | 470 | 487,297 | ||||||||
GNL Quintero SA (Chile)†(e) | 4.634% | 7/31/2029 | 1,650 | 1,619,888 | ||||||||
IFM US Colonial Pipeline 2 LLC† | 6.45% | 5/1/2021 | 3,850 | 4,116,211 | ||||||||
Kinder Morgan, Inc. | 7.75% | 1/15/2032 | 3,820 | 4,742,936 | ||||||||
Peru LNG Srl (Peru)†(e) | 5.375% | 3/22/2030 | 900 | 893,790 | ||||||||
Total | 26,672,743 | |||||||||||
Oil: Integrated Domestic 0.34% | ||||||||||||
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc. | 3.337% | 12/15/2027 | 7,543 | 7,091,873 | ||||||||
Halliburton Co. | 7.45% | 9/15/2039 | 571 | 777,308 | ||||||||
National Oilwell Varco, Inc. | 3.95% | 12/1/2042 | 3,023 | 2,644,845 | ||||||||
Transocean Proteus Ltd.† | 6.25% | 12/1/2024 | 2,364 | 2,408,631 | ||||||||
Total | 12,922,657 | |||||||||||
Paper & Forest Products 0.09% | ||||||||||||
Fibria Overseas Finance Ltd. (Brazil)(e) | 4.00% | 1/14/2025 | 3,850 | 3,605,929 | ||||||||
Real Estate Investment Trusts 1.51% | ||||||||||||
China Evergrande Group (China)(e) | 8.75% | 6/28/2025 | 7,000 | 6,484,660 | ||||||||
Country Garden Holdings Co. Ltd. (China)(e) | 4.75% | 9/28/2023 | 4,000 | 3,772,152 | ||||||||
EPR Properties | 4.50% | 6/1/2027 | 1,000 | 958,304 | ||||||||
EPR Properties | 4.75% | 12/15/2026 | 3,792 | 3,721,192 | ||||||||
EPR Properties | 4.95% | 4/15/2028 | 2,816 | 2,740,885 | ||||||||
EPR Properties | 5.25% | 7/15/2023 | 7,327 | 7,592,339 | ||||||||
Hunt Cos, Inc.† | 6.25% | 2/15/2026 | 3,899 | 3,679,681 | ||||||||
Kilroy Realty LP | 6.625% | 6/1/2020 | 517 | 549,957 | ||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. | 5.625% | 5/1/2024 | 1,327 | 1,346,905 |
See Notes to Financial Statements. | 341 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Real Estate Investment Trusts (continued) | ||||||||||||
Ontario Teachers’ Cadillac Fairview Properties Trust (Canada)†(e) | 3.875% | 3/20/2027 | $ | 5,683 | $ | 5,638,647 | ||||||
VEREIT Operating Partnership LP | 3.00% | 2/6/2019 | 9,292 | 9,295,601 | ||||||||
VEREIT Operating Partnership LP | 4.875% | 6/1/2026 | 11,338 | 11,304,667 | ||||||||
Total | 57,084,990 | |||||||||||
Retail 0.19% | ||||||||||||
CEC Entertainment, Inc. | 8.00% | 2/15/2022 | 3,898 | 3,493,582 | ||||||||
IRB Holding Corp.† | 6.75% | 2/15/2026 | 3,780 | 3,581,550 | ||||||||
Total | 7,075,132 | |||||||||||
Steel 0.22% | ||||||||||||
AK Steel Corp. | 7.00% | 3/15/2027 | 2,930 | 2,812,800 | ||||||||
Cleveland-Cliffs, Inc. | 5.75% | 3/1/2025 | 4,188 | 4,012,627 | ||||||||
Vale Overseas Ltd. (Brazil)(e) | 6.875% | 11/10/2039 | 1,300 | 1,485,250 | ||||||||
Total | 8,310,677 | |||||||||||
Technology 1.34% | ||||||||||||
Alibaba Group Holding Ltd. (China)(e) | 3.60% | 11/28/2024 | 5,900 | 5,840,612 | ||||||||
Alibaba Group Holding Ltd. (China)(e) | 4.20% | 12/6/2047 | 3,625 | 3,429,047 | ||||||||
Alibaba Group Holding Ltd. (China)(e) | 4.40% | 12/6/2057 | 423 | 398,556 | ||||||||
Amazon.com, Inc.† | 3.15% | 8/22/2027 | 79 | 76,301 | ||||||||
Amazon.com, Inc. | 5.20% | 12/3/2025 | 9,379 | 10,418,914 | ||||||||
Baidu, Inc. (China)(e) | 3.50% | 11/28/2022 | 3,350 | 3,314,684 | ||||||||
Baidu, Inc. (China)(e) | 3.875% | 9/29/2023 | 2,900 | 2,907,613 | ||||||||
Netflix, Inc. | 4.375% | 11/15/2026 | 10,042 | 9,511,682 | ||||||||
Tencent Holdings Ltd. (China)†(e) | 3.375% | 5/2/2019 | 3,500 | 3,521,570 | ||||||||
Tencent Holdings Ltd. (China)†(e) | 3.595% | 1/19/2028 | 11,728 | 11,238,188 | ||||||||
Total | 50,657,167 | |||||||||||
Telecommunications 0.71% | ||||||||||||
AT&T, Inc. | 6.00% | 8/15/2040 | 2,003 | 2,157,912 | ||||||||
Frontier Communications Corp. | 11.00% | 9/15/2025 | 4,546 | 3,659,530 | ||||||||
Intelsat Connect Finance SA (Luxembourg)†(e) | 12.50% | 4/1/2022 | 3,773 | 3,659,810 | ||||||||
MTN Mauritius Investment Ltd. (Mauritius)†(e) | 4.755% | 11/11/2024 | 1,865 | 1,759,132 | ||||||||
Ooredoo International Finance Ltd.† | 3.75% | 6/22/2026 | 1,800 | 1,711,233 | ||||||||
T-Mobile USA, Inc. | 6.50% | 1/15/2026 | 3,524 | 3,686,985 | ||||||||
VEON Holdings BV (Netherlands)†(e) | 5.95% | 2/13/2023 | 750 | 761,475 | ||||||||
Verizon Communications, Inc. | 4.862% | 8/21/2046 | 3,459 | 3,346,245 | ||||||||
Vodafone Group plc (United Kingdom)(e) | 4.375% | 5/30/2028 | 3,588 | 3,566,074 |
342 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Telecommunications (continued) | ||||||||||||
Vodafone Group plc (United Kingdom)(e) | 5.25% | 5/30/2048 | $ | 2,653 | $ | 2,685,813 | ||||||
Total | 26,994,209 | |||||||||||
Transportation: Miscellaneous 0.27% | ||||||||||||
Autoridad del Canal de Panama (Panama)†(e) | 4.95% | 7/29/2035 | 200 | 206,000 | ||||||||
Burlington Northern Santa Fe LLC | 5.75% | 5/1/2040 | 2,380 | 2,880,187 | ||||||||
Canadian Pacific Railway Co. (Canada)(e) | 4.00% | 6/1/2028 | 2,486 | 2,528,949 | ||||||||
Pelabuhan Indonesia III Persero PT (Indonesia)†(e) | 4.50% | 5/2/2023 | 1,500 | 1,501,381 | ||||||||
Rumo Luxembourg Sarl (Luxembourg)†(e) | 7.375% | 2/9/2024 | 3,163 | 3,280,031 | ||||||||
Total | 10,396,548 | |||||||||||
Utilities 0.13% | ||||||||||||
Aquarion Co.† | 4.00% | 8/15/2024 | 4,791 | 4,869,147 | ||||||||
Total Corporate Bonds (cost $1,120,841,413) | 1,096,199,552 | |||||||||||
FLOATING RATE LOANS(j) 0.77% | ||||||||||||
Auto Parts: Original Equipment 0.10% | ||||||||||||
Jason, Inc. 1st Lien Initial Term Loan | – | (k) | 6/30/2021 | 3,879 | 3,827,744 | |||||||
Business Services 0.10% | ||||||||||||
BakerCorp International, Inc. Refinanced Term Loan | 5.359% (3 Mo. LIBOR + 3.00% | ) | 2/7/2020 | 3,830 | 3,797,642 | |||||||
Food/Tobacco 0.10% | ||||||||||||
CEC Entertainment, Inc. Term B Loan | 5.23% (1 Mo. LIBOR + 3.25% | ) | 2/12/2021 | 3,990 | 3,737,766 | |||||||
Insurance 0.10% | ||||||||||||
York Risk Services Holding Corp. Term Loan | 5.73% (1 Mo. LIBOR + 3.75% | ) | 10/1/2021 | 3,919 | 3,823,816 | |||||||
Manufacturing 0.10% | ||||||||||||
Crosby US Acquisition Corp. 1st Lien Initial Term Loan | 4.953% (3 Mo. LIBOR + 3.00% | ) | 11/23/2020 | 3,933 | 3,860,422 | |||||||
Miscellaneous 0.10% | ||||||||||||
Utex Industries, Inc. 1st Lien Initial Term Loan | – | (k) | 5/21/2021 | 3,869 | 3,845,737 | |||||||
Service 0.11% | ||||||||||||
North American Lifting Holdings, Inc. 1st Lien Initial Term Loan | 6.802% (3 Mo. LIBOR + 4.50% | ) | 11/27/2020 | 4,038 | 3,870,185 |
See Notes to Financial Statements. | 343 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Transportation: Miscellaneous 0.06% | ||||||||||||
Gruden Acquisition, Inc. 2nd Lien Term Loan | 10.802% (3 Mo. LIBOR + 8.50% | ) | 8/18/2023 | $ | 2,238 | $ | 2,252,928 | |||||
Total Floating Rate Loans (cost $29,266,177) | 29,016,240 | |||||||||||
FOREIGN BOND 0.04% | ||||||||||||
Mexico | ||||||||||||
Red de Carreteras de Occidente S.A.P.I.B. de CV†(c) (cost $2,515,344) | 9.00% | 6/10/2028 | MXN | 31,250 | 1,523,911 | |||||||
FOREIGN GOVERNMENT OBLIGATIONS 7.26% | ||||||||||||
Angola 0.12% | ||||||||||||
Republic of Angola†(e) | 9.50% | 11/12/2025 | $ | 3,900 | 4,391,533 | |||||||
Argentina 0.55% | ||||||||||||
City of Buenos Aires(c) | 29.319% (BADLAR + 3.25% | )# | 3/29/2024 | ARS | 12,100 | 443,356 | ||||||
Provincia de Buenos Aires†(e) | 6.50% | 2/15/2023 | $ | 1,533 | 1,477,429 | |||||||
Provincia de Mendoza†(e) | 8.375% | 5/19/2024 | 2,850 | 2,807,250 | ||||||||
Provincia of Neuquen†(e) | 8.625% | 5/12/2028 | 1,500 | 1,487,010 | ||||||||
Republic of Argentina(e) | 4.625% | 1/11/2023 | 2,120 | 1,931,606 | ||||||||
Republic of Argentina(e) | 6.875% | 1/26/2027 | 7,315 | 6,932,864 | ||||||||
Republic of Argentina(e) | 7.625% | 4/22/2046 | 150 | 133,125 | ||||||||
Republic of Argentina(e) | 8.28% | 12/31/2033 | 5,701 | 5,737,798 | ||||||||
Total | 20,950,438 | |||||||||||
Bahamas 0.13% | ||||||||||||
Commonwealth of Bahamas†(e) | 6.00% | 11/21/2028 | 2,750 | 2,798,125 | ||||||||
Commonwealth of Bahamas†(e) | 6.95% | 11/20/2029 | 1,943 | 2,127,585 | ||||||||
Total | 4,925,710 | |||||||||||
Bermuda 0.08% | ||||||||||||
Government of Bermuda† | 3.717% | 1/25/2027 | 3,090 | 2,933,801 | ||||||||
Brazil 0.05% | ||||||||||||
Federal Republic of Brazil(e) | 4.25% | 1/7/2025 | 1,000 | 958,250 | ||||||||
Federal Republic of Brazil(e) | 5.00% | 1/27/2045 | 1,000 | 811,500 | ||||||||
Total | 1,769,750 | |||||||||||
Canada 2.77% | ||||||||||||
Ontario Teachers’ Finance Trust†(e) | 2.75% | 4/16/2021 | 10,428 | 10,394,829 | ||||||||
Province of Alberta Canada(e) | 3.30% | 3/15/2028 | 27,580 | 27,570,348 | ||||||||
Province of Ontario Canada(e) | 2.20% | 10/3/2022 | 43,756 | 42,199,348 |
344 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Canada (continued) | ||||||||||||
Province of Ontario Canada(e) | 2.50% | 9/10/2021 | $ | 9,179 | $ | 9,044,593 | ||||||
Province of Quebec Canada(e) | 2.375% | 1/31/2022 | 16,357 | 16,005,081 | ||||||||
Total | 105,214,199 | |||||||||||
Cayman Islands 0.02% | ||||||||||||
Cayman Islands Government† | 5.95% | 11/24/2019 | 800 | 842,000 | ||||||||
Colombia 0.12% | ||||||||||||
Republic of Colombia(e) | 3.875% | 4/25/2027 | 4,700 | 4,494,375 | ||||||||
Dominican Republic 0.04% | ||||||||||||
Dominican Republic†(e) | 6.50% | 2/15/2048 | 1,500 | 1,441,553 | ||||||||
Egypt 0.09% | ||||||||||||
Arab Republic of Egypt†(e) | 6.125% | 1/31/2022 | 1,700 | 1,721,104 | ||||||||
Arab Republic of Egypt†(e) | 7.903% | 2/21/2048 | 1,560 | 1,573,324 | ||||||||
Total | 3,294,428 | |||||||||||
Ghana 0.04% | ||||||||||||
Republic of Ghana†(e) | 7.875% | 8/7/2023 | 1,535 | 1,632,396 | ||||||||
Indonesia 0.23% | ||||||||||||
Perusahaan Penerbit SBSN†(e) | 4.00% | 11/21/2018 | 1,700 | 1,708,279 | ||||||||
Republic of Indonesia†(e) | 4.35% | 1/8/2027 | 6,900 | 6,888,580 | ||||||||
Total | 8,596,859 | |||||||||||
Japan 2.11% | ||||||||||||
Japan Bank for International Corp.(e) | 2.375% | 7/21/2022 | 11,034 | 10,714,002 | ||||||||
Japan Bank for International Corp.(e) | 2.375% | 11/16/2022 | 24,978 | 24,197,170 | ||||||||
Japan Bank for International Corp.(e) | 2.50% | 6/1/2022 | 46,152 | 45,139,175 | ||||||||
Total | 80,050,347 | |||||||||||
Latvia 0.06% | ||||||||||||
Republic of Latvia†(e) | 5.25% | 6/16/2021 | 2,047 | 2,158,715 | ||||||||
Lithuania 0.12% | ||||||||||||
Republic of Lithuania†(e) | 7.375% | 2/11/2020 | 4,078 | 4,364,426 | ||||||||
Mexico 0.13% | ||||||||||||
United Mexican States(e) | 4.00% | 10/2/2023 | 5,095 | 5,112,196 | ||||||||
Nigeria 0.05% | ||||||||||||
Republic of Nigeria†(e) | 7.143% | 2/23/2030 | 2,000 | 2,008,780 |
See Notes to Financial Statements. | 345 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Qatar 0.12% | ||||||||||||
State of Qatar†(e) | 3.25% | 6/2/2026 | $ | 2,571 | $ | 2,408,955 | ||||||
State of Qatar†(e) | 5.103% | 4/23/2048 | 2,100 | 2,093,051 | ||||||||
Total | 4,502,006 | |||||||||||
Romania 0.01% | ||||||||||||
Republic of Romania†(e) | 6.125% | 1/22/2044 | 320 | 373,797 | ||||||||
Sri Lanka 0.14% | ||||||||||||
Republic of Sri Lanka†(e) | 6.20% | 5/11/2027 | 3,400 | 3,247,938 | ||||||||
Republic of Sri Lanka†(e) | 6.25% | 7/27/2021 | 1,000 | 1,017,162 | ||||||||
Republic of Sri Lanka†(e) | 6.85% | 11/3/2025 | 1,100 | 1,104,368 | ||||||||
Total | 5,369,468 | |||||||||||
Turkey 0.21% | ||||||||||||
Republic of Turkey(e) | 3.25% | 3/23/2023 | 1,350 | 1,213,662 | ||||||||
Republic of Turkey(e) | 5.625% | 3/30/2021 | 4,265 | 4,286,214 | ||||||||
Republic of Turkey(e) | 5.75% | 3/22/2024 | 2,625 | 2,575,986 | ||||||||
Total | 8,075,862 | |||||||||||
Uruguay 0.07% | ||||||||||||
Republic of Uruguay(e) | 4.975% | 4/20/2055 | 2,852 | 2,752,180 | ||||||||
Total Foreign Government Obligations (cost $279,520,097) | 275,254,819 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 1.59% | ||||||||||||
Federal Home Loan Mortgage Corp. K072 A2 | 3.444% | 12/25/2027 | 7,090 | 7,115,467 | ||||||||
Federal Home Loan Mortgage Corp. Q001 XA IO | 2.289% | #(l) | 2/25/2032 | 17,637 | 2,680,681 | |||||||
Government National Mortgage Assoc. 2014-78 A | 2.20% | 4/16/2047 | 217 | 215,633 | ||||||||
Government National Mortgage Assoc. 2015-47 AE | 2.90% | #(l) | 11/16/2055 | 7,091 | 6,982,342 | |||||||
Government National Mortgage Assoc. 2015-48 AS | 2.90% | #(l) | 2/16/2049 | 5,619 | 5,513,912 | |||||||
Government National Mortgage Assoc. 2015-73 AC | 2.90% | #(l) | 2/16/2053 | 1,497 | 1,465,781 | |||||||
Government National Mortgage Assoc. 2017-168 AS | 2.70% | 8/16/2058 | 11,166 | 10,826,316 | ||||||||
Government National Mortgage Assoc. 2017-41 AS | 2.60% | 6/16/2057 | 8,779 | 8,440,109 | ||||||||
Government National Mortgage Assoc. 2017-69 AS | 2.75% | 2/16/2058 | 4,486 | 4,325,788 | ||||||||
Government National Mortgage Assoc. 2017-71 AS | 2.70% | 4/16/2057 | 2,940 | 2,823,229 | ||||||||
Government National Mortgage Assoc. 2017-86 AS | 2.75% | 2/16/2058 | 3,452 | 3,351,918 | ||||||||
Government National Mortgage Assoc. 2017-89 AB | 2.60% | 7/16/2058 | 2,881 | 2,782,864 | ||||||||
Government National Mortgage Assoc. 2017-90 AS | 2.70% | 7/16/2057 | 4,020 | 3,880,370 | ||||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $62,140,141) | 60,404,410 |
346 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 19.44% | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.00% | 8/1/2047 | $ | 34,764 | $ | 35,579,947 | ||||||
Federal Home Loan Mortgage Corp. | 5.00% | 6/1/2026 | 1,350 | 1,401,685 | ||||||||
Federal National Mortgage Assoc. | 3.50% | 4/1/2043 - 7/1/2043 | 14,751 | 14,818,120 | ||||||||
Federal National Mortgage Assoc.(m) | 3.50% | TBA | 45,600 | 45,445,030 | ||||||||
Federal National Mortgage Assoc. | 4.00% | 10/1/2040 - 9/1/2047 | 68,572 | 70,246,628 | ||||||||
Federal National Mortgage Assoc.(m) | 4.00% | TBA | 259,000 | 264,584,695 | ||||||||
Federal National Mortgage Assoc.(m) | 4.50% | TBA | 286,700 | 299,265,531 | ||||||||
Federal National Mortgage Assoc. | 5.50% | 9/1/2034 - 4/1/2036 | 5,323 | 5,794,833 | ||||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $738,381,125) | 737,136,469 | |||||||||||
MUNICIPAL BONDS 0.13% | ||||||||||||
Miscellaneous | ||||||||||||
North Texas Tollway Auth | 8.91% | 2/1/2030 | 2,875 | 3,141,110 | ||||||||
Pennsylvania | 5.35% | 5/1/2030 | 1,600 | 1,663,280 | ||||||||
Total Municipal Bonds (cost $4,789,679) | 4,804,390 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 2.84% | ||||||||||||
Bancorp Commercial Mortgage Trust (The) 2018-CR3 A† | 2.769% (1 Mo. LIBOR + .85% Floor .85% | )#(l) | 1/15/2033 | 3,530 | 3,531,999 | |||||||
BANK 2018-BN10 AS | 3.898% | 2/15/2061 | 5,800 | 5,825,413 | ||||||||
BWAY Mortgage Trust 2015-1740 A† | 2.917% | 1/10/2035 | 6,137 | 5,857,057 | ||||||||
BX Trust 2018-GW A† | 2.70% (1 Mo. LIBOR + .80% Floor .80% | )#(l) | 5/15/2035 | 9,610 | 9,629,435 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI A† | 3.531% | 10/15/2034 | 10,391 | 10,471,376 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI B† | 3.835% | 10/15/2034 | 6,358 | 6,410,647 | ||||||||
CCUBS Commercial Mortgage Trust 2017-C1 AS | 3.907% | #(l) | 11/15/2050 | 2,155 | 2,169,653 | |||||||
Citigroup Commercial Mortgage Trust 2014-GC25 XB IO | 0.185% | #(l) | 10/10/2047 | 50,626 | 674,728 | |||||||
Citigroup Commercial Mortgage Trust 2016-GC36 D† | 2.85% | 2/10/2049 | 7,900 | 6,105,163 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-CR19 XA IO | 1.206% | #(l) | 8/10/2047 | 5,239 | 237,583 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 B | 4.441% | #(l) | 7/10/2050 | 1,570 | 1,598,934 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 C | 4.441% | #(l) | 7/10/2050 | 2,684 | 2,518,920 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 D | 4.441% | #(l) | 7/10/2050 | 7,809 | 6,556,558 |
See Notes to Financial Statements. | 347 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Commercial Mortgage Pass-Through Certificates 2016-SAVA A† | 3.649% (1 Mo. LIBOR + 1.72% | )# | 10/15/2034 | $ | 4,891 | $ | 4,897,167 | |||||
Credit Suisse Mortgage Capital Certificates 2014-USA E† | 4.373% | 9/15/2037 | 3,000 | 2,692,469 | ||||||||
DBWF Mortgage Trust 2015-LCM D† | 3.421% | #(l) | 6/10/2034 | 1,620 | 1,380,113 | |||||||
GAHR Commercial Mortgage Trust 2015-NRF DFX† | 3.382% | #(l) | 12/15/2034 | 1,732 | 1,723,928 | |||||||
GS Mortgage Securities Trust 2014-GC26 C | 4.51% | #(l) | 11/10/2047 | 135 | 133,186 | |||||||
GS Mortgage Securities Trust 2015-GC32 C | 4.412% | #(l) | 7/10/2048 | 1,230 | 1,225,280 | |||||||
Hudsons Bay Simon JV Trust 2015-HB10 XB10 IO† | 0.541% | #(l) | 8/5/2034 | 19,156 | 713,082 | |||||||
Hudsons Bay Simon JV Trust 2015-HB7 B7† | 4.666% | 8/5/2034 | 4,226 | 4,117,128 | ||||||||
Hudsons Bay Simon JV Trust 2015-HB7 D7† | 5.159% | #(l) | 8/5/2034 | 3,741 | 3,491,875 | |||||||
Hudsons Bay Simon JV Trust 2015-HB7 XB7 IO† | 0.493% | #(l) | 8/5/2034 | 22,024 | 467,239 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XA IO | 1.135% | #(l) | 4/15/2047 | 5,349 | 119,198 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XB IO | 0.266% | #(l) | 4/15/2047 | 1,595 | 29,515 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C30 C | 4.307% | #(l) | 7/15/2048 | 2,500 | 2,423,500 | |||||||
Merrill Lynch Mortgage Investors Trust 2006-AF2 AF1 | 6.25% | 10/25/2036 | 779 | 652,193 | ||||||||
Sequoia Mortgage Trust 2012-4 A3 | 2.069% | #(l) | 9/25/2042 | 350 | 332,904 | |||||||
SFAVE Commercial Mortgage Securities Trust 2015-5AVE A1† | 3.872% | #(l) | 1/5/2043 | 695 | 662,112 | |||||||
SFAVE Commercial Mortgage Securities Trust 2015-5AVE A2B† | 4.144% | #(l) | 1/5/2043 | 450 | 442,171 | |||||||
UBS-BAMLL Trust 2012-WRM E† | 4.238% | #(l) | 6/10/2030 | 3,905 | 3,702,227 | |||||||
Wells Fargo Commercial Mortgage Trust 2013-LC12 D† | 4.29% | #(l) | 7/15/2046 | 5,195 | 4,377,591 | |||||||
Wells Fargo Commercial Mortgage Trust 2015-C28 D | 4.131% | #(l) | 5/15/2048 | 7,460 | 6,195,265 | |||||||
Wells Fargo Commercial Mortgage Trust 2016-NXS5 E† | 4.879% | #(l) | 1/15/2059 | 2,748 | 2,261,117 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C20 XA IO | 1.055% | #(l) | 5/15/2047 | 10,411 | 445,562 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C20 XB IO | 0.564% | #(l) | 5/15/2047 | 2,205 | 73,760 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C23 XA IO | 0.646% | #(l) | 10/15/2057 | 67,113 | 1,997,684 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C23 XB IO | 0.307% | #(l) | 10/15/2057 | 100,000 | 1,550,990 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $106,688,478) | 107,694,722 |
348 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
U.S. TREASURY OBLIGATIONS 21.75% | ||||||||||||
U.S. Treasury Bond | 3.00% | 2/15/2048 | $ | 77,072 | $ | 76,799,538 | ||||||
U.S. Treasury Bond | 3.125% | 5/15/2048 | 66,282 | 67,660,717 | ||||||||
U.S. Treasury Bond | 3.625% | 2/15/2044 | 66,925 | 74,276,293 | ||||||||
U.S. Treasury Note | 1.625% | 11/15/2022 | 32,868 | 31,437,087 | ||||||||
U.S. Treasury Note | 2.50% | 5/31/2020 | 71,105 | 71,210,547 | ||||||||
U.S. Treasury Note | 2.75% | 5/31/2023 | 487,152 | 488,626,775 | ||||||||
U.S. Treasury Note | 2.75% | 2/15/2028 | 15,200 | 15,059,280 | ||||||||
Total U.S. Treasury Obligations (cost $818,506,135) | 825,070,237 | |||||||||||
Total Long-Term Investments (cost $4,108,050,816) | 4,079,293,470 | |||||||||||
SHORT-TERM INVESTMENTS 5.88% | ||||||||||||
ASSET-BACKED SECURITY 0.08% | ||||||||||||
Automobiles | ||||||||||||
GM Financial Automobile Leasing Trust 2016-3 A3 (cost $3,203,922) | 1.61% | 12/20/2019 | 3,214 | 3,202,820 | ||||||||
REPURCHASE AGREEMENTS 5.80% | ||||||||||||
Repurchase Agreement dated 5/31/2018, 0.90% due 6/1/2018 with Fixed Income Clearing Corp. collateralized by $16,430,000 of U.S. Treasury Note at 1.875% due 1/31/2022; value: $16,109,566; proceeds: $15,793,963 | 15,794 | 15,793,568 | ||||||||||
Repurchase Agreement dated 5/31/2018, 1.70% due 6/1/2018 with JPMorgan Chase & Co. collateralized by $217,339,000 of U.S. Treasury Note at 1.75% due 5/15/2023; value: $207,972,162; proceeds: $204,009,633 | 204,000 | 204,000,000 | ||||||||||
Total Repurchase Agreements (cost $219,793,568) | 219,793,568 | |||||||||||
Total Short-Term Investments (cost $222,997,490) | 222,996,388 | |||||||||||
Total Investments in Securities 113.44% (cost $4,331,048,306) | 4,302,289,858 | |||||||||||
Liabilities in Excess of Cash, Foreign Cash and Other Assets(n) (13.44%) | (509,714,035 | ) | ||||||||||
Net Assets 100.00% | $ | 3,792,575,823 |
ARS | Argentine Peso. | |
BRL | Brazilian real. | |
MXN | Mexican peso. | |
ADR | American Depositary Receipt. | |
BADLAR | Banco de la Republica Argentina. | |
IO | Interest Only. | |
LIBOR | London Interbank Offered Rate. | |
PIK | Payment-in-kind. |
See Notes to Financial Statements. | 349 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2018
† | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers. | |
# | Variable rate security. The interest rate represents the rate in effect at May 31, 2018. | |
* | Non-income producing security. | |
(a) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(b) | Level 3 Investment as described in Note 2(s) in the Notes to Financials. Security valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments. | |
(c) | Investment in non-U.S. dollar denominated securities. | |
(d) | Amount is less than $1,000. | |
(e) | Foreign security traded in U.S. dollars. | |
(f) | Variable Rate is Fixed to Float: Rate remains fixed until designated future date. | |
(g) | Security is perpetual in nature and has no stated maturity. | |
(h) | Security has been fully or partially segregated for open reverse repurchase agreements as of May 31, 2018 (See Note 2(n)). | |
(i) | Defaulted (non-income producing security). | |
(j) | Floating Rate Loans in which the Fund invests generally pay interest at rates which are periodically re-determined at a margin above the London Interbank Offered Rate (“LIBOR”) or the prime rate offered by major U.S. banks. The rate(s) shown is the rate(s) in effect at May 31, 2018. | |
(k) | Interest rate to be determined. | |
(l) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(m) | To-be-announced (“TBA”). Security purchased on a forward commitment basis with an approximate principal and maturity date. Actual principal and maturity will be determined upon settlement when the specific mortgage pools are assigned. | |
(n) | Liabilities in Excess of Cash, Foreign Cash and Other Assets include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and reverse repurchase agreements as follows: |
Open Forward Foreign Currency Exchange Contracts at May 31, 2018:
Forward | |||||||||||||||||||||
Foreign | U.S. $ | ||||||||||||||||||||
Currency | Cost on | U.S. $ | |||||||||||||||||||
Exchange | Transaction | Expiration | Foreign | Origination | Current | Unrealized | |||||||||||||||
Contracts | Type | Counterparty | Date | Currency | Date | Value | Appreciation | ||||||||||||||
Brazilian real | Sell | Goldman Sachs | 7/12/2018 | 2,600,000 | $ | 761,325 | $ | 695,672 | $ | 65,653 | |||||||||||
Mexican peso | Sell | Citibank | 8/14/2018 | 31,455,000 | 1,604,697 | 1,558,052 | 46,645 | ||||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 112,298 |
350 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2018
Open Futures Contracts at May 31, 2018:
Notional | Notional | Unrealized | ||||||||||||||||
Type | Expiration | Contracts | Position | Amount | Value | Appreciation | ||||||||||||
U.S. 2-Year Treasury Note | September 2018 | 2,438 | Long | $ | 516,890,547 | $ | 517,427,409 | $ | 536,862 | |||||||||
U.S. 5-Year Treasury Note | September 2018 | 839 | Short | (95,798,891 | ) | (95,554,234 | ) | 244,657 | ||||||||||
U.S. Long Bond | September 2018 | 1,167 | Long | 168,998,253 | 169,360,875 | 362,622 | ||||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 1,144,141 | ||||||||||||||||
Notional | Notional | Unrealized | ||||||||||||||||
Type | Expiration | Contracts | Position | Amount | Value | Depreciation | ||||||||||||
U.S. 10-Year Ultra Treasury Bond | September 2018 | 803 | Short | $ | (103,058,650 | ) | $ | (103,060,031 | ) | $ | (1,381 | ) | ||||||
U.S. 10-Year Treasury Note | September 2018 | 393 | Short | (46,987,367 | ) | (47,331,938 | ) | (344,571 | ) | |||||||||
Ultra Long U.S. Treasury Bond | September 2018 | 409 | Short | (65,040,262 | ) | (65,235,500 | ) | (195,238 | ) | |||||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (541,190 | ) |
Reverse Repurchase Agreements Payable as of May 31, 2018:
Collateral | ||||||||||||||
Principal | Held by | Interest | Trade | Maturity | Fair | |||||||||
Counterparty | Amount | Counterparty | Rate(1) | Date | Date(2) | Value(3) | ||||||||
J.P. Morgan Chase & Co. | $466,833 | $600,000 principal, Mohegan Gaming & Entertainment at 7.875% due 10/15/2024, $573,000 fair value | (6.00)% | 4/6/2018 | On Demand | $462,476 |
(1) | The negative interest rate on the reverse repurchase agreement results in interest income to the Fund. | |
(2) | This reverse repurchase agreement has no stated maturity and may be terminated by either party at any time. | |
(3) | Total fair value of reverse repurchase agreements is presented net of interest receivable of $4,357. |
See Notes to Financial Statements. | 351 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUND May 31, 2018
The following is a summary of the inputs used as of May 31, 2018 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2)(3) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | ||||||||||||||||
Other | $ | – | $ | 338,295,364 | $ | 7,968,822 | $ | 346,264,186 | ||||||||
Remaining Industries | – | 595,766,978 | – | 595,766,978 | ||||||||||||
Common Stocks | ||||||||||||||||
Electric: Power | 10,075 | – | – | 10,075 | ||||||||||||
Oil | 12,051 | 135,430 | – | 147,481 | ||||||||||||
Corporate Bonds | – | 1,096,199,552 | – | 1,096,199,552 | ||||||||||||
Floating Rate Loans | – | 29,016,240 | – | 29,016,240 | ||||||||||||
Foreign Bond | – | 1,523,911 | – | 1,523,911 | ||||||||||||
Foreign Government Obligations | – | 275,254,819 | – | 275,254,819 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 60,404,410 | – | 60,404,410 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 737,136,469 | – | 737,136,469 | ||||||||||||
Municipal Bonds | – | 4,804,390 | – | 4,804,390 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 107,694,722 | – | 107,694,722 | ||||||||||||
U.S. Treasury Obligations | – | 825,070,237 | – | 825,070,237 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Asset-Backed Security | – | 3,202,820 | – | 3,202,820 | ||||||||||||
Repurchase Agreements | – | 219,793,568 | – | 219,793,568 | ||||||||||||
Total | $ | 22,126 | $ | 4,294,298,910 | $ | 7,968,822 | $ | 4,302,289,858 | ||||||||
Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | $ | – | $ | 112,298 | $ | – | $ | 112,298 | ||||||||
Liabilities | – | – | – | – | ||||||||||||
Futures Contracts | ||||||||||||||||
Assets | 1,144,141 | – | – | 1,144,141 | ||||||||||||
Liabilities | (541,190 | ) | – | – | (541,190 | ) | ||||||||||
Reverse Repurchase Agreements | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | (462,476 | ) | – | (462,476 | ) | ||||||||||
Total | $ | 602,951 | $ | (350,178 | ) | $ | – | $ | 252,773 |
(1) | Refer to Note 2(s) for a description of fair value measurements and the three-tier hierarchy of inputs. | |
(2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. The table above is presented by Investment Type. Industries are presented within an Investment Type should such Investment Type include securities classified as two or more levels within the three-tier fair value hierarchy. Each Level 3 security is identified on the Schedule of Investments along with the valuation technique utilized. | |
(3) | There were no Level 1/Level 2 transfers during the period ended May 31, 2018. |
352 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(concluded)
TOTAL RETURN FUND May 31, 2018
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
Asset-Backed | Convertible | Foreign | ||||||||||
Investment Type | Securities | Bonds | Bonds | |||||||||
Balance as of December 1, 2017 | $ | 21,530,439 | $ | 6,716 | $ | 8,453 | ||||||
Accrued Discounts (Premiums) | – | – | – | |||||||||
Realized Gain (Loss) | 78,944 | 7,757 | 7,885 | |||||||||
Change in Unrealized Appreciation (Depreciation) | – | 47,480 | 61,637 | |||||||||
Purchases | 7,968,822 | – | – | |||||||||
Sales | (12,709,944 | ) | (61,953 | ) | (77,975 | ) | ||||||
Transfers into Level 3 | – | – | – | |||||||||
Transfers out of Level 3 | (8,899,439 | ) | – | – | ||||||||
Balance as of May 31, 2018 | $ | 7,968,822 | $ | – | $ | – | ||||||
Change in unrealized appreciation/depreciation for period ended May 31, 2018, related to Level 3 investments held at May 31, 2018 | $ | – | $ | – | $ | – |
See Notes to Financial Statements. | 353 |
Schedule of Investments (unaudited)
ULTRA SHORT BOND FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
LONG-TERM INVESTMENTS 65.19% | ||||||||||||
ASSET-BACKED SECURITIES 21.98% | ||||||||||||
Automobiles 12.60% | ||||||||||||
ACC Trust 2018-1 A† | 3.70% | 12/21/2020 | $ | 4,540 | $ | 4,545,263 | ||||||
Ally Auto Receivables Trust 2014-3 C | 2.14% | 7/15/2020 | 7,004 | 6,991,789 | ||||||||
Ally Auto Receivables Trust 2017-3 A2 | 1.53% | 3/16/2020 | 2,662 | 2,653,825 | ||||||||
American Credit Acceptance Receivables Trust 2015-3 C† | 4.84% | 10/12/2021 | 500 | 505,059 | ||||||||
American Credit Acceptance Receivables Trust 2017-3 A† | 1.82% | 3/10/2020 | 567 | 565,861 | ||||||||
American Credit Acceptance Receivables Trust 2018-1 A† | 2.72% | 3/10/2021 | 17,755 | 17,750,774 | ||||||||
American Credit Acceptance Receivables Trust 2018-1 C† | 3.55% | 4/10/2024 | 3,857 | 3,863,044 | ||||||||
AmeriCredit Automobile Receivables Trust 2013-5 D | 2.86% | 12/9/2019 | 3,414 | 3,414,465 | ||||||||
AmeriCredit Automobile Receivables Trust 2014-2 C | 2.18% | 6/8/2020 | 544 | 543,670 | ||||||||
Americredit Automobile Receivables Trust 2014-4 C | 2.47% | 11/9/2020 | 13,678 | 13,669,525 | ||||||||
AmeriCredit Automobile Receivables Trust 2015-1 C | 2.51% | 1/8/2021 | 11,750 | 11,740,600 | ||||||||
AmeriCredit Automobile Receivables Trust 2015-2 C | 2.40% | 1/8/2021 | 900 | 897,687 | ||||||||
AmeriCredit Automobile Receivables Trust 2015-3 A3 | 1.54% | 3/9/2020 | 27 | 26,621 | ||||||||
AmeriCredit Automobile Receivables Trust 2015-3 B | 2.08% | 9/8/2020 | 1,332 | 1,329,609 | ||||||||
AmeriCredit Automobile Receivables Trust 2015-3 C | 2.73% | 3/8/2021 | 6,497 | 6,493,627 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-3 A3 | 1.46% | 5/10/2021 | 1,966 | 1,953,729 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-3 B | 1.80% | 10/8/2021 | 1,200 | 1,182,739 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-3 C | 2.24% | 4/8/2022 | 2,481 | 2,443,771 | ||||||||
Americredit Automobile Receivables Trust 2016-4 B | 1.83% | 12/8/2021 | 1,800 | 1,771,592 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-2 A2A | 1.65% | 9/18/2020 | 1,083 | 1,079,609 |
354 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Automobiles (continued) | ||||||||||||
AmeriCredit Automobile Receivables Trust 2017-3 A2A | 1.69% | 12/18/2020 | $ | 607 | $ | 604,331 | ||||||
AmeriCredit Automobile Receivables Trust 2017-4 A3 | 2.04% | 7/18/2022 | 9,000 | 8,883,512 | ||||||||
Avid Automobile Receivables Trust 2018-1 A† | 2.84% | 8/15/2023 | 2,481 | 2,469,279 | ||||||||
California Republic Auto Receivables Trust 2015-1 A4 | 1.82% | 9/15/2020 | 625 | 622,482 | ||||||||
California Republic Auto Receivables Trust 2015-2 A4 | 1.75% | 1/15/2021 | 176 | 175,371 | ||||||||
California Republic Auto Receivables Trust 2015-4 A3† | 2.04% | 1/15/2020 | 2 | 1,735 | ||||||||
California Republic Auto Receivables Trust 2015-4 A4† | 2.58% | 6/15/2021 | 6,461 | 6,458,771 | ||||||||
California Republic Auto Receivables Trust 2016-1 A3 | 1.89% | 5/15/2020 | 51 | 51,287 | ||||||||
California Republic Auto Receivables Trust 2016-2 A3 | 1.56% | 7/15/2020 | 507 | 505,440 | ||||||||
California Republic Auto Receivables Trust 2016-2 A4 | 1.83% | 12/15/2021 | 439 | 434,299 | ||||||||
California Republic Auto Receivables Trust 2017-1 A4 | 2.28% | 6/15/2022 | 11,868 | 11,737,345 | ||||||||
Capital Auto Receivables Asset Trust 2014-3 D | 3.14% | 2/20/2020 | 3,781 | 3,788,828 | ||||||||
Capital Auto Receivables Asset Trust 2015-2 B | 2.29% | 5/20/2020 | 5,075 | 5,069,347 | ||||||||
Capital Auto Receivables Asset Trust 2015-2 C | 2.67% | 8/20/2020 | 11,000 | 11,005,790 | ||||||||
Capital Auto Receivables Asset Trust 2015-3 D | 3.34% | 3/22/2021 | 2,575 | 2,584,076 | ||||||||
Capital Auto Receivables Asset Trust 2016-2 A3 | 1.46% | 6/22/2020 | 463 | 461,379 | ||||||||
Capital Auto Receivables Asset Trust 2016-2 B | 2.11% | 3/22/2021 | 1,000 | 990,589 | ||||||||
Capital Auto Receivables Asset Trust 2017-1 A2† | 1.76% | 6/22/2020 | 7,054 | 7,031,022 | ||||||||
Capital Auto Receivables Asset Trust 2017-1 A3† | 2.02% | 8/20/2021 | 6,740 | 6,660,725 | ||||||||
CarFinance Capital Auto Trust 2015-1A A† | 1.75% | 6/15/2021 | 135 | 134,741 | ||||||||
CarFinance Capital Auto Trust 2015-1A C† | 3.58% | 6/15/2021 | 3,900 | 3,909,410 | ||||||||
CarMax Auto Owner Trust 2015-4 A3 | 1.56% | 11/16/2020 | 974 | 968,831 | ||||||||
CarMax Auto Owner Trust 2016-3 A3 | 1.39% | 5/17/2021 | 364 | 361,271 | ||||||||
CarMax Auto Owner Trust 2016-4 A2 | 1.21% | 11/15/2019 | 1 | 1,289 | ||||||||
CarMax Auto Owner Trust 2016-4 A3 | 1.40% | 8/15/2021 | 4,666 | 4,605,881 | ||||||||
CarMax Auto Owner Trust 2017-2 A2 | 1.63% | 6/15/2020 | 488 | 486,587 | ||||||||
CarMax Auto Owner Trust 2017-3 A2A | 1.64% | 9/15/2020 | 1,986 | 1,977,241 | ||||||||
Chesapeake Funding II LLC 2016-1A A1† | 2.11% | 3/15/2028 | 12,063 | 12,030,719 | ||||||||
Chesapeake Funding II LLC 2016-2A A1† | 1.88% | 6/15/2028 | 6,484 | 6,450,253 |
See Notes to Financial Statements. | 355 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Automobiles (continued) | ||||||||||||
Chesapeake Funding II LLC 2016-2A A2† | 2.919% (1 Mo. LIBOR + 1.00% | )# | 6/15/2028 | $ | 1,587 | $ | 1,588,891 | |||||
Chesapeake Funding II LLC 2017-2A A1† | 1.99% | 5/15/2029 | 4,942 | 4,893,097 | ||||||||
Chesapeake Funding II LLC 2017-2A A2† | 2.369% (1 Mo. LIBOR + .45% | )# | 5/15/2029 | 2,695 | 2,695,141 | |||||||
Chesapeake Funding II LLC 2017-3A A1† | 1.91% | 8/15/2029 | 1,721 | 1,699,599 | ||||||||
Chesapeake Funding II LLC 2017-4A A1† | 2.12% | 11/15/2029 | 5,105 | 5,048,880 | ||||||||
Chrysler Capital Auto Receivables Trust 2014-BA C† | 2.70% | 5/15/2020 | 2,600 | 2,600,655 | ||||||||
Chrysler Capital Auto Receivables Trust 2014-BA D† | 3.44% | 8/16/2021 | 273 | 273,769 | ||||||||
Chrysler Capital Auto Receivables Trust 2015-AA A4† | 1.55% | 2/18/2020 | 447 | 446,783 | ||||||||
Chrysler Capital Auto Receivables Trust 2015-AA D† | 3.15% | 1/18/2022 | 6,375 | 6,397,042 | ||||||||
Chrysler Capital Auto Receivables Trust 2016-AA A3† | 1.77% | 10/15/2020 | 241 | 240,843 | ||||||||
Chrysler Capital Auto Receivables Trust 2016-BA A3† | 1.64% | 7/15/2021 | 2,574 | 2,558,450 | ||||||||
CPS Auto Receivables Trust 2016-B A† | 2.07% | 11/15/2019 | 1 | 1,318 | ||||||||
CPS Auto Receivables Trust 2016-C C† | 3.27% | 6/15/2022 | 8,759 | 8,778,859 | ||||||||
CPS Auto Receivables Trust 2017-C A† | 1.78% | 9/15/2020 | 474 | 472,486 | ||||||||
CPS Auto Receivables Trust 2017-C B† | 2.30% | 7/15/2021 | 1,040 | 1,031,728 | ||||||||
CPS Auto Receivables Trust 2017-D A† | 1.87% | 3/15/2021 | 2,289 | 2,276,575 | ||||||||
CPS Auto Receivables Trust 2017-D B† | 2.43% | 1/18/2022 | 3,000 | 2,970,285 | ||||||||
CPS Auto Receivables Trust 2018-A B† | 2.77% | 4/18/2022 | 1,521 | 1,510,886 | ||||||||
CPS Auto Receivables Trust 2018-B A† | 2.72% | 9/15/2021 | 12,790 | 12,786,959 | ||||||||
CPS Auto Receivables Trust 2018-B B† | 3.23% | 7/15/2022 | 1,135 | 1,134,815 | ||||||||
CPS Auto Trust 2017-A B† | 2.68% | 5/17/2021 | 1,300 | 1,296,816 | ||||||||
CPS Auto Trust 2017-A C† | 3.31% | 12/15/2022 | 11,425 | 11,435,024 | ||||||||
Credit Acceptance Auto Loan Trust 2016-2A A† | 2.42% | 11/15/2023 | 17,528 | 17,500,130 | ||||||||
Credit Acceptance Auto Loan Trust 2016-3A A† | 2.15% | 4/15/2024 | 9,200 | 9,141,142 | ||||||||
Drive Auto Receivables Trust 2015-BA C† | 2.76% | 7/15/2021 | 7 | 6,572 | ||||||||
Drive Auto Receivables Trust 2015-BA E† | 5.15% | 8/15/2022 | 10,500 | 10,680,878 | ||||||||
Drive Auto Receivables Trust 2015-DA C† | 3.38% | 11/15/2021 | 3,359 | 3,366,582 | ||||||||
Drive Auto Receivables Trust 2016-AA C† | 3.91% | 5/17/2021 | 13,882 | 13,945,267 | ||||||||
Drive Auto Receivables Trust 2016-BA C† | 3.19% | 7/15/2022 | 24,812 | 24,864,500 | ||||||||
Drive Auto Receivables Trust 2016-BA D† | 4.53% | 8/15/2023 | 8,133 | 8,290,647 | ||||||||
Drive Auto Receivables Trust 2016-CA B† | 2.37% | 11/16/2020 | 850 | 849,613 | ||||||||
Drive Auto Receivables Trust 2016-CA C† | 3.02% | 11/15/2021 | 2,425 | 2,429,131 | ||||||||
Drive Auto Receivables Trust 2016-CA D† | 4.18% | 3/15/2024 | 5,758 | 5,851,739 | ||||||||
Drive Auto Receivables Trust 2017-1 B | 2.36% | 3/15/2021 | 1,000 | 998,576 | ||||||||
Drive Auto Receivables Trust 2017-1 C | 2.84% | 4/15/2022 | 7,972 | 7,966,603 | ||||||||
Drive Auto Receivables Trust 2017-2 A3 | 1.82% | 6/15/2020 | 615 | 614,214 | ||||||||
Drive Auto Receivables Trust 2017-2 B | 2.25% | 6/15/2021 | 446 | 445,021 |
356 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Automobiles (continued) | ||||||||||||
Drive Auto Receivables Trust 2017-2 C | 2.75% | 9/15/2023 | $ | 8,250 | $ | 8,232,263 | ||||||
Drive Auto Receivables Trust 2017-3 C | 2.80% | 7/15/2022 | 1,940 | 1,935,600 | ||||||||
Drive Auto Receivables Trust 2017-AA B† | 2.51% | 1/15/2021 | 2,005 | 2,003,759 | ||||||||
Drive Auto Receivables Trust 2017-AA C† | 2.98% | 1/18/2022 | 6,550 | 6,556,939 | ||||||||
Drive Auto Receivables Trust 2017-BA B† | 2.20% | 5/15/2020 | 33 | 33,007 | ||||||||
Drive Auto Receivables Trust 2017-BA C† | 2.61% | 8/16/2021 | 7,324 | 7,326,924 | ||||||||
Drive Auto Receivables Trust 2017-BA D† | 3.72% | 10/17/2022 | 10,187 | 10,260,615 | ||||||||
Drive Auto Receivables Trust 2018-2 A3 | 2.88% | 6/15/2021 | 13,500 | 13,507,544 | ||||||||
Enterprise Fleet Financing LLC 2015-2 A2† | 1.59% | 2/22/2021 | 66 | 65,780 | ||||||||
Enterprise Fleet Financing LLC 2017-1 A2† | 2.13% | 7/20/2022 | 1,342 | 1,335,426 | ||||||||
Enterprise Fleet Financing LLC 2017-2 A2† | 1.97% | 1/20/2023 | 1,840 | 1,828,127 | ||||||||
Exeter Automobile Receivables Trust 2014-3A D† | 5.69% | 4/15/2021 | 120 | 122,653 | ||||||||
Exeter Automobile Receivables Trust 2016-3A C† | 4.22% | 6/15/2022 | 3,825 | 3,876,612 | ||||||||
Exeter Automobile Receivables Trust 2017-1A C† | 3.95% | 12/15/2022 | 960 | 965,996 | ||||||||
Exeter Automobile Receivables Trust 2017-3A A† | 2.05% | 12/15/2021 | 14,069 | 13,996,476 | ||||||||
First Investors Auto Owner Trust 2015-2A A2† | 2.28% | 9/15/2021 | 2,673 | 2,670,076 | ||||||||
First Investors Auto Owner Trust 2015-2A B† | 2.75% | 9/15/2021 | 28 | 27,951 | ||||||||
First Investors Auto Owner Trust 2016-2A A1† | 1.53% | 11/16/2020 | 162 | 161,193 | ||||||||
First Investors Auto Owner Trust 2016-2A A2† | 1.87% | 11/15/2021 | 289 | 286,794 | ||||||||
First Investors Auto Owner Trust 2017-1A A1† | 1.69% | 4/15/2021 | 31 | 31,251 | ||||||||
First Investors Auto Owner Trust 2017-2A A1† | 1.86% | 10/15/2021 | 1,752 | 1,743,387 | ||||||||
First Investors Auto Owner Trust 2017-3A A1† | 2.00% | 3/15/2022 | 1,406 | 1,397,132 | ||||||||
Flagship Credit Auto Trust 2014-1 C† | 3.34% | 4/15/2020 | 2,631 | 2,635,207 | ||||||||
Flagship Credit Auto Trust 2015-2 A† | 1.98% | 10/15/2020 | 2,360 | 2,357,068 | ||||||||
Flagship Credit Auto Trust 2015-3 A† | 2.38% | 10/15/2020 | 3,318 | 3,315,825 | ||||||||
Flagship Credit Auto Trust 2016-2 A2† | 3.05% | 8/16/2021 | 6,926 | 6,937,119 | ||||||||
Flagship Credit Auto Trust 2016-3 B† | 2.43% | 6/15/2021 | 4,375 | 4,356,800 | ||||||||
Flagship Credit Auto Trust 2016-4 A2† | 1.96% | 2/16/2021 | 210 | 209,310 | ||||||||
Flagship Credit Auto Trust 2017-1 A† | 1.93% | 12/15/2021 | 3,719 | 3,705,279 | ||||||||
Flagship Credit Auto Trust 2017-2 A† | 1.85% | 7/15/2021 | 721 | 717,354 | ||||||||
Flagship Credit Auto Trust 2017-3 A† | 1.88% | 10/15/2021 | 1,310 | 1,301,846 | ||||||||
Flagship Credit Auto Trust 2017-4 A† | 2.07% | 4/15/2022 | 2,192 | 2,175,706 | ||||||||
Flagship Credit Auto Trust 2018-2 A† | 2.97% | 10/17/2022 | 27,168 | 27,167,859 | ||||||||
Ford Credit Auto Owner Trust 2015-1 A† | 2.12% | 7/15/2026 | 4,125 | 4,072,775 | ||||||||
Ford Credit Auto Owner Trust 2016-C A2A | 1.04% | 9/15/2019 | 3 | 2,928 | ||||||||
Ford Credit Auto Owner Trust/Ford Credit 2014-1 A† | 2.26% | 11/15/2025 | 3,000 | 2,989,151 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 A2† | 2.85% | 8/16/2021 | 17,895 | 17,887,418 |
See Notes to Financial Statements. | 357 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Automobiles (continued) | ||||||||||||
Foursight Capital Automobile Receivables Trust 2018-1 A3† | 3.24% | 9/15/2022 | $ | 5,444 | $ | 5,437,902 | ||||||
Honda Auto Receivables Owner Trust 2015-3 A3 | 1.27% | 4/18/2019 | 3 | 3,275 | ||||||||
Honda Auto Receivables Owner Trust 2016-4 A2 | 1.04% | 4/18/2019 | 2 | 1,818 | ||||||||
Honda Auto Receivables Owner Trust 2017-3 A3 | 1.79% | 9/20/2021 | 10,229 | 10,073,656 | ||||||||
Hyundai Auto Lease Securitization Trust 2016-B A3† | 1.52% | 10/15/2019 | 19,759 | 19,721,582 | ||||||||
Hyundai Floorplan Master Owner Trust 2016-1A A2† | 1.81% | 3/15/2021 | 1,145 | 1,137,314 | ||||||||
Mercedes-Benz Auto Lease Trust 2018-A A2 | 2.20% | 4/15/2020 | 5,650 | 5,635,947 | ||||||||
NextGear Floorplan Master Owner Trust 2015-2A A† | 2.38% | 10/15/2020 | 1,847 | 1,845,212 | ||||||||
NextGear Floorplan Master Owner Trust 2016-1A A2† | 2.74% | 4/15/2021 | 2,100 | 2,099,448 | ||||||||
Nissan Auto Receivables Owner Trust 2016-B A3 | 1.32% | 1/15/2021 | 201 | 199,350 | ||||||||
Nissan Auto Receivables Owner Trust 2017-C A3 | 2.12% | 4/18/2022 | 2,624 | 2,592,242 | ||||||||
OSCAR US Funding Trust 2014-1A A4† | 2.55% | 12/15/2021 | 7,905 | 7,889,405 | ||||||||
OSCAR US Funding Trust VII LLC 2017-2A A2B† | 2.579% (1 Mo. LIBOR + 0.65% | )# | 11/10/2020 | 13,768 | 13,785,205 | |||||||
Prestige Auto Receivables Trust 2014-1A D† | 2.91% | 7/15/2021 | 1,655 | 1,655,315 | ||||||||
Prestige Auto Receivables Trust 2015-1 B† | 2.04% | 4/15/2021 | 561 | 560,283 | ||||||||
Santander Drive Auto Receivables Trust 2013-5 D | 2.73% | 10/15/2019 | 2,653 | 2,653,227 | ||||||||
Santander Drive Auto Receivables Trust 2014-2 E† | 3.76% | 7/15/2021 | 1,100 | 1,103,607 | ||||||||
Santander Drive Auto Receivables Trust 2014-3 E† | 3.49% | 9/15/2021 | 985 | 989,546 | ||||||||
Santander Drive Auto Receivables Trust 2014-4 C | 2.60% | 11/16/2020 | 258 | 258,340 | ||||||||
Santander Drive Auto Receivables Trust 2014-5 C | 2.46% | 6/15/2020 | 876 | 875,557 | ||||||||
Santander Drive Auto Receivables Trust 2015-1 C | 2.57% | 4/15/2021 | 46 | 46,413 | ||||||||
Santander Drive Auto Receivables Trust 2015-1 D | 3.24% | 4/15/2021 | 1,450 | 1,454,955 | ||||||||
Santander Drive Auto Receivables Trust 2015-4 C | 2.97% | 3/15/2021 | 3,561 | 3,566,545 | ||||||||
Santander Drive Auto Receivables Trust 2015-5 C | 2.74% | 12/15/2021 | 969 | 969,661 | ||||||||
Santander Drive Auto Receivables Trust 2015-5 D | 3.65% | 12/15/2021 | 17,338 | 17,470,504 | ||||||||
Santander Drive Auto Receivables Trust 2016-3 A3 | 1.50% | 8/17/2020 | 338 | 337,128 | ||||||||
Santander Drive Auto Receivables Trust 2016-3 B | 1.89% | 6/15/2021 | 1,332 | 1,326,591 | ||||||||
Santander Drive Auto Receivables Trust 2016-3 C | 2.46% | 3/15/2022 | 5,000 | 4,975,618 | ||||||||
Santander Drive Auto Receivables Trust 2017-2 A2 | 1.60% | 3/16/2020 | 314 | 313,362 | ||||||||
Santander Drive Auto Receivables Trust 2017-2 B | 2.21% | 10/15/2021 | 3,160 | 3,144,271 | ||||||||
Santander Drive Auto Receivables Trust 2017-3 A3 | 1.87% | 6/15/2021 | 6,275 | 6,238,308 | ||||||||
SunTrust Auto Receivables Trust 2015-1A A4† | 1.78% | 1/15/2021 | 558 | 554,970 | ||||||||
TCF Auto Receivables Owner Trust 2015-1A A4† | 1.96% | 11/16/2020 | 4,084 | 4,075,580 | ||||||||
TCF Auto Receivables Owner Trust 2016-PT1A A† | 1.93% | 6/15/2022 | 823 | 815,065 | ||||||||
Toyota Auto Receivables Owner Trust 2016-D A3 | 1.23% | 10/15/2020 | 14,050 | 13,921,827 |
358 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Automobiles (continued) | ||||||||||||
Westlake Automobile Receivables Trust 2016-2A C† | 2.83% | 5/17/2021 | $ | 1,255 | $ | 1,254,956 | ||||||
Westlake Automobile Receivables Trust 2016-2A D† | 4.10% | 6/15/2021 | 3,610 | 3,648,780 | ||||||||
Westlake Automobile Receivables Trust 2016-3A B† | 2.07% | 12/15/2021 | 10 | 9,975 | ||||||||
Westlake Automobile Receivables Trust 2017-1A B† | 2.30% | 10/17/2022 | 100 | 99,627 | ||||||||
Westlake Automobile Receivables Trust 2017-2A A2A† | 1.80% | 7/15/2020 | 865 | 862,541 | ||||||||
Westlake Automobile Receivables Trust 2018-1A C† | 2.92% | 5/15/2023 | 2,745 | 2,724,958 | ||||||||
Wheels SPV 2 LLC 2016-1A A2† | 1.59% | 5/20/2025 | 264 | 263,017 | ||||||||
Total | 667,764,239 | |||||||||||
Credit Cards 3.03% | ||||||||||||
BA Credit Card Trust 2016-A1 A | 2.309% (1 Mo. LIBOR + .39% | )# | 10/15/2021 | 75 | 75,209 | |||||||
Barclays Dryrock Issuance Trust 2014-3 A | 2.41% | 7/15/2022 | 8,701 | 8,663,806 | ||||||||
Barclays Dryrock Issuance Trust 2016-1 A | 1.52% | 5/16/2022 | 4,683 | 4,622,883 | ||||||||
Barclays Dryrock Issuance Trust 2017-1 A | 2.249% (1 Mo. LIBOR + .33% | )# | 3/15/2023 | 616 | 618,355 | |||||||
Barclays Dryrock Issuance Trust 2017-2 A | 2.219% (1 Mo. LIBOR + .30% | )# | 5/15/2023 | 2,626 | 2,631,108 | |||||||
Cabela’s Credit Card Master Note Trust 2014-2 A | 2.369% (1 Mo. LIBOR + .45% | )# | 7/15/2022 | 15,912 | 15,952,281 | |||||||
Capital One Multi-Asset Execution Trust 2015-A5 | 1.60% | 5/17/2021 | 650 | 649,422 | ||||||||
Capital One Multi-Asset Execution Trust 2016-A4 | 1.33% | 6/15/2022 | 8,348 | 8,211,039 | ||||||||
Capital One Multi-Asset Execution Trust 2017-A1 | 2.00% | 1/17/2023 | 11,702 | 11,550,178 | ||||||||
Chase Issuance Trust 2014-A5 | 2.289% (1 Mo. LIBOR + .37% | )# | 4/15/2021 | 3,826 | 3,835,961 | |||||||
Chase Issuance Trust 2018-A1 | 2.123% (1 Mo. LIBOR + .20% | )# | 4/17/2023 | 12,755 | 12,760,490 | |||||||
Citibank Credit Card Issuance Trust 2017-A3 | 1.92% | 4/7/2022 | 16,314 | 16,059,596 | ||||||||
Discover Card Execution Note Trust 2016-A1 | 1.64% | 7/15/2021 | 7,113 | 7,076,532 | ||||||||
Discover Card Execution Note Trust 2016-A4 | 1.39% | 3/15/2022 | 1,836 | 1,805,346 | ||||||||
First National Master Note Trust 2017-2 A | 2.359% (1 Mo. LIBOR + .44% | )# | 10/16/2023 | 3,500 | 3,505,010 | |||||||
Master Credit Card Trust II 2017-1A A† | 2.26% | 7/21/2021 | 14,700 | 14,553,550 | ||||||||
Master Credit Card Trust II 2017-1A B† | 2.56% | 7/21/2021 | 932 | 925,001 | ||||||||
Synchrony Credit Card Master Note Trust 2016-1 A | 2.04% | 3/15/2022 | 2,625 | 2,614,805 | ||||||||
World Financial Network Credit Card Master Trust 2012-A | 3.14% | 1/17/2023 | 1,310 | 1,314,855 | ||||||||
World Financial Network Credit Card Master Trust 2012-D A | 2.15% | 4/17/2023 | 1,180 | 1,174,963 |
See Notes to Financial Statements. | 359 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Credit Cards (continued) | ||||||||||||
World Financial Network Credit Card Master Trust 2012-D B | 3.34% | 4/17/2023 | $ | 7,119 | $ | 7,125,014 | ||||||
World Financial Network Credit Card Master Trust 2012-D M | 3.09% | 4/17/2023 | 4,437 | 4,435,689 | ||||||||
World Financial Network Credit Card Master Trust 2016-C M | 1.98% | 8/15/2023 | 2,237 | 2,203,550 | ||||||||
World Financial Network Credit Card Master Trust 2017-B A | 1.98% | 6/15/2023 | 28,821 | 28,575,661 | ||||||||
Total | 160,940,304 | |||||||||||
Other 6.35% | ||||||||||||
Access Point Funding I LLC 2017-A† | 3.06% | 4/15/2029 | 4,812 | 4,788,397 | ||||||||
Ally Master Owner Trust 2017-1 A | 2.319% (1 Mo. LIBOR + .40% | )# | 2/15/2021 | 200 | 200,245 | |||||||
Ally Master Owner Trust 2017-2 A | 2.259% (1 Mo. LIBOR + .34% | )# | 6/15/2021 | 20,628 | 20,653,075 | |||||||
Ascentium Equipment Receivables Trust 2016-1A B† | 2.85% | 7/10/2020 | 250 | 250,062 | ||||||||
Ascentium Equipment Receivables Trust 2016-2A A2† | 1.46% | 4/10/2019 | 133 | 132,374 | ||||||||
Ascentium Equipment Receivables Trust 2017-1A A2† | 1.87% | 7/10/2019 | 168 | 167,403 | ||||||||
Ascentium Equipment Receivables Trust 2017-2A A2† | 2.00% | 5/11/2020 | 7,227 | 7,181,595 | ||||||||
CCG Receivables Trust 2018-1 A2† | 2.50% | 6/16/2025 | 2,500 | 2,488,322 | ||||||||
CNH Equipment Trust 2015-A A4 | 1.85% | 4/15/2021 | 340 | 338,515 | ||||||||
Conn’s Receivables Funding LLC 2017-B A† | 2.73% | 7/15/2020 | 6,211 | 6,209,632 | ||||||||
Dell Equipment Finance Trust 2017-1 A2† | 1.86% | 6/24/2019 | 57 | 56,863 | ||||||||
Dell Equipment Finance Trust 2017-1 A3† | 2.14% | 4/22/2022 | 100 | 99,537 | ||||||||
Diamond Resorts Owner Trust 2015-2 A† | 2.99% | 5/22/2028 | 68 | 67,406 | ||||||||
DLL LLC 2018-1 A2† | 2.81% | 11/17/2020 | 33,120 | 33,154,230 | ||||||||
DLL Securitization Trust 2017-A A1† | 1.50% | 11/15/2018 | 367 | 367,001 | ||||||||
DLL Securitization Trust 2017-A A2† | 1.89% | 7/15/2020 | 5,000 | 4,979,399 | ||||||||
DRB Prime Student Loan Trust 2017-A A2A† | 1.75% | 5/27/2042 | 502 | 500,166 | ||||||||
Engs Commercial Finance Trust 2016-1A A2† | 2.63% | 2/22/2022 | 213 | 210,908 | ||||||||
Engs Commercial Finance Trust 2018-1A A1† | 2.97% | 2/22/2021 | 10,562 | 10,559,364 | ||||||||
Ford Credit Floorplan Master Owner Trust A 2016-1 A1 | 1.76% | 2/15/2021 | 292 | 290,254 | ||||||||
GMF Floorplan Owner Revolving Trust 2018-1 A† | 2.219% (1 Mo. LIBOR + .30% | )# | 3/15/2022 | 24,856 | 24,868,846 |
360 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Other (continued) | ||||||||||||
GreatAmerica Leasing Receivables Funding LLC Series 2018-1 A2† | 2.35% | 5/15/2020 | $ | 2,000 | $ | 1,994,000 | ||||||
Laurel Road Prime Student Loan Trust 2017-B A1FX† | 1.63% | 8/25/2042 | 720 | 719,397 | ||||||||
Leaf Receivables Funding 12 LLC 2017-1 A3† | 2.07% | 8/15/2020 | 480 | 478,140 | ||||||||
Mercedes-Benz Master Owner Trust 2016-BA A† | 2.619% (1 Mo. LIBOR + .70% | )# | 5/17/2021 | 150 | 150,785 | |||||||
Mercedes-Benz Master Owner Trust 2018-BA A† | 2.274% (1 Mo. LIBOR +.34% | )# | 5/15/2023 | 6,500 | 6,500,000 | |||||||
MMAF Equipment Finance LLC 2012-AA A5† | 1.98% | 6/10/2032 | 1,140 | 1,139,210 | ||||||||
MMAF Equipment Finance LLC 2014-AA A4† | 1.59% | 2/8/2022 | 11,329 | 11,230,220 | ||||||||
Navient Student Loan Trust 2018-1A A1† | 2.15% (1 Mo. LIBOR + .19% | )# | 3/25/2067 | 7,036 | 7,035,215 | |||||||
NextGear Floorplan Master Owner Trust 2016-2A A2† | 2.19% | 9/15/2021 | 23,069 | 22,872,097 | ||||||||
OneMain Financial Issuance Trust 2015-1A A† | 3.19% | 3/18/2026 | 17,388 | 17,448,896 | ||||||||
OneMain Financial Issuance Trust 2015-2A A† | 2.57% | 7/18/2025 | 156 | 156,245 | ||||||||
OneMain Financial Issuance Trust 2016-1A A† | 3.66% | 2/20/2029 | 5,000 | 5,046,213 | ||||||||
OneMain Financial Issuance Trust 2016-2A A† | 4.10% | 3/20/2028 | 7,160 | 7,216,511 | ||||||||
PFS Financing Corp. 2016-BA A† | 1.87% | 10/15/2021 | 7,379 | 7,283,734 | ||||||||
PFS Financing Corp. 2018-A A† | 2.319% (1 Mo. LIBOR + .40% | )# | 2/15/2022 | 17,400 | 17,403,508 | |||||||
PFS Financing Corp. 2018-A B† | 2.179% (1 Mo. LIBOR + .60% | )# | 2/15/2022 | 6,000 | 5,992,316 | |||||||
SCF Equipment Leasing LLC 2018-1A A1† | 2.81% | 4/20/2021 | 10,318 | 10,340,339 | ||||||||
SCF Equipment Leasing LLC 2018-1A A2† | 3.63% | 10/20/2024 | 11,420 | 11,479,064 | ||||||||
SLM Private Education Loan Trust 2012-C A2† | 3.31% | 10/15/2046 | 662 | 662,353 | ||||||||
SoFi Consumer Loan Program LLC 2016-2A A† | 3.09% | 10/27/2025 | 2,706 | 2,706,555 | ||||||||
SoFi Professional Loan Program 2017-D A1FX† | 1.72% | 9/25/2040 | 765 | 760,195 | ||||||||
SoFi Professional Loan Program LLC 2017-C A2A† | 1.75% | 7/25/2040 | 4,808 | 4,768,400 | ||||||||
SoFi Professional Loan Program LLC 2017-E A2A† | 1.86% | 11/26/2040 | 2,597 | 2,567,048 | ||||||||
SoFi Professional Loan Program LLC 2017-F A1FX† | 2.05% | 1/25/2041 | 8,338 | 8,271,135 | ||||||||
SoFi Professional Loan Program LLC 2018-A A2A† | 2.39% | 2/25/2042 | 13,538 | 13,455,092 | ||||||||
SoFi Professional Loan Program Trust 2018-B A1FX† | 2.64% | 8/25/2047 | 19,066 | 19,001,079 | ||||||||
Springleaf Funding Trust 2015-AA A† | 3.16% | 11/15/2024 | 72 | 71,686 | ||||||||
Springleaf Funding Trust 2016-AA A† | 2.90% | 11/15/2029 | 22,225 | 22,120,080 | ||||||||
Volvo Financial Equipment LLC 2015-1A A4† | 1.91% | 1/15/2020 | 4,000 | 3,988,734 | ||||||||
Wells Fargo Dealer Floorplan Master Note Trust 2015-2 A | 2.598% (1 Mo. LIBOR + .65% | )# | 1/20/2022 | 2,200 | 2,212,588 | |||||||
Westgate Resorts LLC 2018-1A A† | 3.38% | 12/20/2031 | 3,830 | 3,829,950 | ||||||||
Total | 336,464,379 | |||||||||||
Total Asset-Backed Securities (cost $1,167,903,731) | 1,165,168,922 |
See Notes to Financial Statements. | 361 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
CORPORATE BONDS 43.20% | ||||||||||||
Aerospace/Defense 0.37% | ||||||||||||
General Dynamics Corp. | 2.646% (3 Mo. LIBOR + .29% | )# | 5/11/2020 | $ | 9,860 | $ | 9,876,104 | |||||
Spirit AeroSystems, Inc. | 3.118% (3 Mo. LIBOR + .80% | )# | 6/15/2021 | 9,600 | 9,609,965 | |||||||
Total | 19,486,069 | |||||||||||
Automotive 4.65% | ||||||||||||
Daimler Finance North America LLC† | 2.613% (3 Mo. LIBOR + .25% | )# | 11/5/2018 | 4,150 | 4,153,676 | |||||||
Daimler Finance North America LLC† | 2.753% (3 Mo. LIBOR + .39% | )# | 5/4/2020 | 14,850 | 14,861,581 | |||||||
Daimler Finance North America LLC† | 2.785% (3 Mo. LIBOR + .43% | )# | 2/12/2021 | 10,800 | 10,812,813 | |||||||
Daimler Finance North America LLC† | 2.893% (3 Mo. LIBOR + .53% | )# | 5/5/2020 | 3,400 | 3,413,719 | |||||||
Daimler Finance North America LLC† | 2.955% (3 Mo. LIBOR + .63% | )# | 1/6/2020 | 5,000 | 5,030,112 | |||||||
Daimler Finance North America LLC† | 2.979% (3 Mo. LIBOR + .62% | )# | 10/30/2019 | 10,559 | 10,624,217 | |||||||
Daimler Finance North America LLC† | 3.218% (3 Mo. LIBOR + .86% | )# | 8/1/2018 | 780 | 781,245 | |||||||
Ford Motor Credit Co. LLC | 2.793% (3 Mo. LIBOR + .43% | )# | 11/2/2020 | 5,384 | 5,360,739 | |||||||
Ford Motor Credit Co. LLC | 2.835% (3 Mo. LIBOR + .81% | )# | 4/5/2021 | 14,800 | 14,854,978 | |||||||
Ford Motor Credit Co. LLC | 2.901% (3 Mo. LIBOR + .83% | )# | 3/12/2019 | 8,693 | 8,724,786 | |||||||
Ford Motor Credit Co. LLC | 3.185% (3 Mo. LIBOR + .83% | )# | 8/12/2019 | 15,607 | 15,687,685 | |||||||
Ford Motor Credit Co. LLC | 3.293% (3 Mo. LIBOR + .93% | )# | 11/4/2019 | 400 | 403,020 | |||||||
Ford Motor Credit Co. LLC | 3.331% (3 Mo. LIBOR + 1.00% | )# | 1/9/2020 | 15,500 | 15,625,632 | |||||||
Ford Motor Credit Co. LLC | 3.911% (3 Mo. LIBOR + 1.58% | )# | 1/8/2019 | 13,450 | 13,552,201 | |||||||
General Motors Co. | 3.163% (3 Mo. LIBOR + .80% | )# | 8/7/2020 | 5,000 | 5,023,768 | |||||||
General Motors Co. | 3.50% | 10/2/2018 | 5,200 | 5,215,011 | ||||||||
General Motors Financial Co., Inc. | 3.272% (3 Mo. LIBOR + .93% | )# | 4/13/2020 | 8,000 | 8,062,255 | |||||||
General Motors Financial Co., Inc. | 3.582% (3 Mo. LIBOR + 1.27% | )# | 10/4/2019 | 4,000 | 4,047,515 | |||||||
General Motors Financial Co., Inc. | 3.819% (3 Mo. LIBOR + 1.45% | )# | 5/9/2019 | 18,687 | 18,872,537 | |||||||
General Motors Financial Co., Inc. | 3.908% (3 Mo. LIBOR + 1.56% | )# | 1/15/2020 | 1,350 | 1,373,660 | |||||||
General Motors Financial Co., Inc. | 4.408% (3 Mo. LIBOR + 2.06% | )# | 1/15/2019 | 5,000 | 5,056,710 | |||||||
Harley-Davidson Financial Services, Inc.† | 2.397% (3 Mo. LIBOR + .35% | )# | 3/8/2019 | 2,310 | 2,311,403 |
362 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Automotive (continued) | ||||||||||||
Harley-Davidson Financial Services, Inc.† | 2.831% (3 Mo. LIBOR + .50% | )# | 5/21/2020 | $ | 19,333 | $ | 19,364,077 | |||||
Hyundai Capital America† | 2.40% | 10/30/2018 | 6,302 | 6,289,295 | ||||||||
Nissan Motor Acceptance Corp.† | 2.685% (3 Mo. LIBOR + .39% | )# | 9/28/2020 | 5,000 | 5,008,665 | |||||||
Nissan Motor Acceptance Corp.† | 2.722% (3 Mo. LIBOR + .52% | )# | 3/15/2021 | 32,286 | 32,373,140 | |||||||
Nissan Motor Acceptance Corp.† | 2.922% (3 Mo. LIBOR + .58% | )# | 1/13/2020 | 6,389 | 6,420,838 | |||||||
Nissan Motor Acceptance Corp.† | 3.057% (3 Mo. LIBOR + 1.01% | )# | 3/8/2019 | 3,200 | 3,220,726 | |||||||
Toyota Motor Credit Corp. | 2.743% (3 Mo. LIBOR + .39% | )# | 1/17/2019 | 15 | 15,035 | |||||||
Total | 246,541,039 | |||||||||||
Banks: Regional 30.65% | ||||||||||||
ABN AMRO Bank NV (Netherlands)†(a) | 2.765% (3 Mo. LIBOR + .41% | )# | 1/19/2021 | 9,800 | 9,806,566 | |||||||
ABN AMRO Bank NV (Netherlands)†(a) | 2.995% (3 Mo. LIBOR + .64% | )# | 1/18/2019 | 93,550 | 93,911,103 | |||||||
Australia & New Zealand Banking Group Ltd. (Australia)†(a) | 2.428% (3 Mo. LIBOR + .25% | )# | 12/19/2019 | 10,000 | 10,008,424 | |||||||
Australia & New Zealand Banking Group Ltd. (Australia)†(a) | 2.781% (3 Mo. LIBOR + .46% | )# | 5/17/2021 | 11,750 | 11,756,961 | |||||||
Australia & New Zealand Banking Group Ltd. (Australia)(a) | 2.931% (3 Mo. LIBOR + .66% | )# | 9/23/2019 | 2,056 | 2,069,440 | |||||||
Bank of America Corp. | 3.178% (3 Mo. LIBOR + .87% | )# | 4/1/2019 | 13,209 | 13,299,479 | |||||||
Bank of America Corp. | 3.388% (3 Mo. LIBOR + 1.04% | )# | 1/15/2019 | 63,446 | 63,861,758 | |||||||
Bank of Montreal (Canada)(a) | 2.321% (3 Mo. LIBOR + .25% | )# | 9/11/2019 | 22,000 | 22,037,788 | |||||||
Bank of Montreal (Canada)(a) | 2.565% (3 Mo. LIBOR + .44% | )# | 6/15/2020 | 3,375 | 3,388,276 | |||||||
Bank of Montreal (Canada)(a) | 2.671% (3 Mo. LIBOR + .60% | )# | 12/12/2019 | 8,626 | 8,676,670 | |||||||
Bank of Montreal (Canada)(a) | 2.968% (3 Mo. LIBOR + .61% | )# | 7/31/2018 | 7,243 | 7,252,389 | |||||||
Bank of Montreal (Canada)(a) | 3.005% (3 Mo. LIBOR + .65% | )# | 7/18/2019 | 35 | 35,201 | |||||||
Bank of Nova Scotia (The) (Canada)(a) | 2.738% (3 Mo. LIBOR + .39% | )# | 7/14/2020 | 5,000 | 5,018,473 | |||||||
BankAmerica Capital III | 2.918% (3 Mo. LIBOR + .57% | )# | 1/15/2027 | 11,965 | 11,967,991 | |||||||
Barclays Bank plc (United Kingdom)(a) | 3.129% (3 Mo. LIBOR + .77% Floor 1.25% | )# | 10/28/2019 | 10,000 | 10,027,054 | |||||||
Branch Banking & Trust Co. | 2.52% (3 Mo. LIBOR + .22% | )# | 6/1/2020 | 10,000 | 10,008,611 | |||||||
Canadian Imperial Bank of Commerce | 2.612% (3 Mo. LIBOR + .41% | )# | 9/20/2020 | 29,830 | 29,865,844 |
See Notes to Financial Statements. | 363 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Canadian Imperial Bank of Commerce (Canada)(a) | 2.545% (3 Mo. LIBOR + .52% | )# | 9/6/2019 | $ | 4,067 | $ | 4,085,500 | |||||
Citibank NA | 2.438% (3 Mo. LIBOR + .26% | )# | 9/18/2019 | 15,000 | 15,020,970 | |||||||
Citibank NA | 2.542% (3 Mo. LIBOR + .34% | )# | 3/20/2019 | 11,000 | 11,023,077 | |||||||
Citibank NA | 2.599% (3 Mo. LIBOR + .23% | )# | 11/9/2018 | 4,000 | 4,004,186 | |||||||
Citibank NA | 2.659% (3 Mo. LIBOR + .30% | )# | 10/20/2020 | 10,000 | 10,007,859 | |||||||
Citibank NA | 2.678% (3 Mo. LIBOR + .32% | )# | 5/1/2020 | 25,000 | 25,024,176 | |||||||
Citigroup, Inc. | 2.895% (3 Mo. LIBOR + .86% | )# | 12/7/2018 | 6,286 | 6,309,562 | |||||||
Citigroup, Inc. | 2.965% (3 Mo. LIBOR + .93% | )# | 6/7/2019 | 24,900 | 25,075,452 | |||||||
Citigroup, Inc. | 3.127% (3 Mo. LIBOR + .79% | )# | 1/10/2020 | 4,325 | 4,352,219 | |||||||
Citigroup, Inc. | 3.239% (3 Mo. LIBOR + .88% | )# | 7/30/2018 | 4,000 | 4,005,815 | |||||||
Citizens Bank NA/Providence RI | 2.861% (3 Mo. LIBOR + .54% | )# | 3/2/2020 | 3,000 | 3,010,743 | |||||||
Citizens Bank NA/Providence RI | 2.889% (3 Mo. LIBOR + .57% | )# | 5/26/2020 | 2,000 | 2,007,172 | |||||||
Commonwealth Bank of Australia (Australia)†(a) | 2.521% (3 Mo. LIBOR + .45% | )# | 3/10/2020 | 9,042 | 9,075,368 | |||||||
Commonwealth Bank of Australia (Australia)†(a) | 2.578% (3 Mo. LIBOR + .40% | )# | 9/18/2020 | 7,000 | 7,019,164 | |||||||
Commonwealth Bank of Australia (Australia)†(a) | 3.153% (3 Mo. LIBOR + .79% | )# | 11/2/2018 | 320 | 320,972 | |||||||
Commonwealth Bank of Australia (Australia)†(a) | 3.185% (3 Mo. LIBOR + 1.06% | )# | 3/15/2019 | 410 | 413,201 | |||||||
Commonwealth Bank of Australia (Australia)†(a) | 4.65% | 6/15/2018 | 5,000 | 5,003,536 | ||||||||
Credit Agricole SA (United Kingdom)†(a) | 3.148% (3 Mo. LIBOR + .80% | )# | 4/15/2019 | 11,230 | 11,297,390 | |||||||
Danske Bank A/S (Denmark)†(a) | 2.605% (3 Mo. LIBOR + .58% | )# | 9/6/2019 | 5,000 | 5,021,560 | |||||||
Danske Bank A/S (Denmark)†(a) | 2.831% (3 Mo. LIBOR + .51% | )# | 3/2/2020 | 3,000 | 3,012,714 | |||||||
Fifth Third Bank | 2.882% (3 Mo. LIBOR + .59% | )# | 9/27/2019 | 2,257 | 2,266,698 | |||||||
Fifth Third Bank | 3.241% (3 Mo. LIBOR + .91% | )# | 8/20/2018 | 585 | 585,604 | |||||||
Goldman Sachs Group, Inc. (The) | 2.889% (3 Mo. LIBOR + .80% | )# | 12/13/2019 | 13,490 | 13,597,392 | |||||||
Goldman Sachs Group, Inc. (The) | 3.022% (3 Mo. LIBOR + .73% | )# | 12/27/2020 | 19,831 | 19,934,182 | |||||||
Goldman Sachs Group, Inc. (The) | 3.382% (3 Mo. LIBOR + 1.02% | )# | 10/23/2019 | 20,500 | 20,733,525 | |||||||
Goldman Sachs Group, Inc. (The) | 3.40% (3 Mo. LIBOR + 1.04% | )# | 4/25/2019 | 24,346 | 24,548,044 |
364 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Goldman Sachs Group, Inc. (The) | 3.443% (3 Mo. LIBOR + 1.10% | )# | 11/15/2018 | $ | 68,322 | $ | 68,658,695 | |||||
Goldman Sachs Group, Inc. (The) | 3.522% (3 Mo. LIBOR + 1.16% | )# | 4/23/2020 | 4,861 | 4,934,511 | |||||||
HSBC Holdings plc (United Kingdom)(a) | 2.926% (3 Mo. LIBOR + .60% | )# | 5/18/2021 | 29,486 | 29,528,606 | |||||||
HSBC USA, Inc. | 2.965% (3 Mo. LIBOR + .61% | )# | 11/13/2019 | 1,200 | 1,206,504 | |||||||
HSBC USA, Inc. | 3.166% (3 Mo. LIBOR + .88% | )# | 9/24/2018 | 4,480 | 4,489,168 | |||||||
Huntington National Bank (The) | 2.581% (3 Mo. LIBOR + .51% | )# | 3/10/2020 | 30,421 | 30,500,131 | |||||||
ING Bank NV (Netherlands)†(a) | 2.953% (3 Mo. LIBOR + .61% | )# | 8/15/2019 | 8,000 | 8,031,987 | |||||||
ING Bank NV (Netherlands)†(a) | 2.998% (3 Mo. LIBOR + .69% | )# | 10/1/2019 | 1,970 | 1,981,163 | |||||||
ING Bank NV (Netherlands)†(a) | 3.101% (3 Mo. LIBOR + .78% | )# | 8/17/2018 | 3,100 | 3,105,440 | |||||||
ING Bank NV (Netherlands)†(a) | 3.378% (3 Mo. LIBOR + 1.13% | )# | 3/22/2019 | 44,400 | 44,744,679 | |||||||
Intesa Sanpaolo SpA | 2.983% (3 Mo. LIBOR + .63% | )# | 7/17/2019 | 32,850 | 32,873,211 | |||||||
JPMorgan Chase & Co. | 2.989% (3 Mo. LIBOR + .63% | )# | 1/28/2019 | 85,525 | 85,863,103 | |||||||
JPMorgan Chase & Co. | 3.088% (3 Mo. LIBOR + .84% | )# | 3/22/2019 | 1,113 | 1,119,208 | |||||||
JPMorgan Chase Bank NA | 2.605% (3 Mo. LIBOR + .25% | )# | 2/13/2020 | 15,000 | 15,010,135 | |||||||
JPMorgan Chase Bank NA | 2.702% (3 Mo. LIBOR + .34% | )# | 4/26/2021 | 24,750 | 24,774,332 | |||||||
JPMorgan Chase Bank NA | 2.861% (3 Mo. LIBOR + .59% | )# | 9/23/2019 | 2,000 | 2,012,681 | |||||||
KeyBank NA | 2.35% | 3/8/2019 | 1,920 | 1,916,016 | ||||||||
Lloyds Bank plc (United Kingdom)(a) | 2.853% (3 Mo. LIBOR + .49% | )# | 5/7/2021 | 19,757 | 19,758,386 | |||||||
Macquarie Bank Ltd. (Australia)†(a) | 2.475% (3 Mo. LIBOR + .35% | )# | 3/15/2019 | 15,000 | 15,021,198 | |||||||
Macquarie Bank Ltd. (Australia)†(a) | 2.662% (3 Mo. LIBOR + .35% | )# | 4/4/2019 | 22,900 | 22,944,018 | |||||||
Macquarie Bank Ltd. (Australia)†(a) | 3.528% (3 Mo. LIBOR + 1.18% | )# | 1/15/2019 | 11,205 | 11,269,837 | |||||||
Manufacturers & Traders Trust Co. | 3.183% (1 Mo. LIBOR + 1.22% | )# | 12/28/2020 | 24,750 | 24,763,242 | |||||||
Morgan Stanley | 2.903% (3 Mo. LIBOR + .55% | )# | 2/10/2021 | 13,840 | 13,880,785 | |||||||
Morgan Stanley | 3.155% (3 Mo. LIBOR + .80% | )# | 2/14/2020 | 76,812 | 77,093,347 | |||||||
Morgan Stanley | 3.209% (3 Mo. LIBOR + .85% | )# | 1/24/2019 | 995 | 999,506 | |||||||
MUFG Bank Ltd. (Japan)†(a) | 3.127% (3 Mo. LIBOR + 1.02% | )# | 9/14/2018 | 600 | 601,664 | |||||||
National Australia Bank Ltd. (Australia)†(a) | 2.689% (3 Mo. LIBOR + .35% | )# | 1/12/2021 | 14,750 | 14,755,557 | |||||||
`National Australia Bank Ltd. (Australia)†(a) | 2.747% (3 Mo. LIBOR + .69% | )# | 12/9/2019 | 8,000 | 8,061,152 |
See Notes to Financial Statements. | 365 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Banks: Regional (continued) | ||||||||||||
National Australia Bank Ltd. (Australia)†(a) | 2.839% (3 Mo. LIBOR + .51% | )# | 5/22/2020 | $ | 4,000 | $ | 4,018,598 | |||||
National Australia Bank Ltd. (Australia)†(a) | 2.928% (3 Mo. LIBOR + .59% | )# | 1/10/2020 | 3,610 | 3,633,303 | |||||||
Nordea Bank AB (Sweden)†(a) | 2.789% (3 Mo. LIBOR + .47% | )# | 5/29/2020 | 10,898 | 10,937,283 | |||||||
Nordea Bank AB (Sweden)†(a) | 2.922% (3 Mo. LIBOR + .62% | )# | 9/30/2019 | 6,810 | 6,851,018 | |||||||
Royal Bank of Canada (Canada)(a) | 3.058% (3 Mo. LIBOR + .71% | )# | 4/15/2019 | 1,915 | 1,926,174 | |||||||
Santander UK plc (United Kingdom)(a) | 2.654% (3 Mo. LIBOR + .30% | )# | 11/3/2020 | 10,000 | 9,980,368 | |||||||
Santander UK plc (United Kingdom)(a)(b) | 2.92% (3 Mo. LIBOR + .62% | )# | 6/1/2021 | 14,250 | 14,233,298 | |||||||
Santander UK plc (United Kingdom)(a) | 3.18% (3 Mo. LIBOR + .85% | )# | 8/24/2018 | 16,027 | 16,052,944 | |||||||
Santander UK plc (United Kingdom)(a) | 3.587% (3 Mo. LIBOR + 1.48% | )# | 3/14/2019 | 22,730 | 22,965,230 | |||||||
Skandinaviska Enskilda Banken AB (Sweden)†(a) | 2.659% (3 Mo. LIBOR + .57% | )# | 9/13/2019 | 14,840 | 14,916,462 | |||||||
Societe Generale SA (France)(a) | 3.388% (3 Mo. LIBOR + 1.08% | )# | 10/1/2018 | 300 | 300,934 | |||||||
Standard Chartered plc (United Kingdom)(a) | 3.461% (3 Mo. LIBOR + 1.13% | )# | 8/19/2019 | 7,850 | 7,929,065 | |||||||
Standard Chartered plc (United Kingdom)†(a) | 3.461% (3 Mo. LIBOR + 1.13% | )# | 8/19/2019 | 20,450 | 20,640,185 | |||||||
Sumitomo Mitsui Banking Corp. (Japan)(a) | 2.665% (3 Mo. LIBOR + .31% | )# | 10/18/2019 | 24,485 | 24,532,868 | |||||||
Sumitomo Mitsui Banking Corp. (Japan)(a) | 2.703% (3 Mo. LIBOR + .35% | )# | 1/17/2020 | 29,750 | 29,786,968 | |||||||
Sumitomo Mitsui Trust Bank Ltd. (Japan)†(a) | 2.618% (3 Mo. LIBOR + .44% | )# | 9/19/2019 | 9,000 | 9,025,343 | |||||||
Svenska Handelsbanken | 2.629% (3 Mo. LIBOR + .27% | )# | 10/21/2020 | 19,840 | 19,841,237 | |||||||
Toronto-Dominion Bank (The) (Canada)(a) | 2.902% (3 Mo. LIBOR + .54% | )# | 7/23/2018 | 2,917 | 2,919,779 | |||||||
UBS AG (United Kingdom)†(a) | 2.355% (3 Mo. LIBOR + .32% | )# | 12/7/2018 | 4,000 | 4,004,204 | |||||||
UBS AG (United Kingdom)†(a) | 2.639% (3 Mo. LIBOR + .32% | )# | 5/28/2019 | 102,510 | 102,653,821 | |||||||
UBS AG (United Kingdom)†(a) | 2.78% (3 Mo. LIBOR + .48% | )# | 12/1/2020 | 15,000 | 15,017,340 | |||||||
UBS AG/Stamford CT | 2.995% (3 Mo. LIBOR + .64% | )# | 8/14/2019 | 15,130 | 15,204,184 | |||||||
US Bancorp | 2.76% (3 Mo. LIBOR + .40% | )# | 4/25/2019 | 50 | 50,148 | |||||||
US Bank NA/Cincinnati OH | 2.613% (3 Mo. LIBOR + .29% | )# | 5/21/2021 | 24,000 | 23,985,516 | |||||||
Wells Fargo & Co. | 2.507% (3 Mo. LIBOR + .40% | )# | 9/14/2018 | 6,200 | 6,206,724 | |||||||
Wells Fargo & Co. | 3.039% (3 Mo. LIBOR + .68% | )# | 1/30/2020 | 61,410 | 61,866,890 | |||||||
Wells Fargo & Co. | 3.242% (3 Mo. LIBOR + .88% | )# | 7/22/2020 | 1,000 | 1,010,985 |
366 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Wells Fargo Bank NA | 2.578% (3 Mo. LIBOR + .23% | )# | 1/15/2020 | $ | 24,250 | $ | 24,272,500 | |||||
Wells Fargo Bank NA | 2.675% (3 Mo. LIBOR + .65% | )# | 12/6/2019 | 9,270 | 9,332,914 | |||||||
Wells Fargo Bank NA | 2.819% (3 Mo. LIBOR + .50% | )# | 11/28/2018 | 2,500 | 2,504,870 | |||||||
Wells Fargo Bank NA | 2.93% (3 Mo. LIBOR + .60% | )# | 5/24/2019 | 3,400 | 3,416,882 | |||||||
Westpac Banking Corp. (Australia)(a) | 2.623% (3 Mo. LIBOR + .28% | )# | 5/15/2020 | 14,789 | 14,799,783 | |||||||
Total | 1,624,464,189 | |||||||||||
Biotechnology Research & Production 0.77% | ||||||||||||
Amgen, Inc. | 2.929% (3 Mo. LIBOR + .60% | )# | 5/22/2019 | 45 | 45,216 | |||||||
Baxalta, Inc. | 3.028% (3 Mo. LIBOR + .78% | )# | 6/22/2018 | 11,163 | 11,163,046 | |||||||
Gilead Sciences, Inc. | 2.372% (3 Mo. LIBOR + .17% | )# | 9/20/2018 | 15,000 | 15,009,864 | |||||||
Gilead Sciences, Inc. | 2.422% (3 Mo. LIBOR + .22% | )# | 3/20/2019 | 14,500 | 14,517,601 | |||||||
Total | 40,735,727 | |||||||||||
Building Materials 1.04% | ||||||||||||
Martin Marietta Materials, Inc. | 2.702% (3 Mo. LIBOR + .50% | )# | 12/20/2019 | 16,622 | 16,669,586 | |||||||
Martin Marietta Materials, Inc. | 2.979% (3 Mo. LIBOR + .65% | )# | 5/22/2020 | 12,252 | 12,307,715 | |||||||
Vulcan Materials Co. | 2.725% (3 Mo. LIBOR + .60% | )# | 6/15/2020 | 6,257 | 6,260,094 | |||||||
Vulcan Materials Co. | 2.95% (3 Mo. LIBOR + .65% | )# | 3/1/2021 | 19,904 | 19,938,135 | |||||||
Total | 55,175,530 | |||||||||||
Business Services 0.18% | ||||||||||||
Equifax, Inc. | 3.20% (3 Mo. LIBOR + .87% | )# | 8/15/2021 | 9,500 | 9,512,703 | |||||||
ERAC USA Finance LLC† | 2.80% | 11/1/2018 | 100 | 99,969 | ||||||||
Total | 9,612,672 | |||||||||||
Computer Hardware 0.01% | ||||||||||||
Hewlett Packard Enterprise Co. | 4.251% (3 Mo. LIBOR + 1.93% | )# | 10/5/2018 | 561 | 564,246 | |||||||
Drugs 0.47% | ||||||||||||
AstraZeneca plc (United Kingdom)(a) | 2.86% (3 Mo. LIBOR + .53% | )# | 11/16/2018 | 50 | 50,115 | |||||||
CVS Health Corp. | 2.687% (3 Mo. LIBOR + .63% | )# | 3/9/2020 | 24,866 | 24,984,603 | |||||||
Total | 25,034,718 | |||||||||||
Electric: Power 0.63% | ||||||||||||
Atlantic City Electric Co. | 7.75% | 11/15/2018 | 1,000 | 1,021,989 | ||||||||
Kansas Gas & Electric Co.† | 6.70% | 6/15/2019 | 125 | 129,798 |
See Notes to Financial Statements. | 367 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Electric: Power (continued) | ||||||||||||
Origin Energy Finance Ltd. (Australia)†(a) | 3.50% | 10/9/2018 | $ | 5,300 | $ | 5,304,274 | ||||||
PPL Capital Funding, Inc. | 1.90% | 6/1/2018 | 3,950 | 3,950,000 | ||||||||
Sempra Energy | 2.598% (3 Mo. LIBOR + .25% | )# | 7/15/2019 | 14,936 | 14,944,064 | |||||||
Sempra Energy | 2.848% (3 Mo. LIBOR + .50% | )# | 1/15/2021 | 6,975 | 6,984,365 | |||||||
South Carolina Electric & Gas Co. | 5.25% | 11/1/2018 | 440 | 444,377 | ||||||||
Southern Co. (The) | 1.55% | 7/1/2018 | 250 | 249,852 | ||||||||
Texas-New Mexico Power Co.† | 9.50% | 4/1/2019 | 386 | 406,631 | ||||||||
Total | 33,435,350 | |||||||||||
Electrical Equipment 0.04% | ||||||||||||
QUALCOMM, Inc. | 2.691% (3 Mo. LIBOR + .36% | )# | 5/20/2019 | 2,000 | 2,017,636 | |||||||
Financial Services 0.55% | ||||||||||||
AIG Global Funding† | 2.788% (3 Mo. LIBOR + .48% | )# | 7/2/2020 | 12,000 | 12,023,970 | |||||||
American Express Credit Corp. | 2.684% (3 Mo. LIBOR + .33% | )# | 5/3/2019 | 7,897 | 7,915,138 | |||||||
American Express Credit Corp. | 2.833% (3 Mo. LIBOR + .49% | )# | 8/15/2019 | 4,242 | 4,262,976 | |||||||
Federation des Caisses Desjardins du Quebec (Canada)†(a) | 2.689% (3 Mo. LIBOR + .33% | )# | 10/30/2020 | 5,000 | 5,006,576 | |||||||
Total | 29,208,660 | |||||||||||
Food 0.60% | ||||||||||||
Campbell Soup Co. | 2.645% (3 Mo. LIBOR + .50% | )# | 3/16/2020 | 14,912 | 14,881,578 | |||||||
Conagra Brands, Inc. | 2.831% (3 Mo. LIBOR + .50% | )# | 10/9/2020 | 10,000 | 9,990,630 | |||||||
Tyson Foods, Inc. | 2.768% (3 Mo. LIBOR + .45% | )# | 5/30/2019 | 2,000 | 2,004,671 | |||||||
Tyson Foods, Inc. | 2.781% (3 Mo. LIBOR +.45% | )# | 8/21/2020 | 5,000 | 5,002,601 | |||||||
Total | 31,879,480 | |||||||||||
Health Care Products 0.58% | ||||||||||||
Becton Dickinson & Co. | 2.944% (3 Mo. LIBOR + .88% | )# | 12/29/2020 | 10,607 | 10,634,760 | |||||||
Zimmer Biomet Holdings, Inc. | 2.928% (3 Mo. LIBOR +.75% | )# | 3/19/2021 | 19,894 | 19,944,410 | |||||||
Total | 30,579,170 | |||||||||||
Health Care Services 0.01% | ||||||||||||
Fresenius Medical Care US Finance, Inc.† | 6.50% | 9/15/2018 | 500 | 504,521 | ||||||||
Insurance 0.32% | ||||||||||||
Assurant, Inc. | 3.542% (3 Mo. LIBOR + 1.25% | )# | 3/26/2021 | 9,942 | 9,970,662 | |||||||
Metropolitan Life Global Funding I† | 2.398% (3 Mo. LIBOR + .22% | )# | 9/19/2019 | 7,000 | 7,014,992 | |||||||
Prudential Financial, Inc. | 3.123% (3 Mo. LIBOR + .78% | )# | 8/15/2018 | 180 | 180,300 | |||||||
Total | 17,165,954 |
368 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Machinery: Agricultural 0.00% | ||||||||||||
BAT International Finance plc (United Kingdom)†(a) | 1.85% | 6/15/2018 | $ | 25 | $ | 24,994 | ||||||
Machinery: Industrial/Specialty 0.19% | ||||||||||||
John Deere Capital Corp. | 2.441% (3 Mo. LIBOR + .12% | )# | 7/5/2019 | 10,000 | 10,009,414 | |||||||
Machinery: Oil Well Equipment & Services 0.04% | ||||||||||||
Caterpillar Financial Services Corp. | 2.205% (3 Mo. LIBOR + .18% | )# | 12/6/2018 | 2,000 | 2,001,072 | |||||||
Manufacturing 0.56% | ||||||||||||
General Electric Co. | 2.858% (3 Mo. LIBOR + .51% | )# | 1/14/2019 | 6,069 | 6,083,438 | |||||||
General Electric Co. | 2.951% (3 Mo. LIBOR + .62% | )# | 1/9/2020 | 23,733 | 23,845,178 | |||||||
Total | 29,928,616 | |||||||||||
Natural Gas 0.75% | ||||||||||||
WGL Holdings, Inc. | 2.657% (3 Mo. LIBOR + .55% | )# | 3/12/2020 | 19,882 | 19,899,524 | |||||||
WGL Holdings, Inc. | 2.719% (3 Mo. LIBOR + .40% | )# | 11/29/2019 | 20,000 | 20,008,678 | |||||||
Total | 39,908,202 | |||||||||||
Oil 0.40% | ||||||||||||
Phillips 66 | 2.919% (3 Mo. LIBOR + .60% | )# | 2/26/2021 | 6,641 | 6,654,852 | |||||||
Phillips 66† | 2.998% (3 Mo. LIBOR + .65% | )# | 4/15/2019 | 14,694 | 14,702,345 | |||||||
Total | 21,357,197 | |||||||||||
Oil: Crude Producers 0.01% | ||||||||||||
Transcontinental Gas Pipe Line Co. LLC | 6.05% | 6/15/2018 | 10 | 10,011 | ||||||||
Western Gas Partners LP | 2.60% | 8/15/2018 | 405 | 404,789 | ||||||||
Total | 414,800 | |||||||||||
Retail 0.38% | ||||||||||||
Alimentation Couche-Tard, Inc. (Canada)†(a) | 2.589% (3 Mo. LIBOR + .50% | )# | 12/13/2019 | 9,957 | 9,970,094 | |||||||
Dollar Tree, Inc. | 3.055% (3 Mo. LIBOR + .70% | )# | 4/17/2020 | 9,925 | 9,957,463 | |||||||
Total | 19,927,557 | |||||||||||
Total Corporate Bonds (cost $2,287,933,452) | 2,289,976,813 | |||||||||||
U.S. TREASURY OBLIGATION 0.01% | ||||||||||||
U.S. Treasury Note (cost $596,122) | 1.375% | 6/30/2018 | 596 | 595,826 | ||||||||
Total Long-Term Investments (cost $3,456,433,305) | 3,455,741,561 |
See Notes to Financial Statements. | 369 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
SHORT-TERM INVESTMENTS 34.63% | ||||||||||||
ASSET-BACKED SECURITY 0.15% | ||||||||||||
Other | ||||||||||||
DLL LLC 2018-1 A1† (cost $8,097,388) | 2.45% | 5/17/2019 | $ | 8,097 | $ | 8,098,046 | ||||||
COMMERCIAL PAPER 29.22% | ||||||||||||
Aerospace/Defense 0.76% | ||||||||||||
Harris Corp. | 2.414% | 6/5/2018 | 15,500 | 15,495,901 | ||||||||
Harris Corp. | 2.801% | 6/25/2018 | 24,650 | 24,604,809 | ||||||||
Total | 40,100,710 | |||||||||||
Beverages 0.68% | ||||||||||||
Constellation Brands, Inc. | 2.418% | 7/3/2018 | 36,000 | 35,923,840 | ||||||||
Building Materials 0.43% | ||||||||||||
CRH America Finance, Inc. | 2.527% | 8/8/2018 | 4,000 | 3,980,818 | ||||||||
CRH America Finance, Inc. | 2.599% | 7/25/2018 | 19,000 | 18,927,325 | ||||||||
Total | 22,908,143 | |||||||||||
Business Services 0.43% | ||||||||||||
Equifax, Inc. | 2.747% | 6/18/2018 | 22,750 | 22,720,994 | ||||||||
Chemicals 1.51% | ||||||||||||
Potash Corp. of Saskatchewan, Inc. | 2.70% | 6/12/2018 | 10,000 | 9,991,903 | ||||||||
Sherwin Williams Co. | 2.347% | 7/2/2018 | 50,000 | 49,900,542 | ||||||||
Sherwin Williams Co. | 2.491% | 6/18/2018 | 20,000 | 19,976,861 | ||||||||
Total | 79,869,306 | |||||||||||
Computer Hardware 0.64% | ||||||||||||
HP, Inc. | 2.754% | 6/6/2018 | 29,000 | 28,989,125 | ||||||||
HP, Inc. | 2.784% | 6/7/2018 | 4,750 | 4,747,839 | ||||||||
Total | 33,736,964 | |||||||||||
Containers 0.84% | ||||||||||||
Bemis Co., Inc. | 2.465% | 6/7/2018 | 14,000 | 13,994,330 | ||||||||
Bemis Co., Inc. | 2.527% | 6/1/2018 | 27,750 | 27,750,000 | ||||||||
Bemis Co., Inc. | 2.537% | 6/6/2018 | 3,000 | 2,998,958 | ||||||||
Total | 44,743,288 |
370 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Electric: Power 4.76% | ||||||||||||
American Electric Power Co., Inc. | 2.336% | 6/21/2018 | $ | 47,500 | $ | 47,439,306 | ||||||
American Electric Power Co., Inc. | 2.683% | 6/12/2018 | 29,000 | 28,976,695 | ||||||||
Entergy Corp. | 2.338% | 7/6/2018 | 24,250 | 24,195,774 | ||||||||
Entergy Corp. | 2.602% | 8/17/2018 | 19,600 | 19,490,563 | ||||||||
Entergy Corp. | 2.612% | 8/9/2018 | 21,600 | 21,493,656 | ||||||||
Hawaiian Electric Co. | 2.617% | 6/6/2018 | 28,500 | 28,489,788 | ||||||||
Hawaiian Electric Co. | 2.628% | 6/5/2018 | 20,000 | 19,994,244 | ||||||||
South Carolina Fuel | 2.795% | 6/1/2018 | 38,150 | 38,150,000 | ||||||||
South Carolina Fuel | 2.795% | 6/4/2018 | 20,000 | 19,995,417 | ||||||||
South Carolina Fuel | 2.846% | 6/20/2018 | 4,000 | 3,994,089 | ||||||||
Total | 252,219,532 | |||||||||||
Electrical: Household 0.25% | ||||||||||||
Molex Electronic Technologies LLC | 2.765% | 6/11/2018 | 13,000 | 12,990,214 | ||||||||
Electronics 1.31% | ||||||||||||
Arrow Electronics, Inc. | 2.589% | 6/19/2018 | 16,000 | 15,979,600 | ||||||||
Arrow Electronics, Inc. | 2.589% | 6/20/2018 | 15,000 | 14,979,813 | ||||||||
Arrow Electronics, Inc. | 2.642% | 6/11/2018 | 30,000 | 29,978,333 | ||||||||
Arrow Electronics, Inc. | 2.642% | 6/14/2018 | 8,500 | 8,492,019 | ||||||||
Total | 69,429,765 | |||||||||||
Financial Services 0.73% | ||||||||||||
Syngenta Wilmington, Inc. | 2.948% | 6/25/2018 | 38,822 | 38,746,944 | ||||||||
Food 0.50% | ||||||||||||
Campbell Soup Co. | 2.584% | 7/10/2018 | 2,000 | 1,994,497 | ||||||||
Smithfield Foods, Inc. | 2.642% | 6/14/2018 | 24,545 | 24,521,955 | ||||||||
Total | 26,516,452 | |||||||||||
Health Care Products 1.59% | ||||||||||||
Boston Scientific Corp. | 2.437% | 6/20/2018 | 1,800 | 1,797,720 | ||||||||
Boston Scientific Corp. | 2.468% | 6/19/2018 | 22,500 | 22,472,663 | ||||||||
Boston Scientific Corp. | 2.489% | 6/26/2018 | 15,000 | 14,974,479 | ||||||||
Boston Scientific Corp. | 2.489% | 6/12/2018 | 21,000 | 20,984,279 | ||||||||
Boston Scientific Corp. | 2.489% | 6/14/2018 | 10,123 | 10,114,044 | ||||||||
Boston Scientific Corp. | 2.489% | 6/14/2018 | 14,150 | 14,137,481 | ||||||||
Total | 84,480,666 |
See Notes to Financial Statements. | 371 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Household Equipment/Products 0.94% | ||||||||||||
Newell Rubbermaid, Inc. | 2.59% | 6/14/2018 | $ | 11,104 | $ | 11,093,775 | ||||||
Newell Rubbermaid, Inc. | 2.591% | 6/11/2018 | 20,000 | 19,985,834 | ||||||||
Newell Rubbermaid, Inc. | 2.591% | 6/15/2018 | 8,900 | 8,891,174 | ||||||||
Newell Rubbermaid, Inc. | 2.591% | 6/11/2018 | 9,600 | 9,593,200 | ||||||||
Total | 49,563,983 | |||||||||||
Insurance 0.54% | ||||||||||||
AON Corp. | 2.337% | 6/22/2018 | 28,500 | 28,461,762 | ||||||||
Machinery: Agricultural 0.37% | ||||||||||||
BAT International Finance plc | 2.438% | 6/4/2018 | 19,750 | 19,746,050 | ||||||||
Machinery: Industrial/Specialty 1.01% | ||||||||||||
CNH Industrial Capital LLC | 2.76% | 6/25/2018 | 5,000 | 4,990,967 | ||||||||
CNH Industrial Capital LLC | 3.024% | 7/16/2018 | 48,700 | 48,519,810 | ||||||||
Total | 53,510,777 | |||||||||||
Media 2.89% | ||||||||||||
Discovery Communications LLC | 2.539% | 6/22/2018 | 23,650 | 23,615,511 | ||||||||
Discovery Communications LLC | 2.591% | 6/29/2018 | 48,000 | 47,904,800 | ||||||||
Thomson Reuters Corp. | 2.491% | 6/18/2018 | 38,100 | 38,055,921 | ||||||||
Thomson Reuters Corp. | 2.555% | 7/9/2018 | 34,700 | 34,608,064 | ||||||||
Time Warner, Inc. | 2.652% | 7/23/2018 | 5,650 | 5,628,781 | ||||||||
Viacom, Inc. | 2.693% | 6/15/2018 | 3,500 | 3,496,393 | ||||||||
Total | 153,309,470 | |||||||||||
Metals & Minerals: Miscellaneous 1.46% | ||||||||||||
Glencore Funding LLC | 2.388% | 6/22/2018 | 44,000 | 43,939,683 | ||||||||
Glencore Funding LLC | 2.388% | 6/26/2018 | 33,750 | 33,694,922 | ||||||||
Total | 77,634,605 | |||||||||||
Natural Gas 1.10% | ||||||||||||
ONEOK, Inc. | 2.485% | 6/5/2018 | 29,500 | 29,491,969 | ||||||||
ONEOK, Inc. | 2.485% | 6/1/2018 | 7,000 | 7,000,000 | ||||||||
Sempra Energy | 2.493% | 6/7/2018 | 22,000 | 21,991,017 | ||||||||
Total | 58,482,986 | |||||||||||
Oil 1.73% | ||||||||||||
Canadian Natural Resources Ltd. | 2.448% | 6/25/2018 | 39,000 | 38,937,340 | ||||||||
Canadian Natural Resources Ltd. | 2.489% | 6/22/2018 | 25,000 | 24,964,271 | ||||||||
Suncor Energy, Inc. | 2.601% | 8/9/2018 | 9,700 | 9,652,753 | ||||||||
Suncor Energy, Inc. | 2.643% | 8/8/2018 | 18,250 | 18,162,482 | ||||||||
Total | 91,716,846 |
372 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Oil: Crude Producers 4.32% | ||||||||||||
Enbridge Energy Partners LP | 2.887% | 6/7/2018 | $ | 10,000 | $ | 9,995,267 | ||||||
Enbridge Energy Partners LP | 3.026% | 6/11/2018 | 40,000 | 39,967,000 | ||||||||
Enbridge Energy Partners LP | 3.037% | 6/22/2018 | 24,250 | 24,207,845 | ||||||||
Energy Transfer Partners LP | 2.69% | 6/1/2018 | 15,000 | 15,000,000 | ||||||||
Energy Transfer Partners LP | 2.69% | 6/1/2018 | 49,700 | 49,700,000 | ||||||||
Kinder Morgan, Inc. | 2.485% | 6/1/2018 | 35,000 | 35,000,000 | ||||||||
Plains All American Pipeline LP | 2.84% | 6/1/2018 | 12,000 | 12,000,000 | ||||||||
Plains All American Pipeline LP | 2.881% | 6/8/2018 | 38,667 | 38,645,647 | ||||||||
Spectra Energy Partners LP | 2.489% | 6/1/2018 | 4,500 | 4,500,000 | ||||||||
Total | 229,015,759 | |||||||||||
Real Estate 0.43% | ||||||||||||
UDR, Inc. | 2.389% | 6/18/2018 | 23,000 | 22,974,476 | ||||||||
Total Commercial Paper (cost $1,548,804,943) | 1,548,803,532 | |||||||||||
CORPORATE BONDS 3.35% | ||||||||||||
Automotive 0.05% | ||||||||||||
General Motors Financial Co., Inc. | 6.75% | 6/1/2018 | 2,815 | 2,815,000 | ||||||||
Banks: Regional 1.43% | ||||||||||||
Citigroup, Inc. | 3.101% (3 Mo. LIBOR + .77% | )# | 4/8/2019 | 14,900 | 14,963,308 | |||||||
HSBC USA, Inc. | 3.133% (3 Mo. LIBOR + .77% | )# | 8/7/2018 | 2,200 | 2,203,285 | |||||||
Morgan Stanley | 3.733% (3 Mo. LIBOR + 1.38% | )# | 2/1/2019 | 14,000 | 14,113,475 | |||||||
Swedbank AB (Sweden)(a) | 3.049% (3 Mo. LIBOR + .68% | )# | 11/1/2018 | 20,000 | 20,030,480 | |||||||
Westpac Banking Corp. (Australia)(a) | 3.065% (3 Mo. LIBOR + .71% | )# | 5/13/2019 | 21,526 | 21,653,778 | |||||||
Westpac Banking Corp. (Australia)(a) | 2.963% (3 Mo. LIBOR + .61% | )# | 1/17/2019 | 2,986 | 2,996,093 | |||||||
Total | 75,960,419 | |||||||||||
Computer Hardware 0.00% | ||||||||||||
HP, Inc. | 3.288% (3 Mo. LIBOR + .94% | )# | 1/14/2019 | 75 | 75,187 | |||||||
Electric: Power 1.42% | ||||||||||||
Oncor Electric Delivery Co. LLC | 6.80% | 9/1/2018 | 1,500 | 1,515,536 | ||||||||
Pacific Gas & Electric Co. | 2.549% (3 Mo. LIBOR + .23% | )# | 11/28/2018 | 70,667 | 70,664,845 | |||||||
South Carolina Electric & Gas Co. | 6.50% | 11/1/2018 | 2,729 | 2,769,944 | ||||||||
Total | 74,950,325 |
See Notes to Financial Statements. | 373 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUND May 31, 2018
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Financial Services 0.06% | ||||||||||||
International Lease Finance Corp. | 7.125% | 9/1/2018 | $ | 781 | $ | 788,845 | ||||||
National Rural Utilities Cooperative Finance Corp. | 10.375% | 11/1/2018 | 2,190 | 2,258,673 | ||||||||
Total | 3,047,518 | |||||||||||
Oil: Crude Producers 0.13% | ||||||||||||
Buckeye Partners LP | 2.65% | 11/15/2018 | 2,000 | 1,997,728 | ||||||||
Columbia Pipeline Group, Inc. | 2.45% | 6/1/2018 | 4,720 | 4,720,000 | ||||||||
Total | 6,717,728 | |||||||||||
Steel 0.07% | ||||||||||||
Nucor Corp. | 5.85% | 6/1/2018 | 3,707 | 3,707,000 | ||||||||
Technology 0.19% | ||||||||||||
Expedia Group, Inc. | 7.456% | 8/15/2018 | 9,957 | 10,048,321 | ||||||||
Total Corporate Bonds (cost $177,292,313) | 177,321,498 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITY 0.10% | ||||||||||||
Holmes Master Issuer plc 2018-1A A1† (cost $5,500,000) | 2.289% (1 Mo. LIBOR + .37% | )# | 1/15/2019 | 5,500 | 5,508,253 | |||||||
U.S. TREASURY OBLIGATIONS 1.72% | ||||||||||||
U.S. Treasury Bill | Zero Coupon | 6/28/2018 | 47,727 | 47,665,342 | ||||||||
U.S. Treasury Bill | Zero Coupon | 11/8/2018 | 43,721 | 43,335,770 | ||||||||
Total U.S. Treasury Obligations (cost $90,998,919) | 91,001,112 | |||||||||||
REPURCHASE AGREEMENT 0.09% | ||||||||||||
Repurchase Agreement dated 5/31/2018, 0.90% due 6/1/2018 with Fixed Income Clearing Corp. collateralized by $4,905,000 of U.S. Treasury Note at 1.875% due 9/30/2022; value: $4,765,968; proceeds: $4,670,306 (cost $4,670,189) | 4,670 | 4,670,189 | ||||||||||
Total Short-Term Investments (cost $1,835,363,752) | 1,835,402,630 | |||||||||||
Total Investments in Securities 99.82% (cost $5,291,797,057) | 5,291,144,191 | |||||||||||
Cash and Other Assets in Excess of Liabilities 0.18% | 9,678,267 | |||||||||||
Net Assets 100.00% | $ | 5,300,822,458 |
LIBOR | London Interbank Offered Rate | |
† | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers. | |
# | Variable rate security. The interest rate represents the rate in effect at May 31, 2018. | |
(a) | Foreign security traded in U.S. dollars. | |
(b) | Securities purchased on a when-issued basis (See Note 2(i)). |
374 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(concluded)
ULTRA SHORT BOND FUND May 31, 2018
The following is a summary of the inputs used as of May 31, 2018 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2)(3) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | $ | – | $ | 1,165,168,922 | $ | – | $ | 1,165,168,922 | ||||||||
Corporate Bonds | – | 2,289,976,813 | – | 2,289,976,813 | ||||||||||||
U.S. Treasury Obligation | – | 595,826 | – | 595,826 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Asset-Backed Security | – | 8,098,046 | – | 8,098,046 | ||||||||||||
Commercial Paper | – | 1,548,803,532 | – | 1,548,803,532 | ||||||||||||
Corporate Bonds | – | 177,321,498 | – | 177,321,498 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Security | – | 5,508,253 | – | 5,508,253 | ||||||||||||
U.S. Treasury Obligations | – | 91,001,112 | – | 91,001,112 | ||||||||||||
Repurchase Agreement | – | 4,670,189 | – | 4,670,189 | ||||||||||||
Total | $ | – | $ | 5,291,144,191 | $ | – | $ | 5,291,144,191 |
(1) | Refer to Note 2(s) for a description of fair value measurements and the three-tier hierarchy of inputs. |
(2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. |
(3) | There were no Level 1/Level 2 transfers during the period ended May 31, 2018. |
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
Asset-Backed | ||||
Investment Type | Securities | |||
Balance as of December 1, 2017 | $ | 1,893,901 | ||
Accrued Discounts (Premiums) | – | |||
Realized Gain (Loss) | – | |||
Change in Unrealized Appreciation (Depreciation) | – | |||
Purchases | – | |||
Sales | – | |||
Transfers into Level 3 | – | |||
Transfers out of Level 3 | (1,893,901 | ) | ||
Balance as of May 31, 2018 | $ | – | ||
Change in unrealized appreciation/depreciation for period ended May 31, 2018, related to Level 3 investments held at May 31, 2018 | $ | – |
See Notes to Financial Statements. | 375 |
Statements of Assets and Liabilities (unaudited)
May 31, 2018
Convertible Fund | Core Fixed Income Fund | Core Plus Bond Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in securities, at cost | $ | 847,811,867 | $ | 1,448,168,501 | $ | 15,531,078 | ||||||
Investments in securities, at fair value | $ | 920,627,820 | $ | 1,441,103,405 | $ | 15,445,584 | ||||||
Cash | – | 49,468 | – | |||||||||
Deposits with brokers for futures collateral | – | 545,500 | 6,308 | |||||||||
Deposits with brokers for swaps collateral | – | – | 137,731 | |||||||||
Foreign cash, at value (cost $53,739, $0, $0, $0, $0, $20,695,635, $0 and $0, respectively) | 53,921 | – | – | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 7,014,305 | 43,852,865 | 186,647 | |||||||||
Interest and dividends | 3,300,699 | 5,895,911 | 108,276 | |||||||||
Capital shares sold | 1,946,255 | 5,296,130 | 43,970 | |||||||||
From advisor (See Note 3) | – | – | 18,455 | |||||||||
Variation margin for futures contracts | – | 15,377 | – | |||||||||
Variation margin for centrally cleared credit default swap agreements | – | – | 8,704 | |||||||||
Unrealized appreciation on forward foreign currency exchange contracts | 324,752 | – | – | |||||||||
Unrealized appreciation on CPI swaps | – | – | – | |||||||||
Unrealized appreciation on unfunded commitments | – | – | – | |||||||||
Credit default swap agreements receivable, at fair value (including upfront payments of $0, $0, $7,633, $0, $0, $307,445, $0 and $0, respectively) | – | – | 110 | |||||||||
Prepaid expenses and other assets | 121,391 | 135,962 | 79,306 | |||||||||
Total assets | 933,389,143 | 1,496,894,618 | 16,035,091 | |||||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Investment securities purchased | 26,306,350 | 272,630,482 | 2,204,177 | |||||||||
Capital shares reacquired | 498,796 | 2,300,926 | 1,498 | |||||||||
Management fee | 537,894 | 243,514 | 3,244 | |||||||||
12b-1 distribution plan | 37,093 | 154,377 | 2,675 | |||||||||
Trustees’ fees | 78,251 | 128,970 | 554 | |||||||||
Fund administration | 30,737 | 41,530 | 464 | |||||||||
Variation margin for futures contracts | – | – | 1,166 | |||||||||
Offering costs | – | – | – | |||||||||
To bank | – | – | 3 | |||||||||
Variation margin for centrally cleared credit default swap agreements | – | – | – | |||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 65,787 | – | – | |||||||||
Unrealized depreciation on CPI swaps | – | – | – | |||||||||
Credit default swap agreements payable, at fair value (including upfront payments of $0, $0, $27,757, $0, $0, $0, $413,756 and $0, respectively) | – | – | 14,886 | |||||||||
Reverse repurchase agreement payable, at fair value | – | – | – | |||||||||
Distributions payable | – | 2,251,412 | 44,012 | |||||||||
Accrued expenses | 71,436 | 431,169 | 53,504 | |||||||||
Total liabilities | 27,626,344 | 278,182,380 | 2,326,183 | |||||||||
NET ASSETS | $ | 905,762,799 | $ | 1,218,712,238 | $ | 13,708,908 |
376 | See Notes to Financial Statements. |
Corporate Bond Fund | Floating Rate Fund | High Yield Fund | Income Fund | Inflation Focused Fund | ||||||||||||||
$ | 7,333,905 | $ | 14,161,521,950 | $ | 6,671,117,717 | $ | 2,247,253,207 | $ | 1,271,014,839 | |||||||||
$ | 7,172,485 | $ | 14,179,308,536 | $ | 6,603,961,102 | $ | 2,211,101,722 | $ | 1,258,704,932 | |||||||||
– | – | 7,881,360 | 2,954,250 | 1,518,805 | ||||||||||||||
5,766 | 2,187,484 | 1,960,353 | 3,800,000 | 859,942 | ||||||||||||||
– | 3,090,179 | 13,167,406 | 60,000 | 107,241,850 | ||||||||||||||
– | – | 20,411,996 | – | – | ||||||||||||||
– | 278,935,253 | 104,480,357 | 3,500,001 | 2,287,118 | ||||||||||||||
88,792 | 71,827,612 | 89,241,617 | 25,474,597 | 8,959,424 | ||||||||||||||
19,260 | 124,870,796 | 37,022,665 | 16,357,908 | 8,843,582 | ||||||||||||||
20,284 | – | – | – | – | ||||||||||||||
– | – | – | – | – | ||||||||||||||
– | – | – | – | – | ||||||||||||||
– | 1,654,557 | 8,360,275 | 395,826 | 14,282 | ||||||||||||||
– | – | – | – | 16,775,269 | ||||||||||||||
– | 27,625 | 66,545 | – | – | ||||||||||||||
– | – | 310,156 | – | – | ||||||||||||||
102,543 | 464,604 | 228,900 | 143,232 | 139,920 | ||||||||||||||
7,409,130 | 14,662,366,646 | 6,887,092,732 | 2,263,787,536 | 1,405,345,124 | ||||||||||||||
163,625 | 873,128,778 | 119,688,488 | 26,625,767 | 11,589,346 | ||||||||||||||
1,178 | 32,671,999 | 21,166,472 | 6,736,440 | 2,087,866 | ||||||||||||||
2,412 | 5,160,864 | 2,998,179 | 712,323 | 320,288 | ||||||||||||||
439 | 3,021,449 | 925,687 | 460,632 | 190,405 | ||||||||||||||
93 | 753,190 | 431,188 | 514,528 | 79,149 | ||||||||||||||
241 | 454,969 | 229,663 | 74,981 | 42,705 | ||||||||||||||
1,395 | 152,234 | 475,345 | 27,414 | 14,345 | ||||||||||||||
17,198 | – | – | – | – | ||||||||||||||
– | 45 | – | – | – | ||||||||||||||
– | 39,647 | 2,869,147 | – | 11,596,698 | ||||||||||||||
– | 94,445 | 6,492 | 2,682 | – | ||||||||||||||
– | – | – | – | 102,025,734 | ||||||||||||||
– | – | – | 66,599 | – | ||||||||||||||
– | – | 1,310,348 | 231,237 | – | ||||||||||||||
19,340 | 55,759,974 | 26,653,313 | 6,276,888 | 3,783,652 | ||||||||||||||
46,507 | 1,182,857 | 734,401 | 352,531 | 288,861 | ||||||||||||||
252,428 | 972,420,451 | 177,488,723 | 42,082,022 | 132,019,049 | ||||||||||||||
$ | 7,156,702 | $ | 13,689,946,195 | $ | 6,709,604,009 | $ | 2,221,705,514 | $ | 1,273,326,075 |
See Notes to Financial Statements. | 377 |
Statements of Assets and Liabilities (unaudited)(continued)
May 31, 2018
Convertible Fund | Core Fixed Income Fund | Core Plus Bond Fund | ||||||||||
COMPOSITION OF NET ASSETS: | ||||||||||||
Paid-in capital | $ | 813,197,360 | $ | 1,263,041,906 | $ | 13,989,043 | ||||||
Undistributed (distributions in excess of) net investment income | 879,483 | (3,591,590 | ) | (16,146 | ) | |||||||
Accumulated net realized gain (loss) on investments, futures contracts, foreign currency exchange contracts, swaps and foreign currency related transactions | 18,613,313 | (34,042,717 | ) | (136,765 | ) | |||||||
Net unrealized appreciation (depreciation) on investments, futures contracts, foreign currency exchange contracts, swaps, unfunded commitments and translation of assets and liabilities denominated in foreign currencies | 73,072,643 | (6,695,361 | ) | (127,224 | ) | |||||||
Net Assets | $ | 905,762,799 | $ | 1,218,712,238 | $ | 13,708,908 | ||||||
Net assets by class: | ||||||||||||
Class A Shares | $ | 147,943,181 | $ | 435,954,555 | $ | 6,404,614 | ||||||
Class C Shares | $ | 36,987,819 | $ | 52,128,959 | $ | 775,364 | ||||||
Class F Shares | $ | 188,894,311 | $ | 149,335,727 | $ | 6,275,882 | ||||||
Class F3 Shares | $ | 5,445,607 | $ | 313,026,013 | $ | 10,177 | ||||||
Class I Shares | $ | 510,557,630 | $ | 203,827,680 | $ | 108,128 | ||||||
Class P Shares | $ | 60,317 | $ | 98.52 | – | |||||||
Class R2 Shares | $ | 80,125 | $ | 840,676 | $ | 26,653 | ||||||
Class R3 Shares | $ | 6,722,814 | $ | 13,317,748 | $ | 27,019 | ||||||
Class R4 Shares | $ | 62,557 | $ | 7,975,038 | $ | 26,886 | ||||||
Class R5 Shares | $ | 122,721 | $ | 846,594 | $ | 27,053 | ||||||
Class R6 Shares | $ | 8,885,717 | $ | 41,459,149 | $ | 27,132 | ||||||
Class T Shares | – | – | – | |||||||||
Outstanding shares by class (unlimited number of authorized shares of beneficial interest): | ||||||||||||
Class A Shares | 10,837,840 | 41,191,727 | 435,272 | |||||||||
Class C Shares | 2,727,420 | 4,947,670 | 52,665 | |||||||||
Class F Shares | 13,835,772 | 14,113,794 | 426,519 | |||||||||
Class F3 Shares | 396,548 | 29,578,188 | 691.50 | |||||||||
Class I Shares | 37,191,367 | 19,267,410 | 7,349 | |||||||||
Class P Shares | 4,355 | 9.21 | – | |||||||||
Class R2 Shares | 5,789 | 79,412 | 1,812 | |||||||||
Class R3 Shares | 494,494 | 1,258,091 | 1,836.50 | |||||||||
Class R4 Shares | 4,584 | 753,763 | 1,827.4 | |||||||||
Class R5 Shares | 8,944 | 79,996 | 1,838.50 | |||||||||
Class R6 Shares | 646,897 | 3,918,779 | 1,844 | |||||||||
Class T Shares | – | – | – | |||||||||
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | ||||||||||||
Class A Shares-Net asset value | $13.65 | $10.58 | $14.71 | |||||||||
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%) | $13.96 | $10.82 | $15.05 | |||||||||
Class C Shares-Net asset value | $13.56 | $10.54 | $14.72 | |||||||||
Class F Shares-Net asset value | $13.65 | $10.58 | $14.71 | |||||||||
Class F3 Shares-Net asset value | $13.73 | $10.58 | $14.72 | |||||||||
Class I Shares-Net asset value | $13.73 | $10.58 | $14.71 | |||||||||
Class P Shares-Net asset value | $13.85 | $10.70 | – | |||||||||
Class R2 Shares-Net asset value | $13.84 | $10.59 | $14.71 | |||||||||
Class R3 Shares-Net asset value | $13.60 | $10.59 | $14.71 | |||||||||
Class R4 Shares-Net asset value | $13.65 | $10.58 | $14.71 | |||||||||
Class R5 Shares-Net asset value | $13.72 | $10.58 | $14.71 | |||||||||
Class R6 Shares-Net asset value | $13.74 | $10.58 | $14.71 | |||||||||
Class T Shares-Net asset value | – | – | – | |||||||||
Class T Shares-Maximum offering price (Net asset value plus sales charge of 2.50%) | – | – | – |
378 | See Notes to Financial Statements. |
Corporate Bond Fund | Floating Rate Fund | High Yield Fund | Income Fund | Inflation Focused Fund | ||||||||||||||
$ | 7,401,954 | $ | 13,960,332,926 | $ | 6,807,298,336 | $ | 2,318,030,759 | $ | 1,492,812,802 | |||||||||
(30,838 | ) | (29,939,152 | ) | (31,586,039 | ) | (10,901,989 | ) | (8,791,306 | ) | |||||||||
(51,839 | ) | (259,198,813 | ) | (4,942,768 | ) | (49,737,572 | ) | (109,972,357 | ) | |||||||||
(162,575 | ) | 18,751,234 | (61,165,520 | ) | (35,685,684 | ) | (100,723,064 | ) | ||||||||||
$ | 7,156,702 | $ | 13,689,946,195 | $ | 6,709,604,009 | $ | 2,221,705,514 | $ | 1,273,326,075 | |||||||||
$ | 359,389 | $ | 3,656,692,583 | $ | 1,348,782,620 | $ | 896,905,289 | $ | 198,208,659 | |||||||||
$ | 99,407 | $ | 1,587,283,654 | $ | 470,322,994 | $ | 193,814,637 | $ | 48,402,924 | |||||||||
$ | 3,170,212 | $ | 5,927,750,660 | $ | 2,039,003,657 | $ | 464,762,768 | $ | 440,306,102 | |||||||||
$ | 1,521,129 | $ | 277,624,387 | $ | 513,556,492 | $ | 368,714,399 | $ | 16,530,333 | |||||||||
$ | 371,423 | $ | 2,133,551,612 | $ | 1,442,506,061 | $ | 196,262,028 | $ | 533,089,405 | |||||||||
– | – | $ | 490,979 | – | – | |||||||||||||
$ | 25,156 | $ | 1,338,528 | $ | 16,281,412 | $ | 1,890,106 | $ | 214,152 | |||||||||
$ | 38,275 | $ | 47,965,656 | $ | 103,235,517 | $ | 52,726,924 | $ | 178,980 | |||||||||
$ | 25,254 | $ | 6,406,899 | $ | 80,912,437 | $ | 4,649,686 | $ | 1,161,417 | |||||||||
$ | 25,328 | $ | 3,865,418 | $ | 267,718,920 | $ | 4,114,069 | $ | 137,310 | |||||||||
$ | 1,521,129 | $ | 47,456,440 | $ | 426,782,824 | $ | 37,865,608 | $ | 35,086,551 | |||||||||
– | $ | 10,358 | $ | 10,096 | – | $ | 10,242 | |||||||||||
37,169 | 399,069,830 | 181,506,831 | 324,314,292 | 16,738,687 | ||||||||||||||
10,283 | 173,098,745 | 63,625,903 | 69,762,503 | 4,082,353 | ||||||||||||||
327,284 | 647,563,239 | 274,751,832 | 168,020,387 | 37,148,431 | ||||||||||||||
157,313 | 30,258,645 | 68,776,992 | 133,343,243 | 1,396,356 | ||||||||||||||
38,425 | 232,706,555 | 193,305,284 | 70,964,425 | 44,999,231 | ||||||||||||||
– | – | 65,157 | – | – | ||||||||||||||
2,602 | 145,931 | 2,178,267 | 677,884 | 18,100 | ||||||||||||||
3,959 | 5,232,234 | 13,813,620 | 19,005,108 | 15,116 | ||||||||||||||
2,612 | 699,081 | 10,891,264 | 1,680,861 | 98,070 | ||||||||||||||
2,619 | 421,127 | 35,884,835 | 1,486,816 | 11,597 | ||||||||||||||
157,313 | 5,173,449 | 57,160,094 | 13,697,239 | 2,963,377 | ||||||||||||||
– | 1,130 | 1,358 | – | 865 | ||||||||||||||
$9.67 | $9.16 | $7.43 | $2.77 | $11.84 | ||||||||||||||
$9.89 | $9.37 | $7.60 | $2.83 | $12.11 | ||||||||||||||
$9.67 | $9.17 | $7.39 | $2.78 | $11.86 | ||||||||||||||
$9.69 | $9.15 | $7.42 | $2.77 | $11.85 | ||||||||||||||
$9.67 | $9.18 | $7.47 | $2.77 | $11.84 | ||||||||||||||
$9.67 | $9.17 | $7.46 | $2.77 | $11.85 | ||||||||||||||
– | – | $7.54 | – | – | ||||||||||||||
$9.67 | $9.17 | $7.47 | $2.79 | $11.83 | ||||||||||||||
$9.67 | $9.17 | $7.47 | $2.77 | $11.84 | ||||||||||||||
$9.67 | $9.16 | $7.43 | $2.77 | $11.84 | ||||||||||||||
$9.67 | $9.18 | $7.46 | $2.77 | $11.84 | ||||||||||||||
$9.67 | $9.17 | $7.47 | $2.76 | $11.84 | ||||||||||||||
– | $9.17 | $7.43 | – | $11.84 | ||||||||||||||
– | $9.41 | $7.62 | – | $12.14 |
See Notes to Financial Statements. | 379 |
Statements of Assets and Liabilities (unaudited)(continued)
May 31, 2018
Short Duration Core Bond Fund | Short Duration Income Fund | |||||||
ASSETS: | ||||||||
Investments in securities, at cost | $ | 9,698,402 | $ | 40,572,053,978 | ||||
Investments in securities, at fair value | $ | 9,642,703 | $ | 40,123,925,626 | ||||
Cash | – | 49,479,408 | ||||||
Deposits with brokers for futures collateral | 1,022 | – | ||||||
Deposits with brokers for swaps collateral | – | 1,180,000 | ||||||
Foreign cash, at value (cost $0, $0, $80,037 and $0, respectively) | – | – | ||||||
Receivables: | ||||||||
Capital shares sold | 27,027 | 232,285,073 | ||||||
Interest and dividends | 65,512 | 286,542,219 | ||||||
Investment securities sold | 435,870 | 74,795,819 | ||||||
From advisor (See Note 3) | 20,253 | – | ||||||
Unrealized appreciation on forward foreign currency exchange contracts | – | 537,017 | ||||||
Credit default swap agreements receivable, at fair value (including upfront payments of $5,468, $0, $0 and $0, respectively) | 1,140 | – | ||||||
Prepaid expenses and other assets | 102,984 | 724,376 | ||||||
Total assets | 10,296,511 | 40,769,469,538 | ||||||
LIABILITIES: | ||||||||
Payables: | ||||||||
Investment securities purchased | 690,904 | 276,248,092 | ||||||
Capital shares reacquired | 1,931 | 117,702,984 | ||||||
12b-1 distribution plan | 1,551 | 10,681,598 | ||||||
Management fee | 2,409 | 8,632,670 | ||||||
Trustees’ fees | 108 | 3,330,759 | ||||||
Fund administration | 321 | 1,360,844 | ||||||
Variation margin for futures contracts | 67 | 789,309 | ||||||
Offering costs | 15,676 | – | ||||||
Credit default swap agreements payable, at fair value (including upfront payments of $0, $6,764,973, $0 and $0, respectively) | – | 1,075,776 | ||||||
Reverse repurchase agreement payable, at fair value | – | – | ||||||
Distributions payable | 19,946 | 117,622,957 | ||||||
Accrued expenses | 37,769 | 4,156,276 | ||||||
Total liabilities | 770,682 | 541,601,265 | ||||||
NET ASSETS | $ | 9,525,829 | $ | 40,227,868,273 | ||||
COMPOSITION OF NET ASSETS: | ||||||||
Paid-in capital | $ | 9,675,950 | $ | 43,629,610,292 | ||||
Distributions in excess of net investment income | (35,680 | ) | (256,464,250 | ) | ||||
Accumulated net realized gain (loss) on investments, futures contracts, foreign currency exchange contracts, swaps and foreign currency related transactions | (66,814 | ) | (2,709,488,155 | ) | ||||
Net unrealized depreciation on investments, futures contracts,foreign currency exchange contracts, swaps and translation of assets and liabilities denominated in foreign currencies | (47,627 | ) | (435,789,614 | ) | ||||
Net Assets | $ | 9,525,829 | $ | 40,227,868,273 |
380 | See Notes to Financial Statements. |
Total Return Fund | Ultra Short Bond Fund | |||||
$ | 4,331,048,306 | $ | 5,291,797,057 | |||
$ | 4,302,289,858 | $ | 5,291,144,191 | |||
6,659,623 | 977,335 | |||||
2,014,421 | – | |||||
– | – | |||||
61,827 | – | |||||
14,131,136 | 149,197,047 | |||||
22,502,848 | 10,235,635 | |||||
119,694,817 | – | |||||
13,222 | 264,746 | |||||
112,298 | – | |||||
– | – | |||||
181,778 | 683,958 | |||||
4,467,661,828 | 5,452,502,912 | |||||
656,995,668 | 122,094,206 | |||||
7,046,832 | 19,570,284 | |||||
476,186 | 460,251 | |||||
898,187 | 806,490 | |||||
257,519 | 22,438 | |||||
128,312 | 161,298 | |||||
56,771 | – | |||||
– | – | |||||
– | – | |||||
462,476 | – | |||||
8,009,046 | 8,549,384 | |||||
755,008 | 16,103 | |||||
675,086,005 | 151,680,454 | |||||
$ | 3,792,575,823 | $ | 5,300,822,458 | |||
$ | 3,945,857,063 | $ | 5,301,515,825 | |||
(9,325,026 | ) | (75,767 | ) | |||
(115,804,241 | ) | 35,266 | ||||
(28,151,973 | ) | (652,866 | ) | |||
$ | 3,792,575,823 | $ | 5,300,822,458 |
See Notes to Financial Statements. | 381 |
Statements of Assets and Liabilities (unaudited)(concluded)
May 31, 2017
Short Duration Core Bond Fund | Short Duration Income Fund | |||||||
Net assets by class: | ||||||||
Class A Shares | $ | 2,672,424 | $ | 9,673,110,972 | ||||
Class C Shares | $ | 1,042,036 | $ | 5,472,883,215 | ||||
Class F Shares | $ | 2,621,638 | $ | 15,011,320,599 | ||||
Class F3 Shares | $ | 1,519,181 | $ | 2,286,834,933 | ||||
Class I Shares | $ | 50,584 | $ | 6,880,906,171 | ||||
Class P Shares | – | – | ||||||
Class R2 Shares | $ | 25,124 | $ | 24,092,041 | ||||
Class R3 Shares | $ | 25,152 | $ | 292,875,058 | ||||
Class R4 Shares | $ | 25,222 | $ | 90,556,126 | ||||
Class R5 Shares | $ | 25,292 | $ | 34,578,287 | ||||
Class R6 Shares | $ | 1,519,176 | $ | 460,700,803 | ||||
Class T Shares | – | $ | 10,068 | |||||
Outstanding shares by class (unlimited number of authorized shares of beneficial interest): | ||||||||
Class A Shares | 272,578 | 2,306,938,880 | ||||||
Class C Shares | 106,288 | 1,297,183,827 | ||||||
Class F Shares | 267,443 | 3,582,537,230 | ||||||
Class F3 Shares | 154,973 | 544,801,572 | ||||||
Class I Shares | 5,160 | 1,642,672,416 | ||||||
Class P Shares | – | – | ||||||
Class R2 Shares | 2,563 | 5,743,858 | ||||||
Class R3 Shares | 2,566 | 69,779,841 | ||||||
Class R4 Shares | 2,573 | 21,557,563 | ||||||
Class R5 Shares | 2,580 | 8,260,938 | ||||||
Class R6 Shares | 154,973 | 109,924,385 | ||||||
Class T Shares | – | 2,399 | ||||||
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | ||||||||
Class A Shares-Net asset value | $9.80 | $4.19 | ||||||
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%)* | $10.03 | $4.29 | ||||||
Class C Shares-Net asset value | $9.80 | $4.22 | ||||||
Class F Shares-Net asset value | $9.80 | $4.19 | ||||||
Class F3 Shares-Net asset value | $9.80 | $4.20 | ||||||
Class I Shares-Net asset value | $9.80 | $4.19 | ||||||
Class P Shares-Net asset value | – | – | ||||||
Class R2 Shares-Net asset value | $9.80 | $4.19 | ||||||
Class R3 Shares-Net asset value | $9.80 | $4.20 | ||||||
Class R4 Shares-Net asset value | $9.80 | $4.20 | ||||||
Class R5 Shares-Net asset value | $9.80 | $4.19 | ||||||
Class R6 Shares-Net asset value | $9.80 | $4.19 | ||||||
Class T Shares-Net asset value | – | $4.20 | ||||||
Class T Shares-Maximum offering price (Net asset value plus sales charge of 2.50%) | – | $4.31 |
* Sales charge is not applicable to Ultra Short Bond Fund.
382 | See Notes to Financial Statements. |
Total Return Fund | Ultra Short Bond Fund | |||||
$ | 1,219,859,151 | $ | 3,203,938,963 | |||
$ | 141,670,757 | – | ||||
$ | 899,615,386 | $ | 1,638,685,417 | |||
$ | 660,450,943 | $ | 122,180,465 | |||
$ | 403,060,397 | $ | 330,610,310 | |||
$ | 536,329 | – | ||||
$ | 5,825,184 | – | ||||
$ | 113,827,142 | – | ||||
$ | 69,041,633 | – | ||||
$ | 86,881,131 | $ | 284,859 | |||
$ | 191,797,875 | $ | 5,122,444 | |||
$ | 9,895 | – | ||||
121,178,389 | 320,241,113 | |||||
14,086,295 | – | |||||
89,366,128 | 163,767,150 | |||||
65,581,590 | 12,209,803 | |||||
39,965,590 | 33,049,168 | |||||
53,024 | – | |||||
578,715 | – | |||||
11,310,185 | – | |||||
6,858,212 | – | |||||
8,628,021 | 28,465 | |||||
19,036,555 | 511,817 | |||||
983.39 | – | |||||
$10.07 | $10.00 | |||||
$10.30 | – | |||||
$10.06 | – | |||||
$10.07 | $10.01 | |||||
$10.07 | $10.01 | |||||
$10.09 | $10.00 | |||||
$10.11 | – | |||||
$10.07 | – | |||||
$10.06 | – | |||||
$10.07 | – | |||||
$10.07 | $10.01 | |||||
$10.08 | $10.01 | |||||
$10.06 | – | |||||
$10.32 | – |
See Notes to Financial Statements. | 383 |
Statements of Operations (unaudited)
For the Six Months Ended May 31, 2018
Convertible Fund | Core Fixed Income Fund | Core Plus Bond Fund | ||||||||||
Investment income: | ||||||||||||
Dividends (net of foreign withholding taxes of $26,916, $0, $0, $0, $0, $15,726, $0 and $0, respectively) | $ | 3,437,997 | $ | – | $ | – | ||||||
Interest and other (net of foreign withholding taxes of $0, $2,332, $0, $4, $0, $481, $2,976 and $3,665, respectively) | 6,366,697 | 17,427,596 | 258,731 | |||||||||
Total investment income | 9,804,694 | 17,427,596 | 258,731 | |||||||||
Expenses: | ||||||||||||
Management fee | 3,151,390 | 2,332,405 | 26,768 | |||||||||
12b-1 distribution plan-Class A | 126,226 | 445,050 | 6,365 | |||||||||
12b-1 distribution plan-Class B | 493 | 1,290 | – | |||||||||
12b-1 distribution plan-Class C | 183,447 | 251,966 | 3,206 | |||||||||
12b-1 distribution plan-Class F | 84,466 | 85,283 | 3,145 | |||||||||
12b-1 distribution plan-Class P | 130 | – | – | |||||||||
12b-1 distribution plan-Class R2 | 267 | 2,612 | 80 | |||||||||
12b-1 distribution plan-Class R3 | 13,588 | 35,311 | 67 | |||||||||
12b-1 distribution plan-Class R4 | 75 | 9,184 | 33 | |||||||||
12b-1 distribution plan-Class T | – | – | – | |||||||||
Shareholder servicing | 148,045 | 566,714 | 2,308 | |||||||||
Fund administration | 180,080 | 250,850 | 2,726 | |||||||||
Registration | 105,436 | 123,367 | 80,947 | |||||||||
Reports to shareholders | 33,540 | 78,139 | 2,157 | |||||||||
Professional | 33,914 | 34,933 | 31,559 | |||||||||
Custody | 11,622 | 14,072 | 6,068 | |||||||||
Trustees’ fees | 9,844 | 14,078 | 152 | |||||||||
Offering costs | – | – | – | |||||||||
Other | 31,879 | 34,847 | 4,384 | |||||||||
Gross expenses | 4,114,442 | 4,280,101 | 169,965 | |||||||||
Expense reductions (See Note 10) | (3,133 | ) | (7,273 | ) | (113 | ) | ||||||
Fees waived and expenses reimbursed (See Note 3) | – | (841,635 | ) | (124,261 | ) | |||||||
Net expenses | 4,111,309 | 3,431,193 | 45,591 | |||||||||
Net investment income | 5,693,385 | 13,996,403 | 213,140 | |||||||||
Net realized and unrealized gain (loss): | ||||||||||||
Net realized gain (loss) on investments | 36,688,963 | (19,113,097 | ) | (92,185 | ) | |||||||
Net realized gain (loss) on futures contracts | 22,097 | (1,514,259 | ) | 4,020 | ||||||||
Net realized gain (loss) on foreign currency exchange contracts | (882,510 | ) | – | – | ||||||||
Net realized gain (loss) on swap contracts | – | – | 1,481 | |||||||||
Net realized gain (loss) on foreign currency related transactions | (2,345 | ) | – | – | ||||||||
Net change in unrealized appreciation/depreciation on investments | (5,683,902 | ) | (10,088,105 | ) | (267,913 | ) | ||||||
Net change in unrealized appreciation/depreciation on futures contracts | – | 551,131 | (2,625 | ) | ||||||||
Net change in unrealized appreciation/depreciation on foreign currency exchange contracts | 363,576 | – | – |
384 | See Notes to Financial Statements. |
Corporate Bond Fund | Floating Rate Fund | High Yield Fund | Income Fund | Inflation Focused Fund | ||||||||||||||
$ | – | $ | 2,122,893 | S | 2,112,097 | $ | 147,997 | $ | 10,069 | |||||||||
126,624 | 342,903,558 | 216,992,841 | 44,142,031 | 17,958,153 | ||||||||||||||
126,624 | 345,026,451 | 219,104,938 | 44,290,028 | 17,968,222 | ||||||||||||||
13,761 | 28,271,199 | 18,028,463 | 4,996,397 | 2,183,660 | ||||||||||||||
349 | 3,480,879 | 1,429,696 | 897,675 | 185,680 | ||||||||||||||
– | – | 3,120 | 2,379 | – | ||||||||||||||
501 | 6,643,956 | 2,128,146 | 899,019 | 202,849 | ||||||||||||||
1,488 | 2,604,461 | 1,022,960 | 231,757 | 196,324 | ||||||||||||||
– | – | 1,086 | – | – | ||||||||||||||
76 | 3,900 | 46,222 | 6,457 | 944 | ||||||||||||||
96 | 113,430 | 243,945 | 131,464 | 443 | ||||||||||||||
32 | 7,006 | 91,617 | 5,002 | 1,131 | ||||||||||||||
– | 13 | 13 | – | 13 | ||||||||||||||
1,898 | 4,197,875 | 2,929,143 | 939,163 | 399,829 | ||||||||||||||
1,376 | 2,490,834 | 1,382,442 | 435,202 | 239,175 | ||||||||||||||
51,928 | 369,215 | 307,475 | 144,640 | 133,785 | ||||||||||||||
1,013 | 503,756 | 337,991 | 113,310 | 41,641 | ||||||||||||||
33,658 | 97,383 | 50,958 | 49,633 | 48,349 | ||||||||||||||
2,238 | 78,233 | 69,366 | 29,079 | 61,904 | ||||||||||||||
72 | 133,740 | 77,644 | 24,004 | 12,826 | ||||||||||||||
14,153 | – | – | – | – | ||||||||||||||
4,330 | 109,325 | 79,794 | 46,453 | 39,291 | ||||||||||||||
126,969 | 49,105,205 | 28,230,081 | 8,951,634 | 3,747,844 | ||||||||||||||
(32 | ) | (100,706 | ) | (43,422 | ) | (15,057 | ) | (8,454 | ) | |||||||||
(109,461 | ) | – | – | (736,063 | ) | (100,184 | ) | |||||||||||
17,476 | 49,004,499 | 28,186,659 | 8,200,514 | 3,639,206 | ||||||||||||||
109,148 | 296,021,952 | 190,918,279 | 36,089,514 | 14,329,016 | ||||||||||||||
(2,465 | ) | 14,952,699 | 61,202,411 | (4,179,581 | ) | (791,974 | ) | |||||||||||
(19,753 | ) | 6,402,695 | (6,777,120 | ) | (3,161,577 | ) | (3,893,446 | ) | ||||||||||
– | (139,607 | ) | (2,785,601 | ) | 2,858,918 | (1,215 | ) | |||||||||||
– | 1,068,746 | (1,870,086 | ) | (27,675 | ) | (2,379,825 | ) | |||||||||||
– | 345,305 | (630,391 | ) | (36,987 | ) | 50 | ||||||||||||
(224,757 | ) | (45,785,000 | ) | (305,603,110 | ) | (64,617,291 | ) | (9,951,352 | ) | |||||||||
4,418 | (1,575,567 | ) | (109,182 | ) | 960,772 | 1,115,626 | ||||||||||||
– | 1,752,658 | 9,378,613 | 1,024,399 | 15,595 |
See Notes to Financial Statements. | 385 |
Statements of Operations (unaudited)(continued)
For the Six Months Ended May 31, 2018
Convertible | Core Fixed | Core Plus | ||||||||||
Fund | Income Fund | Bond Fund | ||||||||||
Net realized and unrealized gain (loss): | ||||||||||||
Net change in unrealized appreciation/depreciation on swap contracts | $ | – | $ | – | $ | (3,116 | ) | |||||
Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies | (3,008 | ) | – | – | ||||||||
Net change in unrealized appreciation/depreciation on unfunded commitments | – | – | – | |||||||||
Net realized and unrealized gain (loss) | 30,502,871 | (30,164,330 | ) | (360,338 | ) | |||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 36,196,256 | $ | (16,167,927 | ) | $ | (147,198 | ) |
386 | See Notes to Financial Statements. |
Corporate | Floating Rate | High Yield | Inflation | |||||||||||||||
Bond Fund | Fund | Fund | Income Fund | Focused Fund | ||||||||||||||
$ | – | $ | 301,146 | $ | (915,350 | ) | $ | (39,916 | ) | $ | 19,426,742 | |||||||
– | (81,608 | ) | (143,208 | ) | (9,184 | ) | (430 | ) | ||||||||||
– | (53,120 | ) | 66,545 | – | – | |||||||||||||
(242,557 | ) | (22,811,653 | ) | (248,186,479 | ) | (67,228,122 | ) | 3,539,771 | ||||||||||
$ | (133,409 | ) | $ | 273,210,299 | $ | (57,268,200 | ) | $ | (31,138,608 | ) | $ | 17,868,787 |
See Notes to Financial Statements. | 387 |
Statements of Operations (unaudited)(concluded)
For the Six Months Ended May 31, 2018
Short Duration | Short Duration | |||||||
Core Bond Fund | Income Fund | |||||||
Investment income: | ||||||||
Dividends | $ | – | $ | 342,945 | ||||
Interest and other (net of foreign withholding taxes of $0, $1,631, $6,746 and $5,391, respectively) | 109,117 | 638,041,780 | ||||||
Total investment income | 109,117 | 638,384,725 | ||||||
Expenses: | ||||||||
Management fee | 12,860 | 51,523,761 | ||||||
12b-1 distribution plan-Class A | 2,267 | 9,952,422 | ||||||
12b-1 distribution plan-Class B | – | 8,172 | ||||||
12b-1 distribution plan-Class C | 4,501 | 24,269,263 | ||||||
12b-1 distribution plan-Class F | 1,121 | 7,363,547 | ||||||
12b-1 distribution plan-Class P | – | – | ||||||
12b-1 distribution plan-Class R2 | 75 | 75,163 | ||||||
12b-1 distribution plan-Class R3 | 62 | 749,746 | ||||||
12b-1 distribution plan-Class R4 | 31 | 103,804 | ||||||
12b-1 distribution plan-Class T | – | 13 | ||||||
Shareholder servicing | 623 | 14,035,718 | ||||||
Fund administration | 1,715 | 8,124,131 | ||||||
Reports to shareholders | 1,046 | 1,746,352 | ||||||
Registration | 52,480 | 852,591 | ||||||
Trustees’ fees | 86 | 459,915 | ||||||
Professional | 35,841 | 222,398 | ||||||
Custody | 1,962 | 223,726 | ||||||
Offering costs | 14,153 | – | ||||||
Other | 4,344 | 277,918 | ||||||
Gross expenses | 133,167 | 119,988,640 | ||||||
Expense reductions (See Note 10) | (47 | ) | (308,276 | ) | ||||
Fees waived and expenses reimbursed (See Note 3) | (109,324 | ) | – | |||||
Net expenses | 23,796 | 119,680,364 | ||||||
Net investment income | 85,321 | 518,704,361 | ||||||
Net realized and unrealized gain (loss): | ||||||||
Net realized gain (loss) on investments | (22,707 | ) | 8,053,514 | |||||
Net realized loss on futures contracts | (1,744 | ) | (57,828,441 | ) | ||||
Net realized gain (loss) on foreign currency exchange contracts | – | (68,928 | ) | |||||
Net realized gain on swap contracts | 1,782 | 1,930,554 | ||||||
Net realized loss on foreign currency related transactions | – | (10,784 | ) | |||||
Net change in unrealized appreciation/depreciation on investments | (41,845 | ) | (364,371,917 | ) | ||||
Net change in unrealized appreciation/depreciation on futures contracts | 854 | 6,425,412 | ||||||
Net change in unrealized appreciation/depreciation on foreign currency exchange contracts | – | 609,069 | ||||||
Net change in unrealized appreciation/depreciation on swap contracts | 5,885 | 6,799,440 | ||||||
Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies | – | (16,684 | ) | |||||
Net realized and unrealized loss | (57,775 | ) | (398,478,765 | ) | ||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 27,546 | $ | 120,225,596 |
388 | See Notes to Financial Statements. |
Total Return | Ultra Short | |||||
Fund | Bond Fund | |||||
$ | – | $ | – | |||
61,575,265 | 38,259,457 | |||||
61,575,265 | 38,259,457 | |||||
6,707,998 | 3,448,333 | |||||
1,241,670 | 1,661,874 | |||||
3,261 | – | |||||
665,242 | – | |||||
454,787 | 475,864 | |||||
1,269 | – | |||||
19,648 | – | |||||
318,152 | – | |||||
85,289 | – | |||||
13 | – | |||||
2,063,491 | 638,144 | |||||
760,500 | 689,667 | |||||
226,900 | 78,330 | |||||
229,945 | 347,593 | |||||
41,962 | 27,715 | |||||
44,798 | 36,688 | |||||
27,729 | 5,571 | |||||
– | – | |||||
48,860 | 6,288 | |||||
12,941,514 | 7,416,067 | |||||
(24,885 | ) | (27,769 | ) | |||
(1,557,048 | ) | (959,346 | ) | |||
11,359,581 | 6,428,952 | |||||
50,215,684 | 31,830,505 | |||||
(58,086,611 | ) | 63,821 | ||||
(738,625 | ) | – | ||||
17,745 | – | |||||
– | – | |||||
(29,376 | ) | – | ||||
(43,390,582 | ) | (660,531 | ) | |||
291,596 | – | |||||
132,403 | – | |||||
– | – | |||||
(107,302 | ) | – | ||||
(101,910,752 | ) | (596,710 | ) | |||
$ | (51,695,068 | ) | $ | 32,233,795 |
See Notes to Financial Statements. | 389 |
Statements of Changes in Net Assets
Convertible Fund | ||||||||
INCREASE (DECREASE) IN NET ASSETS | For the Six Months Ended May 31, 2018 (unaudited) | For the Year Ended November 30, 2017 | ||||||
Operations: | ||||||||
Net investment income | $ | 5,693,385 | $ | 12,293,724 | ||||
Net realized gain (loss) on investments, futures contracts, forward currency exchange contracts, swaps and foreign currency related transactions | 35,826,205 | 61,667,712 | ||||||
Net change in unrealized appreciation/depreciation on investments, futures contracts, forward currency exchange contracts, swaps and translation of assets and liabilities denominated in foreign currencies | (5,323,334 | ) | 39,331,307 | |||||
Net increase (decrease) in net assets resulting from operations | 36,196,256 | 113,292,743 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Class A | (1,838,557 | ) | (2,541,270 | ) | ||||
Class B | (1,783 | ) | (12,328 | ) | ||||
Class C | (523,284 | ) | (920,419 | ) | ||||
Class F | (2,483,576 | ) | (3,178,742 | ) | ||||
Class F3 | (68,298 | ) | (89 | ) | ||||
Class I | (8,933,245 | ) | (12,984,915 | ) | ||||
Class P | (793 | ) | (933 | ) | ||||
Class R2 | (1,451 | ) | (3,452 | ) | ||||
Class R3 | (75,656 | ) | (99,573 | ) | ||||
Class R4 | (896 | ) | (1,487 | ) | ||||
Class R5 | (28,114 | ) | (983 | ) | ||||
Class R6 | (40,785 | ) | (25,432 | ) | ||||
Net realized gain | ||||||||
Class A | – | – | ||||||
Class B | – | – | ||||||
Class C | – | – | ||||||
Class F | – | – | ||||||
Class F3 | – | – | ||||||
Class I | – | – | ||||||
Class P | – | – | ||||||
Class R2 | – | – | ||||||
Class R3 | – | – | ||||||
Class R4 | – | – | ||||||
Class R5 | – | – | ||||||
Class R6 | – | – | ||||||
Total distributions to shareholders | (13,996,438 | ) | (19,769,623 | ) | ||||
Capital share transactions (Net of share conversions) (See Note 15): | ||||||||
Net proceeds from sales of shares | 156,313,410 | 511,521,196 | ||||||
Reinvestment of distributions | 13,220,285 | 18,776,194 | ||||||
Cost of shares reacquired | (160,570,105 | ) | (319,225,658 | ) | ||||
Net increase (decrease) in net assets resulting from capital share transactions | 8,963,590 | 211,071,732 | ||||||
Net increase (decrease) in net assets | 31,163,408 | 304,594,852 | ||||||
NET ASSETS: | ||||||||
Beginning of period | $ | 874,599,391 | $ | 570,004,539 | ||||
End of period | $ | 905,762,799 | $ | 874,599,391 | ||||
Undistributed (distributions in excess of) net investment income | $ | 879,483 | $ | 9,182,536 |
390 | See Notes to Financial Statements. |
Core Fixed Income Fund | Core Plus Bond Fund | |||||||||||||
For the Six Months Ended May 31, 2018 (unaudited) | For the Year Ended November 30, 2017 | For the Six Months Ended May 31, 2018 (unaudited) | For the Year Ended November 30, 2017 | |||||||||||
$ | 13,996,403 | $ | 21,247,573 | $ | 213,140 | $ | 318,248 | |||||||
(20,627,356 | ) | 1,318,620 | (86,684 | ) | 84,079 | |||||||||
(9,536,974 | ) | 13,491,310 | (273,654 | ) | 130,724 | |||||||||
(16,167,927 | ) | 36,057,503 | (147,198 | ) | 533,051 | |||||||||
(6,022,044 | ) | (10,479,177 | ) | (113,471 | ) | (186,094 | ) | |||||||
(1,973 | ) | (26,959 | ) | – | – | |||||||||
(637,725 | ) | (1,205,153 | ) | (10,424 | ) | (11,367 | ) | |||||||
(2,364,788 | ) | (9,597,109 | ) | (115,248 | ) | (180,728 | ) | |||||||
(4,764,048 | ) | (1,087,464 | ) | (195 | ) | (232 | ) | |||||||
(2,872,504 | ) | (4,456,367 | ) | (2,036 | ) | (3,684 | ) | |||||||
(2 | ) | (66 | ) | – | – | |||||||||
(10,061 | ) | (16,006 | ) | (421 | ) | (756 | ) | |||||||
(169,012 | ) | (358,862 | ) | (441 | ) | (785 | ) | |||||||
(98,605 | ) | (75,859 | ) | (473 | ) | (852 | ) | |||||||
(12,148 | ) | (16,205 | ) | (509 | ) | (922 | ) | |||||||
(624,375 | ) | (1,012,877 | ) | (519 | ) | (953 | ) | |||||||
– | – | – | (34,831 | ) | ||||||||||
– | – | – | – | |||||||||||
– | – | – | (1,737 | ) | ||||||||||
– | – | – | (33,357 | ) | ||||||||||
– | – | – | – | |||||||||||
– | – | – | (677 | ) | ||||||||||
– | – | – | – | |||||||||||
– | – | – | (168 | ) | ||||||||||
– | – | – | (169 | ) | ||||||||||
– | – | – | (169 | ) | ||||||||||
– | – | – | (169 | ) | ||||||||||
– | – | – | (170 | ) | ||||||||||
(17,577,285 | ) | (28,332,104 | ) | (243,737 | ) | (457,820 | ) | |||||||
174,886,834 | 803,896,556 | 1,175,664 | 2,416,136 | |||||||||||
16,950,704 | 26,643,095 | 243,487 | 457,871 | |||||||||||
(219,647,496 | ) | (716,759,738 | ) | (588,225 | ) | (658,610 | ) | |||||||
(27,809,958 | ) | 113,779,913 | 830,926 | 2,215,397 | ||||||||||
(61,555,170 | ) | 121,505,312 | 439,991 | 2,290,628 | ||||||||||
$ | 1,280,267,408 | $ | 1,158,762,096 | $ | 13,268,917 | $ | 10,978,289 | |||||||
$ | 1,218,712,238 | $ | 1,280,267,408 | $ | 13,708,908 | $ | 13,268,917 | |||||||
$ | (3,591,590 | ) | $ | (10,708 | ) | $ | (16,146 | ) | $ | 14,451 |
See Notes to Financial Statements. | 391 |
Statements of Changes in Net Assets (continued)
Corporate Bond Fund | ||||||||
INCREASE (DECREASE) IN NET ASSETS | For the Six Months Ended May 31, 2018 (unaudited) | For the Period Ended November 30, 2017* | ||||||
Operations: | ||||||||
Net investment income | $ | 109,148 | $ | 104,423 | ||||
Net realized gain (loss) on investments, futures contracts, forward currency exchange contracts, swaps and foreign currency related transactions | (22,218 | ) | 11,383 | |||||
Net change in unrealized appreciation/depreciation on investments, futures contracts, forward currency exchange contracts, swaps, unfunded commitments and translation of assets and liabilities denominated in foreign currencies | (220,339 | ) | 57,764 | |||||
Net increase (decrease) in net assets resulting from operations | (133,409 | ) | 173,570 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Class A | (6,986 | ) | (7,251 | ) | ||||
Class B | – | – | ||||||
Class C | (1,603 | ) | (1,460 | ) | ||||
Class F | (60,928 | ) | (50,934 | ) | ||||
Class F3 | (32,879 | ) | (39,007 | ) | ||||
Class I | (5,977 | ) | (1,269 | ) | ||||
Class P | – | – | ||||||
Class R2 | (456 | ) | (541 | ) | ||||
Class R3 | (710 | ) | (688 | ) | ||||
Class R4 | (502 | ) | (596 | ) | ||||
Class R5 | (534 | ) | (635 | ) | ||||
Class R6 | (32,878 | ) | (39,008 | ) | ||||
Class T | – | – | ||||||
Net realized gain | ||||||||
Class A | (227 | ) | – | |||||
Class B | – | – | ||||||
Class C | (69 | ) | – | |||||
Class F | (1,749 | ) | – | |||||
Class F3 | (1,046 | ) | – | |||||
Class I | (35 | ) | – | |||||
Class P | – | – | ||||||
Class R2 | (17 | ) | – | |||||
Class R3 | (26 | ) | – | |||||
Class R4 | (18 | ) | – | |||||
Class R5 | (18 | ) | – | |||||
Class R6 | (1,046 | ) | – | |||||
Class T | – | – | ||||||
Total distributions to shareholders | (147,704 | ) | (141,389 | ) | ||||
Capital share transactions (See Note 15): | ||||||||
Net proceeds from sales of shares | 1,165,063 | 6,245,224 | ||||||
Reinvestment of distributions | 147,459 | 141,526 | ||||||
Cost of shares reacquired | (165,057 | ) | (128,581 | ) | ||||
Net increase (decrease) in net assets resulting from capital share transactions | 1,147,465 | 6,258,169 | ||||||
Net increase (decrease) in net assets | 866,352 | 6,290,350 | ||||||
NET ASSETS: | ||||||||
Beginning of period | $ | 6,290,350 | $ | – | ||||
End of period | $ | 7,156,702 | $ | 6,290,350 | ||||
Undistributed (distributions in excess of) net investment income | $ | (30,838 | ) | $ | 3,467 | |||
* For the period April 19, 2017 (commencement of operations) to November 30, 2017. |
392 | See Notes to Financial Statements. |
Floating Rate Fund | High Yield Fund | |||||||||||||
For the Six Months Ended May 31, 2018 (unaudited) | For the Year Ended November 30, 2017 | For the Six Months Ended May 31, 2018 (unaudited) | For the Year Ended November 30, 2017 | |||||||||||
$ | 296,021,952 | $ | 506,803,941 | $ | 190,918,279 | $ | 363,153,570 | |||||||
22,629,838 | 10,544,319 | 49,139,213 | 176,893,568 | |||||||||||
(45,441,491 | ) | (26,060,038 | ) | (297,325,692 | ) | 73,716,328 | ||||||||
273,210,299 | 491,288,222 | (57,268,200 | ) | 613,763,466 | ||||||||||
(83,078,258 | ) | (159,447,445 | ) | (40,754,395 | ) | (90,302,533 | ) | |||||||
– | – | (14,882 | ) | (171,010 | ) | |||||||||
(32,417,495 | ) | (62,578,586 | ) | (12,674,349 | ) | (25,303,646 | ) | |||||||
(126,870,569 | ) | (232,070,406 | ) | (59,315,399 | ) | (128,479,485 | ) | |||||||
(6,257,393 | ) | (2,578,541 | ) | (14,764,810 | ) | (4,600,568 | ) | |||||||
(45,804,815 | ) | (47,351,299 | ) | (46,451,568 | ) | (102,800,409 | ) | |||||||
– | – | (13,212 | ) | (18,679 | ) | |||||||||
(28,503 | ) | (50,838 | ) | (412,231 | ) | (746,158 | ) | |||||||
(1,017,864 | ) | (1,675,680 | ) | (2,653,073 | ) | (4,428,793 | ) | |||||||
(133,183 | ) | (213,889 | ) | (2,082,446 | ) | (2,595,346 | ) | |||||||
(75,027 | ) | (91,171 | ) | (7,918,120 | ) | (3,490,951 | ) | |||||||
(1,043,861 | ) | (1,030,657 | ) | (12,086,509 | ) | (14,948,878 | ) | |||||||
(246 | ) | (151 | ) | (291 | ) | (189 | ) | |||||||
– | – | – | – | |||||||||||
– | – | – | – | |||||||||||
– | – | – | – | |||||||||||
– | – | – | – | |||||||||||
– | – | – | – | |||||||||||
– | – | – | – | |||||||||||
– | – | – | – | |||||||||||
– | – | – | – | |||||||||||
– | – | – | – | |||||||||||
– | – | – | – | |||||||||||
– | – | – | – | |||||||||||
– | – | – | – | |||||||||||
– | – | – | – | |||||||||||
(296,727,214 | ) | (507,088,663 | ) | (199,141,285 | ) | (377,886,645 | ) | |||||||
3,885,241,536 | 8,010,235,373 | 1,573,022,449 | 5,414,154,988 | |||||||||||
240,335,908 | 406,903,478 | 184,651,932 | 337,157,695 | |||||||||||
(2,445,052,679 | ) | (5,138,918,145 | ) | (1,891,516,056 | ) | (4,405,944,543 | ) | |||||||
1,680,524,765 | 3,278,220,706 | (133,841,675 | ) | 1,345,368,140 | ||||||||||
1,657,007,850 | 3,262,420,265 | (390,251,160 | ) | 1,581,244,961 | ||||||||||
$ | 12,032,938,345 | $ | 8,770,518,080 | $ | 7,099,855,169 | $ | 5,518,610,208 | |||||||
$ | 13,689,946,195 | $ | 12,032,938,345 | $ | 6,709,604,009 | $ | 7,099,855,169 | |||||||
$ | (29,939,152 | ) | $ | (29,233,890 | ) | $ | (31,586,039 | ) | $ | (23,363,033 | ) |
See Notes to Financial Statements. | 393 |
Statements of Changes in Net Assets (continued)
Income Fund | ||||||||
For the | ||||||||
Six Months Ended | For the | |||||||
May 31, 2018 | Year Ended | |||||||
INCREASE IN NET ASSETS | (unaudited) | November 30, 2017 | ||||||
Operations: | ||||||||
Net investment income | $ | 36,089,514 | $ | 57,408,869 | ||||
Net realized gain (loss) on investments, futures contracts, forward currency exchange contracts, swaps and foreign currency related transactions | (4,546,902 | ) | 32,568,770 | |||||
Net change in unrealized appreciation/depreciation on investments, futures contracts, forward currency exchange contracts, swaps and translation of assets and liabilities denominated in foreign currencies | (62,681,220 | ) | 39,344,361 | |||||
Net increase (decrease) in net assets resulting from operations | (31,138,608 | ) | 129,322,000 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Class A | (17,592,441 | ) | (31,900,354 | ) | ||||
Class B | (6,796 | ) | (66,413 | ) | ||||
Class C | (3,613,002 | ) | (6,997,934 | ) | ||||
Class F | (9,295,852 | ) | (20,130,629 | ) | ||||
Class F3 | (6,813,138 | ) | (1,745,808 | ) | ||||
Class I | (3,540,881 | ) | (3,762,178 | ) | ||||
Class R2 | (38,084 | ) | (64,883 | ) | ||||
Class R3 | (952,672 | ) | (1,693,529 | ) | ||||
Class R4 | (78,465 | ) | (77,381 | ) | ||||
Class R5 | (125,602 | ) | (189,533 | ) | ||||
Class R6 | (714,593 | ) | (309,333 | ) | ||||
Class T | – | – | ||||||
Total distributions to shareholders | (42,771,526 | ) | (66,937,975 | ) | ||||
Capital share transactions (Net of share conversions) (See Note 15): | ||||||||
Net proceeds from sales of shares | 458,960,178 | 1,164,842,239 | ||||||
Reinvestment of distributions | 38,060,483 | 57,719,270 | ||||||
Cost of shares reacquired | (341,538,172 | ) | (878,138,676 | ) | ||||
Net increase in net assets resulting from capital share transactions | 155,482,489 | 344,422,833 | ||||||
Net increase in net assets | 81,572,355 | 406,806,858 | ||||||
NET ASSETS: | ||||||||
Beginning of period | $ | 2,140,133,159 | $ | 1,733,326,301 | ||||
End of period | $ | 2,221,705,514 | $ | 2,140,133,159 | ||||
Undistributed (distributions in excess of) net investment income | $ | (10,901,989 | ) | $ | (4,219,977 | ) |
** | For the period April 19, 2017 (commencement of operations) to November 30, 2017. |
394 | See Notes to Financial Statements. |
Inflation Focused Fund | Short Duration Core Bond Fund | |||||||||||||
For the | For the | |||||||||||||
Six Months Ended | For the | Six Months Ended | For the | |||||||||||
May 31, 2018 | Year Ended | May 31, 2018 | Period Ended | |||||||||||
(unaudited) | November 30, 2017 | (unaudited) | November 30, 2017** | |||||||||||
$ | 14,329,016 | $ | 22,974,715 | $ | 85,321 | $ | 60,456 | |||||||
(7,066,410 | ) | 1,793,223 | (22,669 | ) | (3,861 | ) | ||||||||
10,606,181 | (11,760,612 | ) | (35,106 | ) | (12,521 | ) | ||||||||
17,868,787 | 13,007,326 | 27,546 | 44,074 | |||||||||||
(3,421,139 | ) | (8,567,899 | ) | (32,534 | ) | (17,944 | ) | |||||||
– | – | – | – | |||||||||||
(709,404 | ) | (1,593,329 | ) | (9,423 | ) | (3,311 | ) | |||||||
(7,421,991 | ) | (13,588,981 | ) | (33,265 | ) | (26,244 | ) | |||||||
(292,509 | ) | (130,296 | ) | (23,751 | ) | (25,505 | ) | |||||||
(10,120,168 | ) | (18,103,637 | ) | (768 | ) | (819 | ) | |||||||
(5,217 | ) | (12,145 | ) | (307 | ) | (318 | ) | |||||||
(3,005 | ) | (7,157 | ) | (320 | ) | (334 | ) | |||||||
(16,558 | ) | (15,944 | ) | (352 | ) | (372 | ) | |||||||
(1,244 | ) | (618 | ) | (383 | ) | (410 | ) | |||||||
(704,882 | ) | (877,539 | ) | (23,748 | ) | (25,503 | ) | |||||||
(188 | ) | (128 | ) | – | – | |||||||||
(22,696,305 | ) | (42,897,673 | ) | (124,851 | ) | (100,760 | ) | |||||||
364,899,479 | 917,067,107 | 2,279,372 | 8,849,609 | |||||||||||
19,683,799 | 36,839,580 | 125,019 | 100,731 | |||||||||||
(221,582,546 | ) | (668,275,658 | ) | (433,642 | ) | (1,241,269 | ) | |||||||
163,000,732 | 285,631,029 | 1,970,749 | 7,709,071 | |||||||||||
158,173,214 | 255,740,682 | 1,873,444 | 7,652,385 | |||||||||||
$ | 1,115,152,861 | $ | 859,412,179 | $ | 7,652,385 | $ | – | |||||||
$ | 1,273,326,075 | $ | 1,115,152,861 | $ | 9,525,829 | $ | 7,652,385 | |||||||
$ | (8,791,306 | ) | $ | (424,017 | ) | $ | (35,680 | ) | $ | 3,850 |
See Notes to Financial Statements. | 395 |
Statements of Changes in Net Assets (concluded)
Short Duration Income Fund | ||||||||
For the | ||||||||
Six Months Ended | For the | |||||||
May 31, 2018 | Year Ended | |||||||
INCREASE (DECREASE) IN NET ASSETS | (unaudited) | November 30, 2017 | ||||||
Operations: | ||||||||
Net investment income | $ | 518,704,361 | $ | 865,547,947 | ||||
Net realized gain (loss) on investments, futures contracts, forward currency exchange contracts, swaps and foreign currency related transactions | (47,924,085 | ) | 36,409,189 | |||||
Net change in unrealized appreciation/depreciation on investments, futures contracts, forward currency exchange contracts, swaps and translation of assets and liabilities denominated in foreign currencies | (350,554,680 | ) | 58,423,938 | |||||
Net increase (decrease) in net assets resulting from operations | 120,225,596 | 960,381,074 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Class A | (185,451,039 | ) | (403,977,090 | ) | ||||
Class B | (22,448 | ) | (271,639 | ) | ||||
Class C | (89,307,857 | ) | (196,501,968 | ) | ||||
Class F | (281,538,071 | ) | (574,156,876 | ) | ||||
Class F3 | (49,145,290 | ) | (41,496,596 | ) | ||||
Class I | (134,207,060 | ) | (224,210,312 | ) | ||||
Class P | – | – | ||||||
Class R2 | (416,932 | ) | (937,129 | ) | ||||
Class R3 | (5,148,719 | ) | (9,975,742 | ) | ||||
Class R4 | (1,536,847 | ) | (2,121,543 | ) | ||||
Class R5 | (556,145 | ) | (774,725 | ) | ||||
Class R6 | (7,842,548 | ) | (9,671,300 | ) | ||||
Class T | (188 | ) | (122 | ) | ||||
Net realized gain | ||||||||
Class A | – | – | ||||||
Class B | – | – | ||||||
Class C | – | – | ||||||
Class F | – | – | ||||||
Class F3 | – | – | ||||||
Class I | – | – | ||||||
Class P | – | – | ||||||
Class R2 | – | – | ||||||
Class R3 | – | – | ||||||
Class R4 | – | – | ||||||
Class R5 | – | – | ||||||
Class R6 | – | – | ||||||
Class T | – | – | ||||||
Total distributions to shareholders | (755,173,144 | ) | (1,464,095,042 | ) | ||||
Capital share transactions (See Note 15): | ||||||||
Net proceeds from sales of shares | 8,778,603,473 | 25,586,749,592 | ||||||
Reinvestment of distributions | 650,598,049 | 1,203,245,949 | ||||||
Cost of shares reacquired | (11,038,354,723 | ) | (20,823,458,235 | ) | ||||
Redemptions in-kind (See Note 6) | – | (41,912,779 | ) | |||||
Net increase (decrease) in net assets resulting from capital share transactions | (1,609,153,201 | ) | 5,924,624,527 | |||||
Net increase (decrease) in net assets | (2,244,100,749 | ) | 5,420,910,559 | |||||
NET ASSETS: | ||||||||
Beginning of period | $ | 42,471,969,022 | $ | 37,051,058,463 | ||||
End of period | $ | 40,227,868,273 | $ | 42,471,969,022 | ||||
Undistributed (distributions in excess of) net investment income | $ | (256,464,250 | ) | $ | (19,995,467 | ) |
396 | See Notes to Financial Statements. |
Total Return Fund | Ultra Short Bond Fund | |||||||||||||
For the | For the | |||||||||||||
Six Months Ended | For the | Six Months Ended | For the | |||||||||||
May 31, 2018 | Year Ended | May 31, 2018 | Year Ended | |||||||||||
(unaudited) | November 30, 2017 | (unaudited) | November 30, 2017 | |||||||||||
$ | 50,215,684 | $ | 71,749,371 | $ | 31,830,505 | $ | 7,962,924 | |||||||
(58,836,867 | ) | 562,756 | 63,821 | 57,771 | ||||||||||
(43,073,885 | ) | 44,605,266 | (660,531 | ) | 7,704 | |||||||||
(51,695,068 | ) | 116,917,393 | 31,233,795 | 8,028,399 | ||||||||||
(18,622,930 | ) | (33,725,577 | ) | (20,151,120 | ) | (5,383,454 | ) | |||||||
(6,057 | ) | (85,892 | ) | – | – | |||||||||
(1,905,466 | ) | (3,667,830 | ) | – | – | |||||||||
(14,073,286 | ) | (29,716,476 | ) | (8,984,521 | ) | (2,044,522 | ) | |||||||
(10,324,073 | ) | (2,349,939 | ) | (991,325 | ) | (118,057 | ) | |||||||
(6,419,237 | ) | (8,788,190 | ) | (1,815,079 | ) | (406,899 | ) | |||||||
(7,711 | ) | (16,399 | ) | – | – | |||||||||
(84,075 | ) | (190,647 | ) | – | – | |||||||||
(1,708,866 | ) | (3,184,120 | ) | – | – | |||||||||
(1,011,206 | ) | (1,335,101 | ) | – | – | |||||||||
(1,413,512 | ) | (1,570,766 | ) | (2,766 | ) | (3,479 | ) | |||||||
(2,952,365 | ) | (3,154,398 | ) | (13,485 | ) | (3,947 | ) | |||||||
(148 | ) | (86 | ) | – | – | |||||||||
– | (4,168,603 | ) | (48,592 | ) | – | |||||||||
– | (23,897 | ) | – | – | ||||||||||
– | (653,166 | ) | – | – | ||||||||||
– | (2,740,003 | ) | (17,717 | ) | – | |||||||||
– | – | (1,523 | ) | – | ||||||||||
– | (937,456 | ) | (3,514 | ) | – | |||||||||
– | (3,007 | ) | – | – | ||||||||||
– | (23,479 | ) | – | – | ||||||||||
– | (428,068 | ) | – | – | ||||||||||
– | (97,475 | ) | – | – | ||||||||||
– | (85,325 | ) | (9 | ) | – | |||||||||
– | (215,980 | ) | (9 | ) | – | |||||||||
– | – | – | – | |||||||||||
(58,528,932 | ) | (97,161,880 | ) | (32,029,660 | ) | (7,960,358 | ) | |||||||
696,924,370 | 2,472,449,374 | 5,101,621,266 | 2,838,918,619 | |||||||||||
52,017,764 | 84,195,399 | 31,970,215 | 8,069,131 | |||||||||||
(616,229,830 | ) | (1,761,850,733 | ) | (2,100,664,408 | ) | (589,043,225 | ) | |||||||
– | – | – | – | |||||||||||
132,712,304 | 794,794,040 | 3,032,927,073 | 2,257,944,525 | |||||||||||
22,488,304 | 814,549,553 | 3,032,131,208 | 2,258,012,566 | |||||||||||
$ | 3,770,087,519 | $ | 2,955,537,966 | $ | 2,268,691,250 | $ | 10,678,684 | |||||||
$ | 3,792,575,823 | $ | 3,770,087,519 | $ | 5,300,822,458 | $ | 2,268,691,250 | |||||||
$ | (9,325,026 | ) | $ | (1,011,778 | ) | $ | (75,767 | ) | $ | 52,024 |
See Notes to Financial Statements. | 397 |
Financial Highlights (unaudited)
CONVERTIBLE FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Distributions to | ||||||||||||||||||||||||||||
Investment operations: | shareholders from: | |||||||||||||||||||||||||||
Net | Total | |||||||||||||||||||||||||||
Net | realized | from | ||||||||||||||||||||||||||
asset | Net | and | invest- | |||||||||||||||||||||||||
value, | invest- | unrealized | ment | Net | Net | Total | ||||||||||||||||||||||
beginning | ment | gain | opera- | investment | realized | distri- | ||||||||||||||||||||||
of period | income(a) | (loss) | tions | income | gain | butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
5/31/2018(c) | $13.31 | $0.08 | $ 0.46 | $ | 0.54 | $ (0.20 | ) | $ | – | $(0.20 | ) | |||||||||||||||||
11/30/2017 | 11.65 | 0.20 | 1.83 | 2.03 | (0.37 | ) | – | (0.37 | ) | |||||||||||||||||||
11/30/2016 | 11.13 | 0.26 | 0.67 | 0.93 | (0.41 | ) | – | (0.41 | ) | |||||||||||||||||||
11/30/2015 | 13.59 | 0.17 | (0.99 | ) | (0.82 | ) | (0.32 | ) | (1.32 | ) | (1.64 | ) | ||||||||||||||||
11/30/2014 | 13.66 | 0.14 | 0.98 | 1.12 | (0.29 | ) | (0.90 | ) | (1.19 | ) | ||||||||||||||||||
11/30/2013 | 11.12 | 0.18 | 2.63 | 2.81 | (0.27 | ) | – | (0.27 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2018(c) | 13.23 | 0.03 | 0.46 | 0.49 | (0.16 | ) | – | (0.16 | ) | |||||||||||||||||||
11/30/2017 | 11.57 | 0.13 | 1.83 | 1.96 | (0.30 | ) | – | (0.30 | ) | |||||||||||||||||||
11/30/2016 | 11.07 | 0.19 | 0.65 | 0.84 | (0.34 | ) | – | (0.34 | ) | |||||||||||||||||||
11/30/2015 | 13.52 | 0.10 | (0.99 | ) | (0.89 | ) | (0.24 | ) | (1.32 | ) | (1.56 | ) | ||||||||||||||||
11/30/2014 | 13.59 | 0.06 | 0.98 | 1.04 | (0.21 | ) | (0.90 | ) | (1.11 | ) | ||||||||||||||||||
11/30/2013 | 11.06 | 0.10 | 2.63 | 2.73 | (0.20 | ) | – | (0.20 | ) | |||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2018(c) | 13.32 | 0.08 | 0.46 | 0.54 | (0.21 | ) | – | (0.21 | ) | |||||||||||||||||||
11/30/2017 | 11.65 | 0.22 | 1.84 | 2.06 | (0.39 | ) | – | (0.39 | ) | |||||||||||||||||||
11/30/2016 | 11.13 | 0.27 | 0.67 | 0.94 | (0.42 | ) | – | (0.42 | ) | |||||||||||||||||||
11/30/2015 | 13.60 | 0.19 | (1.00 | ) | (0.81 | ) | (0.34 | ) | (1.32 | ) | (1.66 | ) | ||||||||||||||||
11/30/2014 | 13.66 | 0.16 | 0.99 | 1.15 | (0.31 | ) | (0.90 | ) | (1.21 | ) | ||||||||||||||||||
11/30/2013 | 11.12 | 0.19 | 2.63 | 2.82 | (0.28 | ) | – | (0.28 | ) | |||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2018(c) | 13.39 | 0.09 | 0.47 | 0.56 | (0.22 | ) | – | (0.22 | ) | |||||||||||||||||||
4/4/2017 to 11/30/2017(f) | 17.35 | 0.16 | (4.01 | ) | (3.85 | ) | (0.11 | ) | – | (0.11 | ) | |||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2018(c) | 13.39 | 0.09 | 0.47 | 0.56 | (0.22 | ) | – | (0.22 | ) | |||||||||||||||||||
11/30/2017 | 11.71 | 0.23 | 1.85 | 2.08 | (0.40 | ) | – | (0.40 | ) | |||||||||||||||||||
11/30/2016 | 11.19 | 0.29 | 0.66 | 0.95 | (0.43 | ) | – | (0.43 | ) | |||||||||||||||||||
11/30/2015 | 13.65 | 0.20 | (0.99 | ) | (0.79 | ) | (0.35 | ) | (1.32 | ) | (1.67 | ) | ||||||||||||||||
11/30/2014 | 13.71 | 0.17 | 0.99 | 1.16 | (0.32 | ) | (0.90 | ) | (1.22 | ) | ||||||||||||||||||
11/30/2013 | 11.16 | 0.20 | 2.65 | 2.85 | (0.30 | ) | – | (0.30 | ) | |||||||||||||||||||
Class P | ||||||||||||||||||||||||||||
5/31/2018(c) | 13.51 | 0.06 | 0.47 | 0.53 | (0.19 | ) | – | (0.19 | ) | |||||||||||||||||||
11/30/2017 | 11.81 | 0.18 | 1.86 | 2.04 | (0.34 | ) | – | (0.34 | ) | |||||||||||||||||||
11/30/2016 | 11.28 | 0.27 | 0.66 | 0.93 | (0.40 | ) | – | (0.40 | ) | |||||||||||||||||||
11/30/2015 | 13.75 | 0.16 | (1.00 | ) | (0.84 | ) | (0.31 | ) | (1.32 | ) | (1.63 | ) | ||||||||||||||||
11/30/2014 | 13.80 | 0.11 | 1.00 | 1.11 | (0.26 | ) | (0.90 | ) | (1.16 | ) | ||||||||||||||||||
11/30/2013 | 11.23 | 0.15 | 2.66 | 2.81 | (0.24 | ) | – | (0.24 | ) |
398 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||||||
Total | ||||||||||||||||||||||||||
expenses | ||||||||||||||||||||||||||
after | ||||||||||||||||||||||||||
Net | waivers | Net | Net | |||||||||||||||||||||||
asset | and/or | invest- | assets, | Portfolio | ||||||||||||||||||||||
value, | Total | reimburse- | Total | ment | end of | turnover | ||||||||||||||||||||
end of | return(b) | ments | expenses | income | period | rate | ||||||||||||||||||||
period | (%) | (%) | (%) | (%) | (000) | (%) | ||||||||||||||||||||
$ | 13.65 | 4.15 | (d) | 1.02 | (e) | 1.02 | (e) | 1.16 | (e) | $ | 147,943 | 107 | (d) | |||||||||||||
13.31 | 17.86 | 1.03 | 1.04 | 1.63 | 116,819 | 224 | ||||||||||||||||||||
11.65 | 8.63 | 1.06 | 1.14 | 2.45 | 75,091 | 241 | ||||||||||||||||||||
11.13 | (6.71 | ) | 1.06 | 1.11 | 1.44 | 104,761 | 223 | |||||||||||||||||||
13.59 | 8.99 | 1.06 | 1.11 | 1.09 | 171,401 | 174 | ||||||||||||||||||||
13.66 | 25.74 | 1.06 | 1.12 | 1.42 | 113,956 | 160 | ||||||||||||||||||||
13.56 | 3.77 | (d) | 1.67 | (e) | 1.67 | (e) | 0.49 | (e) | 36,988 | 107 | (d) | |||||||||||||||
13.23 | 17.25 | 1.65 | 1.66 | 1.06 | 42,574 | 224 | ||||||||||||||||||||
11.57 | 7.88 | 1.69 | 1.77 | 1.82 | 36,351 | 241 | ||||||||||||||||||||
11.07 | (7.36 | ) | 1.71 | 1.76 | 0.80 | 51,655 | 223 | |||||||||||||||||||
13.52 | 8.36 | 1.71 | 1.76 | 0.44 | 68,685 | 174 | ||||||||||||||||||||
13.59 | 25.02 | 1.68 | 1.73 | 0.82 | 58,045 | 160 | ||||||||||||||||||||
13.65 | 4.12 | (d) | 0.92 | (e) | 0.92 | (e) | 1.26 | (e) | 188,894 | 107 | (d) | |||||||||||||||
13.32 | 18.06 | 0.93 | 0.93 | 1.71 | 148,917 | 224 | ||||||||||||||||||||
11.65 | 8.74 | 0.96 | 1.04 | 2.50 | 80,847 | 241 | ||||||||||||||||||||
11.13 | (6.67 | ) | 0.96 | 1.02 | 1.55 | 96,774 | 223 | |||||||||||||||||||
13.60 | 9.18 | 0.96 | 1.01 | 1.19 | 132,982 | 174 | ||||||||||||||||||||
13.66 | 25.86 | 0.96 | 1.02 | 1.50 | 75,696 | 160 | ||||||||||||||||||||
13.73 | 4.23 | (d) | 0.80 | (e) | 0.80 | (e) | 1.38 | (e) | 5,446 | 107 | (d) | |||||||||||||||
13.39 | 10.06 | (d) | 0.81 | (e) | 0.82 | (e) | 1.84 | (e) | 3,884 | 224 | ||||||||||||||||
13.73 | 4.23 | (d) | 0.82 | (e) | 0.82 | (e) | 1.35 | (e) | 510,558 | 107 | (d) | |||||||||||||||
13.39 | 18.16 | 0.83 | 0.84 | 1.84 | 553,681 | 224 | ||||||||||||||||||||
11.71 | 8.91 | 0.86 | 0.94 | 2.66 | 373,793 | 241 | ||||||||||||||||||||
11.19 | (6.57 | ) | 0.86 | 0.92 | 1.66 | 448,316 | 223 | |||||||||||||||||||
13.65 | 9.24 | 0.86 | 0.91 | 1.30 | 466,537 | 174 | ||||||||||||||||||||
13.71 | 25.98 | 0.86 | 0.92 | 1.64 | 364,317 | 160 | ||||||||||||||||||||
13.85 | 3.97 | (d) | 1.27 | (e) | 1.27 | (e) | 0.91 | (e) | 60 | 107 | (d) | |||||||||||||||
13.51 | 17.66 | 1.27 | 1.28 | 1.43 | 56 | 224 | ||||||||||||||||||||
11.81 | 8.48 | 1.18 | 1.25 | 2.44 | 32 | 241 | ||||||||||||||||||||
11.28 | (6.81 | ) | 1.17 | 1.22 | 1.35 | 46 | 223 | |||||||||||||||||||
13.75 | 8.77 | 1.31 | 1.36 | 0.84 | 51 | 174 | ||||||||||||||||||||
13.80 | 25.45 | 1.30 | 1.36 | 1.18 | 43 | 160 |
See Notes to Financial Statements. | 399 |
Financial Highlights (unaudited)(continued)
CONVERTIBLE FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Distributions to | ||||||||||||||||||||||||||||
Investment operations: | shareholders from: | |||||||||||||||||||||||||||
Net | Total | |||||||||||||||||||||||||||
Net | realized | from | ||||||||||||||||||||||||||
asset | Net | and | invest- | |||||||||||||||||||||||||
value, | invest- | unrealized | ment | Net | Net | Total | ||||||||||||||||||||||
beginning | ment | gain | opera- | investment | realized | distri- | ||||||||||||||||||||||
of period | income(a) | (loss) | tions | income | gain | butions | ||||||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
5/31/2018(c) | $13.49 | $0.05 | $ 0.47 | $ 0.52 | $ (0.17 | ) | $ | – | $ (0.17 | ) | ||||||||||||||||||
11/30/2017 | 11.79 | 0.17 | 1.85 | 2.02 | (0.32 | ) | – | (0.32 | ) | |||||||||||||||||||
11/30/2016 | 11.26 | 0.22 | 0.66 | 0.88 | (0.35 | ) | – | (0.35 | ) | |||||||||||||||||||
11/30/2015 | 13.73 | 0.12 | (1.00 | ) | (0.88 | ) | (0.27 | ) | (1.32 | ) | (1.59 | ) | ||||||||||||||||
11/30/2014 | 13.78 | 0.09 | 1.00 | 1.09 | (0.24 | ) | (0.90 | ) | (1.14 | ) | ||||||||||||||||||
11/30/2013 | 11.22 | 0.12 | 2.66 | 2.78 | (0.22 | ) | – | (0.22 | ) | |||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2018(c) | 13.26 | 0.06 | 0.46 | 0.52 | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||||
11/30/2017 | 11.60 | 0.17 | 1.83 | 2.00 | (0.34 | ) | – | (0.34 | ) | |||||||||||||||||||
11/30/2016 | 11.09 | 0.23 | 0.66 | 0.89 | (0.38 | ) | – | (0.38 | ) | |||||||||||||||||||
11/30/2015 | 13.55 | 0.14 | (0.99 | ) | (0.85 | ) | (0.29 | ) | (1.32 | ) | (1.61 | ) | ||||||||||||||||
11/30/2014 | 13.62 | 0.10 | 0.99 | 1.09 | (0.26 | ) | (0.90 | ) | (1.16 | ) | ||||||||||||||||||
11/30/2013 | 11.09 | 0.14 | 2.63 | 2.77 | (0.24 | ) | – | (0.24 | ) | |||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2018(c) | 13.31 | 0.07 | 0.47 | 0.54 | (0.20 | ) | – | (0.20 | ) | |||||||||||||||||||
11/30/2017 | 11.64 | 0.20 | 1.84 | 2.04 | (0.37 | ) | – | (0.37 | ) | |||||||||||||||||||
11/30/2016 | 11.14 | 0.25 | 0.66 | 0.91 | (0.41 | ) | – | (0.41 | ) | |||||||||||||||||||
6/30/2015 to 11/30/2015(g) | 12.11 | 0.08 | (1.00 | ) | (0.92 | ) | (0.05 | ) | – | (0.05 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
5/31/2018(c) | 13.38 | 0.10 | 0.46 | 0.56 | (0.22 | ) | – | (0.22 | ) | |||||||||||||||||||
11/30/2017 | 11.70 | 0.21 | 1.87 | 2.08 | (0.40 | ) | – | (0.40 | ) | |||||||||||||||||||
11/30/2016 | 11.19 | 0.29 | 0.65 | 0.94 | (0.43 | ) | – | (0.43 | ) | |||||||||||||||||||
6/30/2015 to 11/30/2015(g) | 12.16 | 0.09 | (1.00 | ) | (0.91 | ) | (0.06 | ) | – | (0.06 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
5/31/2018(c) | 13.39 | 0.09 | 0.48 | 0.57 | (0.22 | ) | – | (0.22 | ) | |||||||||||||||||||
11/30/2017 | 11.71 | 0.23 | 1.85 | 2.08 | (0.40 | ) | – | (0.40 | ) | |||||||||||||||||||
11/30/2016 | 11.19 | 0.33 | 0.62 | 0.95 | (0.43 | ) | – | (0.43 | ) | |||||||||||||||||||
6/30/2015 to 11/30/2015(g) | 12.16 | 0.09 | (1.00 | ) | (0.91 | ) | (0.06 | ) | – | (0.06 | ) |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for Classes A and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(c) | Unaudited. |
(d) | Not annualized. |
(e) | Annualized. |
(f) | Commenced on April 4, 2017. |
(g) | Commenced on June 30, 2015. |
400 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||||||
Total | ||||||||||||||||||||||||||
expenses | ||||||||||||||||||||||||||
after | ||||||||||||||||||||||||||
Net | waivers | Net | Net | |||||||||||||||||||||||
asset | and/or | invest- | assets, | Portfolio | ||||||||||||||||||||||
value, | Total | reimburse- | Total | ment | end of | turnover | ||||||||||||||||||||
end of | return(b) | ments | expenses | income | period | rate | ||||||||||||||||||||
period | (%) | (%) | (%) | (%) | (000) | (%) | ||||||||||||||||||||
$ | 13.84 | 3.94 | (d) | 1.42 | (e) | 1.42 | (e) | 0.75 | (e) | $ | 80 | 107 | (d) | |||||||||||||
13.49 | 17.49 | 1.43 | 1.44 | 1.32 | 119 | 224 | ||||||||||||||||||||
11.79 | 8.07 | 1.47 | 1.54 | 2.03 | 125 | 241 | ||||||||||||||||||||
11.26 | (7.10 | ) | 1.46 | 1.52 | 1.02 | 252 | 223 | |||||||||||||||||||
13.73 | 8.65 | 1.46 | 1.51 | 0.70 | 380 | 174 | ||||||||||||||||||||
13.78 | 25.19 | 1.45 | 1.52 | 0.99 | 161 | 160 | ||||||||||||||||||||
13.60 | 4.00 | (d) | 1.32 | (e) | 1.32 | (e) | 0.84 | (e) | 6,723 | 107 | (d) | |||||||||||||||
13.26 | 17.61 | 1.32 | 1.32 | 1.34 | 5,577 | 224 | ||||||||||||||||||||
11.60 | 8.26 | 1.35 | 1.43 | 2.15 | 2,939 | 241 | ||||||||||||||||||||
11.09 | (7.00 | ) | 1.35 | 1.41 | 1.17 | 3,074 | 223 | |||||||||||||||||||
13.55 | 8.73 | 1.36 | 1.41 | 0.79 | 3,143 | 174 | ||||||||||||||||||||
13.62 | 25.38 | 1.35 | 1.41 | 1.11 | 1,924 | 160 | ||||||||||||||||||||
13.65 | 4.12 | (d) | 1.07 | (e) | 1.07 | (e) | 1.11 | (e) | 63 | 107 | (d) | |||||||||||||||
13.31 | 17.90 | 1.08 | 1.08 | 1.61 | 59 | 224 | ||||||||||||||||||||
11.64 | 8.53 | 1.09 | 1.16 | 2.21 | 47 | 241 | ||||||||||||||||||||
11.14 | (7.56 | )(d) | 1.10 | (e) | 1.18 | (e) | 1.65 | (e) | 9 | 223 | ||||||||||||||||
13.72 | 4.23 | (d) | 0.83 | (e) | 0.83 | (e) | 1.42 | (e) | 123 | 107 | (d) | |||||||||||||||
13.38 | 18.18 | 0.83 | 0.83 | 1.63 | 139 | 224 | ||||||||||||||||||||
11.70 | 8.82 | 0.87 | 0.92 | 2.67 | 10 | 241 | ||||||||||||||||||||
11.19 | (7.47 | )(d) | 0.86 | (e) | 0.93 | (e) | 1.89 | (e) | 9 | 223 | ||||||||||||||||
13.74 | 4.30 | (d) | 0.80 | (e) | 0.80 | (e) | 1.31 | (e) | 8,886 | 107 | (d) | |||||||||||||||
13.39 | 18.16 | 0.81 | 0.81 | 1.77 | 2,573 | 224 | ||||||||||||||||||||
11.71 | 8.92 | 0.83 | 0.85 | 2.96 | 115 | 241 | ||||||||||||||||||||
11.19 | (7.47 | )(d) | 0.81 | (e) | 0.84 | (e) | 1.94 | (e) | 9 | 223 |
See Notes to Financial Statements. | 401 |
Financial Highlights (unaudited)(continued)
CORE FIXED INCOME FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
5/31/2018(c) | $10.87 | $0.11 | $(0.26 | ) | $(0.15 | ) | $(0.14 | ) | $ | – | $(0.14 | ) | ||||||||||||||||
11/30/2017 | 10.80 | 0.18 | 0.14 | 0.32 | (0.25 | ) | – | (0.25 | ) | |||||||||||||||||||
11/30/2016 | 10.86 | 0.18 | 0.04 | 0.22 | (0.26 | ) | (0.02 | ) | (0.28 | ) | ||||||||||||||||||
11/30/2015 | 11.11 | 0.18 | (0.16 | ) | 0.02 | (0.27 | ) | – | (0.27 | ) | ||||||||||||||||||
11/30/2014 | 10.78 | 0.14 | 0.45 | 0.59 | (0.26 | ) | – | (0.26 | ) | |||||||||||||||||||
11/30/2013 | 11.40 | 0.13 | (0.33 | ) | (0.20 | ) | (0.24 | ) | (0.18 | ) | (0.42 | ) | ||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2018(c) | 10.82 | 0.08 | (0.25 | ) | (0.17 | ) | (0.11 | ) | – | (0.11 | ) | |||||||||||||||||
11/30/2017 | 10.75 | 0.12 | 0.13 | 0.25 | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||||
11/30/2016 | 10.81 | 0.11 | 0.04 | 0.15 | (0.19 | ) | (0.02 | ) | (0.21 | ) | ||||||||||||||||||
11/30/2015 | 11.06 | 0.11 | (0.16 | ) | (0.05 | ) | (0.20 | ) | – | (0.20 | ) | |||||||||||||||||
11/30/2014 | 10.73 | 0.07 | 0.45 | 0.52 | (0.19 | ) | – | (0.19 | ) | |||||||||||||||||||
11/30/2013 | 11.35 | 0.06 | (0.34 | ) | (0.28 | ) | (0.16 | ) | (0.18 | ) | (0.34 | ) | ||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2018(c) | 10.87 | 0.12 | (0.26 | ) | (0.14 | ) | (0.15 | ) | – | (0.15 | ) | |||||||||||||||||
11/30/2017 | 10.80 | 0.19 | 0.14 | 0.33 | (0.26 | ) | – | (0.26 | ) | |||||||||||||||||||
11/30/2016 | 10.86 | 0.19 | 0.04 | 0.23 | (0.27 | ) | (0.02 | ) | (0.29 | ) | ||||||||||||||||||
11/30/2015 | 11.11 | 0.19 | (0.16 | ) | 0.03 | (0.28 | ) | – | (0.28 | ) | ||||||||||||||||||
11/30/2014 | 10.78 | 0.15 | 0.45 | 0.60 | (0.27 | ) | – | (0.27 | ) | |||||||||||||||||||
11/30/2013 | 11.40 | 0.14 | (0.33 | ) | (0.19 | ) | (0.25 | ) | (0.18 | ) | (0.43 | ) | ||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2018(c) | 10.87 | 0.13 | (0.26 | ) | (0.13 | ) | (0.16 | ) | – | (0.16 | ) | |||||||||||||||||
4/4/2017 to 11/30/2017(f) | 10.84 | 0.15 | 0.06 | 0.21 | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2018(c) | 10.86 | 0.12 | (0.24 | ) | (0.12 | ) | (0.16 | ) | – | (0.16 | ) | |||||||||||||||||
11/30/2017 | 10.80 | 0.21 | 0.12 | 0.33 | (0.27 | ) | – | (0.27 | ) | |||||||||||||||||||
11/30/2016 | 10.86 | 0.21 | 0.03 | 0.24 | (0.28 | ) | (0.02 | ) | (0.30 | ) | ||||||||||||||||||
11/30/2015 | 11.11 | 0.20 | (0.16 | ) | 0.04 | (0.29 | ) | – | (0.29 | ) | ||||||||||||||||||
11/30/2014 | 10.78 | 0.16 | 0.45 | 0.61 | (0.28 | ) | – | (0.28 | ) | |||||||||||||||||||
11/30/2013 | 11.40 | 0.15 | (0.33 | ) | (0.18 | ) | (0.26 | ) | (0.18 | ) | (0.44 | ) | ||||||||||||||||
Class P | ||||||||||||||||||||||||||||
5/31/2018(c) | 11.00 | 0.22 | (0.35 | ) | (0.13 | ) | (0.17 | ) | – | (0.17 | ) | |||||||||||||||||
11/30/2017 | 10.84 | 0.16 | 0.30 | 0.46 | (0.30 | ) | – | (0.30 | ) | |||||||||||||||||||
11/30/2016 | 10.90 | 0.16 | 0.03 | 0.19 | (0.23 | ) | (0.02 | ) | (0.25 | ) | ||||||||||||||||||
11/30/2015 | 11.15 | 0.16 | (0.16 | ) | – | (0.25 | ) | – | (0.25 | ) | ||||||||||||||||||
11/30/2014 | 10.82 | 0.12 | 0.44 | 0.56 | (0.23 | ) | – | (0.23 | ) | |||||||||||||||||||
11/30/2013 | 11.44 | 0.10 | (0.33 | ) | (0.23 | ) | (0.21 | ) | (0.18 | ) | (0.39 | ) |
402 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return(b) (%) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$10.58 | (1.34 | )(d) | 0.65 | (e) | 0.78 | (e) | 2.14 | (e) | $435,955 | 320 | (d) | |||||||||||||||
10.87 | 2.96 | 0.66 | 0.86 | 1.70 | 460,291 | 466 | ||||||||||||||||||||
10.80 | 2.00 | 0.66 | 0.86 | 1.65 | 478,353 | 556 | ||||||||||||||||||||
10.86 | 0.18 | 0.66 | 0.86 | 1.62 | 434,185 | 494 | ||||||||||||||||||||
11.11 | 5.52 | 0.84 | 0.85 | 1.30 | 399,393 | 576 | ||||||||||||||||||||
10.78 | (1.79 | ) | 0.85 | 0.85 | 1.16 | 401,904 | 735 | |||||||||||||||||||
10.54 | (1.57 | )(d) | 1.27 | (e) | 1.41 | (e) | 1.51 | (e) | 52,129 | 320 | (d) | |||||||||||||||
10.82 | 2.33 | 1.28 | 1.48 | 1.07 | 66,387 | 466 | ||||||||||||||||||||
10.75 | 1.36 | 1.28 | 1.48 | 1.03 | 86,326 | 556 | ||||||||||||||||||||
10.81 | (0.45 | ) | 1.28 | 1.48 | 0.99 | 80,477 | 494 | |||||||||||||||||||
11.06 | 4.89 | 1.46 | 1.47 | 0.68 | 82,120 | 576 | ||||||||||||||||||||
10.73 | (2.45 | ) | 1.51 | 1.51 | 0.51 | 94,953 | 735 | |||||||||||||||||||
10.58 | (1.29 | )(d) | 0.55 | (e) | 0.69 | (e) | 2.22 | (e) | 149,336 | 320 | (d) | |||||||||||||||
10.87 | 3.07 | 0.55 | 0.75 | 1.78 | 196,037 | 466 | ||||||||||||||||||||
10.80 | 2.09 | 0.55 | 0.75 | 1.76 | 381,062 | 556 | ||||||||||||||||||||
10.86 | 0.28 | 0.56 | 0.76 | 1.71 | 397,366 | 494 | ||||||||||||||||||||
11.11 | 5.63 | 0.73 | 0.75 | 1.40 | 353,154 | 576 | ||||||||||||||||||||
10.78 | (1.70 | ) | 0.75 | 0.75 | 1.26 | 297,303 | 735 | |||||||||||||||||||
10.58 | (1.19 | )(d) | 0.34 | (e) | 0.47 | (e) | 2.44 | (e) | 313,026 | 320 | (d) | |||||||||||||||
10.87 | 1.99 | (d) | 0.35 | (e) | 0.55 | (e) | 2.14 | (e) | 300,983 | 466 | ||||||||||||||||
10.58 | (1.15 | )(d) | 0.44 | (e) | 0.58 | (e) | 2.35 | (e) | 203,828 | 320 | (d) | |||||||||||||||
10.86 | 3.07 | 0.46 | 0.66 | 1.90 | 190,063 | 466 | ||||||||||||||||||||
10.80 | 2.20 | 0.46 | 0.66 | 1.88 | 152,207 | 556 | ||||||||||||||||||||
10.86 | 0.38 | 0.46 | 0.66 | 1.81 | 356,372 | 494 | ||||||||||||||||||||
11.11 | 5.73 | 0.64 | 0.65 | 1.51 | 407,023 | 576 | ||||||||||||||||||||
10.78 | (1.60 | ) | 0.66 | 0.66 | 1.36 | 421,016 | 735 | |||||||||||||||||||
10.70 | (0.64 | )(d) | 0.90 | 1.03 | 3.17 | (e) | – | (g) | 320 | (d) | ||||||||||||||||
11.00 | 3.76 | 0.86 | 1.05 | 1.46 | – | (g) | 466 | |||||||||||||||||||
10.84 | 1.79 | 0.88 | 1.08 | 1.45 | 12 | 556 | ||||||||||||||||||||
10.90 | (0.01 | ) | 0.87 | 1.06 | 1.42 | 12 | 494 | |||||||||||||||||||
11.15 | 5.26 | 1.09 | 1.09 | 1.06 | 12 | 576 | ||||||||||||||||||||
10.82 | (2.03 | ) | 1.11 | 1.11 | 0.92 | 47 | 735 |
See Notes to Financial Statements. | 403 |
Financial Highlights (unaudited)(continued)
CORE FIXED INCOME FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
5/31/2018(c) | $10.87 | $0.09 | $(0.25 | ) | $(0.16 | ) | $(0.12 | ) | $ – | $(0.12 | ) | |||||||||||||||||
11/30/2017 | 10.80 | 0.14 | 0.13 | 0.27 | (0.20 | ) | – | (0.20 | ) | |||||||||||||||||||
11/30/2016 | 10.86 | 0.13 | 0.04 | 0.17 | (0.21 | ) | (0.02 | ) | (0.23 | ) | ||||||||||||||||||
11/30/2015 | 11.12 | 0.13 | (0.16 | ) | (0.03 | ) | (0.23 | ) | – | (0.23 | ) | |||||||||||||||||
11/30/2014 | 10.78 | 0.10 | 0.46 | 0.56 | (0.22 | ) | – | (0.22 | ) | |||||||||||||||||||
11/30/2013 | 11.40 | 0.08 | (0.33 | ) | (0.25 | ) | (0.19 | ) | (0.18 | ) | (0.37 | ) | ||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2018(c) | 10.87 | 0.10 | (0.25 | ) | (0.15 | ) | (0.13 | ) | – | (0.13 | ) | |||||||||||||||||
11/30/2017 | 10.80 | 0.15 | 0.14 | 0.29 | (0.22 | ) | – | (0.22 | ) | |||||||||||||||||||
11/30/2016 | 10.86 | 0.15 | 0.03 | 0.18 | (0.22 | ) | (0.02 | ) | (0.24 | ) | ||||||||||||||||||
11/30/2015 | 11.11 | 0.15 | (0.16 | ) | (0.01 | ) | (0.24 | ) | – | (0.24 | ) | |||||||||||||||||
11/30/2014 | 10.78 | 0.11 | 0.45 | 0.56 | (0.23 | ) | – | (0.23 | ) | |||||||||||||||||||
11/30/2013 | 11.40 | 0.10 | (0.34 | ) | (0.24 | ) | (0.20 | ) | (0.18 | ) | (0.38 | ) | ||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2018(c) | 10.87 | 0.11 | (0.26 | ) | (0.15 | ) | (0.14 | ) | – | (0.14 | ) | |||||||||||||||||
11/30/2017 | 10.80 | 0.18 | 0.13 | 0.31 | (0.24 | ) | – | (0.24 | ) | |||||||||||||||||||
11/30/2016 | 10.86 | 0.17 | 0.04 | 0.21 | (0.25 | ) | (0.02 | ) | (0.27 | ) | ||||||||||||||||||
6/30/2015 to 11/30/2015(h) | 10.93 | 0.08 | (0.04 | ) | 0.04 | (0.11 | ) | – | (0.11 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
5/31/2018(c) | 10.87 | 0.13 | (0.26 | ) | (0.13 | ) | (0.16 | ) | – | (0.16 | ) | |||||||||||||||||
11/30/2017 | 10.80 | 0.21 | 0.13 | 0.34 | (0.27 | ) | – | (0.27 | ) | |||||||||||||||||||
11/30/2016 | 10.86 | 0.20 | 0.04 | 0.24 | (0.28 | ) | (0.02 | ) | (0.30 | ) | ||||||||||||||||||
6/30/2015 to 11/30/2015(h) | 10.93 | 0.09 | (0.04 | ) | 0.05 | (0.12 | ) | – | (0.12 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
5/31/2018(c) | 10.86 | 0.13 | (0.25 | ) | (0.12 | ) | (0.16 | ) | – | (0.16 | ) | |||||||||||||||||
11/30/2017 | 10.80 | 0.22 | 0.12 | 0.34 | (0.28 | ) | – | (0.28 | ) | |||||||||||||||||||
11/30/2016 | 10.85 | 0.22 | 0.04 | 0.26 | (0.29 | ) | (0.02 | ) | (0.31 | ) | ||||||||||||||||||
6/30/2015 to 11/30/2015(h) | 10.93 | 0.09 | (0.04 | ) | 0.05 | (0.13 | ) | – | (0.13 | ) |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for Classes A and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(c) | Unaudited. |
(d) | Not annualized. |
(e) | Annualized. |
(f) | Commenced on April 4, 2017. |
(g) | Amount is less than $1,000. |
(h) | Commenced on June 30, 2015. |
404 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return(b) (%) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$10.59 | (1.45 | )(d) | 1.05 | (e) | 1.18 | (e) | 1.74 | (e) | $ 841 | 320 | (d) | |||||||||||||||
10.87 | 2.56 | 1.06 | 1.26 | 1.28 | 951 | 466 | ||||||||||||||||||||
10.80 | 1.59 | 1.05 | 1.25 | 1.22 | 655 | 556 | ||||||||||||||||||||
10.86 | (0.31 | ) | 1.05 | 1.25 | 1.19 | 258 | 494 | |||||||||||||||||||
11.12 | 5.19 | 1.25 | 1.25 | 0.90 | 478 | 576 | ||||||||||||||||||||
10.78 | (2.19 | ) | 1.26 | 1.26 | 0.77 | 1,894 | 735 | |||||||||||||||||||
�� | 10.59 | (1.40 | )(d) | 0.95 | (e) | 1.09 | (e) | 1.83 | (e) | 13,318 | 320 | (d) | ||||||||||||||
10.87 | 2.67 | 0.94 | 1.15 | 1.38 | 15,555 | 466 | ||||||||||||||||||||
10.80 | 1.70 | 0.95 | 1.15 | 1.36 | 21,240 | 556 | ||||||||||||||||||||
10.86 | (0.12 | ) | 0.95 | 1.15 | 1.33 | 28,112 | 494 | |||||||||||||||||||
11.11 | 5.21 | 1.13 | 1.15 | 1.01 | 19,276 | 576 | ||||||||||||||||||||
10.78 | (2.09 | ) | 1.15 | 1.15 | 0.87 | 20,990 | 735 | |||||||||||||||||||
10.58 | (1.37 | )(d) | 0.69 | (e) | 0.82 | (e) | 2.10 | (e) | 7,975 | 320 | (d) | |||||||||||||||
10.87 | 2.92 | 0.72 | 0.92 | 1.65 | 6,544 | 466 | ||||||||||||||||||||
10.80 | 1.97 | 0.71 | 0.91 | 1.52 | 815 | 556 | ||||||||||||||||||||
10.86 | 0.37 | (d) | 0.69 | (e) | 0.89 | (e) | 1.71 | (e) | 10 | 494 | ||||||||||||||||
10.58 | (1.24 | )(d) | 0.44 | (e) | 0.58 | (e) | 2.35 | (e) | 847 | 320 | (d) | |||||||||||||||
10.87 | 3.17 | 0.46 | 0.66 | 1.88 | 802 | 466 | ||||||||||||||||||||
10.80 | 2.24 | 0.45 | 0.65 | 1.78 | 327 | 556 | ||||||||||||||||||||
10.86 | 0.48 | (d) | 0.43 | (e) | 0.63 | (e) | 1.96 | (e) | 10 | 494 | ||||||||||||||||
10.58 | (1.10 | )(d) | 0.34 | (e) | 0.47 | (e) | 2.45 | (e) | 41,459 | 320 | (d) | |||||||||||||||
10.86 | 3.19 | 0.34 | 0.54 | 1.99 | 41,952 | 466 | ||||||||||||||||||||
10.80 | 2.42 | 0.34 | 0.54 | 1.97 | 34,585 | 556 | ||||||||||||||||||||
10.85 | 0.43 | (d) | 0.37 | (e) | 0.57 | (e) | 2.02 | (e) | 31,887 | 494 |
See Notes to Financial Statements. | 405 |
Financial Highlights (unaudited)(continued)
CORE PLUS BOND FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
5/31/2018(c) | $15.14 | $0.23 | $(0.40 | ) | $(0.17 | ) | $(0.26 | ) | $ – | $(0.26 | ) | |||||||||||||||||
11/30/2017 | 15.03 | 0.40 | 0.30 | 0.70 | (0.49 | ) | (0.10 | ) | (0.59 | ) | ||||||||||||||||||
12/2/2015 to 11/30/2016(f) | 15.00 | 0.43 | 0.14 | 0.57 | (0.54 | ) | – | (0.54 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2018(c) | 15.15 | 0.18 | (0.40 | ) | (0.22 | ) | (0.21 | ) | – | (0.21 | ) | |||||||||||||||||
11/30/2017 | 15.04 | 0.30 | 0.29 | 0.59 | (0.38 | ) | (0.10 | ) | (0.48 | ) | ||||||||||||||||||
12/2/2015 to 11/30/2016(f) | 15.00 | 0.31 | 0.15 | 0.46 | (0.42 | ) | – | (0.42 | ) | |||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2018(c) | 15.14 | 0.24 | (0.40 | ) | (0.16 | ) | (0.27 | ) | – | (0.27 | ) | |||||||||||||||||
11/30/2017 | 15.03 | 0.42 | 0.30 | 0.72 | (0.51 | ) | (0.10 | ) | (0.61 | ) | ||||||||||||||||||
12/2/2015 to 11/30/2016(f) | 15.00 | 0.45 | 0.13 | 0.58 | (0.55 | ) | – | (0.55 | ) | |||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2018(c) | 15.15 | 0.25 | (0.39 | ) | (0.14 | ) | (0.29 | ) | – | (0.29 | ) | |||||||||||||||||
4/4/2017 to 11/30/2017(g) | 15.08 | 0.30 | 0.12 | 0.42 | (0.35 | ) | – | (0.35 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2018(c) | 15.14 | 0.25 | (0.40 | ) | (0.15 | ) | (0.28 | ) | – | (0.28 | ) | |||||||||||||||||
11/30/2017 | 15.03 | 0.43 | 0.30 | 0.73 | (0.52 | ) | (0.10 | ) | (0.62 | ) | ||||||||||||||||||
12/2/2015 to 11/30/2016(f) | 15.00 | 0.46 | 0.14 | 0.60 | (0.57 | ) | – | (0.57 | ) | |||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
5/31/2018(c) | 15.14 | 0.20 | (0.39 | ) | (0.19 | ) | (0.24 | ) | – | (0.24 | ) | |||||||||||||||||
11/30/2017 | 15.03 | 0.34 | 0.30 | 0.64 | (0.43 | ) | (0.10 | ) | (0.53 | ) | ||||||||||||||||||
12/2/2015 to 11/30/2016(f) | 15.00 | 0.37 | 0.14 | 0.51 | (0.48 | ) | – | (0.48 | ) | |||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2018(c) | 15.13 | 0.21 | (0.39 | ) | (0.18 | ) | (0.24 | ) | – | (0.24 | ) | |||||||||||||||||
11/30/2017 | 15.03 | 0.36 | 0.29 | 0.65 | (0.45 | ) | (0.10 | ) | (0.55 | ) | ||||||||||||||||||
12/2/2015 to 11/30/2016(f) | 15.00 | 0.39 | 0.13 | 0.52 | (0.49 | ) | – | (0.49 | ) |
406 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return(b) (%) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$ | 14.71 | (1.10 | )(d) | 0.68 | (e) | 2.51 | (e) | 3.12 | (e) | $ | 6,405 | 238 | (d) | |||||||||||||
15.14 | 4.73 | 0.68 | 2.68 | 2.66 | 6,390 | 396 | ||||||||||||||||||||
15.03 | 3.81 | (d) | 0.68 | (e) | 2.25 | (e) | 2.88 | (e) | 5,366 | 390 | ||||||||||||||||
14.72 | (1.44 | )(d) | 1.37 | (e) | 3.18 | (e) | 2.43 | (e) | 775 | 238 | (d) | |||||||||||||||
15.15 | 3.98 | 1.40 | 3.41 | 1.95 | 613 | 396 | ||||||||||||||||||||
15.04 | 3.09 | (d) | 1.46 | (e) | 3.08 | (e) | 2.07 | (e) | 259 | 390 | ||||||||||||||||
14.71 | (1.05 | )(d) | 0.58 | (e) | 2.40 | (e) | 3.21 | (e) | 6,276 | 238 | (d) | |||||||||||||||
15.14 | 4.83 | 0.58 | 2.58 | 2.76 | 6,010 | 396 | ||||||||||||||||||||
15.03 | 3.92 | (d) | 0.58 | (e) | 2.15 | (e) | 2.97 | (e) | 5,119 | 390 | ||||||||||||||||
14.72 | (0.90 | )(d) | 0.43 | (e) | 2.20 | (e) | 3.41 | (e) | 10 | 238 | (d) | |||||||||||||||
15.15 | 2.71 | (d) | 0.39 | (e) | 2.66 | (e) | 3.01 | (e) | 10 | 396 | ||||||||||||||||
14.71 | (1.00 | )(d) | 0.48 | (e) | 2.31 | (e) | 3.32 | (e) | 108 | 238 | (d) | |||||||||||||||
15.14 | 4.94 | 0.48 | 2.48 | 2.86 | 109 | 396 | ||||||||||||||||||||
15.03 | 4.02 | (d) | 0.48 | (e) | 2.05 | (e) | 3.08 | (e) | 104 | 390 | ||||||||||||||||
14.71 | (1.29 | )(d) | 1.08 | (e) | 2.90 | (e) | 2.72 | (e) | 27 | 238 | (d) | |||||||||||||||
15.14 | 4.31 | 1.08 | 3.07 | 2.24 | 27 | 396 | ||||||||||||||||||||
15.03 | 3.41 | (d) | 1.08 | (e) | 2.64 | (e) | 2.47 | (e) | 26 | 390 | ||||||||||||||||
14.71 | (1.24 | )(d) | 0.98 | (e) | 2.80 | (e) | 2.85 | (e) | 27 | 238 | (d) | |||||||||||||||
15.13 | 4.42 | 0.98 | 2.97 | 2.35 | 27 | 396 | ||||||||||||||||||||
15.03 | 3.51 | (d) | 0.97 | (e) | 2.53 | (e) | 2.57 | (e) | 26 | 390 |
See Notes to Financial Statements. | 407 |
Financial Highlights (unaudited)(continued)
CORE PLUS BOND FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2018(c) | $15.14 | $0.23 | $(0.40 | ) | $(0.17 | ) | $(0.26 | ) | $ – | $(0.26 | ) | |||||||||||||||||
11/30/2017 | 15.03 | 0.40 | 0.29 | 0.69 | (0.48 | ) | (0.10 | ) | (0.58 | ) | ||||||||||||||||||
12/2/2015 to 11/30/2016(f) | 15.00 | 0.42 | 0.14 | 0.56 | (0.53 | ) | – | (0.53 | ) | |||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
5/31/2018(c) | 15.14 | 0.25 | (0.40 | ) | (0.15 | ) | (0.28 | ) | – | (0.28 | ) | |||||||||||||||||
11/30/2017 | 15.03 | 0.43 | 0.30 | 0.73 | (0.52 | ) | (0.10 | ) | (0.62 | ) | ||||||||||||||||||
12/2/2015 to 11/30/2016(f) | 15.00 | 0.46 | 0.14 | 0.60 | (0.57 | ) | – | (0.57 | ) | |||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
5/31/2018(c) | 15.14 | 0.25 | (0.40 | ) | (0.15 | ) | (0.28 | ) | – | (0.28 | ) | |||||||||||||||||
11/30/2017 | 15.03 | 0.45 | 0.30 | 0.75 | (0.54 | ) | (0.10 | ) | (0.64 | ) | ||||||||||||||||||
12/2/2015 to 11/30/2016(f) | 15.00 | 0.48 | 0.14 | 0.62 | (0.59 | ) | – | (0.59 | ) |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for Classes A and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(c) | Unaudited. |
(d) | Not annualized. |
(e) | Annualized. |
(f) | Commenced on December 2, 2015. |
(g) | Commenced on April 4, 2017. |
408 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return(b) (%) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$ | 14.71 | (1.12 | )(d) | 0.73 | (e) | 2.53 | (e) | 3.10 | (e) | $ | 27 | 238 | (d) | |||||||||||||
15.14 | 4.68 | 0.74 | 2.73 | 2.58 | 27 | 396 | ||||||||||||||||||||
15.03 | 3.76 | (d) | 0.73 | (e) | 2.29 | (e) | 2.81 | (e) | 26 | 390 | ||||||||||||||||
14.71 | (1.00 | )(d) | 0.48 | (e) | 2.29 | (e) | 3.35 | (e) | 27 | 238 | (d) | |||||||||||||||
15.14 | 4.94 | 0.48 | 2.48 | 2.84 | 27 | 396 | ||||||||||||||||||||
15.03 | 4.01 | (d) | 0.49 | (e) | 2.05 | (e) | 3.06 | (e) | 26 | 390 | ||||||||||||||||
14.71 | (0.97 | )(d) | 0.40 | (e) | 2.27 | (e) | 3.40 | (e) | 27 | 238 | (d) | |||||||||||||||
15.14 | 5.05 | 0.37 | 2.47 | 2.95 | 27 | 396 | ||||||||||||||||||||
15.03 | 4.17 | (d) | 0.33 | (e) | 1.96 | (e) | 3.22 | (e) | 26 | 390 |
See Notes to Financial Statements. | 409 |
Financial Highlights (continued)
CORPORATE BOND FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income | Net realized and unrealized gain (loss)(a) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
5/31/2018(e) | $10.06 | $0.15 | $(0.33 | ) | $(0.18 | ) | $(0.20 | ) | $(0.01 | ) | $(0.21 | ) | ||||||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.17 | 0.13 | 0.30 | (0.24 | ) | – | (0.24 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2018(e) | 10.06 | 0.11 | (0.33 | ) | (0.22 | ) | (0.16 | ) | (0.01 | ) | (0.17 | ) | ||||||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.13 | 0.12 | 0.25 | (0.19 | ) | – | (0.19 | ) | |||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2018(e) | 10.08 | 0.15 | (0.33 | ) | (0.18 | ) | (0.20 | ) | (0.01 | ) | (0.21 | ) | ||||||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.18 | 0.14 | 0.32 | (0.24 | ) | – | (0.24 | ) | |||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2018(e) | 10.06 | 0.16 | (0.33 | ) | (0.17 | ) | (0.21 | ) | (0.01 | ) | (0.22 | ) | ||||||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.19 | 0.13 | 0.32 | (0.26 | ) | – | (0.26 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2018(e) | 10.06 | 0.16 | (0.34 | ) | (0.18 | ) | (0.20 | ) | (0.01 | ) | (0.21 | ) | ||||||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.19 | 0.12 | 0.31 | (0.25 | ) | – | (0.25 | ) | |||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
5/31/2018(e) | 10.06 | 0.13 | (0.33 | ) | (0.20 | ) | (0.18 | ) | (0.01 | ) | (0.19 | ) | ||||||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.15 | 0.12 | 0.27 | (0.21 | ) | – | (0.21 | ) | |||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2018(e) | 10.06 | 0.13 | (0.33 | ) | (0.20 | ) | (0.18 | ) | (0.01 | ) | (0.19 | ) | ||||||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.15 | 0.13 | 0.28 | (0.22 | ) | – | (0.22 | ) | |||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2018(e) | 10.06 | 0.15 | (0.34 | ) | (0.19 | ) | (0.19 | ) | (0.01 | ) | (0.20 | ) | ||||||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.17 | 0.13 | 0.30 | (0.24 | ) | – | (0.24 | ) | |||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
5/31/2018(e) | 10.06 | 0.16 | (0.33 | ) | (0.17 | ) | (0.21 | ) | (0.01 | ) | (0.22 | ) | ||||||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.19 | 0.12 | 0.31 | (0.25 | ) | – | (0.25 | ) | |||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
5/31/2018(e) | 10.06 | 0.16 | (0.33 | ) | (0.17 | ) | (0.21 | ) | (0.01 | ) | (0.22 | ) | ||||||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.19 | 0.13 | 0.32 | (0.26 | ) | – | (0.26 | ) |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for Classes A and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(c) | Not annualized. |
(d) | Annualized. |
(e) | Unaudited. |
(f) | Commenced on April 19, 2017. |
410 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return(b)(c) (%) | Total expenses after waivers and/or reimburse- ments(d) (%) | Total expenses(d) (%) | Net invest- ment income(d) (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$ | 9.67 | (1.87 | ) | 0.68 | 3.85 | 3.00 | $ | 359 | 54 | (c) | ||||||||||||||||
10.06 | 3.01 | 0.68 | 3.99 | 2.80 | 311 | 88 | ||||||||||||||||||||
9.67 | (2.26 | ) | 1.48 | 4.63 | 2.20 | 99 | 54 | (c) | ||||||||||||||||||
10.06 | 2.52 | 1.48 | 4.75 | 2.02 | 102 | 88 | ||||||||||||||||||||
9.69 | (1.82 | ) | 0.58 | 3.76 | 3.09 | 3,170 | 54 | (c) | ||||||||||||||||||
10.08 | 3.27 | 0.58 | 3.82 | 2.89 | 2,614 | 88 | ||||||||||||||||||||
9.67 | (1.73 | ) | 0.38 | 3.55 | 3.30 | 1,521 | 54 | (c) | ||||||||||||||||||
10.06 | 3.20 | 0.38 | 3.67 | 3.10 | 1,548 | 88 | ||||||||||||||||||||
9.67 | (1.80 | ) | 0.48 | 3.76 | 3.18 | 371 | 54 | (c) | ||||||||||||||||||
10.06 | 3.13 | 0.48 | 3.78 | 3.00 | 52 | 88 | ||||||||||||||||||||
9.67 | (2.07 | ) | 1.08 | 4.22 | 2.61 | 25 | 54 | (c) | ||||||||||||||||||
10.06 | 2.76 | 1.08 | 4.38 | 2.40 | 26 | 88 | ||||||||||||||||||||
9.67 | (2.02 | ) | 0.98 | 4.14 | 2.69 | 38 | 54 | (c) | ||||||||||||||||||
10.06 | 2.82 | 0.97 | 4.20 | 2.49 | 39 | 88 | ||||||||||||||||||||
9.67 | (1.90 | ) | 0.73 | 3.88 | 2.96 | 25 | 54 | (c) | ||||||||||||||||||
10.06 | 2.98 | 0.73 | 4.00 | 2.74 | 26 | 88 | ||||||||||||||||||||
9.67 | (1.78 | ) | 0.48 | 3.63 | 3.21 | 25 | 54 | (c) | ||||||||||||||||||
10.06 | 3.14 | 0.48 | 3.79 | 2.99 | 26 | 88 | ||||||||||||||||||||
9.67 | (1.73 | ) | 0.38 | 3.55 | 3.30 | 1,521 | 54 | (c) | ||||||||||||||||||
10.06 | 3.20 | 0.38 | 3.67 | 3.10 | 1,548 | 88 |
See Notes to Financial Statements. | 411 |
Financial Highlights (unaudited)(continued)
FLOATING RATE FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
5/31/2018(c) | $9.18 | $0.22 | $(0.02 | ) | $0.20 | $(0.22 | ) | $ | – | $(0.22 | ) | |||||||||||||||||
11/30/2017 | 9.17 | 0.41 | 0.01 | 0.42 | (0.41 | ) | – | (0.41 | ) | |||||||||||||||||||
11/30/2016 | 8.89 | 0.41 | 0.28 | 0.69 | (0.41 | ) | – | (0.41 | ) | |||||||||||||||||||
11/30/2015 | 9.30 | 0.40 | (0.41 | ) | (0.01 | ) | (0.40 | ) | – | (0.40 | ) | |||||||||||||||||
11/30/2014 | 9.51 | 0.43 | (0.19 | ) | 0.24 | (0.43 | ) | (0.02 | ) | (0.45 | ) | |||||||||||||||||
11/30/2013 | 9.37 | 0.43 | 0.16 | 0.59 | (0.45 | ) | – | (0.45 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2018(c) | 9.18 | 0.19 | (0.01 | ) | 0.18 | (0.19 | ) | – | (0.19 | ) | ||||||||||||||||||
11/30/2017 | 9.17 | 0.35 | 0.01 | 0.36 | (0.35 | ) | – | (0.35 | ) | |||||||||||||||||||
11/30/2016 | 8.89 | 0.35 | 0.28 | 0.63 | (0.35 | ) | – | (0.35 | ) | |||||||||||||||||||
11/30/2015 | 9.31 | 0.34 | (0.42 | ) | (0.08 | ) | (0.34 | ) | – | (0.34 | ) | |||||||||||||||||
11/30/2014 | 9.51 | 0.37 | (0.18 | ) | 0.19 | (0.37 | ) | (0.02 | ) | (0.39 | ) | |||||||||||||||||
11/30/2013 | 9.38 | 0.37 | 0.14 | 0.51 | (0.38 | ) | – | (0.38 | ) | |||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2018(c) | 9.17 | 0.22 | (0.02 | ) | 0.20 | (0.22 | ) | – | (0.22 | ) | ||||||||||||||||||
11/30/2017 | 9.16 | 0.42 | 0.01 | 0.43 | (0.42 | ) | – | (0.42 | ) | |||||||||||||||||||
11/30/2016 | 8.88 | 0.42 | 0.28 | 0.70 | (0.42 | ) | – | (0.42 | ) | |||||||||||||||||||
11/30/2015 | 9.29 | 0.41 | (0.41 | ) | – | (0.41 | ) | – | (0.41 | ) | ||||||||||||||||||
11/30/2014 | 9.50 | 0.44 | (0.19 | ) | 0.25 | (0.44 | ) | (0.02 | ) | (0.46 | ) | |||||||||||||||||
11/30/2013 | 9.36 | 0.44 | 0.15 | 0.59 | (0.45 | ) | – | (0.45 | ) | |||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2018(c) | 9.19 | 0.23 | (0.01 | ) | 0.22 | (0.23 | ) | – | (0.23 | ) | ||||||||||||||||||
4/4/2017 to 11/30/2017(f) | 9.23 | 0.28 | (0.04 | ) | 0.24 | (0.28 | ) | – | (0.28 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2018(c) | 9.18 | 0.23 | (0.01 | ) | 0.22 | (0.23 | ) | – | (0.23 | ) | ||||||||||||||||||
11/30/2017 | 9.17 | 0.42 | 0.02 | 0.44 | (0.43 | ) | – | (0.43 | ) | |||||||||||||||||||
11/30/2016 | 8.89 | 0.43 | 0.28 | 0.71 | (0.43 | ) | – | (0.43 | ) | |||||||||||||||||||
11/30/2015 | 9.31 | 0.42 | (0.42 | ) | – | (0.42 | ) | – | (0.42 | ) | ||||||||||||||||||
11/30/2014 | 9.51 | 0.45 | (0.18 | ) | 0.27 | (0.45 | ) | (0.02 | ) | (0.47 | ) | |||||||||||||||||
11/30/2013 | 9.38 | 0.45 | 0.14 | 0.59 | (0.46 | ) | – | (0.46 | ) |
412 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||
Net asset value, end of period | Total return(b) (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | |||||||||||||||||
$9.16 | 2.18 | (d) | 0.78 | (e) | 4.76 | (e) | $3,656,693 | 35 | (d) | |||||||||||||
9.18 | 4.65 | 0.79 | 4.43 | 3,530,233 | 81 | |||||||||||||||||
9.17 | 7.95 | 0.80 | 4.56 | 3,003,142 | 78 | |||||||||||||||||
8.89 | (0.14 | ) | 0.80 | 4.35 | 2,365,305 | 77 | ||||||||||||||||
9.30 | 2.54 | 0.80 | 4.57 | 2,856,709 | 91 | |||||||||||||||||
9.51 | 6.36 | 0.80 | 4.55 | 3,585,657 | 88 | |||||||||||||||||
9.17 | 1.97 | (d) | 1.43 | (e) | 4.12 | (e) | 1,587,284 | 35 | (d) | |||||||||||||
9.18 | 3.98 | 1.44 | 3.80 | 1,587,964 | 81 | |||||||||||||||||
9.17 | 7.29 | 1.43 | 3.95 | 1,547,969 | 78 | |||||||||||||||||
8.89 | (0.88 | ) | 1.44 | 3.72 | 1,479,103 | 77 | ||||||||||||||||
9.31 | 1.95 | 1.49 | 3.89 | 1,740,187 | 91 | |||||||||||||||||
9.51 | 5.57 | 1.45 | 3.94 | 1,864,537 | 88 | |||||||||||||||||
9.15 | 2.23 | (d) | 0.68 | (e) | 4.85 | (e) | 5,927,751 | 35 | (d) | |||||||||||||
9.17 | 4.75 | 0.69 | 4.52 | 4,877,793 | 81 | |||||||||||||||||
9.16 | 8.06 | 0.70 | 4.64 | 3,564,772 | 78 | |||||||||||||||||
8.88 | (0.05 | ) | 0.70 | 4.45 | 2,073,567 | 77 | ||||||||||||||||
9.29 | 2.64 | 0.70 | 4.67 | 2,387,227 | 91 | |||||||||||||||||
9.50 | 6.47 | 0.70 | 4.64 | 2,591,702 | 88 | |||||||||||||||||
9.18 | 2.42 | (d) | 0.53 | (e) | 5.02 | (e) | 277,624 | 35 | (d) | |||||||||||||
9.19 | 2.67 | (d) | 0.54 | (e) | 4.68 | (e) | 203,910 | 81 | ||||||||||||||
9.17 | 2.39 | (d) | 0.58 | (e) | 4.95 | (e) | 2,133,552 | 35 | (d) | |||||||||||||
9.18 | 4.85 | 0.60 | 4.61 | 1,744,687 | 81 | |||||||||||||||||
9.17 | 8.16 | 0.60 | 4.75 | 605,018 | 78 | |||||||||||||||||
8.89 | (0.05 | ) | 0.60 | 4.54 | 366,250 | 77 | ||||||||||||||||
9.31 | 2.85 | 0.60 | 4.76 | 435,250 | 91 | |||||||||||||||||
9.51 | 6.46 | 0.60 | 4.76 | 593,427 | 88 |
See Notes to Financial Statements. | 413 |
Financial Highlights (unaudited)(continued)
FLOATING RATE FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
5/31/2018(c) | $9.19 | $0.20 | $(0.02 | ) | $0.18 | $(0.20 | ) | $ | – | $(0.20 | ) | |||||||||||||||||
11/30/2017 | 9.18 | 0.37 | 0.01 | 0.38 | (0.37 | ) | – | (0.37 | ) | |||||||||||||||||||
11/30/2016 | 8.90 | 0.37 | 0.28 | 0.65 | (0.37 | ) | – | (0.37 | ) | |||||||||||||||||||
11/30/2015 | 9.31 | 0.36 | (0.41 | ) | (0.05 | ) | (0.36 | ) | – | (0.36 | ) | |||||||||||||||||
11/30/2014 | 9.52 | 0.40 | (0.19 | ) | 0.21 | (0.40 | ) | (0.02 | ) | (0.42 | ) | |||||||||||||||||
11/30/2013 | 9.38 | 0.40 | 0.15 | 0.55 | (0.41 | ) | – | (0.41 | ) | |||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2018(c) | 9.18 | 0.21 | (0.01 | ) | 0.20 | (0.21 | ) | – | (0.21 | ) | ||||||||||||||||||
11/30/2017 | 9.17 | 0.38 | 0.01 | 0.39 | (0.38 | ) | – | (0.38 | ) | |||||||||||||||||||
11/30/2016 | 8.89 | 0.38 | 0.28 | 0.66 | (0.38 | ) | – | (0.38 | ) | |||||||||||||||||||
11/30/2015 | 9.31 | 0.37 | (0.42 | ) | (0.05 | ) | (0.37 | ) | – | (0.37 | ) | |||||||||||||||||
11/30/2014 | 9.51 | 0.41 | (0.19 | ) | 0.22 | (0.40 | ) | (0.02 | ) | (0.42 | ) | |||||||||||||||||
11/30/2013 | 9.37 | 0.40 | 0.16 | 0.56 | (0.42 | ) | – | (0.42 | ) | |||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2018(c) | 9.18 | 0.22 | (0.02 | ) | 0.20 | (0.22 | ) | – | (0.22 | ) | ||||||||||||||||||
11/30/2017 | 9.17 | 0.40 | 0.01 | 0.41 | (0.40 | ) | – | (0.40 | ) | |||||||||||||||||||
11/30/2016 | 8.89 | 0.41 | 0.28 | 0.69 | (0.41 | ) | – | (0.41 | ) | |||||||||||||||||||
6/30/2015 to 11/30/2015(g) | 9.21 | 0.17 | (0.32 | ) | (0.15 | ) | (0.17 | ) | – | (0.17 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
5/31/2018(c) | 9.19 | 0.23 | (0.01 | ) | 0.22 | (0.23 | ) | – | (0.23 | ) | ||||||||||||||||||
11/30/2017 | 9.18 | 0.43 | 0.01 | 0.44 | (0.43 | ) | – | (0.43 | ) | |||||||||||||||||||
11/30/2016 | 8.90 | 0.43 | 0.28 | 0.71 | (0.43 | ) | – | (0.43 | ) | |||||||||||||||||||
6/30/2015 to 11/30/2015(g) | 9.22 | 0.18 | (0.32 | ) | (0.14 | ) | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
5/31/2018(c) | 9.19 | 0.23 | (0.02 | ) | 0.21 | (0.23 | ) | – | (0.23 | ) | ||||||||||||||||||
11/30/2017 | 9.18 | 0.43 | 0.01 | 0.44 | (0.43 | ) | – | (0.43 | ) | |||||||||||||||||||
11/30/2016 | 8.90 | 0.44 | 0.27 | 0.71 | (0.43 | ) | – | (0.43 | ) | |||||||||||||||||||
6/30/2015 to 11/30/2015(g) | 9.22 | 0.17 | (0.31 | ) | (0.14 | ) | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||
Class T | ||||||||||||||||||||||||||||
5/31/2018(c) | 9.18 | 0.21 | – | 0.21 | (0.22 | ) | – | (0.22 | ) | |||||||||||||||||||
7/28/2017 to 11/30/2017(h) | 9.20 | 0.14 | (0.02 | ) | 0.12 | (0.14 | ) | – | (0.14 | ) |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for Classes A, C and T does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(c) | Unaudited. |
(d) | Not annualized. |
(e) | Annualized. |
(f) | Commenced on April 4, 2017. |
(g) | Commenced on June 30, 2015. |
(h) | Commenced on July 28, 2017. |
414 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||
Net asset value, end of period | Total return(b) (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | |||||||||||||||||
$9.17 | 1.98 | (d) | 1.18 | (e) | 4.37 | (e) | $ | 1,339 | 35 | (d) | ||||||||||||
9.19 | 4.24 | 1.20 | 4.04 | 1,254 | 81 | |||||||||||||||||
9.18 | 7.53 | 1.20 | 4.16 | 751 | 78 | |||||||||||||||||
8.90 | (0.53 | ) | 1.20 | 3.95 | 452 | 77 | ||||||||||||||||
9.31 | 2.14 | 1.20 | 4.19 | 670 | 91 | |||||||||||||||||
9.52 | 5.85 | 1.20 | 4.24 | 601 | 88 | |||||||||||||||||
9.17 | 2.14 | (d) | 1.08 | (e) | 4.47 | (e) | 47,966 | 35 | (d) | |||||||||||||
9.18 | 4.35 | 1.10 | 4.15 | 43,115 | 81 | |||||||||||||||||
9.17 | 7.64 | 1.10 | 4.28 | 34,215 | 78 | |||||||||||||||||
8.89 | (0.54 | ) | 1.10 | 4.06 | 26,232 | 77 | ||||||||||||||||
9.31 | 2.35 | 1.10 | 4.32 | 27,205 | 91 | |||||||||||||||||
9.51 | 5.96 | 1.10 | 4.24 | 13,680 | 88 | |||||||||||||||||
9.16 | 2.16 | (d) | 0.83 | (e) | 4.73 | (e) | 6,407 | 35 | (d) | |||||||||||||
9.18 | 4.60 | 0.84 | 4.37 | 5,134 | 81 | |||||||||||||||||
9.17 | 7.90 | 0.85 | 4.45 | 2,302 | 78 | |||||||||||||||||
8.89 | (1.69 | )(d) | 0.81 | (e) | 4.36 | (e) | 10 | 77 | ||||||||||||||
9.18 | 2.40 | (d) | 0.58 | (e) | 4.99 | (e) | 3,865 | 35 | (d) | |||||||||||||
9.19 | 4.87 | 0.60 | 4.65 | 2,542 | 81 | |||||||||||||||||
9.18 | 8.18 | 0.60 | 4.77 | 303 | 78 | |||||||||||||||||
8.90 | (1.57 | )(d) | 0.56 | (e) | 4.62 | (e) | 10 | 77 | ||||||||||||||
9.17 | 2.31 | (d) | 0.53 | (e) | 5.01 | (e) | 47,456 | 35 | (d) | |||||||||||||
9.19 | 4.93 | 0.54 | 4.70 | 36,295 | 81 | |||||||||||||||||
9.18 | 8.24 | 0.54 | 4.84 | 12,047 | 78 | |||||||||||||||||
8.90 | (1.56 | )(d) | 0.56 | (e) | 4.61 | (e) | 8,144 | 77 | ||||||||||||||
9.17 | 2.31 | (d) | 0.76 | (e) | 4.68 | (e) | 10 | 35 | (d) | |||||||||||||
9.18 | 1.29 | (d) | 0.77 | (e) | 4.45 | (e) | 10 | 81 |
See Notes to Financial Statements. | 415 |
Financial Highlights (unaudited)(continued)
HIGH YIELD FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
5/31/2018(c) | $7.71 | $0.21 | $(0.27 | ) | $(0.06 | ) | $(0.22 | ) | $ | – | $(0.22 | ) | ||||||||||||||||
11/30/2017 | 7.41 | 0.42 | 0.32 | 0.74 | (0.44 | ) | – | (0.44 | ) | |||||||||||||||||||
11/30/2016 | 7.10 | 0.42 | 0.33 | 0.75 | (0.44 | ) | – | (0.44 | ) | |||||||||||||||||||
11/30/2015 | 7.79 | 0.39 | (0.49 | ) | (0.10 | ) | (0.42 | ) | (0.17 | ) | (0.59 | ) | ||||||||||||||||
11/30/2014 | 8.05 | 0.43 | 0.04 | 0.47 | (0.46 | ) | (0.27 | ) | (0.73 | ) | ||||||||||||||||||
11/30/2013 | 7.95 | 0.49 | 0.31 | 0.80 | (0.52 | ) | (0.18 | ) | (0.70 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2018(c) | 7.67 | 0.18 | (0.27 | ) | (0.09 | ) | (0.19 | ) | – | (0.19 | ) | |||||||||||||||||
11/30/2017 | 7.38 | 0.37 | 0.30 | 0.67 | (0.38 | ) | – | (0.38 | ) | |||||||||||||||||||
11/30/2016 | 7.07 | 0.37 | 0.33 | 0.70 | (0.39 | ) | – | (0.39 | ) | |||||||||||||||||||
11/30/2015 | 7.75 | 0.34 | (0.48 | ) | (0.14 | ) | (0.37 | ) | (0.17 | ) | (0.54 | ) | ||||||||||||||||
11/30/2014 | 8.01 | 0.38 | 0.04 | 0.42 | (0.41 | ) | (0.27 | ) | (0.68 | ) | ||||||||||||||||||
11/30/2013 | 7.91 | 0.44 | 0.30 | 0.74 | (0.46 | ) | (0.18 | ) | (0.64 | ) | ||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2018(c) | 7.70 | 0.21 | (0.27 | ) | (0.06 | ) | (0.22 | ) | – | (0.22 | ) | |||||||||||||||||
11/30/2017 | 7.41 | 0.42 | 0.31 | 0.73 | (0.44 | ) | – | (0.44 | ) | |||||||||||||||||||
11/30/2016 | 7.09 | 0.43 | 0.33 | 0.76 | (0.44 | ) | – | (0.44 | ) | |||||||||||||||||||
11/30/2015 | 7.78 | 0.40 | (0.49 | ) | (0.09 | ) | (0.43 | ) | (0.17 | ) | (0.60 | ) | ||||||||||||||||
11/30/2014 | 8.04 | 0.43 | 0.05 | 0.48 | (0.47 | ) | (0.27 | ) | (0.74 | ) | ||||||||||||||||||
11/30/2013 | 7.94 | 0.50 | 0.30 | 0.80 | (0.52 | ) | (0.18 | ) | (0.70 | ) | ||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2018(c) | 7.75 | 0.22 | (0.27 | ) | (0.05 | ) | (0.23 | ) | – | (0.23 | ) | |||||||||||||||||
4/4/2017 to 11/30/2017(f) | 7.65 | 0.28 | 0.12 | 0.40 | (0.30 | ) | – | (0.30 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2018(c) | 7.74 | 0.21 | (0.27 | ) | (0.06 | ) | (0.22 | ) | – | (0.22 | ) | |||||||||||||||||
11/30/2017 | 7.45 | 0.44 | 0.30 | 0.74 | (0.45 | ) | – | (0.45 | ) | |||||||||||||||||||
11/30/2016 | 7.13 | 0.44 | 0.33 | 0.77 | (0.45 | ) | – | (0.45 | ) | |||||||||||||||||||
11/30/2015 | 7.82 | 0.41 | (0.49 | ) | (0.08 | ) | (0.44 | ) | (0.17 | ) | (0.61 | ) | ||||||||||||||||
11/30/2014 | 8.08 | 0.44 | 0.05 | 0.49 | (0.48 | ) | (0.27 | ) | (0.75 | ) | ||||||||||||||||||
11/30/2013 | 7.98 | 0.51 | 0.30 | 0.81 | (0.53 | ) | (0.18 | ) | (0.71 | ) | ||||||||||||||||||
Class P | ||||||||||||||||||||||||||||
5/31/2018(c) | 7.82 | 0.20 | (0.27 | ) | (0.07 | ) | (0.21 | ) | – | (0.21 | ) | |||||||||||||||||
11/30/2017 | 7.52 | 0.40 | 0.32 | 0.72 | (0.42 | ) | – | (0.42 | ) | |||||||||||||||||||
11/30/2016 | 7.20 | 0.41 | 0.34 | 0.75 | (0.43 | ) | – | (0.43 | ) | |||||||||||||||||||
11/30/2015 | 7.89 | 0.38 | (0.49 | ) | (0.11 | ) | (0.41 | ) | (0.17 | ) | (0.58 | ) | ||||||||||||||||
11/30/2014 | 8.16 | 0.42 | 0.03 | 0.45 | (0.45 | ) | (0.27 | ) | (0.72 | ) | ||||||||||||||||||
11/30/2013 | 8.05 | 0.48 | 0.31 | 0.79 | (0.50 | ) | (0.18 | ) | (0.68 | ) |
416 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return(b) (%) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$7.43 | (0.85 | )(d) | 0.88 | (e) | 0.88 | (e) | 5.46 | (e) | $1,348,782 | 53 | (d) | |||||||||||||||
7.71 | 10.13 | 0.89 | 0.89 | 5.48 | 1,576,504 | 93 | ||||||||||||||||||||
7.41 | 10.93 | 0.92 | 0.92 | 5.88 | 1,580,591 | 104 | ||||||||||||||||||||
7.10 | (1.38 | ) | 0.93 | 0.93 | 5.24 | 1,156,411 | 93 | |||||||||||||||||||
7.79 | 6.06 | 0.94 | 0.94 | 5.42 | 922,139 | 102 | ||||||||||||||||||||
8.05 | 10.52 | 0.95 | 0.95 | 6.18 | 841,494 | 108 | ||||||||||||||||||||
7.39 | (1.18 | )(d) | 1.53 | (e) | 1.54 | (e) | 4.83 | (e) | 470,323 | 53 | (d) | |||||||||||||||
7.67 | 9.28 | 1.57 | 1.57 | 4.81 | 515,964 | 93 | ||||||||||||||||||||
7.38 | 10.24 | 1.57 | 1.57 | 5.25 | 463,517 | 104 | ||||||||||||||||||||
7.07 | (1.91 | ) | 1.59 | 1.59 | 4.62 | 335,484 | 93 | |||||||||||||||||||
7.75 | 5.38 | 1.59 | 1.59 | 4.78 | 345,738 | 102 | ||||||||||||||||||||
8.01 | 9.81 | 1.62 | 1.62 | 5.52 | 312,747 | 108 | ||||||||||||||||||||
7.42 | (0.80 | )(d) | 0.78 | (e) | 0.78 | (e) | 5.56 | (e) | 2,039,004 | 53 | (d) | |||||||||||||||
7.70 | 10.09 | 0.79 | 0.79 | 5.54 | 2,011,192 | 93 | ||||||||||||||||||||
7.41 | 11.19 | 0.81 | 0.81 | 5.96 | 1,571,281 | 104 | ||||||||||||||||||||
7.09 | (1.29 | ) | 0.84 | 0.84 | 5.33 | 734,257 | 93 | |||||||||||||||||||
7.78 | 6.16 | 0.85 | 0.85 | 5.47 | 602,252 | 102 | ||||||||||||||||||||
8.04 | 10.63 | 0.85 | 0.85 | 6.27 | 394,913 | 108 | ||||||||||||||||||||
7.47 | (0.69 | )(d) | 0.60 | (e) | 0.60 | (e) | 5.73 | (e) | 513,556 | 53 | (d) | |||||||||||||||
7.75 | 5.28 | (d) | 0.62 | (e) | 0.62 | (e) | 5.45 | (e) | 449,538 | 93 | ||||||||||||||||
7.46 | (0.74 | )(d) | 0.68 | (e) | 0.68 | (e) | 5.64 | (e) | 1,442,506 | 53 | (d) | |||||||||||||||
7.74 | 10.19 | 0.69 | 0.69 | 5.70 | 1,725,003 | 93 | ||||||||||||||||||||
7.45 | 11.29 | 0.72 | 0.72 | 6.11 | 1,707,793 | 104 | ||||||||||||||||||||
7.13 | (1.14 | ) | 0.74 | 0.74 | 5.47 | 1,909,422 | 93 | |||||||||||||||||||
7.82 | 6.27 | 0.75 | 0.75 | 5.57 | 2,259,001 | 102 | ||||||||||||||||||||
8.08 | 10.73 | 0.75 | 0.75 | 6.37 | 1,180,830 | 108 | ||||||||||||||||||||
7.54 | (0.91 | )(d) | 1.13 | (e) | 1.13 | (e) | 5.24 | (e) | 491 | 53 | (d) | |||||||||||||||
7.82 | 9.81 | 1.15 | 1.15 | 5.16 | 478 | 93 | ||||||||||||||||||||
7.52 | 10.76 | 1.17 | 1.17 | 5.71 | 47 | 104 | ||||||||||||||||||||
7.20 | (1.52 | ) | 1.18 | 1.18 | 5.01 | 275 | 93 | |||||||||||||||||||
7.89 | 5.68 | 1.19 | 1.19 | 5.20 | 1,603 | 102 | ||||||||||||||||||||
8.16 | 10.21 | 1.20 | 1.20 | 5.95 | 1,555 | 108 |
See Notes to Financial Statements. | 417 |
Financial Highlights (unaudited)(continued)
HIGH YIELD FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
5/31/2018(c) | $7.76 | $0.19 | $(0.28 | ) | $(0.09 | ) | $(0.20 | ) | $ | – | $(0.20 | ) | ||||||||||||||||
11/30/2017 | 7.46 | 0.39 | 0.32 | 0.71 | (0.41 | ) | – | (0.41 | ) | |||||||||||||||||||
11/30/2016 | 7.15 | 0.40 | 0.32 | 0.72 | (0.41 | ) | – | (0.41 | ) | |||||||||||||||||||
11/30/2015 | 7.83 | 0.37 | (0.49 | ) | (0.12 | ) | (0.39 | ) | (0.17 | ) | (0.56 | ) | ||||||||||||||||
11/30/2014 | 8.10 | 0.40 | 0.03 | 0.43 | (0.43 | ) | (0.27 | ) | (0.70 | ) | ||||||||||||||||||
11/30/2013 | 8.00 | 0.46 | 0.31 | 0.77 | (0.49 | ) | (0.18 | ) | (0.67 | ) | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2018(c) | 7.75 | 0.20 | (0.27 | ) | (0.07 | ) | (0.21 | ) | – | (0.21 | ) | |||||||||||||||||
11/30/2017 | 7.46 | 0.40 | 0.31 | 0.71 | (0.42 | ) | – | (0.42 | ) | |||||||||||||||||||
11/30/2016 | 7.14 | 0.41 | 0.33 | 0.74 | (0.42 | ) | – | (0.42 | ) | |||||||||||||||||||
11/30/2015 | 7.83 | 0.37 | (0.49 | ) | (0.12 | ) | (0.40 | ) | (0.17 | ) | (0.57 | ) | ||||||||||||||||
11/30/2014 | 8.10 | 0.41 | 0.03 | 0.44 | (0.44 | ) | (0.27 | ) | (0.71 | ) | ||||||||||||||||||
11/30/2013 | 7.99 | 0.47 | 0.32 | 0.79 | (0.50 | ) | (0.18 | ) | (0.68 | ) | ||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2018(c) | 7.71 | 0.21 | (0.28 | ) | (0.07 | ) | (0.21 | ) | – | (0.21 | ) | |||||||||||||||||
11/30/2017 | 7.41 | 0.41 | 0.32 | 0.73 | (0.43 | ) | – | (0.43 | ) | |||||||||||||||||||
11/30/2016 | 7.10 | 0.43 | 0.32 | 0.75 | (0.44 | ) | – | (0.44 | ) | |||||||||||||||||||
6/30/2015 to 11/30/2015(g) | 7.54 | 0.16 | (0.43 | ) | (0.27 | ) | (0.17 | ) | – | (0.17 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
5/31/2018(c) | 7.74 | 0.22 | (0.27 | ) | (0.05 | ) | (0.23 | ) | – | (0.23 | ) | |||||||||||||||||
11/30/2017 | 7.44 | 0.43 | 0.32 | 0.75 | (0.45 | ) | – | (0.45 | ) | |||||||||||||||||||
11/30/2016 | 7.13 | 0.45 | 0.32 | 0.77 | (0.46 | ) | – | (0.46 | ) | |||||||||||||||||||
6/30/2015 to 11/30/2015(g) | 7.57 | 0.17 | (0.43 | ) | (0.26 | ) | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
5/31/2018(c) | 7.75 | 0.22 | (0.27 | ) | (0.05 | ) | (0.23 | ) | – | (0.23 | ) | |||||||||||||||||
11/30/2017 | 7.45 | 0.44 | 0.32 | 0.76 | (0.46 | ) | – | (0.46 | ) | |||||||||||||||||||
11/30/2016 | 7.13 | 0.45 | 0.33 | 0.78 | (0.46 | ) | – | (0.46 | ) | |||||||||||||||||||
6/30/2015 to 11/30/2015(g) | 7.57 | 0.18 | (0.44 | ) | (0.26 | ) | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||
Class T | ||||||||||||||||||||||||||||
5/31/2018(c) | 7.71 | 0.21 | (0.27 | ) | (0.06 | ) | (0.22 | ) | – | (0.22 | ) | |||||||||||||||||
7/28/2017 to 11/30/2017(h) | 7.72 | 0.14 | – | 0.14 | (0.15 | ) | – | (0.15 | ) |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for Classes A, C and T does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(c) | Unaudited. |
(d) | Not annualized. |
(e) | Annualized. |
(f) | Commenced on April 4, 2017. |
(g) | Commenced on June 30, 2015. |
(h) | Commenced on July 28, 2017. |
418 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return(b) (%) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
�� | ||||||||||||||||||||||||||
$7.47 | (1.15 | )(d) | 1.28 | (e) | 1.28 | (e) | 5.09 | (e) | $ | 16,281 | 53 | (d) | ||||||||||||||
7.76 | 9.68 | 1.29 | 1.29 | 5.09 | 14,837 | 93 | ||||||||||||||||||||
7.46 | 10.49 | 1.32 | 1.32 | 5.53 | 11,145 | 104 | ||||||||||||||||||||
7.15 | (1.58 | ) | 1.34 | 1.34 | 4.88 | 5,170 | 93 | |||||||||||||||||||
7.83 | 5.52 | 1.34 | 1.34 | 5.06 | 4,742 | 102 | ||||||||||||||||||||
8.10 | 10.07 | 1.35 | 1.35 | 5.78 | 4,967 | 108 | ||||||||||||||||||||
7.47 | (0.97 | )(d) | 1.18 | (e) | 1.18 | (e) | 5.19 | (e) | 103,236 | 53 | (d) | |||||||||||||||
7.75 | 9.64 | 1.19 | 1.19 | 5.18 | 91,021 | 93 | ||||||||||||||||||||
7.46 | 10.75 | 1.22 | 1.22 | 5.64 | 71,552 | 104 | ||||||||||||||||||||
7.14 | (1.62 | ) | 1.24 | 1.24 | 4.98 | 45,822 | 93 | |||||||||||||||||||
7.83 | 5.63 | 1.24 | 1.24 | 5.14 | 35,169 | 102 | ||||||||||||||||||||
8.10 | 10.18 | 1.25 | 1.25 | 5.89 | 30,268 | 108 | ||||||||||||||||||||
7.43 | (0.86 | )(d) | 0.93 | (e) | 0.93 | (e) | 5.44 | (e) | 80,912 | 53 | (d) | |||||||||||||||
7.71 | 10.09 | 0.95 | 0.95 | 5.38 | 67,741 | 93 | ||||||||||||||||||||
7.41 | 10.91 | 0.97 | 0.97 | 5.87 | 20,934 | 104 | ||||||||||||||||||||
7.10 | (3.58 | )(d) | 1.01 | (e) | 1.04 | (e) | 5.31 | (e) | 328 | 93 | ||||||||||||||||
7.46 | (0.73 | )(d) | 0.68 | (e) | 0.69 | (e) | 5.69 | (e) | 267,719 | 53 | (d) | |||||||||||||||
7.74 | 10.34 | 0.71 | 0.71 | 5.56 | 264,638 | 93 | ||||||||||||||||||||
7.44 | 11.16 | 0.72 | 0.72 | 6.11 | 11,010 | 104 | ||||||||||||||||||||
7.13 | (3.46 | )(d) | 0.75 | (e) | 0.75 | (e) | 5.50 | (e) | 10 | 93 | ||||||||||||||||
7.47 | (0.69 | )(d) | 0.60 | (e) | 0.60 | (e) | 5.76 | (e) | 426,783 | 53 | (d) | |||||||||||||||
7.75 | 10.42 | 0.61 | 0.61 | 5.67 | 381,440 | 93 | ||||||||||||||||||||
7.45 | 11.26 | 0.62 | 0.62 | 6.24 | 75,756 | 104 | ||||||||||||||||||||
7.13 | (3.30 | )(d) | 0.63 | (e) | 0.65 | (e) | 5.83 | (e) | 14,054 | 93 | ||||||||||||||||
7.43 | (0.83 | )(d) | 0.83 | (e) | 0.83 | (e) | 5.45 | (e) | 10 | 53 | (d) | |||||||||||||||
7.71 | 1.76 | (d) | 0.83 | (e) | 0.83 | (e) | 5.34 | (e) | 10 | 93 |
See Notes to Financial Statements. | 419 |
Financial Highlights (unaudited)(continued)
INCOME FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
5/31/2018(c) | $2.86 | $0.05 | $(0.08 | ) | $(0.03 | ) | $(0.06 | ) | $ | – | $(0.06 | ) | ||||||||||||||||
11/30/2017 | 2.76 | 0.09 | 0.11 | 0.20 | (0.10 | ) | – | (0.10 | ) | |||||||||||||||||||
11/30/2016 | 2.71 | 0.10 | 0.07 | 0.17 | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||||
11/30/2015 | 2.92 | 0.10 | (0.17 | ) | (0.07 | ) | (0.13 | ) | (0.01 | ) | (0.14 | ) | ||||||||||||||||
11/30/2014 | 2.87 | 0.11 | 0.12 | 0.23 | (0.14 | ) | (0.04 | ) | (0.18 | ) | ||||||||||||||||||
11/30/2013 | 3.04 | 0.11 | (0.09 | ) | 0.02 | (0.14 | ) | (0.05 | ) | (0.19 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2018(c) | 2.87 | 0.04 | (0.08 | ) | (0.04 | ) | (0.05 | ) | – | (0.05 | ) | |||||||||||||||||
11/30/2017 | 2.78 | 0.07 | 0.10 | 0.17 | (0.08 | ) | – | (0.08 | ) | |||||||||||||||||||
11/30/2016 | 2.72 | 0.08 | 0.07 | 0.15 | (0.09 | ) | – | (0.09 | ) | |||||||||||||||||||
11/30/2015 | 2.93 | 0.09 | (0.18 | ) | (0.09 | ) | (0.11 | ) | (0.01 | ) | (0.12 | ) | ||||||||||||||||
11/30/2014 | 2.88 | 0.09 | 0.12 | 0.21 | (0.12 | ) | (0.04 | ) | (0.16 | ) | ||||||||||||||||||
11/30/2013 | 3.05 | 0.09 | (0.09 | ) | – | (0.12 | ) | (0.05 | ) | (0.17 | ) | |||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2018(c) | 2.86 | 0.05 | (0.08 | ) | (0.03 | ) | (0.06 | ) | – | (0.06 | ) | |||||||||||||||||
11/30/2017 | 2.76 | 0.09 | 0.11 | 0.20 | (0.10 | ) | – | (0.10 | ) | |||||||||||||||||||
11/30/2016 | 2.71 | 0.10 | 0.06 | 0.16 | (0.11 | ) | – | (0.11 | ) | |||||||||||||||||||
11/30/2015 | 2.92 | 0.11 | (0.18 | ) | (0.07 | ) | (0.13 | ) | (0.01 | ) | (0.14 | ) | ||||||||||||||||
11/30/2014 | 2.87 | 0.11 | 0.12 | 0.23 | (0.14 | ) | (0.04 | ) | (0.18 | ) | ||||||||||||||||||
11/30/2013 | 3.04 | 0.12 | (0.09 | ) | 0.03 | (0.15 | ) | (0.05 | ) | (0.20 | ) | |||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2018(c) | 2.86 | 0.05 | (0.08 | ) | (0.03 | ) | (0.06 | ) | – | (0.06 | ) | |||||||||||||||||
4/4/2017 to 11/30/2017(f) | 2.82 | 0.06 | 0.05 | 0.11 | (0.07 | ) | – | (0.07 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2018(c) | 2.86 | 0.05 | (0.08 | ) | (0.03 | ) | (0.06 | ) | – | (0.06 | ) | |||||||||||||||||
11/30/2017 | 2.76 | 0.09 | 0.12 | 0.21 | (0.11 | ) | – | (0.11 | ) | |||||||||||||||||||
11/30/2016 | 2.71 | 0.10 | 0.07 | 0.17 | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||||
11/30/2015 | 2.92 | 0.11 | (0.18 | ) | (0.07 | ) | (0.13 | ) | (0.01 | ) | (0.14 | ) | ||||||||||||||||
11/30/2014 | 2.87 | 0.12 | 0.11 | 0.23 | (0.14 | ) | (0.04 | ) | (0.18 | ) | ||||||||||||||||||
11/30/2013 | 3.04 | 0.12 | (0.09 | ) | 0.03 | (0.15 | ) | (0.05 | ) | (0.20 | ) |
420 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return(b) (%) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$2.77 | (1.23 | )(d) | 0.77 | (e) | 0.84 | (e) | 3.30 | (e) | $ | 896,905 | 76 | (d) | ||||||||||||||
2.86 | 7.33 | 0.78 | 0.89 | 3.03 | 918,917 | 205 | ||||||||||||||||||||
2.76 | 6.06 | 0.78 | 0.90 | 3.56 | 907,733 | 192 | ||||||||||||||||||||
2.71 | (2.46 | ) | 0.78 | 0.90 | 3.69 | 1,017,019 | 163 | |||||||||||||||||||
2.92 | 8.36 | 0.78 | 0.88 | 3.80 | 1,152,324 | 212 | ||||||||||||||||||||
2.87 | 0.82 | 0.78 | 0.88 | 3.88 | 1,062,485 | 272 | ||||||||||||||||||||
2.78 | (1.53 | )(d) | 1.39 | (e) | 1.46 | (e) | 2.68 | (e) | 193,815 | 76 | (d) | |||||||||||||||
2.87 | 6.28 | 1.40 | 1.51 | 2.42 | 230,293 | 205 | ||||||||||||||||||||
2.78 | 5.77 | 1.41 | 1.53 | 2.94 | 253,848 | 192 | ||||||||||||||||||||
2.72 | (3.05 | ) | 1.42 | 1.54 | 3.06 | 282,552 | 163 | |||||||||||||||||||
2.93 | 7.65 | 1.43 | 1.53 | 3.16 | 316,854 | 212 | ||||||||||||||||||||
2.88 | 0.14 | 1.46 | 1.56 | 3.20 | 323,028 | 272 | ||||||||||||||||||||
2.77 | (1.19 | )(d) | 0.67 | (e) | 0.74 | (e) | 3.40 | (e) | 464,763 | 76 | (d) | |||||||||||||||
2.86 | 7.43 | 0.68 | 0.79 | 3.10 | 454,740 | 205 | ||||||||||||||||||||
2.76 | 6.16 | 0.68 | 0.80 | 3.64 | 413,167 | 192 | ||||||||||||||||||||
2.71 | (2.37 | ) | 0.68 | 0.80 | 3.78 | 447,867 | 163 | |||||||||||||||||||
2.92 | 8.46 | 0.68 | 0.78 | 3.86 | 437,545 | 212 | ||||||||||||||||||||
2.87 | 0.92 | 0.68 | 0.78 | 3.97 | 288,858 | 272 | ||||||||||||||||||||
2.77 | (1.10 | )(d) | 0.47 | (e) | 0.54 | (e) | 3.58 | (e) | 368,714 | 76 | (d) | |||||||||||||||
2.86 | 3.99 | (d) | 0.46 | (e) | 0.60 | (e) | 3.25 | (e) | 274,355 | 205 | ||||||||||||||||
2.77 | (1.14 | )(d) | 0.57 | (e) | 0.63 | (e) | 3.50 | (e) | 196,262 | 76 | (d) | |||||||||||||||
2.86 | 7.54 | 0.58 | 0.69 | 3.22 | 166,989 | 205 | ||||||||||||||||||||
2.76 | 6.27 | 0.58 | 0.70 | 3.75 | 92,523 | 192 | ||||||||||||||||||||
2.71 | (2.27 | ) | 0.58 | 0.70 | 3.88 | 107,266 | 163 | |||||||||||||||||||
2.92 | 8.57 | 0.58 | 0.68 | 3.98 | 132,086 | 212 | ||||||||||||||||||||
2.87 | 1.02 | 0.58 | 0.68 | 4.08 | 89,227 | 272 |
See Notes to Financial Statements. | 421 |
Financial Highlights (unaudited)(continued)
INCOME FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
5/31/2018(c) | $2.88 | $0.04 | $(0.08 | ) | $(0.04 | ) | $(0.05 | ) | $ | – | $(0.05 | ) | ||||||||||||||||
11/30/2017 | 2.79 | 0.08 | 0.10 | 0.18 | (0.09 | ) | – | (0.09 | ) | |||||||||||||||||||
11/30/2016 | 2.73 | 0.09 | 0.07 | 0.16 | (0.10 | ) | – | (0.10 | ) | |||||||||||||||||||
11/30/2015 | 2.95 | 0.09 | (0.18 | ) | (0.09 | ) | (0.12 | ) | (0.01 | ) | (0.13 | ) | ||||||||||||||||
11/30/2014 | 2.90 | 0.10 | 0.12 | 0.22 | (0.13 | ) | (0.04 | ) | (0.17 | ) | ||||||||||||||||||
11/30/2013 | 3.07 | 0.10 | (0.09 | ) | 0.01 | (0.13 | ) | (0.05 | ) | (0.18 | ) | |||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2018(c) | 2.87 | 0.04 | (0.09 | ) | (0.05 | ) | (0.05 | ) | – | (0.05 | ) | |||||||||||||||||
11/30/2017 | 2.77 | 0.08 | 0.11 | 0.19 | (0.09 | ) | – | (0.09 | ) | |||||||||||||||||||
11/30/2016 | 2.72 | 0.09 | 0.06 | 0.15 | (0.10 | ) | – | (0.10 | ) | |||||||||||||||||||
11/30/2015 | 2.93 | 0.10 | (0.18 | ) | (0.08 | ) | (0.12 | ) | (0.01 | ) | (0.13 | ) | ||||||||||||||||
11/30/2014 | 2.88 | 0.10 | 0.12 | 0.22 | (0.13 | ) | (0.04 | ) | (0.17 | ) | ||||||||||||||||||
11/30/2013 | 3.05 | 0.11 | (0.09 | ) | 0.02 | (0.14 | ) | (0.05 | ) | (0.19 | ) | |||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2018(c) | 2.86 | 0.05 | (0.09 | ) | (0.04 | ) | (0.05 | ) | – | (0.05 | ) | |||||||||||||||||
11/30/2017 | 2.77 | 0.08 | 0.11 | 0.19 | (0.10 | ) | – | (0.10 | ) | |||||||||||||||||||
11/30/2016 | 2.71 | 0.09 | 0.08 | 0.17 | (0.11 | ) | – | (0.11 | ) | |||||||||||||||||||
6/30/2015 to 11/30/2015(g) | 2.81 | 0.04 | (0.09 | ) | (0.05 | ) | (0.05 | ) | – | (0.05 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
5/31/2018(c) | 2.86 | 0.05 | (0.08 | ) | (0.03 | ) | (0.06 | ) | – | (0.06 | ) | |||||||||||||||||
11/30/2017 | 2.76 | 0.09 | 0.12 | 0.21 | (0.11 | ) | – | (0.11 | ) | |||||||||||||||||||
11/30/2016 | 2.71 | 0.10 | 0.07 | 0.17 | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||||
6/30/2015 to 11/30/2015(g) | 2.81 | 0.05 | (0.10 | ) | (0.05 | ) | (0.05 | ) | – | (0.05 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
5/31/2018(c) | 2.86 | 0.05 | (0.09 | ) | (0.04 | ) | (0.06 | ) | – | (0.06 | ) | |||||||||||||||||
11/30/2017 | 2.76 | 0.09 | 0.12 | 0.21 | (0.11 | ) | – | (0.11 | ) | |||||||||||||||||||
11/30/2016 | 2.71 | 0.11 | 0.06 | 0.17 | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||||
6/30/2015 to 11/30/2015(g) | 2.81 | 0.05 | (0.09 | ) | (0.04 | ) | (0.06 | ) | – | (0.06 | ) |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for Classes A and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(c) | Unaudited. |
(d) | Not annualized. |
(e) | Annualized. |
(f) | Commenced on April 4, 2017. |
(g) | Commenced on June 30, 2015. |
422 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return(b) (%) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$2.79 | (1.41 | )(d) | 1.17 | (e) | 1.24 | (e) | 2.92 | (e) | $ | 1,890 | 76 | (d) | ||||||||||||||
2.88 | 6.49 | 1.18 | 1.29 | 2.64 | 2,008 | 205 | ||||||||||||||||||||
2.79 | 5.99 | 1.19 | 1.31 | 3.23 | 2,202 | 192 | ||||||||||||||||||||
2.73 | (3.13 | ) | 1.18 | 1.30 | 3.30 | 4,562 | 163 | |||||||||||||||||||
2.95 | 7.90 | 1.18 | 1.28 | 3.39 | 4,704 | 212 | ||||||||||||||||||||
2.90 | 0.47 | 1.18 | 1.28 | 3.49 | 2,831 | 272 | ||||||||||||||||||||
2.77 | (1.72 | )(d) | 1.07 | (e) | 1.14 | (e) | 3.01 | (e) | 52,727 | 76 | (d) | |||||||||||||||
2.87 | 7.00 | 1.08 | 1.19 | 2.74 | 53,025 | 205 | ||||||||||||||||||||
2.77 | 5.73 | 1.08 | 1.20 | 3.27 | 54,918 | 192 | ||||||||||||||||||||
2.72 | (2.73 | ) | 1.08 | 1.20 | 3.40 | 60,809 | 163 | |||||||||||||||||||
2.93 | 8.04 | 1.08 | 1.18 | 3.49 | 50,081 | 212 | ||||||||||||||||||||
2.88 | 0.55 | 1.08 | 1.18 | 3.61 | 29,622 | 272 | ||||||||||||||||||||
2.77 | (1.26 | )(d) | 0.82 | (e) | 0.88 | (e) | 3.29 | (e) | 4,650 | 76 | (d) | |||||||||||||||
2.86 | 6.89 | 0.83 | 0.94 | 2.98 | 3,117 | 205 | ||||||||||||||||||||
2.77 | 6.39 | 0.83 | 0.94 | 3.25 | 1,459 | 192 | ||||||||||||||||||||
2.71 | (1.75 | )(d) | 0.84 | (e) | 0.97 | (e) | 3.72 | (e) | 10 | 163 | ||||||||||||||||
2.77 | (1.14 | )(d) | 0.58 | (e) | 0.65 | (e) | 3.37 | (e) | 4,114 | 76 | (d) | |||||||||||||||
2.86 | 7.55 | 0.57 | 0.70 | 3.21 | 15,926 | 205 | ||||||||||||||||||||
2.76 | 6.28 | 0.58 | 0.69 | 3.51 | 198 | 192 | ||||||||||||||||||||
2.71 | (1.64 | )(d) | 0.58 | (e) | 0.71 | (e) | 3.98 | (e) | 10 | 163 | ||||||||||||||||
2.76 | (1.45 | )(d) | 0.47 | (e) | 0.55 | (e) | 3.63 | (e) | 37,866 | 76 | (d) | |||||||||||||||
2.86 | 7.66 | 0.47 | 0.59 | 3.31 | 19,714 | 205 | ||||||||||||||||||||
2.76 | 6.38 | 0.47 | 0.59 | 3.90 | 3,457 | 192 | ||||||||||||||||||||
2.71 | (1.60 | )(d) | 0.47 | (e) | 0.63 | (e) | 4.14 | (e) | 5,098 | 163 |
See Notes to Financial Statements. | 423 |
Financial Highlights (unaudited)(continued)
INFLATION FOCUSED FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Total distri- butions | Net asset value, end of period | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
5/31/2018(c) | $11.88 | $0.14 | $ 0.04 | $ 0.18 | $(0.22 | ) | $(0.22 | ) | $11.84 | |||||||||||||||||||
11/30/2017 | 12.18 | 0.24 | (0.09 | ) | 0.15 | (0.45 | ) | – | 11.88 | |||||||||||||||||||
11/30/2016 | 12.27 | 0.29 | 0.14 | 0.43 | (0.52 | ) | – | 12.18 | ||||||||||||||||||||
11/30/2015 | 13.33 | 0.28 | (0.82 | ) | (0.54 | ) | (0.52 | ) | – | 12.27 | ||||||||||||||||||
11/30/2014 | 14.18 | 0.29 | (0.63 | ) | (0.34 | ) | (0.51 | ) | – | 13.33 | ||||||||||||||||||
11/30/2013 | 14.92 | 0.27 | (0.51 | ) | (0.24 | ) | (0.50 | ) | – | 14.18 | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2018(c) | 11.90 | 0.10 | 0.04 | 0.14 | (0.18 | ) | (0.18 | ) | 11.86 | |||||||||||||||||||
11/30/2017 | 12.20 | 0.16 | (0.08 | ) | 0.08 | (0.38 | ) | – | 11.90 | |||||||||||||||||||
11/30/2016 | 12.29 | 0.22 | 0.14 | 0.36 | (0.45 | ) | – | 12.20 | ||||||||||||||||||||
11/30/2015 | 13.35 | 0.20 | (0.82 | ) | (0.62 | ) | (0.44 | ) | – | 12.29 | ||||||||||||||||||
11/30/2014 | 14.21 | 0.19 | (0.63 | ) | (0.44 | ) | (0.42 | ) | – | 13.35 | ||||||||||||||||||
11/30/2013 | 14.94 | 0.16 | (0.49 | ) | (0.33 | ) | (0.40 | ) | – | 14.21 | ||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2018(c) | 11.89 | 0.14 | 0.04 | 0.18 | (0.22 | ) | (0.22 | ) | 11.85 | |||||||||||||||||||
11/30/2017 | 12.19 | 0.25 | (0.09 | ) | 0.16 | (0.46 | ) | – | 11.89 | |||||||||||||||||||
11/30/2016 | 12.28 | 0.30 | 0.14 | 0.44 | (0.53 | ) | – | 12.19 | ||||||||||||||||||||
11/30/2015 | 13.34 | 0.29 | (0.82 | ) | (0.53 | ) | (0.53 | ) | – | 12.28 | ||||||||||||||||||
11/30/2014 | 14.20 | 0.30 | (0.63 | ) | (0.33 | ) | (0.53 | ) | – | 13.34 | ||||||||||||||||||
11/30/2013 | 14.93 | 0.29 | (0.50 | ) | (0.21 | ) | (0.52 | ) | – | 14.20 | ||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2018(c) | 11.88 | 0.15 | 0.05 | 0.20 | (0.24 | ) | (0.24 | ) | 11.84 | |||||||||||||||||||
4/4/2017 to 11/30/2017(f) | 12.17 | 0.19 | (0.15 | ) | 0.04 | (0.33 | ) | – | 11.88 | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2018(c) | 11.89 | 0.15 | 0.04 | 0.19 | (0.23 | ) | (0.23 | ) | 11.85 | |||||||||||||||||||
11/30/2017 | 12.18 | 0.26 | (0.07 | ) | 0.19 | (0.48 | ) | – | 11.89 | |||||||||||||||||||
11/30/2016 | 12.27 | 0.30 | 0.15 | 0.45 | (0.54 | ) | – | 12.18 | ||||||||||||||||||||
11/30/2015 | 13.33 | 0.30 | (0.82 | ) | (0.52 | ) | (0.54 | ) | – | 12.27 | ||||||||||||||||||
11/30/2014 | 14.18 | 0.31 | (0.62 | ) | (0.31 | ) | (0.54 | ) | – | 13.33 | ||||||||||||||||||
11/30/2013 | 14.92 | 0.30 | (0.51 | ) | (0.21 | ) | (0.53 | ) | – | 14.18 | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
5/31/2018(c) | 11.87 | 0.11 | 0.05 | 0.16 | (0.20 | ) | – | 11.83 | ||||||||||||||||||||
11/30/2017 | 12.17 | 0.19 | (0.09 | ) | 0.10 | (0.40 | ) | – | 11.87 | |||||||||||||||||||
11/30/2016 | 12.26 | 0.24 | 0.14 | 0.38 | (0.47 | ) | – | 12.17 | ||||||||||||||||||||
11/30/2015 | 13.32 | 0.23 | (0.82 | ) | (0.59 | ) | (0.47 | ) | – | 12.26 | ||||||||||||||||||
11/30/2014 | 14.18 | 0.24 | (0.64 | ) | (0.40 | ) | (0.46 | ) | – | 13.32 | ||||||||||||||||||
11/30/2013 | 14.92 | 0.22 | (0.51 | ) | (0.29 | ) | (0.45 | ) | – | 14.18 |
424 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||
Total return(b) (%) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | |||||||||||||||||
1.51 | (d) | 0.72 | (e) | 0.73 | (e) | 2.29 | (e) | $ | 198,209 | 46 | (d) | |||||||||||
1.27 | 0.75 | 0.81 | 1.98 | 179,371 | 64 | |||||||||||||||||
3.69 | 0.75 | 0.92 | 2.41 | 276,490 | 79 | |||||||||||||||||
(4.13 | ) | 0.75 | 0.96 | 2.19 | 359,137 | 62 | ||||||||||||||||
(2.47 | ) | 0.75 | 0.83 | 2.04 | 438,684 | 79 | ||||||||||||||||
(1.60 | ) | 0.75 | 0.78 | 1.87 | 460,665 | 76 | ||||||||||||||||
1.18 | (d) | 1.38 | (e) | 1.40 | (e) | 1.63 | (e) | 48,403 | 46 | (d) | ||||||||||||
0.63 | 1.39 | 1.45 | 1.32 | 47,475 | 64 | |||||||||||||||||
3.06 | 1.37 | 1.54 | 1.81 | 45,158 | 79 | |||||||||||||||||
(4.71 | ) | 1.38 | 1.59 | 1.57 | 63,659 | 62 | ||||||||||||||||
(3.20 | ) | 1.45 | 1.54 | 1.36 | 100,136 | 79 | ||||||||||||||||
(2.27 | ) | 1.50 | 1.53 | 1.12 | 139,952 | 76 | ||||||||||||||||
1.56 | (d) | 0.61 | (e) | 0.63 | (e) | 2.38 | (e) | 440,306 | 46 | (d) | ||||||||||||
1.36 | 0.65 | 0.70 | 2.04 | 328,360 | 64 | |||||||||||||||||
3.79 | 0.65 | 0.81 | 2.49 | 187,277 | 79 | |||||||||||||||||
(4.03 | ) | 0.65 | 0.86 | 2.28 | 152,173 | 62 | ||||||||||||||||
(2.44 | ) | 0.65 | 0.75 | 2.15 | 324,163 | 79 | ||||||||||||||||
(1.44 | ) | 0.65 | 0.68 | 1.96 | 264,244 | 76 | ||||||||||||||||
1.68 | (d) | 0.39 | (e) | 0.47 | (e) | 2.61 | (e) | 16,530 | 46 | (d) | ||||||||||||
0.33 | (d) | 0.38 | (e) | 0.53 | (e) | 2.47 | (e) | 13,427 | 64 | |||||||||||||
1.62 | (d) | 0.52 | (e) | 0.53 | (e) | 2.49 | (e) | 533,089 | 46 | (d) | ||||||||||||
1.47 | 0.55 | 0.60 | 2.17 | 511,535 | 64 | |||||||||||||||||
3.98 | 0.55 | 0.69 | 2.56 | 349,882 | 79 | |||||||||||||||||
(3.94 | ) | 0.55 | 0.77 | 2.38 | 144,557 | 62 | ||||||||||||||||
(2.27 | ) | 0.55 | 0.64 | 2.25 | 84,472 | 79 | ||||||||||||||||
(1.42 | ) | 0.55 | 0.59 | 2.08 | 62,716 | 76 | ||||||||||||||||
1.31 | (d) | 1.12 | (e) | 1.14 | (e) | 1.91 | (e) | 214 | 46 | (d) | ||||||||||||
0.87 | 1.15 | 1.20 | 1.55 | 286 | 64 | |||||||||||||||||
3.28 | 1.15 | 1.32 | 2.02 | 191 | 79 | |||||||||||||||||
(4.51 | ) | 1.15 | 1.36 | 1.79 | 345 | 62 | ||||||||||||||||
(2.92 | ) | 1.15 | 1.25 | 1.68 | 319 | 79 | ||||||||||||||||
(1.98 | ) | 1.13 | 1.18 | 1.55 | 194 | 76 |
See Notes to Financial Statements. | 425 |
Financial Highlights (unaudited)(continued)
INFLATION FOCUSED FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Total distri- butions | Net asset value, end of period | ||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2018(c) | $11.88 | $0.12 | $ 0.04 | $ 0.16 | $ (0.20 | ) | $ | – | $11.84 | |||||||||||||||||||
11/30/2017 | 12.18 | 0.20 | (0.08 | ) | 0.12 | (0.42 | ) | – | 11.88 | |||||||||||||||||||
11/30/2016 | 12.27 | 0.25 | 0.14 | 0.39 | (0.48 | ) | – | 12.18 | ||||||||||||||||||||
11/30/2015 | 13.33 | 0.24 | (0.82 | ) | (0.58 | ) | (0.48 | ) | – | 12.27 | ||||||||||||||||||
11/30/2014 | 14.18 | 0.25 | (0.63 | ) | (0.38 | ) | (0.47 | ) | – | 13.33 | ||||||||||||||||||
11/30/2013 | 14.92 | 0.23 | (0.51 | ) | (0.28 | ) | (0.46 | ) | – | 14.18 | ||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2018(c) | 11.88 | 0.13 | 0.05 | 0.18 | (0.22 | ) | – | 11.84 | ||||||||||||||||||||
11/30/2017 | 12.18 | 0.24 | (0.09 | ) | 0.15 | (0.45 | ) | – | 11.88 | |||||||||||||||||||
11/30/2016 | 12.27 | 0.27 | 0.15 | 0.42 | (0.51 | ) | – | 12.18 | ||||||||||||||||||||
6/30/2015 to 11/30/2015(g) | 12.87 | 0.11 | (0.50 | ) | (0.39 | ) | (0.21 | ) | – | 12.27 | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
5/31/2018(c) | 11.88 | 0.15 | 0.04 | 0.19 | (0.23 | ) | (0.23 | ) | 11.84 | |||||||||||||||||||
11/30/2017 | 12.18 | 0.26 | (0.08 | ) | 0.18 | (0.48 | ) | – | 11.88 | |||||||||||||||||||
11/30/2016 | 12.27 | 0.31 | 0.14 | 0.45 | (0.54 | ) | – | 12.18 | ||||||||||||||||||||
6/30/2015 to 11/30/2015(g) | 12.87 | 0.12 | (0.50 | ) | (0.38 | ) | (0.22 | ) | – | 12.27 | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
5/31/2018(c) | 11.88 | 0.16 | 0.04 | 0.20 | (0.24 | ) | (0.24 | ) | 11.84 | |||||||||||||||||||
11/30/2017 | 12.18 | 0.28 | (0.08 | ) | 0.20 | (0.50 | ) | – | 11.88 | |||||||||||||||||||
11/30/2016 | 12.27 | 0.33 | 0.14 | 0.47 | (0.56 | ) | – | 12.18 | ||||||||||||||||||||
6/30/2015 to 11/30/2015(g) | 12.87 | 0.13 | (0.50 | ) | (0.37 | ) | (0.23 | ) | – | 12.27 | ||||||||||||||||||
Class T | ||||||||||||||||||||||||||||
5/31/2018(c) | 11.88 | 0.13 | 0.05 | 0.18 | (0.22 | ) | (0.22 | ) | 11.84 | |||||||||||||||||||
7/28/2017 to 11/30/2017(h) | 11.93 | 0.09 | 0.01 | 0.10 | (0.15 | ) | – | 11.88 |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for Classes A, C and T does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(c) | Unaudited. |
(d) | Not annualized. |
(e) | Annualized. |
(f) | Commenced on April 4, 2017. |
(g) | Commenced on June 30, 2015. |
(h) | Commenced on July 28, 2017. |
426 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||
Total return(b) (%) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | |||||||||||||||||
1.37 | (d) | 1.02 | (e) | 1.03 | (e) | 1.99 | (e) | $ | 179 | 46 | (d) | |||||||||||
0.97 | 1.05 | 1.11 | 1.65 | 175 | 64 | |||||||||||||||||
3.39 | 1.05 | 1.21 | 2.13 | 283 | 79 | |||||||||||||||||
(4.41 | ) | 1.05 | 1.26 | 1.90 | 278 | 62 | ||||||||||||||||
(2.75 | ) | 1.05 | 1.15 | 1.78 | 202 | 79 | ||||||||||||||||
(1.89 | ) | 1.04 | 1.09 | 1.62 | 108 | 76 | ||||||||||||||||
1.49 | (d) | 0.76 | (e) | 0.77 | (e) | 2.26 | (e) | 1,161 | 46 | (d) | ||||||||||||
1.22 | 0.80 | 0.84 | 2.05 | 735 | 64 | |||||||||||||||||
3.63 | 0.78 | 0.91 | 2.23 | 110 | 79 | |||||||||||||||||
(3.02 | )(d) | 0.81 | (e) | 1.06 | (e) | 2.11 | (e) | 10 | 62 | |||||||||||||
1.62 | (d) | 0.49 | (e) | 0.50 | (e) | 2.55 | (e) | 137 | 46 | (d) | ||||||||||||
1.48 | 0.55 | 0.59 | 2.19 | 33 | 64 | |||||||||||||||||
3.89 | 0.55 | 0.68 | 2.59 | 10 | 79 | |||||||||||||||||
(2.92 | )(d) | 0.55 | (e) | 0.81 | (e) | 2.38 | (e) | 10 | 62 | |||||||||||||
1.68 | (d) | 0.39 | (e) | 0.47 | (e) | 2.63 | (e) | 35,087 | 46 | (d) | ||||||||||||
1.67 | 0.37 | 0.52 | 2.37 | 33,747 | 64 | |||||||||||||||||
4.09 | 0.37 | 0.52 | 2.78 | 10 | 79 | |||||||||||||||||
(2.87 | )(d) | 0.43 | (e) | 0.55 | (e) | 2.50 | (e) | 10 | 62 | |||||||||||||
1.52 | (d) | 0.71 | (e) | 0.71 | (e) | 2.27 | (e) | 10 | 46 | (d) | ||||||||||||
0.86 | (d) | 0.77 | (e) | 0.77 | (e) | 2.13 | (e) | 10 | 64 |
See Notes to Financial Statements. | 427 |
Financial Highlights (unaudited)(continued)
SHORT DURATION CORE BOND FUND
Per Share Operating Performance: | ||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||
Net asset value, beginning of period | Net investment income(a) | Net realized and unrealized gain (loss) | Total from investment operations | Net invest- ment income | ||||||||||||||||
Class A | ||||||||||||||||||||
5/31/2018(e) | $ 9.92 | $0.10 | $(0.08 | ) | $ 0.02 | $(0.14 | ) | |||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.09 | (0.02 | ) | 0.07 | (0.15 | ) | |||||||||||||
Class C | ||||||||||||||||||||
5/31/2018(e) | 9.92 | 0.06 | (0.08 | ) | (0.02 | ) | (0.10 | ) | ||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.04 | (0.02 | ) | 0.02 | (0.10 | ) | |||||||||||||
Class F | ||||||||||||||||||||
5/31/2018(e) | 9.92 | 0.10 | (0.07 | ) | 0.03 | (0.15 | ) | |||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.09 | (0.01 | ) | 0.08 | (0.16 | ) | |||||||||||||
Class F3 | ||||||||||||||||||||
5/31/2018(e) | 9.92 | 0.11 | (0.08 | ) | 0.03 | (0.15 | ) | |||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.11 | (0.02 | ) | 0.09 | (0.17 | ) | |||||||||||||
Class I | ||||||||||||||||||||
5/31/2018(e) | 9.92 | 0.10 | (0.07 | ) | 0.03 | (0.15 | ) | |||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.10 | (0.02 | ) | 0.08 | (0.16 | ) | |||||||||||||
Class R2 | ||||||||||||||||||||
5/31/2018(e) | 9.92 | 0.08 | (0.08 | ) | – | (0.12 | ) | |||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.06 | (0.01 | ) | 0.05 | (0.13 | ) | |||||||||||||
Class R3 | ||||||||||||||||||||
5/31/2018(e) | 9.92 | 0.08 | (0.07 | ) | 0.01 | (0.13 | ) | |||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.07 | (0.02 | ) | 0.05 | (0.13 | ) | |||||||||||||
Class R4 | ||||||||||||||||||||
5/31/2018(e) | 9.92 | 0.09 | (0.07 | ) | 0.02 | (0.14 | ) | |||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.08 | (0.01 | ) | 0.07 | (0.15 | ) | |||||||||||||
Class R5 | ||||||||||||||||||||
5/31/2018(e) | 9.92 | 0.10 | (0.07 | ) | 0.03 | (0.15 | ) | |||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.10 | (0.02 | ) | 0.08 | (0.16 | ) | |||||||||||||
Class R6 | ||||||||||||||||||||
5/31/2018(e) | 9.92 | 0.11 | (0.08 | ) | 0.03 | (0.15 | ) | |||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.11 | (0.02 | ) | 0.09 | (0.17 | ) |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for Classes A and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(c) | Not annualized. |
(d) | Annualized. |
(e) | Unaudited. |
(f) | Commenced on April 19, 2017. |
428 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return(b)(c) (%) | Total expenses after waivers and/or reimburse- ments(d) (%) | Total expenses(d) (%) | Net investment income(d) (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$ | 9.80 | 0.20 | 0.60 | 3.14 | 1.94 | $ | 2,672 | 114 | (c) | |||||||||||||||||
9.92 | 0.70 | 0.60 | 3.42 | 1.43 | 1,775 | 216 | ||||||||||||||||||||
9.80 | (0.18 | ) | 1.40 | 3.90 | 1.17 | 1,042 | 114 | (c) | ||||||||||||||||||
9.92 | 0.22 | 1.37 | 4.11 | 0.70 | 806 | 216 | ||||||||||||||||||||
9.80 | 0.26 | 0.50 | 3.03 | 2.04 | 2,622 | 114 | (c) | |||||||||||||||||||
9.92 | 0.77 | 0.50 | 3.37 | 1.52 | 1,894 | 216 | ||||||||||||||||||||
9.80 | 0.35 | 0.31 | 2.90 | 2.27 | 1,519 | 114 | (c) | |||||||||||||||||||
9.92 | 0.89 | 0.30 | 3.25 | 1.71 | 1,513 | 216 | ||||||||||||||||||||
9.80 | 0.31 | 0.40 | 2.91 | 2.14 | 51 | 114 | (c) | |||||||||||||||||||
9.92 | 0.83 | 0.40 | 3.35 | 1.61 | 50 | 216 | ||||||||||||||||||||
9.80 | 0.01 | 1.00 | 3.49 | 1.53 | 25 | 114 | (c) | |||||||||||||||||||
9.92 | 0.47 | 1.00 | 3.94 | 1.00 | 25 | 216 | ||||||||||||||||||||
9.80 | 0.06 | 0.90 | 3.39 | 1.64 | 25 | 114 | (c) | |||||||||||||||||||
9.92 | 0.53 | 0.90 | 3.84 | 1.09 | 25 | 216 | ||||||||||||||||||||
9.80 | 0.18 | 0.65 | 3.14 | 1.88 | 25 | 114 | (c) | |||||||||||||||||||
9.92 | 0.68 | 0.65 | 3.56 | 1.35 | 25 | 216 | ||||||||||||||||||||
9.80 | 0.31 | 0.40 | 2.89 | 2.14 | 25 | 114 | (c) | |||||||||||||||||||
9.92 | 0.83 | 0.40 | 3.34 | 1.60 | 25 | 216 | ||||||||||||||||||||
9.80 | 0.35 | 0.31 | 2.90 | 2.23 | 1,519 | 114 | (c) | |||||||||||||||||||
9.92 | 0.89 | 0.30 | 3.25 | 1.71 | 1,513 | 216 |
See Notes to Financial Statements. | 429 |
Financial Highlights (unaudited)(continued)
SHORT DURATION INCOME FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
5/31/2018(c) | $4.26 | $0.05 | $(0.04 | ) | $ | 0.01 | $(0.08 | ) | $ | – | $ | (0.08 | ) | |||||||||||||||
11/30/2017 | 4.31 | 0.09 | 0.02 | 0.11 | (0.16 | ) | – | (0.16 | ) | |||||||||||||||||||
11/30/2016 | 4.35 | 0.11 | 0.02 | 0.13 | (0.17 | ) | – | (0.17 | ) | |||||||||||||||||||
11/30/2015 | 4.50 | 0.10 | (0.08 | ) | 0.02 | (0.17 | ) | – | (0.17 | ) | ||||||||||||||||||
11/30/2014 | 4.57 | 0.10 | 0.01 | 0.11 | (0.17 | ) | (0.01 | ) | (0.18 | ) | ||||||||||||||||||
11/30/2013 | 4.65 | 0.11 | (0.02 | ) | 0.09 | (0.17 | ) | – | (f) | (0.17 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2018(c) | 4.29 | 0.04 | (0.04 | ) | – | (0.07 | ) | – | (0.07 | ) | ||||||||||||||||||
11/30/2017 | 4.34 | 0.07 | 0.01 | 0.08 | (0.13 | ) | – | (0.13 | ) | |||||||||||||||||||
11/30/2016 | 4.38 | 0.08 | 0.02 | 0.10 | (0.14 | ) | – | (0.14 | ) | |||||||||||||||||||
11/30/2015 | 4.53 | 0.07 | (0.08 | ) | (0.01 | ) | (0.14 | ) | – | (0.14 | ) | |||||||||||||||||
11/30/2014 | 4.60 | 0.07 | 0.01 | 0.08 | (0.14 | ) | (0.01 | ) | (0.15 | ) | ||||||||||||||||||
11/30/2013 | 4.67 | 0.07 | – | (f) | 0.07 | (0.14 | ) | – | (f) | (0.14 | ) | |||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2018(c) | 4.26 | 0.06 | (0.05 | ) | 0.01 | (0.08 | ) | – | (0.08 | ) | ||||||||||||||||||
11/30/2017 | 4.31 | 0.10 | 0.01 | 0.11 | (0.16 | ) | – | (0.16 | ) | |||||||||||||||||||
11/30/2016 | 4.35 | 0.11 | 0.02 | 0.13 | (0.17 | ) | – | (0.17 | ) | |||||||||||||||||||
11/30/2015 | 4.50 | 0.11 | (0.08 | ) | 0.03 | (0.18 | ) | – | (0.18 | ) | ||||||||||||||||||
11/30/2014 | 4.57 | 0.11 | – | 0.11 | (0.17 | ) | (0.01 | ) | (0.18 | ) | ||||||||||||||||||
11/30/2013 | 4.64 | 0.11 | (0.01 | ) | 0.10 | (0.17 | ) | – | (f) | (0.17 | ) | |||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2018(c) | 4.26 | 0.06 | (0.04 | ) | 0.02 | (0.08 | ) | – | (0.08 | ) | ||||||||||||||||||
4/4/2017 to 11/30/2017(g) | 4.30 | 0.07 | – | 0.07 | (0.11 | ) | – | (0.11 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2018(c) | 4.25 | 0.06 | (0.04 | ) | 0.02 | (0.08 | ) | – | (0.08 | ) | ||||||||||||||||||
11/30/2017 | 4.31 | 0.10 | 0.01 | 0.11 | (0.17 | ) | – | (0.17 | ) | |||||||||||||||||||
11/30/2016 | 4.35 | 0.12 | 0.02 | 0.14 | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||||
11/30/2015 | 4.50 | 0.11 | (0.08 | ) | 0.03 | (0.18 | ) | – | (0.18 | ) | ||||||||||||||||||
11/30/2014 | 4.57 | 0.11 | 0.01 | 0.12 | (0.18 | ) | (0.01 | ) | (0.19 | ) | ||||||||||||||||||
11/30/2013 | 4.64 | 0.11 | – | (f) | 0.11 | (0.18 | ) | – | (f) | (0.18 | ) | |||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
5/31/2018(c) | 4.26 | 0.05 | (0.05 | ) | – | (0.07 | ) | – | (0.07 | ) | ||||||||||||||||||
11/30/2017 | 4.31 | 0.08 | 0.01 | 0.09 | (0.14 | ) | – | (0.14 | ) | |||||||||||||||||||
11/30/2016 | 4.35 | 0.09 | 0.02 | 0.11 | (0.15 | ) | – | (0.15 | ) | |||||||||||||||||||
11/30/2015 | 4.50 | 0.08 | (0.08 | ) | – | (0.15 | ) | – | (0.15 | ) | ||||||||||||||||||
11/30/2014 | 4.58 | 0.08 | – | 0.08 | (0.15 | ) | (0.01 | ) | (0.16 | ) | ||||||||||||||||||
11/30/2013 | 4.65 | 0.09 | (0.01 | ) | 0.08 | (0.15 | ) | – | (f) | (0.15 | ) |
430 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||
Net asset value, end of period | Total return(b) (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | |||||||||||||||||
$4.19 | 0.20 | (d) | 0.59 | (e) | 2.56 | (e) | $ | 9,673,111 | 33 | (d) | ||||||||||||
4.26 | 2.55 | 0.59 | 2.19 | 10,697,423 | 67 | |||||||||||||||||
4.31 | 3.06 | 0.60 | 2.49 | 11,099,295 | 50 | |||||||||||||||||
4.35 | 0.46 | 0.60 | 2.29 | 11,609,287 | 59 | |||||||||||||||||
4.50 | 2.30 | 0.59 | 2.23 | 13,157,575 | 60 | |||||||||||||||||
4.57 | 1.98 | 0.58 | 2.29 | 13,290,303 | 71 | |||||||||||||||||
4.22 | (0.10 | )(d) | 1.23 | (e) | 1.93 | (e) | 5,472,883 | 33 | (d) | |||||||||||||
4.29 | 1.91 | 1.23 | 1.55 | 6,129,077 | 67 | |||||||||||||||||
4.34 | 2.42 | 1.23 | 1.86 | 6,759,399 | 50 | |||||||||||||||||
4.38 | (0.16 | ) | 1.25 | 1.65 | 7,143,036 | 59 | ||||||||||||||||
4.53 | 1.63 | 1.26 | 1.57 | 8,058,228 | 60 | |||||||||||||||||
4.60 | 1.51 | 1.27 | 1.60 | 8,127,184 | 71 | |||||||||||||||||
4.19 | 0.25 | (d) | 0.49 | (e) | 2.66 | (e) | 15,011,321 | 33 | (d) | |||||||||||||
4.26 | 2.65 | 0.49 | 2.28 | 14,906,190 | 67 | |||||||||||||||||
4.31 | 3.15 | 0.50 | 2.58 | 12,884,113 | 50 | |||||||||||||||||
4.35 | 0.57 | 0.50 | 2.39 | 11,321,563 | 59 | |||||||||||||||||
4.50 | 2.40 | 0.49 | 2.33 | 12,099,079 | 60 | |||||||||||||||||
4.57 | 2.30 | 0.48 | 2.38 | 9,140,966 | 71 | |||||||||||||||||
4.20 | 0.57 | (d) | 0.32 | (e) | 2.81 | (e) | 2,286,835 | 33 | (d) | |||||||||||||
4.26 | 1.62 | (d) | 0.33 | (e) | 2.55 | (e) | 2,914,992 | 67 | ||||||||||||||
4.19 | 0.54 | (d) | 0.39 | (e) | 2.76 | (e) | 6,880,906 | 33 | (d) | |||||||||||||
4.25 | 2.51 | 0.39 | 2.37 | 7,091,069 | 67 | |||||||||||||||||
4.31 | 3.26 | 0.39 | 2.68 | 5,771,458 | 50 | |||||||||||||||||
4.35 | 0.66 | 0.40 | 2.48 | 4,487,861 | 59 | |||||||||||||||||
4.50 | 2.50 | 0.39 | 2.42 | 4,461,188 | 60 | |||||||||||||||||
4.57 | 2.40 | 0.39 | 2.47 | 3,341,231 | 71 | |||||||||||||||||
4.19 | 0.01 | (d) | 0.99 | (e) | 2.17 | (e) | 24,092 | 33 | (d) | |||||||||||||
4.26 | 2.14 | 0.99 | 1.79 | 27,492 | 67 | |||||||||||||||||
4.31 | 2.66 | 1.00 | 2.09 | 28,476 | 50 | |||||||||||||||||
4.35 | 0.07 | 1.00 | 1.90 | 21,602 | 59 | |||||||||||||||||
4.50 | 1.68 | 0.99 | 1.84 | 19,241 | 60 | |||||||||||||||||
4.58 | 1.81 | 0.98 | 1.90 | 13,412 | 71 |
See Notes to Financial Statements. | 431 |
Financial Highlights (unaudited)(continued)
SHORT DURATION INCOME FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net gain | Total distri- butions | ||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2018(c) | $4.26 | $0.05 | $(0.04 | ) | $ | 0.01 | $(0.07 | ) | $ | – | $ | (0.07 | ) | |||||||||||||||
11/30/2017 | 4.31 | 0.08 | 0.02 | 0.10 | (0.15 | ) | – | (0.15 | ) | |||||||||||||||||||
11/30/2016 | 4.35 | 0.10 | 0.02 | 0.12 | (0.16 | ) | – | (0.16 | ) | |||||||||||||||||||
11/30/2015 | 4.50 | 0.09 | (0.08 | ) | 0.01 | (0.16 | ) | – | (0.16 | ) | ||||||||||||||||||
11/30/2014 | 4.58 | 0.09 | (0.01 | ) | 0.08 | (0.15 | ) | (0.01 | ) | (0.16 | ) | |||||||||||||||||
11/30/2013 | 4.65 | 0.09 | – | (f) | 0.09 | (0.16 | ) | – | (f) | (0.16 | ) | |||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2018(c) | 4.27 | 0.05 | (0.04 | ) | 0.01 | (0.08 | ) | – | (0.08 | ) | ||||||||||||||||||
11/30/2017 | 4.32 | 0.09 | 0.02 | 0.11 | (0.16 | ) | – | (0.16 | ) | |||||||||||||||||||
11/30/2016 | 4.36 | 0.10 | 0.03 | 0.13 | (0.17 | ) | – | (0.17 | ) | |||||||||||||||||||
6/30/2015 to 11/30/2015(h) | 4.44 | 0.04 | (0.05 | ) | (0.01 | ) | (0.07 | ) | – | (0.07 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
5/31/2018(c) | 4.25 | 0.06 | (0.04 | ) | 0.02 | (0.08 | ) | – | (0.08 | ) | ||||||||||||||||||
11/30/2017 | 4.30 | 0.10 | 0.02 | 0.12 | (0.17 | ) | – | (0.17 | ) | |||||||||||||||||||
11/30/2016 | 4.35 | 0.11 | 0.02 | 0.13 | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||||
6/30/2015 to 11/30/2015(h) | 4.43 | 0.05 | (0.06 | ) | (0.01 | ) | (0.07 | ) | – | (0.07 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
5/31/2018(c) | 4.26 | 0.06 | (0.05 | ) | 0.01 | (0.08 | ) | – | (0.08 | ) | ||||||||||||||||||
11/30/2017 | 4.31 | 0.11 | 0.01 | 0.12 | (0.17 | ) | – | (0.17 | ) | |||||||||||||||||||
11/30/2016 | 4.35 | 0.12 | 0.02 | 0.14 | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||||
6/30/2015 to 11/30/2015(h) | 4.43 | 0.05 | (0.05 | ) | – | (0.08 | ) | – | (0.08 | ) | ||||||||||||||||||
Class T | ||||||||||||||||||||||||||||
5/31/2018(c) | 4.26 | 0.05 | (0.03 | ) | 0.02 | (0.08 | ) | – | (0.08 | ) | ||||||||||||||||||
7/28/2017 to 11/30/2017(i) | 4.30 | 0.03 | (0.02 | ) | 0.01 | (0.05 | ) | – | (0.05 | ) |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for Classes A, C and T does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(c) | Unaudited. |
(d) | Not annualized. |
(e) | Annualized. |
(f) | Amount is less than $0.01. |
(g) | Commenced on April 4, 2017. |
(h) | Commenced on June 30, 2015. |
(i) | Commenced on July 28, 2017. |
432 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||
Net asset value, end of period | Total return(b) (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | |||||||||||||||||
$4.20 | 0.29 | (d) | 0.89 | (e) | 2.27 | (e) | $ | 292,875 | 33 | (d) | ||||||||||||
4.26 | 2.25 | 0.89 | 1.90 | 311,784 | 67 | |||||||||||||||||
4.31 | 2.77 | 0.89 | 2.20 | 279,118 | 50 | |||||||||||||||||
4.35 | 0.17 | 0.90 | 2.00 | 214,469 | 59 | |||||||||||||||||
4.50 | 1.78 | 0.89 | 1.94 | 147,249 | 60 | |||||||||||||||||
4.58 | 1.91 | 0.88 | 2.00 | 107,003 | 71 | |||||||||||||||||
4.20 | 0.19 | (d) | 0.64 | (e) | 2.53 | (e) | 90,556 | 33 | (d) | |||||||||||||
4.27 | 2.50 | 0.64 | 2.15 | 76,006 | 67 | |||||||||||||||||
4.32 | 3.00 | 0.65 | 2.35 | 30,700 | 50 | |||||||||||||||||
4.36 | (0.23 | )(d) | 0.64 | (e) | 2.40 | (e) | 197 | 59 | ||||||||||||||
4.19 | 0.54 | (d) | 0.39 | (e) | 2.78 | (e) | 34,578 | 33 | (d) | |||||||||||||
4.25 | 2.76 | 0.39 | 2.39 | 24,140 | 67 | |||||||||||||||||
4.30 | 3.03 | 0.40 | 2.64 | 10,791 | 50 | |||||||||||||||||
4.35 | (0.14 | )(d) | 0.40 | (e) | 2.46 | (e) | 118 | 59 | ||||||||||||||
4.19 | 0.34 | (d) | 0.32 | (e) | 2.84 | (e) | 460,701 | 33 | (d) | |||||||||||||
4.26 | 2.82 | 0.33 | 2.46 | 289,557 | 67 | |||||||||||||||||
4.31 | 3.34 | 0.33 | 2.77 | 174,247 | 50 | |||||||||||||||||
4.35 | (0.10 | )(d) | 0.35 | (e) | 2.57 | (e) | 223,498 | 59 | ||||||||||||||
4.20 | 0.45 | (d) | 0.56 | (e) | 2.54 | (e) | 10 | 33 | (d) | |||||||||||||
4.26 | 0.29 | (d) | 0.56 | (e) | 2.37 | (e) | 10 | 67 |
See Notes to Financial Statements. | 433 |
Financial Highlights (unaudited)(continued)
TOTAL RETURN FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
5/31/2018(c) | $10.36 | $0.13 | $(0.27 | ) | $(0.14 | ) | $(0.15 | ) | $ | – | $(0.15 | ) | ||||||||||||||||
11/30/2017 | 10.29 | 0.22 | 0.15 | 0.37 | (0.27 | ) | (0.03 | ) | (0.30 | ) | ||||||||||||||||||
11/30/2016 | 10.29 | 0.23 | 0.08 | 0.31 | (0.29 | ) | (0.02 | ) | (0.31 | ) | ||||||||||||||||||
11/30/2015 | 10.66 | 0.22 | (0.23 | ) | (0.01 | ) | (0.30 | ) | (0.06 | ) | (0.36 | ) | ||||||||||||||||
11/30/2014 | 10.36 | 0.22 | 0.40 | 0.62 | (0.32 | ) | – | (0.32 | ) | |||||||||||||||||||
11/30/2013 | 11.00 | 0.22 | (0.31 | ) | (0.09 | ) | (0.32 | ) | (0.23 | ) | (0.55 | ) | ||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2018(c) | 10.35 | 0.10 | (0.27 | ) | (0.17 | ) | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||
11/30/2017 | 10.28 | 0.15 | 0.15 | 0.30 | (0.20 | ) | (0.03 | ) | (0.23 | ) | ||||||||||||||||||
11/30/2016 | 10.28 | 0.16 | 0.08 | 0.24 | (0.22 | ) | (0.02 | ) | (0.24 | ) | ||||||||||||||||||
11/30/2015 | 10.65 | 0.15 | (0.23 | ) | (0.08 | ) | (0.23 | ) | (0.06 | ) | (0.29 | ) | ||||||||||||||||
11/30/2014 | 10.35 | 0.15 | 0.40 | 0.55 | (0.25 | ) | – | (0.25 | ) | |||||||||||||||||||
11/30/2013 | 10.99 | 0.15 | (0.31 | ) | (0.16 | ) | (0.25 | ) | (0.23 | ) | (0.48 | ) | ||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2018(c) | 10.36 | 0.13 | (0.26 | ) | (0.13 | ) | (0.16 | ) | – | (0.16 | ) | |||||||||||||||||
11/30/2017 | 10.29 | 0.23 | 0.15 | 0.38 | (0.28 | ) | (0.03 | ) | (0.31 | ) | ||||||||||||||||||
11/30/2016 | 10.29 | 0.24 | 0.08 | 0.32 | (0.30 | ) | (0.02 | ) | (0.32 | ) | ||||||||||||||||||
11/30/2015 | 10.66 | 0.23 | (0.23 | ) | – | (0.31 | ) | (0.06 | ) | (0.37 | ) | |||||||||||||||||
11/30/2014 | 10.36 | 0.23 | 0.40 | 0.63 | (0.33 | ) | – | (0.33 | ) | |||||||||||||||||||
11/30/2013 | 10.99 | 0.23 | (0.30 | ) | (0.07 | ) | (0.33 | ) | (0.23 | ) | (0.56 | ) | ||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2018(c) | 10.36 | 0.15 | (0.27 | ) | (0.12 | ) | (0.17 | ) | – | (0.17 | ) | |||||||||||||||||
4/4/2017 to 11/30/2017(f) | 10.33 | 0.18 | 0.05 | 0.23 | (0.20 | ) | – | (0.20 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2018(c) | 10.38 | 0.14 | (0.27 | ) | (0.13 | ) | (0.16 | ) | – | (0.16 | ) | |||||||||||||||||
11/30/2017 | 10.31 | 0.24 | 0.15 | 0.39 | (0.29 | ) | (0.03 | ) | (0.32 | ) | ||||||||||||||||||
11/30/2016 | 10.31 | 0.25 | 0.08 | 0.33 | (0.31 | ) | (0.02 | ) | (0.33 | ) | ||||||||||||||||||
11/30/2015 | 10.68 | 0.24 | (0.23 | ) | 0.01 | (0.32 | ) | (0.06 | ) | (0.38 | ) | |||||||||||||||||
11/30/2014 | 10.38 | 0.24 | 0.40 | 0.64 | (0.34 | ) | – | (0.34 | ) | |||||||||||||||||||
11/30/2013 | 11.02 | 0.25 | (0.32 | ) | (0.07 | ) | (0.34 | ) | (0.23 | ) | (0.57 | ) | ||||||||||||||||
Class P | ||||||||||||||||||||||||||||
5/31/2018(c) | 10.41 | 0.12 | (0.28 | ) | (0.16 | ) | (0.14 | ) | – | (0.14 | ) | |||||||||||||||||
11/30/2017 | 10.34 | 0.19 | 0.15 | 0.34 | (0.24 | ) | (0.03 | ) | (0.27 | ) | ||||||||||||||||||
11/30/2016 | 10.34 | 0.20 | 0.09 | 0.29 | (0.27 | ) | (0.02 | ) | (0.29 | ) | ||||||||||||||||||
11/30/2015 | 10.71 | 0.20 | (0.24 | ) | (0.04 | ) | (0.27 | ) | (0.06 | ) | (0.33 | ) | ||||||||||||||||
11/30/2014 | 10.40 | 0.19 | 0.41 | 0.60 | (0.29 | ) | – | (0.29 | ) | |||||||||||||||||||
11/30/2013 | 11.05 | 0.20 | (0.32 | ) | (0.12 | ) | (0.30 | ) | (0.23 | ) | (0.53 | ) |
434 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return(b) (%) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$10.07 | (1.33 | )(d) | 0.68 | (e) | 0.76 | (e) | 2.56 | (e) | $ | 1,219,859 | 337 | (d) | ||||||||||||||
10.36 | 3.65 | 0.68 | 0.80 | 2.11 | 1,269,964 | 472 | ||||||||||||||||||||
10.29 | 3.02 | 0.68 | 0.81 | 2.19 | 1,341,883 | 443 | ||||||||||||||||||||
10.29 | (0.12 | ) | 0.68 | 0.83 | 2.11 | 1,224,398 | 434 | |||||||||||||||||||
10.66 | 6.02 | 0.82 | 0.84 | 2.06 | 928,445 | 466 | ||||||||||||||||||||
10.36 | (0.81 | ) | 0.85 | 0.85 | 2.11 | 859,225 | 601 | |||||||||||||||||||
10.06 | (1.64 | )(d) | 1.30 | (e) | 1.39 | (e) | 1.93 | (e) | 141,671 | 337 | (d) | |||||||||||||||
10.35 | 2.99 | 1.32 | 1.43 | 1.47 | 170,287 | 472 | ||||||||||||||||||||
10.28 | 2.36 | 1.33 | 1.46 | 1.55 | 210,158 | 443 | ||||||||||||||||||||
10.28 | (0.77 | ) | 1.32 | 1.47 | 1.46 | 199,731 | 434 | |||||||||||||||||||
10.65 | 5.36 | 1.44 | 1.47 | 1.43 | 177,975 | 466 | ||||||||||||||||||||
10.35 | (1.46 | ) | 1.50 | 1.50 | 1.46 | 171,890 | 601 | |||||||||||||||||||
10.07 | (1.28 | )(d) | 0.58 | (e) | 0.66 | (e) | 2.66 | (e) | 899,615 | 337 | (d) | |||||||||||||||
10.36 | 3.74 | 0.58 | 0.69 | 2.18 | 901,918 | 472 | ||||||||||||||||||||
10.29 | 3.12 | 0.58 | 0.71 | 2.26 | 851,069 | 443 | ||||||||||||||||||||
10.29 | (0.02 | ) | 0.58 | 0.73 | 2.20 | 548,514 | 434 | |||||||||||||||||||
10.66 | 6.12 | 0.71 | 0.74 | 2.15 | 519,591 | 466 | ||||||||||||||||||||
10.36 | (0.62 | ) | 0.75 | 0.75 | 2.21 | 339,551 | 601 | |||||||||||||||||||
10.07 | (1.18 | )(d) | 0.36 | (e) | 0.43 | (e) | 2.87 | (e) | 660,451 | 337 | (d) | |||||||||||||||
10.36 | 2.22 | (d) | 0.35 | (e) | 0.48 | (e) | 2.58 | (e) | 581,363 | 472 | ||||||||||||||||
10.09 | (1.22 | )(d) | 0.46 | (e) | 0.56 | (e) | 2.78 | (e) | 403,060 | 337 | (d) | |||||||||||||||
10.38 | 3.85 | 0.48 | 0.60 | 2.31 | 380,442 | 472 | ||||||||||||||||||||
10.31 | 3.23 | 0.48 | 0.61 | 2.40 | 299,530 | 443 | ||||||||||||||||||||
10.31 | 0.08 | 0.48 | 0.63 | 2.31 | 299,438 | 434 | ||||||||||||||||||||
10.68 | 6.22 | 0.60 | 0.64 | 2.25 | 193,343 | 466 | ||||||||||||||||||||
10.38 | (0.60 | ) | 0.65 | 0.65 | 2.32 | 81,974 | 601 | |||||||||||||||||||
10.11 | (1.44 | )(d) | 0.93 | (e) | 1.01 | (e) | 2.30 | (e) | 536 | 337 | (d) | |||||||||||||||
10.41 | 3.38 | 0.93 | 1.05 | 1.85 | 650 | 472 | ||||||||||||||||||||
10.34 | 2.76 | 0.93 | 1.06 | 1.94 | 983 | 443 | ||||||||||||||||||||
10.34 | (0.35 | ) | 0.93 | 1.08 | 1.86 | 2,754 | 434 | |||||||||||||||||||
10.71 | 5.84 | 1.07 | 1.09 | 1.81 | 2,954 | 466 | ||||||||||||||||||||
10.40 | (1.13 | ) | 1.10 | 1.10 | 1.86 | 3,077 | 601 |
See Notes to Financial Statements. | 435 |
Financial Highlights (unaudited)(continued)
TOTAL RETURN FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
5/31/2018(c) | $10.36 | $0.11 | $(0.27 | ) | $(0.16 | ) | $(0.13 | ) | $ | – | $(0.13 | ) | ||||||||||||||||
11/30/2017 | 10.29 | 0.18 | 0.15 | 0.33 | (0.23 | ) | (0.03 | ) | (0.26 | ) | ||||||||||||||||||
11/30/2016 | 10.29 | 0.19 | 0.08 | 0.27 | (0.25 | ) | (0.02 | ) | (0.27 | ) | ||||||||||||||||||
11/30/2015 | 10.66 | 0.18 | (0.23 | ) | (0.05 | ) | (0.26 | ) | (0.06 | ) | (0.32 | ) | ||||||||||||||||
11/30/2014 | 10.36 | 0.18 | 0.39 | 0.57 | (0.27 | ) | – | (0.27 | ) | |||||||||||||||||||
11/30/2013 | 11.00 | 0.18 | (0.31 | ) | (0.13 | ) | (0.28 | ) | (0.23 | ) | (0.51 | ) | ||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2018(c) | 10.36 | 0.11 | (0.27 | ) | (0.16 | ) | (0.14 | ) | – | (0.14 | ) | |||||||||||||||||
11/30/2017 | 10.29 | 0.19 | 0.15 | 0.34 | (0.24 | ) | (0.03 | ) | (0.27 | ) | ||||||||||||||||||
11/30/2016 | 10.29 | 0.20 | 0.08 | 0.28 | (0.26 | ) | (0.02 | ) | (0.28 | ) | ||||||||||||||||||
11/30/2015 | 10.66 | 0.19 | (0.23 | ) | (0.04 | ) | (0.27 | ) | (0.06 | ) | (0.33 | ) | ||||||||||||||||
11/30/2014 | 10.35 | 0.19 | 0.40 | 0.59 | (0.28 | ) | – | (0.28 | ) | |||||||||||||||||||
11/30/2013 | 11.00 | 0.19 | (0.32 | ) | (0.13 | ) | (0.29 | ) | (0.23 | ) | (0.52 | ) | ||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2018(c) | 10.36 | 0.13 | (0.27 | ) | (0.14 | ) | (0.15 | ) | – | (0.15 | ) | |||||||||||||||||
11/30/2017 | 10.29 | 0.22 | 0.14 | 0.36 | (0.26 | ) | (0.03 | ) | (0.29 | ) | ||||||||||||||||||
11/30/2016 | 10.29 | 0.21 | 0.10 | 0.31 | (0.29 | ) | (0.02 | ) | (0.31 | ) | ||||||||||||||||||
6/30/2015 to 11/30/2015(g) | 10.41 | 0.10 | (0.10 | ) | – | (0.12 | ) | – | (0.12 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
5/31/2018(c) | 10.36 | 0.14 | (0.27 | ) | (0.13 | ) | (0.16 | ) | – | (0.16 | ) | |||||||||||||||||
11/30/2017 | 10.29 | 0.24 | 0.15 | 0.39 | (0.29 | ) | (0.03 | ) | (0.32 | ) | ||||||||||||||||||
11/30/2016 | 10.30 | 0.24 | 0.08 | 0.32 | (0.31 | ) | (0.02 | ) | (0.33 | ) | ||||||||||||||||||
6/30/2015 to 11/30/2015(g) | 10.43 | 0.10 | (0.10 | ) | – | (0.13 | ) | – | (0.13 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
5/31/2018(c) | 10.37 | 0.15 | (0.27 | ) | (0.12 | ) | (0.17 | ) | – | (0.17 | ) | |||||||||||||||||
11/30/2017 | 10.30 | 0.25 | 0.15 | 0.40 | (0.30 | ) | (0.03 | ) | (0.33 | ) | ||||||||||||||||||
11/30/2016 | 10.30 | 0.26 | 0.09 | 0.35 | (0.33 | ) | (0.02 | ) | (0.35 | ) | ||||||||||||||||||
6/30/2015 to 11/30/2015(g) | 10.43 | 0.12 | (0.11 | ) | 0.01 | (0.14 | ) | – | (0.14 | ) | ||||||||||||||||||
Class T | ||||||||||||||||||||||||||||
5/31/2018(c) | 10.36 | 0.13 | (0.28 | ) | (0.15 | ) | (0.15 | ) | – | (0.15 | ) | |||||||||||||||||
7/28/2017 to 11/30/2017(h) | 10.41 | 0.08 | (0.04 | ) | 0.04 | (0.09 | ) | – | (0.09 | ) |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for Classes A, C and T does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(c) | Unaudited. |
(d) | Not annualized. |
(e) | Annualized. |
(f) | Commenced on April 4, 2017. |
(g) | Commenced on June 30, 2015. |
(h) | Commenced on July 28, 2017. |
436 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return(b) (%) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$10.07 | (1.53 | )(d) | 1.08 | (e) | 1.17 | (e) | 2.14 | (e) | $ | 5,825 | 337 | (d) | ||||||||||||||
10.36 | 3.24 | 1.08 | 1.20 | 1.69 | 8,150 | 472 | ||||||||||||||||||||
10.29 | 2.62 | 1.08 | 1.21 | 1.79 | 7,419 | 443 | ||||||||||||||||||||
10.29 | (0.52 | ) | 1.08 | 1.23 | 1.72 | 6,070 | 434 | |||||||||||||||||||
10.66 | 5.60 | 1.21 | 1.24 | 1.66 | 3,985 | 466 | ||||||||||||||||||||
10.36 | (1.20 | ) | 1.25 | 1.25 | 1.72 | 3,136 | 601 | |||||||||||||||||||
10.06 | (1.58 | )(d) | 0.98 | (e) | 1.07 | (e) | 2.25 | (e) | 113,827 | 337 | (d) | |||||||||||||||
10.36 | 3.34 | 0.98 | 1.09 | 1.79 | 133,227 | 472 | ||||||||||||||||||||
10.29 | 2.72 | 0.98 | 1.11 | 1.90 | 137,112 | 443 | ||||||||||||||||||||
10.29 | (0.41 | ) | 0.97 | 1.13 | 1.83 | 130,149 | 434 | |||||||||||||||||||
10.66 | 5.81 | 1.11 | 1.14 | 1.77 | 67,975 | 466 | ||||||||||||||||||||
10.35 | (1.20 | ) | 1.15 | 1.15 | 1.82 | 54,287 | 601 | |||||||||||||||||||
10.07 | (1.36 | )(d) | 0.73 | (e) | 0.81 | (e) | 2.52 | (e) | 69,042 | 337 | (d) | |||||||||||||||
10.36 | 3.60 | 0.73 | 0.84 | 2.05 | 68,972 | 472 | ||||||||||||||||||||
10.29 | 2.98 | 0.73 | 0.86 | 2.03 | 25,290 | 443 | ||||||||||||||||||||
10.29 | 0.03 | (d) | 0.68 | (e) | 0.89 | (e) | 2.33 | (e) | 986 | 434 | ||||||||||||||||
10.07 | (1.23 | )(d) | 0.48 | (e) | 0.56 | (e) | 2.76 | (e) | 86,881 | 337 | (d) | |||||||||||||||
10.36 | 3.87 | 0.48 | 0.60 | 2.32 | 91,931 | 472 | ||||||||||||||||||||
10.29 | 3.01 | 0.48 | 0.62 | 2.27 | 10,707 | 443 | ||||||||||||||||||||
10.30 | 0.13 | (d) | 0.47 | (e) | 0.63 | (e) | 2.36 | (e) | 20 | 434 | ||||||||||||||||
10.08 | (1.17 | )(d) | 0.36 | (e) | 0.43 | (e) | 2.89 | (e) | 191,798 | 337 | (d) | |||||||||||||||
10.37 | 3.98 | 0.36 | 0.48 | 2.45 | 161,412 | 472 | ||||||||||||||||||||
10.30 | 3.35 | 0.36 | 0.49 | 2.47 | 63,662 | 443 | ||||||||||||||||||||
10.30 | 0.09 | (d) | 0.34 | (e) | 0.51 | (e) | 2.69 | (e) | 7,867 | 434 | ||||||||||||||||
10.06 | (1.44 | )(d) | 0.69 | (e) | 0.69 | (e) | 2.49 | (e) | 10 | 337 | (d) | |||||||||||||||
10.36 | 0.37 | (d) | 0.70 | (e) | 0.70 | (e) | 2.14 | (e) | 10 | 472 |
See Notes to Financial Statements. | 437 |
Financial Highlights (unaudited)(concluded)
ULTRA SHORT BOND FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
5/31/2018(c) | $10.01 | $0.09 | $(0.01 | ) | $0.08 | $(0.09 | ) | $ | – | (d) | $(0.09 | ) | ||||||||||||||||
11/30/2017 | 10.00 | 0.13 | – | 0.13 | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||||
11/30/2016(g) | 10.00 | 0.01 | 0.01 | 0.02 | (0.02 | ) | – | (0.02 | ) | |||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2018(c) | 10.01 | 0.09 | – | 0.09 | (0.09 | ) | – | (d) | (0.09 | ) | ||||||||||||||||||
11/30/2017 | 10.00 | 0.13 | – | 0.13 | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||||
11/30/2016(g) | 10.00 | 0.01 | 0.01 | 0.02 | (0.02 | ) | – | (0.02 | ) | |||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2018(c) | 10.01 | 0.10 | – | 0.10 | (0.10 | ) | – | (d) | (0.10 | ) | ||||||||||||||||||
4/4/2017 to 11/30/2017(h) | 10.01 | 0.10 | – | 0.10 | (0.10 | ) | – | (0.10 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2018(c) | 10.01 | 0.10 | (0.01 | ) | 0.09 | (0.10 | ) | – | (d) | (0.10 | ) | |||||||||||||||||
11/30/2017 | 10.00 | 0.15 | – | 0.15 | (0.14 | ) | – | (0.14 | ) | |||||||||||||||||||
11/30/2016(g) | 10.00 | 0.01 | 0.01 | 0.02 | (0.02 | ) | – | (0.02 | ) | |||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
5/31/2018(c) | 10.01 | 0.10 | – | 0.10 | (0.10 | ) | – | (d) | (0.10 | ) | ||||||||||||||||||
11/30/2017 | 10.00 | 0.14 | 0.01 | 0.15 | (0.14 | ) | – | (0.14 | ) | |||||||||||||||||||
11/30/2016(g) | 10.00 | 0.01 | 0.01 | 0.02 | (0.02 | ) | – | (0.02 | ) | |||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
5/31/2018(c) | 10.01 | 0.11 | (0.01 | ) | 0.10 | (0.10 | ) | – | (d) | (0.10 | ) | |||||||||||||||||
11/30/2017 | 10.00 | 0.14 | 0.01 | 0.15 | (0.14 | ) | – | (0.14 | ) | |||||||||||||||||||
11/30/2016(g) | 10.00 | 0.01 | 0.01 | 0.02 | (0.02 | ) | – | (0.02 | ) |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return assumes the reinvestment of all distributions. |
(c) | Unaudited. |
(d) | Amount is less than $0.01. |
(e) | Not annualized. |
(f) | Annualized. |
(g) | Commenced on October 12, 2016. |
(h) | Commenced on April 4, 2017. |
438 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return(b) (%) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$10.00 | 0.79 | (e) | 0.40 | (f) | 0.45 | (f) | 1.80 | (f) | $ | 3,203,939 | 12 | (e) | ||||||||||||||
10.01 | 1.30 | 0.40 | 0.51 | 1.28 | 1,550,462 | 23 | ||||||||||||||||||||
10.00 | 0.15 | (e) | 0.40 | (f) | 3.62 | (f) | 0.82 | (f) | 5,297 | 2 | ||||||||||||||||
10.01 | 0.91 | (e) | 0.35 | (f) | 0.40 | (f) | 1.87 | (f) | 1,638,685 | 12 | (e) | |||||||||||||||
10.01 | 1.34 | 0.35 | 0.44 | 1.32 | 552,335 | 23 | ||||||||||||||||||||
10.00 | 0.16 | (e) | 0.35 | (f) | 3.57 | (f) | 0.86 | (f) | 250 | 2 | ||||||||||||||||
10.01 | 0.99 | (e) | 0.21 | (f) | 0.28 | (f) | 1.99 | (f) | 122,180 | 12 | (e) | |||||||||||||||
10.01 | 0.96 | (e) | 0.21 | (f) | 0.34 | (f) | 1.50 | (f) | 50,096 | 23 | ||||||||||||||||
10.00 | 0.87 | (e) | 0.25 | (f) | 0.31 | (f) | 1.98 | (f) | 330,610 | 12 | (e) | |||||||||||||||
10.01 | 1.46 | 0.25 | 0.39 | 1.45 | 115,193 | 23 | ||||||||||||||||||||
10.00 | 0.17 | (e) | 0.25 | (f) | 3.47 | (f) | 0.96 | (f) | 4,631 | 2 | ||||||||||||||||
10.01 | 0.98 | (e) | 0.25 | (f) | 0.30 | (f) | 1.94 | (f) | 285 | 12 | (e) | |||||||||||||||
10.01 | 1.48 | 0.25 | 0.53 | 1.35 | 292 | 23 | ||||||||||||||||||||
10.00 | 0.17 | (e) | 0.25 | (f) | 3.47 | (f) | 0.96 | (f) | 250 | 2 | ||||||||||||||||
10.01 | 0.99 | (e) | 0.22 | (f) | 0.28 | (f) | 2.15 | (f) | 5,122 | 12 | (e) | |||||||||||||||
10.01 | 1.53 | 0.20 | 0.50 | 1.41 | 314 | 23 | ||||||||||||||||||||
10.00 | 0.18 | (e) | 0.20 | (f) | 3.44 | (f) | 1.01 | (f) | 250 | 2 |
See Notes to Financial Statements. | 439 |
1. | ORGANIZATION |
Lord Abbett Investment Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company and was organized as a Delaware statutory trust on August 16, 1993.
The Trust currently consists of sixteen funds. This report covers the following twelve funds (separately, a “Fund” and collectively, the “Funds”) and their respective active share classes:
Funds | Classes | |
Lord Abbett Convertible Fund (“Convertible Fund”) | A, C, F, F3, I, P, R2, R3, R4, R5, and R6 | |
Lord Abbett Core Fixed Income Fund (“Core Fixed Income Fund”) | A, C, F, F3 I, P, R2, R3, R4, R5, and R6 | |
Lord Abbett Core Plus Bond Fund (“Core Plus Bond Fund”) | A, C, F, F3, I, R2, R3, R4, R5, and R6 | |
Lord Abbett Corporate Bond Fund (“Corporate Bond Fund”) | A, C, F, F3, I, R2, R3, R4, R5, and R6 | |
Lord Abbett Floating Rate Fund (“Floating Rate Fund”) | A, C, F, F3, I, R2, R3, R4, R5, R6, and T | |
Lord Abbett High Yield Fund (“High Yield Fund”) | A, C, F, F3, I, P, R2, R3, R4, R5, R6, and T | |
Lord Abbett Income Fund (“Income Fund”) | A, C, F, F3, I, R2, R3, R4, R5, and R6 | |
Lord Abbett Inflation Focused Fund (“Inflation Focused Fund”) | A, C, F, F3, I, R2, R3, R4, R5, R6, and T | |
Lord Abbett Short Duration Core Bond Fund (“Short Duration Core Bond Fund”) | A ,C, F, F3, I, R2, R3, R4, R5, and R6 | |
Lord Abbett Short Duration Income Fund (“Short Duration Income Fund”) | A, C, F, F3, I, R2, R3, R4, R5, R6, and T | |
Lord Abbett Total Return Fund (“Total Return Fund”) | A, C, F, F3, I, P, R2, R3, R4, R5, R6, and T | |
Lord Abbett Ultra Short Bond Fund (“Ultra Short Bond Fund”) | A, F, F3, I, R5, and R6 |
The Funds’ Class P shares are closed to substantially all new investors, with certain exceptions as set forth in the Funds’ prospectus. On April 25, 2018, the Funds’ remaining Class B shares converted to Class A shares.
Convertible Fund’s investment objective is to seek current income and the opportunity for capital appreciation to produce a high total return. Corporate Bond Fund’s investment objective is to seek current income. Each of Core Fixed Income Fund’s, Core Plus Bond Fund’s and Total Return Fund’s investment objective is to seek income and capital appreciation to produce a high total return. Floating Rate Fund’s investment objective is to seek a high level of current income. High Yield Fund’s investment objective is to seek a high current income and the opportunity for capital appreciation to produce a high total return. Each of Income Fund’s and Short Duration Income Fund’s investment objective is to seek a high level of income consistent with preservation of capital. Inflation Focused Fund’s primary investment objective is to provide investment returns that exceed the rate of inflation in the U.S. economy over a full economic cycle. As a secondary objective, the Fund seeks current income. Each of Short Duration Core Bond Fund’s and Ultra Short Bond Fund’s investment objective is to seek current income consistent with the preservation of capital.
Each class of shares has different expenses and dividends. A front-end sales charge is normally added to the net asset value (“NAV”) for Class A and T shares. There is no front-end sales charge in the case of Class C, F, F3, I, P, R2, R3, R4, R5 and R6 shares, although there may be a contingent deferred sales charge (“CDSC”) in certain cases as follows: Class A shares purchased without a sales charge and redeemed before the first day of the month in which the one-year anniversary of the purchase falls (subject to certain exceptions as set forth in each Fund’s prospectus); Class B shares redeemed before the sixth anniversary of purchase and Class C shares redeemed before the first anniversary of purchase. Effective April 30, 2018, Class C shares will automatically convert to Class A shares on the 25th day of the month (or if the 25th day is not a business day, the next business
440
Notes to Financial Statements (unaudited)(continued)
day thereafter) following the tenth anniversary of the month on which the purchase order was accepted.
The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S GAAP”) requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
2. | SIGNIFICANT ACCOUNTING POLICIES |
(a) | Investment Valuation–Under procedures approved by the Funds’ Board of Trustees (the “Board”), Lord, Abbett & Co. LLC (“Lord Abbett”), the Funds’ investment manager, has formed a Pricing Committee to administer the pricing and valuation of portfolio investments and to ensure that prices utilized reasonably reflect fair value. Among other things, these procedures allow the Funds to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value. |
Securities actively traded on any recognized U.S. or non-U.S. exchange or on The NASDAQ Stock Market LLC are valued at the last sale price or official closing price on the exchange or system on which they are principally traded. Events occurring after the close of trading on non-U.S. exchanges may result in adjustments to the valuation of foreign securities to reflect their fair value as of the close of regular trading on the New York Stock Exchange. Each Fund may utilize an independent fair valuation service in adjusting the valuations of foreign securities. Unlisted equity securities are valued at the last quoted sale price or, if no sale price is available, at the mean between the most recently quoted bid and asked prices. Fixed income securities are valued based on evaluated prices supplied by independent pricing services, which reflect broker/dealer supplied valuations and the independent pricing services’ own electronic data processing techniques. Exchange traded options and futures contracts are valued at the last sale price in the market where they are principally traded. If no sale has occurred, the mean between the most recently quoted bid and asked prices is used. Floating rate loans are valued at the average of bid and ask quotations obtained from dealers in loans on the basis of prices supplied by independent pricing services. Forward foreign currency exchange contracts are valued using daily forward exchange rates. Swaps are valued daily using independent pricing services or quotations from broker/dealers to the extent available. | |
Securities for which prices are not readily available are valued at fair value as determined by the Pricing Committee. The Pricing Committee considers a number of factors, including observable and unobservable inputs, when arriving at fair value. The Pricing Committee may use related or comparable assets or liabilities, recent transactions, market multiples, book values, yield curves, broker quotes, observable trading activity, option adjusted spread models and other relevant information to determine the fair value of portfolio investments. The Board or a designated committee thereof regularly reviews fair value determinations made by the Pricing Committee and may employ techniques such as reviewing related market activity, reviewing inputs and assumptions, and retrospectively comparing prices of subsequent purchases and sales transactions to fair value determinations made by the Pricing Committee. |
441
Notes to Financial Statements (unaudited)(continued)
Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value. | |
(b) | Security Transactions–Security transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method. Realized and unrealized gains (losses) are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
(c) | Investment Income–Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis as earned. Discounts are accreted and premiums are amortized using the effective interest method and are included in Interest and other income on the Statements of Operations. Withholding taxes on foreign dividends have been provided for in accordance with the applicable country’s tax rules and rates. Investment income is allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
(d) | Income Taxes–It is the policy of each Fund to meet the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all taxable income and capital gains to its shareholders. Therefore, no income tax provision is required. |
Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s filed U.S. federal tax returns remains open for the fiscal years ended November 30, 2014 through November 30, 2017. The statutes of limitations on the Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction. | |
(e) | Expenses–Expenses incurred by the Trust that do not specifically relate to an individual fund are generally allocated to the Funds within the Trust on a pro rata basis by relative net assets. Expenses, excluding class-specific expenses, are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. Class A, B, C, F, P, R2, R3, R4 and T shares bear their class-specific share of all expenses and fees relating to the Funds’ 12b-1 Distribution Plan. |
(f) | Foreign Transactions–The books and records of each Fund are maintained in U.S. dollars and transactions denominated in foreign currencies are recorded in each Fund’s records at the rate prevailing when earned or recorded. Asset and liability accounts that are denominated in foreign currencies are adjusted daily to reflect current exchange rates and any unrealized gain (loss) is included in Net change in unrealized appreciation/depreciation on foreign currency exchange contracts in each Fund’s Statement of Operations. The resultant exchange gains and losses upon settlement of such transactions are included in Net realized gain (loss) on foreign currency related transactions in each Fund’s Statement of Operations. The Funds do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in market prices of the securities. |
The Funds use foreign currency exchange contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms. | |
(g) | Forward Foreign Currency Exchange Contracts–Each Fund may enter into forward foreign currency exchange contracts in order to reduce their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings, or gain or reduce exposure to foreign |
442
Notes to Financial Statements (unaudited)(continued)
currency solely for investment purposes. A forward foreign currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated rate. The contracts are valued daily at forward exchange rates and any unrealized gain (loss) is included in Net change in unrealized appreciation/depreciation on foreign currency exchange contracts in each Fund’s Statement of Operations. The gain (loss) arising from the difference between the U.S. dollar cost of the original contract and the value of the foreign currency in U.S. dollars upon closing of such contracts is included in Net realized gain (loss) on foreign currency exchange contracts in each Fund’s Statement of Operations. | |
(h) | Futures Contracts–Each Fund may purchase and sell futures contracts to enhance returns, to attempt to economically hedge some of its investment risk, or as a substitute position in lieu of holding the underlying asset on which the instrument is based. At the time of entering into a futures transaction, an investor is required to deposit and maintain a specified amount of cash or eligible securities called “initial margin.” Subsequent payments made or received by a Fund called “variation margin” are made on a daily basis as the market price of the futures contract fluctuates. Each Fund will record an unrealized gain (loss) based on the amount of variation margin. When a contract is closed, a realized gain (loss) is recorded equal to the difference between the opening and closing value of the contract. |
(i) | When-Issued, Forward Transactions or To-Be-Announced (“TBA”) Transactions–Each Fund may purchase portfolio securities on a when-issued or forward basis. When-issued, forward transactions or TBA transactions involve a commitment by a Fund to purchase securities, with payment and delivery (“settlement”) to take place in the future, in order to secure what is considered to be an advantageous price or yield at the time of entering into the transaction. During the period between purchase and settlement, the fair value of the securities will fluctuate and assets consisting of cash and/or marketable securities (normally short-term U.S. Government or U.S. Government sponsored enterprise securities) marked to market daily in an amount sufficient to make payment at settlement will be segregated at each Fund’s custodian in order to pay for the commitment. At the time each Fund makes the commitment to purchase a security on a when-issued basis, it will record the transaction and reflect the liability for the purchase and fair value of the security in determining its NAV. Each Fund, generally, has the ability to close out a purchase obligation on or before the settlement date rather than take delivery of the security. Under no circumstances will settlement for such securities take place more than 120 days after the purchase date. |
(j) | TBA Sale Commitments–Each Fund may enter into TBA sale commitments to hedge its positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction. Unsettled TBA sale commitments are valued at the current market value of the underlying securities, according to the procedures described under “Investment Valuation” above. The contract is adjusted to market value daily and the change in market value is recorded by each Fund as unrealized appreciation (depreciation). If the TBA sale (purchase) commitment is closed through the acquisition of an offsetting purchase (sale) commitment, each Fund realizes a gain or loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. |
443
Notes to Financial Statements (unaudited)(continued)
(k) | Mortgage Dollar Rolls–Each Fund may enter into mortgage dollar rolls in which a Fund sells mortgage-backed securities for delivery in the current month and simultaneously contracts with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. During the roll period, each Fund loses the right to receive principal (including prepayments of principal) and interest paid on the securities sold. |
(l) | Commercial Paper–Each Fund may purchase commercial paper. Commercial paper consists of unsecured promissory notes issued by corporations to finance short-term credit needs. Commercial paper is issued in bearer form with maturities generally not exceeding nine months. Commercial paper obligations may include variable amount master demand notes. |
(m) | Repurchase Agreements–Each Fund may enter into repurchase agreements with respect to securities. A repurchase agreement is a transaction in which a fund acquires a security and simultaneously commits to resell that security to the seller (a bank or securities dealer) at an agreed-upon price on an agreed-upon date. Each Fund requires at all times that the repurchase agreement be collateralized by cash, or by securities of the U.S. Government, its agencies, its instrumentalities, or U.S. Government sponsored enterprises having a value equal to, or in excess of, the value of the repurchase agreement (including accrued interest). If the seller of the agreement defaults on its obligation to repurchase the underlying securities at a time when the fair value of these securities has declined, a Fund may incur a loss upon disposition of the securities. |
(n) | Reverse Repurchase Agreements–Each Fund may enter into reverse repurchase agreements. In a reverse repurchase agreement, a Fund sells a security to a securities dealer or bank for cash and also agrees to repurchase the same security later at a set price. Reverse repurchase agreements expose the Fund to credit risk (that is, the risk that the counterparty will fail to resell the security to the Fund). Engaging in reverse repurchase agreements also may involve the use of leverage, in that the Fund may reinvest the cash it receives in additional securities.Reverse repurchase agreements involve the risk that the market value of the securities to be repurchased by the Fund may decline below the repurchase price. |
For the six months ended May 31, 2018, the average interest rate paid, the amount of interest paid and the average principal amount for the days borrowed in the period were as follows: | |
Fund | Interest Rate | Interest Expense | Average Amount Borrowed | |
High Yield Fund | 6.00% | $12,345 | $1,322,693 | |
Income Fund | 6.00% | 2,179 | 233,416 | |
Total Return Fund | 6.00% | 4,357 | 466,833 |
(o) | Floating Rate Loans–Each Fund may invest in floating rate loans, which usually take the form of loan participations and assignments. Loan participations and assignments are agreements to make money available to U.S. or foreign corporations, partnerships or other business entities (the “Borrower”) in a specified amount, at a specified rate and within a specified time. A loan is typically originated, negotiated and structured by a U.S. or foreign bank, insurance company or other financial institution (the “Agent”) for a group of loan investors (“Loan Investors”). The Agent typically administers and enforces the loan on behalf of the other Loan Investors in the syndicate and may hold any collateral on behalf of the Loan Investors. Such loan participations and assignments are typically senior, secured and collateralized in nature. A Fund records an investment when the Borrower withdraws money and records interest as earned. These loans pay interest at rates which are periodically reset by |
444
Notes to Financial Statements (unaudited)(continued)
reference to a base lending rate plus a spread. These base lending rates are generally the prime rate offered by a designated U.S. bank or London InterBank Offered Rate (“LIBOR”).
The loans in which each Fund invests may be subject to some restrictions on resale. For example, each Fund may be contractually obligated to receive approval from the Agent and/or Borrower prior to the sale of these investments. Each Fund generally has no right to enforce compliance with the terms of the loan agreement with the Borrower. As a result, each Fund assumes the credit risk of the Borrower, the selling participant and any other persons interpositioned between each Fund and the Borrower (“Intermediate Participants”). In the event that the Borrower, selling participant or Intermediate Participants become insolvent or enter into bankruptcy, each Fund may incur certain costs and delays in realizing payment or may suffer a loss of principal and/or interest.
Unfunded commitments represent the remaining obligation of each Fund to the Borrower. At any point in time, up to the maturity date of the issue, the Borrower may demand the unfunded portion. Until demanded by the Borrower, unfunded commitments are not recognized as an asset on the Statement of Assets and Liabilities. Unrealized appreciation/depreciation on unfunded commitments presented on the Statement of Assets and Liabilities represents mark to market of the unfunded portion of the Fund’s floating rate notes. As of May 31, 2018, the following Funds had unfunded loan commitments:
Floating Rate Fund | High Yield Fund | Income Fund | Short Duration Income Fund | ||||||||||||||
ABG Intermediate Holdings 2 LLC 1st Lien Amendment No. 1 Delayed Draw Term Loan | $ | 1,554,939 | $ | – | $ | – | $ | – | |||||||||
Carlisle FoodService Products, Inc. 1st Lien Delayed Draw Term Loan | 1,072,863 | – | – | – | |||||||||||||
Centene Corporation Bridge Term Loan | – | 37,500,000 | 5,000,000 | 75,000,000 | |||||||||||||
DG Investment Intermediate Holdings 2, Inc. 1st Lien Delayed Draw Term Loan | 532,341 | – | – | – | |||||||||||||
Energizer Holdings, Inc. Bridge Term Loan | – | 5,316,000 | 1,667,000 | 16,156,000 | |||||||||||||
Gibson Brand, Inc. DIP Term Loan | – | 3,615,602 | – | – | |||||||||||||
Heartland Dental, LLC Delayed Draw Term Loan | 2,221,836 | – | – | – | |||||||||||||
ICSH Parent, Inc. 1st Lien Delayed Draw Term Loan | 1,275,350 | – | – | – | |||||||||||||
Lakeland Tours, LLC Delayed Draw Term Loan | 884,295 | – | – | – | |||||||||||||
Mavis Tire Express Services Corp. 1st Lien Delayed Draw Term Loan | 3,871,474 | – | – | – | |||||||||||||
Nationstar Mortgage Holdings Inc. Tranche A Bridge Term Loan | 7,272,727 | 5,900,000 | 1,483,636 | 26,773,455 | |||||||||||||
Nationstar Mortgage Holdings Inc. Tranche B Bridge Term Loan | 7,272,727 | 5,900,000 | 1,483,636 | 26,773,455 | |||||||||||||
Nationstar Mortgage Holdings Inc. Tranche C Bridge Term Loan | 5,454,546 | 4,425,000 | 1,112,728 | 20,080,090 | |||||||||||||
Recess Holdings, Inc. 1st Lien Delayed Draw Term Loan | 2,012,265 | – | – | – | |||||||||||||
Spectrum Holdings III Corp. 1st Lien Delayed Draw Term Loan | 1,150,820 | – | – | – | |||||||||||||
Total | $ | 34,576,183 | $ | 62,656,602 | $ | 10,747,000 | $ | 164,783,000 |
445
Notes to Financial Statements (unaudited)(continued)
(p) | Inflation-Linked Derivatives–Inflation Focused Fund may invest in inflation-linked derivatives, such as Consumer Price Index Swap Agreements (“CPI swaps”). A CPI swap is a contract in which one party agrees to pay a fixed rate in exchange for a variable rate, which is the rate of change in the CPI during the life of the contract. Payments are based on a notional amount of principal.The Fund will normally enter into CPI swap contracts on a zero coupon basis, meaning that the floating rate will be based on the cumulative CPI during the life of the contract, and the fixed rate will compound until the swap’s maturity date, at which point the payments are netted. The swaps are valued daily and any unrealized gain (loss) is included in the Net change in unrealized appreciation/depreciation on swaps in the Fund’s Statement of Operations. A liquidation payment received or made at the termination or maturity of the swap is recorded in realized gain (loss) and is included in Net realized gain (loss) on futures contracts, swaps and foreign currency related transactions in the Fund’s Statement of Operations. Daily changes in valuation of centrally cleared CPI swaps, if any, are recorded as a receivable or payable for the change in value as appropriate (“variation margin”) on the Statements of Assets and Liabilities. For the centrally cleared CPI swaps, there was minimal counterparty risk to the Fund, since such CPI swaps entered into were traded through a central clearinghouse, which guarantees against default. |
(q) | Credit Default Swaps–Each Fund may enter into credit default swap contracts. As a seller of a credit default swap contract (“seller of protection”), a Fund is required to pay the notional amount or other agreed-upon value of a referenced debt obligation to the counterparty in the event of a default by or other credit event involving the referenced issuer, obligation or index. In return, a Fund receives from the counterparty a periodic stream of payments over the term of the contract. |
As a purchaser of a credit default swap contract (“buyer of protection”), a Fund would receive the notional amount or other agreed upon value of a referenced debt obligation from the counterparty in the event of default by or other credit event involving the referenced issuer, obligation or index. In return, a Fund would make periodic payments to the counterparty over the term of the contracts, provided no event of default has occurred. | |
These credit default swaps may have as a reference obligation corporate or sovereign issuers or credit indices. These credit indices are comprised of a basket of securities representing a particular sector of the market. | |
Credit default swaps are fair valued based upon quotations from counterparties, brokers or market-makers and the change in value, if any, is recorded as an unrealized appreciation or depreciation. For a credit default swap sold by a Fund, payment of the agreed-upon amount made by a Fund in the event of default of the referenced debt obligation is recorded as the cost of the referenced debt obligation purchased/received. For a credit default swap purchased by a Fund, the agreed-upon amount received by a Fund in the event of default of the referenced debt obligation is recorded as proceeds from sale/delivery of the referenced debt obligation and the resulting gain or loss realized on the referenced debt obligation is recorded as such by a Fund. | |
Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the custodian bank or broker in accordance with the swap agreement. The value and credit rating of each credit default swap where a Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk |
446
Notes to Financial Statements (unaudited)(continued)
may decrease or increase, respectively. The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a Fund for the same referenced entity or entities. | |
Entering into credit default swaps involves credit and market risk. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates, and that Lord Abbett does not correctly predict the creditworthiness of the issuers of the reference obligation on which the credit default swap is based. For the centrally cleared credit default swaps, there was minimal counterparty risk to the Fund, since such credit default swaps entered into were traded through a central clearinghouse, which guarantees against default. | |
(r) | Total Return Swaps–Each Fund may enter into total return swap agreements to obtain exposure to a security or market without owning such security or investing directly in that market. Each Fund may agree to make payments that are the equivalent of interest in exchange for the right to receive payments equivalent to any appreciation in the value of an underlying security, index or other asset, as well as receive payments equivalent to any distributions made on that asset, over the term of the swap. If the value of the asset underlying a total return swap declines over the term of the swap, each Fund also may be required to pay an amount equal to that decline in value to their counterparty. |
(s) | Fair Value Measurements–Fair value is defined as the price that each Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk – for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy classification is determined based on the lowest level of inputs that is significant to the fair value measurement, and is summarized in the three broad Levels listed below: |
• | Level 1 – | unadjusted quoted prices in active markets for identical investments; | |
• | Level 2 – | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.); and | |
• | Level 3 – | significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments). |
447
Notes to Financial Statements (unaudited)(continued)
A summary of inputs used in valuing each Fund’s investments and other financial instruments as of May 31, 2018 and, if applicable, Level 1/Level 2 transfers and Level 3 rollforwards for the six months then ended is included in each Fund’s Schedule of Investments. | |
Changes in valuation techniques may result in transfers into or out of an assigned level within the three-tier hierarchy. All transfers between different levels within the three-tier hierarchy are deemed to have occurred as of the beginning of the reporting period. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. |
3. | MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES |
Management Fee
The Trust has a management agreement with Lord Abbett, pursuant to which Lord Abbett supplies each Fund with investment management services and executive and other personnel, provides office space and pays for ordinary and necessary office and clerical expenses relating to research and statistical work and supervision of each Fund’s investment portfolio.
The management fee is based on each Fund’s average daily net assets at the following annual rates:
Convertible Fund | Corporate Bond Fund | |||
First $1 billion | .70% | First $2 billion | .40% | |
Next $1 billion | .60% | Over $2 billion | .35% | |
Over $2 billion | .57% | |||
Floating Rate Fund | High Yield Fund | |||
First $1 billion | .50% | First $1 billion | .60% | |
Over $1 billion | .45% | Next $1 billion | .55% | |
Over $2 billion | .50% | |||
Short Duration Core Bond Fund | Short Duration Income Fund | |||
First $1 billion | .30% | First $1 billion | .35% | |
Next $1 billion | .25% | Next $1 billion | .30% | |
Over $2 billion | .20% | Over $2 billion | .25% | |
Ultra Short Bond Fund | .20% | |||
Effective April 1, 2018 | Prior to April 1, 2018 | |||
Core Fixed Income Fund | Core Fixed Income Fund | |||
First $1 billion | .24% | First $1 billion | .45% | |
Next $1 billion | .21% | Next $1 billion | .40% | |
Over $2 billion | .20% | Over $2 billion | .35% | |
Core Plus Bond Fund | Core Plus Bond Fund | |||
First $4 billion | .28% | First $1 billion | .45% | |
Next $11 billion | .26% | Next $1 billion | .40% | |
Over $15 billion | .25% | Over $2 billion | .35% | |
Income Fund | Income Fund | |||
First $3 billion | .38% | First $2.5 billion | .50% | |
Next $7 billion | .35% | Next $1.5 billion | .40% | |
Over $10 billion | .34% | Over $4 billion | .38% |
448
Notes to Financial Statements (unaudited)(continued)
Effective April 1, 2018 | Prior to April 1, 2018 | |||
Inflation Focused Fund | Inflation Focused Fund | |||
First $2 billion | .30% | First $2 billion | .40% | |
Next $3 billion | .28% | Next $3 billion | .375% | |
Over $5 billion | .26% | Over $5 billion | .35% | |
Total Return Fund | Total Return Fund | |||
First $4 billion | .28% | First $1 billion | .45% | |
Next $11 billion | .26% | Next $1 billion | .40% | |
Over $15 billion | .25% | Over $2 billion | .35% |
For the six months ended May 31, 2018, the effective management fee, net of waivers, was the following annualized rate of each Fund’s average daily net assets:
Net Effective Management Fee | ||
Convertible Fund | .70% | |
Core Fixed Income Fund | .24% | |
Core Plus Bond Fund | .00% | |
Corporate Bond Fund | .00% | |
Floating Rate Fund | .45% | |
High Yield Fund | .52% | |
Income Fund | .39% | |
Inflation Focused Fund | .35% | |
Short Duration Core Bond Fund | .00% | |
Short Duration Income Fund | .25% | |
Total Return Fund | .27% | |
Ultra Short Bond Fund | .14% |
In addition, Lord Abbett provides certain administrative services to each Fund pursuant to an Administrative Services Agreement in return for a fee at an annual rate of ..04% of each Fund’s average daily net assets.
For the period from April 1, 2018 through March 31, 2019, Lord Abbett has contractually agreed to waive its fees and reimburse expenses to the extent necessary to limit total net annual operating expenses, excluding 12b-1 fees, to the following annual rates:
Classes* | ||||||
Fund | A, B, C, F, P, R2, R3, R4, R5 and T | I | F3 and R6 | |||
Core Plus Bond Fund | .48% | .46% | .47% | |||
Corporate Bond Fund | .48% | .48% | .37% | |||
Short Duration Core Bond Fund | .40% | .40% | .32% | |||
Ultra Short Bond Fund | .25% | .25% | .23% | |||
* | If applicable. |
For the period from April 1, 2018, through March 31, 2019, Lord Abbett has contractually agreed to waive Core Fixed Income Fund’s and Total Return Fund’s Class I shareholder servicing expenses at the annual rate of 0.04% of the Fund’s average daily net assets.
449
Notes to Financial Statements (unaudited)(continued)
For the period December 1, 2017 through March 31, 2018, Lord Abbett had contractually agreed to waive its fees and reimburse expenses to the extent necessary to limit the total net annual operating expenses, excluding 12b-1 fees, to the following annual rates:
Classes* | ||||
A, B, C, F, I, P, | ||||
Fund | R2, R3, R4, R5 and T | F3 and R6 | ||
Convertible Fund | .86% | .83% | ||
Core Plus Bond Fund | .48% | .39% | ||
Corporate Bond Fund | .48% | .38% | ||
High Yield Fund | .78% | .72% | ||
Income Fund | .58% | .47% | ||
Inflation Focused Fund | .55% | .38% | ||
Short Duration Core Bond Fund | .40% | .30% | ||
Total Return Fund | .48% | .36% | ||
Ultra Short Bond Fund | .25% | .20% |
* | If applicable. |
For the period December 1, 2017 through March 31, 2018, Lord Abbett had contractually agreed to waive a portion of Core Fixed Income Fund’s management fee by an annual rate of 0.20%. Effective April 1, 2018 Lord Abbett discontinued the Fund’s management fee waiver.
All contractual management fee waiver and expense reimbursement agreements between the Funds and Lord Abbett may be terminated only upon the approval of the Board.
12b-1 Distribution Plan
Each Fund has adopted a distribution plan with respect to Class A, B, C, F, P, R2, R3, R4, and T shares pursuant to Rule 12b-1 under the Act, which provides for the payment of ongoing distribution and service fees to Lord Abbett Distributor LLC (the “Distributor”), an affiliate of Lord Abbett. The following annual rates have been authorized by the Board pursuant to the plan:
Fees* | Class A | Class B | Class C(1) | Class F(2) | Class P | Class R2 | Class R3 | Class R4 | Class T | |||||||||
Service | .15% | .25% | .25% | – | .25% | .25% | .25% | .25% | .25% | |||||||||
Distribution | .05% | .75% | .75% | .10% | .20% | .35% | .25% | – | – | |||||||||
* | Each Fund may designate a portion of the aggregate fee as attributable to service activities for purposes of calculating Financial Industry Regulatory Authority, Inc. (“FINRA”) sales charge limitations. |
(1) | The 12b-1 fees each Fund pays on Class C shares is a blended rate based on 1.00% of each Fund’s average daily net assets attributable to Class C shares held for less than one year and .80% (.25% service, .55% distribution) of each Fund’s average daily net assets attributable to Class C shares held for one year or more. All Class C shareholders of a Fund will bear 12b-1 fees at the same rate. |
(2) | The Class F Share Rule 12b-1 fee may be designated as a service fee in limited circumstances as described in the Funds’ prospectus. |
Class F3, I, R5, and R6 shares do not have a distribution plan.
450
Notes to Financial Statements (unaudited)(continued)
Commissions
Distributor received the following commissions on sales of shares of the Funds, after concessions were paid to authorized dealers, for the six months ended May 31, 2018:
Distributor Commissions | Dealers’ Concessions | |||||||
Convertible Fund | $ | 11,813 | $ | 69,117 | ||||
Core Fixed Income Fund | 30,096 | 186,133 | ||||||
Core Plus Bond Fund | 234 | 1,625 | ||||||
Corporate Bond Fund | – | – | ||||||
Floating Rate Fund | 158,289 | 987,731 | ||||||
High Yield Fund | 71,389 | 445,488 | ||||||
Income Fund | 66,378 | 372,003 | ||||||
Inflation Focused Fund | 6,614 | 43,598 | ||||||
Short Duration Core Bond Fund | 385 | 2,512 | ||||||
Short Duration Income Fund | 392,073 | 2,358,942 | ||||||
Total Return Fund | 76,473 | 480,048 | ||||||
Ultra Short Bond Fund | – | – |
Distributor received the following amount of CDSCs for the six months ended May 31, 2018:
Class A | Class C | |||||||
Convertible Fund | $ | 10,131 | $ | 2,315 | ||||
Core Fixed Income Fund | 2,911 | 3,372 | ||||||
Core Plus Bond Fund | – | 103 | ||||||
Corporate Bond Fund | – | – | ||||||
Floating Rate Fund | 168,506 | 89,721 | ||||||
High Yield Fund | 58,201 | 31,342 | ||||||
Income Fund | 2,818 | 8,609 | ||||||
Inflation Focused Fund | 1 | 3,613 | ||||||
Short Duration Core Bond Fund | – | – | ||||||
Short Duration Income Fund | 748,205 | 464,423 | ||||||
Total Return Fund | 8,954 | 11,232 | ||||||
Ultra Short Bond Fund | 6,738 | – |
Other Related Parties
As of May 31, 2018, the percentages of Convertible Fund’s, Core Fixed Income Fund’s, High Yield Fund’s, Inflation Focused Fund’s and Short Duration Income Fund’s outstanding shares owned by each Fund of Funds were as follows:
Underlying Funds | ||||||||||
Fund of Funds | Convertible Fund | Core Fixed Income Fund | High Yield Fund | Inflation Focused Fund | Short Duration Income Fund | |||||
Lord Abbett Multi-Asset Balanced Opportunity Fund | 18.97% | – | 3.82% | 4.69% | 0.24% | |||||
Lord Abbett Multi-Asset Focused Growth Fund | 0.49% | – | 0.06% | – | 0.01% | |||||
Lord Abbett Multi-Asset Global Opportunity Fund | 1.36% | – | 0.42% | 0.37% | 0.01% | |||||
Lord Abbett Multi-Asset Growth Fund | 5.21% | – | 2.50% | – | 0.04% | |||||
Lord Abbett Multi-Asset Income Fund | 26.28% | 1.32% | 3.53% | 5.01% | 0.74% |
One Trustee and certain of the Trust’s officers have an interest in Lord Abbett.
451
Notes to Financial Statements (unaudited)(continued)
4. | DISTRIBUTIONS AND CAPITAL LOSS CARRYFORWARDS |
Dividends from net investment income, if any, are declared daily and paid monthly for Core Fixed Income Fund, Core Plus Bond Fund, Corporate Bond Fund, Floating Rate Fund, High Yield Fund, Income Fund, Inflation Focused Fund, Short Duration Core Bond Fund, Short Duration Income Fund, Total Return Fund and Ultra Short Bond Fund and declared and paid quarterly for Convertible Fund. Taxable net realized gains from investment transactions, reduced by allowable capital loss carryforwards, if any, are declared and distributed to shareholders at least annually. The capital loss carryforward amount, if any, is available to offset future net capital gains. Dividends and distributions to shareholders are recorded on the ex-dividend date. The amounts of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These book/tax differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions, which exceed earnings and profits for tax purposes, are reported as a tax return of capital.
The tax character of distributions paid during the six months ended May 31, 2018 and fiscal year ended November 30, 2017 were as follows:
Convertible Fund | Core Fixed Income Fund | ||||||||||||||
Six Months Ended 5/31/2018 (unaudited) | Year Ended 11/30/2017 | Six Months Ended 5/31/2018 (unaudited) | Year Ended 11/30/2017 | ||||||||||||
Distributions paid from: | |||||||||||||||
Ordinary income | $ | 13,996,438 | $ | 19,769,623 | $ | 17,577,285 | $ | 28,332,104 | |||||||
Total distributions paid | $ | 13,996,438 | $ | 19,769,623 | $ | 17,577,285 | $ | 28,332,104 | |||||||
Core Plus Bond Fund | Corporate Bond Fund | ||||||||||||||
Six Months Ended 5/31/2018 (unaudited) | Year Ended 11/30/2017 | Six Months Ended 5/31/2018 (unaudited) | Period Ended 11/30/2017* | ||||||||||||
Distributions paid from: | |||||||||||||||
Ordinary income | $ | 243,737 | $ | 457,820 | $ | 147,704 | $ | 141,389 | |||||||
Total distributions paid | $ | 243,737 | $ | 457,820 | $ | 147,704 | $ | 141,389 | |||||||
Floating Rate Fund | High Yield Fund | ||||||||||||||
Six Months Ended 5/31/2018 (unaudited) | Year Ended 11/30/2017 | Six Months Ended 5/31/2018 (unaudited) | Year Ended 11/30/2017 | ||||||||||||
Distributions paid from: | |||||||||||||||
Ordinary income | $ | 296,727,214 | $ | 507,088,663 | $ | 199,141,285 | $ | 377,886,645 | |||||||
Total distributions paid | $ | 296,727,214 | $ | 507,088,663 | $ | 199,141,285 | $ | 377,886,645 | |||||||
Income Fund | Inflation Focused Fund | ||||||||||||||
Six Months Ended 5/31/2018 (unaudited) | Year Ended 11/30/2017 | Six Months Ended 5/31/2018 (unaudited) | Year Ended 11/30/2017 | ||||||||||||
Distributions paid from: | |||||||||||||||
Ordinary income | $ | 42,771,526 | $ | 66,937,975 | $ | 22,696,305 | $ | 42,897,673 | |||||||
Total distributions paid | $ | 42,771,526 | $ | 66,937,975 | $ | 22,696,305 | $ | 42,897,673 |
452
Notes to Financial Statements (unaudited)(continued)
Short Duration Core Bond Fund | Short Duration Income Fund | ||||||||||||||
Six Months Ended 5/31/2018 (unaudited) | Period Ended 11/30/2017* | Six Months Ended 5/31/2018 (unaudited) | Year Ended 11/30/2017 | ||||||||||||
Distributions paid from: | |||||||||||||||
Ordinary income | $ | 124,851 | $ | 100,760 | $ | 755,173,144 | $ | 1,464,095,042 | |||||||
Total distributions paid | $ | 124,851 | $ | 100,760 | $ | 755,173,144 | $ | 1,464,095,042 | |||||||
Total Return Fund | Ultra Short Bond Fund | ||||||||||||||
Six Months Ended 5/31/2018 (unaudited) | Year Ended 11/30/2017 | Six Months Ended 5/31/2018 (unaudited) | Year Ended 11/30/2017 | ||||||||||||
Distributions paid from: | |||||||||||||||
Ordinary income | $ | 58,528,932 | $ | 97,161,880 | $ | 32,029,660 | $ | 7,960,358 | |||||||
Total distributions paid | $ | 58,528,932 | $ | 97,161,880 | $ | 32,029,660 | $ | 7,960,358 |
* | For the period April 19, 2017 (commencement of operations) to November 30, 2017. |
As of November 30, 2017, the capital loss carryforwards, along with the related expiration dates, were as follows:
Indefinite | |||
Convertible Fund | $ | 13,876,653 | |
Core Fixed Income Fund | 7,805,419 | ||
Core Plus Bond Fund | 25,852 | ||
Floating Rate Fund | 277,014,247 | ||
High Yield Fund | 36,716,954 | ||
Income Fund | 30,889,171 | ||
Inflation Focused Fund | 73,021,759 | ||
Short Duration Core Bond Fund | 11,750 | ||
Short Duration Income Fund | 1,695,329,480 | ||
Total Return Fund | 45,536,013 |
In accordance with the Regulated Investment Company Modernization Act of 2010, each Fund will carryforward capital losses incurred in taxable years beginning after December 22, 2010 (“post-enactment losses”) indefinitely. Post-enactment losses will also retain their character as either short-term or long-term and be utilized before any pre-enactment losses.
As of May 31, 2018, the aggregate unrealized security gains and losses on investments and other financial instruments based on cost for U.S. federal income tax purposes were as follows:
Convertible Fund | Core Fixed Income Fund | |||||||
Tax cost | $ | 852,068,457 | $ | 1,453,763,152 | ||||
Gross unrealized gain | 76,224,336 | 6,839,571 | ||||||
Gross unrealized loss | (7,406,008 | ) | (19,129,583 | ) | ||||
Net unrealized security gain (loss) | $ | 68,818,328 | $ | (12,290,012 | ) | |||
Core Plus Bond Fund | Corporate Bond Fund | |||||||
Tax cost | $ | 15,554,792 | $ | 7,358,798 | ||||
Gross unrealized gain | 138,270 | 19,498 | ||||||
Gross unrealized loss | (289,208 | ) | (206,966 | ) | ||||
Net unrealized security loss | $ | (150,938 | ) | $ | (187,468 | ) |
453
Notes to Financial Statements (unaudited)(continued)
Floating Rate Fund | High Yield Fund | |||||||
Tax cost | $ | 14,166,336,354 | $ | 6,688,482,744 | ||||
Gross unrealized gain | 98,134,537 | 140,535,685 | ||||||
Gross unrealized loss | (84,224,723 | ) | (219,009,530 | ) | ||||
Net unrealized security gain (loss) | $ | 13,909,814 | $ | (78,473,845 | ) | |||
Income Fund | Inflation Focused Fund | |||||||
Tax cost | $ | 2,261,554,706 | $ | 1,300,899,027 | ||||
Gross unrealized gain | 21,449,048 | 24,357,901 | ||||||
Gross unrealized loss | (71,405,934 | ) | (154,964,743 | ) | ||||
Net unrealized security loss | $ | (49,956,886 | ) | $ | (130,606,842 | ) | ||
Short Duration Core Bond Fund | Short Duration Income Fund | |||||||
Tax cost | $ | 9,730,797 | $ | 41,538,288,568 | ||||
Gross unrealized gain | 15,350 | 102,747,893 | ||||||
Gross unrealized loss | (95,372 | ) | (1,504,756,383 | ) | ||||
Net unrealized security loss | $ | (80,022 | ) | $ | (1,402,008,490 | ) | ||
Total Return Fund | Ultra Short Bond Fund | |||||||
Tax cost | $ | 4,342,479,667 | $ | 5,291,797,064 | ||||
Gross unrealized gain | 22,648,744 | 2,710,892 | ||||||
Gross unrealized loss | (62,123,304 | ) | (3,363,765 | ) | ||||
Net unrealized security loss | $ | (39,474,560 | ) | $ | (652,873 | ) |
The difference between book-basis and tax-basis unrealized gains (losses) is primarily attributable to the tax treatment of certain securities, certain distributions, forward currency contracts, futures, swaps, amortization of premium and wash sales.
5. | PORTFOLIO SECURITIES TRANSACTIONS |
Purchases and sales of investment securities (excluding short-term investments) for the six months ended May 31, 2018 were as follows:
U.S. Government Purchases | Non-U.S. Government Purchases | U.S. Government Sales | Non-U.S. Government Sales | ||||||||||||
Convertible Fund | $ | – | $ | 884,734,876 | $ | – | $ | 896,212,804 | |||||||
Core Fixed Income Fund | 4,060,046,086 | 473,197,640 | 4,182,687,495 | 360,656,986 | |||||||||||
Core Plus Bond Fund | 29,818,039 | 7,274,212 | 31,160,443 | 4,861,978 | |||||||||||
Corporate Bond Fund | 2,428,658 | 2,360,143 | 2,344,722 | 1,202,774 | |||||||||||
Floating Rate Fund | – | 6,060,525,561 | – | 4,343,514,969 | |||||||||||
High Yield Fund | – | 3,584,237,919 | – | 3,625,271,208 | |||||||||||
Income Fund | 810,790,955 | 925,511,321 | 1,082,732,501 | 500,889,494 | |||||||||||
Inflation Focused Fund | 241,572,319 | 446,892,611 | 196,195,329 | 324,687,276 | |||||||||||
Short Duration Core Bond Fund | 5,959,084 | 5,640,715 | 6,738,326 | 2,277,152 | |||||||||||
Short Duration Income Fund | 2,960,047,821 | 10,245,988,616 | 4,137,030,169 | 10,238,023,345 | |||||||||||
Total Return Fund | 12,664,033,649 | 1,594,369,384 | 12,876,882,482 | 1,201,872,439 | |||||||||||
Ultra Short Bond Fund | – | 2,182,357,722 | – | 246,679,380 |
Each Fund is permitted to purchase and sell securities (“cross-trade”) from and to other Lord Abbett funds or client accounts pursuant to procedures approved by the Board in compliance with Rule 17a-7 under the Act (the “Rule”). Each cross-trade is executed at a fair market price in compliance
454
Notes to Financial Statements (unaudited)(continued)
with provisions of the Rule. For the period ended May 31, 2018, the following Funds engaged in cross-trades:
Fund | Purchases | Sales | Gain | ||||||
Convertible Fund | $ | 624,225 | $ | – | $ | – | |||
Core Fixed Income Fund | 1,501,818 | – | – | ||||||
Floating Rate Fund | 6,663,294 | 13,293,406 | 396,541 | ||||||
High Yield Fund | 2,248,394 | 181,849,569 | 11,217,984 | ||||||
Income Fund | 4,777,796 | 3,219,103 | 49,553 | ||||||
Inflation Focused Fund | 7,882,762 | 131,616 | 411 | ||||||
Short Duration Income Fund | 260,281,715 | 54,070,656 | 286,409 | ||||||
Total Return Fund | 6,405,010 | 7,588,323 | 296,706 | ||||||
Ultra Short Bond Fund | 49,725,447 | – | – |
6. | REDEMPTION IN-KIND |
During the year ended November 30, 2017, a shareholder of Short Duration Income Fund redeemed its Fund shares in exchange for portfolio securities “redemption in-kind.” As a result of the redemption in-kind, the Fund realized a net gain of $81,529.
7. | DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES |
Each Fund except for Core Fixed Income Fund, Core Plus Bond Fund, Corporate Bond Fund, Short Duration Core Bond Fund and Ultra Short Bond Fund entered into forward foreign currency exchange contracts for the six months ended May 31, 2018 (as described in note 2(g)). A forward foreign currency exchange contract reduces the Funds’ exposure to changes in the value of the currency it will deliver (or settle in cash) and increases its exposure to changes in the value of the currency it will receive (or settle in cash) for the duration of the contract. Each Fund’s use of forward foreign currency exchange contracts involves the risk that Lord Abbett will not accurately predict currency movements, and the Funds’ returns could be reduced as a result. Forward foreign currency exchange contracts are subject to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of hedged positions, that the U.S. dollar will decline relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time. Each Fund’s risk of loss from counterparty credit risk is the unrealized appreciation on forward foreign currency exchange contracts and deposits with brokers as collateral.
Each Fund except for Convertible Fund and Ultra Short Bond Fund entered into U.S. Treasury futures contracts for the six months ended May 31, 2018 (as described in note 2(h)) to economically hedge against changes in interest rates. The Funds bear the risk of interest rates moving unexpectedly, in which case the Funds may not achieve the anticipated benefits of the futures contracts and realize a loss. There is minimal counterparty credit risk to the Funds since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees futures against default.
Inflation Focused Fund entered into CPI swaps for the six months ended May 31, 2018 (as described in note 2(p)) to speculate the rate of inflation in the U.S. economy. The Fund’s use of CPI swaps involves the risk that Lord Abbett will not accurately predict expectations of inflation or interest rates, and the Fund’s returns could be reduced as a result. The Fund’s risk of loss from counterparty credit risk is the unrealized appreciation on CPI swaps. For the centrally cleared CPI swaps, there is minimal counterparty credit risk to the Fund since these CPI swaps are traded through a central clearinghouse. As a counterparty to all centrally cleared CPI swaps, the clearinghouse guarantees CPI swaps against default.
455
Notes to Financial Statements (unaudited)(continued)
Core Plus Bond Fund, Floating Rate Fund, High Yield Fund, Income Fund, Inflation Focused Fund, Short Duration Core Bond Fund and Short Duration Income Fund entered into credit default swaps for the six months ended May 31, 2018 (as described in note 2(q)) for investment purposes, to economically hedge credit risk or for speculative purposes. Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying security in the event of a defined credit event, such as payment default or bankruptcy. Under a credit default swap one party acts as a guarantor by receiving the fixed periodic payment in exchange for the commitment to purchase the underlying security at par if the defined credit event occurs. Upon the occurrence of a defined credit event, the difference between the value of the reference obligation and the swap’s notional amount is recorded as realized gain or loss on swap transactions in the Statements of Operations. Each Fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. For the centrally cleared credit default swaps, there is minimal counterparty credit risk to the Funds since these credit default swaps are traded through a central clearinghouse. As a counterparty to all centrally cleared credit default swaps, the clearinghouse guarantees credit default swaps against default.
As of May 31, 2018, each Fund had the following derivatives at fair value, grouped into appropriate risk categories that illustrate the Funds’ use of derivative instruments:
Convertible Fund | ||||||||
Asset Derivatives | Foreign Currency Contracts | |||||||
Forward Foreign Currency Exchange Contracts(1) | $ | 324,752 | ||||||
Liability Derivatives | ||||||||
Forward Foreign Currency Exchange Contracts(2) | $ | 65,787 | ||||||
Core Fixed Income Fund | ||||||||
Asset Derivatives | Interest Rate Contracts | |||||||
Futures Contracts(3) | $ | 370,259 | ||||||
Liability Derivatives | ||||||||
Futures Contracts(3) | $ | 524 | ||||||
Core Plus Bond Fund | ||||||||
Asset Derivatives | Interest Rate Contracts | Credit Contracts | ||||||
Centrally Cleared Credit Default Swaps(4) | – | $ | 1,407 | |||||
Credit Default Swaps(5) | – | $ | 110 | |||||
Futures Contract(3) | $ | 7,712 | – | |||||
Liability Derivatives | ||||||||
Centrally Cleared Credit Default Swaps(4) | – | $ | 7,765 | |||||
Credit Default Swaps(6) | – | $ | 14,886 | |||||
Futures Contracts(3) | $ | 8,184 | – |
456
Notes to Financial Statements (unaudited)(continued)
Corporate Bond Fund | ||||||||||||
Asset Derivatives | Interest Rate Contracts | |||||||||||
Futures Contracts(3) | $ | 8,491 | ||||||||||
Liability Derivatives | ||||||||||||
Futures Contracts(3) | $ | 9,646 | ||||||||||
Floating Rate Fund | ||||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | |||||||||
Centrally Cleared Credit Default Swaps(4) | – | – | $ | 301,146 | ||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 1,654,557 | – | ||||||||
Futures Contracts(3) | $ | 491,481 | – | – | ||||||||
Liability Derivatives | ||||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 94,445 | – | ||||||||
Futures Contracts(3) | $ | 1,415,107 | – | – | ||||||||
High Yield Fund | ||||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | |||||||||
Centrally Cleared Credit Default Swaps(4) | – | – | $ | 1,021,802 | ||||||||
Credit Default Swaps(5) | – | – | $ | 310,156 | ||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 8,360,275 | – | ||||||||
Futures Contracts(3) | $ | 624,232 | – | – | ||||||||
Liability Derivatives | ||||||||||||
Centrally Cleared Credit Default Swaps(4) | – | – | $ | 1,787,804 | ||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 6,492 | – | ||||||||
Futures Contracts(3) | $ | 2,166,927 | – | – |
457
Notes to Financial Statements (unaudited)(continued)
Income Fund | ||||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | |||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 395,826 | – | ||||||||
Futures Contracts(3) | $ | 1,298,006 | – | – | ||||||||
Liability Derivatives | ||||||||||||
Credit Default Swaps(6) | – | – | $ | 66,599 | ||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 2,682 | – | ||||||||
Futures Contracts(3) | $ | 714,697 | – | – | ||||||||
Inflation Focused Fund | ||||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | Inflation Linked Contracts | |||||||||
Centrally Cleared CPI Swaps(4) | – | – | $ | 4,231,942 | ||||||||
CPI Swaps(7) | – | – | $ | 16,775,269 | ||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 14,282 | – | ||||||||
Futures Contracts(3) | $ | 721,102 | – | – | ||||||||
Liability Derivatives | ||||||||||||
Centrally Cleared CPI Swaps(4) | – | – | $ | 8,103,731 | ||||||||
CPI Swaps(8) | – | – | $ | 102,025,734 | ||||||||
Futures Contracts(3) | $ | 25,877 | – | – | ||||||||
Short Duration Core Bond Fund | ||||||||||||
Asset Derivatives | Interest Rate Contracts | Credit Contracts | ||||||||||
Credit Default Swaps(5) | – | $ | 1,991 | |||||||||
Futures Contracts(3) | $ | 1,464 | – | |||||||||
Liability Derivatives | ||||||||||||
Credit Default Swaps(6) | – | $ | 851 | |||||||||
Short Duration Income Fund | ||||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | |||||||||
Credit Default Swaps(5) | – | – | $ | 559,889 | ||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 537,017 | – | ||||||||
Futures Contracts(3) | $ | 6,128,238 | – | – | ||||||||
Liability Derivatives | ||||||||||||
Credit Default Swaps(6) | – | – | $ | 1,635,665 |
458
Notes to Financial Statements (unaudited)(continued)
Total Return Fund | ||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | ||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 112,298 | |||||
Futures Contracts(3) | $ | 1,144,141 | – | |||||
Liability Derivatives | ||||||||
Futures Contracts(3) | $ | 541,190 | – |
(1) | Statements of Assets and Liabilities location: Unrealized appreciation on forward foreign currency exchange contracts. |
(2) | Statements of Assets and Liabilities location: Unrealized depreciation on forward foreign currency exchange contracts. |
(3) | Statements of Assets and Liabilities location: Includes cumulative unrealized appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
(4) | Statements of Assets and Liabilities location: Includes cumulative unrealized appreciation/depreciation of centrally cleared swap contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
(5) | Statements of Assets and Liabilities location: Credit default swap agreements receivable, at fair value. |
(6) | Statements of Assets and Liabilities location: Credit default swap agreements payable, at fair value. |
(7) | Statements of Assets and Liabilities location: Unrealized appreciation on CPI swaps. |
(8) | Statements of Assets and Liabilities location: Unrealized depreciation on CPI swaps. |
Transactions in derivative investments for the period ended May 31, 2018, were as follows:
Convertible Fund | ||||||||
Interest Rate Contracts | Foreign Currency Contracts | |||||||
Net Realized Gain (Loss) | ||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | (882,510 | ) | ||||
Futures Contracts(2) | $ | 22,097 | – | |||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 363,576 | |||||
Average Number of Contracts/Notional Amounts* | ||||||||
Forward Foreign Currency Exchange Contracts(4) | – | $ | 39,932,998 | |||||
Futures Contracts(5) | 44 | – | ||||||
Core Fixed Income Fund | ||||||||
Interest Rate Contracts | ||||||||
Net Realized Gain (Loss) | ||||||||
Futures Contracts(2) | $ | (1,514,259 | ) | |||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||
Futures Contracts(6) | $ | 551,131 | ||||||
Average Number of Contracts/Notional Amounts* | ||||||||
Futures Contracts(5) | 1,161 |
459
Notes to Financial Statements (unaudited)(continued)
Core Plus Bond Fund | ||||||||||||
Interest Rate Contracts | Credit Contracts | |||||||||||
Net Realized Gain (Loss) | ||||||||||||
Credit Default Swaps Contracts(7) | – | $ | 1,481 | |||||||||
Futures Contracts(2) | $ | 4,020 | – | |||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
Credit Default Swaps Contracts(8) | – | $ | (3,116 | ) | ||||||||
Futures Contracts(6) | $ | (2,625 | ) | – | ||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||
Credit Default Swaps(4) | – | $ | 1,383,571 | |||||||||
Futures Contracts(5) | 22 | – | ||||||||||
Corporate Bond Fund | ||||||||||||
Interest Rate Contracts | ||||||||||||
Net Realized Gain (Loss) | ||||||||||||
Futures Contracts(2) | $ | (19,753 | ) | |||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
Futures Contracts(6) | $ | 4,418 | ||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||
Futures Contracts(5) | 35 | |||||||||||
Floating Rate Fund | ||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | ||||||||||
Net Realized Gain (Loss) | ||||||||||||
Credit Default Swaps Contracts(7) | – | – | $ | 1,068,746 | ||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | (139,607 | ) | – | |||||||
Futures Contracts(2) | $ | 6,402,695 | – | – | ||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
Credit Default Swaps Contracts(8) | – | – | $ | 301,146 | ||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 1,752,658 | – | ||||||||
Futures Contracts(6) | $ | (1,575,567 | ) | – | – | |||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||
Credit Default Swaps(4) | – | – | $ | 25,298,143 | ||||||||
Forward Foreign Currency Exchange Contracts(4) | – | $ | 49,770,349 | – | ||||||||
Futures Contracts(5) | 2,780 | – | – |
460
Notes to Financial Statements (unaudited)(continued)
High Yield Fund | ||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | ||||||||||
Net Realized Gain (Loss) | ||||||||||||
Credit Default Swaps Contracts(7) | – | – | $ | (1,870,086 | ) | |||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | (2,785,602 | ) | – | |||||||
Futures Contracts(2) | $ | (6,777,120 | ) | – | – | |||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
Credit Default Swaps Contracts(8) | – | – | $ | (915,350 | ) | |||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 9,378,613 | – | ||||||||
Futures Contracts(6) | $ | (109,182 | ) | – | – | |||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||
Credit Default Swaps(4) | – | – | $ | 692,618,000 | ||||||||
Forward Foreign Currency Exchange Contracts(4) | – | $ | 143,518,312 | – | ||||||||
Futures Contracts(5) | 3,819 | – | – | |||||||||
Income Fund | ||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | ||||||||||
Net Realized Gain (Loss) | ||||||||||||
Credit Default Swaps Contracts(7) | – | – | $ | (27,675 | ) | |||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 2,858,918 | – | ||||||||
Futures Contracts(2) | $ | (3,161,577 | ) | – | – | |||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
Credit Default Swaps Contracts(8) | – | – | $ | (39,916 | ) | |||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 1,024,399 | – | ||||||||
Futures Contracts(6) | $ | 960,772 | – | – | ||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||
Credit Default Swaps(4) | – | – | $ | 8,877,000 | ||||||||
Forward Foreign Currency Exchange Contracts(4) | – | $ | 107,830,600 | – | ||||||||
Futures Contracts(5) | 3,919 | – | – |
461
Notes to Financial Statements (unaudited)(continued)
Inflation Focused Fund | ||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Inflation Linked Credit Contracts | ||||||||||
Net Realized Gain (Loss) | ||||||||||||
CPI Swaps(7) | – | – | $ | (2,379,825 | ) | |||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | (1,215 | ) | – | |||||||
Futures Contracts(2) | $ | (3,893,446 | ) | – | – | |||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
CPI Swaps(8) | – | – | $ | 19,426,742 | ||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 15,595 | – | ||||||||
Futures Contracts(6) | $ | 1,115,626 | – | – | ||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||
CPI Swaps(4) | – | – | $ | 1,149,571,429 | ||||||||
Forward Foreign Currency Exchange Contracts(4) | – | $ | 709,934 | – | ||||||||
Futures Contracts(5) | 3,314 | – | – | |||||||||
Short Duration Core Bond Fund | ||||||||||||
Interest Rate Contracts | Credit Contracts | |||||||||||
Net Realized Gain (Loss) | ||||||||||||
Credit Default Swaps Contracts(7) | – | $ | 1,782 | |||||||||
Futures Contracts(2) | $ | (1,744 | ) | – | ||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
Credit Default Swaps Contracts(8) | – | $ | 5,885 | |||||||||
Futures Contracts(6) | $ | 854 | – | |||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||
Credit Default Swaps(4) | – | $ | 201,571 | |||||||||
Futures Contracts(5) | 7 | – |
462
Notes to Financial Statements (unaudited)(continued)
Short Duration Income Fund | ||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | ||||||||||
Net Realized Gain (Loss) | ||||||||||||
Credit Default Swaps Contracts(7) | – | – | $ | 1,930,554 | ||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | (68,928 | ) | – | |||||||
Futures Contracts(2) | $ | (57,828,441 | ) | – | – | |||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
Credit Default Swaps Contracts(8) | – | – | $ | 6,799,440 | ||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 609,069 | – | ||||||||
Futures Contracts(6) | $ | 6,425,412 | – | – | ||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||
Credit Default Swaps(4) | – | – | $ | 195,000,000 | ||||||||
Forward Foreign Currency Exchange Contracts(4) | – | $ | 28,834,953 | – | ||||||||
Futures Contracts(5) | 34,863 | – | – | |||||||||
Total Return Fund | ||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | |||||||||||
Net Realized Gain (Loss) | ||||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 17,745 | |||||||||
Futures Contracts(2) | $ | (738,625 | ) | – | ||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 132,403 | |||||||||
Futures Contracts(6) | $ | 291,596 | – | |||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||
Forward Foreign Currency Exchange Contracts(4) | – | $ | 2,403,134 | |||||||||
Futures Contracts(5) | 5,565 | – |
* | Calculated based on the number of contracts or notional amounts for the six months ended May 31, 2018. |
(1) | Statements of Operations location: Net realized gain (loss) on foreign currency exchange contracts. |
(2) | Statements of Operations location: Net realized gain (loss) on futures contracts. |
(3) | Statements of Operations location: Net change in unrealized appreciation/depreciation on foreign currency exchange contracts. |
(4) | Amount represents notional amounts in U.S. dollars. |
(5) | Amount represents number of contracts. |
(6) | Statements of Operations location: Net change in unrealized appreciation/depreciation on futures contracts. |
(7) | Statements of Operations location: Net realized gain (loss) on swap contracts. |
(8) | Statements of Operations location: Net change in unrealized appreciation/depreciation on swap contracts. |
463
Notes to Financial Statements (unaudited)(continued)
8. | DISCLOSURES ABOUT OFFSETTING ASSETS AND LIABILITIES |
The Financial Accounting Standards Board (“FASB”) requires disclosures intended to help better assess the effect or potential effect of offsetting arrangements on a fund’s financial position. The following tables illustrate gross and net information about recognized assets and liabilities eligible for offset in the statements of assets and liabilities; and disclose such amounts subject to an enforceable master netting agreement or similar agreement, by counterparty. A master netting agreement is an agreement between a fund and a counterparty which provides for the net settlement of amounts owed under all contracts traded under that agreement, as well as cash collateral, through a single payment by one party to the other in the event of default on or termination of any one contract. The Funds’ accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the master netting agreement does not result in an offset of reported amounts of financial assets and liabilities in the statement of assets and liabilities across transactions between the Funds and the applicable counterparty:
Convertible Fund | |||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | ||||||
Forward Foreign Currency Exchange Contracts | $ | 324,752 | $ | – | $ | 324,752 | |||
Repurchase Agreement | 10,187,268 | – | 10,187,268 | ||||||
Total | $ | 10,512,020 | $ | – | $ | 10,512,020 |
Net Amounts | |||||||||||||||||||
of Assets | Amounts Not Offset in the | ||||||||||||||||||
Presented in | Statement of Assets and Liabilities | ||||||||||||||||||
the Statement | Cash | Securities | |||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | |||||||||||||||
Counterparty | Liabilities | Instruments | Received(a) | Received(a) | Amount(b) | ||||||||||||||
Barclays Bank plc | $ | 239,211 | $ | – | $ | (239,211 | ) | $ | – | $ | – | ||||||||
Fixed Income Clearing Corp. | 10,187,268 | – | – | (10,187,268 | ) | – | |||||||||||||
Goldman Sachs | 14,128 | – | – | – | 14,128 | ||||||||||||||
J.P. Morgan Chase | 13,786 | – | – | – | 13,786 | ||||||||||||||
State Street Bank and Trust | 57,627 | (12,471 | ) | – | – | 45,156 | |||||||||||||
Total | $ | 10,512,020 | $ | (12,471 | ) | $ | – | $ | (10,187,268 | ) | $ | 312,281 |
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | ||||||
Forward Foreign Currency Exchange Contracts | $65,787 | $ | – | $65,787 | |||||
Total | $65,787 | $ | – | $65,787 |
464
Notes to Financial Statements (unaudited)(continued)
Net Amounts | |||||||||||||||||||
of Liabilities | Amounts Not Offset in the | ||||||||||||||||||
Presented in | Statement of Assets and Liabilities | ||||||||||||||||||
the Statement | Cash | Securities | |||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | |||||||||||||||
Counterparty | Liabilities | Instruments | Pledged(a) | Pledged(a) | Amount(c) | ||||||||||||||
State Street Bank and Trust | $12,471 | $(12,471 | ) | $ | – | $ | – | $ | – | ||||||||||
Toronto Dominion Bank | 53,316 | – | – | – | 53,316 | ||||||||||||||
Total | $65,787 | $(12,471 | ) | $ | – | $ | – | $ | 53,316 |
Core Fixed Income Fund | |||||||||
Gross Amounts | Net Amounts of | ||||||||
Offset in the | Assets Presented | ||||||||
Gross Amounts of | Statement of Assets | in the Statement of | |||||||
Description | Recognized Assets | and Liabilities | Assets and Liabilities | ||||||
Repurchase Agreements | $ | 79,029,372 | $ | – | $ | 79,029,372 | |||
Total | $ | 79,029,372 | $ | – | $ | 79,029,372 |
Net Amounts | |||||||||||||||||||
of Assets | Amounts Not Offset in the | ||||||||||||||||||
Presented in | Statement of Assets and Liabilities | ||||||||||||||||||
the Statement | Cash | Securities | |||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | |||||||||||||||
Counterparty | Liabilities | Instruments | Received(a) | Received(a) | Amount(b) | ||||||||||||||
Fixed Income Clearing Corp. | $ | 7,029,372 | $ | – | $ | – | $ | (7,029,372 | ) | $ | – | ||||||||
JPMorgan Chase & Co. | 72,000,000 | – | – | (72,000,000 | ) | – | |||||||||||||
Total | $ | 79,029,372 | $ | – | $ | – | $ | (79,029,372 | ) | $ | – |
Core Plus Bond Fund | |||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | ||||||
Repurchase Agreement | $ | 517,202 | $ | – | $ | 517,202 | |||
Credit Default Swaps | 110 | – | 110 | ||||||
Total | $ | 517,312 | $ | – | $ | 517,312 |
Net Amounts | |||||||||||||||||||
of Assets | Amounts Not Offset in the | ||||||||||||||||||
Presented in | Statement of Assets and Liabilities | ||||||||||||||||||
the Statement | Cash | Securities | |||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | |||||||||||||||
Counterparty | Liabilities | Instruments | Received(a) | Received(a) | Amount(b) | ||||||||||||||
Fixed Income Clearing Corp. | $517,202 | $ | – | $ | – | $ | (517,202 | ) | $ | – | |||||||||
Morgan Stanley | 110 | (110 | ) | – | – | – | |||||||||||||
Total | $517,312 | $ | (110 | ) | $ | – | $ | (517,202 | ) | $ | – |
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | ||||||
Credit Default Swaps | $14,886 | $ | – | $14,886 | |||||
Total | $14,886 | $ | – | $14,886 |
465
Notes to Financial Statements (unaudited)(continued)
Net Amounts | |||||||||||||||||||
of Assets | Amounts Not Offset in the | ||||||||||||||||||
Presented in | Statement of Assets and Liabilities | ||||||||||||||||||
the Statement | Cash | Securities | |||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | |||||||||||||||
Counterparty | Liabilities | Instruments | Received(a) | Received(a) | Amount(b) | ||||||||||||||
Morgan Stanley | $14,886 | $(110 | ) | $ | – | $ | – | $14,776 | |||||||||||
Total | $14,886 | $(110 | ) | $ | – | $ | – | $14,776 |
Corporate Bond Fund | |||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | ||||||
Repurchase Agreement | $157,485 | $ | – | $157,485 | |||||
Total | $157,485 | $ | – | $157,485 |
Net Amounts | |||||||||||||||||||
of Assets | Amounts Not Offset in the | ||||||||||||||||||
Presented in | Statement of Assets and Liabilities | ||||||||||||||||||
the Statement | Cash | Securities | |||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | |||||||||||||||
Counterparty | Liabilities | Instruments | Received(a) | Received(a) | Amount(b) | ||||||||||||||
Fixed Income Clearing Corp. | $ | 157,485 | $ | – | $ | – | $ | (157,485 | ) | $ | – | ||||||||
Total | $ | 157,485 | $ | – | $ | – | $ | (157,485 | ) | $ | – |
Floating Rate Fund | |||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | ||||||
Forward Foreign Currency Exchange Contracts | $ | 1,654,557 | $ | – | $ | 1,654,557 | |||
Repurchase Agreements | 673,252,900 | – | 673,252,900 | ||||||
Total | $ | 674,907,457 | $ | – | $ | 674,907,457 |
Net Amounts | |||||||||||||||||||
of Assets | Amounts Not Offset in the | ||||||||||||||||||
Presented in | Statement of Assets and Liabilities | ||||||||||||||||||
the Statement | Cash | Securities | |||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | |||||||||||||||
Counterparty | Liabilities | Instruments | Received(a) | Received(a) | Amount(b) | ||||||||||||||
Fixed Income Clearing Corp. | $ | 273,252,900 | $ | – | $ | – | $ | (273,252,900 | ) | $ | – | ||||||||
J.P. Morgan Chase | 91,593 | – | – | – | 91,593 | ||||||||||||||
State Street Bank and Trust | 1,562,964 | (94,445 | ) | – | (1,468,519 | ) | – | ||||||||||||
Toronto Dominion Grand Cayman | 400,000,000 | – | – | (400,000,000 | ) | – | |||||||||||||
Total | $ | 674,907,457 | $ | (94,445 | ) | $ | – | $ | (674,721,419 | ) | $ | 91,593 |
466
Notes to Financial Statements (unaudited)(continued)
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | ||||||
Forward Foreign Currency Exchange Contracts | $94,445 | $ | – | $94,445 | |||||
Total | $94,445 | $ | – | $94,445 |
Net Amounts | |||||||||||||||||||
of Liabilities | Amounts Not Offset in the | ||||||||||||||||||
Presented in | Statement of Assets and Liabilities | ||||||||||||||||||
the Statement | Cash | Securities | |||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | |||||||||||||||
Counterparty | Liabilities | Instruments | Pledged(a) | Pledged(a) | Amount(c) | ||||||||||||||
State Street Bank and Trust | $94,445 | $ | (94,445 | ) | $ | – | $ | – | $ | – | |||||||||
Total | $94,445 | $ | (94,445 | ) | $ | – | $ | – | $ | – |
High Yield Fund | |||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | ||||||
Credit Default Swaps | $ | 310,156 | $ | – | $ | 310,156 | |||
Forward Foreign Currency Exchange Contracts | 8,360,275 | – | 8,360,275 | ||||||
Repurchase Agreement | 9,071,420 | – | 9,071,420 | ||||||
Total | $ | 17,741,851 | $ | – | $ | 17,7471,851 |
Net Amounts | |||||||||||||||||||
of Assets | Amounts Not Offset in the | ||||||||||||||||||
Presented in | Statement of Assets and Liabilities | ||||||||||||||||||
the Statement | Cash | Securities | |||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | |||||||||||||||
Counterparty | Liabilities | Instruments | Received(a) | Received(a) | Amount(b) | ||||||||||||||
Deutsche Bank AG | $ | 594,995 | $ | – | $ | (550,000 | ) | $ | – | $ | 44,995 | ||||||||
Fixed Income Clearing Corp. | 9,071,420 | – | – | (9,071,420 | ) | – | |||||||||||||
Goldman Sachs | 430,032 | – | (430,032 | ) | – | – | |||||||||||||
J.P. Morgan Chase | 350,735 | (350,735 | ) | – | – | – | |||||||||||||
Morgan Stanley | 111,502 | – | – | – | 111,502 | ||||||||||||||
State Street Bank and Trust | 7,183,167 | (6,492 | ) | – | (7,176,675 | ) | – | ||||||||||||
Total | $ | 17,741,851 | $ | (357,227 | ) | $ | (980,032 | ) | $ | (16,248,095 | ) | $ | 156,497 |
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | ||||||
Forward Foreign Currency Exchange Contracts | $ | 6,492 | $ | – | $ | 6,492 | |||
Reverse Repurchase Agreement | 1,322,693 | – | 1,322,693 | ||||||
Total | $ | 1,329,185 | $ | – | $ | 1,329,185 |
467
Notes to Financial Statements (unaudited)(continued)
Net Amounts | |||||||||||||||||||
of Liabilities | Amounts Not Offset in the | ||||||||||||||||||
Presented in | Statement of Assets and Liabilities | ||||||||||||||||||
the Statement | Cash | Securities | |||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | |||||||||||||||
Counterparty | Liabilities | Instruments | Pledged(a) | Pledged(a) | Amount(c) | ||||||||||||||
J.P. Morgan Chase | $1,322,693 | $ | (350,735 | ) | $ | – | $ | – | $ | 971,958 | |||||||||
State Street Bank and Trust | 6,492 | (6,492 | ) | – | – | – | |||||||||||||
Total | $1,329,185 | $ | (357,227 | ) | $ | – | $ | – | $ | 971,958 |
Income Fund | |||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | ||||||
Forward Foreign Currency Exchange Contracts | $ | 395,826 | $ | – | $ | 395,826 | |||
Repurchase Agreement | 39,255,771 | – | 39,255,771 | ||||||
Total | $ | 39,651,597 | $ | – | $ | 39,651,597 |
Net Amounts | |||||||||||||||||||
of Assets | Amounts Not Offset in the | ||||||||||||||||||
Presented in | Statement of Assets and Liabilities | ||||||||||||||||||
the Statement | Cash | Securities | |||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | |||||||||||||||
Counterparty | Liabilities | Instruments | Received(a) | Received(a) | Amount(b) | ||||||||||||||
Citibank | $ | 46,437 | $ | – | $ | – | $ | – | $ | 46,437 | |||||||||
Fixed Income Clearing Corp. | 39,255,771 | – | – | (39,255,771 | ) | – | |||||||||||||
Goldman Sachs | 76,385 | – | – | – | 76,385 | ||||||||||||||
State Street Bank and Trust | 273,004 | (2,682 | ) | – | (270,322 | ) | – | ||||||||||||
Total | $ | 39,651,597 | $ | (2,682 | ) | $ | – | $ | (39,526,093 | ) | $ | 122,822 |
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | ||||||
Credit Default Swaps | $ | 66,599 | $ | – | $ | 66,599 | |||
Forward Foreign Currency Exchange Contracts | 2,682 | – | 2,682 | ||||||
Reverse Repurchase Agreement | 233,416 | – | 233,416 | ||||||
Total | $ | 302,697 | $ | – | $ | 302,697 |
Net Amounts | |||||||||||||||||||
of Liabilities | Amounts Not Offset in the | ||||||||||||||||||
Presented in | Statement of Assets and Liabilities | ||||||||||||||||||
the Statement | Cash | Securities | |||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | |||||||||||||||
Counterparty | Liabilities | Instruments | Pledged(a) | Pledged(a) | Amount(c) | ||||||||||||||
J.P. Morgan Chase | $ | 233,416 | $ | – | $ | – | $(233,416 | ) | $ | – | |||||||||
Morgan Stanley | 66,599 | – | (60,000 | ) | – | 6,599 | |||||||||||||
State Street Bank and Trust | 2,682 | (2,682 | ) | – | – | – | |||||||||||||
Total | $ | 302,697 | $ | (2,682 | ) | $ | (60,000 | ) | $(233,416 | ) | $ | 6,599 |
468
Notes to Financial Statements (unaudited)(continued)
Inflation Focused Fund | |||||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | ||||||||
Consumer Price Index (“CPI”) Swaps | $ | 16,775,269 | $ | – | $ | 16,775,269 | |||||
Forward Foreign Currency Exchange Contracts | 14,282 | – | 14,282 | ||||||||
Repurchase Agreement | 12,946,260 | – | 12,946,260 | ||||||||
Total | $ | 29,735,811 | $ | – | $ | 29,735,811 |
Net Amounts | |||||||||||||||||||
of Assets | Amounts Not Offset in the | ||||||||||||||||||
Presented in | Statement of Assets and Liabilities | ||||||||||||||||||
the Statement | Cash | Securities | |||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | |||||||||||||||
Counterparty | Liabilities | Instruments | Received(a) | Received(a) | Amount(b) | ||||||||||||||
Bank of America | $ | 7,461,696 | $ | (7,461,696 | ) | $ | – | $ | – | $ | – | ||||||||
Barclays Bank plc | 3,983,126 | (3,983,126 | ) | – | – | – | |||||||||||||
Deutsche Bank AG | 2,340,120 | (2,340,120 | ) | – | – | – | |||||||||||||
Fixed Income Clearing Corp. | 12,946,260 | – | – | (12,946,260 | ) | – | |||||||||||||
Goldman Sachs | 2,034,944 | (2,034,944 | ) | – | – | – | |||||||||||||
J.P. Morgan Chase | 955,383 | (955,383 | ) | – | – | – | |||||||||||||
Standard Chartered Bank | 14,282 | – | – | – | 14,282 | ||||||||||||||
Total | $ | 29,735,811 | $ | (16,775,269 | ) | $ | – | $ | (12,946,260 | ) | $ | 14,282 |
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | ||||||||
Consumer Price Index (“CPI”) Swaps | $ | 102,025,734 | $ | – | $ | 102,025,734 | |||||
Total | $ | 102,025,734 | $ | – | $ | 102,025,734 |
Net Amounts | |||||||||||||||||||
of Liabilities | Amounts Not Offset in the | ||||||||||||||||||
Presented in | Statement of Assets and Liabilities | ||||||||||||||||||
the Statement | Cash | Securities | |||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | |||||||||||||||
Counterparty | Liabilities | Instruments | Pledged(a) | Pledged(a) | Amount(c) | ||||||||||||||
Bank of America | $ | 13,265,251 | $ | (7,461,696 | ) | $ | (5,803,555 | ) | $ | – | $ | – | |||||||
Barclays Bank plc | 13,169,611 | (3,983,126 | ) | (9,186,485 | ) | – | – | ||||||||||||
Credit Suisse | 4,456,283 | – | (4,456,283 | ) | – | – | |||||||||||||
Deutsche Bank AG | 31,394,155 | (2,340,120 | ) | (29,054,035 | ) | – | – | ||||||||||||
Goldman Sachs | 13,503,669 | (2,034,944 | ) | (11,468,725 | ) | – | – | ||||||||||||
J.P. Morgan Chase | 15,194,441 | (955,383 | ) | (14,239,058 | ) | – | – | ||||||||||||
Merrill Lynch International Bank Ltd. | 1,507,880 | – | (1,507,880 | ) | – | – | |||||||||||||
Wells Fargo | 9,534,444 | – | (9,534,444 | ) | – | – | |||||||||||||
Total | $ | 102,025,734 | $ | (16,775,269 | ) | $ | (85,250,465 | ) | $ | – | $ | – |
469
Notes to Financial Statements (unaudited)(continued)
Short Duration Core Bond Fund | |||||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | ||||||||
Credit Default Swaps | $ | 1,991 | $ | – | $ | 1,991 | |||||
Repurchase Agreement | 177,649 | – | 177,649 | ||||||||
Total | $ | 179,640 | $ | – | $ | 179,640 |
Net Amounts | |||||||||||||||||||
of Assets | Amounts Not Offset in the | ||||||||||||||||||
Presented in | Statement of Assets and Liabilities | ||||||||||||||||||
the Statement | Cash | Securities | |||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | |||||||||||||||
Counterparty | Liabilities | Instruments | Received(a) | Received(a) | Amount(b) | ||||||||||||||
Fixed Income Clearing Corp. | $177,649 | $ | – | $ | – | $ | (177,649 | ) | $ | – | |||||||||
Morgan Stanley | 1,991 | (851 | ) | – | – | 1,140 | |||||||||||||
Total | $179,640 | $ | (851 | ) | $ | – | $ | (177,649 | ) | $ | 1,140 |
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | ||||||||
Credit Default Swaps | $851 | $ | – | $851 | |||||||
Total | $851 | $ | – | $851 |
Net Amounts | |||||||||||||||||||
of Assets | Amounts Not Offset in the | ||||||||||||||||||
Presented in | Statement of Assets and Liabilities | ||||||||||||||||||
the Statement | Cash | Securities | |||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | |||||||||||||||
Counterparty | Liabilities | Instruments | Received(a) | Received(a) | Amount(c) | ||||||||||||||
Morgan Stanley | $851 | $(851 | ) | $ | – | $ | – | $ | – | ||||||||||
Total | $851 | $(851 | ) | $ | – | $ | – | $ | – |
Short Duration Income Fund | |||||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | ||||||||
Credit Default Swaps | $ | 559,889 | $ | – | $ | 559,889 | |||||
Forward Foreign Currency Exchange Contracts | $ | 537,017 | $ | – | $ | 537,017 | |||||
Repurchase Agreement | 37,251,848 | – | 37,251,848 | ||||||||
Total | $ | 38,348,754 | $ | – | $ | 38,348,754 |
470
Notes to Financial Statements (unaudited)(continued)
Net Amounts | |||||||||||||||||||
of Assets | Amounts Not Offset in the | ||||||||||||||||||
Presented in | Statement of Assets and Liabilities | ||||||||||||||||||
the Statement | Cash | Securities | |||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | |||||||||||||||
Counterparty | Liabilities | Instruments | Received(a) | Received(a) | Amount(b) | ||||||||||||||
Fixed Income Clearing Corp. | $ | 37,251,848 | $ | – | $ | – | $ | (37,251,848 | ) | $ | – | ||||||||
Morgan Stanley | 559,889 | (559,889 | ) | – | – | – | |||||||||||||
Standard Chartered Bank | 537,017 | – | (537,017 | ) | – | – | |||||||||||||
Total | $ | 38,348,754 | $ | (559,889 | ) | $ | (537,017 | ) | $ | (37,251,848 | ) | $ | – |
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | ||||||||
Credit Default Swaps | $1,635,665 | $ | – | $ | 1,635,665 | ||||||
Total | $1,635,665 | $ | – | $ | 1,635,665 |
Net Amounts | |||||||||||||||||||
of Assets | Amounts Not Offset in the | ||||||||||||||||||
Presented in | Statement of Assets and Liabilities | ||||||||||||||||||
the Statement | Cash | Securities | |||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | |||||||||||||||
Counterparty | Liabilities | Instruments | Received(a) | Received(a) | Amount(b) | ||||||||||||||
Morgan Stanley | $1,635,665 | $(559,889 | ) | $(880,000 | ) | $ | – | $195,776 | |||||||||||
Total | $1,635,665 | $(559,889 | ) | $(880,000 | ) | $ | – | $195,776 |
Total Return Fund | |||||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | ||||||||
Forward Foreign Currency Exchange Contracts | $ | 112,298 | $ | – | $ | 112,298 | |||||
Repurchase Agreements | 219,793,568 | – | 219,793,568 | ||||||||
Total | $ | 219,905,866 | $ | – | $ | 219,905,866 |
Net Amounts | |||||||||||||||||||
of Assets | Amounts Not Offset in the | ||||||||||||||||||
Presented in | Statement of Assets and Liabilities | ||||||||||||||||||
the Statement | Cash | Securities | |||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | |||||||||||||||
Counterparty | Liabilities | Instruments | Received(a) | Received(a) | Amount(b) | ||||||||||||||
Citibank | $ | 46,645 | $ | – | $ | – | $ | – | $ | 46,645 | |||||||||
Fixed Income Clearing Corp. | 15,793,568 | – | – | (15,793,568 | ) | – | |||||||||||||
Goldman Sachs | 65,653 | – | – | – | 65,653 | ||||||||||||||
JPMorgan Chase | 204,000,000 | – | – | (204,000,000 | ) | – | |||||||||||||
Total | $ | 219,905,866 | $ | – | $ | – | $ | (219,793,568 | ) | $ | 112,298 |
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | ||||||||
Reverse Repurchase Agreement | $466,833 | $ | – | $466,833 | |||||||
Total | $466,833 | $ | – | $466,833 |
471
Notes to Financial Statements (unaudited)(continued)
Net Amounts | |||||||||||||||||||
of Liabilities | Amounts Not Offset in the | ||||||||||||||||||
Presented in | Statement of Assets and Liabilities | ||||||||||||||||||
the Statement | Cash | Securities | |||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | |||||||||||||||
Counterparty | Liabilities | Instruments | Pledged(a) | Pledged(a) | Amount(c) | ||||||||||||||
J.P. Morgan Chase | $ | 466,833 | $ | – | $ | – | $ | (466,833 | ) | $ | – | ||||||||
Total | $ | 466,833 | $ | – | $ | – | $ | (466,833 | ) | $ | – |
Ultra Short Bond Fund | |||||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | ||||||||
Repurchase Agreement | $4,670,189 | $ | – | $4,670,189 | |||||||
Total | $4,670,189 | $ | – | $4,670,189 |
Net Amounts | |||||||||||||||||||
of Assets | Amounts Not Offset in the | ||||||||||||||||||
Presented in | Statement of Assets and Liabilities | ||||||||||||||||||
the Statement | Cash | Securities | |||||||||||||||||
of Assets and | Financial | Collateral | Collateral | Net | |||||||||||||||
Counterparty | Liabilities | Instruments | Received(a) | Received(a) | Amount(b) | ||||||||||||||
Fixed Income Clearing Corp. | $4,670,189 | $ | – | $ | – | $ | (4,670,189 | ) | $ | – | |||||||||
Total | $4,670,189 | $ | – | $ | – | $ | (4,670,189 | ) | $ | – |
(a) | Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statement of Assets and Liabilities, for each respective counterparty. |
(b) | Net amount represents the amount owed to the Fund by the counterparty as of May 31, 2018. |
(c) | Net amount represents the amount owed by the Fund by the counterparty as of May 31, 2018. |
9. | TRUSTEES’ REMUNERATION |
The Trust’s officers and one Trustee, who are associated with Lord Abbett, do not receive any compensation from the Trust for serving in such capacities. Independent Trustees’ fees are allocated among all Lord Abbett-sponsored funds based on the net assets of each fund. There is an equity-based plan available to all Independent Trustees under which Independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of Trustees’ fees. The deferred amounts are treated as though equivalent dollar amounts had been invested in the funds. Such amounts and earnings accrued thereon are included in Trustees’ fees on the Statements of Operations and in Trustees’ fees payable on the Statements of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.
10. | EXPENSE REDUCTIONS |
The Trust has entered into an arrangement with its transfer agent and custodian, whereby credits realized as a result of uninvested cash balances are used to reduce a portion of each Fund’s expenses.
11. | LINE OF CREDIT |
The Funds, except Ultra Short Bond Fund and certain other funds managed by Lord Abbett (collectively, the “Participating Funds”) entered into a syndicated line of credit facility with various lenders for $600 million (the “Facility”), whereas State Street Bank and Trust Company (“SSB”) participates as a lender and as agent for the lenders. The Facility is to be used for temporary or
472
Notes to Financial Statements (unaudited)(continued)
emergency purposes as an additional source of liquidity to satisfy redemptions. The Participating Funds are subject to graduated borrowing limits of one-third of Fund assets (if Fund assets are less than $750 million), $250 million, $300 million, or $350 million, based on past borrowings and likelihood of future borrowings.
During the six months ended May 31, 2018, the Funds did not utilize the Facility.
12. | INTERFUND LENDING PROGRAM |
Pursuant to an exemptive order issued by the U.S. Securities and Exchange Commission (“SEC exemptive order”) certain registered open-end management investment companies managed by Lord Abbett, including each Fund, participate in a joint lending and borrowing program (the “Interfund Lending Program”). The SEC exemptive order allows the Funds to borrow money from and lend money to each other for temporary or emergency purposes subject to the limitations and conditions.
During the six months ended May 31, 2018 the Funds did not participate as a borrower or lender in the Interfund Lending Program.
13. | CUSTODIAN AND ACCOUNTING AGENT |
SSB is the Trust’s custodian and accounting agent. SSB performs custodial, accounting and recordkeeping functions relating to portfolio transactions and calculating each Fund’s NAV.
14. | INVESTMENT RISKS |
Each Fund is subject to the general risks and considerations associated with investing in fixed income securities and to the changing prospects of individual companies and/or sectors in which the Funds invest. The value of an investment will change as interest rates fluctuate and in response to market movements. When interest rates rise, the prices of fixed income securities are likely to decline; when interest rates fall, such prices tend to rise. Longer- term securities are usually more sensitive to interest rate changes. There is also the risk that an issuer of a fixed income security will fail to make timely payments of principal and/or interest to a Fund, a risk that is greater with high-yield bonds (sometimes called “junk bonds”) in which one or more of the Funds may invest. Some issuers, particularly of high- yield bonds, may default as to principal and/or interest payments after a Fund purchases their securities. A default, or concerns in the market about an increase in risk of default, may result in losses to each Fund. High-yield bonds are subject to greater price fluctuations and increased liquidity risk, as well as additional risks.
Because the Ultra Short Bond Fund invests a significant portion of its assets in securities issued by companies in the financial services industry, developments affecting this industry may have a disproportionate impact on the Fund. Interest rate risk, credit risk, and the risk of regulatory changes in the financial services industry, among other risks, may have a negative effect on companies in the financial services industry.
The values of equity holdings of Convertible Fund will fluctuate in response to movements in the equity securities market in general and to the changing prospects of the individual companies and/or sectors in which the Fund invests.
Convertible Fund, High Yield Fund, Income Fund, Inflation Focused Fund, and Short Duration Income Fund are subject to the general risks and considerations associated with investing in convertible securities, which have both equity and fixed income risk characteristics, including market, credit, liquidity, and interest rate risks. Generally, convertible securities offer lower interest
473
Notes to Financial Statements (unaudited)(continued)
or dividend yields than non- convertible securities of similar quality and less potential for gains or capital appreciation in a rising equity securities market than equity securities. They tend to be more volatile than other fixed income securities, and the markets for convertible securities may be less liquid than markets for stocks or bonds. A significant portion of convertible securities have below investment grade credit ratings and are subject to increased credit and liquidity risks.
Each Fund’s investment exposure to foreign (which may include emerging market) companies presents increased market, liquidity, currency, political, information and other risks. The cost of a Fund’s potential use of forward foreign currency exchange contracts varies with factors such as the currencies involved, the length of the contract period and the market conditions prevailing.
Each Fund is subject to the risks associated with derivatives, which may be different from and greater than the risks associated with directly investing in securities. Derivatives may be subject to risks such as liquidity risk, leveraging risk, interest rate risk, market risk, and credit risk. Illiquid securities may lower the Funds’ returns since the Funds may be unable to sell these securities at their desired time or price. Derivatives also may involve the risk of mispricing or improper valuation and the risk that changes in the value of the derivative may not correlate perfectly with the value of the underlying asset, rate or index. Whether a Fund’s use of derivatives is successful will depend on, among other things, the Fund’s ability to correctly forecast market movements, changes in foreign exchange and interest rates, and other factors. If a Fund incorrectly forecasts these and other factors, its performance could suffer. A Fund’s use of derivatives could result in a loss exceeding the amount of the Fund’s investment in these instruments.
Each Fund may invest in swap contracts. Swap contracts are bi- lateral agreements between a fund and its counterparty. Each party is exposed to the risk of default by the other in addition to the risks associated with investing in derivatives discussed above. In addition, they may involve a small investment of cash compared to the risk assumed with the result that small changes may produce disproportionate and substantial gains or losses to the Funds.
The Funds are subject to the risks of investing in credit default swap contracts. The risks associated with the Funds’ investment in credit default swaps are greater than if the Funds invested directly in the reference obligation because they are subject to liquidity risk, counterparty risk, and credit risk at both the counterparty and underlying issuer levels in addition to the risks associated with investing in derivatives discussed above.
Each Fund’s exposure to inflation- linked investments, such as Treasury Inflation Protected Securities, may be vulnerable to changes in expectations of inflation or interest rates and there is no guarantee that the Fund’s use of these instruments will be successful.
The Funds are subject to the risks of investing in floating rate or adjustable rate senior loans, which are subject to increased credit and liquidity risks. Senior loans are business loans made to borrowers that may be U.S. or foreign corporations, partnerships or other business entities. The senior loans in which Core Fixed Income Fund, Core Plus Bond Fund, Floating Rate Fund, High Yield Fund, Income Fund, Inflation Focused Fund, Short Duration Income Fund and Total Return Fund may invest may consist primarily of senior loans that are rated below investment grade or, if unrated, deemed by Lord Abbett to be equivalent to below investment grade securities. Below investment grade senior loans, as in the case of high- yield debt securities, or junk bonds, are usually more credit sensitive than interest rate sensitive, although the value of these instruments may be impacted by broader interest rate swings in the overall fixed income market. In addition, Floating Rate Fund may invest up to 20% of its total assets in senior loans that are not secured by any specific collateral.
474
Notes to Financial Statements (unaudited)(continued)
Each Fund is subject to the risk of investing in securities issued or guaranteed by the U.S. Government or its agencies and instrumentalities (such as the Government National Mortgage Association (“Ginnie Mae”), the Federal National Mortgage Association (“Fannie Mae”), or the Federal Home Loan Mortgage Corporation (“Freddie Mac”)). Unlike Ginnie Mae securities, securities issued or guaranteed by U.S. Government-related organizations such as Fannie Mae and Freddie Mac are not backed by the full faith and credit of the U.S. Government and no assurance can be given that the U.S. Government would provide financial support to its agencies and instrumentalities if not required to do so by law. Consequently, the Fund may be required to look principally to the agency issuing or guaranteeing the obligation.
Convertible Fund, Core Fixed Income Fund, Core Plus Bond Fund, Floating Rate Fund, High Yield Fund, Income Fund, Inflation Focused Fund, Short Duration Core Bond Fund, Short Duration Income Fund and Total Return Fund are subject to the risks of investing in asset backed securities and mortgage-related securities, including those of such Government sponsored enterprises as Fannie Mae and Freddie Mac. In addition, these Funds may invest in non- agency backed and mortgage related securities, which are issued by the private institutions, not by the government- sponsored enterprises. Such securities may be particularly sensitive to changes in economic conditions, including delinquencies and/or defaults, and changes in prevailing interest rates. These changes can affect the value, income and/or liquidity of such positions. When interest rates are declining, the value of these securities with prepayment features may not increase as much as other fixed income securities. Early principal repayment may deprive a Fund of income payments above current markets rates. The prepayment rate also will affect the price and volatility of a mortgage- related security. In addition, securities of government sponsored enterprises are guaranteed with respect to the timely payment of interest and principal by the particular enterprise involved, not by the U.S. Government.
These factors, and others, can affect each Fund’s performance.
15. | SUMMARY OF CAPITAL TRANSACTIONS |
Transactions in shares of beneficial interest were as follows:
Convertible Fund | Six Months Ended May 31, 2018 (unaudited | ) | Year Ended November 30, 2017 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 3,169,123 | $ | 42,509,856 | 6,984,406 | $ | 88,208,738 | ||||||||||
Converted from Class B * | 8,273 | 109,768 | 25,040 | 311,885 | ||||||||||||
Converted from Class C ** | 553,369 | 7,547,956 | – | – | ||||||||||||
Reinvestment of distributions | 130,264 | 1,713,997 | 197,459 | 2,370,179 | ||||||||||||
Shares reacquired | (1,796,910 | ) | (23,928,594 | ) | (4,880,246 | ) | (60,638,773 | ) | ||||||||
Increase | 2,064,119 | $ | 27,952,983 | 2,326,659 | $ | 30,252,029 | ||||||||||
Class B Shares | ||||||||||||||||
Reinvestment of distributions | 135 | $ | 1,783 | 1,031 | $ | 12,053 | ||||||||||
Shares reacquired | (6,937 | ) | (92,120 | ) | (17,250 | ) | (214,219 | ) | ||||||||
Converted to Class A * | (8,256 | ) | (109,768 | ) | (25,033 | ) | (311,885 | ) | ||||||||
Decrease | (15,058 | ) | $ | (200,105 | ) | (41,252 | ) | $ | (514,051 | ) |
475
Notes to Financial Statements (unaudited)(continued)
Convertible Fund | Six Months Ended May 31, 2018 (unaudited | ) | Year Ended November 30, 2017 | |||||||||||||
Class C Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 387,023 | $ | 5,149,720 | 1,128,681 | $ | 14,028,469 | ||||||||||
Reinvestment of distributions | 33,331 | 435,250 | 60,235 | 711,257 | ||||||||||||
Shares reacquired | (354,009 | ) | (4,694,981 | ) | (1,111,337 | ) | (13,653,162 | ) | ||||||||
Converted to Class A ** | (557,045 | ) | (7,547,956 | ) | – | – | ||||||||||
Increase (decrease) | (490,700 | ) | $ | (6,657,967 | ) | 77,579 | $ | 1,086,564 | ||||||||
Class F Shares | ||||||||||||||||
Shares sold | 5,269,090 | $ | 70,641,134 | 11,401,889 | $ | 142,751,338 | ||||||||||
Reinvestment of distributions | 150,429 | 1,979,543 | 217,376 | 2,623,864 | ||||||||||||
Shares reacquired | (2,766,971 | ) | (37,022,951 | ) | (7,377,715 | ) | (93,450,909 | ) | ||||||||
Increase | 2,652,548 | $ | 35,597,726 | 4,241,550 | $ | 51,924,293 | ||||||||||
Class F3 Shares(a) | ||||||||||||||||
Shares sold | 155,894 | $ | 2,095,481 | 297,153 | $ | 3,918,550 | ||||||||||
Reinvestment of distributions | 5,160 | 68,283 | 7 | 89 | ||||||||||||
Shares reacquired | (54,538 | ) | (733,539 | ) | (7,128 | ) | (94,885 | ) | ||||||||
Increase | 106,516 | $ | 1,430,225 | 290,032 | $ | 3,823,754 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 1,462,803 | $ | 19,771,109 | 20,304,607 | $ | 255,913,345 | ||||||||||
Reinvestment of distributions | 675,093 | 8,929,220 | 1,072,119 | 12,950,493 | ||||||||||||
Shares reacquired | (6,303,416 | ) | (84,850,525 | ) | (11,948,938 | ) | (148,856,822 | ) | ||||||||
Increase (decrease) | (4,165,520 | ) | $ | (56,150,196 | ) | 9,427,788 | $ | 120,007,016 | ||||||||
Class P Shares | ||||||||||||||||
Shares sold | 140 | $ | 1,883 | 1,405 | $ | 18,858 | ||||||||||
Reinvestment of distributions | 59 | 793 | 77 | 933 | ||||||||||||
Shares reacquired | (1 | ) | (14 | ) | – | – | ||||||||||
Increase | 198 | $ | 2,662 | 1,482 | $ | 19,791 | ||||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 228 | $ | 3,086 | 2,327 | $ | 28,787 | ||||||||||
Reinvestment of distributions | 39 | 518 | 75 | 903 | ||||||||||||
Shares reacquired | (3,314 | ) | (45,435 | ) | (4,143 | ) | (52,447 | ) | ||||||||
Decrease | (3,047 | ) | $ | (41,831 | ) | (1,741 | ) | $ | (22,757 | ) | ||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 161,162 | $ | 2,128,450 | 284,709 | $ | 3,518,104 | ||||||||||
Reinvestment of distributions | 5,780 | 75,656 | 8,320 | 99,573 | ||||||||||||
Shares reacquired | (93,063 | ) | (1,252,561 | ) | (125,737 | ) | (1,555,878 | ) | ||||||||
Increase | 73,879 | $ | 951,545 | 167,292 | $ | 2,061,799 | ||||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 3,370 | $ | 44,635 | 737 | $ | 9,232 | ||||||||||
Reinvestment of distributions | 21 | 277 | 29 | 352 | ||||||||||||
Shares reacquired | (3,233 | ) | (42,294 | ) | (370 | ) | (4,371 | ) | ||||||||
Increase | 158 | $ | 2,618 | 396 | $ | 5,213 |
476
Notes to Financial Statements (unaudited)(continued)
Six Months Ended | ||||||||||||||||
May 31, 2018 | Year Ended | |||||||||||||||
Convertible Fund | (unaudited | ) | November 30, 2017 | |||||||||||||
Class R5 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 509,918 | $ | 6,827,260 | 9,481 | $ | 121,614 | ||||||||||
Reinvestment of distributions | 172 | 2,274 | 78 | 983 | ||||||||||||
Shares reacquired | (511,544 | ) | (6,814,979 | ) | (22 | ) | (293 | ) | ||||||||
Increase (decrease) | (1,454 | ) | $ | 14,555 | 9,537 | $ | 122,304 | |||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 534,561 | $ | 7,140,796 | 237,949 | $ | 3,004,161 | ||||||||||
Reinvestment of distributions | 959 | 12,691 | 458 | 5,515 | ||||||||||||
Shares reacquired | (80,702 | ) | (1,092,112 | ) | (56,122 | ) | (703,899 | ) | ||||||||
Increase | 454,818 | $ | 6,061,375 | 182,285 | $ | 2,305,777 | ||||||||||
Six Months Ended | ||||||||||||||||
May 31, 2018 | Year Ended | |||||||||||||||
Core Fixed Income Fund | (unaudited | ) | November 30, 2017 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 4,282,658 | $ | 45,848,956 | 11,084,044 | $ | 120,452,636 | ||||||||||
Converted from Class B* | 45,754 | 491,704 | 174,573 | 1,897,400 | ||||||||||||
Converted from Class C** | 451,160 | 4,764,247 | – | – | ||||||||||||
Reinvestment of distributions | 538,018 | 5,740,683 | 901,467 | 9,810,134 | ||||||||||||
Shares reacquired | (6,474,873 | ) | (69,233,691 | ) | (14,103,752 | ) | (153,173,622 | ) | ||||||||
Decrease | (1,157,283 | ) | $ | (12,388,101 | ) | (1,943,668 | ) | $ | (21,013,452 | ) | ||||||
Class B Shares | ||||||||||||||||
Shares sold | 8 | $ | 90 | 17,452 | $ | 188,412 | ||||||||||
Reinvestment of distributions | 142 | 1,522 | 2,268 | 24,562 | ||||||||||||
Shares reacquired | (19,098 | ) | (204,540 | ) | (75,322 | ) | (814,156 | ) | ||||||||
Converted to Class A * | (45,882 | ) | (491,704 | ) | (175,114 | ) | (1,897,400 | ) | ||||||||
Decrease | (64,830 | ) | $ | (694,632 | ) | (230,716 | ) | $ | (2,498,582 | ) | ||||||
Class C Shares | ||||||||||||||||
Shares sold | 203,366 | $ | 2,174,368 | 1,035,052 | $ | 11,191,383 | ||||||||||
Reinvestment of distributions | 54,156 | 575,309 | 97,228 | 1,053,079 | ||||||||||||
Shares reacquired | (992,171 | ) | (10,555,895 | ) | (3,026,121 | ) | (32,662,229 | ) | ||||||||
Converted to Class A ** | (452,875 | ) | (4,764,247 | ) | – | – | ||||||||||
Decrease | (1,187,524 | ) | $ | (12,570,465 | ) | (1,893,841 | ) | $ | (20,417,767 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 2,830,243 | $ | 30,230,356 | 20,063,818 | $ | 217,958,501 | ||||||||||
Reinvestment of distributions | 203,367 | 2,170,499 | 814,762 | 8,868,818 | ||||||||||||
Shares reacquired | (6,960,103 | ) | (74,411,133 | ) | (38,130,337 | ) | (415,511,292 | ) | ||||||||
Decrease | (3,926,493 | ) | $ | (42,010,278 | ) | (17,251,757 | ) | $ | (188,683,973 | ) | ||||||
Class F3 Shares(a) | ||||||||||||||||
Shares sold | 6,055,206 | $ | 64,782,478 | 28,358,817 | $ | 309,475,690 | ||||||||||
Reinvestment of distributions | 447,249 | 4,771,680 | 101,973 | 1,109,698 | ||||||||||||
Shares reacquired | (4,617,679 | ) | (49,015,487 | ) | (767,378 | ) | (8,369,465 | ) | ||||||||
Increase | 1,884,776 | $ | 20,538,671 | 27,693,412 | $ | 302,215,923 |
477
Notes to Financial Statements (unaudited)(continued)
Six Months Ended | ||||||||||||||||
May 31, 2018 | Year Ended | |||||||||||||||
Core Fixed Income Fund | (unaudited | ) | November 30, 2017 | |||||||||||||
Class I Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 2,433,151 | $ | 25,991,185 | 11,241,581 | $ | 121,452,764 | ||||||||||
Reinvestment of distributions | 264,407 | 2,819,796 | 400,327 | 4,356,241 | ||||||||||||
Shares reacquired | (924,690 | ) | (9,854,075 | ) | (8,246,050 | ) | (89,444,982 | ) | ||||||||
Increase | 1,772,868 | $ | 18,956,906 | 3,395,858 | $ | 36,364,023 | ||||||||||
Class P Shares | ||||||||||||||||
Reinvestment of distributions | 0.14 | $ | 2 | 6.03 | $ | 65 | ||||||||||
Shares reacquired | – | – | (1,084.98 | ) | (11,737 | ) | ||||||||||
Increase (decrease) | 0.14 | $ | 2 | (1,078.95 | ) | $ | (11,672 | ) | ||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 7,251 | $ | 77,775 | 36,069 | $ | 391,404 | ||||||||||
Reinvestment of distributions | 485 | 5,176 | 767 | 8,356 | ||||||||||||
Shares reacquired | (15,830 | ) | (170,069 | ) | (9,996 | ) | (108,745 | ) | ||||||||
Increase (decrease) | (8,094 | ) | $ | (87,118 | ) | 26,840 | $ | 291,015 | ||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 229,138 | $ | 2,454,870 | 622,084 | $ | 6,745,811 | ||||||||||
Reinvestment of distributions | 15,744 | 168,075 | 32,638 | 355,113 | ||||||||||||
Shares reacquired | (417,656 | ) | (4,485,794 | ) | (1,190,186 | ) | (12,916,549 | ) | ||||||||
Decrease | (172,774 | ) | $ | (1,862,849 | ) | (535,464 | ) | $ | (5,815,625 | ) | ||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 234,746 | $ | 2,515,751 | 580,077 | $ | 6,318,380 | ||||||||||
Reinvestment of distributions | 7,216 | 76,927 | 4,682 | 51,099 | ||||||||||||
Shares reacquired | (90,456 | ) | (964,804 | ) | (57,973 | ) | (631,588 | ) | ||||||||
Increase | 151,506 | $ | 1,627,874 | 526,786 | $ | 5,737,891 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 17,689 | $ | 190,585 | 63,800 | $ | 691,552 | ||||||||||
Reinvestment of distributions | 1,086 | 11,588 | 1,466 | 15,972 | ||||||||||||
Shares reacquired | (12,542 | ) | (134,717 | ) | (21,763 | ) | (236,826 | ) | ||||||||
Increase | 6,233 | $ | 67,456 | 43,503 | $ | 470,698 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 58,093 | $ | 620,420 | 832,575 | $ | 9,030,023 | ||||||||||
Reinvestment of distributions | 57,125 | 609,447 | 90,988 | 989,958 | ||||||||||||
Shares reacquired | (57,689 | ) | (617,291 | ) | (265,886 | ) | (2,878,547 | ) | ||||||||
Increase | 57,529 | $ | 612,576 | 657,677 | $ | 7,141,434 |
478
Notes to Financial Statements (unaudited)(continued)
Core Plus Bond Fund | Six Months Ended May 31, 2018 (unaudited | ) | Year Ended November 30, 2017 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 17,653 | $ | 263,723 | 72,934 | $ | 1,105,852 | ||||||||||
Reinvestment of distributions | 7,607 | 113,133 | 14,632 | 220,869 | ||||||||||||
Shares reacquired | (12,089 | ) | (180,663 | ) | (22,436 | ) | (338,662 | ) | ||||||||
Increase | 13,171 | $ | 196,193 | 65,130 | $ | 988,059 | ||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 20,620 | $ | 310,045 | 26,976 | $ | 407,827 | ||||||||||
Reinvestment of distributions | 702 | 10,436 | 868 | 13,126 | ||||||||||||
Shares reacquired | (9,131 | ) | (138,148 | ) | (4,615 | ) | (70,036 | ) | ||||||||
Increase | 12,191 | $ | 182,333 | 23,229 | $ | 350,917 | ||||||||||
Class F Shares | ||||||||||||||||
Shares sold | 40,005 | $ | 601,757 | 58,712 | $ | 892,295 | ||||||||||
Reinvestment of distributions | 7,755 | 115,326 | 14,187 | 214,173 | ||||||||||||
Shares reacquired | (18,201 | ) | (269,414 | ) | (16,426 | ) | (249,912 | ) | ||||||||
Increase | 29,559 | $ | 447,669 | 56,473 | $ | 856,556 | ||||||||||
Class F3 Shares(a) | ||||||||||||||||
Shares sold | – | $ | – | 663.13 | $ | 10,000 | ||||||||||
Reinvestment of distributions | 13.5 | 195 | 15.3 | 232 | ||||||||||||
Increase | 13.5 | $ | 195 | 678.43 | $ | 10,232 | ||||||||||
Class I Shares | ||||||||||||||||
Reinvestment of distributions | 137 | $ | 2,036 | 289 | $ | 4,360 | ||||||||||
Increase | 137 | $ | 2,036 | 289 | $ | 4,360 | ||||||||||
Class R2 Shares | ||||||||||||||||
Reinvestment of distributions | 29 | $ | 422 | 61 | $ | 923 | ||||||||||
Increase | 29 | $ | 422 | 61 | $ | 923 | ||||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 9 | $ | 139 | 11 | $ | 162 | ||||||||||
Reinvestment of distributions | 29.5 | 440 | 63 | 953 | ||||||||||||
Increase | 38.5 | $ | 579 | 74 | $ | 1,115 | ||||||||||
Class R4 Shares | ||||||||||||||||
Reinvestment of distributions | 31.4 | 472 | 68 | 1,021 | ||||||||||||
Increase | 31.4 | $ | 472 | 68 | $ | 1,021 | ||||||||||
Class R5 Shares | ||||||||||||||||
Reinvestment of distributions | 34.5 | 508 | 72 | 1,091 | ||||||||||||
Increase | 34.5 | $ | 508 | 72 | $ | 1,091 | ||||||||||
Class R6 Shares | ||||||||||||||||
Reinvestment of distributions | 35 | 519 | 74 | 1,123 | ||||||||||||
Increase | 35 | $ | 519 | 74 | $ | 1,123 |
479
Notes to Financial Statements (unaudited)(continued)
Corporate Bond Fund | Six Months Ended May 31, 2018 (unaudited | ) | Period Ended November 30, 2017(b) | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 5,618 | $ | 56,222 | 30,149 | $ | 301,500 | ||||||||||
Reinvestment of distributions | 683 | 6,723 | 720 | 7,251 | ||||||||||||
Increase | 6,301 | $ | 62,945 | 30,869 | $ | 308,751 | ||||||||||
Class C Shares | ||||||||||||||||
Shares sold | – | $ | – | 9,968 | $ | 99,850 | ||||||||||
Reinvestment of distributions | 170 | 1,672 | 145 | 1,460 | ||||||||||||
Increase | 170 | $ | 1,672 | 10,113 | $ | 101,310 | ||||||||||
Class F Shares | ||||||||||||||||
Shares sold | 77,701 | $ | 776,401 | 266,919 | $ | 2,680,805 | ||||||||||
Reinvestment of distributions | 6,374 | 62,856 | 5,063 | 51,067 | ||||||||||||
Shares reacquired | (16,074 | ) | (160,060 | ) | (12,699 | ) | (128,575 | ) | ||||||||
Increase | 68,001 | $ | 679,197 | 259,283 | $ | 2,603,297 | ||||||||||
Class F3 Shares(b) | ||||||||||||||||
Shares sold | – | $ | – | 150,000 | $ | 1,500,000 | ||||||||||
Reinvestment of distributions | 3,441 | 33,925 | 3,872 | 39,007 | ||||||||||||
Increase | 3,441 | $ | 33,925 | 153,872 | $ | 1,539,007 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 33,188 | $ | 332,200 | 5,000 | $ | 50,000 | ||||||||||
Reinvestment of distributions | 621 | 6,079 | 126 | 1,269 | ||||||||||||
Shares reacquired | (510 | ) | (4,985 | ) | – | – | ||||||||||
Increase | 33,299 | $ | 333,294 | 5,126 | $ | 51,269 | ||||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | – | $ | – | 2,500 | $ | 25,000 | ||||||||||
Reinvestment of distributions | 48 | 473 | 54 | 541 | ||||||||||||
Increase | 48 | $ | 473 | 2,554 | $ | 25,541 | ||||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 24 | $ | 240 | 3,793 | $ | 38,069 | ||||||||||
Reinvestment of distributions | 75 | 736 | 69 | 692 | ||||||||||||
Shares reacquired | (1 | ) | (12 | ) | (1 | ) | (6 | ) | ||||||||
Increase | 98 | $ | 964 | 3,861 | $ | 38,755 | ||||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | – | $ | – | 2,500 | $ | 25,000 | ||||||||||
Reinvestment of distributions | 53 | 519 | 59 | 596 | ||||||||||||
Increase | 53 | $ | 519 | 2,559 | $ | 25,596 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | – | $ | – | 2,500 | $ | 25,000 | ||||||||||
Reinvestment of distributions | 56 | 552 | 63 | 635 | ||||||||||||
Increase | 56 | $ | 552 | 2,563 | $ | 25,635 |
480
Notes to Financial Statements (unaudited)(continued)
Corporate Bond Fund | Six Months Ended May 31, 2018 (unaudited | ) | Period Ended November 30, 2017(b) | |||||||||||||
Class R6 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | – | $ | – | 150,000 | $ | 1,500,000 | ||||||||||
Reinvestment of distributions | 3,441 | 33,924 | 3,872 | 39,008 | ||||||||||||
Increase | 3,441 | $ | 33,924 | 153,872 | $ | 1,539,008 | ||||||||||
Floating Rate Fund | Six Months Ended May 31, 2018 (unaudited | ) | Year Ended November 30, 2017 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 90,144,677 | $ | 829,030,466 | 202,662,256 | $ | 1,869,451,473 | ||||||||||
Converted from Class C ** | 790,171 | 7,245,865 | – | – | ||||||||||||
Reinvestment of distributions | 8,032,603 | 73,837,494 | 15,202,207 | 139,907,538 | ||||||||||||
Shares reacquired | (84,591,033 | ) | (777,728,715 | ) | (160,727,429 | ) | (1,479,532,288 | ) | ||||||||
Increase | 14,376,418 | $ | 132,385,110 | 57,137,034 | $ | 529,826,723 | ||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 19,441,289 | $ | 178,845,248 | 43,738,174 | $ | 403,716,314 | ||||||||||
Reinvestment of distributions | 2,950,983 | 27,147,453 | 5,514,614 | 50,797,022 | ||||||||||||
Shares reacquired | (21,419,236 | ) | (197,061,689 | ) | (45,056,878 | ) | (414,923,738 | ) | ||||||||
Converted to Class A ** | (789,310 | ) | (7,245,865 | ) | – | – | ||||||||||
Increase | 183,726 | $ | 1,685,147 | 4,195,910 | $ | 39,589,598 | ||||||||||
Class F Shares | ||||||||||||||||
Shares sold | 215,670,090 | $ | 1,981,268,124 | 424,015,472 | $ | 3,905,690,887 | ||||||||||
Reinvestment of distributions | 10,043,009 | 92,212,000 | 18,893,096 | 173,669,470 | ||||||||||||
Shares reacquired | (110,222,469 | ) | (1,012,681,471 | ) | (300,058,796 | ) | (2,756,114,873 | ) | ||||||||
Increase | 115,490,630 | $ | 1,060,798,653 | 142,849,772 | $ | 1,323,245,484 | ||||||||||
Class F3 Shares(a) | ||||||||||||||||
Shares sold | 10,782,828 | $ | 99,271,812 | 24,449,810 | $ | 224,549,716 | ||||||||||
Reinvestment of distributions | 653,655 | 6,016,033 | 280,100 | 2,574,012 | ||||||||||||
Shares reacquired | (3,369,946 | ) | (31,019,891 | ) | (2,537,802 | ) | (23,311,494 | ) | ||||||||
Increase | 8,066,537 | $ | 74,267,954 | 22,192,108 | $ | 203,812,234 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 82,807,094 | $ | 761,726,410 | 168,619,377 | $ | 1,553,077,995 | ||||||||||
Reinvestment of distributions | 4,232,420 | 38,926,084 | 4,044,482 | 37,220,759 | ||||||||||||
Shares reacquired | (44,340,769 | ) | (408,161,247 | ) | (48,618,318 | ) | (447,386,972 | ) | ||||||||
Increase | 42,698,745 | $ | 392,491,247 | 124,045,541 | $ | 1,142,911,782 | ||||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 18,601 | $ | 171,289 | 111,254 | $ | 1,026,393 | ||||||||||
Reinvestment of distributions | 3,082 | 28,360 | 5,495 | 50,606 | ||||||||||||
Shares reacquired | (12,312 | ) | (113,346 | ) | (61,960 | ) | (570,650 | ) | ||||||||
Increase | 9,371 | $ | 86,303 | 54,789 | $ | 506,349 |
481
Notes to Financial Statements (unaudited)(continued)
Floating Rate Fund | Six Months Ended May 31, 2018 (unaudited | ) | Year Ended November 30, 2017 | |||||||||||||
Class R3 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,074,135 | $ | 9,883,253 | 1,722,912 | $ | 15,894,029 | ||||||||||
Reinvestment of distributions | 110,406 | 1,015,274 | 181,538 | 1,671,673 | ||||||||||||
Shares reacquired | (648,335 | ) | (5,966,338 | ) | (938,677 | ) | (8,645,103 | ) | ||||||||
Increase | 536,206 | $ | 4,932,189 | 965,773 | $ | 8,920,599 | ||||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 252,922 | $ | 2,325,891 | 553,888 | $ | 5,110,122 | ||||||||||
Reinvestment of distributions | 9,815 | 90,206 | 14,096 | 129,668 | ||||||||||||
Shares reacquired | (122,979 | ) | (1,130,683 | ) | (259,654 | ) | (2,385,077 | ) | ||||||||
Increase | 139,758 | $ | 1,285,414 | 308,330 | $ | 2,854,713 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 171,560 | $ | 1,581,207 | 291,164 | $ | 2,691,306 | ||||||||||
Reinvestment of distributions | 8,149 | 75,024 | 9,895 | 91,151 | ||||||||||||
Shares reacquired | (35,096 | ) | (322,924 | ) | (57,589 | ) | (530,352 | ) | ||||||||
Increase | 144,613 | $ | 1,333,307 | 243,470 | $ | 2,252,105 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 2,295,446 | $ | 21,137,836 | 3,151,542 | $ | 29,017,138 | ||||||||||
Reinvestment of distributions | 107,327 | 987,734 | 85,958 | 791,428 | ||||||||||||
Shares reacquired | (1,180,098 | ) | (10,866,375 | ) | (599,355 | ) | (5,517,598 | ) | ||||||||
Increase | 1,222,675 | $ | 11,259,195 | 2,638,145 | $ | 24,290,968 | ||||||||||
Class T Shares(c) | ||||||||||||||||
Shares sold | – | $ | – | 1,087 | $ | 10,000 | ||||||||||
Reinvestment of distributions | 27 | 246 | 16 | 151 | ||||||||||||
Increase | 27 | $ | 246 | 1,103 | $ | 10,151 | ||||||||||
High Yield Fund | Six Months Ended May 31, 2018 (unaudited | ) | Year Ended November 30, 2017 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 36,481,880 | $ | 277,904,409 | 133,066,217 | $ | 1,013,577,527 | ||||||||||
Converted from Class B* | – | – | 373,068 | 2,857,526 | ||||||||||||
Converted from Class C** | 1,051,397 | 7,822,396 | – | – | ||||||||||||
Reinvestment of distributions | 4,913,956 | 37,209,331 | 10,270,700 | 78,698,539 | ||||||||||||
Shares reacquired | (65,423,810 | ) | (497,288,773 | ) | (152,398,720 | ) | (1,161,929,206 | ) | ||||||||
Decrease | (22,976,577 | ) | $ | (174,352,637 | ) | (8,688,735 | ) | $ | (66,795,614 | ) | ||||||
Class B Shares | ||||||||||||||||
Shares sold | 2 | $ | 15 | 15,923 | $ | 120,758 | ||||||||||
Reinvestment of distributions | 1,579 | 12,048 | 19,970 | 151,992 | ||||||||||||
Shares reacquired | (195,569 | ) | (1,485,386 | ) | (142,493 | ) | (1,083,574 | ) | ||||||||
Converted to Class A* | – | – | (374,695 | ) | (2,857,526 | ) | ||||||||||
Decrease | (193,988 | ) | $ | (1,473,323 | ) | (481,295 | ) | $ | (3,668,350 | ) |
482
Notes to Financial Statements (unaudited)(continued)
High Yield Fund | Six Months Ended May 31, 2018 (unaudited | ) | Year Ended November 30, 2017 | |||||||||||||
Class C Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 5,651,373 | $ | 42,859,037 | 19,330,615 | $ | 146,842,770 | ||||||||||
Reinvestment of distributions | 1,544,763 | 11,631,402 | 2,911,191 | 22,197,354 | ||||||||||||
Shares reacquired | (9,788,591 | ) | (73,903,533 | ) | (17,809,525 | ) | (135,522,788 | ) | ||||||||
Converted to Class A ** | (1,057,081 | ) | (7,822,396 | ) | – | – | ||||||||||
Increase (decrease) | (3,649,536 | ) | $ | (27,235,490 | ) | 4,432,281 | $ | 33,517,336 | ||||||||
Class F Shares | ||||||||||||||||
Shares sold | 79,391,745 | $ | 603,226,539 | 251,804,626 | $ | 1,919,894,724 | ||||||||||
Reinvestment of distributions | 7,058,221 | 53,347,849 | 14,221,488 | 108,921,980 | ||||||||||||
Shares reacquired | (72,899,942 | ) | (553,043,165 | ) | (217,008,448 | ) | (1,664,531,925 | ) | ||||||||
Increase | 13,550,024 | $ | 103,531,223 | 49,017,666 | $ | 364,284,779 | ||||||||||
Class F3 Shares(a) | ||||||||||||||||
Shares sold | 17,450,321 | $ | 133,921,248 | 60,564,491 | $ | 469,554,888 | ||||||||||
Reinvestment of distributions | 1,944,930 | 14,786,171 | 602,050 | 4,674,631 | ||||||||||||
Shares reacquired | (8,644,639 | ) | (65,802,284 | ) | (3,140,161 | ) | (24,343,175 | ) | ||||||||
Increase | 10,750,612 | $ | 82,905,135 | 58,026,380 | $ | 449,886,344 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 37,117,609 | $ | 284,040,681 | 148,209,773 | $ | 1,135,627,642 | ||||||||||
Reinvestment of distributions | 5,796,247 | 44,099,252 | 12,824,990 | 98,636,819 | ||||||||||||
Shares reacquired | (72,420,127 | ) | (552,655,841 | ) | (167,585,701 | ) | (1,283,844,476 | ) | ||||||||
Decrease | (29,506,271 | ) | $ | (224,515,908 | ) | (6,550,938 | ) | $ | (49,580,015 | ) | ||||||
Class P Shares | ||||||||||||||||
Shares sold | 3,278 | $ | 25,196 | 56,070 | $ | 430,903 | ||||||||||
Reinvestment of distributions | 1,721 | 13,212 | 2,396 | 18,677 | ||||||||||||
Shares reacquired | (993 | ) | (7,651 | ) | (3,621 | ) | (27,827 | ) | ||||||||
Increase | 4,006 | $ | 30,757 | 54,845 | $ | 421,753 | ||||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 639,600 | $ | 4,870,895 | 1,250,902 | $ | 9,595,466 | ||||||||||
Reinvestment of distributions | 25,075 | 190,679 | 36,252 | 279,691 | ||||||||||||
Shares reacquired | (399,656 | ) | (3,046,203 | ) | (868,283 | ) | (6,680,002 | ) | ||||||||
Increase | 265,019 | $ | 2,015,371 | 418,871 | $ | 3,195,155 | ||||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 3,371,855 | $ | 25,895,519 | 4,990,992 | $ | 38,353,083 | ||||||||||
Reinvestment of distributions | 347,921 | 2,647,581 | 572,289 | 4,412,195 | ||||||||||||
Shares reacquired | (1,645,021 | ) | (12,593,721 | ) | (3,419,681 | ) | (26,293,125 | ) | ||||||||
Increase | 2,074,755 | $ | 15,949,379 | 2,143,600 | $ | 16,472,153 | ||||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 3,716,250 | $ | 28,239,641 | 7,403,429 | $ | 56,632,724 | ||||||||||
Reinvestment of distributions | 204,728 | 1,548,211 | 241,271 | 1,852,351 | ||||||||||||
Shares reacquired | (1,818,185 | ) | (13,855,428 | ) | (1,680,183 | ) | (12,870,000 | ) | ||||||||
Increase | 2,102,793 | $ | 15,932,424 | 5,964,517 | $ | 45,615,075 |
483
Notes to Financial Statements (unaudited)(continued)
High Yield Fund | Six Months Ended May 31, 2018 (unaudited | ) | Year Ended November 30, 2017 | |||||||||||||
Class R5 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 5,297,907 | $ | 40,528,705 | 33,931,272 | $ | 263,053,219 | ||||||||||
Reinvestment of distributions | 1,000,763 | 7,603,485 | 393,241 | 3,036,679 | ||||||||||||
Shares reacquired | (4,603,044 | ) | (35,141,585 | ) | (1,614,564 | ) | (12,440,961 | ) | ||||||||
Increase | 1,695,626 | $ | 12,990,605 | 32,709,949 | $ | 253,648,937 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 17,199,278 | $ | 131,510,564 | 47,109,762 | $ | 360,461,284 | ||||||||||
Reinvestment of distributions | 1,520,497 | 11,562,420 | 1,849,110 | 14,276,598 | ||||||||||||
Shares reacquired | (10,799,820 | ) | (82,692,486 | ) | (9,887,663 | ) | (76,377,484 | ) | ||||||||
Increase | 7,919,955 | $ | 60,380,498 | 39,071,209 | $ | 298,360,398 | ||||||||||
Class T Shares(c) | ||||||||||||||||
Shares sold | – | $ | – | 1,295 | $ | 10,000 | ||||||||||
Reinvestment of distributions | 38 | 291 | 25 | 189 | ||||||||||||
Increase | 38 | $ | 291 | 1,320 | $ | 10,189 | ||||||||||
Income Fund | Six Months Ended May 31, 2018 (unaudited | ) | Year Ended November 30, 2017 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 32,866,530 | $ | 92,812,216 | 82,908,265 | $ | 235,218,993 | ||||||||||
Converted from Class B * | 248,647 | 703,991 | 801,540 | 2,274,194 | ||||||||||||
Converted from Class C ** | 4,959,435 | 13,688,040 | – | – | ||||||||||||
Reinvestment of distributions | 5,482,403 | 15,401,690 | 9,575,638 | 27,204,881 | ||||||||||||
Shares reacquired | (40,477,550 | ) | (114,244,883 | ) | (100,516,367 | ) | (284,336,904 | ) | ||||||||
Increase (decrease) | 3,079,465 | $ | 8,361,054 | (7,230,924 | ) | $ | (19,638,836 | ) | ||||||||
Class B Shares | ||||||||||||||||
Shares sold | 6 | $ | 16 | 114,596 | $ | 322,055 | ||||||||||
Reinvestment of distributions | 2,133 | 6,076 | 20,543 | 58,282 | ||||||||||||
Shares reacquired | (118,184 | ) | 1,952,278 | (349,344 | ) | (984,468 | ) | |||||||||
Converted to Class A * | (249,911 | ) | (2,993,485 | ) | (801,026 | ) | (2,274,194 | ) | ||||||||
Decrease | (365,956 | ) | $ | (1,035,115 | ) | (1,015,231 | ) | $ | (2,878,325 | ) | ||||||
Class C Shares | ||||||||||||||||
Shares sold | 3,771,332 | $ | 10,701,792 | 10,187,778 | $ | 29,007,631 | ||||||||||
Reinvestment of distributions | 1,145,715 | 3,234,414 | 2,110,253 | 6,022,146 | ||||||||||||
Shares reacquired | (10,366,856 | ) | (29,304,856 | ) | (23,597,568 | ) | (67,089,807 | ) | ||||||||
Converted to Class A ** | (4,923,755 | ) | (13,688,040 | ) | – | – | ||||||||||
Decrease | (10,373,564 | ) | $ | (29,056,690 | ) | (11,299,537 | ) | $ | (32,060,030 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 40,287,544 | $ | 113,607,979 | 163,357,486 | $ | 462,571,473 | ||||||||||
Reinvestment of distributions | 2,801,061 | 7,867,415 | 6,146,429 | 17,482,921 | ||||||||||||
Shares reacquired | (34,010,683 | ) | (95,650,616 | ) | (160,081,868 | ) | (457,164,997 | ) | ||||||||
Increase | 9,077,922 | $ | 25,824,778 | 9,422,047 | $ | 22,889,397 |
484
Notes to Financial Statements (unaudited)(continued)
Income Fund | Six Months Ended May 31, 2018 (unaudited | ) | Year Ended November 30, 2017 | |||||||||||||
Class F3 Shares(a) | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 48,166,493 | $ | 135,620,513 | 97,416,792 | $ | 279,505,844 | ||||||||||
Reinvestment of distributions | 2,435,795 | 6,835,087 | 620,208 | 1,776,555 | ||||||||||||
Shares reacquired | (13,189,291 | ) | (36,936,565 | ) | (2,106,754 | ) | (6,038,560 | ) | ||||||||
Increase | 37,412,997 | $ | 105,519,035 | 95,930,246 | $ | 275,243,839 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 21,721,626 | $ | 60,842,988 | 37,676,962 | $ | 107,596,954 | ||||||||||
Reinvestment of distributions | 1,204,358 | 3,381,127 | 1,106,707 | 3,146,928 | ||||||||||||
Shares reacquired | (10,353,513 | ) | (29,132,604 | ) | (13,873,462 | ) | (39,237,634 | ) | ||||||||
Increase | 12,572,471 | $ | 35,091,511 | 24,910,207 | $ | 71,506,248 | ||||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 210,404 | $ | 598,169 | 242,729 | $ | 693,557 | ||||||||||
Reinvestment of distributions | 4,418 | 12,497 | 7,675 | 21,956 | ||||||||||||
Shares reacquired | (233,258 | ) | (654,582 | ) | (344,461 | ) | (981,765 | ) | ||||||||
Decrease | (18,436 | ) | $ | (43,916 | ) | (94,057 | ) | $ | (266,252 | ) | ||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 2,120,513 | $ | 6,006,921 | 4,709,520 | $ | 13,379,939 | ||||||||||
Reinvestment of distributions | 337,877 | 951,872 | 592,774 | 1,687,732 | ||||||||||||
Shares reacquired | (1,931,367 | ) | (5,482,261 | ) | (6,634,648 | ) | (18,798,365 | ) | ||||||||
Increase (decrease) | 527,023 | $ | 1,476,532 | (1,332,354 | ) | $ | (3,730,694 | ) | ||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 681,415 | $ | 1,924,464 | 693,142 | $ | 1,973,656 | ||||||||||
Reinvestment of distributions | 13,088 | 36,732 | 7,653 | 21,861 | ||||||||||||
Shares reacquired | (102,477 | ) | (288,701 | ) | (139,365 | ) | (396,599 | ) | ||||||||
Increase | 592,026 | $ | 1,672,495 | 561,430 | $ | 1,598,918 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 384,624 | $ | 1,090,952 | 5,773,717 | $ | 16,467,427 | ||||||||||
Reinvestment of distributions | 1,956 | 5,498 | 3,384 | 9,611 | ||||||||||||
Shares reacquired | (4,464,655 | ) | (12,773,658 | ) | (283,974 | ) | (813,510 | ) | ||||||||
Increase (decrease) | (4,078,075 | ) | $ | (11,677,208 | ) | 5,493,127 | $ | 15,663,528 | ||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 12,618,040 | $ | 35,754,167 | 6,348,631 | $ | 18,104,710 | ||||||||||
Reinvestment of distributions | 116,916 | 328,075 | 100,495 | 286,397 | ||||||||||||
Shares reacquired | (5,931,815 | ) | (16,732,231 | ) | (806,495 | ) | (2,296,067 | ) | ||||||||
Increase | 6,803,141 | $ | 19,350,011 | 5,642,631 | $ | 16,095,040 |
485
Notes to Financial Statements (unaudited)(continued)
Inflation Focused Fund | Six Months Ended May 31, 2018 (unaudited | ) | Year Ended November 30, 2017 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 5,259,626 | $ | 62,616,843 | 11,498,699 | $ | 139,733,979 | ||||||||||
Converted from Class C ** | 5,817 | 68,879 | – | – | ||||||||||||
Reinvestment of distributions | 268,584 | 3,194,878 | 620,274 | 7,464,145 | ||||||||||||
Shares reacquired | (3,892,645 | ) | (46,303,069 | ) | (19,722,661 | ) | (239,016,414 | ) | ||||||||
Increase (decrease) | 1,641,382 | $ | 19,577,531 | (7,603,688 | ) | $ | (91,818,290 | ) | ||||||||
Class C Shares | ||||||||||||||||
Shares sold | 925,955 | $ | 11,044,339 | 1,732,776 | $ | 21,042,550 | ||||||||||
Reinvestment of distributions | 51,544 | 614,033 | 108,259 | 1,302,360 | ||||||||||||
Shares reacquired | (880,152 | ) | (10,486,326 | ) | (1,552,958 | ) | (18,648,302 | ) | ||||||||
Converted to Class A ** | (5,808 | ) | (68,879 | ) | – | – | ||||||||||
Increase | 91,539 | $ | 1,103,167 | 288,077 | $ | 3,696,608 | ||||||||||
Class F Shares | ||||||||||||||||
Shares sold | 16,259,382 | $ | 193,800,819 | 32,297,553 | $ | 391,627,746 | ||||||||||
Reinvestment of distributions | 427,345 | 5,087,285 | 800,455 | 9,619,128 | ||||||||||||
Shares reacquired | (7,149,894 | ) | (85,165,643 | ) | (20,850,107 | ) | (249,794,527 | ) | ||||||||
Increase | 9,536,833 | $ | 113,722,461 | 12,247,901 | $ | 151,452,347 | ||||||||||
Class F3 Shares(a) | ||||||||||||||||
Shares sold | 345,692 | $ | 4,113,189 | 1,154,162 | $ | 13,717,878 | ||||||||||
Reinvestment of distributions | 24,642 | 293,041 | 11,068 | 131,563 | ||||||||||||
Shares reacquired | (104,373 | ) | (1,241,357 | ) | (34,835 | ) | (413,881 | ) | ||||||||
Increase | 265,961 | $ | 3,164,873 | 1,130,395 | $ | 13,435,560 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 7,299,181 | $ | 86,959,775 | 25,760,683 | $ | 311,846,987 | ||||||||||
Reinvestment of distributions | 823,000 | 9,796,225 | 1,453,001 | 17,452,386 | ||||||||||||
Shares reacquired | (6,159,126 | ) | (73,258,035 | ) | (12,891,668 | ) | (155,466,578 | ) | ||||||||
Increase | 1,963,055 | $ | 23,497,965 | 14,322,016 | $ | 173,832,795 | ||||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 12,327 | $ | 147,371 | 28,542 | $ | 346,999 | ||||||||||
Reinvestment of distributions | 39 | 469 | 118 | 1,408 | ||||||||||||
Shares reacquired | (18,328 | ) | (218,088 | ) | (20,325 | ) | (242,185 | ) | ||||||||
Increase (decrease) | (5,962 | ) | $ | (70,248 | ) | 8,335 | $ | 106,222 | ||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 3,935 | $ | 46,768 | 10,562 | $ | 128,534 | ||||||||||
Reinvestment of distributions | 252 | 3,001 | 576 | 6,945 | ||||||||||||
Shares reacquired | (3,790 | ) | (45,199 | ) | (19,648 | ) | (238,142 | ) | ||||||||
Increase (decrease) | 397 | $ | 4,570 | (8,510 | ) | $ | (102,663 | ) | ||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 41,101 | $ | 489,388 | 67,050 | $ | 802,190 | ||||||||||
Reinvestment of distributions | 122 | 1,446 | 111 | 1,320 | ||||||||||||
Shares reacquired | (4,982 | ) | (59,310 | ) | (14,390 | ) | (171,418 | ) | ||||||||
Increase | 36,241 | $ | 431,524 | 52,771 | $ | 632,092 |
486
Notes to Financial Statements (unaudited)(continued)
Inflation Focused Fund | Six Months Ended May 31, 2018 (unaudited | ) | Year Ended November 30, 2017 | |||||||||||||
Class R5 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 9,354 | $ | 111,499 | 2,120 | $ | 25,356 | ||||||||||
Reinvestment of distributions | 105 | 1,244 | 51 | 618 | ||||||||||||
Shares reacquired | (659 | ) | (7,821 | ) | (202 | ) | (2,413 | ) | ||||||||
Increase | 8,800 | $ | 104,922 | 1,969 | $ | 23,561 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 467,725 | $ | 5,569,488 | 3,125,863 | $ | 37,784,888 | ||||||||||
Reinvestment of distributions | 58,168 | 691,988 | 71,930 | 859,579 | ||||||||||||
Shares reacquired | (403,194 | ) | (4,797,698 | ) | (357,945 | ) | (4,281,798 | ) | ||||||||
Increase | 122,699 | $ | 1,463,778 | 2,839,848 | $ | 34,362,669 | ||||||||||
Class T Shares(c) | ||||||||||||||||
Shares sold | – | $ | – | 838 | $ | 10,000 | ||||||||||
Reinvestment of distributions | 16 | 189 | 11 | 128 | ||||||||||||
Increase | 16 | $ | 189 | 849 | $ | 10,128 | ||||||||||
Short Duration Core Bond Fund | Six Months Ended May 31, 2018 (unaudited | ) | Period Ended November 30, 2017(b) | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 115,051 | $ | 1,132,865 | 262,871 | $ | 2,624,119 | ||||||||||
Reinvestment of distributions | 3,320 | 32,627 | 1,814 | 18,078 | ||||||||||||
Shares reacquired | (24,714 | ) | (242,731 | ) | (85,764 | ) | (855,721 | ) | ||||||||
Increase | 93,657 | $ | 922,761 | 178,921 | $ | 1,786,476 | ||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 34,066 | $ | 335,264 | 114,560 | $ | 1,142,657 | ||||||||||
Reinvestment of distributions | 961 | 9,442 | 314 | 3,121 | ||||||||||||
Shares reacquired | (10,041 | ) | (99,017 | ) | (33,571 | ) | (335,356 | ) | ||||||||
Increase | 24,986 | $ | 245,689 | 81,303 | $ | 810,422 | ||||||||||
Class F Shares | ||||||||||||||||
Shares sold | 82,412 | $ | 811,243 | 193,380 | $ | 1,932,799 | ||||||||||
Reinvestment of distributions | 3,390 | 33,322 | 2,635 | 26,272 | ||||||||||||
Shares reacquired | (9,330 | ) | (91,894 | ) | (5,044 | ) | (50,192 | ) | ||||||||
Increase | 76,472 | $ | 752,671 | 190,971 | $ | 1,908,879 | ||||||||||
Class F3 Shares(b) | ||||||||||||||||
Shares sold | – | $ | – | 150,000 | $ | 1,500,017 | ||||||||||
Reinvestment of distributions | 2,416 | 23,751 | 2,557 | 25,505 | ||||||||||||
Increase | 2,416 | $ | 23,751 | 152,557 | $ | 1,525,522 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | – | $ | – | 5,000.00 | $ | 50,000 | ||||||||||
Reinvestment of distributions | 78.08 | 768 | 82.14 | 819 | ||||||||||||
Increase | 78.08 | $ | 768 | 5,082.14 | $ | 50,819 |
487
Notes to Financial Statements (unaudited)(continued)
Short Duration Core Bond Fund | Six Months Ended May 31, 2018 (unaudited | ) | Period Ended November 30, 2017(b) | |||||||||||||
Class R2 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | – | $ | – | 2,500.00 | $ | 25,000 | ||||||||||
Reinvestment of distributions | 31 | 307 | 31.90 | 318 | ||||||||||||
Increase | 31 | $ | 307 | 2,531.90 | $ | 25,318 | ||||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | – | $ | – | 2,500.00 | $ | 25,000 | ||||||||||
Reinvestment of distributions | 33 | 320 | 33.46 | 334 | ||||||||||||
Increase | 33 | $ | 320 | 2,533.46 | $ | 25,334 | ||||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | – | $ | – | 2,500 | $ | 25,000 | ||||||||||
Reinvestment of distributions | 36 | 351 | 37 | 372 | ||||||||||||
Increase | 36 | $ | 351 | 2,537 | $ | 25,372 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | – | $ | – | 2,500 | $ | 25,000 | ||||||||||
Reinvestment of distributions | 39 | 383 | 41 | 409 | ||||||||||||
Increase | 39 | $ | 383 | 2,541 | $ | 25,409 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | – | $ | – | 150,000 | $ | 1,500,017 | ||||||||||
Reinvestment of distributions | 2,416 | 23,748 | 2,557 | 25,503 | ||||||||||||
Increase | 2,416 | $ | 23,748 | 152,557 | $ | 1,525,520 | ||||||||||
Short Duration Income Fund | Six Months Ended May 31, 2018 (unaudited | ) | Year Ended November 30, 2017 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 372,330,027 | $ | 1,571,859,820 | 1,047,137,608 | $ | 4,499,792,376 | ||||||||||
Converted from Class B * | 708,948 | 2,998,778 | 1,551,009 | 6,654,823 | ||||||||||||
Converted from Class C ** | 5,093,921 | 21,343,528 | – | – | ||||||||||||
Reinvestment of distributions | 38,562,320 | 162,467,231 | 81,693,004 | 350,684,600 | ||||||||||||
Shares reacquired | (621,628,721 | ) | (2,626,751,264 | ) | (1,193,286,437 | ) | (5,126,709,002 | ) | ||||||||
Decrease | (204,933,505 | ) | $ | (868,081,907 | ) | (62,904,816 | ) | $ | (269,577,203 | ) | ||||||
Class B Shares | ||||||||||||||||
Shares sold | 546 | $ | 2,314 | 72,001 | $ | 310,388 | ||||||||||
Reinvestment of distributions | 3,633 | 15,396 | 46,726 | 201,136 | ||||||||||||
Shares reacquired | (287,524 | ) | (1,215,404 | ) | (697,696 | ) | (3,002,607 | ) | ||||||||
Converted to Class A* | (708,707 | ) | (2,998,778 | ) | (1,548,471 | ) | (6,654,823 | ) | ||||||||
Decrease | (992,052 | ) | $ | (4,196,472 | ) | (2,127,440 | ) | $ | (9,145,906 | ) | ||||||
Class C Shares | ||||||||||||||||
Shares sold | 77,892,115 | $ | 330,975,445 | 261,090,320 | $ | 1,128,873,970 | ||||||||||
Reinvestment of distributions | 18,263,539 | 77,461,612 | 38,231,190 | 165,239,387 | ||||||||||||
Shares reacquired | (224,220,330 | ) | (952,177,543 | ) | (427,343,109 | ) | (1,847,445,958 | ) | ||||||||
Converted to Class A** | (5,057,708 | ) | (21,343,528 | ) | – | – | ||||||||||
Decrease | (133,122,384 | ) | $ | (565,084,014 | ) | (128,021,599 | ) | $ | (553,332,601 | ) |
488
Notes to Financial Statements (unaudited)(continued)
Short Duration Income Fund | Six Months Ended May 31, 2018 (unaudited | ) | Year Ended November 30, 2017 | |||||||||||||
Class F Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 970,724,076 | $ | 4,094,331,366 | 2,411,307,552 | $ | 10,355,978,382 | ||||||||||
Reinvestment of distributions | 52,991,725 | 223,135,063 | 105,558,978 | 452,953,220 | ||||||||||||
Shares reacquired | (943,734,527 | ) | (3,983,592,222 | ) | (2,005,367,141 | ) | (8,595,555,960 | ) | ||||||||
Increase | 79,981,274 | $ | 333,874,207 | 511,499,389 | $ | 2,213,375,642 | ||||||||||
Class F3 Shares(a) | ||||||||||||||||
Shares sold | 177,066,326 | $ | 747,270,890 | 789,804,791 | $ | 3,392,971,580 | ||||||||||
Reinvestment of distributions | 11,660,012 | 49,223,697 | 6,969,637 | 29,846,556 | ||||||||||||
Shares reacquired | (327,726,326 | ) | (1,385,055,330 | ) | (112,972,868 | ) | (484,587,559 | ) | ||||||||
Increase (decrease) | (138,999,988 | ) | $ | (588,560,743 | ) | 683,801,560 | $ | 2,938,230,577 | ||||||||
Class I Shares | ||||||||||||||||
Shares sold | 406,849,094 | $ | 1,714,992,709 | 1,349,958,332 | $ | 5,783,889,155 | ||||||||||
Reinvestment of distributions | 29,448,182 | 124,012,283 | 42,591,140 | 182,717,000 | ||||||||||||
Shares reacquired | (460,320,407 | ) | (1,942,677,473 | ) | (1,056,040,915 | ) | (4,533,590,810 | ) | ||||||||
Redemptions in-kind | – | – | (9,815,639 | ) | (41,912,779 | ) | ||||||||||
Increase (decrease) | (24,023,131 | ) | $ | (103,672,481 | ) | 326,692,918 | $ | 1,391,102,566 | ||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 1,008,583 | $ | 4,251,866 | 3,360,830 | $ | 14,449,447 | ||||||||||
Reinvestment of distributions | 23,381 | 98,558 | 49,606 | 213,172 | ||||||||||||
Shares reacquired | (1,741,519 | ) | (7,360,297 | ) | (3,560,087 | ) | (15,306,322 | ) | ||||||||
Decrease | (709,555 | ) | $ | (3,009,873 | ) | (149,651 | ) | $ | (643,703 | ) | ||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 8,709,515 | $ | 36,815,556 | 26,176,482 | $ | 112,617,480 | ||||||||||
Reinvestment of distributions | 1,217,386 | 5,136,812 | 2,315,167 | 9,954,834 | ||||||||||||
Shares reacquired | (13,286,772 | ) | (56,174,974 | ) | (20,041,341 | ) | (86,247,148 | ) | ||||||||
Increase (decrease) | (3,359,871 | ) | $ | (14,222,606 | ) | 8,450,308 | $ | 36,325,166 | ||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 8,227,501 | $ | 34,783,429 | 15,560,684 | $ | 67,025,672 | ||||||||||
Reinvestment of distributions | 226,036 | 953,733 | 283,777 | 1,219,849 | ||||||||||||
Shares reacquired | (4,711,130 | ) | (19,907,667 | ) | (5,138,263 | ) | (22,108,740 | ) | ||||||||
Increase | 3,742,407 | $ | 15,829,495 | 10,706,198 | $ | 46,136,781 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 4,017,081 | $ | 16,903,972 | 6,194,152 | $ | 26,581,853 | ||||||||||
Reinvestment of distributions | 130,525 | 548,767 | 176,846 | 757,797 | ||||||||||||
Shares reacquired | (1,564,478 | ) | (6,595,356 | ) | (3,201,087 | ) | (13,720,883 | ) | ||||||||
Increase | 2,583,128 | $ | 10,857,383 | 3,169,911 | $ | 13,618,767 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 53,620,556 | $ | 226,416,106 | 47,567,632 | $ | 204,249,289 | ||||||||||
Reinvestment of distributions | 1,792,428 | 7,544,709 | 2,204,407 | 9,458,276 | ||||||||||||
Shares reacquired | (13,502,089 | ) | (56,847,193 | ) | (22,193,856 | ) | (95,183,246 | ) | ||||||||
Increase | 41,910,895 | $ | 177,113,622 | 27,578,183 | $ | 118,524,319 |
489
Notes to Financial Statements (unaudited)(continued)
Short Duration Income Fund | Six Months Ended May 31, 2018 (unaudited | ) | Year Ended November 30, 2017 | |||||||||||||
Class T Shares(c) | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | – | $ | – | 2,325 | $ | 10,000 | ||||||||||
Reinvestment of distributions | 45 | 188 | 29 | 122 | ||||||||||||
Increase | 45 | $ | 188 | 2,354 | $ | 10,122 | ||||||||||
Total Return Fund | Six Months Ended May 31, 2018 (unaudited | ) | Year Ended November 30, 2017 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 14,318,443 | $ | 146,263,326 | 36,178,014 | $ | 374,466,612 | ||||||||||
Converted from Class B * | 154,568 | 1,582,500 | 449,801 | 4,662,985 | ||||||||||||
Converted from Class C ** | 945,538 | 9,502,655 | – | – | ||||||||||||
Reinvestment of distributions | 1,569,294 | 15,954,891 | 3,093,997 | 32,006,997 | ||||||||||||
Shares reacquired | (18,386,353 | ) | (187,356,915 | ) | (47,569,325 | ) | (492,249,030 | ) | ||||||||
Decrease | (1,398,510 | ) | $ | (14,053,543 | ) | (7,847,513 | ) | $ | (81,112,436 | ) | ||||||
Class B Shares | ||||||||||||||||
Shares sold | 2,072 | $ | 21,197 | 40,717 | $ | 419,814 | ||||||||||
Reinvestment of distributions | 538 | 5,521 | 9,917 | 102,107 | ||||||||||||
Shares reacquired | (18,346 | ) | (184,124 | ) | (181,875 | ) | (1,874,762 | ) | ||||||||
Converted to Class A * | (154,568 | ) | (1,582,500 | ) | (450,360 | ) | (4,662,985 | ) | ||||||||
Decrease | (170,304 | ) | $ | (1,739,906 | ) | (581,601 | ) | $ | (6,015,826 | ) | ||||||
Class C Shares | ||||||||||||||||
Shares sold | 985,878 | $ | 10,103,926 | 2,932,238 | $ | 30,302,981 | ||||||||||
Reinvestment of distributions | 154,573 | 1,569,821 | 320,758 | 3,312,376 | ||||||||||||
Shares reacquired | (2,560,145 | ) | (26,057,749 | ) | (7,246,581 | ) | (74,906,198 | ) | ||||||||
Converted to Class A ** | (945,538 | ) | (9,502,655 | ) | – | – | ||||||||||
Decrease | (2,365,232 | ) | $ | (23,886,657 | ) | (3,993,585 | ) | $ | (41,290,841 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 18,513,569 | $ | 189,320,295 | 94,584,275 | $ | 980,413,789 | ||||||||||
Reinvestment of distributions | 1,176,980 | 11,963,921 | 2,784,027 | 28,833,860 | ||||||||||||
Shares reacquired | (17,378,443 | ) | (177,206,495 | ) | (93,049,615 | ) | (966,067,556 | ) | ||||||||
Increase | 2,312,106 | $ | 24,077,721 | 4,318,687 | $ | 43,180,093 | ||||||||||
Class F3 Shares(a) | ||||||||||||||||
Shares sold | 14,765,229 | $ | 150,570,466 | 57,332,898 | $ | 596,785,529 | ||||||||||
Reinvestment of distributions | 1,017,382 | 10,342,759 | 231,004 | 2,397,091 | ||||||||||||
Shares reacquired | (6,292,112 | ) | (63,949,730 | ) | (1,472,811 | ) | (15,315,728 | ) | ||||||||
Increase | 9,490,499 | $ | 96,963,495 | 56,091,091 | $ | 583,866,892 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 8,034,604 | $ | 82,323,094 | 16,232,094 | $ | 168,770,786 | ||||||||||
Reinvestment of distributions | 561,387 | 5,716,393 | 796,516 | 8,258,793 | ||||||||||||
Shares reacquired | (5,283,042 | ) | (53,886,640 | ) | (9,433,519 | ) | (98,018,028 | ) | ||||||||
Increase | 3,312,949 | $ | 34,152,847 | 7,595,091 | $ | 79,011,551 |
490
Notes to Financial Statements (unaudited)(continued)
Total Return Fund | Six Months Ended May 31, 2018 (unaudited | ) | Year Ended November 30, 2017 | |||||||||||||
Class P Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,710 | $ | 17,458 | 18,867 | $ | 197,644 | ||||||||||
Reinvestment of distributions | 754 | 7,709 | 1,865 | 19,361 | ||||||||||||
Shares reacquired | (11,857 | ) | (122,271 | ) | (53,421 | ) | (553,838 | ) | ||||||||
Decrease | (9,393 | ) | $ | (97,104 | ) | (32,689 | ) | $ | (336,833 | ) | ||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 71,368 | $ | 727,792 | 335,053 | $ | 3,452,661 | ||||||||||
Reinvestment of distributions | 5,340 | 54,341 | 14,786 | 152,966 | ||||||||||||
Shares reacquired | (284,771 | ) | (2,924,306 | ) | (284,331 | ) | (2,950,218 | ) | ||||||||
Increase (decrease) | (208,063 | ) | $ | (2,142,173 | ) | 65,508 | $ | 655,409 | ||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 2,869,479 | $ | 29,346,893 | 4,599,203 | $ | 47,463,603 | ||||||||||
Reinvestment of distributions | 164,728 | 1,674,761 | 347,742 | 3,596,115 | ||||||||||||
Shares reacquired | (4,586,546 | ) | (46,593,824 | ) | (5,415,089 | ) | (56,058,240 | ) | ||||||||
Decrease | (1,552,339 | ) | $ | (15,572,170 | ) | (468,144 | ) | $ | (4,998,522 | ) | ||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 1,455,747 | $ | 14,863,239 | 5,725,677 | $ | 59,039,323 | ||||||||||
Reinvestment of distributions | 45,939 | 466,876 | 56,171 | 582,057 | ||||||||||||
Shares reacquired | (1,300,333 | ) | (13,305,014 | ) | (1,582,957 | ) | (16,422,484 | ) | ||||||||
Increase | 201,353 | $ | 2,025,101 | 4,198,891 | $ | 43,198,896 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 1,112,422 | $ | 11,337,121 | 8,639,514 | $ | 89,590,831 | ||||||||||
Reinvestment of distributions | 134,845 | 1,371,673 | 153,001 | 1,588,449 | ||||||||||||
Shares reacquired | (1,489,620 | ) | (15,177,947 | ) | (962,471 | ) | (10,004,922 | ) | ||||||||
Increase (decrease) | (242,353 | ) | $ | (2,469,153 | ) | 7,830,044 | $ | 81,174,358 | ||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 6,070,470 | $ | 62,029,563 | 11,701,658 | $ | 121,535,801 | ||||||||||
Reinvestment of distributions | 284,052 | 2,888,950 | 322,426 | 3,345,141 | ||||||||||||
Shares reacquired | (2,884,091 | ) | (29,464,815 | ) | (2,640,594 | ) | (27,429,729 | ) | ||||||||
Increase | 3,470,431 | $ | 35,453,698 | 9,383,490 | $ | 97,451,213 | ||||||||||
Class T Shares(c) | ||||||||||||||||
Shares sold | – | $ | – | 961 | $ | 10,000 | ||||||||||
Reinvestment of distributions | 14 | 148 | 8 | 86 | ||||||||||||
Increase | 14 | $ | 148 | 969 | $ | 10,086 |
491
Notes to Financial Statements (unaudited)(concluded)
Ultra Short Bond Fund | Six Months Ended May 31, 2018 (unaudited | ) | Year Ended November 30, 2017 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 299,012,976 | $ | 2,991,450,571 | 194,627,956 | $ | 1,947,997,534 | ||||||||||
Reinvestment of distributions | 2,023,363 | 20,238,074 | 546,201 | 5,467,272 | ||||||||||||
Shares reacquired | (135,698,410 | ) | (1,357,516,208 | ) | (40,800,891 | ) | (408,393,977 | ) | ||||||||
Increase | 165,337,929 | $ | 1,654,172,437 | 154,373,266 | $ | 1,545,070,829 | ||||||||||
Class F Shares | ||||||||||||||||
Shares sold | 170,680,970 | $ | 1,707,744,286 | 70,493,597 | $ | 705,587,281 | ||||||||||
Reinvestment of distributions | 900,962 | 9,015,013 | 207,410 | 2,076,134 | ||||||||||||
Shares reacquired | (62,999,043 | ) | (630,378,871 | ) | (15,541,786 | ) | (155,565,623 | ) | ||||||||
Increase | 108,582,889 | $ | 1,086,380,428 | 55,159,221 | $ | 552,097,792 | ||||||||||
Class F3 Shares(a) | ||||||||||||||||
Shares sold | 11,670,324 | $ | 116,804,303 | 5,571,992 | $ | 55,775,641 | ||||||||||
Reinvestment of distributions | 99,880 | 999,258 | 12,024 | 120,359 | ||||||||||||
Shares reacquired | (4,565,622 | ) | (45,687,650 | ) | (578,795 | ) | (5,793,733 | ) | ||||||||
Increase | 7,204,582 | $ | 72,115,911 | 5,005,221 | $ | 50,102,267 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 28,060,701 | $ | 280,687,720 | 12,933,253 | $ | 129,460,914 | ||||||||||
Reinvestment of distributions | 170,107 | 1,701,392 | 39,756 | 397,939 | ||||||||||||
Shares reacquired | (6,690,604 | ) | (66,931,342 | ) | (1,927,335 | ) | (19,289,606 | ) | ||||||||
Increase | 21,540,204 | $ | 215,457,770 | 11,045,674 | $ | 110,569,247 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | – | $ | – | 3,796 | $ | 38,000 | ||||||||||
Reinvestment of distributions | 277 | 2,775 | 348 | 3,480 | ||||||||||||
Shares reacquired | (999 | ) | (10,000 | ) | – | – | ||||||||||
Increase (decrease) | (722 | ) | $ | (7,225 | ) | 4,144 | $ | 41,480 | ||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 493,135 | $ | 4,934,386 | 5,922 | $ | 59,249 | ||||||||||
Reinvestment of distributions | 1,369 | 13,703 | 395 | 3,947 | ||||||||||||
Shares reacquired | (14,019 | ) | (140,337 | ) | (29 | ) | (286 | ) | ||||||||
Increase | 480,485 | $ | 4,807,752 | 6,288 | $ | 62,910 |
* | Automatic conversion of Class B shares occurred on the 25th day of the month (or, if the 25th day was not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted. Class B shares were closed on April 25, 2018. |
** | Automatic conversion of Class C shares occurs on the 25th day of the month (or, if the 25th day was not a business day, the next business day thereafter) following the tenth anniversary of the day on which the purchase order was accepted. |
(a) | Shares commenced on April 4, 2017. |
(b) | Shares commenced on April 19, 2017. |
(c) | Shares commenced on July 28, 2017. |
492
The Board, including all of the Trustees who are not “interested persons” of the Company or of Lord Abbett, as defined in the Investment Company Act of 1940, as amended (the “Independent Trustees”), annually considers whether to approve the continuation of the existing management agreement between each Fund and Lord Abbett (the “Agreement”). In connection with its most recent approval, the Board reviewed materials relating specifically to the Agreement, as well as numerous materials received throughout the course of the year, including information about each Fund’s investment performance compared to the performance of one or more appropriate benchmarks. Before making its decision as to each Fund, the Board had the opportunity to ask questions and request further information, taking into account its familiarity with Lord Abbett gained through its meetings and discussions. These meetings and discussions included reviews of Fund performance conducted by members of the Contract Committee, the deliberations of the Contract Committee, and discussions between the Contract Committee and Lord Abbett’s management. The Independent Trustees also met with their independent legal counsel in various private sessions at which no representatives of management were present.
The materials received by the Board as to each Fund included, but were not limited to: (1) for each Fund with sufficient performance history, information provided by Morningstar, Inc. (“Morningstar”) regarding the investment performance of the Fund compared to the investment performance of certain funds with similar investment styles as determined by Morningstar, based, in part, on the Fund’s Morningstar category (the “performance peer group”), and the investment performance of one or more appropriate benchmarks; (2) information provided by Morningstar regarding the expense ratios, contractual and actual management fee rates, and other expense components for the Fund and certain funds in the same Morningstar category, with generally the same or similar share classes and operational characteristics, including asset size (the “expense peer group”); (3) certain supplemental investment performance information provided by Lord Abbett; (4) information provided by Lord Abbett on the expense ratios, management fee rates, and other expense components for the Fund; (5) sales and redemption information for the Fund; (6) information regarding Lord Abbett’s financial condition; (7) an analysis of the relative profitability of the Agreement to Lord Abbett; (8) information provided by Lord Abbett regarding the investment management fee schedules for Lord Abbett’s other advisory clients maintaining accounts with a similar investment strategy as the Fund; and (9) information regarding the personnel and other resources devoted by Lord Abbett to managing the Fund.
Investment Management Services Generally. The Board considered the investment management services provided by Lord Abbett to each Fund, including investment research, portfolio management, and trading, and Lord Abbett’s commitment to compliance with all applicable legal requirements. The Board also observed that Lord Abbett was solely engaged in the investment management business and accordingly did not experience the conflicts of interest that may result from being engaged in other lines of business. The Board considered the investment advisory services provided by Lord Abbett to other clients, the fees charged for the services, and the differences in the nature of the services provided to each Fund and other Lord Abbett Funds, on the one hand, and the services provided to other clients, on the other. After reviewing these and related factors, the Board concluded that each Fund was likely to continue to benefit from the nature, extent and quality of the investment services provided by Lord Abbett under the Agreement.
Investment Performance. The Board reviewed each Fund’s investment performance in relation to that of its performance peer group and one or more appropriate benchmarks as of various periods ended August 31, 2017. As to Convertible Fund, the Board observed that the Fund’s investment
493
Approval of Advisory Contract (continued)
performance was above the median of the performance peer group for the one-, three-, and five-year periods, but below the median of the performance peer group for the ten-year period. As to Core Fixed Income Fund, the Board observed that the Fund’s investment performance was above the median of the performance peer group for the ten-year period, ranking in the 19th percentile of the peer group, but below the median of the performance peer group for the one-, three-, and five-year periods. The Board also observed that the Fund outperformed its benchmark for the one-, three-, five-, and ten-year periods. As to Core Plus Bond Fund, the Board observed that the Fund’s investment performance was above the median of the performance group for the one-year period. As to Floating Rate Fund, the Board observed that the Fund’s investment performance was above the median of the performance peer group for the three- and five-year periods, but below the median of the performance peer group for the one-year period. As to each of High Yield Fund and Short Duration Income Fund, the Board observed that the Fund’s investment performance was above the median of the performance peer group for the one-, three-, five-, and ten-year periods. As to Income Fund, the Board observed that the Fund’s investment performance was above the median of the performance peer group for the one-, five-, and ten-year periods, but below the median of the performance peer group for the three-year period. As to Inflation Focused Fund, the Board observed that the Fund’s investment performance was above the median of the performance peer group for the one-year period, but below the median of the performance peer group for the three- and five-year periods. As to Total Return Fund, the Board observed that the Fund’s investment performance was above the median of the performance peer group for the ten-year period, equal to the median of the performance peer group for the five-year period, and below the median of the performance peer group for the one- and three-year periods. As to Ultra Short Bond Fund, the Board observed that the Fund commenced operations on October 12, 2016 and therefore did not yet have investment performance for a full calendar year, and, therefore, it would be prudent to allow the portfolio management team more time to develop its performance record with the Fund. The Board further considered Lord Abbett’s performance and reputation generally, the performance of other Lord Abbett-managed funds overseen by the Board, and the willingness of Lord Abbett to take steps intended to improve performance when necessary. After reviewing these and related factors, the Board concluded that each Fund’s Agreement should be continued.
Lord Abbett’s Personnel and Methods. The Board considered the qualifications of the personnel providing investment management services to each Fund, in light of its investment objective and discipline. Among other things, the Board considered the size, experience, and turnover of Lord Abbett’s investment management staff, Lord Abbett’s investment methodology and philosophy, and Lord Abbett’s approach to recruiting, training, and retaining investment management personnel.
Nature and Quality of Other Services. The Board considered the nature, quality, costs, and extent of compliance, administrative, and other services performed by Lord Abbett and the nature and extent of Lord Abbett’s supervision of third party service providers, including each Fund’s transfer agent and custodian.
Expenses. The Board considered the expense ratios, contractual and actual management fee rates, and other expense components represented in the net total expense ratio for each Fund and the expense levels of the Fund’s expense peer group. It also considered how the expense level of each Fund related to those of the expense peer group and the amount and nature of the fees paid by shareholders. As to each Fund, the Board observed that the net total expense ratio of the Fund was below the median of the expense peer group. After reviewing these and related factors, the Board
494
Approval of Advisory Contract (continued)
concluded, within the context of its overall approval of the Agreement, that the expense level of each Fund was reasonable and supported the continuation of the Agreement on behalf of each Fund.
Profitability. As to each Fund, the Board considered the level of Lord Abbett’s operating margin in managing the Fund, including a review of Lord Abbett’s methodology for allocating its costs to its management of the Fund. It considered whether each Fund was profitable to Lord Abbett in connection with the Fund’s operation, including the fee that Lord Abbett receives from the Fund for providing administrative services to the Fund. The Board also considered the profits realized from other business segments of Lord Abbett, which may benefit from or be related to each Fund’s business. The Board considered Lord Abbett’s profit margins excluding Lord Abbett’s marketing and distribution expenses. The Board also considered Lord Abbett’s profit margins, without those exclusions, in comparison with available industry data and how those profit margins could affect Lord Abbett’s ability to recruit and retain investment personnel. The Board recognized that Lord Abbett’s overall profitability was a factor in enabling it to attract and retain qualified investment management personnel to provide services to each Fund. After reviewing these and related factors, the Board concluded, within the context of its overall approval of the Agreement, that Lord Abbett’s profitability with respect to each Fund was not excessive.
Economies of Scale. As to each Fund, the Board considered the extent to which there had been economies of scale in managing the Fund, whether the Fund’s shareholders had appropriately benefited from such economies of scale, and whether there was potential for realization of any further economies of scale. With respect to each of Convertible Fund, High Yield Fund, and Short Duration Income Fund, the Board concluded that the breakpoints in the existing management fee schedule adequately addressed any economies of scale in managing the Fund. With respect to each of Core Fixed Income Fund, Income Fund, Inflation Focused Fund, and Total Return Fund, the Board concluded that the breakpoints in the proposed management fee schedule adequately addressed any economies of scale in managing the Fund. With respect to Core Plus Bond Fund, the Board concluded that the breakpoints in the proposed management fee schedule, in conjunction with the Fund’s proposed expense limitation agreement, adequately addressed any economies of scale in managing the Fund. With respect to Floating Rate Fund, the Board concluded that the breakpoint in the existing management fee schedule adequately addressed any economies of scale. With respect to Ultra Short Bond Fund, the Board concluded that the existing management fee schedule, in conjunction with the Fund’s proposed expense limitation agreement, adequately addressed any economies of scale in managing the Fund.
Other Benefits to Lord Abbett. As to each Fund, the Board considered the amount and nature of the fees paid by the Fund and the Fund’s shareholders to Lord Abbett and the Distributor for services other than investment advisory services. The Board also considered the revenues and profitability of Lord Abbett’s investment advisory business apart from its mutual fund business, and the intangible benefits enjoyed by Lord Abbett by virtue of its relationship with each Fund. The Board observed that the Distributor receives 12b-1 fees from certain of the Lord Abbett Funds as to shares held in accounts for which there is no other broker of record, may retain a portion of the 12b-1 fees it receives, and receives a portion of the sales charges on sales and redemptions of some classes of shares of the Lord Abbett Funds. In addition, the Board observed that Lord Abbett accrues certain benefits for its business of providing investment advice to clients other than the Lord Abbett Funds, but that business also benefits the Funds. The Board also noted that Lord Abbett, as disclosed in the prospectus of each Fund, has entered into revenue sharing arrangements with certain entities that distribute shares of each Fund. The Board also took into consideration the investment research that Lord Abbett receives as a result of each Fund’s brokerage transactions.
495
Approval of Advisory Contract (concluded)
Alternative Arrangements. As to each Fund, the Board considered whether, instead of approving continuation of the Agreement, it might be in the best interests of the Fund to implement one or more alternative arrangements, such as continuing to employ Lord Abbett, but on different terms. After considering all of the relevant factors, the Board unanimously found that continuation of the Agreement was in the best interests of each Fund and its shareholders and voted unanimously to approve the continuation of the Agreement on behalf of each Fund. As to each Fund, in considering whether to approve the continuation of the Agreement, the Board did not identify any single factor as paramount or controlling. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. This summary does not discuss in detail all matters considered.
496
Householding
The Trust has adopted a policy that allows it to send only one copy of each Fund’s prospectus, proxy material, annual report and semiannual report to certain shareholders residing at the same “household.” This reduces Fund expenses, which benefits you and other shareholders. If you need additional copies or do not want your mailings to be “householded,” please call Lord Abbett at 888-522-2388 or send a written request with your name, the name of your fund or funds and your account number or numbers to Lord Abbett Family of Funds, P.O. Box 219336, Kansas City, MO 64121.
Proxy Voting Policies, Procedures and Records
A description of the policies and procedures that Lord Abbett uses to vote proxies related to each Fund’s portfolio securities, and information on how Lord Abbett voted each Fund’s proxies during the 12-month period ended June 30 are available without charge, upon request, (i) by calling 888-522-2388; (ii) on Lord Abbett’s Website at www.lordabbett.com; and (iii) on the Securities and Exchange Commission’s (“SEC”) Website at www.sec.gov.
Shareholder Reports and Quarterly Portfolio Disclosure
The Funds are required to file their complete schedule of portfolio holdings with the SEC for their first and third fiscal quarters on Form N-Q. Copies of the filings are available without charge, upon request on the SEC’s Website at www.sec.gov and may be available by calling Lord Abbett at 888-522-2388. You can also obtain copies of Form N-Q by visiting the SEC’s Public Reference Room in Washington, DC (information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330).
497
This report, when not used for the general information of shareholders of the Fund, is to be distributed only if preceded or accompanied by a current fund prospectus.
Lord Abbett mutual fund shares are distributed by | Lord Abbett Investment Trust
Lord Abbett Convertible Fund Lord Abbett Core Fixed Income Fund Lord Abbett Core Plus Bond Fund Lord Abbett Corporate Bond Fund Lord Abbett Floating Rate Fund Lord Abbett High Yield Fund Lord Abbett Income Fund Lord Abbett Inflation Focused Fund Lord Abbett Short Duration Core Bond Fund Lord Abbett Short Duration Income Fund Lord Abbett Total Return Fund Lord Abbett Ultra Short Bond Fund | LAIT-3 (07/18) |
LORD ABBETT
SEMIANNUAL REPORT
Lord Abbett
Multi-Asset Balanced Opportunity Fund
Multi-Asset Focused Growth Fund
Multi-Asset Growth Fund
Multi-Asset Income Fund
For the six-month period ended May 31, 2018
Table of Contents
Lord Abbett Multi-Asset Balanced Opportunity Fund,
Lord Abbett Multi-Asset Focused Growth Fund,
Lord Abbett Multi-Asset Growth Fund,
and Lord Abbett Multi-Asset Income Fund
Semiannual Report
For the six-month period ended May 31, 2018
From left to right: James L.L. Tullis, Independent Chairman of the Lord Abbett Funds and Douglas B. Sieg, Trustee, President, and Chief Executive Officer of the Lord Abbett Funds. | Dear Shareholders: We are pleased to provide you with this semiannual report for the Funds for the six-month period ended May 31, 2018. For additional information about the Funds, please visit our website at www.lordabbett.com, where you can access the quarterly commentaries by the Funds’ portfolio managers. General information about Lord Abbett mutual funds, as well as in-depth discussions of market trends and investment strategies, is also provided in Lord Abbett Insights, a quarterly newsletter available on our website. Thank you for investing in Lord Abbett mutual funds. We value the trust that you place in us and look forward to serving your investment needs in the years to come.
Best regards,
Douglas B. Sieg Trustee, President and Chief Executive Officer
| |
1
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (these charges vary among the share classes); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (these charges vary among the share classes); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in each Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2017 through May 31, 2018).
Actual Expenses
For each class of each Fund, the first line of the applicable table on the following pages provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period 12/1/17 – 5/31/18” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
For each class of each Fund, the second line of the applicable table on the following pages provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
2
Multi-Asset Balanced Opportunity Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value | Expenses Paid During Period†# | |||||
12/1/17 | 5/31/18 | 12/1/17 - 5/31/18 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,002.60 | $2.55 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.39 | $2.57 | ||||
Class C | |||||||
Actual | $1,000.00 | $ 998.70 | $6.28 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.65 | $6.34 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,004.20 | $1.80 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.14 | $1.82 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $1,004.70 | $1.15 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.80 | $1.16 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,003.80 | $1.30 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.64 | $1.31 | ||||
Class P | |||||||
Actual | $1,000.00 | $1,001.60 | $3.54 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.39 | $3.58 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,001.50 | $4.29 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.64 | $4.33 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,002.20 | $3.79 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.14 | $3.83 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,002.70 | $2.55 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.39 | $2.57 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,003.80 | $1.30 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.64 | $1.31 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $1,003.90 | $0.90 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,024.03 | $0.91 | ||||
Class T | |||||||
Actual | $1,000.00 | $1,003.50 | $2.10 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.84 | $2.12 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.51% for Class A, 1.26% for Class C, 0.36% for Class F, 0.23% for Class F3, 0.26% for Class I, 0.71% for Class P, 0.86% for Class R2, 0.76% for Class R3, 0.51% for Class R4, 0.26% for Class R5, 0.18% for Class R6 and 0.42% for Class T) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
# | Does not include expenses of the Underlying Funds in which Multi-Asset Balanced Opportunity Fund invests. |
3
Portfolio Holdings Presented by Portfolio Allocation
May 31, 2018
Underlying Fund Name | %* | |
Lord Abbett Equity Trust-Calibrated Large Cap Value Fund-Class I | 13.36 | % |
Lord Abbett Equity Trust-Calibrated Mid Cap Value Fund-Class I | 9.69 | % |
Lord Abbett Investment Trust-Convertible Fund-Class I | 10.09 | % |
Lord Abbett Global Fund, Inc.-Emerging Markets Currency Fund-Class I | 4.71 | % |
Lord Abbett Securities Trust-Growth Leaders Fund-Class I | 13.75 | % |
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I | 8.18 | % |
Lord Abbett Investment Trust-High Yield Fund-Class I | 15.04 | % |
Lord Abbett Investment Trust-Inflation Focused Fund-Class I | 3.50 | % |
Lord Abbett Securities Trust-International Dividend Income Fund-Class I | 5.86 | % |
Lord Abbett Securities Trust-International Equity Fund-Class I | 5.88 | % |
Lord Abbett Mid Cap Stock Fund, Inc.-Class I | 4.23 | % |
Lord Abbett Investment Trust-Short Duration Income Fund-Class I | 5.71 | % |
Total | 100.00 | % |
* | Represents percent of total investments. |
4
Multi-Asset Focused Growth Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value | Expenses Paid During Period†# | |||||
12/1/17 | 5/31/18 | 12/1/17 - 5/31/18 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,016.80 | $3.37 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.59 | $3.38 | ||||
Class C | |||||||
Actual | $1,000.00 | $1,012.30 | $7.12 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,017.85 | $7.14 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,017.40 | $2.62 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.34 | $2.62 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $1,018.00 | $1.61 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.30 | $1.61 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,017.70 | $2.11 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.84 | $2.12 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,014.60 | $5.02 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.95 | $5.04 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,014.90 | $4.62 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.34 | $4.63 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,016.40 | $3.42 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.54 | $3.43 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,017.70 | $1.91 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.04 | $1.92 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $1,018.00 | $1.56 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.39 | $1.56 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.67% for Class A, 1.42% for Class C, 0.52% for Class F, 0.32% for Class F3, 0.42% for Class I, 1.00% for Class R2, 0.92% for Class R3, 0.68% for Class R4, 0.38% for Class R5 and 0.31% for Class R6) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
# | Does not include expenses of the Underlying Funds in which Multi-Asset Focused Growth Fund invests. |
5
Portfolio Holdings Presented by Portfolio Allocation
May 31, 2018
Underlying Fund Name | %* | |
Lord Abbett Equity Trust-Calibrated Mid Cap Value Fund-Class I | 16.42 | % |
Lord Abbett Investment Trust-Convertible Fund-Class I | 2.02 | % |
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I | 12.90 | % |
Lord Abbett Securities Trust-Growth Leaders Fund-Class I | 28.58 | % |
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I | 6.58 | % |
Lord Abbett Investment Trust-High Yield Fund-Class I | 1.97 | % |
Lord Abbett Securities Trust-International Dividend Income Fund-Class I | 10.70 | % |
Lord Abbett Securities Trust-International Equity Fund-Class I | 10.66 | % |
Lord Abbett Mid Cap Stock Fund, Inc.-Class I | 7.47 | % |
Lord Abbett Investment Trust-Short Duration Income Fund-Class I | 2.70 | % |
Total | 100.00 | % |
* | Represents percent of total investments. |
6
Multi-Asset Growth Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value | Expenses Paid During Period†# | |||||
12/1/17 | 5/31/18 | 12/1/17 - 5/31/18 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,000.70 | $2.69 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.24 | $2.72 | ||||
Class C | |||||||
Actual | $1,000.00 | $ 996.90 | $6.42 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.50 | $6.49 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,001.40 | $1.95 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.99 | $1.97 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $1,002.10 | $1.10 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.80 | $1.11 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,001.40 | $1.45 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.49 | $1.46 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $ 999.00 | $4.34 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.59 | $4.38 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $ 999.50 | $3.89 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.04 | $3.93 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,000.40 | $2.64 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.29 | $2.67 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,001.90 | $1.25 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.68 | $1.26 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $1,002.10 | $0.95 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.98 | $0.96 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.54% for Class A, 1.29% for Class C, 0.39% for Class F, 0.22% for Class F3, 0.29% for Class I, 0.87% for Class R2, 0.78% for Class R3, 0.53% for Class R4, 0.25% for Class R5 and 0.19% for Class R6) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
# | Does not include expenses of the Underlying Funds in which Multi-Asset Growth Fund invests. |
7
Portfolio Holdings Presented by Portfolio Allocation
May 31, 2018
Underlying Fund Name | %* | |
Lord Abbett Affiliated Fund, Inc.-Class I | 4.98 | % |
Lord Abbett Equity Trust-Calibrated Large Cap Value Fund-Class I | 9.92 | % |
Lord Abbett Equity Trust-Calibrated Mid Cap Value Fund-Class I | 11.44 | % |
Lord Abbett Investment Trust-Convertible Fund-Class I | 5.03 | % |
Lord Abbett Securities Trust-Growth Leaders Fund-Class I | 13.49 | % |
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I | 11.70 | % |
Lord Abbett Investment Trust-High Yield Fund-Class I | 17.95 | % |
Lord Abbett Securities Trust-International Dividend Income Fund-Class I | 8.32 | % |
Lord Abbett Securities Trust-International Equity Fund-Class I | 8.29 | % |
Lord Abbett Mid Cap Stock Fund, Inc.-Class I | 6.97 | % |
Lord Abbett Investment Trust-Short Duration Income Fund-Class I | 1.87 | % |
Repurchase Agreement | 0.04 | % |
Total | 100.00 | % |
* | Represents percent of total investments. |
8
Multi-Asset Income Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value | Expenses Paid During Period†# | |||||
12/1/17 | 5/31/18 | 12/1/17 - 5/31/18 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,009.50 | $2.50 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.44 | $2.52 | ||||
Class C | |||||||
Actual | $1,000.00 | $1,005.50 | $6.25 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.70 | $6.29 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,009.50 | $1.75 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.19 | $1.77 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $1,010.80 | $0.90 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,024.00 | $0.91 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,010.70 | $1.25 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.68 | $1.26 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,008.10 | $4.21 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.74 | $4.23 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,008.20 | $3.70 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.24 | $3.73 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,008.90 | $2.45 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.49 | $2.47 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,010.10 | $1.15 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.78 | $1.16 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $1,010.80 | $0.90 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,024.03 | $0.91 | ||||
Class T | |||||||
Actual | $1,000.00 | $1,009.50 | $2.05 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.89 | $2.07 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.50% for Class A, 1.25% for Class C, 0.35% for Class F, 0.18% for Class F3, 0.25% for Class I, 0.84% for Class R2, 0.74% for Class R3, 0.49% for Class R4, 0.23% for Class R5, 0.18% for Class R6 and 0.41% for Class T) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
# | Does not include expenses of the Underlying Funds in which Multi-Asset Income Fund invests. |
9
Portfolio Holdings Presented by Portfolio Allocation
May 31, 2018
Underlying Fund Name | %* | |
Lord Abbett Equity Trust-Calibrated Mid Cap Value Fund-Class I | 8.64% | |
Lord Abbett Investment Trust-Convertible Fund-Class I | 15.08% | |
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I | 1.01% | |
Lord Abbett Global Fund, Inc.-Emerging Markets Currency Fund-Class I | 3.74% | |
Lord Abbett Securities Trust-Growth Leaders Fund-Class I | 13.06% | |
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I | 2.64% | |
Lord Abbett Investment Trust-High Yield Fund-Class I | 15.02% | |
Lord Abbett Investment Trust-Inflation Focused Fund-Class I | 4.03% | |
Lord Abbett Securities Trust-International Dividend Income Fund-Class I | 5.84% | |
Lord Abbett Securities Trust-International Equity Fund-Class I | 5.87% | |
Lord Abbett Mid Cap Stock Fund, Inc.-Class I | 6.16% | |
Lord Abbett Investment Trust-Short Duration Income Fund-Class I | 18.91% | |
Total | 100.00% |
* | Represents percent of total investments. |
10
Schedule of Investments (unaudited)
MULTI-ASSET BALANCED OPPORTUNITY FUND May 31, 2018
Fair | |||||||
Value | |||||||
Investments | Shares | (000) | |||||
INVESTMENTS IN UNDERLYING FUNDS(a) 99.73% | |||||||
Lord Abbett Equity Trust-Calibrated Large Cap Value Fund-Class I(b) | 11,223,600 | $ | 228,288 | ||||
Lord Abbett Equity Trust-Calibrated Mid Cap Value Fund-Class I(b) | 7,674,940 | 165,548 | |||||
Lord Abbett Investment Trust-Convertible Fund-Class I(c) | 12,551,008 | 172,325 | |||||
Lord Abbett Global Fund, Inc.-Emerging Markets Currency Fund-Class I(d) | 15,714,131 | 80,456 | |||||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I*(e) | 7,423,271 | 234,872 | |||||
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I*(f) | 5,794,309 | 139,759 | |||||
Lord Abbett Investment Trust-High Yield Fund-Class I(g) | 34,457,030 | 257,049 | |||||
Lord Abbett Investment Trust-Inflation Focused Fund-Class I(h) | 5,045,105 | 59,785 | |||||
Lord Abbett Securities Trust-International Dividend Income Fund-Class I(i) | 13,151,326 | 100,082 | |||||
Lord Abbett Securities Trust-International Equity Fund-Class I(j) | 7,183,698 | 100,428 | |||||
Lord Abbett Mid Cap Stock Fund, Inc.-Class I(k) | 2,435,028 | 72,199 | |||||
Lord Abbett Investment Trust-Short Duration Income Fund-Class I(l) | 23,300,606 | 97,630 | |||||
Total Investments in Underlying Funds 99.73% (cost $1,658,180,819) | 1,708,421 | ||||||
Total Assets in Excess of Liabilities(m) 0.27% | 4,666 | ||||||
Net Assets 100.00% | $ | 1,713,087 |
* | Non-income producing security. | |
(a) | Affiliated issuers (See Note 11). | |
(b) | Fund investment objective is total return. | |
(c) | Fund investment objective is to seek current income and the opportunity for capital appreciation to produce a high total return. | |
(d) | Fund investment objective is to seek high total return. | |
(e) | Fund investment objective is to seek capital appreciation. | |
(f) | Fund investment objective is capital appreciation. | |
(g) | Fund investment objective is to seek a high current income and the opportunity for capital appreciation to produce a high total return. | |
(h) | Fund investment objective is to provide investment returns that exceed the rate of inflation in the U.S. economy over a full economic cycle and to seek current income. | |
(i) | Fund investment objective is to seek a high level of total return. | |
(j) | Fund investment objective is to seek long-term capital appreciation. | |
(k) | Fund investment objective is to seek capital appreciation through investments, primarily in equity securities, which are believed to be undervalued in the marketplace. | |
(l) | Fund investment objective is to seek a high level of income consistent with preservation of capital. | |
(m) | Other Assets in Excess of Liabilities include net unrealized appreciation/depreciation on futures contracts as follows: |
See Notes to Financial Statements. | 11 |
Schedule of Investments (unaudited)(concluded)
MULTI-ASSET BALANCED OPPORTUNITY FUND May 31, 2018
Open Futures Contracts at May 31, 2018:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||||
E-Mini MSCI EAFE INDEX | June 2018 | 686 | Short | $ | (68,813,435 | ) | $ | (68,154,100 | ) | $ | 659,335 | |||||||||
E-Mini Russell 2000 | June 2018 | 425 | Long | 34,438,844 | 34,726,750 | 287,906 | ||||||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 947,241 | ||||||||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||||
E-Mini NASDAQ 100 | June 2018 | 331 | Short | $ | (43,605,039 | ) | $ | (46,187,740 | ) | $ | (2,582,701 | ) | ||||||||
E-Mini S&P 500 Index | June 2018 | 127 | Short | (16,670,389 | ) | (17,179,925 | ) | (509,536 | ) | |||||||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (3,092,237 | ) |
The following is a summary of the inputs used as of May 31, 2018 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2)(3) | Level 1 (000) | Level 2 (000) | Level 3 (000) | Total (000) | ||||||||||||
Investments in Underlying Funds | $ | 1,708,421 | $ | – | $ | – | $ | 1,708,421 | ||||||||
Total | $ | 1,708,421 | $ | – | $ | – | $ | 1,708,421 | ||||||||
Other Financial Instruments | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Assets | $ | 947 | $ | – | $ | – | $ | 947 | ||||||||
Liabilities | (3,092 | ) | – | – | (3,092 | ) | ||||||||||
Total | $ | (2,145 | ) | $ | – | $ | – | $ | (2,145 | ) |
(1) | Refer to Note 2(k) for a description of fair value measurements and the three-tier hierarchy of inputs. | |
(2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. | |
(3) | There were no Level 1/Level 2 transfers during the period ended May 31, 2018. |
12 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)
MULTI-ASSET FOCUSED GROWTH FUND May 31, 2018
Investments | Shares | Fair Value (000) | |||||
INVESTMENTS IN UNDERLYING FUNDS(a) 99.59% | |||||||
Lord Abbett Equity Trust-Calibrated Mid Cap Value Fund-Class I(b) | 1,671,126 | $ | 36,046 | ||||
Lord Abbett Investment Trust-Convertible Fund-Class I(c) | 323,378 | 4,440 | |||||
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I(d) | 2,229,124 | 28,310 | |||||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I*(e) | 1,982,102 | 62,714 | |||||
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I*(f) | 598,608 | 14,438 | |||||
Lord Abbett Investment Trust-High Yield Fund-Class I(g) | 580,767 | 4,332 | |||||
Lord Abbett Securities Trust-International Dividend Income Fund-Class I(h) | 3,084,378 | 23,472 | |||||
Lord Abbett Securities Trust-International Equity Fund-Class I(i) | 1,672,667 | 23,384 | |||||
Lord Abbett Mid Cap Stock Fund, Inc.-Class I(j) | 552,868 | 16,393 | |||||
Lord Abbett Investment Trust-Short Duration Income Fund-Class I(k) | 1,415,965 | 5,933 | |||||
Total Investments in Underlying Funds 99.59% (cost $210,239,416) | 219,462 | ||||||
Other Assets in Excess of Liabilities(l) 0.41% | 908 | ||||||
Net Assets 100.00% | $ | 220,370 |
* | Non-income producing security. | |
(a) | Affiliated issuers (See Note 11). | |
(b) | Fund investment objective is total return. | |
(c) | Fund investment objective is to seek current income and the opportunity for capital appreciation to produce a high total return. | |
(d) | Fund investment objective is long-term growth of capital and income without excessive fluctuations in market value. | |
(e) | Fund investment objective is to seek capital appreciation. | |
(f) | Fund investment objective is capital appreciation. | |
(g) | Fund investment objective is to seek a high current income and the opportunity for capital appreciation to produce a high total return. | |
(h) | Fund investment objective is to seek a high level of total return. | |
(i) | Fund investment objective is to seek long-term capital appreciation. | |
(j) | Fund investment objective is to seek capital appreciation through investments, primarily in equity securities, which are believed to be undervalued in the marketplace. | |
(k) | Fund investment objective is to seek a high level of income consistent with preservation of capital. | |
(l) | Other Assets in Excess of Liabilities include net unrealized appreciation/depreciation on futures contracts as follows: |
Open Futures Contracts at May 31, 2018:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||||
E-Mini MSCI EAFE INDEX | June 2018 | 110 | Short | $ | (11,062,842 | ) | $ | (10,928,500 | ) | $ | 134,342 | |||||||||
E-Mini Russell 2000 | June 2018 | 55 | Long | 4,456,791 | 4,494,050 | 37,259 | ||||||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 171,601 | ||||||||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||||
E-Mini S&P 500 Index | June 2018 | 33 | Long | $ | 4,507,307 | $ | 4,464,075 | $(43,232 | ) |
See Notes to Financial Statements. | 13 |
Schedule of Investments (unaudited)(concluded)
MULTI-ASSET FOCUSED GROWTH FUND May 31, 2018
The following is a summary of the inputs used as of May 31, 2018 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2)(3) | Level 1 (000) | Level 2 (000) | Level 3 (000) | Total (000) | ||||||||||||
Investments in Underlying Funds | $ | 219,462 | $ | – | $ | – | $ | 219,462 | ||||||||
Total | $ | 219,462 | $ | – | $ | – | $ | 219,462 | ||||||||
Other Financial Instruments | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Assets | $ | 172 | $ | – | $ | – | $ | 172 | ||||||||
Liabilities | (43 | ) | – | – | (43 | ) | ||||||||||
Total | $ | 129 | $ | – | $ | – | $ | 129 |
(1) | Refer to Note 2(k) for a description of fair value measurements and the three-tier hierarchy of inputs. | |
(2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. | |
(3) | There were no Level 1/Level 2 transfers during the period ended May 31, 2018. |
14 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)
MULTI-ASSET GROWTH FUND May 31, 2018
Investments | Shares | Fair Value (000) | |||||
INVESTMENTS IN UNDERLYING FUNDS(a) 99.72% | |||||||
Lord Abbett Affiliated Fund, Inc.-Class I(b) | 3,013,035 | $ | 46,792 | ||||
Lord Abbett Equity Trust-Calibrated Large Cap Value Fund-Class I(c) | 4,581,438 | 93,187 | |||||
Lord Abbett Equity Trust-Calibrated Mid Cap Value Fund-Class I(c) | 4,978,984 | 107,397 | |||||
Lord Abbett Investment Trust-Convertible Fund-Class I(d) | 3,443,324 | 47,277 | |||||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I*(e) | 4,002,803 | 126,649 | |||||
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I*(f) | 4,556,787 | 109,910 | |||||
Lord Abbett Investment Trust-High Yield Fund-Class I(g) | 22,590,002 | 168,521 | |||||
Lord Abbett Securities Trust-International Dividend Income Fund-Class I(h) | 10,263,394 | 78,104 | |||||
Lord Abbett Securities Trust-International Equity Fund-Class I(i) | 5,571,760 | 77,893 | |||||
Lord Abbett Mid Cap Stock Fund, Inc.-Class I(j) | 2,205,876 | 65,404 | |||||
Lord Abbett Investment Trust-Short Duration Income Fund-Class I(k) | 4,200,258 | 17,599 | |||||
Total Investments in Underlying Funds (cost $905,737,803) | 938,733 | ||||||
Principal Amount (000) | |||||||
SHORT-TERM INVESTMENT 0.03% | |||||||
Repurchase Agreement | |||||||
Repurchase Agreement dated 5/31/2018, 0.90% due 6/1/2018 with Fixed Income Clearing Corp. collateralized by $360,000 of U.S. Treasury Note at 1.875% due 2/28/2022; value: $352,172; proceeds: $343,583 (cost $343,574) | $344 | 344 | |||||
Total Investments in Securities 99.75% (cost $906,081,377) | 939,077 | ||||||
Other Assets in Excess of Liabilities(l) 0.25% | 2,318 | ||||||
Net Assets 100.00% | $ | 941,395 |
* | Non-income producing security. | |
(a) | Affiliated issuers (See Note 11). | |
(b) | Fund investment objective is long-term growth of capital and income without excessive fluctuations in market value. | |
(c) | Fund investment objective is total return. | |
(d) | Fund investment objective is to seek current income and the opportunity for capital appreciation to produce a high total return. | |
(e) | Fund investment objective is to seek capital appreciation. | |
(f) | Fund investment objective is capital appreciation. | |
(g) | Fund investment objective is to seek a high current income and the opportunity for capital appreciation to produce a high total return. | |
(h) | Fund investment objective is to seek a high level of total return. | |
(i) | Fund investment objective is to seek long-term capital appreciation. | |
(j) | Fund investment objective is to seek capital appreciation through investments, primarily in equity securities, which are believed to be undervalued in the marketplace. | |
(k) | Fund investment objective is to seek a high level of income consistent with preservation of capital. | |
(l) | Other Assets in Excess of Liabilities include net unrealized appreciation/depreciation on futures contracts as follows: |
See Notes to Financial Statements. | 15 |
Schedule of Investments (unaudited)(concluded)
MULTI-ASSET GROWTH FUND May 31, 2018
Open Futures Contracts at May 31, 2018:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||||
E-Mini MSCI EAFE INDEX | June 2018 | 377 | Short | $ | (37,818,290 | ) | $ | (37,454,950 | ) | $ | 363,340 | |||||||||
E-Mini Russell 2000 | June 2018 | 234 | Long | 18,961,623 | 19,120,140 | 158,517 | ||||||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 521,857 | ||||||||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||||
E-Mini NASDAQ 100 | June 2018 | 182 | Short | $ | (23,978,584 | ) | $ | (25,396,280 | ) | $ | (1,417,696 | ) |
The following is a summary of the inputs used as of May 31, 2018 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2)(3) | Level 1 (000) | Level 2 (000) | Level 3 (000) | Total (000) | ||||||||||||
Investments in Underlying Funds | $ | 938,733 | $ | – | $ | – | $ | 938,733 | ||||||||
Repurchase Agreement | – | 344 | – | 344 | ||||||||||||
Total | $ | 938,733 | $ | 344 | $ | – | $ | 939,077 | ||||||||
Other Financial Instruments | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Assets | $ | 522 | $ | – | $ | – | $ | 522 | ||||||||
Liabilities | (1,418 | ) | – | – | (1,418 | ) | ||||||||||
Total | $ | (896 | ) | $ | – | $ | – | $ | (896 | ) |
(1) | Refer to Note 2(k) for a description of fair value measurements and the three-tier hierarchy of inputs. | |
(2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. | |
(3) | There were no Level 1/Level 2 transfers during the period ended May 31, 2018. |
16 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)
MULTI-ASSET INCOME FUND May 31, 2018
Investments | Shares | Fair Value (000) | |||||
INVESTMENTS IN UNDERLYING FUNDS(a) 99.72% | |||||||
Lord Abbett Equity Trust-Calibrated Mid Cap Value Fund-Class I(b) | 6,340,216 | $ | 136,758 | ||||
Lord Abbett Investment Trust-Convertible Fund-Class I(c) | 17,382,619 | 238,663 | |||||
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I(d) | 1,517,374 | 16,054 | |||||
Lord Abbett Global Fund, Inc.-Emerging Markets Currency Fund-Class I(e) | 11,571,788 | 59,248 | |||||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I*(f) | 6,530,765 | 206,633 | |||||
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I*(g) | 1,730,590 | 41,742 | |||||
Lord Abbett Investment Trust-High Yield Fund-Class I(h) | 31,855,449 | 237,642 | |||||
Lord Abbett Investment Trust-Inflation Focused Fund-Class I(i) | 5,383,358 | 63,793 | |||||
Lord Abbett Securities Trust-International Dividend Income Fund-Class I(j) | 12,140,641 | 92,390 | |||||
Lord Abbett Securities Trust-International Equity Fund-Class I(k) | 6,641,576 | 92,849 | |||||
Lord Abbett Mid Cap Stock Fund, Inc.-Class I(l) | 3,285,858 | 97,426 | |||||
Lord Abbett Investment Trust-Short Duration Income Fund-Class I(m) | 71,400,465 | 299,168 | |||||
Total Investments in Underlying Funds 99.72% (cost $1,542,339,051) | 1,582,366 | ||||||
Other Assets in Excess of Liabilities(n) 0.28% | 4,469 | ||||||
Net Assets 100.00% | $ | 1,586,835 |
* | Non-income producing security. | |
(a) | Affiliated issuers (See Note 11). | |
(b) | Fund investment objective is total return. | |
(c) | Fund investment objective is to seek high current income and the opportunity for capital appreciation to produce a high total return. | |
(d) | Fund investment objective is to seek income and capital appreciation to produce a high total return. | |
(e) | Fund investment objective is to seek high total return. | |
(f) | Fund investment objective is to seek capital appreciation. | |
(g) | Fund investment objective is capital appreciation. | |
(h) | Fund investment objective is to seek current income and the opportunity for capital appreciation to produce a high total return. | |
(i) | Fund investment objective is to provide investment returns that exceed the rate of inflation in the U.S. economy over a full economic cycle and to seek current income. | |
(j) | Fund investment objective is to seek a high level of total return. | |
(k) | Fund investment objective is to seek long-term capital appreciation. | |
(l) | Fund investment objective is to seek capital appreciation through investments, primarily in equity securities, which are believed to be undervalued in the marketplace. | |
(m) | Fund investment objective is to seek a high level of income consistent with preservation of capital. | |
(n) | Other Assets in Excess of Liabilities include net unrealized appreciation/depreciation on futures contracts as follows: |
See Notes to Financial Statements. | 17 |
Schedule of Investments (unaudited)(concluded)
MULTI-ASSET INCOME FUND May 31, 2018
Open Futures Contracts at May 31, 2018:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||||
E-Mini MSCI EAFE INDEX | June 2018 | 634 | Short | $ | (63,595,737 | ) | $ | (62,987,900 | ) | $ | 607,837 | |||||||||
E-Mini Russell 2000 | June 2018 | 393 | Long | 31,845,802 | 32,112,030 | 266,228 | ||||||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 874,065 | ||||||||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||||
E-Mini NASDAQ 100 | June 2018 | 306 | Short | $ | (40,308,709 | ) | $ | (42,699,240 | ) | $ | (2,390,531 | ) | ||||||||
E-Mini S&P 500 Index | June 2018 | 293 | Short | (38,460,030 | ) | (39,635,575 | ) | (1,175,545 | ) | |||||||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (3,566,076 | ) |
The following is a summary of the inputs used as of May 31, 2018 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2)(3) | Level 1 (000) | Level 2 (000) | Level 3 (000) | Total (000) | ||||||||||||
Investments in Underlying Funds | $ | 1,582,366 | $ | – | $ | – | $ | 1,582,366 | ||||||||
Total | $ | 1,582,366 | $ | – | $ | – | $ | 1,582,366 | ||||||||
Other Financial Instruments | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Assets | $ | 874 | $ | – | $ | – | $ | 874 | ||||||||
Liabilities | (3,566 | ) | – | – | (3,566 | ) | ||||||||||
Total | $ | (2,692 | ) | $ | – | $ | – | $ | (2,692 | ) |
(1) | Refer to Note 2(k) for a description of fair value measurements and the three-tier hierarchy of inputs. | |
(2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. | |
(3) | There were no Level 1/Level 2 transfers during the period ended May 31, 2018. |
18 | See Notes to Financial Statements. |
This page is intentionally left blank.
19
Statements of Assets and Liabilities (unaudited)
May 31, 2018
Multi-Asset Balanced Opportunity Fund | Multi-Asset Focused Growth Fund | |||||||
ASSETS: | ||||||||
Investments in Underlying Funds, at cost | $ | 1,658,180,819 | $ | 210,239,416 | ||||
Investments in Underlying Funds, at value | $ | 1,708,420,916 | $ | 219,462,118 | ||||
Deposits with brokers for futures collateral | 5,003,778 | 853,050 | ||||||
Receivables: | ||||||||
Capital shares sold | 2,361,369 | 106,268 | ||||||
Dividends | 2,152,908 | 40,941 | ||||||
Variation margin for futures contracts | 133,978 | – | ||||||
Investments in Underlying Funds sold | 2,291,607 | 244,243 | ||||||
Prepaid expenses and other assets | 127,629 | 107,186 | ||||||
Total assets | 1,720,492,185 | 220,813,806 | ||||||
LIABILITIES: | ||||||||
Payables: | ||||||||
Capital shares reacquired | 2,483,131 | 166,069 | ||||||
Investments in Underlying Funds purchased | 2,170,071 | 40,941 | ||||||
12b-1 distribution plan | 499,850 | 14,640 | ||||||
Trustees’ fees | 242,755 | 25,821 | ||||||
Management fee | 146,507 | 18,801 | ||||||
To bank | 98,142 | 24,695 | ||||||
Fund administration | 58,603 | 7,520 | ||||||
Variation margin for futures contracts | – | 29,309 | ||||||
Distributions payable | 1,414,435 | – | ||||||
Accrued expenses | 291,791 | 116,268 | ||||||
Total liabilities | 7,405,285 | 444,064 | ||||||
NET ASSETS | $ | 1,713,086,900 | $ | 220,369,742 | ||||
COMPOSITION OF NET ASSETS: | ||||||||
Paid-in capital | $ | 1,670,543,797 | $ | 203,267,750 | ||||
Undistributed (distributions in excess of) net investment income | (413,585 | ) | 969,577 | |||||
Accumulated net realized gain (loss) on investments, futures contracts, swaps and foreign currency related transactions | (5,138,413 | ) | 6,781,344 | |||||
Net unrealized appreciation on investments, futures contracts, and translation of assets and liabilities denominated in foreign currencies | 48,095,101 | 9,351,071 | ||||||
Net Assets | $ | 1,713,086,900 | $ | 220,369,742 |
20 | See Notes to Financial Statements. |
Statements of Assets and Liabilities (unaudited)(continued)
May 31, 2018
Multi-Asset Balanced Opportunity Fund | Multi-Asset Focused Growth Fund | |||||||
Net assets by class: | ||||||||
Class A Shares | $ | 1,330,989,112 | $ | 149,107,386 | ||||
Class C Shares | $ | 257,319,833 | $ | 38,983,071 | ||||
Class F Shares | $ | 53,566,464 | $ | 2,911,090 | ||||
Class F3 Shares | $ | 13,542 | $ | 11,240 | ||||
Class I Shares | $ | 15,387,620 | $ | 16,440,484 | ||||
Class P Shares | $ | 685,567 | – | |||||
Class R2 Shares | $ | 363,321 | $ | 6,219 | ||||
Class R3 Shares | $ | 33,419,898 | $ | 8,193,989 | ||||
Class R4 Shares | $ | 5,395,766 | $ | 1,331,067 | ||||
Class R5 Shares | $ | 104,949 | $ | 12,117 | ||||
Class R6 Shares | $ | 15,830,425 | $ | 3,373,079 | ||||
Class T Shares | $ | 10,403 | – | |||||
Outstanding shares by class (unlimited number of authorized shares of beneficial interest) | ||||||||
Class A Shares | 113,736,069 | 8,561,394 | ||||||
Class C Shares | 22,118,128 | 2,318,383 | ||||||
Class F Shares | 4,579,754 | 167,148 | ||||||
Class F3 Shares | 1,156.72 | 639 | ||||||
Class I Shares | 1,315,045 | 934,479 | ||||||
Class P Shares | 58,851 | – | ||||||
Class R2 Shares | 30,411 | 347 | ||||||
Class R3 Shares | 2,862,391 | 476,686 | ||||||
Class R4 Shares | 461,011 | 76,739 | ||||||
Class R5 Shares | 8,960 | 688.28 | ||||||
Class R6 Shares | 1,352,489 | 191,608 | ||||||
Class T Shares | 888.35 | – | ||||||
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | ||||||||
Class A Shares-Net asset value | $11.70 | $17.42 | ||||||
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%) | $11.97 | $17.82 | ||||||
Class C Shares-Net asset value | $11.63 | $16.81 | ||||||
Class F Shares-Net asset value | $11.70 | $17.42 | ||||||
Class F3 Shares-Net asset value | $11.71 | $17.59 | ||||||
Class I Shares-Net asset value | $11.70 | $17.59 | ||||||
Class P Shares-Net asset value | $11.65 | – | ||||||
Class R2 Shares-Net asset value | $11.95 | $17.92 | ||||||
Class R3 Shares-Net asset value | $11.68 | $17.19 | ||||||
Class R4 Shares-Net asset value | $11.70 | $17.35 | ||||||
Class R5 Shares-Net asset value | $11.71 | $17.60 | ||||||
Class R6 Shares-Net asset value | $11.70 | $17.60 | ||||||
Class T Shares-Net asset value | $11.71 | – | ||||||
Class T Shares-Maximum offering price (Net asset value plus sales charge of 2.50%) | $12.01 | – |
See Notes to Financial Statements. | 21 |
Statements of Assets and Liabilities (unaudited)(continued)
May 31, 2018
Multi-Asset Growth Fund | Multi-Asset Income Fund | |||||||
ASSETS: | ||||||||
Investments in securities, at cost | $ | 343,574 | $ | – | ||||
Investments in Underlying Funds, at cost | $ | 905,737,803 | $ | 1,542,339,051 | ||||
Investments in securities, at value | 343,574 | – | ||||||
Investments in Underlying Funds, at value | 938,733,144 | 1,582,366,005 | ||||||
Deposits with brokers for futures collateral | 2,421,972 | 5,477,687 | ||||||
Receivables: | ||||||||
Capital shares sold | 756,478 | 3,376,994 | ||||||
Interest and dividends | 882,374 | 2,696,632 | ||||||
Variation margin for futures contracts | 5,917 | 290,753 | ||||||
Investments in Underlying Funds sold | 788,167 | 2,026,264 | ||||||
Prepaid expenses and other assets | 110,871 | 139,509 | ||||||
Total assets | 944,042,497 | 1,596,373,844 | ||||||
LIABILITIES: | ||||||||
Payables: | ||||||||
Capital shares reacquired | 1,064,842 | 3,175,325 | ||||||
Investments in Underlying Funds purchased | 882,365 | 2,701,840 | ||||||
12b-1 distribution plan | 259,737 | 599,903 | ||||||
To bank | 7 | 432,229 | ||||||
Trustees’ fees | 109,663 | 159,755 | ||||||
Management fee | 80,552 | 135,411 | ||||||
Fund administration | 32,221 | 54,164 | ||||||
Distributions payable | – | 2,041,107 | ||||||
Accrued expenses | 217,840 | 239,276 | ||||||
Total liabilities | 2,647,227 | 9,539,010 | ||||||
NET ASSETS | $ | 941,395,270 | $ | 1,586,834,834 | ||||
COMPOSITION OF NET ASSETS: | ||||||||
Paid-in capital | $ | 900,638,744 | $ | 1,715,247,452 | ||||
Undistributed (distributions in excess of) net investment income | 562,510 | (301,412 | ) | |||||
Accumulated net realized gain (loss) on investments, futures contracts, swaps and foreign currency related transactions | 8,094,514 | (165,446,149 | ) | |||||
Net unrealized appreciation on investments, futures contracts, and translation of assets and liabilities denominated in foreign currencies | 32,099,502 | 37,334,943 | ||||||
Net Assets | $ | 941,395,270 | $ | 1,586,834,834 |
22 | See Notes to Financial Statements. |
Statements of Assets and Liabilities (unaudited)(concluded)
May 31, 2018
Multi-Asset Growth Fund | Multi-Asset Income Fund | |||||||
Net assets by class: | ||||||||
Class A Shares | $ | 694,227,463 | $ | 778,565,229 | ||||
Class C Shares | $ | 148,922,620 | $ | 470,609,893 | ||||
Class F Shares | $ | 38,240,301 | $ | 256,796,934 | ||||
Class F3 Shares | $ | 22,833 | $ | 4,232,301 | ||||
Class I Shares | $ | 22,198,832 | $ | 54,037,006 | ||||
Class R2 Shares | $ | 24,821 | $ | 125,749 | ||||
Class R3 Shares | $ | 23,776,801 | $ | 17,830,111 | ||||
Class R4 Shares | $ | 2,995,233 | $ | 1,842,580 | ||||
Class R5 Shares | $ | 11,748 | $ | 27,291 | ||||
Class R6 Shares | $ | 10,974,618 | $ | 2,757,356 | ||||
Class T Shares | – | $ | 10,384 | |||||
Outstanding shares by class (unlimited number of authorized shares of beneficial interest) | ||||||||
Class A Shares | 40,067,643 | 52,233,275 | ||||||
Class C Shares | 8,687,415 | 31,117,933 | ||||||
Class F Shares | 2,208,194 | 17,230,479 | ||||||
Class F3 Shares | 1,309 | 285,454 | ||||||
Class I Shares | 1,274,002 | 3,646,032 | ||||||
Class R2 Shares | 1,401 | 8,216 | ||||||
Class R3 Shares | 1,377,151 | 1,196,135 | ||||||
Class R4 Shares | 173,109 | 123,626 | ||||||
Class R5 Shares | 673.70 | 1,841 | ||||||
Class R6 Shares | 628,830 | 185,982 | ||||||
Class T Shares | – | 696.22 | ||||||
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | ||||||||
Class A Shares-Net asset value | $17.33 | $14.91 | ||||||
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%) | $17.73 | $15.25 | ||||||
Class C Shares-Net asset value | $17.14 | $15.12 | ||||||
Class F Shares-Net asset value | $17.32 | $14.90 | ||||||
Class F3 Shares-Net asset value | $17.44 | $14.83 | ||||||
Class I Shares-Net asset value | $17.42 | $14.82 | ||||||
Class R2 Shares-Net asset value | $17.72 | $15.31 | ||||||
Class R3 Shares-Net asset value | $17.27 | $14.91 | ||||||
Class R4 Shares-Net asset value | $17.30 | $14.90 | ||||||
Class R5 Shares-Net asset value | $17.44 | $14.82 | ||||||
Class R6 Shares-Net asset value | $17.45 | $14.83 | ||||||
Class T Shares-Net asset value | – | $14.91 | ||||||
Class T Shares-Maximum offering price (Net asset value plus sales charge of 2.50%) | – | $15.29 |
See Notes to Financial Statements. | 23 |
Statements of Operations (unaudited)
For the Six Months Ended May 31, 2018
Multi-Asset Balanced Opportunity Fund | Multi-Asset Focused Growth Fund | |||||||
Investment income: | ||||||||
Dividends received from Underlying Funds | $ | 21,446,590 | $ | 1,909,918 | ||||
Interest and other | 5,769 | 1,919 | ||||||
Total investment income | 21,452,359 | 1,911,837 | ||||||
Expenses: | ||||||||
Management fee | 888,633 | 114,007 | ||||||
12b-1 distribution plan-Class A | 1,676,709 | 185,752 | ||||||
12b-1 distribution plan-Class B | 6,666 | 1,059 | ||||||
12b-1 distribution plan-Class C | 1,524,394 | 226,396 | ||||||
12b-1 distribution plan-Class F | 29,931 | 1,549 | ||||||
12b-1 distribution plan-Class P | 1,521 | – | ||||||
12b-1 distribution plan-Class R2 | 1,200 | 18 | ||||||
12b-1 distribution plan-Class R3 | 80,547 | 23,604 | ||||||
12b-1 distribution plan-Class R4 | 4,904 | 1,309 | ||||||
12b-1 distribution plan-Class T | 13 | – | ||||||
Shareholder servicing | 802,913 | 132,337 | ||||||
Fund administration | 355,453 | 45,603 | ||||||
Registration | 118,343 | 95,626 | ||||||
Reports to shareholders | 70,786 | 19,885 | ||||||
Professional | 24,892 | 17,578 | ||||||
Custody | 18,125 | 5,008 | ||||||
Trustees’ fees | 20,225 | 2,601 | ||||||
Other | 17,718 | 43,846 | ||||||
Gross expenses | 5,642,973 | 916,178 | ||||||
Expense reductions (See Note 9) | (14,527 | ) | (1,837 | ) | ||||
Net expenses | 5,628,446 | 914,341 | ||||||
Net investment income | 15,823,913 | 997,496 | ||||||
Net realized and unrealized gain (loss): | ||||||||
Capital gain distributions received from Underlying Funds | 2,541,035 | 414,101 | ||||||
Net realized gain on investments in Underlying Funds | 27,567,902 | 9,730,469 | ||||||
Net realized loss on futures contracts | (6,150,977 | ) | (644,556 | ) | ||||
Net realized loss on foreign currency exchange contracts | (7,018,036 | ) | (1,418,088 | ) | ||||
Net realized loss on swap contracts | (2,769,836 | ) | (352,785 | ) | ||||
Net realized loss on foreign currency related transactions | (229,170 | ) | (59,729 | ) | ||||
Net change in unrealized appreciation/depreciation in Underlying Funds | (22,896,466 | ) | (5,295,063 | ) | ||||
Net change in unrealized appreciation/depreciation on futures contracts | (3,974,266 | ) | 287,139 | |||||
Net change in unrealized appreciation/depreciation on foreign currency exchange contracts | 903,828 | 220,111 | ||||||
Net change in unrealized appreciation/depreciation on swap contracts | 1,139,985 | 144,823 | ||||||
Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies | (42 | ) | (5 | ) | ||||
Net realized and unrealized gain (loss) | (10,886,043 | ) | 3,026,417 | |||||
Net Increase in Net Assets Resulting From Operations | $ | 4,937,870 | $ | 4,023,913 |
24 | See Notes to Financial Statements. |
Statements of Operations (unaudited)(concluded)
For the Six Months Ended May 31, 2018
Multi-Asset Growth Fund | Multi-Asset Income Fund | |||||||
Investment income: | ||||||||
Dividends received from Underlying Funds | $ | 10,581,134 | $ | 24,862,151 | ||||
Interest and other | 1,740 | 3,249 | ||||||
Total investment income | 10,582,874 | 24,865,400 | ||||||
Expenses: | ||||||||
Management fee | 491,921 | 812,618 | ||||||
12b-1 distribution plan-Class A | 888,330 | 981,574 | ||||||
12b-1 distribution plan-Class B | 4,692 | 1,434 | ||||||
12b-1 distribution plan-Class C | 868,012 | 2,502,839 | ||||||
12b-1 distribution plan-Class F | 19,283 | 128,424 | ||||||
12b-1 distribution plan-Class R2 | 98 | 363 | ||||||
12b-1 distribution plan-Class R3 | 61,328 | 47,031 | ||||||
12b-1 distribution plan-Class R4 | 3,168 | 1,284 | ||||||
12b-1 distribution plan-Class T | – | 13 | ||||||
Shareholder servicing | 515,680 | 599,096 | ||||||
Fund administration | 196,768 | 325,047 | ||||||
Registration | 96,332 | 117,450 | ||||||
Reports to shareholders | 43,896 | 59,783 | ||||||
Professional | 21,097 | 24,379 | ||||||
Custody | 12,551 | 17,479 | ||||||
Trustees’ fees | 11,232 | 18,363 | ||||||
Other | 12,213 | 17,135 | ||||||
Gross expenses | 3,246,601 | 5,654,312 | ||||||
Expense reductions (See Note 9) | (8,021 | ) | (13,362 | ) | ||||
Net expenses | 3,238,580 | 5,640,950 | ||||||
Net investment income | 7,344,294 | 19,224,450 | ||||||
Net realized and unrealized gain (loss): | ||||||||
Capital gain distributions received from Underlying Funds | 2,196,649 | 2,010,852 | ||||||
Net realized gain on investments in Underlying Funds | 27,964,451 | 9,064,959 | ||||||
Net realized loss on futures contracts | (3,410,717 | ) | (2,038,660 | ) | ||||
Net realized loss on foreign currency exchange contracts | (5,302,702 | ) | (6,356,722 | ) | ||||
Net realized loss on swap contracts | (1,533,561 | ) | (2,513,927 | ) | ||||
Net realized loss on foreign currency related transactions | (185,918 | ) | (214,248 | ) | ||||
Net change in unrealized appreciation/depreciation in Underlying Funds | (25,714,379 | ) | (4,863,116 | ) | ||||
Net change in unrealized appreciation/depreciation on futures contracts | (2,196,384 | ) | (2,716,575 | ) | ||||
Net change in unrealized appreciation/depreciation on foreign currency exchange contracts | 694,625 | 817,016 | ||||||
Net change in unrealized appreciation/depreciation on swap contracts | 631,172 | 1,034,660 | ||||||
Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies | (25 | ) | (39 | ) | ||||
Net realized and unrealized loss | (6,856,789 | ) | (5,775,800 | ) | ||||
Net Increase in Net Assets Resulting From Operations | $ | 487,505 | $ | 13,448,650 |
See Notes to Financial Statements. | 25 |
Statements of Changes in Net Assets
Multi-Asset Balanced Opportunity Fund | ||||||||||
DECREASE IN NET ASSETS | For the Six Months Ended May 31, 2018 (unaudited) | For the Year Ended November 30, 2017 | ||||||||
Operations: | ||||||||||
Net investment income | $ | 15,823,913 | $ | 50,318,876 | ||||||
Capital gain distributions received from Underlying Funds | 2,541,035 | 44,508,716 | ||||||||
Net realized loss on forward currency exchange contracts, futures contracts, swaps and foreign currency related transactions | (16,168,019 | ) | (3,511,380 | ) | ||||||
Net realized gain on investments in Underlying Funds | 27,567,902 | 28,753,984 | ||||||||
Net change in unrealized appreciation/depreciation on investments in Underlying Funds | (22,896,466 | ) | 86,584,853 | |||||||
Net change in unrealized appreciation/depreciation on forward currency exchange contracts, futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies | (1,930,495 | ) | (580,215 | ) | ||||||
Net increase in net assets resulting from operations | 4,937,870 | 206,074,834 | ||||||||
Distributions to shareholders from: | ||||||||||
Net investment income | ||||||||||
Class A | (32,165,659 | ) | (40,673,329 | ) | ||||||
Class B | (54,462 | ) | (175,409 | ) | ||||||
Class C | (6,190,149 | ) | (7,343,005 | ) | ||||||
Class F | (1,504,632 | ) | (2,025,497 | ) | ||||||
Class F3 | (277 | ) | (177 | ) | ||||||
Class I | (429,666 | ) | (300,919 | ) | ||||||
Class P | (15,145 | ) | (19,281 | ) | ||||||
Class R2 | (9,532 | ) | (14,491 | ) | ||||||
Class R3 | (744,711 | ) | (975,275 | ) | ||||||
Class R4 | (74,125 | ) | (30,818 | ) | ||||||
Class R5 | (2,540 | ) | (2,062 | ) | ||||||
Class R6 | (209,499 | ) | (105,240 | ) | ||||||
Class T | (244 | ) | (96 | ) | ||||||
Net realized gain | ||||||||||
Class A | (27,215,821 | ) | – | |||||||
Class B | (64,168 | ) | – | |||||||
Class C | (6,251,319 | ) | – | |||||||
Class F | (1,249,294 | ) | – | |||||||
Class F3 | (210 | ) | – | |||||||
Class I | (351,343 | ) | – | |||||||
Class P | (13,182 | ) | – | |||||||
Class R2 | (9,002 | ) | – | |||||||
Class R3 | (659,887 | ) | – | |||||||
Class R4 | (52,565 | ) | – | |||||||
Class R5 | (2,014 | ) | – | |||||||
Class R6 | (111,213 | ) | – | |||||||
Class T | (204 | ) | – | |||||||
Total distributions to shareholders | (77,380,863 | ) | (51,665,599 | ) | ||||||
Capital share transactions (Net of share conversions) (See Note 14): | ||||||||||
Net proceeds from sales of shares | 106,809,070 | 390,159,125 | ||||||||
Reinvestment of distributions | 75,171,894 | 49,844,483 | ||||||||
Cost of shares reacquired | (241,416,989 | ) | (664,534,013 | ) | ||||||
Net decrease in net assets resulting from capital share transactions | (59,436,025 | ) | (224,530,405 | ) | ||||||
Net decrease in net assets | (131,879,018 | ) | (70,121,170 | ) | ||||||
NET ASSETS: | ||||||||||
Beginning of period | $ | 1,844,965,918 | $ | 1,915,087,088 | ||||||
End of period | $ | 1,713,086,900 | $ | 1,844,965,918 | ||||||
Undistributed (distributions in excess of) net investment income | $ | (413,585 | ) | $ | 25,163,143 |
26 | See Notes to Financial Statements. |
Statements of Changes in Net Assets (continued)
Multi-Asset Focused Growth Fund | ||||||||||
DECREASE IN NET ASSETS | For the Six Months Ended May 31, 2018 (unaudited) | For the Year Ended November 30, 2017 | ||||||||
Operations: | ||||||||||
Net investment income | $ | 997,496 | $ | 1,519,577 | ||||||
Capital gain distributions received from Underlying Funds | 414,101 | 10,888,271 | ||||||||
Net realized loss on forward currency exchange contracts, futures contracts, swaps and foreign currency related transactions | (2,475,158 | ) | (1,499,535 | ) | ||||||
Net realized gain on investments in Underlying Funds | 9,730,469 | 18,196,403 | ||||||||
Net change in unrealized appreciation/depreciation on investments in Underlying Funds | (5,295,063 | ) | 7,646,720 | |||||||
Net change in unrealized appreciation/depreciation on forward currency exchange contracts, futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies | 652,068 | (523,699 | ) | |||||||
Net increase in net assets resulting from operations | 4,023,913 | 36,227,737 | ||||||||
Distributions to shareholders from: | ||||||||||
Net investment income | ||||||||||
Class A | (4,144,742 | ) | (2,225,707 | ) | ||||||
Class B | (1,518 | ) | (7,252 | ) | ||||||
Class C | (963,865 | ) | (392,214 | ) | ||||||
Class F | (96,298 | ) | (44,407 | ) | ||||||
Class F3 | (323 | ) | – | |||||||
Class I | (479,854 | ) | (336,022 | ) | ||||||
Class R2 | (142 | ) | (46 | ) | ||||||
Class R3 | (262,706 | ) | (162,148 | ) | ||||||
Class R4 | (22,505 | ) | (151 | ) | ||||||
Class R5 | (345 | ) | (174 | ) | ||||||
Class R6 | (108,408 | ) | (353 | ) | ||||||
Net realized gain | ||||||||||
Class A | (13,588,507 | ) | (10,861,586 | ) | ||||||
Class B | (53,176 | ) | (172,583 | ) | ||||||
Class C | (4,390,281 | ) | (3,955,255 | ) | ||||||
Class F | (298,828 | ) | (202,678 | ) | ||||||
Class F3 | (963 | ) | – | |||||||
Class I | (1,444,897 | ) | (1,387,774 | ) | ||||||
Class R2 | (527 | ) | (368 | ) | ||||||
Class R3 | (968,708 | ) | (948,476 | ) | ||||||
Class R4 | (69,633 | ) | (723 | ) | ||||||
Class R5 | (1,038 | ) | (718 | ) | ||||||
Class R6 | (322,841 | ) | (1,422 | ) | ||||||
Total distributions to shareholders | (27,220,105 | ) | (20,700,057 | ) | ||||||
Capital share transactions (Net of share conversions) (See Note 14): | ||||||||||
Net proceeds from sales of shares | 23,442,710 | 78,136,793 | ||||||||
Reinvestment of distributions | 25,979,144 | 19,721,134 | ||||||||
Cost of shares reacquired | (44,968,733 | ) | (124,264,208 | ) | ||||||
Net increase (decrease) in net assets resulting from capital share transactions | 4,453,121 | (26,406,281 | ) | |||||||
Net decrease in net assets | (18,743,071 | ) | (10,878,601 | ) | ||||||
NET ASSETS: | ||||||||||
Beginning of period | $ | 239,112,813 | $ | 249,991,414 | ||||||
End of period | $ | 220,369,742 | $ | 239,112,813 | ||||||
Undistributed net investment income | $ | 969,577 | $ | 6,052,787 | ||||||
See Notes to Financial Statements. | 27 |
Statements of Changes in Net Assets (continued)
Multi-Asset Growth Fund | ||||||||||
DECREASE IN NET ASSETS | For the Six Months Ended May 31, 2018 (unaudited) | For the Year Ended November 30, 2017 | ||||||||
Operations: | ||||||||||
Net investment income | $ | 7,344,294 | $ | 22,921,423 | ||||||
Capital gain distributions received from Underlying Funds | 2,196,649 | 29,235,083 | ||||||||
Net realized loss on forward currency exchange contracts, futures contracts, swaps and foreign currency related transactions | (10,432,898 | ) | (1,441,855 | ) | ||||||
Net realized gain on investments in Underlying Funds | 27,964,451 | 19,459,652 | ||||||||
Net change in unrealized appreciation/depreciation on investments in Underlying Funds | (25,714,379 | ) | 55,058,910 | |||||||
Net change in unrealized appreciation/depreciation on forward currency exchange contracts, futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies | (870,612 | ) | (259,374 | ) | ||||||
Net increase in net assets resulting from operations | 487,505 | 124,973,839 | ||||||||
Distributions to shareholders from: | ||||||||||
Net investment income | ||||||||||
Class A | (20,867,614 | ) | (20,002,444 | ) | ||||||
Class B | (48,109 | ) | (118,322 | ) | ||||||
Class C | (4,491,255 | ) | (3,754,639 | ) | ||||||
Class F | (1,152,528 | ) | (1,190,227 | ) | ||||||
Class F3 | (690 | ) | (203 | ) | ||||||
Class I | (617,611 | ) | (311,799 | ) | ||||||
Class P | – | (44 | ) | |||||||
Class R2 | (864 | ) | (3,299 | ) | ||||||
Class R3 | (705,219 | ) | (656,035 | ) | ||||||
Class R4 | (64,856 | ) | (14,055 | ) | ||||||
Class R5 | (346 | ) | (307 | ) | ||||||
Class R6 | (162,394 | ) | (55,372 | ) | ||||||
Net realized gain | ||||||||||
Class A | (23,786,067 | ) | – | |||||||
Class B | (73,216 | ) | – | |||||||
Class C | (5,863,637 | ) | – | |||||||
Class F | (1,277,145 | ) | – | |||||||
Class F3 | (754 | ) | – | |||||||
Class I | (668,504 | ) | – | |||||||
Class P | – | – | ||||||||
Class R2 | (1,042 | ) | – | |||||||
Class R3 | (839,451 | ) | – | |||||||
Class R4 | (70,500 | ) | – | |||||||
Class R5 | (375 | ) | – | |||||||
Class R6 | (154,841 | ) | – | |||||||
Total distributions to shareholders | (60,847,018 | ) | (26,106,746 | ) | ||||||
Capital share transactions (Net of share conversions) (See Note 14): | ||||||||||
Net proceeds from sales of shares | 59,721,022 | 238,120,601 | ||||||||
Reinvestment of distributions | 58,971,593 | 25,074,827 | ||||||||
Cost of shares reacquired | (138,836,549 | ) | (413,311,983 | ) | ||||||
Net decrease in net assets resulting from capital share transactions | (20,143,934 | ) | (150,116,555 | ) | ||||||
Net decrease in net assets | (80,503,447 | ) | (51,249,462 | ) | ||||||
NET ASSETS: | ||||||||||
Beginning of period | $ | 1,021,898,717 | $ | 1,073,148,179 | ||||||
End of period | $ | 941,395,270 | $ | 1,021,898,717 | ||||||
Undistributed net investment income | $ | 562,510 | $ | 21,329,702 |
28 | See Notes to Financial Statements. |
Statements of Changes in Net Assets (concluded)
Multi-Asset Income Fund | ||||||||||
DECREASE IN NET ASSETS | For the Six Months Ended May 31, 2018 (unaudited) | For the Year Ended November 30, 2017 | ||||||||
Operations: | ||||||||||
Net investment income | $ | 19,224,450 | $ | 52,458,141 | ||||||
Capital gain distributions received from Underlying Funds | 2,010,852 | 21,033,155 | ||||||||
Net realized loss on forward currency exchange contracts, futures contracts, swaps and foreign currency related transactions | (11,123,557 | ) | (3,185,844 | ) | ||||||
Net realized gain (loss) on investments in Underlying Funds | 9,064,959 | (27,431,777 | ) | |||||||
Net change in unrealized appreciation/depreciation on investments in Underlying Funds | (4,863,116 | ) | 120,182,487 | |||||||
Net change in unrealized appreciation/depreciation on forward currency exchange contracts, futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies | (864,938 | ) | (2,089,654 | ) | ||||||
Net increase in net assets resulting from operations | 13,448,650 | 160,966,508 | ||||||||
Distributions to shareholders from: | ||||||||||
Net investment income | ||||||||||
Class A | (16,349,311 | ) | (26,533,196 | ) | ||||||
Class B | (8,124 | ) | (49,087 | ) | ||||||
Class C | (8,444,397 | ) | (13,560,127 | ) | ||||||
Class F | (5,519,342 | ) | (9,880,322 | ) | ||||||
Class F3 | (80,747 | ) | (45,414 | ) | ||||||
Class I | (1,239,566 | ) | (503,088 | ) | ||||||
Class R2 | (2,210 | ) | (3,931 | ) | ||||||
Class R3 | (374,654 | ) | (572,532 | ) | ||||||
Class R4 | (18,800 | ) | (9,210 | ) | ||||||
Class R5 | (539 | ) | (567 | ) | ||||||
Class R6 | (39,684 | ) | (18,031 | ) | ||||||
Class T | (215 | ) | (86 | ) | ||||||
Total distributions to shareholders | (32,077,589 | ) | (51,175,591 | ) | ||||||
Capital share transactions (Net of share conversions) (See Note 14): | ||||||||||
Net proceeds from sales of shares | 137,051,262 | 359,612,213 | ||||||||
Reinvestment of distributions | 29,551,656 | 46,460,865 | ||||||||
Cost of shares reacquired | (221,482,447 | ) | (612,511,253 | ) | ||||||
Net decrease in net assets resulting from capital share transactions | (54,879,529 | ) | (206,438,175 | ) | ||||||
Net decrease in net assets | (73,508,468 | ) | (96,647,258 | ) | ||||||
NET ASSETS: | ||||||||||
Beginning of period | $ | 1,660,343,302 | $ | 1,756,990,560 | ||||||
End of period | $ | 1,586,834,834 | $ | 1,660,343,302 | ||||||
Undistributed (distributions in excess of) net investment income | $ | (301,412 | ) | $ | 12,551,727 |
See Notes to Financial Statements. | 29 |
MULTI-ASSET BALANCED OPPORTUNITY FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(b) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
5/31/2018(d) | $12.19 | $0.11 | $(0.08 | ) | $ | 0.03 | $(0.28 | ) | $(0.24 | ) | $(0.52 | ) | ||||||||||||||||
11/30/2017 | 11.23 | 0.33 | 0.97 | 1.30 | (0.34 | ) | – | (0.34 | ) | |||||||||||||||||||
11/30/2016 | 11.29 | 0.35 | 0.42 | 0.77 | (0.38 | ) | (0.45 | ) | (0.83 | ) | ||||||||||||||||||
11/30/2015 | 12.87 | 0.34 | (0.83 | ) | (0.49 | ) | (0.60 | ) | (0.49 | ) | (1.09 | ) | ||||||||||||||||
11/30/2014 | 12.43 | 0.36 | 0.66 | 1.02 | (0.58 | ) | – | (0.58 | ) | |||||||||||||||||||
11/30/2013 | 10.81 | 0.34 | 1.67 | 2.01 | (0.39 | ) | – | (0.39 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2018(d) | 12.12 | 0.07 | (0.08 | ) | (0.01 | ) | (0.24 | ) | (0.24 | ) | (0.48 | ) | ||||||||||||||||
11/30/2017 | 11.16 | 0.24 | 0.97 | 1.21 | (0.25 | ) | – | (0.25 | ) | |||||||||||||||||||
11/30/2016 | 11.23 | 0.27 | 0.41 | 0.68 | (0.30 | ) | (0.45 | ) | (0.75 | ) | ||||||||||||||||||
11/30/2015 | 12.81 | 0.25 | (0.83 | ) | (0.58 | ) | (0.51 | ) | (0.49 | ) | (1.00 | ) | ||||||||||||||||
11/30/2014 | 12.38 | 0.27 | 0.65 | 0.92 | (0.49 | ) | – | (0.49 | ) | |||||||||||||||||||
11/30/2013 | 10.77 | 0.25 | 1.67 | 1.92 | (0.31 | ) | – | (0.31 | ) | |||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2018(d) | 12.18 | 0.12 | (0.07 | ) | 0.05 | (0.29 | ) | (0.24 | ) | (0.53 | ) | |||||||||||||||||
11/30/2017 | 11.22 | 0.36 | 0.99 | 1.32 | (0.36 | ) | – | (0.36 | ) | |||||||||||||||||||
11/30/2016 | 11.28 | 0.36 | 0.42 | 0.78 | (0.39 | ) | (0.45 | ) | (0.84 | ) | ||||||||||||||||||
11/30/2015 | 12.86 | 0.35 | (0.82 | ) | (0.47 | ) | (0.62 | ) | (0.49 | ) | (1.11 | ) | ||||||||||||||||
11/30/2014 | 12.42 | 0.38 | 0.66 | 1.04 | (0.60 | ) | – | (0.60 | ) | |||||||||||||||||||
11/30/2013 | 10.80 | 0.38 | 1.66 | 2.04 | (0.41 | ) | – | (0.41 | ) | |||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2018(d) | 12.19 | 0.13 | (0.07 | ) | 0.06 | (0.30 | ) | (0.24 | ) | (0.54 | ) | |||||||||||||||||
4/4/2017 to 11/30/2017(g) | 11.62 | 0.21 | 0.56 | 0.77 | (0.20 | ) | – | (0.20 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2018(d) | 12.19 | 0.13 | (0.08 | ) | 0.05 | (0.30 | ) | (0.24 | ) | (0.54 | ) | |||||||||||||||||
11/30/2017 | 11.22 | 0.45 | 0.89 | 1.34 | (0.37 | ) | – | (0.37 | ) | |||||||||||||||||||
11/30/2016 | 11.29 | 0.40 | 0.38 | 0.78 | (0.40 | ) | (0.45 | ) | (0.85 | ) | ||||||||||||||||||
11/30/2015 | 12.86 | 0.37 | (0.82 | ) | (0.45 | ) | (0.63 | ) | (0.49 | ) | (1.12 | ) | ||||||||||||||||
11/30/2014 | 12.43 | 0.39 | 0.65 | 1.04 | (0.61 | ) | – | (0.61 | ) | |||||||||||||||||||
11/30/2013 | 10.80 | 0.37 | 1.68 | 2.05 | (0.42 | ) | – | (0.42 | ) | |||||||||||||||||||
Class P | ||||||||||||||||||||||||||||
5/31/2018(d) | 12.14 | 0.10 | (0.08 | ) | 0.02 | (0.27 | ) | (0.24 | ) | (0.51 | ) | |||||||||||||||||
11/30/2017 | 11.18 | 0.31 | 0.97 | 1.28 | (0.32 | ) | – | (0.32 | ) | |||||||||||||||||||
11/30/2016 | 11.25 | 0.33 | 0.41 | 0.74 | (0.36 | ) | (0.45 | ) | (0.81 | ) | ||||||||||||||||||
11/30/2015 | 12.82 | 0.31 | (0.81 | ) | (0.50 | ) | (0.58 | ) | (0.49 | ) | (1.07 | ) | ||||||||||||||||
11/30/2014 | 12.39 | 0.33 | 0.65 | 0.98 | (0.55 | ) | – | (0.55 | ) | |||||||||||||||||||
11/30/2013 | 10.77 | 0.32 | 1.67 | 1.99 | (0.37 | ) | – | (0.37 | ) | |||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
5/31/2018(d) | 12.43 | 0.10 | (0.08 | ) | 0.02 | (0.26 | ) | (0.24 | ) | (0.50 | ) | |||||||||||||||||
11/30/2017 | 11.44 | 0.29 | 0.99 | 1.28 | (0.29 | ) | – | (0.29 | ) | |||||||||||||||||||
11/30/2016 | 11.49 | 0.31 | 0.42 | 0.73 | (0.33 | ) | (0.45 | ) | (0.78 | ) | ||||||||||||||||||
11/30/2015 | 13.07 | 0.31 | (0.84 | ) | (0.53 | ) | (0.56 | ) | (0.49 | ) | (1.05 | ) | ||||||||||||||||
11/30/2014 | 12.62 | 0.31 | 0.67 | 0.98 | (0.53 | ) | – | (0.53 | ) | |||||||||||||||||||
11/30/2013 | 10.97 | 0.30 | 1.70 | 2.00 | (0.35 | ) | – | (0.35 | ) |
30 | See Notes to Financial Statements. |
Ratios to Average Net Assets:(a) | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return(c) (%) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$ | 11.70 | 0.26 | (e) | 0.51 | (f) | 0.51 | (f) | 1.91 | (f) | $ | 1,330,989 | 16 | (e) | |||||||||||||
12.19 | 11.73 | 0.50 | 0.51 | 2.82 | 1,398,075 | 47 | ||||||||||||||||||||
11.23 | 7.38 | 0.37 | 0.51 | 3.26 | 1,431,255 | 25 | ||||||||||||||||||||
11.29 | (4.13 | ) | 0.35 | 0.49 | 2.84 | 1,569,728 | 18 | |||||||||||||||||||
12.87 | 8.43 | 0.34 | 0.49 | 2.85 | 1,526,897 | 45 | ||||||||||||||||||||
12.43 | 18.93 | 0.31 | 0.50 | 2.91 | 1,366,009 | 30 | ||||||||||||||||||||
11.63 | (0.13 | )(e) | 1.26 | (f) | 1.26 | (f) | 1.16 | (f) | 257,320 | 16 | (e) | |||||||||||||||
12.12 | 10.96 | 1.24 | 1.26 | 2.08 | 318,697 | 47 | ||||||||||||||||||||
11.16 | 6.53 | 1.12 | 1.26 | 2.52 | 360,065 | 25 | ||||||||||||||||||||
11.23 | (4.84 | ) | 1.09 | 1.24 | 2.10 | 420,030 | 18 | |||||||||||||||||||
12.81 | 7.61 | 1.08 | 1.23 | 2.12 | 375,528 | 45 | ||||||||||||||||||||
12.38 | 18.05 | 1.05 | 1.24 | 2.18 | 270,358 | 30 | ||||||||||||||||||||
11.70 | 0.42 | (e) | 0.36 | (f) | 0.36 | (f) | 2.07 | (f) | 53,566 | 16 | (e) | |||||||||||||||
12.18 | 11.91 | 0.35 | 0.36 | 2.84 | 63,871 | 47 | ||||||||||||||||||||
11.22 | 7.54 | 0.22 | 0.36 | 3.43 | 57,153 | 25 | ||||||||||||||||||||
11.28 | (3.99 | ) | 0.20 | 0.34 | 2.98 | 80,192 | 18 | |||||||||||||||||||
12.86 | 8.59 | 0.19 | 0.34 | 3.00 | 74,135 | 45 | ||||||||||||||||||||
12.43 | 19.12 | 0.17 | 0.36 | 3.13 | 25,465 | 30 | ||||||||||||||||||||
11.71 | 0.47 | (e) | 0.23 | (f) | 0.23 | (f) | 2.12 | (f) | 14 | 16 | (e) | |||||||||||||||
12.19 | 6.72 | (e) | 0.21 | (f) | 0.21 | (f) | 2.68 | (f) | 11 | 47 | ||||||||||||||||
11.70 | 0.38 | (e) | 0.26 | (f) | 0.26 | (f) | 2.18 | (f) | 15,388 | 16 | (e) | |||||||||||||||
12.19 | 12.10 | 0.24 | 0.26 | 3.81 | 17,835 | 47 | ||||||||||||||||||||
11.22 | 7.55 | 0.12 | 0.26 | 3.76 | 10,925 | 25 | ||||||||||||||||||||
11.29 | (3.82 | ) | 0.10 | 0.24 | 3.11 | 31,536 | 18 | |||||||||||||||||||
12.86 | 8.61 | 0.09 | 0.24 | 3.10 | 35,247 | 45 | ||||||||||||||||||||
12.43 | 19.33 | 0.06 | 0.25 | 3.16 | 35,744 | 30 | ||||||||||||||||||||
11.65 | 0.16 | (e) | 0.71 | (f) | 0.71 | (f) | 1.68 | (f) | 686 | 16 | (e) | |||||||||||||||
12.14 | 11.56 | 0.70 | 0.71 | 2.65 | 664 | 47 | ||||||||||||||||||||
11.18 | 7.10 | 0.57 | 0.71 | 3.08 | 839 | 25 | ||||||||||||||||||||
11.25 | (4.26 | ) | 0.55 | 0.69 | 2.64 | 998 | 18 | |||||||||||||||||||
12.82 | 8.15 | 0.54 | 0.69 | 2.66 | 1,286 | 45 | ||||||||||||||||||||
12.39 | 18.76 | 0.51 | 0.70 | 2.72 | 1,538 | 30 | ||||||||||||||||||||
11.95 | 0.15 | (e) | 0.86 | (f) | 0.86 | (f) | 1.64 | (f) | 363 | 16 | (e) | |||||||||||||||
12.43 | 11.37 | 0.85 | 0.86 | 2.44 | 465 | 47 | ||||||||||||||||||||
11.44 | 6.93 | 0.73 | 0.87 | 2.86 | 660 | 25 | ||||||||||||||||||||
11.49 | (4.41 | ) | 0.70 | 0.84 | 2.56 | 1,158 | 18 | |||||||||||||||||||
13.07 | 7.99 | 0.69 | 0.84 | 2.44 | 1,421 | 45 | ||||||||||||||||||||
12.62 | 18.52 | 0.66 | 0.85 | 2.54 | 1,862 | 30 |
See Notes to Financial Statements. | 31 |
Financial Highlights (continued)
MULTI-ASSET BALANCED OPPORTUNITY FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(b) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2018(d) | $12.16 | $0.10 | $(0.07 | ) | $ | 0.03 | $(0.27 | ) | $(0.24 | ) | $(0.51 | ) | ||||||||||||||||
11/30/2017 | 11.20 | 0.31 | 0.96 | 1.27 | (0.31 | ) | – | (0.31 | ) | |||||||||||||||||||
11/30/2016 | 11.27 | 0.33 | 0.40 | 0.73 | (0.35 | ) | (0.45 | ) | (0.80 | ) | ||||||||||||||||||
11/30/2015 | 12.84 | 0.31 | (0.82 | ) | (0.51 | ) | (0.57 | ) | (0.49 | ) | (1.06 | ) | ||||||||||||||||
11/30/2014 | 12.41 | 0.31 | 0.65 | 0.96 | (0.55 | ) | – | (0.55 | ) | |||||||||||||||||||
11/30/2013 | 10.79 | 0.31 | 1.67 | 1.98 | (0.36 | ) | – | (0.36 | ) | |||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2018(d) | 12.19 | 0.10 | (0.07 | ) | 0.03 | (0.28 | ) | (0.24 | ) | (0.52 | ) | |||||||||||||||||
11/30/2017 | 11.23 | 0.32 | 0.98 | 1.30 | (0.34 | ) | – | (0.34 | ) | |||||||||||||||||||
11/30/2016 | 11.29 | 0.36 | 0.41 | 0.77 | (0.38 | ) | (0.45 | ) | (0.83 | ) | ||||||||||||||||||
6/30/2015 to 11/30/2015(h) | 11.97 | 0.13 | (0.68 | ) | (0.55 | ) | (0.13 | ) | – | (0.13 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
5/31/2018(d) | 12.20 | 0.13 | (0.08 | ) | 0.05 | (0.30 | ) | (0.24 | ) | (0.54 | ) | |||||||||||||||||
11/30/2017 | 11.24 | 0.33 | 1.00 | 1.33 | (0.37 | ) | – | (0.37 | ) | |||||||||||||||||||
11/30/2016 | 11.29 | 0.24 | 0.56 | 0.80 | (0.40 | ) | (0.45 | ) | (0.85 | ) | ||||||||||||||||||
6/30/2015 to 11/30/2015(h) | 11.97 | 0.15 | (0.69 | ) | (0.54 | ) | (0.14 | ) | – | (0.14 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
5/31/2018(d) | 12.19 | 0.11 | (0.06 | ) | 0.05 | (0.30 | ) | (0.24 | ) | (0.54 | ) | |||||||||||||||||
11/30/2017 | 11.22 | 0.33 | 1.01 | 1.34 | (0.37 | ) | – | (0.37 | ) | |||||||||||||||||||
11/30/2016 | 11.29 | 0.39 | 0.40 | 0.79 | (0.41 | ) | (0.45 | ) | (0.86 | ) | ||||||||||||||||||
6/30/2015 to 11/30/2015(h) | 11.97 | 0.15 | (0.69 | ) | (0.54 | ) | (0.14 | ) | – | (0.14 | ) | |||||||||||||||||
Class T | ||||||||||||||||||||||||||||
5/31/2018(d) | 12.19 | 0.12 | (0.08 | ) | 0.04 | (0.28 | ) | (0.24 | ) | (0.52 | ) | |||||||||||||||||
7/28/2017 to 11/30/2017(i) | 11.87 | 0.12 | 0.31 | 0.43 | (0.11 | ) | – | (0.11 | ) |
(a) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(b) | Calculated using average shares outstanding during the period. |
(c) | Total return for Classes A, C and T does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(d) | Unaudited. |
(e) | Not annualized. |
(f) | Annualized. |
(g) | Commenced on April 4, 2017. |
(h) | Commenced on June 30, 2015. |
(i) | Commenced on July 28, 2017. |
32 | See Notes to Financial Statements. |
Ratios to Average Net Assets:(a) | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return(c) (%) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$ | 11.68 | 0.22 | (e) | 0.76 | (f) | 0.76 | (f) | 1.67 | (f) | $ | 33,420 | 16 | (e) | |||||||||||||
12.16 | 11.49 | 0.73 | 0.74 | 2.63 | 33,772 | 47 | ||||||||||||||||||||
11.20 | 7.05 | 0.61 | 0.75 | 3.04 | 41,447 | 25 | ||||||||||||||||||||
11.27 | (4.28 | ) | 0.59 | 0.73 | 2.59 | 38,972 | 18 | |||||||||||||||||||
12.82 | 8.09 | 0.59 | 0.74 | 2.60 | 36,157 | 45 | ||||||||||||||||||||
12.41 | 18.68 | 0.56 | 0.75 | 2.67 | 33,919 | 30 | ||||||||||||||||||||
11.70 | 0.27 | (e) | 0.51 | (f) | 0.51 | (f) | 1.71 | (f) | 5,396 | 16 | (e) | |||||||||||||||
12.19 | 11.77 | 0.49 | 0.49 | 2.73 | 2,474 | 47 | ||||||||||||||||||||
11.23 | 7.39 | 0.37 | 0.51 | 3.32 | 82 | 25 | ||||||||||||||||||||
11.29 | (4.60 | )(e) | 0.34 | (f) | 0.50 | (f) | 2.79 | (f) | 10 | 18 | ||||||||||||||||
11.71 | 0.38 | (e) | 0.26 | (f) | 0.26 | (f) | 2.13 | (f) | 105 | 16 | (e) | |||||||||||||||
12.20 | 11.99 | 0.24 | 0.25 | 2.77 | 102 | 47 | ||||||||||||||||||||
11.24 | 7.69 | 0.13 | 0.27 | 2.27 | 12 | 25 | ||||||||||||||||||||
11.29 | (4.50 | )(e) | 0.09 | (f) | 0.25 | (f) | 3.03 | (f) | 10 | 18 | ||||||||||||||||
11.70 | 0.39 | (e) | 0.18 | (f) | 0.18 | (f) | 1.87 | (f) | 15,830 | 16 | (e) | |||||||||||||||
12.19 | 12.13 | 0.18 | 0.18 | 2.77 | 5,587 | 47 | ||||||||||||||||||||
11.22 | 7.58 | 0.12 | 0.17 | 3.54 | 28 | 25 | ||||||||||||||||||||
11.29 | (4.50 | )(e) | 0.08 | (f) | 0.15 | (f) | 3.04 | (f) | 10 | 18 | ||||||||||||||||
11.71 | 0.35 | (e) | 0.42 | (f) | 0.42 | (f) | 1.97 | (f) | 10 | 16 | (e) | |||||||||||||||
12.19 | 3.66 | (e) | 0.47 | (f) | 0.47 | (f) | 2.88 | (f) | 10 | 47 |
See Notes to Financial Statements. | 33 |
Financial Highlights (continued)
MULTI-ASSET FOCUSED GROWTH FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(b) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
5/31/2018(d) | $19.35 | $0.09 | $0.21 | $0.30 | $(0.52 | ) | $(1.71 | ) | $(2.23 | ) | ||||||||||||||||||
11/30/2017 | 18.12 | 0.14 | 2.64 | 2.78 | (0.26 | ) | (1.29 | ) | (1.55 | ) | ||||||||||||||||||
11/30/2016 | 19.49 | 0.13 | 0.51 | 0.64 | (0.42 | ) | (1.59 | ) | (2.01 | ) | ||||||||||||||||||
11/30/2015 | 22.12 | 0.15 | 0.09 | 0.24 | (0.45 | ) | (2.42 | ) | (2.87 | ) | ||||||||||||||||||
11/30/2014 | 22.38 | 0.17 | 1.68 | 1.85 | (0.67 | ) | (1.44 | ) | (2.11 | ) | ||||||||||||||||||
11/30/2013 | 16.90 | 0.17 | 5.46 | 5.63 | (0.15 | ) | – | (0.15 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2018(d) | 18.68 | 0.02 | 0.19 | 0.21 | (0.37 | ) | (1.71 | ) | (2.08 | ) | ||||||||||||||||||
11/30/2017 | 17.52 | 0.01 | 2.57 | 2.58 | (0.13 | ) | (1.29 | ) | (1.42 | ) | ||||||||||||||||||
11/30/2016 | 18.89 | 0.01 | 0.48 | 0.49 | (0.27 | ) | (1.59 | ) | (1.86 | ) | ||||||||||||||||||
11/30/2015 | 21.52 | – | (g) | 0.10 | 0.10 | (0.31 | ) | (2.42 | ) | (2.73 | ) | |||||||||||||||||
11/30/2014 | 21.85 | 0.01 | 1.63 | 1.64 | (0.53 | ) | (1.44 | ) | (1.97 | ) | ||||||||||||||||||
11/30/2013 | 16.51 | 0.03 | 5.34 | 5.37 | (0.03 | ) | – | (0.03 | ) | |||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2018(d) | 19.37 | 0.11 | 0.20 | 0.31 | (0.55 | ) | (1.71 | ) | (2.26 | ) | ||||||||||||||||||
11/30/2017 | 18.13 | 0.17 | 2.64 | 2.81 | (0.28 | ) | (1.29 | ) | (1.57 | ) | ||||||||||||||||||
11/30/2016 | 19.50 | 0.16 | 0.51 | 0.67 | (0.45 | ) | (1.59 | ) | (2.04 | ) | ||||||||||||||||||
11/30/2015 | 22.13 | 0.18 | 0.09 | 0.27 | (0.48 | ) | (2.42 | ) | (2.90 | ) | ||||||||||||||||||
11/30/2014 | 22.39 | 0.20 | 1.67 | 1.87 | (0.69 | ) | (1.44 | ) | (2.13 | ) | ||||||||||||||||||
11/30/2013 | 16.90 | 0.20 | 5.46 | 5.66 | (0.17 | ) | – | (0.17 | ) | |||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2018(d) | 19.54 | 0.12 | 0.21 | 0.33 | (0.57 | ) | (1.71 | ) | (2.28 | ) | ||||||||||||||||||
4/4/2017 to 11/30/2017(h) | 17.71 | 0.09 | 1.74 | 1.83 | – | – | – | |||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2018(d) | 19.55 | 0.11 | 0.21 | 0.32 | (0.57 | ) | (1.71 | ) | (2.28 | ) | ||||||||||||||||||
11/30/2017 | 18.29 | 0.19 | 2.67 | 2.86 | (0.31 | ) | (1.29 | ) | (1.60 | ) | ||||||||||||||||||
11/30/2016 | 19.66 | 0.18 | 0.51 | 0.69 | (0.47 | ) | (1.59 | ) | (2.06 | ) | ||||||||||||||||||
11/30/2015 | 22.29 | 0.20 | 0.09 | 0.29 | (0.50 | ) | (2.42 | ) | (2.92 | ) | ||||||||||||||||||
11/30/2014 | 22.54 | 0.22 | 1.68 | 1.90 | (0.71 | ) | (1.44 | ) | (2.15 | ) | ||||||||||||||||||
11/30/2013 | 17.02 | 0.22 | 5.50 | 5.72 | (0.20 | ) | – | (0.20 | ) | |||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
5/31/2018(d) | 19.84 | 0.06 | 0.19 | 0.25 | (0.46 | ) | (1.71 | ) | (2.17 | ) | ||||||||||||||||||
11/30/2017 | 18.47 | 0.08 | 2.74 | 2.82 | (0.16 | ) | (1.29 | ) | (1.45 | ) | ||||||||||||||||||
11/30/2016 | 19.71 | 0.45 | (0.05 | ) | 0.40 | (0.05 | ) | (1.59 | ) | (1.64 | ) | |||||||||||||||||
11/30/2015 | 22.34 | 0.06 | 0.11 | 0.17 | (0.38 | ) | (2.42 | ) | (2.80 | ) | ||||||||||||||||||
11/30/2014 | 22.29 | 0.08 | 1.70 | 1.78 | (0.29 | ) | (1.44 | ) | (1.73 | ) | ||||||||||||||||||
11/30/2013 | 16.85 | 0.10 | 5.45 | 5.55 | (0.11 | ) | – | (0.11 | ) | |||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2018(d) | 19.10 | 0.08 | 0.18 | 0.26 | (0.46 | ) | (1.71 | ) | (2.17 | ) | ||||||||||||||||||
11/30/2017 | 17.89 | 0.10 | 2.62 | 2.72 | (0.22 | ) | (1.29 | ) | (1.51 | ) | ||||||||||||||||||
11/30/2016 | 19.27 | 0.09 | 0.50 | 0.59 | (0.38 | ) | (1.59 | ) | (1.97 | ) | ||||||||||||||||||
11/30/2015 | 21.91 | 0.10 | 0.09 | 0.19 | (0.41 | ) | (2.42 | ) | (2.83 | ) | ||||||||||||||||||
11/30/2014 | 22.20 | 0.11 | 1.66 | 1.77 | (0.62 | ) | (1.44 | ) | (2.06 | ) | ||||||||||||||||||
11/30/2013 | 16.78 | 0.10 | 5.45 | 5.55 | (0.13 | ) | – | (0.13 | ) |
34 | See Notes to Financial Statements. |
Ratios to Average Net Assets:(a) | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return(c) (%) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$ | 17.42 | 1.68 | (e) | 0.67 | (f) | 0.67 | (f) | 1.00 | (f) | $ | 149,107 | 24 | (e) | |||||||||||||
19.35 | 16.59 | 0.60 | 0.66 | 0.79 | 153,689 | 86 | ||||||||||||||||||||
18.12 | 3.94 | 0.27 | 0.64 | 0.78 | 155,840 | 7 | ||||||||||||||||||||
19.49 | 1.22 | 0.25 | 0.59 | 0.76 | 168,742 | 7 | ||||||||||||||||||||
22.12 | 8.97 | 0.25 | 0.59 | 0.80 | 163,889 | 10 | ||||||||||||||||||||
22.38 | 33.60 | 0.25 | 0.60 | 0.86 | 162,519 | 27 | ||||||||||||||||||||
16.81 | 1.23 | (e) | 1.42 | (f) | 1.42 | (f) | 0.28 | (f) | 38,983 | 24 | (e) | |||||||||||||||
18.68 | 15.81 | 1.33 | 1.40 | 0.06 | 48,740 | 86 | ||||||||||||||||||||
17.52 | 3.13 | 1.01 | 1.37 | 0.05 | 54,974 | 7 | ||||||||||||||||||||
18.89 | 0.50 | 0.98 | 1.32 | 0.02 | 62,564 | 7 | ||||||||||||||||||||
21.52 | 8.14 | 0.98 | 1.31 | 0.07 | 68,007 | 10 | ||||||||||||||||||||
21.85 | 32.61 | 0.97 | 1.33 | 0.14 | 63,087 | 27 | ||||||||||||||||||||
17.42 | 1.74 | (e) | 0.52 | (f) | 0.52 | (f) | 1.23 | (f) | 2,911 | 24 | (e) | |||||||||||||||
19.37 | 16.77 | 0.45 | 0.52 | 0.93 | 3,342 | 86 | ||||||||||||||||||||
18.13 | 4.11 | 0.13 | 0.49 | 0.92 | 3,748 | 7 | ||||||||||||||||||||
19.50 | 1.37 | 0.10 | 0.44 | 0.94 | 4,204 | 7 | ||||||||||||||||||||
22.13 | 9.11 | 0.10 | 0.44 | 0.93 | 4,560 | 10 | ||||||||||||||||||||
22.39 | 33.79 | 0.10 | 0.46 | 1.01 | 3,905 | 27 | ||||||||||||||||||||
17.59 | 1.80 | (e) | 0.32 | (f) | 0.32 | (f) | 1.31 | (f) | 11 | 24 | (e) | |||||||||||||||
19.54 | 10.39 | (e) | 0.36 | (f) | 0.38 | (f) | 0.76 | (f) | 11 | 86 | ||||||||||||||||
17.59 | 1.77 | (e) | 0.42 | (f) | 0.42 | (f) | 1.22 | (f) | 16,440 | 24 | (e) | |||||||||||||||
19.55 | 16.93 | 0.34 | 0.41 | 1.06 | 16,562 | 86 | ||||||||||||||||||||
18.29 | 4.19 | 0.02 | 0.39 | 1.04 | 19,681 | 7 | ||||||||||||||||||||
19.66 | 1.46 | 0.00 | 0.34 | 1.01 | 19,283 | 7 | ||||||||||||||||||||
22.29 | 9.20 | 0.00 | 0.34 | 1.02 | 18,530 | 10 | ||||||||||||||||||||
22.54 | 33.95 | 0.00 | 0.36 | 1.10 | 16,586 | 27 | ||||||||||||||||||||
17.92 | 1.46 | (e) | 1.00 | (f) | 1.00 | (f) | 0.61 | (f) | 6 | 24 | (e) | |||||||||||||||
19.84 | 16.25 | 0.93 | 0.98 | 0.44 | 6 | 86 | ||||||||||||||||||||
18.47 | 2.44 | 0.64 | 0.97 | 2.38 | 5 | 7 | ||||||||||||||||||||
19.71 | 0.84 | 0.60 | 0.95 | 0.29 | 71 | 7 | ||||||||||||||||||||
22.34 | 8.56 | 0.60 | 0.94 | 0.38 | 250 | 10 | ||||||||||||||||||||
22.29 | 33.14 | 0.60 | 0.95 | 0.50 | 659 | 27 | ||||||||||||||||||||
17.19 | 1.49 | (e) | 0.92 | (f) | 0.92 | (f) | 0.88 | (f) | 8,194 | 24 | (e) | |||||||||||||||
19.10 | 16.40 | 0.83 | 0.90 | 0.57 | 11,679 | 86 | ||||||||||||||||||||
17.89 | 3.67 | 0.52 | 0.88 | 0.56 | 13,342 | 7 | ||||||||||||||||||||
19.27 | 0.98 | 0.50 | 0.84 | 0.50 | 14,477 | 7 | ||||||||||||||||||||
21.91 | 8.65 | 0.50 | 0.84 | 0.51 | 12,115 | 10 | ||||||||||||||||||||
22.20 | 33.27 | 0.50 | 0.85 | 0.52 | 8,646 | 27 |
See Notes to Financial Statements. | 35 |
Financial Highlights (continued)
MULTI-ASSET FOCUSED GROWTH FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(b) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2018(d) | $19.32 | $0.05 | $0.24 | $0.29 | $(0.55 | ) | $(1.71 | ) | $(2.26 | ) | ||||||||||||||||||
11/30/2017 | 18.09 | 0.16 | 2.63 | 2.79 | (0.27 | ) | (1.29 | ) | (1.56 | ) | ||||||||||||||||||
11/30/2016 | 19.48 | 0.14 | 0.51 | 0.65 | (0.45 | ) | (1.59 | ) | (2.04 | ) | ||||||||||||||||||
6/30/2015 to 11/30/2015(i) | 19.97 | 0.05 | (0.54 | ) | (0.49 | ) | – | – | – | |||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
5/31/2018(d) | 19.55 | 0.11 | 0.22 | 0.33 | (0.57 | ) | (1.71 | ) | (2.28 | ) | ||||||||||||||||||
11/30/2017 | 18.30 | 0.18 | 2.67 | 2.85 | (0.31 | ) | (1.29 | ) | (1.60 | ) | ||||||||||||||||||
11/30/2016 | 19.66 | 0.18 | 0.52 | 0.70 | (0.47 | ) | (1.59 | ) | (2.06 | ) | ||||||||||||||||||
6/30/2015 to 11/30/2015(i) | 20.13 | 0.07 | (0.54 | ) | (0.47 | ) | – | – | – | |||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
5/31/2018(d) | 19.56 | 0.12 | 0.20 | 0.32 | (0.57 | ) | (1.71 | ) | (2.28 | ) | ||||||||||||||||||
11/30/2017 | 18.29 | 0.17 | 2.71 | 2.88 | (0.32 | ) | (1.29 | ) | (1.61 | ) | ||||||||||||||||||
11/30/2016 | 19.66 | 0.20 | 0.49 | 0.69 | (0.47 | ) | (1.59 | ) | (2.06 | ) | ||||||||||||||||||
6/30/2015 to 11/30/2015(i) | 20.13 | 0.08 | (0.55 | ) | (0.47 | ) | – | – | – |
(a) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(b) | Calculated using average shares outstanding during the period. |
(c) | Total return for Classes A, C and T does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(d) | Unaudited. |
(e) | Not annualized. |
(f) | Annualized. |
(g) | Amount less than $0.01. |
(h) | Commenced on April 4, 2017. |
(i) | Commenced on June 30, 2015. |
36 | See Notes to Financial Statements. |
Ratios to Average Net Assets:(a) | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return(c) (%) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$17.35 | 1.64 | (e) | 0.68 | (f) | 0.68 | (f) | 0.62 | (f) | $1,331 | 24 | (e) | |||||||||||||||
19.32 | 16.66 | 0.69 | 0.70 | 0.88 | 782 | 86 | ||||||||||||||||||||
18.09 | 3.99 | 0.25 | 0.61 | 0.81 | 10 | 7 | ||||||||||||||||||||
19.48 | (2.45 | )(e) | 0.22 | (f) | 0.60 | (f) | 0.66 | (f) | 10 | 7 | ||||||||||||||||
17.60 | 1.77 | (e) | 0.38 | (f) | 0.38 | (f) | 1.23 | (f) | 12 | 24 | (e) | |||||||||||||||
19.55 | 16.92 | 0.34 | 0.40 | 1.02 | 12 | 86 | ||||||||||||||||||||
18.30 | 4.25 | 0.00 | 0.35 | 1.06 | 10 | 7 | ||||||||||||||||||||
19.66 | (2.33 | )(e) | 0.00 | (f) | 0.34 | (f) | 0.91 | (f) | 10 | 7 | ||||||||||||||||
17.60 | 1.80 | (e) | 0.31 | (f) | 0.31 | (f) | 1.36 | (f) | 3,373 | 24 | (e) | |||||||||||||||
19.56 | 17.03 | 0.33 | 0.34 | 0.94 | 3,699 | 86 | ||||||||||||||||||||
18.29 | 4.21 | 0.01 | 0.21 | 1.13 | 15 | 7 | ||||||||||||||||||||
19.66 | (2.33 | )(e) | 0.00 | (f) | 0.19 | (f) | 0.92 | (f) | 10 | 7 |
See Notes to Financial Statements. | 37 |
Financial Highlights (continued)
MULTI-ASSET GROWTH FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(b) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
5/31/2018(d) | $18.42 | $0.14 | $(0.13 | ) | $0.01 | $(0.51 | ) | $(0.59 | ) | $(1.10 | ) | |||||||||||||||||
11/30/2017 | 16.75 | 0.41 | 1.71 | 2.12 | (0.45 | ) | – | (0.45 | ) | |||||||||||||||||||
11/30/2016 | 16.84 | 0.47 | 0.71 | 1.18 | (0.52 | ) | (0.75 | ) | (1.27 | ) | ||||||||||||||||||
11/30/2015 | 19.46 | 0.47 | (1.06 | ) | (0.59 | ) | (0.81 | ) | (1.22 | ) | (2.03 | ) | ||||||||||||||||
11/30/2014 | 19.02 | 0.53 | 1.27 | 1.80 | (0.81 | ) | (0.55 | ) | (1.36 | ) | ||||||||||||||||||
11/30/2013 | 16.18 | 0.50 | 2.89 | 3.39 | (0.55 | ) | – | (0.55 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2018(d) | 18.23 | 0.08 | (0.13 | ) | (0.05 | ) | (0.45 | ) | (0.59 | ) | (1.04 | ) | ||||||||||||||||
11/30/2017 | 16.59 | 0.28 | 1.68 | 1.96 | (0.32 | ) | – | (0.32 | ) | |||||||||||||||||||
11/30/2016 | 16.69 | 0.34 | 0.72 | 1.06 | (0.41 | ) | (0.75 | ) | (1.16 | ) | ||||||||||||||||||
11/30/2015 | 19.30 | 0.34 | (1.04 | ) | (0.70 | ) | (0.69 | ) | (1.22 | ) | (1.91 | ) | ||||||||||||||||
11/30/2014 | 18.89 | 0.39 | 1.24 | 1.63 | (0.67 | ) | (0.55 | ) | (1.22 | ) | ||||||||||||||||||
11/30/2013 | 16.06 | 0.37 | 2.89 | 3.26 | (0.43 | ) | – | (0.43 | ) | |||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2018(d) | 18.41 | 0.16 | (0.13 | ) | 0.03 | (0.53 | ) | (0.59 | ) | (1.12 | ) | |||||||||||||||||
11/30/2017 | 16.75 | 0.42 | 1.72 | 2.14 | (0.48 | ) | – | (0.48 | ) | |||||||||||||||||||
11/30/2016 | 16.83 | 0.48 | 0.74 | 1.22 | (0.55 | ) | (0.75 | ) | (1.30 | ) | ||||||||||||||||||
11/30/2015 | 19.45 | 0.49 | (1.05 | ) | (0.56 | ) | (0.84 | ) | (1.22 | ) | (2.06 | ) | ||||||||||||||||
11/30/2014 | 19.02 | 0.56 | 1.26 | 1.82 | (0.84 | ) | (0.55 | ) | (1.39 | ) | ||||||||||||||||||
11/30/2013 | 16.17 | 0.54 | 2.89 | 3.43 | (0.58 | ) | – | (0.58 | ) | |||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2018(d) | 18.53 | 0.17 | (0.13 | ) | 0.04 | (0.54 | ) | (0.59 | ) | (1.13 | ) | |||||||||||||||||
4/4/2017 to 11/30/2017(g) | 17.35 | 0.31 | 1.03 | 1.34 | (0.16 | ) | – | (0.16 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2018(d) | 18.52 | 0.16 | (0.13 | ) | 0.03 | (0.54 | ) | (0.59 | ) | (1.13 | ) | |||||||||||||||||
11/30/2017 | 16.84 | 0.50 | 1.68 | 2.18 | (0.50 | ) | – | (0.50 | ) | |||||||||||||||||||
11/30/2016 | 16.92 | 0.51 | 0.72 | 1.23 | (0.56 | ) | (0.75 | ) | (1.31 | ) | ||||||||||||||||||
11/30/2015 | 19.54 | 0.52 | (1.06 | ) | (0.54 | ) | (0.86 | ) | (1.22 | ) | (2.08 | ) | ||||||||||||||||
11/30/2014 | 19.10 | 0.58 | 1.26 | 1.84 | (0.85 | ) | (0.55 | ) | (1.40 | ) | ||||||||||||||||||
11/30/2013 | 16.24 | 0.54 | 2.92 | 3.46 | (0.60 | ) | – | (0.60 | ) | |||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
5/31/2018(d) | 18.81 | 0.11 | (0.13 | ) | (0.02 | ) | (0.48 | ) | (0.59 | ) | (1.07 | ) | ||||||||||||||||
11/30/2017 | 17.07 | 0.31 | 1.78 | 2.09 | (0.35 | ) | – | (0.35 | ) | |||||||||||||||||||
11/30/2016 | 17.11 | 0.45 | 0.70 | 1.15 | (0.44 | ) | (0.75 | ) | (1.19 | ) | ||||||||||||||||||
11/30/2015 | 19.74 | 0.42 | (1.08 | ) | (0.66 | ) | (0.75 | ) | (1.22 | ) | (1.97 | ) | ||||||||||||||||
11/30/2014 | 19.27 | 0.46 | 1.30 | 1.76 | (0.74 | ) | (0.55 | ) | (1.29 | ) | ||||||||||||||||||
11/30/2013 | 16.39 | 0.43 | 2.95 | 3.38 | (0.50 | ) | – | (0.50 | ) | |||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2018(d) | 18.36 | 0.12 | (0.13 | ) | (0.01 | ) | (0.49 | ) | (0.59 | ) | (1.08 | ) | ||||||||||||||||
11/30/2017 | 16.70 | 0.37 | 1.70 | 2.07 | (0.41 | ) | – | (0.41 | ) | |||||||||||||||||||
11/30/2016 | 16.79 | 0.43 | 0.72 | 1.15 | (0.49 | ) | (0.75 | ) | (1.24 | ) | ||||||||||||||||||
11/30/2015 | 19.41 | 0.43 | (1.06 | ) | (0.63 | ) | (0.77 | ) | (1.22 | ) | (1.99 | ) | ||||||||||||||||
11/30/2014 | 18.98 | 0.48 | 1.26 | 1.74 | (0.76 | ) | (0.55 | ) | (1.31 | ) | ||||||||||||||||||
11/30/2013 | 16.14 | 0.45 | 2.90 | 3.35 | (0.51 | ) | – | (0.51 | ) |
38 | See Notes to Financial Statements. |
Ratios to Average Net Assets:(a) | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return(c) (%) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$17.33 | 0.07 | (e) | 0.54 | (f) | 0.54 | (f) | 1.62 | (f) | $694,227 | 21 | (e) | |||||||||||||||
18.42 | 12.89 | 0.52 | 0.53 | 2.34 | 744,029 | 39 | ||||||||||||||||||||
16.75 | 7.80 | 0.37 | 0.54 | 2.96 | 780,671 | 21 | ||||||||||||||||||||
16.84 | (3.31 | ) | 0.35 | 0.51 | 2.67 | 855,234 | 18 | |||||||||||||||||||
19.46 | 9.98 | 0.34 | 0.52 | 2.79 | 834,090 | 38 | ||||||||||||||||||||
19.02 | 21.42 | 0.31 | 0.53 | 2.80 | 748,409 | 37 | ||||||||||||||||||||
17.14 | (0.31 | )(e) | 1.29 | (f) | 1.29 | (f) | 0.87 | (f) | 148,923 | 21 | (e) | |||||||||||||||
18.23 | 11.98 | 1.26 | 1.28 | 1.59 | 182,142 | 39 | ||||||||||||||||||||
16.59 | 7.00 | 1.12 | 1.29 | 2.21 | 205,600 | 21 | ||||||||||||||||||||
16.69 | (3.99 | ) | 1.09 | 1.26 | 1.94 | 241,107 | 18 | |||||||||||||||||||
19.30 | 9.11 | 1.08 | 1.25 | 2.07 | 211,947 | 38 | ||||||||||||||||||||
18.89 | 20.66 | 1.05 | 1.26 | 2.09 | 161,591 | 37 | ||||||||||||||||||||
17.32 | 0.14 | (e) | 0.39 | (f) | 0.39 | (f) | 1.77 | (f) | 38,240 | 21 | (e) | |||||||||||||||
18.41 | 13.00 | 0.37 | 0.38 | 2.39 | 39,865 | 39 | ||||||||||||||||||||
16.75 | 8.02 | 0.22 | 0.39 | 3.08 | 38,176 | 21 | ||||||||||||||||||||
16.83 | (3.17 | ) | 0.20 | 0.37 | 2.79 | 64,171 | 18 | |||||||||||||||||||
19.45 | 10.11 | 0.19 | 0.37 | 2.95 | 54,699 | 38 | ||||||||||||||||||||
19.02 | 21.68 | 0.16 | 0.38 | 3.03 | 16,769 | 37 | ||||||||||||||||||||
17.44 | 0.21 | (e) | 0.22 | (f) | 0.22 | (f) | 1.93 | (f) | 23 | 21 | (e) | |||||||||||||||
18.53 | 7.77 | (e) | 0.24 | (f) | 0.24 | (f) | 2.59 | (f) | 24 | 39 | ||||||||||||||||
17.42 | 0.14 | (e) | 0.29 | (f) | 0.29 | (f) | 1.80 | (f) | 22,199 | 21 | (e) | |||||||||||||||
18.52 | 13.16 | 0.27 | 0.28 | 2.85 | 20,768 | 39 | ||||||||||||||||||||
16.84 | 8.09 | 0.12 | 0.29 | 3.23 | 11,219 | 21 | ||||||||||||||||||||
16.92 | (3.06 | ) | 0.10 | 0.26 | 2.91 | 13,750 | 18 | |||||||||||||||||||
19.54 | 10.21 | 0.09 | 0.27 | 3.08 | 13,991 | 38 | ||||||||||||||||||||
19.10 | 21.76 | 0.06 | 0.28 | 3.04 | 10,957 | 37 | ||||||||||||||||||||
17.72 | (0.10 | )(e) | 0.87 | (f) | 0.87 | (f) | 1.27 | (f) | 25 | 21 | (e) | |||||||||||||||
18.81 | 12.43 | 0.87 | 0.88 | 1.74 | 33 | 39 | ||||||||||||||||||||
17.07 | 7.44 | 0.72 | 0.89 | 2.81 | 155 | 21 | ||||||||||||||||||||
17.11 | (3.67 | ) | 0.70 | 0.86 | 2.33 | 247 | 18 | |||||||||||||||||||
19.74 | 9.63 | 0.69 | 0.87 | 2.43 | 288 | 38 | ||||||||||||||||||||
19.27 | 20.99 | 0.66 | 0.88 | 2.39 | 149 | 37 | ||||||||||||||||||||
17.27 | (0.05 | )(e) | 0.78 | (f) | 0.78 | (f) | 1.39 | (f) | 23,777 | 21 | (e) | |||||||||||||||
18.36 | 12.60 | 0.74 | 0.76 | 2.13 | 25,946 | 39 | ||||||||||||||||||||
16.70 | 7.58 | 0.61 | 0.78 | 2.75 | 28,791 | 21 | ||||||||||||||||||||
16.79 | (3.55 | ) | 0.59 | 0.75 | 2.44 | 27,022 | 18 | |||||||||||||||||||
19.41 | 9.70 | 0.58 | 0.76 | 2.56 | 23,344 | 38 | ||||||||||||||||||||
18.98 | 21.20 | 0.55 | 0.76 | 2.56 | 18,989 | 37 |
See Notes to Financial Statements. | 39 |
Financial Highlights (continued)
MULTI-ASSET GROWTH FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(b) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2018(d) | $18.40 | $0.13 | $(0.12 | ) | $0.01 | $(0.52 | ) | $(0.59 | ) | $(1.11 | ) | |||||||||||||||||
11/30/2017 | 16.75 | 0.42 | 1.69 | 2.11 | (0.46 | ) | – | (0.46 | ) | |||||||||||||||||||
11/30/2016 | 16.84 | 0.48 | 0.71 | 1.19 | (0.53 | ) | (0.75 | ) | (1.28 | ) | ||||||||||||||||||
6/30/2015 to 11/30/2015(h) | 17.67 | 0.20 | (0.95 | ) | (0.75 | ) | (0.08 | ) | – | (0.08 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
5/31/2018(d) | 18.53 | 0.16 | (0.12 | ) | 0.04 | (0.54 | ) | (0.59 | ) | (1.13 | ) | |||||||||||||||||
11/30/2017 | 16.85 | 0.46 | 1.71 | 2.17 | (0.49 | ) | – | (0.49 | ) | |||||||||||||||||||
11/30/2016 | 16.93 | 0.52 | 0.71 | 1.23 | (0.56 | ) | (0.75 | ) | (1.31 | ) | ||||||||||||||||||
6/30/2015 to 11/30/2015(h) | 17.75 | 0.21 | (0.94 | ) | (0.73 | ) | (0.09 | ) | – | (0.09 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
5/31/2018(d) | 18.54 | 0.14 | (0.10 | ) | 0.04 | (0.54 | ) | (0.59 | ) | (1.13 | ) | |||||||||||||||||
11/30/2017 | 16.84 | 0.46 | 1.74 | 2.20 | (0.50 | ) | – | (0.50 | ) | |||||||||||||||||||
11/30/2016 | 16.93 | 0.58 | 0.65 | 1.23 | (0.57 | ) | (0.75 | ) | (1.32 | ) | ||||||||||||||||||
6/30/2015 to 11/30/2015(h) | 17.75 | 0.21 | (0.94 | ) | (0.73 | ) | (0.09 | ) | – | (0.09 | ) |
(a) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(b) | Calculated using average shares outstanding during the period. |
(c) | Total return for Classes A and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(d) | Unaudited. |
(e) | Not annualized. |
(f) | Annualized. |
(g) | Commenced on April 4, 2017. |
(h) | Commenced on June 30, 2015. |
40 | See Notes to Financial Statements. |
Ratios to Average Net Assets:(a) | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return(c) (%) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$17.30 | 0.04 | (e) | 0.53 | (f) | 0.53 | (f) | 1.49 | (f) | $2,995 | 21 | (e) | |||||||||||||||
18.40 | 12.85 | 0.51 | 0.52 | 2.38 | 2,009 | 39 | ||||||||||||||||||||
16.75 | 7.86 | 0.37 | 0.54 | 3.06 | 118 | 21 | ||||||||||||||||||||
16.84 | (4.25 | )(e) | 0.33 | (f) | 0.52 | (f) | 2.83 | (f) | 10 | 18 | ||||||||||||||||
17.44 | 0.19 | (e) | 0.25 | (f) | 0.25 | (f) | 1.87 | (f) | 12 | 21 | (e) | |||||||||||||||
18.53 | 13.15 | 0.25 | 0.27 | 2.60 | 12 | 39 | ||||||||||||||||||||
16.85 | 8.09 | 0.11 | 0.28 | 3.26 | 10 | 21 | ||||||||||||||||||||
16.93 | (4.11 | )(e) | 0.08 | (f) | 0.27 | (f) | 2.99 | (f) | 10 | 18 | ||||||||||||||||
17.45 | 0.21 | (e) | 0.19 | (f) | 0.19 | (f) | 1.58 | (f) | 10,975 | 21 | (e) | |||||||||||||||
18.54 | 13.31 | 0.19 | 0.19 | 2.57 | 4,801 | 39 | ||||||||||||||||||||
16.84 | 8.06 | 0.13 | 0.18 | 3.55 | 175 | 21 | ||||||||||||||||||||
16.93 | (4.11 | )(e) | 0.07 | (f) | 0.14 | (f) | 3.00 | (f) | 10 | 18 |
See Notes to Financial Statements. | 41 |
Financial Highlights (continued)
MULTI-ASSET INCOME FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(b) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
5/31/2018(d) | $15.08 | $0.19 | $(0.05 | ) | $0.14 | $(0.31 | ) | $ | – | $(0.31 | ) | |||||||||||||||||
11/30/2017 | 14.14 | 0.48 | 0.93 | 1.41 | (0.47 | ) | – | (0.47 | ) | |||||||||||||||||||
11/30/2016 | 14.24 | 0.56 | 0.25 | 0.81 | (0.55 | ) | (0.36 | ) | (0.91 | ) | ||||||||||||||||||
11/30/2015 | 15.78 | 0.55 | (0.98 | ) | (0.43 | ) | (0.75 | ) | (0.36 | ) | (1.11 | ) | ||||||||||||||||
11/30/2014 | 15.99 | 0.56 | 0.31 | 0.87 | (0.74 | ) | (0.34 | ) | (1.08 | ) | ||||||||||||||||||
11/30/2013 | 14.95 | 0.58 | 1.15 | 1.73 | (0.64 | ) | (0.05 | ) | (0.69 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2018(d) | 15.29 | 0.14 | (0.06 | ) | 0.08 | (0.25 | ) | – | (0.25 | ) | ||||||||||||||||||
11/30/2017 | 14.34 | 0.38 | 0.93 | 1.31 | (0.36 | ) | – | (0.36 | ) | |||||||||||||||||||
11/30/2016 | 14.42 | 0.47 | 0.26 | 0.73 | (0.45 | ) | (0.36 | ) | (0.81 | ) | ||||||||||||||||||
11/30/2015 | 15.97 | 0.45 | (1.00 | ) | (0.55 | ) | (0.64 | ) | (0.36 | ) | (1.00 | ) | ||||||||||||||||
11/30/2014 | 16.17 | 0.45 | 0.31 | 0.76 | (0.62 | ) | (0.34 | ) | (0.96 | ) | ||||||||||||||||||
11/30/2013 | 15.12 | 0.47 | 1.16 | 1.63 | (0.53 | ) | (0.05 | ) | (0.58 | ) | ||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2018(d) | 15.08 | 0.20 | (0.06 | ) | 0.14 | (0.32 | ) | – | (0.32 | ) | ||||||||||||||||||
11/30/2017 | 14.14 | 0.50 | 0.93 | 1.43 | (0.49 | ) | – | (0.49 | ) | |||||||||||||||||||
11/30/2016 | 14.23 | 0.59 | 0.25 | 0.84 | (0.57 | ) | (0.36 | ) | (0.93 | ) | ||||||||||||||||||
11/30/2015 | 15.78 | 0.58 | (1.00 | ) | (0.42 | ) | (0.77 | ) | (0.36 | ) | (1.13 | ) | ||||||||||||||||
11/30/2014 | 15.98 | 0.58 | 0.32 | 0.90 | (0.76 | ) | (0.34 | ) | (1.10 | ) | ||||||||||||||||||
11/30/2013 | 14.95 | 0.60 | 1.15 | 1.75 | (0.67 | ) | (0.05 | ) | (0.72 | ) | ||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2018(d) | 15.00 | 0.21 | (0.05 | ) | 0.16 | (0.33 | ) | – | (0.33 | ) | ||||||||||||||||||
4/4/2017 to 11/30/2017(g) | 14.42 | 0.29 | 0.56 | 0.85 | (0.27 | ) | – | (0.27 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2018(d) | 14.99 | 0.21 | (0.05 | ) | 0.16 | (0.33 | ) | – | (0.33 | ) | ||||||||||||||||||
11/30/2017 | 14.07 | 0.54 | 0.89 | 1.43 | (0.51 | ) | – | (0.51 | ) | |||||||||||||||||||
11/30/2016 | 14.17 | 0.59 | 0.26 | 0.85 | (0.59 | ) | (0.36 | ) | (0.95 | ) | ||||||||||||||||||
11/30/2015 | 15.71 | 0.59 | (0.99 | ) | (0.40 | ) | (0.78 | ) | (0.36 | ) | (1.14 | ) | ||||||||||||||||
11/30/2014 | 15.92 | 0.59 | 0.31 | 0.90 | (0.77 | ) | (0.34 | ) | (1.11 | ) | ||||||||||||||||||
11/30/2013 | 14.89 | 0.60 | 1.16 | 1.76 | (0.68 | ) | (0.05 | ) | (0.73 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
5/31/2018(d) | 15.47 | 0.17 | (0.05 | ) | 0.12 | (0.28 | ) | – | (0.28 | ) | ||||||||||||||||||
11/30/2017 | 14.50 | 0.45 | 0.94 | 1.39 | (0.42 | ) | – | (0.42 | ) | |||||||||||||||||||
11/30/2016 | 14.57 | 0.55 | 0.24 | 0.79 | (0.50 | ) | (0.36 | ) | (0.86 | ) | ||||||||||||||||||
11/30/2015 | 16.12 | 0.52 | (1.02 | ) | (0.50 | ) | (0.69 | ) | (0.36 | ) | (1.05 | ) | ||||||||||||||||
11/30/2014 | 16.31 | 0.52 | 0.31 | 0.83 | (0.68 | ) | (0.34 | ) | (1.02 | ) | ||||||||||||||||||
11/30/2013 | 15.24 | 0.54 | 1.17 | 1.71 | (0.59 | ) | (0.05 | ) | (0.64 | ) | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2018(d) | 15.08 | 0.17 | (0.05 | ) | 0.12 | (0.29 | ) | – | (0.29 | ) | ||||||||||||||||||
11/30/2017 | 14.14 | 0.44 | 0.94 | 1.38 | (0.44 | ) | – | (0.44 | ) | |||||||||||||||||||
11/30/2016 | 14.24 | 0.53 | 0.25 | 0.78 | (0.52 | ) | (0.36 | ) | (0.88 | ) | ||||||||||||||||||
11/30/2015 | 15.79 | 0.51 | (0.99 | ) | (0.48 | ) | (0.71 | ) | (0.36 | ) | (1.07 | ) | ||||||||||||||||
11/30/2014 | 15.99 | 0.52 | 0.32 | 0.84 | (0.70 | ) | (0.34 | ) | (1.04 | ) | ||||||||||||||||||
11/30/2013 | 14.96 | 0.54 | 1.14 | 1.68 | (0.60 | ) | (0.05 | ) | (0.65 | ) |
42 | See Notes to Financial Statements. |
Ratios to Average Net Assets:(a) | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return(c) (%) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$14.91 | 0.95 | (e) | 0.50 | (f) | 0.50 | (f) | 2.56 | (f) | $778,565 | 10 | (e) | |||||||||||||||
15.08 | 10.15 | 0.48 | 0.49 | 3.30 | 799,727 | 55 | ||||||||||||||||||||
14.14 | 6.09 | 0.37 | 0.49 | 4.11 | 849,321 | 26 | ||||||||||||||||||||
14.24 | (2.90 | ) | 0.35 | 0.47 | 3.71 | 1,023,100 | 26 | |||||||||||||||||||
15.78 | 5.62 | 0.34 | 0.47 | 3.55 | 1,108,030 | 43 | ||||||||||||||||||||
15.99 | 11.77 | 0.31 | 0.49 | 3.72 | 614,499 | 27 | ||||||||||||||||||||
15.12 | 0.55 | (e) | 1.25 | (f) | 1.25 | (f) | 1.83 | (f) | 470,610 | 10 | (e) | |||||||||||||||
15.29 | 9.25 | 1.23 | 1.24 | 2.57 | 518,727 | 55 | ||||||||||||||||||||
14.34 | 5.36 | 1.12 | 1.24 | 3.37 | 594,759 | 26 | ||||||||||||||||||||
14.42 | (3.64 | ) | 1.10 | 1.22 | 2.95 | 750,006 | 26 | |||||||||||||||||||
15.97 | 4.86 | 1.09 | 1.22 | 2.80 | 758,668 | 43 | ||||||||||||||||||||
16.17 | 10.91 | 1.06 | 1.23 | 2.96 | 397,035 | 27 | ||||||||||||||||||||
14.90 | 0.95 | (e) | 0.35 | (f) | 0.35 | (f) | 2.71 | (f) | 256,797 | 10 | (e) | |||||||||||||||
15.08 | 10.32 | 0.33 | 0.34 | 3.39 | 259,296 | 55 | ||||||||||||||||||||
14.14 | 6.32 | 0.22 | 0.34 | 4.31 | 279,182 | 26 | ||||||||||||||||||||
14.23 | (2.82 | ) | 0.20 | 0.32 | 3.86 | 454,281 | 26 | |||||||||||||||||||
15.78 | 5.83 | 0.19 | 0.32 | 3.68 | 616,791 | 43 | ||||||||||||||||||||
15.98 | 11.94 | 0.17 | 0.34 | 3.85 | 264,414 | 27 | ||||||||||||||||||||
14.83 | 1.08 | (e) | 0.18 | (f) | 0.18 | (f) | 2.81 | (f) | 4,232 | 10 | (e) | |||||||||||||||
15.00 | 5.96 | (e) | 0.18 | (f) | 0.18 | (f) | 2.99 | (f) | 3,519 | 55 | ||||||||||||||||
14.82 | 1.07 | 0.25 | 0.25 | 2.82 | 54,037 | 10 | (e) | |||||||||||||||||||
14.99 | 10.34 | 0.22 | 0.23 | 3.70 | 56,927 | 55 | ||||||||||||||||||||
14.07 | 6.39 | 0.12 | 0.24 | 4.35 | 11,508 | 26 | ||||||||||||||||||||
14.17 | (2.67 | ) | 0.10 | 0.22 | 3.95 | 15,684 | 26 | |||||||||||||||||||
15.71 | 5.90 | 0.09 | 0.23 | 3.75 | 21,656 | 43 | ||||||||||||||||||||
15.92 | 12.10 | 0.07 | 0.24 | 3.87 | 4,531 | 27 | ||||||||||||||||||||
15.31 | 0.81 | (e) | 0.84 | (f) | 0.84 | (f) | 2.20 | (f) | 126 | 10 | (e) | |||||||||||||||
15.47 | 9.70 | 0.83 | 0.84 | 3.02 | 118 | 55 | ||||||||||||||||||||
14.50 | 5.76 | 0.72 | 0.84 | 4.04 | 155 | 26 | ||||||||||||||||||||
14.57 | (3.24 | ) | 0.70 | 0.82 | 3.38 | 762 | 26 | |||||||||||||||||||
16.12 | 5.26 | 0.69 | 0.82 | 3.21 | 755 | 43 | ||||||||||||||||||||
16.31 | 11.35 | 0.66 | 0.84 | 3.40 | 969 | 27 | ||||||||||||||||||||
14.91 | 0.82 | (e) | 0.74 | (f) | 0.74 | (f) | 2.34 | (f) | 17,830 | 10 | (e) | |||||||||||||||
15.08 | 9.88 | 0.73 | 0.74 | 3.03 | 19,564 | 55 | ||||||||||||||||||||
14.14 | 5.84 | 0.62 | 0.74 | 3.84 | 18,982 | 26 | ||||||||||||||||||||
14.24 | (3.19 | ) | 0.60 | 0.72 | 3.45 | 17,193 | 26 | |||||||||||||||||||
15.79 | 5.43 | 0.59 | 0.72 | 3.31 | 12,578 | 43 | ||||||||||||||||||||
15.99 | 11.50 | 0.56 | 0.73 | 3.47 | 8,825 | 27 |
See Notes to Financial Statements. | 43 |
Financial Highlights (concluded)
MULTI-ASSET INCOME FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(b) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2018(d) | $15.08 | $0.17 | $(0.04 | ) | $0.13 | $(0.31 | ) | $ | – | $(0.31 | ) | |||||||||||||||||
11/30/2017 | 14.15 | 0.40 | 1.01 | 1.41 | (0.48 | ) | – | (0.48 | ) | |||||||||||||||||||
11/30/2016 | 14.24 | 0.56 | 0.26 | 0.82 | (0.55 | ) | (0.36 | ) | (0.91 | ) | ||||||||||||||||||
6/30/2015 to 11/30/2015(h) | 14.98 | 0.21 | (0.75 | ) | (0.54 | ) | (0.20 | ) | – | (0.20 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
5/31/2018(d) | 14.99 | 0.20 | (0.04 | ) | 0.16 | (0.33 | ) | – | (0.33 | ) | ||||||||||||||||||
11/30/2017 | 14.07 | 0.48 | 0.95 | 1.43 | (0.51 | ) | – | (0.51 | ) | |||||||||||||||||||
11/30/2016 | 14.16 | 0.59 | 0.26 | 0.85 | (0.58 | ) | (0.36 | ) | (0.94 | ) | ||||||||||||||||||
6/30/2015 to 11/30/2015(h) | 14.90 | 0.22 | (0.75 | ) | (0.53 | ) | (0.21 | ) | – | (0.21 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
5/31/2018(d) | 15.00 | 0.19 | (0.03 | ) | 0.16 | (0.33 | ) | – | (0.33 | ) | ||||||||||||||||||
11/30/2017 | 14.06 | 0.44 | 1.01 | 1.45 | (0.51 | ) | – | (0.51 | ) | |||||||||||||||||||
11/30/2016 | 14.16 | 0.59 | 0.26 | 0.85 | (0.59 | ) | (0.36 | ) | (0.95 | ) | ||||||||||||||||||
6/30/2015 to 11/30/2015(h) | 14.90 | 0.22 | (0.75 | ) | (0.53 | ) | (0.21 | ) | – | (0.21 | ) | |||||||||||||||||
Class T | ||||||||||||||||||||||||||||
5/31/2018(d) | 15.08 | 0.20 | (0.06 | ) | 0.14 | (0.31 | ) | – | (0.31 | ) | ||||||||||||||||||
7/28/2017 to 11/30/2017(i) | 14.79 | 0.13 | 0.29 | 0.42 | (0.13 | ) | – | (0.13 | ) |
(a) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(b) | Calculated using average shares outstanding during the period. |
(c) | Total return for Classes A, C and T does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(d) | Unaudited. |
(e) | Not annualized. |
(f) | Annualized. |
(g) | Commenced on April 4, 2017. |
(h) | Commenced on June 30, 2015. |
(i) | Commenced on July 28, 2017. |
44 | See Notes to Financial Statements. |
Ratios to Average Net Assets:(a) | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return(c) (%) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$14.90 | 0.89 | (e) | 0.49 | (f) | 0.49 | (f) | 2.34 | (f) | $1,843 | 10 | (e) | |||||||||||||||
15.08 | 10.11 | 0.48 | 0.48 | 2.74 | 569 | 55 | ||||||||||||||||||||
14.15 | 6.18 | 0.38 | 0.50 | 4.08 | 35 | 26 | ||||||||||||||||||||
14.24 | (3.62 | )(e) | 0.35 | (f) | 0.50 | (f) | 3.37 | (f) | 10 | 26 | ||||||||||||||||
14.82 | 1.01 | (e) | 0.23 | (f) | 0.23 | (f) | 2.74 | (f) | 27 | 10 | (e) | |||||||||||||||
14.99 | 10.41 | 0.22 | 0.23 | 3.28 | 23 | 55 | ||||||||||||||||||||
14.07 | 6.46 | 0.12 | 0.25 | 4.33 | 10 | 26 | ||||||||||||||||||||
14.16 | (3.54 | )(e) | 0.09 | (f) | 0.24 | (f) | 3.63 | (f) | 10 | 26 | ||||||||||||||||
14.83 | 1.08 | (e) | 0.18 | (f) | 0.18 | (f) | 2.53 | (f) | 2,757 | 10 | (e) | |||||||||||||||
15.00 | 10.50 | 0.18 | 0.18 | 2.99 | 1,119 | 55 | ||||||||||||||||||||
14.06 | 6.42 | 0.13 | 0.17 | 4.23 | 38 | 26 | ||||||||||||||||||||
14.16 | (3.53 | )(e) | 0.08 | (f) | 0.14 | (f) | 3.64 | (f) | 10 | 26 | ||||||||||||||||
14.91 | 0.95 | (e) | 0.41 | (f) | 0.41 | (f) | 2.65 | (f) | 10 | 10 | (e) | |||||||||||||||
15.08 | 2.83 | (e) | 0.40 | (f) | 0.40 | (f) | 2.61 | (f) | 10 | 55 |
See Notes to Financial Statements. | 45 |
Notes to Financial Statements (unaudited)
1. | ORGANIZATION |
Lord Abbett Investment Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company and was organized as a Delaware statutory trust on August 16, 1993. The Trust consists of sixteen funds. This report covers the following four funds (separately, a “Fund” and collectively, the “Funds”) and their respective active share classes:
Funds | Classes | |
Lord Abbett Multi-Asset Balanced Opportunity Fund (“Multi Asset Balanced Opportunity Fund”) | A, C, F, F3, I, P, R2, R3, R4, R5, R6, and T | |
Lord Abbett Multi-Asset Focused Growth Fund (“Multi Asset Focused Growth Fund”) | A, C, F, F3, I, R2, R3, R4, R5, and R6 | |
Lord Abbett Multi-Asset Growth Fund (“Multi-Asset Growth Fund”) | A, C, F, F3, I, R2, R3, R4, R5, and R6 | |
Lord Abbett Multi-Asset Income Fund (“Multi-Asset Income Fund”) | A, C, F, F3, I, R2, R3, R4, R5, R6, and T |
The Funds’ Class P shares are closed to substantially all new investors, with certain exceptions as set forth in the Funds’ prospectus. On April 25, 2018, the Funds’ remaining Class B shares converted to Class A Shares.
Multi-Asset Balanced Opportunity Fund’s investment objective is to seek current income and capital growth. Multi-Asset Focused Growth Fund’s investment objective is to seek capital appreciation. Multi-Asset Growth Fund’s investment objective is to seek long-term capital appreciation and growth of income. Multi-Asset Income Fund’s investment objective is to seek a high level of current income. The Funds invest principally in other mutual funds (“Underlying Funds”) managed by Lord, Abbett & Co. LLC (“Lord Abbett”).
Each class of shares has different expenses and dividends. A front-end sales charge is normally added to the net asset value (“NAV”) for Class A and Class T shares. There is no front-end sales charge in the case of Class C, F, F3, I, P, R2, R3, R4, R5 and R6 shares, although there may be a contingent deferred sales charge (“CDSC”) in certain cases as follows: Class A shares purchased without a sales charge and redeemed before the first day of the month in which the one-year anniversary of the purchase falls (subject to certain exceptions as set forth in each Fund’s prospectus); Class B shares redeemed before the sixth anniversary of purchase; and Class C shares redeemed before the first anniversary of purchase. Effective April 30, 2018, Class C shares will automatically convert to Class A shares on the 25th day of the month (or, if the 25th is not a business day, the next business day thereafter) following the tenth anniversary of the month on which the purchase order was accepted.
The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. These Funds are considered investment companies under U.S. GAAP and follow the accounting and reporting guidance applicable to investment companies.
46
Notes to Financial Statements (unaudited)(continued)
2. | SIGNIFICANT ACCOUNTING POLICIES |
(a) | Investment Valuation–Under procedures approved by the Funds’ Board of Trustees (the “Board”), Lord Abbett, the Funds’ investment manager, has formed a Pricing Committee to administer the pricing and valuation of portfolio investments and to ensure that prices utilized reasonably reflect fair value. Among other things, these procedures allow the Funds to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value. |
Investments in the Underlying Funds are valued at their NAV each business day at the close of regular trading on the New York Stock Exchange, normally 4:00 p.m. Eastern time. Exchange traded futures contracts are valued at the last sales price in the market in which they are principally traded. If no sale has occurred, the mean between the most recently quoted bid and ask prices is used. Forward foreign currency exchange contracts are valued using daily forward exchange rates. Swaps are valued daily using independent pricing services or quotations from broker/dealers to the extent available. | |
Securities for which prices are not readily available are valued at fair value as determined by the Pricing Committee. The Pricing Committee considers a number of factors, including observable and unobservable inputs, when arriving at fair value. The Pricing Committee may use related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information to determine the fair value of portfolio investments. The Board or a designated committee thereof regularly reviews fair value determinations made by the Pricing Committee and may employ techniques such as reviewing related market activity, reviewing inputs and assumptions, and retrospectively comparing prices of subsequent purchases and sales transactions to fair value determinations made by the Pricing Committee. | |
Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value. | |
(b) | Security Transactions–Security transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method. Realized and unrealized gains (losses) are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
(c) | Investment Income–Dividend income and capital gain distributions are recorded on the ex-dividend date. Interest income is recorded on the accrual basis as earned. Discounts are accreted and premiums are amortized using the effective interest method and are included in Interest and other income on the Statements of Operations. Investment income is allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
(d) | Income Taxes–It is the policy of each Fund to meet the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all taxable income and capital gains to its shareholders. Therefore, no income tax provision is required. |
Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s filed U.S. federal tax returns remains open for the fiscal years ended November 30, 2014 through November 30, 2017. The statutes of limitations on the Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction. |
47
Notes to Financial Statements (unaudited)(continued)
(e) | Expenses–Expenses incurred by the Trust that do not specifically relate to an individual fund are generally allocated to the Funds within the Trust on a pro rata basis by relative net assets. Expenses, excluding class-specific expenses, are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. Class A, B, C, F, P, R2, R3, R4 and T shares bear their class-specific share of all expenses and fees relating to the Funds’ 12b-1 Distribution Plan. |
(f) | Forward Foreign Currency Exchange Contracts–Each Fund may enter into forward foreign currency exchange contracts in order to reduce their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings, or gain or reduce exposure to foreign currency solely for investment purposes. A forward foreign currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated rate. The contracts are valued daily at forward exchange rates and any unrealized gain (loss) is included in Net change in unrealized appreciation/depreciation on foreign currency exchange contracts in each Fund’s Statement of Operations. The gain (loss) arising from the difference between the U.S. dollar cost of the original contract and the value of the foreign currency in U.S. dollars upon closing of such contracts is included in Net realized gain (loss) on foreign currency exchange contracts in each Fund’s Statement of Operations. |
(g) | Futures Contracts–Each Fund may purchase and sell futures contracts to manage cash, to adjust exposure to the direction of interest rates or as a substitute position in lieu of holding the underlying asset on which the instrument is based. At the time of entering into a futures transaction, an investor is required to deposit and maintain a specified amount of cash or eligible securities called “initial margin.” Subsequent payments made or received by the Fund called “variation margin” are made on a daily basis as the market price of the futures contract fluctuates. Each Fund will record an unrealized gain (loss) based on the amount of variation margin. When a contract is closed, a realized gain is recorded equal to the difference between the opening and closing value of the contract. |
(h) | Credit Default Swaps–Each Fund may enter into credit default swap contracts. As a seller of a credit default swap contract (“seller of protection”), a Fund is required to pay the notional amount or other agreed-upon value of a referenced debt obligation to the counterparty in the event of a default by or other credit event involving the referenced issuer, obligation or index. In return, a Fund receives from the counterparty a periodic stream of payments over the term of the contract. |
As a purchaser of a credit default swap contract (“buyer of protection”), a Fund would receive the notional amount or other agreed upon value of a referenced debt obligation from the counterparty in the event of default by or other credit event involving the referenced issuer, obligation or index. In return, a Fund would make periodic payments to the counterparty over the term of the contracts, provided no event of default has occurred. | |
These credit default swaps may have as a reference obligation corporate or sovereign issuers or credit indices. These credit indices are comprised of a basket of securities representing a particular sector of the market. | |
Credit default swaps are fair valued based upon quotations from counterparties, brokers or market-makers and the change in value, if any, is recorded as an unrealized appreciation or depreciation. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a receivable or payable for the change in value as appropriate (“variation margin”) on the |
48
Notes to Financial Statements (unaudited)(continued)
Statements of Assets and Liabilities. For a credit default swap sold by a Fund, payment of the agreed-upon amount made by a Fund in the event of default of the referenced debt obligation is recorded as the cost of the referenced debt obligation purchased/received. For a credit default swap purchased by a Fund, the agreed-upon amount received by a Fund in the event of default of the referenced debt obligation is recorded as proceeds from sale/delivery of the referenced debt obligation and the resulting gain or loss realized on the referenced debt obligation is recorded as such by a Fund. | |
Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the custodian bank or broker in accordance with the swap agreement. The value and credit rating of each credit default swap where the Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. The maximum potential amount of future payments (undiscounted) that the Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by the Funds for the same referenced entity or entities. | |
Entering into credit default swaps involves credit and market risk. Such risks involve the possibility that there will be no liquid market for these agreements, that there may be unfavorable changes in interest rates, and that Lord Abbett does not correctly predict the creditworthiness of the issuers of the reference obligation on which the credit default swap is based. | |
(i) | Total Return Swaps–Each Fund may enter into total return swap agreements to obtain exposure to a security or market without owning such security or investing directly in that market. Each Fund may agree to make payments that are the equivalent of interest in exchange for the right to receive payments equivalent to any appreciation in the value of an underlying security, index or other asset, as well as receive payments equivalent to any distributions made on that asset, over the term of the swap. If the value of the asset underlying a total return swap declines over the term of the swap, each Fund also may be required to pay an amount equal to that decline in value to their counterparty. |
(j) | Repurchase Agreements–Each Fund may enter into repurchase agreements with respect to securities. A repurchase agreement is a transaction in which a fund acquires a security and simultaneously commits to resell that security to the seller (a bank or securities dealer) at an agreed-upon price on an agreed-upon date. Each Fund requires at all times that the repurchase agreement be collateralized by cash, or by securities of the U.S. Government, its agencies, its instrumentalities, or U.S. Government sponsored enterprises having a value equal to, or in excess of, the value of the repurchase agreement (including accrued interest). If the seller of the agreement defaults on its obligation to repurchase the underlying securities at a time when the fair value of these securities has declined, a Fund may incur a loss upon disposition of the securities. |
(k) | Fair Value Measurements–Fair value is defined as the price that each Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three- |
49
Notes to Financial Statements (unaudited)(continued)
tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk–for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy classification is determined based on the lowest level of inputs that is significant to the fair value measurement, and is summarized in the three broad Levels listed below: |
• | Level 1 – | unadjusted quoted prices in active markets for identical investments; | |
• | Level 2 – | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.); and | |
• | Level 3 – | significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments). |
A summary of inputs used in valuing each Fund’s investments and other financial instruments as of May 31, 2018 and, if applicable, Level 1/Level 2 transfers and Level 3 rollforwards for the six months then ended is included in each Fund’s Schedule of Investments. | |
Changes in valuation techniques may result in transfers into or out of an assigned level within the three-tier hierarchy. All transfers between different levels within the three-tier hierarchy are deemed to have occurred as of the beginning of the reporting period. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. |
3. | MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES |
Management Fee
The Trust has a management agreement with Lord Abbett, pursuant to which Lord Abbett supplies each Fund with investment management services and executive and other personnel, provides office space and pays for ordinary and necessary office and clerical expenses relating to research and statistical work and supervision of each Fund’s investment portfolio.
The management fee is based on each Fund’s average daily net assets at an annual rate of .10%.
For the six months ended May 31, 2018, the effective management fee, net of waivers, was based on each Fund’s average daily net assets at the following annualized rates:
Net Effective Management Fee | ||
Multi-Asset Balanced Opportunity Fund | .10% | |
Multi-Asset Focused Growth Fund | .10% | |
Multi-Asset Growth Fund | .10% | |
Multi-Asset Income Fund | .10% |
50
Notes to Financial Statements (unaudited)(continued)
In addition, Lord Abbett provides certain administrative services to each Fund pursuant to an Administrative Services Agreement in return for a fee at an annual rate of ..04% of each Fund’s average daily net assets.
12b-1 Distribution Plan
Each Fund has adopted a distribution plan with respect to Class A, B, C, F, P, R2, R3, R4 and T shares pursuant to Rule 12b-1 under the Act, which provides for the payment of ongoing distribution and service fees to Lord Abbett Distributor LLC (the “Distributor”), an affiliate of Lord Abbett. The following annual rates have been authorized by the Board pursuant to the plan:
Fees* | Class A | Class B | Class C | Class F(1) | Class P | Class R2 | Class R3 | Class R4 | Class T | |||||||||
Service | .25% | .25% | .25% | – | .25% | .25% | .25% | .25% | .25% | |||||||||
Distribution | – | .75% | .75% | .10% | .20% | .35% | .25% | – | – |
* | The Funds may designate a portion of the aggregate fee as attributable to service activities for purposes of calculating Financial Industry Regulatory Authority, Inc. (“FINRA”) sales charge limitations. |
(1) | The Class F Share Rule 12b-1 fee may be designated as a service fee in limited circumstances as described in the Funds’ prospectus. |
Class F3, Class I, Class R5 and Class R6 shares do not have a distribution plan.
Commissions
Distributor received the following commissions on sales of shares of the Funds, after concessions were paid to authorized dealers, for the six months ended May 31, 2018:
Distributor Commissions | Dealers’ Concessions | |||
Multi-Asset Balanced Opportunity Fund | $70,103 | $454,971 | ||
Multi-Asset Focused Growth Fund | 14,866 | 101,826 | ||
Multi-Asset Growth Fund | 33,424 | 229,255 | ||
Multi-Asset Income Fund | 47,567 | 299,288 |
Distributor received the following amount of CDSCs for the six months ended May 31, 2018:
Class A | Class C | |||
Multi-Asset Balanced Opportunity Fund | $ 7,000 | $ 9,025 | ||
Multi-Asset Focused Growth Fund | 2,762 | 1,310 | ||
Multi-Asset Growth Fund | 7,587 | 6,235 | ||
Multi-Asset Income Fund | 18,392 | 10,762 |
One Trustee and certain of the Trust’s officers have an interest in Lord Abbett.
4. | DISTRIBUTIONS AND CAPITAL LOSS CARRYFORWARDS |
Dividends from net investment income, if any, are declared and paid monthly for Multi-Asset Balanced Opportunity Fund and Multi-Asset Income Fund; declared and paid quarterly for Multi-Asset Growth Fund; and declared and paid annually for Multi-Asset Focused Growth Fund. Taxable net realized gains from investment transactions, reduced by allowable capital loss carryforwards, if any, are declared and distributed to shareholders at least annually. The capital loss carryforward amount, if any, is available to offset future net capital gains. Dividends and distributions to shareholders are recorded on the ex-dividend date. The amounts of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These book/tax differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are
51
Notes to Financial Statements (unaudited)(continued)
reclassified within the components of net assets based on their federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions, which exceed earnings and profits for tax purposes, are reported as a tax return of capital.
The tax character of distributions paid during the six months ended May 31, 2018 and fiscal year ended November 30, 2017 was as follows:
Multi-Asset Balanced Opportunity Fund | Multi-Asset Focused Growth Fund | ||||||||||||||
5/31/2018 | 11/30/2017 | 5/31/2018 | 11/30/2017 | ||||||||||||
Disributions paid from: | |||||||||||||||
Ordinary income | $ | 41,400,641 | $ | 51,665,599 | $ | 6,482,228 | $ | 3,168,474 | |||||||
Net long-term capital gains | 35,980,222 | – | 20,737,877 | 17,531,583 | |||||||||||
Total distributions paid | $ | 77,380,863 | $ | 51,665,599 | $ | 27,220,105 | $ | 20,700,057 | |||||||
Multi-Asset Growth Fund | Multi-Asset Income Fund | ||||||||||||||
5/31/2018 | 11/30/2017 | 5/31/2018 | 11/30/2017 | ||||||||||||
Disributions paid from: | |||||||||||||||
Ordinary income | $ | 28,111,486 | $ | 26,106,746 | $ | 32,077,589 | $ | 51,175,591 | |||||||
Net long-term capital gains | 32,735,532 | – | – | – | |||||||||||
Total distributions paid | $ | 60,847,018 | $ | 26,106,746 | $ | 32,077,589 | $ | 51,175,591 |
As of November 30, 2017, Multi-Asset Income Fund had a capital loss carryforward of $110,379,229, which will carry forward indefinitely.
In accordance with the Regulated Investment Company Modernization Act of 2010, each Fund will carryforward capital losses incurred in taxable years beginning after December 22, 2010 (“postenactment losses”) indefinitely. Post-enactment losses will also retain their character as either short-term or long-term and be utilized before any pre-enactment losses.
As of May 31, 2018, the aggregate unrealized security gains and losses based on investments and other financial instruments based on cost for U.S. federal income tax purposes were as follows:
Multi-Asset Balanced Opportunity Fund | Multi-Asset Focused Growth Fund | |||||||
Tax cost | $ | 1,676,137,560 | $ | 210,981,694 | ||||
Gross unrealized gain | 41,276,742 | 13,981,726 | ||||||
Gross unrealized loss | (11,138,382 | ) | (5,372,933 | ) | ||||
Net unrealized security gain | $ | 30,138,360 | $ | 8,608,793 | ||||
Multi-Asset Growth Fund | Multi-Asset Income Fund | |||||||
Tax cost | $ | 917,080,352 | $ | 1,596,323,566 | ||||
Gross unrealized gain | 22,931,317 | 52,099,764 | ||||||
Gross unrealized loss | (1,830,790 | ) | (68,749,336 | ) | ||||
Net unrealized security gain (loss) | $ | 21,100,527 | $ | (16,649,572 | ) |
The difference between book-basis and tax-basis unrealized gains (losses) is attributable to the tax treatment of futures, swaps, foreign currency contracts, certain securities, futures, swaps and wash sales.
5. | PORTFOLIO SECURITIES TRANSACTIONS |
Purchases and sales of investment securities (excluding short-term investments) for the six months ended May 31, 2018 were as follows:
52
Notes to Financial Statements (unaudited)(continued)
Purchases | Sales | ||||||
Multi-Asset Balanced Opportunity Fund | $ | 280,673,478 | $ | 418,262,817 | |||
Multi-Asset Focused Growth Fund | 55,512,751 | 80,263,368 | |||||
Multi-Asset Growth Fund | 210,319,003 | 293,237,369 | |||||
Multi-Asset Income Fund | 160,670,893 | 243,471,748 |
There were no purchases or sales of U.S. Government securities for the six months ended May 31, 2018.
6. | DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES |
Multi-Asset Balanced Opportunity Fund, Multi-Asset Focused Growth Fund, Multi-Asset Growth Fund and Multi-Asset Income Fund entered into forward foreign currency exchange contracts for the six months ended May 31, 2018 (as described in note 2(f)). A forward foreign currency exchange contract reduces each Fund’s exposure to changes in the value of the currency it will deliver (or settle in cash) and increases its exposure to changes in the value of the currency it will receive (or settle in cash) for the duration of the contract. Each Fund’s use of forward foreign currency exchange contracts involves the risk that Lord Abbett will not accurately predict currency movements, and each Fund’s returns could be reduced as a result. Forward foreign currency exchange contracts are subject to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of hedged positions, that the U.S. dollar will decline relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time. Each Fund’s risk of loss from counterparty credit risk is the unrealized appreciation on forward foreign currency exchange contracts.
Multi-Asset Balanced Opportunity Fund, Multi-Asset Focused Growth Fund, Multi-Asset Growth Fund and Multi-Asset Income Fund entered into domestic and foreign equity indexes, currency and U.S. Treasury futures contracts for the six months ended May 31, 2018 (as described in note 2(g)) to manage cash and economically hedge against changes in interest rates. The Funds bear the risk of interest rates moving unexpectedly, in which case the Funds may not achieve the anticipated benefits of the futures contracts and realize a loss. There is minimal counterparty credit risk to the Funds since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees futures against default.
Multi-Asset Balanced Opportunity Fund, Multi-Asset Focused Growth Fund, Multi-Asset Growth Fund and Multi-Asset Income Fund entered into total return swaps on indexes for the six months ended May 31, 2018 (as described in note 2(i)) to obtain exposure to an issuer (the Reference Entity). The Fund’s use of total return swaps involves the risk that Lord Abbett will not accurately predict expectations of market value of the Reference Entity, and the Fund’s returns could be reduced as a result. The Fund’s risk of loss from counterparty credit risk is the notional value of the contract.
As of May 31, 2018, Multi-Asset Balanced Opportunity Fund, Multi-Asset Focused Growth Fund, Multi-Asset Growth Fund and Multi-Asset Income Fund had the following derivatives at fair value, grouped into appropriate risk categories that illustrate the Funds use of derivative instruments:
Multi-Asset Balanced Opportunity Fund | |||
Equity | |||
Asset Derivatives | Contracts | ||
Futures Contracts(1) | $ | 947,241 | |
Liability Derivatives | |||
Futures Contracts(1) | $ | 3,092,237 |
53
Notes to Financial Statements (unaudited)(continued)
Multi-Asset Focused Growth Fund | |||
Asset Derivatives | Equity Contracts | ||
Futures Contracts(1) | $ | 171,601 | |
Liability Derivatives | |||
Futures Contracts(1) | $ | 43,232 | |
Multi-Asset Growth Fund | |||
Asset Derivatives | Equity Contracts | ||
Futures Contracts(1) | $ | 521,857 | |
Liability Derivatives | |||
Futures Contracts(1) | $ | 1,417,696 | |
Multi-Asset Income Fund | |||
Asset Derivatives | Equity Contracts | ||
Futures Contracts(1) | $ | 874,065 | |
Liability Derivatives | |||
Futures Contracts(1) | $ | 3,566,076 |
(1) | Statements of Assets and Liabilities location: Includes cumulative unrealized appreciation/depreciation on futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
Transactions in derivative instruments for the six months ended May 31, 2018 were as follows:
Multi-Asset Balanced Opportunity Fund | ||||||||||||
Interest Rate Contracts | Forward Currency Contracts | Equity Contracts | ||||||||||
Net Realized Gain (Loss) | ||||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | (7,018,036 | ) | – | |||||||
Futures Contracts(2) | $ | (1,363,811 | ) | – | $ | (4,787,166 | ) | |||||
Total Return Swaps(3) | – | – | $ | (2,769,836 | ) | |||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
Forward Foreign Currency Exchange Contracts(4) | – | $ | 903,828 | – | ||||||||
Futures Contracts(5) | – | – | $ | (3,974,266 | ) | |||||||
Total Return Swaps(6) | – | – | $ | 1,139,985 | ||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||
Forward Foreign Currency Exchange Contracts(7) | – | $ | 110,902,722 | – | ||||||||
Futures Contracts(8) | 127 | – | 1,635 | |||||||||
Total Return Swaps(7) | – | – | € | 22,234,492 |
54
Notes to Financial Statements (unaudited)(continued)
Multi-Asset Focused Growth Fund | ||||||||||||
Interest Rate Contracts | Forward Currency Contracts | Equity Contracts | ||||||||||
Net Realized Gain (Loss) | ||||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | (1,418,088 | ) | – | |||||||
Futures Contracts(2) | $ | (174,069 | ) | – | $ | (470,487 | ) | |||||
Total Return Swaps(3) | – | – | $ | (352,785 | ) | |||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
Forward Foreign Currency Exchange Contracts(4) | – | $ | 220,111 | – | ||||||||
Futures Contracts(5) | – | – | $ | 287,139 | ||||||||
Total Return Swaps(6) | – | – | $ | 144,823 | ||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||
Forward Foreign Currency Exchange Contracts(7) | – | $ | 23,043,555 | – | ||||||||
Futures Contracts(8) | 19 | – | 140 | |||||||||
Total Return Swaps(7) | – | – | € | 5,649,305 | ||||||||
Multi-Asset Growth Fund | ||||||||||||
Interest Rate Contracts | Forward Currency Contracts | Equity Contracts | ||||||||||
Net Realized Gain (Loss) | ||||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | (5,302,702 | ) | – | |||||||
Futures Contracts(2) | $ | (759,778 | ) | – | $ | (2,650,939 | ) | |||||
Total Return Swaps(3) | – | – | $ | (1,533,561 | ) | |||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
Forward Foreign Currency Exchange Contracts(4) | – | $ | 694,625 | – | ||||||||
Futures Contracts(5) | – | – | $ | (2,196,384 | ) | |||||||
Total Return Swaps(6) | – | – | $ | 631,172 | ||||||||
Average Number of Contracts/Notional Amounts | ||||||||||||
Forward Foreign Currency Exchange Contracts(7) | – | $ | 84,605,125 | – | ||||||||
Futures Contracts(8) | 82 | – | 910 | |||||||||
Total Return Swaps(7) | – | – | € | 12,310,504 |
55
Notes to Financial Statements (unaudited)(continued)
Multi-Asset Income Fund | ||||||||||||
Interest Rate Contracts | Forward Currency Contracts | Equity Contracts | ||||||||||
Net Realized Gain (Loss) | ||||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | (6,356,722 | ) | – | |||||||
Futures Contracts(2) | $ | (1,246,142 | ) | – | $ | (792,518 | ) | |||||
Total Return Swaps(3) | – | – | $ | (2,513,927 | ) | |||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
Forward Foreign Currency Exchange Contracts(4) | – | $ | 817,016 | – | ||||||||
Futures Contracts(5) | – | – | $ | (2,716,575 | ) | |||||||
Total Return Swaps(6) | – | – | $ | 1,034,660 | ||||||||
Average Number of Contracts/Notional Amounts | ||||||||||||
Forward Foreign Currency Exchange Contracts(7) | – | $ | 100,046,773 | – | ||||||||
Futures Contracts(8) | 135 | – | 566 | |||||||||
Total Return Swaps(7) | – | – | € | 20,180,209 |
* | Calculated based on the number of contracts or notional amounts for the six months ended May 31, 2018. |
(1) | Statements of Operations location: Net realized gain (loss) on forward foreign currency exchange contracts. |
(2) | Statements of Operations location: Net realized gain (loss) on futures contracts. |
(3) | Statements of Operations location: Net realized gain (loss) on swap contracts. |
(4) | Statements of Operations location: Net change in unrealized appreciation/depreciation on forward foreign currency exchange contracts. |
(5) | Statements of Operations location: Net change in unrealized appreciation/depreciation on futures contracts. |
(6) | Statements of Operations location: Net change in unrealized appreciation/depreciation on swap contracts. |
(7) | Amount represents notional amounts. |
(8) | Amount represents number of contracts. |
7. | DISCLOSURES ABOUT OFFSETTING ASSETS AND LIABILITIES |
The Financial Accounting Standards Board (“FASB”) requires disclosures intended to help better assess the effect or potential effect of offsetting arrangements on a fund’s financial position. The following tables illustrate gross and net information about recognized assets and liabilities eligible for offset in the statements of assets and liabilities; and disclose such amounts subject to an enforceable master netting agreement or similar agreement, by counterparty. A master netting agreement is an agreement between a fund and a counterparty which provides for the net settlement of amounts owed under all contracts traded under that agreement, as well as cash collateral, through a single payment by one party to the other in the event of default on or termination of any one contract. The Funds’ accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the master netting agreement does not result in an offset of reported amounts of financial assets and liabilities in the statement of assets and liabilities across transactions between the Funds and the applicable counterparty:
56
Notes to Financial Statements (unaudited)(continued)
Multi-Asset Growth Fund | |||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | ||||||
Repurchase Agreement | $343,574 | $ | – | $343,574 | |||||
Total | $343,574 | $ | – | $343,574 |
Net Amounts of Assets Presented in | Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||
Counterparty | the Statement of Assets and Liabilities | Financial Instruments | Cash Collateral Received(a) | Securities Collateral Received(a) | Net Amount(b) | ||||||||||||||
Fixed Income Clearing Corp. | $343,574 | $ | – | $ | – | $(343,574 | ) | $ | – | ||||||||||
Total | $343,574 | $ | – | $ | – | $(343,574 | ) | $ | – |
(a) | Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty. |
(b) | Net amount represents the amount owed to the Fund by the counterparty as of May 31, 2018. |
8. | TRUSTEES’ REMUNERATION |
The Trust’s officers and one Trustee, who are associated with Lord Abbett, do not receive any compensation from the Trust for serving in such capacities. Independent Trustees’ fees are allocated among all Lord Abbett-sponsored funds based on the net assets of each fund. There is an equity-based plan available to all Independent Trustees under which Independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of Trustees’ fees. The deferred amounts are treated as though equivalent dollar amounts had been invested in the funds. Such amounts and earnings accrued thereon are included in Trustees’ fees on the Statements of Operations and in Trustees’ fees payable on the Statements of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.
9. | EXPENSE REDUCTIONS |
The Trust has entered into an arrangement with its transfer agent and custodian, whereby credits realized as a result of uninvested cash balances are used to reduce a portion of each Fund’s expenses.
10. | INTERFUND LENDING PROGRAM |
Pursuant to an exemptive order issued by the U.S. Securities and Exchange Commission (“SEC exemptive order”) certain registered open-end management investment companies managed by Lord Abbett, including each Fund, participate in a joint lending and borrowing program (the “Interfund Lending Program”). The SEC exemptive order allows the Funds to borrow money from and lend money to each other for temporary or emergency purposes subject to the limitations and conditions. During the six months ended May 31, 2018, the Funds did not participate as a borrower or lender in the Interfund Lending Program.
57
Notes to Financial Statements (unaudited)(continued)
11. | TRANSACTIONS WITH AFFILIATED ISSUERS |
An affiliated issuer is one in which a Fund has ownership of at least 5% of the outstanding voting securities of the underlying issuer at any point during the fiscal year or any company which is under common ownership or control. Multi-Asset Balanced Opportunity Fund, Multi-Asset Focused Growth Fund, Multi-Asset Growth Fund and Multi-Asset Income Fund had the following transactions with affiliated issuers (i.e. the Underlying Funds) during the six months ended May 31, 2018:
Multi-Asset Balanced Opportunity Fund | ||||||||||||||||||||||||||||||||||||
Affiliated Issuer | Balance of Shares Held at 11/30/2017 | Gross Additions | Gross Sales | Balance of Shares Held at 5/31/2018 | Fair Value at 5/31/2018 | Net Realized Gain (Loss) 12/1/2017 to 5/31/2018 | Dividend Income 12/1/2017 to 5/31/2018 | Change in Appreciation (Depreciation) 12/1/2017 to 5/31/2018 | ||||||||||||||||||||||||||||
Lord Abbett Equity Trust-Calibrated Large Cap Value Fund-Class I | 12,266,738 | 26,957 | (1,070,095 | ) | 11,223,600 | $ | 228,288,019 | $ | 1,396,544 | $ | – | $ | (3,208,695 | ) | ||||||||||||||||||||||
Lord Abbett Equity Trust-Calibrated Mid Cap Value Fund-Class I | 12,073,713 | – | (4,398,773 | ) | 7,674,940 | 165,548,463 | 3,817,855 | – | (3,940,845 | ) | ||||||||||||||||||||||||||
Lord Abbett Investment Trust-Convertible Fund-Class I | 13,589,421 | 229,283 | (1,267,696 | ) | 12,551,008 | 172,325,338 | 342,936 | 2,912,193 | 3,932,602 | |||||||||||||||||||||||||||
Lord Abbett Global Fund, Inc.-Emerging Markets Currency Fund-Class I | 17,260,253 | 573,399 | (2,119,521 | ) | 15,714,131 | 80,456,352 | (59,504 | ) | 2,255,687 | (3,788,056 | ) | |||||||||||||||||||||||||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I | 6,482,529 | 1,898,370 | (957,628 | ) | 7,423,271 | 234,872,285 | 2,240,968 | – | 23,203,288 | |||||||||||||||||||||||||||
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I | – | 5,828,496 | (34,187 | ) | 5,794,309 | 139,758,727 | (40,977 | ) | – | 779,732 | ||||||||||||||||||||||||||
Lord Abbett Investment Trust-High Yield Fund-Class I | 40,402,771 | 2,287,724 | (8,233,465 | ) | 34,457,030 | 257,049,443 | (994,474 | ) | 8,679,622 | (9,924,163 | ) | |||||||||||||||||||||||||
Lord Abbett Investment Trust-Inflation Focused Fund-Class I | 5,369,177 | 101,502 | (425,574 | ) | 5,045,105 | 59,784,490 | 84,551 | 1,208,298 | (279,663 | ) | ||||||||||||||||||||||||||
Lord Abbett Securities Trust-International Dividend Income Fund-Class I | 17,606,581 | 188,870 | (4,644,125 | ) | 13,151,326 | 100,081,594 | 1,239,184 | 1,184,887 | (695,479 | ) | ||||||||||||||||||||||||||
Lord Abbett Securities Trust-International Equity Fund-Class I | 5,725,703 | 2,004,835 | (546,840 | ) | 7,183,698 | 100,428,092 | 1,247,986 | 1,788,709 | (6,268,537 | ) | ||||||||||||||||||||||||||
Lord Abbett Mid Cap Stock Fund, Inc.-Class I | 4,830,555 | 142,347 | (2,537,874 | ) | 2,435,028 | 72,198,574 | 21,549,862 | (a) | 1,635,415 | (22,226,718 | ) | |||||||||||||||||||||||||
Lord Abbett Investment Trust-Short Duration Income Fund-Class I | 29,571,867 | 5,873,380 | (12,144,641 | ) | 23,300,606 | 97,629,539 | (715,994 | ) | 1,781,779 | (479,932 | ) | |||||||||||||||||||||||||
Total | $ | 1,708,420,916 | $ | 30,108,937 | $ | 21,446,590 | $ | (22,896,466 | ) |
(a) | Includes $2,541,035 of distributed capital gains. |
58
Notes to Financial Statements (unaudited)(continued)
Multi-Asset Focused Growth Fund | ||||||||||||||||||||||||||||||||||||
Affiliated Issuer | Balance of Shares Held at 11/30/2017 | Gross Additions | Gross Sales | Balance of Shares Held at 5/31/2018 | Fair Value at 5/31/2018 | Net Realized Gain (Loss) 12/1/2017 to 5/31/2018 | Dividend Income 12/1/2017 to 5/31/2018 | Change in Appreciation (Depreciation) 12/1/2017 to 5/31/2018 | ||||||||||||||||||||||||||||
Lord Abbett Equity Trust-Calibrated Mid Cap Value Fund-Class I | 2,234,088 | 15,998 | (578,960 | ) | 1,671,126 | $ | 36,046,189 | $ | 31,598 | $ | – | $ | (162,640 | ) | ||||||||||||||||||||||
Lord Abbett Investment Trust-Convertible Fund-Class I | 705,156 | 37,356 | (419,134 | ) | 323,378 | 4,439,977 | 308,835 | 151,376 | (139,853 | ) | ||||||||||||||||||||||||||
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I | 2,440,693 | 20,917 | (232,486 | ) | 2,229,124 | 28,309,874 | (579,207 | ) | – | 333,855 | ||||||||||||||||||||||||||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I | 2,140,034 | 209,715 | (367,647 | ) | 1,982,102 | 62,713,698 | 4,324,473 | – | 2,910,399 | |||||||||||||||||||||||||||
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I | – | 598,608 | – | 598,608 | 14,438,429 | – | – | 83,810 | ||||||||||||||||||||||||||||
Lord Abbett Investment Trust-High Yield Fund-Class I | 620,056 | 78,134 | (117,423 | ) | 580,767 | 4,332,519 | (8,550 | ) | 133,586 | (159,554 | ) | |||||||||||||||||||||||||
Lord Abbett Securities Trust-International Dividend Income Fund-Class I | – | 3,171,709 | (87,331 | ) | 3,084,378 | 23,472,115 | (57,009 | ) | 136,670 | (2,389,955 | ) | |||||||||||||||||||||||||
Lord Abbett Securities Trust-International Equity Fund-Class I | 3,592,812 | 138,610 | (2,058,755 | ) | 1,672,667 | 23,383,881 | 5,675,027 | 1,124,448 | (5,116,430 | ) | ||||||||||||||||||||||||||
Lord Abbett Mid Cap Stock Fund, Inc.-Class I | 785,025 | 23,721 | (255,878 | ) | 552,868 | 16,392,544 | 500,434 | (a) | 266,516 | (648,769 | ) | |||||||||||||||||||||||||
Lord Abbett Investment Trust-Short Duration Income Fund-Class I | 2,138,942 | 1,002,102 | (1,725,079 | ) | 1,415,965 | 5,932,892 | (51,031 | ) | 97,322 | (5,926 | ) | |||||||||||||||||||||||||
Total | $ | 219,462,118 | $ | 10,144,570 | $ | 1,909,918 | $ | (5,295,063 | ) |
(a) | Includes $414,101 of distributed capital gains. |
59
Notes to Financial Statements (unaudited)(continued)
Multi-Asset Growth Fund | ||||||||||||||||||||||||||||||||||||
Affiliated Issuer | Balance of Shares Held at 11/30/2017 | Gross Additions | Gross Sales | Balance of Shares Held at 5/31/2018 | Fair Value at 5/31/2018 | Net Realized Gain (Loss) 12/1/2017 to 5/31/2018 | Dividend Income 12/1/2017 to 5/31/2018 | Change in Appreciation (Depreciation) 12/1/2017 to 5/31/2018 | ||||||||||||||||||||||||||||
Lord Abbett Affiliated Fund, Inc.-Class I | 3,275,815 | 38,299 | (301,079 | ) | 3,013,035 | $ | 46,792,440 | $ | (100,569 | ) | $ | 584,648 | $ | (350,040 | ) | |||||||||||||||||||||
Lord Abbett Equity Trust-Calibrated Large Cap Value Fund-Class I | 4,998,548 | 42,293 | (459,403 | ) | 4,581,438 | 93,186,444 | (11,988 | ) | – | (768,923 | ) | |||||||||||||||||||||||||
Lord Abbett Equity Trust-Calibrated Mid Cap Value Fund-Class I | 8,349,351 | – | (3,370,367 | ) | 4,978,984 | 107,396,680 | 1,344,746 | – | (1,261,511 | ) | ||||||||||||||||||||||||||
Lord Abbett Investment Trust-Convertible Fund-Class I | 5,296,112 | 86,006 | (1,938,794 | ) | 3,443,324 | 47,276,843 | 2,430,106 | 1,137,539 | (1,021,964 | ) | ||||||||||||||||||||||||||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I | 3,600,678 | 969,605 | (567,480 | ) | 4,002,803 | 126,648,694 | 1,469,800 | – | 12,548,433 | |||||||||||||||||||||||||||
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I | – | 4,596,267 | (39,480 | ) | 4,556,787 | 109,909,693 | (44,285 | ) | – | 620,895 | ||||||||||||||||||||||||||
Lord Abbett Investment Trust-High Yield Fund-Class I | 23,620,890 | 1,669,881 | (2,700,769 | ) | 22,590,002 | 168,521,418 | 224,540 | 5,163,842 | (6,770,139 | ) | ||||||||||||||||||||||||||
Lord Abbett Securities Trust-International Dividend Income Fund-Class I | 15,715,862 | 158,931 | (5,611,399 | ) | 10,263,394 | 78,104,430 | 1,730,726 | 995,723 | (174,419 | ) | ||||||||||||||||||||||||||
Lord Abbett Securities Trust-International Equity Fund-Class I | 3,525,667 | 2,478,235 | (432,142 | ) | 5,571,760 | 77,893,207 | 1,001,880 | 1,101,418 | (5,704,744 | ) | ||||||||||||||||||||||||||
Lord Abbett Mid Cap Stock Fund, Inc.-Class I | 4,182,946 | 123,055 | (2,100,125 | ) | 2,205,876 | 65,404,212 | 22,196,284 | (a) | 1,413,767 | (22,845,451 | ) | |||||||||||||||||||||||||
Lord Abbett Investment Trust-Short Duration Income Fund-Class I | 6,527,733 | 3,385,554 | (5,713,029 | ) | 4,200,258 | 17,599,083 | (80,140 | ) | 184,197 | 13,484 | ||||||||||||||||||||||||||
Total | $ | 938,733,144 | $ | 30,161,100 | $ | 10,581,134 | $ | (25,714,379 | ) |
(a) | Includes $2,196,649 of distributed capital gains. |
60
Notes to Financial Statements (unaudited)(continued)
Multi-Asset Income Fund | ||||||||||||||||||||||||||||||||||||
Affiliated Issuer | Balance of Shares Held at 11/30/2017 | Gross Additions | Gross Sales | Balance of Shares Held at 5/31/2018 | Fair Value at 5/31/2018 | Net Realized Gain (Loss) 12/1/2017 to 5/31/2018 | Dividend Income 12/1/2017 to 5/31/2018 | Change in Appreciation (Depreciation) 12/1/2017 to 5/31/2018 | ||||||||||||||||||||||||||||
Lord Abbett Equity Trust-Calibrated Mid Cap Value Fund-Class I | 7,701,115 | – | (1,360,899 | ) | 6,340,216 | $ | 136,758,462 | $ | 2,809,580 | $ | – | $ | (3,624,201 | ) | ||||||||||||||||||||||
Lord Abbett Investment Trust-Convertible Fund-Class I | 18,471,465 | 399,890 | (1,488,736 | ) | 17,382,619 | 238,663,357 | 519,775 | 3,980,886 | 5,570,500 | |||||||||||||||||||||||||||
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I | 1,514,771 | 83,073 | (80,470 | ) | 1,517,374 | 16,053,817 | (10,374 | ) | 233,919 | (410,167 | ) | |||||||||||||||||||||||||
Lord Abbett Global Fund, Inc.-Emerging Markets Currency Fund-Class I | 12,449,075 | 424,026 | (1,301,313 | ) | 11,571,788 | 59,247,555 | (247,646 | ) | 1,655,822 | (2,615,905 | ) | |||||||||||||||||||||||||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I | 5,876,527 | 1,524,683 | (870,445 | ) | 6,530,765 | 206,633,398 | 2,307,318 | – | 21,285,077 | |||||||||||||||||||||||||||
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I | – | 1,730,590 | – | 1,730,590 | 41,741,834 | – | – | 262,612 | ||||||||||||||||||||||||||||
Lord Abbett Investment Trust-High Yield Fund-Class I | 36,567,290 | 1,390,064 | (6,101,905 | ) | 31,855,449 | 237,641,649 | (125,389 | ) | 7,961,434 | (9,833,125 | ) | |||||||||||||||||||||||||
Lord Abbett Investment Trust-Inflation Focused Fund-Class I | 5,601,227 | 152,530 | (370,399 | ) | 5,383,358 | 63,792,793 | 46,542 | 1,269,808 | (264,943 | ) | ||||||||||||||||||||||||||
Lord Abbett Securities Trust-International Dividend Income Fund-Class I | 16,072,587 | 298,656 | (4,230,602 | ) | 12,140,641 | 92,390,277 | 1,362,619 | 1,078,554 | (1,011,301 | ) | ||||||||||||||||||||||||||
Lord Abbett Securities Trust-International Equity Fund-Class I | 5,194,774 | 1,806,413 | (359,611 | ) | 6,641,576 | 92,849,226 | 751,677 | 1,597,257 | (5,410,899 | ) | ||||||||||||||||||||||||||
Lord Abbett Mid Cap Stock Fund, Inc.-Class I | 3,817,052 | 112,646 | (643,840 | ) | 3,285,858 | 97,425,690 | 4,848,745 | (a) | 1,294,186 | (5,886,421 | ) | |||||||||||||||||||||||||
Lord Abbett Investment Trust-Short Duration Income Fund-Class I | 77,834,117 | 5,275,893 | (11,709,545 | ) | 71,400,465 | 299,167,947 | (1,187,036 | ) | 5,790,285 | (2,924,343 | ) | |||||||||||||||||||||||||
Total | $ | 1,582,366,005 | $ | 11,075,811 | $ | 24,862,151 | $ | (4,863,116 | ) |
(a) | Includes $2,010,852 of distributed capital gains. |
12. | CUSTODIAN AND ACCOUNTING AGENT |
State Street Bank and Trust Company (“SSB”) is the Trust’s custodian and accounting agent. SSB performs custodial, accounting and recordkeeping functions relating to portfolio transactions and calculating each Fund’s NAV.
13. | INVESTMENT RISKS |
The Funds invest principally in the Underlying Funds and, as a result, a Fund’s performance is directly related to the Underlying Fund’s performance. Each Fund’s ability to meet its investment objective depends on the ability of the Underlying Funds to achieve their investment objectives and on the
61
Notes to Financial Statements (unaudited)(continued)
Fund’s particular allocation of assets among the Underlying Funds and the asset classes they represent. Consequently, a Fund is subject to the particular risks of the Underlying Funds in the proportion in which the Fund invests in them. The value of the Underlying Funds’ investments and the NAVs of the shares of both the Funds and their Underlying Funds will fluctuate in response to various market and economic factors related to the domestic and foreign equity and fixed income markets, as well as the financial condition and prospects of issuers in which the Underlying Funds invest.
Multi-Asset Balanced Opportunity Fund, Multi-Asset Focused Growth Fund, Multi-Asset Growth Fund and Multi-Asset Income Fund are subject to the general risks and considerations associated with investing in fixed income securities. The value of an investment will change as interest rates fluctuate and in response to market movements. When interest rates rise, the prices of fixed income securities are likely to decline; when rates fall, such prices tend to rise. Longer-term securities are usually more sensitive to interest rate changes. There is also the risk that an issuer of a fixed income security will fail to make timely payments of principal and/or interest to an Underlying Fund, a risk that is greater with high-yield bonds (sometimes called “junk bonds”) in which one or more of the Underlying Funds may invest. Some issuers, particularly of high-yield bonds, may default as to principal and/or interest payments after an Underlying Fund purchases their securities. A default, or concerns in the market about an increase in risk of default, may result in losses to the Underlying Fund. High-yield bonds are subject to greater price fluctuations, as well as additional risks. The market for below investment grade securities may be less liquid due to such factors as interest rate sensitivity, negative perceptions of the junk bond markets generally, and less secondary market liquidity. This may make such securities more difficult to sell at an acceptable price, especially during periods of financial distress, increased market volatility, or significant market decline.
Each Fund is subject to the general risks and considerations associated with equity investing. The value of an investment will fluctuate in response to movements in the equity securities market in general, a particular industry or sector, or to the changing prospects of individual companies in which the Underlying Funds invest. If an Underlying Fund’s assessment of market conditions or companies held in the Underlying Fund fails to produce the intended result, a Fund could suffer losses or produce poor performance relative to other funds, even in a rising market.
Each Fund’s investment exposure to foreign (which may include emerging market) companies generally is subject to the risk that the value of securities issued by foreign companies may be adversely affected by political, economic and social volatility and subject to less government supervision, lack of transparency, or inadequate regulatory and accounting standards, inadequate exchange control regulations, foreign taxes, higher transaction and other costs, and delays in settlement. The cost of a Fund’s potential use of forward currency exchange contracts varies with factors such as the currencies involved, the length of the contract period and the market conditions prevailing. The Underlying Fund’s investments in emerging market companies generally are subject to more risks than investments in developed market companies.
Because Multi-Asset Income Fund will be more heavily invested in fixed income funds than equity funds, it will be more affected by the risks associated with fixed income securities. Similarly, since Multi-Asset Focused Growth Fund generally will be invested in equity funds and Multi-Asset Growth Fund will be more heavily invested in equity funds than fixed income funds, each will be more affected by the risks associated with stocks and other equity investments. Given Multi-Asset Balanced Opportunity Fund’s more balanced allocation among fixed income funds and equity funds, it will be affected by risks associated with both equity and fixed income investments.
62
Notes to Financial Statements (unaudited)(continued)
Each Fund may invest in derivatives, either directly or through its Underlying Funds. Each Fund is subject to the risks associated with derivatives, which may be different from and greater than the risks associated with directly investing in securities and other investments. Derivatives may be subject to risks such as liquidity risk, leveraging risk, interest rate risk, market risk, heightened counterparty risk, credit risk, and volatility. Illiquid securities may lower the Funds’ returns since the Funds may be unable to sell these securities at their desired time or price. Derivatives also may involve the risk of mispricing or improper valuation and the risk that changes in the value of the derivative may not correlate perfectly with the value of the underlying asset, rate or index. Whether a Fund’s use of derivatives is successful will depend on, among other things, the Fund’s ability to correctly forecast market movements, changes in foreign exchange and interest rates, and other factors. If a Fund incorrectly forecasts these and other factors, its performance could suffer. In addition, given their complexity, derivatives are subject to the risk that improper or misunderstood documentation may expose the Fund to losses. A Fund’s use of derivatives could result in a loss exceeding the amount of the Fund’s investment in these instruments.
These factors can affect each Fund’s performance.
14. | SUMMARY OF CAPITAL TRANSACTIONS |
Transactions in shares of beneficial interest were as follows:
Multi-Asset Balanced Opportunity Fund | Six Months Ended May 31, 2018 (unaudited) | Year Ended November 30, 2017 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 5,088,612 | $ | 60,499,393 | 19,468,797 | $ | 227,105,276 | ||||||||||
Converted from Class B* | 250,015 | 2,993,485 | 670,521 | 7,900,550 | ||||||||||||
Converted from Class C** | 2,832,125 | 33,277,468 | – | – | ||||||||||||
Reinvestment of distributions | 4,921,610 | 58,136,823 | 3,393,259 | 39,714,096 | ||||||||||||
Shares reacquired | (14,047,636 | ) | (167,238,735 | ) | (36,311,962 | ) | (423,938,901 | ) | ||||||||
Decrease | (955,274 | ) | $ | (12,331,566 | ) | (12,779,385 | ) | $ | (149,218,979 | ) | ||||||
Class B Shares | ||||||||||||||||
Shares sold | 1,160 | $ | 13,195 | 101,919 | $ | 1,174,566 | ||||||||||
Reinvestment of distributions | 9,665 | 114,233 | 14,691 | 169,525 | ||||||||||||
Shares reacquired | (39,891 | ) | (478,296 | ) | (291,246 | ) | (3,372,126 | ) | ||||||||
Converted to Class A* | (249,911 | ) | (2,993,485 | ) | (670,734 | ) | (7,900,550 | ) | ||||||||
Decrease | (278,977 | ) | $ | (3,344,353 | ) | (845,370 | ) | $ | (9,928,585 | ) | ||||||
Class C Shares | ||||||||||||||||
Shares sold | 1,118,532 | $ | 13,235,754 | 5,403,712 | $ | 62,281,960 | ||||||||||
Reinvestment of distributions | 1,024,647 | 12,024,934 | 594,853 | 6,906,539 | ||||||||||||
Shares reacquired | (3,470,316 | ) | (40,979,345 | ) | (11,952,960 | ) | (138,506,551 | ) | ||||||||
Converted to Class A** | (2,851,540 | ) | (33,277,468 | ) | – | – | ||||||||||
Decrease | (4,178,677 | ) | $ | (48,996,125 | ) | (5,954,395 | ) | $ | (69,318,052 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 666,322 | $ | 7,914,071 | 3,480,812 | $ | 40,621,872 | ||||||||||
Reinvestment of distributions | 198,371 | 2,341,608 | 149,187 | 1,746,607 | ||||||||||||
Shares reacquired | (1,527,223 | ) | (18,075,386 | ) | (3,480,635 | ) | (41,203,899 | ) | ||||||||
Increase (decrease) | (662,530 | ) | $ | (7,819,707 | ) | 149,364 | $ | 1,164,580 |
63
Notes to Financial Statements (unaudited)(continued)
Multi-Asset Balanced Opportunity Fund | Six Months Ended May 31, 2018 (unaudited) | Year Ended November 30, 2017 | ||||||||||||||
Class F3 Shares(a) | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 241.08 | $ | 2,907 | 860.58 | $ | 10,000 | ||||||||||
Reinvestment of distributions | 41.21 | 487 | 14.85 | 177 | ||||||||||||
Shares reacquired | (1 | ) | (12 | ) | – | – | ||||||||||
Increase | 281.29 | $ | 3,382 | 875.43 | $ | 10,177 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 140,255 | $ | 1,660,534 | 1,375,537 | $ | 16,568,101 | ||||||||||
Reinvestment of distributions | 65,894 | 778,379 | 18,302 | 217,362 | ||||||||||||
Shares reacquired | (354,345 | ) | (4,233,378 | ) | (903,915 | ) | (10,573,434 | ) | ||||||||
Increase (decrease) | (148,196 | ) | $ | (1,794,465 | ) | 489,924 | $ | 6,212,029 | ||||||||
Class P Shares | ||||||||||||||||
Shares sold | 2,053 | $ | 24,143 | 12,216 | $ | 142,630 | ||||||||||
Reinvestment of distributions | 2,411 | 28,328 | 1,657 | 19,281 | ||||||||||||
Shares reacquired | (341 | ) | (3,981 | ) | (34,143 | ) | (394,234 | ) | ||||||||
Increase (decrease) | 4,123 | $ | 48,490 | (20,270 | ) | $ | (232,323 | ) | ||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 832 | $ | 10,090 | 4,476 | $ | 52,620 | ||||||||||
Reinvestment of distributions | 1,532 | 18,472 | 1,206 | 14,328 | ||||||||||||
Shares reacquired | (9,385 | ) | (115,859 | ) | (25,948 | ) | (310,469 | ) | ||||||||
Decrease | (7,021 | ) | $ | (87,297 | ) | (20,266 | ) | $ | (243,521 | ) | ||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 637,612 | $ | 7,497,850 | 2,572,370 | $ | 29,697,428 | ||||||||||
Reinvestment of distributions | 119,193 | 1,404,459 | 83,504 | 972,865 | ||||||||||||
Shares reacquired | (671,058 | ) | (8,005,854 | ) | (3,578,636 | ) | (41,380,574 | ) | ||||||||
Increase (decrease) | 85,747 | $ | 896,455 | (922,762 | ) | $ | (10,710,281 | ) | ||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 304,679 | $ | 3,585,097 | 214,988 | $ | 2,539,585 | ||||||||||
Reinvestment of distributions | 10,719 | 126,527 | 2,575 | 30,822 | ||||||||||||
Shares reacquired | (57,312 | ) | (677,318 | ) | (21,900 | ) | (260,762 | ) | ||||||||
Increase | 258,086 | $ | 3,034,306 | 195,663 | $ | 2,309,645 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 307 | $ | 3,636 | 7,503 | $ | 88,412 | ||||||||||
Reinvestment of distributions | 385 | 4,554 | 174 | 2,062 | ||||||||||||
Shares reacquired | (119 | ) | (1,432 | ) | (353 | ) | (4,181 | ) | ||||||||
Increase | 573 | $ | 6,758 | 7,324 | $ | 86,293 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 1,014,315 | $ | 12,362,400 | 846,037 | $ | 9,866,675 | ||||||||||
Reinvestment of distributions | 16,326 | 192,642 | 4,251 | 50,723 | ||||||||||||
Shares reacquired | (136,509 | ) | (1,607,393 | ) | (394,420 | ) | (4,588,882 | ) | ||||||||
Increase | 894,132 | $ | 10,947,649 | 455,868 | $ | 5,328,516 | ||||||||||
Class T Shares(b) | ||||||||||||||||
Shares sold | – | $ | – | 842.46 | $ | 10,000 | ||||||||||
Reinvestment of distributions | 37.89 | 448 | 8.00 | 96 | ||||||||||||
Increase | 37.89 | $ | 448 | 850.46 | $ | 10,096 |
64
Notes to Financial Statements (unaudited)(continued)
Multi-Asset Focused Growth Fund | Six Months Ended May 31, 2018 (unaudited) | Year Ended November 30, 2017 | ||||||||||||||
Class A Shares(a) | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,010,047 | $ | 17,829,784 | 2,192,005 | $ | 38,797,265 | ||||||||||
Converted from Class B* | 31,763 | 561,401 | 86,334 | 1,568,493 | ||||||||||||
Converted from Class C** | 192,876 | 3,373,402 | – | – | ||||||||||||
Reinvestment of distributions | 1,025,151 | 17,622,352 | 765,705 | 12,963,385 | ||||||||||||
Shares reacquired | (1,639,303 | ) | (28,947,510 | ) | (3,705,828 | ) | (65,548,457 | ) | ||||||||
Increase (decrease) | 620,534 | $ | 10,439,429 | (661,784 | ) | $ | (12,219,314 | ) | ||||||||
Class B Shares | ||||||||||||||||
Shares sold | 130 | $ | 2,176 | 26,111 | $ | 442,369 | ||||||||||
Reinvestment of distributions | 3,147 | 54,184 | 10,681 | 177,953 | ||||||||||||
Shares reacquired | (2,714 | ) | (47,848 | ) | (51,567 | ) | (882,625 | ) | ||||||||
Converted to Class A* | (31,737 | ) | (561,401 | ) | (88,030 | ) | (1,568,493 | ) | ||||||||
Decrease | (31,174 | ) | $ | (552,889 | ) | (102,805 | ) | $ | (1,830,796 | ) | ||||||
Class C Shares | ||||||||||||||||
Shares sold | 165,761 | $ | 2,821,522 | 1,310,750 | $ | 22,047,920 | ||||||||||
Reinvestment of distributions | 307,398 | 5,118,173 | 248,709 | 4,091,268 | ||||||||||||
Shares reacquired | (564,183 | ) | (9,638,038 | ) | (2,087,451 | ) | (35,437,158 | ) | ||||||||
Converted to Class A** | (199,728 | ) | (3,373,402 | ) | – | – | ||||||||||
Decrease | (290,752 | ) | $ | (5,071,745 | ) | (527,992 | ) | $ | (9,297,970 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 50,028 | $ | 879,897 | 102,161 | $ | 1,830,040 | ||||||||||
Reinvestment of distributions | 19,978 | 343,215 | 12,849 | 217,412 | ||||||||||||
Shares reacquired | (75,396 | ) | (1,323,097 | ) | (149,260 | ) | (2,708,049 | ) | ||||||||
Decrease | (5,390 | ) | $ | (99,985 | ) | (34,250 | ) | $ | (660,597 | ) | ||||||
Class F3 Shares(a) | ||||||||||||||||
Shares sold | – | $ | – | 565 | $ | 10,000 | ||||||||||
Reinvestment of distributions | 74 | 1,287 | – | – | ||||||||||||
Increase | 74 | $ | 1,287 | 565 | $ | 10,000 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 5,299 | $ | 91,796 | 18,607 | $ | 318,106 | ||||||||||
Reinvestment of distributions | 83,888 | 1,454,621 | 67,798 | 1,156,631 | ||||||||||||
Shares reacquired | (1,758 | ) | (30,345 | ) | (315,274 | ) | (5,591,869 | ) | ||||||||
Increase (decrease) | 87,429 | $ | 1,516,072 | (228,869 | ) | $ | (4,117,132 | ) | ||||||||
Class R2 Shares | ||||||||||||||||
Reinvestment of distributions | 38 | $ | 669 | 24 | $ | 414 | ||||||||||
Increase | 38 | $ | 669 | 24 | $ | 414 | ||||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 39,174 | $ | 682,731 | 597,709 | $ | 10,242,639 | ||||||||||
Reinvestment of distributions | 72,521 | 1,231,414 | 66,340 | 1,110,531 | ||||||||||||
Shares reacquired | (246,623 | ) | (4,377,145 | ) | (798,066 | ) | (13,742,214 | ) | ||||||||
Decrease | (134,928 | ) | $ | (2,463,000 | ) | (134,017 | ) | $ | (2,389,044 | ) |
65
Notes to Financial Statements (unaudited)(continued)
Multi-Asset Focused Growth Fund | Six Months Ended May 31, 2018 (unaudited) | Year Ended November 30, 2017 | ||||||||||||||
Class R4 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 43,322 | $ | 758,995 | 44,519 | $ | 808,564 | ||||||||||
Reinvestment of distributions | 5,382 | 92,137 | 52 | 874 | ||||||||||||
Shares reacquired | (12,455 | ) | (221,387 | ) | (4,641 | ) | (86,286 | ) | ||||||||
Increase | 36,249 | $ | 629,745 | 39,930 | $ | 723,152 | ||||||||||
Class R5 Shares | ||||||||||||||||
Reinvestment of distributions | 79.28 | $ | 1,383 | 52.22 | $ | 891 | ||||||||||
Increase | 79.28 | $ | 1,383 | 52.22 | $ | 891 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 21,514 | $ | 375,809 | 203,391 | $ | 3,639,890 | ||||||||||
Reinvestment of distributions | 3,441 | 59,709 | 104 | 1,775 | ||||||||||||
Shares reacquired | (22,463 | ) | (383,363 | ) | (15,177 | ) | (267,550 | ) | ||||||||
Increase | 2,492 | $ | 52,155 | 188,318 | $ | 3,374,115 | ||||||||||
Multi-Asset Growth Fund | Six Months Ended May 31, 2018 (unaudited) | Year Ended November 30, 2017 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,847,782 | $ | 32,561,408 | 8,003,160 | $ | 138,551,875 | ||||||||||
Converted from Class B* | 95,659 | 1,702,746 | 272,736 | 4,789,334 | ||||||||||||
Converted from Class C** | 847,355 | 14,752,452 | – | – | ||||||||||||
Reinvestment of distributions | 2,508,478 | 44,057,146 | 1,147,266 | 19,679,264 | ||||||||||||
Shares reacquired | (5,626,182 | ) | (99,112,929 | ) | (15,624,299 | ) | (271,509,758 | ) | ||||||||
Decrease | (326,908 | ) | $ | (6,039,177 | ) | (6,201,137 | ) | $ | (108,489,285 | ) | ||||||
Class B Shares | ||||||||||||||||
Shares sold | 5 | $ | 189 | 46,945 | $ | 798,264 | ||||||||||
Reinvestment of distributions | 6,899 | 120,622 | 6,861 | 115,843 | ||||||||||||
Shares reacquired | (34,741 | ) | (602,602 | ) | (150,197 | ) | (2,580,419 | ) | ||||||||
Converted to Class A* | (96,114 | ) | (1,702,746 | ) | (274,413 | ) | (4,789,334 | ) | ||||||||
Decrease | (123,951 | ) | $ | (2,184,537 | ) | (370,804 | ) | $ | (6,455,646 | ) | ||||||
Class C Shares | ||||||||||||||||
Shares sold | 359,643 | $ | 6,254,147 | 2,408,169 | $ | 41,008,278 | ||||||||||
Reinvestment of distributions | 571,609 | 9,936,820 | 207,811 | 3,514,914 | ||||||||||||
Shares reacquired | (1,376,201 | ) | (23,986,476 | ) | (5,019,035 | ) | (86,191,838 | ) | ||||||||
Converted to Class A** | (856,705 | ) | (14,752,452 | ) | – | – | ||||||||||
Decrease | (1,301,654 | ) | $ | (22,547,961 | ) | (2,403,055 | ) | $ | (41,668,646 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 395,330 | $ | 6,918,795 | 1,185,588 | $ | 20,612,707 | ||||||||||
Reinvestment of distributions | 113,818 | 1,997,473 | 58,048 | 998,073 | ||||||||||||
Shares reacquired | (466,341 | ) | (8,198,064 | ) | (1,357,883 | ) | (24,099,149 | ) | ||||||||
Increase (decrease) | 42,807 | $ | 718,204 | (114,247 | ) | $ | (2,488,369 | ) | ||||||||
Class F3 Shares(a) | ||||||||||||||||
Shares sold | – | $ | – | 1,266.45 | $ | 22,193 | ||||||||||
Reinvestment of distributions | 81.78 | 1,445 | 11 | 203 | ||||||||||||
Shares reacquired | (44 | ) | (780 | ) | (6.23 | ) | (111 | ) | ||||||||
Increase | 37.78 | $ | 665 | 1,271.72 | $ | 22,285 |
66
Notes to Financial Statements (unaudited)(continued)
Multi-Asset Growth Fund | Six Months Ended May 31, 2018 (unaudited) | Year Ended November 30, 2017 | ||||||||||||||
Class I Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 193,927 | $ | 3,467,087 | 565,559 | $ | 10,310,765 | ||||||||||
Reinvestment of distributions | 58,013 | 1,024,948 | 3,699 | 63,920 | ||||||||||||
Shares reacquired | (99,452 | ) | (1,755,474 | ) | (113,965 | ) | (1,996,905 | ) | ||||||||
Increase | 152,488 | $ | 2,736,561 | 455,293 | $ | 8,377,780 | ||||||||||
Class P Shares | ||||||||||||||||
Reinvestment of distributions | – | $ | – | 2.546 | $ | 44 | ||||||||||
Shares reacquired | – | – | (123.623 | ) | (2,236 | ) | ||||||||||
Increase (decrease) | – | $ | – | (121.077 | ) | $ | (2,192 | ) | ||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 60 | $ | 1,076 | 806 | $ | 14,220 | ||||||||||
Reinvestment of distributions | 76 | 1,360 | 180 | 3,135 | ||||||||||||
Shares reacquired | (490 | ) | (8,745 | ) | (8,324 | ) | (150,606 | ) | ||||||||
Decrease | (354 | ) | $ | (6,309 | ) | (7,338 | ) | $ | (133,251 | ) | ||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 114,668 | $ | 2,007,190 | 1,151,614 | $ | 19,740,817 | ||||||||||
Reinvestment of distributions | 87,833 | 1,537,241 | 38,359 | 655,025 | ||||||||||||
Shares reacquired | (238,686 | ) | (4,231,409 | ) | (1,500,798 | ) | (25,810,170 | ) | ||||||||
Decrease | (36,185 | ) | $ | (686,978 | ) | (310,825 | ) | $ | (5,414,328 | ) | ||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 75,270 | $ | 1,324,917 | 106,120 | $ | 1,869,133 | ||||||||||
Reinvestment of distributions | 7,716 | 135,306 | 802 | 14,051 | ||||||||||||
Shares reacquired | (19,072 | ) | (338,139 | ) | (4,796 | ) | (84,578 | ) | ||||||||
Increase | 63,914 | $ | 1,122,084 | 102,126 | $ | 1,798,606 | ||||||||||
Class R5 Shares | ||||||||||||||||
Reinvestment of distributions | 40.82 | $ | 722 | 17.88 | $ | 307 | ||||||||||
Increase | 40.82 | $ | 722 | 17.88 | $ | 307 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 394,781 | $ | 7,186,213 | 296,707 | $ | 5,192,334 | ||||||||||
Reinvestment of distributions | 8,989 | 158,510 | 1,705 | 30,048 | ||||||||||||
Shares reacquired | (33,927 | ) | (601,931 | ) | (49,814 | ) | (886,212 | ) | ||||||||
Increase | 369,843 | $ | 6,742,792 | 248,598 | $ | 4,336,170 | ||||||||||
Multi-Asset Income Fund | Six Months Ended May 31, 2018 (unaudited) | Year Ended November 30, 2017 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 4,084,921 | $ | 61,375,829 | 9,449,976 | $ | 138,020,997 | ||||||||||
Converted from Class B* | 33,687 | 510,216 | 119,606 | 1,760,267 | ||||||||||||
Converted from Class C** | 510,339 | 7,629,569 | – | – | ||||||||||||
Reinvestment of distributions | 1,050,175 | 15,708,921 | 1,730,097 | 25,223,563 | ||||||||||||
Shares reacquired | (6,483,298 | ) | (97,234,234 | ) | (18,312,705 | ) | (267,356,622 | ) | ||||||||
Decrease | (804,176 | ) | $ | (12,009,699 | ) | (7,013,026 | ) | $ | (102,351,795 | ) |
67
Notes to Financial Statements (unaudited)(continued)
Multi-Asset Income Fund | Six Months Ended May 31, 2018 (unaudited) | Year Ended November 30, 2017 | ||||||||||||||
Class B Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 22 | $ | 342 | 10,716 | $ | 157,119 | ||||||||||
Reinvestment of distributions | 510 | 7,761 | 3,234 | 47,423 | ||||||||||||
Shares reacquired | (16,038 | ) | (244,680 | ) | (56,489 | ) | (832,906 | ) | ||||||||
Converted to Class A* | (33,173 | ) | (510,216 | ) | (117,931 | ) | (1,760,267 | ) | ||||||||
Decrease | (48,679 | ) | $ | (746,793 | ) | (160,470 | ) | $ | (2,388,631 | ) | ||||||
Class C Shares | ||||||||||||||||
Shares sold | 1,322,808 | $ | 20,160,453 | 3,288,096 | $ | 48,672,917 | ||||||||||
Reinvestment of distributions | 515,422 | 7,818,759 | 826,083 | 12,186,892 | ||||||||||||
Shares reacquired | (4,135,510 | ) | (62,923,675 | ) | (11,678,828 | ) | (172,849,597 | ) | ||||||||
Converted to Class A** | (503,270 | ) | (7,629,569 | ) | – | – | ||||||||||
Decrease | (2,800,550 | ) | $ | (42,574,032 | ) | (7,564,649 | ) | $ | (111,989,788 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 2,810,058 | $ | 42,184,571 | 7,230,218 | $ | 105,518,905 | ||||||||||
Reinvestment of distributions | 290,020 | 4,337,701 | 546,505 | 7,969,869 | ||||||||||||
Shares reacquired | (3,068,674 | ) | (45,998,773 | ) | (10,319,840 | ) | (152,147,438 | ) | ||||||||
Increase (decrease) | 31,404 | $ | 523,499 | (2,543,117 | ) | $ | (38,658,664 | ) | ||||||||
Class F3 Shares(a) | ||||||||||||||||
Shares sold | 58,835 | $ | 864,477 | 237,024 | $ | 3,469,305 | ||||||||||
Reinvestment of distributions | 5,430 | 80,747 | 3,072 | 45,414 | ||||||||||||
Shares reacquired | (13,436 | ) | (201,950 | ) | (5,471 | ) | (81,567 | ) | ||||||||
Increase | 50,829 | $ | 743,274 | 234,625 | $ | 3,433,152 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 482,419 | $ | 7,173,916 | 3,354,430 | $ | 50,102,353 | ||||||||||
Reinvestment of distributions | 78,618 | 1,169,396 | 26,684 | 391,497 | ||||||||||||
Shares reacquired | (711,612 | ) | (10,622,028 | ) | (402,609 | ) | (5,865,483 | ) | ||||||||
Increase (decrease) | (150,575 | ) | $ | (2,278,716 | ) | 2,978,505 | $ | 44,628,367 | ||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 760 | $ | 11,701 | 1,302 | $ | 19,499 | ||||||||||
Reinvestment of distributions | 121 | 1,863 | 176 | 2,630 | ||||||||||||
Shares reacquired | (301 | ) | (4,703 | ) | (4,533 | ) | (68,243 | ) | ||||||||
Increase (decrease) | 580 | $ | 8,861 | (3,055 | ) | $ | (46,114 | ) | ||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 132,331 | $ | 1,984,797 | 808,751 | $ | 11,747,303 | ||||||||||
Reinvestment of distributions | 25,031 | 374,422 | 39,187 | 571,293 | ||||||||||||
Shares reacquired | (258,638 | ) | (3,879,922 | ) | (892,555 | ) | (12,964,517 | ) | ||||||||
Decrease | (101,276 | ) | $ | (1,520,703 | ) | (44,617 | ) | $ | (645,921 | ) | ||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 102,555 | $ | 1,524,462 | 47,954 | $ | 703,576 | ||||||||||
Reinvestment of distributions | 1,255 | 18,741 | 623 | 9,210 | ||||||||||||
Shares reacquired | (17,941 | ) | (267,621 | ) | (13,318 | ) | (198,468 | ) | ||||||||
Increase | 85,869 | $ | 1,275,582 | 35,259 | $ | 514,318 |
68
Notes to Financial Statements (unaudited)(concluded)
Multi-Asset Income Fund | Six Months Ended May 31, 2018 (unaudited) | Year Ended November 30, 2017 | ||||||||||||||
Class R5 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 297 | $ | 4,468 | 754 | $ | 10,922 | ||||||||||
Reinvestment of distributions | 36 | 539 | 39 | 568 | ||||||||||||
Shares reacquired | (8 | ) | (119 | ) | (7 | ) | (106 | ) | ||||||||
Increase | 325 | $ | 4,888 | 786 | $ | 11,384 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 116,133 | $ | 1,766,246 | 81,213.18 | $ | 1,179,317 | ||||||||||
Reinvestment of distributions | 2,191 | 32,591 | 844 | 12,420 | ||||||||||||
Shares reacquired | (6,977 | ) | (104,742 | ) | (10,140 | ) | (146,306 | ) | ||||||||
Increase | 111,347 | $ | 1,694,095 | 71,917.18 | $ | 1,045,431 | ||||||||||
Class T Shares(b) | ||||||||||||||||
Shares sold | – | $ | – | 676 | $ | 10,000 | ||||||||||
Reinvestment of distributions | 14.22 | 215 | 6 | 86 | ||||||||||||
Increase | 14.22 | $ | 215 | 682 | $ | 10,086 |
* | Automatic conversion of Class B shares occurred on the 25th day of the month (or, if the 25th day was not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted. Class B shares were closed on April 25, 2018. |
** | Automatic conversion of Class C shares occurs on the 25th day of the month (or, if the 25th day was not a business day, the next business day thereafter) following the tenth anniversary of the day on which the purchase order was accepted. |
(a) | Shares commenced on April 4, 2017. |
(b) | Commenced on July 28, 2017. |
15. | SUBSEQUENT EVENT |
Pursuant to a plan of reorganization approved by Multi-Asset Focused Growth Fund’s shareholders at a special meeting of shareholders held on June 28, 2018, Multi-Asset Growth Fund acquired the net assets of Multi-Asset Focused Growth Fund, as of the close of business on July 13, 2018.
The total net assets of Multi-Asset Growth Fund immediately before the transfer were $940,576,612. Total net assets of Multi-Asset Focused Growth Fund immediately before the transfer were $222,766,548. Total net assets of Multi-Asset Growth Fund immediately after the transfer were $1,163,343,160.
The following table illustrates share conversion ratios of the reorganization on July 13, 2018:
Class | Conversion Ratio |
A | 0.935797 |
C | 0.912841 |
F | 0.935617 |
F3 | 0.938332 |
I | 0.939472 |
R2 | 0.944479 |
R3 | 0.926821 |
R4 | 0.932384 |
R5 | 0.939614 |
R6 | 0.938424 |
69
Investments in Underlying Funds (unaudited)
The Funds invests in Underlying Funds managed by Lord Abbett. As of May 31, 2018, each Fund’s long-term investments were allocated among the Underlying Funds as follows:
Multi-Asset Balanced Opportunity Fund’s Investments:
Underlying Fund Name | % of Investments | |
Lord Abbett Equity Trust – Calibrated Large Cap Value Fund – Class I | 13.36% | |
Lord Abbett Equity Trust – Calibrated Mid Cap Value Fund – Class I | 9.69% | |
Lord Abbett Investment Trust – Convertible Fund – Class I | 10.09% | |
Lord Abbett Global Fund, Inc. – Emerging Markets Currency Fund – Class I | 4.71% | |
Lord Abbett Securities Trust – Growth Leaders Fund – Class I | 13.75% | |
Lord Abbett Research Fund, Inc. – Growth Opportunities Fund – Class I | 8.18% | |
Lord Abbett Investment Trust – High Yield Fund – Class I | 15.04% | |
Lord Abbett Investment Trust – Inflation Focused Fund – Class I | 3.50% | |
Lord Abbett Securities Trust – International Dividend Income Fund – Class I | 5.86% | |
Lord Abbett Securities Trust – International Equity Fund – Class I | 5.88% | |
Lord Abbett Mid Cap Stock Fund, Inc. – Class I | 4.23% | |
Lord Abbett Investment Trust – Short Duration Income Fund – Class I | 5.71% |
Multi-Asset Focused Growth Fund’s Investments:
Underlying Fund Name | % of Investments | |
Lord Abbett Equity Trust – Calibrated Mid Cap Value Fund – Class I | 16.42% | |
Lord Abbett Investment Trust – Convertible Fund – Class I | 2.02% | |
Lord Abbett Securities Trust – Fundamental Equity Fund – Class I | 12.90% | |
Lord Abbett Securities Trust – Growth Leaders Fund – Class I | 28.58% | |
Lord Abbett Research Fund, Inc. – Growth Opportunities Fund – Class I | 6.58% | |
Lord Abbett Investment Trust – High Yield Fund – Class I | 1.97% | |
Lord Abbett Securities Trust – International Dividend Income Fund – Class I | 10.70% | |
Lord Abbett Securities Trust – International Equity Fund – Class I | 10.66% | |
Lord Abbett Mid Cap Stock Fund, Inc. – Class I | 7.47% | |
Lord Abbett Investment Trust – Short Duration Income Fund – Class I | 2.70% |
Multi-Asset Growth Fund’s Investments:
Underlying Fund Name | % of Investments | |
Lord Abbett Affiliated Fund, Inc. – Class I | 4.98% | |
Lord Abbett Equity Trust – Calibrated Large Cap Value Fund – Class I | 9.93% | |
Lord Abbett Equity Trust – Calibrated Mid Cap Value Fund – Class I | 11.44% | |
Lord Abbett Investment Trust – Convertible Fund – Class I | 5.04% | |
Lord Abbett Securities Trust – Growth Leaders Fund – Class I | 13.49% | |
Lord Abbett Research Fund, Inc. – Growth Opportunities Fund – Class I | 11.71% | |
Lord Abbett Investment Trust – High Yield Fund – Class I | 17.95% | |
Lord Abbett Securities Trust – International Dividend Income Fund – Class I | 8.32% | |
Lord Abbett Securities Trust – International Equity Fund – Class I | 8.30% | |
Lord Abbett Mid Cap Stock Fund, Inc. – Class I | 6.97% | |
Lord Abbett Investment Trust – Short Duration Income Fund – Class I | 1.87% |
70
Investments in Underlying Funds (unaudited)(continued)
Multi-Asset Income Fund’s Investments:
Underlying Fund Name | % of Investments | |
Lord Abbett Equity Trust – Calibrated Mid Cap Value Fund – Class I | 8.64% | |
Lord Abbett Investment Trust – Convertible Fund – Class I | 15.08% | |
Lord Abbett Investment Trust – Core Fixed Income Fund – Class I | 1.01% | |
Lord Abbett Global Fund, Inc. – Emerging Markets Currency Fund – Class I | 3.74% | |
Lord Abbett Securities Trust – Growth Leaders Fund – Class I | 13.06% | |
Lord Abbett Research Fund, Inc. – Growth Opportunities Fund – Class I | 2.64% | |
Lord Abbett Investment Trust – High Yield Fund – Class I | 15.02% | |
Lord Abbett Investment Trust – Inflation Focused Fund – Class I | 4.03% | |
Lord Abbett Securities Trust – International Dividend Income Fund – Class I | 5.84% | |
Lord Abbett Securities Trust – International Equity Fund – Class I | 5.87% | |
Lord Abbett Mid Cap Stock Fund, Inc. – Class I | 6.16% | |
Lord Abbett Investment Trust – Short Duration Income Fund – Class I | 18.91% |
71
Investments in Underlying Funds (unaudited)(continued)
The Ten Largest Holdings and the Holdings by Sector, as of May 31, 2018, for each Underlying Fund are presented below. Each Underlying Fund’s annual and semiannual reports, which are sent to shareholders and filed with the SEC, contain information about the Underlying Fund’s portfolio holdings, including a complete schedule of holdings. A complete schedule of holdings for each Underlying Fund is also filed with the SEC on Form N-Q as of the end of each respective Underlying Fund’s first and third quarters. In addition, on or about the first day of the second month following each calendar quarter-end, each Fund makes publicly available a complete schedule of its portfolio holdings as of the last day of each such quarter. The information for the most recently ended calendar quarter may be viewed at www.lordabbett.com or requested at no charge by calling Lord Abbett at 888–522–2388.
Lord Abbett Affiliated Fund, Inc.
Ten Largest Holdings | % of Investments | |
Chevron Corp. | 3.30% | |
Pfizer, Inc. | 2.95% | |
JPMorgan Chase & Co. | 2.79% | |
Intel Corp. | 2.20% | |
Bank of America Corp. | 2.15% | |
Merck & Co., Inc. | 1.90% | |
Cisco Systems, Inc. | 1.83% | |
Valero Energy Corp. | 1.75% | |
U.S. Bancorp | 1.70% | |
United Technologies Corp. | 1.62% | |
Holding by Sector* | % of Investments | |
Consumer Discretionary | 8.18% | |
Consumer Staples | 10.41% | |
Energy | 9.84% | |
Financials | 22.07% | |
Health Care | 11.13% | |
Industrials | 11.20% | |
Information Technology | 10.20% | |
Materials | 4.07% | |
Real Estate | 4.33% | |
Telecommunication Services | 2.76% | |
Utilities | 5.37% | |
Repurchase Agreement | 0.44% | |
Total | 100.00% |
* | A sector may comprise several industries. |
72
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Equity Trust – Calibrated Large Cap Value Fund
Ten Largest Holdings | % of Investments | |
JPMorgan Chase & Co. | 4.36% | |
Chevron Corp. | 3.68% | |
Pfizer, Inc. | 3.03% | |
Bank of America Corp. | 3.02% | |
Johnson & Johnson | 2.32% | |
Intel Corp. | 2.30% | |
Cisco Systems, Inc. | 1.98% | |
AT&T, Inc. | 1.87% | |
ConocoPhillips | 1.75% | |
Berkshire Hathaway, Inc. Class B | 1.65% | |
Holding by Sector* | % of Investments | |
Consumer Discretionary | 6.57% | |
Consumer Staples | 6.69% | |
Energy | 12.04% | |
Financials | 26.87% | |
Health Care | 14.38% | |
Industrials | 7.92% | |
Information Technology | 8.82% | |
Materials | 3.33% | |
Real Estate | 4.26% | |
Telecommunication Services | 2.95% | |
Utilities | 5.75% | |
Repurchase Agreement | 0.42% | |
Total | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Equity Trust – Calibrated Mid Cap Value Fund
Ten Largest Holdings | % of Investments | |
Marathon Petroleum Corp. | 1.53% | |
KeyCorp | 1.45% | |
Comerica, Inc. | 1.43% | |
Invesco Ltd. | 1.41% | |
Synchrony Financial | 1.36% | |
PVH Corp. | 1.32% | |
M&T Bank Corp. | 1.32% | |
Sempra Energy | 1.31% | |
Duke Realty Corp. | 1.27% | |
Mylan NV | 1.26% |
73
Investments in Underlying Funds (unaudited)(continued)
Holding by Sector* | % of Investments | |
Consumer Discretionary | 11.10% | |
Consumer Staples | 4.17% | |
Energy | 9.23% | |
Financials | 20.48% | |
Health Care | 6.46% | |
Industrials | 11.86% | |
Information Technology | 7.13% | |
Materials | 5.18% | |
Real Estate | 14.09% | |
Utilities | 9.87% | |
Repurchase Agreement | 0.43% | |
Total | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Investment Trust – Convertible Fund
Ten Largest Holdings | % of Investments | |
Cornerstone OnDemand, Inc., 1.50%, 07/01/2018 | 3.28% | |
Intel Corp., 3.25%, 08/01/2039 | 2.74% | |
NRG Yield, Inc., 3.25%, 06/01/2020 | 2.71% | |
Microchip Technology, Inc., 1.625%, 02/15/2025 | 2.64% | |
Microchip Technology, Inc., 1.625%, 02/15/2025 | 2.61% | |
SunPower Corp., 0.75%, 06/01/2018 | 2.61% | |
Twitter, Inc., 1.00%, 09/15/2021 | 2.13% | |
Booking Holdings, Inc., 0.35%, 06/15/2020 | 1.91% | |
Wells Fargo & Co., 7.50%, 01/01/2199 | 1.65% | |
Bank of America Corp., 7.25%, 01/01/2099 | 1.61% | |
Holding by Sector* | % of Investments | |
Automotive | 1.26% | |
Banking | 5.65% | |
Basic Industry | 3.31% | |
Capital Goods | 1.87% | |
Consumer Goods | 1.63% | |
Energy | 7.32% | |
Healthcare | 16.1% | |
Leisure | 2.22% | |
Media | 0.90% | |
Real Estate | 3.28% | |
Retail | 4.73% | |
Services | 1.11% | |
Technology & Electronics | 40.37% | |
Telecommunications | 0.81% | |
Transportation | 4.00% | |
Utility | 4.33% | |
Repurchase Agreement | 1.11% | |
Total | 100.00% |
* | A sector may comprise several industries |
74
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Investment Trust – Core Fixed Income Fund
Ten Largest Holdings | % of Investments | |
Federal National Mortgage Assoc., 4.00%, 01/01/2199 | 9.07% | |
Federal National Mortgage Assoc., 4.50%, 01/01/2199 | 8.26% | |
U.S. Treasury Note, 2.50%, 05/31/2020 | 5.21% | |
U.S. Treasury Note, 2.75%, 05/31/2023 | 3.81% | |
U.S. Treasury Bond, 3.625%, 02/15/2044 | 2.10% | |
U.S. Treasury Note, 1.625%, 11/15/2022 | 1.96% | |
U.S. Treasury Note, 1.875%, 12/15/2020 | 1.71% | |
Federal National Mortgage Assoc., 4.00%, 09/01/2047 | 1.27% | |
U.S. Treasury Bond, 3.00%, 02/15/2048 | 1.24% | |
Province of Ontario Canada, 2.20%, 10/30/2022 | 0.98% | |
Holding by Sector* | % of Investments | |
Auto | 0.69% | |
Basic Industry | 0.14% | |
Capital Goods | 0.17% | |
Consumer Cyclicals | 0.11% | |
Consumer Services | 1.14% | |
Consumer Staples | 1.07% | |
Energy | 2.07% | |
Financial Services | 35.28% | |
Foreign Government | 1.93% | |
U.S. Government | 44.48% | |
Health Care | 0.65% | |
Integrated Oils | 0.38% | |
Materials and Processing | 0.80% | |
Municipal | 0.05% | |
Producer Durables | 0.58% | |
Technology | 1.61% | |
Telecommunications | 0.53% | |
Transportation | 0.51% | |
Utilities | 2.33% | |
Repurchase Agreement | 5.48% | |
Total | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Global Fund, Inc. – Emerging Markets Currency Fund | ||
Ten Largest Holdings | % of Investments | |
Treasury Bill | 5.38% | |
Capital One Multi-Asset Execution Trust 2015-A3, 2.1766%, 03/15/2023 | 1.05% | |
Avis Budget Rental Car Funding AESOP LLC 2014–1A A, 2.46%, 07/20/2020 | 0.95% | |
Drive Auto Receivables Trust 2017-BA C, 2.61%, 08/16/2021 | 0.94% | |
Ras Laffan Liquefied Natural Gas Co., Ltd. III, 6.75%, 09/30/2019 | 0.84% | |
Prima Capital CRE Securitization Ltd. 2015–4A MR-A, 2.55%, 08/24/2049 | 0.82% | |
General Motors Co., 3.50%, 10/02/2018 | 0.81% | |
Fidelity National Information Services, Inc., 2.85%, 10/15/2018 | 0.81% | |
Discover Bank, 2.60%, 11/13/2018 | 0.79% | |
City of Buenos Aires, 26.1997%, 03/29/2024 | 0.79% |
75
Investments in Underlying Funds (unaudited)(continued)
Holding by Sector* | % of Investments | |
Asset Backed | 15.34% | |
Automotive | 3.66% | |
Banking | 5.76% | |
Basic Industry | 2.27% | |
Capital Goods | 2.99% | |
Consumer Goods | 1.61% | |
Energy | 12.25% | |
Financial Services | 2.64% | |
Foreign Sovereign | 6.17% | |
Healthcare | 1.37% | |
Insurance | 0.19% | |
Leisure | 0.33% | |
Media | 2.14% | |
Mortgage Backed | 21.88% | |
Municipals | 0.40% | |
Real Estate | 1.78% | |
Retail | 0.56% | |
Services | 0.68% | |
Technology & Electronics | 5.66% | |
Telecommunications | 0.83% | |
US Government | 6.57% | |
Utility | 4.92% | |
Total | 100.00% |
* | A sector may comprise several industries |
Lord Abbett Securities Trust – Fundamental Equity Fund | ||
Ten Largest Holdings | % of Investments | |
JPMorgan Chase & Co. | 4.16% | |
Bank of America Corp. | 4.04% | |
Chevron Corp. | 4.02% | |
Intel Corp. | 3.72% | |
Cisco Systems, Inc. | 3.22% | |
NextEra Energy, Inc. | 2.74% | |
Johnson & Johnson | 2.69% | |
DowDuPont, Inc. | 2.65% | |
Honeywell International, Inc. | 2.58% | |
Abbott Laboratories | 2.50% |
76
Investments in Underlying Funds (unaudited)(continued)
Holding by Sector* | % of Investments | |
Consumer Discretionary | 6.07% | |
Consumer Staples | 6.86% | |
Energy | 12.15% | |
Financials | 23.25% | |
Health Care | 13.64% | |
Industrials | 9.46% | |
Information Technology | 12.38% | |
Materials | 2.65% | |
Real Estate | 2.32% | |
Telecommunication Services | 2.73% | |
Utilities | 4.99% | |
Repurchase Agreement | 3.50% | |
Total | 100.00% |
* | A sector may comprise several industries |
Lord Abbett Securities Trust – Growth Leaders Fund | ||
Ten Largest Holdings | % of Investments | |
Amazon.com, Inc. | 6.37% | |
Microsoft Corp. | 4.44% | |
Apple, Inc. | 3.56% | |
Facebook, Inc. Class A | 3.06% | |
Alphabet, Inc. Class A | 3.01% | |
Netflix, Inc. | 2.42% | |
Illumina, Inc. | 2.12% | |
Visa Inc. Class A | 2.08% | |
UnitedHealth Group, Inc. | 1.99% | |
Mastercard, Inc. Class A | 1.86% | |
Holding by Sector* | % of Investments | |
Consumer Discretionary | 16.27% | |
Consumer Staples | 1.62% | |
Energy | 2.10% | |
Financials | 7.84% | |
Health Care | 16.75% | |
Industrials | 11.45% | |
Information Technology | 42.11% | |
Repurchase Agreement | 1.86% | |
Total | 100.00% |
* | A sector may comprise several industries. |
77
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Research Fund – Growth Opportunities Fund
Ten Largest Holdings | % of Investments | |
Zoetis, Inc. | 2.75% | |
Red Hat, Inc. | 2.72% | |
Analog Devices, Inc. | 2.22% | |
ServiceNow, Inc. | 2.20% | |
Roper Technologies, Inc. | 2.01% | |
Fidelity National Information Services, Inc. | 1.80% | |
Burlington Stores, Inc. | 1.79% | |
Global Payments, Inc. | 1.78% | |
Lam Research Corp. | 1.77% | |
CoStar Group, Inc. | 1.74% | |
Holding by Sector* | % of Investments | |
Consumer Discretionary | 15.95% | |
Consumer Staples | 2.92% | |
Energy | 1.25% | |
Financials | 10.41% | |
Health Care | 15.93% | |
Industrials | 15.95% | |
Information Technology | 28.96% | |
Materials | 6.24% | |
Real Estate | 1.20% | |
Repurchase Agreement | 1.19% | |
Total | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Investment Trust – High Yield Fund
Ten Largest Holdings | % of Investments | |
Freeport-McMoRan, Inc., 3.875%, 03/15/2023 | 0.81% | |
HCA, Inc., 5.25%, 06/15/2026 | 0.79% | |
Bombardier, Inc. (Canada), 7.50%, 03/15/2025 | 0.78% | |
T-Mobile USA, Inc., 6.50%, 01/15/2026 | 0.75% | |
Peabody Energy Corp., 6.375%, 03/31/2025 | 0.60% | |
Centene Corporation Bridge Term Loan, Zero Coupon, 10/16/2018 | 0.56% | |
Tesla, Inc., 5.30%, 08/15/2025 | 0.56% | |
Netflix, Inc., 3.625%, 05/15/2027 | 0.55% | |
CCO Holdings LLC/CCO Holdings Capital Corp., 5.875%, 04/01/2024 | 0.52% | |
Petrobras Global Finance BV (Netherlands), 5.625%, 05/20/2043 | 0.50% |
78
Investments in Underlying Funds (unaudited)(continued)
Holding by Sector* | % of Investments | |
Automotive | 2.23% | |
Banking | 3.76% | |
Basic Industry | 13.36% | |
Capital Goods | 5.63% | |
Commercial Mortgage Backed | 0.41% | |
Consumer Goods | 3.53% | |
Energy | 14.18% | |
Financial Services | 3.37% | |
Foreign Sovereign | 0.84% | |
Government Guaranteed | 0.24% | |
Healthcare | 10.32% | |
Insurance | 1.01% | |
Leisure | 5.55% | |
Media | 6.88% | |
Real Estate | 0.54% | |
Retail | 5.91% | |
Services | 6.51% | |
Technology & Electronics | 4.23% | |
Telecommunications | 4.61% | |
Transportation | 3.01% | |
Utility | 3.74% | |
Repurchase Agreement | 0.14% | |
Total | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Investment Trust – Inflation Focused Fund
Ten Largest Holdings | % of Investments | |
U.S. Treasury Note, 2.50%, 05/31/2020 | 4.53% | |
Province of Ontario Canada, 2.20%, 10/03/2022 | 0.84% | |
World Financial Network Credit Card Master Trust 2012-D A, 2.15%, 04/17/2023 | 0.65% | |
Ford Motor Credit Co. LLC, 8.125%, 01/15/2020 | 0.50% | |
DBWF Mortgage Trust 2018-AMXP A, 3.873%, 05/05/2023 | 0.48% | |
OneMain Financial Issuance Trust 2016–2A A, 4.10%, 03/20/2028 | 0.48% | |
Caesars Palace Las Vegas Trust 2017-VICI A, 3.531%, 10/15/2034 | 0.48% | |
BBCMS Mortgage Trust 2018-TALL A, 2.499%, 03/15/2037 | 0.48% | |
U.S. Treasury Note, 1.375%, 06/30/2018 | 0.48% | |
Wells Fargo Dealer Floorplan Master Note Trust 2015–2 A, 2.2348%, 01/20/2022 | 0.47% |
79
Investments in Underlying Funds (unaudited)(continued)
Holding by Sector* | % of Investments | |
Auto | 2.19% | |
Basic Industry | 0.23% | |
Capital Goods | 0.61% | |
Consumer Cyclicals | 1.35% | |
Consumer Discretionary | 0.59% | |
Consumer Services | 1.13% | |
Consumer Staples | 0.54% | |
Energy | 8.70% | |
Financial Services | 60.17% | |
Foreign Government | 1.14% | |
Government | 9.12% | |
Health Care | 2.08% | |
Integrated Oils | 0.22% | |
Materials and Processing | 3.57% | |
Municipal | 0.27% | |
Other | 0.13% | |
Producer Durables | 1.06% | |
Technology | 2.78% | |
Telecommunications | 0.40% | |
Transportation | 0.58% | |
Utilities | 2.11% | |
Repurchase Agreement | 1.03% | |
Total | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Securities Trust – International Dividend Income Fund
Ten Largest Holdings | % of Investments | |
Royal Dutch Shell plc Class A ADR | 3.38% | |
Allianz SE Registered Shares | 3.36% | |
Bank of China Ltd. H Shares | 2.90% | |
Total SA | 2.88% | |
AstraZeneca plc | 2.73% | |
Anglo American plc | 2.08% | |
China Construction Bank Corp. Class H | 1.95% | |
TUI AG | 1.88% | |
BASF SE | 1.85% | |
BAE Systems plc | 1.82% |
80
Investments in Underlying Funds (unaudited)(continued)
Holding by Sector* | % of Investments | |
Consumer Discretionary | 8.85% | |
Consumer Staples | 5.25% | |
Energy | 10.81% | |
Financials | 32.94% | |
Health Care | 6.34% | |
Industrials | 6.90% | |
Information Technology | 7.45% | |
Materials | 6.53% | |
Real Estate | 3.90% | |
Telecommunication Services | 3.24% | |
Utilities | 4.09% | |
Repurchase Agreement | 3.70% | |
Total | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Securities Trust – International Equity Fund
Ten Largest Holdings | % of Investments | |
AIA Group Ltd. | 2.16% | |
Tencent Holdings Ltd. | 2.06% | |
Royal Dutch Shell plc B Shares | 1.78% | |
LVMH Moet Hennessy Louis Vuitton SE | 1.66% | |
Alibaba Group Holding Ltd. ADR | 1.65% | |
Unilever NV CVA | 1.64% | |
Vinci SA | 1.57% | |
Aroundtown SA | 1.50% | |
Infineon Technologies AG | 1.49% | |
SAP SE | 1.49% | |
Holding by Sector* | % of Investments | |
Consumer Discretionary | 15.00% | |
Consumer Staples | 6.97% | |
Energy | 4.75% | |
Financials | 21.67% | |
Health Care | 6.54% | |
Industrials | 15.20% | |
Information Technology | 15.64% | |
Materials | 7.88% | |
Real Estate | 2.27% | |
Telecommunication Services | 0.75% | |
Repurchase Agreement | 3.33% | |
Total | 100.00% |
* | A sector may comprise several industries. |
81
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Mid Cap Stock Fund, Inc.
Ten Largest Holdings | % of Investments | |
KeyCorp | 2.33% | |
Textron, Inc. | 2.27% | |
Citizens Financial Group, Inc. | 1.98% | |
FirstEnergy Corp. | 1.98% | |
E*TRADE Financial Corp. | 1.84% | |
Great Plains Energy, Inc. | 1.83% | |
CMS Energy Corp. | 1.79% | |
UDR, Inc. | 1.71% | |
Conduent, Inc. | 1.69% | |
Duke Realty Corp. | 1.66% | |
Holding by Sector* | % of Investments | |
Consumer Discretionary | 5.91% | |
Consumer Staples | 4.41% | |
Energy | 7.85% | |
Financials | 22.72% | |
Health Care | 7.82% | |
Industrials | 14.33% | |
Information Technology | 7.34% | |
Materials | 9.00% | |
Real Estate | 10.06% | |
Utilities | 8.13% | |
Repurchase Agreement | 2.43% | |
Total | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Investment Trust – Short Duration Income Fund
Ten Largest Holdings | % of Investments | |
U.S. Treasury Note, 2.50%, 05/31/2020 | 1.12% | |
DBWF Mortgage Trust, 3.8735, 05/05/2023 | 0.77% | |
BAMLL Commercial Mortgage Securities Trust 2014-IP A, 2.717%, 06/15/2028 | 0.53% | |
Sabine Pass Liquefaction LLC, 5.625%, 02/01/2021 | 0.48% | |
World Financial Network Credit Card Master Trust 2016-A, 2.03%, 04/15/2025 | 0.47% | |
Ladder Capital Commercial Mortgage Securities LLC 2014, 2.8568%, 11/14/2027 | 0.47% | |
Capital One Multi-Asset Execution Trust 2017-A4, 1.99%, 07/17/2023 | 0.46% | |
Jefferies Group LLC, 8.50%, 07/15/2019 | 0.46% | |
BA Credit Card Trust 2017-A2, 1.84%, 01/17/2023 | 0.45% | |
Caesars Palace Las Vegas Trust 2017, 3.531%,10/15/2034 | 0.42% |
82
Investments in Underlying Funds (unaudited)(concluded)
Holding by Sector* | % of Investments | |
Auto | 2.13% | |
Basic Industry | 0.30% | |
Capital Goods | 0.76% | |
Consumer Cyclicals | 0.85% | |
Consumer Discretionary | 0.67% | |
Consumer Services | 1.34% | |
Consumer Staples | 0.62% | |
Energy | 9.01% | |
Financial Services | 64.77% | |
Foreign Government | 0.65% | |
Government | 5.36% | |
Health Care | 2.16% | |
Integrated Oils | 0.23% | |
Materials and Processing | 3.70% | |
Municipal | 0.34% | |
Other | 0.12% | |
Producer Durables | 0.81% | |
Technology | 2.94% | |
Telecommunications | 0.43% | |
Transportation | 0.53% | |
Utilities | 2.19% | |
Repurchase Agreement | 0.09% | |
Total | 100.00% |
* | A sector may comprise several industries. |
83
Approval of Advisory Contract
The Board, including all of the Trustees who are not “interested persons” of the Company or of Lord Abbett, as defined in the Investment Company Act of 1940, as amended (the “Independent Trustees”), annually considers whether to approve the continuation of the existing management agreement between each Fund and Lord Abbett (the “Agreement”). In connection with its most recent approval, the Board reviewed materials relating specifically to the Agreement, as well as numerous materials received throughout the course of the year, including information about each Fund’s investment performance compared to the performance of one or more appropriate benchmarks. Before making its decision as to each Fund, the Board had the opportunity to ask questions and request further information, taking into account its familiarity with Lord Abbett gained through its meetings and discussions. These meetings and discussions included reviews of Fund performance conducted by members of the Contract Committee, the deliberations of the Contract Committee, and discussions between the Contract Committee and Lord Abbett’s management. The Independent Trustees also met with their independent legal counsel in various private sessions at which no representatives of management were present.
The materials received by the Board as to each Fund included, but were not limited to: (1) information provided by Morningstar, Inc. (“Morningstar”) regarding the investment performance of the Fund compared to the investment performance of certain funds with similar investment styles as determined by Morningstar, based, in part, on the Fund’s Morningstar category (the “performance peer group”), and the investment performance of one or more appropriate benchmarks; (2) information provided by Morningstar regarding the expense ratios, contractual and actual management fee rates, and other expense components for the Fund and certain funds-of-funds in the same Morningstar category, with generally the same or similar share classes and operational characteristics, including asset size (the “expense peer group”); (3) certain supplemental investment performance information provided by Lord Abbett; (4) information provided by Lord Abbett on the expense ratios, management fee rates, and other expense components for the Fund; (5) sales and redemption information for the Fund; (6) information regarding Lord Abbett’s financial condition; (7) an analysis of the relative profitability of the Agreement to Lord Abbett; and (8) information regarding the personnel and other resources devoted by Lord Abbett to managing the Fund.
Investment Management Services Generally. The Board considered the investment management services provided by Lord Abbett to each Fund, including investment research, portfolio management, and trading, and Lord Abbett’s commitment to compliance with all applicable legal requirements. The Board also observed that Lord Abbett was solely engaged in the investment management business and accordingly did not experience the conflicts of interest that may result from being engaged in other lines of business. The Board considered the investment advisory services provided by Lord Abbett to other clients, the fees charged for the services, and the differences in the nature of the services provided to each Fund and other Lord Abbett Funds, on the one hand, and the services provided to other clients, on the other. After reviewing these and related factors, the Board concluded that each Fund was likely to continue to benefit from the nature, extent and quality of the investment services provided by Lord Abbett under the Agreement.
Investment Performance. The Board reviewed each Fund’s investment performance in relation to that of its performance peer group and one or more appropriate benchmarks as of various periods ended August 31, 2017. As to Multi-Asset Balanced Opportunity Fund, the Board observed that the Fund’s investment performance was above the median of the performance peer group for the five-year period, but below the median of the performance peer group for the one-, three-,
84
Approval of Advisory Contract (continued)
and ten-year periods. As to Multi-Asset Focused Growth Fund, the Board observed that the Fund’s investment performance was above the median of the performance peer group for the ten-year period, equal to the median of the performance peer group for the five-year period, and below the median of the performance peer group for the one- and three-year periods. As to Multi-Asset Growth Fund, the Board observed that the Fund’s investment performance was below the median of the performance peer group for the one-, three-, five-, and ten-year periods. As to Multi-Asset Income Fund, the Board observed that the Fund’s investment performance was above the median of the performance peer group for the one-, five-, and ten-year periods, but below the median of the performance peer group for the three-year period. The Board considered that at the February 2017 board meeting it had approved changes to each of the Fund’s investment policies and principal investment strategies, which management noted, may enable each Fund to deliver better long-term risk-adjusted returns. With respect to each Fund, the Board also took into account that it had discussed equity performance with Lord Abbett over the course of several meetings. They also considered recent changes to Lord Abbett’s equity department, and that Lord Abbett had developed and was implementing a plan intended to improve equity Fund performance. The Board further considered Lord Abbett’s performance and reputation generally, the performance of other Lord Abbett-managed funds overseen by the Board, and the willingness of Lord Abbett to take steps intended to improve performance when necessary. After reviewing these and related factors, the Board concluded that each Fund’s Agreement should be continued.
Lord Abbett’s Personnel and Methods. The Board considered the qualifications of the personnel providing investment management services to each Fund, in light of its investment objective and discipline. Among other things, the Board considered the size, experience, and turnover of Lord Abbett’s investment management staff, Lord Abbett’s investment methodology and philosophy, and Lord Abbett’s approach to recruiting, training, and retaining investment management personnel.
Nature and Quality of Other Services. The Board considered the nature, quality, costs, and extent of compliance, administrative, and other services performed by Lord Abbett and the nature and extent of Lord Abbett’s supervision of third party service providers, including each Fund’s transfer agent and custodian.
Expenses. The Board considered the expense ratios, contractual and actual management fee rates, and other expense components represented in the net total expense ratio for each Fund and the expense levels of the Fund’s expense peer group. It also considered how the expense level of each Fund related to those of the expense peer group and the amount and nature of the fees paid by shareholders. As to Multi-Asset Income Fund, the Board observed that the net total expense ratio of the Fund was approximately equal to the median of the expense peer group. As to Multi-Asset Growth Fund, the Board observed that while the net total expense ratio of the Fund was above the median of the expense peer group, it was within three basis points. As to each of Multi-Asset Balanced Opportunity Fund and Multi-Asset Focused Growth Fund, the Board observed that the net total expense ratio of the Fund was above the median of the expense peer group. As to each Fund, the Board also noted Lord Abbett’s representation that it did not manage institutional accounts with similar strategies. After reviewing these and related factors, the Board concluded, within the context of its overall approval of the Agreement, that the expense level of each Fund was reasonable and supported the continuation of the Agreement on behalf of each Fund.
Profitability. As to each Fund, the Board considered the level of Lord Abbett’s operating margin in managing the Fund, including a review of Lord Abbett’s methodology for allocating its costs to its management of the Fund. It considered whether each Fund was profitable to Lord Abbett in
85
Approval of Advisory Contract (concluded)
connection with the Fund’s operation, including the fee that Lord Abbett receives from the Fund for providing administrative services to the Fund. The Board also considered the profits realized from other business segments of Lord Abbett, which may benefit from or be related to each Fund’s business. The Board considered Lord Abbett’s profit margins excluding Lord Abbett’s marketing and distribution expenses. The Board also considered Lord Abbett’s profit margins, without those exclusions, in comparison with available industry data and how those profit margins could affect Lord Abbett’s ability to recruit and retain investment personnel. The Board recognized that Lord Abbett’s overall profitability was a factor in enabling it to attract and retain qualified investment management personnel to provide services to each Fund. After reviewing these and related factors, the Board concluded, within the context of its overall approval of the Agreement, that Lord Abbett’s profitability with respect to each Fund was not excessive.
Economies of Scale. As to each Fund, the Board considered the extent to which there had been economies of scale in managing the Fund, whether the Fund’s shareholders had appropriately benefited from such economies of scale, and whether there was potential for realization of any further economies of scale. With respect to each Fund, the Board concluded that the existing management fee schedule adequately addressed any economies of scale in managing the Fund.
Other Benefits to Lord Abbett. As to each Fund, the Board considered the amount and nature of the fees paid by the Fund and the Fund’s shareholders to Lord Abbett and the Distributor for services other than investment advisory services. The Board also considered the revenues and profitability of Lord Abbett’s investment advisory business apart from its mutual fund business, and the intangible benefits enjoyed by Lord Abbett by virtue of its relationship with each Fund. The Board observed that the Distributor receives 12b-1 fees from certain of the Lord Abbett Funds as to shares held in accounts for which there is no other broker of record, may retain a portion of the 12b-1 fees it receives, and receives a portion of the sales charges on sales and redemptions of some classes of shares of the Lord Abbett Funds. In addition, the Board observed that Lord Abbett accrues certain benefits for its business of providing investment advice to clients other than the Lord Abbett Funds, but that business also benefits the Funds. The Board also considered that Lord Abbett accrues certain benefits from sponsoring funds that invest in other Lord Abbett Funds and the fees that Lord Abbett receives from the Underlying Funds. The Board also noted that Lord Abbett, as disclosed in the prospectus of each Fund, has entered into revenue sharing arrangements with certain entities that distribute shares of each Fund. The Board also took into consideration the investment research that Lord Abbett receives as a result of each Fund’s brokerage transactions.
Alternative Arrangements. As to each Fund, the Board considered whether, instead of approving continuation of the Agreement, it might be in the best interests of the Fund to implement one or more alternative arrangements, such as continuing to employ Lord Abbett, but on different terms. After considering all of the relevant factors, the Board unanimously found that continuation of the Agreement was in the best interests of each Fund and its shareholders and voted unanimously to approve the continuation of the Agreement on behalf of each Fund. As to each Fund, in considering whether to approve the continuation of the Agreement, the Board did not identify any single factor as paramount or controlling. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. This summary does not discuss in detail all matters considered.
86
Householding
The Trust has adopted a policy that allows it to send only one copy of each Fund’s prospectus, proxy material, annual report and semiannual report to certain shareholders residing at the same “household.” This reduces Fund expenses, which benefits you and other shareholders. If you need additional copies or do not want your mailings to be “householded,” please call Lord Abbett at 888-522-2388 or send a written request with your name, the name of your fund or funds and your account number or numbers to Lord Abbett Family of Funds, P.O. Box 219336, Kansas City, MO 64121.
Proxy Voting Policies, Procedures and Records
A description of the policies and procedures that Lord Abbett uses to vote proxies related to each Fund’s portfolio securities, and information on how Lord Abbett voted each Fund’s proxies during the 12-month period ended June 30 are available without charge, upon request, (i) by calling 888-522-2388; (ii) on Lord Abbett’s Website at www.lordabbett.com; and (iii) on the Securities and Exchange Commission’s (“SEC”) Website at www.sec.gov.
Shareholder Reports and Quarterly Portfolio Disclosure
The Funds are required to file their complete schedule of portfolio holdings with the SEC for their first and third fiscal quarters on Form N-Q. Copies of the filings are available without charge, upon request on the SEC’s Website at www.sec.gov and may be available by calling Lord Abbett at 888-522-2388. You can also obtain copies of Form N-Q by visiting the SEC’s Public Reference Room in Washington, DC (information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330).
87
Lord Abbett Investment Trust
Lord Abbett Multi-Asset Balanced Opportunity Fund Lord Abbett Multi-Asset Growth Fund | |||
This report, when not used for the general information of shareholders of the Fund, is to be distributed only if preceded or accompanied by a current fund prospectus. | |||
Lord Abbett mutual fund shares are distributed by LORD ABBETT DISTRIBUTOR LLC. | LASAF-3 (07/18) |
Item 2: | Code of Ethics. |
Not applicable. | |
Item 3: | Audit Committee Financial Expert. |
Not applicable. | |
Item 4: | Principal Accountant Fees and Services. |
Not applicable. | |
Item 5: | Audit Committee of Listed Registrants. |
Not applicable. | |
Item 6: | Investments. |
Not applicable. | |
Item 7: | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable. | |
Item 8: | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable. | |
Item 9: | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable. | |
Item 10: | Submission of Matters to a Vote of Security Holders. |
Not applicable. | |
Item 11: | Controls and Procedures. |
(a) | Based on their evaluation of the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) as of a date within 90 days prior to the filing date of this report, the Chief Executive Officer and Chief Financial Officer of the Registrant have concluded that such disclosure controls and procedures are reasonably designed and effective to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to them by others within those entities. |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12: | Exhibits. |
(a)(1) | Code of Ethics. Not applicable. |
(a)(2) | Certification of each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2 under the Investment Company Act of 1940 is attached hereto as a part of EX-99.CERT. |
(b) | Certification of each principal executive officer and principal financial officer of the Registrant as required by Section 906 of the Sarbanes-Oxley Act of 2002 is provided as a part of EX-99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
LORD ABBETT INVESTMENT TRUST | |||
By: | /s/Douglas B. Sieg | ||
Douglas B. Sieg | |||
President and Chief Executive Officer |
Date: July 27, 2018
By: | /s/Bernard J. Grzelak | ||
Bernard J. Grzelak | |||
Chief Financial Officer and Vice President |
Date: July 27, 2018
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/Douglas B. Sieg | ||
Douglas B. Sieg | |||
President and Chief Executive Officer |
Date: July 27, 2018
By: | /s/Bernard J. Grzelak | ||
Bernard J. Grzelak | |||
Chief Financial Officer and Vice President |
Date: July 27, 2018