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:(888) 522-2388
Date of fiscal year end: 11/30
Date of reporting period: 5/31/2019
Item 1: | Report(s) to Shareholders. |
LORD ABBETT
SEMIANNUAL REPORT
Lord Abbett
Convertible Fund | Income Fund |
Core Fixed Income Fund | Inflation Focused Fund |
Core Plus Bond Fund | Short Duration Core Bond Fund |
Corporate Bond Fund | Short Duration Income Fund |
Floating Rate Fund | Total Return Fund |
High Yield Fund | Ultra Short Bond Fund |
For the six-month period ended May 31, 2019
Important Information on Paperless Delivery
Beginning in January 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of each Fund’s shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer, investment advisor or bank. Instead, the reports will be made available on Lord Abbett’s website and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. Shareholders who hold accounts directly with a Fund may elect to receive shareholder reports and other communications from the Fund electronically by signing into your Lord Abbett online account at lordabbett.com and selecting “Log In.” For further information, you may also contact the Funds at (800) 821-5129. Shareholders who hold accounts through a financial intermediary should contact them directly.
You may elect to receive all future reports in paper free of charge by contacting a Fund at (800) 821-5129. Your election to receive reports in paper will apply to all funds held with Lord Abbett. If your fund shares are held through a financial intermediary please contact them directly. Your election applies to all funds held with that intermediary.
Table of Contents
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, 2019
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, 2019. 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 inLord 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, 2018 through May 31, 2019).
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 12/1/18—5/31/19” 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 Account Value | Ending Account Value | Expenses Paid During Period† | |||||
12/1/18 – | |||||||
12/1/18 | 5/31/19 | 5/31/19 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,057.10 | $5.39 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.70 | $5.29 | ||||
Class C | |||||||
Actual | $1,000.00 | $1,054.00 | $8.71 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,016.45 | $8.55 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,058.30 | $4.88 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.19 | $4.78 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $1,058.60 | $4.21 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.84 | $4.13 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,057.80 | $4.36 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.69 | $4.28 | ||||
Class P | |||||||
Actual | $1,000.00 | $1,055.70 | $6.66 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.45 | $6.54 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,054.80 | $7.43 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,017.70 | $7.29 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,055.00 | $6.92 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.20 | $6.79 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,056.90 | $5.64 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.45 | $5.54 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,058.70 | $4.36 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.69 | $4.28 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $1,058.60 | $4.21 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.84 | $4.13 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.05% for Class A, 1.70% for Class C, 0.95% for Class F, 0.82% for Class F3, 0.85% for Class I, 1.30% for Class P, 1.45% for Class R2, 1.35% for Class R3, 1.10% for Class R4, 0.85% for Class R5 and 0.82% 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, 2019
Sector* | %** | |
Automotive | 0.44 | % |
Banking | 5.07 | % |
Basic Industry | 1.83 | % |
Capital Goods | 7.07 | % |
Consumer Goods | 1.47 | % |
Energy | 6.09 | % |
Healthcare | 11.15 | % |
Leisure | 4.23 | % |
Media | 3.88 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | |
Real Estate | 5.40 | % |
Retail | 3.10 | % |
Services | 4.64 | % |
Technology & Electronics | 36.26 | % |
Telecommunications | 1.92 | % |
Transportation | 3.97 | % |
Utility | 1.57 | % |
Repurchase Agreement | 1.91 | % |
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 Account Value | Ending Account Value | Expenses Paid During Period† | |||||
12/1/18 – | |||||||
12/1/18 | 5/31/19 | 5/31/19 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,062.80 | $3.29 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.74 | $3.23 | ||||
Class C | |||||||
Actual | $1,000.00 | $1,058.80 | $6.42 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.70 | $6.29 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,063.30 | $2.73 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.29 | $2.67 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $1,064.30 | $1.80 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.19 | $1.77 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,064.10 | $2.06 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.94 | $2.02 | ||||
Class P | |||||||
Actual | $1,000.00 | $1,066.00 | $4.48 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.59 | $4.38 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,060.70 | $5.34 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.75 | $5.24 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,061.30 | $4.83 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.24 | $4.73 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,062.50 | $3.55 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.49 | $3.48 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,063.90 | $2.26 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.74 | $2.22 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $1,064.30 | $1.80 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.19 | $1.77 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.64% for Class A, 1.25% for Class C, 0.53% for Class F, 0.35% for Class F3, 0.40% for Class I, 0.87% for Class P, 1.04% for Class R2, 0.94% for Class R3, 0.69% for Class R4, 0.44% for Class R5 and 0.35% for Class R6) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
5
Portfolio Holdings Presented by Sector
May 31, 2019
Sector* | %** | |
Auto | 0.41 | % |
Capital Goods | 0.28 | % |
Consumer Cyclical | 0.29 | % |
Consumer Services | 0.82 | % |
Consumer Staples | 0.36 | % |
Energy | 1.67 | % |
Financial Services | 29.97 | % |
Foreign Government | 0.77 | % |
Health Care | 0.25 | % |
Integrated Oils | 0.69 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | |
Materials & Processing | 0.48 | % |
Municipal | 0.04 | % |
Producer Durables | 0.75 | % |
Technology | 0.43 | % |
Telecommunications | 0.06 | % |
Transportation | 0.34 | % |
U.S. Government | 59.52 | % |
Utilities | 1.40 | % |
Repurchase Agreement | 1.47 | % |
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 Account Value | Ending Account Value | Expenses Paid During Period† | |||||
12/1/18 – | |||||||
12/1/18 | 5/31/19 | 5/31/19 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,062.80 | $3.50 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.54 | $3.43 | ||||
Class C | |||||||
Actual | $1,000.00 | $1,059.60 | $6.78 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.35 | $6.64 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,062.50 | $2.98 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.09 | $2.92 | ||||
Class F3* | |||||||
Actual | $1,000.00 | $1,063.90 | $2.42 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.54 | $2.37 | ||||
Class I* | |||||||
Actual | $1,000.00 | $1,064.00 | $2.42 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.59 | $2.37 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,060.80 | $5.55 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.60 | $5.44 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,061.30 | $5.04 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.09 | $4.94 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,062.60 | $3.75 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.29 | $3.68 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,063.90 | $2.47 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.54 | $2.42 | ||||
Class R6* | |||||||
Actual | $1,000.00 | $1,064.00 | $2.42 | ||||
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 (0.68% for Class A, 1.32% for Class C, 0.58% for Class F, 0.47% for Class F3, 0.47% for Class I, 1.08% for Class R2, 0.98% for Class R3, 0.73% for Class R4, 0.48% for Class R5 and 0.47% 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 0.48% for Class I and 0.46% for Classes, F3 and 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 | $2.37 | $2.32 | |||
Class I | $2.47 | $2.42 | |||
Class R6 | $2.37 | $2.32 |
7
Portfolio Holdings Presented by Sector
May 31, 2019
Sector* | %** | |
Auto | 0.96 | % |
Basic Industry | 0.18 | % |
Capital Goods | 0.54 | % |
Consumer Cyclical | 0.96 | % |
Consumer Discretionary | 0.46 | % |
Consumer Services | 2.28 | % |
Consumer Staples | 1.55 | % |
Energy | 3.05 | % |
Financial Services | 31.58 | % |
Foreign Government | 1.82 | % |
Health Care | 0.97 | % |
Industrial | 0.13 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | |
Integrated Oils | 0.91 | % |
Materials | 0.09 | % |
Materials & Processing | 2.86 | % |
Municipal | 0.01 | % |
Other | 16.93 | % |
Producer Durables | 1.73 | % |
Technology | 1.89 | % |
Telecommunications | 0.92 | % |
Transportation | 0.16 | % |
U.S. Government | 25.72 | % |
Utilities | 2.12 | % |
Repurchase Agreement | 2.18 | % |
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† | |||||
12/1/18 – | |||||||
12/1/18 | 5/31/19 | 5/31/19 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,079.80 | $3.53 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.54 | $3.43 | ||||
Class C | |||||||
Actual | $1,000.00 | $1,075.30 | $6.83 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.35 | $6.64 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,080.20 | $3.01 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.04 | $2.92 | ||||
Class F3* | |||||||
Actual | $1,000.00 | $1,081.40 | $2.02 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.99 | $1.97 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,079.80 | $2.49 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.54 | $2.42 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,077.70 | $5.59 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.55 | $5.44 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,078.20 | $5.08 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.04 | $4.94 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,079.60 | $3.78 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.29 | $3.68 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,080.90 | $2.49 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.54 | $2.42 | ||||
Class R6* | |||||||
Actual | $1,000.00 | $1,081.40 | $2.02 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.99 | $1.97 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.68% for Class A, 1.32% for Class C, 0.58% for Class F, 0.39% 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 0.39% 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 0.43% for Classes, F3 and 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 | $2.23 | $2.17 | |||
Class R6 | $2.23 | $2.17 |
9
Portfolio Holdings Presented by Sector
May 31, 2019
Sector* | %** | |
Auto | 1.28 | % |
Basic Industry | 0.26 | % |
Capital Goods | 1.33 | % |
Consumer Cyclical | 1.96 | % |
Consumer Discretionary | 0.52 | % |
Consumer Services | 4.07 | % |
Consumer Staples | 2.02 | % |
Energy | 13.80 | % |
Financial Services | 30.22 | % |
Health Care | 5.62 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | |
Integrated Oils | 2.75 | % |
Materials & Processing | 4.86 | % |
Municipal | 0.56 | % |
Producer Durables | 3.84 | % |
Technology | 5.13 | % |
Telecommunications | 3.97 | % |
Transportation | 3.28 | % |
U.S. Government | 0.44 | % |
Utilities | 10.27 | % |
Repurchase Agreement | 3.82 | % |
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† | |||||
12/1/18 – | |||||||
12/1/18 | 5/31/19 | 5/31/19 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,020.70 | $4.08 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.89 | $4.08 | ||||
Class C | |||||||
Actual | $1,000.00 | $1,018.70 | $7.25 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,017.75 | $7.24 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,021.20 | $3.58 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.39 | $3.58 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $1,022.10 | $2.72 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.24 | $2.72 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,021.70 | $3.07 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.89 | $3.07 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,018.80 | $6.09 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.90 | $6.09 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,019.20 | $5.59 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.40 | $5.59 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,020.50 | $4.33 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.64 | $4.33 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,021.80 | $3.13 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.84 | $3.13 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $1,022.00 | $2.67 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.29 | $2.67 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.81% for Class A, 1.44% for Class C, 0.71% for Class F, 0.54% for Class F3, 0.61% for Class I, 1.21% for Class R2, 1.11% for Class R3, 0.86% for Class R4, 0.62% for Class R5 and 0.53% for Class R6) 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, 2019
Sector* | %** | |
Aerospace | 3.79 | % |
Chemicals | 1.77 | % |
Consumer Durables | 1.06 | % |
Consumer Non-Durables | 1.59 | % |
Energy | 3.21 | % |
Financial Services | 12.23 | % |
Food and Drug | 2.01 | % |
Food/Tobacco | 4.21 | % |
Forest Products | 2.48 | % |
Gaming/Leisure | 5.23 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | |
Healthcare | 13.10 | % |
Housing | 1.73 | % |
Information Technology | 11.49 | % |
Manufacturing | 5.99 | % |
Metals/Minerals | 1.72 | % |
Retail | 4.75 | % |
Telecommunications | 13.30 | % |
Transportation | 3.59 | % |
Utilities | 3.95 | % |
Repurchase Agreement | 2.80 | % |
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† | |||||
12/1/18 – | |||||||
12/1/18 | 5/31/19 | 5/31/19 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,052.70 | $4.55 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.49 | $4.48 | ||||
Class C | |||||||
Actual | $1,000.00 | $1,049.60 | $7.77 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,017.35 | $7.64 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,053.20 | $4.04 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.99 | $3.98 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $1,055.60 | $3.07 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.94 | $3.02 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,053.60 | $3.53 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.49 | $3.48 | ||||
Class P | |||||||
Actual | $1,000.00 | $1,051.10 | $5.93 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.15 | $5.84 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,050.60 | $6.60 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.50 | $6.49 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,051.10 | $6.09 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.00 | $5.99 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,054.00 | $4.81 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.24 | $4.73 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,055.20 | $3.54 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.49 | $3.48 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $1,055.60 | $3.07 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.94 | $3.02 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.89% for Class A, 1.52% for Class C, 0.79% for Class F, 0.60% for Class F3, 0.69% for Class I, 1.16% for Class P, 1.29% for Class R2, 1.19% for Class R3, 0.94% for Class R4, 0.69% for Class R5 and 0.60% for Class R6) 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, 2019
Sector* | %** | |
Automotive | 0.80 | % |
Banking | 0.45 | % |
Basic Industry | 1.66 | % |
Capital Goods | 0.56 | % |
Consumer Services | 4.65 | % |
Consumer Cyclicals | 0.97 | % |
Consumer Discretionary | 18.08 | % |
Consumer Goods | 0.61 | % |
Consumer Services | 0.25 | % |
Consumer Staples | 3.04 | % |
Energy | 14.07 | % |
Financial Services | 8.01 | % |
Foreign Government | 0.73 | % |
Healthcare | 10.30 | % |
Industrials | 8.12 | % |
Information Technology | 4.10 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | |
Insurance | 0.11 | % |
Leisure | 0.88 | % |
Materials | 6.36 | % |
Media | 2.34 | % |
Mortgage-Backed | 0.01 | % |
Municipals | 0.20 | % |
Producer Durables | 0.10 | % |
Real Estate | 0.93 | % |
Retail | 1.39 | % |
Services | 1.19 | % |
Technology | 2.56 | % |
Telecommunications | 0.71 | % |
Transportation | 0.74 | % |
Utilities | 4.20 | % |
Repurchase Agreement | 1.88 | % |
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† | |||||
12/1/18 – | |||||||
12/1/18 | 5/31/19 | 5/31/19 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,074.60 | $3.93 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.14 | $3.83 | ||||
Class C | |||||||
Actual | $1,000.00 | $1,070.90 | $7.13 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.05 | $6.94 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,071.10 | $3.41 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.64 | $3.33 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $1,076.10 | $2.43 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.59 | $2.37 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,075.60 | $2.90 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.14 | $2.82 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,071.90 | $5.99 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.15 | $5.84 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,072.80 | $5.48 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.65 | $5.34 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,074.40 | $4.19 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.89 | $4.08 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,071.70 | $2.89 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.14 | $2.82 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $1,076.10 | $2.43 | ||||
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 (0.76% for Class A, 1.38% for Class C, 0.66% for Class F, 0.47% for Class F3, 0.56% for Class I, 1.16% for Class R2, 1.06% for Class R3, 0.81% for Class R4, 0.56% 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). |
15
Portfolio Holdings Presented by Sector
May 31, 2019
Sector* | %** | |
Auto | 3.77 | % |
Basic Industry | 0.82 | % |
Capital Goods | 1.08 | % |
Consumer Cyclical | 2.48 | % |
Consumer Discretionary | 0.98 | % |
Consumer Services | 3.18 | % |
Consumer Staples | 3.39 | % |
Energy | 13.53 | % |
Financial Services | 29.79 | % |
Foreign Government | 0.54 | % |
Health Care | 4.71 | % |
Industrials | 0.17 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | |
Integrated Oils | 1.11 | % |
Manufacturing | 0.08 | % |
Materials & Processing | 5.96 | % |
Municipal | 0.56 | % |
Producer Durables | 4.00 | % |
Technology | 6.17 | % |
Telecommunications | 3.04 | % |
Transportation | 1.90 | % |
U.S. Government | 3.52 | % |
Utilities | 7.10 | % |
Repurchase Agreement | 2.12 | % |
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† | |||||
12/1/18 – | |||||||
12/1/18 | 5/31/19 | 5/31/19 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,007.90 | $3.40 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.54 | $3.43 | ||||
Class C | |||||||
Actual | $1,000.00 | $1,004.70 | $6.65 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.35 | $6.69 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,008.40 | $2.90 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.04 | $2.92 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $1,009.30 | $2.05 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.94 | $2.07 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,008.90 | $2.40 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.54 | $2.42 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,005.90 | $5.40 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.55 | $5.44 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,006.40 | $4.90 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.04 | $4.94 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,007.70 | $3.65 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.29 | $3.68 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,008.90 | $2.40 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.54 | $2.42 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $1,009.30 | $2.05 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.94 | $2.07 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.68% for Class A, 1.33% for Class C, 0.58% for Class F, 0.41% 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 0.41% for Class R6) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
17
Portfolio Holdings Presented by Sector
May 31, 2019
Sector* | %** | |
Auto | 2.43 | % |
Basic Industry | 0.29 | % |
Capital Goods | 1.15 | % |
Consumer Cyclical | 0.93 | % |
Consumer Discretionary | 0.65 | % |
Consumer Services | 1.25 | % |
Consumer Staples | 0.33 | % |
Energy | 7.77 | % |
Financial Services | 63.42 | % |
Foreign Government | 0.54 | % |
Health Care | 2.15 | % |
Integrated Oils | 0.53 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | |
Materials & Processing | 4.68 | % |
Municipal | 0.07 | % |
Other | 0.15 | % |
Producer Durables | 2.55 | % |
Technology | 3.30 | % |
Telecommunications | 0.86 | % |
Transportation | 1.09 | % |
U.S. Government | 1.54 | % |
Undefined | 0.03 | % |
Utilities | 2.33 | % |
Repurchase Agreement | 1.96 | % |
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† | |||||
12/1/18 – | |||||||
12/1/18 | 5/31/19 | 5/31/19 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,030.30 | $3.04 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.94 | $3.02 | ||||
Class C | |||||||
Actual | $1,000.00 | $1,026.80 | $6.57 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.45 | $6.54 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,030.80 | $2.53 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.44 | $2.52 | ||||
Class F3* | |||||||
Actual | $1,000.00 | $1,031.70 | $1.72 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.24 | $1.72 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,032.30 | $2.03 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.94 | $2.02 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,028.30 | $4.91 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.09 | $4.89 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,028.80 | $4.55 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.44 | $4.53 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,030.10 | $3.29 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.69 | $3.28 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,031.40 | $2.03 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.94 | $2.02 | ||||
Class R6* | |||||||
Actual | $1,000.00 | $1,031.70 | $1.72 | ||||
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 (0.60% for Class A, 1.30% for Class C, 0.50% for Class F, 0.34% for Class F3, 0.40% for Class I, 0.97% for Class R2, 0.90% for Class R3, 0.65% for Class R4, 0.40% 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 0.38% for Classes, F3 and 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 | $1.92 | $1.92 | |||
Class R6 | $1.92 | $1.92 |
19
Portfolio Holdings Presented by Sector
May 31, 2019
Sector* | %** | |
Auto | 2.01 | % |
Basic Industry | 0.27 | % |
Capital Goods | 0.85 | % |
Consumer Cyclical | 0.44 | % |
Consumer Discretionary | 0.37 | % |
Consumer Services | 1.01 | % |
Consumer Staples | 0.22 | % |
Energy | 4.91 | % |
Financial Services | 59.10 | % |
Foreign Government | 1.21 | % |
Healthcare | 0.59 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | |
Integrated Oils | 0.29 | % |
Materials & Processing | 2.47 | % |
Municipal | 0.03 | % |
Producer Durables | 1.41 | % |
Technology | 2.98 | % |
Telecommunications | 0.93 | % |
Transportation | 0.63 | % |
U.S. Government | 1.62 | % |
Utilities | 16.48 | % |
Repurchase Agreement | 2.18 | % |
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 Account Value | Ending Account Value | Expenses Paid During Period† | |||||
12/1/18 – | |||||||
12/1/18 | 5/31/19 | 5/31/19 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,034.00 | $2.94 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.04 | $2.92 | ||||
Class C | |||||||
Actual | $1,000.00 | $1,030.70 | $6.08 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.95 | $6.04 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,034.50 | $2.43 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.54 | $2.42 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $1,037.80 | $1.63 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.34 | $1.61 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,035.00 | $1.93 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.04 | $1.92 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,032.00 | $4.96 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.04 | $4.94 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,032.50 | $4.46 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.54 | $4.43 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,033.70 | $3.19 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.79 | $3.18 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,035.10 | $1.93 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.04 | $1.92 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $1,035.40 | $1.62 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.34 | $1.61 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.58% for Class A, 1.20% for Class C, 0.48% for Class F, 0.32% for Class F3, 0.38% for Class I, 0.98% for Class R2, 0.88% for Class R3, 0.63% for Class R4, 0.38% for Class R5 and 0.32% for Class R6) 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, 2019
Sector* | %** | |
Aerospace | 0.45 | % |
Auto | 2.12 | % |
Basic Industry | 0.32 | % |
Capital Goods | 1.15 | % |
Computer Software | 0.04 | % |
Consumer Cyclical | 0.81 | % |
Consumer Discretionary | 0.76 | % |
Consumer Services | 1.22 | % |
Consumer Staples | 0.48 | % |
Energy | 7.07 | % |
Financial Services | 65.04 | % |
Foreign Government | 0.76 | % |
Gaming/Leisure | 0.10 | % |
Health Care | 1.89 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | |
Information Technology | 0.04 | % |
Integrated Oils | 0.49 | % |
Machinery | 0.16 | % |
Materials & Processing | 3.66 | % |
Municipal | 0.10 | % |
Other | 0.03 | % |
Producer Durables | 1.91 | % |
Retail | 0.03 | % |
Technology | 3.37 | % |
Telecommunications | 0.66 | % |
Transportation | 0.90 | % |
U.S. Government | 3.62 | % |
Utilities | 2.00 | % |
Repurchase Agreement | 0.82 | % |
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 Account Value | Ending Account Value | Expenses Paid During Period† | |||||
12/1/18 – | |||||||
12/1/18 | 5/31/19 | 5/31/19 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,061.80 | $3.44 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.59 | $3.38 | ||||
Class C | |||||||
Actual | $1,000.00 | $1,058.60 | $6.57 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.55 | $6.44 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,062.30 | $2.93 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.09 | $2.87 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $1,062.30 | $1.90 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.09 | $1.87 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,062.90 | $2.21 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.79 | $2.17 | ||||
Class P | |||||||
Actual | $1,000.00 | $1,060.30 | $4.73 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.34 | $4.63 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,058.70 | $5.49 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.60 | $5.39 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,059.20 | $4.98 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.09 | $4.89 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,061.50 | $3.70 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.34 | $3.63 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,062.80 | $2.42 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.59 | $2.37 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $1,063.30 | $1.90 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.09 | $1.87 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.67% for Class A, 1.28% for Class C, 0.57% for Class F, 0.37% for Class F3, 0.43% for Class I, 0.92% for Class P, 1.07% for Class R2, 0.97% for Class R3, 0.72% for Class R4, 0.47% for Class R5 and 0.37% for Class R6) multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period). |
23
Portfolio Holdings Presented by Sector
May 31, 2019
Sector* | %** | |
Auto | 0.76 | % |
Basic Industry | 0.07 | % |
Capital Goods | 0.34 | % |
Consumer Cyclical | 0.45 | % |
Consumer Discretionary | 0.11 | % |
Consumer Services | 1.30 | % |
Consumer Staples | 0.61 | % |
Energy | 2.12 | % |
Financial Services | 30.28 | % |
Foreign Government | 2.49 | % |
Health Care | 0.59 | % |
Industrials | 0.12 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | |
Integrated Oils | 0.64 | % |
Materials | 0.07 | % |
Materials & Processing | 1.73 | % |
Municipal | 0.14 | % |
Other | 0.01 | % |
Producer Durables | 0.80 | % |
Technology | 1.07 | % |
Telecommunications | 0.29 | % |
Transportation | 0.16 | % |
U.S. Government | 52.06 | % |
Utilities | 1.56 | % |
Repurchase Agreement | 2.23 | % |
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 Account Value | Ending Account Value | Expenses Paid During Period† | |||||
12/1/18 – | |||||||
12/1/18 | 5/31/19 | 5/31/19 | |||||
Class A* | |||||||
Actual | $1,000.00 | $1,016.10 | $2.06 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.89 | $2.07 | ||||
Class F* | |||||||
Actual | $1,000.00 | $1,015.30 | $1.81 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.14 | $1.82 | ||||
Class F3* | |||||||
Actual | $1,000.00 | $1,016.00 | $1.16 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.78 | $1.16 | ||||
Class I* | |||||||
Actual | $1,000.00 | $1,016.80 | $1.31 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.64 | $1.31 | ||||
Class R5* | |||||||
Actual | $1,000.00 | $1,015.90 | $1.31 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.64 | $1.31 | ||||
Class R6* | |||||||
Actual | $1,000.00 | $1,015.90 | $1.16 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.78 | $1.16 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.41% for Class A, 0.36% for Class F, 0.23% for Class F3, 0.26% for Class I, 0.26% for Class R5 and 0.23% 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 0.42% for Class A, 0.37% for Class F, 0.27% for Classes I and R5 and 0.22% for Classes, F3 and 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 A | $2.11 | $2.12 | |||
Class F | $1.86 | $1.87 | |||
Class F3 | $1.11 | $1.11 | |||
Class I | $1.36 | $1.36 | |||
Class R5 | $1.36 | $1.36 | |||
Class R6 | $1.11 | $1.11 |
25
Portfolio Holdings Presented by Sector
May 31, 2019
Sector* | %** | |
Auto | 5.10 | % |
Capital Goods | 1.26 | % |
Consumer Cyclical | 3.72 | % |
Consumer Services | 1.01 | % |
Consumer Staples | 3.06 | % |
Energy | 9.91 | % |
Financial Services | 56.45 | % |
Health Care | 3.36 | % |
Integrated Oil | 0.22 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
Sector* | %** | |
Materials & Processing | 4.27 | % |
Producer Durables | 4.33 | % |
Technology | 2.01 | % |
Telecommunications | 0.67 | % |
Transportation | 0.06 | % |
U.S. Government | 1.97 | % |
Utilities | 2.19 | % |
Repurchase Agreement | 0.41 | % |
Total | 100.00 | % |
26
Schedule of Investments (unaudited)
Investments | Shares (000) | Fair Value | ||||||
LONG-TERM INVESTMENTS 97.83% | ||||||||
COMMON STOCKS 15.19% | ||||||||
Aerospace/Defense 0.78% | ||||||||
HEICO Corp. | 31 | $ | 3,802,727 | |||||
Teledyne Technologies, Inc.* | 7 | 1,756,239 | ||||||
Total | 5,558,966 | |||||||
Auto Parts & Equipment 0.39% | ||||||||
Monro, Inc. | 35 | 2,757,328 | ||||||
Banking 1.11% | ||||||||
Bank of America Corp. | 87 | 2,314,200 | ||||||
First Financial Bankshares, Inc. | 49 | 2,776,340 | ||||||
First Republic Bank | 29 | 2,813,580 | ||||||
Total | 7,904,120 | |||||||
Beverages 0.30% | ||||||||
Becle SAB de CV(a) | MXN | 1,489 | 2,173,737 | |||||
Building & Construction 0.45% | ||||||||
NVR, Inc.* | 1 | 3,188,764 | ||||||
Building Materials 0.40% | ||||||||
DR Horton, Inc. | 67 | 2,864,920 | ||||||
Diversified Capital Goods 0.70% | ||||||||
Dover Corp. | 20 | 1,775,861 | ||||||
Exponent, Inc. | 57 | 3,222,371 | ||||||
Total | 4,998,232 | |||||||
Electronics 1.10% | ||||||||
Nintendo Co., Ltd.(a) | JPY | 11 | 3,971,223 | |||||
Roku, Inc.* | 43 | 3,887,200 | ||||||
Total | 7,858,423 | |||||||
Food: Wholesale 0.23% | ||||||||
Beyond Meat, Inc.* | 16 | 1,665,920 | ||||||
Health Services 0.41% | ||||||||
Guardant Health, Inc.* | 38 | 2,914,444 | ||||||
Hotels 0.44% | ||||||||
Wingstop, Inc. | 40 | 3,171,662 |
See Notes to Financial Statements. | 27 |
Schedule of Investments (unaudited)(continued)
CONVERTIBLE FUNDMay 31, 2019
Investments | Shares (000) | Fair Value | ||||||
Integrated Energy 0.56% | ||||||||
First Solar, Inc.* | 69 | $ | 4,015,439 | |||||
Machinery 0.45% | ||||||||
Kornit Digital Ltd. (Israel)*(b) | 115 | 3,253,301 | ||||||
Medical Products 0.91% | ||||||||
DENTSPLY SIRONA, Inc. | 66 | 3,557,359 | ||||||
Tandem Diabetes Care, Inc.* | 43 | 2,948,080 | ||||||
Total | 6,505,439 | |||||||
Personal & Household Products 0.44% | ||||||||
Unilever NV CVA(a) | EUR | 52 | 3,137,583 | |||||
Pharmaceuticals 0.92% | ||||||||
GW Pharmaceuticals plc ADR* | 18 | 3,119,533 | ||||||
Sage Therapeutics, Inc.* | 20 | 3,420,728 | ||||||
Total | 6,540,261 | |||||||
Recreation & Travel 0.41% | ||||||||
Planet Fitness, Inc. Class A* | 38 | 2,905,860 | ||||||
Software/Services 2.64% | ||||||||
Euronet Worldwide, Inc.* | – | (c) | 27 | |||||
Fastly, Inc. Class A* | 130 | 2,704,000 | ||||||
Jumia Technologies AG ADR* | 195 | 5,182,914 | ||||||
MSCI, Inc. | 17 | 3,636,105 | ||||||
Shopify, Inc. Class A (Canada)*(b) | 10 | 2,735,805 | ||||||
Trade Desk, Inc. (The) Class A* | 13 | 2,600,236 | ||||||
Zscaler, Inc.* | 29 | 1,990,270 | ||||||
Total | 18,849,357 | |||||||
Specialty Retail 0.83% | ||||||||
Ollie’s Bargain Outlet Holdings, Inc.* | 23 | 2,270,560 | ||||||
Puma SE(a) | EUR | 6 | 3,637,136 | |||||
Total | 5,907,696 | |||||||
Support: Services 0.96% | ||||||||
Bright Horizons Family Solutions, Inc.* | 24 | 3,247,363 | ||||||
Genpact Ltd. | 100 | 3,615,000 | ||||||
Total | 6,862,363 |
28 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CONVERTIBLE FUNDMay 31, 2019
Investments | Shares (000) | Fair Value | ||||||||||
Telecommunications: Wireless 0.76% | ||||||||||||
American Tower Corp. | 26 | $ | 5,441,173 | |||||||||
Total Common Stocks (cost $95,826,865) | 108,474,988 | |||||||||||
Interest Rate | Maturity Date | Principal Amount (000) | ||||||||||
CONVERTIBLE BONDS 72.53% | ||||||||||||
Aerospace/Defense 0.91% | ||||||||||||
Safran SA(a) | Zero Coupon | 6/21/2023 | EUR | 3,781 | 6,471,978 | |||||||
Building Materials 0.98% | ||||||||||||
Patrick Industries, Inc. | 1.00% | 2/1/2023 | $ | 8,056 | 7,001,068 | |||||||
Cable & Satellite Television 2.84% | ||||||||||||
DISH Network Corp. | 3.375% | 8/15/2026 | 21,992 | 20,262,965 | ||||||||
Diversified Capital Goods 3.36% | ||||||||||||
Fortive Corp.† | 0.875% | 2/15/2022 | 23,678 | 24,023,812 | ||||||||
Electronics 8.84% | ||||||||||||
Advanced Micro Devices, Inc. | 2.125% | 9/1/2026 | 3,976 | 13,955,944 | ||||||||
Enphase Energy, Inc.† | 1.00% | 6/1/2024 | 5,700 | 5,756,224 | ||||||||
Inphi Corp. | 1.125% | 12/1/2020 | 4,630 | 5,698,773 | ||||||||
Microchip Technology, Inc. | 1.625% | 2/15/2025 | 14,210 | 23,044,376 | ||||||||
Novellus Systems, Inc. | 2.625% | 5/15/2041 | 1,261 | 6,786,968 | ||||||||
ON Semiconductor Corp. | 1.625% | 10/15/2023 | 1,985 | 2,259,608 | ||||||||
Teradyne, Inc. | 1.25% | 12/15/2023 | 3,806 | 5,599,140 | ||||||||
Total | 63,101,033 | |||||||||||
Energy: Exploration & Production 4.33% | ||||||||||||
Tesla Energy Operations, Inc. | 1.625% | 11/1/2019 | 33,056 | 30,921,023 | ||||||||
Gas Distribution 1.18% | ||||||||||||
Cheniere Energy, Inc. | 4.25% | 3/15/2045 | 10,899 | 8,446,725 | ||||||||
Health Services 0.65% | ||||||||||||
Insmed, Inc. | 1.75% | 1/15/2025 | 4,952 | 4,671,588 | ||||||||
Hotels 1.93% | ||||||||||||
Caesars Entertainment Corp. | 5.00% | 10/1/2024 | 4,782 | 6,795,981 | ||||||||
Huazhu Group Ltd. (China)(b) | 0.375% | 11/1/2022 | 6,851 | 6,964,776 | ||||||||
Total | 13,760,757 | |||||||||||
See Notes to Financial Statements. | 29 |
Schedule of Investments (unaudited)(continued)
CONVERTIBLE FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Machinery 0.85% | ||||||||||||
Chart Industries, Inc.† | 1.00% | 11/15/2024 | $ | 4,256 | $ | 6,083,420 | ||||||
Media: Diversified 1.04% | ||||||||||||
IAC FinanceCo, Inc.† | 0.875% | 10/1/2022 | 4,834 | 7,398,266 | ||||||||
Medical Products 3.67% | ||||||||||||
CONMED Corp.† | 2.625% | 2/1/2024 | 7,940 | 8,676,540 | ||||||||
Insulet Corp. | 1.375% | 11/15/2024 | 6,200 | 8,292,369 | ||||||||
Wright Medical Group NV (Netherlands)(b) | 2.25% | 11/15/2021 | 6,104 | 9,260,303 | ||||||||
Total | 26,229,212 | |||||||||||
Pharmaceuticals 2.12% | ||||||||||||
Aurora Cannabis, Inc. (Canada)†(b) | 5.50% | 2/28/2024 | 2,133 | 2,516,940 | ||||||||
Canopy Growth Corp.†(a) | 4.25% | 7/15/2023 | CAD | 3,365 | 3,373,465 | |||||||
Exact Sciences Corp. | 1.00% | 1/15/2025 | $ | 3,853 | 6,041,811 | |||||||
Incyte Corp. Ltd. | 1.25% | 11/15/2020 | 2,035 | 3,186,697 | ||||||||
Total | 15,118,913 | |||||||||||
Real Estate Development & Management 0.83% | ||||||||||||
IIP Operating Partnership LP† | 3.75% | 2/21/2024 | 4,520 | 5,903,432 | ||||||||
Real Estate Investment Trusts 2.47% | ||||||||||||
Starwood Property Trust, Inc. | 4.375% | 4/1/2023 | 14,948 | 15,013,397 | ||||||||
VEREIT, Inc. | 3.75% | 12/15/2020 | 2,593 | 2,597,906 | ||||||||
Total | 17,611,303 | |||||||||||
Software/Services 16.65% | ||||||||||||
Alteryx, Inc.† | 0.50% | 6/1/2023 | 2,038 | 4,194,601 | ||||||||
Atlassian, Inc. | 0.625% | 5/1/2023 | 5,330 | 8,747,559 | ||||||||
Ctrip.com International Ltd. (China)(b) | 1.00% | 7/1/2020 | 10,425 | 10,172,090 | ||||||||
DocuSign, Inc.† | 0.50% | 9/15/2023 | 5,497 | 5,875,274 | ||||||||
Euronet Worldwide, Inc.† | 0.75% | 3/15/2049 | 10,655 | 12,334,452 | ||||||||
Everbridge, Inc. | 1.50% | 11/1/2022 | 2,095 | 4,966,335 | ||||||||
FireEye, Inc. | 1.625% | 6/1/2035 | 32,626 | 30,748,328 | ||||||||
Five9, Inc. | 0.125% | 5/1/2023 | 3,953 | 5,481,625 | ||||||||
MercadoLibre, Inc. (Argentina)†(b) | 2.00% | 8/15/2028 | 5,071 | 7,406,829 | ||||||||
MongoDB, Inc.† | 0.75% | 6/15/2024 | 3,090 | 6,572,044 | ||||||||
Okta, Inc. | 0.25% | 2/15/2023 | 2,635 | 6,330,653 | ||||||||
Twilio, Inc. | 0.25% | 6/1/2023 | 4,031 | 7,883,124 | ||||||||
Workday, Inc. | 1.50% | 7/15/2020 | 3,270 | 8,199,970 | ||||||||
Total | 118,912,884 | |||||||||||
30 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CONVERTIBLE FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Specialty Retail 2.26% | ||||||||||||
Archer Obligations SA(a) | Zero Coupon | 3/31/2023 | EUR | 2,900 | $ | 4,131,828 | ||||||
Etsy, Inc. | Zero Coupon | 3/1/2023 | $ | 1,370 | 2,512,734 | |||||||
Wayfair, Inc.† | 1.125% | 11/1/2024 | 6,635 | 9,503,544 | ||||||||
Total | 16,148,106 | |||||||||||
Support: Services 3.67% | ||||||||||||
Chegg, Inc.† | 0.125% | 3/15/2025 | 9,099 | 8,896,695 | ||||||||
Chegg, Inc. | 0.25% | 5/15/2023 | 1,507 | 2,257,674 | ||||||||
FTI Consulting, Inc.† | 2.00% | 8/15/2023 | 8,306 | 8,877,038 | ||||||||
ServiceNow, Inc. | Zero Coupon | 6/1/2022 | 3,125 | 6,158,051 | ||||||||
Total | 26,189,458 | |||||||||||
Technology Hardware & Equipment 6.93% | ||||||||||||
NXP Semiconductors NV (Netherlands)(b) | 1.00% | 12/1/2019 | 5,482 | 5,625,903 | ||||||||
SunPower Corp. | 0.875% | 6/1/2021 | 8,064 | 6,924,960 | ||||||||
SunPower Corp. | 4.00% | 1/15/2023 | 34,500 | 28,829,062 | ||||||||
Western Digital Corp.† | 1.50% | 2/1/2024 | 9,478 | 8,129,840 | ||||||||
Total | 49,509,765 | |||||||||||
Telecommunications: Satellite 0.55% | ||||||||||||
Intelsat SA (Luxembourg)†(b) | 4.50% | 6/15/2025 | 3,000 | 3,940,363 | ||||||||
Telecommunications: Wireline Integrated & Services 0.60% | ||||||||||||
GDS Holdings Ltd. (China)†(b) | 2.00% | 6/1/2025 | 4,724 | 4,265,539 | ||||||||
Theaters & Entertainment 1.44% | ||||||||||||
Live Nation Entertainment, Inc. | 2.50% | 3/15/2023 | 9,090 | 10,284,861 | ||||||||
Tobacco 0.47% | ||||||||||||
Vector Group Ltd. | 1.75% | # | 4/15/2020 | 3,319 | 3,394,503 | |||||||
Transportation: Infrastructure/Services 3.96% | ||||||||||||
DHT Holdings, Inc.† | 4.50% | 8/15/2021 | 5,545 | 5,962,456 | ||||||||
Scorpio Tankers, Inc. (Monaco)†(b) | 2.375% | 7/1/2019 | 12,643 | 12,640,315 | ||||||||
Scorpio Tankers, Inc. (Monaco)(b) | 3.00% | 5/15/2022 | 9,989 | 9,696,576 | ||||||||
Total | 28,299,347 | |||||||||||
Total Convertible Bonds (cost $494,344,538) | 517,950,321 | |||||||||||
See Notes to Financial Statements. | 31 |
Schedule of Investments (unaudited)(continued)
CONVERTIBLE FUNDMay 31, 2019
Investments | Dividend Rate | Shares (000) | Fair Value | |||||||||
CONVERTIBLE PREFERRED STOCKS 10.05% | ||||||||||||
Banking 3.95% | ||||||||||||
Wells Fargo & Co. | 7.50% | 21 | $ | 28,181,425 | ||||||||
Electric: Integrated 1.57% | ||||||||||||
NextEra Energy, Inc. | 6.123% | 178 | 11,183,648 | |||||||||
Medical Products 2.44% | ||||||||||||
Danaher Corp. | 4.75% | 17 | 17,464,063 | |||||||||
Real Estate Investment Trusts 2.09% | ||||||||||||
Crown Castle International Corp. | 6.875% | 13 | 14,968,529 | |||||||||
Total Convertible Preferred Stocks (cost $69,217,321) | 71,797,665 | |||||||||||
Interest Rate | Maturity Date | Principal Amount (000) | ||||||||||
CORPORATE BONDS 0.06% | ||||||||||||
Auto Parts & Equipment | ||||||||||||
Tenneco, Inc. (cost $426,276) | 5.00% | 7/15/2026 | $ | 504 | 384,930 | |||||||
Total Long-Term Investments(cost $659,815,000) | 698,607,904 | |||||||||||
SHORT-TERM INVESTMENT 1.90% | ||||||||||||
REPURCHASE AGREEMENT | ||||||||||||
Repurchase Agreement dated 5/31/2019, 1.45% due 6/3/2019 with Fixed Income Clearing Corp. collateralized by $13,545,000 of U.S. Treasury Note at 2.625% due 6/15/2021; value: $13,858,864; proceeds: $13,588,366 (cost $13,586,724) | 13,587 | 13,586,724 | ||||||||||
Total Investments in Securities 99.73%(cost $673,401,724) | 712,194,628 | |||||||||||
Cash, Foreign Cash and Other Assets in Excess Liabilities(d)0.27% | 1,948,099 | |||||||||||
Net Assets 100.00% | $ | 714,142,727 | ||||||||||
ADR | American Depositary Receipt. |
CAD | Canadian dollar. |
EUR | euro. |
JPY | Japanese yen. |
MXN | Mexican peso. |
32 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CONVERTIBLE FUNDMay 31, 2019
* | 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, 2019. | |
(a) | Investment in non-U.S. dollar denominated securities. | |
(b) | Foreign security traded in U.S. dollars. | |
(c) | Amount represents less than 1,000 shares. | |
(d) | Liabilities in Excess of Cash, 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, 2019:
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Appreciation | |||||||||||||
Canadian dollar | Sell | Goldman Sachs | 6/5/2019 | 5,961,000 | $ | 4,484,367 | $ | 4,410,534 | $ | 73,833 | ||||||||||
euro | Sell | Bank of America | 6/7/2019 | 2,420,000 | 2,710,990 | 2,704,166 | 6,824 | |||||||||||||
euro | Sell | J.P. Morgan | 6/7/2019 | 2,573,000 | 2,928,818 | 2,875,132 | 53,686 | |||||||||||||
euro | Sell | J.P. Morgan | 6/7/2019 | 1,131,000 | 1,277,150 | 1,263,807 | 13,343 | |||||||||||||
euro | Sell | State Street Bank and Trust | 6/7/2019 | 5,205,000 | 5,870,151 | 5,816,193 | 53,958 | |||||||||||||
euro | Sell | State Street Bank and Trust | 6/7/2019 | 783,000 | 882,513 | 874,943 | 7,570 | |||||||||||||
euro | Sell | Toronto Dominion Bank | 6/7/2019 | 2,856,000 | 3,241,577 | 3,191,363 | 50,214 | |||||||||||||
euro | Sell | Toronto Dominion Bank | 6/7/2019 | 1,750,000 | 1,972,000 | 1,955,492 | 16,508 | |||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 275,936 | ||||||||||||||||||
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Depreciation | |||||||||||||
Canadian dollar | Buy | State Street Bank and Trust | 6/5/2019 | 278,000 | $ | 207,223 | $ | 205,692 | $ | (1,531 | ) | |||||||||
Canadian dollar | Buy | UBS AG | 6/5/2019 | 734,000 | 548,103 | 543,085 | (5,018 | ) | ||||||||||||
euro | Buy | State Street Bank and Trust | 6/7/2019 | 426,000 | 479,368 | 476,023 | (3,345 | ) | ||||||||||||
euro | Buy | State Street Bank and Trust | 6/7/2019 | 325,000 | 365,562 | 363,163 | (2,399 | ) | ||||||||||||
Japanese yen | Sell | Morgan Stanley | 6/27/2019 | 332,000,000 | 3,022,434 | 3,069,416 | (46,982 | ) | ||||||||||||
Japanese yen | Sell | Standard Chartered Bank | 6/27/2019 | 102,474,000 | 938,292 | 947,396 | (9,104 | ) | ||||||||||||
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (68,379 | ) | |||||||||||||||||
See Notes to Financial Statements. | 33 |
Schedule of Investments (unaudited)(concluded)
CONVERTIBLE FUNDMay 31, 2019
The following is a summary of the inputs used as of May 31, 2019 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Long-Term Investments | ||||||||||||||||
Common Stocks | ||||||||||||||||
Electronics | $ | 3,887,200 | $ | 3,971,223 | $ | – | $ | 7,858,423 | ||||||||
Personal & Household Products | – | 3,137,583 | – | 3,137,583 | ||||||||||||
Remaining Industries | 97,478,982 | – | – | 97,478,982 | ||||||||||||
Convertible Bonds | – | 517,950,321 | – | 517,950,321 | ||||||||||||
Convertible Preferred Stocks | ||||||||||||||||
Banking(3) | – | 28,181,425 | – | 28,181,425 | ||||||||||||
Electric: Integrated(3) | – | 11,183,648 | – | 11,183,648 | ||||||||||||
Medical Products | 17,464,063 | – | – | 17,464,063 | ||||||||||||
Real Estate Investment Trusts | 14,968,529 | – | – | 14,968,529 | ||||||||||||
Corporate Bonds | – | 384,930 | – | 384,930 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreement | – | 13,586,724 | – | 13,586,724 | ||||||||||||
Total | $ | 133,798,774 | $ | 578,395,854 | $ | – | $ | 712,194,628 | ||||||||
Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | $ | – | $ | 275,936 | $ | – | $ | 275,936 | ||||||||
Liabilities | – | (68,379 | ) | – | (68,379) | |||||||||||
Total | $ | – | $ | 207,557 | $ | – | $ | 207,557 | ||||||||
(1) | Refer to Note 2(t) 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. | |
(3) | Securities in the amount of $27,681,563 were transferred from Level 1 to Level 2 due to a change in valuation technique resulting in adjusted valuations (as described in Note 2(t)) on May 31, 2019. | |
34 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)
CORE FIXED INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||||
LONG-TERM INVESTMENTS 133.11% | |||||||||||||
ASSET-BACKED SECURITIES 24.56% | |||||||||||||
Automobiles 13.08% | |||||||||||||
Ally Auto Receivables Trust 2016-1 B | 1.99% | 3/15/2021 | $ | 3,965 | $ | 3,957,312 | |||||||
Ally Auto Receivables Trust 2017-5 A2 | 1.81% | 6/15/2020 | 13 | 12,754 | |||||||||
American Credit Acceptance Receivables Trust 2016-2 C† | 6.09% | 5/12/2022 | 505 | 510,647 | |||||||||
American Credit Acceptance Receivables Trust 2018-4 A† | 3.38% | 12/13/2021 | 2,164 | 2,170,211 | |||||||||
American Credit Acceptance Receivables Trust 2019-2 B† | 3.05% | 5/12/2023 | 2,151 | 2,160,127 | |||||||||
AmeriCredit Automobile Receivables Trust 2015-2 D | 3.00% | 6/8/2021 | 2,619 | 2,622,862 | |||||||||
AmeriCredit Automobile Receivables Trust 2016-2 B | 2.21% | 5/10/2021 | 1,528 | 1,527,447 | |||||||||
AmeriCredit Automobile Receivables Trust 2017-2 C | 2.97% | 3/20/2023 | 1,664 | 1,677,931 | |||||||||
AmeriCredit Automobile Receivables Trust 2017-3 A2A | 1.69% | 12/18/2020 | 21 | 21,006 | |||||||||
AmeriCredit Automobile Receivables Trust 2017-3 B | 2.24% | 6/19/2023 | 684 | 682,681 | |||||||||
AmeriCredit Automobile Receivables Trust 2018-2 A2A | 2.86% | 11/18/2021 | 4,654 | 4,660,120 | |||||||||
AmeriCredit Automobile Receivables Trust 2018-3 A2A | 3.11% | 1/18/2022 | 1,477 | 1,480,287 | |||||||||
AmeriCredit Automobile Receivables Trust 2018-3 A2B | 2.691% (1 Mo. LIBOR + .25% | )# | 1/18/2022 | 1,477 | 1,476,909 | ||||||||
AmeriCredit Automobile Receivables Trust 2019-1 A2A | 2.93% | 6/20/2022 | 1,803 | 1,809,971 | |||||||||
AmeriCredit Automobile Receivables Trust 2019-1 A2B | 2.701% (1 Mo. LIBOR + .26% | )# | 6/20/2022 | 1,993 | 1,993,971 | ||||||||
Avis Budget Rental Car Funding AESOP LLC 2014-1A A | 2.46% | 7/20/2020 | 485 | 484,541 | |||||||||
BMW Vehicle Lease Trust 2019-1 A2 | 2.79% | 3/22/2021 | 2,024 | 2,030,822 | |||||||||
BMW Vehicle Owner Trust 2018-A A2A | 2.09% | 11/25/2020 | 1,429 | 1,427,712 | |||||||||
California Republic Auto Receivables Trust 2015-1 A4 | 1.82% | 9/15/2020 | 16 | 15,701 | |||||||||
California Republic Auto Receivables Trust 2015-3 B | 2.70% | 9/15/2021 | 419 | 418,653 | |||||||||
California Republic Auto Receivables Trust 2016-2 B | 2.52% | 5/16/2022 | 811 | 809,702 |
See Notes to Financial Statements. | 35 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUNDMay 31, 2019
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 | $ | 461 | $ | 460,334 | |||||||
California Republic Auto Receivables Trust 2017-1 B | 2.91% | 12/15/2022 | 572 | 573,699 | |||||||||
California Republic Auto Receivables Trust 2018-1 A2 | 2.86% | 3/15/2021 | 1,775 | 1,775,422 | |||||||||
California Republic Auto Receivables Trust 2018-1 B | 3.56% | 3/15/2023 | 2,191 | 2,239,649 | |||||||||
Capital Auto Receivables Asset Trust 2018-1 A3† | 2.79% | 1/20/2022 | 3,901 | 3,909,743 | |||||||||
Capital Auto Receivables Asset Trust 2018-2 C† | 3.69% | 12/20/2023 | 1,442 | 1,463,351 | |||||||||
CarMax Auto Owner Trust 2016-3 A3 | 1.39% | 5/17/2021 | 420 | 418,909 | |||||||||
CarMax Auto Owner Trust 2018-3 A2A | 2.88% | 10/15/2021 | 2,096 | 2,100,366 | |||||||||
Chesapeake Funding II LLC 2016-1A A1† | 2.11% | 3/15/2028 | 108 | 107,570 | |||||||||
Chesapeake Funding II LLC 2016-2A A1† | 1.88% | 6/15/2028 | 2,051 | 2,044,974 | |||||||||
Chesapeake Funding II LLC 2017-2A A1† | 1.99% | 5/15/2029 | 926 | 922,058 | |||||||||
Chesapeake Funding II LLC 2017-3A A1† | 1.91% | 8/15/2029 | 2,057 | 2,046,307 | |||||||||
Chrysler Capital Auto Receivables Trust 2016-AA B† | 2.88% | 6/15/2022 | 673 | 673,118 | |||||||||
Chrysler Capital Auto Receivables Trust 2016-AA C† | 3.25% | 6/15/2022 | 372 | 373,052 | |||||||||
CPS Auto Receivables Trust 2016-B D† | 6.58% | 3/15/2022 | 540 | 566,067 | |||||||||
CPS Auto Receivables Trust 2017-D A† | 1.87% | 3/15/2021 | 196 | 196,159 | |||||||||
CPS Auto Receivables Trust 2018-A B† | 2.77% | 4/18/2022 | 742 | 741,922 | |||||||||
CPS Auto Receivables Trust 2018-B D† | 4.26% | 3/15/2024 | 949 | 979,776 | |||||||||
CPS Auto Trust 2018-C A† | 2.87% | 9/15/2021 | 1,075 | 1,075,304 | |||||||||
CPS Auto Trust 2018-C B† | 3.43% | 7/15/2022 | 688 | 692,834 | |||||||||
Drive Auto Receivables Trust 2015-BA E† | 5.15% | 8/15/2022 | 3,100 | 3,106,971 | |||||||||
Drive Auto Receivables Trust 2016-BA C† | 3.19% | 7/15/2022 | 33 | 33,349 | |||||||||
Drive Auto Receivables Trust 2016-CA C† | 3.02% | 11/15/2021 | 742 | 742,292 | |||||||||
Drive Auto Receivables Trust 2016-CA D† | 4.18% | 3/15/2024 | 652 | 659,741 | |||||||||
Drive Auto Receivables Trust 2017-1 E | 5.17% | 9/16/2024 | 1,772 | 1,834,560 | |||||||||
Drive Auto Receivables Trust 2017-2 C | 2.75% | 9/15/2023 | 628 | 627,795 | |||||||||
Drive Auto Receivables Trust 2017-2 D | 3.49% | 9/15/2023 | 4,111 | 4,149,668 | |||||||||
Drive Auto Receivables Trust 2017-AA D† | 4.16% | 5/15/2024 | 1,145 | 1,164,025 | |||||||||
Drive Auto Receivables Trust 2017-BA C† | 2.61% | 8/16/2021 | 219 | 219,714 | |||||||||
Drive Auto Receivables Trust 2017-BA E† | 5.30% | 7/15/2024 | 5,337 | 5,513,490 | |||||||||
Drive Auto Receivables Trust 2018-3 A3 | 3.01% | 11/15/2021 | 1,345 | 1,345,132 | |||||||||
Drive Auto Receivables Trust 2018-3 B | 3.37% | 9/15/2022 | 818 | 821,031 | |||||||||
Drive Auto Receivables Trust 2018-3 C | 3.72% | 9/16/2024 | 1,949 | 1,977,986 | |||||||||
Drive Auto Receivables Trust 2018-4 A2A | 2.78% | 10/15/2020 | 2 | 2,065 | |||||||||
Drive Auto Receivables Trust 2018-4 A3 | 3.04% | 11/15/2021 | 2,977 | 2,979,095 |
36 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||||
Automobiles (continued) | |||||||||||||
Drive Auto Receivables Trust 2018-5 A2A | 3.08% | 7/15/2021 | $ | 1,330 | $ | 1,330,634 | |||||||
Drive Auto Receivables Trust 2018-5 A2B | 2.76% (1 Mo. LIBOR + .32% | )# | 7/15/2021 | 1,090 | 1,090,571 | ||||||||
Drive Auto Receivables Trust 2019-2 A2A | 2.93% | 3/15/2022 | 3,165 | 3,170,374 | |||||||||
Enterprise Fleet Financing LLC 2017-1 A2† | 2.13% | 7/20/2022 | 492 | 490,560 | |||||||||
Enterprise Fleet Financing LLC 2018-1 A2† | 2.87% | 10/20/2023 | 799 | 801,494 | |||||||||
First Investors Auto Owner Trust 2017-2A A1† | 1.86% | 10/15/2021 | 398 | 397,259 | |||||||||
First Investors Auto Owner Trust 2017-3A A2† | 2.41% | 12/15/2022 | 1,339 | 1,338,134 | |||||||||
First Investors Auto Owner Trust 2018-2A A1† | 3.23% | 12/15/2022 | 1,351 | 1,357,785 | |||||||||
Flagship Credit Auto Trust 2017-2 A† | 1.85% | 7/15/2021 | 226 | 226,170 | |||||||||
Flagship Credit Auto Trust 2017-3 A† | 1.88% | 10/15/2021 | 374 | 373,185 | |||||||||
Flagship Credit Auto Trust 2017-3 B† | 2.59% | 7/15/2022 | 745 | 743,605 | |||||||||
Flagship Credit Auto Trust 2017-4 A† | 2.07% | 4/15/2022 | 636 | 634,142 | |||||||||
Flagship Credit Auto Trust 2018-1 A† | 2.59% | 6/15/2022 | 1,081 | 1,080,116 | |||||||||
Flagship Credit Auto Trust 2018-3 A† | 3.07% | 2/15/2023 | 3,379 | 3,392,845 | |||||||||
Flagship Credit Auto Trust 2018-3 B† | 3.59% | 12/16/2024 | 1,407 | 1,433,776 | |||||||||
Ford Credit Auto Lease Trust 2017-B A2A | 1.80% | 6/15/2020 | 259 | 258,897 | |||||||||
Ford Credit Auto Owner Trust 2014-2 A† | 2.31% | 4/15/2026 | 5,555 | 5,548,431 | |||||||||
Ford Credit Auto Owner Trust 2017-2 B† | 2.60% | 3/15/2029 | 256 | 255,552 | |||||||||
Foursight Capital Automobile Receivables Trust 2016-1 A2† | 2.87% | 10/15/2021 | 312 | 312,617 | |||||||||
Foursight Capital Automobile Receivables Trust 2018-1 A2† | 2.85% | 8/16/2021 | 801 | 800,498 | |||||||||
Foursight Capital Automobile Receivables Trust 2018-1 A3† | 3.24% | 9/15/2022 | 1,890 | 1,900,843 | |||||||||
Foursight Capital Automobile Receivables Trust 2018-1 B† | 3.53% | 4/17/2023 | 937 | 952,330 | |||||||||
Foursight Capital Automobile Receivables Trust 2018-1 C† | 3.68% | 8/15/2023 | 442 | 450,931 | |||||||||
GM Financial Consumer Automobile Receivables Trust 2017-3A A2A† | 1.71% | 9/16/2020 | 337 | 337,276 | |||||||||
Honda Auto Receivables Owner Trust 2016-2 A3 | 1.39% | 4/15/2020 | 30 | 29,950 | |||||||||
Honda Auto Receivables Owner Trust 2019-1 A2 | 2.75% | 9/20/2021 | 4,296 | 4,310,226 | |||||||||
Hyundai Auto Lease Securitization Trust 2017-C A2A† | 1.89% | 3/16/2020 | 506 | 506,048 | |||||||||
Mercedes-Benz Auto Lease Trust 2018-A A2 | 2.20% | 4/15/2020 | 750 | 749,454 | |||||||||
Mercedes-Benz Auto Lease Trust 2018-B A2 | 3.04% | 12/15/2020 | 4,357 | 4,365,541 | |||||||||
Mercedes-Benz Auto Receivables Trust 2016-1 A3 | 1.26% | 2/16/2021 | 350 | 348,379 | |||||||||
Nissan Auto Receivables Owner Trust 2016-A A3 | 1.34% | 10/15/2020 | 368 | 366,956 | |||||||||
Santander Drive Auto Receivables Trust 2014-5 E | 4.23% | 4/15/2022 | 2,800 | 2,802,801 |
See Notes to Financial Statements. | 37 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||||
Automobiles (continued) | |||||||||||||
Santander Drive Auto Receivables Trust 2015-2 D | 3.02% | 4/15/2021 | $ | 1,562 | $ | 1,562,862 | |||||||
Santander Drive Auto Receivables Trust 2015-2 E† | 4.02% | 9/15/2022 | 4,067 | 4,083,198 | |||||||||
Santander Drive Auto Receivables Trust 2015-4 C | 2.97% | 3/15/2021 | 692 | 692,018 | |||||||||
Santander Drive Auto Receivables Trust 2015-4 E† | 4.54% | 11/15/2022 | 6,410 | 6,471,547 | |||||||||
Santander Drive Auto Receivables Trust 2015-5 C | 2.74% | 12/15/2021 | 178 | 177,845 | |||||||||
Santander Drive Auto Receivables Trust 2016-1 E | 5.02% | 6/15/2023 | 4,212 | 4,280,036 | |||||||||
Santander Drive Auto Receivables Trust 2016-2 E | 4.38% | 9/15/2023 | 5,396 | 5,480,802 | |||||||||
Santander Drive Auto Receivables Trust 2016-3 B | 1.89% | 6/15/2021 | 19 | 18,863 | |||||||||
Santander Drive Auto Receivables Trust 2017-3 C | 2.76% | 12/15/2022 | 454 | 455,072 | |||||||||
Santander Drive Auto Receivables Trust 2018-3 A2A | 2.78% | 3/15/2021 | 671 | 671,061 | |||||||||
SunTrust Auto Receivables Trust 2015-1A A4† | 1.78% | 1/15/2021 | 251 | 251,258 | |||||||||
SunTrust Auto Receivables Trust 2015-1A D† | 3.24% | 1/16/2023 | 2,589 | 2,588,976 | |||||||||
TCF Auto Receivables Owner Trust 2016-PT1A B† | 2.92% | 10/17/2022 | 1,508 | 1,514,326 | |||||||||
Wheels SPV 2 LLC 2018-1A A2† | 3.06% | 4/20/2027 | 1,029 | 1,033,111 | |||||||||
World Omni Select Auto Trust 2018-1A A2† | 3.24% | 4/15/2022 | 2,260 | 2,267,608 | |||||||||
Total | 154,194,858 | ||||||||||||
Credit Cards 4.19% | |||||||||||||
American Express Credit Account Master Trust 2017-1 A | 1.93% | 9/15/2022 | 3,208 | 3,196,461 | |||||||||
Barclays Dryrock Issuance Trust 2014-3 A | 2.41% | 7/15/2022 | 1,787 | 1,786,158 | |||||||||
Barclays Dryrock Issuance Trust 2017-2 A | 2.74% (1 Mo. LIBOR + .30% | )# | 5/15/2023 | 5,056 | 5,065,419 | ||||||||
Cabela’s Credit Card Master Note Trust 2014-2 A | 2.89% (1 Mo. LIBOR + .45% | )# | 7/15/2022 | 1,538 | 1,538,383 | ||||||||
Capital One Multi-Asset Execution Trust 2016-A3 | 1.34% | 4/15/2022 | 1,927 | 1,926,146 | |||||||||
Capital One Multi-Asset Execution Trust 2016-A4 | 1.33% | 6/15/2022 | 2,375 | 2,369,164 | |||||||||
Chase Issuance Trust 2012-A4 | 1.58% | 8/15/2021 | 1,571 | 1,567,927 | |||||||||
Chase Issuance Trust 2016-A5 | 1.27% | 7/15/2021 | 3,260 | 3,255,459 | |||||||||
Citibank Credit Card Issuance Trust 2014-A6 | 2.15% | 7/15/2021 | 1,867 | 1,866,085 | |||||||||
Citibank Credit Card Issuance Trust 2017-A9 | 1.80% | 9/20/2021 | 4,034 | 4,025,044 | |||||||||
Discover Card Execution Note Trust 2012-A6 | 1.67% | 1/18/2022 | 5,749 | 5,742,812 | |||||||||
Discover Card Execution Note Trust 2014-A4 | 2.12% | 12/15/2021 | 2,206 | 2,205,361 | |||||||||
Discover Card Execution Note Trust 2016-A4 | 1.39% | 3/15/2022 | 1,872 | 1,865,967 | |||||||||
GE Capital Credit Card Master Note Trust 2012-7 A | 1.76% | 9/15/2022 | 4,105 | 4,096,137 | |||||||||
Genesis Sales Finance Master Trust Series 2019-AA A† | 4.68% | 8/20/2023 | 1,235 | 1,258,516 | |||||||||
Synchrony Credit Card Master Note Trust 2016-3 A | 1.58% | 9/15/2022 | 1,661 | 1,656,270 | |||||||||
World Financial Network Credit Card Master Trust 2016-A | 2.03% | 4/15/2025 | 747 | 742,861 |
38 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||||
Credit Cards (continued) | |||||||||||||
World Financial Network Credit Card Master Trust 2017-B A | 1.98% | 6/15/2023 | $ | 3,031 | $ | 3,030,511 | |||||||
World Financial Network Credit Card Master Trust 2017-C M | 2.66% | 8/15/2024 | 2,213 | 2,210,675 | |||||||||
Total | 49,405,356 | ||||||||||||
Home Equity 0.13% | |||||||||||||
Towd Point Mortgage Trust 2019-HY2 A1† | 3.43% (1 Mo. LIBOR + 1.00% | )# | 5/25/2058 | 1,486 | 1,499,739 | ||||||||
Other 7.16% | |||||||||||||
Access Point Funding I LLC 2017-A† | 3.06% | 4/15/2029 | 244 | 243,390 | |||||||||
ALM VII Ltd. 2012-7A A1R† | 4.077% (3 Mo. LIBOR + 1.48% | )# | 10/15/2028 | 571 | 572,023 | ||||||||
Apidos CLO XVI 2013-16A CR† | 5.592% (3 Mo. LIBOR + 3.00% | )# | 1/19/2025 | 500 | 500,658 | ||||||||
Ares XXIX CLO Ltd. 2014-1A A1R† | 3.778% (3 Mo. LIBOR + 1.19% | )# | 4/17/2026 | 1,138 | 1,138,664 | ||||||||
Ares XXXIII CLO Ltd. 2015-1A A1R† | 3.949% (3 Mo. LIBOR + 1.35% | )# | 12/5/2025 | 300 | 300,105 | ||||||||
Ascentium Equipment Receivables Trust 2016-2A A3† | 1.65% | 5/10/2022 | 179 | 179,055 | |||||||||
Ascentium Equipment Receivables Trust 2016-2A B† | 2.50% | 9/12/2022 | 506 | 505,136 | |||||||||
Ascentium Equipment Receivables Trust 2017-1A A3† | 2.29% | 6/10/2021 | 380 | 379,641 | |||||||||
Avery Point IV CLO Ltd. 2014-1A BR† | 4.18% (3 Mo. LIBOR + 1.60% | )# | 4/25/2026 | 731 | 731,881 | ||||||||
Avery Point VII CLO Ltd. 2015-7A A1† | 4.097% (3 Mo. LIBOR + 1.50% | )# | 1/15/2028 | 2,694 | 2,695,645 | ||||||||
Benefit Street Partners CLO IV Ltd. 2014-IVA A1RR† | 3.842% (3 Mo. LIBOR + 1.25% | )# | 1/20/2029 | 3,500 | 3,500,989 | ||||||||
Cedar Funding VI CLO Ltd. 2016-6A BR† | 4.192% (3 Mo. LIBOR + 1.60% | )# | 10/20/2028 | 1,200 | 1,192,919 | ||||||||
Daimler Trucks Retail Trust 2018-1 A2† | 2.60% | 5/15/2020 | 940 | 940,025 | |||||||||
Diamond Resorts Owner Trust 2016-1 A† | 3.08% | 11/20/2028 | 142 | 142,705 | |||||||||
Diamond Resorts Owner Trust 2017-1A B† | 4.11% | 10/22/2029 | 878 | 891,862 | |||||||||
DLL LLC 2018-ST2 A2† | 3.14% | 10/20/2020 | 3,395 | 3,400,368 | |||||||||
DRB Prime Student Loan Trust 2015-D A2† | 3.20% | 1/25/2040 | 2,634 | 2,652,780 | |||||||||
Engs Commercial Finance Trust 2018-1A A1† | 2.97% | 2/22/2021 | 1,486 | 1,486,772 | |||||||||
Ford Credit Floorplan Master Owner Trust 2018-4 A | 4.06% | 11/15/2030 | 1,373 | 1,466,627 |
See Notes to Financial Statements. | 39 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||||
Other (continued) | |||||||||||||
Galaxy XXI CLO Ltd. 2015-21A AR† | 3.612% (3 Mo. LIBOR + 1.02% | )# | 4/20/2031 | $ | 485 | $ | 479,166 | ||||||
Halcyon Loan Advisors Funding Ltd. 2015-2A CR† | 4.73% (3 Mo. LIBOR + 2.15% | )# | 7/25/2027 | 448 | 446,566 | ||||||||
Hardee’s Funding LLC 2018-1A A2II† | 4.959% | 6/20/2048 | 2,529 | 2,679,125 | |||||||||
ICG US CLO Ltd. 2015-2A AR† | 3.451% (3 Mo. LIBOR + .85% | )# | 1/16/2028 | 2,795 | 2,779,365 | ||||||||
Jamestown CLO VII Ltd. 2015-7A CR† | 5.18% (3 Mo. LIBOR + 2.60% | )# | 7/25/2027 | 1,431 | 1,424,017 | ||||||||
JFIN CLO Ltd. 2014-1A B1R† | 4.042% (3 Mo. LIBOR + 1.45% | )# | 4/21/2025 | 2,500 | 2,500,122 | ||||||||
KVK CLO Ltd. 2016-1A C† | 5.747% (3 Mo. LIBOR + 3.15% | )# | 1/15/2029 | 1,564 | 1,577,399 | ||||||||
Madison Park Funding XXI Ltd. 2016-21A A1† | 4.11% (3 Mo. LIBOR + 1.53% | )# | 7/25/2029 | 639 | 641,653 | ||||||||
Massachusetts Educational Financing Authority 2008-1 A1 | 3.53% (3 Mo. LIBOR + ..95% | )# | 4/25/2038 | 1,158 | 1,164,385 | ||||||||
Mountain View CLO X Ltd. 2015-10A BR† | 3.947% (3 Mo. LIBOR + 1.35% | )# | 10/13/2027 | 1,449 | 1,437,882 | ||||||||
Navient Private Education Refi Loan Trust 2018-DA A2A† | 4.00% | 12/15/2059 | 1,088 | 1,134,693 | |||||||||
OHA Loan Funding Ltd. 2016-1A B1† | 4.392% (3 Mo. LIBOR + 1.80% | )# | 1/20/2028 | 4,200 | 4,202,118 | ||||||||
OneMain Financial Issuance Trust 2016-1A A† | 3.66% | 2/20/2029 | 692 | 695,106 | |||||||||
OneMain Financial Issuance Trust 2016-2A B† | 5.94% | 3/20/2028 | 118 | 118,530 | |||||||||
Orange Lake Timeshare Trust 2019-A† | 3.06% | 4/9/2038 | 451 | 454,898 | |||||||||
Orec Ltd. 2018-CRE1 A† | 3.62% (1 Mo. LIBOR + 1.18% | )# | 6/15/2036 | 1,950 | 1,951,268 | ||||||||
Palmer Square Loan Funding Ltd. 2017-1A B† | 4.297% (3 Mo. LIBOR + 1.70% | )# | 10/15/2025 | 1,246 | 1,227,368 | ||||||||
Palmer Square Loan Funding Ltd. 2018-1A A1† | 3.197% (3 Mo. LIBOR + .60% | )# | 4/15/2026 | 2,184 | 2,175,651 | ||||||||
Palmer Square Loan Funding Ltd. 2018-1A A2† | 3.647% (3 Mo. LIBOR + 1.05% | )# | 4/15/2026 | 946 | 926,780 | ||||||||
Palmer Square Loan Funding Ltd. 2018-1A B† | 3.997% (3 Mo. LIBOR + 1.40% | )# | 4/15/2026 | 716 | 691,051 | ||||||||
Palmer Square Loan Funding Ltd. 2018-5A A1† | 3.442% (3 Mo. LIBOR + .85% | )# | 1/20/2027 | 1,937 | 1,933,364 | ||||||||
Palmer Square Loan Funding Ltd. 2018-5A A2† | 3.992% (3 Mo. LIBOR + 1.40% | )# | 1/20/2027 | 485 | 477,681 | ||||||||
Pennsylvania Higher Education Assistance Agency 2006-1 B | 2.85% (3 Mo. LIBOR + ..27% | )# | 4/25/2038 | 958 | 904,518 | ||||||||
PFS Financing Corp. 2018-B† | 3.08% | 2/15/2023 | 1,069 | 1,071,765 |
40 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||||
Other (continued) | |||||||||||||
Regatta VI Funding Ltd. 2016-1A CR† | 4.642% (3 Mo. LIBOR + 2.05% | )# | 7/20/2028 | $ | 929 | $ | 926,591 | ||||||
Riserva CLO Ltd. 2016-3A A† | 4.061% (3 Mo. LIBOR + 1.46% | )# | 10/18/2028 | 318 | 318,204 | ||||||||
SCF Equipment Leasing LLC 2017-2A A† | 3.41% | 12/20/2023 | 615 | 619,959 | |||||||||
SCF Equipment Leasing LLC 2018-1A A2† | 3.63% | 10/20/2024 | 2,307 | 2,324,414 | |||||||||
SCF Equipment Leasing LLC 2019-1A C† | 3.92% | 11/20/2026 | 4,181 | 4,275,008 | |||||||||
Shackleton CLO Ltd. 2016-9A B† | 4.492% (3 Mo. LIBOR + 1.90% | )# | 10/20/2028 | 1,070 | 1,071,309 | ||||||||
SLC Student Loan Trust 2008-1 A4A | 4.211% (3 Mo. LIBOR + 1.60% | )# | 12/15/2032 | 3,516 | 3,592,882 | ||||||||
SLM Private Education Loan Trust 2010-A 2A† | 5.69% (1 Mo. LIBOR + 3.25% | )# | 5/16/2044 | 179 | 180,776 | ||||||||
Sound Point CLO XII Ltd. 2016-2A CR† | 5.192% (3 Mo. LIBOR + 2.60% | )# | 10/20/2028 | 1,565 | 1,567,308 | ||||||||
Sound Point CLO XV Ltd. 2017-1A C† | 5.092% (3 Mo. LIBOR + 2.50% | )# | 1/23/2029 | 1,114 | 1,114,484 | ||||||||
TCI-Symphony CLO Ltd. 2016-1A A† | 4.077% (3 Mo. LIBOR + 1.48% | )# | 10/13/2029 | 338 | 338,864 | ||||||||
Textainer Marine Containers VII Ltd. 2019-1A A† | 4.30% | 4/20/2044 | 1,269 | 1,304,542 | |||||||||
Towd Point Asset Trust 2018-SL1 A† | 3.077% (1 Mo. LIBOR + .60% | )# | 1/25/2046 | 1,975 | 1,951,422 | ||||||||
TPG Real Estate Finance Issuer Ltd. 2018-FL2 A† | 3.562% (1 Mo. LIBOR + 1.13% | )# | 11/15/2037 | 1,988 | 1,989,243 | ||||||||
Tralee CLO III Ltd. 2014-3A AR† | 3.622% (3 Mo. LIBOR + 1.03% | )# | 10/20/2027 | 3,556 | 3,553,363 | ||||||||
Westgate Resorts LLC 2018-1A A† | 3.38% | 12/20/2031 | 850 | 856,424 | |||||||||
WhiteHorse VIII Ltd. 2014-1A AR† | 3.479% (3 Mo. LIBOR + .90% | )# | 5/1/2026 | 2,472 | 2,467,584 | ||||||||
Total | 84,468,093 | ||||||||||||
Total Asset-Backed Securities (cost $288,545,415) | 289,568,046 | ||||||||||||
CORPORATE BONDS 20.89% | |||||||||||||
Auto Parts: Original Equipment 0.04% | |||||||||||||
Aptiv plc (Ireland)(a) | 4.35% | 3/15/2029 | 455 | 470,251 | |||||||||
Automotive 0.51% | |||||||||||||
Daimler Finance North America LLC† | 3.75% | 2/22/2028 | 1,675 | 1,718,076 | |||||||||
General Motors Co. | 6.60% | 4/1/2036 | 4,111 | 4,314,381 | |||||||||
Total | 6,032,457 |
See Notes to Financial Statements. | 41 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||||
Banks: Regional 7.02% | |||||||||||||
Banco de Credito e Inversiones SA (Chile)†(a) | 3.50% | 10/12/2027 | $ | 1,290 | $ | 1,276,294 | |||||||
Bank of America Corp. | 3.593% (3 Mo. LIBOR + 1.37% | )# | 7/21/2028 | 8,844 | 8,942,560 | ||||||||
Bank of America Corp. | 4.00% | 1/22/2025 | 1,716 | 1,773,192 | |||||||||
Bank of America Corp. | 4.45% | 3/3/2026 | 940 | 991,877 | |||||||||
Citigroup, Inc. | 3.887% (3 Mo. LIBOR + 1.56% | )# | 1/10/2028 | 6,494 | 6,687,487 | ||||||||
Citigroup, Inc. | 4.45% | 9/29/2027 | 1,374 | 1,438,790 | |||||||||
Danske Bank A/S (Denmark)†(a) | 4.375% | 6/12/2028 | 452 | 450,052 | |||||||||
Goldman Sachs Group, Inc. (The) | 4.223% | #(b) | 5/1/2029 | 708 | 736,323 | ||||||||
Goldman Sachs Group, Inc. (The) | 6.75% | 10/1/2037 | 2,064 | 2,602,488 | |||||||||
JPMorgan Chase & Co. | 3.54% (3 Mo. LIBOR + 1.38% | )# | 5/1/2028 | 1,452 | 1,469,253 | ||||||||
JPMorgan Chase & Co. | 3.782% (3 Mo. LIBOR + 1.34% | )# | 2/1/2028 | 10,212 | 10,547,188 | ||||||||
Macquarie Group Ltd. (Australia)†(a) | 4.654% | #(b) | 3/27/2029 | 3,121 | 3,322,030 | ||||||||
Morgan Stanley | 3.625% | 1/20/2027 | 2,438 | 2,485,561 | |||||||||
Morgan Stanley | 3.875% | 1/27/2026 | 3,383 | 3,518,055 | |||||||||
Morgan Stanley | 4.00% | 7/23/2025 | 4,848 | 5,073,937 | |||||||||
Santander UK plc (United Kingdom)†(a) | 5.00% | 11/7/2023 | 575 | 598,036 | |||||||||
Santander UK plc (United Kingdom)(a) | 7.95% | 10/26/2029 | 2,280 | 2,824,398 | |||||||||
Toronto-Dominion Bank (The) (Canada)(a) | 3.625% (5 Yr. Swap + 2.21% | )# | 9/15/2031 | 5,336 | 5,360,744 | ||||||||
UBS AG (Switzerland)(a) | 5.125% | 5/15/2024 | 1,694 | 1,771,265 | |||||||||
UBS AG/Stamford CT | 7.625% | 8/17/2022 | 2,826 | 3,124,892 | |||||||||
Wells Fargo Bank NA | 5.85% | 2/1/2037 | 5,025 | 6,275,159 | |||||||||
Wells Fargo Bank NA | 6.60% | 1/15/2038 | 1,583 | 2,132,197 | |||||||||
Westpac Banking Corp. (Australia)†(a) | 3.15% | 1/16/2024 | 9,025 | 9,347,098 | |||||||||
Total | 82,748,876 | ||||||||||||
Beverages 0.42% | |||||||||||||
Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc. | 4.70% | 2/1/2036 | 4,011 | 4,149,991 | |||||||||
Becle SAB de CV (Mexico)†(a) | 3.75% | 5/13/2025 | 800 | 788,628 | |||||||||
Total | 4,938,619 | ||||||||||||
Biotechnology Research & Production 0.22% | |||||||||||||
Gilead Sciences, Inc. | 4.60% | 9/1/2035 | 2,386 | 2,590,710 | |||||||||
Business Services 0.06% | |||||||||||||
Adani Ports & Special Economic Zone Ltd. (India)†(a) | 4.00% | 7/30/2027 | 704 | 692,086 | |||||||||
Chemicals 0.16% | |||||||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(a) | 3.50% | 7/19/2022 | 1,270 | 1,274,509 | |||||||||
Mexichem SAB de CV (Mexico)†(a) | 4.875% | 9/19/2022 | 550 | 572,281 | |||||||||
Total | 1,846,790 |
42 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||||
Computer Hardware 0.34% | |||||||||||||
Dell International LLC/EMC Corp.† | 6.02% | 6/15/2026 | $ | 1,950 | $ | 2,101,449 | |||||||
Dell International LLC/EMC Corp.† | 8.35% | 7/15/2046 | 1,548 | 1,894,834 | |||||||||
Total | 3,996,283 | ||||||||||||
Computer Software 0.25% | |||||||||||||
Oracle Corp. | 6.125% | 7/8/2039 | 2,238 | 2,950,652 | |||||||||
Drugs 0.06% | |||||||||||||
Bayer Corp.† | 6.65% | 2/15/2028 | 629 | 720,664 | |||||||||
Electric: Power 1.70% | |||||||||||||
Berkshire Hathaway Energy Co. | 3.80% | 7/15/2048 | 3,137 | 3,099,195 | |||||||||
Cleco Corporate Holdings LLC | 4.973% | 5/1/2046 | 824 | 880,024 | |||||||||
Dominion Energy South Carolina, Inc. | 6.05% | 1/15/2038 | 1,988 | 2,525,564 | |||||||||
Dominion Energy South Carolina, Inc. | 6.625% | 2/1/2032 | 581 | 748,282 | |||||||||
Electricite de France SA (France)†(a) | 5.00% | 9/21/2048 | 2,976 | 3,206,977 | |||||||||
Entergy Louisiana LLC | 4.00% | 3/15/2033 | 934 | 1,016,538 | |||||||||
Entergy Texas, Inc. | 4.00% | 3/30/2029 | 1,212 | 1,284,134 | |||||||||
Exelon Generation Co. LLC | 5.60% | 6/15/2042 | 1,421 | 1,550,864 | |||||||||
Interstate Power & Light Co. | 3.60% | 4/1/2029 | 1,123 | 1,147,984 | |||||||||
Minejesa Capital BV (Netherlands)†(a) | 4.625% | 8/10/2030 | 700 | 681,521 | |||||||||
Ohio Edison Co. | 8.25% | 10/15/2038 | 1,762 | 2,717,195 | |||||||||
Pennsylvania Electric Co.†(c) | 3.60% | 6/1/2029 | 1,182 | 1,195,539 | |||||||||
Total | 20,053,817 | ||||||||||||
Electrical Equipment 0.38% | |||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 3.625% | 1/15/2024 | 1,933 | 1,917,408 | |||||||||
Broadcom, Inc.† | 3.625% | 10/15/2024 | 2,643 | 2,601,894 | |||||||||
Total | 4,519,302 | ||||||||||||
Financial Services 1.34% | |||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(a) | 3.50% | 1/15/2025 | 2,232 | 2,198,880 | |||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(a) | 3.875% | 1/23/2028 | 1,820 | 1,761,129 | |||||||||
Affiliated Managers Group, Inc. | 3.50% | 8/1/2025 | 370 | 379,374 | |||||||||
Affiliated Managers Group, Inc. | 4.25% | 2/15/2024 | 715 | 754,855 | |||||||||
Air Lease Corp. | 3.625% | 12/1/2027 | 2,790 | 2,695,942 | |||||||||
GE Capital International Funding Co. Unlimited Co. (Ireland)(a) | 4.418% | 11/15/2035 | 4,476 | 4,263,053 | |||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.50% | 3/15/2027 | 1,164 | 1,207,424 |
See Notes to Financial Statements. | 43 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUNDMay 31, 2019
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 | $ | 690 | $ | 639,120 | |||||||
SURA Asset Management SA (Columbia)†(a) | 4.875% | 4/17/2024 | 1,835 | 1,917,594 | |||||||||
Total | 15,817,371 | ||||||||||||
Food 0.06% | |||||||||||||
Campbell Soup Co. | 3.80% | 8/2/2042 | 920 | 775,839 | |||||||||
Health Care Services 0.05% | |||||||||||||
Universal Health Services, Inc.† | 5.00% | 6/1/2026 | 632 | 644,640 | |||||||||
Insurance 0.60% | |||||||||||||
Teachers Insurance & Annuity Association of America† | 4.90% | 9/15/2044 | 4,592 | 5,353,604 | |||||||||
Willis North America, Inc. | 7.00% | 9/29/2019 | 1,675 | 1,695,689 | |||||||||
Total | 7,049,293 | ||||||||||||
Leisure 0.39% | |||||||||||||
Carnival plc | 7.875% | 6/1/2027 | 1,230 | 1,597,350 | |||||||||
Royal Caribbean Cruises Ltd. | 3.70% | 3/15/2028 | 3,023 | 2,980,535 | |||||||||
Total | 4,577,885 | ||||||||||||
Machinery: Agricultural 0.36% | |||||||||||||
BAT Capital Corp. | 3.557% | 8/15/2027 | 2,114 | 2,034,771 | |||||||||
Reynolds American, Inc. | 5.70% | 8/15/2035 | 2,066 | 2,193,383 | |||||||||
Total | 4,228,154 | ||||||||||||
Machinery: Industrial/Specialty 0.27% | |||||||||||||
Nvent Finance Sarl (Luxembourg)(a) | 4.55% | 4/15/2028 | 3,150 | 3,190,414 | |||||||||
Manufacturing 0.39% | |||||||||||||
General Electric Co. | 2.945% (3 Mo. LIBOR + .38% | )# | 5/5/2026 | 1,357 | 1,219,190 | ||||||||
General Electric Co. | 6.15% | 8/7/2037 | 861 | 983,010 | |||||||||
Siemens Financieringsmaatschappij NV (Netherlands)†(a) | 2.35% | 10/15/2026 | 2,448 | 2,353,757 | |||||||||
Total | 4,555,957 | ||||||||||||
Media 1.10% | |||||||||||||
Cox Communications, Inc.† | 3.35% | 9/15/2026 | 360 | 356,785 | |||||||||
Cox Communications, Inc.† | 8.375% | 3/1/2039 | 3,714 | 5,024,535 | |||||||||
Time Warner Cable LLC | 7.30% | 7/1/2038 | 2,885 | 3,383,830 | |||||||||
Walt Disney Co. (The)† | 7.75% | 12/1/2045 | 720 | 1,172,599 | |||||||||
Warner Media LLC | 6.10% | 7/15/2040 | 465 | 545,551 |
44 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||||
Media (continued) | |||||||||||||
Warner Media LLC | 6.25% | 3/29/2041 | $ | 2,130 | $ | 2,523,013 | |||||||
Total | 13,006,313 | ||||||||||||
Metals & Minerals: Miscellaneous 0.49% | |||||||||||||
Anglo American Capital plc (United Kingdom)†(a) | 4.75% | 4/10/2027 | 3,199 | 3,304,187 | |||||||||
Glencore Finance Canada Ltd. (Canada)†(a) | 5.55% | 10/25/2042 | 2,296 | 2,256,020 | |||||||||
Indonesia Asahan Aluminium Persero PT (Indonesia)†(a) | 6.53% | 11/15/2028 | 200 | 226,237 | |||||||||
Total | 5,786,444 | ||||||||||||
Natural Gas 0.26% | |||||||||||||
Dominion Energy Gas Holdings LLC | 4.60% | 12/15/2044 | 1,711 | 1,867,368 | |||||||||
Piedmont Natural Gas Co., Inc. | 3.50% | 6/1/2029 | 1,196 | 1,214,576 | |||||||||
Total | 3,081,944 | ||||||||||||
Oil 1.62% | |||||||||||||
Apache Corp. | 4.75% | 4/15/2043 | 3,194 | 3,024,638 | |||||||||
Eni SpA (Italy)†(a) | 5.70% | 10/1/2040 | 5,053 | 5,582,238 | |||||||||
Equinor ASA (Norway)(a) | 7.15% | 11/15/2025 | 1,354 | 1,679,601 | |||||||||
Kerr-McGee Corp. | 7.875% | 9/15/2031 | 1,678 | 2,257,585 | |||||||||
Petroleos Mexicanos (Mexico)(a) | 4.50% | 1/23/2026 | 2,600 | 2,440,100 | |||||||||
Saudi Arabian Oil Co. (Saudi Arabia)†(a) | 2.875% | 4/16/2024 | 1,950 | 1,939,463 | |||||||||
Shell International Finance BV (Netherlands)(a) | 6.375% | 12/15/2038 | 1,603 | 2,204,167 | |||||||||
Total | 19,127,792 | ||||||||||||
Oil: Crude Producers 0.38% | |||||||||||||
Abu Dhabi Crude Oil Pipeline LLC (United Arab Emirates)†(a) | 4.60% | 11/2/2047 | 770 | 816,720 | |||||||||
IFM US Colonial Pipeline 2 LLC† | 6.45% | 5/1/2021 | 2,710 | 2,810,073 | |||||||||
Northern Natural Gas Co.† | 4.30% | 1/15/2049 | 771 | 823,195 | |||||||||
Total | 4,449,988 | ||||||||||||
Oil: Integrated Domestic 0.93% | |||||||||||||
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc. | 3.337% | 12/15/2027 | 2,559 | 2,512,947 | |||||||||
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc. | 4.08% | 12/15/2047 | 3,522 | 3,226,509 | |||||||||
Halliburton Co. | 6.70% | 9/15/2038 | 944 | 1,158,718 | |||||||||
Halliburton Co. | 7.45% | 9/15/2039 | 2,112 | 2,776,141 | |||||||||
Schlumberger Holdings Corp.† | 4.30% | 5/1/2029 | 1,211 | 1,260,172 | |||||||||
Total | 10,934,487 |
See Notes to Financial Statements. | 45 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||||
Real Estate Investment Trusts 0.75% | |||||||||||||
EPR Properties | 4.50% | 6/1/2027 | $ | 2,718 | $ | 2,804,605 | |||||||
EPR Properties | 4.75% | 12/15/2026 | 888 | 931,318 | |||||||||
EPR Properties | 4.95% | 4/15/2028 | 1,206 | 1,290,236 | |||||||||
VEREIT Operating Partnership LP | 4.875% | 6/1/2026 | 3,574 | 3,798,641 | |||||||||
Total | 8,824,800 | ||||||||||||
Telecommunications 0.09% | |||||||||||||
AT&T, Inc. | 6.00% | 8/15/2040 | 900 | 1,031,501 | |||||||||
Transportation: Miscellaneous 0.46% | |||||||||||||
Burlington Northern Santa Fe LLC | 5.75% | 5/1/2040 | 4,299 | 5,395,147 | |||||||||
Utilities 0.19% | |||||||||||||
Aqua America, Inc. | 3.566% | 5/1/2029 | 2,156 | 2,203,027 | |||||||||
Total Corporate Bonds (cost $238,396,639) | 246,241,503 | ||||||||||||
FOREIGN GOVERNMENT OBLIGATIONS 1.03% | |||||||||||||
Japan 0.96% | |||||||||||||
Japan Bank for International Corp. (Japan)(a) | 2.125% | 2/10/2025 | 6,352 | 6,271,411 | |||||||||
Japan Bank for International Corp. (Japan)(a) | 2.50% | 5/23/2024 | 5,060 | 5,112,961 | |||||||||
Total | 11,384,372 | ||||||||||||
Qatar 0.07% | |||||||||||||
State of Qatar†(a) | 5.103% | 4/23/2048 | 725 | 832,010 | |||||||||
Total Foreign Government Obligations (cost $11,906,519) | 12,216,382 | ||||||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 1.63% | |||||||||||||
Federal Home Loan Mortgage Corp. Q001 XA IO | 2.251% | #(d) | 2/25/2032 | 12,130 | 1,681,331 | ||||||||
Government National Mortgage Assoc. 2014-78 A | 2.20% | 4/16/2047 | 173 | 172,154 | |||||||||
Government National Mortgage Assoc. 2015-48 AS | 2.90% | #(d) | 2/16/2049 | 3,036 | 3,052,625 | ||||||||
Government National Mortgage Assoc. 2015-73 AC | 2.90% | #(d) | 2/16/2053 | 678 | 679,031 | ||||||||
Government National Mortgage Assoc. 2017-168 AS | 2.70% | 8/16/2058 | 3,727 | 3,680,018 | |||||||||
Government National Mortgage Assoc. 2017-41 AS | 2.60% | 6/16/2057 | 3,247 | 3,188,754 | |||||||||
Government National Mortgage Assoc. 2017-69 AS | 2.75% | 2/16/2058 | 1,753 | 1,737,074 | |||||||||
Government National Mortgage Assoc. 2017-71 AS | 2.70% | 4/16/2057 | 1,152 | 1,144,246 | |||||||||
Government National Mortgage Assoc. 2017-86 AS | 2.75% | 2/16/2058 | 1,293 | 1,289,255 | |||||||||
Government National Mortgage Assoc. 2017-89 AB | 2.60% | 7/16/2058 | 1,083 | 1,073,498 | |||||||||
Government National Mortgage Assoc. 2017-90 AS | 2.70% | 7/16/2057 | 1,488 | 1,480,037 | |||||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $19,318,890) | 19,178,023 |
46 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 36.37% | |||||||||||||
Federal Home Loan Mortgage Corp. | 5.00% | 4/1/2021 - 6/1/2026 | $ | 603 | $ | 621,755 | |||||||
Federal National Mortgage Assoc.(e) | 3.50% | TBA | 141,600 | 144,456,892 | |||||||||
Federal National Mortgage Assoc.(e) | 4.00% | TBA | 134,900 | 139,231,555 | |||||||||
Federal National Mortgage Assoc.(e) | 4.50% | TBA | 134,650 | 140,688,211 | |||||||||
Federal National Mortgage Assoc. | 5.50% | 9/1/2034 - 9/1/2036 | 3,442 | 3,773,180 | |||||||||
Federal National Mortgage Assoc. | 6.50% | 1/1/2036 | 29 | 34,739 | |||||||||
Total Government Sponsored Enterprises Pass-Throughs(cost $425,725,004) | 428,806,332 | ||||||||||||
MUNICIPAL BOND 0.06% | |||||||||||||
Miscellaneous | |||||||||||||
Pennsylvania (cost $668,143) | 5.35% | 5/1/2030 | 650 | 667,192 | |||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 4.54% | |||||||||||||
Atrium Hotel Portfolio Trust 2018-ATRM A† | 3.39% (1 Mo. LIBOR + .95% | )# | 6/15/2035 | 1,141 | 1,136,669 | ||||||||
Bancorp Commercial Mortgage Trust (The) 2018-CR3 A† | 3.29% (1 Mo. LIBOR + .85% | )# | 1/15/2033 | 893 | 888,880 | ||||||||
BX Commercial Mortgage Trust 2018-BIOA A† | 3.111% (1 Mo. LIBOR + .67% | )# | 3/15/2037 | 4,127 | 4,116,266 | ||||||||
BX Trust 2018-GW A† | 3.24% (1 Mo. LIBOR + .80% | )# | 5/15/2035 | 3,064 | 3,051,304 | ||||||||
Citigroup Commercial Mortgage Trust 2014-GC21 XA IO | 1.191% | #(d) | 5/10/2047 | 17,356 | 854,639 | ||||||||
Citigroup Commercial Mortgage Trust 2016-GC36 D† | 2.85% | 2/10/2049 | 3,025 | 2,532,394 | |||||||||
Citigroup Commercial Mortgage Trust 2016-P3 D† | 2.804% | #(d) | 4/15/2049 | 709 | 610,840 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-CR19 XA IO | 1.129% | #(d) | 8/10/2047 | 3,800 | 151,681 | ||||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 B | 4.44% | #(d) | 7/10/2050 | 620 | 661,417 | ||||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 C | 4.44% | #(d) | 7/10/2050 | 1,138 | 1,170,068 | ||||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 D | 4.44% | #(d) | 7/10/2050 | 1,471 | 1,353,654 | ||||||||
CSAIL Commercial Mortgage Trust 2015-C2 C | 4.203% | #(d) | 6/15/2057 | 325 | 311,012 | ||||||||
DBWF Mortgage Trust 2018-GLKS A† | 3.471% (1 Mo. LIBOR + 1.03% | )# | 11/19/2035 | 1,916 | 1,918,051 | ||||||||
GAHR Commercial Mortgage Trust 2015-NRF DFX† | 3.382% | #(d) | 12/15/2034 | 953 | 948,774 |
See Notes to Financial Statements. | 47 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | |||||||||||||
GS Mortgage Securities Corp. Trust 2018-FBLU A† | 3.382% (1 Mo. LIBOR + .95% | )# | 11/15/2035 | $ | 1,906 | $ | 1,904,898 | ||||||
GS Mortgage Securities Corp. Trust 2018-RIVR A† | 3.39% (1 Mo. LIBOR + .95% | )# | 7/15/2035 | 1,348 | 1,350,491 | ||||||||
GS Mortgage Securities Trust 2015-GC32 C | 4.41% | #(d) | 7/10/2048 | 685 | 717,474 | ||||||||
Hilton Orlando Trust 2018-ORL A† | 3.21% (1 Mo. LIBOR + .77% | )# | 12/15/2034 | 4,123 | 4,111,912 | ||||||||
Hudsons Bay Simon JV Trust 2015-HB7 B7† | 4.666% | 8/5/2034 | 2,410 | 2,415,479 | |||||||||
Hudsons Bay Simon JV Trust 2015-HB7 D7† | 5.159% | #(d) | 8/5/2034 | 2,231 | 2,106,478 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XA IO | 0.799% | #(d) | 4/15/2047 | 2,589 | 61,378 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XB IO | 0.303% | #(d) | 4/15/2047 | 1,381 | 21,881 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C30 C | 4.269% | #(d) | 7/15/2048 | 2,629 | 2,714,325 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ A† | 3.44% (1 Mo. LIBOR + 1.00% | )# | 6/15/2032 | 3,325 | 3,325,363 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ D† | 4.54% (1 Mo. LIBOR + 2.10% | )# | 6/15/2032 | 1,660 | 1,668,820 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN A† | 3.46% (1 Mo. LIBOR + 1.27% | )# | 11/15/2020 | 1,026 | 1,027,924 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT AFL† | 3.417% (1 Mo. LIBOR + .95% | )# | 7/5/2033 | 4,859 | 4,852,414 | ||||||||
Sequoia Mortgage Trust 2012-4 A3 | 2.069% | #(d) | 9/25/2042 | 368 | 357,917 | ||||||||
SFAVE Commercial Mortgage Securities Trust 2015-5AVE A2B† | 4.144% | #(d) | 1/5/2043 | 250 | 258,194 | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-C28 D | 4.127% | #(d) | 5/15/2048 | 2,000 | 1,839,203 | ||||||||
Wells Fargo Commercial Mortgage Trust 2016-C35 C | 4.176% | #(d) | 7/15/2048 | 2,139 | 2,185,238 | ||||||||
Wells Fargo Commercial Mortgage Trust 2016-NXS5 E† | 4.876% | #(d) | 1/15/2059 | 1,524 | 1,434,578 | ||||||||
WF-RBS Commercial Mortgage Trust 2014-C20 XA IO | 0.977% | #(d) | 5/15/2047 | 7,973 | 304,722 | ||||||||
WF-RBS Commercial Mortgage Trust 2014-C20 XB IO | 0.575% | #(d) | 5/15/2047 | 1,909 | 54,011 | ||||||||
WF-RBS Commercial Mortgage Trust 2014-C23 XA IO | 0.597% | #(d) | 10/15/2057 | 22,970 | 580,720 | ||||||||
WF-RBS Commercial Mortgage Trust 2014-C23 XB IO | 0.307% | #(d) | 10/15/2057 | 36,416 | 493,979 | ||||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $51,776,088) | 53,493,048 |
48 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | |||||||||
U.S. TREASURY OBLIGATIONS 44.03% | |||||||||||||
U.S. Treasury Bill | Zero Coupon | 7/2/2019 | $ | 250,886 | $ | 250,420,963 | |||||||
U.S. Treasury Bond | 2.75% | 11/15/2047 | 33,219 | 34,382,963 | |||||||||
U.S. Treasury Bond | 3.00% | 2/15/2049 | 26,609 | 28,975,746 | |||||||||
U.S. Treasury Inflation Indexed Note(f) | 0.625% | 4/15/2023 | 50,604 | 51,111,771 | |||||||||
U.S. Treasury Note | 2.00% | 5/31/2024 | 12,820 | 12,870,078 | |||||||||
U.S. Treasury Note | 2.50% | 1/31/2021 | 138,835 | 139,946,764 | |||||||||
U.S. Treasury Note | 2.875% | 10/31/2020 | 1,375 | 1,390,173 | |||||||||
Total U.S. Treasury Obligations (cost $513,054,846) | 519,098,458 | ||||||||||||
Total Long-Term Investments (cost $1,549,391,544) | 1,569,268,984 | ||||||||||||
SHORT-TERM INVESTMENTS 1.99% | |||||||||||||
REPURCHASE AGREEMENTS | |||||||||||||
Repurchase Agreement dated 5/31/2019, 1.45% due 6/3/2019 with Fixed Income Clearing Corp. collateralized by $11,580,000 of U.S. Treasury Note at 2.25% due 03/31/2021; value: $11,652,502; proceeds: $11,420,921 | 11,420 | 11,419,542 | |||||||||||
Repurchase Agreement dated 05/31/2019, 2.45% due 6/01/2019 with Toronto Dominion Grand Cayman collateralized by $12,160,000 of U.S. Treasury Note at 2.25% due 03/31/2021; value: $12,227,299; proceeds: $12,002,450 | 12,000 | 12,000,000 | |||||||||||
Total Short-Term Investments (cost $23,419,542) | 23,419,542 | ||||||||||||
Total Investments in Securities 135.10% (cost $1,572,811,086) | 1,592,688,526 | ||||||||||||
Liabilities in Excess of Cash and Other Assets(g)(35.10%) | (413,807,195 | ) | |||||||||||
Net Assets 100.00% | $ | 1,178,881,331 |
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, 2019. | |
(a) | Foreign security traded in U.S. dollars. | |
(b) | Variable Rate is Fixed to Float: Rate remains fixed until designated future date. | |
(c) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(d) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(e) | 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. | |
(f) | Treasury Inflation Protected Security. A U.S. Treasury Note or Bond that offers protection from inflation by paying a fixed rate of interest on principal amount that is adjusted for inflation based on the Consumer Price Index. | |
(g) | Liabilities in Excess of Cash and Other Assets include net unrealized appreciation/depreciation on interest rate swaps and futures contracts as follows: |
See Notes to Financial Statements. | 49 |
Schedule of Investments (unaudited)(continued)
CORE FIXED INCOME FUNDMay 31, 2019
Centrally Cleared Interest Rate Swap Contracts at May 31, 2019:
Central Clearingparty* | Periodic Payments to be Made By The Fund (Quarterly) | Periodic Payments to be Received By The Fund (Quarterly) | Termination Date | Notional Amount | Notional Value | Unrealized Appreciation | |||||||||||||||
Credit Suisse | 3-Month USD LIBOR Index | 2.3497% | 4/1/2021 | $ | 87,118,870 | $ | 87,638,288 | $519,418 |
* Central clearinghouse: Chicago Mercantile Exchange (CME).
Central Clearingparty* | Periodic Payments to be Made By The Fund (Quarterly) | Periodic Payments to be Received By The Fund (Quarterly) | Termination Date | Notional Amount | Notional Value | Unrealized Depreciation | |||||||||||||||
Credit Suisse | 2.4045% | 3-Month USD LIBOR Index | 4/1/2029 | $ | 19,000,000 | $ | 18,454,609 | $(545,391) |
* Central clearinghouse: Chicago Mercantile Exchange (CME).
Open Futures Contracts at May 31, 2019:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||||
U.S. 2-Year Treasury Note | September 2019 | 323 | Long | $ | 69,316,256 | $ | 69,339,016 | $ | 22,760 | |||||||||||
U.S. 5-Year Treasury Note | September 2019 | 1,438 | Long | 167,894,298 | 168,774,016 | 879,718 | ||||||||||||||
U.S. 10-Year Treasury Note | September 2019 | 370 | Long | 50,034,156 | 50,522,344 | 488,188 | ||||||||||||||
U.S. Long Bond | September 2019 | 134 | Long | 20,426,862 | 20,598,313 | 171,451 | ||||||||||||||
U.S. Ultra Treasury Bond | September 2019 | 3 | Long | 520,201 | 527,344 | 7,143 | ||||||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 1,569,260 |
50 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(concluded)
CORE FIXED INCOME FUNDMay 31, 2019
The following is a summary of the inputs used as of May 31, 2019 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 | $ | – | $ | 289,568,046 | $ | – | $ | 289,568,046 | ||||||||
Corporate Bonds | – | 246,241,503 | – | 246,241,503 | ||||||||||||
Foreign Government Obligations | – | 12,216,382 | – | 12,216,382 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 19,178,023 | – | 19,178,023 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 428,771,593 | 34,739 | 428,806,332 | ||||||||||||
Municipal Bond | – | 667,192 | – | 667,192 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 53,493,048 | – | 53,493,048 | ||||||||||||
U.S. Treasury Obligations | – | 519,098,458 | – | 519,098,458 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | – | 23,419,542 | – | 23,419,542 | ||||||||||||
Total | $ | – | $ | 1,592,653,787 | $ | 34,739 | $ | 1,592,688,526 | ||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared | ||||||||||||||||
Interest Rate Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 519,418 | $ | – | $ | 519,418 | ||||||||
Liabilities | – | (545,391 | ) | – | (545,391 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 1,569,260 | – | – | 1,569,260 | ||||||||||||
Liabilities | – | – | – | – | ||||||||||||
Total | $ | 1,569,260 | $ | (25,973 | ) | $ | – | $ | 1,543,287 |
(1) | Refer to Note 2(t) 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, 2019. |
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
Investment Type | Government Sponsored Enterprises Pass-Throughs | |||
Balance as of December 1, 2018 | $ | – | ||
Accrued Discounts (Premiums) | (9) | |||
Realized Gain (Loss) | (44) | |||
Change in Unrealized Appreciation (Depreciation) | 1,115 | |||
Purchases | – | |||
Sales | (2,575) | |||
Transfers into Level 3 | 36,252 | |||
Transfers out of Level 3 | – | |||
Balance as of May 31, 2019 | $ | 34,739 | ||
Change in unrealized appreciation/depreciation for the period ended May 31, 2019, related to Level 3 investments held at May 31, 2019 | $ | 1,115 |
See Notes to Financial Statements. | 51 |
Schedule of Investments (unaudited)
CORE PLUS BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 110.52% | ||||||||||||
ASSET-BACKED SECURITIES 18.28% | ||||||||||||
Automobiles 7.45% | ||||||||||||
ACC Trust 2018-1 A† | 3.70% | 12/21/2020 | $ | 31 | $ | 30,652 | ||||||
ACC Trust 2018-1 B† | 4.82% | 5/20/2021 | 100 | 100,558 | ||||||||
ACC Trust 2019-1 B† | 4.47% | 10/20/2022 | 100 | 102,250 | ||||||||
Ally Auto Receivables Trust 2017-5 A2 | 1.81% | 6/15/2020 | – | (a) | 126 | |||||||
American Credit Acceptance Receivables Trust 2016-2 C† | 6.09% | 5/12/2022 | 84 | 84,974 | ||||||||
American Credit Acceptance Receivables Trust 2018-4 A† | 3.38% | 12/13/2021 | 26 | 26,097 | ||||||||
American Credit Acceptance Receivables Trust 2019-2 B† | 3.05% | 5/12/2023 | 97 | 97,412 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-2 C | 2.97% | 3/20/2023 | 16 | 16,134 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-3 A2A | 1.69% | 12/18/2020 | – | (a) | 200 | |||||||
AmeriCredit Automobile Receivables Trust 2017-3 B | 2.24% | 6/19/2023 | 7 | 6,987 | ||||||||
AmeriCredit Automobile Receivables Trust 2018-3 A2A | 3.11% | 1/18/2022 | 18 | 18,141 | ||||||||
AmeriCredit Automobile Receivables Trust 2018-3 A2B | 2.691% (1 Mo. LIBOR + .25% | )# | 1/18/2022 | 18 | 18,099 | |||||||
BMW Vehicle Lease Trust 2019-1 A2 | 2.79% | 3/22/2021 | 49 | 49,165 | ||||||||
BMW Vehicle Owner Trust 2018-A A2A | 2.09% | 11/25/2020 | 15 | 14,966 | ||||||||
California Republic Auto Receivables Trust 2015-2 B | 2.53% | 6/15/2021 | 43 | 42,936 | ||||||||
California Republic Auto Receivables Trust 2015-4 B† | 3.73% | 11/15/2021 | 25 | 25,144 | ||||||||
California Republic Auto Receivables Trust 2016-2 B | 2.52% | 5/16/2022 | 8 | 7,987 | ||||||||
California Republic Auto Receivables Trust 2017-1 A3 | 1.90% | 3/15/2021 | 5 | 5,016 | ||||||||
California Republic Auto Receivables Trust 2017-1 B | 2.91% | 12/15/2022 | 73 | 73,217 | ||||||||
Capital Auto Receivables Asset Trust 2015-3 D | 3.34% | 3/22/2021 | 45 | 45,097 | ||||||||
Capital Auto Receivables Asset Trust 2018-1 A3† | 2.79% | 1/20/2022 | 182 | 182,408 | ||||||||
CarMax Auto Owner Trust 2018-3 A2A | 2.88% | 10/15/2021 | 38 | 38,352 | ||||||||
Chesapeake Funding II LLC 2016-1A A1† | 2.11% | 3/15/2028 | 19 | 19,226 | ||||||||
Chesapeake Funding II LLC 2016-2A A1† | 1.88% | 6/15/2028 | 41 | 41,204 | ||||||||
Chesapeake Funding II LLC 2017-2A A1† | 1.99% | 5/15/2029 | 53 | 52,659 |
52 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Chesapeake Funding II LLC 2017-3A A1† | 1.91% | 8/15/2029 | $ | 57 | $ | 56,481 | ||||||
CPS Auto Receivables Trust 2017-C D† | 3.79% | 6/15/2023 | 100 | 101,316 | ||||||||
CPS Auto Receivables Trust 2018-A B† | 2.77% | 4/18/2022 | 100 | 99,989 | ||||||||
Credit Acceptance Auto Loan Trust 2017-3A C† | 3.48% | 10/15/2026 | 250 | 252,260 | ||||||||
Drive Auto Receivables Trust 2015-BA E† | 5.15% | 8/15/2022 | 50 | 50,112 | ||||||||
Drive Auto Receivables Trust 2016-CA C† | 3.02% | 11/15/2021 | 7 | 6,769 | ||||||||
Drive Auto Receivables Trust 2016-CA D† | 4.18% | 3/15/2024 | 4 | 4,047 | ||||||||
Drive Auto Receivables Trust 2017-1 D | 3.84% | 3/15/2023 | 93 | 94,027 | ||||||||
Drive Auto Receivables Trust 2017-3 C | 2.80% | 7/15/2022 | 109 | 108,732 | ||||||||
Drive Auto Receivables Trust 2017-3 D† | 3.53% | 12/15/2023 | 150 | 151,349 | ||||||||
Drive Auto Receivables Trust 2017-AA D† | 4.16% | 5/15/2024 | 11 | 11,183 | ||||||||
Drive Auto Receivables Trust 2017-BA C† | 2.61% | 8/16/2021 | 2 | 2,061 | ||||||||
Drive Auto Receivables Trust 2018-3 A3 | 3.01% | 11/15/2021 | 16 | 15,588 | ||||||||
Drive Auto Receivables Trust 2018-3 B | 3.37% | 9/15/2022 | 10 | 10,037 | ||||||||
Drive Auto Receivables Trust 2018-3 C | 3.72% | 9/16/2024 | 23 | 23,342 | ||||||||
Drive Auto Receivables Trust 2018-4 A2A | 2.78% | 10/15/2020 | – | (a) | 25 | |||||||
Drive Auto Receivables Trust 2018-4 A3 | 3.04% | 11/15/2021 | 35 | 35,025 | ||||||||
Drive Auto Receivables Trust 2018-4 C | 3.66% | 11/15/2024 | 72 | 72,941 | ||||||||
Drive Auto Receivables Trust 2018-5 A2A | 3.08% | 7/15/2021 | 16 | 16,138 | ||||||||
Drive Auto Receivables Trust 2018-5 A2B | 2.76% (1 Mo. LIBOR + .32% | )# | 7/15/2021 | 13 | 13,198 | |||||||
Drive Auto Receivables Trust 2019-2 A2A | 2.93% | 3/15/2022 | 76 | 76,129 | ||||||||
Enterprise Fleet Financing LLC 2018-1 A2† | 2.87% | 10/20/2023 | 83 | 83,229 | ||||||||
Exeter Automobile Receivables Trust 2017-3A C† | 3.68% | 7/17/2023 | 130 | 132,260 | ||||||||
Fifth Third Auto Trust 2019-1 A2A | 2.66% | 5/16/2022 | 112 | 112,414 | ||||||||
Fifth Third Auto Trust 2019-1 A3 | 2.64% | 12/15/2023 | 132 | 133,482 | ||||||||
Fifth Third Auto Trust 2019-1 A4 | 2.69% | 11/16/2026 | 28 | 28,457 | ||||||||
First Investors Auto Owner Trust 2017-3A A2† | 2.41% | 12/15/2022 | 14 | 13,991 | ||||||||
First Investors Auto Owner Trust 2018-2A A1† | 3.23% | 12/15/2022 | 16 | 16,393 | ||||||||
First Investors Auto Owner Trust 2019-1A A† | 2.89% | 3/15/2024 | 83 | 83,091 | ||||||||
Flagship Credit Auto Trust 2017-3 A† | 1.88% | 10/15/2021 | 4 | 3,683 | ||||||||
Flagship Credit Auto Trust 2017-3 B† | 2.59% | 7/15/2022 | 10 | 9,981 | ||||||||
Flagship Credit Auto Trust 2017-4 A† | 2.07% | 4/15/2022 | 7 | 7,374 | ||||||||
Flagship Credit Auto Trust 2018-1 A† | 2.59% | 6/15/2022 | 12 | 11,711 | ||||||||
Ford Credit Auto Owner Trust 2014-2 A† | 2.31% | 4/15/2026 | 100 | 99,882 | ||||||||
Foursight Capital Automobile Receivables Trust 2016-1 A2† | 2.87% | 10/15/2021 | 16 | 15,974 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 A2† | 2.85% | 8/16/2021 | 36 | 36,337 |
See Notes to Financial Statements. | 53 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Foursight Capital Automobile Receivables Trust 2018-1 E† | 5.56% | 1/16/2024 | $ | 100 | $ | 103,977 | ||||||
GM Financial Automobile Leasing Trust 2017-3 A3 | 2.01% | 11/20/2020 | 66 | 65,973 | ||||||||
GM Financial Automobile Leasing Trust 2019-2 A2A | 2.67% | 6/21/2021 | 84 | 84,186 | ||||||||
GM Financial Automobile Leasing Trust 2019-2 A3 | 2.67% | 3/21/2022 | 45 | 45,318 | ||||||||
Honda Auto Receivables Owner Trust 2016-2 A3 | 1.39% | 4/15/2020 | – | (a) | 328 | |||||||
Honda Auto Receivables Owner Trust 2019-1 A2 | 2.75% | 9/20/2021 | 102 | 102,338 | ||||||||
Hyundai Auto Lease Securitization Trust 2017-C A2A† | 1.89% | 3/16/2020 | 18 | 17,913 | ||||||||
Mercedes-Benz Auto Lease Trust 2018-A A2 | 2.20% | 4/15/2020 | 8 | 7,924 | ||||||||
Mercedes-Benz Auto Lease Trust 2018-B A2 | 3.04% | 12/15/2020 | 53 | 53,104 | ||||||||
Mercedes-Benz Auto Receivables Trust 2016-1 A3 | 1.26% | 2/16/2021 | 4 | 3,542 | ||||||||
Santander Drive Auto Receivables Trust 2015-2 D | 3.02% | 4/15/2021 | 37 | 37,250 | ||||||||
Santander Drive Auto Receivables Trust 2016-3 B | 1.89% | 6/15/2021 | – | (a) | 180 | |||||||
Santander Drive Auto Receivables Trust 2017-3 C | 2.76% | 12/15/2022 | 5 | 5,012 | ||||||||
SunTrust Auto Receivables Trust 2015-1A A4† | 1.78% | 1/15/2021 | 3 | 2,835 | ||||||||
TCF Auto Receivables Owner Trust 2015-1A D† | 3.53% | 3/15/2022 | 29 | 28,998 | ||||||||
TCF Auto Receivables Owner Trust 2016-PT1A B† | 2.92% | 10/17/2022 | 11 | 11,046 | ||||||||
Westlake Automobile Receivables Trust 2018-2A C† | 3.50% | 1/16/2024 | 228 | 230,214 | ||||||||
Westlake Automobile Receivables Trust 2019-1A C† | 3.45% | 3/15/2024 | 246 | 249,365 | ||||||||
World Omni Select Auto Trust 2018-1A A2† | 3.24% | 4/15/2022 | 28 | 27,630 | ||||||||
Total | 4,165,148 | |||||||||||
Credit Cards 2.39% | ||||||||||||
American Express Credit Account Master Trust 2017-2 A | 2.89% (1 Mo. LIBOR + .45% | )# | 9/16/2024 | 71 | 71,077 | |||||||
American Express Credit Account Master Trust 2019-1 B | 3.07% | 10/15/2024 | 100 | 102,011 | ||||||||
Barclays Dryrock Issuance Trust 2014-3 A | 2.41% | 7/15/2022 | 100 | 99,953 | ||||||||
Capital One Multi-Asset Execution Trust 2016-A4 | 1.33% | 6/15/2022 | 28 | 27,931 | ||||||||
Capital One Multi-Asset Execution Trust 2016-A7 | 2.95% (1 Mo. LIBOR + .51% | )# | 9/16/2024 | 71 | 71,196 | |||||||
Chase Issuance Trust 2016-A5 | 1.27% | 7/15/2021 | 100 | 99,861 | ||||||||
Discover Card Execution Note Trust 2014-A4 | 2.12% | 12/15/2021 | 200 | 199,942 | ||||||||
Discover Card Execution Note Trust 2019-A1 | 3.04% | 7/15/2024 | 36 | 36,775 | ||||||||
First National Master Note Trust 2018-1 A | 2.90% (1 Mo. LIBOR + .46% | )# | 10/15/2024 | 105 | 105,035 | |||||||
GE Capital Credit Card Master Note Trust 2012-7 A | 1.76% | 9/15/2022 | 170 | 169,633 | ||||||||
Genesis Sales Finance Master Trust Series 2019-AA B† | 5.42% | 8/20/2023 | 100 | 102,060 | ||||||||
Synchrony Credit Card Master Note Trust 2015-1 B | 2.64% | 3/15/2023 | 100 | 99,869 |
54 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Credit Cards (continued) | ||||||||||||
Synchrony Credit Card Master Note Trust 2016-3 A | 1.58% | 9/15/2022 | $ | 100 | $ | 99,715 | ||||||
World Financial Network Credit Card Master Trust 2017-B A | 1.98% | 6/15/2023 | 29 | 28,995 | ||||||||
World Financial Network Credit Card Master Trust 2017-C M | 2.66% | 8/15/2024 | 23 | 22,976 | ||||||||
Total | 1,337,029 | |||||||||||
Home Equity 0.18% | ||||||||||||
Towd Point Mortgage Trust 2019-HY2 A1† | 3.43% (1 Mo. LIBOR + 1.00% | )# | 5/25/2058 | 97 | 97,512 | |||||||
Other 8.26% | ||||||||||||
Access Point Funding I LLC 2017-A† | 3.06% | 4/15/2029 | 51 | 50,538 | ||||||||
Ascentium Equipment Receivables Trust 2017-1A A3† | 2.29% | 6/10/2021 | 3 | 3,118 | ||||||||
Avery Point VII CLO Ltd. 2015-7A A1† | 4.097% (3 Mo. LIBOR + 1.50% | )# | 1/15/2028 | 250 | 250,153 | |||||||
BDS Ltd. 2019-FL3 A† | 3.832% (1 Mo. LIBOR + 1.40% | )# | 12/15/2035 | 100 | 100,419 | |||||||
Benefit Street Partners CLO X Ltd. 2016-10A A1† | 4.087% (3 Mo. LIBOR + 1.49% | )# | 1/15/2029 | 250 | 250,356 | |||||||
Cent CLO Ltd. 2013-19A A1A† | 3.912% (3 Mo. LIBOR + 1.33% | )# | 10/29/2025 | 235 | 235,576 | |||||||
CoreVest American Finance Trust 2018-1 A† | 3.804% | 6/15/2051 | 134 | 137,650 | ||||||||
Daimler Trucks Retail Trust 2018-1 A2† | 2.60% | 5/15/2020 | 10 | 10,362 | ||||||||
Diamond Resorts Owner Trust 2017-1A B† | 4.11% | 10/22/2029 | 44 | 44,482 | ||||||||
DLL LLC 2018-ST2 A2† | 3.14% | 10/20/2020 | 41 | 40,843 | ||||||||
DRB Prime Student Loan Trust 2015-D A2† | 3.20% | 1/25/2040 | 40 | 40,285 | ||||||||
Engs Commercial Finance Trust 2018-1A A1† | 2.97% | 2/22/2021 | 77 | 77,315 | ||||||||
Fairstone Financial Issuance Trust I 2019-1A C†(b) | 6.299% | 3/21/2033 | CAD | 150 | 111,871 | (c) | ||||||
Ford Credit Floorplan Master Owner Trust 2019-2 A | 3.06% | 4/15/2026 | $ | 75 | 76,826 | |||||||
Great American Auto Leasing, Inc. 2019-1 A4† | 3.21% | 2/18/2025 | 110 | 112,531 | ||||||||
Greywolf CLO IV Ltd. 2019-1A A2† | 4.538% (3 Mo. LIBOR + 1.95% | )# | 4/17/2030 | 250 | 250,133 | |||||||
Hardee’s Funding LLC 2018-1A A2II† | 4.959% | 6/20/2048 | 28 | 29,511 | ||||||||
Hilton Grand Vacations Trust 2018-AA A† | 3.54% | 2/25/2032 | 458 | 469,914 | ||||||||
Hyundai Floorplan Master Owner Trust 2019-1 A† | 2.68% | 4/15/2024 | 109 | 110,053 | ||||||||
LMREC, Inc. 2019-CRE3 A† | 3.764% (1 Mo. LIBOR + 1.40% | )# | 12/22/2035 | 174 | 175,207 | (c) | ||||||
Newark BSL CLO 1 Ltd. 2016-1A A1 | 4.102% | 12/21/2029 | 250 | 252,028 | ||||||||
NextGear Floorplan Master Owner Trust 2018-2A B† | 4.01% | 10/15/2023 | 100 | 102,466 | ||||||||
OHA Loan Funding Ltd. 2016-1A B1† | 4.392% (3 Mo. LIBOR + 1.80% | )# | 1/20/2028 | 250 | 250,126 |
See Notes to Financial Statements. | 55 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
OneMain Financial Issuance Trust 2018-2A A† | 3.57% | 3/14/2033 | $ | 100 | $ | 103,375 | ||||||
OneMain Financial Issuance Trust 2019-1A A† | 3.48% | 2/14/2031 | 140 | 142,468 | ||||||||
Orange Lake Timeshare Trust 2015-AA A† | 2.88% | 9/8/2027 | 15 | 15,382 | ||||||||
Orange Lake Timeshare Trust 2019-A† | 3.06% | 4/9/2038 | 50 | 50,432 | ||||||||
Orec Ltd. 2018-CRE1 A† | 3.62% (1 Mo. LIBOR + 1.18% | )# | 6/15/2036 | 23 | 23,015 | |||||||
Pennsylvania Higher Education Assistance Agency 2006-1 B | 2.85% (3 Mo. LIBOR + .27% | )# | 4/25/2038 | 41 | 38,754 | |||||||
PFS Financing Corp. 2018-B A† | 2.89% | 2/15/2023 | 100 | 100,691 | ||||||||
SCF Equipment Leasing LLC 2017-2A A† | 3.41% | 12/20/2023 | 57 | 57,034 | ||||||||
SCF Equipment Leasing LLC 2018-1A A2† | 3.63% | 10/20/2024 | 80 | 80,346 | ||||||||
SCF Equipment Leasing LLC 2019-1A A1† | 3.04% | 3/20/2023 | 91 | 91,004 | ||||||||
SCF Equipment Leasing LLC 2019-1A C† | 3.92% | 11/20/2026 | 142 | 145,193 | ||||||||
SLM Student Loan Trust 2007-3 A4 | 2.64% (3 Mo. LIBOR + .06% | )# | 1/25/2022 | 96 | 93,105 | |||||||
SoFi Professional Loan Program LLC 2017-D A2FX† | 2.65% | 9/25/2040 | 143 | 143,706 | ||||||||
Sound Point CLO XII Ltd. 2016-2A BR† | 4.392% (3 Mo. LIBOR + 1.80% | )# | 10/20/2028 | 250 | 250,467 | |||||||
Textainer Marine Containers VII Ltd. 2019-1A A† | 4.30% | 4/20/2044 | 99 | 102,077 | ||||||||
Total | 4,618,812 | |||||||||||
Total Asset-Backed Securities(cost $10,150,156) | 10,218,501 | |||||||||||
CORPORATE BONDS 41.38% | ||||||||||||
Aerospace/Defense 0.40% | ||||||||||||
Embraer Netherlands Finance BV (Netherlands)(d) | 5.05% | 6/15/2025 | 41 | 43,307 | ||||||||
Kratos Defense & Security Solutions, Inc.† | 6.50% | 11/30/2025 | 51 | 53,933 | ||||||||
TransDigm, Inc. | 6.375% | 6/15/2026 | 126 | 124,267 | ||||||||
Total | 221,507 | |||||||||||
Auto Parts: Original Equipment 0.06% | ||||||||||||
Aptiv plc (Ireland)(d) | 4.35% | 3/15/2029 | 35 | 36,173 | ||||||||
Automotive 1.19% | ||||||||||||
BCD Acquisition, Inc.† | 9.625% | 9/15/2023 | 10 | 10,500 | ||||||||
Ford Motor Co. | 7.45% | 7/16/2031 | 218 | 247,354 | ||||||||
General Motors Co. | 6.60% | 4/1/2036 | 323 | 338,979 | ||||||||
Tesla, Inc.† | 5.30% | 8/15/2025 | 80 | 65,502 | ||||||||
Total | 662,335 |
56 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional 7.89% | ||||||||||||
Bank of America Corp. | 3.593% (3 Mo. LIBOR + 1.37% | )# | 7/21/2028 | $ | 477 | $ | 482,316 | |||||
Bank of America Corp. | 3.824% (3 Mo. LIBOR + 1.58% | )# | 1/20/2028 | 18 | 18,528 | |||||||
Bank of America Corp. | 4.00% | 1/22/2025 | 7 | 7,233 | ||||||||
Bank of America Corp. | 4.45% | 3/3/2026 | 8 | 8,442 | ||||||||
CIT Group, Inc. | 6.00% | 4/1/2036 | 15 | 14,475 | ||||||||
CIT Group, Inc. | 6.125% | 3/9/2028 | 108 | 119,070 | ||||||||
Citigroup, Inc. | 3.887% (3 Mo. LIBOR + 1.56% | )# | 1/10/2028 | 387 | 398,531 | |||||||
Citigroup, Inc. | 3.98% | #(e) | 3/20/2030 | 111 | 114,945 | |||||||
Citigroup, Inc. | 4.45% | 9/29/2027 | 38 | 39,792 | ||||||||
Danske Bank A/S (Denmark)†(d) | 5.375% | 1/12/2024 | 200 | 211,461 | ||||||||
Goldman Sachs Group, Inc. (The) | 4.223% | #(e) | 5/1/2029 | 111 | 115,440 | |||||||
Goldman Sachs Group, Inc. (The) | 6.25% | 2/1/2041 | 95 | 121,326 | ||||||||
Goldman Sachs Group, Inc. (The) | 6.75% | 10/1/2037 | 14 | 17,653 | ||||||||
JPMorgan Chase & Co. | 3.782% (3 Mo. LIBOR + 1.34% | )# | 2/1/2028 | 322 | 332,569 | |||||||
Macquarie Bank Ltd. (Australia)†(d) | 6.625% | 4/7/2021 | 16 | 17,064 | ||||||||
Macquarie Group Ltd. (Australia)†(d) | 4.654% | #(e) | 3/27/2029 | 204 | 217,140 | |||||||
Morgan Stanley | 3.625% | 1/20/2027 | 224 | 228,370 | ||||||||
Morgan Stanley | 3.875% | 1/27/2026 | 79 | 82,154 | ||||||||
Morgan Stanley | 4.00% | 7/23/2025 | 108 | 113,033 | ||||||||
Popular, Inc. | 6.125% | 9/14/2023 | 89 | 93,005 | ||||||||
Royal Bank of Scotland Group plc (United Kingdom)(d) | 6.125% | 12/15/2022 | 40 | 42,567 | ||||||||
Santander UK plc (United Kingdom)(d) | 7.95% | 10/26/2029 | 55 | 68,132 | ||||||||
Toronto-Dominion Bank (The) (Canada)(d) | 3.625% (5 Yr. Swap + 2.21% | )# | 9/15/2031 | 87 | 87,403 | |||||||
Turkiye Garanti Bankasi AS (Turkey)†(d) | 6.25% | 4/20/2021 | 200 | 196,864 | ||||||||
UBS AG (Switzerland)(d) | 5.125% | 5/15/2024 | 400 | 418,244 | ||||||||
Wells Fargo Capital X | 5.95% | 12/15/2036 | 190 | 220,488 | ||||||||
Westpac Banking Corp. (Australia)†(d) | 3.15% | 1/16/2024 | 600 | 621,414 | ||||||||
Total | 4,407,659 | |||||||||||
Beverages 1.50% | ||||||||||||
Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc. | 4.70% | 2/1/2036 | 180 | 186,237 | ||||||||
Anheuser-Busch InBev Worldwide, Inc. | 4.75% | 1/23/2029 | 360 | 391,391 | ||||||||
Bacardi Ltd.† | 4.70% | 5/15/2028 | 250 | 260,014 | ||||||||
Total | 837,642 |
See Notes to Financial Statements. | 57 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Building Materials 0.41% | ||||||||||||
Norbord, Inc. (Canada)†(d) | 6.25% | 4/15/2023 | $ | 21 | $ | 22,037 | ||||||
Owens Corning, Inc. | 7.00% | 12/1/2036 | 108 | 127,359 | ||||||||
PGT Escrow Issuer, Inc.† | 6.75% | 8/1/2026 | 31 | 32,318 | ||||||||
Summit Materials LLC/Summit Materials Finance Corp.† | 5.125% | 6/1/2025 | 40 | 39,400 | ||||||||
Vulcan Materials Co. | 4.70% | 3/1/2048 | 10 | 9,785 | ||||||||
Total | 230,899 | |||||||||||
Business Services 0.87% | ||||||||||||
Ahern Rentals, Inc.† | 7.375% | 5/15/2023 | 92 | 80,960 | ||||||||
Brink’s Co. (The)† | 4.625% | 10/15/2027 | 170 | 164,900 | ||||||||
Monitronics International, Inc. | 9.125% | 4/1/2020 | 8 | 620 | ||||||||
Total System Services, Inc. | 4.80% | 4/1/2026 | 30 | 32,306 | ||||||||
United Rentals North America, Inc. | 4.875% | 1/15/2028 | 196 | 190,532 | ||||||||
Weight Watchers International, Inc.† | 8.625% | 12/1/2025 | 19 | 17,907 | ||||||||
Total | 487,225 | |||||||||||
Chemicals 1.09% | ||||||||||||
Ashland LLC | 6.875% | 5/15/2043 | 60 | 63,450 | ||||||||
Chemours Co. (The)(b) | 4.00% | 5/15/2026 | EUR | 100 | 109,810 | |||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(d) | 3.50% | 7/19/2022 | $ | 200 | 200,710 | |||||||
Mexichem SAB de CV (Mexico)†(d) | 4.875% | 9/19/2022 | 200 | 208,102 | ||||||||
Rain CII Carbon LLC/CII Carbon Corp.† | 7.25% | 4/1/2025 | 27 | 24,840 | ||||||||
Rayonier AM Products, Inc.† | 5.50% | 6/1/2024 | 3 | 2,436 | ||||||||
Total | 609,348 | |||||||||||
Coal 0.05% | ||||||||||||
Eterna Capital Pte Ltd. PIK 8.00% (Singapore)(d) | 8.00% | 12/11/2022 | 25 | 21,772 | ||||||||
Peabody Energy Corp.† | 6.375% | 3/31/2025 | 6 | 5,835 | ||||||||
Total | 27,607 | |||||||||||
Computer Hardware 0.70% | ||||||||||||
Banff Merger Sub, Inc.† | 9.75% | 9/1/2026 | 43 | 40,420 | ||||||||
Dell International LLC/EMC Corp.† | 5.45% | 6/15/2023 | 8 | 8,509 | ||||||||
Dell International LLC/EMC Corp.† | 6.02% | 6/15/2026 | 115 | 123,932 | ||||||||
Dell International LLC/EMC Corp.† | 7.125% | 6/15/2024 | 41 | 43,196 | ||||||||
Dell International LLC/EMC Corp.† | 8.35% | 7/15/2046 | 142 | 173,816 | ||||||||
Total | 389,873 |
58 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Computer Software 0.08% | ||||||||||||
MSCI, Inc.† | 5.75% | 8/15/2025 | $ | 25 | $ | 26,182 | ||||||
Solera LLC/Solera Finance, Inc.† | 10.50% | 3/1/2024 | 19 | 20,543 | ||||||||
Total | 46,725 | |||||||||||
Construction/Homebuilding 0.57% | ||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co.† | 6.75% | 8/1/2025 | 21 | 19,740 | ||||||||
Century Communities, Inc.† | 6.75% | 6/1/2027 | 56 | 55,283 | ||||||||
PulteGroup, Inc. | 5.50% | 3/1/2026 | 27 | 28,215 | ||||||||
Toll Brothers Finance Corp. | 4.875% | 3/15/2027 | 43 | 43,209 | ||||||||
TRI Pointe Group, Inc. | 5.25% | 6/1/2027 | 29 | 27,188 | ||||||||
William Lyon Homes, Inc. | 5.875% | 1/31/2025 | 25 | 24,125 | ||||||||
William Lyon Homes, Inc. | 6.00% | 9/1/2023 | 15 | 14,925 | ||||||||
Williams Scotsman International, Inc.† | 6.875% | 8/15/2023 | 104 | 104,260 | ||||||||
Total | 316,945 | |||||||||||
Containers 0.17% | ||||||||||||
Intertape Polymer Group, Inc. (Canada)†(d) | 7.00% | 10/15/2026 | 79 | 80,778 | ||||||||
Sealed Air Corp.† | 5.50% | 9/15/2025 | 14 | 14,560 | ||||||||
Total | 95,338 | |||||||||||
Drugs 0.28% | ||||||||||||
Bausch Health Americas, Inc.† | 9.25% | 4/1/2026 | 137 | 148,474 | ||||||||
Bayer Corp.† | 6.65% | 2/15/2028 | 7 | 8,020 | ||||||||
Total | 156,494 | |||||||||||
Electric: Power 2.52% | ||||||||||||
Appalachian Power Co. | 7.00% | 4/1/2038 | 10 | 13,697 | ||||||||
Ausgrid Finance Pty Ltd. (Australia)†(d) | 4.35% | 8/1/2028 | 25 | 26,416 | ||||||||
Berkshire Hathaway Energy Co. | 3.80% | 7/15/2048 | 75 | 74,096 | ||||||||
Calpine Corp. | 5.75% | 1/15/2025 | 138 | 133,890 | ||||||||
Cleco Power LLC | 6.00% | 12/1/2040 | 21 | 25,553 | ||||||||
Dominion Energy South Carolina, Inc. | 6.05% | 1/15/2038 | 17 | 21,597 | ||||||||
Dominion Energy South Carolina, Inc. | 6.625% | 2/1/2032 | 6 | 7,727 | ||||||||
Dominion Energy, Inc. | 7.00% | 6/15/2038 | 85 | 112,330 | ||||||||
Electricite de France SA (France)†(d) | 5.00% | 9/21/2048 | 200 | 215,523 | ||||||||
Eskom Holdings SOC Ltd. (South Africa)†(d) | 5.75% | 1/26/2021 | 200 | 200,008 | ||||||||
Exelon Generation Co. LLC | 5.60% | 6/15/2042 | 35 | 38,199 | ||||||||
Exelon Generation Co. LLC | 6.25% | 10/1/2039 | 95 | 111,050 | ||||||||
Interstate Power & Light Co. | 3.60% | 4/1/2029 | 35 | 35,779 | ||||||||
NRG Energy, Inc.† | 4.45% | 6/15/2029 | 145 | 149,304 |
See Notes to Financial Statements. | 59 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Power (continued) | ||||||||||||
Oglethorpe Power Corp. | 5.05% | 10/1/2048 | $ | 39 | $ | 44,683 | ||||||
Pennsylvania Electric Co.† | 3.60% | 6/1/2029 | 55 | 55,630 | ||||||||
PPL Electric Utilities Corp. | 5.20% | 7/15/2041 | 6 | 7,143 | ||||||||
PSEG Power LLC | 8.625% | 4/15/2031 | 100 | 135,893 | ||||||||
Total | 1,408,518 | |||||||||||
Electrical Equipment 0.70% | ||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 3.625% | 1/15/2024 | 78 | 77,371 | ||||||||
Broadcom, Inc.† | 3.625% | 10/15/2024 | 321 | 316,007 | ||||||||
Total | 393,378 | |||||||||||
Electronics 0.18% | ||||||||||||
Trimble, Inc. | 4.90% | 6/15/2028 | 99 | 102,399 | ||||||||
Engineering & Contracting Services 0.11% | ||||||||||||
Brand Industrial Services, Inc.† | 8.50% | 7/15/2025 | 72 | 61,020 | ||||||||
Entertainment 0.35% | ||||||||||||
Eldorado Resorts, Inc. | 6.00% | 4/1/2025 | 14 | 14,299 | ||||||||
Penn National Gaming, Inc.† | 5.625% | 1/15/2027 | 111 | 110,167 | ||||||||
Stars Group Holdings BV/Stars Group US | ||||||||||||
Co-Borrower LLC (Netherlands)†(d) | 7.00% | 7/15/2026 | 69 | 71,156 | ||||||||
Total | 195,622 | |||||||||||
Financial Services 2.85% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(d) | 3.65% | 7/21/2027 | 150 | 143,938 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(d) | 4.875% | 1/16/2024 | 300 | 317,284 | ||||||||
Affiliated Managers Group, Inc. | 3.50% | 8/1/2025 | 4 | 4,101 | ||||||||
Affiliated Managers Group, Inc. | 4.25% | 2/15/2024 | 6 | 6,335 | ||||||||
Air Lease Corp. | 3.625% | 12/1/2027 | 75 | 72,472 | ||||||||
Ally Financial, Inc. | 8.00% | 11/1/2031 | 126 | 160,335 | ||||||||
Discover Financial Services | 4.10% | 2/9/2027 | 275 | 278,526 | ||||||||
E*TRADE Financial Corp. | 3.80% | 8/24/2027 | 69 | 68,406 | ||||||||
E*TRADE Financial Corp. | 4.50% | 6/20/2028 | 17 | 17,705 | ||||||||
International Lease Finance Corp. | 5.875% | 8/15/2022 | 54 | 58,426 | ||||||||
Navient Corp. | 6.75% | 6/25/2025 | 106 | 107,723 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.50% | 3/15/2027 | 20 | 20,746 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 158 | 146,349 |
60 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Financial Services (continued) | ||||||||||||
SURA Asset Management SA (Columbia)†(d) | 4.875% | 4/17/2024 | $ | 100 | $ | 104,501 | ||||||
VFH Parent LLC/Orchestra Co-Issuer, Inc.† | 6.75% | 6/15/2022 | 85 | 87,792 | ||||||||
Total | 1,594,639 | |||||||||||
Food 0.34% | ||||||||||||
Albertsons Cos LLC/Safeway, Inc./Albertsons LP/Albertson’s LLC | 5.75% | 3/15/2025 | 15 | 14,553 | ||||||||
Albertsons Cos LLC/Safeway, Inc./Albertsons LP/Albertson’s LLC | 6.625% | 6/15/2024 | 31 | 31,465 | ||||||||
Campbell Soup Co. | 3.80% | 8/2/2042 | 51 | 43,008 | ||||||||
Chobani LLC/Chobani Finance Corp., Inc.† | 7.50% | 4/15/2025 | 42 | 38,430 | ||||||||
Kraft Heinz Foods Co. | 6.875% | 1/26/2039 | 20 | 23,158 | ||||||||
Lamb Weston Holdings, Inc.† | 4.875% | 11/1/2026 | 37 | 37,278 | ||||||||
Total | 187,892 | |||||||||||
Food & Drug 0.18% | ||||||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.† | 6.50% | 4/15/2029 | 98 | 103,145 | ||||||||
Health Care Products 0.06% | ||||||||||||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA† | 6.625% | 5/15/2022 | 35 | 32,725 | ||||||||
Health Care Services 0.93% | ||||||||||||
Acadia Healthcare Co., Inc. | 6.50% | 3/1/2024 | 54 | 55,215 | ||||||||
CHS/Community Health Systems, Inc. | 8.00% | 11/15/2019 | 25 | 24,875 | ||||||||
DaVita, Inc. | 5.00% | 5/1/2025 | 84 | 79,695 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 4.75% | 10/15/2024 | 55 | 58,139 | ||||||||
HCA, Inc. | 5.50% | 6/15/2047 | 19 | 20,028 | ||||||||
HCA, Inc. | 7.50% | 11/6/2033 | 15 | 17,100 | ||||||||
Polaris Intermediate Corp. PIK 8.50%† | 8.50% | 12/1/2022 | 52 | 51,285 | ||||||||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc.† | 9.75% | 12/1/2026 | 55 | 58,020 | ||||||||
Surgery Center Holdings, Inc.† | 6.75% | 7/1/2025 | 44 | 40,150 | ||||||||
Tenet Healthcare Corp.† | 6.25% | 2/1/2027 | 53 | 54,126 | ||||||||
Universal Health Services, Inc.† | 4.75% | 8/1/2022 | 45 | 45,281 | ||||||||
WellCare Health Plans, Inc. | 5.25% | 4/1/2025 | 14 | 14,241 | ||||||||
Total | 518,155 | |||||||||||
Insurance 0.79% | ||||||||||||
CNO Financial Group, Inc. | 5.25% | 5/30/2025 | 82 | 85,126 | ||||||||
Fidelity National Financial, Inc.† | 4.50% | 8/15/2028 | 108 | 111,580 |
See Notes to Financial Statements. | 61 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Insurance (continued) | ||||||||||||
Protective Life Corp. | 8.45% | 10/15/2039 | $ | 100 | $ | 146,104 | ||||||
Teachers Insurance & Annuity Association of America† | 4.90% | 9/15/2044 | 87 | 101,429 | ||||||||
Total | 444,239 | |||||||||||
Investment Management Companies 0.02% | ||||||||||||
BrightSphere Investment Group plc (United Kingdom)(d) | 4.80% | 7/27/2026 | 11 | 11,003 | ||||||||
Leisure 0.52% | ||||||||||||
Carnival plc | 7.875% | 6/1/2027 | 10 | 12,987 | ||||||||
Royal Caribbean Cruises Ltd. | 3.70% | 3/15/2028 | 97 | 95,637 | ||||||||
Royal Caribbean Cruises Ltd. | 7.50% | 10/15/2027 | 145 | 179,312 | ||||||||
Total | 287,936 | |||||||||||
Lodging 0.19% | ||||||||||||
Wyndham Destinations, Inc. | 5.75% | 4/1/2027 | 105 | 105,919 | ||||||||
Machinery: Agricultural 0.60% | ||||||||||||
BAT Capital Corp. | 3.557% | 8/15/2027 | 16 | 15,400 | ||||||||
BAT Capital Corp. | 4.39% | 8/15/2037 | 169 | 154,842 | ||||||||
Pyxus International, Inc. | 9.875% | 7/15/2021 | 54 | 46,035 | ||||||||
Reynolds American, Inc. | 5.70% | 8/15/2035 | 111 | 117,844 | ||||||||
Total | 334,121 | |||||||||||
Machinery: Industrial/Specialty 0.72% | ||||||||||||
Kennametal, Inc. | 4.625% | 6/15/2028 | 23 | 23,927 | ||||||||
Nvent Finance Sarl (Luxembourg)(d) | 4.55% | 4/15/2028 | 169 | 171,168 | ||||||||
Wabtec Corp. | 4.95% | 9/15/2028 | 198 | 207,004 | ||||||||
Total | 402,099 | |||||||||||
Manufacturing 0.94% | ||||||||||||
General Electric Co. | 2.945% (3 Mo. LIBOR + .38% | )# | 5/5/2026 | 16 | 14,375 | |||||||
General Electric Co. | 3.10% | 1/9/2023 | 70 | 70,010 | ||||||||
General Electric Co. | 3.15% | 9/7/2022 | 4 | 4,025 | ||||||||
General Electric Co. | 5.00% (3 Mo. LIBOR + 3.33% | )# | – | (f) | 72 | 67,120 | ||||||
General Electric Co. | 6.15% | 8/7/2037 | 215 | 245,467 | ||||||||
Pentair Finance Sarl (Luxembourg)(d) | 3.15% | 9/15/2022 | 125 | 125,520 | ||||||||
Total | 526,517 |
62 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Media 2.96% | ||||||||||||
AMC Networks, Inc. | 4.75% | 8/1/2025 | $ | 130 | $ | 127,563 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.00% | 2/1/2028 | 118 | 117,115 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.75% | 2/15/2026 | 41 | 42,640 | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 6.484% | 10/23/2045 | 28 | 31,605 | ||||||||
Cox Communications, Inc.† | 8.375% | 3/1/2039 | 142 | 192,107 | ||||||||
DISH DBS Corp. | 7.75% | 7/1/2026 | 176 | 161,568 | ||||||||
Gray Television, Inc.† | 7.00% | 5/15/2027 | 128 | 135,903 | ||||||||
Sinclair Television Group, Inc.† | 5.875% | 3/15/2026 | 70 | 70,438 | ||||||||
Time Warner Cable LLC | 6.55% | 5/1/2037 | 55 | 60,973 | ||||||||
Time Warner Cable LLC | 7.30% | 7/1/2038 | 221 | 259,212 | ||||||||
Time Warner Entertainment Co. LP | 8.375% | 7/15/2033 | 6 | 7,824 | ||||||||
Walt Disney Co. (The)† | 7.75% | 12/1/2045 | 87 | 141,689 | ||||||||
Warner Media LLC | 6.10% | 7/15/2040 | 168 | 197,102 | ||||||||
Warner Media LLC | 6.20% | 3/15/2040 | 25 | 29,543 | ||||||||
Warner Media LLC | 6.25% | 3/29/2041 | 69 | 81,731 | ||||||||
Total | 1,657,013 | |||||||||||
Metal Fabricating 0.06% | ||||||||||||
Hillman Group, Inc. (The)† | 6.375% | 7/15/2022 | 18 | 16,470 | ||||||||
Valmont Industries, Inc. | 5.25% | 10/1/2054 | 18 | 17,406 | ||||||||
Total | 33,876 | |||||||||||
Metals & Minerals: Miscellaneous 1.34% | ||||||||||||
Anglo American Capital plc (United Kingdom)†(d) | 4.75% | 4/10/2027 | 200 | 206,576 | ||||||||
Barrick North America Finance LLC | 7.50% | 9/15/2038 | 60 | 76,784 | ||||||||
Freeport-McMoRan, Inc. | 3.875% | 3/15/2023 | 74 | 71,446 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(d) | 5.55% | 10/25/2042 | 172 | 169,005 | ||||||||
Indonesia Asahan Aluminium Persero PT (Indonesia)†(d) | 5.71% | 11/15/2023 | 200 | 215,578 | ||||||||
Kinross Gold Corp. (Canada)(d) | 5.95% | 3/15/2024 | 7 | 7,473 | ||||||||
Total | 746,862 | |||||||||||
Natural Gas 0.24% | ||||||||||||
Dominion Energy Gas Holdings LLC | 4.60% | 12/15/2044 | 75 | 81,854 | ||||||||
Piedmont Natural Gas Co., Inc. | 3.50% | 6/1/2029 | 54 | 54,839 | ||||||||
Total | 136,693 | |||||||||||
Oil 2.87% | ||||||||||||
Apache Corp. | 4.75% | 4/15/2043 | 95 | 89,963 | ||||||||
Apache Corp. | 5.10% | 9/1/2040 | 175 | 171,109 |
See Notes to Financial Statements. | 63 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil (continued) | ||||||||||||
California Resources Corp.† | 8.00% | 12/15/2022 | $ | 87 | $ | 61,117 | ||||||
Canadian Natural Resources Ltd. (Canada)(d) | 3.85% | 6/1/2027 | 23 | 23,293 | ||||||||
Citgo Holding, Inc.† | 10.75% | 2/15/2020 | 35 | 36,006 | ||||||||
Continental Resources, Inc. | 4.50% | 4/15/2023 | 16 | 16,545 | ||||||||
Continental Resources, Inc. | 4.90% | 6/1/2044 | 53 | 54,253 | ||||||||
Ecopetrol SA (Colombia)(d) | 5.875% | 5/28/2045 | 40 | 41,246 | ||||||||
Eni USA, Inc. | 7.30% | 11/15/2027 | 70 | 87,130 | ||||||||
Helmerich & Payne, Inc. | 4.65% | 3/15/2025 | 20 | 21,121 | ||||||||
HighPoint Operating Corp. | 7.00% | 10/15/2022 | 70 | 67,550 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 5.00% | 12/1/2024 | 15 | 14,588 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 6.25% | 11/1/2028 | 90 | 90,564 | ||||||||
Kerr-McGee Corp. | 7.875% | 9/15/2031 | 130 | 174,902 | ||||||||
MEG Energy Corp. (Canada)(d) | 6.375% | 1/30/2023 | 37 | 32,791 | ||||||||
Petroleos Mexicanos (Mexico)(d) | 4.50% | 1/23/2026 | 94 | 88,219 | ||||||||
Saudi Arabian Oil Co. (Saudi Arabia)†(d) | 2.875% | 4/16/2024 | 200 | 198,919 | ||||||||
SM Energy Co. | 6.625% | 1/15/2027 | 90 | 79,650 | ||||||||
Tapstone Energy LLC/Tapstone Energy Finance Corp.† | 9.75% | 6/1/2022 | 15 | 11,213 | ||||||||
Valero Energy Corp. | 10.50% | 3/15/2039 | 132 | 213,543 | ||||||||
YPF SA (Argentina)†(d) | 8.50% | 3/23/2021 | 33 | 32,464 | ||||||||
Total | 1,606,186 | |||||||||||
Oil: Crude Producers 0.81% | ||||||||||||
Colonial Pipeline Co.† | 4.25% | 4/15/2048 | 18 | 18,987 | ||||||||
Energy Transfer Partners LP | 6.125% | 12/15/2045 | 50 | 54,382 | ||||||||
Rockies Express Pipeline LLC† | 6.875% | 4/15/2040 | 40 | 43,322 | ||||||||
Sabine Pass Liquefaction LLC | 5.625% | 3/1/2025 | 47 | 51,498 | ||||||||
Sabine Pass Liquefaction LLC | 5.875% | 6/30/2026 | 242 | 269,139 | ||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | 5.375% | 2/1/2027 | 13 | 13,130 | ||||||||
Total | 450,458 | |||||||||||
Oil: Integrated Domestic 1.18% | ||||||||||||
Baker Hughes a GE Co. LLC/Baker Hughes | ||||||||||||
Co-Obligor, Inc. | 4.08% | 12/15/2047 | 124 | 113,597 | ||||||||
Halliburton Co. | 6.70% | 9/15/2038 | 73 | 89,604 | ||||||||
Halliburton Co. | 7.45% | 9/15/2039 | 13 | 17,088 | ||||||||
National Oilwell Varco, Inc. | 3.95% | 12/1/2042 | 87 | 73,034 | ||||||||
Nine Energy Service, Inc.† | 8.75% | 11/1/2023 | 50 | 49,750 | ||||||||
Patterson-UTI Energy, Inc. | 3.95% | 2/1/2028 | 200 | 193,698 |
64 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil: Integrated Domestic (continued) | ||||||||||||
Schlumberger Holdings Corp.† | 4.30% | 5/1/2029 | $ | 55 | $ | 57,233 | ||||||
Transocean Proteus Ltd.† | 6.25% | 12/1/2024 | 66 | 67,396 | ||||||||
Total | 661,400 | |||||||||||
Paper & Forest Products 0.06% | ||||||||||||
Fibria Overseas Finance Ltd. (Brazil)(d) | 4.00% | 1/14/2025 | 33 | 32,711 | ||||||||
Real Estate Investment Trusts 1.23% | ||||||||||||
EPR Properties | 4.50% | 6/1/2027 | 78 | 80,485 | ||||||||
EPR Properties | 4.75% | 12/15/2026 | 10 | 10,488 | ||||||||
EPR Properties | 4.95% | 4/15/2028 | 95 | 101,636 | ||||||||
Goodman US Finance Three LLC† | 3.70% | 3/15/2028 | 21 | 20,988 | ||||||||
MPT Operating Partnership LP/MPT Finance Corp. | 5.00% | 10/15/2027 | 167 | 165,121 | ||||||||
VEREIT Operating Partnership LP | 4.875% | 6/1/2026 | 289 | 307,165 | ||||||||
Total | 685,883 | |||||||||||
Retail 0.55% | ||||||||||||
Asbury Automotive Group, Inc. | 6.00% | 12/15/2024 | 43 | 44,182 | ||||||||
Conn’s, Inc. | 7.25% | 7/15/2022 | 20 | 20,275 | ||||||||
Dollar Tree, Inc. | 4.20% | 5/15/2028 | 125 | 126,428 | ||||||||
IRB Holding Corp.† | 6.75% | 2/15/2026 | 52 | 50,830 | ||||||||
Sally Holdings LLC/Sally Capital, Inc. | 5.625% | 12/1/2025 | 67 | 66,330 | ||||||||
Total | 308,045 | |||||||||||
Steel 0.15% | ||||||||||||
Cleveland-Cliffs, Inc. | 5.75% | 3/1/2025 | 53 | 51,807 | ||||||||
Vale Overseas Ltd. (Brazil)(d) | 6.25% | 8/10/2026 | 30 | 32,795 | ||||||||
Total | 84,602 | |||||||||||
Technology 1.10% | ||||||||||||
Alibaba Group Holding Ltd. (China)(d) | 3.60% | 11/28/2024 | 200 | 203,942 | ||||||||
Expedia Group, Inc. | 5.00% | 2/15/2026 | 10 | 10,792 | ||||||||
Match Group, Inc.† | 5.625% | 2/15/2029 | 149 | 154,293 | ||||||||
Netflix, Inc.† | 6.375% | 5/15/2029 | 223 | 243,226 | ||||||||
Total | 612,253 | |||||||||||
Telecommunications 1.20% | ||||||||||||
AT&T, Inc. | 6.00% | 8/15/2040 | 275 | 315,181 | ||||||||
Intelsat Jackson Holdings SA (Luxembourg)†(d) | 8.50% | 10/15/2024 | 73 | 71,358 | ||||||||
Sprint Capital Corp. | 6.875% | 11/15/2028 | 177 | 184,699 | ||||||||
Sprint Corp. | 7.875% | 9/15/2023 | 12 | 12,920 |
See Notes to Financial Statements. | 65 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Telecommunications (continued) | ||||||||||||
Verizon Communications, Inc. | 3.618% (3 Mo. LIBOR + 1.10% | )# | 5/15/2025 | $ | 86 | $ | 86,620 | |||||
Total | 670,778 | |||||||||||
Transportation: Miscellaneous 0.21% | ||||||||||||
Burlington Northern Santa Fe LLC | 5.75% | 5/1/2040 | 92 | 115,458 | ||||||||
Utilities 0.16% | ||||||||||||
Aqua America, Inc. | 3.566% | 5/1/2029 | 63 | 64,374 | ||||||||
Aquarion Co.† | 4.00% | 8/15/2024 | 25 | 25,904 | ||||||||
Total | 90,278 | |||||||||||
Total Corporate Bonds(cost $22,804,429) | 23,127,593 | |||||||||||
FLOATING RATE LOANS(g)0.63% | ||||||||||||
Building Materials 0.13% | ||||||||||||
Airxcel, Inc. 1st Lien Initial Term Loan | 6.939% (1 Mo. LIBOR + 4.50% | ) | 4/28/2025 | 78 | 72,930 | |||||||
Containers 0.12% | ||||||||||||
ProAmpac PG Borrower LLC 1st Lien Initial Term Loan | 5.936% (1 Mo. LIBOR + 3.50% | ) | 11/18/2023 | 70 | 67,594 | |||||||
Electric: Power 0.08% | ||||||||||||
Frontera Generation Holdings LLC Initial Term Loan | 6.717% (1 Mo. LIBOR + 4.25% | ) | 5/2/2025 | 45 | 44,667 | |||||||
Retail 0.12% | ||||||||||||
Mavis Tire Express Services Corp. 1st Lien Closing Date Term Loan | 5.68% (1 Mo. LIBOR + 3.25% | ) | 3/20/2025 | 62 | 61,149 | (h) | ||||||
Mavis Tire Express Services Corp. 1st Lien Delayed Draw Term Loan | 2.00% (1 Mo. LIBOR + 2.00% | ) | 3/20/2025 | 8 | 7,743 | (h) | ||||||
Total | 68,892 | |||||||||||
Service 0.03% | ||||||||||||
North American Lifting Holdings, Inc. 1st Lien Initial Term Loan | 7.101% (3 Mo. LIBOR + 4.50% | ) | 11/27/2020 | 14 | 13,058 | |||||||
Transportation: Miscellaneous 0.02% | ||||||||||||
Gruden Acquisition, Inc. 2nd Lien Term Loan | 10.999% (3 Mo. LIBOR + 8.50% | ) | 8/18/2023 | 12 | 11,940 | |||||||
Wholesale 0.13% | ||||||||||||
Yak Access, LLC 2nd Lien Initial Term Loan | – | (i) | 7/10/2026 | 83 | 72,833 | (h) | ||||||
Total Floating Rate Loans(cost $356,287) | 351,914 |
66 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
FOREIGN GOVERNMENT OBLIGATIONS 2.37% | ||||||||||||
Egypt 0.36% | ||||||||||||
Arab Republic of Egypt†(d) | 6.125% | 1/31/2022 | $ | 200 | $ | 202,618 | ||||||
Ghana 0.38% | ||||||||||||
Republic of Ghana†(d) | 7.875% | 8/7/2023 | 200 | 210,496 | ||||||||
Japan 0.87% | ||||||||||||
Japan Bank for International Corp. (Japan)(d) | 2.125% | 2/10/2025 | 264 | 260,651 | ||||||||
Japan Bank for International Corp. (Japan)(d) | 2.50% | 5/23/2024 | 224 | 226,344 | ||||||||
Total | 486,995 | |||||||||||
Slovenia 0.04% | ||||||||||||
Republic of EI Salvador (EI Salvador)†(d) | 6.375% | 1/18/2027 | 25 | 24,219 | ||||||||
Saudi Arabia 0.36% | ||||||||||||
Saudi International Bond†(d) | 3.625% | 3/4/2028 | 200 | 200,620 | ||||||||
Sri Lanka 0.36% | ||||||||||||
Republic of Sri Lanka†(d) | 6.25% | 7/27/2021 | 200 | 200,967 | ||||||||
Total Foreign Government Obligations (cost $1,317,948) | 1,325,915 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 0.38% | ||||||||||||
Federal Home Loan Mortgage Corp. K072 A2 | 3.444% | 12/25/2027 | 25 | 26,638 | ||||||||
Government National Mortgage Assoc. 2017-168 AS | 2.70% | 8/16/2058 | 37 | 36,675 | ||||||||
Government National Mortgage Assoc. 2017-41 AS | 2.60% | 6/16/2057 | 31 | 30,904 | ||||||||
Government National Mortgage Assoc. 2017-69 AS | 2.75% | 2/16/2058 | 34 | 33,405 | ||||||||
Government National Mortgage Assoc. 2017-71 AS | 2.70% | 4/16/2057 | 33 | 33,016 | ||||||||
Government National Mortgage Assoc. 2017-76 AS | 2.65% | 11/16/2050 | 14 | 13,367 | ||||||||
Government National Mortgage Assoc. 2017-86 AS | 2.75% | 2/16/2058 | 13 | 12,583 | ||||||||
Government National Mortgage Assoc. 2017-89 AB | 2.60% | 7/16/2058 | 11 | 10,600 | ||||||||
Government National Mortgage Assoc. 2017-90 AS | 2.70% | 7/16/2057 | 14 | 14,096 | ||||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $210,737) | 211,284 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 31.00% | ||||||||||||
Federal National Mortgage Assoc.(j) | 3.50% | TBA | 4,900 | 4,998,861 | ||||||||
Federal National Mortgage Assoc.(j) | 4.00% | TBA | 4,100 | 4,231,649 | ||||||||
Federal National Mortgage Assoc.(j) | 4.50% | TBA | 7,750 | 8,097,539 | ||||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $17,225,821) | 17,328,049 |
See Notes to Financial Statements. | 67 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
MUNICIPAL BOND 0.01% | ||||||||||||
Miscellaneous | ||||||||||||
Pennsylvania (cost $5,140) | 5.35% | 5/1/2030 | $ | 5 | $ | 5,132 | ||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 8.84% | ||||||||||||
1345 Avenue of the Americas & Park Avenue Plaza Trust 2005-1 A3† | 5.278% | 8/10/2035 | 50 | 55,430 | ||||||||
A10 Bridge Asset Financing LLC 2015-AA A1† | 3.30% | 5/15/2036 | 141 | 139,857 | ||||||||
AREIT Trust 2018-CRE2 A† | 3.418% (1 Mo. LIBOR + .98% | )# | 11/14/2035 | 86 | 86,396 | |||||||
Atrium Hotel Portfolio Trust 2018-ATRM A† | 3.39% (1 Mo. LIBOR + .95% | )# | 6/15/2035 | 100 | 99,620 | |||||||
BAMLL Commercial Mortgage Securities Trust 2019-AHT B† | 4.04% (1 Mo. LIBOR + 1.60% | )# | 3/15/2034 | 100 | 100,010 | |||||||
BAMLL Trust 2011-FSHN A† | 4.42% | 7/11/2033 | 168 | 173,346 | ||||||||
Bancorp Commercial Mortgage Trust (The) 2018-CR3 A† | 3.29% (1 Mo. LIBOR + .85% | )# | 1/15/2033 | 10 | 10,005 | |||||||
BB-UBS Trust 2012-SHOW A† | 3.43% | 11/5/2036 | 175 | 181,285 | ||||||||
BBCMS Mortgage Trust 2018-TALL E† | 4.877% (1 Mo. LIBOR + 2.44% | )# | 3/15/2037 | 64 | 64,033 | |||||||
BWAY Mortgage Trust 2015-1740 A† | 2.917% | 1/10/2035 | 100 | 101,597 | ||||||||
BX Commercial Mortgage Trust 2018-BIOA A† | 3.111% (1 Mo. LIBOR + .67% | )# | 3/15/2037 | 70 | 69,818 | |||||||
BX Trust 2017-SLCT B† | 3.64% (1 Mo. LIBOR + 1.20% | )# | 7/15/2034 | 94 | 93,543 | |||||||
BX Trust 2018-GW A† | 3.24% (1 Mo. LIBOR + .80% | )# | 5/15/2035 | 55 | 54,772 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI A† | 3.531% | 10/15/2034 | 35 | 36,120 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI B† | 3.835% | 10/15/2034 | 93 | 96,210 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI C† | 4.138% | 10/15/2034 | 100 | 103,994 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI D† | 4.354% | #(k) | 10/15/2034 | 10 | 10,405 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI E† | 4.354% | #(k) | 10/15/2034 | 27 | 27,748 | |||||||
Citigroup Commercial Mortgage Trust 2013-375P A† | 3.251% | 5/10/2035 | 100 | 102,565 | ||||||||
Citigroup Commercial Mortgage Trust 2016-GC36 D† | 2.85% | 2/10/2049 | 57 | 47,718 | ||||||||
Citigroup Commercial Mortgage Trust 2016-P3 D† | 2.804% | #(k) | 4/15/2049 | 25 | 21,539 | |||||||
Commercial Mortgage Pass-Through Certificates 2012-LTRT A2† | 3.40% | 10/5/2030 | 100 | 100,879 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-UBS6 B | 4.349% | #(k) | 12/10/2047 | 50 | 52,148 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 B | 4.44% | #(k) | 7/10/2050 | 50 | 53,340 |
68 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 C | 4.44% | #(k) | 7/10/2050 | $ | 10 | $ | 10,282 | |||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 D | 4.44% | #(k) | 7/10/2050 | 100 | 92,023 | |||||||
Credit Suisse Mortgage Capital Certificates 2015-GLPB D† | 3.811% | #(k) | 11/15/2034 | 100 | 102,010 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-HD A† | 3.39% (1 Mo. LIBOR + .95% | )# | 2/15/2031 | 188 | 187,370 | |||||||
DBWF Mortgage Trust 2018-GLKS A† | 3.471% (1 Mo. LIBOR + 1.03% | )# | 11/19/2035 | 100 | 100,107 | |||||||
Exantas Capital Corp.,Ltd. 2019-RSO7 A† | 3.432% (1 Mo. LIBOR + 1.00% | )# | 4/15/2036 | 100 | 100,214 | |||||||
Exantas Capital Corp.,Ltd. 2019-RSO7 AS† | 3.932% (1 Mo. LIBOR + 1.50% | )# | 4/15/2036 | 100 | 100,198 | |||||||
GS Mortgage Securities Corp. Trust 2018-FBLU A† | 3.382% (1 Mo. LIBOR + .95% | )# | 11/15/2035 | 23 | 22,987 | |||||||
GS Mortgage Securities Corp. Trust 2018-FBLU E† | 5.19% (1 Mo. LIBOR + 2.75% | )# | 11/15/2035 | 25 | 25,029 | |||||||
GS Mortgage Securities Corp. Trust 2018-RIVR A† | 3.39% (1 Mo. LIBOR + .95% | )# | 7/15/2035 | 100 | 100,185 | |||||||
GS Mortgage Securities Trust 2013-G1 A2† | 3.557% | #(k) | 4/10/2031 | 154 | 157,223 | |||||||
GS Mortgage Securities Trust 2014-GC26 C | 4.52% | #(k) | 11/10/2047 | 50 | 50,715 | |||||||
Hilton Orlando Trust 2018-ORL A† | 3.21% (1 Mo. LIBOR + .77% | )# | 12/15/2034 | 45 | 44,879 | |||||||
Hilton Orlando Trust 2018-ORL D† | 4.14% (1 Mo. LIBOR + 1.70% | )# | 12/15/2034 | 55 | 55,045 | |||||||
JPMorgan Chase Commercial Mortgage Securities Corp. 2018-AON D† | 4.613% | #(k) | 7/5/2031 | 30 | 31,700 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2012-C8 A3 | 2.829% | 10/15/2045 | 8 | 8,161 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY D† | 3.805% | #(k) | 6/10/2027 | 100 | 64,521 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C30 C | 4.269% | #(k) | 7/15/2048 | 10 | 10,325 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-UES C† | 3.621% | #(k) | 9/5/2032 | 100 | 100,623 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK A† | 3.392% | 6/5/2032 | 103 | 104,632 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ A† | 3.44% (1 Mo. LIBOR + 1.00% | )# | 6/15/2032 | 37 | 37,297 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ C† | 4.04% (1 Mo. LIBOR + 1.60% | )# | 6/15/2032 | 36 | 36,455 |
See Notes to Financial Statements. | 69 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ D† | 4.54% (1 Mo. LIBOR + 2.10% | )# | 6/15/2032 | $ | 53 | $ | 53,292 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ E† | 5.44% (1 Mo. LIBOR + 3.00% | )# | 6/15/2035 | 50 | 50,503 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN A† | 3.46% (1 Mo. LIBOR + 1.02% | )# | 11/15/2020 | 10 | 10,019 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN B† | 3.79% (1 Mo. LIBOR + 1.35% | )# | 11/15/2020 | 10 | 10,019 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT AFL† | 3.417% (1 Mo. LIBOR + .95% | )# | 7/5/2033 | 10 | 9,986 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT AFX† | 4.248% | 7/5/2033 | 24 | 25,613 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT BFL† | 3.717% (1 Mo. LIBOR + 1.25% | )# | 7/5/2033 | 26 | 25,966 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT BFX† | 4.549% | 7/5/2033 | 10 | 10,634 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT CFX† | 4.95% | 7/5/2033 | 10 | 10,592 | ||||||||
Motel 6 Trust 2017-MTL6 E† | 5.69% (1 Mo. LIBOR + 3.25% | )# | 8/15/2034 | 31 | 31,138 | |||||||
Natixis Commercial Mortgage Securities Trust 2018-285M A† | 3.79% | #(k) | 11/15/2032 | 50 | 52,026 | |||||||
Natixis Commercial Mortgage Securities Trust 2018-285M B† | 3.79% | #(k) | 11/15/2032 | 50 | 51,809 | |||||||
ReadyCap Commercial Mortgage Trust 2018-4 A† | 3.39% | 2/27/2051 | 32 | 31,808 | ||||||||
RETL 2019-RVP C† | 4.54% (1 Mo. LIBOR + 2.10% | )# | 3/15/2036 | 70 | 70,261 | |||||||
SG Commercial Mortgage Securities Trust 2019-787E X IO† | 0.305% | #(k) | 2/15/2041 | 1,217 | 35,578 | |||||||
Shelter Growth CRE Issuer Ltd. 2018-FL1 A† | 3.44% (1 Mo. LIBOR + 1.00% | )# | 1/15/2035 | 42 | 41,664 | |||||||
SLIDE 2018-FUN D† | 4.29% (1 Mo. LIBOR + 1.85% | )# | 6/15/2031 | 15 | 14,790 | |||||||
Stonemont Portfolio Trust 2017-MONT E† | 5.191% (1 Mo. LIBOR + 2.75% | )# | 8/20/2030 | 73 | 73,346 | |||||||
Stonemont Portfolio Trust 2017-MONT F† | 6.041% (1 Mo. LIBOR + 3.60% | )# | 8/20/2030 | 74 | 74,427 | |||||||
Wells Fargo Commercial Mortgage Trust 2013-LC12 B | 4.286% | #(k) | 7/15/2046 | 68 | 70,199 | |||||||
Wells Fargo Commercial Mortgage Trust 2014-LC16 A5 | 3.817% | 8/15/2050 | 165 | 173,971 | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-C28 D | 4.127% | #(k) | 5/15/2048 | 60 | 55,176 | |||||||
Wells Fargo Commercial Mortgage Trust 2016-C35 C | 4.176% | #(k) | 7/15/2048 | 100 | 102,162 |
70 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Wells Fargo Commercial Mortgage Trust 2017-HSDB A† | 3.303% (1 Mo. LIBOR + .85% | )# | 12/13/2031 | $ | 200 | $ | 199,466 | |||||
West Town Mall Trust 2017-KNOX A† | 3.823% | 7/5/2030 | 100 | 102,081 | ||||||||
WF-RBS Commercial Mortgage Trust 2012-C8 C | 4.891% | #(k) | 8/15/2045 | 50 | 52,157 | |||||||
WF-RBS Commercial Mortgage Trust 2013-C12 C | 4.342% | #(k) | 3/15/2048 | 50 | 51,861 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C22 A4 | 3.488% | 9/15/2057 | 25 | 26,031 | ||||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $4,849,850) | 4,940,934 | |||||||||||
U.S. TREASURY OBLIGATIONS 7.63% | ||||||||||||
U.S. Treasury Bond | 2.75% | 11/15/2047 | 87 | 90,048 | ||||||||
U.S. Treasury Bond | 3.00% | 2/15/2049 | 555 | 604,365 | ||||||||
U.S. Treasury Inflation Indexed Note(l) | 0.625% | 4/15/2023 | 2,325 | 2,347,839 | ||||||||
U.S. Treasury Note | 2.00% | 5/31/2024 | 1,180 | 1,184,609 | ||||||||
U.S. Treasury Note | 2.50% | 5/15/2029 | 35 | 35,751 | ||||||||
Total U.S. Treasury Obligations (cost $4,197,046) | 4,262,612 | |||||||||||
Total Long-Term Investments (cost $61,117,414) | 61,771,934 | |||||||||||
SHORT-TERM INVESTMENTS 19.78% | ||||||||||||
U.S. TREASURY OBLIGATION 16.94% | ||||||||||||
U.S. Treasury Bill (cost $9,465,207) | Zero Coupon | 7/2/2019 | 9,484 | 9,466,421 | ||||||||
REPURCHASE AGREEMENT 2.84% | ||||||||||||
Repurchase Agreement dated 5/31/2019, 1.45% due 6/3/2019 with Fixed Income Clearing Corp. collateralized by $1,590,000 of U.S. Treasury Note at 2.625% due 6/15/2021; value: $1,626,843; proceeds: $1,590,631 (cost $1,590,439) | 1,590 | 1,590,439 | ||||||||||
Total Short-Term Investments (cost $11,055,646) | 11,056,860 | |||||||||||
Total Investments in Securities 130.30% (cost $72,173,060) | 72,828,794 | |||||||||||
Less Unfunded Loan Commitments (0.01)% (cost $7,856) | (7,743 | ) | ||||||||||
Net Investment 130.29% (cost $72,165,204) | 72,821,051 | |||||||||||
Liabilities in Excess of Cash, Foreign Cash and Other Assets(m)(30.30%) | (16,927,933 | ) | ||||||||||
Net Assets 100.00% | $ | 55,893,118 |
CAD | Canadian dollar. | |
EUR | euro. | |
IO | Interest Only. | |
LIBOR | London Interbank Offered Rate. | |
PIK | Payment-in-kind. |
See Notes to Financial Statements. | 71 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUNDMay 31, 2019
† | 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, 2019. | |
(a) | Amount is less than $1,000. | |
(b) | Investment in non-U.S. dollar denominated securities. | |
(c) | Level 3 Investment as described in Note 2(t) 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. | |
(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) | 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, 2019. | |
(h) | Level 3 Investment as described in Note 2(t) 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. | |
(i) | Interest rate to be determined. | |
(j) | 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. | |
(k) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(l) | Treasury Inflation Protected Security. A U.S. Treasury Note or Bond that offers protection from inflation by paying a fixed rate of interest on principal amount that is adjusted for inflation based on the Consumer Price Index. | |
(m) | Liabilities in Excess of Cash, Foreign Cash and Other Assets include net unrealized appreciation/depreciation on credit default swaps, forward foreign currency exchange contracts and futures contracts as follows: |
Centrally Cleared Credit Default Swaps on Indexes - Sell Protection at May 31, 2019(1):
Referenced Index* | Central Clearing party | Fund Receives (Quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Depreciation(3) | |||||||
Markit CDX. NA.EM.30(4) | Credit Suisse | 1.00% | 6/20/2024 | 1,570,000 | $1,490,815 | $(50,765) | $(28,420) |
* | The Referenced Index is for Credit Default Swaps on Indexes, which is comprised of a basket of emerging market sovereign issuers. (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 by Central clearing House 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 $28,420. | |
(4) | Central clearinghouse: Intercontinental Exchange (ICE). |
72 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUNDMay 31, 2019
Credit Default Swaps on Indexes - Sell Protection at May 31, 2019(1):
Referenced Index* | Swap Counterparty | Fund Receives (Quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Appreciation(3) | Credit Default Swap Agreements Receivable (Payable) at Fair Value(4) | ||||||||||||||||||||
Markit CDX. CMBX.NA.BBB-11 | Morgan Stanley | 3.00% | 11/18/2054 | 75,000 | $ | 69,511 | $ | (6,435 | ) | $ | 946 | $ | (5,489 | ) | ||||||||||||||
Markit CMBX. NA.A.8 | Morgan Stanley | 2.00% | 10/17/2057 | 175,000 | 175,560 | (9,867 | ) | 10,427 | 560 | |||||||||||||||||||
Markit CMBX. NA.AA.8 | Morgan Stanley | 1.50% | 10/17/2057 | 200,000 | 204,150 | (7,439 | ) | 11,589 | 4,150 | |||||||||||||||||||
$ | (23,741 | ) | $ | 22,962 | $ | (779 | ) |
* | 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 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 in Indexes amounted to $22,962. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $0. | |
(4) | Includes upfront payments received/paid. |
Centrally Cleared Interest Rate Swap Contracts at May 31, 2019:
Central Clearingparty* | Periodic Payments to be Made By The Fund (Quarterly) | Periodic Payments to be Received By The Fund (Quarterly) | Termination Date | Notional Amount | Notional Value | Unrealized Appreciation | ||||||
Credit Suisse | 3-Month USD LIBOR Index | 2.3497% | 4/1/2021 | $2,751,122 | $2,767,525 | $16,403 |
* | Central clearinghouse: Chicago Mercantile Exchange (CME). |
Central Clearingparty* | Periodic Payments to be Made By The Fund (Quarterly) | Periodic Payments to be Received By The Fund (Quarterly) | Termination Date | Notional Amount | Notional Value | Unrealized Depreciation | ||||||
Credit Suisse | 2.4045% | 3-Month USD LIBOR Index | 4/1/2029 | $600,000 | $582,777 | $(17,223) |
* | Central clearinghouse: Chicago Mercantile Exchange (CME). |
See Notes to Financial Statements. | 73 |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUNDMay 31, 2019
Open Forward Foreign Currency Exchange Contracts at May 31, 2019:
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Appreciation | |||||||||||||
Canadian dollar | Sell | Toronto Dominion Bank | 6/19/2019 | 150,000 | $ | 112,844 | $ | 111,025 | $ | 1,819 | ||||||||||
euro | Sell | Morgan Stanley | 6/7/2019 | 105,000 | 119,636 | 117,329 | 2,307 | |||||||||||||
euro | Sell | Toronto Dominion Bank | 6/7/2019 | 102,000 | 114,644 | 113,977 | 667 | |||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 4,793 |
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 | Barclays Bank plc | 6/7/2019 | 104,000 | $117,298 | $116,212 | $(1,086 | ) |
Open Futures Contracts at May 31, 2019:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||
U.S. 10-Year Ultra Treasury Note | September 2019 | 16 | Long | $ | 2,163,652 | $ | 2,184,750 | $ | 21,098 | |||||||||
U.S. 2-Year Treasury Note | September 2019 | 14 | Long | 3,000,425 | 3,005,406 | 4,981 | ||||||||||||
U.S. 5-Year Treasury Note | September 2019 | 44 | Long | 5,141,425 | 5,164,156 | 22,731 | ||||||||||||
U.S. Ultra Treasury Bond | September 2019 | 1 | Long | 173,400 | 175,781 | 2,381 | ||||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 51,191 |
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||
Euro-Schatz | June 2019 | 1 | Short | EUR | (111,823) | EUR | (112,095) | $ | (304 | ) | ||||||||
U.S. 5-Year Treasury Note | September 2019 | 2 | Short | $ | (242,416 | ) | $ | (243,340 | ) | (683 | ) | |||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (987 | ) |
74 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORE PLUS BOND FUNDMay 31, 2019
The following is a summary of the inputs used as of May 31, 2019 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 | $ | – | $ | 4,331,734 | $ | 287,078 | $ | 4,618,812 | ||||||||
Remaining Industries | – | 5,599,689 | – | 5,599,689 | ||||||||||||
Corporate Bonds | – | 23,127,593 | – | 23,127,593 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Retail | – | – | 68,892 | 68,892 | ||||||||||||
Wholesale | – | – | 72,833 | 72,833 | ||||||||||||
Remaining Industries | – | 210,189 | – | 210,189 | ||||||||||||
Less Unfunded Commitments | – | – | (7,743 | ) | (7,743 | ) | ||||||||||
Foreign Government Obligations | – | 1,325,915 | – | 1,325,915 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 211,284 | – | 211,284 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 17,328,049 | – | 17,328,049 | ||||||||||||
Municipal Bond | – | 5,132 | – | 5,132 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 4,940,934 | – | 4,940,934 | ||||||||||||
U.S. Treasury Obligations | – | 4,262,612 | – | 4,262,612 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreement | – | 1,590,439 | – | 1,590,439 | ||||||||||||
U.S. Treasury Obligation | – | 9,466,421 | – | 9,466,421 | ||||||||||||
Total | $ | – | $ | 72,399,991 | $ | 421,060 | $ | 72,821,051 | ||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | – | $ | – | $ | – | ||||||||
Liabilities | – | (28,420 | ) | – | (28,420 | ) | ||||||||||
Credit Default Swap Contracts | ||||||||||||||||
Assets | – | 4,710 | – | 4,710 | ||||||||||||
Liabilities | – | (5,489 | ) | – | (5,489 | ) | ||||||||||
Centrally Cleared Interest Rate Swap Contracts | ||||||||||||||||
Assets | – | 16,403 | – | 16,403 | ||||||||||||
Liabilities | – | (17,223 | ) | – | (17,223 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 4,793 | – | 4,793 | ||||||||||||
Liabilities | – | (1,086 | ) | – | (1,086 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 51,191 | – | – | 51,191 | ||||||||||||
Liabilities | (987 | ) | – | – | (987 | ) | ||||||||||
Total | $ | 50,204 | $ | (26,312 | ) | $ | – | $ | 23,892 |
(1) | Refer to Note 2(t) 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, 2019. |
See Notes to Financial Statements. | 75 |
Schedule of Investments (unaudited)(concluded)
CORE PLUS BOND FUNDMay 31, 2019
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
Investment Type | Asset-Backed Securities | Floating Rate Loans | ||||||
Balance as of December 1, 2018 | $ | – | $ | – | ||||
Accrued Discounts (Premiums) | – | – | ||||||
Realized Gain (Loss) | – | – | ||||||
Change in Unrealized Appreciation (Depreciation) | 722 | (1,873 | ) | |||||
Purchases | 286,356 | 135,855 | ||||||
Sales | – | – | ||||||
Transfers into Level 3 | – | – | ||||||
Transfers out of Level 3 | – | – | ||||||
Balance as of May 31, 2019 | $ | 287,078 | $ | 133,982 | ||||
Change in unrealized appreciation/depreciation for the period ended May 31, 2019, related to Level 3 investments held at May 31, 2019 | $ | 722 | $ | (1,873 | ) |
76 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)
CORPORATE BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 94.71% | ||||||||||||
ASSET-BACKED SECURITIES 1.90% | ||||||||||||
Automobiles 1.14% | ||||||||||||
Drive Auto Receivables Trust 2017-1 C | 2.84% | 4/15/2022 | $ | 11 | $ | 10,741 | ||||||
Santander Drive Auto Receivables Trust 2016-1 D | 4.02% | 4/15/2022 | 65 | 65,711 | ||||||||
Total | 76,452 | |||||||||||
Other 0.76% | ||||||||||||
Ford Credit Floorplan Master Owner Trust A 2015-5 A1 | 2.42% | 8/15/2022 | 25 | 24,999 | ||||||||
Hardee’s Funding LLC 2018-1A A2II† | 4.959% | 6/20/2048 | 25 | 26,349 | ||||||||
Total | 51,348 | |||||||||||
Total Asset-Backed Securities (cost $126,724) | 127,800 | |||||||||||
CORPORATE BONDS 91.41% | ||||||||||||
Aerospace/Defense 1.37% | ||||||||||||
Embraer Netherlands Finance BV (Netherlands)(a) | 5.05% | 6/15/2025 | 34 | 35,913 | ||||||||
Litton Industries, Inc. | 7.75% | 3/15/2026 | 15 | 18,806 | ||||||||
Lockheed Martin Corp. | 7.75% | 5/1/2026 | 15 | 18,700 | ||||||||
Northrop Grumman Systems Corp. | 7.875% | 3/1/2026 | 15 | 18,944 | ||||||||
Total | 92,363 | |||||||||||
Air Transportation 0.34% | ||||||||||||
American Airlines 2014-1 Class B Pass-Through Trust | 4.375% | 10/1/2022 | 12 | 12,297 | ||||||||
Delta Air Lines 2019-1 Class AA Pass Through Trust | 3.204% | 4/25/2024 | 10 | 10,287 | ||||||||
Total | 22,584 | |||||||||||
Auto Parts: Original Equipment 0.06% | ||||||||||||
Aptiv plc (Ireland)(a) | 4.35% | 3/15/2029 | 4 | 4,134 | ||||||||
Automotive 1.20% | ||||||||||||
Ford Motor Co. | 7.45% | 7/16/2031 | 32 | 36,309 | ||||||||
General Motors Co. | 6.75% | 4/1/2046 | 42 | 44,532 | ||||||||
Total | 80,841 | |||||||||||
Banks: Regional 14.68% | ||||||||||||
Bank of America Corp. | 3.593% (3 Mo. LIBOR + 1.37% | )# | 7/21/2028 | 120 | 121,337 | |||||||
Bank of Montreal (Canada)(a) | 3.803% (3 Mo. LIBOR + 1.43% | )# | 12/15/2032 | 8 | 7,911 | |||||||
Bank One Corp. | 8.00% | 4/29/2027 | 30 | 38,980 |
See Notes to Financial Statements. | 77 |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Barclays Bank plc (United Kingdom)†(a) | 10.179% | 6/12/2021 | $ | 80 | $ | 90,272 | ||||||
Citigroup, Inc. | 3.668% (3 Mo. LIBOR + 1.39% | )# | 7/24/2028 | 120 | 121,776 | |||||||
Comerica, Inc. | 4.00% | 2/1/2029 | 15 | 15,967 | ||||||||
Goldman Sachs Group, Inc. (The) | 6.75% | 10/1/2037 | 39 | 49,175 | ||||||||
HSBC USA, Inc. | 9.30% | 6/1/2021 | 23 | 25,788 | ||||||||
JPMorgan Chase & Co. | 3.782% (3 Mo. LIBOR + 1.34% | )# | 2/1/2028 | 67 | 69,199 | |||||||
JPMorgan Chase & Co. | 3.96% (3 Mo. LIBOR + 1.25% | )# | 1/29/2027 | 25 | 26,062 | |||||||
Macquarie Bank Ltd. (Australia)†(a) | 6.625% | 4/7/2021 | 60 | 63,992 | ||||||||
Macquarie Group Ltd. (Australia)†(a) | 4.654% | #(b) | 3/27/2029 | 22 | 23,417 | |||||||
Morgan Stanley | 3.78% (3 Mo. LIBOR + 1.22% | )# | 5/8/2024 | 30 | 30,338 | |||||||
Morgan Stanley | 3.875% | 1/27/2026 | 76 | 79,034 | ||||||||
Morgan Stanley | 4.431% (3 Mo. LIBOR + 1.63% | )# | 1/23/2030 | 14 | 15,050 | |||||||
Santander UK plc (United Kingdom)(a) | 7.95% | 10/26/2029 | 23 | 28,492 | ||||||||
SVB Financial Group | 3.50% | 1/29/2025 | 20 | 20,264 | ||||||||
Toronto-Dominion Bank (The) (Canada)(a) | 3.625% (5 Yr. Swap + 2.21% | )# | 9/15/2031 | 47 | 47,218 | |||||||
Webster Financial Corp. | 4.10% | 3/25/2029 | 14 | 14,476 | ||||||||
Wells Fargo & Co. | 4.65% | 11/4/2044 | 8 | 8,463 | ||||||||
Wells Fargo Capital X | 5.95% | 12/15/2036 | 46 | 53,381 | ||||||||
Westpac Banking Corp. (Australia)(a) | 4.322% | # | 11/23/2031 | 37 | 37,715 | |||||||
Total | 988,307 | |||||||||||
Beverages 1.63% | ||||||||||||
Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc. | 4.70% | 2/1/2036 | 50 | 51,733 | ||||||||
Anheuser-Busch InBev Worldwide, Inc. | 8.20% | 1/15/2039 | 40 | 58,248 | ||||||||
Total | 109,981 | |||||||||||
Biotechnology Research & Production 0.34% | ||||||||||||
Gilead Sciences, Inc. | 4.60% | 9/1/2035 | 21 | 22,802 | ||||||||
Building Materials 1.68% | ||||||||||||
Boral Finance Pty Ltd. (Australia)†(a) | 3.00% | 11/1/2022 | 8 | 7,969 | ||||||||
Johnson Controls International plc | 5.00% | 3/30/2020 | 26 | 26,466 | ||||||||
Martin Marietta Materials, Inc. | 3.173% (3 Mo. LIBOR + .65% | )# | 5/22/2020 | 42 | 42,016 | |||||||
Vulcan Materials Co. | 3.17% (3 Mo. LIBOR + .65% | )# | 3/1/2021 | 20 | 20,010 | |||||||
Vulcan Materials Co. | 3.211% (3 Mo. LIBOR + .60% | )# | 6/15/2020 | 10 | 9,999 | |||||||
Vulcan Materials Co. | 4.70% | 3/1/2048 | 7 | 6,849 | ||||||||
Total | 113,309 |
78 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Business Services 0.31% | ||||||||||||
IHS Markit Ltd. (United Kingdom)(a) | 3.625% | 5/1/2024 | $ | 2 | $ | 2,017 | ||||||
IHS Markit Ltd. (United Kingdom)†(a) | 4.00% | 3/1/2026 | 19 | 19,202 | ||||||||
Total | 21,219 | |||||||||||
Chemicals 0.74% | ||||||||||||
Yara International ASA (Norway)†(a) | 7.875% | 6/11/2019 | 50 | 50,046 | ||||||||
Computer Hardware 1.26% | ||||||||||||
Apple, Inc. | 4.45% | 5/6/2044 | 35 | 38,400 | ||||||||
Dell International LLC/EMC Corp.† | 6.02% | 6/15/2026 | 35 | 37,718 | ||||||||
Dell International LLC/EMC Corp.† | 8.35% | 7/15/2046 | 7 | 8,568 | ||||||||
Total | 84,686 | |||||||||||
Computer Software 1.39% | ||||||||||||
Microsoft Corp. | 3.50% | 2/12/2035 | 52 | 53,806 | ||||||||
Oracle Corp. | 6.125% | 7/8/2039 | 30 | 39,553 | ||||||||
Total | 93,359 | |||||||||||
Construction/Homebuilding 0.49% | ||||||||||||
D.R. Horton, Inc. | 5.75% | 8/15/2023 | 30 | 32,705 | ||||||||
Drugs 2.55% | ||||||||||||
AbbVie, Inc. | 4.70% | 5/14/2045 | 15 | 14,757 | ||||||||
AstraZeneca plc (United Kingdom)(a) | 6.45% | 9/15/2037 | 10 | 12,957 | ||||||||
Bayer Corp.† | 6.65% | 2/15/2028 | 7 | 8,020 | ||||||||
CVS Health Corp. | 4.30% | 3/25/2028 | 63 | 64,977 | ||||||||
CVS Health Corp. | 4.78% | 3/25/2038 | 10 | 9,982 | ||||||||
Elanco Animal Health, Inc.† | 4.90% | 8/28/2028 | 2 | 2,170 | ||||||||
Express Scripts Holding Co. | 3.274% % (3 Mo. LIBOR + .75% | )# | 11/30/2020 | 32 | 32,001 | |||||||
Express Scripts Holding Co. | 6.125% | 11/15/2041 | 11 | 13,136 | ||||||||
Merck & Co., Inc. | 3.90% | 3/7/2039 | 10 | 10,635 | ||||||||
Teva Pharmaceutical Finance Co. BV (Curacao)(a) | 3.65% | 11/10/2021 | 3 | 2,816 | ||||||||
Total | 171,451 | |||||||||||
Electric: Power 9.71% | ||||||||||||
Appalachian Power Co. | 7.00% | 4/1/2038 | 17 | 23,286 | ||||||||
Ausgrid Finance Pty Ltd. (Australia)†(a) | 4.35% | 8/1/2028 | 16 | 16,906 | ||||||||
Avista Corp. | 4.35% | 6/1/2048 | 11 | 12,167 | ||||||||
Berkshire Hathaway Energy Co. | 3.80% | 7/15/2048 | 20 | 19,759 | ||||||||
Cleco Corporate Holdings LLC | 4.973% | 5/1/2046 | 8 | 8,544 | ||||||||
Cleco Power LLC | 6.00% | 12/1/2040 | 20 | 24,336 |
See Notes to Financial Statements. | 79 |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Power (continued) | ||||||||||||
Dominion Energy South Carolina, Inc. | 6.05% | 1/15/2038 | $ | 7 | $ | 8,893 | ||||||
Dominion Energy, Inc. | 7.00% | 6/15/2038 | 22 | 29,074 | ||||||||
Duquesne Light Holdings, Inc.† | 6.40% | 9/15/2020 | 28 | 29,219 | ||||||||
Edison International | 4.125% | 3/15/2028 | 14 | 13,345 | ||||||||
Entergy Arkansas LLC | 4.95% | 12/15/2044 | 27 | 28,569 | ||||||||
Entergy Corp. | 5.125% | 9/15/2020 | 25 | 25,591 | ||||||||
Entergy Louisiana LLC | 4.00% | 3/15/2033 | 5 | 5,442 | ||||||||
Entergy Texas, Inc. | 4.00% | 3/30/2029 | 5 | 5,298 | ||||||||
Exelon Generation Co. LLC | 5.60% | 6/15/2042 | 31 | 33,833 | ||||||||
Georgia Power Co. | 4.75% | 9/1/2040 | 22 | 23,990 | ||||||||
Interstate Power & Light Co. | 3.60% | 4/1/2029 | 6 | 6,133 | ||||||||
Interstate Power & Light Co. | 4.70% | 10/15/2043 | 10 | 10,904 | ||||||||
ITC Holdings Corp.† | 5.50% | 1/15/2020 | 30 | 30,516 | ||||||||
Jersey Central Power & Light Co.† | 4.70% | 4/1/2024 | 5 | 5,384 | ||||||||
Mississippi Power Co. | 4.25% | 3/15/2042 | 9 | 9,083 | ||||||||
NRG Energy, Inc.† | 4.45% | 6/15/2029 | 15 | 15,445 | ||||||||
Oglethorpe Power Corp. | 5.05% | 10/1/2048 | 8 | 9,166 | ||||||||
Ohio Edison Co. | 8.25% | 10/15/2038 | 23 | 35,468 | ||||||||
Oncor Electric Delivery Co. LLC | 7.00% | 5/1/2032 | 7 | 9,758 | ||||||||
Pennsylvania Electric Co.† | 3.60% | 6/1/2029 | 7 | 7,080 | ||||||||
PPL Electric Utilities Corp. | 5.20% | 7/15/2041 | 23 | 27,383 | ||||||||
Progress Energy, Inc. | 7.75% | 3/1/2031 | 9 | 12,418 | ||||||||
PSEG Power LLC | 5.125% | 4/15/2020 | 22 | 22,452 | ||||||||
Puget Energy, Inc. | 3.65% | 5/15/2025 | 12 | 12,147 | ||||||||
Puget Energy, Inc. | 5.625% | 7/15/2022 | 14 | 14,983 | ||||||||
Puget Energy, Inc. | 6.00% | 9/1/2021 | 28 | 29,857 | ||||||||
San Diego Gas & Electric Co. | 1.914% | 2/1/2022 | 6 | 6,295 | ||||||||
SCANA Corp. | 4.125% | 2/1/2022 | 15 | 15,281 | ||||||||
SCANA Corp. | 4.75% | 5/15/2021 | 4 | 4,090 | ||||||||
Sempra Energy | 3.75% | 11/15/2025 | 5 | 5,107 | ||||||||
Sempra Energy | 4.00% | 2/1/2048 | 17 | 15,873 | ||||||||
Tampa Electric Co. | 6.15% | 5/15/2037 | 7 | 8,727 | ||||||||
TransAlta Corp. (Canada)(a) | 4.50% | 11/15/2022 | 31 | 31,825 | ||||||||
Total | 653,627 | |||||||||||
Electrical Equipment 1.31% | ||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 2.65% | 1/15/2023 | 8 | 7,796 | ||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 3.875% | 1/15/2027 | 21 | 19,990 | ||||||||
Broadcom, Inc.† | 3.625% | 10/15/2024 | 10 | 9,844 |
80 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electrical Equipment (continued) | ||||||||||||
Marvell Technology Group Ltd. | 4.20% | 6/22/2023 | $ | 8 | $ | 8,256 | ||||||
NXP BV/NXP Funding LLC (Netherlands)†(a) | 4.875% | 3/1/2024 | 25 | 26,387 | ||||||||
Xilinx, Inc. | 2.95% | 6/1/2024 | 16 | 16,053 | ||||||||
Total | 88,326 | |||||||||||
Electronics 0.48% | ||||||||||||
Trimble, Inc. | 4.75% | 12/1/2024 | 24 | 25,056 | ||||||||
Trimble, Inc. | 4.90% | 6/15/2028 | 7 | 7,240 | ||||||||
Total | 32,296 | |||||||||||
Financial Services 4.08% | ||||||||||||
Affiliated Managers Group, Inc. | 3.50% | 8/1/2025 | 11 | 11,279 | ||||||||
Affiliated Managers Group, Inc. | 4.25% | 2/15/2024 | 50 | 52,787 | ||||||||
Air Lease Corp. | 3.625% | 4/1/2027 | 19 | 18,462 | ||||||||
Credit Suisse USA, Inc. | 7.125% | 7/15/2032 | 10 | 13,758 | ||||||||
Discover Financial Services | 4.10% | 2/9/2027 | 18 | 18,231 | ||||||||
Discover Financial Services | 5.20% | 4/27/2022 | 25 | 26,620 | ||||||||
Discover Financial Services | 10.25% | 7/15/2019 | 9 | 9,074 | ||||||||
E*TRADE Financial Corp. | 3.80% | 8/24/2027 | 9 | 8,922 | ||||||||
E*TRADE Financial Corp. | 4.50% | 6/20/2028 | 9 | 9,373 | ||||||||
International Lease Finance Corp. | 5.875% | 8/15/2022 | 27 | 29,213 | ||||||||
International Lease Finance Corp. | 8.25% | 12/15/2020 | 24 | 25,875 | ||||||||
International Lease Finance Corp. | 8.625% | 1/15/2022 | 15 | 17,056 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.50% | 3/15/2027 | 23 | 23,858 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 11 | 10,189 | ||||||||
Total | 274,697 | |||||||||||
Food 0.36% | ||||||||||||
Campbell Soup Co. | 3.80% | 8/2/2042 | 8 | 6,747 | ||||||||
Kraft Heinz Foods Co. | 6.875% | 1/26/2039 | 15 | 17,368 | ||||||||
Total | 24,115 | |||||||||||
Health Care Products 0.47% | ||||||||||||
Abbott Laboratories | 4.75% | 11/30/2036 | 17 | 19,386 | ||||||||
Zimmer Biomet Holdings, Inc. | 5.75% | 11/30/2039 | 11 | 12,360 | ||||||||
Total | 31,746 | |||||||||||
See Notes to Financial Statements. | 81 |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Health Care Services 2.18% | ||||||||||||
Fresenius Medical Care US Finance II, Inc.† | 4.75% | 10/15/2024 | $ | 19 | $ | 20,084 | ||||||
Fresenius Medical Care US Finance II, Inc.† | 5.875% | 1/31/2022 | 14 | 14,916 | ||||||||
Kaiser Foundation Hospitals | 4.15% | 5/1/2047 | 10 | 11,058 | ||||||||
Northwell Healthcare, Inc. | 3.979% | 11/1/2046 | 12 | 12,240 | ||||||||
NYU Langone Hospitals | 4.368% | 7/1/2047 | 12 | 13,397 | ||||||||
NYU Langone Hospitals | 4.784% | 7/1/2044 | 7 | 8,292 | ||||||||
UnitedHealth Group, Inc. | 6.875% | 2/15/2038 | 23 | 32,264 | ||||||||
Universal Health Services, Inc.† | 4.75% | 8/1/2022 | 34 | 34,212 | ||||||||
Total | 146,463 | |||||||||||
Household Equipment/Products 0.51% | ||||||||||||
Newell Brands, Inc. | 3.85% | 4/1/2023 | 9 | 9,070 | ||||||||
Newell Brands, Inc. | 4.00% | 12/1/2024 | 25 | 25,158 | ||||||||
Total | 34,228 | |||||||||||
Insurance 4.77% | ||||||||||||
American International Group, Inc. | 3.75% | 7/10/2025 | 6 | 6,134 | ||||||||
Aon plc (United Kingdom)(a) | 3.875% | 12/15/2025 | 19 | 19,847 | ||||||||
Berkshire Hathaway Finance Corp. | 4.25% | 1/15/2049 | 22 | 23,728 | ||||||||
Fidelity National Financial, Inc.† | 4.50% | 8/15/2028 | 35 | 36,160 | ||||||||
Hanover Insurance Group, Inc. (The) | 4.50% | 4/15/2026 | 9 | 9,472 | ||||||||
Lincoln National Corp. | 6.30% | 10/9/2037 | 25 | 31,821 | ||||||||
New York Life Insurance Co.† | 4.45% | 5/15/2069 | 10 | 10,532 | ||||||||
Protective Life Corp. | 8.45% | 10/15/2039 | 25 | 36,526 | ||||||||
Securian Financial Group, Inc.† | 4.80% | 4/15/2048 | 8 | 8,643 | ||||||||
Selective Insurance Group, Inc. | 5.375% | 3/1/2049 | 9 | 9,716 | ||||||||
Teachers Insurance & Annuity Association of America† | 4.90% | 9/15/2044 | 30 | 34,976 | ||||||||
Transatlantic Holdings, Inc. | 8.00% | 11/30/2039 | 9 | 12,742 | ||||||||
Trinity Acquisition plc (United Kingdom)(a) | 4.625% | 8/15/2023 | 3 | 3,172 | ||||||||
Unum Group | 5.75% | 8/15/2042 | 13 | 14,660 | ||||||||
Willis North America, Inc. | 7.00% | 9/29/2019 | 7 | 7,086 | ||||||||
WR Berkley Corp. | 5.375% | 9/15/2020 | 5 | 5,177 | ||||||||
XLIT Ltd. (Ireland)(a) | 6.25% | 5/15/2027 | 42 | 50,445 | ||||||||
Total | 320,837 | |||||||||||
Investment Management Companies 0.39% | ||||||||||||
BrightSphere Investment Group plc (United Kingdom)(a) | 4.80% | 7/27/2026 | 26 | 26,008 |
82 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Leasing 0.39% | ||||||||||||
Avolon Holdings Funding Ltd. (Ireland)†(a) | 5.125% | 10/1/2023 | $ | 7 | $ | 7,262 | ||||||
GATX Corp. | 4.55% | 11/7/2028 | 11 | 11,628 | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.† | 3.45% | 7/1/2024 | 5 | 5,061 | ||||||||
Penske Truck Leasing Co., LP/PTL Finance Corp.† | 3.95% | 3/10/2025 | 2 | 2,066 | ||||||||
Total | 26,017 | |||||||||||
Leisure 0.81% | ||||||||||||
Royal Caribbean Cruises Ltd. | 3.70% | 3/15/2028 | 2 | 1,972 | ||||||||
Royal Caribbean Cruises Ltd. | 5.25% | 11/15/2022 | 27 | 29,166 | ||||||||
Royal Caribbean Cruises Ltd. | 7.50% | 10/15/2027 | 19 | 23,496 | ||||||||
Total | 54,634 | |||||||||||
Machinery: Agricultural 1.18% | ||||||||||||
BAT Capital Corp. | 3.222% | 8/15/2024 | 20 | 19,811 | ||||||||
BAT Capital Corp. | 4.39% | 8/15/2037 | 14 | 12,827 | ||||||||
Reynolds American, Inc. | 4.45% | 6/12/2025 | 4 | 4,159 | ||||||||
Reynolds American, Inc. | 4.85% | 9/15/2023 | 40 | 42,481 | ||||||||
Total | 79,278 | |||||||||||
Machinery: Industrial/Specialty 0.90% | ||||||||||||
CNH Industrial Capital LLC | 4.375% | 4/5/2022 | 13 | 13,348 | ||||||||
CNH Industrial Capital LLC | 4.875% | 4/1/2021 | 5 | 5,154 | ||||||||
Kennametal, Inc. | 4.625% | 6/15/2028 | 12 | 12,483 | ||||||||
Nvent Finance Sarl (Luxembourg)(a) | 4.55% | 4/15/2028 | 19 | 19,244 | ||||||||
Roper Technologies, Inc. | 3.85% | 12/15/2025 | 10 | 10,391 | ||||||||
Total | 60,620 | |||||||||||
Manufacturing 1.71% | ||||||||||||
General Electric Co. | 3.10% | 1/9/2023 | 10 | 10,002 | ||||||||
General Electric Co. | 3.15% | 9/7/2022 | 4 | 4,025 | ||||||||
General Electric Co. | 5.00% (3 Mo. LIBOR + 3.33% | )# | – | (c) | 6 | 5,593 | ||||||
General Electric Co. | 6.15% | 8/7/2037 | 57 | 65,077 | ||||||||
Pentair Finance Sarl (Luxembourg)(a) | 3.15% | 9/15/2022 | 30 | 30,125 | ||||||||
Total | 114,822 | |||||||||||
Media 4.01% | ||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 6.484% | 10/23/2045 | 52 | 58,695 | ||||||||
Cox Communications, Inc.† | 4.50% | 6/30/2043 | 2 | 1,862 | ||||||||
Cox Communications, Inc.† | 8.375% | 3/1/2039 | 19 | 25,704 | ||||||||
Grupo Televisa SAB (Mexico)(a) | 6.625% | 1/15/2040 | 7 | 8,281 |
See Notes to Financial Statements. | 83 |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Media (continued) | ||||||||||||
NBCUniversal Enterprise, Inc.† | 5.25% | – | (c) | $ | 100 | $ | 102,054 | |||||
Walt Disney Co. (The)† | 7.75% | 12/1/2045 | 24 | 39,087 | ||||||||
Warner Media LLC | 6.20% | 3/15/2040 | 29 | 34,270 | ||||||||
Total | 269,953 | |||||||||||
Metal Fabricating 0.32% | ||||||||||||
Valmont Industries, Inc. | 5.25% | 10/1/2054 | 22 | 21,274 | ||||||||
Metals & Minerals: Miscellaneous 1.32% | ||||||||||||
Barrick North America Finance LLC | 7.50% | 9/15/2038 | 21 | 26,875 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(a) | 5.55% | 10/25/2042 | 19 | 18,669 | ||||||||
Newmont Goldcorp Corp.† | 3.625% | 6/9/2021 | 15 | 15,210 | ||||||||
Newmont Goldcorp Corp.† | 3.70% | 3/15/2023 | 14 | 14,406 | ||||||||
Southern Copper Corp. (Peru)(a) | 5.875% | 4/23/2045 | 12 | 13,370 | ||||||||
Total | 88,530 | |||||||||||
Natural Gas 1.51% | ||||||||||||
National Fuel Gas Co. | 3.95% | 9/15/2027 | 8 | 7,933 | ||||||||
National Fuel Gas Co. | 4.90% | 12/1/2021 | 16 | 16,606 | ||||||||
National Fuel Gas Co. | 5.20% | 7/15/2025 | 2 | 2,156 | ||||||||
National Fuel Gas Co. | 7.395% | 3/30/2023 | 15 | 17,081 | ||||||||
Piedmont Natural Gas Co., Inc. | 4.10% | 9/18/2034 | 19 | 20,371 | ||||||||
Piedmont Natural Gas Co., Inc. | 3.50% | 6/1/2029 | 7 | 7,109 | ||||||||
Southwest Gas Corp. | 4.15% | 6/1/2049 | 11 | 11,096 | ||||||||
WGL Holdings, Inc. | 2.925% (3 Mo. LIBOR + .40% | )# | 11/29/2019 | 19 | 18,964 | |||||||
Total | 101,316 | |||||||||||
Oil 7.45% | ||||||||||||
Apache Corp. | 5.10% | 9/1/2040 | 20 | 19,555 | ||||||||
Apache Corp. | 6.00% | 1/15/2037 | 17 | 19,221 | ||||||||
Burlington Resources LLC | 5.95% | 10/15/2036 | 17 | 21,820 | ||||||||
Canadian Natural Resources Ltd. (Canada)(a) | 7.20% | 1/15/2032 | 31 | 39,409 | ||||||||
Canadian Oil Sands Ltd. (Canada)†(a) | 4.50% | 4/1/2022 | 5 | 5,169 | ||||||||
Canadian Oil Sands Ltd. (Canada)†(a) | 7.90% | 9/1/2021 | 5 | 5,678 | ||||||||
Cimarex Energy Co. | 4.375% | 3/15/2029 | 14 | 14,621 | ||||||||
Continental Resources, Inc. | 4.90% | 6/1/2044 | 10 | 10,237 | ||||||||
Continental Resources, Inc. | 5.00% | 9/15/2022 | 30 | 30,259 | ||||||||
Ecopetrol SA (Colombia)(a) | 5.875% | 5/28/2045 | 5 | 5,156 | ||||||||
Eni USA, Inc. | 7.30% | 11/15/2027 | 22 | 27,384 | ||||||||
Equinor ASA (Norway)(a) | 7.15% | 11/15/2025 | 26 | 32,252 | ||||||||
Helmerich & Payne, Inc. | 4.65% | 3/15/2025 | 40 | 42,243 |
84 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil (continued) | ||||||||||||
Kerr-McGee Corp. | 7.875% | 9/15/2031 | $ | 28 | $ | 37,671 | ||||||
Motiva Enterprises LLC† | 5.75% | 1/15/2020 | 60 | 60,912 | ||||||||
Petroleos Mexicanos (Mexico)(a) | 4.50% | 1/23/2026 | 24 | 22,524 | ||||||||
Shell International Finance BV (Netherlands)(a) | 3.75% | 9/12/2046 | 32 | 32,592 | ||||||||
Valero Energy Corp. | 7.50% | 4/15/2032 | 2 | 2,642 | ||||||||
Valero Energy Corp. | 8.75% | 6/15/2030 | 4 | 5,475 | ||||||||
Valero Energy Corp. | 10.50% | 3/15/2039 | 24 | 38,826 | ||||||||
Woodside Finance Ltd. (Australia)†(a) | 3.65% | 3/5/2025 | 20 | 20,258 | ||||||||
Woodside Finance Ltd. (Australia)†(a) | 4.50% | 3/4/2029 | 7 | 7,288 | ||||||||
Total | 501,192 | |||||||||||
Oil: Crude Producers 4.64% | ||||||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. | 6.25% | 10/15/2022 | 28 | 28,770 | ||||||||
Colonial Pipeline Co.† | 4.25% | 4/15/2048 | 18 | 18,987 | ||||||||
Enbridge Energy Partners LP | 4.20% | 9/15/2021 | 25 | 25,619 | ||||||||
Energy Transfer Operating LP | 4.05% | 3/15/2025 | 14 | 14,312 | ||||||||
Energy Transfer Operating LP | 6.25% | 4/15/2049 | 24 | 26,849 | ||||||||
Energy Transfer Operating LP | 7.60% | 2/1/2024 | 10 | 11,461 | ||||||||
Energy Transfer Operating LP | 8.25% | 11/15/2029 | 6 | 7,542 | ||||||||
Enterprise Products Operating LLC | 7.55% | 4/15/2038 | 11 | 14,927 | ||||||||
Gulfstream Natural Gas System LLC† | 4.60% | 9/15/2025 | 15 | 16,114 | ||||||||
Kinder Morgan, Inc. | 7.75% | 1/15/2032 | 29 | 38,134 | ||||||||
Midwest Connector Capital Co. LLC† | 3.90% | 4/1/2024 | 17 | 17,463 | ||||||||
NGPL PipeCo LLC† | 4.875% | 8/15/2027 | 8 | 8,250 | ||||||||
Northern Natural Gas Co.† | 4.30% | 1/15/2049 | 13 | 13,880 | ||||||||
Sabine Pass Liquefaction LLC | 5.875% | 6/30/2026 | 48 | 53,383 | ||||||||
TransCanada PipeLines Ltd. (Canada)(a) | 7.625% | 1/15/2039 | 12 | 16,515 | ||||||||
Total | 312,206 | |||||||||||
Oil: Integrated Domestic 2.70% | ||||||||||||
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc. | 3.337% | 12/15/2027 | 13 | 12,766 | ||||||||
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc. | 4.08% | 12/15/2047 | 20 | 18,322 | ||||||||
Halliburton Co. | 7.45% | 9/15/2039 | 29 | 38,119 | ||||||||
National Oilwell Varco, Inc. | 3.95% | 12/1/2042 | 33 | 27,703 | ||||||||
Patterson-UTI Energy, Inc. | 3.95% | 2/1/2028 | 25 | 24,212 | ||||||||
Schlumberger Holdings Corp.† | 3.75% | 5/1/2024 | 52 | 53,573 | ||||||||
Schlumberger Holdings Corp.† | 4.30% | 5/1/2029 | 7 | 7,284 | ||||||||
Total | 181,979 |
See Notes to Financial Statements. | 85 |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Paper & Forest Products 0.26% | ||||||||||||
International Paper Co. | 7.30% | 11/15/2039 | $ | 11 | $ | 14,096 | ||||||
West Fraser Timber Co. Ltd. (Canada)†(a) | 4.35% | 10/15/2024 | 3 | 3,092 | ||||||||
Total | 17,188 | |||||||||||
Real Estate Investment Trusts 3.20% | ||||||||||||
American Homes 4 Rent LP | 4.25% | 2/15/2028 | 13 | 13,202 | ||||||||
EPR Properties | 4.75% | 12/15/2026 | 15 | 15,732 | ||||||||
EPR Properties | 4.95% | 4/15/2028 | 6 | 6,419 | ||||||||
EPR Properties | 5.75% | 8/15/2022 | 15 | 16,045 | ||||||||
Goodman US Finance Three LLC† | 3.70% | 3/15/2028 | 13 | 12,993 | ||||||||
Healthcare Realty Trust, Inc. | 3.625% | 1/15/2028 | 5 | 4,957 | ||||||||
Healthcare Realty Trust, Inc. | 3.75% | 4/15/2023 | 15 | 15,276 | ||||||||
Healthcare Realty Trust, Inc. | 3.875% | 5/1/2025 | 31 | 31,515 | ||||||||
Healthcare Trust of America Holdings LP | 2.95% | 7/1/2022 | 4 | 4,010 | ||||||||
Liberty Property LP | 4.75% | 10/1/2020 | 11 | 11,254 | ||||||||
MPT Operating Partnership LP/MPT Finance Corp. | 5.00% | 10/15/2027 | 10 | 9,888 | ||||||||
SL Green Operating Partnership LP | 3.25% | 10/15/2022 | 6 | 6,012 | ||||||||
SL Green Realty Corp. | 4.50% | 12/1/2022 | 22 | 22,986 | ||||||||
VEREIT Operating Partnership LP | 4.875% | 6/1/2026 | 33 | 35,074 | ||||||||
Weyerhaeuser Co. | 8.50% | 1/15/2025 | 8 | 10,140 | ||||||||
Total | 215,503 | |||||||||||
Retail 1.12% | ||||||||||||
Dollar Tree, Inc. | 4.20% | 5/15/2028 | 10 | 10,114 | ||||||||
McDonald’s Corp. | 6.30% | 10/15/2037 | 33 | 41,995 | ||||||||
Starbucks Corp. | 3.55% | 8/15/2029 | 23 | 23,394 | ||||||||
Total | 75,503 | |||||||||||
Steel 0.24% | ||||||||||||
Vale Overseas Ltd. (Brazil)(a) | 6.25% | 8/10/2026 | 15 | 16,397 | ||||||||
Technology 0.55% | ||||||||||||
Amazon.com, Inc. | 4.05% | 8/22/2047 | 10 | 10,893 | ||||||||
Amazon.com, Inc. | 4.25% | 8/22/2057 | 5 | 5,500 | ||||||||
Expedia Group, Inc. | 3.80% | 2/15/2028 | 10 | 10,012 | ||||||||
Expedia Group, Inc. | 5.00% | 2/15/2026 | 10 | 10,792 | ||||||||
Total | 37,197 | |||||||||||
Telecommunications 3.90% | ||||||||||||
AT&T, Inc. | 5.35% | 9/1/2040 | 4 | 4,314 | ||||||||
AT&T, Inc. | 6.00% | 8/15/2040 | 78 | 89,397 |
86 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Telecommunications (continued) | ||||||||||||
Orange SA (France)(a) | 9.00% | 3/1/2031 | $ | 11 | $ | 16,339 | ||||||
Verizon Communications, Inc. | 3.618% (3 Mo. LIBOR + 1.10% | )# | 5/15/2025 | 11 | 11,079 | |||||||
Verizon Communications, Inc. | 4.40% | 11/1/2034 | 75 | 79,897 | ||||||||
Vodafone Group plc (United Kingdom)(a) | 3.75% | 1/16/2024 | 50 | 51,320 | ||||||||
Vodafone Group plc (United Kingdom)(a) | 4.375% | 5/30/2028 | 10 | 10,437 | ||||||||
Total | 262,783 | |||||||||||
Transportation: Miscellaneous 2.50% | ||||||||||||
Burlington Northern Santa Fe LLC | 6.15% | 5/1/2037 | 30 | 39,343 | ||||||||
Canadian National Railway Co. (Canada)(a) | 7.375% | 10/15/2031 | 7 | 9,705 | ||||||||
Canadian Pacific Railway Co. (Canada)(a) | 7.125% | 10/15/2031 | 5 | 6,783 | ||||||||
Canadian Pacific Railway Co. (Canada)(a) | 9.45% | 8/1/2021 | 10 | 11,387 | ||||||||
CSX Corp. | 6.00% | 10/1/2036 | 25 | 30,569 | ||||||||
CSX Transportation, Inc. | 7.875% | 5/15/2043 | 8 | 12,353 | ||||||||
FedEx Corp. | 4.95% | 10/17/2048 | 6 | 6,258 | ||||||||
Norfolk Southern Corp. | 5.59% | 5/17/2025 | 7 | 7,999 | ||||||||
Union Pacific Corp. | 6.625% | 2/1/2029 | 35 | 44,133 | ||||||||
Total | 168,530 | |||||||||||
Utilities 0.40% | ||||||||||||
Aqua America, Inc. | 3.566% | 5/1/2029 | 8 | 8,174 | ||||||||
Aquarion Co.† | 4.00% | 8/15/2024 | 18 | 18,651 | ||||||||
Total | 26,825 | |||||||||||
Total Corporate Bonds (cost $6,026,841) | 6,151,877 | |||||||||||
MUNICIPAL BONDS 0.55% | ||||||||||||
Miscellaneous | ||||||||||||
California | 7.60% | 11/1/2040 | 10 | 15,984 | ||||||||
Chicago, IL | 6.314% | 1/1/2044 | 15 | 15,824 | ||||||||
Illinois | 5.10% | 6/1/2033 | 5 | 5,163 | ||||||||
Total Municipal Bonds (cost $35,260) | 36,971 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 0.42% | ||||||||||||
Caesars Palace Las Vegas Trust 2017-VICI A† | 3.531% | 10/15/2034 | 17 | 17,544 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI B† | 3.835% | 10/15/2034 | 10 | 10,345 | ||||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $27,755) | 27,889 |
See Notes to Financial Statements. | 87 |
Schedule of Investments (unaudited)(continued)
CORPORATE BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
U.S. TREASURY OBLIGATIONS 0.43% | ||||||||||||
U.S. Treasury Bond | 2.75% | 11/15/2047 | $ | 10 | $ | 10,350 | ||||||
U.S. Treasury Bond | 3.00% | 2/15/2049 | 17 | 18,512 | ||||||||
Total U.S. Treasury Obligations(cost $27,174) | 28,862 | |||||||||||
Total Long-Term Investments(cost $6,243,754) | 6,373,399 | |||||||||||
SHORT-TERM INVESTMENT 3.76% | ||||||||||||
REPURCHASE AGREEMENT | ||||||||||||
Repurchase Agreement dated 5/31/2019, 1.45% due 6/3/2019 with Fixed Income Clearing Corp. collateralized by $260,000 of U.S. Treasury Note at 2.250% due 3/31/2021; value: $261,628; proceeds: $253,252 (cost $253,222) | 253 | 253,222 | ||||||||||
Total Investments in Securities 98.47% (cost $6,496,976) | 6,626,621 | |||||||||||
Cash and Other Assets in Excess Liabilities(d)1.53% | 103,228 | |||||||||||
Net Assets 100.00% | $ | 6,729,849 |
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, 2019. | |
(a) | Foreign security traded in U.S. dollars. | |
(b) | Variable Rate is Fixed to Float: Rate remains fixed until designated future date. | |
(c) | Security is perpetual in nature and has no stated maturity. | |
(d) | Cash and Other Assets in Excess Liabilities include net unrealized appreciation/depreciation on futures contracts as follows: |
Open Futures Contracts at May 31, 2019:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||
U.S. 5-Year Treasury Note | September 2019 | 15 | Long | $ | 1,750,777 | $ | 1,760,508 | $ | 9,731 | |||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||
U.S. 2-Year Treasury Note | September 2019 | 2 | Short | $ | (427,934) | $ | (429,343) | $ | (1,409) | |||||||||
U.S. 10-Year Ultra Treasury Bond | September 2019 | 1 | Short | (135,229) | (136,547) | (1,318) | ||||||||||||
U.S. 10-Year Treasury Note | September 2019 | 9 | Short | (1,132,156) | (1,140,750) | (8,594) | ||||||||||||
U.S. Long Bond | September 2019 | 2 | Short | (304,230) | (307,438) | (3,208) | ||||||||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (14,529) |
88 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(concluded)
CORPORATE BOND FUNDMay 31, 2019
The following is a summary of the inputs used as of May 31, 2019 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 | $ | – | $ | 127,800 | $ | – | $ | 127,800 | ||||||||
Corporate Bonds | – | 6,151,877 | – | 6,151,877 | ||||||||||||
Municipal Bonds | – | 36,971 | – | 36,971 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 27,889 | – | 27,889 | ||||||||||||
U.S. Treasury Obligations | – | 28,862 | – | 28,862 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreement | – | 253,222 | – | 253,222 | ||||||||||||
Total | $ | – | $ | 6,626,621 | $ | – | $ | 6,626,621 | ||||||||
Other Financial Instruments | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Assets | $ | 9,731 | $ | – | $ | – | $ | 9,731 | ||||||||
Liabilities | (14,529 | ) | – | – | (14,529 | ) | ||||||||||
Total | $ | (4,798 | ) | $ | – | $ | – | $ | (4,798 | ) |
(1) | Refer to Note 2(t) 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, 2019. |
See Notes to Financial Statements. | 89 |
Schedule of Investments (unaudited)
FLOATING RATE FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 96.83% | ||||||||||||
ASSET-BACKED SECURITIES 0.60% | ||||||||||||
Other | ||||||||||||
AMMC CLO 15 Ltd. 2014-15A DRR† | 5.997% (3 Mo. LIBOR + 3.40% | )# | 1/15/2032 | $ | 2,986 | $ | 2,985,970 | |||||
Battalion CLO VII Ltd. 2014-7A CRR† | 5.518% (3 Mo. LIBOR + 2.93% | )# | 7/17/2028 | 2,169 | 2,144,975 | |||||||
Cedar Funding VII CLO Ltd. 2018-7A D† | 5.142% (3 Mo. LIBOR + 2.55% | )# | 1/20/2031 | 5,000 | 4,764,447 | |||||||
Cent CLO Ltd. 2014-21A CR2† | 5.782% (3 Mo. LIBOR + 3.20% | )# | 7/27/2030 | 5,864 | 5,753,282 | |||||||
Jamestown CLO VII Ltd. 2015-7A CR† | 5.18% (3 Mo. LIBOR + 2.60% | )# | 7/25/2027 | 5,000 | 4,975,601 | |||||||
KKR CLO Ltd-15 DR† | 5.751% (3 Mo. LIBOR + 3.15% | )# | 1/18/2032 | 3,264 | 3,220,412 | |||||||
Mariner CLO LLC 2015-1A DR† | 6.242% (3 Mo. LIBOR + 3.65% | )# | 4/20/2029 | 2,723 | 2,724,969 | |||||||
Mariner CLO LLC 2017-4A D† | 5.636% (3 Mo. LIBOR + 3.05% | )# | 10/26/2029 | 7,052 | 6,926,385 | |||||||
OCP CLO Ltd. 2016-12A CR† | 5.601% (3 Mo. LIBOR + 2.95% | )# | 10/18/2028 | 7,250 | 7,238,423 | |||||||
Octagon Investment Partners 39 Ltd. 2018-3A D† | 5.542% (3 Mo. LIBOR + 2.95% | )# | 10/20/2030 | 2,639 | 2,590,580 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A D† | 6.547% (3 Mo. LIBOR + 3.95% | )# | 4/15/2026 | 5,000 | 4,783,458 | |||||||
Regatta VI Funding Ltd. 2016-1A DR† | 5.292% (3 Mo. LIBOR + 2.70% | )# | 7/20/2028 | 2,534 | 2,459,710 | |||||||
Sound Point CLO II Ltd. 2013-1A B1R† | 5.286% (3 Mo. LIBOR + 2.70% | )# | 1/26/2031 | 3,750 | 3,583,486 | |||||||
Sound Point CLO XI Ltd. 2016-1A DR† | 5.542% (3 Mo. LIBOR + 2.95% | )# | 7/20/2028 | 8,160 | 8,121,322 | |||||||
THL Credit Wind River CLO Ltd. 2018-3A D† | 5.776% (3 Mo. LIBOR + 2.95% | )# | 1/20/2031 | 8,478 | 8,251,247 | |||||||
Total | 70,524,267 | |||||||||||
Total Asset-Backed Securities (cost $71,793,647) | 70,524,267 |
90 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUNDMay 31, 2019
Investments | Shares (000) | Fair Value | ||||||||||
COMMON STOCKS 0.27% | ||||||||||||
Broadcasting 0.27% | ||||||||||||
Clear Channel Outdoor Holdings, Inc.* | 2,571 | $ | 13,062,854 | |||||||||
iHeartMedia, Inc. Class A* | 1,094 | 17,974,900 | ||||||||||
Total | 31,037,754 | |||||||||||
Energy 0.00% | ||||||||||||
Templar Energy LLC Class A Units | 747 | – | (a) | |||||||||
Vistra Energy Corp. | 327 | 259,964 | ||||||||||
Total | 259,964 | |||||||||||
Information Technology 0.00% | ||||||||||||
Avaya Holdings Corp.* | 2 | 24,745 | ||||||||||
Total Common Stocks (cost $40,676,295) | 31,322,463 | |||||||||||
Interest Rate | Maturity Date | Principal Amount (000) | ||||||||||
CONVERTIBLE BONDS 0.42% | ||||||||||||
Financial 0.03% | ||||||||||||
Euronet Worldwide, Inc.† | 0.75% | 3/15/2049 | $ | 3,129 | 3,622,196 | |||||||
Gaming/Leisure 0.10% | ||||||||||||
Ctrip.com International Ltd. (China)(b) | 1.00% | 7/1/2020 | 11,674 | 11,390,789 | ||||||||
Healthcare 0.10% | ||||||||||||
Canopy Growth Corp.†(c) | 4.25% | 7/15/2023 | CAD | 11,401 | 11,429,680 | |||||||
Information Technology 0.11% | ||||||||||||
DocuSign, Inc.† | 0.50% | 9/15/2023 | $ | 11,674 | 12,477,343 | |||||||
Manufacturing 0.08% | ||||||||||||
Patrick Industries, Inc. | 1.00% | 2/1/2023 | 11,560 | 10,046,220 | ||||||||
Total Convertible Bonds (cost $46,646,897) | 48,966,228 | |||||||||||
CORPORATE BONDS 3.94% | ||||||||||||
Aerospace 0.14% | ||||||||||||
TransDigm, Inc. | 6.375% | 6/15/2026 | 6,545 | 6,455,006 | ||||||||
TransDigm, Inc.† | 7.50% | 3/15/2027 | 9,562 | 9,657,620 | ||||||||
Total | 16,112,626 |
See Notes to Financial Statements. | 91 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Broadcasting 0.16% | ||||||||||||
iHeartCommunications, Inc. | 6.375% | 5/1/2026 | $ | 6,184 | $ | 6,454,771 | ||||||
iHeartCommunications, Inc. | 8.375% | 5/1/2027 | 11,209 | 11,783,342 | ||||||||
Total | 18,238,113 | |||||||||||
Cable/Wireless Video 0.20% | ||||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp.† | 5.375% | 6/1/2029 | 23,921 | 23,980,803 | ||||||||
Consumer Non-Durables 0.16% | ||||||||||||
Revlon Consumer Products Corp. | 5.75% | 2/15/2021 | 20,836 | 18,752,400 | ||||||||
Diversified Media 0.21% | ||||||||||||
AMC Entertainment Holdings, Inc. | 5.875% | 11/15/2026 | 5,737 | 5,052,748 | ||||||||
DISH DBS Corp. | 7.75% | 7/1/2026 | 15,316 | 14,060,088 | ||||||||
Entercom Media Corp.† | 6.50% | 5/1/2027 | 5,741 | 5,841,468 | ||||||||
Total | 24,954,304 | |||||||||||
Gaming/Leisure 0.12% | ||||||||||||
MEG Energy Corp. (Canada)†(b) | 7.00% | 3/31/2024 | 15,317 | 13,747,008 | ||||||||
Financial 0.26% | ||||||||||||
Acrisure LLC/Acrisure Finance, Inc.† | 8.125% | 2/15/2024 | 14,345 | 14,766,384 | ||||||||
GTCR AP Finance, Inc.† | 8.00% | 5/15/2027 | 2,870 | 2,819,775 | ||||||||
WeWork Cos., Inc.† | 7.875% | 5/1/2025 | 13,473 | 12,462,525 | ||||||||
Total | 30,048,684 | |||||||||||
Food & Drug 0.29% | ||||||||||||
Albertsons Cos LLC/Safeway, Inc./Albertsons LP/Albertson’s LLC | 5.75% | 3/15/2025 | 7,030 | 6,820,506 | ||||||||
Albertsons Cos LLC/Safeway, Inc./Albertsons LP/Albertson’s LLC | 6.625% | 6/15/2024 | 6,700 | 6,800,500 | ||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.† | 6.50% | 4/15/2029 | 19,163 | 20,169,057 | ||||||||
Total | 33,790,063 | |||||||||||
Food/Tobacco 0.07% | ||||||||||||
Matterhorn Merger Sub LLC/Matterhorn | ||||||||||||
Finance Sub, Inc.† | 8.50% | 6/1/2026 | 9,688 | 8,573,880 | ||||||||
Gaming/Leisure 0.06% | ||||||||||||
AMC Entertainment Holdings, Inc. | 6.125% | 5/15/2027 | 8,607 | 7,584,919 | ||||||||
Healthcare 0.83% | ||||||||||||
Bausch Health Americas, Inc.† | 8.50% | 1/31/2027 | 9,571 | 10,070,510 | ||||||||
Bausch Health Cos., Inc. Canada†(b) | 5.875% | 5/15/2023 | 5,991 | 6,027,126 |
92 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Healthcare (continued) | ||||||||||||
Bausch Health Cos., Inc. Canada†(b) | 6.125% | 4/15/2025 | $ | 14,385 | $ | 14,104,492 | ||||||
Hadrian Merger Sub, Inc.† | 8.50% | 5/1/2026 | 6,451 | 6,104,259 | ||||||||
IQVIA, Inc.† | 5.00% | 5/15/2027 | 23,913 | 24,317,369 | ||||||||
Polaris Intermediate Corp. PIK 8.50%† | 8.50% | 12/1/2022 | 5,922 | 5,840,573 | ||||||||
Service Corp. International | 5.125% | 6/1/2029 | 11,739 | 11,971,080 | ||||||||
Surgery Center Holdings, Inc.† | 10.00% | 4/15/2027 | 19,165 | 19,500,387 | ||||||||
Total | 97,935,796 | |||||||||||
Land Transportation 0.07% | ||||||||||||
Kenan Advantage Group, Inc. (The)† | 7.875% | 7/31/2023 | 8,342 | 7,924,900 | ||||||||
Manufacturing 0.32% | ||||||||||||
Brand Industrial Services, Inc.† | 8.50% | 7/15/2025 | 3,000 | 2,542,500 | ||||||||
Energizer Holdings, Inc.† | 7.75% | 1/15/2027 | 6,375 | 6,661,875 | ||||||||
Tesla, Inc.† | 5.30% | 8/15/2025 | 16,644 | 13,627,608 | ||||||||
Titan Acquisition Ltd./Titan Co-Borrower LLC (Canada)†(b) | 7.75% | 4/15/2026 | 16,610 | 14,845,187 | ||||||||
Total | 37,677,170 | |||||||||||
Metals/Minerals 0.29% | ||||||||||||
Barminco Finance Pty Ltd. (Australia)†(b) | 6.625% | 5/15/2022 | 9,475 | 9,711,922 | ||||||||
Mirabela Nickel Ltd. (Australia)(b) | 1.00% | 9/10/2044 | 51 | 5 | (a) | |||||||
TMS International Corp.† | 7.25% | 8/15/2025 | 15,599 | 15,248,023 | ||||||||
Warrior Met Coal, Inc.† | 8.00% | 11/1/2024 | 9,208 | 9,559,055 | ||||||||
Total | 34,519,005 | |||||||||||
Service 0.43% | ||||||||||||
Ahern Rentals, Inc.† | 7.375% | 5/15/2023 | 21,827 | 19,207,760 | ||||||||
Cloud Crane LLC† | 10.125% | 8/1/2024 | 16,886 | 17,983,590 | ||||||||
United Rentals North America, Inc. | 5.25% | 1/15/2030 | 13,672 | 13,432,740 | ||||||||
Total | 50,624,090 | |||||||||||
Shipping 0.06% | ||||||||||||
Golar LNG Partners LP (United Kingdom)†(b) | 8.768% (3 Mo. LIBOR + 6.25% | )# | 5/18/2021 | 7,400 | 7,501,750 | |||||||
Utility 0.27% | ||||||||||||
Calpine Corp. | 5.75% | 1/15/2025 | 23,909 | 23,196,990 | ||||||||
NRG Energy, Inc.† | 5.25% | 6/15/2029 | 7,972 | 8,202,550 | ||||||||
Total | 31,399,540 | |||||||||||
Total Corporate Bonds (cost $465,426,101) | 463,365,051 |
See Notes to Financial Statements. | 93 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
FLOATING RATE LOANS(d)91.49% | ||||||||||||
Aerospace 3.70% | ||||||||||||
American Airlines Replacement Term Loan B | 4.428% (1 Mo. LIBOR + 2.00% | ) | 4/28/2023 | $ | 22,257 | $ | 21,955,904 | |||||
American Airlines, Inc. 2017 Incremental Term Loan B | 4.44% (1 Mo. LIBOR + 2.00% | ) | 12/14/2023 | 28,861 | 28,491,440 | |||||||
American Airlines, Inc. 2018 Replacement Term Loan | 4.18% (1 Mo. LIBOR + 1.75% | ) | 6/27/2025 | 44,161 | 43,139,813 | |||||||
Atlantic Aviation FBO Inc. Term Loan | 6.19% (1 Mo. LIBOR + 3.75% | ) | 12/6/2025 | 4,304 | 4,347,096 | (e) | ||||||
Doncasters US Finance LLC 2nd Lien Term Loan | 10.851% (3 Mo. LIBOR + 8.25% | ) | 10/9/2020 | 8,103 | 2,329,654 | |||||||
Doncasters US Finance LLC Term Loan B | 6.101% (3 Mo. LIBOR + 3.50% | ) | 4/9/2020 | 42,340 | 30,312,654 | |||||||
Forming Machining Industries Holdings, LLC 1st Lien Initial Term Loan | 6.746% (3 Mo. LIBOR + 4.25% | ) | 10/3/2025 | 24,484 | 22,892,201 | (e) | ||||||
Gol Luxco SA Term Loan (Luxembourg)(b) | 6.50% | 8/31/2020 | 32,127 | 32,689,168 | (e) | |||||||
Jazz Acquisition, Inc. 1st Lien Term Loan | 6.101% (3 Mo. LIBOR + 3.50% | ) | 6/19/2021 | 46,982 | 46,952,983 | (e) | ||||||
Jazz Acquisition, Inc. 2nd Lien Term Loan | 9.351% (3 Mo. LIBOR + 6.75% | ) | 6/19/2022 | 17,686 | 17,641,785 | (e) | ||||||
MB Aerospace Holdings II Corp. 1st Lien Initial Term Loan | 5.939% (1 Mo. LIBOR + 3.50% | ) | 1/22/2025 | 13,425 | 13,072,908 | (e) | ||||||
Nordam Group Inc, The Term Loan B | 8.00% (1 Mo. LIBOR + 6.50% | ) | 4/3/2026 | 10,535 | 10,521,831 | (e) | ||||||
Transdigm Inc. 2018 New Tranche E Term Loan | 4.939% (1 Mo. LIBOR + 2.50% | ) | 5/30/2025 | 25,348 | 24,933,575 | |||||||
Transdigm Inc. New Tranche G Term Loan | 4.939% (1 Mo. LIBOR + 2.50% | ) | 8/22/2024 | 28,834 | 28,322,931 | |||||||
TransDigm, Inc. 2018 New Tranche F Term Loan | 4.939% (1 Mo. LIBOR + 2.50% | ) | 6/9/2023 | 47,334 | 46,589,767 | |||||||
Vertex Aerospace Services Corp. Initial Term Loan | 6.939% (1 Mo. LIBOR + 4.50% | ) | 6/16/2025 | 19,070 | 19,147,143 | |||||||
Wesco Aircraft Hardware Corp. New Tranche A Term Loan | 5.44% (1 Mo. LIBOR + 3.00% | ) | 11/30/2020 | 4,546 | 4,523,558 | |||||||
Wesco Aircraft Hardware Corp. Tranche B Term Loan | 4.94% (1 Mo. LIBOR + 2.50% | ) | 2/28/2021 | 12,857 | 12,760,775 | |||||||
WP CPP Holdings, LLC 2nd Lien Initial Term Loan | 10.34% (3 Mo. LIBOR + 7.75% | ) | 4/30/2026 | 24,688 | 24,574,806 | |||||||
Total | 435,199,992 |
94 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Chemicals 1.61% | ||||||||||||
Associated Asphalt Partners, LLC Tranche B Term Loan | 7.689% (1 Mo. LIBOR + 5.25% | ) | 4/5/2024 | $ | 16,084 | $ | 15,762,054 | |||||
Consolidated Energy Finance S.A. Initial Term Loan (Luxembourg)(b) | 4.94% (3 Mo. LIBOR + 2.50% | ) | 5/7/2025 | 28,271 | 27,634,822 | (e) | ||||||
Cyanco Intermediate 2 Corp. 1st Lien Initial Term Loan | 5.939% (1 Mo. LIBOR + 3.50% | ) | 3/16/2025 | 10,921 | 10,911,615 | |||||||
H.B. Fuller Co. Commitment Term Loan | 4.441% (1 Mo. LIBOR + 2.00% | ) | 10/20/2024 | 19,815 | 19,525,591 | |||||||
Polar US Borrower, LLC 2018 1st Lien Term Loan | 7.348% (3 Mo. LIBOR + 4.75% | ) | 10/15/2025 | 18,059 | 17,652,419 | (e) | ||||||
Starfruit Finco B.V. Initial Dollar Term Loan (Netherlands)(b) | 5.717% (1 Mo. LIBOR + 3.25% | ) | 10/1/2025 | 67,846 | 67,499,646 | |||||||
Tata Chemicals North America Term Loan | 5.375% (3 Mo. LIBOR + 2.75% | ) | 8/7/2020 | 15,576 | 15,605,166 | (e) | ||||||
Univar USA Inc. Term Loan B3 | 4.689% (1 Mo. LIBOR + 2.50%) | 7/1/2024 | 14,129 | 14,087,816 | ||||||||
Total | 188,679,129 | |||||||||||
Consumer Durables 0.95% | ||||||||||||
Comfort Holding LLC 1st Lien Initial Term Loan | 7.189% (1 Mo. LIBOR + 4.75% | ) | 2/5/2024 | 43,335 | 43,271,388 | |||||||
Comfort Holding LLC 2nd Lien Initial Term Loan | 12.439% (1 Mo. LIBOR + 10.00% | ) | 2/3/2025 | 8,800 | 8,745,304 | (e) | ||||||
G-III Apparel Group, Ltd. Initial Term Loan | 7.688% (1 Mo. LIBOR + 5.25%) - 7.75% | 12/1/2022 | 25,948 | 26,110,031 | ||||||||
TGP Holdings III LLC 1st Lien 2018 Refinancing Term Loan | 6.851% (3 Mo. LIBOR + 4.25% | ) | 9/25/2024 | 26,671 | 24,604,009 | |||||||
TGP Holdings III LLC 2nd Lien Initial Term Loan | 11.101% (3 Mo. LIBOR + 8.50% | ) | 9/25/2025 | 9,333 | 8,773,020 | (e) | ||||||
Total | 111,503,752 | |||||||||||
Consumer Non-Durables 1.80% | ||||||||||||
ABG Intermediate Holdings 2 LLC 1st Lien Initial Term Loan | 5.939% (1 Mo. LIBOR + 3.50% | ) | 9/26/2024 | 37,697 | 37,131,219 | |||||||
ABG Intermediate Holdings 2 LLC 2nd Lien Initial Term Loan | 10.189% (1 Mo. LIBOR + 7.75% | ) | 9/29/2025 | 13,848 | 13,709,749 | |||||||
AI Aqua Merger Sub, Inc. 1st Lien 2017 Incremental Term Loan | 5.689% (1 Mo. LIBOR + 3.25% | ) | 12/13/2023 | 15,012 | 14,552,706 | (e) | ||||||
AI Aqua Merger Sub, Inc. 1st Lien Tranche B1 Term Loan | 5.689% (1 Mo. LIBOR + 3.25% | ) | 12/13/2023 | 36,310 | 35,311,333 | (e) | ||||||
Energizer Holdings, Inc. 2018 Term Loan B | 4.75% (1 Mo. LIBOR + 2.25% | ) | 12/17/2025 | 27,489 | 27,386,021 | (e) |
See Notes to Financial Statements. | 95 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Consumer Non-Durables (continued) | ||||||||||||
Isagenix International, LLC Senior Lien Term Loan | 8.351% (3 Mo. LIBOR + 5.75% | ) | 6/14/2025 | $ | 22,862 | $ | 18,232,654 | |||||
Recess Holdings, Inc. 1st Lien Initial Term Loan | 6.189% (1 Mo. LIBOR + 3.75% | ) | 9/29/2024 | 16,519 | 16,385,129 | (e) | ||||||
Rodan & Fields, LLC Closing Date Term Loan | 6.44% (1 Mo. LIBOR + 4.00% | ) | 6/6/2025 | 34,675 | 30,969,033 | |||||||
SRAM, LLC 1st Lien 2018 New Term Loan | 5.231% (2 Mo. LIBOR + 2.75%) - 5.291% | 3/15/2024 | 11,316 | 11,308,822 | (e) | |||||||
Werner Finco LP Initial Term Loan | 6.601% (3 Mo. LIBOR + 4.00% | ) | 7/24/2024 | 7,186 | 6,862,388 | (e) | ||||||
Total | 211,849,054 | |||||||||||
Energy 2.69% | ||||||||||||
Arctic LNG Carries Ltd. Term Loan (Marshall Islands)(b) | 6.929% (1 Mo. LIBOR + 4.50% | ) | 5/18/2023 | 38,693 | 37,822,685 | |||||||
BCP Raptor II, LLC Initial Term Loan | 7.189% (1 Mo. LIBOR + 4.75% | ) | 11/3/2025 | 19,843 | 19,313,886 | |||||||
BCP Renaissance Parent LLC Initial Term Loan | 6.083% (3 Mo. LIBOR + 3.50% | ) | 10/31/2024 | 4,797 | 4,780,028 | |||||||
California Resources Corp. Initial Term Loan | 7.178% (1 Mo. LIBOR + 4.75% | ) | 12/31/2022 | 52,119 | 49,773,253 | |||||||
Compass Power Generation, L.L.C. Tranche B1 Term Loan | 5.939% (1 Mo. LIBOR + 3.50% | ) | 12/20/2024 | 23,483 | 23,553,212 | |||||||
Keane Group Holdings, LLC Initial Term Loan | 6.25% (1 Mo. LIBOR + 3.75% | ) | 5/25/2025 | 38,142 | 37,569,774 | |||||||
Lower Cadence Holdings LLC Initial Term Loan | – | (f) | 5/22/2026 | 46,311 | 46,296,644 | (e) | ||||||
Lucid Energy Group II Borrower, LLC Initial Term Loan | 5.43% (1 Mo. LIBOR + 3.00% | ) | 2/17/2025 | 11,044 | 10,745,010 | |||||||
Medallion Midland Acquisition, LLC Initial Term Loan | 5.689% (1 Mo. LIBOR + 3.25% | ) | 10/30/2024 | 25,623 | 25,292,200 | |||||||
Navitas Midstream Midland Basin, LLC Initial Term Loan | 6.93% (1 Mo. LIBOR + 4.50% | ) | 12/13/2024 | 23,419 | 22,980,083 | |||||||
Seadrill Operating LP Initial Term Loan | 8.601% (3 Mo. LIBOR + 6.00% | ) | 2/21/2021 | 17,426 | 13,638,965 | |||||||
Ulterra Drilling Technologies, LP Term Loan B | 7.689% (1 Mo. LIBOR + 5.25% | ) | 11/26/2025 | 25,685 | 24,271,973 | (e) | ||||||
Total | 316,037,713 | |||||||||||
Financial 5.06% | ||||||||||||
Achilles Acquisition LLC Closing Date Term Loan | 6.50% (1 Mo. LIBOR + 4.00% | ) | 10/3/2025 | 24,949 | 24,948,613 | |||||||
Acrisure, LLC 1st Lien 2017 Refinancing Term Loan | 6.772% (3 Mo. LIBOR + 4.25% | ) | 11/22/2023 | 26,614 | 26,530,828 |
96 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Financial (continued) | ||||||||||||
Acrisure, LLC 1st Lien 2018 Additional Term Loan | 6.272% (1 Mo. LIBOR + 3.75% | ) | 11/22/2023 | $ | 3,363 | $ | 3,330,360 | |||||
Advisor Group, Inc. Initial Term Loan | 6.189% (1 Mo. LIBOR + 3.75% | ) | 8/15/2025 | 30,770 | 30,828,069 | |||||||
Alliant Holdings Intermediate, LLC 2018 Initial Term Loan | 5.43% (1 Mo. LIBOR + 3.00% | ) | 5/9/2025 | 38,169 | 37,272,238 | |||||||
Alliant Holdings Intermediate, LLC 2019 New Term Loan | 5.701% (1 Mo. LIBOR + 3.25% | ) | 5/9/2025 | 19,131 | 18,915,776 | |||||||
Apollo Commercial Real Estate Finance, Inc Initial Term Loan | 5.19% (3 Mo. LIBOR + 2.75% | ) | 5/15/2026 | 3,825 | 3,791,436 | |||||||
Asurion, LLC Amendment No. 14 Replacement Term Loan B4 | 5.439% (1 Mo. LIBOR + 3.00% | ) | 8/4/2022 | 16,683 | 16,643,264 | |||||||
Asurion, LLC Replacement Term Loan B6 | 5.439% (1 Mo. LIBOR +3.00% | ) | 11/3/2023 | 57,637 | 57,507,859 | |||||||
Blackhawk Network Holdings, Inc. 1st Lien Term Loan | 5.439% (1 Mo. LIBOR + 3.00% | ) | 6/15/2025 | 31,068 | 30,784,730 | |||||||
Blackstone Mortgage Trust, Inc. Initial Term Loan | 4.939% (1 Mo. LIBOR + 2.50% | ) | 4/23/2026 | 9,571 | 9,600,957 | (e) | ||||||
Financial & Risk US Holdings, Inc. Initial Dollar Term Loan | 6.189% (1 Mo. LIBOR + 3.75% | ) | 10/1/2025 | 47,983 | 46,888,110 | |||||||
Genworth Holdings, Inc. Initial Term Loan | 6.993% (2 Mo. LIBOR + 4.50% | ) | 3/7/2023 | 30,604 | 30,929,036 | (e) | ||||||
Hub International Limited Initial Term Loan | 5.292% (3 Mo. LIBOR + 3.00%)- 5.336% | 4/25/2025 | 83,640 | 81,638,563 | ||||||||
Jefferies Finance LLC Term Loan | – | (f) | 5/21/2026 | 19,124 | 19,135,952 | |||||||
Millennium Trust Co., LLC Term Loan | 7.439% (1 Mo. LIBOR + 5.00% | ) | 2/26/2026 | 19,147 | 19,123,066 | |||||||
Mitchell International, Inc. 1st Lien Initial Term Loan | 5.689% (1 Mo. LIBOR + 3.25% | ) | 11/29/2024 | 32,850 | 31,429,158 | |||||||
NFP Corp. 1st Lien Initial Dollar Term Loan | 5.439% (1 Mo. LIBOR + 3.00% | ) | 1/8/2024 | 14,619 | 14,244,424 | |||||||
PGX Holdings, Inc. 1st Lien Initial Term Loan | 7.69% (1 Mo. LIBOR + 5.25% | ) | 9/29/2020 | 11,731 | 11,144,002 | |||||||
USI, Inc. 2017 New Term Loan | 5.601% (3 Mo. LIBOR + 3.00% | ) | 5/16/2024 | 7,907 | 7,699,660 | |||||||
VFH Parent LLC Term Loan | 6.126% (1 Mo. LIBOR + 3.50% | ) | 3/1/2026 | 41,598 | 41,701,594 | |||||||
York Risk Services Holding Corp. Term Loan | 6.189% (1 Mo. LIBOR + 3.75% | ) | 10/1/2021 | 31,824 | 30,033,868 | |||||||
Total | 594,121,563 |
See Notes to Financial Statements. | 97 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Food & Drug 1.28% | ||||||||||||
99¢ Only Stores 1st Lien Tranche B2 Term Loan | 9.022% (3 Mo. LIBOR + 6.50%) - 9.5% | 1/13/2022 | $ | 37,011 | $ | 33,679,878 | (e) | |||||
Albertson’s LLC 2018 Term Loan B7 | 5.439% (1 Mo. LIBOR + 3.00% | ) | 11/17/2025 | 75,315 | 74,914,730 | |||||||
GOBP Holdings, Inc. 1st Lien Initial Term Loan | 6.351% (3 Mo. LIBOR + 3.75% | ) | 10/18/2025 | 16,817 | 16,823,004 | |||||||
United Natural Foods, Inc. Initial Term Loan | 6.689% (1 Mo. LIBOR + 4.25% | ) | 10/22/2025 | 29,220 | 25,128,784 | |||||||
Total | 150,546,396 | |||||||||||
Food/Tobacco 5.13% | ||||||||||||
1011778 B.C. Unlimited Liability Co. Term Loan B3 (Canada)(b) | 4.689% (1 Mo. LIBOR + 2.25% | ) | 2/16/2024 | 26,450 | 26,185,500 | |||||||
8th Avenue Food & Provisions, Inc. 1st Lien Term Loan | 6.217% (1 Mo. LIBOR + 3.75% | ) | 10/1/2025 | 9,086 | 9,100,385 | |||||||
Aramark Intermediate HoldCo Corp. Dollar Term Loan B3 | 4.189% (1 Mo. LIBOR + 1.75% | ) | 3/11/2025 | 29,809 | 29,716,193 | |||||||
CEC Entertainment, Inc. Term Loan B | 5.689% (1 Mo. LIBOR + 3.25% | ) | 2/14/2021 | 16,148 | 16,076,534 | |||||||
CHG PPC Parent LLC 1st Lien Initial Term Loan | 5.189% (1 Mo. LIBOR + 2.75% | ) | 3/31/2025 | 7,847 | 7,768,609 | |||||||
Chobani, LLC 1st Lien New Term Loan | 5.939% (1 Mo. LIBOR + 3.50% | ) | 10/10/2023 | 34,865 | 34,276,699 | |||||||
Del Frisco’s Restaurant Group, Inc. Initial Term Loan | 8.439% (1 Mo. LIBOR + 6.00% | ) | 6/27/2025 | 20,979 | 20,218,370 | |||||||
Dhanani Group Inc. Term Loan | 6.189% (1 Mo. LIBOR + 3.75% | ) | 7/20/2025 | 28,819 | 27,990,670 | (e) | ||||||
Financiere Storage Facility Term Loan B(c) | 3.75% (3 Mo. Euribor + 3.75% | ) | 9/29/2025 | EUR | 17,383 | 19,504,377 | ||||||
Flynn Restaurant Group LP 1st Lien Initial Term Loan | 5.939% | 6/27/2025 | $ | 44,723 | 43,627,049 | |||||||
Flynn Restaurant Group LP 2nd Lien Initial Term Loan | 9.467% (1 Mo. LIBOR + 7.00% | ) | 6/29/2026 | 6,291 | 6,102,270 | |||||||
GPS Hospitality Holding Co. LLC Initial Term Loan B | 6.851% (3 Mo. LIBOR + 4.25% | ) | 12/6/2025 | 29,753 | 29,344,075 | (e) | ||||||
H-Food Holdings, LLC Initial Term Loan | 6.126% (1 Mo. LIBOR + 3.69% | ) | 5/23/2025 | 64,155 | 62,906,011 | |||||||
IRB Holding Corp. Term Loan B | 5.69% (1 Mo. LIBOR + 3.25% | ) | 2/5/2025 | 46,010 | 45,610,728 | |||||||
JBS USA Lux S.A. (Luxembourg) 2019 Term Loan B(b) | 5.025% (2 Mo. LIBOR + 2.50% | ) | 5/1/2026 | 41,636 | 41,631,628 |
98 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Food/Tobacco (continued) | ||||||||||||
Miller’s Ale House, Inc. Term Loan B | 7.217% (1 Mo. LIBOR +4.75% | ) | 5/26/2025 | $ | 24,141 | $ | 23,537,063 | |||||
NPC International, Inc. 2nd Lien Initial Term Loan | 9.939% (1 Mo. LIBOR + 7.50% | ) | 4/18/2025 | 9,531 | 6,290,460 | |||||||
Panera Bread Co. Term Loan | 4.25% (1 Mo. LIBOR + 1.75% | ) | 7/18/2022 | 21,916 | 21,485,014 | |||||||
Post Holdings, Inc. Series A Incremental Term Loan | 4.44% (1 Mo. LIBOR + 2.00% | ) | 5/24/2024 | 9,596 | 9,570,900 | |||||||
Red Lobster Management LLC 1st Lien Initial Term Loan | 7.689% (1 Mo. LIBOR + 5.25% | ) | 7/28/2021 | 32,820 | 32,532,944 | |||||||
Sigma Holdco B.V. Facility Term Loan B2 (Netherlands)(b) | 5.603% (3 Mo. LIBOR + 3.00% | ) | 7/2/2025 | 30,084 | 29,602,402 | |||||||
Sunshine Investments B.V. Facility Term Loan B3 (Netherlands)(b) | 5.768% (3 Mo. LIBOR + 3.25% | ) | 3/28/2025 | 9,682 | 9,657,994 | (e) | ||||||
US Foods, Inc. Initial Term Loan | 4.439% (1 Mo. LIBOR + 2.00% | ) | 6/27/2023 | 50,210 | 49,824,788 | |||||||
Total | 602,560,663 | |||||||||||
Forest Products 2.51% | ||||||||||||
Berry Global, Inc. Term Loan Q | 4.451% (1 Mo. LIBOR + 2.00% | ) | 10/1/2022 | 23,837 | 23,693,645 | |||||||
Berry Global, Inc. Term Loan S | 4.201% (1 Mo. LIBOR + 1.75% | ) | 2/8/2020 | 2,084 | 2,082,188 | |||||||
Berry Global, Inc. Term Loan T | 4.201% (1 Mo. LIBOR + 1.75% | ) | 1/6/2021 | 16,469 | 16,431,307 | |||||||
Berry Global, Inc. Term Loan U | – | (f) | 5/17/2026 | 71,060 | 70,793,880 | |||||||
BWay Holding Co. Initial Term Loan | 5.854% (3 Mo. LIBOR + 3.25% | ) | 4/3/2024 | 1,402 | 1,369,446 | |||||||
Klockner Pentaplast of America, Inc. Dollar Term Loan | 6.689% (1 Mo. LIBOR + 4.25% | ) | 6/30/2022 | 21,669 | 19,159,179 | |||||||
ProAmpac PG Borrower LLC 1st Lien Initial Term Loan | 6.065% (1 Mo. LIBOR + 3.50% | ) | 11/18/2023 | 45,250 | 43,694,619 | |||||||
Ranpak Corp. 2nd Lien Initial Term Loan | 9.691% (1 Mo. LIBOR + 7.25% | ) | 10/3/2022 | 6,742 | 6,716,359 | (e) | ||||||
Reynolds Group Holdings, Inc. Incremental U.S. Term Loan | 5.189% (1 Mo. LIBOR + 2.75% | ) | 2/5/2023 | 39,358 | 39,080,489 | |||||||
Southern Graphics Inc. 1st Lien Refinancing Term Loan | 5.689% (1 Mo. LIBOR + 3.25%) - 5.731% | 12/31/2022 | 26,462 | 22,228,144 | ||||||||
Southern Graphics Inc. 2nd Lien Initial Term Loan | 9.981% (1 Mo. LIBOR + 7.50% | ) | 12/31/2023 | 9,480 | 7,015,200 | (e) | ||||||
Spectrum Holdings III Corp. 1st Lien Closing Date Term Loan | 5.689% (1 Mo. LIBOR + 3.25% | ) | 1/31/2025 | 24,212 | 23,031,678 |
See Notes to Financial Statements. | 99 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Forest Products (continued) | ||||||||||||
Spectrum Holdings III Corp. 2nd Lien Closing Date Term Loan | 9.439% (1 Mo. LIBOR + 7.00% | ) | 1/31/2026 | $ | 11,425 | $ | 10,568,099 | (e) | ||||
Trident TPI Holdings, Inc. Tranch B1 Term Loan | 5.689% (1 Mo. LIBOR + 3.25% | ) | 10/17/2024 | 9,238 | 8,914,222 | |||||||
Total | 294,778,455 | |||||||||||
Gaming/Leisure 5.13% | ||||||||||||
24 Hour Fitness Worldwide, Inc. Term Loan | 5.939% (1 Mo. LIBOR + 3.50% | ) | 5/30/2025 | 9,584 | 9,537,632 | |||||||
Alterra Mountain Co. Initial Bluebird Term Loan | 5.439% (1 Mo. LIBOR + 3.00% | ) | 7/31/2024 | 45,502 | 45,435,314 | |||||||
Bulldog Purchaser Inc. 1st Lien Delayed Draw Term Loan | 3.75% | 8/22/2025 | 736 | 730,696 | (e) | |||||||
Bulldog Purchaser Inc. 1st Lien Initial Term Loan | 6.189% (1 Mo. LIBOR + 3.75% | ) | 9/5/2025 | 27,249 | 27,044,391 | |||||||
Caesars Resort Collection, LLC Term Loan B | 5.189% (1 Mo. LIBOR + 2.75% | ) | 12/22/2024 | 17,198 | 17,098,514 | |||||||
CEOC, LLC Term Loan B | 4.439% (1 Mo. LIBOR + 2.00% | ) | 10/6/2024 | 62,238 | 61,678,242 | |||||||
Equinox Holdings Inc. 1st Lien Incremental Term Loan B1 | 5.439% (1 Mo. LIBOR + 3.00% | ) | 3/8/2024 | 29,786 | 29,730,486 | |||||||
ESH Hospitality, Inc. Third Repriced Term Loan | 4.439% (1 Mo. LIBOR + 2.00% | ) | 8/30/2023 | 11,675 | 11,652,698 | |||||||
Everi Payments Inc. Term Loan B | 5.439% (1 Mo. LIBOR + 3.00% | ) | 5/9/2024 | 32,134 | 32,133,700 | |||||||
Gateway Casinos & Entertainment Limited Initial Term Loan (Canada)(b) | 5.601% (3 Mo. LIBOR + 3.00% | ) | 3/13/2025 | 15,335 | 15,363,871 | |||||||
Golden Entertainment, Inc. 1st Lien Facility Term Loan B | 5.43% (1 Mo. LIBOR + 3.00% | ) | 10/21/2024 | 40,642 | 40,590,866 | (e) | ||||||
Life Time Fitness, Inc. 2017 Refinancing Term Loan | 5.275% (3 Mo. LIBOR + 2.75% | ) | 6/10/2022 | 54,616 | 54,473,709 | |||||||
MGM Resorts International Term Loan A | 4.439% (1 Mo. LIBOR 2.00% | ) | 12/21/2023 | 28,712 | 28,586,385 | (e) | ||||||
PCI Gaming Authority Facility Term Loan B | – | (f) | 5/29/2026 | 19,130 | 19,165,869 | |||||||
Playa Resorts Holding B.V. Initial Term Loan (Netherlands)(b) | 5.19% (1 Mo. LIBOR + 2.75% | ) | 4/29/2024 | 24,978 | 24,548,328 | |||||||
Scientific Games International, Inc. Initial Term Loan B5 | 5.189% (1 Mo. LIBOR + 2.75%) - 5.231% | 8/14/2024 | 75,153 | 74,072,747 | ||||||||
Stars Group Holdings B.V. (The) (Netherlands) USD Term Loan(b) | 6.101% (3 Mo. LIBOR + 3.50% | ) | 7/10/2025 | 62,592 | 62,684,569 | |||||||
Station Casinos LLC Facility Term Loan B | 4.94% (1 Mo. LIBOR + 2.50% | ) | 6/8/2023 | 14,989 | 14,906,590 |
100 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Gaming/Leisure (continued) | ||||||||||||
VICI Properties 1 LLC Term Loan B | 4.436% (1 Mo. LIBOR + 2.00% | ) | 12/20/2024 | $ | 20,542 | $ | 20,415,122 | |||||
Wynn America, LLC Extended Facility Term Loan | 4.19% (1 Mo. LIBOR + 1.75% | ) | 12/31/2021 | 13,410 | 13,275,900 | |||||||
Total | 603,125,629 | |||||||||||
Healthcare 12.05% | ||||||||||||
Agiliti Health, Inc. Initial Term Loan | 5.50% (1 Mo. LIBOR + 3.00% | ) | 1/4/2026 | 4,817 | 4,811,039 | (e) | ||||||
Air Medical Group Holdings, Inc. 2018 Term Loan | 5.69% (1 Mo. LIBOR + 3.25% | ) | 4/28/2022 | 42,446 | 41,587,694 | |||||||
Amneal Pharmaceuticals LLC Initial Term Loan | 6.00% (1 Mo. LIBOR + 3.50% | ) | 5/4/2025 | 38,188 | 37,978,399 | |||||||
athenahealth Inc. 1st Lien Term Loan B | 6.951% (3 Mo. LIBOR + 4.50%) - 7.045% | 2/11/2026 | 47,847 | 47,886,952 | ||||||||
Auris LuxCo 1st Lien Facility Term Loan B (Luxembourg)(b) | 6.189% (1 Mo. LIBOR + 3.75% | ) | 2/27/2026 | 30,749 | 30,871,996 | |||||||
Bausch Health Cos., Inc. 1st Incremental Term Loan (Canada)(b) | 5.217% (1 Mo. LIBOR + 2.75% | ) | 11/27/2025 | 35,362 | 35,180,419 | |||||||
Bausch Health Cos., Inc. Initial Term Loan (Canada)(b) | 5.467% (1 Mo. LIBOR + 3.00% | ) | 6/2/2025 | 21,488 | 21,451,142 | |||||||
Catalent Pharma Solutions, Inc. Dollar Term Loan | 4.689% (1 Mo. LIBOR + 2.25% | ) | 5/20/2024 | 2,829 | 2,828,367 | |||||||
CCS-CMGC Holdings, Inc. 1st Lien Initial Term Loan | 7.939% (1 Mo. LIBOR + 5.50% | ) | 9/20/2025 | 28,854 | 28,240,761 | |||||||
Change Healthcare Holdings, Inc. Closing Date Term Loan | 5.189% (1 Mo. LIBOR + 2.75% | ) | 3/1/2024 | 78,447 | 77,360,990 | |||||||
Concentra Inc. 1st Lien Tranche B1 Term Loan | 5.22% (1 Mo. LIBOR + 2.75% | ) | 6/1/2022 | 32,211 | 32,049,773 | (e) | ||||||
CP VI Bella Midco, LLC 1st Lien Initial Term Loan | 5.189% (1 Mo. LIBOR + 2.75% | ) | 12/28/2024 | 33,565 | 32,683,512 | |||||||
CP VI Bella Midco, LLC 2nd Lien Initial Term Loan | 9.189% (1 Mo. LIBOR + 6.75% | ) | 12/28/2025 | 8,764 | 8,610,630 | |||||||
Envision Healthcare Corp. Initial Term Loan | 6.189% (1 Mo. LIBOR + 3.75% | ) | 10/10/2025 | 44,956 | 41,060,037 | |||||||
Equian Buyer Corp. 2018 Incremental Term Loan | 5.689% (1 Mo. LIBOR + 3.25% | ) | 5/20/2024 | 23,962 | 23,818,535 | |||||||
FHC Health Systems, Inc. Initial Term Loan | 6.439% (1 Mo. LIBOR + 4.00% | ) | 12/23/2021 | 29,518 | 28,164,860 | |||||||
Gentiva Health Services, Inc. 1st Lien Closing Date Initial Term Loan | 6.25% (1 Mo. LIBOR + 3.75% | ) | 7/2/2025 | 50,750 | 50,876,809 | (e) |
See Notes to Financial Statements. | 101 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Healthcare (continued) | ||||||||||||
Gentiva Health Services, Inc. 2nd Lien Initial Term Loan | 9.50% (1 Mo. LIBOR + 7.00% | ) | 7/2/2026 | $ | 9,680 | $ | 9,855,450 | (e) | ||||
Grifols Worldwide Operations Limited Tranche B Term Loan | 4.637% (1 Wk. LIBOR + 2.25% | ) | 1/31/2025 | 37,073 | 36,947,952 | |||||||
Heartland Dental, LLC Delayed Draw Term Loan | 3.75% | 4/30/2025 | 369 | 358,078 | ||||||||
Heartland Dental, LLC Initial Term Loan | 6.189% (1 Mo. LIBOR + 3.75% | ) | 4/30/2025 | 16,495 | 16,000,403 | |||||||
Iqvia Inc. Dollar Term Loan B3 | 4.189% (3 Mo. LIBOR + 1.75% | ) | 6/11/2025 | 19,216 | 19,110,106 | |||||||
Jaguar Holding Co.II, LLC 2018 Term Loan | 4.939% | 8/18/2022 | 53,811 | 53,301,980 | ||||||||
Kindred Healthcare, LLC Closing Date Term Loan | 7.50% (1 Mo. LIBOR + 5.00% | ) | 6/19/2025 | 15,949 | 15,789,163 | (e) | ||||||
MPH Acquisition Holdings LLC Initial Term Loan | 5.351% (3 Mo. LIBOR + 2.75% | ) | 6/7/2023 | 62,447 | 61,171,919 | |||||||
National Mentor Holdings, Inc. 1st Lien Initial Term Loan | 6.69% (1 Mo. LIBOR + 4.25% | ) | 3/9/2026 | 28,690 | 28,821,286 | |||||||
Navicure, Inc. 1st Lien Initial Term Loan | 6.189% (1 Mo. LIBOR + 3.75% | ) | 11/1/2024 | 25,252 | 25,110,409 | |||||||
Navicure, Inc. 2nd Lien Initial Term Loan | 9.939% (1 Mo. LIBOR + 7.50% | ) | 10/23/2025 | 11,573 | 11,457,270 | (e) | ||||||
NMN Holdings III Corp. 1st Lien Closing Date Term Loan | 6.189% (1 Mo. LIBOR + 3.75% | ) | 11/13/2025 | 19,818 | 19,668,996 | |||||||
NMN Holdings III Corp. 1st Lien Delay Draw Term Loan | 1.875% | 11/13/2025 | 4,213 | 4,181,874 | ||||||||
NVA Holdings, Inc. 1st Lien Term Loan B3 | 5.189% (1 Mo. LIBOR + 2.75% | ) | 2/2/2025 | 41,262 | 40,041,537 | |||||||
Ortho-Clinical Diagnostics, Inc. 2nd Amendment New Term Loan | 5.695% (3 Mo. LIBOR + 3.25% | ) | 6/30/2025 | 40,909 | 39,613,386 | |||||||
Parexel International Corp. Initial Term Loan | 5.189% (1 Mo. LIBOR + 2.75% | ) | 9/27/2024 | 33,493 | 31,916,154 | |||||||
Press Ganey Holdings, Inc. 2nd Lien Initial Term Loan | 8.939% (1 Mo. LIBOR + 6.50% | ) | 10/21/2024 | 4,960 | 4,978,787 | |||||||
Press Ganey Holdings, Inc.1st Lien 2018 Replacement Term Loans | 5.189% (1 Mo. LIBOR + 2.75% | ) | 10/23/2023 | 44,736 | 44,512,766 | |||||||
RegionalCare Hospital Partners Holdings, Inc. 1st Lien Term Loan | 6.93% (1 Mo. LIBOR + 4.50% | ) | 11/16/2025 | 69,022 | 68,978,814 | |||||||
Select Medical Corp. Tranche B Term Loan | 4.93% (1 Mo. LIBOR + 2.50% | ) | 3/6/2025 | 13,932 | 13,931,850 | (e) | ||||||
Sound Inpatient Physicians, Inc. 1st Lien Initial Term Loan | 5.189% (1 Mo. LIBOR + 2.75% | ) | 6/27/2025 | 32,096 | 32,105,927 | |||||||
Sound Inpatient Physicians, Inc. 2nd Lien Initial Term Loan | 9.189% (1 Mo. LIBOR + 6.75% | ) | 6/26/2026 | 7,540 | 7,532,950 |
102 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Healthcare (continued) | ||||||||||||
Sterigenics-Nordion Holdings, LLC Incremental Term Loan | 5.439% (1 Mo. LIBOR + 3.00% | ) | 5/15/2022 | $ | 15,318 | $ | 15,202,798 | |||||
Surgery Center Holdings, Inc. Initial Term Loan | 5.69% (1 Mo. LIBOR + 3.25% | ) | 9/2/2024 | 47,672 | 46,867,276 | |||||||
Team Health Holdings, Inc. Initial Term Loan | 5.189% (1 Mo. LIBOR + 2.75% | ) | 2/6/2024 | 41,786 | 37,816,266 | |||||||
U.S. Renal Care, Inc. 1st Lien Initial Term Loan | 6.851% (3 Mo. LIBOR + 4.25% | ) | 12/30/2022 | 48,245 | 48,310,780 | |||||||
Verscend Holding Corp. Term Loan | 6.939% (1 Mo. LIBOR + 4.50% | ) | 8/27/2025 | 67,313 | 67,464,199 | |||||||
Viant Medical Holdings, Inc. 1st Lien Initial Term Loan | 6.351% (3 Mo. LIBOR + 3.75% | ) | 7/2/2025 | 9,631 | 9,546,337 | |||||||
Wink Holdco, Inc. 1st Lien Initial Term Loan | 5.439% (1 Mo. LIBOR + 3.00% | ) | 12/2/2024 | 23,878 | 23,408,292 | |||||||
Wink Holdco, Inc. 2nd Lien Initial Term Loan | 9.19% (1 Mo. LIBOR + 6.75% | ) | 11/3/2025 | 4,485 | 4,451,363 | |||||||
Zotec Partners, LLC Term Loan | 7.43% (1 Mo. LIBOR + 5.00% | ) | 2/14/2024 | 31,403 | 31,560,420 | (e) | ||||||
Total | 1,415,476,703 | |||||||||||
Housing 1.87% | ||||||||||||
Builders FirstSource, Inc. Refinancing Term Loan | 5.601% (3 Mo. LIBOR + 3.00% | ) | 2/29/2024 | 7,189 | 7,164,133 | |||||||
CPG International LLC New Term Loan | 6.633% (6 Mo. LIBOR + 3.75% | ) | 5/5/2024 | 26,395 | 26,131,338 | (e) | ||||||
Foundation Building Materials Holding Co. LLC Term Loan | 5.439% (1 Mo. LIBOR + 3.00% | ) | 8/13/2025 | 24,037 | 23,796,390 | |||||||
GYP Holdings III Corp. 1st Lien 2018 Incremental Term Loan | 5.189% (1 Mo. LIBOR + 2.75% | ) | 6/1/2025 | 42,778 | 42,082,529 | |||||||
Hamilton Holdco LLC Term Loan | 4.61% (3 Mo. LIBOR + 2.00% | ) | 7/2/2025 | 14,247 | 14,175,576 | (e) | ||||||
LBM Borrower, LLC 1st Lien Tranche C Term Loan | 6.189% (3 Mo. LIBOR + 3.75% | ) | 8/20/2022 | 22,046 | 22,078,360 | |||||||
Ply Gem Midco, Inc. Initial Term Loan | 6.354% (3 Mo. LIBOR + 3.75% | ) | 4/12/2025 | 46,072 | 45,514,766 | |||||||
Quikrete Holdings, Inc. 1st Lien Initial Term Loan | 5.19% (1 Mo. LIBOR + 2.75% | ) | 11/15/2023 | 23,926 | 23,557,181 | |||||||
SRS Distribution Inc. Initial Term Loan | 5.689% (1 Mo. LIBOR + 3.25% | ) | 5/23/2025 | 16,213 | 15,645,700 | |||||||
Total | 220,145,973 |
See Notes to Financial Statements. | 103 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Information Technology 11.01% | ||||||||||||
Barracuda Networks, Inc. 1st Lien 2019 Incremental Term Loan | 5.774% (3 Mo. LIBOR + 3.25% | ) | 2/12/2025 | $ | 23,853 | $ | 23,826,707 | |||||
Boxer Parent Co. Inc. Initial Dollar Term Loan | 6.851% (3 Mo. LIBOR + 4.25% | ) | 10/2/2025 | 67,586 | 66,521,139 | |||||||
Carbonite, Inc Initial Term Loan | 6.18% (1 Mo. LIBOR + 3.75% | ) | 3/26/2026 | 17,243 | 17,315,004 | |||||||
CentralSquare Technologies, LLC 1st Lien Initial Term Loan | 6.189% (1 Mo. LIBOR + 3.75% | ) | 8/29/2025 | 45,256 | 44,916,890 | |||||||
CentralSquare Technologies, LLC 2nd Lien Initial Term Loan | 9.939% (1 Mo. LIBOR + 7.50% | ) | 8/31/2026 | 4,831 | 4,782,690 | (e) | ||||||
Cologix Holdings, Inc. 1st Lien Initial Term Loan | 5.439% (1 Mo. LIBOR + 3.00% | ) | 3/20/2024 | 9,949 | 9,545,741 | |||||||
Cypress Intermediate Holdings III, Inc. 1st Lien Initial Term Loan | 5.19% (1 Mo. LIBOR + 2.75% | ) | 4/26/2024 | 20,832 | 20,754,151 | |||||||
Cypress Intermediate Holdings III, Inc. 2nd Lien Initial Term Loan | 9.189% (1 Mo. LIBOR + 6.75% | ) | 4/27/2025 | 6,303 | 6,369,969 | |||||||
Datto, Inc. Term Loan | 6.689% (1 Mo. LIBOR + 4.25% | ) | 4/2/2026 | 20,117 | 20,318,170 | (e) | ||||||
DigiCert, Inc. 1st Lien Term Loan | 6.439% (1 Mo. LIBOR + 4.00% | ) | 10/31/2024 | 15,309 | 15,304,293 | |||||||
EIG Investors Corp. 2018 Refinancing Term Loan | 6.18% (3 Mo. LIBOR + 3.75%) - 6.27% | 2/9/2023 | 14,285 | 14,266,445 | ||||||||
Epicor Software Corp. Term Loan B | 5.69% (1 Mo. LIBOR + 3.25% | ) | 6/1/2022 | 37,373 | 37,266,295 | |||||||
Eta Australia Holdings III Pty Ltd (Australia) Term Loan(b) | 6.439% (1 Mo. LIBOR + 4.00% | ) | 6/5/2026 | 19,152 | 19,199,880 | |||||||
GlobalFoundries Inc (Singapore) Term Loan(b) | – | (f) | 5/24/2026 | 47,798 | 47,559,010 | (e) | ||||||
Hyland Software, Inc. 1st Lien 2018 Refinancing Term Loan | 5.689% (1 Mo. LIBOR + 3.50% | ) | 7/1/2024 | 11,535 | 11,548,955 | |||||||
Hyland Software, Inc. 2nd Lien Initial Term Loan | 9.439% (1 Mo. LIBOR + 7.00% | ) | 7/7/2025 | 30,685 | 30,914,826 | |||||||
Imperva, Inc. Term Loan | 6.453% (1 Mo. LIBOR + 4.00% | ) | 1/12/2026 | 33,897 | 33,705,967 | |||||||
ION Trading Technologies S.A.R.L. 2018 1st Lien Initial Dollar Term Loan (Luxembourg)(b) | 6.651% (3 Mo. LIBOR + 4.00% | ) | 11/21/2024 | 62,366 | 60,974,088 | |||||||
KeyW Corp.(The) 1st Lien Term Loan | 6.951% (1 Mo. LIBOR + 4.50% | ) | 5/2/2024 | 26,498 | 26,580,594 | (e) | ||||||
MA FinanceCo., LLC Tranche B3 Term Loan | 4.929% (1 Mo. LIBOR + 2.50% | ) | 6/21/2024 | 8,505 | 8,412,256 | |||||||
McAfee, LLC Dollar Term Loan B | 6.178% (2 Mo. LIBOR + 3.75% | ) | 9/30/2024 | 22,268 | 22,286,797 | |||||||
Microchip Technology Inc. Initial Term Loan | 4.44% (1 Mo. LIBOR + 2.00% | ) | 5/29/2025 | 10,329 | 10,318,898 |
104 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Information Technology (continued) | ||||||||||||
Misys Limited 1st Lien Dollar Term Loan | 6.101% (3 Mo. LIBOR + 3.50% | ) | 6/13/2024 | $ | 66,041 | $ | 64,807,095 | |||||
Nomad Buyer, Inc. Initial Term Loan | 7.467% | 8/1/2025 | 35,632 | 35,275,626 | ||||||||
ON Semiconductor Corp. 2018 New Replacement Term Loan B3 | 4.189% (1 Mo. LIBOR +1.75% | ) | 3/31/2023 | 18,561 | 18,378,940 | |||||||
Peak 10 Holding Corp. 2nd Lien Initial Term Loan | 9.829% (3 Mo. LIBOR + 7.25% | ) | 8/1/2025 | 12,294 | 10,434,168 | (e) | ||||||
Perforce Intermediate Holdings, LLC Initial Term Loan | 6.928% (1 Mo. LIBOR + 4.50% | ) | 12/27/2024 | 13,832 | 13,857,986 | (e) | ||||||
Perspecta Inc. Advance Term Loan B | 4.689% (1 Mo. LIBOR + 2.25% | ) | 5/30/2025 | 7,415 | 7,400,802 | |||||||
Project Angel Parent, LLC 1st Lien Initial Term Loan | 6.439% (1 Mo. LIBOR + 4.00% | ) | 5/30/2025 | 13,484 | 13,349,398 | (e) | ||||||
Project Boost Purchaser, LLC 1st Lien Term Loan | – | (f) | 6/1/2026 | 14,342 | 14,328,590 | (e) | ||||||
Rackspace Hosting, Inc. 1st Lien Term Loan B | 5.524% (3 Mo. LIBOR + 3.00%) - 5.576% | 11/3/2023 | 15,776 | 14,662,553 | ||||||||
Renaissance Holding Corp. 1st Lien Initial Term Loan | 5.731% (1 Mo. LIBOR + 3.25% | ) | 5/30/2025 | 29,576 | 29,064,344 | |||||||
RP Crown Parent, LLC Initial Term Loan | 5.189% (1 Mo. LIBOR + 2.75% | ) | 10/12/2023 | 19,610 | 19,511,530 | |||||||
Science Applications International Corp. Tranche B Term Loan | 4.189% (1 Mo. LIBOR + 1.75% | ) | 10/31/2025 | 23,781 | 23,657,593 | |||||||
Seattle SpinCo, Inc. Initial Term Loan | 4.939% (1 Mo. LIBOR + 2.50% | ) | 6/21/2024 | 57,531 | 56,902,239 | |||||||
Severin Acquisition, LLC 1st Lien Initial Term Loan | 5.815% (3 Mo. LIBOR + 3.25% | ) | 8/1/2025 | 32,652 | 32,284,828 | |||||||
Sirius Computer Solutions, Inc. 2019 Term Loan B | – | (f) | 5/20/2026 | 14,342 | 14,359,928 | |||||||
SolarWinds Holdings, Inc. 1st Lien 2018 Refinancing Term Loan | 5.189% (1 Mo. LIBOR + 2.75% | ) | 2/5/2024 | 55,677 | 55,333,452 | |||||||
Solera, LLC Dollar Term Loan | 5.189% (1 Mo. LIBOR + 2.75% | ) | 3/3/2023 | 4,772 | 4,746,054 | |||||||
Sophia, L.P. Term Loan B | 5.851% (3 Mo. LIBOR + 3.25% | ) | 9/30/2022 | 52,114 | 51,937,717 | |||||||
SS&C Technologies Holdings, Inc. Term Loan B3 | 4.689% (1 Mo. LIBOR + 2.25% | ) | 4/16/2025 | 34,703 | 34,538,936 | |||||||
SS&C Technologies Holdings, Inc. Term Loan B4 (Luxembourg)(b) | 4.689% (1 Mo. LIBOR + 2.25% | ) | 4/16/2025 | 24,342 | 24,227,533 | |||||||
SS&C Technologies Holdings, Inc. Term Loan B5 | 4.689% (1 Mo. LIBOR + 2.25% | ) | 4/16/2025 | 44,149 | 43,946,093 | |||||||
Uber Technologies 2018 Incremental Term Loan B1 | 5.93% (1 Mo. LIBOR + 3.50% | ) | 7/13/2023 | 24,229 | 24,196,274 | |||||||
Uber Technologies, Inc. Term Loan | 6.453% (1 Mo. LIBOR + 4.00% | ) | 4/4/2025 | 22,979 | 22,976,698 |
See Notes to Financial Statements. | 105 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Information Technology (continued) | ||||||||||||
Vertafore, Inc. 1st Lien Initial Term Loan | 5.689% (3 Mo. LIBOR + 3.25% | ) | 7/2/2025 | $ | 55,449 | $ | 53,605,733 | |||||
Vertafore, Inc. 2nd Lien Initial Term Loan | 9.689% (1 Mo. LIBOR + 7.25% | ) | 7/2/2026 | 30,976 | 30,519,569 | |||||||
Web.com Group, Inc.1st Lien Initial Term Loan | 6.203% (1 Mo. LIBOR + 3.75% | ) | 10/10/2025 | 27,417 | 27,149,292 | |||||||
Total | 1,294,141,736 | |||||||||||
Manufacturing 5.31% | ||||||||||||
AI Alpine AT BidCo GmbH Facility Term Loan B(c) | 3.50% (1 Mo. Euribor + 3.50% | ) | 10/31/2025 | EUR | 7,447 | 8,308,358 | ||||||
AI Alpine AT BidCo GmbH Facility Term Loan B (Austria)(b) | 5.736% (1 Mo. LIBOR + 3.25% | ) | 10/31/2025 | $ | 16,836 | 16,625,593 | (e) | |||||
Altra Industrial Motion Corp. Term Loan | 4.439% (1 Mo. LIBOR + 2.00% | ) | 10/1/2025 | 14,887 | 14,765,940 | |||||||
Brand Energy & Infrastructure Services, Inc. Initial Term Loan | 6.802% (2 Mo. LIBOR + 4.25%) - 6.851% | 6/21/2024 | 60,801 | 59,148,288 | ||||||||
Bright Bidco B.V. 2018 Refinancing Term Loan B (Netherlands)(b) | 5.939% (1 Mo. LIBOR + 3.50%) - 6.101% | 6/30/2024 | 38,475 | 29,321,192 | ||||||||
CD&R Hydra Buyer, Inc. Initial Term Loan | 6.689% (1 Mo. LIBOR + 4.25% | ) | 12/11/2024 | 17,925 | 17,864,860 | |||||||
Crosby US Acquisition Corp. 1st Lien Initial Term Loan | 5.436% (1 Mo. LIBOR + 3.00% | ) | 11/23/2020 | 33,326 | 33,279,163 | |||||||
Crosby US Acquisition Corp. 2nd Lien Initial Term Loan | 8.43% (1 Mo. LIBOR + 6.00% | ) | 11/22/2021 | 9,652 | 9,615,805 | |||||||
Deliver Buyer, Inc. Term Loan | 7.601% (3 Mo. LIBOR + 5.00% | ) | 5/1/2024 | 29,525 | 29,396,251 | |||||||
Dynacast International LLC 1st Lien Term Loan B2 | 5.851% (3 Mo. LIBOR + 3.25% | ) | 1/28/2022 | 9,382 | 9,182,854 | (e) | ||||||
Dynacast International LLC 2nd Lien Initial Term Loan | 11.101% (3 Mo. LIBOR + 8.50% | ) | 1/30/2023 | 5,636 | 5,579,553 | |||||||
EXC Holdings III Corp. 2nd Lien Initial Term Loan | 10.096% (3 Mo. LIBOR + 7.50% | ) | 12/1/2025 | 14,968 | 14,999,208 | |||||||
Excelitas Technologies Corp. 1st Lien Initial Dollar Term Loan | 6.101% (3 Mo. LIBOR + 3.50% | ) | 12/2/2024 | 21,838 | 21,838,208 | (e) | ||||||
Forterra Finance, LLC Replacement Term Loan | 5.439% (1 Mo. LIBOR + 3.00% | ) | 10/25/2023 | 39,195 | 36,488,285 | |||||||
Helix Acquisition Holdings, Inc. 1st Lien 2018 New Term Loan | 6.351% (3 Mo. LIBOR + 3.50% | ) | 9/30/2024 | 18,431 | 18,047,380 | |||||||
Helix Acquisition Holdings, Inc. 2nd Lien Initial Term Loan | 10.601% (3 Mo. LIBOR + 8.00% | ) | 9/29/2025 | 9,780 | 9,682,200 | |||||||
II-VI Incorporated Term Loan B | – | (f) | 3/8/2026 | 17,701 | 17,601,520 | (e) |
106 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Manufacturing (continued) | ||||||||||||
Milacron LLC Term Loan B | 4.939% (1 Mo. LIBOR + 2.50% | ) | 9/28/2023 | $ | 19,017 | $ | 18,636,857 | (e) | ||||
Pro Mach Group, Inc. 1st Lien Initial Term Loan | 5.19% (1 Mo. LIBOR + 2.75% | ) | 3/7/2025 | 33,966 | 33,000,342 | |||||||
Robertshaw US Holding Corp. 2nd Lien Initial Term Loan | 10.50% (1 Mo. LIBOR + 8.00% | ) | 2/28/2026 | 5,308 | 4,684,310 | (e) | ||||||
Sabre Industries, Inc. 2019 Term Loan B | 6.94% (1 Mo. LIBOR + 4.50% | ) | 4/2/2026 | 19,154 | 19,190,010 | (e) | ||||||
Safe Fleet Holdings LLC 1st Lien Initial Term Loan | 5.47% (1 Mo. LIBOR + 3.00% | ) | 2/1/2025 | 18,124 | 17,671,386 | (e) | ||||||
Safe Fleet Holdings LLC 2nd Lien Initial Term Loan | 9.22% (1 Mo. LIBOR + 6.75% | ) | 2/1/2026 | 4,675 | 4,569,813 | (e) | ||||||
Tecostar Holdings, Inc. 1st Lien 2017 Term Loan | 5.953% (1 Mo. LIBOR + 3.50% | ) | 5/1/2024 | 27,698 | 27,628,445 | |||||||
Titan Acquisition Limited Initial Term Loan (United Kingdom)(b) | 5.439% (1 Mo. LIBOR + 3.00% | ) | 3/28/2025 | 29,680 | 28,576,694 | |||||||
Utex Industries, Inc. 1st Lien Initial Term Loan | 6.439% (1 Mo. LIBOR + 4.00% | ) | 5/22/2021 | 32,534 | 31,395,642 | (e) | ||||||
Utex Industries, Inc. 2nd Lien Initial Term Loan | 9.689% (1 Mo. LIBOR + 7.25% | ) | 5/22/2022 | 22,936 | 21,516,950 | (e) | ||||||
Vectra Co. 1st Lien Initial Term Loan | 5.689% (1 Mo. LIBOR + 3.25% | ) | 3/8/2025 | 29,598 | 28,451,601 | |||||||
Yak Access, LLC 1st Lien Initial Term Loan | 7.439% (1 Mo. LIBOR +5.00% | ) | 7/2/2025 | 39,712 | 37,478,495 | (e) | ||||||
Total | 624,545,203 | |||||||||||
Media/Telecommunications 12.63% | ||||||||||||
Altice Financing SA March 2017 Refinancing Term Loan (Luxembourg)(b) | 5.19% (1 Mo. LIBOR + 2.75% | ) | 7/15/2025 | 29,673 | 28,473,699 | |||||||
Altice Financing SA October 2017 Dollar Term Loan (Luxembourg)(b) | 5.182% (1 Mo. LIBOR + 2.75% | ) | 1/31/2026 | 9,552 | 9,169,455 | |||||||
Altice France SA Incremental Term Loan B13 (France)(b) | 6.44% (1 Mo. LIBOR + 4.00% | ) | 8/14/2026 | 53,863 | 52,561,073 | |||||||
AMC Entertainment Holdings Inc. Term Loan B | 5.44% (1 Mo. LIBOR + 3.00% | ) | 4/22/2026 | 28,734 | 28,662,165 | |||||||
CBS Radio Inc. Additional Term Loan B1 | 5.178% (1 Mo. LIBOR + 2.75% | ) | 11/18/2024 | 11,237 | 11,236,520 | |||||||
Cengage Learning, Inc. 2016 Refinancing Term Loan | 6.68% (1 Mo. LIBOR + 4.25% | ) | 6/7/2023 | 29,506 | 28,191,283 | |||||||
CenturyLink, Inc. Initial Term Loan A | 5.189% (1 Mo. LIBOR + 2.75% | ) | 11/1/2022 | 24,075 | 24,055,288 | |||||||
CenturyLink, Inc. Initial Term Loan B | 5.189% (1 Mo. LIBOR + 2.75% | ) | 1/31/2025 | 113,225 | 110,311,921 |
See Notes to Financial Statements. | 107 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Media/Telecommunications (continued) | ||||||||||||
Charter Communications Operating, LLC Term Loan B | 4.44% (1 Mo. LIBOR + 2.00% | ) | 4/30/2025 | $ | 31,966 | $ | 31,940,251 | |||||
Cogeco Communications (USA) II LP Term Loan B | 4.689% (1 Mo. LIBOR + 2.25% | ) | 1/3/2025 | 12,753 | 12,668,180 | |||||||
Communications Sales & Leasing, Inc. Shortfall Term Loan | 7.439% (1 Mo. LIBOR + 5.00% | ) | 10/24/2022 | 13,418 | 13,097,390 | |||||||
Consolidated Communications, Inc. Initial Term Loan | 5.44% (1 Mo. LIBOR + 3.00% | ) | 10/4/2023 | 48,328 | 47,354,038 | |||||||
Crown Finance US, Inc. Initial Dollar Tranche Term Loan | 4.689% (1 Mo. LIBOR + 2.25% | ) | 2/28/2025 | 45,702 | 45,003,230 | |||||||
CSC Holdings, LLC January 2018 Incremental Term Loan | 4.94% (1 Mo. LIBOR + 2.50% | ) | 1/25/2026 | 24,109 | 23,886,457 | |||||||
CSC Holdings, LLC March 2017 Refinancing Term Loan | 4.69% (1 Mo. LIBOR + 2.25% | ) | 7/17/2025 | 68,477 | 67,257,760 | |||||||
CSC Holdings, LLC October 2018 Incremental Term Loan | 4.69% (1 Mo. LIBOR + 2.25% | ) | 1/15/2026 | 19,217 | 18,904,564 | |||||||
Cyxtera DC Holdings, Inc. 1st Lien Initial Term Loan | 5.60% (1 Mo. LIBOR + 3.00% | ) | 5/1/2024 | 38,703 | 36,799,631 | |||||||
Cyxtera DC Holdings, Inc. 2nd Lien Initial Term Loan | 9.86% (1 Mo. LIBOR + 7.25% | ) | 5/1/2025 | 26,341 | 22,818,161 | |||||||
Formula One Management Limited Facility Term Loan B3 (Luxembourg)(b) | 4.939% (1 Mo. LIBOR +2.50% | ) | 2/1/2024 | 29,413 | 28,854,622 | |||||||
Gray Television, Inc. Term Loan B | 4.733% (1 Mo. LIBOR + 2.25% | ) | 2/7/2024 | 13,185 | 13,109,911 | |||||||
Gray Television, Inc. Term Loan C | 4.983% (1 Mo. LIBOR + 2.50% | ) | 1/2/2026 | 37,902 | 37,804,220 | |||||||
Hargray Communications Group, Inc. Initial Term Loan | 5.189% (1 Mo. LIBOR + 2.75% | ) | 5/16/2024 | 18,277 | 18,134,485 | |||||||
iHeartCommunications, Inc. Initial Term Loan | 6.579% (3 Mo. LIBOR + 4.00% | ) | 5/4/2026 | 46,180 | 46,279,449 | |||||||
Intelsat Jackson Holdings SA Tranche B3 Term Loan (Luxembourg)(b) | 6.18% (1 Mo. LIBOR + 3.75% | ) | 11/27/2023 | 174 | 171,934 | |||||||
Level 3 Financing, Inc. 2024 Tranche B Term Loan | 4.689% (1 Mo. LIBOR + 2.25% | ) | 2/22/2024 | 31,473 | 31,012,707 | |||||||
Lions Gate Capital Holdings LLC Term Loan B | 4.689% (1 Mo. LIBOR + 2.25% | ) | 3/24/2025 | 42,952 | 42,773,129 | |||||||
MediArena Acquisition B.V. 1st Lien Dollar Term Loan B (Netherlands)(b) | 8.35% (3 Mo. LIBOR + 5.75% | ) | 8/13/2021 | 27,255 | 27,205,489 | |||||||
MediArena Acquisition B.V. 2nd Lien Dollar Term Loan B (Netherlands)(b) | 11.596% (3 Mo. LIBOR + 9.00% | ) | 8/13/2022 | 34,261 | 34,196,761 | |||||||
Mission Broadcasting, Inc. Term Loan B3 | 4.736% (1 Mo. LIBOR + 2.25% | ) | 1/17/2024 | 4,709 | 4,662,180 |
108 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Media/Telecommunications (continued) | ||||||||||||
NEP Group, Inc. 1st Lien Initial Dollar Term Loan | 5.689% (1 Mo. LIBOR + 3.25% | ) | 10/20/2025 | $ | 19,216 | $ | 19,215,597 | |||||
Nexstar Broadcasting, Inc. Term Loan B3 | 4.678% | 1/17/2024 | 24,616 | 24,370,042 | ||||||||
Numericable U.S. LLC Dollar Term Loan B12 (France)(b) | 6.127% (1 Mo. LIBOR + 3.688% | ) | 1/31/2026 | 9,764 | 9,421,808 | |||||||
Radiate Holdco, LLC Closing Date Term Loan | 5.439% (1 Mo. LIBOR + 3.00% | ) | 2/1/2024 | 45,139 | 44,551,508 | |||||||
Recorded Books Inc. Initial Term Loan | 6.939% (1 Mo. LIBOR + 4.50% | ) | 8/9/2025 | 6 | 5,793 | (e) | ||||||
Sinclair Television Group, Inc. Tranche B Term Loan | 4.69% (1 Mo. LIBOR + 2.25% | ) | 1/3/2024 | 23,324 | 23,272,546 | |||||||
SMG US Midco 2, Inc. 1st Lien Initial Term Loan | 5.439% (1 Mo. LIBOR + 3.00% | ) | 1/23/2025 | 23,476 | 23,336,423 | |||||||
SMG US Midco 2, Inc. 2nd Lien Initial Term Loan | 9.439% (1 Mo. LIBOR + 7.00% | ) | 1/23/2026 | 9,689 | 9,834,468 | |||||||
Sprint Communications, Inc. 2019 Incremental Term Loan | 5.50% (1 Mo. LIBOR + 3.00% | ) | 2/2/2024 | 18,955 | 18,789,404 | |||||||
Sprint Communications, Inc. Initial Term Loan | 5.00% (1 Mo. LIBOR + 2.50% | ) | 2/2/2024 | 66,439 | 65,110,685 | |||||||
Telenet Financing USD LLC Facility Term Loan AN | 4.69% (1 Mo. LIBOR + 2.25% | ) | 8/15/2026 | 19,362 | 19,160,345 | |||||||
Telesat Canada Term Loan B4 (Canada)(b) | 5.11% (3 Mo. LIBOR + 2.50% | ) | 11/17/2023 | 19,385 | 19,191,309 | (e) | ||||||
Townsquare Media, Inc. Additional Term Loan B | 5.439% (1 Mo. LIBOR + 3.00% | ) | 4/1/2022 | 9,426 | 9,443,447 | (e) | ||||||
UFC Holdings, LLC 2019 1st Lien Term Loan | 5.69% (1 Mo. LIBOR + 3.25% | ) | 4/29/2026 | 47,956 | 47,953,332 | |||||||
Unitymedia Hessen GmbH & Co. KG Facility Term Loan B | 4.69% (1 Mo. LIBOR + 2.25% | ) | 9/30/2025 | 49,735 | 49,562,171 | |||||||
Univision Communications Inc. 2017 1st Lien Replacement Repriced Term Loan | 5.189% (1 Mo. LIBOR + 2.75% | ) | 3/15/2024 | 54,001 | 51,331,380 | |||||||
Virgin Media Bristol LLC Facility Term Loan K | 4.94% (1 Mo. LIBOR + 2.50% | ) | 1/15/2026 | 26,870 | 26,687,821 | |||||||
WideOpenWest Finance, LLC 8th Amendment Term Loan B | 5.68% (1 Mo. LIBOR + 3.25% | ) | 8/18/2023 | 59,326 | 57,966,075 | |||||||
William Morris Endeavor Entertainment, LLC 1st Lien Term Loan B1 | 5.36% (1 Mo. LIBOR + 2.75% | ) | 5/18/2025 | 39,908 | 38,810,343 | |||||||
Windstream Services, LLC 2016 Tranche B6 Term Loan | 10.50% (1 Mo. LIBOR + 4.00% | ) | 3/29/2021 | 17,780 | 18,188,835 | |||||||
Ziggo Secured Finance Partnership Facility Term Loan E | 4.94% (1 Mo. LIBOR + 2.50% | ) | 4/15/2025 | 11,885 | 11,618,398 | |||||||
Total | 1,484,417,683 |
See Notes to Financial Statements. | 109 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Metals/Minerals 1.45% | ||||||||||||
Contura Energy, Inc. Term Loan | 7.453% (1 Mo. LIBOR + 5.00% | ) | 11/10/2025 | $ | 30,071 | $ | 30,108,939 | |||||
Graftech International Ltd. Initial Term Loan | 5.939% (1 Mo. LIBOR + 3.50% | ) | 2/12/2025 | 61,823 | 61,436,759 | (e) | ||||||
Murray Energy Corp. Superpriority Term Loan B2 | 9.772% (3 Mo. LIBOR + 7.25% | ) | 10/17/2022 | 23,737 | 18,455,156 | |||||||
Oxbow Carbon LLC 2nd Lien Term Loan | 9.939% (1 Mo. LIBOR + 7.50% | ) | 1/4/2024 | 13,932 | 13,971,219 | (e) | ||||||
Phoenix Services International LLC Term Loan B | 6.203% (1 Mo. LIBOR + 3.75% | ) | 3/1/2025 | 6,391 | 6,398,745 | |||||||
TMS International Corp. Term Loan B2 | 5.189% (1 Mo. LIBOR + 2.75% | ) | 8/14/2024 | 17,165 | 17,057,680 | (e) | ||||||
U.S. Silica Co. Term Loan | 6.50% (1 Mo. LIBOR + 4.00% | ) | 5/1/2025 | 23,766 | 22,659,501 | |||||||
Total | 170,087,999 | |||||||||||
Retail 4.66% | ||||||||||||
Amer Sports Oyj Euro Term Loan B(c) | 4.50% (1 Mo. EURIBOR + 4.50% | ) | 2/26/2026 | EUR | 36,452 | 41,007,406 | ||||||
Anastasia Parent, LLC Closing Date Term Loan | 6.189% (1 Mo. LIBOR + 3.75% | ) | 8/11/2025 | $ | 38,903 | 34,064,439 | ||||||
Ascena Retail Group, Inc. Tranche B Term Loan | 7.00% (1 Mo. LIBOR + 4.50% | ) | 8/21/2022 | 45,492 | 38,469,513 | |||||||
Bass Pro Group, LLC Initial Term Loan | 7.439% (1 Mo. LIBOR + 5.00% | ) | 9/25/2024 | 27,800 | 27,104,580 | |||||||
BDF Acquisition Corp. Initial Term Loan | 7.689% (1 Mo. LIBOR + 5.25% | ) | 8/14/2023 | 23,995 | 23,575,219 | (e) | ||||||
BJ’s Wholesale Club, Inc. 1st Lien Tranche B Term Loan | 5.453% (1 Mo. LIBOR + 3.00% | ) | 2/3/2024 | 39,727 | 39,801,573 | |||||||
Calceus Acquisition, Inc. Initial Term Loan | 7.939% (1 Mo. LIBOR + 5.50% | ) | 2/12/2025 | 7,607 | 7,573,875 | |||||||
Coty Inc. USD Term Loan | – | (f) | 4/7/2025 | 14,586 | 14,002,560 | |||||||
CVS Holdings I, LP 1st Lien Initial Term Loan | 5.19% (1 Mo. LIBOR + 2.75% | ) | 2/6/2025 | 20,389 | 20,091,676 | |||||||
CVS Holdings I, LP 2nd Lien Initial Term Loan | 9.19% (1 Mo. LIBOR + 6.75% | ) | 2/6/2026 | 15,305 | 15,219,394 | (e) | ||||||
EG Group Limited 2nd Lien Facility Term Loan (United Kingdom) | 10.601% (3 Mo. LIBOR + 8.00% | ) | 4/20/2026 | 11,019 | 10,931,463 | |||||||
Harbor Freight Tools USA, Inc. 2018 Initial Term Loan | 4.939% (1 Mo. LIBOR + 2.50% | ) | 8/18/2023 | 38,960 | 37,937,556 | |||||||
J. Crew Group, Inc. Amended Term Loan | 5.659% (3 Mo. LIBOR + 3.22%) - 5.821% | 3/5/2021 | 51,919 | 43,552,825 |
110 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Retail (continued) | ||||||||||||
JP Intermediate B, LLC Initial Term Loan B | 8.083% (3 Mo. LIBOR + 5.50% | ) | 11/20/2025 | $ | 21,414 | $ | 19,366,610 | |||||
Lands’ End, Inc. Initial Term Loan B | 5.689% (1 Mo. LIBOR + 3.25% | ) | 4/4/2021 | 42,288 | 41,558,663 | |||||||
Mavis Tire Express Services Corp. 1st Lien Delayed Draw Term Loan | 2.00% | 3/20/2025 | 4,171 | 4,105,765 | (e) | |||||||
Men’s Wearhouse, Inc., (The) Tranche B2 Term Loan | 5.736% (1 Mo. LIBOR + 3.50% | ) | 4/9/2025 | 27,275 | 24,684,176 | (e) | ||||||
Michaels Stores, Inc. 2018 New Replacement Term Loan B | 4.929% (1 Mo. LIBOR + 2.50%) - 4.93% | 1/30/2023 | 19,184 | 18,958,637 | ||||||||
PetSmart, Inc. Amended Term Loan | 6.72% (1 Mo. LIBOR + 4.25% | ) | 3/11/2022 | 60,788 | 58,660,274 | |||||||
Sally Holdings LLC Term Loan B1 | 4.69% (1 Mo. LIBOR + 2.25% | ) | 7/5/2024 | 9,699 | 9,674,961 | (e) | ||||||
Toms Shoes, LLC Initial Term Loan | 8.08% (3 Mo. LIBOR + 5.5% | ) | 11/2/2020 | 21,731 | 16,733,017 | (e) | ||||||
Total | 547,074,182 | |||||||||||
Service 5.68% | ||||||||||||
AVSC Holding Corp. 1st Lien Initial Term Loan | 5.703% (1 Mo. LIBOR +3.25%) - 5.879% | 3/1/2025 | 20,697 | 20,205,835 | ||||||||
AVSC Holding Corp. 2nd Lien Initial Term Loan | 9.833% (3 Mo. LIBOR +7.25% | ) | 9/1/2025 | 9,498 | 9,141,825 | (e) | ||||||
Belfor Holdings Inc. 1st Lien Initial Term Loan | 6.439% (1 Mo. LIBOR + 4.00% | ) | 4/6/2026 | 19,141 | 19,188,853 | (e) | ||||||
BIFM CA Buyer Inc. (Canada) Term Loan B(b) | – | (f) | 5/2/2026 | 11,485 | 11,485,000 | (e) | ||||||
CIBT Global, Inc. 1st Lien Initial Term Loan | 6.351% (3 Mo. LIBOR + 3.75% | ) | 6/3/2024 | 13,682 | 13,528,263 | (e) | ||||||
CRCI Longhorn Holdings, Inc. 1st Lien Closing Date Term Loan | 5.953% (1 Mo. LIBOR + 3.50% | ) | 8/8/2025 | 11,546 | 11,372,790 | (e) | ||||||
DG Investment Intermediate Holdings 2, Inc. 1st Lien Initial Term Loan | 5.439% (1 Mo. LIBOR + 3.00% | ) | 2/3/2025 | 14,380 | 14,056,273 | |||||||
EagleView Technology Corp. 1st Lien Term Loan | 5.93% (1 Mo. LIBOR + 3.50% | ) | 8/14/2025 | 12,539 | 12,115,422 | |||||||
Edelman Financial Center, LLC, (The) 2nd Lien Initial Term Loan | 9.19% (3 Mo. LIBOR + 6.75% | ) | 7/20/2026 | 8,581 | 8,666,810 | |||||||
EmployBridge, LLC 2018 Refinancing Term Loan | 7.101% (3 Mo. LIBOR + 4.50% | ) | 4/18/2025 | 17,193 | 17,199,728 | |||||||
Genuine Financial Holdings LLC 1st Lien Initial Term Loan | 6.189% (1 Mo. LIBOR + 3.75% | ) | 7/12/2025 | 26,757 | 26,689,714 | |||||||
Guidehouse LLP 1st Lien Initial Term Loan | 5.439% (1 Mo. LIBOR + 3.25% | ) | 5/1/2025 | 19,811 | 19,662,532 | (e) |
See Notes to Financial Statements. | 111 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Service (continued) | ||||||||||||
Hampton Rubber Co. 1st Lien Term Loan | 6.439% (1 Mo. LIBOR + 4.00% | ) | 3/27/2021 | $ | 15,290 | $ | 15,155,964 | |||||
I-Logic Technologies Bidco Limited Replacement Dollar Term Loan (United Kingdom)(b) | 5.901% (2 Mo. LIBOR + 3.25% | ) | 12/21/2024 | 11,580 | 11,304,584 | |||||||
KUEHG Corp Term Loan B2 | 6.351% (3 Mo. LIBOR + 3.75% | ) | 2/21/2025 | 41,932 | 41,804,946 | |||||||
KUEHG Corp. 2nd Lien Tranche B Term Loan | 10.851% (3 Mo. LIBOR + 8.25% | ) | 8/18/2025 | 13,446 | 13,471,211 | |||||||
Laureate Education, Inc. Series 2024 Term Loan | 8.00% (3 Mo. LIBOR + 2.50% | ) | 4/26/2024 | 23,207 | 23,228,585 | |||||||
Learning Care Group (US) No. 2 Inc. 1st Lien Initial Term Loan | 5.689% (1 Mo. LIBOR + 3.25%) - 5.833% | 3/13/2025 | 22,847 | 22,571,383 | ||||||||
Monitronics International, Inc. Term Loan B2 | 10.101% (3 Mo. LIBOR + 7.50% | ) | 9/30/2022 | 23,142 | 22,139,340 | |||||||
North American Lifting Holdings, Inc. 1st Lien Initial Term Loan | 7.101% (3 Mo. LIBOR + 4.50% | ) | 11/27/2020 | 32,867 | 31,059,031 | |||||||
North American Lifting Holdings, Inc. 2nd Lien Term Loan | 11.601% (3 Mo. LIBOR + 9.00% | ) | 11/23/2021 | 15,141 | 12,699,514 | |||||||
NRC US Holding Co., LLC Initial Term Loan | 7.851% (3 Mo. LIBOR + 5.25% | ) | 6/11/2024 | 16,920 | 16,883,310 | (e) | ||||||
PODS, LLC Tranche B4 Term Loan | 5.203% (1 Mo. LIBOR + 2.75% | ) | 12/6/2024 | 27,187 | 26,892,387 | |||||||
Prime Security Services Borrower, LLC 1st Lien 2016 Refinancing Term Loan B1 | 5.189% (1 Mo. LIBOR + 2.75% | ) | 5/2/2022 | 19,962 | 19,795,325 | |||||||
Sedgwick Claims Management Services, Inc. Initial Term Loan | 5.689% (1 Mo. LIBOR + 3.25% | ) | 12/31/2025 | 15,210 | 15,016,288 | |||||||
SSH Group Holdings, Inc. 1st Lien Initial Term Loan | 6.791% (3 Mo. LIBOR + 4.25%) - 6.833% | 7/30/2025 | 24,036 | 23,845,419 | ||||||||
SSH Group Holdings, Inc. 2nd Lien Initial Term Loan | 10.689% (1 Mo. LIBOR + 8.25% | ) | 7/30/2026 | 5,803 | 5,839,068 | (e) | ||||||
Titan AcquisitionCo New Zealand Limited (New Zealand)(b) | 6.826% (3 Mo. LIBOR + 4.25% | ) | 5/1/2026 | 14,359 | 14,376,949 | (e) | ||||||
TKC Holdings, Inc. 1st Lien Initial Term Loan | 6.19% (1 Mo. LIBOR + 3.75% | ) | 2/1/2023 | 21,577 | 21,451,946 | |||||||
TKC Holdings, Inc. 2nd Lien Initial Term Loan | 10.44% (1 Mo. LIBOR + 8.00% | ) | 2/1/2024 | 10,052 | 9,984,488 | |||||||
Trans Union LLC 2017 Replacement Term Loan B3 | 4.439% (1 Mo. LIBOR +2.00% | ) | 4/10/2023 | 10,708 | 10,700,982 | |||||||
Trans Union LLC 2018 Incremental Term Loan B4 | 4.439% (1 Mo. LIBOR +2.00% | ) | 6/19/2025 | 22,775 | 22,742,332 |
112 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Service (continued) | ||||||||||||
Travelport Finance (Luxembourg) S.a.r.l. (Luxembourg) 1st Lien Initial Term Loan(b) | – | (f) | 3/13/2026 | $ | 41,963 | $ | 40,214,402 | |||||
USIC Holdings, Inc. 1st Lien New Term Loan | 5.439% (1 Mo. LIBOR + 3.00% | ) | 12/8/2023 | 30,468 | 30,106,158 | |||||||
Weight Watchers International, Inc. Initial Term Loan | 7.35% (3 Mo. LIBOR + 4.75% | ) | 11/29/2024 | 33,444 | 32,892,097 | |||||||
Total | 667,488,754 | |||||||||||
Transportation 3.66% | ||||||||||||
American Axle & Manufacturing, Inc. Tranche B Term Loan | 4.68% (1 Mo. LIBOR + 2.25%) - 4.84% | 4/6/2024 | 15,900 | 15,522,690 | ||||||||
Belron Finance US LLC 1st Lien Incremental Term Loan | 5.035% (3 Mo. LIBOR + 2.50% | ) | 11/13/2025 | 9,605 | 9,604,927 | (e) | ||||||
Belron Finance US LLC Initial Term Loan B | 5.065% (3 Mo. LIBOR + 2.25% | ) | 11/7/2024 | 12,446 | 12,438,546 | |||||||
Chassix, Inc. Initial Term Loan B | 8.063% (3 Mo. LIBOR + 5.50%) - 10% | 11/15/2023 | 22,628 | 22,656,183 | (e) | |||||||
Commercial Barge Line Co. Initial Term Loan | 11.189% (1 Mo. LIBOR + 8.75% | ) | 11/12/2020 | 42,344 | 29,958,659 | |||||||
Daseke Companies, Inc. Replacement Term Loan | 7.439% (1 Mo. LIBOR + 5.00% | ) | 2/27/2024 | 17,413 | 17,383,780 | |||||||
Direct ChassisLink Inc. Term Loan | 10.834% (3 Mo. LIBOR + 8.25% | ) | 4/10/2026 | 47,742 | 46,071,030 | (e) | ||||||
Fastlane Parent Company, Inc. 1st Lien Initial Term Loan | 7.101% (3 Mo. LIBOR + 4.50% | ) | 2/4/2026 | 14,345 | 14,228,447 | (e) | ||||||
Gruden Acquisition, Inc. 1st Lien Incremental Term Loan | 8.101% (3 Mo. LIBOR + 5.50% | ) | 8/18/2022 | 33,058 | 32,851,232 | |||||||
Gruden Acquisition, Inc. 2nd Lien Term Loan | 10.999% (3 Mo. LIBOR + 8.50% | ) | 8/18/2023 | 24,245 | 24,123,775 | |||||||
Hornblower Sub, LLC 1st Lien Term Loan | 7.101% (3 Mo. LIBOR + 4.50% | 4/27/2025 | 9,259 | 9,264,695 | ||||||||
International Seaways Operating Corp. Term Loan | 8.44% (1 Mo. LIBOR + 6.00% | ) | 6/22/2022 | 23,795 | 23,914,466 | (e) | ||||||
Kenan Advantage Group Holdings Corp. Initial Canadian Term Loan | 5.439% (1 Mo. LIBOR + 3.00% | ) | 7/31/2022 | 1,948 | 1,919,563 | |||||||
Kenan Advantage Group Holdings Corp. Initial U.S. Term Loan | 5.439% (1 Mo. LIBOR + 3.00% | ) | 7/31/2022 | 12,272 | 12,090,662 | |||||||
Mavis Tire Express Services Corp. 1st Lien Closing Date Term Loan | 5.68% (1 Mo. LIBOR + 3.25% | ) | 3/20/2025 | 32,941 | 32,426,074 | (e) | ||||||
Navios Maritime Partners L.P Initial Term Loan (Marshall Islands)(b) | 7.60% (3 Mo. LIBOR + 5.00% | ) | 9/14/2020 | 17,155 | 17,101,739 |
See Notes to Financial Statements. | 113 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Transportation (continued) | ||||||||||||
Navistar, Inc. Tranche B Term Loan | 5.96% (1 Mo. LIBOR + 3.50% | ) | 11/6/2024 | $ | 11,645 | $ | 11,658,335 | |||||
Panther BF Aggregator 2 LP (Canada) 1st Lien Initial Dollar Term Loan(b) | 5.929% (1 Mo. LIBOR + 3.50% | ) | 4/30/2026 | 52,675 | 52,411,362 | |||||||
Tenneco Inc. Tranche B Term Loan | 5.189% (1 Mo. LIBOR + 2.75% | ) | 10/1/2025 | 16,644 | 15,957,069 | |||||||
Thor Industries, Inc. Dollar Initial Term Loan | 6.25% (1 Mo. LIBOR + 3.75% | ) | 2/1/2026 | 17,922 | 17,518,519 | (e) | ||||||
Thor Industries, Inc. Euro Initial Term Loan | 4.00% (1 Mo. LIBOR + 4.00% | ) | 2/1/2026 | EUR 9,928 | 10,841,950 | |||||||
Total | 429,943,703 | |||||||||||
Utility 3.31% | ||||||||||||
Adient US LLC Initial Term Loan | 6.815% (1 Mo. LIBOR + 4.25% | ) | 5/6/2024 | 19,143 | 18,884,570 | |||||||
Brookfield WEC Holdings Inc. 1st Lien Initial Term Loan | 5.939% (1 Mo. LIBOR + 3.75% | ) | 8/1/2025 | 47,707 | 47,677,615 | |||||||
Brookfield WEC Holdings Inc. 2nd Lien Initial Term Loan | 9.189% (1 Mo. LIBOR + 6.75% | ) | 8/3/2026 | 7,737 | 7,819,206 | |||||||
Calpine Construction Finance Co., L.P. Term Loan B | 4.939% (1 Mo. LIBOR + 2.50% | ) | 1/15/2025 | 5,177 | 5,142,390 | |||||||
Edgewater Generation, LLC Term Loan | 6.189% (1. Mo. LIBOR + 3.75% | ) | 12/13/2025 | 39,715 | 39,744,953 | |||||||
Exgen Renewables IV, LLC Term Loan | 5.53% (3 Mo. LIBOR + 3.00% | ) | 11/28/2024 | 30,754 | 29,302,826 | |||||||
Frontera Generation Holdings LLC Initial Term Loan | 6.717% (1 Mo. LIBOR + 4.25% | ) | 5/2/2025 | 34,080 | 33,888,018 | |||||||
Helix Gen Funding, LLC Term Loan | 6.189% (1 Mo. LIBOR + 3.75% | ) | 6/2/2024 | 45,960 | 42,800,039 | |||||||
Lightstone Holdco LLC Refinancing Term Loan B | 6.189% | 1/30/2024 | 30,470 | 30,212,608 | ||||||||
Longview Power, LLC Advance Term Loan B | 8.59% (3 Mo. LIBOR + 6.00% | ) | 4/13/2021 | 20,252 | 17,976,383 | |||||||
Moxie Patriot LLC Construction Advances Term Loan B1 | 8.351% (3 Mo. LIBOR + 5.75% | ) | 12/19/2020 | 16,634 | 16,031,149 | |||||||
PowerTeam Services, LLC 1st Lien Initial Term Loan | 5.851% (3 Mo. LIBOR + 3.25% | ) | 3/6/2025 | 33,857 | 32,460,164 | |||||||
PowerTeam Services, LLC 2nd Lien Initial Term Loan | 9.851% (3 Mo. LIBOR + 7.25% | ) | 3/6/2026 | 12,484 | 12,171,900 | (e) | ||||||
Vistra Operations Co. LLC 2018 Incremental Term Loan | 4.432% (1 Mo. LIBOR + 2.00%) - 4.439% | 12/31/2025 | 54,636 | 54,547,515 | ||||||||
Total | 388,659,336 | |||||||||||
Total Floating Rate Loans(cost $10,909,441,702) | 10,750,383,618 |
114 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUNDMay 31, 2019
Investments | Dividend Rate | Shares (000) | Fair Value | |||||||||
PREFERRED STOCK 0.11% | ||||||||||||
Healthcare | ||||||||||||
Danaher Corp. (cost $12,159,000) | 4.75% | 12 | $ | 12,802,697 | ||||||||
Total Long-Term Investments (cost $11,546,143,642) | 11,377,364,324 | |||||||||||
Interest Rate | Maturity Date | Principal Amount (000) | ||||||||||
SHORT-TERM INVESTMENTS 4.50% | ||||||||||||
COMMERCIAL PAPER 1.57% | ||||||||||||
Chemicals 0.13% | ||||||||||||
Cabot Corp. | 2.616% | 6/3/2019 | $ | 15,000 | 15,000,000 | |||||||
Energy 0.38% | ||||||||||||
Entergy Corp. | 2.616% | 6/3/2019 | 45,000 | 45,000,000 | ||||||||
Information Technology 0.34% | ||||||||||||
Hitachi Capital America Corp. | 2.616% | 6/3/2019 | 40,000 | 40,000,000 | ||||||||
Manufacturing 0.17% | ||||||||||||
Bunge Asset Funding Corp. | 2.687% | 6/3/2019 | 20,000 | 20,000,000 | ||||||||
Media/Telecommunications 0.08% | ||||||||||||
Cox Enterprises, Inc. | 2.637% | 6/3/2019 | 10,000 | 10,000,000 | ||||||||
Retail 0.04% | ||||||||||||
Dollar General Corp. | 2.647% | 6/3/2019 | 4,450 | 4,450,000 | ||||||||
Utility 0.43% | ||||||||||||
KCP&L Greater Missouri Operations Co. | 2.637% | 6/3/2019 | 40,000 | 40,000,000 | ||||||||
Nisource, Inc. | 2.616% | 6/3/2019 | 10,000 | 10,000,000 | ||||||||
Total | 50,000,000 | |||||||||||
Total Commercial Paper (cost $184,423,421) | 184,450,000 | |||||||||||
CONVERTIBLE BOND 0.10% | ||||||||||||
Information Technology | ||||||||||||
NXP Semiconductors NV (Netherlands)(b) (cost $12,481,878) | 1.00% | 12/1/2019 | 11,575 | 11,878,844 |
See Notes to Financial Statements. | 115 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUNDMay 31, 2019
Investments | Principal Amount (000) | Fair Value | ||||||
REPURCHASE AGREEMENTS 2.83% | ||||||||
Repurchase Agreement dated 5/31/2019, 1.45% due 6/3/2019 with Fixed Income Clearing Corp. collateralized by $66,000,000 of U.S. Treasury Note at 2.625% due 6/15/2021 and $40,080,000 U.S. Treasury Note at 0.625% 7/15/2021; value: $113,002,717; proceeds: $110,795,903 | $ | 110,783 | $ | 110,782,517 | ||||
Repurchase Agreement dated 5/31/2019, 2.35% due 6/3/2019 with JPMorgan Chase & Co. collateralized by $162,938,000 of Federal Farm Credit Bank at 2.44% due 5/14/2021; $59,062,000 of Federal Home Loan Bank at 2.28% due 10/16/2022; value: $226,405,000; proceeds: $226,340,162 | 222,000 | 222,000,000 | ||||||
Total Repurchase Agreements (cost $332,782,517) | 332,782,517 | |||||||
Total Short-Term Investments (cost $529,687,816) | 529,111,361 | |||||||
Total Investments in Securities 101.33% (cost $12,075,831,458) | 11,906,475,685 | |||||||
Less: Unfunded Commitment (0.08%) (cost $9,460,940) | (9,376,413 | ) | ||||||
Net Investment (101.25%) (cost $12,066,370,518) | 11,897,099,272 | |||||||
Liabilities in Excess of Cash, Foreign Cash and Other Assets(g)(1.25%) | (146,526,256 | ) | ||||||
Net Assets 100.00% | $ | 11,750,573,016 |
CAD | Canadian dollar. | |
EUR | euro. | |
EURIBOR | Euro Interbank Offered Rate | |
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, 2019. | |
* | Non-income producing security. | |
(a) | Level 3 Investment as described in Note 2(t) in the Notes to Financials. Security fair valued by the Pricing Committee. | |
(b) | Foreign security traded in U.S. dollars. | |
(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, 2019. | |
(e) | Level 3 Investment as described in Note 2(t) 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. | |
(f) | Interest rate to be determined. | |
(g) | Liabilities in Excess of Cash, Foreign Cash and Other Assets include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and swaps as follows: |
116 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUNDMay 31, 2019
Open Total Return Swaps Contracts at May 31, 2019:
Swap Counterparty | Referenced Index* | Referenced Spread | Units | Position | Termination Date | Notional Amount | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||||
J.P. Morgan | IBXXLL | 3 Mo. LIBOR + .00% | 380,941 | Long | 6/20/2019 | $ | 65,000,000 | $ | 65,472,368 | $ 472,368 | ||||||||||||
J.P. Morgan | IBXXLL | 3 Mo. LIBOR + .00% | 582,242 | Long | 6/20/2019 | 100,000,000 | 100,069,869 | 69,869 | ||||||||||||||
J.P. Morgan | IBXXLL | 3 Mo. LIBOR + .00% | 522,686 | Long | 6/20/2019 | 90,000,000 | 89,834,047 | (165,953 | ) | |||||||||||||
Morgan Stanley | IBXXLL | 3 Mo. LIBOR + .00% | 145,518 | Long | 6/20/2019 | 25,000,000 | 25,010,186 | 10,186 | ||||||||||||||
Total | $ | 280,000,000 | $ | 280,386,470 | $ 386,470 |
* | iBOXX Leverage Loan Index |
Open Forward Foreign Currency Exchange Contracts at May 31, 2019:
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Appreciation | |||||||||||||
Canadian dollar | Sell | Goldman Sachs | 6/5/2019 | 15,865,000 | $ | 11,934,992 | $ | 11,738,486 | $ | 196,506 | ||||||||||
euro | Sell | J.P. Morgan | 6/7/2019 | 17,205,000 | 19,603,953 | 19,225,282 | 378,671 | |||||||||||||
euro | Sell | Toronto Dominion Bank | 6/7/2019 | 35,855,000 | 40,114,610 | 40,065,242 | 49,368 | |||||||||||||
euro | Sell | State Street Bank and Trust | 8/14/2019 | 7,432,000 | 8,412,697 | 8,351,818 | 60,879 | |||||||||||||
euro | Sell | Toronto Dominion Bank | 8/14/2019 | 1,882,000 | 2,115,372 | 2,114,925 | 448 | |||||||||||||
euro | Sell | Toronto Dominion Bank | 8/14/2019 | 4,300,000 | 4,832,645 | 4,832,188 | 457 | |||||||||||||
euro | Sell | Toronto Dominion Bank | 8/14/2019 | 1,872,000 | 2,104,931 | 2,103,687 | 1,244 | |||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 687,573 |
Open Futures Contracts at May 31, 2019:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||
U.S. 5-Year Treasury Note | September 2019 | 696 | Long | $ | 81,204,874 | $ | 81,687,563 | $ | 482,689 | |||||||||
Type | Expiration | Contracts | Positions | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||
U.S. 2-Year Treasury Note | September 2019 | 99 | Short | (21,182,736) | (21,252,516) | (69,780 | ) | |||||||||||
U.S. 10-Year Treasury Note | September 2019 | 1,375 | Short | (172,968,304) | (174,281,250) | (1,312,946 | ) | |||||||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (1,382,726 | ) |
See Notes to Financial Statements. | 117 |
Schedule of Investments (unaudited)(continued)
FLOATING RATE FUNDMay 31, 2019
The following is a summary of the inputs used as of May 31, 2019 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 | $ | – | $ | 70,524,267 | $ | – | $ | 70,524,267 | ||||||||
Common Stocks | ||||||||||||||||
Broadcasting | 13,062,854 | 17,974,900 | – | 31,037,754 | ||||||||||||
Energy | – | 259,964 | – | 259,964 | ||||||||||||
Other | 24,745 | – | – | 24,745 | ||||||||||||
Convertible Bonds | – | 48,966,228 | – | 48,966,228 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Metals/Minerals | – | 34,519,000 | 5 | 34,519,005 | ||||||||||||
Other | – | 428,846,046 | – | 428,846,046 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Aerospace | – | 287,082,020 | 148,117,972 | 435,199,992 | ||||||||||||
Chemicals | – | 127,786,722 | 60,892,407 | 188,679,129 | ||||||||||||
Consumer Durables | – | 93,985,428 | 17,518,324 | 111,503,752 | ||||||||||||
Consumer Non-Durables | – | 100,042,655 | 111,806,399 | 211,849,054 | ||||||||||||
Energy | – | 245,469,096 | 70,568,617 | 316,037,713 | ||||||||||||
Financial | – | 553,591,570 | 40,529,993 | 594,121,563 | ||||||||||||
Food & Drug | – | 116,866,518 | 33,679,878 | 150,546,396 | ||||||||||||
Food/Tobacco | – | 535,567,924 | 66,992,739 | 602,560,663 | ||||||||||||
Forest Products | – | 270,478,797 | 24,299,658 | 294,778,455 | ||||||||||||
Gaming/Leisure | – | 533,217,682 | 69,907,947 | 603,125,629 | ||||||||||||
Healthcare | – | 1,245,144,929 | 170,331,774 | 1,415,476,703 | ||||||||||||
Housing | – | 179,839,059 | 40,306,914 | 220,145,973 | ||||||||||||
Information Technology | – | 1,142,931,130 | 151,210,606 | 1,294,141,736 | ||||||||||||
Manufacturing | – | 404,153,565 | 220,391,638 | 624,545,203 | ||||||||||||
Media/Telecommunications | – | 1,455,777,134 | 28,640,549 | 1,484,417,683 | ||||||||||||
Metals/Minerals | – | 77,622,341 | 92,465,658 | 170,087,999 | ||||||||||||
Retail | – | 453,081,650 | 93,992,532 | 547,074,182 | ||||||||||||
Service | – | 546,010,164 | 121,478,590 | 667,488,754 | ||||||||||||
Transportation | – | 263,524,057 | 166,419,646 | 429,943,703 | ||||||||||||
Utility | – | 376,487,436 | 12,171,900 | 388,659,336 | ||||||||||||
Less: Unfunded Commitments | – | (4,539,952 | ) | (4,836,461 | ) | (9,376,413 | ) | |||||||||
Preferred Stock | 12,802,697 | – | – | 12,802,697 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | – | 184,450,000 | – | 184,450,000 | ||||||||||||
Convertible Bond | – | 11,878,844 | – | 11,878,844 | ||||||||||||
Repurchase Agreements | – | 332,782,517 | – | 332,782,517 | ||||||||||||
Total | $ | 25,890,296 | $ | 10,134,321,691 | $ | 1,736,887,285 | $ | 11,897,099,272 |
118 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(concluded)
FLOATING RATE FUNDMay 31, 2019
Investment Type(2)(3) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | $ | – | $ | 687,573 | $ | – | $ | 687,573 | ||||||||
Liabilities | – | – | – | |||||||||||||
Futures Contracts | ||||||||||||||||
Assets | 482,689 | – | – | 482,689 | ||||||||||||
Liabilities | (1,382,726 | ) | – | – | (1,382,726 | ) | ||||||||||
Total Return Swap Contracts | ||||||||||||||||
Assets | – | 552,423 | – | 552,423 | ||||||||||||
Liabilities | – | (165,953 | ) | – | (165,953 | ) | ||||||||||
Total | $ | (900,037 | ) | $ | 1,074,044 | $ | – | $ | 174,007 |
(1) | Refer to Note 2(t) 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, 2019. |
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
Investment Type | Asset-Backed Securities | Common Stocks | Corporate Bonds | Floating Rate Loans | ||||||||||||
Balance as of December 1, 2018 | $ | 28,564,000 | $ | – | $ | 5 | $ | 1,335,850,637 | ||||||||
Accrued Discounts (Premiums) | – | – | – | 2,751,021 | ||||||||||||
Realized Gain (Loss) | (385,966 | ) | – | – | (10,435,580 | ) | ||||||||||
Change in Unrealized Appreciation (Depreciation) | – | (746,930 | ) | – | (6,023,392 | ) | ||||||||||
Purchases | – | – | – | 464,188,481 | ||||||||||||
Sales | (13,768,034 | ) | – | – | (663,688,526 | ) | ||||||||||
Transfers into Level 3 | – | 746,930 | – | 1,004,280,236 | ||||||||||||
Transfers out of Level 3 | (14,410,000 | ) | – | – | (390,035,597 | ) | ||||||||||
Balance as of May 31, 2019 | $ | – | $ | – | $ | 5 | $ | 1,736,887,280 | ||||||||
Change in unrealized appreciation/depreciation for the period ended May 31, 2019, related to Level 3 investments held at May 31, 2019 | $ | – | $ | (746,930 | ) | $ | – | $ | (6,550,014 | ) |
See Notes to Financial Statements. | 119 |
Schedule of Investments (unaudited)
HIGH YIELD FUNDMay 31, 2019
Investments | Shares (000) | Fair Value | ||||||
LONG-TERM INVESTMENTS 98.16% | ||||||||
COMMON STOCKS 4.21% | ||||||||
Aerospace/Defense 0.20% | ||||||||
HEICO Corp. | 58 | $ | 7,045,289 | |||||
Teledyne Technologies, Inc.* | 29 | 6,830,183 | ||||||
Total | 13,875,472 | |||||||
Auto Parts & Equipment 0.10% | ||||||||
Fox Factory Holding Corp.* | 101 | 6,791,472 | ||||||
Beverages 0.19% | ||||||||
Boston Beer Co., Inc. (The) Class A* | 21 | 6,714,705 | ||||||
Brown-Forman Corp. Class B | 129 | 6,427,728 | ||||||
Total | 13,142,433 | |||||||
Chemicals 0.10% | ||||||||
Scotts Miracle-Gro Co. (The) | 78 | 6,974,476 | ||||||
Diversified Capital Goods 0.10% | ||||||||
Dover Corp. | 75 | 6,701,995 | ||||||
Electronics 0.14% | ||||||||
Roku, Inc.* | 109 | 9,837,238 | ||||||
Energy: Exploration & Production 0.22% | ||||||||
Chaparral Energy, Inc. Class A* | 284 | 1,199,256 | ||||||
Magnolia Oil & Gas Corp.* | 603 | 6,654,686 | ||||||
SolarEdge Technologies, Inc. (Israel)*(a) | 128 | 6,850,900 | ||||||
Templar Energy LLC Class A Units | 191 | – | (b) | |||||
Total | 14,704,842 | |||||||
Food & Drug Retailers 0.00% | ||||||||
Fairway Group Holdings Corp. | 20 | 197 | (b) | |||||
Food: Wholesale 0.33% | ||||||||
Beyond Meat, Inc.* | 78 | 8,081,794 | ||||||
Freshpet, Inc.* | 173 | 8,048,418 | ||||||
Sanderson Farms, Inc. | 46 | 6,283,192 | ||||||
Total | 22,413,404 | |||||||
Gas Distribution 0.10% | ||||||||
Cabot Oil & Gas Corp. | 260 | �� | 6,505,150 |
120 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUNDMay 31, 2019
Investments | Shares (000) | Fair Value | ||||||
Health Services 0.10% | ||||||||
Guardant Health, Inc.* | 90 | $ | 6,904,131 | |||||
Integrated Energy 0.10% | ||||||||
First Solar, Inc.* | 113 | 6,586,321 | ||||||
Investments & Miscellaneous Financial Services 0.11% | ||||||||
MarketAxess Holdings, Inc. | 24 | 7,078,288 | ||||||
Penson Technologies Class A Units | 4,881 | 48,811 | (b) | |||||
Total | 7,127,099 | |||||||
Medical Products 0.41% | ||||||||
DENTSPLY SIRONA, Inc. | 126 | 6,763,055 | ||||||
Shockwave Medical, Inc.* | 125 | 7,485,529 | ||||||
Silk Road Medical, Inc.* | 146 | 6,224,862 | ||||||
Tandem Diabetes Care, Inc.* | 110 | 7,558,603 | ||||||
Total | 28,032,049 | |||||||
Personal & Household Products 0.22% | ||||||||
Gibson Brands, Inc. | 57 | 6,669,417 | (c) | |||||
Lovesac Co. (The)* | 217 | 7,832,007 | ||||||
Remington Outdoor Co., Inc.* | 128 | 192,488 | (c) | |||||
Total | 14,693,912 | |||||||
Pharmaceuticals 0.20% | ||||||||
GW Pharmaceuticals plc ADR*(a) | 38 | 6,598,712 | ||||||
Sage Therapeutics, Inc.* | 40 | 6,941,657 | ||||||
Total | 13,540,369 | |||||||
Real Estate Development & Management 0.10% | ||||||||
CoStar Group, Inc.* | 13 | 6,699,218 | ||||||
Restaurants 0.10% | ||||||||
Shake Shack, Inc. Class A* | 115 | 7,051,814 | ||||||
Software/Services 0.76% | ||||||||
Aspen Technology, Inc.* | 61 | 6,965,429 | ||||||
Fastly, Inc. Class A* | 382 | 7,936,947 | ||||||
Match Group, Inc. | 98 | 6,751,590 | ||||||
MSCI, Inc. | 32 | 6,948,576 | ||||||
Shopify, Inc. Class A (Canada)*(a) | 25 | 6,842,811 | ||||||
Veeva Systems, Inc. Class A* | 54 | 8,331,351 | ||||||
Zscaler, Inc.* | 108 | 7,439,767 | ||||||
Total | 51,216,471 |
See Notes to Financial Statements. | 121 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUNDMay 31, 2019
Investments | Shares (000) | Fair Value | ||||||||||
Specialty Retail 0.37% | ||||||||||||
Claires Holdings LLC | 7 | $ | 4,839,667 | |||||||||
Deckers Outdoor Corp.* | 44 | 6,753,392 | ||||||||||
Lululemon Athletica, Inc. (Canada)*(a) | 40 | 6,701,096 | ||||||||||
Moncler SpA(d) | EUR | 181 | 6,648,526 | |||||||||
Total | 24,942,681 | |||||||||||
Support: Services 0.15% | ||||||||||||
Bright Horizons Family Solutions, Inc.* | 51 | 6,949,627 | ||||||||||
William Lyon Homes Class A* | 169 | 3,136,913 | ||||||||||
Total | 10,086,540 | |||||||||||
Telecommunications 0.05% | ||||||||||||
ViaSat, Inc.* | 39 | 3,364,841 | ||||||||||
Transportation: Infrastructure/Services 0.06% | ||||||||||||
Chassix Holdings, Inc. | 160 | 3,989,900 | (c) | |||||||||
Total Common Stocks (cost $279,851,517) | 285,182,025 | |||||||||||
Interest Rate | Maturity Date | Principal Amount (000) | ||||||||||
CONVERTIBLE BONDS 0.90% | ||||||||||||
Electronics 0.20% | ||||||||||||
Advanced Micro Devices, Inc. | 2.125% | 9/1/2026 | $ | 2,000 | 7,020,093 | |||||||
Teradyne, Inc. | 1.25% | 12/15/2023 | 4,457 | 6,556,848 | ||||||||
Total | 13,576,941 | |||||||||||
Machinery 0.10% | ||||||||||||
Chart Industries, Inc.† | 1.00% | 11/15/2024 | 4,639 | 6,630,871 | ||||||||
Software/Services 0.60% | ||||||||||||
DocuSign, Inc.† | 0.50% | 9/15/2023 | 6,427 | 6,869,272 | ||||||||
Everbridge, Inc. | 1.50% | 11/1/2022 | 4,189 | 9,930,299 | ||||||||
MercadoLibre, Inc. (Argentina)†(a) | 2.00% | 8/15/2028 | 7,044 | 10,288,643 | ||||||||
Twilio, Inc. | 0.25% | 6/1/2023 | 3,458 | 6,762,551 | ||||||||
Twitter, Inc.† | 0.25% | 6/15/2024 | 6,909 | 6,765,063 | ||||||||
Total | 40,615,828 | |||||||||||
Total Convertible Bonds (cost $59,569,985) | 60,823,640 |
122 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUNDMay 31, 2019
Investments | Dividend Rate | Shares (000) | Fair Value | |||||||||
CONVERTIBLE PREFERRED STOCK 0.10% | ||||||||||||
Medical Products | ||||||||||||
Danaher Corp. (cost $6,678,112) | 4.75% | 7 | $ | 6,990,469 | ||||||||
Interest Rate | Maturity Date | Principal Amount (000) | ||||||||||
FLOATING RATE LOANS(e)6.59% | ||||||||||||
Advertising 0.08% | ||||||||||||
Southern Graphics Inc. 2nd Lien Initial Term Loan | 9.981% (1 Mo. LIBOR + 7.50% | ) | 12/31/2023 | $ | 6,950 | 5,143,000 | (f) | |||||
Aerospace/Defense 0.13% | ||||||||||||
Forming Machining Industries Holdings, LLC | ||||||||||||
1st Lien Initial Term Loan | 6.746% (3 Mo. LIBOR + 4.25% | ) | 10/3/2025 | 9,657 | 9,029,106 | (f) | ||||||
Automakers 0.14% | ||||||||||||
Thor Industries, Inc. Dollar Initial Term Loan | 6.25% (1 Mo. LIBOR + 3.75% | ) | 2/1/2026 | 9,617 | 9,400,413 | (f) | ||||||
Building & Construction 0.10% | ||||||||||||
DG Investment Intermediate Holdings 2, Inc. | ||||||||||||
1st Lien Initial Term Loan | 5.439% (1 Mo. LIBOR + 3.00% | ) | 2/3/2025 | 6,859 | 6,704,673 | |||||||
Building Materials 0.21% | ||||||||||||
Airxcel, Inc. 1st Lien Initial Term Loan | 6.939% (1 Mo. LIBOR + 4.50% | ) | 4/28/2025 | 7,151 | 6,686,173 | |||||||
Yak Access, LLC 2nd Lien Initial Term Loan | 12.44% (1 Mo. LIBOR + 4.50% | ) | 6/13/2026 | 8,470 | 7,432,425 | (f) | ||||||
Total | 14,118,598 | |||||||||||
Chemicals 0.15% | ||||||||||||
U.S. Silica Co. Term Loan | 6.50% (1 Mo. LIBOR + 4.00% | ) | 5/1/2025 | 10,712 | 10,213,148 | |||||||
Diversified Capital Goods 0.21% | ||||||||||||
Excelitas Technologies Corp. 2nd Lien Initial Term Loan | 10.096% (3 Mo. LIBOR + 7.50% | ) | 12/1/2025 | 7,298 | 7,313,216 | |||||||
Exgen Renewables IV, LLC Term Loan | 5.53% (3 Mo. LIBOR + 3.00% | ) | 11/28/2024 | 7,280 | 6,936,173 | |||||||
Total | 14,249,389 |
See Notes to Financial Statements. | 123 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Generation 1.07% | ||||||||||||
Frontera Generation Holdings LLC Initial Term Loan | 6.717% (1 Mo. LIBOR + 4.25% | ) | 5/2/2025 | $ | 13,746 | $ | 13,668,745 | |||||
Helix Gen Funding, LLC Term Loan | 6.189% (1 Mo. LIBOR + 3.75% | ) | 6/2/2024 | 10,500 | 9,778,391 | |||||||
Lonestar II Generation Holdings LLC Initial Term Loan B | 7.48% (1 Mo. LIBOR + 5.00% | ) | 4/20/2026 | 6,967 | 7,001,804 | (f) | ||||||
Longview Power, LLC Advance Term Loan B | 8.59% (3 Mo. LIBOR + 6.00% | ) | 4/13/2021 | 11,643 | 10,334,346 | |||||||
Moxie Patriot LLC Construction Advances Term Loan B1 | 8.351% (3 Mo. LIBOR + 5.75% | ) | 12/19/2020 | 2,512 | 2,421,083 | |||||||
Moxie Patriot LLC Construction Advances Term Loan B2 | 8.351% (3 Mo. LIBOR + 5.75% | ) | 12/19/2020 | 5,037 | 4,854,064 | |||||||
MRP Generation Holdings, LLC Term Loan | 9.601% (3 Mo. LIBOR + 7.00% | ) | 10/18/2022 | 6,852 | 6,834,656 | (f) | ||||||
Sandy Creek Energy Associates, L.P. Term Loan | 6.601% (3 Mo. LIBOR + 4.00% | ) | 11/9/2020 | 15,362 | 14,023,529 | |||||||
Temple Generation1, LLC 2nd Lien Advance Term Loan | 10.43% (1 Mo. LIBOR + 8.00% | ) | 2/7/2023 | 3,683 | 3,692,173 | |||||||
Total | 72,608,791 | |||||||||||
Electric: Integrated 0.14% | ||||||||||||
Lonestar II Generation Holdings LLC Initial Term Loan C | 7.48% (1 Mo. LIBOR + 5.00% | ) | 4/20/2026 | 836 | 840,221 | (f) | ||||||
PG&E Corp. DIP Delayed Draw Term Loan | 1.125% (3 Mo. LIBOR + 1.125% | ) | 12/31/2020 | 2,151 | 2,161,755 | |||||||
PG&E Corp. DIP Initial Term Loan | 2.25% (3 Mo. LIBOR + 2.25% | ) | 12/31/2020 | 6,451 | 6,483,255 | |||||||
Total | 9,485,231 | |||||||||||
Electronics 0.29% | ||||||||||||
II-VI Incorporated Term Loan B | – | (g) | 3/8/2026 | 14,069 | 13,989,932 | (f) | ||||||
Mirion Technologies, Inc. Initial Dollar Term Loan | 6.595% (3 Mo. LIBOR + 4.00% | ) | 3/6/2026 | 5,715 | 5,748,947 | |||||||
Total | 19,738,879 | |||||||||||
Food & Drug Retailers 0.11% | ||||||||||||
Fairway Group Acquisition Company Last Out Term Loan | 10.00% | 11/28/2023 | 1,438 | 144 | (f) | |||||||
Fairway Group Acquisition Company Term Loan | 11.00% | 2/24/2024 | 1,281 | 128 | (f) | |||||||
GOBP Holdings, Inc. 2nd Lien Initial Term Loan | 9.851% (3 Mo. LIBOR + 7.25% | ) | 10/22/2026 | 7,553 | 7,581,662 | |||||||
Total | 7,581,934 |
124 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Gaming 0.22% | ||||||||||||
PCI Gaming Authority Facility Term Loan B | – | (g) | 5/15/2026 | $ | 6,866 | $ | 6,878,874 | |||||
TopGolf International, Inc. Initial Term Loan | 7.967% (1 Mo. LIBOR + 5.50% | ) | 2/9/2026 | 7,738 | 7,786,362 | (f) | ||||||
Total | 14,665,236 | |||||||||||
Gas Distribution 0.10% | ||||||||||||
Medallion Midland Acquisition, LLC Initial Term Loan | 5.689% (1 Mo. LIBOR + 3.25% | ) | 10/30/2024 | 6,868 | 6,779,265 | |||||||
Health Services 0.21% | ||||||||||||
Navicure, Inc. 2nd Lien Initial Term Loan | 9.939% (1 Mo. LIBOR + 7.50% | ) | 10/23/2025 | 7,199 | 7,127,010 | (f) | ||||||
Sound Inpatient Physicians, Inc. 2nd Lien Initial Term Loan | 9.189% (1 Mo. LIBOR + 6.75% | ) | 6/26/2026 | 6,717 | 6,710,664 | |||||||
Total | 13,837,674 | |||||||||||
Machinery 0.31% | ||||||||||||
GlobalFoundries Inc Term Loan B (Singapore)(a) | – | (g) | 5/24/2026 | 15,142 | 15,066,290 | (f) | ||||||
North American Lifting Holdings, Inc. 2nd Lien Term Loan | 11.601% (3 Mo. LIBOR + 9.00% | ) | 11/23/2021 | 7,323 | 6,142,166 | |||||||
Total | 21,208,456 | |||||||||||
Media 0.24% | ||||||||||||
Nexstar Media Group, Inc. Bridge Term Loan | – | (g) | 11/30/2019 | 16,026 | 16,026,000 | |||||||
Media: Content 0.15% | ||||||||||||
Univision Communications Inc. 2017 1st Lien Replacement Repriced Term Loan | 5.189% (1 Mo. LIBOR + 2.75% | ) | 3/15/2024 | 10,909 | 10,369,819 | |||||||
Medical Products 0.07% | ||||||||||||
Viant Medical Holdings, Inc. 2nd Lien Initial Term Loan | 10.351% (3 Mo. LIBOR + 7.75% | ) | 7/2/2026 | 4,986 | 5,004,736 | (f) | ||||||
Oil Field Equipment & Services 0.43% | ||||||||||||
BEP Ulterra Drilling Technologies, LP Term Loan B | 7.689% (1 Mo. LIBOR + 5.25% | ) | 11/26/2025 | 15,413 | 14,565,635 | (f) | ||||||
Keane Group Holdings, LLC Initial Term Loan | 6.25% (1 Mo. LIBOR + 3.75% | ) | 5/25/2025 | 6,811 | 6,708,918 | |||||||
Lower Cadence Holdings LLC Initial Term Loan | – | (g) | 5/10/2026 | 7,606 | 7,603,642 | (f) | ||||||
Total | 28,878,195 | |||||||||||
Packaging 0.10% | ||||||||||||
ProAmpac PG Borrower LLC 1st Lien Initial Term Loan | 5.936% (1 Mo. LIBOR + 3.50% | ) | 11/18/2023 | 7,050 | 6,807,691 |
See Notes to Financial Statements. | 125 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Personal & Household Products 0.32% | ||||||||||||
Britax U.S. Holdings Inc. Initial Dollar Term Loan | 6.101% (3 Mo. LIBOR + 3.50% | ) | 10/15/2020 | $ | 9,324 | $ | 6,697,545 | |||||
FGI Operating Company, LLC Exit Term Loan | 12.518% (3 Mo. LIBOR + 10.00% | ) | 5/15/2022 | 795 | 795,009 | (f) | ||||||
Revlon Consumer Products Corp. Initial Term Loan B | 6.022% (3 Mo. LIBOR + 3.50% | ) | 9/7/2023 | 8,852 | 7,221,420 | |||||||
TGP Holdings III LLC 2nd Lien Initial Term Loan | 11.101% (3 Mo. LIBOR + 8.50% | ) | 9/25/2025 | 7,243 | 6,808,420 | (f) | ||||||
Total | 21,522,394 | |||||||||||
Printing & Publishing 0.10% | ||||||||||||
J.D. Power 2nd Lien Initial Term Loan | 10.939% (1 Mo. LIBOR + 8.50% | ) | 9/7/2024 | 6,975 | 6,905,002 | (f) | ||||||
Restaurants 0.40% | ||||||||||||
Del Frisco’s Restaurant Group, Inc. Initial Term Loan | 8.44% (1 Mo. LIBOR + 6.00% | ) | 6/27/2025 | 6,806 | 6,559,749 | |||||||
Flynn Restaurant Group LP 1st Lien Initial Term Loan | – | (g) | 6/27/2025 | 6,957 | 6,786,554 | |||||||
Flynn Restaurant Group LP 2nd Lien Initial Term Loan | 9.467% (1 Mo. LIBOR + 7.00% | ) | 6/29/2026 | 6,747 | 6,544,590 | |||||||
Fogo de Chao, Inc. Refinancing Term Loan | 6.689% (1 Mo. LIBOR + 4.25% | ) | 4/5/2025 | 7,060 | 7,082,058 | (f) | ||||||
Total | 26,972,951 | |||||||||||
Software/Services 0.26% | ||||||||||||
Titan AcquisitionCo New Zealand Limited(New Zealand)(a) | 6.826% (3 Mo. LIBOR + 4.25% | ) | 5/1/2026 | 7,626 | 7,635,533 | (f) | ||||||
Vertafore, Inc. 2nd Lien Initial Term Loan | 9.689% (1 Mo. LIBOR + 7.25% | ) | 7/2/2026 | 10,284 | 10,132,584 | |||||||
Total | 17,768,117 | |||||||||||
Specialty Retail 0.28% | ||||||||||||
Boardriders, Inc. Initial Term Loan | 8.939% (1 Mo. LIBOR + 6.50% | ) | 4/23/2024 | 6,834 | 6,752,742 | (f) | ||||||
Claire’s Stores, Inc. Initial Term Loan | 9.938% (6 Mo. LIBOR + 7.25% | ) | 10/12/2038 | 905 | 1,492,557 | (f) | ||||||
Mavis Tire Express Services Corp. 1st Lien Closing Date Term Loan | 5.68% (1 Mo. LIBOR + 3.25% | ) | 3/20/2025 | 9,691 | 9,539,166 | (f) | ||||||
Mavis Tire Express Services Corp. 1st Lien Delayed Draw Term Loan | 2.00% | 3/20/2025 | 1,227 | 1,207,949 | (f) | |||||||
Total | 18,992,414 |
126 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Support: Services 0.67% | ||||||||||||
BIFM CA Buyer Inc. Term Loan B (Canada)(a) | – | (g) | 5/2/2026 | $ | 6,903 | $ | 6,903,000 | (f) | ||||
CIBT Global, Inc. 2nd Lien Initial Term Loan | 10.351% (3 Mo. LIBOR + 7.75% | ) | 6/1/2025 | 5,824 | 5,751,530 | (f) | ||||||
Drive Chassis Holdco, LLC Term Loan | 10.834% (3 Mo. LIBOR + 8.25% | ) | 4/10/2026 | 19,338 | 18,661,170 | (f) | ||||||
KUEHG Corp. 2nd Lien Tranche B Term Loan | 10.851% (3 Mo. LIBOR + 8.25% | ) | 8/18/2025 | 7,108 | 7,121,327 | |||||||
PowerTeam Services, LLC 2nd Lien Initial Term Loan | 9.851% (3 Mo. LIBOR + 7.25% | ) | 3/6/2026 | 6,954 | 6,780,150 | (f) | ||||||
Total | 45,217,177 | |||||||||||
Transportation: Infrastructure/Services 0.10% | ||||||||||||
Commercial Barge Line Co. Initial Term Loan | 11.189% (1 Mo. LIBOR + 8.75% | ) | 11/12/2020 | 9,421 | 6,665,446 | |||||||
Total Floating Rate Loans (cost $454,665,532) | 445,893,735 | |||||||||||
FOREIGN BONDS 0.83% | ||||||||||||
Italy 0.13% | ||||||||||||
Inter Media & Communication SpA†(d) | 4.875% | 12/31/2022 | EUR | 7,756 | 8,899,568 | |||||||
Netherlands 0.32% | ||||||||||||
Darling Global Finance BV†(d) | 3.625% | 5/15/2026 | EUR | 6,292 | 7,319,058 | |||||||
Dutch Lion BV PIK 12.00%†(d) | 11.25% | 6/15/2020 | EUR | 8,146 | 8,190,303 | |||||||
Hema Bondco II BV†(d) | 8.50% | 1/15/2023 | EUR | 8,220 | 6,157,183 | |||||||
Total | 21,666,544 | |||||||||||
United Kingdom 0.38% | ||||||||||||
Mclaren Finance plc(d) | 5.00% | 8/1/2022 | GBP | 12,894 | 15,628,402 | |||||||
Stonegate Pub Co. Financing plc†(d) | 4.875% | 3/15/2022 | GBP | 7,741 | 9,937,387 | |||||||
Total | 25,565,789 | |||||||||||
Total Foreign Bonds (cost $60,772,688) | 56,131,901 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS(a)0.73% | ||||||||||||
Argentina | ||||||||||||
City of Buenos Aires (Argentina)† | 7.50% | 6/1/2027 | $ | 8,318 | 7,175,939 | |||||||
Province of Santa Fe† | 6.90% | 11/1/2027 | 8,752 | 6,568,376 | ||||||||
Provincia de Cordoba† | 7.45% | 9/1/2024 | 9,281 | 6,844,830 | ||||||||
Provincia de la Rioja† | 9.75% | 2/24/2025 | 10,415 | 7,941,542 | ||||||||
Provincia de Mendoza† | 8.375% | 5/19/2024 | 8,882 | 7,016,780 | ||||||||
Provincia de Rio Negro† | 7.75% | 12/7/2025 | 11,644 | 7,478,708 |
See Notes to Financial Statements. | 127 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Argentina (continued) | ||||||||||||
Republic of Argentina | 6.875% | 4/22/2021 | $ | 7,900 | $ | 6,560,950 | ||||||
Total Foreign Government Obligations (cost $59,665,258) | 49,587,125 | |||||||||||
HIGH YIELD CORPORATE BONDS 84.48% | ||||||||||||
Advertising 0.16% | ||||||||||||
Clear Channel Worldwide Holdings, Inc.† | 9.25% | 2/15/2024 | 10,271 | 11,012,566 | ||||||||
Aerospace/Defense 1.60% | ||||||||||||
BBA US Holdings, Inc.† | 5.375% | 5/1/2026 | 6,546 | 6,644,190 | ||||||||
Bombardier, Inc. (Canada)†(a) | 7.50% | 3/15/2025 | 20,457 | 19,913,867 | ||||||||
Booz Allen Hamilton, Inc.† | 5.125% | 5/1/2025 | 13,038 | 13,119,488 | ||||||||
Kratos Defense & Security Solutions, Inc.† | 6.50% | 11/30/2025 | 9,646 | 10,200,645 | ||||||||
TransDigm, Inc.† | 6.25% | 3/15/2026 | 21,356 | 21,836,510 | ||||||||
TransDigm, Inc. | 6.375% | 6/15/2026 | 37,474 | 36,958,732 | ||||||||
Total | 108,673,432 | |||||||||||
Air Transportation 0.57% | ||||||||||||
Azul Investments LLP† | 5.875% | 10/26/2024 | 13,658 | 13,009,245 | ||||||||
Hawaiian Airlines 2013-1 Class B Pass-Through Certificates | 4.95% | 7/15/2023 | 8,352 | 8,482,946 | ||||||||
Latam Finance Ltd.† | 7.00% | 3/1/2026 | 6,832 | 6,852,564 | ||||||||
United Continental Holdings, Inc. | 4.875% | 1/15/2025 | 10,382 | 10,330,090 | ||||||||
Total | 38,674,845 | |||||||||||
Auto Loans 0.12% | ||||||||||||
General Motors Financial Co., Inc. | 5.65% | 1/17/2029 | 7,735 | 8,122,039 | ||||||||
Auto Parts & Equipment 0.95% | ||||||||||||
Adient US LLC† | 7.00% | 5/15/2026 | 6,799 | 6,765,005 | ||||||||
Allison Transmission, Inc.† | 5.00% | 10/1/2024 | 6,534 | 6,514,071 | ||||||||
American Axle & Manufacturing, Inc. | 6.25% | 4/1/2025 | 5,910 | 5,716,507 | ||||||||
IAA Spinco, Inc.†(h) | 5.50% | 6/15/2027 | 8,101 | 8,242,767 | ||||||||
IHO Verwaltungs GmbH PIK 5.50% (Denmark)†(a) | 4.75% | 9/15/2026 | 8,336 | 7,794,160 | ||||||||
Nemak SAB de CV (Mexico)†(a) | 4.75% | 1/23/2025 | 6,811 | 6,778,580 | ||||||||
Optimas OE Solutions Holding LLC/OptimasOE Solutions, Inc.† | 8.625% | 6/1/2021 | 6,969 | 6,428,903 | ||||||||
Tenneco, Inc. | 5.00% | 7/15/2026 | 11,810 | 9,019,887 | ||||||||
Wabash National Corp.† | 5.50% | 10/1/2025 | 7,816 | 7,405,660 | ||||||||
Total | 64,665,540 |
128 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automakers 0.95% | ||||||||||||
Aston Martin Capital Holdings Ltd. (Jersey)†(a) | 6.50% | 4/15/2022 | $ | 13,785 | $ | 13,440,375 | ||||||
General Motors Co. | 4.20% | 10/1/2027 | 825 | 802,981 | ||||||||
General Motors Co. | 5.00% | 10/1/2028 | 6,216 | 6,273,950 | ||||||||
General Motors Corp. | 7.20% | 1/15/2049 | 8,500 | 850 | (b) | |||||||
Navistar International Corp.† | 6.625% | 11/1/2025 | 6,506 | 6,685,045 | ||||||||
Tesla, Inc.† | 5.30% | 8/15/2025 | 45,704 | 37,421,064 | ||||||||
Total | 64,624,265 | |||||||||||
Banking 2.92% | ||||||||||||
Ally Financial, Inc. | 8.00% | 11/1/2031 | 44,170 | 56,206,325 | ||||||||
BankUnited, Inc. | 4.875% | 11/17/2025 | 12,909 | 13,811,371 | ||||||||
CIT Group, Inc. | 5.25% | 3/7/2025 | 4,114 | 4,356,232 | ||||||||
CIT Group, Inc. | 6.00% | 4/1/2036 | 2,695 | 2,600,675 | ||||||||
CIT Group, Inc. | 6.125% | 3/9/2028 | 15,795 | 17,413,988 | ||||||||
Credit Suisse Group AG (Switzerland)†(a) | 7.25% | #(i) | – | (j) | 10,437 | 10,654,872 | ||||||
Huntington Bancshares, Inc. | 5.70% | #(i) | – | (j) | 10,024 | 9,934,887 | ||||||
Intesa Sanpaolo SpA (Italy)†(a) | 5.71% | 1/15/2026 | 13,923 | 13,302,299 | ||||||||
KeyCorp | 5.00% (3 Mo. LIBOR + 3.61% | )# | – | (j) | 13,149 | 13,153,734 | ||||||
Macquarie Bank Ltd. (United Kingdom)†(a) | 6.125% (5 Yr. Swap + 3.70% | )# | – | (j) | 14,317 | 13,542,307 | ||||||
Popular, Inc. | 6.125% | 9/14/2023 | 15,457 | 16,152,565 | ||||||||
Synovus Financial Corp. | 5.90% | #(i) | 2/7/2029 | 15,004 | 15,341,590 | |||||||
Texas Capital Bank NA | 5.25% | 1/31/2026 | 10,952 | 11,374,115 | ||||||||
Washington Mutual Bank(k) | 6.875% | 6/15/2011 | 10,000 | 1,000 | (b) | |||||||
Total | 197,845,960 | |||||||||||
Beverages 0.21% | ||||||||||||
Bacardi Ltd.† | 5.30% | 5/15/2048 | 6,802 | 6,875,686 | ||||||||
Central American Bottling Corp. (Guatemala)†(a) | 5.75% | 1/31/2027 | 7,306 | 7,552,651 | ||||||||
Total | 14,428,337 | |||||||||||
Building & Construction 2.39% | ||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co.† | 6.75% | 8/1/2025 | 10,610 | 9,973,400 | ||||||||
Century Communities, Inc. | 5.875% | 7/15/2025 | 18,622 | 18,249,560 | ||||||||
Century Communities, Inc.† | 6.75% | 6/1/2027 | 10,804 | 10,665,709 | ||||||||
Lennar Corp. | 4.75% | 5/30/2025 | 14,443 | 14,659,645 | ||||||||
Lennar Corp. | 4.75% | 11/29/2027 | 3,885 | 3,929,095 | ||||||||
Miller Homes Group Holdings plc(d) | 5.50% | 10/15/2024 | GBP | 5,100 | 6,530,739 | |||||||
New Home Co., Inc. (The) | 7.25% | 4/1/2022 | $ | 6,990 | 6,273,525 | |||||||
PulteGroup, Inc. | 5.00% | 1/15/2027 | 16,666 | 16,915,990 |
See Notes to Financial Statements. | 129 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Building & Construction (continued) | ||||||||||||
PulteGroup, Inc. | 6.375% | 5/15/2033 | $ | 8,068 | $ | 8,410,890 | ||||||
Shea Homes LP/Shea Homes Funding Corp.† | 6.125% | 4/1/2025 | 13,483 | 13,213,340 | ||||||||
Toll Brothers Finance Corp. | 4.35% | 2/15/2028 | 6,870 | 6,569,437 | ||||||||
Toll Brothers Finance Corp. | 4.875% | 3/15/2027 | 12,422 | 12,482,371 | ||||||||
TRI Pointe Group, Inc. | 5.25% | 6/1/2027 | 12,807 | 12,006,562 | ||||||||
William Lyon Homes, Inc. | 5.875% | 1/31/2025 | 11,343 | 10,945,995 | ||||||||
William Lyon Homes, Inc. | 6.00% | 9/1/2023 | 7,560 | 7,522,200 | ||||||||
William Lyon Homes, Inc. | 7.00% | 8/15/2022 | 3,682 | 3,691,205 | ||||||||
Total | 162,039,663 | |||||||||||
Building Materials 1.91% | ||||||||||||
American Woodmark Corp.† | 4.875% | 3/15/2026 | 7,244 | 7,081,010 | ||||||||
Beacon Roofing Supply, Inc.† | 4.875% | 11/1/2025 | 16,232 | 15,405,304 | ||||||||
Builders FirstSource, Inc.† | 6.75% | 6/1/2027 | 14,679 | 14,899,185 | ||||||||
Hillman Group, Inc. (The)† | 6.375% | 7/15/2022 | 13,949 | 12,763,335 | ||||||||
Masonite International Corp.† | 5.75% | 9/15/2026 | 10,191 | 10,343,865 | ||||||||
New Enterprise Stone & Lime Co., Inc.† | 6.25% | 3/15/2026 | 7,249 | 7,230,878 | ||||||||
Owens Corning | 4.30% | 7/15/2047 | 7,091 | 5,994,421 | ||||||||
Owens Corning | 4.40% | 1/30/2048 | 6,643 | 5,683,859 | ||||||||
PGT Escrow Issuer, Inc.† | 6.75% | 8/1/2026 | 13,239 | 13,801,657 | ||||||||
Summit Materials LLC/Summit MaterialsFinance Corp.† | 5.125% | 6/1/2025 | 16,203 | 15,959,955 | ||||||||
Summit Materials LLC/Summit MaterialsFinance Corp.† | 6.50% | 3/15/2027 | 9,052 | 9,300,930 | ||||||||
TopBuild Corp.† | 5.625% | 5/1/2026 | 10,547 | 10,678,838 | ||||||||
Total | 129,143,237 | |||||||||||
Cable & Satellite Television 5.57% | ||||||||||||
Altice Financing SA (Luxembourg)†(a) | 7.50% | 5/15/2026 | 13,991 | 13,781,135 | ||||||||
Altice France SA (France)†(a) | 7.375% | 5/1/2026 | 39,758 | 38,937,991 | ||||||||
Altice France SA (France)†(a) | 8.125% | 2/1/2027 | 21,208 | 21,234,510 | ||||||||
Altice Luxembourg SA (Luxembourg)†(a) | 7.625% | 2/15/2025 | 7,613 | 7,037,838 | ||||||||
Altice Luxembourg SA (Luxembourg)†(a) | 7.75% | 5/15/2022 | 2,707 | 2,761,140 | ||||||||
Altice Luxembourg SA (Luxembourg)†(a) | 10.50% | 5/15/2027 | 10,467 | 10,495,156 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.125% | 5/1/2027 | 35,193 | 35,302,978 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.75% | 2/15/2026 | 32,863 | 34,177,520 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.875% | 5/1/2027 | 43,628 | 45,100,445 | ||||||||
CSC Holdings LLC† | 5.50% | 4/15/2027 | 29,380 | 29,954,379 | ||||||||
CSC Holdings LLC† | 6.50% | 2/1/2029 | 15,754 | 16,684,668 | ||||||||
CSC Holdings LLC† | 10.875% | 10/15/2025 | 22,447 | 25,534,585 |
130 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Cable & Satellite Television (continued) | ||||||||||||
DISH DBS Corp. | 7.75% | 7/1/2026 | $ | 57,792 | $ | 53,053,056 | ||||||
Radiate Holdco LLC/Radiate Finance, Inc.† | 6.625% | 2/15/2025 | 7,081 | 6,957,082 | ||||||||
Virgin Media Secured Finance plc(d) | 4.875% | 1/15/2027 | GBP | 7,656 | 9,717,715 | |||||||
Ziggo Bond Co. BV (Netherlands)†(a) | 5.875% | 1/15/2025 | $ | 7,000 | 6,982,500 | |||||||
Ziggo BV (Netherlands)†(a) | 5.50% | 1/15/2027 | 19,900 | 19,502,000 | ||||||||
Total | 377,214,698 | |||||||||||
Chemicals 2.31% | ||||||||||||
Ashland LLC | 6.875% | 5/15/2043 | 15,374 | 16,258,005 | ||||||||
Blue Cube Spinco LLC | 10.00% | 10/15/2025 | 11,816 | 13,307,770 | ||||||||
CF Industries, Inc. | 4.95% | 6/1/2043 | 3,851 | 3,316,674 | ||||||||
CF Industries, Inc. | 5.15% | 3/15/2034 | 24,328 | 22,929,140 | ||||||||
Chemours Co. (The)(d) | 4.00% | 5/15/2026 | EUR | 6,048 | 6,641,270 | |||||||
Chemours Co. (The) | 5.375% | 5/15/2027 | $ | 7,025 | 6,392,750 | |||||||
Chemours Co. (The) | 7.00% | 5/15/2025 | 5,370 | 5,383,425 | ||||||||
CVR Partners LP/CVR Nitrogen Finance Corp.† | 9.25% | 6/15/2023 | 2,889 | 2,986,504 | ||||||||
GCP Applied Technologies, Inc.† | 5.50% | 4/15/2026 | 6,832 | 6,883,240 | ||||||||
Ingevity Corp.† | 4.50% | 2/1/2026 | 18,205 | 17,431,288 | ||||||||
Koppers, Inc.† | 6.00% | 2/15/2025 | 7,320 | 6,912,825 | ||||||||
OCI NV (Netherlands)†(a) | 6.625% | 4/15/2023 | 8,463 | 8,674,575 | ||||||||
SPCM SA (France)†(a) | 4.875% | 9/15/2025 | 9,381 | 9,146,475 | ||||||||
Tronox Finance plc (United Kingdom)†(a) | 5.75% | 10/1/2025 | 14,203 | 12,906,976 | ||||||||
Yingde Gases Investment Ltd. (Hong Kong)†(a) | 6.25% | 1/19/2023 | 17,469 | 17,566,845 | ||||||||
Total | 156,737,762 | |||||||||||
Consumer/Commercial/Lease Financing 1.99% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(a) | 3.65% | 7/21/2027 | 4,589 | 4,403,553 | ||||||||
AerCap Ireland Capital DAC/AerCap GlobalAviation Trust (Ireland)(a) | 4.45% | 4/3/2026 | 3,898 | 3,983,034 | ||||||||
Freedom Mortgage Corp.† | 8.25% | 4/15/2025 | 8,282 | 6,936,175 | ||||||||
Garrett LX I Sarl/Garrett Borrowing LLC†(d) | 5.125% | 10/15/2026 | EUR | 9,427 | 9,715,191 | |||||||
Ladder Capital Finance Holdings LLLP/LadderCapital Finance Corp.† | 5.25% | 10/1/2025 | $ | 11,070 | 10,848,600 | |||||||
Navient Corp. | 6.125% | 3/25/2024 | 24,659 | 25,277,694 | ||||||||
Navient Corp. | 6.75% | 6/25/2025 | 21,140 | 21,483,525 | ||||||||
Provident Funding Associates LP/PFG Finance Corp.† | 6.375% | 6/15/2025 | 10,378 | 9,794,238 | ||||||||
Quicken Loans, Inc.† | 5.25% | 1/15/2028 | 10,216 | 9,536,125 | ||||||||
Springleaf Finance Corp. | 6.125% | 3/15/2024 | 31,595 | 32,858,800 | ||||||||
Total | 134,836,935 |
See Notes to Financial Statements. | 131 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Diversified Capital Goods 1.72% | ||||||||||||
Amsted Industries, Inc.†(h) | 5.625% | 7/1/2027 | $ | 7,147 | $ | 7,218,399 | ||||||
BCD Acquisition, Inc.† | 9.625% | 9/15/2023 | 9,034 | 9,485,700 | ||||||||
General Electric Co. | 5.00% (3 Mo. LIBOR + 3.33% | )# | – | (j) | 36,248 | 33,790,929 | ||||||
Griffon Corp. | 5.25% | 3/1/2022 | 6,735 | 6,726,581 | ||||||||
JB Poindexter & Co., Inc.† | 7.125% | 4/15/2026 | 9,888 | 10,135,200 | ||||||||
SPX FLOW, Inc.† | 5.625% | 8/15/2024 | 12,220 | 12,556,050 | ||||||||
SPX FLOW, Inc.† | 5.875% | 8/15/2026 | 7,252 | 7,505,820 | ||||||||
Stevens Holding Co., Inc.† | 6.125% | 10/1/2026 | 6,708 | 7,009,860 | ||||||||
Wabtec Corp. | 3.45% | 11/15/2026 | 15,419 | 14,758,313 | ||||||||
Werner FinCo LP/Werner FinCo, Inc.† | 8.75% | 7/15/2025 | 8,220 | 7,182,225 | ||||||||
Total | 116,369,077 | |||||||||||
Electric: Distribution/Transportation 0.21% | ||||||||||||
Cemig Geracao e Transmissao SA (Brazil)†(a) | 9.25% | 12/5/2024 | 12,618 | 14,053,297 | ||||||||
Electric: Generation 1.78% | ||||||||||||
Calpine Corp. | 5.75% | 1/15/2025 | 36,607 | 35,516,844 | ||||||||
Clearway Energy Operating LLC | 5.00% | 9/15/2026 | 6,942 | 6,733,740 | ||||||||
Clearway Energy Operating LLC† | 5.75% | 10/15/2025 | 8,972 | 8,983,215 | ||||||||
DPL, Inc. | 7.25% | 10/15/2021 | 3,170 | 3,387,937 | ||||||||
Elwood Energy LLC | 8.159% | 7/5/2026 | 6,626 | 7,222,400 | ||||||||
NextEra Energy Operating Partners LP† | 4.50% | 9/15/2027 | 12,492 | 12,164,085 | ||||||||
NRG Energy, Inc. | 5.75% | 1/15/2028 | 23,119 | 24,273,563 | ||||||||
NSG Holdings LLC/NSG Holdings, Inc.† | 7.75% | 12/15/2025 | 7,870 | 8,440,369 | ||||||||
Stoneway Capital Corp. (Argentina)†(a) | 10.00% | 3/1/2027 | 8,240 | 7,292,197 | ||||||||
Terraform Global Operating LLC† | 6.125% | 3/1/2026 | 6,836 | 6,810,365 | ||||||||
Total | 120,824,715 | |||||||||||
Electric: Integrated 1.05% | ||||||||||||
Aegea Finance Sarl (Brazil)†(a) | 5.75% | 10/10/2024 | 12,075 | 12,075,000 | ||||||||
AES Corp. (The) | 4.50% | 3/15/2023 | 8,515 | 8,589,506 | ||||||||
AES Corp. (The) | 5.125% | 9/1/2027 | 7,415 | 7,581,838 | ||||||||
Electricite de France SA (France)†(a) | 5.625% (10 Yr. Swap + 3.04% | )# | – | (j) | 10,368 | 10,390,188 | ||||||
Eskom Holdings SOC Ltd. (South Africa)†(a) | 8.45% | 8/10/2028 | 6,667 | 7,316,479 | ||||||||
NRG Energy, Inc.† | 5.25% | 6/15/2029 | 4,894 | 5,035,534 | ||||||||
Pacific Gas & Electric Co.(k) | 6.05% | 3/1/2034 | 20,162 | 20,363,620 | ||||||||
Total | 71,352,165 |
132 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electronics 0.62% | ||||||||||||
Micron Technology, Inc. | 5.327% | 2/6/2029 | $ | 13,302 | $ | 13,419,420 | ||||||
Nokia OYJ (Finland)(a) | 4.375% | 6/12/2027 | 7,116 | 6,991,470 | ||||||||
Qorvo, Inc.† | 5.50% | 7/15/2026 | 7,095 | 7,236,900 | ||||||||
Sensata Technologies BV† | 5.625% | 11/1/2024 | 13,449 | 14,239,129 | ||||||||
Total | 41,886,919 | |||||||||||
Energy: Exploration & Production 7.07% | ||||||||||||
Afren plc (United Kingdom)†(a)(k) | 6.625% | 12/9/2020 | 4,806 | 39,938 | ||||||||
Afren plc (United Kingdom)†(a)(k) | 10.25% | 4/8/2019 | 3,367 | 28,347 | ||||||||
Afren plc (United Kingdom)†(a)(k) | 11.50% | 2/1/2016 | 4,294 | 36,153 | ||||||||
Berry Petroleum Co. LLC† | 7.00% | 2/15/2026 | 13,779 | 13,400,077 | ||||||||
Brazos Valley Longhorn LLC/Brazos Valley Longhorn Finance Corp. | 6.875% | 2/1/2025 | 9,683 | 9,501,444 | ||||||||
California Resources Corp.† | 8.00% | 12/15/2022 | 30,195 | 21,211,987 | ||||||||
Callon Petroleum Co. | 6.125% | 10/1/2024 | 13,586 | 13,484,105 | ||||||||
Carrizo Oil & Gas, Inc. | 8.25% | 7/15/2025 | 9,668 | 9,474,640 | ||||||||
Centennial Resource Production LLC† | 5.375% | 1/15/2026 | 13,701 | 13,084,455 | ||||||||
Chaparral Energy, Inc.† | 8.75% | 7/15/2023 | 15,151 | 9,014,845 | ||||||||
Chesapeake Energy Corp. | 7.00% | 10/1/2024 | 21,578 | 19,716,897 | ||||||||
Chesapeake Energy Corp. | 7.50% | 10/1/2026 | 4,187 | 3,695,028 | ||||||||
Denbury Resources, Inc. | 5.50% | 5/1/2022 | 17,998 | 12,373,625 | ||||||||
Denbury Resources, Inc.† | 9.00% | 5/15/2021 | 6,758 | 6,605,945 | ||||||||
Diamondback Energy, Inc. | 4.75% | 11/1/2024 | 19,941 | 20,364,746 | ||||||||
Endeavor Energy Resources LP/EER Finance, Inc.† | 5.50% | 1/30/2026 | 6,790 | 6,891,850 | ||||||||
Extraction Oil & Gas, Inc.† | 7.375% | 5/15/2024 | 11,018 | 9,530,570 | ||||||||
Geopark Ltd. (Chile)†(a) | 6.50% | 9/21/2024 | 6,957 | 7,000,481 | ||||||||
Gulfport Energy Corp. | 6.375% | 5/15/2025 | 6,721 | 5,612,035 | ||||||||
HighPoint Operating Corp. | 7.00% | 10/15/2022 | 7,112 | 6,863,080 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 5.00% | 12/1/2024 | 10,206 | 9,925,335 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 5.75% | 10/1/2025 | 9,092 | 8,978,350 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 6.25% | 11/1/2028 | 7,210 | 7,255,207 | ||||||||
Hunt Oil Co. of Peru LLC Sucursal Del Peru (Peru)†(a) | 6.375% | 6/1/2028 | 6,264 | 6,882,570 | ||||||||
Indigo Natural Resources LLC† | 6.875% | 2/15/2026 | 10,220 | 9,223,550 | ||||||||
Jagged Peak Energy LLC | 5.875% | 5/1/2026 | 14,579 | 14,305,644 | ||||||||
Jonah Energy LLC/Jonah Energy Finance Corp.† | 7.25% | 10/15/2025 | 17,530 | 10,474,175 | ||||||||
Magnolia Oil & Gas Operating LLC/MagnoliaOil & Gas Finance Corp.† | 6.00% | 8/1/2026 | 16,763 | 16,930,630 | ||||||||
MEG Energy Corp. (Canada)†(a) | 6.50% | 1/15/2025 | 10,899 | 10,527,889 | ||||||||
MEG Energy Corp. (Canada)†(a) | 7.00% | 3/31/2024 | 29,310 | 26,305,725 |
See Notes to Financial Statements. | 133 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Energy: Exploration & Production (continued) | ||||||||||||
Murphy Oil Corp. | 6.875% | 8/15/2024 | $ | 6,769 | $ | 7,018,895 | ||||||
Oasis Petroleum, Inc.† | 6.25% | 5/1/2026 | 18,429 | 16,401,810 | ||||||||
Parsley Energy LLC/Parsley Finance Corp.† | 5.625% | 10/15/2027 | 6,992 | 6,957,040 | ||||||||
PDC Energy, Inc. | 6.125% | 9/15/2024 | 9,402 | 9,096,435 | ||||||||
QEP Resources, Inc. | 5.25% | 5/1/2023 | 7,006 | 6,602,314 | ||||||||
Sable Permian Resources Land LLC/AEPBFinance Corp.† | 13.00% | 11/30/2020 | 7,706 | 7,397,760 | ||||||||
Sanchez Energy Corp.† | 7.25% | 2/15/2023 | 9,174 | 7,797,900 | ||||||||
SM Energy Co. | 6.625% | 1/15/2027 | 14,821 | 13,116,585 | ||||||||
SM Energy Co. | 6.75% | 9/15/2026 | 11,332 | 10,176,136 | ||||||||
Southwestern Energy Co. | 7.50% | 4/1/2026 | 6,639 | 6,406,635 | ||||||||
Southwestern Energy Co. | 7.75% | 10/1/2027 | 11,924 | 11,447,040 | ||||||||
SRC Energy, Inc. | 6.25% | 12/1/2025 | 7,303 | 6,869,640 | ||||||||
Tapstone Energy LLC/Tapstone Energy Finance Corp.† | 9.75% | 6/1/2022 | 18,765 | 14,026,837 | ||||||||
Tullow Oil plc (United Kingdom)†(a) | 7.00% | 3/1/2025 | 13,402 | 13,486,433 | ||||||||
W&T Offshore, Inc.† | 9.75% | 11/1/2023 | 13,029 | 12,882,424 | ||||||||
WPX Energy, Inc. | 5.25% | 9/15/2024 | 11,997 | 11,847,038 | ||||||||
WPX Energy, Inc. | 5.75% | 6/1/2026 | 8,510 | 8,478,088 | ||||||||
Total | 478,748,333 | |||||||||||
Environmental 0.48% | ||||||||||||
Covanta Holding Corp. | 6.00% | 1/1/2027 | 13,357 | 13,677,835 | ||||||||
Darling Ingredients, Inc.† | 5.25% | 4/15/2027 | 5,000 | 5,074,000 | ||||||||
Waste Pro USA, Inc.† | 5.50% | 2/15/2026 | 13,669 | 13,532,310 | ||||||||
Total | 32,284,145 | |||||||||||
Food & Drug Retailers 0.80% | ||||||||||||
Albertsons Cos LLC/Safeway, Inc./Albertsons LP/ Albertson’s LLC | 5.75% | 3/15/2025 | 3,797 | 3,683,849 | ||||||||
Albertsons Cos LLC/Safeway, Inc./Albertsons LP/ Albertson’s LLC | 6.625% | 6/15/2024 | 30,321 | 30,775,815 | ||||||||
Fresh Market, Inc. (The)† | 9.75% | 5/1/2023 | 11,579 | 8,626,355 | ||||||||
Ingles Markets, Inc. | 5.75% | 6/15/2023 | 10,562 | 10,746,835 | ||||||||
Total | 53,832,854 | |||||||||||
Food: Wholesale 1.72% | ||||||||||||
Chobani LLC/Chobani Finance Corp., Inc.† | 7.50% | 4/15/2025 | 10,753 | 9,838,995 | ||||||||
Dole Food Co., Inc.† | 7.25% | 6/15/2025 | 7,499 | 7,236,535 | ||||||||
FAGE International SA/FAGE USA Dairy Industry, Inc.(Luxembourg)†(a) | 5.625% | 8/15/2026 | 14,859 | 12,332,970 | ||||||||
JBS USA LUX SA/JBS USA Finance, Inc.† | 5.875% | 7/15/2024 | 1,773 | 1,823,974 |
134 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Food: Wholesale (continued) | ||||||||||||
JBS USA LUX SA/JBS USA Finance, Inc.† | 6.75% | 2/15/2028 | $ | 15,107 | $ | 16,013,420 | ||||||
Kernel Holding SA (Ukraine)†(a) | 8.75% | 1/31/2022 | 7,296 | 7,508,095 | ||||||||
Lamb Weston Holdings, Inc.† | 4.625% | 11/1/2024 | 5,098 | 5,098,000 | ||||||||
Lamb Weston Holdings, Inc.† | 4.875% | 11/1/2026 | 12,043 | 12,133,322 | ||||||||
Matterhorn Merger Sub LLC/MatterhornFinance Sub, Inc.† | 8.50% | 6/1/2026 | 11,418 | 10,104,930 | ||||||||
MHP Lux SA (Luxembourg)†(a) | 6.95% | 4/3/2026 | 7,807 | 7,527,923 | ||||||||
Performance Food Group, Inc.† | 5.50% | 6/1/2024 | 6,640 | 6,681,500 | ||||||||
Post Holdings, Inc.† | 5.50% | 3/1/2025 | 13,432 | 13,599,900 | ||||||||
Simmons Foods, Inc.† | 7.75% | 1/15/2024 | 6,368 | 6,766,000 | ||||||||
Tonon Luxembourg SA†(a) | 6.50% | 10/31/2024 | 1,574 | 118,017 | ||||||||
Total | 116,783,581 | |||||||||||
Forestry/Paper 0.54% | ||||||||||||
Louisiana-Pacific Corp. | 4.875% | 9/15/2024 | 6,870 | 6,938,700 | ||||||||
Mercer International, Inc. (Canada)(a) | 5.50% | 1/15/2026 | 9,824 | 9,723,304 | ||||||||
Mercer International, Inc. (Canada)†(a) | 7.375% | 1/15/2025 | 5,467 | 5,754,017 | ||||||||
Norbord, Inc. (Canada)†(a) | 6.25% | 4/15/2023 | 6,409 | 6,725,605 | ||||||||
Rayonier AM Products, Inc.† | 5.50% | 6/1/2024 | 496 | 402,757 | ||||||||
Suzano Austria GmbH (Brazil)†(a) | 6.00% | 1/15/2029 | 6,305 | 6,738,469 | ||||||||
Total | 36,282,852 | |||||||||||
Gaming 2.64% | ||||||||||||
Boyd Gaming Corp. | 6.00% | 8/15/2026 | 10,259 | 10,374,414 | ||||||||
Buena Vista Gaming Authority† | 13.00% | 4/1/2023 | 12,631 | 13,262,550 | ||||||||
Churchill Downs, Inc.† | 4.75% | 1/15/2028 | 15,907 | 15,350,255 | ||||||||
Eldorado Resorts, Inc. | 6.00% | 9/15/2026 | 6,776 | 7,001,912 | ||||||||
Eldorado Resorts, Inc. | 6.00% | 4/1/2025 | 13,055 | 13,333,463 | ||||||||
Enterprise Development Authority (The)† | 12.00% | 7/15/2024 | 10,890 | 11,543,400 | ||||||||
Everi Payments, Inc.† | 7.50% | 12/15/2025 | 13,209 | 13,704,338 | ||||||||
Gateway Casinos & Entertainment Ltd. (Canada)†(a) | 8.25% | 3/1/2024 | 6,800 | 7,089,000 | ||||||||
Jacobs Entertainment, Inc.† | 7.875% | 2/1/2024 | 6,348 | 6,789,249 | ||||||||
MGM Growth Properties Operating Partnership LP/ MGP Finance Co-Issuer, Inc. | 5.625% | 5/1/2024 | 6,675 | 6,916,969 | ||||||||
MGM Resorts International | 4.625% | 9/1/2026 | 22,007 | 21,456,825 | ||||||||
Mohegan Gaming & Entertainment† | 7.875% | 10/15/2024 | 6,983 | 6,738,595 | ||||||||
Penn National Gaming, Inc.† | 5.625% | 1/15/2027 | 13,855 | 13,751,087 | ||||||||
Stars Group Holdings BV/Stars Group USCo-Borrower LLC (Netherlands)†(a) | 7.00% | 7/15/2026 | 6,677 | 6,885,656 | ||||||||
Station Casinos LLC† | 5.00% | 10/1/2025 | 6,918 | 6,675,870 |
See Notes to Financial Statements. | 135 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Gaming (continued) | ||||||||||||
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp.† | 5.875% | 5/15/2025 | $ | 6,952 | $ | 6,830,340 | ||||||
Twin River Worldwide Holdings, Inc.† | 6.75% | 6/1/2027 | 10,565 | 10,748,303 | ||||||||
Total | 178,452,226 | |||||||||||
Gas Distribution 2.37% | ||||||||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp. | 5.375% | 9/15/2024 | 8,225 | 8,159,611 | ||||||||
Buckeye Partners LP | 6.375% | #(i) | 1/22/2078 | 7,375 | 6,065,938 | |||||||
Cheniere Corpus Christi Holdings LLC | 5.125% | 6/30/2027 | 22,047 | 22,874,203 | ||||||||
Cheniere Corpus Christi Holdings LLC | 5.875% | 3/31/2025 | 23,628 | 25,419,711 | ||||||||
Cheniere Corpus Christi Holdings LLC | 7.00% | 6/30/2024 | 5,664 | 6,327,821 | ||||||||
Holly Energy Partners LP/Holly Energy Finance Corp.† | 6.00% | 8/1/2024 | 7,202 | 7,472,075 | ||||||||
LBC Tank Terminals Holding Netherlands BV(Belgium)†(a) | 6.875% | 5/15/2023 | 7,105 | 7,025,069 | ||||||||
NGPL PipeCo LLC† | 4.875% | 8/15/2027 | 13,014 | 13,420,687 | ||||||||
Rockies Express Pipeline LLC† | 6.875% | 4/15/2040 | 12,519 | 13,558,703 | ||||||||
Rockpoint Gas Storage Canada Ltd. (Canada)†(a) | 7.00% | 3/31/2023 | 9,566 | 9,673,618 | ||||||||
Southern Star Central Corp.† | 5.125% | 7/15/2022 | 9,846 | 9,990,736 | ||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | 4.25% | 11/15/2023 | 8,738 | 8,606,930 | ||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | 5.375% | 2/1/2027 | 9,221 | 9,313,210 | ||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | 5.875% | 4/15/2026 | 7,718 | 7,997,778 | ||||||||
Targa Resources Partners LP/Targa ResourcesPartners Finance Corp.† | 6.50% | 7/15/2027 | 4,493 | 4,690,467 | ||||||||
Total | 160,596,557 | |||||||||||
Health Facilities 4.36% | ||||||||||||
Acadia Healthcare Co., Inc. | 5.625% | 2/15/2023 | 6,684 | 6,725,775 | ||||||||
AHP Health Partners, Inc.† | 9.75% | 7/15/2026 | 12,077 | 12,831,813 | ||||||||
CHS/Community Health Systems, Inc. | 5.125% | 8/1/2021 | 7,130 | 7,005,225 | ||||||||
CHS/Community Health Systems, Inc. | 6.25% | 3/31/2023 | 3,794 | 3,626,874 | ||||||||
CHS/Community Health Systems, Inc. | 8.00% | 11/15/2019 | 17,912 | 17,822,440 | ||||||||
CHS/Community Health Systems, Inc.† | 8.00% | 3/15/2026 | 10,864 | 10,419,228 | ||||||||
HCA, Inc. | 5.375% | 2/1/2025 | 8,147 | 8,535,775 | ||||||||
HCA, Inc. | 5.50% | 6/15/2047 | 32,035 | 33,768,069 | ||||||||
HCA, Inc. | 5.875% | 2/15/2026 | 1,453 | 1,543,827 | ||||||||
HCA, Inc. | 7.50% | 12/15/2023 | 10,647 | 11,898,023 | ||||||||
HCA, Inc. | 7.69% | 6/15/2025 | 3,765 | 4,282,688 |
136 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Health Facilities (continued) | ||||||||||||
HCA, Inc. | 8.36% | 4/15/2024 | $ | 12,701 | $ | 14,542,645 | ||||||
MPT Operating Partnership LP/MPT Finance Corp. | 5.00% | 10/15/2027 | 15,107 | 14,937,046 | ||||||||
Rede D’or Finance Sarl (Luxembourg)†(a) | 4.95% | 1/17/2028 | 12,951 | 12,182,034 | ||||||||
RegionalCare Hospital Partners Holdings, Inc.† | 8.25% | 5/1/2023 | 6,220 | 6,608,750 | ||||||||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc.† | 9.75% | 12/1/2026 | 29,438 | 31,054,441 | ||||||||
Surgery Center Holdings, Inc.† | 6.75% | 7/1/2025 | 11,018 | 10,053,925 | ||||||||
Surgery Center Holdings, Inc.† | 10.00% | 4/15/2027 | 12,212 | 12,425,710 | ||||||||
Tenet Healthcare Corp. | 4.625% | 7/15/2024 | 4,061 | 4,046,583 | ||||||||
Tenet Healthcare Corp. | 5.125% | 5/1/2025 | 42,856 | 42,641,720 | ||||||||
Tenet Healthcare Corp. | 7.00% | 8/1/2025 | 9,673 | 9,543,672 | ||||||||
Tenet Healthcare Corp. | 6.75% | 6/15/2023 | 18,399 | 18,397,528 | ||||||||
Total | 294,893,791 | |||||||||||
Health Services 2.26% | ||||||||||||
Air Medical Group Holdings, Inc.† | 6.375% | 5/15/2023 | 11,482 | 10,764,375 | ||||||||
DaVita, Inc. | 5.00% | 5/1/2025 | 15,289 | 14,505,439 | ||||||||
DaVita, Inc. | 5.125% | 7/15/2024 | 10,705 | 10,460,926 | ||||||||
Hadrian Merger Sub, Inc.† | 8.50% | 5/1/2026 | 11,830 | 11,194,138 | ||||||||
HCA, Inc. | 5.875% | 2/1/2029 | 10,817 | 11,493,062 | ||||||||
Jaguar Holding Co. II/Pharmaceutical ProductDevelopment LLC† | 6.375% | 8/1/2023 | 10,100 | 10,278,770 | ||||||||
MPH Acquisition Holdings LLC† | 7.125% | 6/1/2024 | 9,274 | 9,250,815 | ||||||||
NVA Holdings, Inc.† | 6.875% | 4/1/2026 | 6,808 | 6,671,840 | ||||||||
Service Corp. International | 4.625% | 12/15/2027 | 10,263 | 10,314,315 | ||||||||
Service Corp. International | 5.125% | 6/1/2029 | 5,526 | 5,635,249 | ||||||||
Tenet Healthcare Corp.† | 6.25% | 2/1/2027 | 17,889 | 18,269,141 | ||||||||
Verscend Escrow Corp.† | 9.75% | 8/15/2026 | 22,745 | 24,138,131 | ||||||||
West Street Merger Sub, Inc.† | 6.375% | 9/1/2025 | 11,006 | 10,180,550 | ||||||||
Total | 153,156,751 | |||||||||||
Hotels 0.79% | ||||||||||||
ESH Hospitality, Inc.† | 5.25% | 5/1/2025 | 10,075 | 10,100,187 | ||||||||
Hilton Domestic Operating Co., Inc. | 5.125% | 5/1/2026 | 13,784 | 13,900,475 | ||||||||
Marriott Ownership Resorts, Inc./ILG LLC† | 6.50% | 9/15/2026 | 10,269 | 10,666,924 | ||||||||
Wyndham Destinations, Inc. | 5.75% | 4/1/2027 | 4,697 | 4,738,099 | ||||||||
Wyndham Destinations, Inc. | 6.35% | 10/1/2025 | 6,014 | 6,419,945 | ||||||||
Wyndham Hotels & Resorts, Inc.† | 5.375% | 4/15/2026 | 7,267 | 7,412,340 | ||||||||
Total | 53,237,970 |
See Notes to Financial Statements. | 137 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Insurance Brokerage 0.65% | ||||||||||||
Acrisure LLC/Acrisure Finance, Inc.† | 7.00% | 11/15/2025 | $ | 7,728 | $ | 7,051,800 | ||||||
Acrisure LLC/Acrisure Finance, Inc.† | 8.125% | 2/15/2024 | 8,669 | 8,923,652 | ||||||||
Alliant Holdings Intermediate LLC/Alliant | ||||||||||||
Holdings Co-Issuer† | 8.25% | 8/1/2023 | 8,263 | 8,469,575 | ||||||||
AssuredPartners, Inc.† | 7.00% | 8/15/2025 | 6,844 | 6,518,910 | ||||||||
HUB International Ltd.† | 7.00% | 5/1/2026 | 13,577 | 13,385,564 | ||||||||
Total | 44,349,501 | |||||||||||
Integrated Energy 0.57% | ||||||||||||
Cheniere Energy Partners LP | 5.25% | 10/1/2025 | 10,042 | 10,062,285 | ||||||||
Cheniere Energy Partners LP† | 5.625% | 10/1/2026 | 11,493 | 11,665,395 | ||||||||
Rio Oil Finance Trust Series 2018-1 (Brazil)†(a) | 8.20% | 4/6/2028 | 15,501 | 17,051,255 | ||||||||
Total | 38,778,935 | |||||||||||
Investments & Miscellaneous Financial Services 0.58% | ||||||||||||
MSCI, Inc.† | 5.375% | 5/15/2027 | 4,869 | 5,130,709 | ||||||||
MSCI, Inc.† | 5.75% | 8/15/2025 | 16,254 | 17,022,814 | ||||||||
Theta Capital Pte Ltd. (Singapore)(a) | 6.75% | 10/31/2026 | 7,695 | 6,782,004 | ||||||||
VFH Parent LLC/Orchestra Co-Issuer, Inc.† | 6.75% | 6/15/2022 | 9,882 | 10,206,624 | ||||||||
Total | 39,142,151 | |||||||||||
Life Insurance 0.39% | ||||||||||||
CNO Financial Group, Inc. | 5.25% | 5/30/2025 | 14,699 | 15,259,399 | ||||||||
CNO Financial Group, Inc.(h) | 5.25% | 5/30/2029 | 10,932 | 11,042,632 | ||||||||
Total | 26,302,031 | |||||||||||
Machinery 0.79% | ||||||||||||
Itron, Inc.† | 5.00% | 1/15/2026 | 10,256 | 10,243,180 | ||||||||
Mueller Water Products, Inc.† | 5.50% | 6/15/2026 | 16,698 | 16,906,725 | ||||||||
RBS Global, Inc./Rexnord LLC† | 4.875% | 12/15/2025 | 20,290 | 20,036,375 | ||||||||
Titan Acquisition Ltd./Titan Co-Borrower LLC(Canada)†(a) | 7.75% | 4/15/2026 | 7,416 | 6,628,050 | ||||||||
Total | 53,814,330 | |||||||||||
Managed Care 1.21% | ||||||||||||
Centene Corp. | 4.75% | 1/15/2025 | 20,649 | 20,958,735 | ||||||||
Centene Corp.† | 5.375% | 6/1/2026 | 14,419 | 14,991,434 | ||||||||
Molina Healthcare, Inc.† | 4.875% | 6/15/2025 | 20,087 | 19,986,565 | ||||||||
Molina Healthcare, Inc. | 5.375% | 11/15/2022 | 6,315 | 6,463,087 | ||||||||
Polaris Intermediate Corp. PIK 8.50%† | 8.50% | 12/1/2022 | 9,240 | 9,112,950 | ||||||||
WellCare Health Plans, Inc. | 5.25% | 4/1/2025 | 10,116 | 10,289,995 | ||||||||
Total | 81,802,766 |
138 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Media: Content 3.84% | ||||||||||||
AMC Networks, Inc. | 4.75% | 8/1/2025 | $ | 20,580 | $ | 20,194,125 | ||||||
AMC Networks, Inc. | 5.00% | 4/1/2024 | 11,871 | 11,854,024 | ||||||||
Belo Corp. | 7.25% | 9/15/2027 | 11,082 | 11,885,445 | ||||||||
EW Scripps Co. (The)† | 5.125% | 5/15/2025 | 13,494 | 12,718,095 | ||||||||
Gray Television, Inc.† | 5.125% | 10/15/2024 | 5,110 | 5,146,792 | ||||||||
Gray Television, Inc.† | 5.875% | 7/15/2026 | 11,267 | 11,587,546 | ||||||||
Gray Television, Inc.† | 7.00% | 5/15/2027 | 11,511 | 12,221,689 | ||||||||
Netflix, Inc.(d) | 3.625% | 5/15/2027 | EUR | 30,266 | 34,942,153 | |||||||
Netflix, Inc.†(d) | 3.875% | 11/15/2029 | EUR | 8,134 | 9,291,353 | |||||||
Netflix, Inc.†(d) | 4.625% | 5/15/2029 | EUR | 12,367 | 14,909,382 | |||||||
Netflix, Inc. | 4.875% | 4/15/2028 | $ | 8,422 | 8,339,549 | |||||||
Netflix, Inc. | 5.875% | 2/15/2025 | 26,193 | 27,853,374 | ||||||||
Netflix, Inc. | 5.875% | 11/15/2028 | 6,182 | 6,506,555 | ||||||||
Salem Media Group, Inc.† | 6.75% | 6/1/2024 | 10,139 | 8,973,015 | ||||||||
Sinclair Television Group, Inc.† | 5.125% | 2/15/2027 | 20,631 | 19,756,246 | ||||||||
Sinclair Television Group, Inc.† | 5.875% | 3/15/2026 | 13,206 | 13,288,537 | ||||||||
Sirius XM Radio, Inc.† | 5.00% | 8/1/2027 | 22,224 | 21,973,980 | ||||||||
Sirius XM Radio, Inc.† | 5.375% | 7/15/2026 | 4,500 | 4,549,275 | ||||||||
Univision Communications, Inc.† | 5.125% | 2/15/2025 | 4,041 | 3,720,832 | ||||||||
Total | 259,711,967 | |||||||||||
Media: Diversified 0.10% | ||||||||||||
Entercom Media Corp.† | 6.50% | 5/1/2027 | 6,983 | 7,105,202 | ||||||||
Medical Products 0.46% | ||||||||||||
Hill-Rom Holdings, Inc.† | 5.00% | 2/15/2025 | 8,573 | 8,658,730 | ||||||||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical | ||||||||||||
Diagnostics SA† | 6.625% | 5/15/2022 | 16,293 | 15,233,955 | ||||||||
Teleflex, Inc. | 4.625% | 11/15/2027 | 4,187 | 4,152,457 | ||||||||
Teleflex, Inc. | 4.875% | 6/1/2026 | 3,307 | 3,373,140 | ||||||||
Total | 31,418,282 | |||||||||||
Metals/Mining (Excluding Steel) 2.25% | ||||||||||||
Alcoa Nederland Holding BV (Netherlands)†(a) | 6.75% | 9/30/2024 | 2,486 | 2,548,150 | ||||||||
Baffinland Iron Mines Corp. (Canada)†(a) | 8.75% | 7/15/2026 | 14,347 | 14,454,602 | ||||||||
Barminco Finance Pty Ltd. (Australia)†(a) | 6.625% | 5/15/2022 | 9,650 | 9,891,298 | ||||||||
Cleveland-Cliffs, Inc. | 5.75% | 3/1/2025 | 6,759 | 6,606,923 | ||||||||
Coeur Mining, Inc. | 5.875% | 6/1/2024 | 10,447 | 9,183,435 | ||||||||
Compass Minerals International, Inc.† | 4.875% | 7/15/2024 | 8,625 | 8,236,875 | ||||||||
CONSOL Energy, Inc.† | 11.00% | 11/15/2025 | 14,244 | 15,472,545 |
See Notes to Financial Statements. | 139 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Metals/Mining (Excluding Steel) (continued) | ||||||||||||
Eterna Capital Pte Ltd. PIK 8.00% (Singapore)(a) | 8.00% | 12/11/2022 | $ | 8,118 | $ | 7,069,231 | ||||||
Freeport-McMoRan, Inc. | 3.875% | 3/15/2023 | 35,840 | 34,602,803 | ||||||||
Mirabela Nickel Ltd. (Australia)(a) | 1.00% | 9/10/2044 | 51 | 5 | (b) | |||||||
New Gold, Inc. (Canada)†(a) | 6.25% | 11/15/2022 | 11,099 | 9,489,645 | ||||||||
Novelis Corp.† | 5.875% | 9/30/2026 | 7,009 | 6,846,952 | ||||||||
Novelis Corp.† | 6.25% | 8/15/2024 | 4,351 | 4,459,775 | ||||||||
Peabody Energy Corp.† | 6.375% | 3/31/2025 | 6,964 | 6,772,490 | ||||||||
Rain CII Carbon LLC/CII Carbon Corp.† | 7.25% | 4/1/2025 | 10,725 | 9,867,000 | ||||||||
Warrior Met Coal, Inc.† | 8.00% | 11/1/2024 | 6,316 | 6,556,798 | ||||||||
Total | 152,058,527 | |||||||||||
Monoline Insurance 0.10% | ||||||||||||
MGIC Investment Corp. | 5.75% | 8/15/2023 | 6,339 | 6,751,035 | ||||||||
Multi-Line Insurance 0.30% | ||||||||||||
Genworth Holdings, Inc. | 4.90% | 8/15/2023 | 15,076 | 12,588,460 | ||||||||
York Risk Services Holding Corp.† | 8.50% | 10/1/2022 | 8,897 | 7,406,752 | ||||||||
Total | 19,995,212 | |||||||||||
Oil Field Equipment & Services 2.18% | ||||||||||||
Apergy Corp. | 6.375% | 5/1/2026 | 16,019 | 16,499,570 | ||||||||
Archrock Partners LP/Archrock PartnersFinance Corp.† | 6.875% | 4/1/2027 | 8,835 | 9,100,050 | ||||||||
Bristow Group, Inc.†(k) | 8.75% | 3/1/2023 | 9,308 | 8,493,550 | ||||||||
CSI Compressco LP/CSI Compressco Finance, Inc.† | 7.50% | 4/1/2025 | 11,534 | 11,332,155 | ||||||||
Exterran Energy Solutions LP/EES Finance Corp. | 8.125% | 5/1/2025 | 12,668 | 12,889,690 | ||||||||
Nine Energy Service, Inc.† | 8.75% | 11/1/2023 | 12,136 | 12,075,320 | ||||||||
Noble Holding International Ltd.† | 7.875% | 2/1/2026 | 14,333 | 12,451,794 | ||||||||
Oceaneering International, Inc. | 6.00% | 2/1/2028 | 11,581 | 11,378,332 | ||||||||
Oceaneering International, Inc. | 4.65% | 11/15/2024 | 9,488 | 9,061,040 | ||||||||
Precision Drilling Corp. (Canada)(a) | 5.25% | 11/15/2024 | 14,537 | 13,010,615 | ||||||||
Transocean Phoenix 2 Ltd.† | 7.75% | 10/15/2024 | 6,293 | 6,567,797 | ||||||||
Transocean Pontus Ltd.† | 6.125% | 8/1/2025 | 7,713 | 7,838,428 | ||||||||
Transocean Poseidon Ltd.† | 6.875% | 2/1/2027 | 9,112 | 9,396,750 | ||||||||
Transocean Proteus Ltd.† | 6.25% | 12/1/2024 | 7,182 | 7,289,324 | ||||||||
Total | 147,384,415 | |||||||||||
Oil Refining & Marketing 0.23% | ||||||||||||
Citgo Holding, Inc.† | 10.75% | 2/15/2020 | 15,084 | 15,517,665 |
140 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Packaging 1.23% | ||||||||||||
Ball Corp. | 4.875% | 3/15/2026 | $ | 13,792 | $ | 14,188,520 | ||||||
Berry Global Escrow Corp.†(h) | 4.875% | 7/15/2026 | 10,801 | 10,771,081 | ||||||||
Berry Global Escrow Corp.†(h) | 5.625% | 7/15/2027 | 4,725 | 4,772,250 | ||||||||
Flex Acquisition Co., Inc.† | 7.875% | 7/15/2026 | 6,887 | 6,215,518 | ||||||||
Intertape Polymer Group, Inc. (Canada)†(a) | 7.00% | 10/15/2026 | 11,553 | 11,812,942 | ||||||||
Pactiv LLC | 7.95% | 12/15/2025 | 9,754 | 9,997,850 | ||||||||
Sealed Air Corp.† | 6.875% | 7/15/2033 | 8,808 | 9,622,740 | ||||||||
Trident Merger Sub, Inc.† | 6.625% | 11/1/2025 | 9,073 | 8,347,160 | ||||||||
TriMas Corp.† | 4.875% | 10/15/2025 | 7,379 | 7,300,598 | ||||||||
Total | 83,028,659 | |||||||||||
Personal & Household Products 0.55% | ||||||||||||
Coty, Inc.† | 6.50% | 4/15/2026 | 4,704 | 4,527,036 | ||||||||
Energizer Holdings, Inc.† | 6.375% | 7/15/2026 | 7,865 | 7,904,325 | ||||||||
Energizer Holdings, Inc.† | 7.75% | 1/15/2027 | 3,987 | 4,166,415 | ||||||||
Mattel, Inc. | 5.45% | 11/1/2041 | 8,271 | 6,120,540 | ||||||||
Mattel, Inc.† | 6.75% | 12/31/2025 | 15,025 | 14,832,830 | ||||||||
Total | 37,551,146 | |||||||||||
Pharmaceuticals 1.13% | ||||||||||||
Bausch Health Americas, Inc.† | 8.50% | 1/31/2027 | 24,174 | 25,435,641 | ||||||||
Bausch Health Cos., Inc.† | 5.50% | 3/1/2023 | 4,085 | 4,105,425 | ||||||||
Bausch Health Cos., Inc.† | 7.00% | 3/15/2024 | 6,590 | 6,898,906 | ||||||||
Bausch Health Cos., Inc.† | 7.25% | 5/30/2029 | 4,847 | 4,826,982 | ||||||||
Bausch Health Cos., Inc. Canada† | 5.875% | 5/15/2023 | 15,167 | 15,258,457 | ||||||||
Elanco Animal Health, Inc.† | 4.90% | 8/28/2028 | 6,759 | 7,333,680 | ||||||||
Horizon Pharma USA, Inc.† | 8.75% | 11/1/2024 | 11,636 | 12,537,790 | ||||||||
Total | 76,396,881 | |||||||||||
Printing & Publishing 0.26% | ||||||||||||
Meredith Corp. | 6.875% | 2/1/2026 | 9,692 | 10,030,251 | ||||||||
W/S Packaging Holdings, Inc.† | 9.00% | 4/15/2023 | 6,783 | 7,325,640 | ||||||||
Total | 17,355,891 | |||||||||||
Rail 0.16% | ||||||||||||
Rumo Luxembourg Sarl (Luxembourg)†(a) | 5.875% | 1/18/2025 | 10,491 | 10,832,220 | ||||||||
Real Estate Development & Management 0.39% | ||||||||||||
China Evergrande Group (China)(a) | 8.75% | 6/28/2025 | 7,200 | 6,334,145 | ||||||||
Country Garden Holdings Co. Ltd. (China)(a) | 5.125% | 1/17/2025 | 10,890 | 10,203,962 | ||||||||
Realogy Group LLC/Realogy Co-Issuer Corp.† | 9.375% | 4/1/2027 | 10,393 | 9,873,350 | ||||||||
Total | 26,411,457 |
See Notes to Financial Statements. | 141 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Recreation & Travel 0.80% | ||||||||||||
Boyne USA, Inc.† | 7.25% | 5/1/2025 | $ | 9,061 | $ | 9,831,185 | ||||||
CPUK Finance Ltd. (Jersey)(a) | 4.875% | 2/28/2047 | GBP | 5,175 | 6,520,705 | |||||||
Merlin Entertainments plc (United Kingdom)†(a) | 5.75% | 6/15/2026 | $ | 7,625 | 7,806,094 | |||||||
Pinnacle Bidco plc(d) | 6.375% | 2/15/2025 | GBP | 4,966 | 6,463,115 | |||||||
Six Flags Entertainment Corp.† | 4.875% | 7/31/2024 | $ | 6,820 | 6,753,164 | |||||||
VOC Escrow Ltd.† | 5.00% | 2/15/2028 | 17,203 | 16,794,429 | ||||||||
Total | 54,168,692 | |||||||||||
Restaurants 0.93% | ||||||||||||
IRB Holding Corp.† | 6.75% | 2/15/2026 | 16,963 | 16,581,332 | ||||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC† | 4.75% | 6/1/2027 | 11,533 | 11,331,173 | ||||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC† | 5.00% | 6/1/2024 | 13,090 | 13,319,075 | ||||||||
Wendy’s International LLC | 7.00% | 12/15/2025 | 10,154 | 10,103,230 | ||||||||
Yum! Brands, Inc. | 5.35% | 11/1/2043 | 13,251 | 11,727,135 | ||||||||
Total | 63,061,945 | |||||||||||
Software/Services 0.94% | ||||||||||||
Banff Merger Sub, Inc.† | 9.75% | 9/1/2026 | 13,444 | 12,637,360 | ||||||||
Fair Isaac Corp.† | 5.25% | 5/15/2026 | 9,983 | 10,457,193 | ||||||||
j2 Cloud Services LLC/j2 Global Co-Obligor, Inc.† | 6.00% | 7/15/2025 | 9,955 | 10,191,431 | ||||||||
Match Group, Inc.† | 5.00% | 12/15/2027 | 20,146 | 20,297,095 | ||||||||
VeriSign, Inc. | 5.25% | 4/1/2025 | 9,788 | 10,265,165 | ||||||||
Total | 63,848,244 | |||||||||||
Specialty Retail 1.98% | ||||||||||||
Asbury Automotive Group, Inc. | 6.00% | 12/15/2024 | 6,700 | 6,884,250 | ||||||||
Claire’s Stores, Inc. | 14.00% | 3/15/2039 | 1,574 | 2,400,350 | ||||||||
Conn’s, Inc. | 7.25% | 7/15/2022 | 13,949 | 14,140,799 | ||||||||
Cumberland Farms, Inc.† | 6.75% | 5/1/2025 | 6,254 | 6,504,160 | ||||||||
Guitar Center, Inc.† | 9.50% | 10/15/2021 | 10,180 | 9,900,050 | ||||||||
KGA Escrow LLC† | 7.50% | 8/15/2023 | 6,791 | 7,028,685 | ||||||||
Levi Strauss & Co.(d) | 3.375% | 3/15/2027 | EUR | 5,500 | 6,423,240 | |||||||
Murphy Oil USA, Inc. | 5.625% | 5/1/2027 | $ | 8,668 | 8,928,040 | |||||||
PetSmart, Inc.† | 5.875% | 6/1/2025 | 16,035 | 15,133,031 | ||||||||
Sally Holdings LLC/Sally Capital, Inc. | 5.625% | 12/1/2025 | 7,041 | 6,970,590 | ||||||||
Sonic Automotive, Inc. | 6.125% | 3/15/2027 | 7,325 | 7,086,937 | ||||||||
Under Armour, Inc. | 3.25% | 6/15/2026 | 15,049 | 13,911,746 | ||||||||
Weight Watchers International, Inc.† | 8.625% | 12/1/2025 | 7,283 | 6,864,228 |
142 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Specialty Retail (continued) | ||||||||||||
William Carter Co. (The)† | 5.625% | 3/15/2027 | $ | 12,004 | $ | 12,304,100 | ||||||
Wolverine World Wide, Inc.† | 5.00% | 9/1/2026 | 10,166 | 9,886,435 | ||||||||
Total | 134,366,641 | |||||||||||
Steel Producers/Products 0.65% | ||||||||||||
Allegheny Technologies, Inc. | 7.875% | 8/15/2023 | 6,629 | 6,983,387 | ||||||||
CSN Resources SA (Brazil)†(a) | 7.625% | 4/17/2026 | 13,193 | 13,279,744 | ||||||||
Joseph T Ryerson & Son, Inc.† | 11.00% | 5/15/2022 | 4,912 | 5,183,695 | ||||||||
Steel Dynamics, Inc. | 4.125% | 9/15/2025 | 10,556 | 10,436,717 | ||||||||
Steel Dynamics, Inc. | 5.00% | 12/15/2026 | 7,875 | 8,071,875 | ||||||||
Total | 43,955,418 | |||||||||||
Support: Services 3.87% | ||||||||||||
Ahern Rentals, Inc.† | 7.375% | 5/15/2023 | 9,694 | 8,530,720 | ||||||||
Algeco Global Finance plc (United Kingdom)†(a) | 8.00% | 2/15/2023 | 6,649 | 6,748,735 | ||||||||
Ashtead Capital, Inc.† | 4.375% | 8/15/2027 | 2,054 | 2,002,650 | ||||||||
Ashtead Capital, Inc.† | 5.25% | 8/1/2026 | 4,462 | 4,607,015 | ||||||||
Brand Industrial Services, Inc.† | 8.50% | 7/15/2025 | 18,403 | 15,596,542 | ||||||||
Brink’s Co. (The)† | 4.625% | 10/15/2027 | 14,438 | 14,004,860 | ||||||||
Cardtronics, Inc./Cardtronics USA, Inc.† | 5.50% | 5/1/2025 | 8,413 | 8,297,321 | ||||||||
Cloud Crane LLC† | 10.125% | 8/1/2024 | 6,087 | 6,482,655 | ||||||||
Diebold Nixdorf, Inc. | 8.50% | 4/15/2024 | 11,599 | 10,207,120 | ||||||||
Garda World Security Corp. (Canada)†(a) | 8.75% | 5/15/2025 | 10,372 | 9,957,120 | ||||||||
GEO Group, Inc. (The) | 6.00% | 4/15/2026 | 15,364 | 14,173,290 | ||||||||
H&E Equipment Services, Inc. | 5.625% | 9/1/2025 | 10,554 | 10,509,145 | ||||||||
Laureate Education, Inc.† | 8.25% | 5/1/2025 | 7,790 | 8,432,675 | ||||||||
Marble II Pte Ltd. (Singapore)†(a) | 5.30% | 6/20/2022 | 7,814 | 7,818,595 | ||||||||
Mobile Mini, Inc. | 5.875% | 7/1/2024 | 8,651 | 8,899,716 | ||||||||
Monitronics International, Inc. | 9.125% | 4/1/2020 | 3,774 | 292,485 | ||||||||
NESCO LLC/NESCO Finance Corp.† | 6.875% | 2/15/2021 | 7,158 | 7,140,105 | ||||||||
Ritchie Bros Auctioneers, Inc. (Canada)†(a) | 5.375% | 1/15/2025 | 7,406 | 7,554,120 | ||||||||
ServiceMaster Co. LLC (The)† | 5.125% | 11/15/2024 | 7,023 | 7,040,558 | ||||||||
Sotheby’s† | 4.875% | 12/15/2025 | 7,164 | 6,877,440 | ||||||||
Techem Verwaltungsgesellschaft 674 mbH†(d) | 6.00% | 7/30/2026 | EUR | 8,632 | 9,904,425 | |||||||
Tempo Acquisition LLC/Tempo AcquisitionFinance Corp.† | 6.75% | 6/1/2025 | $ | 7,651 | 7,746,638 | |||||||
United Rentals North America, Inc. | 4.625% | 10/15/2025 | 6,810 | 6,741,900 | ||||||||
United Rentals North America, Inc. | 4.875% | 1/15/2028 | 28,407 | 27,614,445 | ||||||||
United Rentals North America, Inc. | 5.25% | 1/15/2030 | 10,489 | 10,305,443 | ||||||||
WeWork Cos., Inc.† | 7.875% | 5/1/2025 | 10,941 | 10,120,425 |
See Notes to Financial Statements. | 143 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Support: Services (continued) | ||||||||||||
Williams Scotsman International, Inc.† | 6.875% | 8/15/2023 | $ | 13,105 | $ | 13,137,762 | ||||||
Williams Scotsman International, Inc.† | 7.875% | 12/15/2022 | 10,768 | 11,171,800 | ||||||||
Total | 261,915,705 | |||||||||||
Technology Hardware & Equipment 0.72% | ||||||||||||
Banff Merger Sub, Inc.†(d) | 8.375% | 9/1/2026 | EUR | 9,724 | 10,337,096 | |||||||
CDW LLC/CDW Finance Corp. | 5.50% | 12/1/2024 | $ | 8,825 | 9,233,156 | |||||||
Dell International LLC/EMC Corp.† | 6.02% | 6/15/2026 | 6,284 | 6,772,054 | ||||||||
Western Digital Corp. | 4.75% | 2/15/2026 | 23,503 | 22,336,076 | ||||||||
Total | 48,678,382 | |||||||||||
Telecommunications 0.10% | ||||||||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc.†(h) | 5.25% | 12/1/2027 | 6,753 | 6,820,530 | ||||||||
Telecommunications: Satellite 1.23% | ||||||||||||
Inmarsat Finance plc (United Kingdom)†(a) | 6.50% | 10/1/2024 | 6,538 | 6,889,418 | ||||||||
Intelsat Jackson Holdings SA (Luxembourg)(a) | 5.50% | 8/1/2023 | 38,288 | 34,554,920 | ||||||||
Intelsat Jackson Holdings SA (Luxembourg)†(a) | 8.50% | 10/15/2024 | 13,134 | 12,838,485 | ||||||||
Intelsat Luxembourg SA (Luxembourg)(a) | 8.125% | 6/1/2023 | 11,637 | 8,465,917 | ||||||||
ViaSat, Inc.† | 5.625% | 4/15/2027 | 19,897 | 20,235,050 | ||||||||
Total | 82,983,790 | |||||||||||
Telecommunications: Wireless 2.90% | ||||||||||||
Millicom International Cellular SA (Luxembourg)†(a) | 6.625% | 10/15/2026 | 8,786 | 9,510,845 | ||||||||
Sprint Capital Corp. | 6.875% | 11/15/2028 | 125,971 | 131,450,738 | ||||||||
Sprint Corp. | 7.625% | 3/1/2026 | 7,011 | 7,444,806 | ||||||||
T-Mobile USA, Inc. | 6.50% | 1/15/2026 | 45,053 | 47,643,548 | ||||||||
Total | 196,049,937 | |||||||||||
Telecommunications: Wireline Integrated & Services 1.59% | ||||||||||||
Cogent Communications Group, Inc.† | 5.375% | 3/1/2022 | 12,907 | 13,294,210 | ||||||||
DKT Finance ApS (Denmark)†(a) | 9.375% | 6/17/2023 | 21,942 | 23,587,650 | ||||||||
Equinix, Inc.(d) | 2.875% | 2/1/2026 | EUR | 12,316 | 14,215,955 | |||||||
GCI LLC | 6.875% | 4/15/2025 | $ | 12,746 | 13,223,975 | |||||||
InterXion Holding NV†(d) | 4.75% | 6/15/2025 | EUR | 8,471 | 10,021,432 | |||||||
Telefonica Celular del Paraguay SA (Paraguay)†(a) | 5.875% | 4/15/2027 | $ | 6,699 | 6,908,344 | |||||||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC | 8.25% | 10/15/2023 | 21,227 | 19,037,966 | ||||||||
WTT Investment Ltd. (Hong Kong)†(a) | 5.50% | 11/21/2022 | 7,281 | 7,520,691 | ||||||||
Total | 107,810,223 |
144 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Theaters & Entertainment 0.16% | ||||||||||||
AMC Entertainment Holdings, Inc. | 6.125% | 5/15/2027 | $ | 4,243 | $ | 3,739,144 | ||||||
Live Nation Entertainment, Inc.† | 5.625% | 3/15/2026 | 6,779 | 6,965,422 | ||||||||
Total | 10,704,566 | |||||||||||
Tobacco 0.10% | ||||||||||||
Pyxus International, Inc. | 9.875% | 7/15/2021 | 7,579 | 6,461,097 | ||||||||
Transportation: Infrastructure/Services 0.98% | ||||||||||||
Autopistas del Sol SA (Costa Rica)†(a) | 7.375% | 12/30/2030 | 11,278 | 11,306,000 | ||||||||
Delhi International Airport Ltd.†(a)(h) | 6.45% | 6/4/2029 | 6,848 | 6,996,910 | ||||||||
Dynagas LNG Partners LP/Dynagas Finance, Inc.(Greece)(a) | 6.25% | 10/30/2019 | 7,254 | 6,896,015 | ||||||||
Golar LNG Partners LP (United Kingdom)†(a) | 8.768% (3 Mo. LIBOR + 6.25% | )# | 5/18/2021 | 7,000 | 7,096,250 | |||||||
Great Lakes Dredge & Dock Corp. | 8.00% | 5/15/2022 | 6,767 | 7,139,185 | ||||||||
Promontoria Holding 264 BV†(a)(d) | 6.75% | 8/15/2023 | EUR | 8,894 | 9,726,333 | |||||||
Stena AB (Sweden)†(a) | 7.00% | 2/1/2024 | $ | 7,339 | 7,027,092 | |||||||
Uber Technologies, Inc.† | 8.00% | 11/1/2026 | 9,404 | 9,979,995 | ||||||||
Total | 66,167,780 | |||||||||||
Trucking & Delivery 0.10% | ||||||||||||
Kenan Advantage Group, Inc. (The)† | 7.875% | 7/31/2023 | 6,913 | 6,567,350 | ||||||||
Total High Yield Corporate Bonds (cost $5,732,950,190) | 5,720,043,085 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 0.32% | ||||||||||||
Caesars Palace Las Vegas Trust 2017-VICI E† | 4.354% | #(l) | 10/15/2034 | 7,954 | 8,174,268 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI F† | 4.354% | #(l) | 10/15/2034 | 13,397 | 13,539,137 | |||||||
Morgan Stanley Capital I Trust 2005-IQ9 G† | 5.51% | #(l) | 7/15/2056 | 2,000 | 104,319 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $21,783,336) | $ | 21,817,724 | ||||||||||
Dividend Rate | Shares (000) | |||||||||||
PREFERRED STOCK 0.00% | ||||||||||||
Energy: Exploration & Production | ||||||||||||
Templar Energy LLC (cost $1,913,468) | Zero Coupon | 203 | $ | – | (b) |
See Notes to Financial Statements. | 145 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUNDMay 31, 2019
Investments | Exercise Price | Expiration Date | Shares (000) | Fair Value | ||||||||
WARRANT 0.00% | ||||||||||||
Personal & Household Products | ||||||||||||
Remington Outdoor Co., Inc. (cost $754,851) | $35.05 | 5/15/2022 | 129 | $ | 1,294 | (c) | ||||||
Total Long-Term Investments (cost $6,678,604,937) | 6,646,470,998 | |||||||||||
Principal Amount (000) | ||||||||||||
SHORT-TERM INVESTMENT 1.88% | ||||||||||||
REPURCHASE AGREEMENT | ||||||||||||
Repurchase Agreement dated 5/31/2019, 1.45% due 6/3/2019 with Fixed Income Clearing Corp. collateralized by $129,060,000 of U.S. Treasury Note at 2.25% due 3/31/2021; value: $129,868,045; proceeds: $127,332,656 (cost $127,317,271) | $ | 127,317 | 127,317,271 | |||||||||
Total Investments in Securities 100.04% (cost $6,805,922,208) | 6,773,788,269 | |||||||||||
Less Unfunded Commitment (0.29%) (cost $19,400,306) | (19,395,703 | ) | ||||||||||
Net Investments in Securities 99.76% (cost $6,786,521,902) | 6,754,392,566 | |||||||||||
Cash, Foreign Cash and Other Assets in Excess of Liabilities(m)0.24% | 16,455,531 | |||||||||||
Net Assets 100.00% | $ | 6,770,848,097 |
CAD | Canadian dollar. | |
EUR | euro. | |
GBP | British pound. | |
ADR | American Depositary Receipt. | |
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, 2019. | |
(a) | Foreign security traded in U.S. dollars. | |
(b) | Level 3 Investment as described in Note 2(t) in the Notes to Financials. Security fair valued by the Pricing Committee. | |
(c) | Level 3 Investment as described in Note 2(t) 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. | |
(d) | Investment in non-U.S. dollar denominated securities. | |
(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, 2019. |
146 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUNDMay 31, 2019
(f) | Level 3 Investment as described in Note 2(t) 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) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(i) | Variable Rate is Fixed to Float: Rate remains fixed until designated future date. | |
(j) | Security is perpetual in nature and has no stated maturity. | |
(k) | Defaulted (non-income producing security). | |
(l) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(m) | Cash, Foreign 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: |
Centrally Cleared Credit Default Swaps on Indexes - Sell Protection at May 31, 2019(1):
Referenced Index | Central Clearing party | Fund Receives (Quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Depreciation(3) | |||||||
Markit CDX. NA.HY.32(4)(5) | Credit Suisse | 5.00% | 6/20/2024 | $178,188,000 | $186,268,093 | $9,391,484 | $(1,311,391) | |||||||
(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 clearing Party 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 $1,311,391. | |
(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 securities. |
Credit Default Swaps on Indexes - Sell Protection at May 31, 2019(1):
Referenced Issuer | Swap Counterparty | Fund Receives (Quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Depreciation(3) | Credit Default Swap Agreements Payable at Fair Value(4) | ||||||||
Tesla | J.P. Morgan | 1.00% | 6/20/2020 | $7,938,000 | $7,557,847 | $(355,113) | $(25,040) | $(380,153) | ||||||||
(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 in Indexes amounted to $0. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $25,040. | |
(4) | Includes upfront payments received. |
See Notes to Financial Statements. | 147 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUNDMay 31, 2019
Open Forward Foreign Currency Exchange Contracts at May 31, 2019:
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 | Goldman Sachs | 6/5/2019 | 1,021,000 | $1,354,568 | $1,290,863 | $ | 63,705 | |||||||||
British pound | Sell | State Street Bank and Trust | 6/5/2019 | 3,500,000 | 4,671,448 | 4,425,094 | 246,354 | ||||||||||
British pound | Sell | State Street Bank and Trust | 6/5/2019 | 1,267,000 | 1,682,356 | 1,601,884 | 80,472 | ||||||||||
British pound | Sell | State Street Bank and Trust | 6/5/2019 | 5,055,000 | 6,736,004 | 6,391,100 | 344,904 | ||||||||||
British pound | Sell | State Street Bank and Trust | 6/5/2019 | 7,169,000 | 9,484,450 | 9,063,856 | 420,594 | ||||||||||
British pound | Sell | State Street Bank and Trust | 6/5/2019 | 1,915,000 | 2,535,067 | 2,421,158 | 113,909 | ||||||||||
British pound | Sell | State Street Bank and Trust | 6/5/2019 | 4,460,000 | 5,904,114 | 5,638,834 | 265,280 | ||||||||||
British pound | Sell | Toronto Dominion Bank | 6/5/2019 | 21,000,000 | 27,904,401 | 26,550,563 | 1,353,838 | ||||||||||
Canadian dollar | Sell | Goldman Sachs | 6/5/2019 | 8,605,000 | 6,473,407 | 6,366,825 | 106,582 | ||||||||||
euro | Sell | J.P. Morgan | 6/7/2019 | 70,730,000 | 80,592,131 | 79,035,408 | 1,556,723 | ||||||||||
euro | Sell | State Street Bank and Trust | 6/7/2019 | 3,600,000 | 4,084,741 | 4,022,727 | 62,014 | ||||||||||
euro | Sell | State Street Bank and Trust | 8/14/2019 | 90,258,000 | 102,168,085 | 101,428,740 | 739,345 | ||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 5,353,720 | |||||||||||||||
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Depreciation | ||||||||||
British pound | Buy | Bank of America | 6/5/2019 | 2,000,000 | $2,646,956 | $2,528,625 | $ | (118,331 | ) | ||||||||
British pound | Buy | Barclays Bank plc | 6/5/2019 | 591,000 | 782,590 | 747,209 | (35,381 | ) | |||||||||
Canadian dollar | Buy | Morgan Stanley | 6/5/2019 | 6,500,000 | 4,889,127 | 4,809,339 | (79,788 | ) | |||||||||
Canadian dollar | Buy | Morgan Stanley | 6/5/2019 | 2,105,000 | 1,580,874 | 1,557,486 | (23,388 | ) | |||||||||
euro | Buy | J.P. Morgan | 6/7/2019 | 570,000 | 649,477 | 636,932 | (12,545 | ) | |||||||||
euro | Buy | J.P. Morgan | 6/7/2019 | 4,008,000 | 4,480,457 | 4,478,636 | (1,821 | ) | |||||||||
euro | Buy | State Street Bank and Trust | 6/7/2019 | 3,500,000 | 3,983,496 | 3,910,984 | (72,512 | ) | |||||||||
euro | Buy | State Street Bank and Trust | 6/7/2019 | 2,433,000 | 2,721,586 | 2,718,693 | (2,893 | ) | |||||||||
euro | Buy | State Street Bank and Trust | 6/7/2019 | 6,300,000 | 7,040,013 | 7,039,772 | (241 | ) | |||||||||
euro | Sell | Bank of America | 6/7/2019 | 9,293,000 | 10,379,854 | 10,384,222 | (4,368 | ) | |||||||||
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (351,268 | ) |
148 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUNDMay 31, 2019
Open Futures Contracts at May 31, 2019:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||
U.S. 10-Year Treasury Note | September 2019 | 1,466 | Long | $ | 184,283,339 | $ | 185,815,500 | $ | 1,532,161 | |||||||||
U.S. 2-Year Treasury Note | September 2019 | 8,118 | Long | 1,736,823,126 | 1,742,706,289 | 5,883,163 | ||||||||||||
U.S. 5-Year Treasury Note | September 2019 | 1,495 | Long | 174,427,136 | 175,463,946 | 1,036,810 | ||||||||||||
U.S. Ultra Treasury Bond | September 2019 | 628 | Long | 108,895,307 | 110,390,625 | 1,495,318 | ||||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 9,947,452 | ||||||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||
Euro- Bobl | June 2019 | 32 | Short | EUR | (4,825,554 | ) | EUR | (4,787,479 | ) | $ | (55,117 | ) | ||||||
Euro- Bund | June 2019 | 326 | Short | EUR | (60,813,661 | ) | EUR | (61,307,892 | ) | (1,668,675 | ) | |||||||
U.S. 10-Year Ultra Treasury Bond | September 2019 | 1,387 | Short | $ | (187,562,942 | ) | $ | (189,390,516 | ) | (1,827,574 | ) | |||||||
U.S. Long Bond | September 2019 | 2,813 | Short | (427,899,298 | ) | (432,410,844 | ) | (4,511,546 | ) | |||||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (8,062,912 | ) |
See Notes to Financial Statements. | 149 |
Schedule of Investments (unaudited)(continued)
HIGH YIELD FUNDMay 31, 2019
The following is a summary of the inputs used as of May 31, 2019 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 | ||||||||||||||||
Energy: Exploration & Production | $ | 14,704,842 | $ | – | $ | – | $ | 14,704,842 | ||||||||
Food & Drug Retailers | – | – | 197 | 197 | ||||||||||||
Investments & Miscellaneous Financial Services | 7,078,288 | – | 48,811 | 7,127,099 | ||||||||||||
Personal & Household Products | 7,832,007 | – | 6,861,905 | 14,693,912 | ||||||||||||
Specialty Retail | 13,454,488 | 11,488,193 | – | 24,942,681 | ||||||||||||
Transportation: Infrastructure/Services | – | – | 3,989,900 | 3,989,900 | ||||||||||||
Remaining Industries | 219,723,394 | – | – | 219,723,394 | ||||||||||||
Convertible Bonds | – | 60,823,640 | – | 60,823,640 | ||||||||||||
Convertible Preferred Stock | 6,990,469 | – | – | 6,990,469 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Advertising | – | – | 5,143,000 | 5,143,000 | ||||||||||||
Aerospace/Defense | – | – | 9,029,106 | 9,029,106 | ||||||||||||
Automakers | – | – | 9,400,413 | 9,400,413 | ||||||||||||
Building Materials | – | 6,686,173 | 7,432,425 | 14,118,598 | ||||||||||||
Electric: Generation | – | 58,772,331 | 13,836,460 | 72,608,791 | ||||||||||||
Electric: Integrated | – | 8,645,010 | 840,221 | 9,485,231 | ||||||||||||
Electronics | – | 5,748,947 | 13,989,932 | 19,738,879 | ||||||||||||
Food & Drug Retailers | – | 7,581,662 | 272 | 7,581,934 | ||||||||||||
Gaming | – | 6,878,874 | 7,786,362 | 14,665,236 | ||||||||||||
Health Services | – | 6,710,664 | 7,127,010 | 13,837,674 | ||||||||||||
Machinery | – | 6,142,166 | 15,066,290 | 21,208,456 | ||||||||||||
Medical Products | – | – | 5,004,736 | 5,004,736 | ||||||||||||
Oil Field Equipment & Services | – | 6,708,918 | 22,169,277 | 28,878,195 | ||||||||||||
Personal & Household Products | – | 13,918,965 | 7,603,429 | 21,522,394 | ||||||||||||
Printing & Publishing | – | – | 6,905,002 | 6,905,002 | ||||||||||||
Restaurants | – | 19,890,893 | 7,082,058 | 26,972,951 | ||||||||||||
Software/Services | – | 10,132,584 | 7,635,533 | 17,768,117 | ||||||||||||
Specialty Retail | – | – | 18,992,414 | 18,992,414 | ||||||||||||
Support: Services | – | 7,121,327 | 38,095,850 | 45,217,177 | ||||||||||||
Remaining Industries | – | 77,815,431 | – | 77,815,431 | ||||||||||||
Less Unfunded Commitments | – | (18,187,755 | ) | (1,207,948 | ) | (19,395,703 | ) | |||||||||
Foreign Bonds | – | 56,131,901 | – | 56,131,901 | ||||||||||||
Foreign Government Obligations | – | 49,587,125 | – | 49,587,125 | ||||||||||||
High Yield Corporate Bonds | ||||||||||||||||
Automakers | – | 64,623,415 | 850 | 64,624,265 | ||||||||||||
Banking | – | 197,844,960 | 1,000 | 197,845,960 | ||||||||||||
Metals/Mining (Excluding Steel) | – | 152,058,522 | 5 | 152,058,527 | ||||||||||||
Remaining Industries | – | 5,305,514,333 | – | 5,305,514,333 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 21,817,724 | – | 21,817,724 | ||||||||||||
Preferred Stock | – | – | – | – | ||||||||||||
Warrant | – | – | 1,294 | 1,294 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreement | – | 127,317,271 | – | 127,317,271 | ||||||||||||
Total | $ | 269,783,488 | $ | 6,271,773,274 | $ | 212,835,804 | $ | 6,754,392,566 |
150 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(concluded)
HIGH YIELD FUNDMay 31, 2019
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Centrally Cleared Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | – | $ | – | $ | – | ||||||||
Liabilities | – | (1,311,391 | ) | – | (1,311,391 | ) | ||||||||||
Credit Default Swap Contracts | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | (380,153 | ) | – | (380,153 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 5,353,720 | – | 5,353,720 | ||||||||||||
Liabilities | – | (351,268 | ) | – | (351,268 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 9,947,452 | – | – | 9,947,452 | ||||||||||||
Liabilities | (8,062,912 | ) | – | – | (8,062,912 | ) | ||||||||||
Total | $ | 1,884,540 | $ | 3,310,908 | $ | – | $ | 5,195,448 |
(1) | Refer to Note 2(t) 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, 2019. |
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 | Preferred Stock | Warrants | |||||||||||||||
Balance as of December 1, 2018 | $ | 11,723,618 | $ | 87,182,158 | $ | 1,557,290 | $ | – | $ | 1,294 | ||||||||||
Accrued Discounts (Premiums) | – | 155,439 | – | – | – | |||||||||||||||
Realized Gain (Loss) | 350,920 | 130,710 | 23,288 | – | – | |||||||||||||||
Change in Unrealized Appreciation (Depreciation) | 3,140,108 | (3,136,772 | ) | 69,667 | (608,972 | ) | – | |||||||||||||
Purchases | 12,903,981 | 122,699,779 | 46,815 | – | ||||||||||||||||
Sales | (21,717,484 | ) | (42,644,564 | ) | (93,265 | ) | – | – | ||||||||||||
Transfers into Level 3 | 4,499,670 | 46,956,504 | – | 562,157 | – | |||||||||||||||
Transfers out of Level 3 | – | (9,411,412 | ) | (1,555,125 | ) | – | – | |||||||||||||
Balance as of May 31, 2019 | $ | 10,900,813 | $ | 201,931,842 | $ | 1,855 | $ | – | $ | 1,294 | ||||||||||
Change in unrealized appreciation/depreciation for the period ended May 31, 2019, related to Level 3 investments held at May 31, 2019 | $ | 619,065 | $ | (2,076,214 | ) | $ | – | $ | (608,972 | ) | $ | – |
See Notes to Financial Statements. | 151 |
Schedule of Investments (unaudited)
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 90.53% | ||||||||||||
ASSET-BACKED SECURITIES 7.63% | ||||||||||||
Automobiles 3.35% | ||||||||||||
ACC Trust 2018-1 B† | 4.82% | 5/20/2021 | $ | 1,124 | $ | 1,130,271 | ||||||
ACC Trust 2018-1 C† | 6.81% | 2/21/2023 | 870 | 883,536 | ||||||||
Avis Budget Rental Car Funding AESOP LLC 2014-1A A† | 2.46% | 7/20/2020 | 804 | 803,792 | ||||||||
Avis Budget Rental Car Funding AESOP LLC 2015-2A† | 2.63% | 12/20/2021 | 710 | 711,466 | ||||||||
BMW Vehicle Lease Trust 2019-1 A2 | 2.79% | 3/22/2021 | 3,917 | 3,930,203 | ||||||||
California Republic Auto Receivables Trust 2015-2 A4 | 1.75% | 1/15/2021 | 807 | 805,596 | ||||||||
California Republic Auto Receivables Trust 2015-2 B | 2.53% | 6/15/2021 | 5,359 | 5,351,031 | ||||||||
California Republic Auto Receivables Trust 2015-4 B† | 3.73% | 11/15/2021 | 1,131 | 1,137,495 | ||||||||
Capital Auto Receivables Asset Trust 2015-3 D | 3.34% | 3/22/2021 | 3,625 | 3,632,831 | ||||||||
Capital Auto Receivables Asset Trust 2018-1 A3† | 2.79% | 1/20/2022 | 7,549 | 7,565,918 | ||||||||
CPS Auto Trust 2017-A D† | 4.61% | 12/15/2022 | 2,500 | 2,552,734 | ||||||||
Drive Auto Receivables Trust 2015-BA D† | 3.84% | 7/15/2021 | 1,063 | 1,065,352 | ||||||||
Drive Auto Receivables Trust 2015-DA D† | 4.59% | 1/17/2023 | 770 | 775,664 | ||||||||
Drive Auto Receivables Trust 2016-CA C† | 3.02% | 11/15/2021 | 1,118 | 1,118,703 | ||||||||
Drive Auto Receivables Trust 2016-CA D† | 4.18% | 3/15/2024 | 707 | 715,394 | ||||||||
Drive Auto Receivables Trust 2017-1 C | 2.84% | 4/15/2022 | 4,161 | 4,162,940 | ||||||||
Drive Auto Receivables Trust 2019-2 A2A | 2.93% | 3/15/2022 | 6,121 | 6,131,393 | ||||||||
Enterprise Fleet Financing LLC 2018-1 A2† | 2.87% | 10/20/2023 | 1,549 | 1,553,050 | ||||||||
Flagship Credit Auto Trust 2019-1 D† | 4.08% | 2/18/2025 | 4,000 | 4,142,906 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 D† | 4.19% | 11/15/2023 | 3,500 | 3,588,509 | ||||||||
GM Financial Automobile Leasing Trust 2017-3 A3 | 2.01% | 11/20/2020 | 5,290 | 5,281,335 | ||||||||
Huntington Auto Trust 2016-1 A3 | 1.59% | 11/16/2020 | 463 | 462,580 | ||||||||
Santander Drive Auto Receivables Trust 2014-5 E | 4.23% | 4/15/2022 | 4,200 | 4,204,202 | ||||||||
Santander Drive Auto Receivables Trust 2015-2 D | 3.02% | 4/15/2021 | 3,023 | 3,025,562 | ||||||||
Santander Drive Auto Receivables Trust 2015-2 E† | 4.02% | 9/15/2022 | 7,875 | 7,906,365 | ||||||||
Santander Drive Auto Receivables Trust 2016-1 D | 4.02% | 4/15/2022 | 887 | 896,700 | ||||||||
Santander Drive Auto Receivables Trust 2016-3 B | 1.89% | 6/15/2021 | 28 | 28,243 | ||||||||
SunTrust Auto Receivables Trust 2015-1A D† | 3.24% | 1/16/2023 | 4,300 | 4,299,961 | ||||||||
TCF Auto Receivables Owner Trust 2015-1A D† | 3.53% | 3/15/2022 | 257 | 256,983 | ||||||||
Total | 78,120,715 |
152 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Credit Cards 0.51% | ||||||||||||
Barclays Dryrock Issuance Trust 2016-1 A | 1.52% | 5/16/2022 | $ | 1,858 | $ | 1,855,726 | ||||||
Synchrony Credit Card Master Note Trust 2017-2 B | 2.82% | 10/15/2025 | 1,844 | 1,856,742 | ||||||||
World Financial Network Credit Card Master Trust 2016-A | 2.03% | 4/15/2025 | 4,424 | 4,399,490 | ||||||||
World Financial Network Credit Card Master Trust 2017-C M | 2.66% | 8/15/2024 | 3,684 | 3,680,129 | ||||||||
Total | 11,792,087 | |||||||||||
Other 3.77% | ||||||||||||
Access Point Funding I LLC 2017-A† | 3.06% | 4/15/2029 | 406 | 404,909 | ||||||||
Ammc CLO 19 Ltd. 2016-19A A† | 4.097% (3 Mo. LIBOR + 1.50% | )# | 10/15/2028 | 5,000 | 5,002,768 | |||||||
Apex Credit CLO Ltd. 2016-1A B1R† | 4.432% (3 Mo. LIBOR + 1.85% | )# | 10/27/2028 | 796 | 798,207 | |||||||
Apex Credit CLO Ltd. 2017-1A B† | 4.531% (3 Mo. LIBOR + 1.95% | )# | 4/24/2029 | 876 | 876,439 | |||||||
Apidos CLO XVI 2013-16A CR† | 5.592% (3 Mo. LIBOR + 3.00% | )# | 1/19/2025 | 750 | 750,987 | |||||||
Avery Point IV CLO Ltd. 2014-1A BR† | 4.18% (3 Mo. LIBOR + 1.60% | )# | 4/25/2026 | 1,294 | 1,295,560 | |||||||
Avery Point V CLO Ltd. 2014-5A AR† | 3.568% (3 Mo. LIBOR + .98% | )# | 7/17/2026 | 670 | 670,332 | |||||||
Avery Point VII CLO Ltd. 2015-7A A1† | 4.097% (3 Mo. LIBOR + 1.50% | )# | 1/15/2028 | 4,768 | 4,770,911 | |||||||
BlueMountain CLO Ltd. 2013-1A A2R2† | 4.342% (3 Mo. LIBOR + 1.78% | )# | 1/20/2029 | 1,308 | 1,308,700 | |||||||
BlueMountain CLO Ltd. 2016-1A BR† | 3.942% (3 Mo. LIBOR + 1.35% | )# | 4/20/2027 | 4,939 | 4,876,155 | |||||||
Bowman Park CLO Ltd. 2014-1A AR† | 3.704% (3 Mo. LIBOR + 1.18% | )# | 11/23/2025 | 2,418 | 2,420,369 | |||||||
Cedar Funding VI CLO Ltd. 2016-6A BR† | 4.192% (3 Mo. LIBOR + 1.60% | )# | 10/20/2028 | 2,500 | 2,485,248 | |||||||
Cent CLO Ltd. 2013-19A A1A† | 3.912% (3 Mo. LIBOR + 1.33% | )# | 10/29/2025 | 1,744 | 1,749,992 | |||||||
Conn’s Receivables Funding LLC 2017-B C† | 5.95% | 11/15/2022 | 4,151 | 4,208,645 | ||||||||
Diamond Resorts Owner Trust 2016-1 A† | 3.08% | 11/20/2028 | 205 | 206,796 | ||||||||
DRB Prime Student Loan Trust 2015-D A2† | 3.20% | 1/25/2040 | 1,706 | 1,718,164 | ||||||||
Galaxy XXI CLO Ltd. 2015-21A AR† | 3.612% (3 Mo. LIBOR + 1.02% | )# | 4/20/2031 | 1,012 | 999,826 | |||||||
Halcyon Loan Advisors Funding Ltd. 2015-2A CR† | 4.73% (3 Mo. LIBOR + 2.15% | )# | 7/25/2027 | 895 | 892,136 | |||||||
Hardee’s Funding LLC 2018-1A A2II† | 4.959% | 6/20/2048 | 4,560 | 4,830,225 |
See Notes to Financial Statements. | 153 |
Schedule of Investments (unaudited)(continued)
INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
ICG US CLO Ltd. 2015-2A AR† | 3.451% (3 Mo. LIBOR + .85% | )# | 1/16/2028 | $ | 4,946 | $ | 4,918,332 | |||||
Jamestown CLO VII Ltd. 2015-7A A2R† | 3.88% (3 Mo. LIBOR + 1.30% | )# | 7/25/2027 | 2,039 | 2,004,612 | |||||||
Madison Park Funding XXI Ltd. 2016-21A A1† | 4.11% (3 Mo. LIBOR + 1.53% | )# | 7/25/2029 | 1,255 | 1,260,210 | |||||||
Magnetite XI Ltd. 2014-11A A1R† | 3.721% (3 Mo. LIBOR + 1.12% | )# | 1/18/2027 | 2,504 | 2,505,862 | |||||||
MidOcean Credit CLO VI 2016-6A BR† | 4.425% (3 Mo. LIBOR + 1.90% | )# | 1/20/2029 | 1,493 | 1,489,286 | |||||||
Mountain Hawk III CLO Ltd. 2014-3A AR† | 3.801% (3 Mo. LIBOR + 1.20% | )# | 4/18/2025 | 2,153 | 2,153,425 | |||||||
Mountain View CLO X Ltd. 2015-10A BR† | 3.947% (3 Mo. LIBOR + 1.35% | )# | 10/13/2027 | 2,400 | 2,381,585 | |||||||
OHA Loan Funding Ltd. 2016-1A B1† | 4.392% (3 Mo. LIBOR + 1.80% | )# | 1/20/2028 | 4,500 | 4,502,269 | |||||||
OneMain Financial Issuance Trust 2016-1A A† | 3.66% | 2/20/2029 | 565 | 567,575 | ||||||||
Palmer Square Loan Funding Ltd. 2017-1A B† | 4.297% (3 Mo. LIBOR + 1.70% | )# | 10/15/2025 | 2,079 | 2,047,912 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A1† | 3.197% (3 Mo. LIBOR + .60% | )# | 4/15/2026 | 3,970 | 3,954,308 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A2† | 3.647% (3 Mo. LIBOR + 1.05% | )# | 4/15/2026 | 1,633 | 1,599,822 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A B† | 3.997% (3 Mo. LIBOR + 1.40% | )# | 4/15/2026 | 1,237 | 1,193,896 | |||||||
Palmer Square Loan Funding Ltd. 2018-5A A2† | 3.992% (3 Mo. LIBOR + 1.40% | )# | 1/20/2027 | 957 | 942,558 | |||||||
Regatta VI Funding Ltd. 2016-1A CR† | 4.642% (3 Mo. LIBOR + 2.05% | )# | 7/20/2028 | 1,857 | 1,852,184 | |||||||
Salem Fields CLO Ltd. 2016-2A A2R† | 4.28% (3 Mo. LIBOR + 1.70% | )# | 10/25/2028 | 2,008 | 2,010,009 | |||||||
SCF Equipment Leasing LLC 2017-2A A† | 3.41% | 12/20/2023 | 1,021 | 1,028,893 | ||||||||
Seneca Park CLO Ltd. 2014-1A AR† | 3.708% (3 Mo. LIBOR + 1.12% | )# | 7/17/2026 | 985 | 985,824 | |||||||
Sound Point CLO XV Ltd. 2017-1A C† | 5.092% (3 Mo. LIBOR + 2.50% | )# | 1/23/2029 | 2,180 | 2,180,947 | |||||||
Thacher Park CLO Ltd. 2014-1A AR† | 3.752% (3 Mo. LIBOR + 1.16% | )# | 10/20/2026 | 2,870 | 2,873,954 | |||||||
Venture XXIV CLO Ltd. 2016-24A B† | 4.642% (3 Mo. LIBOR + 2.05% | )# | 10/20/2028 | 5,000 | 5,003,569 | |||||||
Total | 87,723,401 | |||||||||||
Total Asset-Backed Securities (cost $177,267,800) | 177,636,203 |
154 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Shares (000) | Fair Value | ||||||||
COMMON STOCKS 0.02% | ||||||||||||
Electric: Power 0.00% | ||||||||||||
Eneva SA*(a) | BRL | 3 | $ | 14,833 | ||||||||
Oil 0.02% | ||||||||||||
Chaparral Energy, Inc. Class A* | 77 | 324,750 | ||||||||||
Dommo Energia SA*(a) | BRL | 318 | 26,866 | |||||||||
Templar Energy LLC Class A Units | 97 | – | (b) | |||||||||
Total | 351,616 | |||||||||||
Total Common Stocks (cost $3,332,109) | 366,449 | |||||||||||
Principal Amount (000) | ||||||||||||
CONVERTIBLE BOND 0.01% | ||||||||||||
Electric: Power | ||||||||||||
Clearway Energy, Inc.† (cost $300,152) | 3.25% | 6/1/2020 | $ | 308 | 301,070 | |||||||
CORPORATE BONDS 75.48% | ||||||||||||
Aerospace/Defense 1.36% | ||||||||||||
BAE Systems Finance, Inc.† | 7.50% | 7/1/2027 | 930 | 1,179,656 | ||||||||
Bombardier, Inc. (Canada)†(c) | 6.125% | 1/15/2023 | 4,399 | 4,287,705 | ||||||||
Bombardier, Inc. (Canada)†(c) | 7.50% | 3/15/2025 | 2,432 | 2,367,430 | ||||||||
Embraer Netherlands Finance BV (Netherlands)(c) | 5.05% | 6/15/2025 | 3,622 | 3,825,774 | ||||||||
Embraer Overseas Ltd.† | 5.696% | 9/16/2023 | 4,875 | 5,265,049 | ||||||||
Harris Corp. | 4.40% | 6/15/2028 | 2,923 | 3,137,085 | ||||||||
L3 Technologies, Inc. | 4.40% | 6/15/2028 | 2,923 | 3,148,870 | ||||||||
Litton Industries, Inc. | 7.75% | 3/15/2026 | 1,960 | 2,457,362 | ||||||||
Lockheed Martin Corp. | 7.75% | 5/1/2026 | 900 | 1,121,986 | ||||||||
Lockheed Martin Tactical Systems, Inc. | 7.625% | 6/15/2025 | 590 | 718,692 | ||||||||
Northrop Grumman Systems Corp. | 7.75% | 2/15/2031 | 1,512 | 2,129,503 | ||||||||
Northrop Grumman Systems Corp. | 7.875% | 3/1/2026 | 1,127 | 1,423,358 | ||||||||
Triumph Group, Inc. | 4.875% | 4/1/2021 | 593 | 584,105 | ||||||||
Total | 31,646,575 | |||||||||||
Air Transportation 0.87% | ||||||||||||
Air Canada 2015-2 Class B Pass-Through Trust (Canada)†(c) | 5.00% | 6/15/2025 | 2,233 | 2,308,556 | ||||||||
American Airlines 2013-1 Class B Pass-Through Trust† | 5.625% | 7/15/2022 | 5,105 | 5,209,938 |
See Notes to Financial Statements. | 155 |
Schedule of Investments (unaudited)(continued)
INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Air Transportation (continued) | ||||||||||||
American Airlines 2013-2 Class B Pass-Through Trust† | 5.60% | 1/15/2022 | $ | 5,610 | $ | 5,696,033 | ||||||
American Airlines 2014-1 Class B Pass-Through Trust | 4.375% | 4/1/2024 | 7,078 | 7,166,728 | ||||||||
Total | 20,381,255 | |||||||||||
Apparel 0.29% | ||||||||||||
PVH Corp. | 7.75% | 11/15/2023 | 5,967 | 6,716,694 | ||||||||
Auto Parts: Original Equipment 0.64% | ||||||||||||
American Axle & Manufacturing, Inc. | 6.50% | 4/1/2027 | 3,875 | 3,676,406 | ||||||||
Aptiv plc (Ireland)(c) | 4.35% | 3/15/2029 | 1,534 | 1,585,417 | ||||||||
Tenneco, Inc. | 5.00% | 7/15/2026 | 4,000 | 3,055,000 | ||||||||
Titan International, Inc. | 6.50% | 11/30/2023 | 2,919 | 2,515,813 | ||||||||
ZF North America Capital, Inc.† | 4.00% | 4/29/2020 | 2,000 | 2,011,952 | ||||||||
ZF North America Capital, Inc.† | 4.75% | 4/29/2025 | 1,982 | 1,978,427 | ||||||||
Total | 14,823,015 | |||||||||||
Automobiles 0.01% | ||||||||||||
Fiat Chrysler Automobiles NV (United Kingdom)(c) | 5.25% | 4/15/2023 | 200 | 209,002 | ||||||||
Automotive 2.25% | ||||||||||||
Ford Motor Co. | 7.45% | 7/16/2031 | 13,938 | 15,814,784 | ||||||||
General Motors Co. | 6.75% | 4/1/2046 | 17,530 | 18,586,805 | ||||||||
Hyundai Capital America† | 1.75% | 9/27/2019 | 1,755 | 1,749,639 | ||||||||
Hyundai Capital America† | 2.00% | 7/1/2019 | 2,847 | 2,845,350 | ||||||||
Nissan Motor Acceptance Corp.† | 3.131% (3 Mo. LIBOR + .52% | )# | 3/15/2021 | 1,750 | 1,745,318 | |||||||
Volkswagen Group of America Finance LLC† | 4.75% | 11/13/2028 | 8,800 | 9,194,638 | ||||||||
Wabash National Corp.† | 5.50% | 10/1/2025 | 2,500 | 2,368,750 | ||||||||
Total | 52,305,284 | |||||||||||
Banks: Regional 9.38% | ||||||||||||
Banco Mercantil del Norte SA† | 7.625% | #(d) | – | (e) | 2,000 | 2,060,000 | ||||||
Bank of America Corp. | 3.824% (3 Mo. LIBOR + 1.56% | )# | 1/20/2028 | 8,949 | 9,211,610 | |||||||
Bank of America Corp. | 4.45% | 3/3/2026 | 9,494 | 10,017,953 | ||||||||
Bank of Ireland Group plc (Ireland)(c) | 4.125% | #(d) | 9/19/2027 | 12,794 | 12,309,491 | |||||||
Bank of Montreal (Canada)(c) | 3.803% | #(d) | 12/15/2032 | 3,570 | 3,530,337 | |||||||
Barclays Bank plc (United Kingdom)†(c) | 10.179% | 6/12/2021 | 2,920 | 3,294,937 | ||||||||
BBVA Bancomer SA† | 5.125% | #(d) | 1/18/2033 | 4,300 | 4,025,875 | |||||||
CIT Group, Inc. | 5.80% (3 Mo. LIBOR + 3.97% | )# | – | (e) | 619 | 622,123 | ||||||
CIT Group, Inc. | 6.125% | 3/9/2028 | 2,428 | 2,676,870 |
156 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Citigroup, Inc. | 3.668% (3 Mo. LIBOR + 1.39% | )# | 7/24/2028 | $ | 5,426 | $ | 5,506,322 | |||||
Citigroup, Inc. | 3.887% (3 Mo. LIBOR + 1.56% | )# | 1/10/2028 | 12,568 | 12,942,460 | |||||||
Citigroup, Inc. | 4.60% | 3/9/2026 | 2,161 | 2,283,720 | ||||||||
Citigroup, Inc. | 5.95% (3 Mo. LIBOR + 3.91% | )# | – | (e) | 1,077 | 1,114,291 | ||||||
Citizens Financial Group, Inc.† | 4.15% | 9/28/2022 | 2,000 | 2,053,188 | ||||||||
Credit Suisse AG (Switzerland)†(c) | 6.50% | 8/8/2023 | 5,000 | 5,427,500 | ||||||||
Danske Bank A/S (Denmark)†(c) | 2.80% | 3/10/2021 | 1,383 | 1,380,225 | ||||||||
Danske Bank A/S (Denmark)†(c) | 4.375% | 6/12/2028 | 875 | 871,230 | ||||||||
Danske Bank A/S (Denmark)†(c) | 5.375% | 1/12/2024 | 12,000 | 12,687,686 | ||||||||
Discover Bank | 3.45% | 7/27/2026 | 5,548 | 5,495,097 | ||||||||
Discover Bank | 4.682% | #(d) | 8/9/2028 | 4,750 | 4,843,527 | |||||||
Goldman Sachs Group, Inc. (The) | 6.75% | 10/1/2037 | 7,767 | 9,793,374 | ||||||||
Huntington Bancshares, Inc. | 5.70% | #(d) | – | (e) | 1,834 | 1,817,696 | ||||||
Intesa Sanpaolo SpA (Italy)†(c) | 5.71% | 1/15/2026 | 4,200 | 4,012,760 | ||||||||
Intesa Sanpaolo SpA (Italy)†(c) | 6.50% | 2/24/2021 | 538 | 562,187 | ||||||||
Lloyds Bank plc (United Kingdom)†(c) | 6.50% | 9/14/2020 | 5,029 | 5,242,175 | ||||||||
Macquarie Bank Ltd. (Australia)†(c) | 4.875% | 6/10/2025 | 1,850 | 1,960,097 | ||||||||
Macquarie Bank Ltd. (Australia)†(c) | 6.625% | 4/7/2021 | 4,261 | 4,544,459 | ||||||||
Macquarie Bank Ltd. (United Kingdom)†(c) | 6.125% | #(d) | – | (e) | 1,150 | 1,087,773 | ||||||
Macquarie Group Ltd. (Australia)†(c) | 4.654% | #(d) | 3/27/2029 | 5,682 | 6,047,990 | |||||||
Morgan Stanley | 3.78% (3 Mo. LIBOR + 1.22% | )# | 5/8/2024 | 4,110 | 4,156,335 | |||||||
Morgan Stanley | 3.875% | 1/27/2026 | 7,343 | 7,636,146 | ||||||||
Popular, Inc. | 6.125% | 9/14/2023 | 1,950 | 2,037,750 | ||||||||
Provident Funding Associates LP/PFG Finance Corp.† | 6.375% | 6/15/2025 | 2,691 | 2,539,631 | ||||||||
Royal Bank of Scotland Group plc (United Kingdom)(c) | 3.875% | 9/12/2023 | 5,950 | 5,992,157 | ||||||||
Santander UK Group Holdings plc (United Kingdom)(c) | 3.823% | #(d) | 11/3/2028 | 3,815 | 3,734,529 | |||||||
Santander UK plc (United Kingdom)†(c) | 5.00% | 11/7/2023 | 900 | 936,056 | ||||||||
Santander UK plc (United Kingdom)(c) | 7.95% | 10/26/2029 | 5,770 | 7,147,709 | ||||||||
Standard Chartered plc (United Kingdom)†(c) | 4.247% | #(d) | 1/20/2023 | 2,276 | 2,319,579 | |||||||
Turkiye Vakiflar Bankasi TAO (Turkey)†(c) | 5.75% | 1/30/2023 | 2,907 | 2,509,133 | ||||||||
UBS AG (Switzerland)(c) | 5.125% | 5/15/2024 | 13,800 | 14,429,432 | ||||||||
UBS AG/Stamford CT | 7.625% | 8/17/2022 | 8,750 | 9,675,444 | ||||||||
Webster Financial Corp. | 4.10% | 3/25/2029 | 4,986 | 5,155,438 | ||||||||
Wells Fargo Capital X | 5.95% | 12/1/2086 | 8,224 | 9,543,659 | ||||||||
Westpac Banking Corp. (Australia)(c) | 4.322% | #(d) | 11/23/2031 | 3,197 | 3,258,734 | |||||||
Total | 218,494,685 |
See Notes to Financial Statements. | 157 |
Schedule of Investments (unaudited)(continued)
INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Beverages 2.07% | ||||||||||||
Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc. | 4.70% | 2/1/2036 | $ | 25,343 | $ | 26,221,199 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | 4.75% | 1/23/2029 | 5,392 | 5,862,168 | ||||||||
Bacardi Ltd.† | 4.70% | 5/15/2028 | 10,673 | 11,100,496 | ||||||||
Becle SAB de CV (Mexico)†(c) | 3.75% | 5/13/2025 | 5,050 | 4,978,214 | ||||||||
Total | 48,162,077 | |||||||||||
Biotechnology Research & Production 0.05% | ||||||||||||
Sotera Health Topco, Inc. PIK 8.875%† | 8.125% | 11/1/2021 | 1,215 | 1,208,925 | ||||||||
Building Materials 0.96% | ||||||||||||
CPG Merger Sub LLC† | 8.00% | 10/1/2021 | 1,464 | 1,489,620 | ||||||||
CRH America Finance, Inc.† | 3.95% | 4/4/2028 | 7,213 | 7,307,789 | ||||||||
Griffon Corp. | 5.25% | 3/1/2022 | 2,220 | 2,217,225 | ||||||||
Martin Marietta Materials, Inc. | 3.173% (3 Mo. LIBOR + .65% | )# | 5/22/2020 | 1,950 | 1,950,735 | |||||||
Owens Corning, Inc. | 7.00% | 12/1/2036 | 4,646 | 5,478,783 | ||||||||
Vulcan Materials Co. | 3.17% (3 Mo. LIBOR + .65% | )# | 3/1/2021 | 3,900 | 3,901,935 | |||||||
Total | 22,346,087 | |||||||||||
Business Services 0.77% | ||||||||||||
APX Group, Inc. | 8.75% | 12/1/2020 | 126 | 118,283 | ||||||||
Ashtead Capital, Inc.† | 5.625% | 10/1/2024 | 609 | 629,554 | ||||||||
IHS Markit Ltd. (United Kingdom)(c) | 3.625% | 5/1/2024 | 606 | 611,181 | ||||||||
IHS Markit Ltd. (United Kingdom)†(c) | 4.00% | 3/1/2026 | 4,836 | 4,887,262 | ||||||||
Red de Carreteras de Occidente S.A.P.I.B. de CV†(a) | 9.00% | 6/10/2028 | MXN | 31,250 | 1,546,655 | |||||||
Techem Verwaltungsgesellschaft 674 mbH(a) | 6.00% | 7/30/2026 | EUR | 1,500 | 1,721,112 | |||||||
Total System Services, Inc. | 4.80% | 4/1/2026 | $ | 5,000 | 5,384,393 | |||||||
United Rentals North America, Inc. | 4.875% | 1/15/2028 | 3,155 | 3,066,975 | ||||||||
Total | 17,965,415 | |||||||||||
Chemicals 1.24% | ||||||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(c) | 3.00% | 7/19/2020 | 7,350 | 7,361,810 | ||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(c) | 3.50% | 7/19/2022 | 3,000 | 3,010,652 | ||||||||
Phosagro OAO Via Phosagro Bond Funding DAC (Ireland)†(c) | 3.949% | 4/24/2023 | 4,600 | 4,546,005 | ||||||||
Rayonier AM Products, Inc.† | 5.50% | 6/1/2024 | 2,597 | 2,108,790 | ||||||||
Syngenta Finance NV (Netherlands)†(c) | 4.441% | 4/24/2023 | 1,332 | 1,374,097 | ||||||||
Yara International ASA (Norway)†(c) | 7.875% | 6/11/2019 | 8,552 | 8,559,913 | ||||||||
Yingde Gases Investment Ltd. (Hong Kong)†(c) | 6.25% | 1/19/2023 | 1,800 | 1,810,082 | ||||||||
Total | 28,771,349 |
158 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Coal 0.21% | ||||||||||||
Eterna Capital Pte Ltd. PIK 1.00% (Singapore)(c) | 7.50% | 12/11/2022 | $ | 1,916 | $ | 1,894,355 | ||||||
Peabody Energy Corp.† | 6.00% | 3/31/2022 | 2,737 | 2,726,736 | ||||||||
Peabody Energy Corp.† | 6.375% | 3/31/2025 | 264 | 256,740 | ||||||||
Total | 4,877,831 | |||||||||||
Computer Hardware 1.04% | ||||||||||||
Dell International LLC/EMC Corp.† | 6.02% | 6/15/2026 | 5,465 | 5,889,445 | ||||||||
Dell International LLC/EMC Corp.† | 8.35% | 7/15/2046 | 8,725 | 10,679,863 | ||||||||
GCI LLC | 6.875% | 4/15/2025 | 2,900 | 3,008,750 | ||||||||
Leidos, Inc. | 7.125% | 7/1/2032 | 4,309 | 4,653,720 | ||||||||
Total | 24,231,778 | |||||||||||
Computer Software 0.34% | ||||||||||||
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Ho† | 10.00% | 11/30/2024 | 1,115 | 1,218,138 | ||||||||
Solera LLC/Solera Finance, Inc.† | 10.50% | 3/1/2024 | 2,952 | 3,191,702 | ||||||||
TIBCO Software, Inc.† | 11.375% | 12/1/2021 | 3,400 | 3,597,625 | ||||||||
Total | 8,007,465 | |||||||||||
Construction/Homebuilding 0.32% | ||||||||||||
Century Communities, Inc. | 5.875% | 7/15/2025 | 2,953 | 2,893,940 | ||||||||
William Lyon Homes, Inc. | 7.00% | 8/15/2022 | 2,576 | 2,582,440 | ||||||||
Williams Scotsman International, Inc.† | 7.875% | 12/15/2022 | 1,942 | 2,014,825 | ||||||||
Total | 7,491,205 | |||||||||||
Containers 0.19% | ||||||||||||
BWAY Holding Co.† | 7.25% | 4/15/2025 | 1,892 | 1,828,334 | ||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA | 5.75% | 10/15/2020 | 2,371 | 2,378,046 | ||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA | 6.875% | 2/15/2021 | 234 | 234,790 | ||||||||
Total | 4,441,170 | |||||||||||
Drugs 1.68% | ||||||||||||
AbbVie, Inc. | 4.70% | 5/14/2045 | 1,890 | 1,859,369 | ||||||||
Bayer Corp.† | 6.65% | 2/15/2028 | 2,915 | 3,339,804 | ||||||||
Bayer US Finance II LLC† | 2.75% | 7/15/2021 | 350 | 348,600 | ||||||||
Bayer US Finance II LLC† | 3.50% | 6/25/2021 | 573 | 578,011 | ||||||||
Bayer US Finance II LLC† | 3.875% | 12/15/2023 | 1,288 | 1,310,687 | ||||||||
CVS Health Corp. | 4.30% | 3/25/2028 | 23,462 | 24,198,181 | ||||||||
CVS Health Corp. | 4.78% | 3/25/2038 | 4,790 | 4,781,563 |
See Notes to Financial Statements. | 159 |
Schedule of Investments (unaudited)(continued)
INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Drugs (continued) | ||||||||||||
Elanco Animal Health, Inc.† | 4.90% | 8/28/2028 | $ | 748 | $ | 811,598 | ||||||
Express Scripts Holding Co. | 6.125% | 11/15/2041 | 1,310 | 1,564,327 | ||||||||
Teva Pharmaceutical Finance Co. BV (Curacao)(c) | 3.65% | 11/10/2021 | 323 | 303,216 | ||||||||
Total | 39,095,356 | |||||||||||
Electric: Power 6.44% | ||||||||||||
Abu Dhabi National Energy Co. PJSC (United Arab Emirates)†(c) | 4.875% | 4/23/2030 | 3,800 | 4,086,976 | ||||||||
Acwa Power Management & Investments One Ltd. (Saudi Arabia)†(c) | 5.95% | 12/15/2039 | 2,200 | 2,266,436 | ||||||||
Adani Transmission Ltd. (India)†(c) | 4.00% | 8/3/2026 | 2,200 | 2,148,380 | ||||||||
Appalachian Power Co. | 7.00% | 4/1/2038 | 2,230 | 3,054,552 | ||||||||
Ausgrid Finance Pty Ltd. (Australia)†(c) | 4.35% | 8/1/2028 | 6,842 | 7,229,458 | ||||||||
Calpine Corp. | 5.50% | 2/1/2024 | 3,885 | 3,778,162 | ||||||||
Cleco Corporate Holdings LLC | 4.973% | 5/1/2046 | 4,676 | 4,993,924 | ||||||||
Cleco Power LLC | 6.00% | 12/1/2040 | 4,904 | 5,967,240 | ||||||||
Cleveland Electric Illuminating Co. (The)† | 3.50% | 4/1/2028 | 2,361 | 2,352,274 | ||||||||
Dominion Energy, Inc. | 7.00% | 6/15/2038 | 4,000 | 5,286,130 | ||||||||
Duquesne Light Holdings, Inc. | 6.25% | 8/15/2035 | 2,650 | 3,063,921 | ||||||||
Duquesne Light Holdings, Inc.† | 6.40% | 9/15/2020 | 1,170 | 1,220,954 | ||||||||
Edison International | 4.125% | 3/15/2028 | 3,170 | 3,021,714 | ||||||||
Electricite de France SA (France)†(c) | 5.00% | 9/21/2048 | 4,668 | 5,030,298 | ||||||||
Electricite de France SA (France)†(c) | 5.625% | #(d) | – | (e) | 2,500 | 2,505,350 | ||||||
Emera US Finance LP | 2.70% | 6/15/2021 | 1,052 | 1,048,771 | ||||||||
Enel Finance International NV (Netherlands)†(c) | 2.75% | 4/6/2023 | 5,440 | 5,323,772 | ||||||||
Exelon Generation Co. LLC | 5.60% | 6/15/2042 | 2,950 | 3,219,598 | ||||||||
Exelon Generation Co. LLC | 6.25% | 10/1/2039 | 7,205 | 8,422,262 | ||||||||
FirstEnergy Transmission LLC† | 4.35% | 1/15/2025 | 1,000 | 1,057,328 | ||||||||
FirstEnergy Transmission LLC† | 4.55% | 4/1/2049 | 4,750 | 4,982,267 | ||||||||
Infraestructura Energetica Nova SAB de CV (Mexico)†(c) | 4.875% | 1/14/2048 | 1,954 | 1,675,555 | ||||||||
Interstate Power & Light Co. | 3.60% | 4/1/2029 | 2,181 | 2,229,522 | ||||||||
Interstate Power & Light Co. | 4.70% | 10/15/2043 | 200 | 218,078 | ||||||||
ITC Holdings Corp.† | 5.50% | 1/15/2020 | 750 | 762,895 | ||||||||
Metropolitan Edison Co.† | 4.00% | 4/15/2025 | 680 | 703,550 | ||||||||
Minejesa Capital BV (Netherlands)†(c) | 5.625% | 8/10/2037 | 1,800 | 1,788,559 | ||||||||
Mississippi Power Co. | 4.25% | 3/15/2042 | 3,605 | 3,638,314 | ||||||||
NRG Energy, Inc.† | 4.45% | 6/15/2029 | 5,284 | 5,440,828 | ||||||||
Oglethorpe Power Corp. | 5.05% | 10/1/2048 | 3,138 | 3,595,243 | ||||||||
Oncor Electric Delivery Co. LLC | 7.00% | 5/1/2032 | 247 | 344,307 |
160 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Power (continued) | ||||||||||||
Oncor Electric Delivery Co. LLC | 7.50% | 9/1/2038 | $ | 299 | $ | 457,700 | ||||||
Origin Energy Finance Ltd. (Australia)†(c) | 5.45% | 10/14/2021 | 4,289 | 4,535,030 | ||||||||
Pacific Gas & Electric Co.(f) | 6.05% | 3/1/2034 | 3,000 | 3,030,000 | ||||||||
PPL WEM Ltd./Western Power Distribution Ltd. (United Kingdom)†(c) | 5.375% | 5/1/2021 | 2,560 | 2,643,378 | ||||||||
PSEG Power LLC | 8.625% | 4/15/2031 | 8,171 | 11,103,789 | ||||||||
Public Service Co. of New Mexico | 3.85% | 8/1/2025 | 295 | 301,964 | ||||||||
Puget Energy, Inc. | 3.65% | 5/15/2025 | 4,587 | 4,643,026 | ||||||||
SCANA Corp. | 4.125% | 2/1/2022 | 5,135 | 5,231,157 | ||||||||
SCANA Corp. | 4.75% | 5/15/2021 | 2,460 | 2,515,276 | ||||||||
SCANA Corp. | 6.25% | 4/1/2020 | 628 | 641,614 | ||||||||
Sempra Energy | 3.75% | 11/15/2025 | 70 | 71,499 | ||||||||
Sempra Energy | 4.00% | 2/1/2048 | 4,594 | 4,289,529 | ||||||||
TransAlta Corp. (Canada)(c) | 4.50% | 11/15/2022 | 8,265 | 8,485,060 | ||||||||
Virginia Electric & Power Co. | 8.875% | 11/15/2038 | 974 | 1,566,097 | ||||||||
Total | 149,971,737 | |||||||||||
Electrical Equipment 1.07% | ||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 3.875% | 1/15/2027 | 8,903 | 8,474,783 | ||||||||
Broadcom, Inc.† | 3.625% | 10/15/2024 | 3,577 | 3,521,368 | ||||||||
Marvell Technology Group Ltd. | 4.20% | 6/22/2023 | 2,588 | 2,670,798 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(c) | 3.875% | 9/1/2022 | 400 | 407,400 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(c) | 4.625% | 6/1/2023 | 9,482 | 9,883,089 | ||||||||
Total | 24,957,438 | |||||||||||
Electronics 0.40% | ||||||||||||
Itron, Inc.† | 5.00% | 1/15/2026 | 2,428 | 2,424,965 | ||||||||
Trimble, Inc. | 4.90% | 6/15/2028 | 6,672 | 6,901,087 | ||||||||
Total | 9,326,052 | |||||||||||
Engineering & Contracting Services 0.20% | ||||||||||||
Brand Industrial Services, Inc.† | 8.50% | 7/15/2025 | 2,087 | 1,768,732 | ||||||||
Indika Energy Capital III Pte Ltd. (Singapore)†(c) | 5.875% | 11/9/2024 | 3,000 | 2,783,520 | ||||||||
Total | 4,552,252 | |||||||||||
Entertainment 0.32% | ||||||||||||
Eldorado Resorts, Inc. | 6.00% | 9/15/2026 | 1,625 | 1,679,177 | ||||||||
Mohegan Gaming & Entertainment† | 7.875% | 10/15/2024 | 2,045 | 1,973,425 | ||||||||
Scientific Games International, Inc. | 6.625% | 5/15/2021 | 2,493 | 2,527,279 | ||||||||
Scientific Games International, Inc. | 10.00% | 12/1/2022 | 1,141 | 1,201,553 | ||||||||
Total | 7,381,434 |
See Notes to Financial Statements. | 161 |
Schedule of Investments (unaudited)(continued)
INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Environmental Services 0.13% | ||||||||||||
Waste Pro USA, Inc.† | 5.50% | 2/15/2026 | $ | 3,164 | $ | 3,132,360 | ||||||
Financial Services 3.29% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(c) | 3.50% | 1/15/2025 | 7,107 | 7,001,542 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(c) | 3.65% | 7/21/2027 | 5,000 | 4,797,944 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(c) | 4.875% | 1/16/2024 | 2,674 | 2,828,061 | ||||||||
Affiliated Managers Group, Inc. | 3.50% | �� | 8/1/2025 | 541 | 554,707 | |||||||
Affiliated Managers Group, Inc. | 4.25% | 2/15/2024 | 605 | 638,724 | ||||||||
Air Lease Corp. | 3.625% | 4/1/2027 | 6,981 | 6,783,296 | ||||||||
Discover Financial Services | 3.85% | 11/21/2022 | 1,950 | 2,013,982 | ||||||||
Discover Financial Services | 4.10% | 2/9/2027 | 4,115 | 4,167,764 | ||||||||
E*TRADE Financial Corp. | 3.80% | 8/24/2027 | 1,448 | 1,435,537 | ||||||||
E*TRADE Financial Corp. | 4.50% | 6/20/2028 | 2,713 | 2,825,492 | ||||||||
GE Capital International Funding Co. Unlimited Co. (Ireland)(c) | 4.418% | 11/15/2035 | 19,252 | 18,336,078 | ||||||||
International Lease Finance Corp. | 5.875% | 8/15/2022 | 613 | 663,242 | ||||||||
Nationstar Mortgage Holdings, Inc.† | 9.125% | 7/15/2026 | 4,054 | 3,980,460 | ||||||||
Nationstar Mortgage LLC/Nationstar Capital Corp. | 6.50% | 7/1/2021 | 778 | 774,515 | ||||||||
Navient Corp. | 6.75% | 6/25/2025 | 7,825 | 7,952,156 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.50% | 3/15/2027 | 4,123 | 4,276,813 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 5,679 | 5,260,238 | ||||||||
SURA Asset Management SA (Colombia)†(c) | 4.375% | 4/11/2027 | 2,285 | 2,316,442 | ||||||||
Total | 76,606,993 | |||||||||||
Food 0.79% | ||||||||||||
Albertsons Cos LLC/Safeway, Inc./Albertsons LP/Albertson’s LLC | 6.625% | 6/15/2024 | 1,950 | 1,979,250 | ||||||||
Campbell Soup Co. | 3.80% | 8/2/2042 | 3,405 | 2,871,449 | ||||||||
Chobani LLC/Chobani Finance Corp., Inc.† | 7.50% | 4/15/2025 | 1,594 | 1,458,510 | ||||||||
Kraft Heinz Foods Co. | 6.875% | 1/26/2039 | 4,606 | 5,333,223 | ||||||||
Kraft Heinz Foods Co.† | 7.125% | 8/1/2039 | 493 | 587,436 | ||||||||
Smithfield Foods, Inc.† | 3.35% | 2/1/2022 | 975 | 961,264 | ||||||||
Smithfield Foods, Inc.† | 5.20% | 4/1/2029 | 5,000 | 5,307,575 | ||||||||
Total | 18,498,707 |
162 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Health Care Products 0.27% | ||||||||||||
Kinetic Concepts, Inc./KCI USA, Inc.† | 12.50% | 11/1/2021 | $ | 414 | $ | 457,346 | ||||||
Zimmer Biomet Holdings, Inc. | 3.375% | 11/30/2021 | 1,950 | 1,977,643 | ||||||||
Zimmer Biomet Holdings, Inc. | 5.75% | 11/30/2039 | 3,372 | 3,788,813 | ||||||||
Total | 6,223,802 | |||||||||||
Health Care Services 2.08% | ||||||||||||
Centene Corp.† | 5.375% | 6/1/2026 | 3,240 | 3,368,628 | ||||||||
Centene Corp. | 5.625% | 2/15/2021 | 3,547 | 3,591,338 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 4.75% | 10/15/2024 | 5,640 | 5,961,829 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 5.875% | 1/31/2022 | 7,513 | 8,004,599 | ||||||||
Northwell Healthcare, Inc. | 3.979% | 11/1/2046 | 3,786 | 3,861,740 | ||||||||
Polaris Intermediate Corp. PIK 8.50%† | 8.50% | 12/1/2022 | 1,490 | 1,469,513 | ||||||||
Rede D’or Finance Sarl (Luxembourg)†(c) | 4.95% | 1/17/2028 | 1,096 | 1,030,925 | ||||||||
Universal Health Services, Inc.† | 4.75% | 8/1/2022 | 14,038 | 14,125,737 | ||||||||
Universal Health Services, Inc.† | 5.00% | 6/1/2026 | 6,807 | 6,943,140 | ||||||||
Total | 48,357,449 | |||||||||||
Household Equipment/Products 0.12% | ||||||||||||
Newell Brands, Inc. | 3.85% | 4/1/2023 | 1,819 | 1,833,138 | ||||||||
Newell Brands, Inc. | 5.00% | 11/15/2023 | 1,000 | 1,030,709 | ||||||||
Total | 2,863,847 | |||||||||||
Insurance 2.74% | ||||||||||||
American International Group, Inc. | 3.75% | 7/10/2025 | 2,325 | 2,376,770 | ||||||||
Aon Corp. | 8.205% | 1/1/2027 | 5,545 | 6,603,485 | ||||||||
Berkshire Hathaway Finance Corp. | 4.25% | 1/15/2049 | 850 | 916,771 | ||||||||
CNO Financial Group, Inc. | 5.25% | 5/30/2025 | 7,366 | 7,646,829 | ||||||||
Fidelity National Financial, Inc.† | 4.50% | 8/15/2028 | 5,808 | 6,000,538 | ||||||||
Hanover Insurance Group, Inc. (The) | 4.50% | 4/15/2026 | 4,460 | 4,693,861 | ||||||||
Lincoln National Corp. | 6.30% | 10/9/2037 | 2,578 | 3,281,407 | ||||||||
Lincoln National Corp. | 7.00% | 6/15/2040 | 2,518 | 3,437,290 | ||||||||
Protective Life Corp. | 8.45% | 10/15/2039 | 5,103 | 7,455,668 | ||||||||
Selective Insurance Group, Inc. | 5.375% | 3/1/2049 | 3,386 | 3,655,496 | ||||||||
Teachers Insurance & Annuity Association of America† | 4.90% | 9/15/2044 | 11,365 | 13,249,936 | ||||||||
Trinity Acquisition plc (United Kingdom)(c) | 4.625% | 8/15/2023 | 140 | 148,031 | ||||||||
Unum Group | 5.75% | 8/15/2042 | 2,922 | 3,295,200 | ||||||||
Willis North America, Inc. | 7.00% | 9/29/2019 | 989 | 1,001,216 | ||||||||
Total | 63,762,498 |
See Notes to Financial Statements. | 163 |
Schedule of Investments (unaudited)(continued)
INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Investment Management Companies 0.17% | ||||||||||||
BrightSphere Investment Group plc (United Kingdom)(c) | 4.80% | 7/27/2026 | $ | 3,933 | $ | 3,934,147 | ||||||
Leasing 0.51% | ||||||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 5.125% | 10/1/2023 | 1,587 | 1,646,513 | ||||||||
GATX Corp. | 4.55% | 11/7/2028 | 4,845 | 5,121,715 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(c) | 4.50% | 3/15/2023 | 908 | 920,412 | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.† | 3.45% | 7/1/2024 | 3,000 | 3,036,364 | ||||||||
Penske Truck Leasing Co., LP/PTL Finance Corp.† | 3.95% | 3/10/2025 | 1,091 | 1,126,879 | ||||||||
Total | 11,851,883 | |||||||||||
Leisure 1.09% | ||||||||||||
Carnival plc | 7.875% | 6/1/2027 | 5,500 | 7,142,620 | ||||||||
Piaggio & C SpA(a) | 3.625% | 4/30/2025 | EUR | 415 | 478,083 | |||||||
Royal Caribbean Cruises Ltd. | 3.70% | 3/15/2028 | $ | 1,088 | 1,072,717 | |||||||
Royal Caribbean Cruises Ltd. | 5.25% | 11/15/2022 | 3,894 | 4,206,307 | ||||||||
Royal Caribbean Cruises Ltd. | 7.50% | 10/15/2027 | 7,396 | 9,146,158 | ||||||||
Silversea Cruise Finance Ltd.† | 7.25% | 2/1/2025 | 3,039 | 3,277,227 | ||||||||
Total | 25,323,112 | |||||||||||
Lodging 0.04% | ||||||||||||
Studio City Co., Ltd. (Macau)†(c) | 7.25% | 11/30/2021 | 913 | 946,096 | ||||||||
Machinery: Agricultural 0.66% | ||||||||||||
BAT Capital Corp. | 4.39% | 8/15/2037 | 12,975 | 11,888,008 | ||||||||
MHP Lux SA (Luxembourg)†(c) | 6.95% | 4/3/2026 | 2,000 | 1,928,506 | ||||||||
Pyxus International, Inc. | 9.875% | 7/15/2021 | 625 | 532,812 | ||||||||
Reynolds American, Inc. | 4.45% | 6/12/2025 | 996 | 1,035,559 | ||||||||
Total | 15,384,885 | |||||||||||
Machinery: Industrial/Specialty 1.64% | ||||||||||||
CNH Industrial Capital LLC | 4.375% | 4/5/2022 | 9,059 | 9,301,781 | ||||||||
CNH Industrial Capital LLC | 4.875% | 4/1/2021 | 2,925 | 3,014,797 | ||||||||
Kennametal, Inc. | 4.625% | 6/15/2028 | 3,818 | 3,971,809 | ||||||||
Nvent Finance Sarl (Luxembourg)(c) | 4.55% | 4/15/2028 | 10,246 | 10,377,454 | ||||||||
Roper Technologies, Inc. | 3.85% | 12/15/2025 | 3,990 | 4,145,911 | ||||||||
Wabtec Corp. | 4.95% | 9/15/2028 | 7,004 | 7,322,517 | ||||||||
Total | 38,134,269 | |||||||||||
Manufacturing 0.97% | ||||||||||||
Amsted Industries, Inc.†(g) | 5.625% | 7/1/2027 | 1,765 | 1,782,632 | ||||||||
General Electric Co. | 2.70% | 10/9/2022 | 4,765 | 4,717,083 |
164 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Manufacturing (continued) | ||||||||||||
General Electric Co. | 2.945% (3 Mo. LIBOR + .38% | )# | 5/5/2026 | $ | 2,674 | $ | 2,402,442 | |||||
General Electric Co. | 3.10% | 1/9/2023 | 1,496 | 1,496,213 | ||||||||
General Electric Co. | 3.15% | 9/7/2022 | 2,771 | 2,788,371 | ||||||||
General Electric Co. | 3.375% | 3/11/2024 | 605 | 612,770 | ||||||||
General Electric Co. | 3.45% | 5/15/2024 | 492 | 497,569 | ||||||||
General Electric Co. | 5.00% (3 Mo. LIBOR + 3.33% | )# | – | (e) | 1,962 | 1,829,006 | ||||||
General Electric Co. | 5.30% | 2/11/2021 | 2,415 | 2,504,905 | ||||||||
Pentair Finance Sarl (Luxembourg)(c) | 2.65% | 12/1/2019 | 3,855 | 3,850,973 | ||||||||
Total | 22,481,964 | |||||||||||
Media 3.13% | ||||||||||||
Altice Luxembourg SA (Luxembourg)†(c)(g) | 7.75% | 5/15/2022 | 219 | 223,380 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 5.25% | 3/15/2021 | 1,000 | 1,003,125 | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | | 6.484% | | 10/23/2045 | | | 1,515 | | | | 1,710,053 | |
Cox Communications, Inc.† | 4.50% | 6/30/2043 | 1,190 | 1,107,830 | ||||||||
Cox Communications, Inc.† | 4.70% | 12/15/2042 | 410 | 392,306 | ||||||||
Cox Communications, Inc.† | 8.375% | 3/1/2039 | 7,166 | 9,694,620 | ||||||||
Myriad International Holdings BV (Netherlands)†(c) | 6.00% | 7/18/2020 | 8,333 | 8,601,906 | ||||||||
NBCUniversal Enterprise, Inc.† | 5.25% | – | (e) | 14,988 | 15,295,779 | |||||||
Time Warner Cable LLC | 6.55% | 5/1/2037 | 2,560 | 2,838,037 | ||||||||
Time Warner Cable LLC | 7.30% | 7/1/2038 | 12,305 | 14,432,592 | ||||||||
Time Warner Entertainment Co. LP | 8.375% | 7/15/2033 | 4,675 | 6,096,475 | ||||||||
Walt Disney Co. (The)† | 7.75% | 12/1/2045 | 2,994 | 4,876,059 | ||||||||
Warner Media LLC | 6.20% | 3/15/2040 | 5,496 | 6,494,814 | ||||||||
Total | 72,766,976 | |||||||||||
Metal Fabricating 0.08% | ||||||||||||
Valmont Industries, Inc. | 5.25% | 10/1/2054 | 1,946 | 1,881,817 | ||||||||
Metals & Minerals: Miscellaneous 2.60% | ||||||||||||
Anglo American Capital plc (United Kingdom)†(c) | 4.75% | 4/10/2027 | 6,235 | 6,440,014 | ||||||||
Barrick International Barbados Corp. (Barbados)†(c) | 6.35% | 10/15/2036 | 2,799 | 3,414,528 | ||||||||
Barrick North America Finance LLC | 7.50% | 9/15/2038 | 1,810 | 2,316,332 | ||||||||
FMG Resources August 2006 Pty Ltd. (Australia)†(c) | 5.125% | 5/15/2024 | 1,102 | 1,109,681 | ||||||||
Freeport-McMoRan, Inc. | 5.45% | 3/15/2043 | 5,000 | 4,290,000 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(c) | 4.25% | 10/25/2022 | 660 | 683,447 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(c) | 5.55% | 10/25/2042 | 5,774 | 5,673,458 | ||||||||
Glencore Funding LLC† | 2.875% | 4/16/2020 | 203 | 203,715 | ||||||||
Glencore Funding LLC† | 3.00% | 10/27/2022 | 836 | 828,100 |
See Notes to Financial Statements. | 165 |
Schedule of Investments (unaudited)(continued)
INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Metals & Minerals: Miscellaneous (continued) | ||||||||||||
Glencore Funding LLC† | 4.125% | 3/12/2024 | $ | 305 | $ | 310,813 | ||||||
Glencore Funding LLC† | 4.125% | 5/30/2023 | 1,599 | 1,633,416 | ||||||||
Hudbay Minerals, Inc. (Canada)†(c) | 7.25% | 1/15/2023 | 344 | 347,870 | ||||||||
Hudbay Minerals, Inc. (Canada)†(c) | 7.625% | 1/15/2025 | 576 | 574,560 | ||||||||
Indonesia Asahan Aluminium Persero PT (Indonesia)†(c) | 5.23% | 11/15/2021 | 2,000 | 2,089,030 | ||||||||
Joseph T Ryerson & Son, Inc.† | 11.00% | 5/15/2022 | 982 | 1,036,317 | ||||||||
Kinross Gold Corp.(Canada)(c) | 4.50% | 7/15/2027 | 5,828 | 5,492,890 | ||||||||
MMC Norilsk Nickel OJSC via MMC Finance DAC (Ireland)†(c) | 4.10% | 4/11/2023 | 2,300 | 2,297,684 | ||||||||
New Gold, Inc. (Canada)†(c) | 6.25% | 11/15/2022 | 3,000 | 2,565,000 | ||||||||
Newmont Goldcorp Corp.† | 3.625% | 6/9/2021 | 1,950 | 1,977,304 | ||||||||
Newmont Goldcorp Corp.† | 3.70% | 3/15/2023 | 9,259 | 9,527,637 | ||||||||
Southern Copper Corp. (Peru)(c) | 5.25% | 11/8/2042 | 3,885 | 4,030,188 | ||||||||
Teck Resources Ltd. (Canada)†(c) | 8.50% | 6/1/2024 | 1,887 | 2,015,497 | ||||||||
Vedanta Resources Ltd. (India)†(c) | 6.125% | 8/9/2024 | 2,000 | 1,749,323 | ||||||||
Total | 60,606,804 | |||||||||||
Natural Gas 0.63% | ||||||||||||
National Fuel Gas Co. | 3.75% | 3/1/2023 | 6,919 | 7,029,510 | ||||||||
National Fuel Gas Co. | 3.95% | 9/15/2027 | 2,687 | 2,664,615 | ||||||||
National Fuel Gas Co. | 4.90% | 12/1/2021 | 3,887 | 4,034,252 | ||||||||
Southern Star Central Corp.† | 5.125% | 7/15/2022 | 1,041 | 1,056,303 | ||||||||
Total | 14,784,680 | |||||||||||
Oil 6.46% | ||||||||||||
Afren plc (United Kingdom)†(c)(f) | 6.625% | 12/9/2020 | 976 | 8,109 | ||||||||
Afren plc (United Kingdom)†(c)(f) | 10.25% | 4/8/2019 | 2,049 | 17,255 | ||||||||
Antero Resources Corp. | 5.125% | 12/1/2022 | 232 | 230,550 | ||||||||
Apache Corp. | 5.10% | 9/1/2040 | 11,206 | 10,956,824 | ||||||||
Berry Petroleum Co. LLC† | 7.00% | 2/15/2026 | 1,941 | 1,887,623 | ||||||||
Brazos Valley Longhorn LLC/Brazos Valley Longhorn Finance Corp. | 6.875% | 2/1/2025 | 850 | 834,063 | ||||||||
Canadian Natural Resources Ltd. (Canada)(c) | 7.20% | 1/15/2032 | 5,558 | 7,065,645 | ||||||||
Canadian Oil Sands Ltd. (Canada)†(c) | 4.50% | 4/1/2022 | 155 | 160,250 | ||||||||
Carrizo Oil & Gas, Inc. | 6.25% | 4/15/2023 | 1,000 | 928,750 | ||||||||
Carrizo Oil & Gas, Inc. | 8.25% | 7/15/2025 | 761 | 745,780 | ||||||||
Chaparral Energy, Inc.† | 8.75% | 7/15/2023 | 4,170 | 2,481,150 | ||||||||
Cimarex Energy Co. | 4.375% | 3/15/2029 | 4,986 | 5,207,102 | ||||||||
Continental Resources, Inc. | 4.90% | 6/1/2044 | 4,943 | 5,059,897 |
166 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil (continued) | ||||||||||||
Continental Resources, Inc. | 5.00% | 9/15/2022 | $ | 12,444 | $ | 12,551,515 | ||||||
Eni SpA (Italy)†(c) | 5.70% | 10/1/2040 | 11,398 | 12,591,796 | ||||||||
Gazprom OAO via Gaz Capital SA (Luxembourg)†(c) | 4.95% | 2/6/2028 | 4,000 | 4,066,164 | ||||||||
Helmerich & Payne, Inc. | 4.65% | 3/15/2025 | 12,536 | 13,238,855 | ||||||||
HighPoint Operating Corp. | 7.00% | 10/15/2022 | 1,119 | 1,079,835 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 6.25% | 11/1/2028 | 5,784 | 5,820,266 | ||||||||
KazMunayGas National Co. JSC (Kazakhstan)†(c) | 6.375% | 10/24/2048 | 1,800 | 2,038,338 | ||||||||
Kerr-McGee Corp. | 7.875% | 9/15/2031 | 6,505 | 8,751,842 | ||||||||
Laredo Petroleum, Inc. | 5.625% | 1/15/2022 | 2,123 | 1,963,775 | ||||||||
Marathon Petroleum Corp. | 5.375% | 10/1/2022 | 2,000 | 2,033,483 | ||||||||
MEG Energy Corp. (Canada)†(c) | 6.375% | 1/30/2023 | 2,000 | 1,772,500 | ||||||||
MEG Energy Corp. (Canada)†(c) | 6.50% | 1/15/2025 | 152 | 146,824 | ||||||||
Motiva Enterprises LLC† | 5.75% | 1/15/2020 | 7,377 | 7,489,181 | ||||||||
Murphy Oil Corp. | 6.875% | 8/15/2024 | 2,000 | 2,073,835 | ||||||||
Oasis Petroleum, Inc. | 6.875% | 3/15/2022 | 3,815 | 3,702,534 | ||||||||
OGX Austria GmbH (Brazil)†(c)(f) | 8.50% | 6/1/2018 | 1,800 | 36 | ||||||||
Precision Drilling Corp. (Canada)(c) | 5.25% | 11/15/2024 | 2,621 | 2,345,795 | ||||||||
PT Saka Energi Indonesia (Indonesia)†(c) | 4.45% | 5/5/2024 | 4,300 | 4,269,909 | ||||||||
Range Resources Corp. | 5.00% | 8/15/2022 | 1,232 | 1,169,809 | ||||||||
Range Resources Corp. | 5.875% | 7/1/2022 | 402 | 395,970 | ||||||||
Seven Generations Energy Ltd. (Canada)†(c) | 6.875% | 6/30/2023 | 2,545 | 2,576,812 | ||||||||
Tapstone Energy LLC/Tapstone Energy Finance Corp.† | 9.75% | 6/1/2022 | 4,967 | 3,712,832 | ||||||||
Valero Energy Corp. | 7.50% | 4/15/2032 | 275 | 363,236 | ||||||||
Valero Energy Corp. | 10.50% | 3/15/2039 | 7,619 | 12,325,634 | ||||||||
Woodside Finance Ltd. (Australia)†(c) | 4.50% | 3/4/2029 | 5,993 | 6,239,913 | ||||||||
YPF SA (Argentina)†(c) | 6.95% | 7/21/2027 | 2,325 | 2,005,080 | ||||||||
Total | 150,308,767 | |||||||||||
Oil: Crude Producers 4.50% | ||||||||||||
Andeavor Logistics LP | 6.875% | #(d) | – | (e) | 3,600 | 3,588,984 | ||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. | 6.25% | 10/15/2022 | 1,952 | 2,005,680 | ||||||||
Enbridge, Inc. (Canada)(c) | 6.00% (3 Mo. LIBOR + 3.89% | )# | 1/15/2077 | 4,462 | 4,425,032 | |||||||
Energy Transfer Operating LP | 6.25% | 4/15/2049 | 6,945 | 7,769,330 | ||||||||
Energy Transfer Operating LP | 8.25% | 11/15/2029 | 3,202 | 4,024,802 | ||||||||
Energy Transfer Operating LP | 9.00% | 11/1/2024 | 2,110 | 2,469,823 | ||||||||
Energy Transfer Partners LP | 6.125% | 12/15/2045 | 1,073 | 1,167,031 | ||||||||
Energy Transfer Partners LP/Regency Energy Finance Corp. | 5.00% | 10/1/2022 | 275 | 290,330 | ||||||||
Enterprise Products Operating LLC | 7.55% | 4/15/2038 | 1,199 | 1,627,045 |
See Notes to Financial Statements. | 167 |
Schedule of Investments (unaudited)(continued)
INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil: Crude Producers (continued) | ||||||||||||
Florida Gas Transmission Co. LLC† | 3.875% | 7/15/2022 | $ | 2,805 | $ | 2,897,828 | ||||||
Gulfstream Natural Gas System LLC† | 4.60% | 9/15/2025 | 2,190 | 2,352,584 | ||||||||
IFM US Colonial Pipeline 2 LLC† | 6.45% | 5/1/2021 | 6,020 | 6,242,304 | ||||||||
Kinder Morgan, Inc. | 7.75% | 1/15/2032 | 10,942 | 14,388,315 | ||||||||
Midcontinent Express Pipeline LLC† | 6.70% | 9/15/2019 | 6,700 | 6,768,097 | ||||||||
Midwest Connector Capital Co. LLC† | 3.90% | 4/1/2024 | 5,803 | 5,960,964 | ||||||||
NGPL PipeCo LLC† | 4.875% | 8/15/2027 | 2,992 | 3,085,500 | ||||||||
Sabal Trail Transmission LLC† | 4.246% | 5/1/2028 | 2,429 | 2,569,352 | ||||||||
Sabine Pass Liquefaction LLC | 5.625% | 4/15/2023 | 10,183 | 10,978,486 | ||||||||
Sabine Pass Liquefaction LLC | 5.875% | 6/30/2026 | 8,398 | 9,339,804 | ||||||||
Spectra Energy Partners LP | 3.299% (3 Mo. LIBOR + .70% | )# | 6/5/2020 | 3,900 | 3,914,692 | |||||||
Texas Eastern Transmission LP† | 4.125% | 12/1/2020 | 1,950 | 1,990,769 | ||||||||
Williams Cos., Inc. (The) | 8.75% | 3/15/2032 | 4,908 | 6,913,142 | ||||||||
Total | 104,769,894 | |||||||||||
Oil: Integrated Domestic 1.11% | ||||||||||||
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc. | 4.08% | 12/15/2047 | 2,979 | 2,729,066 | ||||||||
Halliburton Co. | 7.45% | 9/15/2039 | 4,134 | 5,433,981 | ||||||||
National Oilwell Varco, Inc. | 3.95% | 12/1/2042 | 5,494 | 4,612,035 | ||||||||
Patterson-UTI Energy, Inc. | 3.95% | 2/1/2028 | 11,622 | 11,255,805 | ||||||||
SESI LLC | 7.125% | 12/15/2021 | 2,296 | 1,722,000 | ||||||||
Total | 25,752,887 | |||||||||||
Paper & Forest Products 0.30% | ||||||||||||
International Paper Co. | 7.30% | 11/15/2039 | 4,664 | 5,976,805 | ||||||||
West Fraser Timber Co. Ltd. (Canada)†(c) | 4.35% | 10/15/2024 | 1,065 | 1,097,444 | ||||||||
Total | 7,074,249 | |||||||||||
Real Estate Investment Trusts 3.09% | ||||||||||||
American Homes 4 Rent LP | 4.25% | 2/15/2028 | 5,564 | 5,650,630 | ||||||||
Brixmor Operating Partnership LP | 3.85% | 2/1/2025 | 4,742 | 4,820,864 | ||||||||
China Evergrande Group (China)(c) | 8.75% | 6/28/2025 | 2,000 | 1,759,485 | ||||||||
Country Garden Holdings Co. Ltd. (China)(c) | 4.75% | 9/28/2023 | 3,325 | 3,205,928 | ||||||||
Country Garden Holdings Co. Ltd. (China)(c) | 4.75% | 1/17/2023 | 875 | 848,896 | ||||||||
EPR Properties | 4.50% | 4/1/2025 | 1,947 | 2,018,533 | ||||||||
EPR Properties | 4.95% | 4/15/2028 | 8,000 | 8,558,776 | ||||||||
GEO Group, Inc. (The) | 6.00% | 4/15/2026 | 5,000 | 4,612,500 | ||||||||
Healthcare Trust of America Holdings LP | 2.95% | 7/1/2022 | 3,566 | 3,575,330 | ||||||||
Hudson Pacific Properties LP | 4.65% | 4/1/2029 | 4,000 | 4,219,721 |
168 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Real Estate Investment Trusts (continued) | ||||||||||||
Hunt Cos., Inc.† | 6.25% | 2/15/2026 | $ | 2,647 | $ | 2,465,019 | ||||||
MPT Operating Partnership LP/MPT Finance Corp. | 5.00% | 10/15/2027 | 5,990 | 5,922,612 | ||||||||
SL Green Operating Partnership LP | 3.25% | 10/15/2022 | 2,088 | 2,092,027 | ||||||||
SL Green Realty Corp. | 4.50% | 12/1/2022 | 1,590 | 1,661,294 | ||||||||
VEREIT Operating Partnership LP | 4.875% | 6/1/2026 | 11,880 | 12,626,708 | ||||||||
WeWork Cos., Inc.† | 7.875% | 5/1/2025 | 3,238 | 2,995,150 | ||||||||
Weyerhaeuser Co. | 8.50% | 1/15/2025 | 3,940 | 4,993,738 | ||||||||
Total | 72,027,211 | |||||||||||
Retail 0.82% | ||||||||||||
Dollar Tree, Inc. | 4.20% | 5/15/2028 | 5,035 | 5,092,509 | ||||||||
McDonald’s Corp. | 6.30% | 10/15/2037 | 467 | 594,289 | ||||||||
McDonald’s Corp. | 6.30% | 3/1/2038 | 2,506 | 3,182,821 | ||||||||
Starbucks Corp. | 3.55% | 8/15/2029 | 7,977 | 8,113,621 | ||||||||
Yum! Brands, Inc. | 6.875% | 11/15/2037 | 1,949 | 2,017,215 | ||||||||
Total | 19,000,455 | |||||||||||
Savings & Loan 0.25% | ||||||||||||
People’s United Financial, Inc. | 3.65% | 12/6/2022 | 5,613 | 5,766,311 | ||||||||
Steel 0.13% | ||||||||||||
Vale Overseas Ltd. (Brazil)(c) | 6.25% | 8/10/2026 | 2,747 | 3,002,883 | ||||||||
Technology 2.19% | ||||||||||||
Alibaba Group Holding Ltd.(China)(c) | 3.40% | 12/6/2027 | 5,000 | 4,943,763 | ||||||||
Baidu, Inc. (China)(c) | 3.625% | 7/6/2027 | 4,500 | 4,412,718 | ||||||||
Baidu, Inc. (China)(c) | 3.875% | 9/29/2023 | 9,000 | 9,214,443 | ||||||||
Expedia Group, Inc. | 3.80% | 2/15/2028 | 2,911 | 2,914,522 | ||||||||
Expedia Group, Inc. | 5.00% | 2/15/2026 | 3,920 | 4,230,463 | ||||||||
Netflix, Inc.(a) | 3.625% | 5/15/2027 | EUR | 5,900 | 6,811,561 | |||||||
Tencent Holdings Ltd. (China)†(c) | 3.595% | 1/19/2028 | $ | 18,700 | 18,511,197 | |||||||
Total | 51,038,667 | |||||||||||
Telecommunications 3.02% | ||||||||||||
AT&T, Inc. | 5.35% | 9/1/2040 | 889 | 958,838 | ||||||||
AT&T, Inc. | 6.00% | 8/15/2040 | 23,671 | 27,129,628 | ||||||||
AT&T, Inc. | 6.35% | 3/15/2040 | 7,542 | 9,025,521 | ||||||||
Level 3 Parent LLC | 5.75% | 12/1/2022 | 3,001 | 3,016,005 | ||||||||
Oztel Holdings SPC Ltd. (United Arab Emirates)†(c) | 6.625% | 4/24/2028 | 1,975 | 1,919,426 | ||||||||
T-Mobile USA, Inc. | 6.00% | 4/15/2024 | 2,395 | 2,490,800 | ||||||||
Telefonica Emisiones SA (Spain)(c) | 5.52% | 3/1/2049 | 4,000 | 4,278,547 |
See Notes to Financial Statements. | 169 |
Schedule of Investments (unaudited)(continued)
INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Telecommunications (continued) | ||||||||||||
U.S. Cellular Corp. | 6.70% | 12/15/2033 | $ | 2,459 | $ | 2,594,245 | ||||||
Verizon Communications, Inc. | 3.618% (3 Mo. LIBOR + 1.10% | )# | 5/15/2025 | 5,889 | 5,931,439 | |||||||
Verizon Communications, Inc. | 4.862% | 8/21/2046 | 3,000 | 3,311,135 | ||||||||
Vodafone Group plc (United Kingdom)(c) | 3.75% | 1/16/2024 | 1,000 | 1,026,403 | ||||||||
Vodafone Group plc (United Kingdom)(c) | 4.375% | 5/30/2028 | 8,345 | 8,709,615 | ||||||||
Total | 70,391,602 | |||||||||||
Toys 0.10% | ||||||||||||
Mattel, Inc. | 2.35% | 8/15/2021 | 325 | 307,125 | ||||||||
Mattel, Inc.† | 6.75% | 12/31/2025 | 2,000 | 1,974,420 | ||||||||
Total | 2,281,545 | |||||||||||
Transportation: Miscellaneous 0.47% | ||||||||||||
Burlington Northern Santa Fe LLC | 6.15% | 5/1/2037 | 2,449 | 3,211,705 | ||||||||
Canadian National Railway Co. (Canada)(c) | 7.375% | 10/15/2031 | 118 | 163,594 | ||||||||
Canadian Pacific Railway Co. (Canada)(c) | 7.125% | 10/15/2031 | 435 | 590,123 | ||||||||
Canadian Pacific Railway Co. (Canada)(c) | 9.45% | 8/1/2021 | 500 | 569,332 | ||||||||
CSX Corp. | 6.00% | 10/1/2036 | 46 | 56,246 | ||||||||
CSX Transportation, Inc. | 7.875% | 5/15/2043 | 11 | 16,986 | ||||||||
FedEx Corp. | 4.95% | 10/17/2048 | 2,594 | 2,705,508 | ||||||||
Navios South American Logistics, Inc./Navios Logistics Finance US, Inc. (Uruguay)†(c) | | 7.25% | | 5/1/2022 | | | 973 | | | | 878,132 | |
Norfolk Southern Corp. | 5.59% | 5/17/2025 | 2,283 | 2,608,908 | ||||||||
Union Pacific Corp. | 6.625% | 2/1/2029 | 65 | 81,962 | ||||||||
Total | 10,882,496 | |||||||||||
Total Corporate Bonds (cost $1,731,402,387) | 1,757,203,337 | |||||||||||
FLOATING RATE LOANS(h)1.10% | ||||||||||||
Business Services 0.20% | ||||||||||||
United Rentals, Inc. Initial Term Loan | 4.189% (1 Mo. LIBOR + 1.75% | ) | 10/31/2025 | 1,658 | 1,658,631 | |||||||
Worldpay, LLC 2018 1st Lien Term Loan B4 | 4.146% (1 Wk. LIBOR + 1.75% | ) | 8/9/2024 | 1,973 | 1,974,237 | |||||||
Worldpay, LLC 2018 New Term Loan A5 | 3.896% (1 Wk. LIBOR + 1.50% | ) | 1/16/2023 | 939 | 939,047 | |||||||
Total | 4,571,915 |
170 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Power 0.03% | ||||||||||||
PG&E Corp. DIP Delayed Draw Term Loan | 1.125% (3 Mo. LIBOR + 1.125% | ) | 12/31/2020 | $ | 147 | $ | 147,735 | |||||
PG&E Corp. DIP Initial Term Loan | 4.74% (3 Mo. LIBOR + 2.25% | ) | 12/31/2020 | 441 | 443,205 | |||||||
Total | 590,940 | |||||||||||
Electrical Equipment 0.05% | ||||||||||||
Microchip Technology Inc. Initial Term Loan | 4.44% (1 Mo. LIBOR + 2.00% | ) | 5/29/2025 | 1,189 | 1,188,261 | |||||||
Health Care Services 0.03% | ||||||||||||
DaVita, Inc. Tranche B Term Loan | 5.189% (1 Mo. LIBOR + 2.75% | ) | 6/24/2021 | 622 | 623,133 | |||||||
Investment Management Companies 0.14% | ||||||||||||
RPI Finance Trust Initial Term Loan B6 | 4.439% (1 Mo. LIBOR + 2.00% | ) | 3/27/2023 | 3,358 | 3,360,247 | |||||||
Lodging 0.28% | ||||||||||||
Wyndham Hotels & Resorts, Inc. Term Loan B | 4.189% (1 Mo. LIBOR + 1.75% | ) | 5/30/2025 | 6,499 | 6,476,595 | |||||||
Machinery: Industrial/Specialty 0.04% | ||||||||||||
Colfax Corporation Term Loan A2 | 4.189% (1 Mo. LIBOR + 1.75% | ) | 12/17/2020 | 1,000 | 1,000,000 | (i) | ||||||
Metal Fabricating 0.05% | ||||||||||||
Doncasters US Finance LLC 2nd Lien Term Loan | 10.851% (3 Mo. LIBOR + 8.25% | ) | 10/9/2020 | 959 | 275,847 | |||||||
Doncasters US Finance LLC Term Loan B | 6.101% (3 Mo. LIBOR + 3.50% | ) | 4/9/2020 | 1,388 | 993,538 | |||||||
Total | 1,269,385 | |||||||||||
Miscellaneous 0.08% | ||||||||||||
Utex Industries, Inc. 1st Lien Initial Term Loan | 6.439% (1 Mo. LIBOR + 4.00% | ) | 5/22/2021 | 720 | 694,372 | (i) | ||||||
Utex Industries, Inc. 2nd Lien Initial Term Loan | 9.689% (1 Mo. LIBOR + 7.25% | ) | 5/22/2022 | 1,275 | 1,196,116 | (i) | ||||||
Total | 1,890,488 | |||||||||||
Retail 0.16% | ||||||||||||
Comfort Holding LLC 2nd Lien Initial Term Loan | 12.439% (1 Mo. LIBOR + 10.00% | ) | 2/3/2025 | 2,300 | 2,285,625 | (i) | ||||||
Panera Bread Co. Term Loan | 4.25% (1 Mo. LIBOR + 1.75% | ) | 7/18/2022 | 1,460 | 1,431,632 | |||||||
Total | 3,717,257 |
See Notes to Financial Statements. | 171 |
Schedule of Investments (unaudited)(continued)
INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Technology 0.04% | ||||||||||||
Symantec Corporation Term Loan A5 | 4.18% (1 Mo. LIBOR + 1.75% | ) | 8/1/2021 | $ | 1,000 | $ | 998,125 | (i) | ||||
Total Floating Rate Loans (cost $26,831,669) | 25,686,346 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS 0.54% | ||||||||||||
Argentina 0.12% | ||||||||||||
Republic of Argentina(c) | 4.625% | 1/11/2023 | 3,736 | 2,764,677 | ||||||||
Bahamas 0.07% | ||||||||||||
Commonwealth of Bahamas†(c) | 6.95% | 11/20/2029 | 1,486 | 1,647,603 | ||||||||
Bermuda 0.35% | ||||||||||||
Government of Bermuda† | 3.717% | 1/25/2027 | 8,090 | 8,150,675 | ||||||||
Total Foreign Government Obligations (cost $13,525,963) | 12,562,955 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 0.49% | ||||||||||||
Federal Home Loan Mortgage Corp. 1020 S IO(j) | 900.95% | #(k) | 12/15/2020 | – | (l) | 76 | ||||||
Federal Home Loan Mortgage Corp. 1032 O IO(j) | 544.714% | 12/15/2020 | – | (l) | 102 | |||||||
Federal Home Loan Mortgage Corp. 1046 I IO(j) | 1009.00% | 2/15/2021 | – | (l) | 24 | |||||||
Federal Home Loan Mortgage Corp. 1049 N IO(j) | 1010.50% | 2/15/2021 | – | (l) | 18 | |||||||
Federal Home Loan Mortgage Corp. 1058 I IO(j) | 1008.50% | 4/15/2021 | – | (l) | 29 | |||||||
Federal Home Loan Mortgage Corp. 1059 U IO(j) | 409.00% | 4/15/2021 | – | (l) | 58 | |||||||
Federal Home Loan Mortgage Corp. 1066 S IO(j) | 1195.607% | 4/15/2021 | – | (l) | 211 | |||||||
Federal Home Loan Mortgage Corp. 1082 D IO(j) | 1007.78% | 5/15/2021 | – | (l) | 64 | |||||||
Federal Home Loan Mortgage Corp. 1095 A PO | – | (m) | 6/15/2021 | – | (l) | 311 | ||||||
Federal Home Loan Mortgage Corp. 1137 M IO(j) | 1185.497% | 9/15/2021 | – | (l) | 86 | |||||||
Federal Home Loan Mortgage Corp. 1148 F PO | – | (m) | 10/15/2021 | – | (l) | 275 | ||||||
Federal Home Loan Mortgage Corp. 1180 G IO(j) | 1008.40% | 11/15/2021 | – | (l) | 126 | |||||||
Federal Home Loan Mortgage Corp. 1200 IB IO(j) | 1007.00% | 2/15/2022 | – | (l) | 35 | |||||||
Federal Home Loan Mortgage Corp. 1241 X IO(j) | 982.654% | 4/15/2022 | – | (l) | 44 | |||||||
Federal Home Loan Mortgage Corp. 1363 B PO | – | (m) | 8/15/2022 | 11 | 10,417 | |||||||
Federal Home Loan Mortgage Corp. 1372 C PO | – | (m) | 9/15/2022 | 2 | 1,881 | |||||||
Federal Home Loan Mortgage Corp. 141 A PO | – | (m) | 7/1/2022 | – | (l) | 257 | ||||||
Federal National Mortgage Assoc. 133 1 PO | – | (m) | 4/25/2022 | – | (l) | 303 | ||||||
Federal National Mortgage Assoc. 1991-158 E IO(j) | 1008.00% | #(k) | 12/25/2021 | – | (l) | 108 | ||||||
Federal National Mortgage Assoc. 94 2 IO(j) | 9.50% | 8/25/2021 | 1 | 47 | ||||||||
Government National Mortgage Assoc. 2013-48 IO(j) | 0.623% | #(k) | 7/16/2054 | 14,607 | 627,774 | |||||||
Government National Mortgage Assoc. 2017-41 AS | 2.60% | 6/16/2057 | 4,943 | 4,854,773 |
172 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | ||||||||||||
Government National Mortgage Assoc. 2017-86 AS | 2.75% | 2/16/2058 | $ | 2,021 | $ | 2,015,187 | ||||||
Government National Mortgage Assoc. 2017-89 AB | 2.60% | 7/16/2058 | 1,687 | 1,671,921 | ||||||||
Government National Mortgage Assoc. 2017-90 AS | 2.70% | 7/16/2057 | 2,316 | 2,303,749 | ||||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $11,503,500) | 11,487,876 | |||||||||||
MUNICIPAL BONDS 0.56% | ||||||||||||
Miscellaneous | ||||||||||||
Illinois | 5.10% | 6/1/2033 | 1,935 | 1,998,081 | ||||||||
Illinois | 5.52% | 4/1/2038 | 660 | 680,249 | ||||||||
North Texas Tollway Auth | 8.41% | 2/1/2030 | 1,950 | 2,536,989 | ||||||||
North Texas Tollway Auth | 8.91% | 2/1/2030 | 7,500 | 7,804,500 | ||||||||
Total Municipal Bonds (cost $12,311,579) | 13,019,819 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 1.56% | ||||||||||||
Caesars Palace Las Vegas Trust 2017-VICI A† | 3.531% | 10/15/2034 | 5,744 | 5,927,763 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI B† | 3.835% | 10/15/2034 | 3,513 | 3,634,273 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI C† | 4.138% | 10/15/2034 | 2,103 | 2,186,996 | ||||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 C | 4.44% | #(k) | 7/10/2050 | 1,776 | 1,826,046 | |||||||
Credit Suisse Mortgage Capital Certificates 2014-USA E† | 4.373% | 9/15/2037 | 2,000 | 1,873,803 | ||||||||
DBWF Mortgage Trust 2018-AMXP D† | 3.791% | #(k) | 5/5/2035 | 5,497 | 5,632,748 | |||||||
GAHR Commercial Mortgage Trust 2015-NRF DFX† | 3.382% | #(k) | 12/15/2034 | 1,472 | 1,465,472 | |||||||
GS Mortgage Securities Corp. Trust 2018-FBLU E† | 5.19% (1 Mo. LIBOR + 2.75% | )# | 11/15/2035 | 4,226 | 4,230,842 | |||||||
GS Mortgage Securities Trust 2013-GC12 XA IO(j) | 1.425% | #(k) | 6/10/2046 | 22,217 | 1,026,046 | |||||||
GS Mortgage Securities Trust 2013-GC12 XB IO(j) | 0.517% | #(k) | 6/10/2046 | 47,400 | 955,399 | |||||||
GS Mortgage Securities Trust 2015-GC32 C | 4.41% | #(k) | 7/10/2048 | 1,022 | 1,070,450 | |||||||
GS Mortgage Securities Trust 2015-GS1 XB IO(j) | 0.183% | #(k) | 11/10/2048 | 30,000 | 405,600 | |||||||
Hudsons Bay Simon JV Trust 2015-HB10 XB10 IO†(j) | 0.541% | #(k) | 8/5/2034 | 16,028 | 528,603 | |||||||
Hudsons Bay Simon JV Trust 2015-HB7 XB7 IO†(j) | 0.493% | #(k) | 8/5/2034 | 18,308 | 294,576 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XA IO(j) | 0.799% | #(k) | 4/15/2047 | 3,553 | 84,241 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XB IO(j) | 0.303% | #(k) | 4/15/2047 | 1,896 | 30,040 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C30 C | 4.269% | #(k) | 7/15/2048 | 1,674 | 1,728,330 | |||||||
Merrill Lynch Mortgage Investors Trust 2006-AF2 AF1 | 6.25% | 10/25/2036 | 771 | 667,140 |
See Notes to Financial Statements. | 173 |
Schedule of Investments (unaudited)(continued)
INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Sequoia Mortgage Trust 2012-4 A3 | 2.069% | #(k) | 9/25/2042 | $ | 351 | $ | 340,873 | |||||
Wells Fargo Commercial Mortgage Trust 2013-LC12 D† | 4.286% | #(k) | 7/15/2046 | 2,256 | 2,004,012 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C20 XA IO(j) | 0.977% | #(k) | 5/15/2047 | 10,929 | 417,700 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C20 XB IO(j) | 0.575% | #(k) | 5/15/2047 | 2,617 | 74,043 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $35,390,803) | 36,404,996 | |||||||||||
Dividend Rate | Shares (000) | |||||||||||
PREFERRED STOCKS 0.13% | ||||||||||||
ELECTRIC: POWER 0.13% | ||||||||||||
SCE Trust III | 5.75% | # | 120 | 2,890,732 | ||||||||
Oil 0.00% | ||||||||||||
Templar Energy LLC | 92 | – | (b) | |||||||||
Total Preferred Stocks (cost $3,857,377) | 2,890,732 | |||||||||||
Principal Amount (000) | ||||||||||||
U.S. TREASURY OBLIGATIONS 3.01% | ||||||||||||
U.S. Treasury Bond | 2.75% | 11/15/2047 | $ | 1,446 | 1,496,667 | |||||||
U.S. Treasury Bond | 3.00% | 2/15/2049 | 2,983 | 3,248,324 | ||||||||
U.S. Treasury Note | 2.00% | 5/31/2024 | 45,746 | 45,924,695 | ||||||||
U.S. Treasury Note | 2.50% | 5/15/2029 | 14,069 | 14,370,714 | ||||||||
U.S. Treasury Note | 2.875% | 11/15/2021 | 4,974 | 5,087,955 | ||||||||
Total U.S. Treasury Obligations (cost $68,979,317) | 70,128,355 | |||||||||||
Total Long-Term Investments (cost $2,084,702,656) | 2,107,688,138 | |||||||||||
SHORT-TERM INVESTMENTS 9.09% | ||||||||||||
Commercial Paper 5.91% | ||||||||||||
Aerospace/Defense 0.01% | ||||||||||||
Northrop Grumman Corp. | 2.742% | 6/19/2019 | 250 | 249,700 | ||||||||
Auto Parts: Original Equipment 0.31% | ||||||||||||
Autoliv ASP, Inc. | 2.761% | 6/3/2019 | 1,412 | 1,412,000 | ||||||||
Autoliv ASP, Inc. | 2.764% | 6/27/2019 | 3,728 | 3,721,240 | ||||||||
Autoliv ASP, Inc. | 2.772% | 6/7/2019 | 2,000 | 1,999,393 | ||||||||
Total | 7,132,633 |
174 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automotive 0.56% | ||||||||||||
General Motors Financial Co., Inc. | 2.779% | 6/3/2019 | $ | 5,538 | $ | 5,538,000 | ||||||
Nissan Motor Acceptance Corp. | 2.89% | 8/26/2019 | 7,500 | 7,453,165 | ||||||||
Total | 12,991,165 | |||||||||||
Chemicals 0.28% | ||||||||||||
Dow Chemical Co. | 2.69% | 6/14/2019 | 250 | 249,798 | ||||||||
FMC Corp. | 2.999% | 6/10/2019 | 2,250 | 2,248,709 | ||||||||
Sherwin Williams Co. | 2.721% | 6/19/2019 | 914 | 912,911 | ||||||||
Sherwin Williams Co. | 2.74% | 6/11/2019 | 3,032 | 3,030,181 | ||||||||
Total | 6,441,599 | |||||||||||
Containers 0.18% | ||||||||||||
Bemis Co., Inc. | 2.799% | 6/3/2019 | 1,685 | 1,685,000 | ||||||||
WESTROCK Co. | 2.637% | 6/4/2019 | 2,570 | 2,569,814 | ||||||||
Total | 4,254,814 | |||||||||||
Drugs 0.22% | ||||||||||||
CIGNA Corp. | 2.703% | 6/26/2019 | 5,176 | 5,167,204 | ||||||||
Electric: Power 0.05% | ||||||||||||
Hawaiian Electric Co. | 2.779% | 6/4/2019 | 348 | 347,973 | ||||||||
Hawaiian Electric Co. | 2.79% | 6/4/2019 | 750 | 749,943 | ||||||||
Total | 1,097,916 | |||||||||||
Electronics 0.39% | ||||||||||||
Arrow Electronics, Inc. | 2.872% | 6/3/2019 | 1,135 | 1,135,000 | ||||||||
Arrow Electronics, Inc. | 2.947% | 6/20/2019 | 2,076 | 2,073,157 | ||||||||
Arrow Electronics, Inc. | 2.948% | 6/5/2019 | 1,000 | 999,839 | ||||||||
Arrow Electronics, Inc. | 2.999% | 6/4/2019 | 2,000 | 1,999,836 | ||||||||
Arrow Electronics, Inc. | 2.999% | 6/5/2019 | 1,000 | 999,836 | ||||||||
Arrow Electronics, Inc. | 3.00% | 6/4/2019 | 2,000 | 1,999,836 | ||||||||
Total | 9,207,504 | |||||||||||
Financial Services 0.32% | ||||||||||||
Nasdaq, Inc. | 2.85% | 6/20/2019 | 6,147 | 6,138,873 | ||||||||
Syngenta Wilmington, Inc. | 3.152% | 6/20/2019 | 1,252 | 1,250,167 | ||||||||
Total | 7,389,040 | |||||||||||
Food 0.51% | ||||||||||||
Campbell Soup Co. | 2.773% | 6/19/2019 | 5,169 | 5,162,728 | ||||||||
Campbell Soup Co. | 2.773% | 6/20/2019 | 5,937 | 5,929,346 | ||||||||
Campbell Soup Co. | 2.974% | 9/5/2019 | 872 | 865,513 | ||||||||
Total | 11,957,587 |
See Notes to Financial Statements. | 175 |
Schedule of Investments (unaudited)(continued)
INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Health Care Products 0.37% | ||||||||||||
Boston Scientific Corp. | 2.871% | 7/23/2019 | $ | 2,728 | $ | 2,717,315 | ||||||
Boston Scientific Corp. | 2.872% | 7/23/2019 | 4,566 | 4,548,117 | ||||||||
Boston Scientific Corp. | 2.91% | 8/29/2019 | 957 | 950,409 | ||||||||
Boston Scientific Corp. | 2.93% | 8/12/2019 | 321 | 319,224 | ||||||||
Total | 8,535,065 | |||||||||||
Leasing 0.04% | ||||||||||||
Aviation Capital Group Corp. | 2.743% | 6/12/2019 | 1,000 | 999,325 | ||||||||
Leisure 0.22% | ||||||||||||
Royal Caribbean Cruises Ltd. | 2.842% | 6/7/2019 | 250 | 249,922 | ||||||||
Royal Caribbean Cruises Ltd. | 3.021% | 6/7/2019 | 2,000 | 1,999,340 | ||||||||
Royal Caribbean Cruises Ltd. | 3.021% | 6/10/2019 | 3,000 | 2,998,268 | ||||||||
Total | 5,247,530 | |||||||||||
Machinery: Agricultural 0.26% | ||||||||||||
BAT International Finance plc | 2.962% | 7/29/2019 | 3,000 | 2,986,467 | ||||||||
BAT International Finance plc | 2.962% | 7/30/2019 | 3,000 | 2,986,225 | ||||||||
Total | 5,972,692 | |||||||||||
Manufacturing 0.15% | ||||||||||||
Pentair Finance | 3.043% | 6/5/2019 | 2,000 | 1,999,667 | ||||||||
Pentair Finance | 3.043% | 6/6/2019 | 435 | 434,891 | ||||||||
Pentair Finance | 3.075% | 6/4/2019 | 435 | 434,963 | ||||||||
Pentair Finance | 3.096% | 6/13/2019 | 652 | 651,448 | ||||||||
Total | 3,520,969 | |||||||||||
Media 0.05% | ||||||||||||
Viacom, Inc. | 2.687% | 6/3/2019 | 1,088 | 1,088,000 | ||||||||
Metals & Minerals: Miscellaneous 0.13% | ||||||||||||
Glencore Funding LLC | 2.896% | 6/17/2019 | 3,100 | 3,096,564 | ||||||||
Natural Gas 0.35% | ||||||||||||
Sempra Energy | 2.67% | 6/18/2019 | 6,106 | 6,099,309 | ||||||||
Sempra Energy | 2.68% | 6/10/2019 | 2,000 | 1,998,973 | ||||||||
Total | 8,098,282 | |||||||||||
Oil 0.17% | ||||||||||||
Encana Corp. | 3.089% | 8/1/2019 | 2,000 | 1,990,641 | ||||||||
Noble Energy, Inc. | 2.932% | 6/6/2019 | 1,956 | 1,955,529 | ||||||||
Total | 3,946,170 |
176 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil: Crude Producers 1.13% | ||||||||||||
Enable Midstream Partners LP | 3.118% | 6/7/2019 | $ | 1,000 | $ | 999,659 | ||||||
Enbridge, Inc. | 2.668% | 6/3/2019 | 373 | 373,000 | ||||||||
Enbridge, Inc. | 2.852% | 7/18/2019 | 2,292 | 2,283,978 | ||||||||
Enbridge, Inc. | 2.853% | 7/22/2019 | 1,375 | 1,369,760 | ||||||||
Enbridge, Inc. | 2.863% | 7/24/2019 | 2,164 | 2,155,385 | ||||||||
Energy Transfer Partners | 3.042% | 6/3/2019 | 11,298 | 11,298,000 | ||||||||
Energy Transfer Partners | 3.076% | 6/3/2019 | 4,095 | 4,095,000 | ||||||||
Williams Cos., Inc. (The) | 2.718% | 6/3/2019 | 3,678 | 3,678,000 | ||||||||
Total | 26,252,782 | |||||||||||
Real Estate Investment Trusts 0.20% | ||||||||||||
Welltower, Inc. | 2.734% | 6/28/2019 | 4,697 | 4,688,226 | ||||||||
Retail 0.01% | ||||||||||||
RH | – | (m) | 6/15/2019 | 172 | 171,695 | |||||||
Total Commercial Paper (cost $137,502,996) | 137,506,462 | |||||||||||
Corporate Bonds 1.07% | ||||||||||||
Electric: Power 0.43% | ||||||||||||
Entergy Corp. | 2.616% | 6/3/2019 | 6,393 | 6,393,000 | ||||||||
KCP&L Greater Missouri Operations Co. | 2.637% | 6/3/2019 | 3,536 | 3,536,000 | ||||||||
Total | 9,929,000 | |||||||||||
Electronics 0.31% | ||||||||||||
Hitachi Capital America Corp. | 2.616% | 6/3/2019 | 7,133 | 7,133,000 | ||||||||
Machinery: Agricultural 0.31% | ||||||||||||
Bunge Asset Funding Corp. | 2.687% | 6/3/2019 | 7,365 | 7,365,000 | ||||||||
Natural Gas 0.02% | ||||||||||||
Nisource, Inc. | 2.616% | 6/3/2019 | 498 | 498,000 | ||||||||
Total Corporate Bonds (cost $24,925,000) | 24,925,000 |
See Notes to Financial Statements. | 177 |
Schedule of Investments (unaudited)(continued)
INCOME FUNDMay 31, 2019
Investments | Principal Amount (000) | Fair Value | ||||||||||
REPURCHASE AGREEMENTS 2.11% | ||||||||||||
Repurchase Agreement dated 5/31/2019, 1.45% due 6/3/2019 with Fixed Income Clearing Corp. collateralized by $20,485,000 of U.S. Treasury Note at 2.25% due 3/31/2021; value: $20,613,257; proceeds: $20,210,196 | $ | 20,208 | $ | 20,207,755 | ||||||||
Repurchase Agreement dated 5/31/2019, 2.35% due 6/3/2019 with JPMorgan Chase & Co. collateralized by $29,590,000 of Federal Home Loan Bank at 2.26% due 10/4/2022; value: $29,621,185; proceeds: $29,005,679 | 29,000 | 29,000,000 | ||||||||||
Total Repurchase Agreements (cost $49,207,755) | 49,207,755 | |||||||||||
Total Short-Term Investments (cost $211,635,751) | 211,639,217 | |||||||||||
Total Investments in Securities 99.62% (cost $2,296,338,407) | 2,319,327,355 | |||||||||||
Less Unfunded Commitment (0.00)% (cost $147,000) | (147,735 | ) | ||||||||||
Net Investment 99.62% (cost $2,296,191,407) | 2,319,179,620 | |||||||||||
Cash, Foreign Cash and Other Assets in Excess of Liabilities(n)0.38% | 8,903,148 | |||||||||||
Net Assets 100.00% | $ | 2,328,082,768 |
BRL | Brazilian real. | |
EUR | euro. | |
MXN | Mexican peso. | |
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, 2019. | |
* | Non-income producing security. | |
(a) | Investment in non-U.S. dollar denominated securities. | |
(b) | Level 3 Investment as described in Note 2(t) in the Notes to Financials. Security fair valued by the Pricing Committee. | |
(c) | Foreign security traded in U.S. dollars. | |
(d) | Variable Rate is Fixed to Float: Rate remains fixed until designated future date. | |
(e) | Security is perpetual in nature and has no stated maturity. | |
(f) | Defaulted (non-income producing security). | |
(g) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(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, 2019. | |
(i) | Level 3 Investment as described in Note 2(t) 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. |
178 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INCOME FUNDMay 31, 2019
(j) | 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. | |
(k) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(l) | Amount is less than $1,000. | |
(m) | Interest rate to be determined. | |
(n) | Cash, Foreign 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: |
Credit Default Swaps on Indexes - Buy Protection at May 31, 2019(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 | $ | 8,821,758 | $403,256 | $(458,498 | ) | $(55,242 | ) |
* | 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 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 on Indexes amounted to $0. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $(458,498). | |
(4) | Includes upfront payments paid. |
Open Forward Foreign Currency Exchange Contracts at May 31, 2019:
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 | J.P. Morgan | 6/7/2019 | 5,966,000 | $ | 6,797,860 | $ | 6,666,552 | $ | 131,308 | ||||||||||||
Mexican peso | Sell | State Street Bank and Trust | 8/14/2019 | 31,000,000 | 1,601,583 | 1,563,004 | 38,579 | |||||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 169,887 | ||||||||||||||||||||
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 | 9/9/2019 | 2,000,000 | $ | 2,251,918 | $ | 2,252,199 | $ | (281 | ) |
See Notes to Financial Statements. | 179 |
Schedule of Investments (unaudited)(continued)
INCOME FUNDMay 31, 2019
Open Futures Contracts at May 31, 2019:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||
U.S. 2-Year Treasury Note | September 2019 | 811 | Long | $ | 173,511,155 | $ | 174,098,891 | $ | 587,736 | |||||||||
U.S. 5-Year Treasury Note | September 2019 | 2,757 | Long | 321,669,308 | 323,581,337 | 1,912,029 | ||||||||||||
U.S. Long Bond | September 2019 | 216 | Long | 32,926,882 | 33,203,250 | 276,368 | ||||||||||||
U.S. Ultra Treasury Bond | September 2019 | 171 | Long | 29,651,429 | 30,058,594 | 407,165 | ||||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 3,183,298 | ||||||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||
Euro-Schatz | June 2019 | 92 | Short | EUR | (10,287,737) | EUR | (10,312,740) | $ | (27,932) | |||||||||
U.S. 10-Year Treasury Note | September 2019 | 613 | Short | $ | (77,112,415) | $ | (77,697,750) | (585,335) | ||||||||||
U.S. 10-Year Ultra Treasury Bond | September 2019 | 899 | Short | (121,576,041) | (122,755,641) | (1,179,600) | ||||||||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (1,792,867) |
The following is a summary of the inputs used as of May 31, 2019 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 | $ | – | $ | 177,636,203 | $ | – | $ | 177,636,203 | ||||||||
Common Stocks | ||||||||||||||||
Electric: Power | – | 14,833 | – | 14,833 | ||||||||||||
Oil | 324,750 | 26,866 | – | 351,616 | ||||||||||||
Convertible Bond | – | 301,070 | – | 301,070 | ||||||||||||
Corporate Bonds | – | 1,757,203,337 | – | 1,757,203,337 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Machinery: Industrial/Specialty | – | – | 1,000,000 | 1,000,000 | ||||||||||||
Miscellaneous | – | – | 1,890,488 | 1,890,488 | ||||||||||||
Retail | – | 1,431,632 | 2,285,625 | 3,717,257 | ||||||||||||
Technology | – | – | 998,125 | 998,125 | ||||||||||||
Remaining Industries | – | 18,080,476 | – | 18,080,476 | ||||||||||||
Less: Unfunded Commitments | – | (147,735 | ) | – | (147,735 | ) | ||||||||||
Foreign Government Obligations | – | 12,562,955 | – | 12,562,955 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 11,487,876 | – | 11,487,876 | ||||||||||||
Municipal Bonds | – | 13,019,819 | – | 13,019,819 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 36,404,996 | – | 36,404,996 | ||||||||||||
Preferred Stocks(3) | – | 2,890,732 | – | 2,890,732 | ||||||||||||
U.S. Treasury Obligations | – | 70,128,355 | – | 70,128,355 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | – | 137,506,462 | – | 137,506,462 | ||||||||||||
Corporate Bonds | – | 24,925,000 | – | 24,925,000 | ||||||||||||
Repurchase Agreements | – | 49,207,755 | – | 49,207,755 | ||||||||||||
Total | $ | 324,750 | $ | 2,312,680,632 | $ | 6,174,238 | $ | 2,319,179,620 |
180 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(concluded)
INCOME FUNDMay 31, 2019
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | – | $ | – | $ | – | ||||||||
Liabilities | – | (55,242 | ) | – | (55,242 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 169,887 | – | 169,887 | ||||||||||||
Liabilities | – | (281 | ) | – | (281 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 3,183,298 | – | – | 3,183,298 | ||||||||||||
Liabilities | (1,792,867 | ) | – | – | (1,792,867 | ) | ||||||||||
Total | $ | 1,390,431 | $ | 114,364 | $ | – | $ | 1,504,795 |
(1) | Refer to Note 2(t) 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 $2,632,396 were transferred from Level 1 to Level 2 due to a change in valuation technique resulting in adjusted valuations (as described in Note 2(t)) on May 31, 2019. |
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
Investment Type | Floating Rate Loans | Common Stock | Preferred Stock | |||||||||
Balance as of December 1, 2018 | $ | – | $ | – | $ | – | ||||||
Accrued Discounts (Premiums) | 12,394 | – | – | |||||||||
Realized Gain (Loss) | 44 | – | – | |||||||||
Change in Unrealized Appreciation (Depreciation) | (327,453 | ) | (97,048 | ) | (276,047 | ) | ||||||
Purchases | 4,335,043 | – | 21,221 | |||||||||
Sales | (3,777 | ) | – | – | ||||||||
Transfers into Level 3 | 2,157,987 | 97,048 | 254,826 | |||||||||
Transfers out of Level 3 | – | – | – | |||||||||
Balance as of May 31, 2019 | $ | 6,174,238 | $ | – | $ | – | ||||||
Change in unrealized appreciation/depreciation for the period ended May 31, 2019, related to Level 3 investments held at May 31, 2019 | $ | (51,405 | ) | $ | (97,048 | ) | $ | (276,047 | ) |
See Notes to Financial Statements. | 181 |
Schedule of Investments (unaudited)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 95.03% | ||||||||||||
ASSET-BACKED SECURITIES 25.82% | ||||||||||||
Automobiles 9.04% | ||||||||||||
ACC Trust 2018-1 A† | 3.70% | 12/21/2020 | $ | 401 | $ | 401,544 | ||||||
ACC Trust 2019-1 A† | 3.75% | 5/20/2022 | 743 | 748,055 | ||||||||
AmeriCredit Automobile Receivables Trust 2015-2 C | 2.40% | 1/8/2021 | 508 | 507,331 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-1 D | 3.59% | 2/8/2022 | 899 | 908,562 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-2 C | 2.87% | 11/8/2021 | 1,499 | 1,502,387 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-3 B | 1.80% | 10/8/2021 | 718 | 715,666 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-2 C | 2.97% | 3/20/2023 | 1,456 | 1,468,190 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-3 A2A | 1.69% | 12/18/2020 | 20 | 19,907 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-3 B | 2.24% | 6/19/2023 | 649 | 647,749 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-4 A2A | 1.83% | 5/18/2021 | 147 | 146,872 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-4 A3 | 2.04% | 7/18/2022 | 1,904 | 1,898,351 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-4 B | 2.36% | 12/19/2022 | 816 | 814,811 | ||||||||
Avid Automobile Receivables Trust 2018-1 A† | 2.84% | 8/15/2023 | 480 | 479,242 | ||||||||
Avis Budget Rental Car Funding AESOP LLC 2014-1A A† | 2.46% | 7/20/2020 | 879 | 878,773 | ||||||||
Avis Budget Rental Car Funding AESOP LLC 2015-2A† | 2.63% | 12/20/2021 | 283 | 283,585 | ||||||||
Bank of The West Auto Trust 2017-1 A3† | 2.11% | 1/15/2023 | 1,834 | 1,827,863 | ||||||||
Bank of The West Auto Trust 2017-1 A4† | 2.33% | 9/15/2023 | 506 | 504,067 | ||||||||
California Republic Auto Receivables Trust 2015-1 B | 2.51% | 2/16/2021 | 1,183 | 1,182,649 | ||||||||
California Republic Auto Receivables Trust 2015-3 A4 | 2.13% | 5/17/2021 | 210 | 209,841 | ||||||||
California Republic Auto Receivables Trust 2015-4 A4† | 2.58% | 6/15/2021 | 219 | 218,961 | ||||||||
California Republic Auto Receivables Trust 2015-4 B† | 3.73% | 11/15/2021 | 417 | 419,395 |
182 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
California Republic Auto Receivables Trust 2016-1 A4 | 2.24% | 10/15/2021 | $ | 674 | $ | 673,227 | ||||||
California Republic Auto Receivables Trust 2016-1 B | 3.43% | 2/15/2022 | 6,448 | 6,488,040 | ||||||||
California Republic Auto Receivables Trust 2016-2 A4 | 1.83% | 12/15/2021 | 213 | 211,638 | ||||||||
California Republic Auto Receivables Trust 2018-1 A3 | 3.14% | 8/15/2022 | 1,862 | 1,876,292 | ||||||||
Capital Auto Receivables Asset Trust 2016-1 A4 | 1.98% | 10/20/2020 | 63 | 62,473 | ||||||||
Capital Auto Receivables Asset Trust 2016-1 B | 2.67% | 12/21/2020 | 338 | 337,908 | ||||||||
Capital Auto Receivables Asset Trust 2016-2 A4 | 1.63% | 1/20/2021 | 285 | 284,761 | ||||||||
Capital Auto Receivables Asset Trust 2016-2 B | 2.11% | 3/22/2021 | 83 | 82,748 | ||||||||
Capital Auto Receivables Asset Trust 2017-1 A3† | 2.02% | 8/20/2021 | 455 | 453,993 | ||||||||
Capital Auto Receivables Asset Trust 2017-1 A4† | 2.22% | 3/21/2022 | 334 | 333,233 | ||||||||
Capital Auto Receivables Asset Trust 2018-2 A3† | 3.27% | 6/20/2023 | 1,703 | 1,715,686 | ||||||||
CarMax Auto Owner Trust 2016-4 A3 | 1.40% | 8/15/2021 | 263 | 261,497 | ||||||||
CarMax Auto Owner Trust 2016-4 A4 | 1.60% | 6/15/2022 | 331 | 327,901 | ||||||||
CarMax Auto Owner Trust 2017-3 A3 | 1.97% | 4/15/2022 | 3,578 | 3,567,092 | ||||||||
CarMax Auto Owner Trust 2017-3 A4 | 2.22% | 11/15/2022 | 794 | 794,340 | ||||||||
CarMax Auto Owner Trust 2017-3 B | 2.44% | 2/15/2023 | 373 | 373,702 | ||||||||
CarMax Auto Owner Trust 2017-3 C | 2.72% | 5/15/2023 | 454 | 453,149 | ||||||||
CarMax Auto Owner Trust 2017-4 A3 | 2.11% | 10/17/2022 | 2,458 | 2,452,794 | ||||||||
Chesapeake Funding II LLC 2016-1A A1† | 2.11% | 3/15/2028 | 113 | 112,761 | ||||||||
Chesapeake Funding II LLC 2016-2A A1† | 1.88% | 6/15/2028 | 330 | 329,428 | ||||||||
Chesapeake Funding II LLC 2017-2A A1† | 1.99% | 5/15/2029 | 961 | 956,813 | ||||||||
Chesapeake Funding II LLC 2017-3A A1† | 1.91% | 8/15/2029 | 2,135 | 2,123,686 | ||||||||
Chesapeake Funding II LLC 2017-4A A1† | 2.12% | 11/15/2029 | 1,689 | 1,679,226 | ||||||||
CPS Auto Receivables Trust 2016-B D† | 6.58% | 3/15/2022 | 220 | 230,620 | ||||||||
CPS Auto Receivables Trust 2017-C B† | 2.30% | 7/15/2021 | 174 | 174,013 | ||||||||
CPS Auto Receivables Trust 2017-D† | 3.73% | 9/15/2023 | 229 | 231,987 | ||||||||
CPS Auto Receivables Trust 2017-D B† | 2.43% | 1/18/2022 | 152 | 151,757 | ||||||||
CPS Auto Receivables Trust 2018-B C† | 3.58% | 3/15/2023 | 408 | 413,445 | ||||||||
CPS Auto Receivables Trust 2019-A C† | 3.89% | 12/16/2024 | 110 | 112,858 | ||||||||
Drive Auto Receivables Trust 2015-BA E† | 5.15% | 8/15/2022 | 1,000 | 1,002,249 | ||||||||
Drive Auto Receivables Trust 2015-DA D† | 4.59% | 1/17/2023 | 834 | 839,152 | ||||||||
Drive Auto Receivables Trust 2016-BA C† | 3.19% | 7/15/2022 | 21 | 20,721 | ||||||||
Drive Auto Receivables Trust 2016-BA D† | 4.53% | 8/15/2023 | 927 | 937,107 | ||||||||
Drive Auto Receivables Trust 2016-CA C† | 3.02% | 11/15/2021 | 482 | 482,452 | ||||||||
Drive Auto Receivables Trust 2016-CA D† | 4.18% | 3/15/2024 | 475 | 480,639 |
See Notes to Financial Statements. | 183 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Drive Auto Receivables Trust 2017-2 C | 2.75% | 9/15/2023 | $ | 593 | $ | 592,628 | ||||||
Drive Auto Receivables Trust 2017-2 D | 3.49% | 9/15/2023 | 3,913 | 3,949,806 | ||||||||
Drive Auto Receivables Trust 2017-BA C† | 2.61% | 8/16/2021 | 205 | 205,456 | ||||||||
Drive Auto Receivables Trust 2017-BA D† | 3.72% | 10/17/2022 | 790 | 794,714 | ||||||||
Drive Auto Receivables Trust 2018-3 C | 3.72% | 9/16/2024 | 2,439 | 2,475,274 | ||||||||
Drive Auto Receivables Trust 2018-4 B | 3.36% | 10/17/2022 | 1,259 | 1,265,129 | ||||||||
Drive Auto Receivables Trust 2018-4 C | 3.66% | 11/15/2024 | 2,468 | 2,500,254 | ||||||||
Drive Auto Receivables Trust 2018-4 D | 4.09% | 1/15/2026 | 701 | 722,093 | ||||||||
Drive Auto Receivables Trust 2019-2 B | 3.17% | 11/15/2023 | 638 | 645,838 | ||||||||
Drive Auto Receivables Trust 2019-2 C | 3.42% | 6/16/2025 | 1,238 | 1,259,228 | ||||||||
Drive Auto Receivables Trust 2019-2 D | 3.69% | 8/17/2026 | 717 | 734,113 | ||||||||
Exeter Automobile Receivables Trust 2017-3A A† | 2.05% | 12/15/2021 | 208 | 208,110 | ||||||||
Exeter Automobile Receivables Trust 2017-3A B† | 2.81% | 9/15/2022 | 1,015 | 1,017,394 | ||||||||
First Investors Auto Owner Trust 2015-1A C† | 2.71% | 6/15/2021 | 1,272 | 1,271,540 | ||||||||
First Investors Auto Owner Trust 2018-1A B† | 3.51% | 5/15/2023 | 265 | 268,696 | ||||||||
First Investors Auto Owner Trust 2018-2A C† | 4.03% | 1/15/2025 | 318 | 328,493 | ||||||||
First Investors Auto Owner Trust 2018-2A D† | 4.28% | 1/15/2025 | 202 | 210,058 | ||||||||
Flagship Credit Auto Trust 2016-2 A2† | 3.05% | 8/16/2021 | 257 | 256,924 | ||||||||
Flagship Credit Auto Trust 2017-4 A† | 2.07% | 4/15/2022 | 577 | 575,152 | ||||||||
Flagship Credit Auto Trust 2018-3 A† | 3.07% | 2/15/2023 | 4,513 | 4,530,873 | ||||||||
Ford Credit Auto Owner Trust 2014-2 A† | 2.31% | 4/15/2026 | 3,313 | 3,309,082 | ||||||||
Ford Credit Auto Owner Trust 2015-1 A† | 2.12% | 7/15/2026 | 6,384 | 6,365,580 | ||||||||
Ford Credit Auto Owner Trust 2016-2 A† | 2.03% | 12/15/2027 | 1,082 | 1,075,792 | ||||||||
Ford Credit Auto Owner Trust 2017-2 A† | 2.36% | 3/15/2029 | 1,417 | 1,420,521 | ||||||||
Ford Credit Auto Owner Trust 2017-2 B† | 2.60% | 3/15/2029 | 235 | 234,589 | ||||||||
Ford Credit Auto Owner Trust 2018-2 A† | 3.47% | 1/15/2030 | 3,076 | 3,206,081 | ||||||||
GM Financial Consumer Automobile Receivables Trust 2019-1 B | 3.37% | 8/16/2024 | 416 | 427,222 | ||||||||
Nissan Auto Receivables Owner Trust 2016-A A3 | 1.34% | 10/15/2020 | 173 | 172,993 | ||||||||
Santander Drive Auto Receivables Trust 2014-5 E | 4.23% | 4/15/2022 | 1,025 | 1,026,026 | ||||||||
Santander Drive Auto Receivables Trust 2015-4 C | 2.97% | 3/15/2021 | 25 | 25,118 | ||||||||
Santander Drive Auto Receivables Trust 2015-5 C | 2.74% | 12/15/2021 | 109 | 109,258 | ||||||||
Santander Drive Auto Receivables Trust 2016-1 D | 4.02% | 4/15/2022 | 282 | 285,084 | ||||||||
Santander Drive Auto Receivables Trust 2016-3 B | 1.89% | 6/15/2021 | 42 | 42,300 | ||||||||
Santander Drive Auto Receivables Trust 2017-2 B | 2.21% | 10/15/2021 | 435 | 434,787 | ||||||||
Santander Drive Auto Receivables Trust 2017-2 C | 2.79% | 8/15/2022 | 1,733 | 1,733,663 | ||||||||
Santander Drive Auto Receivables Trust 2017-2 D | 3.49% | 7/17/2023 | 2,007 | 2,028,496 | ||||||||
Santander Drive Auto Receivables Trust 2017-3 C | 2.76% | 12/15/2022 | 417 | 417,985 | ||||||||
Santander Drive Auto Receivables Trust 2018-3 A3 | 3.03% | 2/15/2022 | 1,235 | 1,236,660 |
184 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Santander Drive Auto Receivables Trust 2018-4 C | 3.56% | 7/15/2024 | $ | 1,127 | $ | 1,150,791 | ||||||
Santander Drive Auto Receivables Trust 2018-5 B | 3.52% | 12/15/2022 | 1,801 | 1,823,472 | ||||||||
Santander Drive Auto Receivables Trust 2018-5 C | 3.81% | 12/16/2024 | 1,668 | 1,707,995 | ||||||||
TCF Auto Receivables Owner Trust 2015-2A B† | 3.00% | 9/15/2021 | 215 | 215,112 | ||||||||
TCF Auto Receivables Owner Trust 2015-2A C† | 3.75% | 12/15/2021 | 136 | 136,351 | ||||||||
TCF Auto Receivables Owner Trust 2015-2A D† | 4.24% | 8/15/2022 | 2,369 | 2,375,489 | ||||||||
TCF Auto Receivables Owner Trust 2016-1A A4† | 2.03% | 2/15/2022 | 963 | 959,621 | ||||||||
TCF Auto Receivables Owner Trust 2016-1A B† | 2.32% | 6/15/2022 | 622 | 618,735 | ||||||||
TCF Auto Receivables Owner Trust 2016-1A C† | 2.51% | 9/15/2022 | 172 | 170,882 | ||||||||
TCF Auto Receivables Owner Trust 2016-PT1A A† | 1.93% | 6/15/2022 | 500 | 496,921 | ||||||||
Toyota Auto Receivables Owner Trust 2016-D A3 | 1.23% | 10/15/2020 | 233 | 232,263 | ||||||||
Westlake Automobile Receivables Trust 2016-2A C† | 2.83% | 5/17/2021 | 5 | 5,220 | ||||||||
Westlake Automobile Receivables Trust 2017-2A B† | 2.25% | 12/15/2020 | 1,405 | 1,403,669 | ||||||||
Westlake Automobile Receivables Trust 2018-3A A2A† | 2.98% | 1/18/2022 | 3,025 | 3,031,435 | ||||||||
World Omni Auto Receivables Trust 2018-D A4 | 3.44% | 12/16/2024 | 842 | 875,980 | ||||||||
World Omni Select Auto Trust 2018-1A B† | 3.68% | 7/15/2023 | 340 | 347,795 | ||||||||
World Omni Select Auto Trust 2018-1A D† | 4.13% | 1/15/2025 | 1,242 | 1,283,770 | ||||||||
Total | 111,011,700 | |||||||||||
Credit Cards 5.47% | ||||||||||||
American Express Credit Account Master Trust 2017-3 A | 1.77% | 11/15/2022 | 1,480 | 1,472,485 | ||||||||
American Express Credit Account Master Trust 2017-6 A | 2.04% | 5/15/2023 | 3,252 | 3,243,508 | ||||||||
American Express Credit Account Master Trust 2017-7 A | 2.35% | 5/15/2025 | 2,749 | 2,762,149 | ||||||||
Barclays Dryrock Issuance Trust 2017-2 A | 2.74% (1 Mo. LIBOR + .30% | )# | 5/15/2023 | 4,767 | 4,775,881 | |||||||
Capital One Multi-Asset Execution Trust 2015-A3 | 2.84% (1 Mo. LIBOR + .40% | )# | 3/15/2023 | 2,740 | 2,748,676 | |||||||
Capital One Multi-Asset Execution Trust 2016-A4 | 1.33% | 6/15/2022 | 619 | 617,479 | ||||||||
Capital One Multi-Asset Execution Trust 2017-A1 | 2.00% | 1/17/2023 | 401 | 399,627 | ||||||||
Capital One Multi-Asset Execution Trust 2017-A6 | 2.29% | 7/15/2025 | 2,674 | 2,684,673 | ||||||||
Citibank Credit Card Issuance Trust 2014-A1 | 2.88% | 1/23/2023 | 1,198 | 1,207,996 | ||||||||
Citibank Credit Card Issuance Trust 2017-A3 | 1.92% | 4/7/2022 | 1,048 | 1,043,962 | ||||||||
Continental Credit Card 2016-1A C† | 11.33% | 1/15/2025 | 126 | 131,978 | (a) | |||||||
Discover Card Execution Note Trust 2017-A6 | 1.88% | 2/15/2023 | 3,566 | 3,546,548 | ||||||||
First National Master Note Trust 2017-2 A | 2.88% (1 Mo. LIBOR + .44% | )# | 10/16/2023 | 2,550 | 2,553,543 |
See Notes to Financial Statements. | 185 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Credit Cards (continued) | ||||||||||||
Golden Credit Card Trust 2018-1A A† | 2.62% | 1/15/2023 | $ | 3,212 | $ | 3,226,312 | ||||||
Golden Credit Card Trust 2018-4A A† | 3.44% | 10/15/2025 | 3,287 | 3,415,695 | ||||||||
Master Credit Card Trust 2019-1A B† | 3.57% | 7/21/2022 | 231 | 233,538 | ||||||||
Master Credit Card Trust II Series 2018-1A A† | 2.932% (1 Mo. LIBOR + .49% | )# | 7/21/2024 | 1,254 | 1,252,083 | |||||||
Synchrony Credit Card Master Note Trust 2015-1 A | 2.37% | 3/15/2023 | 550 | 549,667 | ||||||||
Synchrony Credit Card Master Note Trust 2015-1 B | 2.64% | 3/15/2023 | 5,076 | 5,069,375 | ||||||||
Synchrony Credit Card Master Note Trust 2016-2 A | 2.21% | 5/15/2024 | 3,905 | 3,904,121 | ||||||||
Synchrony Credit Card Master Note Trust 2016-2 B | 2.55% | 5/15/2024 | 693 | 694,315 | ||||||||
Synchrony Credit Card Master Note Trust 2017-1 B | 2.19% | 6/15/2023 | 4,413 | 4,395,467 | ||||||||
Synchrony Credit Card Master Note Trust 2017-2 A | 2.62% | 10/15/2025 | 1,595 | 1,612,032 | ||||||||
Synchrony Credit Card Master Note Trust 2017-2 B | 2.82% | 10/15/2025 | 999 | 1,005,903 | ||||||||
Synchrony Credit Card Master Note Trust 2018-2 A | 3.47% | 5/15/2026 | 5,283 | 5,513,239 | ||||||||
World Financial Network Credit Card Master Trust 2015-B A | 2.55% | 6/17/2024 | 1,112 | 1,115,070 | ||||||||
World Financial Network Credit Card Master Trust 2016-A | 2.03% | 4/15/2025 | 2,704 | 2,689,019 | ||||||||
World Financial Network Credit Card Master Trust 2018-C A | 3.55% | 8/15/2025 | 4,377 | 4,499,920 | ||||||||
World Financial Network Credit Card Master Trust 2018-C M | 3.95% | 8/15/2025 | 743 | 763,927 | ||||||||
Total | 67,128,188 | |||||||||||
Home Equity 0.14% | ||||||||||||
New Century Home Equity Loan Trust 2005-A A6 | 4.683% | 8/25/2035 | 59 | 59,005 | ||||||||
Towd Point Mortgage Trust 2019-HY2 A1† | 3.43% (1 Mo. LIBOR + 1.00% | )# | 5/25/2058 | 1,640 | 1,654,783 | |||||||
Total | 1,713,788 | |||||||||||
Other 11.17% | ||||||||||||
Allegro CLO IV Ltd. 2016-1A† | 3.997% (3 Mo. LIBOR + 1.40% | )# | 1/15/2029 | 418 | 418,334 | |||||||
Ally Master Owner Trust 2018-4 A | 3.30% | 7/17/2023 | 7,204 | 7,341,818 | ||||||||
Anchorage Capital CLO 3-R Ltd. 2014-3RA A† | 3.632% (3 Mo. LIBOR + 1.05% | )# | 1/28/2031 | 970 | 963,946 | |||||||
Anchorage Capital CLO 4-R Ltd. 2014-4RA A† | 3.632% (3 Mo. LIBOR + 1.05% | )# | 1/28/2031 | 1,212 | 1,208,340 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. 2018-FL1 A† | 3.59% (1 Mo. LIBOR + 1.15% | )# | 6/15/2028 | 1,020 | 1,022,935 | |||||||
Ascentium Equipment Receivables 2019-1A A2† | 2.84% | 6/10/2022 | 1,889 | 1,898,120 |
186 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Ascentium Equipment Receivables Trust 2016-2A A3† | 1.65% | 5/10/2022 | $ | 96 | $ | 95,923 | ||||||
Ascentium Equipment Receivables Trust 2017-1A A3† | 2.29% | 6/10/2021 | 357 | 356,255 | ||||||||
Ascentium Equipment Receivables Trust 2017-2A A2† | 2.00% | 5/11/2020 | 156 | 156,260 | ||||||||
Avery Point V CLO Ltd. 2014-5A AR† | 3.568% (3 Mo. LIBOR + .98% | )# | 7/17/2026 | 391 | 391,397 | |||||||
AXIS Equipment Finance Receivables VI LLC 2018-2A A2† | 3.89% | 7/20/2022 | 1,622 | 1,644,806 | ||||||||
Bain Capital Credit CLO 2016-2A A† | 4.017% (3 Mo. LIBOR + 1.42% | )# | 1/15/2029 | 250 | 250,173 | |||||||
Benefit Street Partners CLO IV Ltd. 2014-IVA A1RR† | 3.842% (3 Mo. LIBOR + 1.25% | )# | 1/20/2029 | 1,000 | 1,000,283 | |||||||
Benefit Street Partners CLO IV Ltd. 2014-IVA A2RR† | 4.342% (3 Mo. LIBOR + 1.75% | )# | 1/20/2029 | 1,000 | 1,000,308 | |||||||
BlueMountain CLO Ltd. 2012-2A AR2† | 3.57% (3 Mo. LIBOR + 1.05% | )# | 11/20/2028 | 2,293 | 2,282,580 | |||||||
Carlyle Global Market Strategies CLO Ltd. 2013-2A AR† | 3.491% (3 Mo. LIBOR + .89% | )# | 1/18/2029 | 938 | 934,705 | |||||||
CNH Equipment Trust 2015-C A3 | 1.66% | 11/16/2020 | 28 | 28,082 | ||||||||
Colombia Cent CLO Ltd. 2018-27A A2A† | 4.18% (3 Mo. LIBOR + 1.60% | )# | 10/25/2028 | 281 | 278,299 | |||||||
Conn’s Receivables Funding LLC 2018-A† | 3.25% | 1/15/2023 | 275 | 275,705 | ||||||||
CoreVest American Finance Trust 2018-1 A† | 3.804% | 6/15/2051 | 1,513 | 1,553,897 | ||||||||
Dell Equipment Finance Trust 2017-1 A3† | 2.14% | 4/22/2022 | 104 | 104,071 | ||||||||
Diamond Resorts Owner Trust 2016-1 A† | 3.08% | 11/20/2028 | 75 | 76,079 | ||||||||
Diamond Resorts Owner Trust 2018-1 A† | 3.70% | 1/21/2031 | 1,975 | 2,016,062 | ||||||||
Diamond Resorts Owner Trust 2018-1 B† | 4.19% | 1/21/2031 | 1,182 | 1,204,908 | ||||||||
DLL LLC 2018-1 A3† | 3.10% | 4/18/2022 | 3,362 | 3,393,636 | ||||||||
DLL LLC 2018-1 A4† | 3.27% | 4/17/2026 | 2,007 | 2,049,379 | ||||||||
DLL Securitization Trust 2017-A A2† | 1.89% | 7/15/2020 | 155 | 155,366 | ||||||||
DLL Securitization Trust 2017-A A3† | 2.14% | 12/15/2021 | 962 | 959,554 | ||||||||
DLL Securitization Trust 2017-A A4† | 2.43% | 11/17/2025 | 1,233 | 1,235,587 | ||||||||
DRB Prime Student Loan Trust 2015-D A2† | 3.20% | 1/25/2040 | 84 | 85,002 | ||||||||
Dryden 30 Senior Loan Fund 2013-30A AR† | 3.338% (3 Mo. LIBOR + .82% | )# | 11/15/2028 | 2,541 | 2,513,647 | |||||||
Dryden XXV Senior Loan Fund 2012-25A BRR† | 3.947% (3 Mo. LIBOR + 1.35% | )# | 10/15/2027 | 1,000 | 994,313 | |||||||
Engs Commercial Finance Trust 2016-1A A2† | 2.63% | 2/22/2022 | 177 | 177,059 | ||||||||
Fairstone Financial Issuance Trust I 2019-1A A†(b) | 3.948% | 3/21/2033 | CAD | 503 | 376,070 |
See Notes to Financial Statements. | 187 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Fairstone Financial Issuance Trust I 2019-1A B†(b) | 5.084% | 3/21/2033 | CAD | 226 | $ | 168,865 | (a) | |||||
Fairstone Financial Issuance Trust I 2019-1A C†(b) | 6.299% | 3/21/2033 | CAD | 426 | 317,713 | (a) | ||||||
Fairstone Financial Issuance Trust I 2019-1A D†(b) | 7.257% | 3/21/2033 | CAD | 252 | 188,058 | (a) | ||||||
Ford Credit Floorplan Master Owner Trust 2015-2 A1 | 1.98% | 1/15/2022 | $ | 499 | 497,307 | |||||||
Ford Credit Floorplan Master Owner Trust 2017-2 A1 | 2.16% | 9/15/2022 | 2,028 | 2,022,664 | ||||||||
Ford Credit Floorplan Master Owner Trust 2019-1 A | 2.84% | 3/15/2024 | 3,754 | 3,811,745 | ||||||||
Ford Credit Floorplan Master Owner Trust 2019-2 A | 3.06% | 4/15/2026 | 2,482 | 2,542,433 | ||||||||
FREED ABS TRUST 2018-2 A† | 3.99% | 10/20/2025 | 2,366 | 2,386,425 | ||||||||
Greystone Commercial Real Estate Notes Ltd. 2017-FL1A A† | 3.99% (1 Mo. LIBOR + 1.55% | )# | 3/15/2027 | 1,680 | 1,684,937 | |||||||
Greystone Commercial Real Estate Notes Ltd. 2017-FL1A B† | 5.19% (1 Mo. LIBOR + 2.75% | )# | 3/15/2027 | 200 | 198,872 | |||||||
Greystone Commercial Real Estate Notes Ltd. 2018-HC1 A† | 3.99% (1 Mo. LIBOR + 1.55% | )# | 9/15/2028 | 2,699 | 2,692,365 | |||||||
Greystone Commercial Real Estate Notes Ltd. 2018-HC1 AS† | 4.59% (1 Mo. LIBOR + 2.15% | )# | 9/15/2028 | 824 | 821,271 | |||||||
Halcyon Loan Advisors Funding Ltd. 2015-2A AR† | 3.66% (3 Mo. LIBOR + 1.08% | )# | 7/25/2027 | 1,103 | 1,103,013 | |||||||
Halcyon Loan Advisors Funding Ltd. 2015-2A BR† | 4.23% (3 Mo. LIBOR + 1.65% | )# | 7/25/2027 | 667 | 667,088 | |||||||
Hyundai Floorplan Master Owner Trust 2019-1 A† | 2.68% | 4/15/2024 | 2,664 | 2,689,744 | ||||||||
Jamestown CLO VII Ltd. 2015-7A A1R† | 3.41% (3 Mo. LIBOR + .83% | )# | 7/25/2027 | 1,175 | 1,172,877 | |||||||
Jamestown CLO VII Ltd. 2015-7A A2R† | 3.88% (3 Mo. LIBOR + 1.30% | )# | 7/25/2027 | 944 | 928,079 | |||||||
KREF Ltd. 2018-FL1 A† | 3.532% (1 Mo. LIBOR + 1.10% | )# | 6/15/2036 | 490 | 490,245 | |||||||
LCM XXIV Ltd. 24A A† | 3.902% (3 Mo. LIBOR + 1.31% | )# | 3/20/2030 | 1,808 | 1,816,342 | |||||||
LMREC, Inc. 2019-CRE3 A† | 3.764% (1 Mo. LIBOR + 1.40% | )# | 12/22/2035 | 2,938 | 2,958,377 | (a) | ||||||
Madison Park Funding XXI Ltd. 2016-21A A1† | 4.11% (3 Mo. LIBOR + 1.53% | )# | 7/25/2029 | 816 | 819,388 | |||||||
Magnetite VII Ltd. 2012-7A A1R2† | 3.397% (3 Mo. LIBOR + .80% | )# | 1/15/2028 | 3,712 | 3,695,760 | |||||||
Magnetite XI Ltd. 2014-11A A1R† | 3.721% (3 Mo. LIBOR + 1.12% | )# | 1/18/2027 | 1,593 | 1,594,379 | |||||||
Magnetite XVIII Ltd. 2016-18A AR† | 3.598% (3 Mo. LIBOR + 1.08% | )# | 11/15/2028 | 1,663 | 1,660,934 | |||||||
Mercedes-Benz Master Owner Trust 2019-BA A† | 2.61% | 5/15/2024 | 2,181 | 2,197,803 |
188 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Mountain Hawk III CLO Ltd. 2014-3A AR† | 3.801% (3 Mo. LIBOR + 1.20% | )# | 4/18/2025 | $ | 1,354 | $ | 1,353,581 | |||||
Mountain View CLO X Ltd. 2015-10A AR† | 3.417% (3 Mo. LIBOR + .82% | )# | 10/13/2027 | 605 | 602,095 | |||||||
MVW Owner Trust 2017-1A A† | 2.42% | 12/20/2034 | 215 | 214,062 | ||||||||
N-Star REL CDO VIII Ltd. 2006-8A B† | 2.94% (1 Mo. LIBOR + .42% | )# | 2/1/2041 | 1,600 | 1,525,087 | |||||||
Navient Student Loan Trust 2018-1A A1† | 2.62% (1 Mo. LIBOR + .19% | )# | 3/25/2067 | 42 | 42,316 | |||||||
NextGear Floorplan Master Owner Trust 2017-1A A2† | 2.54% | 4/18/2022 | 2,071 | 2,067,341 | ||||||||
NextGear Floorplan Master Owner Trust 2018-2A A2† | 3.69% | 10/15/2023 | 1,846 | 1,895,340 | ||||||||
NextGear Floorplan Master Owner Trust 2018-2A B† | 4.01% | 10/15/2023 | 736 | 754,148 | ||||||||
Nissan Master Owner Trust Receivables 2016-A A2 | 1.54% | 6/15/2021 | 369 | 368,819 | ||||||||
Nissan Master Owner Trust Receivables 2017-B A | 2.87% (1 Mo. LIBOR + .43% | )# | 4/18/2022 | 1,684 | 1,687,364 | |||||||
Oaktree CLO 2014-1A A1R† | 3.825% (3 Mo. LIBOR + 1.29% | )# | 5/13/2029 | 719 | 719,305 | |||||||
Oaktree CLO Ltd. 2015-1A A1R† | 3.462% (3 Mo. LIBOR + .87% | )# | 10/20/2027 | 769 | 768,808 | |||||||
OCP CLO Ltd. 2015-10A A2AR† | 3.886% (3 Mo. LIBOR + 1.30% | )# | 10/26/2027 | 645 | 639,989 | |||||||
OCP CLO Ltd. 2016-12A A1R† | 3.721% (3 Mo. LIBOR + 1.12% | )# | 10/18/2028 | 1,499 | 1,499,334 | |||||||
OCP CLO Ltd. 2016-12A A2R† | 4.201% (3 Mo. LIBOR + 1.60% | )# | 10/18/2028 | 1,103 | 1,103,834 | |||||||
OneMain Financial Issuance Trust 2016-2A A† | 4.10% | 3/20/2028 | 56 | 56,385 | ||||||||
OneMain Financial Issuance Trust 2016-2A B† | 5.94% | 3/20/2028 | 116 | 116,521 | ||||||||
OneMain Financial Issuance Trust 2018-2A A† | 3.57% | 3/14/2033 | 210 | 217,088 | ||||||||
Orange Lake Timeshare Trust 2019-A† | 3.06% | 4/9/2038 | 481 | 485,157 | ||||||||
Orec Ltd. 2018-CRE1 A† | 3.62% (1 Mo. LIBOR + 1.18% | )# | 6/15/2036 | 2,675 | 2,676,739 | |||||||
OZLM VIII Ltd. 2014-8A A1RR† | 3.758% (3 Mo. LIBOR + 1.17% | )# | 10/17/2029 | 718 | 717,916 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A1† | 3.197% (3 Mo. LIBOR + .60% | )# | 4/15/2026 | 2,093 | 2,084,217 | |||||||
Palmer Square Loan Funding Ltd. 2018-5A A1† | 3.442% (3 Mo. LIBOR + .85% | )# | 1/20/2027 | 2,665 | 2,659,915 | |||||||
Palmer Square Loan Funding Ltd. 2018-5A A2† | 3.992% (3 Mo. LIBOR + 1.40% | )# | 1/20/2027 | 667 | 656,934 | |||||||
Parallel Ltd. 2015-1A AR† | 3.442% (3 Mo. LIBOR + .85% | )# | 7/20/2027 | 2,054 | 2,053,662 |
See Notes to Financial Statements. | 189 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
PFS Financing Corp. 2016-BA A† | 1.87% | 10/15/2021 | $ | 626 | $ | 624,528 | ||||||
PFS Financing Corp. 2018-A A† | 2.84% (1 Mo. LIBOR + .40% | )# | 2/15/2022 | 593 | 593,239 | |||||||
PFS Financing Corp. 2018-B A† | 2.89% | 2/15/2023 | 2,372 | 2,388,396 | ||||||||
Ready Capital Mortgage Financing LLC 2018-FL2 A† | 3.28% (1 Mo. LIBOR + .85% | )# | 6/25/2035 | 1,938 | 1,933,703 | |||||||
Regatta VI Funding Ltd. 2016-1A AR† | 3.672% (3 Mo. LIBOR + 1.08% | )# | 7/20/2028 | 1,410 | 1,403,342 | |||||||
Salem Fields CLO Ltd. 2016-2A A2R† | 4.28% (3 Mo. LIBOR + 1.70% | )# | 10/25/2028 | 1,227 | 1,228,228 | |||||||
SCF Equipment Leasing LLC 2018-1A A2† | 3.63% | 10/20/2024 | 2,386 | 2,403,956 | ||||||||
SCF Equipment Leasing LLC 2019-1A A1† | 3.04% | 3/20/2023 | 1,698 | 1,703,600 | ||||||||
SCF Equipment Leasing LLC 2019-1A A2† | 3.23% | 10/20/2024 | 1,907 | 1,929,035 | ||||||||
Seneca Park CLO Ltd. 2014-1A AR† | 3.708% (3 Mo. LIBOR + 1.12% | )# | 7/17/2026 | 492 | 492,912 | |||||||
SLM Private Education Loan Trust 2010-A 2A† | 5.69% (1 Mo. LIBOR + 3.25% | )# | 5/16/2044 | 111 | 112,308 | |||||||
SLM Student Loan Trust 2011-1 A1 | 2.95% (1 Mo. LIBOR + .52% | )# | 3/25/2026 | 43 | 42,640 | |||||||
SoFi Professional Loan Program 2017-D A1FX† | 1.72% | 9/25/2040 | 298 | 296,542 | ||||||||
SoFi Professional Loan Program LLC 2017-C A2A† | 1.75% | 7/25/2040 | 216 | 214,810 | ||||||||
SoFi Professional Loan Program LLC 2017-E A2A† | 1.86% | 11/26/2040 | 1,138 | 1,130,531 | ||||||||
Springleaf Funding Trust 2015-AA A† | 3.16% | 11/15/2024 | 11 | 11,312 | ||||||||
TCI-Symphony CLO Ltd. 2016-1A A† | 4.077% (3 Mo. LIBOR + 1.48% | )# | 10/13/2029 | 463 | 464,184 | |||||||
Thacher Park CLO Ltd. 2014-1A AR† | 3.752% (3 Mo. LIBOR + 1.16% | )# | 10/20/2026 | 3,349 | 3,352,947 | |||||||
THL Credit Wind River CLO Ltd. 2012-1A BR† | 4.447% (3 Mo. LIBOR + 1.85% | )# | 1/15/2026 | 3,820 | 3,821,619 | |||||||
Towd Point Asset Trust 2018-SL1 A† | 3.077% (1 Mo. LIBOR + .60% | )# | 1/25/2046 | 2,046 | 2,021,249 | |||||||
TPG Real Estate Finance Issuer Ltd. 2018-FL2 A† | 3.562% (1 Mo. LIBOR + 1.13% | )# | 11/15/2037 | 1,622 | 1,623,014 | |||||||
West CLO Ltd. 2014-2A A1AR† | 3.471% (3 Mo. LIBOR + .87% | )# | 1/16/2027 | 3,229 | 3,221,908 | |||||||
WhiteHorse VIII Ltd. 2014-1A BR† | 4.029% (3 Mo. LIBOR + 1.45% | )# | 5/1/2026 | 1,501 | 1,500,795 | |||||||
Total | 137,050,338 | |||||||||||
Total Asset-Backed Securities (cost $314,876,210) | 316,904,014 |
190 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Shares (000) | Fair Value | ||||||||
COMMON STOCKS 0.00% | ||||||||||||
Electric: Power 0.00% | ||||||||||||
Eneva SA*(b) | BRL | – | (c) | $ | 1,848 | |||||||
Oil 0.00% | ||||||||||||
Dommo Energia SA*(b) | BRL | 40 | 3,415 | |||||||||
Templar Energy LLC Class A Units | 10 | – | (a) | |||||||||
Total | 3,415 | |||||||||||
Total Common Stocks(cost $121,647) | 5,263 | |||||||||||
Principal Amount (000) | ||||||||||||
CONVERTIBLE BONDS 0.10% | ||||||||||||
Electric: Power 0.02% | ||||||||||||
Clearway Energy, Inc.† | 3.25% | 6/1/2020 | $ | 215 | 210,162 | |||||||
Energy Equipment & Services 0.01% | ||||||||||||
Tesla Energy Operations, Inc. | 1.625% | 11/1/2019 | 186 | 173,987 | ||||||||
Real Estate Investment Trusts 0.07% | ||||||||||||
VEREIT, Inc. | 3.75% | 12/15/2020 | 870 | 871,646 | ||||||||
Total Convertible Bonds (cost $1,269,921) | 1,255,795 | |||||||||||
CORPORATE BONDS 37.17% | ||||||||||||
Aerospace/Defense 0.45% | ||||||||||||
Bombardier, Inc. (Canada)†(d) | 6.00% | 10/15/2022 | 648 | 634,846 | ||||||||
Bombardier, Inc. (Canada)†(d) | 6.125% | 1/15/2023 | 2,429 | 2,367,546 | ||||||||
Bombardier, Inc. (Canada)†(d) | 8.75% | 12/1/2021 | 1,279 | 1,385,860 | ||||||||
Embraer Overseas Ltd.† | 5.696% | 9/16/2023 | 612 | 660,966 | ||||||||
TransDigm, Inc. | 6.00% | 7/15/2022 | 52 | 52,325 | ||||||||
Triumph Group, Inc. | 4.875% | 4/1/2021 | 404 | 397,940 | ||||||||
Total | 5,499,483 | |||||||||||
Air Transportation 0.24% | ||||||||||||
Air Canada 2015-1 Class B Pass-Through Trust (Canada)†(d) | 3.875% | 9/15/2024 | 291 | 291,202 | ||||||||
Air Canada 2015-2 Class B Pass-Through Trust (Canada)†(d) | 5.00% | 6/15/2025 | 171 | 176,728 | ||||||||
American Airlines 2013-1 Class B Pass-Through Trust† | 5.625% | 7/15/2022 | 257 | 262,125 | ||||||||
American Airlines 2014-1 Class B Pass-Through Trust | 4.375% | 4/1/2024 | 1,166 | 1,180,518 |
See Notes to Financial Statements. | 191 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Air Transportation (continued) | ||||||||||||
Continental Airlines Pass-Through Trust 2012-1 Class B | 6.25% | 10/11/2021 | $ | 43 | $ | 43,561 | ||||||
UAL 2007-1 Pass Through Trust | 7.336% | 1/2/2021 | 115 | 115,230 | ||||||||
United Airlines 2014-1 Class B Pass-Through Trust | 4.75% | 10/11/2023 | 176 | 179,821 | ||||||||
US Airways 2012-2 Class B Pass-Through Trust | 6.75% | 12/3/2022 | 26 | 27,531 | ||||||||
US Airways 2013-1 Class B Pass-Through Trust | 5.375% | 5/15/2023 | 595 | 620,900 | ||||||||
Total | 2,897,616 | |||||||||||
Auto Parts: Original Equipment 0.25% | ||||||||||||
Nexteer Automotive Group Ltd.† | 5.875% | 11/15/2021 | 1,200 | 1,224,791 | ||||||||
Titan International, Inc. | 6.50% | 11/30/2023 | 437 | 376,639 | ||||||||
ZF North America Capital, Inc.† | 4.00% | 4/29/2020 | 669 | 672,998 | ||||||||
ZF North America Capital, Inc.† | 4.50% | 4/29/2022 | 150 | 151,679 | ||||||||
ZF North America Capital, Inc.† | 4.75% | 4/29/2025 | 689 | 687,758 | ||||||||
Total | 3,113,865 | |||||||||||
Automotive 1.50% | ||||||||||||
Daimler Finance North America LLC† | 2.875% | 3/10/2021 | 612 | 612,944 | ||||||||
Daimler Finance North America LLC† | 3.115% (3 Mo. LIBOR + .55% | )# | 5/4/2021 | 500 | 500,107 | |||||||
Daimler Finance North America LLC† | 3.75% | 11/5/2021 | 1,463 | 1,493,998 | ||||||||
Fiat Chrysler Automobiles NV (United Kingdom)(d) | 5.25% | 4/15/2023 | 200 | 209,002 | ||||||||
Ford Motor Credit Co. LLC | 2.979% | 8/3/2022 | 500 | 489,005 | ||||||||
Ford Motor Credit Co. LLC | 3.219% | 1/9/2022 | 475 | 469,327 | ||||||||
Ford Motor Credit Co. LLC | 3.339% | 3/28/2022 | 200 | 198,626 | ||||||||
Ford Motor Credit Co. LLC | 3.532% (3 Mo. LIBOR + .93% | )# | 9/24/2020 | 968 | 968,156 | |||||||
Ford Motor Credit Co. LLC | 5.584% | 3/18/2024 | 845 | 880,337 | ||||||||
Ford Motor Credit Co. LLC | 5.875% | 8/2/2021 | 3,072 | 3,213,878 | ||||||||
General Motors Co. | 4.875% | 10/2/2023 | 1,117 | 1,164,612 | ||||||||
General Motors Financial Co., Inc. | 3.15% | 6/30/2022 | 166 | 164,812 | ||||||||
General Motors Financial Co., Inc. | 3.20% | 7/6/2021 | 557 | 556,965 | ||||||||
General Motors Financial Co., Inc. | 4.20% | 3/1/2021 | 2,300 | 2,337,860 | ||||||||
General Motors Financial Co., Inc. | 5.10% | 1/17/2024 | 1,801 | 1,881,490 | ||||||||
Hyundai Capital America† | 1.75% | 9/27/2019 | 905 | 902,236 | ||||||||
Hyundai Capital America† | 2.00% | 7/1/2019 | 107 | 106,938 | ||||||||
Hyundai Capital America† | 3.25% | 9/20/2022 | 636 | 640,177 | ||||||||
Hyundai Capital America† | 3.45% | 3/12/2021 | 280 | 282,889 | ||||||||
Hyundai Capital Services, Inc. (South Korea)†(d) | 3.00% | 8/29/2022 | 1,287 | 1,286,510 | ||||||||
Total | 18,359,869 |
192 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional 5.41% | ||||||||||||
ABN AMRO Bank NV (Netherlands)(d) | 6.25% | 4/27/2022 | $ | 2,533 | $ | 32,728,459 | ||||||
AIB Group plc (Ireland)†(d) | 4.263% | #(e) | 4/10/2025 | 712 | 722,229 | |||||||
AIB Group plc (Ireland)†(d) | 4.75% | 10/12/2023 | 665 | 689,421 | ||||||||
Akbank T.A.S. (Turkey)†(d) | 5.00% | 10/24/2022 | 600 | 549,109 | ||||||||
ASB Bank Ltd. (New Zealand)†(d) | 3.75% | 6/14/2023 | 1,018 | 1,053,038 | ||||||||
Associated Banc-Corp. | 2.75% | 11/15/2019 | 496 | 495,964 | ||||||||
Associated Bank NA | 3.50% | 8/13/2021 | 995 | 1,010,040 | ||||||||
Banco de Credito del Peru (Panama)†(d) | 2.25% | 10/25/2019 | 200 | 199,940 | ||||||||
Bank of Ireland Group plc (Ireland)†(d) | 4.50% | 11/25/2023 | 912 | 940,264 | ||||||||
Barclays Bank plc (United Kingdom)†(d) | 10.179% | 6/12/2021 | 2,148 | 2,423,810 | ||||||||
BBVA Bancomer SA† | 6.50% | 3/10/2021 | 851 | 891,814 | ||||||||
CIT Group, Inc. | 4.125% | 3/9/2021 | 554 | 559,551 | ||||||||
CIT Group, Inc. | 4.75% | 2/16/2024 | 68 | 70,040 | ||||||||
Citigroup, Inc. | 3.272% (3 Mo. LIBOR + .69% | )# | 10/27/2022 | 1,324 | 1,323,855 | |||||||
Citigroup, Inc. | 3.352% | #(e) | 4/24/2025 | 1,130 | 1,144,761 | |||||||
Citigroup, Inc. | 4.05% | 7/30/2022 | 812 | 841,041 | ||||||||
Credit Suisse AG (Switzerland)†(d) | 6.50% | 8/8/2023 | 1,478 | 1,604,369 | ||||||||
Danske Bank A/S (Denmark)†(d) | 2.00% | 9/8/2021 | 426 | 415,489 | ||||||||
Danske Bank A/S (Denmark)†(d) | 2.75% | 9/17/2020 | 1,008 | 1,006,129 | ||||||||
Danske Bank A/S (Denmark)†(d) | 2.80% | 3/10/2021 | 2,234 | 2,229,518 | ||||||||
Danske Bank A/S (Denmark)†(d) | 5.00% | 1/12/2022 | 1,109 | 1,148,653 | ||||||||
Danske Bank A/S (Denmark)†(d) | 5.375% | 1/12/2024 | 364 | 384,860 | ||||||||
Discover Bank | 3.35% | 2/6/2023 | 477 | 483,551 | ||||||||
Discover Bank | 8.70% | 11/18/2019 | 796 | 816,789 | ||||||||
Goldman Sachs Group, Inc. (The) | 2.876% (3 Mo. LIBOR+ .82% | )# | 10/31/2022 | 1,868 | 1,866,805 | |||||||
Goldman Sachs Group, Inc. (The) | 2.908% (3 Mo. LIBOR+ 1.05% | )# | 6/5/2023 | 1,507 | 1,507,722 | |||||||
Goldman Sachs Group, Inc. (The) | 3.696% (3 Mo. LIBOR + 1.11% | )# | 4/26/2022 | 1,638 | 1,651,256 | |||||||
Goldman Sachs Group, Inc. (The) | 5.25% | 7/27/2021 | 1,077 | 1,132,860 | ||||||||
Goldman Sachs Group, Inc. (The) | 5.75% | 1/24/2022 | 515 | 553,856 | ||||||||
Huntington Bancshares, Inc. | 7.00% | 12/15/2020 | 225 | 239,458 | ||||||||
ING Bank NV (Netherlands)†(d) | 5.80% | 9/25/2023 | 559 | 609,630 | ||||||||
Intesa Sanpaolo SpA (Italy)†(d) | 6.50% | 2/24/2021 | 2,138 | 2,234,117 | ||||||||
Lloyds Bank plc (United Kingdom)†(d) | 6.50% | 9/14/2020 | 3,451 | 3,597,285 | ||||||||
Macquarie Bank Ltd. (Australia)†(d) | 6.625% | 4/7/2021 | 294 | 313,558 | ||||||||
Macquarie Group Ltd. (Australia)†(d) | 3.189% | #(e) | 11/28/2023 | 871 | 870,163 | |||||||
Macquarie Group Ltd. (Australia)†(d) | 4.15% | #(e) | 3/27/2024 | 1,393 | 1,439,735 |
See Notes to Financial Statements. | 193 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Macquarie Group Ltd. (Australia)†(d) | 7.625% | 8/13/2019 | $ | 324 | $ | 326,968 | ||||||
Manufacturers & Traders Trust Co. | 3.645% (1 Mo. LIBOR + 1.22% | )# | 12/28/2020 | 346 | 346,116 | |||||||
Morgan Stanley | 3.772% (3 Mo. LIBOR + 1.18% | )# | 1/20/2022 | 1,300 | 1,313,682 | |||||||
NBK SPC Ltd. (United Arab Emirates)†(d) | 2.75% | 5/30/2022 | 960 | 952,145 | ||||||||
Nordea Bank Abp (Finland)†(d) | 4.25% | 9/21/2022 | 505 | 523,861 | ||||||||
Nordea Bank Abp (Finland)†(d) | 4.875% | 5/13/2021 | 1,768 | 1,833,072 | ||||||||
Popular, Inc. | 6.125% | 9/14/2023 | 504 | 526,680 | ||||||||
Royal Bank of Scotland Group plc (United Kingdom)(d) | 6.125% | 12/15/2022 | 435 | 462,911 | ||||||||
Royal Bank of Scotland Group plc (United Kingdom)(d) | 6.40% | 10/21/2019 | 736 | 745,697 | ||||||||
Santander UK Group Holdings plc (United Kingdom)(d) | 2.875% | 8/5/2021 | 321 | 319,781 | ||||||||
Santander UK Group Holdings plc (United Kingdom)(d) | 3.373% | #(e) | 1/5/2024 | 1,011 | 1,003,462 | |||||||
Santander UK Group Holdings plc (United Kingdom)(d) | 3.571% | 1/10/2023 | 796 | 799,721 | ||||||||
Standard Chartered Bank Hong Kong Ltd. (Hong Kong)(d) | 5.875% | 6/24/2020 | 555 | 572,189 | ||||||||
Standard Chartered plc (United Kingdom)†(d) | 4.247% | #(e) | 1/20/2023 | 1,578 | 1,608,214 | |||||||
Swedbank AB (Sweden)†(d) | 2.65% | 3/10/2021 | 371 | 369,123 | ||||||||
Swedbank AB (Sweden)†(d) | 2.80% | 3/14/2022 | 837 | 830,713 | ||||||||
Synovus Financial Corp. | 3.125% | 11/1/2022 | 1,470 | 1,463,900 | ||||||||
Turkiye Halk Bankasi AS (Turkey)†(d) | 3.875% | 2/5/2020 | 218 | 207,966 | ||||||||
Turkiye Halk Bankasi AS (Turkey)†(d) | 4.75% | 6/4/2019 | 1,619 | 1,619,000 | ||||||||
Turkiye Vakiflar Bankasi TAO (Turkey)†(d) | 5.625% | 5/30/2022 | 821 | 735,944 | ||||||||
Turkiye Vakiflar Bankasi TAO (Turkey)†(d) | 5.75% | 1/30/2023 | 806 | 695,687 | ||||||||
UBS AG (Switzerland)(d) | 5.125% | 5/15/2024 | 515 | 538,490 | ||||||||
UBS AG/Stamford CT | 7.625% | 8/17/2022 | 3,948 | 4,365,560 | ||||||||
UBS Group Funding Switzerland AG (Switzerland)†(d) | 2.65% | 2/1/2022 | 921 | 917,409 | ||||||||
UBS Group Funding Switzerland AG (Switzerland)†(d) | 3.491% | 5/23/2023 | 971 | 983,481 | ||||||||
UBS Group Funding Switzerland AG (Switzerland)†(d) | 3.744% (3 Mo. LIBOR + 1.22% | )# | 5/23/2023 | 1,085 | 1,094,772 | |||||||
Zions Bancorp N.A. | 3.35% | 3/4/2022 | 1,046 | 1,060,788 | ||||||||
Zions Bancorp N.A. | 3.50% | 8/27/2021 | 376 | 382,248 | ||||||||
Total | 66,348,719 |
194 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Beverages 0.20% | ||||||||||||
Keurig Dr Pepper, Inc. | 3.20% | 11/15/2021 | $ | 880 | $ | 887,087 | ||||||
Keurig Dr Pepper, Inc.† | 4.057% | 5/25/2023 | 1,557 | 1,619,629 | ||||||||
Total | 2,506,716 | |||||||||||
Biotechnology Research & Production 0.07% | ||||||||||||
Sotera Health Topco, Inc. PIK 8.875%† | 8.125% | 11/1/2021 | 888 | 883,560 | ||||||||
Building Materials 0.87% | ||||||||||||
Boral Finance Pty Ltd. (Australia)†(d) | 3.00% | 11/1/2022 | 374 | 372,532 | ||||||||
CPG Merger Sub LLC† | 8.00% | 10/1/2021 | 887 | 902,522 | ||||||||
Griffon Corp. | 5.25% | 3/1/2022 | 1,961 | 1,958,549 | ||||||||
Holcim US Finance Sarl & Cie SCS (Luxembourg)†(d) | 6.00% | 12/30/2019 | 4,248 | 4,312,658 | ||||||||
Martin Marietta Materials, Inc. | 3.173% (3 Mo. LIBOR + .65% | )# | 5/22/2020 | 230 | 230,087 | |||||||
Owens Corning | 4.20% | 12/1/2024 | 1,254 | 1,291,511 | ||||||||
Vulcan Materials Co. | 3.17% (3 Mo. LIBOR + .65% | )# | 3/1/2021 | 1,563 | 1,563,775 | |||||||
Total | 10,631,634 | |||||||||||
Business Services 0.46% | ||||||||||||
Adani Ports & Special Economic Zone Ltd. (India)†(d) | 3.95% | 1/19/2022 | 500 | 507,662 | ||||||||
APX Group, Inc. | 8.75% | 12/1/2020 | 878 | 824,223 | ||||||||
Ashtead Capital, Inc.† | 5.625% | 10/1/2024 | 810 | 837,338 | ||||||||
Equifax, Inc. | 3.388% (3 Mo. LIBOR + .87% | )# | 8/15/2021 | 1,872 | 1,867,347 | |||||||
IHS Markit Ltd. (United Kingdom)(d) | 3.625% | 5/1/2024 | 348 | 350,975 | ||||||||
IHS Markit Ltd. (United Kingdom)(d) | 4.125% | 8/1/2023 | 480 | 498,187 | ||||||||
NESCO LLC/NESCO Finance Corp.† | 6.875% | 2/15/2021 | 752 | 750,120 | ||||||||
Total | 5,635,852 | |||||||||||
Chemicals 0.56% | ||||||||||||
Blue Cube Spinco LLC | 9.75% | 10/15/2023 | 177 | 195,143 | ||||||||
Braskem Netherlands Finance BV (Netherlands)†(d) | 3.50% | 1/10/2023 | 375 | 368,348 | ||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(d) | 3.00% | 7/19/2020 | 200 | 200,321 | ||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(d) | 3.50% | 7/19/2022 | 600 | 602,130 | ||||||||
Equate Petrochemical BV (Netherlands)†(d) | 3.00% | 3/3/2022 | 200 | 198,549 | ||||||||
Rayonier AM Products, Inc.† | 5.50% | 6/1/2024 | 894 | 725,937 | ||||||||
SABIC Capital II BV (Netherlands)†(d) | 4.00% | 10/10/2023 | 695 | 715,502 | ||||||||
Syngenta Finance NV (Netherlands)†(d) | 3.698% | 4/24/2020 | 700 | 703,130 | ||||||||
Syngenta Finance NV (Netherlands)†(d) | 3.933% | 4/23/2021 | 1,026 | 1,040,214 | ||||||||
Syngenta Finance NV (Netherlands)†(d) | 4.441% | 4/24/2023 | 250 | 257,901 | ||||||||
Yara International ASA (Norway)†(d) | 7.875% | 6/11/2019 | 1,848 | 1,849,710 | ||||||||
Total | 6,856,885 |
See Notes to Financial Statements. | 195 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Coal 0.07% | ||||||||||||
Eterna Capital Pte Ltd. PIK 1.00% (Singapore)(d) | 7.50% | 12/11/2022 | $ | 613 | $ | 605,856 | ||||||
Peabody Energy Corp.† | 6.00% | 3/31/2022 | 202 | 201,242 | ||||||||
Total | 807,098 | |||||||||||
Computer Hardware 0.59% | ||||||||||||
Dell International LLC/EMC Corp.† | 4.42% | 6/15/2021 | 2,358 | 2,417,157 | ||||||||
Dell International LLC/EMC Corp.† | 5.45% | 6/15/2023 | 2,458 | 2,614,530 | ||||||||
Dell International LLC/EMC Corp.† | 5.875% | 6/15/2021 | 774 | 785,549 | ||||||||
GCI LLC | 6.75% | 6/1/2021 | 700 | 700,875 | ||||||||
HT Global IT Solutions Holdings Ltd. (Mauritius)†(d) | 7.00% | 7/14/2021 | 700 | 723,100 | ||||||||
Total | 7,241,211 | |||||||||||
Computer Software 0.68% | ||||||||||||
CA, Inc. | 3.60% | 8/1/2020 | 312 | 313,503 | ||||||||
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Ho† | 10.00% | 11/30/2024 | 1,001 | 1,093,592 | ||||||||
Infor US, Inc. | 6.50% | 5/15/2022 | 303 | 307,224 | ||||||||
Informatica LLC† | 7.125% | 7/15/2023 | 1,075 | 1,087,879 | ||||||||
RP Crown Parent LLC† | 7.375% | 10/15/2024 | 477 | 497,416 | ||||||||
Solera LLC/Solera Finance, Inc.† | 10.50% | 3/1/2024 | 1,751 | �� | 1,893,181 | |||||||
Sophia LP/Sophia Finance, Inc.† | 9.00% | 9/30/2023 | 1,141 | 1,180,935 | ||||||||
TIBCO Software, Inc.† | 11.375% | 12/1/2021 | 1,883 | 1,992,449 | ||||||||
Total | 8,366,179 | |||||||||||
Construction/Homebuilding 0.64% | ||||||||||||
Brookfield Residential Properties, Inc. (Canada)†(d) | 6.50% | 12/15/2020 | 1,872 | 1,869,660 | ||||||||
Century Communities, Inc. | 6.875% | 5/15/2022 | 400 | 408,920 | ||||||||
D.R. Horton, Inc. | 4.375% | 9/15/2022 | 330 | 342,398 | ||||||||
D.R. Horton, Inc. | 4.75% | 2/15/2023 | 152 | 160,013 | ||||||||
D.R. Horton, Inc. | 5.75% | 8/15/2023 | 1,592 | 1,735,568 | ||||||||
M/I Homes, Inc. | 6.75% | 1/15/2021 | 2,026 | 2,056,390 | ||||||||
Taylor Morrison Communities, Inc. | 6.625% | 5/15/2022 | 334 | 344,337 | ||||||||
William Lyon Homes, Inc. | 7.00% | 8/15/2022 | 990 | 992,475 | ||||||||
Total | 7,909,761 | |||||||||||
Containers 0.26% | ||||||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA | 5.75% | 10/15/2020 | 3,108 | 3,116,630 | ||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA | 6.875% | 2/15/2021 | 84 | 83,829 | ||||||||
Total | 3,200,459 |
196 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Drugs 0.43% | ||||||||||||
Bayer US Finance II LLC† | 2.75% | 7/15/2021 | $ | 1,014 | $ | 1,009,943 | ||||||
Bayer US Finance II LLC† | 3.50% | 6/25/2021 | 400 | 403,498 | ||||||||
Bayer US Finance II LLC† | 3.621% (3 Mo. LIBOR + 1.01% | )# | 12/15/2023 | 200 | 196,367 | |||||||
Bayer US Finance II LLC† | 3.875% | 12/15/2023 | 1,695 | 1,724,855 | ||||||||
Cigna Corp.† | 2.965% (3 Mo. LIBOR + .35% | )# | 3/17/2020 | 153 | 153,086 | |||||||
Elanco Animal Health, Inc.† | 3.912% | 8/27/2021 | 464 | 473,778 | ||||||||
Elanco Animal Health, Inc.† | 4.272% | 8/28/2023 | 1,070 | 1,123,946 | ||||||||
Teva Pharmaceutical Finance Co. BV (Curacao)(d) | 3.65% | 11/10/2021 | 179 | 168,036 | ||||||||
Total | 5,253,509 | |||||||||||
Electric: Power 2.06% | ||||||||||||
AES Corp. (The) | 4.875% | 5/15/2023 | 637 | 641,306 | ||||||||
Ausgrid Finance Pty Ltd. (Australia)†(d) | 3.85% | 5/1/2023 | 2,099 | 2,166,825 | ||||||||
Comision Federal de Electricidad (Mexico)†(d) | 4.875% | 5/26/2021 | 1,197 | 1,229,032 | ||||||||
Dominion Energy, Inc. | 2.962% | 7/1/2019 | 519 | 518,992 | ||||||||
Dominion Energy, Inc. | 4.104% | 4/1/2021 | 1,909 | 1,948,632 | ||||||||
Duquesne Light Holdings, Inc.† | 5.90% | 12/1/2021 | 353 | 376,200 | ||||||||
Duquesne Light Holdings, Inc.† | 6.40% | 9/15/2020 | 572 | 596,911 | ||||||||
Emera US Finance LP | 2.70% | 6/15/2021 | 1,280 | 1,276,072 | ||||||||
Enel Finance International NV (Netherlands)†(d) | 2.75% | 4/6/2023 | 1,010 | 988,421 | ||||||||
Enel Finance International NV (Netherlands)†(d) | 2.875% | 5/25/2022 | 2,250 | 2,226,103 | ||||||||
Enel Finance International NV (Netherlands)†(d) | 4.25% | 9/14/2023 | 472 | 486,746 | ||||||||
Jersey Central Power & Light Co.† | 4.70% | 4/1/2024 | 491 | 528,684 | ||||||||
NextEra Energy Capital Holdings, Inc. | 3.045% (3 Mo. LIBOR + .48% | )# | 5/4/2021 | 653 | 651,884 | |||||||
NRG Energy, Inc.† | 3.75% | 6/15/2024 | 749 | 762,100 | ||||||||
Origin Energy Finance Ltd. (Australia)†(d) | 5.45% | 10/14/2021 | 2,207 | 2,333,600 | ||||||||
PNM Resources, Inc. | 3.25% | 3/9/2021 | 546 | 549,837 | ||||||||
PPL Capital Funding, Inc. | 3.50% | 12/1/2022 | 430 | 438,497 | ||||||||
PPL WEM Ltd./Western Power Distribution Ltd. (United Kingdom)†(d) | 5.375% | 5/1/2021 | 597 | 616,444 | ||||||||
PSEG Power LLC | 5.125% | 4/15/2020 | 45 | 45,924 | ||||||||
Puget Energy, Inc. | 5.625% | 7/15/2022 | 490 | 524,401 | ||||||||
Puget Energy, Inc. | 6.00% | 9/1/2021 | 1,264 | 1,347,841 | ||||||||
San Diego Gas & Electric Co. | 1.914% | 2/1/2022 | 233 | 227,886 | ||||||||
SCANA Corp. | 4.125% | 2/1/2022 | 481 | 490,007 | ||||||||
SCANA Corp. | 4.75% | 5/15/2021 | 781 | 798,549 | ||||||||
SCANA Corp. | 6.25% | 4/1/2020 | 346 | 353,500 | ||||||||
Sempra Energy | 2.875% | 10/1/2022 | 49 | 48,964 |
See Notes to Financial Statements. | 197 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Power (continued) | ||||||||||||
Sempra Energy | 3.097% (3 Mo. LIBOR + .50% | )# | 1/15/2021 | $ | 716 | $ | 713,952 | |||||
Sempra Energy | 4.05% | 12/1/2023 | 465 | 485,466 | ||||||||
TransAlta Corp. (Canada)(d) | 4.50% | 11/15/2022 | 1,861 | 1,910,550 | ||||||||
Total | 25,283,326 | |||||||||||
Electrical Equipment 0.98% | ||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 2.65% | 1/15/2023 | 1,223 | 1,191,852 | ||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 3.00% | 1/15/2022 | 2,947 | 2,931,903 | ||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 3.625% | 1/15/2024 | 1,095 | 1,086,168 | ||||||||
Broadcom, Inc.† | 3.125% | 4/15/2021 | 1,210 | 1,211,685 | ||||||||
Broadcom, Inc.† | 3.125% | 10/15/2022 | 1,815 | 1,807,737 | ||||||||
Broadcom, Inc.† | 3.625% | 10/15/2024 | 1,490 | 1,466,826 | ||||||||
Marvell Technology Group Ltd. | 4.20% | 6/22/2023 | 953 | 983,489 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(d) | 3.875% | 9/1/2022 | 563 | 573,416 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(d) | 4.625% | 6/1/2023 | 797 | 830,713 | ||||||||
Total | 12,083,789 | |||||||||||
Electronics 0.16% | ||||||||||||
PerkinElmer, Inc. | 5.00% | 11/15/2021 | 770 | 804,120 | ||||||||
Trimble, Inc. | 4.15% | 6/15/2023 | 847 | 871,857 | ||||||||
Trimble, Inc. | 4.75% | 12/1/2024 | 247 | 257,863 | ||||||||
Total | 1,933,840 | |||||||||||
Entertainment 0.27% | ||||||||||||
Eldorado Resorts, Inc. | 7.00% | 8/1/2023 | 500 | 518,750 | ||||||||
Scientific Games International, Inc. | 6.25% | 9/1/2020 | 674 | 675,685 | ||||||||
Scientific Games International, Inc. | 6.625% | 5/15/2021 | 1,149 | 1,164,799 | ||||||||
Scientific Games International, Inc. | 10.00% | 12/1/2022 | 925 | 974,090 | ||||||||
Total | 3,333,324 | |||||||||||
Financial Services 2.74% | ||||||||||||
AerCap Ireland Capital DAC/AerCap GlobalAviation Trust (Ireland)(d) | 3.50% | 5/26/2022 | 273 | 274,709 | ||||||||
AerCap Ireland Capital DAC/AerCap GlobalAviation Trust (Ireland)(d) | 4.25% | 7/1/2020 | 452 | 458,992 | ||||||||
AerCap Ireland Capital DAC/AerCap GlobalAviation Trust (Ireland)(d) | 4.45% | 12/16/2021 | 382 | 394,093 | ||||||||
AerCap Ireland Capital DAC/AerCap GlobalAviation Trust (Ireland)(d) | 4.625% | 10/30/2020 | 292 | 299,006 | ||||||||
AerCap Ireland Capital DAC/AerCap GlobalAviation Trust (Ireland)(d) | 4.875% | 1/16/2024 | 272 | 287,671 |
198 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Financial Services (continued) | ||||||||||||
Air Lease Corp. | 4.25% | 2/1/2024 | $ | 932 | $ | 968,817 | ||||||
Aircastle Ltd. | 4.40% | 9/25/2023 | 1,323 | 1,355,512 | ||||||||
Aircastle Ltd. | 5.00% | 4/1/2023 | 1,479 | 1,544,998 | ||||||||
Aircastle Ltd. | 5.50% | 2/15/2022 | 1,298 | 1,370,530 | ||||||||
Aircastle Ltd. | 7.625% | 4/15/2020 | 530 | 549,693 | ||||||||
Ally Financial, Inc. | 3.875% | 5/21/2024 | 654 | 652,365 | ||||||||
Discover Financial Services | 5.20% | 4/27/2022 | 1,557 | 1,657,935 | ||||||||
GE Capital International Funding Co. Unlimited Co. (Ireland)(d) | 2.342% | 11/15/2020 | 2,895 | 2,867,149 | ||||||||
International Lease Finance Corp. | 8.25% | 12/15/2020 | 2,944 | 3,173,995 | ||||||||
International Lease Finance Corp. | 8.625% | 1/15/2022 | 2,533 | 2,880,224 | ||||||||
Jefferies Financial Group, Inc. | 5.50% | 10/18/2023 | 1,938 | 2,059,262 | ||||||||
Jefferies Group LLC | 6.875% | 4/15/2021 | 2,140 | 2,288,442 | ||||||||
Jefferies Group LLC | 8.50% | 7/15/2019 | 5,090 | 5,121,372 | ||||||||
Nationstar Mortgage Holdings, Inc.† | 8.125% | 7/15/2023 | 2,048 | 2,048,000 | ||||||||
Nationstar Mortgage LLC/Nationstar Capital Corp. | 6.50% | 7/1/2021 | 608 | 605,276 | ||||||||
Navient Corp. | 5.00% | 10/26/2020 | 1,169 | 1,185,074 | ||||||||
Navient Corp. | 5.875% | 3/25/2021 | 511 | 522,983 | ||||||||
Navient Corp. | 6.625% | 7/26/2021 | 915 | 951,426 | ||||||||
VFH Parent LLC/Orchestra Co-Issuer, Inc.† | 6.75% | 6/15/2022 | 157 | 162,157 | ||||||||
Total | 33,679,681 | |||||||||||
Food 0.09% | ||||||||||||
JBS USA LUX SA/JBS USA Finance, Inc.† | 5.875% | 7/15/2024 | 238 | 244,842 | ||||||||
Smithfield Foods, Inc.† | 2.70% | 1/31/2020 | 386 | 385,018 | ||||||||
Smithfield Foods, Inc.† | 3.35% | 2/1/2022 | 444 | 437,745 | ||||||||
Total | 1,067,605 | |||||||||||
Health Care Products 0.21% | ||||||||||||
Becton Dickinson & Co. | 3.476% (3 Mo. LIBOR + .88% | )# | 12/29/2020 | 671 | 671,189 | |||||||
Kinetic Concepts, Inc./KCI USA, Inc.† | 7.875% | 2/15/2021 | 1,436 | 1,479,080 | ||||||||
Kinetic Concepts, Inc./KCI USA, Inc.† | 12.50% | 11/1/2021 | 129 | 142,506 | ||||||||
Zimmer Biomet Holdings, Inc. | 3.70% | 3/19/2023 | 278 | 285,144 | ||||||||
Total | 2,577,919 | |||||||||||
Health Care Services 1.30% | ||||||||||||
Acadia Healthcare Co., Inc. | 5.625% | 2/15/2023 | 129 | 129,806 | ||||||||
Acadia Healthcare Co., Inc. | 6.125% | 3/15/2021 | 1,796 | 1,798,245 | ||||||||
Centene Corp. | 5.625% | 2/15/2021 | 3,021 | 3,058,762 | ||||||||
Eagle Holding Co. II LLC PIK 8.375%† | 7.625% | 5/15/2022 | 474 | 475,778 |
See Notes to Financial Statements. | 199 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Health Care Services (continued) | ||||||||||||
Fresenius Medical Care US Finance II, Inc.† | 4.125% | 10/15/2020 | $ | 123 | $ | 124,600 | ||||||
Fresenius Medical Care US Finance II, Inc.† | 5.875% | 1/31/2022 | 3,051 | 3,250,636 | ||||||||
Fresenius Medical Care US Finance, Inc.† | 5.75% | 2/15/2021 | 118 | 122,869 | ||||||||
HCA, Inc. | 5.00% | 3/15/2024 | 1,400 | 1,496,037 | ||||||||
Polaris Intermediate Corp. PIK 8.50%† | 8.50% | 12/1/2022 | 817 | 805,766 | ||||||||
RegionalCare Hospital Partners Holdings, Inc.† | 8.25% | 5/1/2023 | 107 | 113,688 | ||||||||
Select Medical Corp. | 6.375% | 6/1/2021 | 179 | 179,358 | ||||||||
Syneos Health, Inc./inVentiv Health, Inc./inVentivHealth Clinical, Inc.† | 7.50% | 10/1/2024 | 1,246 | 1,302,070 | ||||||||
Universal Health Services, Inc.† | 4.75% | 8/1/2022 | 3,104 | 3,123,400 | ||||||||
Total | 15,981,015 | |||||||||||
Household Equipment/Products 0.32% | ||||||||||||
Newell Brands, Inc. | 3.85% | 4/1/2023 | 2,392 | 2,410,592 | ||||||||
Newell Brands, Inc. | 4.00% | 12/1/2024 | 769 | 773,850 | ||||||||
Newell Brands, Inc. | 4.70% | 8/15/2020 | 143 | 146,281 | ||||||||
Newell Brands, Inc. | 5.00% | 11/15/2023 | 372 | 383,424 | ||||||||
Scotts Miracle-Gro Co. (The) | 6.00% | 10/15/2023 | 165 | 171,394 | ||||||||
Spectrum Brands, Inc. | 6.625% | 11/15/2022 | 44 | 44,990 | ||||||||
Total | 3,930,531 | |||||||||||
Insurance 0.42% | ||||||||||||
Alliant Holdings Intermediate LLC/Alliant | ||||||||||||
Holdings Co-Issuer† | 8.25% | 8/1/2023 | 920 | 943,000 | ||||||||
Assurant, Inc. | 4.20% | 9/27/2023 | 988 | 1,018,621 | ||||||||
AXA Equitable Holdings, Inc. | 3.90% | 4/20/2023 | 1,084 | 1,123,746 | ||||||||
CNO Financial Group, Inc. | 4.50% | 5/30/2020 | 99 | 100,470 | ||||||||
Protective Life Corp. | 7.375% | 10/15/2019 | 208 | 211,524 | ||||||||
Willis North America, Inc. | 7.00% | 9/29/2019 | 1,005 | 1,017,414 | ||||||||
Willis Towers Watson plc (United Kingdom)(d) | 5.75% | 3/15/2021 | 284 | 297,988 | ||||||||
WR Berkley Corp. | 5.375% | 9/15/2020 | 470 | 486,658 | ||||||||
Total | 5,199,421 | |||||||||||
Investment Management Companies 0.02% | ||||||||||||
Huarong Finance Co. Ltd. | 4.00% | 7/17/2019 | 250 | 250,244 | ||||||||
Leasing 0.51% | ||||||||||||
Aviation Capital Group LLC† | 3.875% | 5/1/2023 | 706 | 721,892 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(d) | 5.25% | 5/15/2024 | 239 | 248,871 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(d) | 5.50% | 1/15/2023 | 259 | 269,723 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(d) | 5.125% | 10/1/2023 | 562 | 583,075 |
200 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Leasing (continued) | ||||||||||||
DAE Funding LLC (United Arab Emirates)†(d) | 4.00% | 8/1/2020 | $ | 397 | $ | 397,992 | ||||||
GATX Corp. | 4.35% | 2/15/2024 | 507 | 534,043 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(d) | 5.50% | 2/15/2024 | 396 | 416,232 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(d) | 3.625% | 3/15/2021 | 348 | 349,152 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(d) | 4.50% | 3/15/2023 | 1,042 | 1,056,244 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(d) | 5.25% | 8/15/2022 | 333 | 347,402 | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.† | 3.45% | 7/1/2024 | 1,119 | 1,132,564 | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.† | 3.90% | 2/1/2024 | 144 | 148,952 | ||||||||
Total | 6,206,142 | |||||||||||
Leisure 0.50% | ||||||||||||
LTF Merger Sub, Inc.† | 8.50% | 6/15/2023 | 3,364 | 3,456,510 | ||||||||
NCL Corp. Ltd.† | 4.75% | 12/15/2021 | 334 | 337,340 | ||||||||
Royal Caribbean Cruises Ltd. | 5.25% | 11/15/2022 | 1,107 | 1,195,784 | ||||||||
Silversea Cruise Finance Ltd.† | 7.25% | 2/1/2025 | 1,049 | 1,131,231 | ||||||||
Total | 6,120,865 | |||||||||||
Lodging 0.07% | ||||||||||||
Studio City Co., Ltd. (Macau)†(d) | 7.25% | 11/30/2021 | 481 | 498,436 | ||||||||
Wyndham Destinations, Inc. | 5.625% | 3/1/2021 | 398 | 411,930 | ||||||||
Total | 910,366 | |||||||||||
Machinery: Agricultural 0.55% | ||||||||||||
BAT Capital Corp. | 3.222% | 8/15/2024 | 2,641 | 2,616,069 | ||||||||
Pyxus International, Inc. | 9.875% | 7/15/2021 | 849 | 723,773 | ||||||||
Reynolds American, Inc. | 4.85% | 9/15/2023 | 945 | 1,003,619 | ||||||||
Viterra, Inc. (Canada)†(d) | 5.95% | 8/1/2020 | 2,351 | 2,428,343 | ||||||||
Total | 6,771,804 | |||||||||||
Machinery: Industrial/Specialty 0.75% | ||||||||||||
CNH Industrial Capital LLC | 4.20% | 1/15/2024 | 900 | 915,849 | ||||||||
CNH Industrial Capital LLC | 4.375% | 11/6/2020 | 289 | 294,231 | ||||||||
CNH Industrial Capital LLC | 4.375% | 4/5/2022 | 1,563 | 1,604,888 | ||||||||
CNH Industrial Capital LLC | 4.875% | 4/1/2021 | 1,170 | 1,205,919 | ||||||||
CNH Industrial NV (United Kingdom)(d) | 4.50% | 8/15/2023 | 1,303 | 1,347,680 | ||||||||
Flowserve Corp. | 4.00% | 11/15/2023 | 313 | 317,665 | ||||||||
Nvent Finance Sarl (Luxembourg)(d) | 3.95% | 4/15/2023 | 1,308 | 1,326,643 | ||||||||
Roper Technologies, Inc. | 3.65% | 9/15/2023 | 833 | 858,788 | ||||||||
Wabtec Corp. | 3.911% (3 Mo. LIBOR + 1.30% | )# | 9/15/2021 | 386 | 386,018 | |||||||
Wabtec Corp. | 4.40% | 3/15/2024 | 871 | 903,522 | ||||||||
Total | 9,161,203 |
See Notes to Financial Statements. | 201 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Manufacturing 0.88% | ||||||||||||
Gates Global LLC/Gates Global Co.† | 6.00% | 7/15/2022 | $ | 859 | $ | 856,852 | ||||||
General Electric Co. | 2.70% | 10/9/2022 | 1,585 | 1,569,061 | ||||||||
General Electric Co. | 3.10% | 1/9/2023 | 1,059 | 1,059,150 | ||||||||
General Electric Co. | 3.15% | 9/7/2022 | 827 | 832,184 | ||||||||
General Electric Co. | 3.375% | 3/11/2024 | 366 | 370,701 | ||||||||
General Electric Co. | 3.45% | 5/15/2024 | 947 | 957,720 | ||||||||
General Electric Co. | 4.65% | 10/17/2021 | 2,013 | 2,092,780 | ||||||||
General Electric Co. | 5.30% | 2/11/2021 | 661 | 685,608 | ||||||||
General Electric Co./LJ VP Holdings LLC† | 3.80% | 6/18/2019 | 534 | 534,230 | ||||||||
Pentair Finance Sarl (Luxembourg)(d) | 2.65% | 12/1/2019 | 1,821 | 1,819,098 | ||||||||
Total | 10,777,384 | |||||||||||
Media 0.98% | ||||||||||||
Altice Financing SA (Luxembourg)†(d) | 6.625% | 2/15/2023 | 1,025 | 1,044,362 | ||||||||
Altice Luxembourg SA (Luxembourg)†(d)(f) | 7.75% | 5/15/2022 | 200 | 204,000 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 5.25% | 3/15/2021 | 1,580 | 1,584,937 | ||||||||
Cox Communications, Inc.† | 2.95% | 6/30/2023 | 1,817 | 1,816,721 | ||||||||
Cox Communications, Inc.† | 3.25% | 12/15/2022 | 1,093 | 1,109,302 | ||||||||
Globo Comunicacao e Participacoes SA (Brazil)†(d) | 4.875% | 4/11/2022 | 250 | 255,159 | ||||||||
Myriad International Holdings BV (Netherlands)†(d) | 6.00% | 7/18/2020 | 1,825 | 1,883,893 | ||||||||
NBCUniversal Enterprise, Inc.† | 5.25% | – | (g) | 4,080 | 4,163,783 | |||||||
Total | 12,062,157 | |||||||||||
Metal Fabricating 0.08% | ||||||||||||
Grinding Media, Inc./Moly-Cop AltaSteel Ltd.† | 7.375% | 12/15/2023 | 605 | 565,675 | ||||||||
Zekelman Industries, Inc.† | 9.875% | 6/15/2023 | 423 | 445,208 | ||||||||
Total | 1,010,883 | |||||||||||
Metals & Minerals: Miscellaneous 2.30% | ||||||||||||
Anglo American Capital plc (United Kingdom)†(d) | 3.625% | 9/11/2024 | 2,050 | 2,059,791 | ||||||||
Anglo American Capital plc (United Kingdom)†(d) | 3.75% | 4/10/2022 | 2,310 | 2,346,121 | ||||||||
Anglo American Capital plc (United Kingdom)†(d) | 4.125% | 4/15/2021 | 200 | 203,357 | ||||||||
Anglo American Capital plc (United Kingdom)†(d) | 4.125% | 9/27/2022 | 1,807 | 1,858,210 | ||||||||
Century Aluminum Co.† | 7.50% | 6/1/2021 | 395 | 390,062 | ||||||||
FMG Resources August 2006 Pty Ltd. (Australia)†(d) | 4.75% | 5/15/2022 | 130 | 130,813 | ||||||||
FMG Resources August 2006 Pty Ltd. (Australia)†(d) | 5.125% | 3/15/2023 | 390 | 394,875 | ||||||||
FMG Resources August 2006 Pty Ltd. (Australia)†(d) | 5.125% | 5/15/2024 | 903 | 909,294 | ||||||||
Freeport-McMoRan, Inc. | 3.875% | 3/15/2023 | 666 | 643,010 | ||||||||
Freeport-McMoRan, Inc. | 4.55% | 11/14/2024 | 565 | 546,637 | ||||||||
Freeport-McMoRan, Inc. | 6.875% | 2/15/2023 | 308 | 323,015 |
202 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Metals & Minerals: Miscellaneous (continued) | ||||||||||||
Glencore Finance Canada Ltd. (Canada)†(d) | 4.25% | 10/25/2022 | $ | 2,388 | $ | 2,472,836 | ||||||
Glencore Funding LLC† | 2.875% | 4/16/2020 | 123 | 123,433 | ||||||||
Glencore Funding LLC† | 3.00% | 10/27/2022 | 225 | 222,874 | ||||||||
Glencore Funding LLC† | 4.125% | 3/12/2024 | 939 | 956,898 | ||||||||
Glencore Funding LLC† | 4.125% | 5/30/2023 | 1,890 | 1,930,679 | ||||||||
Glencore Funding LLC† | 4.625% | 4/29/2024 | 465 | 482,504 | ||||||||
Hecla Mining Co. | 6.875% | 5/1/2021 | 339 | 317,812 | ||||||||
Hudbay Minerals, Inc. (Canada)†(d) | 7.25% | 1/15/2023 | 521 | 526,861 | ||||||||
Indonesia Asahan Aluminium Persero PT (Indonesia)†(d) | 5.23% | 11/15/2021 | 1,200 | 1,253,418 | ||||||||
Joseph T Ryerson & Son, Inc.† | 11.00% | 5/15/2022 | 513 | 541,375 | ||||||||
Kinross Gold Corp. (Canada)(d) | 5.125% | 9/1/2021 | 257 | 264,068 | ||||||||
Kinross Gold Corp. (Canada)(d) | 5.95% | 3/15/2024 | 1,044 | 1,114,470 | ||||||||
New Gold, Inc. (Canada)†(d) | 6.25% | 11/15/2022 | 667 | 570,285 | ||||||||
Newmont Goldcorp Corp.† | 3.625% | 6/9/2021 | 2,998 | 3,039,978 | ||||||||
Newmont Goldcorp Corp.† | 3.70% | 3/15/2023 | 937 | 964,186 | ||||||||
Newmont Mining Corp. | 3.50% | 3/15/2022 | 326 | 331,091 | ||||||||
Teck Resources Ltd. (Canada)†(d) | 8.50% | 6/1/2024 | 3,075 | 3,284,395 | ||||||||
Total | 28,202,348 | |||||||||||
Natural Gas 0.16% | ||||||||||||
National Fuel Gas Co. | 3.75% | 3/1/2023 | 515 | 523,226 | ||||||||
National Fuel Gas Co. | 4.90% | 12/1/2021 | 682 | 707,836 | ||||||||
Southern Star Central Corp.† | 5.125% | 7/15/2022 | 745 | 755,952 | ||||||||
Total | 1,987,014 | |||||||||||
Office Furniture & Business Equipment 0.02% | ||||||||||||
Xerox Corp. | 5.625% | 12/15/2019 | 200 | 202,000 | ||||||||
Oil 4.45% | ||||||||||||
Afren plc (United Kingdom)†(d)(h) | 6.625% | 12/9/2020 | 195 | 1,622 | ||||||||
Afren plc (United Kingdom)†(d)(h) | 10.25% | 4/8/2019 | 195 | 1,643 | ||||||||
Afren plc (United Kingdom)†(d)(h) | 11.50% | 2/1/2016 | 390 | 3,287 | ||||||||
Antero Resources Corp. | 5.125% | 12/1/2022 | 2,570 | 2,553,937 | ||||||||
Callon Petroleum Co. | 6.125% | 10/1/2024 | 192 | 190,560 | ||||||||
Canadian Oil Sands Ltd. (Canada)†(d) | 9.40% | 9/1/2021 | 125 | 141,941 | ||||||||
Carrizo Oil & Gas, Inc. | 6.25% | 4/15/2023 | 2,360 | 2,191,850 | ||||||||
Cenovus Energy, Inc. (Canada)(d) | 5.70% | 10/15/2019 | 346 | 349,315 | ||||||||
Chaparral Energy, Inc.† | 8.75% | 7/15/2023 | 1,580 | 940,100 | ||||||||
Cimarex Energy Co. | 4.375% | 6/1/2024 | 265 | 277,425 |
See Notes to Financial Statements. | 203 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil (continued) | ||||||||||||
CNOOC Curtis Funding No 1 Pty Ltd. (Australia)†(d) | 4.50% | 10/3/2023 | $ | 1,530 | $ | 1,623,625 | ||||||
CNX Resources Corp. | 5.875% | 4/15/2022 | 520 | 501,218 | ||||||||
Concho Resources, Inc. | 4.375% | 1/15/2025 | 1,181 | 1,224,257 | ||||||||
Continental Resources, Inc. | 4.50% | 4/15/2023 | 2,377 | 2,457,956 | ||||||||
Continental Resources, Inc. | 5.00% | 9/15/2022 | 2,604 | 2,626,498 | ||||||||
Diamondback Energy, Inc. | 4.75% | 11/1/2024 | 813 | 830,276 | ||||||||
Energen Corp. | 4.625% | 9/1/2021 | 615 | 624,225 | ||||||||
Eni SpA (Italy)†(d) | 4.00% | 9/12/2023 | 1,327 | 1,368,265 | ||||||||
Eni SpA (Italy)†(d) | 4.15% | 10/1/2020 | 600 | 609,842 | ||||||||
Equinor ASA (Norway)†(d) | 7.875% | 12/9/2022 | 1,000 | 1,169,206 | ||||||||
Gazprom OAO Via Gaz Capital SA (Luxembourg)†(d) | 6.51% | 3/7/2022 | 700 | 752,293 | ||||||||
Gulfport Energy Corp. | 6.625% | 5/1/2023 | 654 | 604,950 | ||||||||
Harvest Operations Corp. (Canada)†(d) | 4.20% | 6/1/2023 | 250 | 263,782 | ||||||||
HighPoint Operating Corp. | 7.00% | 10/15/2022 | 133 | 128,345 | ||||||||
Husky Energy, Inc. (Canada)(d) | 4.00% | 4/15/2024 | 1,002 | 1,044,165 | ||||||||
Kerr-McGee Corp. | 6.95% | 7/1/2024 | 512 | 602,715 | ||||||||
Laredo Petroleum, Inc. | 5.625% | 1/15/2022 | 1,274 | 1,178,450 | ||||||||
Lukoil International Finance BV (Netherlands)†(d) | 6.125% | 11/9/2020 | 200 | 207,811 | ||||||||
Marathon Petroleum Corp. | 5.375% | 10/1/2022 | 938 | 953,703 | ||||||||
Medco Straits Services Pte Ltd. (Singapore)†(d) | 8.50% | 8/17/2022 | 200 | 211,857 | ||||||||
MEG Energy Corp. (Canada)†(d) | 6.50% | 1/15/2025 | 630 | 608,549 | ||||||||
Montage Resources Corp. | 8.875% | 7/15/2023 | 961 | 850,485 | ||||||||
Motiva Enterprises LLC† | 5.75% | 1/15/2020 | 2,096 | 2,127,873 | ||||||||
Murphy Oil Corp. | 6.875% | 8/15/2024 | 422 | 437,579 | ||||||||
Nexen, Inc. (Canada)(d) | 6.20% | 7/30/2019 | 74 | 74,412 | ||||||||
Oasis Petroleum, Inc. | 6.875% | 3/15/2022 | 4,529 | 4,395,485 | ||||||||
OGX Austria GmbH (Brazil)†(d)(h) | 8.50% | 6/1/2018 | 225 | 5 | ||||||||
Parsley Energy LLC/Parsley Finance Corp.† | 6.25% | 6/1/2024 | 185 | 189,163 | ||||||||
Petroleos Mexicanos (Mexico)(d) | 3.50% | 1/30/2023 | 1,714 | 1,652,467 | ||||||||
Petroleos Mexicanos (Mexico)(d) | 4.625% | 9/21/2023 | 3,045 | 3,040,052 | ||||||||
Petroleos Mexicanos (Mexico)(d) | 4.875% | 1/18/2024 | 1,332 | 1,335,197 | ||||||||
Petroleos Mexicanos (Mexico)(d) | 5.50% | 1/21/2021 | 884 | 910,078 | ||||||||
Petroleos Mexicanos (Mexico)(d) | 6.375% | 2/4/2021 | 3,552 | 3,701,184 | ||||||||
Phillips 66 | 3.121% (3 Mo. LIBOR + .60% | )# | 2/26/2021 | 362 | 362,011 | |||||||
Pioneer Natural Resources Co. | 7.50% | 1/15/2020 | 101 | 103,827 | ||||||||
Range Resources Corp. | 5.00% | 3/15/2023 | 362 | 340,436 | ||||||||
Range Resources Corp. | 5.00% | 8/15/2022 | 1,503 | 1,427,129 | ||||||||
Range Resources Corp. | 5.75% | 6/1/2021 | 605 | 605,000 | ||||||||
Range Resources Corp. | 5.875% | 7/1/2022 | 216 | 212,760 |
204 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil (continued) | ||||||||||||
Reliance Holdings USA, Inc.† | 5.40% | 2/14/2022 | $ | 1,000 | $ | 1,058,921 | ||||||
Sable Permian Resources Land LLC/AEPB | ||||||||||||
Finance Corp.† | 13.00% | 11/30/2020 | 549 | 527,040 | ||||||||
Saudi Arabian Oil Co. (Saudi Arabia)†(d) | 2.75% | 4/16/2022 | 359 | 358,389 | ||||||||
Saudi Arabian Oil Co. (Saudi Arabia)†(d) | 2.875% | 4/16/2024 | 503 | 500,282 | ||||||||
Seven Generations Energy Ltd. (Canada)†(d) | 6.75% | 5/1/2023 | 1,660 | 1,676,600 | ||||||||
Seven Generations Energy Ltd. (Canada)†(d) | 6.875% | 6/30/2023 | 1,343 | 1,359,787 | ||||||||
SM Energy Co. | 6.125% | 11/15/2022 | 498 | 484,305 | ||||||||
Transocean Sentry Ltd.† | 5.375% | 5/15/2023 | 406 | 402,955 | ||||||||
WPX Energy, Inc. | 5.25% | 9/15/2024 | 227 | 224,163 | ||||||||
WPX Energy, Inc. | 6.00% | 1/15/2022 | 82 | 83,615 | ||||||||
Total | 54,684,868 | |||||||||||
Oil: Crude Producers 1.96% | ||||||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. | 5.50% | 10/15/2019 | 709 | 713,850 | ||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. | 6.25% | 10/15/2022 | 982 | 1,009,005 | ||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. | 6.375% | 5/1/2024 | 3,251 | 3,413,712 | ||||||||
Boardwalk Pipelines LP | 5.75% | 9/15/2019 | 125 | 125,688 | ||||||||
Enable Oklahoma Intrastate Transmission LLC† | 6.25% | 3/15/2020 | 1,937 | 1,982,575 | ||||||||
Energy Transfer Operating LP | 4.25% | 3/15/2023 | 2,099 | 2,161,354 | ||||||||
Energy Transfer Operating LP | 4.65% | 6/1/2021 | 400 | 412,188 | ||||||||
Florida Gas Transmission Co. LLC† | 3.875% | 7/15/2022 | 440 | 454,561 | ||||||||
Midcontinent Express Pipeline LLC† | 6.70% | 9/15/2019 | 947 | 956,625 | ||||||||
Midwest Connector Capital Co. LLC† | 3.625% | 4/1/2022 | 875 | 892,449 | ||||||||
Midwest Connector Capital Co. LLC† | 3.90% | 4/1/2024 | 618 | 634,823 | ||||||||
NGPL PipeCo LLC† | 4.375% | 8/15/2022 | 755 | 767,042 | ||||||||
ONEOK, Inc. | 7.50% | 9/1/2023 | 1,313 | 1,526,311 | ||||||||
Sabine Pass Liquefaction LLC | 5.625% | 2/1/2021 | 116 | 120,374 | ||||||||
Sabine Pass Liquefaction LLC | 5.625% | 4/15/2023 | 6,397 | 6,896,727 | ||||||||
Sabine Pass Liquefaction LLC | 5.75% | 5/15/2024 | 219 | 240,172 | ||||||||
Spectra Energy Partners LP | 4.60% | 6/15/2021 | 297 | 306,311 | ||||||||
Texas Eastern Transmission LP† | 4.125% | 12/1/2020 | 500 | 510,454 | ||||||||
Texas Gas Transmission LLC† | 4.50% | 2/1/2021 | 729 | 744,143 | ||||||||
Williams Cos., Inc. (The) | 7.875% | 9/1/2021 | 192 | 212,695 | ||||||||
Total | 24,081,059 | |||||||||||
Oil: Integrated Domestic 0.52% | ||||||||||||
National Oilwell Varco, Inc. | 2.60% | 12/1/2022 | 3,531 | 3,462,015 | ||||||||
Oceaneering International, Inc. | 4.65% | 11/15/2024 | 355 | 339,025 | ||||||||
Schlumberger Holdings Corp.† | 3.75% | 5/1/2024 | 654 | 673,783 |
See Notes to Financial Statements. | 205 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil: Integrated Domestic (continued) | ||||||||||||
SESI LLC | 7.125% | 12/15/2021 | $ | 1,880 | $ | 1,410,000 | ||||||
TechnipFMC plc (United Kingdom)(d) | 3.45% | 10/1/2022 | 513 | 521,179 | ||||||||
Total | 6,406,002 | |||||||||||
Real Estate Investment Trusts 0.69% | ||||||||||||
Brandywine Operating Partnership LP | 4.10% | 10/1/2024 | 92 | 95,126 | ||||||||
Brixmor Operating Partnership LP | 3.25% | 9/15/2023 | 1,080 | 1,081,387 | ||||||||
Brixmor Operating Partnership LP | 3.65% | 6/15/2024 | 424 | 428,537 | ||||||||
Brixmor Operating Partnership LP | 3.875% | 8/15/2022 | 200 | 204,550 | ||||||||
EPR Properties | 5.25% | 7/15/2023 | 172 | 183,345 | ||||||||
EPR Properties | 5.75% | 8/15/2022 | 979 | 1,047,178 | ||||||||
Equinix, Inc. | 5.375% | 1/1/2022 | 134 | 137,350 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 4.875% | 11/1/2020 | 160 | 162,782 | ||||||||
HCP, Inc. | 4.20% | 3/1/2024 | 237 | 248,015 | ||||||||
HCP, Inc. | 4.25% | 11/15/2023 | 111 | 116,835 | ||||||||
Healthcare Trust of America Holdings LP | 2.95% | 7/1/2022 | 228 | 228,597 | ||||||||
Highwoods Realty LP | 3.20% | 6/15/2021 | 155 | 155,672 | ||||||||
SITE Centers Corp. | 4.625% | 7/15/2022 | 154 | 159,823 | ||||||||
SL Green Operating Partnership LP | 3.25% | 10/15/2022 | 339 | 339,654 | ||||||||
SL Green Realty Corp. | 4.50% | 12/1/2022 | 1,530 | 1,598,604 | ||||||||
Vereit Operating Partnership LP | 4.125% | 6/1/2021 | 329 | 336,423 | ||||||||
Vereit Operating Partnership LP | 4.60% | 2/6/2024 | 1,688 | 1,775,435 | ||||||||
Welltower, Inc. | 4.50% | 1/15/2024 | 138 | 147,191 | ||||||||
Total | 8,446,504 | |||||||||||
Retail 0.12% | ||||||||||||
AutoNation, Inc. | 3.50% | 11/15/2024 | 567 | 556,993 | ||||||||
CEC Entertainment, Inc. | 8.00% | 2/15/2022 | 519 | 522,244 | ||||||||
Dollar Tree, Inc. | 3.70% | 5/15/2023 | 334 | 340,733 | ||||||||
Total | 1,419,970 | |||||||||||
Savings & Loan 0.03% | ||||||||||||
People’s United Financial, Inc. | 3.65% | 12/6/2022 | 370 | 380,106 | ||||||||
Steel 0.05% | ||||||||||||
Vale Overseas Ltd. (Brazil)(d) | 4.375% | 1/11/2022 | 652 | 668,626 | ||||||||
Technology 0.53% | ||||||||||||
Alibaba Group Holding Ltd. (China)(d) | 2.80% | 6/6/2023 | 278 | 276,879 | ||||||||
Baidu, Inc. (China)(d) | 3.50% | 11/28/2022 | 650 | 658,334 | ||||||||
Baidu, Inc. (China)(d) | 3.875% | 9/29/2023 | 1,948 | 1,994,415 | ||||||||
Baidu, Inc. (China)(d) | 4.375% | 5/14/2024 | 1,918 | 2,001,155 |
206 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Technology (continued) | ||||||||||||
Tencent Holdings Ltd. (China)†(d) | 3.28% | 4/11/2024 | $ | 1,411 | $ | 1,417,553 | ||||||
VeriSign, Inc. | 4.625% | 5/1/2023 | 109 | 110,330 | ||||||||
Total | 6,458,666 | |||||||||||
Telecommunications 0.62% | ||||||||||||
AT&T, Inc. | 3.777% (3 Mo. LIBOR + 1.18% | )# | 6/12/2024 | 1,206 | 1,212,411 | |||||||
British Telecommunications plc (United Kingdom)(d) | 4.50% | 12/4/2023 | 1,107 | 1,173,617 | ||||||||
CommScope, Inc.† | 5.50% | 3/1/2024 | 574 | 582,593 | ||||||||
GTH Finance BV (Netherlands)†(d) | 6.25% | 4/26/2020 | 200 | 203,022 | ||||||||
T-Mobile USA, Inc. | 6.00% | 4/15/2024 | 1,352 | 1,406,080 | ||||||||
Vodafone Group plc (United Kingdom)(d) | 3.75% | 1/16/2024 | 2,937 | 3,014,547 | ||||||||
Total | 7,592,270 | |||||||||||
Toys 0.01% | ||||||||||||
Mattel, Inc. | 2.35% | 8/15/2021 | 178 | 168,210 | ||||||||
Transportation: Miscellaneous 0.14% | ||||||||||||
Pelabuhan Indonesia III Persero PT (Indonesia)†(d) | 4.50% | 5/2/2023 | 622 | 640,523 | ||||||||
Watco Cos. LLC/Watco Finance Corp.† | 6.375% | 4/1/2023 | 819 | 831,285 | ||||||||
XPO Logistics, Inc.† | 6.50% | 6/15/2022 | 287 | 292,166 | ||||||||
Total | 1,763,974 | |||||||||||
Total Corporate Bonds (cost $454,720,633) | 456,315,532 | |||||||||||
FLOATING RATE LOANS(i)3.10% | ||||||||||||
Aerospace/Defense 0.14% | ||||||||||||
Gol Luxco SA Term Loan (Luxembourg)(d) | 6.50% | 8/31/2020 | 136 | 138,380 | (j) | |||||||
TransDigm, Inc. 2018 New Tranche F Term Loan | 4.939% (1 Mo. LIBOR + 2.50% | ) | 6/9/2023 | 1,550 | 1,525,331 | |||||||
Total | 1,663,711 | |||||||||||
Air Transportation 0.12% | ||||||||||||
American Airlines Replacement Term Loan B | 4.428% | 4/28/2023 | 1,153 | 1,137,192 | ||||||||
American Airlines, Inc. 2017 Incremental Term Loan B | 4.44% (1 Mo. LIBOR + 2.00% | ) | 12/14/2023 | 288 | 283,873 | |||||||
Total | 1,421,065 | |||||||||||
Business Services 0.09% | ||||||||||||
Worldpay, LLC 2018 1st Lien Term Loan B4 | 4.146% (1 Mo. LIBOR + 1.75%) 4.189% |
| 8/9/2024 | 789 | 789,701 | |||||||
Worldpay, LLC 2018 New Term Loan A5 | 3.896% (1 Mo. LIBOR + 1.50%) 3.939% |
| 1/16/2023 | 375 | 375,616 | |||||||
Total | 1,165,317 |
See Notes to Financial Statements. | 207 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Computer Hardware 0.24% | ||||||||||||
CDW LLC Term Loan | 4.19% (1 Mo. LIBOR + 1.75% | ) | 8/17/2023 | $ | 369 | $ | 369,292 | |||||
Dell International LLC 2017 Refinancing Term Loan B | 4.44% (1 Mo. LIBOR + 2.00% | ) | 9/7/2023 | 515 | 512,926 | |||||||
Dell International LLC Replacement Term Loan A2 | 4.19% (1 Mo. LIBOR + 1.75% | ) | 9/7/2021 | 2,012 | 2,011,949 | |||||||
Total | 2,894,167 | |||||||||||
Computer Software 0.46% | ||||||||||||
First Data Corp. 2022D New Dollar Term Loan | 4.437% (1 Mo. LIBOR + 2.00% | ) | 7/8/2022 | 495 | 495,062 | |||||||
First Data Corp. 2023 Initial Term Loan A | 3.937% (1 Mo. LIBOR + 1.50% | ) | 10/26/2023 | 3,415 | 3,412,816 | |||||||
First Data Corp. 2024 New Dollar Term Loan A | 4.437% (1 Mo. LIBOR + 2.00% | ) | 4/26/2024 | 1,220 | 1,219,681 | |||||||
Infor (US), Inc. Tranche B6 Term Loan | 5.189% (1 Mo. LIBOR + 2.75% | ) | 2/1/2022 | 466 | 464,959 | |||||||
Total | 5,592,518 | |||||||||||
Containers 0.03% | ||||||||||||
Berry Global, Inc. Term Loan S | 4.201% (1 Mo. LIBOR + 1.75% | ) | 2/8/2020 | 139 | 139,169 | |||||||
Berry Global, Inc. Term Loan T | 4.201% (1 Mo. LIBOR + 1.75% | ) | 1/6/2021 | 175 | 174,989 | |||||||
Total | 314,158 | |||||||||||
Electric: Power 0.24% | ||||||||||||
AES Corp. (The) 2018 Other Term Loan | 4.272% (3 Mo. LIBOR + 1.75% | ) | 5/31/2022 | 862 | 861,143 | |||||||
Pacific Gas & Electric Company Revolving Credit | 4.74% (1 Mo. LIBOR + 2.25% | ) | 4/27/2020 | 484 | 451,531 | |||||||
PG&E Corp. DIP Delayed Draw Term Loan | 1.125% | 12/31/2020 | 220 | 221,100 | ||||||||
PG&E Corp. DIP Initial Term Loan | 2.25% | 12/31/2020 | 661 | 664,305 | ||||||||
TEX Operations Co. LLC Exit Term Loan B | – | (k) | 8/4/2023 | 717 | 716,064 | |||||||
Total | 2,914,143 | |||||||||||
Electrical Equipment 0.16% | ||||||||||||
Analog Devices, Inc. Three Year Term Loan | 3.555% (1 Mo. LIBOR + 1.13% | ) | 9/23/2019 | 83 | 83,236 | (j) | ||||||
Marvell Technology Group Ltd Term Loan A | 3.845% (1 Mo. LIBOR + 1.38% | ) | 6/4/2021 | 1,888 | 1,884,904 | (j) | ||||||
Total | 1,968,140 |
208 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Entertainment 0.01% | ||||||||||||
GLP Capital, L.P. Incremental Tranche A1 Term Loan | 3.93% (1 Mo. LIBOR + 1.50% | ) | 4/28/2021 | $ | 136 | $ | 134,868 | (j) | ||||
Financial Services 0.15% | ||||||||||||
Delos Finance 2018 S.a.r.l. New Term Loan (Luxembourg)(d) | 4.351% (3 Mo. LIBOR + 1.75% | ) | 10/6/2023 | 756 | 755,125 | |||||||
Flying Fortress Holdings, LLC 2018 New Term Loan | 4.351% (3 Mo. LIBOR + 1.75% | ) | 10/30/2022 | 1,130 | 1,130,281 | |||||||
Total | 1,885,406 | |||||||||||
Food/Tobacco 0.03% | ||||||||||||
CEC Entertainment, Inc. Term Loan B | 5.689% (1 Mo. LIBOR + 3.25% | ) | 2/14/2021 | 367 | 365,372 | |||||||
Health Care Services 0.07% | ||||||||||||
DaVita, Inc. Term Loan B | 5.189% (1 Mo. LIBOR + 2.75% | ) | 6/24/2021 | 370 | 370,721 | |||||||
Jaguar Holding Co.II, LLC 2018 Term Loan | – | (k) | 8/18/2022 | 501 | 496,263 | |||||||
Total | 866,984 | |||||||||||
Investment Management Companies 0.05% | ||||||||||||
RPI Finance Trust Term Loan A4 | 3.939% (1 Mo. LIBOR + 1.50% | ) | 5/4/2022 | 567 | 567,357 | (j) | ||||||
Machinery: Industrial/Specialty 0.17% | ||||||||||||
Colfax Corporation Term Loan A2 | 4.189% (1 Mo. LIBOR + 1.75% | ) | 12/17/2020 | 1,857 | 1,856,949 | (j) | ||||||
Flowserve Corp. 2012 Term Loan | 4.101% (3 Mo. LIBOR + 1.50% | ) | 10/14/2020 | 225 | 225,844 | (j) | ||||||
Total | 2,082,793 | |||||||||||
Manufacturing 0.01% | ||||||||||||
Tyco International Holding S.a.r.l. Term Loan (Luxembourg)(d) | 4.158% (6 Mo. LIBOR + 1.25% | ) | 3/2/2020 | 173 | 172,577 | |||||||
Media 0.26% | ||||||||||||
Charter Communications Operating, LLC Term Loan A2 | 3.94% (1 Mo. LIBOR + 1.50% | ) | 3/31/2023 | 2,488 | 2,478,020 | |||||||
Unitymedia Hessen GmbH & Co. KG Facility Term Loan B | 4.69% (1 Mo. LIBOR + 2.25% | ) | 9/30/2025 | 670 | 667,672 | |||||||
Total | 3,145,692 |
See Notes to Financial Statements. | 209 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Metal Fabricating 0.00% | ||||||||||||
Doncasters US Finance LLC 2nd Lien Term Loan | 10.851% (3 Mo. LIBOR + 8.25% | ) | 10/9/2020 | $ | 141 | $ | 40,662 | |||||
Miscellaneous 0.15% | ||||||||||||
HCA, Inc. Term Loan B11 | 4.189% (1 Mo. LIBOR + 1.75% | ) | 3/17/2023 | 1,463 | 1,464,305 | |||||||
Utex Industries, Inc. 1st Lien Initial Term Loan | 6.439% (1 Mo. LIBOR + 4.00% | ) | 5/22/2021 | 260 | 251,157 | (j) | ||||||
Utex Industries, Inc. 2nd Lien Initial Term Loan | 9.689% (1 Mo. LIBOR + 7.25% | ) | 5/22/2022 | 111 | 104,132 | (j) | ||||||
Total | 1,819,594 | |||||||||||
Oil 0.02% | ||||||||||||
Petroleos Mexicanos Term Loan (Mexico)(d) | 3.29% (1 Mo. LIBOR + .85% | ) | 2/14/2020 | 305 | 303,475 | (j) | ||||||
Real Estate Investment Trusts 0.22% | ||||||||||||
Hudson Pacific Properties, L.P. 7-Year Term Loan | 3.686% (1 Mo. LIBOR + 1.20% | ) | 4/1/2022 | 652 | 648,825 | (j) | ||||||
Invitation Homes Operating Partnership LP Initial Term Loan | 4.137% (1 Mo. LIBOR + 1.70% | ) | 2/6/2022 | 2,149 | 2,106,020 | (j) | ||||||
Total | 2,754,845 | |||||||||||
Retail 0.21% | ||||||||||||
Comfort Holding LLC 1st Lien Initial Term Loan | 7.189% (1 Mo. LIBOR + 4.75% | ) | 2/5/2024 | 362 | 361,519 | |||||||
Panera Bread Co. Term Loan | 4.25% (1 Mo. LIBOR + 1.75% | ) | 7/18/2022 | 1,725 | 1,691,148 | |||||||
Smart & Final Stores 1st Lien Term Loan | – | (k) | 11/15/2022 | 583 | 582,726 | |||||||
Total | 2,635,393 | |||||||||||
Technology 0.05% | ||||||||||||
Uber Technologies 2018 Incremental Term Loan B1 | 5.93% (3 Mo. LIBOR + 3.50% | ) | 7/13/2023 | 569 | 568,070 | |||||||
Telecommunications 0.20% | ||||||||||||
CenturyLink, Inc. Initial Term Loan A | 5.189% (1 Mo. LIBOR + 2.75% | ) | 11/1/2022 | 2,493 | 2,491,313 | |||||||
Wholesale 0.02% | ||||||||||||
Core & Main LP 2017 Term Loan B | – | (k) | 8/1/2024 | 301 | 300,874 | |||||||
Total Floating Rate Loans (cost $38,221,862) | 38,068,494 |
210 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
FOREIGN GOVERNMENT OBLIGATIONS 0.55% | ||||||||||||
Argentina 0.22% | ||||||||||||
Republic of Argentina(b) | 3.375% | 1/15/2023 | EUR | 625 | $ | 505,614 | ||||||
Republic of Argentina(d) | 4.625% | 1/11/2023 | $ | 2,252 | 1,666,503 | |||||||
Republic of Argentina(d) | 6.875% | 4/22/2021 | 581 | 482,520 | ||||||||
Total | 2,654,637 | |||||||||||
Bermuda 0.09% | ||||||||||||
Government of Bermuda† | 4.138% | 1/3/2023 | 600 | 621,750 | ||||||||
Government of Bermuda† | 4.854% | 2/6/2024 | 447 | 479,966 | ||||||||
Total | 1,101,716 | |||||||||||
Indonesia 0.09% | ||||||||||||
Perusahaan Penerbit SBSN†(d) | 3.40% | 3/29/2022 | 745 | 748,688 | ||||||||
Perusahaan Penerbit SBSN†(d) | 3.75% | 3/1/2023 | 405 | 410,265 | ||||||||
Total | 1,158,953 | |||||||||||
Romania 0.08% | ||||||||||||
Republic of Romania†(d) | 6.75% | 2/7/2022 | 948 | 1,035,794 | ||||||||
South Korea 0.02% | ||||||||||||
Korea Expressway Corp. (South Korea)†(d) | 3.625% | 10/22/2021 | 243 | 249,304 | ||||||||
Sri Lanka 0.05% | ||||||||||||
Republic of Sri Lanka†(d) | 5.75% | 4/18/2023 | 620 | 605,072 | ||||||||
Total Foreign Government Obligations (cost $7,439,693) | 6,805,476 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 2.04% | ||||||||||||
Federal Home Loan Mortgage Corp. 2014-K503 B† | 2.983% | #(l) | 10/25/2047 | 47 | 46,900 | |||||||
Federal Home Loan Mortgage Corp. K061 X1 IO | 0.178% | #(l) | 11/25/2026 | 15,377 | 202,112 | |||||||
Federal Home Loan Mortgage Corp. Q001 XA IO | 2.251% | #(l) | 2/25/2032 | 1,390 | 192,651 | |||||||
Government National Mortgage Assoc. 2013-162 A | 2.75% | #(l) | 9/16/2046 | 87 | 85,719 | |||||||
Government National Mortgage Assoc. 2013-171 IO | 0.889% | #(l) | 6/16/2054 | 5,592 | 231,977 | |||||||
Government National Mortgage Assoc. 2013-193 IO | 0.905% | #(l) | 1/16/2055 | 2,280 | 94,475 | |||||||
Government National Mortgage Assoc. 2014-112 A | 3.00% | #(l) | 1/16/2048 | 270 | 269,448 | |||||||
Government National Mortgage Assoc. 2014-135 AS | 2.30% | 2/16/2047 | 443 | 441,292 | ||||||||
Government National Mortgage Assoc. 2014-15 IO | 0.777% | #(l) | 8/16/2054 | 5,162 | 202,593 | |||||||
Government National Mortgage Assoc. 2014-64 IO | 1.084% | #(l) | 12/16/2054 | 26,837 | 1,351,008 | |||||||
Government National Mortgage Assoc. 2014-70 A | 2.50% | 3/16/2049 | 22 | 21,270 | ||||||||
Government National Mortgage Assoc. 2014-78 A | 2.20% | 4/16/2047 | 121 | 120,393 | ||||||||
Government National Mortgage Assoc. 2015-19 AD | 2.90% | 10/16/2055 | 208 | 210,664 | ||||||||
Government National Mortgage Assoc. 2015-33 AS | 2.90% | #(l) | 5/16/2054 | 296 | 295,126 |
See Notes to Financial Statements. | 211 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | ||||||||||||
Government National Mortgage Assoc. 2015-41 AD | 2.90% | #(l) | 8/16/2055 | $ | 152 | $ | 153,246 | |||||
Government National Mortgage Assoc. 2017-100 AS | 2.75% | 2/16/2058 | 1,028 | 1,026,398 | ||||||||
Government National Mortgage Assoc. 2017-168 AS | 2.70% | 8/16/2058 | 3,356 | 3,314,236 | ||||||||
Government National Mortgage Assoc. 2017-44 AD | 2.65% | 11/17/2048 | 1,269 | 1,255,765 | ||||||||
Government National Mortgage Assoc. 2017-51 AS | 2.75% | 4/16/2058 | 1,594 | 1,592,851 | ||||||||
Government National Mortgage Assoc. 2017-53 B | 2.75% | 3/16/2050 | 1,976 | 1,971,431 | ||||||||
Government National Mortgage Assoc. 2017-54 AD | 2.75% | 1/16/2057 | 1,875 | 1,874,566 | ||||||||
Government National Mortgage Assoc. 2017-61 A | 2.60% | 8/16/2058 | 973 | 962,847 | ||||||||
Government National Mortgage Assoc. 2017-69 AS | 2.75% | 2/16/2058 | 1,646 | 1,631,132 | ||||||||
Government National Mortgage Assoc. 2017-71 AS | 2.70% | 4/16/2057 | 1,082 | 1,074,441 | ||||||||
Government National Mortgage Assoc. 2017-72 AM | 2.60% | 9/16/2051 | 670 | 659,385 | ||||||||
Government National Mortgage Assoc. 2017-74 AS | 2.60% | 10/16/2057 | 672 | 664,557 | ||||||||
Government National Mortgage Assoc. 2017-76 AS | 2.65% | 11/16/2050 | 1,340 | 1,325,248 | ||||||||
Government National Mortgage Assoc. 2017-89 AB | 2.60% | 7/16/2058 | 1,052 | 1,042,662 | ||||||||
Government National Mortgage Assoc. 2017-90 AS | 2.70% | 7/16/2057 | 1,442 | 1,434,227 | ||||||||
Government National Mortgage Assoc. 2017-92 AS | 2.75% | 6/16/2058 | 1,333 | 1,331,805 | ||||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $26,413,286) | 25,080,425 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 0.48% | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.13% (12 Mo. LIBOR + 1.64% | )# | 11/1/2043 | 1,017 | 1,036,454 | |||||||
Federal Home Loan Mortgage Corp. | 4.591% (12 Mo. LIBOR + 1.79% | )# | 12/1/2036 | 165 | 173,265 | |||||||
Federal Home Loan Mortgage Corp. | 4.604% (12 Mo. LIBOR + 1.72% | )# | 4/1/2037 | 62 | 65,355 | |||||||
Federal Home Loan Mortgage Corp. | 4.635% (12 Mo. LIBOR + 1.79% | )# | 10/1/2038 | 41 | 42,773 | |||||||
Federal Home Loan Mortgage Corp. | 4.704% (12 Mo. LIBOR + 1.78% | )# | 5/1/2036 | 55 | 58,030 | |||||||
Federal Home Loan Mortgage Corp. | 4.754% (12 Mo. LIBOR + 1.65% | )# | 2/1/2038 | 176 | 184,946 | |||||||
Federal Home Loan Mortgage Corp. | 4.788% (12 Mo. LIBOR + 1.94% | )# | 9/1/2036 | 166 | 174,727 | |||||||
Federal Home Loan Mortgage Corp. | 4.825% (12 Mo. LIBOR + 1.97% | )# | 2/1/2037 | 144 | 151,855 | |||||||
Federal National Mortgage Assoc. | 2.673% (12 Mo. LIBOR + 1.60% | )# | 12/1/2045 | 283 | 286,900 | |||||||
Federal National Mortgage Assoc. | 2.725% (12 Mo. LIBOR + 1.60% | )# | 12/1/2045 | 902 | 914,580 | |||||||
Federal National Mortgage Assoc. | 2.825% (12 Mo. LIBOR + 1.60% | )# | 10/1/2045 | 355 | 360,733 |
212 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued) | ||||||||||||
Federal National Mortgage Assoc. | 4.138% (12 Mo. LIBOR + 1.26% | )# | 6/1/2038 | $ | 188 | $ | 193,786 | |||||
Federal National Mortgage Assoc. | 4.321% (12 Mo. LIBOR + 1.51% | )# | 10/1/2035 | 183 | 190,177 | |||||||
Federal National Mortgage Assoc. | 4.427% (12 Mo. LIBOR + 1.53% | )# | 3/1/2039 | 96 | 100,501 | |||||||
Federal National Mortgage Assoc. | 4.472% (12 Mo. LIBOR + 1.62% | )# | 8/1/2037 | 13 | 13,466 | |||||||
Federal National Mortgage Assoc. | 4.52% (12 Mo. LIBOR + 1.66% | )# | 9/1/2038 | 117 | 122,624 | |||||||
Federal National Mortgage Assoc. | 4.544% (12 Mo. LIBOR + 1.69% | )# | 8/1/2038 | 35 | 36,461 | |||||||
Federal National Mortgage Assoc. | 4.577% (12 Mo. LIBOR + 1.80% | )# | 10/1/2040 | 50 | 52,363 | |||||||
Federal National Mortgage Assoc. | 4.642% (12 Mo. LIBOR + 1.78% | )# | 3/1/2042 | 1,120 | 1,171,293 | |||||||
Federal National Mortgage Assoc. | 4.647% (1 Yr Treasury Constant Maturity Rate + 2.23% | )# | 3/1/2038 | 38 | 39,545 | |||||||
Federal National Mortgage Assoc. | 4.662% (12 Mo. LIBOR + 1.81% | )# | 12/1/2040 | 87 | 91,010 | |||||||
Federal National Mortgage Assoc. | 4.692% (12 Mo. LIBOR + 1.82% | )# | 12/1/2040 | 176 | 184,602 | |||||||
Federal National Mortgage Assoc. | 4.71% (1 Yr Treasury Constant Maturity Rate + 2.19% | )# | 1/1/2038 | 126 | 132,774 | |||||||
Federal National Mortgage Assoc. | 4.823% (12 Mo. LIBOR + 1.82% | )# | 4/1/2040 | 86 | 90,971 | |||||||
Federal National Mortgage Assoc. | 4.881% (12 Mo. LIBOR + 1.90% | )# | 12/1/2038 | 59 | 62,461 | |||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $5,976,891) | 5,931,652 | |||||||||||
MUNICIPAL BONDS 0.07% | ||||||||||||
Miscellaneous | ||||||||||||
IL State GO | 6.20% | 7/1/2021 | 300 | 309,582 | ||||||||
Illinois | 4.95% | 6/1/2023 | 524 | 542,125 | ||||||||
Total Municipal Bonds (cost $845,301) | 851,707 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 24.66% | ||||||||||||
Sequoia Mortgage Trust 2012-4 A2 | 3.00% | #(l) | 9/25/2042 | 61 | 60,582 | |||||||
A10 Term Asset Financing LLC 2017-1A A1FX† | 2.34% | 3/15/2036 | 495 | 494,897 | ||||||||
Americold LLC 2010-ARTA A1† | 3.847% | 1/14/2029 | 314 | 317,320 | ||||||||
AOA Mortgage Trust 2015-1177 A† | 2.957% | 12/13/2029 | 310 | 313,350 |
See Notes to Financial Statements. | 213 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
AREIT Trust 2018-CRE2 A† | 3.418% (1 Mo. LIBOR + .98% | )# | 11/14/2035 | $ | 1,425 | $ | 1,426,396 | |||||
Atrium Hotel Portfolio Trust 2017-ATRM B† | 3.94% (1 Mo. LIBOR + 1.50% | )# | 12/15/2036 | 842 | 841,401 | |||||||
Atrium Hotel Portfolio Trust 2018-ATRM A† | 3.39% (1 Mo. LIBOR + .95% | )# | 6/15/2035 | 1,258 | 1,253,225 | |||||||
Atrium Hotel Portfolio Trust 2018-ATRM B† | 3.87% (1 Mo. LIBOR + 1.43% | )# | 6/15/2035 | 907 | 907,855 | |||||||
Atrium Hotel Portfolio Trust 2018-ATRM C† | 4.09% (1 Mo. LIBOR + 1.65% | )# | 6/15/2035 | 288 | 288,191 | |||||||
Aventura Mall Trust 2013-AVM D† | 3.743% | #(l) | 12/5/2032 | 500 | 507,273 | |||||||
BAMLL Trust 2011-FSHN A† | 4.42% | 7/11/2033 | 1,500 | 1,547,733 | ||||||||
Bancorp Commercial Mortgage Trust (The) 2018-CR3 A† | 3.29% (1 Mo. LIBOR + .85% | )# | 1/15/2033 | 875 | 870,410 | |||||||
BB-UBS Trust 2012-TFT A† | 2.892% | 6/5/2030 | 2,574 | 2,567,385 | ||||||||
BB-UBS Trust 2012-TFT B† | 3.468% | #(l) | 6/5/2030 | 2,149 | 2,120,596 | |||||||
BB-UBS Trust 2012-TFT C† | 3.468% | #(l) | 6/5/2030 | 3,000 | 2,951,989 | |||||||
BBCMS Mortgage Trust 2018-TALL A† | 3.162% (1 Mo. LIBOR + .72% | )# | 3/15/2037 | 5,850 | 5,823,699 | |||||||
BBCMS Mortgage Trust 2018-TALL E† | 4.877% (1 Mo. LIBOR + 2.44% | )# | 3/15/2037 | 2,468 | 2,469,280 | |||||||
BBCMS Trust 2013-TYSN C† | 3.821% | 9/5/2032 | 260 | 261,859 | ||||||||
BBCMS Trust 2015-STP XB IO† | 0.205% | #(l) | 9/10/2028 | 88,000 | 212,080 | |||||||
BBCMS Trust 2015-VFM A1† | 2.466% | 3/10/2036 | 371 | 370,375 | ||||||||
BBCMS Trust 2015-VFM X IO† | 0.428% | #(l) | 3/12/2036 | 95,737 | 1,757,728 | |||||||
BBCMS Trust 2018-BXH A† | 3.44% (1 Mo. LIBOR + 1.00% | )# | 10/15/2037 | 1,788 | 1,782,494 | |||||||
BDS 2018-FL1 A† | 3.282% (1 Mo. LIBOR + .85% | )# | 1/15/2035 | 1,983 | 1,984,252 | |||||||
Bear Stearns Deutsche Bank Trust 2005-AFR1 A2† | 5.008% | 9/15/2027 | 117 | 117,428 | ||||||||
BWAY Mortgage Trust 2013-1515 XB IO† | 0.403% | #(l) | 3/10/2033 | 47,800 | 1,059,559 | |||||||
BX Commercial Mortgage Trust 2018-BIOA A† | 3.111% (1 Mo. LIBOR + .67% | )# | 3/15/2037 | 4,024 | 4,013,534 | |||||||
BX Trust 2017-APPL A† | 3.32% (1 Mo. LIBOR + .88% | )# | 7/15/2034 | 939 | 937,910 | |||||||
BX Trust 2017-APPL D† | 4.49% (1 Mo. LIBOR + 2.05% | )# | 7/15/2034 | 638 | 638,532 | |||||||
BX Trust 2017-APPL E† | 5.59% (1 Mo. LIBOR + 3.15% | )# | 7/15/2034 | 928 | 933,463 | |||||||
BX Trust 2017-SLCT A† | 3.36% (1 Mo. LIBOR + .92% | )# | 7/15/2034 | 379 | 378,808 | |||||||
BX Trust 2017-SLCT B† | 3.64% (1 Mo. LIBOR + 1.20% | )# | 7/15/2034 | 878 | 878,455 | |||||||
BX Trust 2017-SLCT D† | 4.49% (1 Mo. LIBOR + 2.05% | )# | 7/15/2034 | 1,357 | 1,359,139 | |||||||
BX Trust 2017-SLCT E† | 5.59% (1 Mo. LIBOR + 3.15% | )# | 7/15/2034 | 1,190 | 1,198,195 | |||||||
BX Trust 2018-BILT A† | 3.24% (1 Mo. LIBOR + .80% Floor .80% | )# | 5/15/2030 | 857 | 854,257 |
214 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
BX Trust 2018-BILT D† | 4.21% (1 Mo. LIBOR + 1.77% Floor 1.77% | )# | 5/15/2030 | $ | 357 | $ | 357,521 | |||||
BX Trust 2018-GW A† | 3.24% (1 Mo. LIBOR + .80% | )# | 5/15/2035 | 667 | 664,236 | |||||||
BX Trust 2018-GW D† | 4.21% (1 Mo. LIBOR + 1.77% Floor 1.77% | )# | 5/15/2035 | 487 | 487,408 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI A† | 3.531% | 10/15/2034 | 2,300 | 2,373,582 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI B† | 3.835% | 10/15/2034 | 3,445 | 3,563,926 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI D† | 4.354% | #(l) | 10/15/2034 | 4,188 | 4,357,424 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI E† | 4.354% | #(l) | 10/15/2034 | 3,890 | 3,997,725 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI XA IO† | 0.823% | #(l) | 10/15/2034 | 13,222 | 342,278 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI XB IO† | 0.393% | #(l) | 10/15/2034 | 8,470 | 111,963 | |||||||
CFCRE Commercial Mortgage Trust 2011-C2 AJ† | 5.748% | #(l) | 12/15/2047 | 204 | 215,432 | |||||||
CFCRE Commercial Mortgage Trust 2016-C4 XA IO | 1.722% | #(l) | 5/10/2058 | 1,012 | 92,855 | |||||||
CFCRE Commercial Mortgage Trust 2016-C6 XA IO | 1.177% | #(l) | 11/10/2049 | 2,801 | 191,507 | |||||||
CFCRE Commercial Mortgage Trust 2016-C7 XA IO | 0.746% | #(l) | 12/10/2054 | 3,692 | 171,958 | |||||||
CFCRE Commercial Mortgage Trust 2018-TAN A† | 4.236% | 2/15/2033 | 3,500 | 3,661,729 | ||||||||
CGBAM Commercial Mortgage Trust 2015-SMRT B† | 3.213% | 4/10/2028 | 1,488 | 1,493,389 | ||||||||
CGBAM Commercial Mortgage Trust 2015-SMRT C† | 3.516% | 4/10/2028 | 366 | 367,991 | ||||||||
CGRBS Commercial Mortgage Trust 2013-VN05 A† | 3.369% | 3/13/2035 | 1,000 | 1,039,120 | ||||||||
Cherrywood SB Commercial Mortgage Loan Trust 2016-1A AFX† | 3.73% | 3/25/2049 | 85 | 84,599 | ||||||||
CHT Mortgage Trust 2017-CSMO B† | 3.84% (1 Mo. LIBOR + 1.40% | )# | 11/15/2036 | 500 | 500,250 | |||||||
CHT Mortgage Trust 2017-CSMO D† | 4.69% (1 Mo. LIBOR + 2.25% | )# | 11/15/2036 | 300 | 300,771 | |||||||
Citigroup Commercial Mortgage Trust 2013-375P C† | 3.518% | #(l) | 5/10/2035 | 4,150 | 4,211,006 | |||||||
Citigroup Commercial Mortgage Trust 2013-GC15 A4 | 4.371% | #(l) | 9/10/2046 | 2,000 | 2,144,974 | |||||||
Citigroup Commercial Mortgage Trust 2014-GC19 A3 | 3.753% | 3/10/2047 | 308 | 323,457 | ||||||||
Citigroup Commercial Mortgage Trust 2014-GC23 XB IO | 0.221% | #(l) | 7/10/2047 | 3,452 | 39,591 | |||||||
Citigroup Commercial Mortgage Trust 2015-GC31 XA IO | 0.389% | #(l) | 6/10/2048 | 5,929 | 118,568 | |||||||
Citigroup Mortgage Loan Trust 2013-2 5A1† | 2.617% | #(l) | 7/25/2036 | 165 | 163,411 | |||||||
CityLine Commercial Mortgage Trust 2016-CLNE A† | 2.778% | #(l) | 11/10/2031 | 1,525 | 1,548,074 | |||||||
Commercial Mortgage Pass-Through Certificates 2010-C1 C† | 5.992% | #(l) | 7/10/2046 | 100 | 103,433 |
See Notes to Financial Statements. | 215 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Commercial Mortgage Pass-Through Certificates 2012-CR3 B† | 3.922% | 10/15/2045 | $ | 617 | $ | 626,148 | ||||||
Commercial Mortgage Pass-Through Certificates 2012-CR4 XA IO | 1.763% | #(l) | 10/15/2045 | 4,824 | 213,619 | |||||||
Commercial Mortgage Pass-Through Certificates 2012-LTRT A1† | 2.15% | 10/5/2030 | 558 | 552,150 | ||||||||
Commercial Mortgage Pass-Through Certificates 2012-LTRT A2† | 3.40% | 10/5/2030 | 1,080 | 1,089,495 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-CR7 A4 | 3.213% | 3/10/2046 | 1,413 | 1,446,450 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-CR7 XA IO | 1.23% | #(l) | 3/10/2046 | 6,513 | 235,327 | |||||||
Commercial Mortgage Pass-Through Certificates 2013-CR8 XA IO | 0.446% | #(l) | 6/10/2046 | 14,374 | 199,397 | |||||||
Commercial Mortgage Pass-Through Certificates 2013-CR9 A4 | 4.232% | #(l) | 7/10/2045 | 1,138 | 1,214,532 | |||||||
Commercial Mortgage Pass-Through Certificates 2013-GAM A2† | 3.367% | 2/10/2028 | 100 | 100,434 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-SFS A1† | 1.873% | 4/12/2035 | 428 | 423,629 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-WWP D† | 3.898% | 3/10/2031 | 965 | 1,017,577 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-CR18 A5 | 3.828% | 7/15/2047 | 1,457 | 1,539,915 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-CR19 A4 | 3.532% | 8/10/2047 | 695 | 725,985 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-CR19 XA IO | 1.129% | #(l) | 8/10/2047 | 3,128 | 124,866 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-FL5 B† | 3.859% (1 Mo. LIBOR + 2.15% | )# | 10/15/2031 | 45 | 44,821 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-LC15 A3 | 3.727% | 4/10/2047 | 1,997 | 2,097,686 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-LC15 A4 | 4.006% | 4/10/2047 | 410 | 435,809 | ||||||||
Commercial Mortgage Pass-Through Certificates 2015-CR23 CMC† | 3.685% | #(l) | 5/10/2048 | 1,300 | 1,301,352 | |||||||
Commercial Mortgage Pass-Through Certificates 2016-COR1 A2 | 2.499% | 10/10/2049 | 227 | 226,768 | ||||||||
Commercial Mortgage Pass-Through Certificates 2016-GCT E† | 3.461% | #(l) | 8/10/2029 | 3,000 | 2,974,922 | |||||||
Commercial Mortgage Pass-Through Certificates 2016-GCT XA IO† | 0.784% | 8/10/2029 | 101,318 | 1,360,194 |
216 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Commercial Mortgage Trust 2006-GG7 AM | 5.659% | #(l) | 7/10/2038 | $ | 607 | $ | 610,885 | |||||
Commercial Mortgage Trust 2016-CD1 XA IO | 1.419% | #(l) | 8/10/2049 | 952 | 73,293 | |||||||
Credit Suisse First Boston Mortgage Securities Corp. 2006-OMA B1† | 5.466% | 5/15/2023 | 239 | 240,699 | ||||||||
Credit Suisse First Boston Mortgage Securities Corp. 2006-OMA B2† | 5.538% | 5/15/2023 | 3,710 | 3,758,355 | ||||||||
Credit Suisse Mortgage Capital Certificates 2014-USA X1 IO† | 0.552% | #(l) | 9/15/2037 | 40,000 | 1,163,396 | |||||||
Credit Suisse Mortgage Capital Certificates 2015-GLPB A† | 3.639% | 11/15/2034 | 2,965 | 3,086,644 | ||||||||
Credit Suisse Mortgage Capital Certificates 2016-NXSR XB IO | 0.11% | #(l) | 12/15/2049 | 20,135 | 320,076 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-HD A† | 3.39% (1 Mo. LIBOR + .95% | )# | 2/15/2031 | 831 | 828,215 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-HD B† | 3.79% (1 Mo. LIBOR + 1.35% | )# | 2/15/2031 | 349 | 348,570 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-HD D† | 4.94% (1 Mo. LIBOR + 2.50% | )# | 2/15/2031 | 353 | 351,784 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-HD E† | 6.09% (1 Mo. LIBOR + 3.65% | )# | 2/15/2031 | 513 | 511,547 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-LSTK A† | 2.761% | 4/5/2033 | 3,465 | 3,478,243 | ||||||||
Credit Suisse Mortgage Capital Certificates 2017-LSTK B† | 3.03% | 4/5/2033 | 350 | 350,464 | ||||||||
Credit Suisse Mortgage Capital Certificates 2017-LSTK C† | 3.229% | 4/5/2033 | 250 | 249,895 | ||||||||
Credit Suisse Mortgage Capital Certificates 2017-LSTK D† | 3.331% | #(l) | 4/5/2033 | 275 | 273,842 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-MOON A† | 3.197% | 7/10/2034 | 1,308 | 1,334,965 | ||||||||
Credit Suisse Mortgage Capital Certificates 2017-MOON B† | 3.197% | #(l) | 7/10/2034 | 200 | 202,965 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-MOON C† | 3.197% | #(l) | 7/10/2034 | 2,388 | 2,402,280 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-MOON D† | 3.197% | #(l) | 7/10/2034 | 150 | 149,414 | |||||||
Credit Suisse Mortgage Capital Certificates Trust 2017-PFHP A† | 3.39% (1 Mo. LIBOR + .95% | )# | 12/15/2030 | 502 | 500,491 | |||||||
Credit Suisse Mortgage Capital Certificates Trust 2017-PFHP C† | 4.04% (1 Mo. LIBOR + 1.60% | )# | 12/15/2030 | 400 | 399,301 | |||||||
CSAIL Commercial Mortgage Trust 2015-C2 XB IO† | Zero Coupon | #(l) | 6/15/2057 | 82,732 | 243,232 |
See Notes to Financial Statements. | 217 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
CSAIL Commercial Mortgage Trust 2016-C7 XA IO | 1.026% | #(l) | 11/15/2049 | $ | 4,669 | $ | 259,105 | |||||
DBGS Mortgage Trust 2018-BIOD A† | 3.243% (1 Mo. LIBOR + .80% | )# | 5/15/2035 | 1,561 | 1,561,017 | |||||||
DBJPM Mortgage Trust 2016-C3 XA IO | 1.494% | #(l) | 9/10/2049 | 9,782 | 844,744 | |||||||
DBUBS Mortgage Trust 2011-LC2A A1† | 3.527% | 7/10/2044 | 154 | 155,110 | ||||||||
DBUBS Mortgage Trust 2011-LC2A B† | 4.998% | #(l) | 7/10/2044 | 175 | 182,554 | |||||||
DBWF Mortgage Trust 2015-LCM A1† | 2.998% | 6/10/2034 | 400 | 399,854 | ||||||||
DBWF Mortgage Trust 2015-LCM XA IO† | 0.423% | #(l) | 6/10/2034 | 800 | 12,710 | |||||||
DBWF Mortgage Trust 2016-85T XA IO† | 0.014% | #(l) | 12/10/2036 | 61,529 | 225,196 | |||||||
DBWF Mortgage Trust 2018-AMXP A† | 3.747% | #(l) | 5/5/2035 | 6,000 | 6,231,333 | |||||||
DBWF Mortgage Trust 2018-AMXP B† | 3.996% | #(l) | 5/5/2035 | 1,500 | 1,562,228 | |||||||
DBWF Mortgage Trust 2018-AMXP C† | 3.83% | #(l) | 5/5/2035 | 1,000 | 1,029,835 | |||||||
Federal Home Loan Mortgage Corp. 2015-K721 B† | 3.565% | #(l) | 11/25/2047 | 3,624 | 3,699,230 | |||||||
GAHR Commercial Mortgage Trust 2015-NRF BFX† | 3.382% | #(l) | 12/15/2034 | 1,450 | 1,445,847 | |||||||
GAHR Commercial Mortgage Trust 2015-NRF DFX† | 3.382% | #(l) | 12/15/2034 | 4,728 | 4,707,033 | |||||||
GAHR Commercial Mortgage Trust 2015-NRF EFX† | 3.382% | #(l) | 12/15/2034 | 390 | 387,302 | |||||||
GS Mortgage Securities Corp. II 2012-BWTR A† | 2.954% | 11/5/2034 | 2,000 | 2,029,934 | ||||||||
GS Mortgage Securities Corp. II 2012-TMSQ A† | 3.007% | 12/10/2030 | 1,300 | 1,311,758 | ||||||||
GS Mortgage Securities Corp. II 2013-KING A† | 2.706% | 12/10/2027 | 3,603 | 3,600,982 | ||||||||
GS Mortgage Securities Corp. II 2013-KING C† | 3.435% | #(l) | 12/10/2027 | 700 | 699,095 | |||||||
GS Mortgage Securities Corp. II 2017-SLP A† | 3.419% | 10/10/2032 | 1,300 | 1,337,824 | ||||||||
GS Mortgage Securities Corp. Trust 2012-ALOH A† | 3.551% | 4/10/2034 | 1,785 | 1,837,536 | ||||||||
GS Mortgage Securities Corp. Trust 2012-ALOH C† | 4.13% | #(l) | 4/10/2034 | 115 | 118,168 | |||||||
GS Mortgage Securities Corp. Trust 2012-SHOP A† | 2.933% | 6/5/2031 | 758 | 757,695 | ||||||||
GS Mortgage Securities Corp. Trust 2012-SHOP B† | 3.311% | 6/5/2031 | 1,613 | 1,612,309 | ||||||||
GS Mortgage Securities Corp. Trust 2012-SHOP C† | 3.633% | 6/5/2031 | 1,200 | 1,199,421 | ||||||||
GS Mortgage Securities Corp. Trust 2012-SHOP D† | 4.182% | 6/5/2031 | 594 | 593,698 | ||||||||
GS Mortgage Securities Corp. Trust 2016-RENT C† | 4.067% | #(l) | 2/10/2029 | 252 | 255,024 | |||||||
GS Mortgage Securities Corp. Trust 2017-GPTX A† | 2.856% | 5/10/2034 | 1,159 | 1,164,153 | ||||||||
GS Mortgage Securities Corp. Trust 2017-GPTX B† | 3.104% | 5/10/2034 | 1,060 | 1,054,709 | ||||||||
GS Mortgage Securities Corp. Trust 2017-STAY A† | 3.29% (1 Mo. LIBOR + .85% | )# | 7/15/2032 | 888 | 887,919 | |||||||
GS Mortgage Securities Corp. Trust 2017-STAY B† | 3.54% (1 Mo. LIBOR + 1.10% | )# | 7/15/2032 | 313 | 307,884 | |||||||
GS Mortgage Securities Corp. Trust 2017-STAY C† | 3.79% (1 Mo. LIBOR + 1.35% | )# | 7/15/2032 | 225 | 220,283 | |||||||
GS Mortgage Securities Corp. Trust 2017-STAY D† | 4.39% (1 Mo. LIBOR + 1.95% | )# | 7/15/2032 | 531 | 519,834 |
218 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
GS Mortgage Securities Corp. Trust 2018-FBLU A† | 3.382% (1 Mo. LIBOR + .95% | )# | 11/15/2035 | $ | 2,614 | $ | 2,612,489 | |||||
GS Mortgage Securities Corp. Trust 2018-RIVR A† | 3.39% (1 Mo. LIBOR + .95% | )# | 7/15/2035 | 1,687 | 1,690,118 | |||||||
GS Mortgage Securities Trust 2010-C2 A1† | 3.849% | 12/10/2043 | 45 | 44,918 | ||||||||
GS Mortgage Securities Trust 2012-GCJ7 B | 4.74% | 5/10/2045 | 259 | 269,902 | ||||||||
GS Mortgage Securities Trust 2012-GCJ9 XA | 1.954% | #(l) | 11/10/2045 | 1,431 | 79,910 | |||||||
GS Mortgage Securities Trust 2013 GC12 B | 3.777% | #(l) | 6/10/2046 | 1,000 | 1,023,872 | |||||||
GS Mortgage Securities Trust 2013-G1 A2† | 3.557% | #(l) | 4/10/2031 | 2,584 | 2,638,101 | |||||||
GS Mortgage Securities Trust 2013-GC12 XA IO | 1.425% | #(l) | 6/10/2046 | 19,191 | 886,286 | |||||||
GS Mortgage Securities Trust 2013-GC14 A5 | 4.243% | 8/10/2046 | 2,875 | 3,065,536 | ||||||||
GS Mortgage Securities Trust 2015-GS1 XA IO | 0.797% | #(l) | 11/10/2048 | 1,069 | 45,920 | |||||||
GS Mortgage Securities Trust 2016-GS4 225A† | 2.636% | 11/10/2029 | 317 | 314,935 | (a) | |||||||
GS Mortgage Securities Trust 2016-GS4 225C† | 3.778% | 11/10/2029 | 553 | 558,426 | (a) | |||||||
Hilton Orlando Trust 2018-ORL A† | 3.21% (1 Mo. LIBOR + .77% | )# | 12/15/2034 | 1,462 | 1,458,068 | |||||||
Hilton Orlando Trust 2018-ORL D† | 4.14% (1 Mo. LIBOR + 1.70% | )# | 12/15/2034 | 664 | 664,540 | |||||||
HMH Trust 2017-NSS A† | 3.062% | 7/5/2031 | 974 | 983,905 | ||||||||
HMH Trust 2017-NSS B† | 3.343% | 7/5/2031 | 629 | 634,389 | ||||||||
HMH Trust 2017-NSS C† | 3.787% | 7/5/2031 | 469 | 469,167 | ||||||||
HMH Trust 2017-NSS D† | 4.723% | 7/5/2031 | 618 | 624,184 | ||||||||
Hudsons Bay Simon JV Trust 2015-HB7 A7† | 3.914% | 8/5/2034 | 2,366 | 2,401,813 | ||||||||
Hudsons Bay Simon JV Trust 2015-HB7 B7† | 4.666% | 8/5/2034 | 1,200 | 1,202,728 | ||||||||
Hudsons Bay Simon JV Trust 2015-HB7 D7† | 5.159% | #(l) | 8/5/2034 | 559 | 527,800 | |||||||
Hudsons Bay Simon JV Trust 2015-HBFL CFL† | 5.267% (1 Mo. LIBOR + 2.55% | )# | 8/5/2034 | 1,961 | 1,961,391 | |||||||
Irvine Core Office Trust 2013-IRV A1† | 2.068% | 5/15/2048 | 1,058 | 1,053,080 | ||||||||
Irvine Core Office Trust 2013-IRV A2† | 3.173% | #(l) | 5/15/2048 | 732 | 754,378 | |||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-ICON A† | 3.884% | 1/5/2034 | 1,309 | 1,372,255 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Corp. 2018 AON XA IO† | 0.485% | #(l) | 7/5/2031 | 129,394 | 2,635,199 | |||||||
JPMorgan Chase Commercial Mortgage Securities Corp. 2018 AON XB IO† | 0.154% | #(l) | 7/5/2031 | 50,413 | 407,075 | |||||||
JPMorgan Chase Commercial Mortgage Securities Corp. 2018-AON A† | 4.128% | 7/5/2031 | 1,805 | 1,922,282 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CB18 AMFX | 5.40% | 6/12/2047 | – | (c) | 159 |
See Notes to Financial Statements. | 219 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2012-C6 B | 4.819% | #(l) | 5/15/2045 | $ | 253 | $ | 263,534 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust 2012-C8 A3 | 2.829% | 10/15/2045 | 976 | 987,457 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2012-WLDN A† | 3.905% | 5/5/2030 | 6,015 | 6,180,622 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2012-WLDN B† | 4.342% | #(l) | 5/5/2030 | 1,254 | 1,294,278 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C10 XA IO | 0.997% | #(l) | 12/15/2047 | 8,654 | 262,895 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C12 XA IO | 0.504% | #(l) | 7/15/2045 | 4,979 | 80,759 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C14 A4 | 4.133% | #(l) | 8/15/2046 | 2,000 | 2,123,664 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2013-LC11 XA IO | 1.265% | #(l) | 4/15/2046 | 1,361 | 56,535 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C18 A5 | 4.079% | 2/15/2047 | 3,000 | 3,195,251 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 A2 | 3.046% | 4/15/2047 | 21 | 20,849 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XA IO | 0.799% | #(l) | 4/15/2047 | 1,862 | 44,135 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XB IO | 0.303% | #(l) | 4/15/2047 | 1,000 | 15,844 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C24 XA IO | 0.964% | #(l) | 11/15/2047 | 2,966 | 96,684 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY A† | 3.429% | 6/10/2027 | 5,000 | 4,993,743 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY XA IO† | 0.376% | #(l) | 6/10/2027 | 2,906 | 87 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY XB IO† | 0.034% | #(l) | 6/10/2027 | 1,292 | 13 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C29 XA IO | 0.797% | #(l) | 5/15/2048 | 2,591 | 70,830 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-UES D† | 3.621% | #(l) | 9/5/2032 | 2,025 | 2,030,709 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-JP4 XA IO | 0.746% | #(l) | 12/15/2049 | 4,034 | 142,048 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI B† | 3.201% | 10/5/2031 | 357 | 360,138 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI D† | 4.009% | #(l) | 10/5/2031 | 731 | 741,412 |
220 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
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 E† | 4.009% | #(l) | 10/5/2031 | $ | 138 | $ | 138,591 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI XA IO† | 1.211% | #(l) | 10/5/2031 | 2,367 | 53,636 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI XB IO† | 0.657% | #(l) | 10/5/2031 | 1,432 | 18,387 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-JP7 XA IO | 1.08% | #(l) | 9/15/2050 | 8,362 | 535,931 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK A† | 3.392% | 6/5/2032 | 1,482 | 1,504,749 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK B† | 3.795% | 6/5/2032 | 608 | 617,578 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK C† | 4.036% | #(l) | 6/5/2032 | 452 | 458,650 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK X IO† | 0.527% | #(l) | 6/5/2032 | 32,692 | 502,208 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018 WPT XBFX IO† | 0.377% | #(l) | 7/5/2033 | 95,152 | 1,570,008 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ A† | 3.44% (1 Mo. LIBOR + 1.00% | )# | 6/15/2032 | 825 | 824,470 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ B† | 3.74% (1 Mo. LIBOR + 1.30% | )# | 6/15/2032 | 1,225 | 1,225,736 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ C† | 4.04% (1 Mo. LIBOR + 1.60% | )# | 6/15/2032 | 986 | 990,191 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ E† | 5.44% (1 Mo. LIBOR + 3.00% | )# | 6/15/2035 | 156 | 157,452 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC A† | 3.64% (1 Mo. LIBOR + 1.20% | )# | 4/15/2031 | 1,658 | 1,660,827 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC B† | 4.34% (1 Mo. LIBOR + 1.90% Floor 1.90% | )# | 4/15/2031 | 449 | 449,832 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC C† | 4.74% (1 Mo. LIBOR + 2.30% | )# | 4/15/2031 | 332 | 332,935 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC D† | 5.56% (1 Mo. LIBOR + 3.12% Floor 3.12% | )# | 4/15/2031 | 174 | 174,515 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT AFL† | 3.417% (1 Mo. LIBOR + .95% | )# | 7/5/2033 | 931 | 929,738 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT BFX† | 4.549% | 7/5/2033 | 839 | 892,174 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT CFL† | 4.117% (1 Mo. LIBOR + 1.65% | )# | 7/5/2033 | 323 | 322,704 |
See Notes to Financial Statements. | 221 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
JPMorgan Chase Commercial Mortgage SecuritiesTrust 2018-WPT DFL† | 4.717% (1 Mo. LIBOR + 2.25% | )# | 7/5/2033 | $ | 323 | $ | 322,733 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT DFX† | 5.35% | 7/5/2033 | 1,281 | 1,360,062 | ||||||||
Ladder Capital Commercial MortgageSecurities LLC 2014-PKMD B† | 2.857% | #(l) | 11/14/2027 | 410 | 408,823 | |||||||
LMREC, Inc. 2015-CRE1 AR† | 3.417% (1 Mo. LIBOR + .98% | )# | 2/22/2032 | 1,325 | �� | 1,321,086 | ||||||
LMREC, Inc. 2015-CRE1 BR† | 4.678% (1 Mo. LIBOR + 2.25% | )# | 2/22/2032 | 381 | 381,453 | |||||||
LSTAR Commercial Mortgage Trust 2015-3 A2† | 2.729% | #(l) | 4/20/2048 | 242 | 241,630 | |||||||
LSTAR Commercial Mortgage Trust 2016-4 XA IO† | 1.882% | #(l) | 3/10/2049 | 1,482 | 93,943 | |||||||
LSTAR Commercial Mortgage Trust 2016-4 XB IO† | 0.603% | #(l) | 3/10/2049 | 19,753 | 777,676 | |||||||
LSTAR Commercial Mortgage Trust 2017-5 A1† | 2.417% | 3/10/2050 | 394 | 393,291 | ||||||||
LSTAR Commercial Mortgage Trust 2017-5 A2† | 2.776% | 3/10/2050 | 800 | 801,850 | ||||||||
LSTAR Commercial Mortgage Trust 2017-5 A3† | 4.50% | 3/10/2050 | 2,100 | 2,223,554 | ||||||||
Madison Avenue Trust 2013-650M B† | 4.034% | #(l) | 10/12/2032 | 1,423 | 1,443,640 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-CKSV A2† | 3.277% | 10/15/2030 | 2,090 | 2,101,533 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11 A4 | 4.157% | #(l) | 8/15/2046 | 1,736 | 1,849,418 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 A4 | 2.918% | 2/15/2046 | 500 | 507,328 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8 B | 3.561% | #(l) | 12/15/2048 | 1,000 | 1,014,235 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 XA IO | 0.675% | #(l) | 7/15/2050 | 7,102 | 184,095 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31 XA IO | 1.427% | #(l) | 11/15/2049 | 4,852 | 370,867 | |||||||
Morgan Stanley Capital Barclays Bank Trust2016-MART C† | 2.817% | 9/13/2031 | 500 | 497,729 | ||||||||
Morgan Stanley Capital Barclays Bank Trust 2016-MART XCP IO† | – | #(l) | 9/13/2031 | 188,074 | 1,881 | |||||||
Morgan Stanley Capital I Trust 2012-C4 XA IO† | 2.08% | #(l) | 3/15/2045 | 13,140 | 596,785 | |||||||
Morgan Stanley Capital I Trust 2012-STAR A1† | 2.084% | 8/5/2034 | 589 | 583,438 | ||||||||
Morgan Stanley Capital I Trust 2014-CPT A† | 3.35% | 7/13/2029 | 200 | 204,360 | ||||||||
Morgan Stanley Capital I Trust 2014-CPT XA IO† | 0.089% | #(l) | 7/13/2029 | 60,000 | 141,600 | |||||||
Morgan Stanley Capital I Trust 2014-MP A† | 3.469% | 8/11/2033 | 100 | 102,065 | ||||||||
Morgan Stanley Capital I Trust 2016-UB11 XA IO | 1.633% | #(l) | 8/15/2049 | 4,434 | 360,234 | |||||||
Motel 6 Trust 2017-MTL6 F† | 6.69% (1 Mo. LIBOR + 4.25% | )# | 8/15/2034 | 1,081 | 1,092,388 | |||||||
MSCG Trust 2015-ALDR A1† | 2.612% | 6/7/2035 | 426 | 421,493 | ||||||||
222 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
MSCG Trust 2016-SNR A† | 3.348% | #(l) | 11/15/2034 | $ | 888 | $ | 882,819 | |||||
MSCG Trust 2016-SNR B† | 4.181% | 11/15/2034 | 512 | 511,599 | ||||||||
MSCG Trust 2016-SNR C† | 5.205% | 11/15/2034 | 329 | 332,247 | ||||||||
Natixis Commercial Mortgage Securities Trust2018-285M A† | 3.79% | #(l) | 11/15/2032 | 1,890 | 1,966,564 | |||||||
Prima Capital CRE Securitization 2015-5A C† | 4.50% | 12/24/2050 | 2,749 | 2,722,058 | ||||||||
Prima Capital CRE Securitization Ltd. 2013-3A A† | 2.214% | 10/24/2035 | 357 | 359,457 | (a) | |||||||
Prima Capital CRE Securitization Ltd. 2016-6A A† | 2.85% | 8/24/2040 | 2,493 | 2,494,303 | ||||||||
RAIT Trust 2017-FL7 A† | 3.39% (1 Mo. LIBOR + .95% | )# | 6/15/2037 | 253 | 251,508 | |||||||
RBS Commercial Funding, Inc. Trust 2013-GSP A† | 3.834% | #(l) | 1/15/2032 | 592 | 617,799 | |||||||
ReadyCap Commercial Mortgage Trust 2018-4 A† | 3.39% | 2/27/2051 | 1,815 | 1,823,990 | ||||||||
RETL 2019-RVP C† | 4.54% (1 Mo. LIBOR + 2.10% | )# | 3/15/2036 | 550 | 552,047 | |||||||
Shelter Growth CRE Issuer Ltd. 2018-FL1 A† | 3.44% (1 Mo. LIBOR + 1.00% | )# | 1/15/2035 | 689 | 690,877 | |||||||
SLIDE 2018-FUN A† | 3.34% (1 Mo. LIBOR + .90% | )# | 6/15/2031 | 1,487 | 1,487,623 | |||||||
SLIDE 2018-FUN B† | 3.69% (1 Mo. LIBOR + 1.25% | )# | 6/15/2031 | 329 | 329,184 | |||||||
SLIDE 2018-FUN C† | 3.99% (1 Mo. LIBOR + 1.55% | )# | 6/15/2031 | 267 | 267,374 | |||||||
SLIDE 2018-FUN D† | 4.29% (1 Mo. LIBOR + 1.85% | )# | 6/15/2031 | 432 | 433,846 | |||||||
SLIDE 2018-FUN XCP IO† | 0.976% | #(l) | 12/15/2020 | 35,367 | 513,935 | (a) | ||||||
Stonemont Portfolio Trust 2017-MONT F† | 6.041% (1 Mo. LIBOR + 3.60% | )# | 8/20/2030 | 1,778 | 1,785,264 | |||||||
Structured Asset Securities Corp. 2006-3H 1A3 | 5.75% | 12/25/2035 | 60 | 61,827 | ||||||||
UBS-BAMLL Trust 2012-WRM A† | 3.663% | 6/10/2030 | 1,250 | 1,278,395 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2012-C2 A4 | 3.525% | 5/10/2063 | 625 | 644,721 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2012-C3 A4 | 3.091% | 8/10/2049 | 973 | 992,912 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2012-C4 A4 | 2.792% | 12/10/2045 | 1,208 | 1,222,475 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2012-C4 A5 | 2.85% | 12/10/2045 | 1,000 | 1,014,344 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2013 C6 A4 | 3.244% | 4/10/2046 | 2,300 | 2,366,355 | ||||||||
UBS-Barclays Commercial Mortgage Trust2013-C5 AS† | 3.347% | 3/10/2046 | 4,200 | 4,286,746 | ||||||||
UBS-Barclays Commercial Mortgage Trust2013-C5 B† | 3.649% | #(l) | 3/10/2046 | 635 | 649,595 | |||||||
UBS-Barclays Commercial Mortgage Trust2013-C5 XA IO† | 0.959% | #(l) | 3/10/2046 | 10,352 | 301,978 | |||||||
See Notes to Financial Statements. | 223 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
UBS-Barclays Commercial Mortgage Trust 2013-C6 XA IO† | 1.126% | #(l) | 4/10/2046 | $ | 17,469 | $ | 625,235 | |||||
VNDO Mortgage Trust 2012-6AVE A† | 2.996% | 11/15/2030 | 9,000 | 9,158,532 | ||||||||
Vornado DP LLC Trust 2010-VNO A1† | 2.97% | 9/13/2028 | 79 | 78,820 | ||||||||
Waldorf Astoria Boca Raton Trust 2016-BOCA C† | 4.94% (1 Mo. LIBOR + 2.50% | )# | 6/15/2029 | 168 | 168,149 | |||||||
Waldorf Astoria Boca Raton Trust 2016-BOCA E† | 6.79% (1 Mo. LIBOR + 4.35% | )# | 6/15/2029 | 550 | 551,048 | |||||||
Wells Fargo Commercial Mortgage Trust2010-C1 C† | 5.597% | #(l) | 11/15/2043 | 520 | 534,803 | |||||||
Wells Fargo Commercial Mortgage Trust 2013-LC12 A4 | 4.218% | #(l) | 7/15/2046 | 2,498 | 2,655,372 | |||||||
Wells Fargo Commercial Mortgage Trust 2014 LC16 A4 | 3.548% | 8/15/2050 | 1,170 | 1,216,517 | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-C29 XA IO | 0.682% | #(l) | 6/15/2048 | 3,802 | 121,838 | |||||||
Wells Fargo Commercial Mortgage Trust 2015-C29 XB IO | 0.018% | #(l) | 6/15/2048 | 58,000 | 159,268 | |||||||
Wells Fargo Commercial Mortgage Trust 2016-BNK1 XA IO | 1.775% | #(l) | 8/15/2049 | 1,729 | 173,654 | |||||||
Wells Fargo Commercial Mortgage Trust 2016-LC24 XB IO | 1.012% | #(l) | 10/15/2049 | 7,057 | 462,421 | |||||||
Wells Fargo Commercial Mortgage Trust 2018-C44 A2 | 4.178% | 5/15/2051 | 675 | 715,251 | ||||||||
Wells Fargo Commercial Mortgage Trust 2018-C47 A2 | 4.361% | 9/15/2061 | 878 | 946,112 | ||||||||
West Town Mall Trust 2017-KNOX A† | 3.823% | 7/5/2030 | 1,620 | 1,653,720 | ||||||||
West Town Mall Trust 2017-KNOX B† | 4.322% | 7/5/2030 | 679 | 697,305 | ||||||||
West Town Mall Trust 2017-KNOX C† | 4.346% | #(l) | 7/5/2030 | 500 | 509,943 | |||||||
West Town Mall Trust 2017-KNOX D† | 4.346% | #(l) | 7/5/2030 | 625 | 631,933 | |||||||
West Town Mall Trust 2017-KNOX X IO† | 0.376% | #(l) | 7/5/2030 | 34,983 | 377,043 | |||||||
WF-RBS Commercial Mortgage Trust 2011-C2 A4† | 4.869% | #(l) | 2/15/2044 | 142 | 146,643 | |||||||
WF-RBS Commercial Mortgage Trust 2012-C10 A3 | 2.875% | 12/15/2045 | 275 | 278,991 | ||||||||
WF-RBS Commercial Mortgage Trust 2012-C7 A2 | 3.431% | 6/15/2045 | 790 | 811,117 | ||||||||
WF-RBS Commercial Mortgage Trust 2012-C7 B | 4.75% | #(l) | 6/15/2045 | 300 | 312,533 | |||||||
WF-RBS Commercial Mortgage Trust2012-C7 XA IO† | 1.366% | #(l) | 6/15/2045 | 10,575 | 334,299 | |||||||
WF-RBS Commercial Mortgage Trust 2012-C9 A3 | 2.87% | 11/15/2045 | 176 | 178,526 | ||||||||
WF-RBS Commercial Mortgage Trust 2013-C11 AS | 3.311% | 3/15/2045 | 1,166 | 1,190,067 | ||||||||
WF-RBS Commercial Mortgage Trust2013-C13 XA IO† | 1.198% | #(l) | 5/15/2045 | 10,011 | 393,796 | |||||||
224 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
WF-RBS Commercial Mortgage Trust 2014-C20 XA IO | 0.977% | #(l) | 5/15/2047 | $ | 5,714 | $ | 218,380 | |||||
WF-RBS Commercial Mortgage Trust 2014-C20 XB IO | 0.575% | #(l) | 5/15/2047 | 1,368 | 38,705 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C21 XB IO | 0.601% | #(l) | 8/15/2047 | 15,000 | 485,085 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $300,851,394) | 302,659,547 | |||||||||||
Dividend Rate | Shares (000) | |||||||||||
PREFERRED STOCK 0.00% | ||||||||||||
Energy: Exploration & Production | ||||||||||||
Templar Energy LLC (cost $140,791) | Zero Coupon | 15 | – | (a) | ||||||||
Interest Rate | Maturity Date | Principal Amount (000) | ||||||||||
U.S. TREASURY OBLIGATION 1.04% | ||||||||||||
U.S. Treasury Note (cost $12,675,293) | 2.50% | 1/31/2021 | $ | 12,670 | 12,771,459 | |||||||
Total Long-Term Investments (cost $1,163,552,922) | 1,166,649,364 | |||||||||||
SHORT-TERM INVESTMENTS 4.23% | ||||||||||||
COMMERCIAL PAPER 2.14% | ||||||||||||
Auto Parts: Original Equipment 0.06% | ||||||||||||
Autoliv ASP, Inc. | 2.761% | 6/3/2019 | 763 | 763,000 | ||||||||
Automotive 0.60% | ||||||||||||
Ford Motor Credit Co. | 4.39% | 11/25/2019 | 1,230 | 1,210,283 | ||||||||
Ford Motor Credit Co. | 3.91% | 12/4/2019 | 4,767 | 4,686,549 | ||||||||
General Motors Financial Co., Inc. | 2.779% | 6/3/2019 | 1,421 | 1,421,000 | ||||||||
Total | 7,317,832 | |||||||||||
Financial Services 0.06% | ||||||||||||
Syngenta Wilmington, Inc. | 3.152% | 6/20/2019 | 678 | 677,007 | ||||||||
Food 0.04% | ||||||||||||
Campbell Soup Co. | 2.773% | 6/20/2019 | 500 | 499,355 |
See Notes to Financial Statements. | 225 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Leasing 0.08% | ||||||||||||
Aviation Capital Group Corp. | 2.743% | 6/12/2019 | $ | 1,000 | $ | 999,325 | ||||||
Leisure 0.02% | ||||||||||||
Royal Caribbean Cruises Ltd. | 2.789% | 6/3/2019 | 250 | 250,000 | ||||||||
Machinery: Agricultural 0.15% | ||||||||||||
Bunge Asset Funding Corp. | 2.687% | 6/3/2019 | 1,857 | 1,857,000 | ||||||||
Metals & Minerals: Miscellaneous 0.14% | ||||||||||||
Glencore Funding LLC | 2.896% | 6/17/2019 | 1,750 | 1,748,060 | ||||||||
Natural Gas 0.17% | ||||||||||||
Sempra Energy | 2.67% | 6/18/2019 | 1,117 | 1,115,776 | ||||||||
Sempra Energy | 2.68% | 6/10/2019 | 1,000 | 999,487 | ||||||||
Total | 2,115,263 | |||||||||||
Oil: Crude Producers 0.82% | ||||||||||||
Enable Midstream Partners LP | 3.531% | 6/11/2019 | 705 | 704,460 | ||||||||
Energy Transfer Partners | 3.042% | 6/3/2019 | 5,971 | 5,971,000 | ||||||||
Energy Transfer Partners | 3.076% | 6/3/2019 | 1,900 | 1,900,000 | ||||||||
Williams Cos., Inc. (The) | 2.718% | 6/3/2019 | 1,415 | 1,415,000 | ||||||||
Total | 9,990,460 | |||||||||||
Total Commercial Paper (cost $26,196,780) | 26,217,302 | |||||||||||
CORPORATE BONDS 0.13% | ||||||||||||
Drugs 0.05% | ||||||||||||
Shire Acquisitions Investments Ireland DAC (Ireland)(d) | 1.90% | 9/23/2019 | 598 | 596,276 | ||||||||
Oil 0.05% | ||||||||||||
Rowan Cos., Inc. | 7.875% | 8/1/2019 | 555 | 557,081 | ||||||||
Telecommunications 0.03% | ||||||||||||
Hughes Satellite Systems Corp. | 6.50% | 6/15/2019 | 416 | 416,011 | ||||||||
Total Corporate Bonds (cost $1,568,492) | 1,569,368 | |||||||||||
FOREIGN GOVERNMENT OBLIGATION 0.01% | ||||||||||||
Netherlands | ||||||||||||
Republic of Angola Via Northern Lights III BV (Netherlands)(d)(cost $61,436) | 7.00% | 8/17/2019 | 61 | 61,578 | ||||||||
226 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Investments | Principal Amount (000) | Fair Value | ||||||
REPURCHASE AGREEMENT 1.95% | ||||||||
Repurchase Agreement dated 5/31/2019, 1.45% due 6/3/2019 with Fixed Income Clearing Corp. collateralized by $23,852,000 of U.S. Treasury Note at 2.625% due 6/15/2021; value: $24,377,073; proceeds: $23,897,763 (cost $23,894,876) | $ | 23,895 | $ | 23,894,876 | ||||
Total Short-Term Investments (cost $51,721,584) | 51,743,124 | |||||||
Total Investments in Securities 99.26% (cost $1,215,274,506) | 1,218,392,488 | |||||||
Less Unfunded Commitment (0.02%) (cost $220,000) | (221,100 | ) | ||||||
Net Investments 99.24% (cost $1,215,054,506) | 1,218,171,388 | |||||||
Cash, Foreign Cash and Other Assets in Excess of Liabilities(m)0.76% | 9,307,990 | |||||||
Net Assets 100.00% | $ | 1,227,479,378 | ||||||
BRL | Brazilian real. | |
CAD | Canadian dollar. EUR euro. | |
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, 2019. | |
* | Non-income producing security. | |
(a) | Level 3 Investment as described in Note 2(t) 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. | |
(b) | Investment in non-U.S. dollar denominated securities. | |
(c) | Amount is less than $1,000. | |
(d) | Foreign security traded in U.S. dollars. | |
(e) | Variable Rate is Fixed to Float: Rate remains fixed until designated future date. | |
(f) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(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(s) shown is the rate(s) in effect at May 31, 2019. | |
(j) | Level 3 Investment as described in Note 2(t) 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 to be determined. | |
(l) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(m) | Cash, Foreign Cash and Other Assets in Excess Liabilities include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and swaps as follows: | |
See Notes to Financial Statements. | 227 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Centrally Cleared Interest Rate Swap Contracts at May 31, 2019:
Central Clearingparty* | Periodic Payments to be Made By The Fund (Quarterly) | Periodic Payments to be Received By The Fund (Quarterly) | Termination Date | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||
Credit Suisse | 3-Month USD LIBOR Index | 2.3497% | 4/1/2021 | $100,874,480 | $101,475,912 | $601,432 |
* Central clearinghouse: Chicago Mercantile Exchange (CME)
Central Clearingparty * | Periodic Payments to be Made By The Fund (Quarterly) | Periodic Payments to be Received By The Fund (Quarterly) | Termination Date | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||
Credit Suisse | 2.4045% | 3-Month USD LIBOR Index | 4/1/2029 | $22,000,000 | $21,368,494 | $(631,506 | ) |
* Central clearinghouse: Chicago Mercantile Exchange (CME)
Open Forward Foreign Currency Exchange Contracts at May 31, 2019:
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Appreciation | ||||||||||
Canadian dollar | Sell | Toronto Dominion Bank | 6/19/2019 | 1,407,000 | $1,058,476 | $1,041,414 | $ | 17,062 | |||||||||
euro | Sell | J.P. Morgan | 6/20/2019 | 527,000 | 602,628 | 589,531 | 13,097 | ||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 30,159 |
Open Future Contracts at May 31, 2019:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | |||||||||
U.S. 2-Year Treasury Note | September 2019 | 2,606 | Long | $557,546,325 | $559,434,909 | $ | 1,888,584 | ||||||||
U.S. 10-Year Treasury Note | September 2019 | 662 | Long | 83,216,624 | 83,908,500 | 691,876 | |||||||||
U.S. Long Bond | September 2019 | 118 | Long | 17,987,834 | 18,138,813 | 150,979 | |||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 2,731,439 | |||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | |||||||||
U.S. 5-Year Treasury Note | September 2019 | 842 | Short | $(98,308,577) | $(98,823,172) | $ | (514,595) |
228 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Open Consumer Price Index (“CPI”) Centrally Cleared Swaps at May 31, 2019:
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 | ||||||||||||
Credit Suisse | 1.7315% | CPI Urban Consumer NSA | 8/24/2026 | $ | 10,000,000 | $ | 10,184,645 | $ | 184,645 | |||||||||
Credit Suisse | 1.7925% | CPI Urban Consumer NSA | 7/18/2026 | 35,000,000 | 35,508,662 | 508,662 | ||||||||||||
Credit Suisse | 1.9775% | CPI Urban Consumer NSA | 12/14/2019 | 30,000,000 | 30,093,580 | 93,580 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.817% | 1/4/2026 | 25,000,000 | 25,040,088 | 40,088 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.8425% | 1/4/2026 | 10,000,000 | 10,033,764 | 33,764 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.847% | 1/3/2026 | 25,000,000 | 25,094,966 | 94,966 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.8475% | 1/7/2026 | 10,000,000 | 10,034,698 | 34,698 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.8755% | 12/28/2025 | 15,000,000 | 15,084,796 | 84,796 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.8913% | 12/27/2025 | 15,000,000 | 15,100,418 | 100,418 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.8975% | 4/3/2021 | 20,000,000 | 20,032,925 | 32,925 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.8975% | 12/27/2025 | 15,000,000 | 15,106,964 | 106,964 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.918% | 12/19/2024 | 20,000,000 | 20,171,951 | 171,951 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.924% | 4/10/2022 | 10,000,000 | 10,043,622 | 43,622 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.933% | 4/1/2026 | 10,000,000 | 10,040,511 | 40,511 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.9351% | 6/9/2022 | 10,000,000 | 10,032,935 | 32,935 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.936% | 12/19/2024 | 20,000,000 | 20,193,555 | 193,555 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.950% | 2/13/2026 | 10,000,000 | 10,078,116 | 78,116 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.9525% | 12/21/2025 | 15,000,000 | 15,159,245 | 159,245 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.954% | 2/1/2026 | 10,000,000 | 10,091,084 | 91,084 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.9725% | 12/14/2024 | 15,000,000 | 15,173,586 | 173,586 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.9975% | 12/13/2024 | 20,000,000 | 20,260,176 | 260,176 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.020% | 1/10/2029 | 20,000,000 | 20,216,007 | 216,007 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.026% | 11/20/2020 | 30,000,000 | 30,228,546 | 228,546 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.028% | 1/15/2029 | 5,000,000 | 5,056,043 | 56,043 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.032% | 11/30/2023 | 30,000,000 | 30,410,657 | 410,657 |
See Notes to Financial Statements. | 229 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
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 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.033% | 1/11/2029 | $ | 20,000,000 | $ | 20,240,363 | $ | 240,363 | |||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.0363% | 11/21/2022 | 10,000,000 | 10,092,360 | 92,360 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.050% | 12/11/2024 | 30,000,000 | 30,481,599 | 481,599 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.055% | 11/6/2020 | 40,000,000 | 40,328,464 | 328,464 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.065% | 11/8/2020 | 40,000,000 | 40,334,701 | 334,701 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.090% | 11/2/2020 | 30,000,000 | 30,267,367 | 267,367 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.092% | 12/6/2024 | 15,000,000 | 15,274,319 | 274,319 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.210% | 10/17/2020 | 30,000,000 | 30,343,859 | 343,859 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.250% | 3/21/2024 | 10,000,000 | 10,273,711 | 273,711 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.275% | 4/18/2024 | 50,000,000 | 51,507,381 | 1,507,381 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.2775% | 2/16/2028 | 15,000,000 | 15,560,483 | 560,483 | ||||||||||||
Unrealized Appreciation on CPI Centrally Cleared Swaps | $ | 8,176,147 |
Open Consumer Price Index (“CPI”) Centrally Cleared Swaps at May 31, 2019:
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 | ||||||||||||
Credit Suisse | 1.570% | CPI Urban Consumer NSA | 1/10/2021 | $ | 100,000,000 | $ | 99,999,726 | $ | (274 | ) | ||||||||
Credit Suisse | 1.615% | CPI Urban Consumer NSA | 1/11/2021 | 140,000,000 | 139,890,526 | (109,474 | ) | |||||||||||
Credit Suisse | 1.700% | CPI Urban Consumer NSA | 2/4/2021 | 40,000,000 | 39,964,308 | (35,692 | ) | |||||||||||
Credit Suisse | 1.844% | CPI Urban Consumer NSA | 3/4/2021 | 30,000,000 | 29,943,499 | (56,501 | ) | |||||||||||
Credit Suisse | 2.0075% | CPI Urban Consumer NSA | 4/28/2020 | 30,000,000 | 29,874,534 | (125,466 | ) | |||||||||||
Credit Suisse | 2.030% | CPI Urban Consumer NSA | 5/3/2022 | 415,000,000 | 14,828,081 | (171,919 | ) | |||||||||||
Credit Suisse | 2.035% | CPI Urban Consumer NSA | 5/2/2021 | 10,000,000 | 9,910,551 | (89,449 | ) | |||||||||||
Credit Suisse | 2.065% | CPI Urban Consumer NSA | 1/9/2039 | 5,000,000 | 4,957,538 | (42,462 | ) | |||||||||||
Credit Suisse | 2.075% | CPI Urban Consumer NSA | 1/8/2021 | 20,000,000 | 19,868,396 | (131,604 | ) | |||||||||||
Credit Suisse | 2.107% | CPI Urban Consumer NSA | 2/21/2031 | 5,000,000 | 4,938,023 | (61,977 | ) | |||||||||||
Credit Suisse | 2.110% | CPI Urban Consumer NSA | 2/19/2031 | 5,000,000 | 4,935,319 | (64,681 | ) |
230 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
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 | ||||||||||||
Credit Suisse | 2.119% | CPI Urban Consumer NSA | 2/11/2031 | $ | 15,000,000 | $ | 14,778,915 | $ | (221,085 | ) | ||||||||
Credit Suisse | 2.119% | CPI Urban Consumer NSA | 4/12/2022 | 25,000,000 | 24,583,341 | (416,659 | ) | |||||||||||
Credit Suisse | 2.1275% | CPI Urban Consumer NSA | 11/14/2024 | 60,000,000 | 58,927,112 | (1,072,888 | ) | |||||||||||
Credit Suisse | 2.140% | CPI Urban Consumer NSA | 7/20/2029 | 5,000,000 | 4,912,529 | (87,471 | ) | |||||||||||
Credit Suisse | 2.1438% | CPI Urban Consumer NSA | 12/14/2026 | 10,000,000 | 9,770,227 | (229,773 | ) | |||||||||||
Credit Suisse | 2.158% | CPI Urban Consumer NSA | 3/25/2029 | 5,000,000 | 4,905,695 | (94,305 | ) | |||||||||||
Credit Suisse | 2.207% | CPI Urban Consumer NSA | 1/8/2027 | 10,000,000 | 9,713,404 | (286,596 | ) | |||||||||||
Credit Suisse | 2.269% | CPI Urban Consumer NSA | 10/30/2030 | 10,000,000 | 9,644,301 | (355,699 | ) | |||||||||||
Credit Suisse | 2.285% | CPI Urban Consumer NSA | 5/31/2028 | 10,000,000 | 9,614,054 | (385,946 | ) | |||||||||||
Credit Suisse | 2.310% | CPI Urban Consumer NSA | 6/1/2028 | 10,000,000 | 9,588,852 | (411,148 | ) | |||||||||||
Credit Suisse | 2.335% | CPI Urban Consumer NSA | 11/17/2036 | 8,000,000 | 7,515,287 | (484,713 | ) | |||||||||||
Credit Suisse | 2.335% | CPI Urban Consumer NSA | 11/21/2036 | 10,000,000 | 9,393,045 | (606,955 | ) | |||||||||||
Credit Suisse | 2.339% | CPI Urban Consumer NSA | 3/14/2029 | 10,000,000 | 9,516,567 | (483,433 | ) | |||||||||||
Credit Suisse | 2.340% | CPI Urban Consumer NSA | 3/23/2032 | 5,000,000 | 4,737,863 | (262,137 | ) | |||||||||||
Credit Suisse | 2.341% | CPI Urban Consumer NSA | 8/27/2028 | 10,000,000 | 9,542,286 | (457,714 | ) | |||||||||||
Credit Suisse | 2.3425% | CPI Urban Consumer NSA | 9/11/2028 | 10,000,000 | 9,545,149 | (454,851 | ) | |||||||||||
Credit Suisse | 2.344% | CPI Urban Consumer NSA | 3/15/2029 | 5,000,000 | 4,754,704 | (245,296 | ) | |||||||||||
Credit Suisse | 2.345% | CPI Urban Consumer NSA | 8/14/2028 | 10,000,000 | 9,536,964 | (463,036 | ) | |||||||||||
Credit Suisse | 2.3525% | CPI Urban Consumer NSA | 6/6/2028 | 10,000,000 | 9,544,218 | (455,782 | ) | |||||||||||
Credit Suisse | 2.354% | CPI Urban Consumer NSA | 3/6/2032 | 5,000,000 | 4,734,335 | (265,665 | ) | |||||||||||
Credit Suisse | 2.355% | CPI Urban Consumer NSA | 3/8/2032 | 10,000,000 | 9,463,105 | (536,895 | ) | |||||||||||
Credit Suisse | 2.358% | CPI Urban Consumer NSA | 7/25/2028 | 10,000,000 | 9,525,499 | (474,501 | ) | |||||||||||
Credit Suisse | 2.3625% | CPI Urban Consumer NSA | 1/23/2033 | 5,000,000 | 4,737,951 | (262,049 | ) | |||||||||||
Credit Suisse | 2.3625% | CPI Urban Consumer NSA | 1/25/2033 | 5,000,000 | 4,737,781 | (262,219 | ) | |||||||||||
Credit Suisse | 2.3625% | CPI Urban Consumer NSA | 3/21/2032 | 5,000,000 | 4,721,056 | (278,944 | ) | |||||||||||
Credit Suisse | 2.365% | CPI Urban Consumer NSA | 1/30/2038 | 10,000,000 | 9,321,780 | (678,220 | ) |
See Notes to Financial Statements. | 231 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
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 | ||||||||||||
Credit Suisse | 2.370% | CPI Urban Consumer NSA | 2/28/2038 | $ | 5,000,000 | $ | 4,654,193 | $ | (345,807 | ) | ||||||||
Credit Suisse | 2.370% | CPI Urban Consumer NSA | 4/18/2030 | 25,000,000 | 23,734,331 | (1,265,669 | ) | |||||||||||
Credit Suisse | 2.3745% | CPI Urban Consumer NSA | 8/9/2028 | 10,000,000 | 9,506,032 | (493,968 | ) | |||||||||||
Credit Suisse | 2.379% | CPI Urban Consumer NSA | 9/21/2028 | 15,000,000 | 14,267,331 | (732,669 | ) | |||||||||||
Credit Suisse | 2.380% | CPI Urban Consumer NSA | 7/6/2028 | 10,000,000 | 9,510,784 | (489,216 | ) | |||||||||||
Credit Suisse | 2.380% | CPI Urban Consumer NSA | 7/17/2028 | 15,000,000 | 14,259,026 | (740,974 | ) | |||||||||||
Credit Suisse | 2.383% | CPI Urban Consumer NSA | 6/13/2028 | 40,000,000 | 38,045,850 | (1,954,150 | ) | |||||||||||
Credit Suisse | 2.384% | CPI Urban Consumer NSA | 10/1/2028 | 10,000,000 | 9,511,124 | (488,876 | ) | |||||||||||
Credit Suisse | 2.3845% | CPI Urban Consumer NSA | 8/6/2028 | 25,000,000 | 23,740,082 | (1,259,918 | ) | |||||||||||
Credit Suisse | 2.390% | CPI Urban Consumer NSA | 6/14/2028 | 45,000,000 | 42,768,053 | (2,231,947 | ) | |||||||||||
Credit Suisse | 2.390% | CPI Urban Consumer NSA | 8/3/2028 | 10,000,000 | 9,489,575 | (510,425 | ) | |||||||||||
Credit Suisse | 2.393% | CPI Urban Consumer NSA | 5/11/2028 | 10,000,000 | 9,485,579 | (514,421 | ) | |||||||||||
Credit Suisse | 2.3938% | CPI Urban Consumer NSA | 9/26/2028 | 10,000,000 | 9,498,370 | (501,630 | ) | |||||||||||
Credit Suisse | 2.3963% | CPI Urban Consumer NSA | 10/9/2028 | 10,000,000 | 9,501,247 | (498,753 | ) | |||||||||||
Credit Suisse | 2.400% | CPI Urban Consumer NSA | 4/26/2030 | 10,000,000 | 9,454,373 | (545,627 | ) | |||||||||||
Credit Suisse | 2.4075% | CPI Urban Consumer NSA | 5/21/2028 | 5,000,000 | 4,739,907 | (260,093 | ) | |||||||||||
Credit Suisse | 2.5475% | CPI Urban Consumer NSA | 4/20/2021 | 8,000,000 | 7,196,146 | (803,854 | ) | |||||||||||
Credit Suisse | 2.6725% | CPI Urban Consumer NSA | 1/28/2021 | 15,000,000 | 13,481,673 | (1,518,327 | ) | |||||||||||
Credit Suisse | 2.7875% | CPI Urban Consumer NSA | 6/8/2026 | 5,000,000 | 4,035,968 | (964,032 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.445% | 2/3/2021 | 15,000,000 | 14,666,289 | (333,711 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.485% | 1/14/2021 | 20,000,000 | 19,608,243 | (391,757 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.6675% | 6/30/2026 | 7,000,000 | 6,801,901 | (198,099 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.790% | 4/27/2024 | 30,000,000 | 29,603,742 | (396,258 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.030% | 10/25/2019 | 10,000,000 | 9,914,284 | (85,716 | ) | |||||||||||
Unrealized Depreciation on CPI Centrally Cleared Swaps | $ | (28,649,376 | ) |
232 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
Open Consumer Price Index (“CPI”) OTC Swaps at May 31, 2019:
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 | $ | 15,380,394 | $ | 380,394 | |||||||||
Bank of America | 1.7395% | CPI Urban Consumer NSA | 8/23/2026 | 40,000,000 | 40,710,280 | 710,280 | ||||||||||||
Bank of America | 1.7465% | CPI Urban Consumer NSA | 8/22/2026 | 20,000,000 | 20,343,040 | 343,040 | ||||||||||||
Bank of America | 1.769% | CPI Urban Consumer NSA | 7/22/2026 | 35,000,000 | 35,579,522 | 579,522 | ||||||||||||
Bank of America | 1.9625% | CPI Urban Consumer NSA | 12/13/2019 | 30,000,000 | 30,105,311 | 105,311 | ||||||||||||
Bank of America | 2.0375% | CPI Urban Consumer NSA | 1/10/2020 | 20,000,000 | 20,021,105 | 21,105 | ||||||||||||
Bank of America | CPI Urban Consumer NSA | 1.930% | 9/7/2022 | 25,000,000 | 25,009,032 | 9,032 | ||||||||||||
Bank of America | CPI Urban Consumer NSA | 1.936% | 5/22/2022 | 10,000,000 | 10,043,524 | 43,524 | ||||||||||||
Bank of America | CPI Urban Consumer NSA | 2.054% | 12/5/2022 | 10,000,000 | 10,113,777 | 113,777 | ||||||||||||
Bank of America | CPI Urban Consumer NSA | 2.0688% | 11/10/2022 | 15,000,000 | 15,141,077 | 141,077 | ||||||||||||
Bank of America | CPI Urban Consumer NSA | 2.140% | 2/10/2022 | 30,000,000 | 30,410,778 | 410,778 | ||||||||||||
Bank of America | CPI Urban Consumer NSA | 2.194% | 1/19/2022 | 30,000,000 | 430,483,912 | 483,912 | ||||||||||||
Bank of America | CPI Urban Consumer NSA | 2.195% | 2/24/2022 | 25,000,000 | 25,432,949 | 432,949 | ||||||||||||
Barclays Bank plc | 1.874% | CPI Urban Consumer NSA | 4/11/2026 | 10,000,000 | 10,064,362 | 64,362 | ||||||||||||
Barclays Bank plc | 1.944% | CPI Urban Consumer NSA | 3/22/2041 | 5,000,000 | 5,126,459 | 126,459 | ||||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 1.7625% | 12/4/2019 | 20,000,000 | 20,182,733 | 182,733 | ||||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 2.150% | 2/10/2023 | 30,000,000 | 30,519,041 | 519,041 | ||||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 2.193% | 1/19/2022 | 40,000,000 | 40,643,127 | 643,127 | ||||||||||||
Deutsche Bank AG | 1.6975% | CPI Urban Consumer NSA | 9/2/2022 | 10,000,000 | 10,034,953 | 34,953 | ||||||||||||
Deutsche Bank AG | 1.962% | CPI Urban Consumer NSA | 5/26/2036 | 5,000,000 | 5,101,991 | 101,991 | ||||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 1.720% | 12/5/2019 | 20,000,000 | 20,136,730 | 136,730 | ||||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 2.105% | 7/10/2025 | 10,000,000 | 10,279,807 | 279,807 | ||||||||||||
Goldman Sachs | 1.5675% | CPI Urban Consumer NSA | 3/2/2024 | 8,000,000 | 8,218,156 | 218,156 | ||||||||||||
Goldman Sachs | 1.649% | CPI Urban Consumer NSA | 3/4/2024 | 5,000,000 | 5,102,150 | 102,150 | ||||||||||||
Goldman Sachs | CPI Urban Consumer NSA | 1.988% | 5/25/2023 | 10,000,000 | 10,077,260 | 77,260 |
See Notes to Financial Statements. | 233 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
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 | ||||||||||||
Goldman Sachs | CPI Urban Consumer NSA | 2.0625% | 12/8/2024 | $ | 15,000,000 | $ | 15,627,710 | $ | 627,710 | |||||||||
Goldman Sachs | CPI Urban Consumer NSA | 2.3125% | 9/30/2024 | 30,000,000 | 32,222,957 | 2,222,957 | ||||||||||||
J.P. Morgan | CPI Urban Consumer NSA | 1.908% | 11/7/2019 | 20,000,000 | 20,326,806 | 326,806 | ||||||||||||
Unrealized Appreciation on CPI OTC Swaps | $ | 9,438,943 |
Open Consumer Price Index (“CPI”) OTC Swaps at May 31, 2019:
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 | 2.080% | CPI Urban Consumer NSA | 4/22/2025 | $ | 10,000,000 | $ | 9,760,638 | $ | (239,362 | ) | ||||||||
Bank of America | 2.100% | CPI Urban Consumer NSA | 4/26/2025 | 10,000,000 | 9,795,226 | (204,774 | ) | |||||||||||
Bank of America | 2.100% | CPI Urban Consumer NSA | 6/30/2042 | 5,000,000 | 4,931,322 | (68,678 | ) | |||||||||||
Bank of America | 2.1425% | CPI Urban Consumer NSA | 11/22/2024 | 20,000,000 | 19,611,977 | (388,023 | ) | |||||||||||
Bank of America | 2.1438% | CPI Urban Consumer NSA | 7/24/2029 | 10,000,000 | 9,822,708 | (177,292 | ) | |||||||||||
Bank of America | 2.1475% | CPI Urban Consumer NSA | 7/31/2029 | 10,000,000 | 9,822,112 | (177,888 | ) | |||||||||||
Bank of America | 2.213% | CPI Urban Consumer NSA | 10/25/2032 | 5,000,000 | 4,876,452 | (123,548 | ) | |||||||||||
Bank of America | 2.275% | CPI Urban Consumer NSA | 1/6/2026 | 20,000,000 | 19,292,144 | (707,856 | ) | |||||||||||
Bank of America | 2.2975% | CPI Urban Consumer NSA | 4/5/2029 | 5,000,000 | 4,779,065 | (220,935 | ) | |||||||||||
Bank of America | 2.3013% | CPI Urban Consumer NSA | 3/28/2029 | 5,000,000 | 4,777,534 | (222,466 | ) | |||||||||||
Bank of America | 2.345% | CPI Urban Consumer NSA | 2/13/2029 | 30,000,000 | 28,574,809 | (1,425,191 | ) | |||||||||||
Bank of America | 2.3475% | CPI Urban Consumer NSA | 3/10/2032 | 5,000,000 | 4,736,840 | (263,160 | ) | |||||||||||
Bank of America | 2.360% | CPI Urban Consumer NSA | 2/8/2029 | 10,000,000 | 9,507,202 | (492,798 | ) | |||||||||||
Bank of America | 2.360% | CPI Urban Consumer NSA | 2/15/2029 | 10,000,000 | 9,504,890 | (495,110 | ) | |||||||||||
Bank of America | 2.3625% | CPI Urban Consumer NSA | 2/1/2038 | 5,000,000 | 4,663,018 | (336,982 | ) | |||||||||||
Bank of America | 2.3663% | CPI Urban Consumer NSA | 2/20/2038 | 5,000,000 | 4,657,917 | (342,083 | ) | |||||||||||
Bank of America | 2.370% | CPI Urban Consumer NSA | 1/26/2029 | 5,000,000 | 4,747,445 | (252,555 | ) | |||||||||||
Bank of America | 2.370% | CPI Urban Consumer NSA | 2/27/2029 | 10,000,000 | 9,487,995 | (512,005 | ) |
234 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
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 | 2.3763% | CPI Urban Consumer NSA | 2/26/2038 | $ | 5,000,000 | $ | 4,647,327 | $ | (352,673 | ) | ||||||||
Bank of America | 2.380% | CPI Urban Consumer NSA | 1/13/2029 | 10,000,000 | 9,477,461 | (522,539 | ) | |||||||||||
Bank of America | 2.380% | CPI Urban Consumer NSA | 1/18/2029 | 10,000,000 | 9,479,627 | (520,373 | ) | |||||||||||
Bank of America | 2.3975% | CPI Urban Consumer NSA | 1/24/2029 | 10,000,000 | 9,458,612 | (541,388 | ) | |||||||||||
Bank of America | 2.3975% | CPI Urban Consumer NSA | 2/12/2033 | 5,000,000 | 4,708,139 | (291,861 | ) | |||||||||||
Bank of America | 2.409% | CPI Urban Consumer NSA | 2/6/2038 | 5,000,000 | 4,612,829 | (387,171 | ) | |||||||||||
Bank of America | 2.445% | CPI Urban Consumer NSA | 4/24/2023 | 40,000,000 | 36,744,216 | (3,255,784 | ) | |||||||||||
Bank of America | 2.460% | CPI Urban Consumer NSA | 4/23/2023 | 30,000,000 | 27,516,106 | (2,483,894 | ) | |||||||||||
Bank of America | 2.590% | CPI Urban Consumer NSA | 6/26/2023 | 40,000,000 | 36,066,919 | (3,933,081 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.385% | 2/9/2021 | 10,000,000 | 9,741,819 | (258,181 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.4025% | 1/21/2021 | 10,000,000 | 9,759,045 | (240,955 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.4625% | 1/19/2021 | 20,000,000 | 19,582,627 | (417,373 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.5125% | 11/9/2020 | 10,000,000 | 9,845,408 | (154,592 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.523% | 12/16/2020 | 20,000,000 | 19,656,989 | (343,011 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.540% | 8/20/2021 | 20,000,000 | 19,734,880 | (265,120 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.580% | 8/6/2020 | 25,000,000 | 24,750,502 | (249,498 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.645% | 10/1/2025 | 15,000,000 | 14,737,860 | (262,140 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.780% | 6/23/2022 | 15,000,000 | 14,930,594 | (69,406 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.813% | 3/31/2026 | 5,000,000 | 4,942,029 | (57,971 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.835% | 9/1/2019 | 20,000,000 | 19,703,801 | (296,199 | ) | |||||||||||
Barclays Bank plc | 1.960% | CPI Urban Consumer NSA | 2/5/2025 | 10,000,000 | 9,767,409 | (232,591 | ) | |||||||||||
Barclays Bank plc | 2.0325% | CPI Urban Consumer NSA | 11/14/2021 | 35,000,000 | 34,802,560 | (197,440 | ) | |||||||||||
Barclays Bank plc | 2.0875% | CPI Urban Consumer NSA | 12/1/2024 | 10,000,000 | 9,850,031 | (149,969 | ) | |||||||||||
Barclays Bank plc | 2.1275% | CPI Urban Consumer NSA | 6/22/2025 | 10,000,000 | 9,701,074 | (298,926 | ) | |||||||||||
Barclays Bank plc | 2.1575% | CPI Urban Consumer NSA | 12/2/2024 | 10,000,000 | 9,790,579 | (209,421 | ) | |||||||||||
Barclays Bank plc | 2.159% | CPI Urban Consumer NSA | 11/25/2024 | 15,000,000 | 14,686,645 | (313,355 | ) |
See Notes to Financial Statements. | 235 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
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 | 2.205% | CPI Urban Consumer NSA | 12/9/2024 | $ | 15,000,000 | $ | 14,620,743 | $ | (379,257 | ) | ||||||||
Barclays Bank plc | 2.207% | CPI Urban Consumer NSA | 1/11/2025 | 20,000,000 | 19,472,337 | (527,663 | ) | |||||||||||
Barclays Bank plc | 2.2225% | CPI Urban Consumer NSA | 12/30/2023 | 30,000,000 | 29,258,024 | (741,976 | ) | |||||||||||
Barclays Bank plc | 2.2275% | CPI Urban Consumer NSA | 12/5/2024 | 15,000,000 | 14,594,848 | (405,152 | ) | |||||||||||
Barclays Bank plc | 2.344% | CPI Urban Consumer NSA | 8/1/2019 | 40,000,000 | 38,310,287 | (1,689,713 | ) | |||||||||||
Barclays Bank plc | 2.354% | CPI Urban Consumer NSA | 12/23/2031 | 10,000,000 | 9,479,378 | (520,622 | ) | |||||||||||
Barclays Bank plc | 2.3925% | CPI Urban Consumer NSA | 12/13/2031 | 5,000,000 | 4,710,272 | (289,728 | ) | |||||||||||
Barclays Bank plc | 2.4095% | CPI Urban Consumer NSA | 2/1/2032 | 10,000,000 | 9,392,349 | (607,651 | ) | |||||||||||
Barclays Bank plc | 2.529% | CPI Urban Consumer NSA | 7/8/2022 | 30,000,000 | 27,444,388 | (2,555,612 | ) | |||||||||||
Barclays Bank plc | 2.620% | CPI Urban Consumer NSA | 10/18/2019 | 15,000,000 | 13,843,592 | (1,156,408 | ) | |||||||||||
Barclays Bank plc | 2.7425% | CPI Urban Consumer NSA | 9/14/2024 | 15,000,000 | 12,773,103 | (2,226,897 | ) | |||||||||||
Barclays Bank plc | 2.945% | CPI Urban Consumer NSA | 3/5/2038 | 15,000,000 | 10,299,921 | (4,700,079 | ) | |||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 1.210% | 2/11/2021 | 20,000,000 | 19,301,705 | (698,295 | ) | |||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 1.2625% | 2/17/2021 | 10,000,000 | 9,672,658 | (327,342 | ) | |||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 1.363% | 1/26/2021 | 15,000,000 | 14,608,179 | (391,821 | ) | |||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 1.500% | 7/29/2021 | 15,000,000 | 14,668,507 | (331,493 | ) | |||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 1.562% | 10/22/2022 | 10,000,000 | 9,840,400 | (159,600 | ) | |||||||||||
Credit Suisse | 2.560% | CPI Urban Consumer NSA | 6/27/2020 | 5,000,000 | 4,499,257 | (500,743 | ) | |||||||||||
Credit Suisse | 2.6713% | CPI Urban Consumer NSA | 4/11/2022 | 30,000,000 | 26,654,323 | (3,345,677 | ) | |||||||||||
Credit Suisse | 2.864% | CPI Urban Consumer NSA | 3/22/2032 | 8,000,000 | 6,033,085 | (1,966,915 | ) | |||||||||||
Deutsche Bank AG | 2.059% | CPI Urban Consumer NSA | 5/21/2025 | 20,000,000 | 19,539,364 | (460,636 | ) | |||||||||||
Deutsche Bank AG | 2.385% | CPI Urban Consumer NSA | 1/24/2021 | 7,000,000 | 6,421,399 | (578,601 | ) | |||||||||||
Deutsche Bank AG | 2.4375% | CPI Urban Consumer NSA | 6/7/2021 | 20,000,000 | 18,411,070 | (1,588,930 | ) | |||||||||||
Deutsche Bank AG | 2.440% | CPI Urban Consumer NSA | 4/11/2020 | 8,000,000 | 7,369,692 | (630,308 | ) | |||||||||||
Deutsche Bank AG | 2.465% | CPI Urban Consumer NSA | 11/30/2031 | 5,000,000 | 4,260,591 | (739,409 | ) | |||||||||||
Deutsche Bank AG | 2.500% | CPI Urban Consumer NSA | 9/4/2021 | 10,000,000 | 9,083,042 | (916,958 | ) |
236 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
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 | 2.505% | CPI Urban Consumer NSA | 12/7/2031 | $ | 5,000,000 | $ | 4,214,294 | $ | (785,706 | ) | ||||||||
Deutsche Bank AG | 2.5175% | CPI Urban Consumer NSA | 4/17/2026 | 15,000,000 | 13,374,235 | (1,625,765 | ) | |||||||||||
Deutsche Bank AG | 2.6075% | CPI Urban Consumer NSA | 6/13/2020 | 5,000,000 | 4,483,283 | (516,717 | ) | |||||||||||
Deutsche Bank AG | 2.615% | CPI Urban Consumer NSA | 1/4/2020 | 15,000,000 | 13,729,490 | (1,270,510 | ) | |||||||||||
Deutsche Bank AG | 2.640% | CPI Urban Consumer NSA | 12/17/2020 | 15,000,000 | 13,474,208 | (1,525,792 | ) | |||||||||||
Deutsche Bank AG | 2.695% | CPI Urban Consumer NSA | 10/29/2021 | 9,000,000 | 7,969,071 | (1,030,929 | ) | |||||||||||
Deutsche Bank AG | 2.700% | CPI Urban Consumer NSA | 7/11/2019 | 6,000,000 | 5,426,768 | (573,232 | ) | |||||||||||
Deutsche Bank AG | 2.710% | CPI Urban Consumer NSA | 10/11/2020 | 15,000,000 | 13,476,108 | (1,523,892 | ) | |||||||||||
Deutsche Bank AG | 2.730% | CPI Urban Consumer NSA | 2/4/2021 | 15,000,000 | 13,370,305 | (1,629,695 | ) | |||||||||||
Deutsche Bank AG | 2.730% | CPI Urban Consumer NSA | 10/25/2021 | 15,000,000 | 13,234,792 | (1,765,208 | ) | |||||||||||
Deutsche Bank AG | 2.745% | CPI Urban Consumer NSA | 3/20/2022 | 30,000,000 | 26,472,006 | (3,527,994 | ) | |||||||||||
Deutsche Bank AG | 2.7475% | CPI Urban Consumer NSA | 2/26/2022 | 30,000,000 | 26,455,067 | (3,544,933 | ) | |||||||||||
Deutsche Bank AG | 2.750% | CPI Urban Consumer NSA | 3/30/2032 | 6,000,000 | 4,703,859 | (1,296,141 | ) | |||||||||||
Deutsche Bank AG | 2.7525% | CPI Urban Consumer NSA | 8/2/2021 | 8,000,000 | 6,903,743 | (1,096,257 | ) | |||||||||||
Deutsche Bank AG | 2.779% | CPI Urban Consumer NSA | 3/12/2022 | 25,000,000 | 21,971,350 | (3,028,650 | ) | |||||||||||
Deutsche Bank AG | 3.010% | CPI Urban Consumer NSA | 2/15/2033 | 15,000,000 | 10,867,487 | (4,132,513 | ) | |||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 1.386% | 1/20/2021 | 10,000,000 | 9,751,792 | (248,208 | ) | |||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 1.618% | 8/25/2023 | 15,000,000 | 14,807,457 | (192,543 | ) | |||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 1.650% | 1/20/2026 | 10,000,000 | 9,760,587 | (239,413 | ) | |||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 1.667% | 4/20/2023 | 20,000,000 | 19,612,202 | (387,798 | ) | |||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 1.6725% | 4/20/2023 | 20,000,000 | 19,620,170 | (379,830 | ) | |||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 1.7725% | 4/27/2023 | 35,000,000 | 34,564,527 | (435,473 | ) | |||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 1.811% | 6/4/2020 | 20,000,000 | 19,981,917 | (18,083 | ) | |||||||||||
Goldman Sachs | 2.183% | CPI Urban Consumer NSA | 3/20/2022 | 20,000,000 | 19,622,801 | (377,199 | ) | |||||||||||
Goldman Sachs | 2.230% | CPI Urban Consumer NSA | 12/14/2024 | 10,000,000 | 9,723,613 | (276,387 | ) | |||||||||||
Goldman Sachs | 2.317% | CPI Urban Consumer NSA | 3/16/2029 | 5,000,000 | 4,771,721 | (228,279 | ) |
See Notes to Financial Statements. | 237 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
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 | 2.350% | CPI Urban Consumer NSA | 12/16/2036 | $ | 10,000,000 | $ | 9,352,302 | $ | (647,698 | ) | ||||||||
Goldman Sachs | 2.363% | CPI Urban Consumer NSA | 6/21/2027 | 20,000,000 | 19,092,292 | (907,708 | ) | |||||||||||
Goldman Sachs | 2.370% | CPI Urban Consumer NSA | 5/16/2028 | 10,000,000 | 9,513,645 | (486,355 | ) | |||||||||||
Goldman Sachs | 2.372% | CPI Urban Consumer NSA | 5/3/2030 | 5,000,000 | 4,745,079 | (254,921 | ) | |||||||||||
Goldman Sachs | 2.3775% | CPI Urban Consumer NSA | 4/17/2030 | 5,000,000 | 4,742,226 | (257,774 | ) | |||||||||||
Goldman Sachs | 2.380% | CPI Urban Consumer NSA | 12/8/2031 | 10,000,000 | 9,442,789 | (557,211 | ) | |||||||||||
Goldman Sachs | 2.387% | CPI Urban Consumer NSA | 5/24/2028 | 5,000,000 | 4,751,077 | (248,923 | ) | |||||||||||
Goldman Sachs | 2.390% | CPI Urban Consumer NSA | 2/7/2032 | 5,000,000 | 4,710,772 | (289,228 | ) | |||||||||||
Goldman Sachs | 2.4475% | CPI Urban Consumer NSA | 4/24/2023 | 30,000,000 | 27,550,491 | (2,449,509 | ) | |||||||||||
Goldman Sachs | 2.497% | CPI Urban Consumer NSA | 5/2/2021 | 30,000,000 | 27,418,375 | (2,581,625 | ) | |||||||||||
Goldman Sachs | 2.5375% | CPI Urban Consumer NSA | 4/17/2021 | 8,000,000 | 7,207,563 | (792,437 | ) | |||||||||||
Goldman Sachs | 2.675% | CPI Urban Consumer NSA | 12/13/2020 | 15,000,000 | 13,424,694 | (1,575,306 | ) | |||||||||||
Goldman Sachs | 2.7725% | CPI Urban Consumer NSA | 4/3/2023 | 20,000,000 | 17,361,800 | (2,638,200 | ) | |||||||||||
Goldman Sachs | 2.945% | CPI Urban Consumer NSA | 1/16/2038 | 15,000,000 | 10,227,486 | (4,772,514 | ) | |||||||||||
Goldman Sachs | 2.980% | CPI Urban Consumer NSA | 2/7/2033 | 10,000,000 | 7,317,989 | (2,682,011 | ) | |||||||||||
Goldman Sachs | CPI Urban Consumer NSA | 1.805% | 8/18/2019 | 10,000,000 | 9,843,464 | (156,536 | ) | |||||||||||
J.P. Morgan | 1.950% | CPI Urban Consumer NSA | 10/14/2026 | 10,000,000 | 9,981,933 | (18,067 | ) | |||||||||||
J.P. Morgan | 2.074% | CPI Urban Consumer NSA | 11/21/2023 | 35,000,000 | 33,506,639 | (1,493,361 | ) | |||||||||||
J.P. Morgan | 2.1525% | CPI Urban Consumer NSA | 11/21/2024 | 25,000,000 | 24,494,631 | (505,369 | ) | |||||||||||
J.P. Morgan | 2.4975% | CPI Urban Consumer NSA | 4/26/2020 | 9,000,000 | 8,235,014 | (764,986 | ) | |||||||||||
J.P. Morgan | 2.5275% | CPI Urban Consumer NSA | 5/9/2021 | 10,000,000 | 9,003,972 | (996,028 | ) | |||||||||||
J.P. Morgan | 2.549% | CPI Urban Consumer NSA | 7/23/2023 | 30,000,000 | 27,159,370 | (2,840,630 | ) | |||||||||||
J.P. Morgan | 2.6075% | CPI Urban Consumer NSA | 6/3/2020 | 5,000,000 | 4,489,205 | (510,795 | ) | |||||||||||
J.P. Morgan | 2.680% | CPI Urban Consumer NSA | 2/28/2021 | 20,000,000 | 18,008,618 | (1,991,382 | ) | |||||||||||
J.P. Morgan | 2.7175% | CPI Urban Consumer NSA | 5/13/2020 | 12,000,000 | 10,681,634 | (1,318,366 | ) | |||||||||||
J.P. Morgan | 2.730% | CPI Urban Consumer NSA | 9/20/2021 | 15,000,000 | 13,276,931 | (1,723,069 | ) |
238 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
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 | ||||||||||||
J.P. Morgan | 2.7563% | CPI Urban Consumer NSA | 3/25/2022 | $ | 30,000,000 | $ | 26,433,262 | $ | (3,566,738 | ) | ||||||||
J.P. Morgan | 2.810% | CPI Urban Consumer NSA | 3/28/2032 | 7,000,000 | 5,379,123 | (1,620,877 | ) | |||||||||||
J.P. Morgan | 2.815% | CPI Urban Consumer NSA | 5/4/2020 | 4,000,000 | 3,525,408 | (474,592 | ) | |||||||||||
J.P. Morgan | 2.815% | CPI Urban Consumer NSA | 4/5/2032 | 5,000,000 | 3,834,228 | (1,165,772 | ) | |||||||||||
J.P. Morgan | 2.955% | CPI Urban Consumer NSA | 7/15/2026 | 5,000,000 | 3,858,598 | (1,141,402 | ) | |||||||||||
J.P. Morgan | CPI Urban Consumer NSA | 1.5625% | 1/11/2021 | 10,000,000 | 9,844,821 | (155,179 | ) | |||||||||||
J.P. Morgan | CPI Urban Consumer NSA | 1.645% | 8/27/2023 | 5,000,000 | 4,949,420 | (50,580 | ) | |||||||||||
Merrill Lynch International Bank Ltd. | 2.820% | CPI Urban Consumer NSA | 5/4/2020 | 4,000,000 | 3,523,202 | (476,798 | ) | |||||||||||
Merrill Lynch International Bank Ltd. | 2.825% | CPI Urban Consumer NSA | 7/22/2023 | 5,000,000 | 4,147,831 | (852,169 | ) | |||||||||||
Wells Fargo | 2.3925% | CPI Urban Consumer NSA | 6/26/2019 | 30,000,000 | 28,565,185 | (1,434,815 | ) | |||||||||||
Wells Fargo | 2.410% | CPI Urban Consumer NSA | 6/20/2021 | 10,000,000 | 9,103,656 | (896,344 | ) | |||||||||||
Wells Fargo | 2.560% | CPI Urban Consumer NSA | 5/2/2021 | 10,000,000 | 8,977,442 | (1,022,558 | ) | |||||||||||
Wells Fargo | 2.6275% | CPI Urban Consumer NSA | 10/5/2019 | 15,000,000 | 13,872,386 | (1,127,614 | ) | |||||||||||
Wells Fargo | 2.645% | CPI Urban Consumer NSA | 12/27/2020 | 15,000,000 | 13,467,989 | (1,532,011 | ) | |||||||||||
Wells Fargo | 2.7325% | CPI Urban Consumer NSA | 2/19/2021 | 20,000,000 | 17,896,986 | (2,103,014 | ) | |||||||||||
Wells Fargo | 2.745% | CPI Urban Consumer NSA | 2/21/2022 | 25,000,000 | 22,045,333 | (2,954,667 | ) | |||||||||||
Unrealized Depreciation on CPI OTC Swaps | $ | (137,085,390 | ) |
See Notes to Financial Statements. | 239 |
Schedule of Investments (unaudited)(continued)
INFLATION FOCUSED FUNDMay 31, 2019
The following is a summary of the inputs used as of May 31, 2019 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 | ||||||||||||||||
Credit Cards | $ | – | $ | 66,996,210 | $ | 131,978 | $ | 67,128,188 | ||||||||
Other | – | 133,417,325 | 3,633,013 | 137,050,338 | ||||||||||||
Remaining Industries | – | 112,725,488 | – | 112,725,488 | ||||||||||||
Common Stocks | – | 5,263 | – | 5,263 | ||||||||||||
Convertible Bonds | – | 1,255,795 | – | 1,255,795 | ||||||||||||
Corporate Bonds | – | 456,315,532 | – | 456,315,532 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Aerospace/Defense | – | 1,525,331 | 138,380 | 1,663,711 | ||||||||||||
Electrical Equipment | – | – | 1,968,140 | 1,968,140 | ||||||||||||
Entertainment | – | – | 134,868 | 134,868 | ||||||||||||
Investment Management Companies | – | – | 567,357 | 567,357 | ||||||||||||
Machinery: Industrial/Specialty | – | – | 2,082,793 | 2,082,793 | ||||||||||||
Miscellaneous | – | 1,464,305 | 355,289 | 1,819,594 | ||||||||||||
Oil | – | – | 303,475 | 303,475 | ||||||||||||
Real Estate Investment Trusts | – | – | 2,754,845 | 2,754,845 | ||||||||||||
Remaining Industries | – | 26,773,711 | – | 26,773,711 | ||||||||||||
Less Unfunded Commitment | – | (221,100 | ) | – | (221,100 | ) | ||||||||||
Foreign Government Obligations | – | 6,805,476 | – | 6,805,476 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 25,080,425 | – | 25,080,425 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 5,931,652 | – | 5,931,652 | ||||||||||||
Municipal Bonds | – | 851,707 | – | 851,707 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 300,912,794 | 1,746,753 | 302,659,547 | ||||||||||||
Preferred Stock | – | – | – | – | ||||||||||||
U.S. Treasury Obligation | – | 12,771,459 | – | 12,771,459 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | – | 26,217,302 | – | 26,217,302 | ||||||||||||
Corporate Bonds | – | 1,569,368 | – | 1,569,368 | ||||||||||||
Foreign Government Obligation | – | 61,578 | – | 61,578 | ||||||||||||
Repurchase Agreement | – | 23,894,876 | – | 23,894,876 | ||||||||||||
Total | $ | – | $ | 1,204,354,497 | $ | 13,816,891 | $ | 1,218,171,388 |
240 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(concluded)
INFLATION FOCUSED FUNDMay 31, 2019
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Centrally Cleared CPI Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 8,176,147 | $ | – | $ | 8,176,147 | ||||||||
Liabilities | – | (28,649,376 | ) | – | (28,649,376 | ) | ||||||||||
OTC CPI Swap Contracts | ||||||||||||||||
Assets | – | 9,438,943 | – | 9,438,943 | ||||||||||||
Liabilities | – | (137,085,390 | ) | – | (137,085,390 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 30,159 | – | 30,159 | ||||||||||||
Liabilities | – | – | – | – | ||||||||||||
Futures Contracts | ||||||||||||||||
Assets | 2,731,439 | – | – | 2,731,439 | ||||||||||||
Liabilities | (514,595 | ) | – | – | (514,595 | ) | ||||||||||
Centrally Cleared Interest Rate Swap Contracts | ||||||||||||||||
Assets | – | 601,432 | – | 601,432 | ||||||||||||
Liabilities | – | (631,506 | ) | – | (631,506 | ) | ||||||||||
Total | $ | 2,216,844 | $ | (148,119,591 | ) | $ | – | $ | (145,902,747 | ) |
(1) | Refer to Note 2(t) 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, 2019. |
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
Investment Type | Asset- Backed Securities | Common Stock | Floating Rate Loans | Non-Agency Commercial Mortgage- Backed Securities | Preferred Stock | |||||||||||||||
Balance as of December 1, 2018 | $ | 718,000 | $ | – | $ | 8,209,361 | $ | 3,045,460 | $ | – | ||||||||||
Accrued Discounts (Premiums) | (215 | ) | – | 7,951 | (195,623 | ) | – | |||||||||||||
Realized Gain (Loss) | – | – | 673 | (2,653 | ) | – | ||||||||||||||
Change in Unrealized Appreciation (Depreciation) | 16,833 | (10,311 | ) | (10,906 | ) | 22,479 | (44,807 | ) | ||||||||||||
Purchases | 3,748,373 | – | 2,499,095 | – | 3,444 | |||||||||||||||
Sales | – | – | (3,617,476 | ) | (741,759 | ) | – | |||||||||||||
Transfers into Level 3 | – | 10,311 | 1,216,449 | – | 41,363 | |||||||||||||||
Transfers out of Level 3 | (718,000 | ) | – | – | (381,151 | ) | – | |||||||||||||
Balance as of May 31, 2019 | $ | 3,764,991 | $ | – | $ | 8,305,147 | $ | 1,746,753 | $ | – | ||||||||||
Change in unrealized appreciation/depreciation for the period ended May 31, 2019, related to Level 3 investments held at May 31, 2019 | $ | 16,833 | $ | (10,311 | ) | $ | (10,906 | ) | $ | 22,479 | $ | (44,807 | ) |
See Notes to Financial Statements. | 241 |
Schedule of Investments (unaudited)
SHORT DURATION CORE BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 91.77% | ||||||||||||
ASSET-BACKED SECURITIES 28.07% | ||||||||||||
Automobiles 14.95% | ||||||||||||
ACC Trust 2018-1 A† | 3.70% | 12/21/2020 | $ | 31 | $ | 30,652 | ||||||
American Credit Acceptance Receivables Trust 2019-2 B† | 3.05% | 5/12/2023 | 35 | 35,149 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-3 A2A | 1.69% | 12/18/2020 | – | (a) | 117 | |||||||
AmeriCredit Automobile Receivables Trust 2017-3 B | 2.24% | 6/19/2023 | 84 | 83,838 | ||||||||
Bank of The West Auto Trust 2017-1 A3† | 2.11% | 1/15/2023 | 100 | 99,665 | ||||||||
California Republic Auto Receivables Trust 2015-3 B | 2.70% | 9/15/2021 | 50 | 49,959 | ||||||||
California Republic Auto Receivables Trust 2017-1 B | 2.91% | 12/15/2022 | 39 | 39,116 | ||||||||
Capital One Prime Auto Receivables Trust 2019-1 A2 | 2.58% | 4/15/2022 | 128 | 128,507 | ||||||||
CarMax Auto Owner Trust 2016-4 A3 | 1.40% | 8/15/2021 | 13 | 13,180 | ||||||||
Chesapeake Funding II LLC 2016-1A A1† | 2.11% | 3/15/2028 | 19 | 19,226 | ||||||||
Chesapeake Funding II LLC 2017-2A A1† | 1.99% | 5/15/2029 | 53 | 52,659 | ||||||||
Chesapeake Funding II LLC 2017-3A A1† | 1.91% | 8/15/2029 | 57 | 56,481 | ||||||||
Chesapeake Funding II LLC 2018-2A A2† | 2.764% (1 Mo. LIBOR + .37% | )# | 8/15/2030 | 91 | 91,497 | |||||||
CPS Auto Receivables Trust 2016-C D† | 5.92% | 6/15/2022 | 100 | 103,247 | ||||||||
CPS Auto Receivables Trust 2017-C D† | 3.79% | 6/15/2023 | 200 | 202,632 | ||||||||
CPS Auto Receivables Trust 2019-A C† | 3.89% | 12/16/2024 | 100 | 102,598 | ||||||||
Drive Auto Receivables Trust 2015-BA E† | 5.15% | 8/15/2022 | 50 | 50,112 | ||||||||
Drive Auto Receivables Trust 2016-BA D† | 4.53% | 8/15/2023 | 31 | 31,338 | ||||||||
Drive Auto Receivables Trust 2017-1 D | 3.84% | 3/15/2023 | 110 | 111,215 | ||||||||
Drive Auto Receivables Trust 2017-BA C† | 2.61% | 8/16/2021 | 8 | 7,730 | ||||||||
Drive Auto Receivables Trust 2018-3 A3 | 3.01% | 11/15/2021 | 12 | 12,341 | ||||||||
Drive Auto Receivables Trust 2018-3 B | 3.37% | 9/15/2022 | 7 | 7,026 | ||||||||
Drive Auto Receivables Trust 2018-3 C | 3.72% | 9/16/2024 | 18 | 18,268 | ||||||||
Drive Auto Receivables Trust 2018-4 D | 4.09% | 1/15/2026 | 100 | 103,009 | ||||||||
Exeter Automobile Receivables Trust 2017-3A B† | 2.81% | 9/15/2022 | 33 | 33,078 | ||||||||
Exeter Automobile Receivables Trust 2017-3A C† | 3.68% | 7/17/2023 | 75 | 76,304 | ||||||||
Fifth Third Auto Trust 2019-1 A2A | 2.66% | 5/16/2022 | 45 | 45,166 | ||||||||
Fifth Third Auto Trust 2019-1 A3 | 2.64% | 12/15/2023 | 53 | 53,595 | ||||||||
Fifth Third Auto Trust 2019-1 A4 | 2.69% | 11/16/2026 | 11 | 11,180 | ||||||||
First Investors Auto Owner Trust 2017-3A A1† | 2.00% | 3/15/2022 | 2 | 1,940 |
242 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUNDMay 31, 2018
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
First Investors Auto Owner Trust 2017-3A A2† | 2.41% | 12/15/2022 | $ | 10 | $ | 9,994 | ||||||
Flagship Credit Auto Trust 2017-3 B† | 2.59% | 7/15/2022 | 10 | 9,981 | ||||||||
Flagship Credit Auto Trust 2017-4 A† | 2.07% | 4/15/2022 | 4 | 3,687 | ||||||||
Flagship Credit Auto Trust 2018-3 B† | 3.59% | 12/16/2024 | 35 | 35,666 | ||||||||
Flagship Credit Auto Trust 2019-1 B† | 3.39% | 1/16/2024 | 70 | 71,280 | ||||||||
Ford Credit Auto Owner Trust 2016-A C | 2.19% | 7/15/2022 | 50 | 49,899 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 A3† | 3.24% | 9/15/2022 | 100 | 100,574 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 B† | 3.53% | 4/17/2023 | 100 | 101,636 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 C† | 3.68% | 8/15/2023 | 100 | 102,021 | ||||||||
GM Financial Automobile Leasing Trust 2019-2 A2A | 2.67% | 6/21/2021 | 34 | 34,075 | ||||||||
GM Financial Automobile Leasing Trust 2019-2 A3 | 2.67% | 3/21/2022 | 18 | 18,127 | ||||||||
GM Financial Consumer Automobile Receivables Trust 2019-1 A2 | 2.99% | 3/16/2022 | 56 | 56,508 | ||||||||
GM Financial Consumer Automobile Receivables Trust 2019-1 B | 3.37% | 8/16/2024 | 43 | 44,160 | ||||||||
Parallel 2017-1 Ltd. 2017-1A A1† | 3.902% (3 Mo. LIBOR+ 1.31% | )# | 7/20/2029 | 250 | 250,419 | |||||||
Santander Drive Auto Receivables Trust 2016-1 D | 4.02% | 4/15/2022 | 65 | 65,711 | ||||||||
Santander Drive Auto Receivables Trust 2017-2 B | 2.21% | 10/15/2021 | 2 | 1,911 | ||||||||
Santander Drive Auto Receivables Trust 2017-2 C | 2.79% | 8/15/2022 | 8 | 8,003 | ||||||||
Santander Drive Auto Receivables Trust 2018-4 C | 3.56% | 7/15/2024 | 35 | 35,739 | ||||||||
TCF Auto Receivables Owner Trust 2016-1A D† | 3.50% | 7/17/2023 | 52 | 52,089 | ||||||||
TCF Auto Receivables Owner Trust 2016-PT1A B† | 2.92% | 10/17/2022 | 23 | 23,096 | ||||||||
TCF Auto Receivables Owner Trust 2016-PT1A D† | 4.20% | 4/15/2024 | 52 | 52,839 | ||||||||
Westlake Automobile Receivables Trust 2018-3A A2A† | 2.98% | 1/18/2022 | 81 | 81,137 | ||||||||
Westlake Automobile Receivables Trust 2018-3A B† | 3.32% | 10/16/2023 | 100 | 100,699 | ||||||||
Total | 2,980,076 | |||||||||||
Credit Cards 4.04% | ||||||||||||
American Express Credit Account Master Trust 2017-2 A | 2.89% (1 Mo. LIBOR + .45% | )# | 9/16/2024 | 71 | 71,288 | |||||||
Capital One Multi-Asset Execution Trust 2016-A7 | 2.95% (1 Mo. LIBOR + .51% | )# | 9/16/2024 | 71 | 71,408 | |||||||
Capital One Multi-Asset Execution Trust 2017-A1 | 2.00% | 1/17/2023 | 165 | 164,435 | ||||||||
Chase Issuance Trust 2014-A2 | 2.77% | 3/15/2023 | 10 | 10,105 | ||||||||
Continental Credit Card 2016-1A C† | 11.33% | 1/15/2025 | 100 | 104,744 | (b) |
See Notes to Financial Statements. | 243 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Credit Cards (continued) | ||||||||||||
Master Credit Card Trust 2019-1A B† | 3.57% | 7/21/2022 | $ | 100 | $ | 101,099 | ||||||
Synchrony Credit Card Master Note Trust 2015-1 B | 2.64% | 3/15/2023 | 100 | 99,869 | ||||||||
World Financial Network Credit Card Master Trust 2012-D A | 2.15% | 4/17/2023 | 28 | 27,989 | ||||||||
World Financial Network Credit Card Master Trust 2012-D B | 3.34% | 4/17/2023 | 42 | 42,001 | ||||||||
World Financial Network Credit Card Master Trust 2016-A | 2.03% | 4/15/2025 | 48 | 47,734 | ||||||||
World Financial Network Credit Card Master Trust 2017-B A | 1.98% | 6/15/2023 | 16 | 15,997 | ||||||||
World Financial Network Credit Card Master Trust 2017-C M | 2.66% | 8/15/2024 | 48 | 47,950 | ||||||||
Total | 804,619 | |||||||||||
Other 9.08% | ||||||||||||
Access Point Funding I LLC 2017-A† | 3.06% | 4/15/2029 | 51 | 50,538 | ||||||||
ALM VII Ltd. 2012-7A A1R† | 4.077% (3 Mo. LIBOR + 1.48% | )# | 10/15/2028 | 250 | 250,448 | |||||||
Ascentium Equipment Receivables Trust 2017-1A A3† | 2.29% | 6/10/2021 | 2 | 1,559 | ||||||||
Conn’s Receivables Funding LLC 2018-A† | 3.25% | 1/15/2023 | 34 | 33,664 | ||||||||
Diamond Resorts Owner Trust 2016-1 A† | 3.08% | 11/20/2028 | 23 | 23,054 | ||||||||
Diamond Resorts Owner Trust 2018-1 B† | 4.19% | 1/21/2031 | 71 | 72,716 | ||||||||
Engs Commercial Finance Trust 2018-1A A1† | 2.97% | 2/22/2021 | 39 | 38,658 | ||||||||
Fairstone Financial Issuance Trust I 2019-1A B†(c) | 5.084% | 3/21/2033 | CAD | 150 | 112,078 | (b) | ||||||
Hilton Grand Vacations Trust 2018-AA A† | 3.54% | 2/25/2032 | $ | 89 | 91,245 | |||||||
Massachusetts Educational Financing Authority 2008-1 A1 | 3.53% (3 Mo. LIBOR + .95% | )# | 4/25/2038 | 123 | 123,858 | |||||||
Mercedes-Benz Master Owner Trust 2018-BA A† | 2.78% (1 Mo. LIBOR + .34% | )# | 5/15/2023 | 100 | 100,063 | |||||||
Mountain Hawk III CLO Ltd. 2014-3A AR† | 3.801% (3 Mo. LIBOR + 1.20% | )# | 4/18/2025 | 154 | 153,816 | |||||||
OneMain Financial Issuance Trust 2016-1A A† | 3.66% | 2/20/2029 | 63 | 63,134 | ||||||||
OneMain Financial Issuance Trust 2019-1A B† | 3.79% | 2/14/2031 | 100 | 102,549 | ||||||||
Orange Lake Timeshare Trust 2015-AA A† | 2.88% | 9/8/2027 | 15 | 15,382 | ||||||||
PFS Financing Corp. 2018-B A† | 2.89% | 2/15/2023 | 100 | 100,691 | ||||||||
SCF Equipment Leasing LLC 2017-2A A† | 3.41% | 12/20/2023 | 57 | 57,034 | ||||||||
SCF Equipment Leasing LLC 2018-1A A2† | 3.63% | 10/20/2024 | 80 | 80,346 | ||||||||
SCF Equipment Leasing LLC 2019-1A C† | 3.92% | 11/20/2026 | 100 | 102,248 | ||||||||
Sierra Timeshare 2016-1 Receivables Funding LLC 2016-1A A† | 3.08% | 3/21/2033 | 54 | 54,623 |
244 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
SLC Student Loan Trust 2008-1 A4A | 4.211% (3 Mo. LIBOR + 1.60% | )# | 12/15/2032 | $ | 60 | $ | 61,575 | |||||
SMB Private Education Loan Trust 2018-B A1† | 2.76% (1 Mo. LIBOR + .32% | )# | 12/16/2024 | 47 | 46,531 | |||||||
Towd Point Asset Trust 2018-SL1 A† | 3.077% (1 Mo. LIBOR + .60% | )# | 1/25/2046 | 76 | 75,084 | |||||||
Total | 1,810,894 | |||||||||||
Total Asset-Backed Securities (cost $5,559,588) | 5,595,589 | |||||||||||
CORPORATE BONDS 31.21% | ||||||||||||
Automotive 1.40% | ||||||||||||
General Motors Financial Co., Inc. | 3.15% | 6/30/2022 | 90 | 89,356 | ||||||||
General Motors Financial Co., Inc. | 3.20% | 7/6/2021 | 46 | 45,997 | ||||||||
General Motors Financial Co., Inc. | 4.20% | 3/1/2021 | 40 | 40,659 | ||||||||
General Motors Financial Co., Inc. | 5.10% | 1/17/2024 | 3 | 3,134 | ||||||||
Hyundai Capital America† | 3.45% | 3/12/2021 | 25 | 25,258 | ||||||||
Nissan Motor Acceptance Corp.† | 2.55% | 3/8/2021 | 75 | 74,576 | ||||||||
Total | 278,980 | |||||||||||
Banks: Regional 8.18% | ||||||||||||
Associated Bank NA | 3.50% | 8/13/2021 | 7 | 7,106 | ||||||||
Bank of America Corp. | 3.004% (3 Mo. LIBOR + .79% | )# | 12/20/2023 | 100 | 100,659 | |||||||
Barclays Bank plc (United Kingdom)†(e) | 10.179% | 6/12/2021 | 80 | 90,272 | ||||||||
Citibank NA | 3.123% | # | 5/20/2022 | 250 | 250,205 | |||||||
Compass Bank | 5.50% | 4/1/2020 | 19 | 19,412 | ||||||||
Danske Bank A/S (Denmark)†(e) | 2.75% | 9/17/2020 | 200 | 199,629 | ||||||||
Goldman Sachs Group, Inc. (The) | 2.876% (3 Mo. LIBOR+ .82% | )# | 10/31/2022 | 11 | 10,993 | |||||||
Goldman Sachs Group, Inc. (The) | 2.908% (3 Mo. LIBOR+ 1.05% | )# | 6/5/2023 | 50 | 50,024 | |||||||
Goldman Sachs Group, Inc. (The) | 3.696% (3 Mo. LIBOR + 1.11% | )# | 4/26/2022 | 75 | 75,607 | |||||||
Goldman Sachs Group, Inc. (The) | 5.75% | 1/24/2022 | 50 | 53,773 | ||||||||
HSBC USA, Inc. | 9.30% | 6/1/2021 | 27 | 30,273 | ||||||||
Lloyds Bank plc (United Kingdom)†(e) | 6.50% | 9/14/2020 | 200 | 208,478 | ||||||||
Macquarie Bank Ltd. (Australia)†(e) | 6.625% | 4/7/2021 | 40 | 42,661 | ||||||||
Macquarie Group Ltd. (Australia)†(e) | 7.625% | 8/13/2019 | 80 | 80,733 | ||||||||
Morgan Stanley | 4.875% | 11/1/2022 | 8 | 8,517 | ||||||||
Santander UK Group Holdings plc (United Kingdom)(e) | 3.125% | 1/8/2021 | 125 | 125,319 |
See Notes to Financial Statements. | 245 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
UBS AG/Stamford CT | 7.625% | 8/17/2022 | $ | 250 | $ | 276,441 | ||||||
Total | 1,630,102 | |||||||||||
Beverages 0.09% | ||||||||||||
Keurig Dr Pepper, Inc. | 3.20% | 11/15/2021 | 6 | 6,048 | ||||||||
Keurig Dr Pepper, Inc.† | 4.057% | 5/25/2023 | 11 | 11,443 | ||||||||
Total | 17,491 | |||||||||||
Building Materials 0.44% | ||||||||||||
Holcim US Finance Sarl & Cie SCS (Luxembourg)†(e) | 6.00% | 12/30/2019 | 6 | 6,091 | ||||||||
Johnson Controls International plc | 5.00% | 3/30/2020 | 5 | 5,090 | ||||||||
Martin Marietta Materials, Inc. | 3.173% (3 Mo. LIBOR + .65% | )# | 5/22/2020 | 38 | 38,014 | |||||||
Vulcan Materials Co. | 3.17% (3 Mo. LIBOR + .65% | )# | 3/1/2021 | 21 | 21,011 | |||||||
Vulcan Materials Co. | 3.211% (3 Mo. LIBOR + .60% | )# | 6/15/2020 | 17 | 16,998 | |||||||
Total | 87,204 | |||||||||||
Business Services 0.07% | ||||||||||||
Equifax, Inc. | 3.388% (3 Mo. LIBOR + .87% | )# | 8/15/2021 | 10 | 9,975 | |||||||
IHS Markit Ltd. (United Kingdom)(e) | 3.625% | 5/1/2024 | 5 | 5,043 | ||||||||
Total | 15,018 | |||||||||||
Chemicals 0.47% | ||||||||||||
Celanese US Holdings LLC | 5.875% | 6/15/2021 | 4 | 4,230 | ||||||||
Yara International ASA (Norway)†(e) | 7.875% | 6/11/2019 | 90 | 90,083 | ||||||||
Total | 94,313 | |||||||||||
Computer Hardware 0.54% | ||||||||||||
Dell International LLC/EMC Corp.† | 5.45% | 6/15/2023 | 102 | 108,496 | ||||||||
Drugs 0.53% | ||||||||||||
AstraZeneca plc (United Kingdom)(e) | 3.19% (3 Mo. LIBOR + .665% | )# | 8/17/2023 | 40 | 39,845 | |||||||
Bayer US Finance II LLC† | 2.75% | 7/15/2021 | 4 | 3,984 | ||||||||
Cardinal Health, Inc. | 3.381% (3 Mo. LIBOR + .77% | )# | 6/15/2022 | 20 | 19,879 | |||||||
Express Scripts Holding Co. | 3.274% | # | 11/30/2020 | 43 | 43,002 | |||||||
Total | 106,710 | |||||||||||
Electric: Power 2.07% | ||||||||||||
Ausgrid Finance Pty Ltd. (Australia)†(e) | 3.85% | 5/1/2023 | 56 | 57,809 | ||||||||
Dominion Energy, Inc. | 2.962% | 7/1/2019 | 20 | 20,000 | ||||||||
Dominion Energy, Inc. | 4.104% | 4/1/2021 | 5 | 5,104 |
246 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Power (continued) | ||||||||||||
Duquesne Light Holdings, Inc.† | 6.40% | 9/15/2020 | $ | 37 | $ | 38,611 | ||||||
Emera US Finance LP | 2.70% | 6/15/2021 | 25 | 24,923 | ||||||||
Entergy Corp. | 5.125% | 9/15/2020 | 75 | 76,772 | ||||||||
ITC Holdings Corp.† | 5.50% | 1/15/2020 | 30 | 30,516 | ||||||||
Jersey Central Power & Light Co.† | 4.70% | 4/1/2024 | 10 | 10,767 | ||||||||
NV Energy, Inc. | 6.25% | 11/15/2020 | 17 | 17,882 | ||||||||
PNM Resources, Inc. | 3.25% | 3/9/2021 | 4 | 4,028 | ||||||||
PPL WEM Ltd./Western Power Distribution Ltd. (United Kingdom)†(e) | 5.375% | 5/1/2021 | 27 | 27,879 | ||||||||
Puget Energy, Inc. | 5.625% | 7/15/2022 | 28 | 29,966 | ||||||||
Puget Energy, Inc. | 6.00% | 9/1/2021 | 18 | 19,194 | ||||||||
San Diego Gas & Electric Co. | 1.914% | 2/1/2022 | 15 | 14,689 | ||||||||
SCANA Corp. | 4.125% | 2/1/2022 | 1 | 1,019 | ||||||||
SCANA Corp. | 4.75% | 5/15/2021 | 13 | 13,292 | ||||||||
SCANA Corp. | 6.25% | 4/1/2020 | 13 | 13,282 | ||||||||
Sempra Energy | 3.097% (3 Mo. LIBOR + .50% | )# | 1/15/2021 | 5 | 4,986 | |||||||
TransAlta Corp. (Canada)(e) | 4.50% | 11/15/2022 | 2 | 2,053 | ||||||||
Total | 412,772 | |||||||||||
Electrical Equipment 0.81% | ||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 2.65% | 1/15/2023 | 33 | 32,159 | ||||||||
Broadcom, Inc.† | 3.125% | 4/15/2021 | 17 | 17,024 | ||||||||
Broadcom, Inc.† | 3.125% | 10/15/2022 | 26 | 25,896 | ||||||||
Broadcom, Inc.† | 3.625% | 10/15/2024 | 60 | 59,067 | ||||||||
Marvell Technology Group Ltd. | 4.20% | 6/22/2023 | 13 | 13,416 | ||||||||
QUALCOMM, Inc. | 3.07% (3 Mo. LIBOR + .55% | )# | 5/20/2020 | 13 | 13,047 | |||||||
Total | 160,609 | |||||||||||
Electronics 0.35% | ||||||||||||
PerkinElmer, Inc. | 5.00% | 11/15/2021 | 61 | 63,703 | ||||||||
Trimble, Inc. | 4.15% | 6/15/2023 | 5 | 5,147 | ||||||||
Total | 68,850 | |||||||||||
Financial Services 3.02% | ||||||||||||
Aircastle Ltd. | 4.40% | 9/25/2023 | 52 | 53,278 | ||||||||
Aircastle Ltd. | 5.00% | 4/1/2023 | 40 | 41,785 | ||||||||
Aircastle Ltd. | 5.50% | 2/15/2022 | 5 | 5,279 | ||||||||
Aircastle Ltd. | 7.625% | 4/15/2020 | 4 | 4,149 | ||||||||
American Express Co. | 3.14% | #(d) | 5/20/2022 | 51 | 51,059 | |||||||
Discover Financial Services | 5.20% | 4/27/2022 | 67 | 71,343 |
See Notes to Financial Statements. | 247 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Financial Services (continued) | ||||||||||||
Discover Financial Services | 10.25% | 7/15/2019 | $ | 12 | $ | 12,098 | ||||||
E*TRADE Financial Corp. | 2.95% | 8/24/2022 | 5 | 5,017 | ||||||||
International Lease Finance Corp. | 5.875% | 8/15/2022 | 110 | 119,016 | ||||||||
International Lease Finance Corp. | 8.25% | 12/15/2020 | 61 | 65,766 | ||||||||
International Lease Finance Corp. | 8.625% | 1/15/2022 | 16 | 18,193 | ||||||||
Jefferies Financial Group, Inc. | 5.50% | 10/18/2023 | 20 | 21,251 | ||||||||
Jefferies Group LLC | 6.875% | 4/15/2021 | 30 | 32,081 | ||||||||
Jefferies Group LLC | 8.50% | 7/15/2019 | 101 | 101,623 | ||||||||
Total | 601,938 | |||||||||||
Food 0.13% | ||||||||||||
Conagra Brands, Inc. | 3.342% (3 Mo. LIBOR + .75% | )# | 10/22/2020 | 25 | 25,010 | |||||||
Health Care Services 0.03% | ||||||||||||
Fresenius Medical Care US Finance II, Inc.† | 4.75% | 10/15/2024 | 5 | 5,285 | ||||||||
Household Equipment/Products 0.35% | ||||||||||||
Newell Brands, Inc. | 3.85% | 4/1/2023 | 70 | 70,544 | ||||||||
Insurance 0.25% | ||||||||||||
Willis North America, Inc. | 7.00% | 9/29/2019 | 42 | 42,519 | ||||||||
Willis Towers Watson plc (United Kingdom)(e) | 5.75% | 3/15/2021 | 2 | 2,098 | ||||||||
WR Berkley Corp. | 5.375% | 9/15/2020 | 5 | 5,177 | ||||||||
Total | 49,794 | |||||||||||
Leasing 1.45% | ||||||||||||
Aviation Capital Group LLC† | 6.75% | 4/6/2021 | 100 | 106,996 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(e) | 5.50% | 1/15/2023 | 48 | 49,987 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(e) | 5.125% | 10/1/2023 | 5 | 5,188 | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.† | 3.45% | 7/1/2024 | 28 | 28,339 | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.† | 3.90% | 2/1/2024 | 96 | 99,302 | ||||||||
Total | 289,812 | |||||||||||
Leisure 0.08% | ||||||||||||
Royal Caribbean Cruises Ltd. | 5.25% | 11/15/2022 | 15 | 16,203 | ||||||||
Machinery: Agricultural 0.48% | ||||||||||||
BAT Capital Corp. | 3.222% | 8/15/2024 | 60 | 59,434 | ||||||||
Reynolds American, Inc. | 4.85% | 9/15/2023 | 34 | 36,109 | ||||||||
Total | 95,543 |
248 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Machinery: Industrial/Specialty 0.11% | ||||||||||||
CNH Industrial Capital LLC | 4.375% | 4/5/2022 | $ | 3 | $ | 3,081 | ||||||
CNH Industrial Capital LLC | 4.875% | 4/1/2021 | 2 | 2,061 | ||||||||
Roper Technologies, Inc. | 3.65% | 9/15/2023 | 6 | 6,186 | ||||||||
Wabtec Corp. | 4.40% | 3/15/2024 | 10 | 10,373 | ||||||||
Total | 21,701 | |||||||||||
Manufacturing 0.75% | ||||||||||||
General Electric Co. | 2.70% | 10/9/2022 | 15 | 14,849 | ||||||||
General Electric Co. | 3.10% | 1/9/2023 | 7 | 7,001 | ||||||||
General Electric Co. | 3.15% | 9/7/2022 | 7 | 7,044 | ||||||||
General Electric Co. | 3.375% | 3/11/2024 | 2 | 2,025 | ||||||||
General Electric Co. | 3.397% (3 Mo. LIBOR + .80% | )# | 4/15/2020 | 35 | 35,097 | |||||||
General Electric Co. | 3.45% | 5/15/2024 | 3 | 3,034 | ||||||||
General Electric Co. | 5.30% | 2/11/2021 | 34 | 35,266 | ||||||||
Pentair Finance Sarl (Luxembourg)(e) | 3.15% | 9/15/2022 | 45 | 45,187 | ||||||||
Total | 149,503 | |||||||||||
Media 0.96% | ||||||||||||
Cox Communications, Inc.† | 2.95% | 6/30/2023 | 75 | 74,988 | ||||||||
Cox Communications, Inc.† | 3.15% | 8/15/2024 | 15 | 15,097 | ||||||||
NBCUniversal Enterprise, Inc.† | 5.25% | – | (f) | 100 | 102,054 | |||||||
Total | 192,139 | |||||||||||
Metals & Minerals: Miscellaneous 1.44% | ||||||||||||
Anglo American Capital plc (United Kingdom)†(e) | 3.75% | 4/10/2022 | 200 | 203,127 | ||||||||
Glencore Funding LLC† | 2.875% | 4/16/2020 | 2 | 2,007 | ||||||||
Glencore Funding LLC† | 4.125% | 5/30/2023 | 46 | 46,990 | ||||||||
Newmont Goldcorp Corp.† | 3.625% | 6/9/2021 | 25 | 25,350 | ||||||||
Southern Copper Corp. (Peru)(e) | 5.375% | 4/16/2020 | 9 | 9,207 | ||||||||
Total | 286,681 | |||||||||||
Oil 2.25% | ||||||||||||
Canadian Oil Sands Ltd. (Canada)†(e) | 9.40% | 9/1/2021 | 25 | 28,388 | ||||||||
Concho Resources, Inc. | 4.375% | 1/15/2025 | 17 | 17,623 | ||||||||
Continental Resources, Inc. | 4.50% | 4/15/2023 | 15 | 15,511 | ||||||||
Continental Resources, Inc. | 5.00% | 9/15/2022 | 101 | 101,873 | ||||||||
Motiva Enterprises LLC† | 5.75% | 1/15/2020 | 49 | 49,745 | ||||||||
Nexen, Inc. (Canada)(e) | 6.20% | 7/30/2019 | 9 | 9,050 | ||||||||
Phillips 66 | 3.121% (3 Mo. LIBOR + .60% | )# | 2/26/2021 | 2 | 2,000 | |||||||
Pioneer Natural Resources Co. | 7.50% | 1/15/2020 | 4 | 4,112 |
See Notes to Financial Statements. | 249 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil (continued) | ||||||||||||
Saudi Arabian Oil Co. (Saudi Arabia)†(e) | 2.75% | 4/16/2022 | $ | 200 | $ | 199,660 | ||||||
Woodside Finance Ltd. (Australia)†(e) | 4.60% | 5/10/2021 | 20 | 20,589 | ||||||||
Total | 448,551 | |||||||||||
Oil: Crude Producers 2.42% | ||||||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. | 3.50% | 12/1/2022 | 50 | 50,948 | ||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. | 6.25% | 10/15/2022 | 52 | 53,430 | ||||||||
Colonial Pipeline Co.† | 3.50% | 10/15/2020 | 15 | 15,142 | ||||||||
Enbridge Energy Partners LP | 4.20% | 9/15/2021 | 25 | 25,620 | ||||||||
Energy Transfer Operating LP | 4.15% | 10/1/2020 | 98 | 99,516 | ||||||||
Energy Transfer Operating LP | 7.60% | 2/1/2024 | 25 | 28,652 | ||||||||
Energy Transfer Partners LP/Regency Energy Finance Corp. | 5.875% | 3/1/2022 | 50 | 53,382 | ||||||||
Midwest Connector Capital Co. LLC† | 3.625% | 4/1/2022 | 11 | 11,219 | ||||||||
Sabine Pass Liquefaction LLC | 5.625% | 4/15/2023 | 100 | 107,812 | ||||||||
Spectra Energy Partners LP | 4.60% | 6/15/2021 | 20 | 20,627 | ||||||||
Sunoco Logistics Partners Operations LP | 4.40% | 4/1/2021 | 5 | 5,138 | ||||||||
Texas Eastern Transmission LP† | 4.125% | 12/1/2020 | 10 | 10,209 | ||||||||
Williams Cos., Inc. (The) | 7.875% | 9/1/2021 | 1 | 1,108 | ||||||||
Total | 482,803 | |||||||||||
Oil: Integrated Domestic 0.28% | ||||||||||||
National Oilwell Varco, Inc. | 2.60% | 12/1/2022 | 57 | 55,886 | ||||||||
Paper & Forest Products 0.26% | ||||||||||||
West Fraser Timber Co. Ltd. (Canada)†(e) | 4.35% | 10/15/2024 | 50 | 51,523 | ||||||||
Real Estate Investment Trusts 0.97% | ||||||||||||
Brixmor Operating Partnership LP | 3.629% (3 Mo. LIBOR + 1.05% | )# | 2/1/2022 | 25 | 24,967 | |||||||
Healthcare Realty Trust, Inc. | 3.75% | 4/15/2023 | 15 | 15,276 | ||||||||
Healthcare Trust of America Holdings LP | 3.70% | 4/15/2023 | 50 | 50,791 | ||||||||
Liberty Property LP | 4.75% | 10/1/2020 | 25 | 25,578 | ||||||||
Vereit Operating Partnership LP | 4.60% | 2/6/2024 | 74 | 77,833 | ||||||||
Total | 194,445 | |||||||||||
Retail 0.34% | ||||||||||||
Dollar Tree, Inc. | 3.288% (3 Mo. LIBOR + .70% | )# | 4/17/2020 | 68 | 68,007 | |||||||
Telecommunications 0.60% | ||||||||||||
AT&T, Inc. | 3.777% (3 Mo. LIBOR + 1.18% | )# | 6/12/2024 | 7 | 7,037 | |||||||
Vodafone Group plc (United Kingdom)(e) | 3.75% | 1/16/2024 | 109 | 111,878 | ||||||||
Total | 118,915 |
250 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Transportation: Miscellaneous 0.09% | ||||||||||||
Canadian Pacific Railway Co. (Canada)(e) | 9.45% | 8/1/2021 | $ | 15 | $ | 17,080 | ||||||
Total Corporate Bonds (cost $6,163,018) | 6,221,908 | |||||||||||
FLOATING RATE LOAN(g)0.02% | ||||||||||||
Investment Management Companies | ||||||||||||
RPI Finance Trust Term Loan A4 (cost $3,647) | 3.939% (1 Mo. LIBOR + 1.50% | ) | 5/4/2022 | 4 | 3,643 | (h) | ||||||
FOREIGN GOVERNMENT OBLIGATION 1.16% | ||||||||||||
Japan | ||||||||||||
Japan Bank for International Corp. (Japan)(e) (cost $227,333) | 2.50% | 5/23/2024 | 228 | 230,386 | ||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 0.59% | ||||||||||||
Federal Home Loan Mortgage Corp. 2013-K712 B† | 3.35% | #(i) | 5/25/2045 | 17 | 16,997 | |||||||
Federal Home Loan Mortgage Corp. 2013-K713 B† | 3.155% | #(i) | 4/25/2046 | 20 | 20,040 | |||||||
Government National Mortgage Assoc. 2014-112 A | 3.00% | #(i) | 1/16/2048 | 16 | 16,167 | |||||||
Government National Mortgage Assoc. 2017-100 AS | 2.75% | 2/16/2058 | 6 | 5,815 | ||||||||
Government National Mortgage Assoc. 2017-168 AS | 2.70% | 8/16/2058 | 21 | 20,268 | ||||||||
Government National Mortgage Assoc. 2017-69 AS | 2.75% | 2/16/2058 | 14 | 14,317 | ||||||||
Government National Mortgage Assoc. 2017-71 AS | 2.70% | 4/16/2057 | 14 | 14,150 | ||||||||
Government National Mortgage Assoc. 2017-86 AS | 2.75% | 2/16/2058 | 6 | 5,807 | ||||||||
Government National Mortgage Assoc. 2017-89 AB | 2.60% | 7/16/2058 | 5 | 4,818 | ||||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $118,419) | 118,379 | |||||||||||
MUNICIPAL BOND 0.03% | ||||||||||||
Illinois (cost $6,013) | 4.95% | 6/1/2023 | 6 | 6,208 | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 15.60% | ||||||||||||
Bancorp Commercial Mortgage Trust (The) 2018-CR3 A† | 3.29% (1 Mo. LIBOR + .85% | )# | 1/15/2033 | 8 | 7,696 | |||||||
BB-UBS Trust 2012-SHOW A† | 3.43% | 11/5/2036 | 100 | 103,592 | ||||||||
BBCMS Trust 2015-STP A† | 3.323% | 9/10/2028 | 64 | 64,873 | ||||||||
BX Commercial Mortgage Trust 2018-BIOA A† | 3.111% (1 Mo. LIBOR + .67% | )# | 3/15/2037 | 45 | 44,883 | |||||||
BX Trust 2017-APPL D† | 4.49% (1 Mo. LIBOR + 2.05% | )# | 7/15/2034 | 13 | 12,771 | |||||||
BX Trust 2017-SLCT C† | 3.84% (1 Mo. LIBOR + 1.40% | )# | 7/15/2034 | 30 | 29,768 | |||||||
BX Trust 2017-SLCT D† | 4.49% (1 Mo. LIBOR + 2.05% | )# | 7/15/2034 | 13 | 12,766 | |||||||
BX Trust 2018-GW A† | 3.24% (1 Mo. LIBOR + .80% | )# | 5/15/2035 | 24 | 23,901 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI A† | 3.531% | 10/15/2034 | 95 | 98,039 |
See Notes to Financial Statements. | 251 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Caesars Palace Las Vegas Trust 2017-VICI B† | 3.835% | 10/15/2034 | $ | 77 | $ | 79,658 | ||||||
Caesars Palace Las Vegas Trust 2017-VICI C† | 4.138% | 10/15/2034 | 50 | 51,997 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI D† | 4.354% | #(i) | 10/15/2034 | 10 | 10,405 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI XB IO† | 0.393% | #(i) | 10/15/2034 | 1,000 | 13,219 | |||||||
CFCRE Commercial Mortgage Trust 2018-TAN A† | 4.236% | 2/15/2033 | 78 | 81,604 | ||||||||
Citigroup Commercial Mortgage Trust 2012-GC8 A4 | 3.024% | 9/10/2045 | 139 | 141,111 | ||||||||
Citigroup Commercial Mortgage Trust 2015-GC27 AAB | 2.944% | 2/10/2048 | 10 | 10,151 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-CR8 A5 | 3.612% | #(i) | 6/10/2046 | 81 | 84,398 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-LC15 A4 | 4.006% | 4/10/2047 | 75 | 79,721 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-UBS3 A4 | 3.819% | 6/10/2047 | 107 | 113,024 | ||||||||
Great Wolf Trust 2017-WOLF D† | 4.54% (1 Mo. LIBOR + 2.10% | )# | 9/15/2034 | 30 | 30,052 | |||||||
Hilton Orlando Trust 2018-ORL A† | 3.21% (1 Mo. LIBOR + .77% | )# | 12/15/2034 | 28 | 27,925 | |||||||
HMH Trust 2017-NSS C† | 3.787% | 7/5/2031 | 28 | 28,010 | ||||||||
Hudsons Bay Simon JV Trust 2015-HB7 A7† | 3.914% | 8/5/2034 | 100 | 101,514 | ||||||||
JPMBB Commercial Mortgage Securities Trust 2014-C26 A4 | 3.494% | 1/15/2048 | 75 | 78,263 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Corp. 2018-AON A† | 4.128% | 7/5/2031 | 28 | 29,819 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C14 A4 | 4.133% | #(i) | 8/15/2046 | 10 | 10,618 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C22 A4 | 3.801% | 9/15/2047 | 100 | 105,539 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI A† | 2.798% | 10/5/2031 | 66 | 66,411 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI C† | 3.554% | 10/5/2031 | 24 | 24,288 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI D† | 4.009% | #(i) | 10/5/2031 | 24 | 24,342 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-FL11 D† | 4.58% (1 Mo. LIBOR + 2.14% | )# | 10/15/2032 | 34 | 33,915 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ A† | 3.44% (1 Mo. LIBOR + 1.00% | )# | 6/15/2032 | 27 | 27,482 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ B† | 3.74% (1 Mo. LIBOR + 1.30% | )# | 6/15/2032 | 10 | 9,822 |
252 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ C† | 4.04% (1 Mo. LIBOR + 1.60% | )# | 6/15/2032 | $ | 10 | $ | 9,853 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ D† | 4.54% (1 Mo. LIBOR + 2.10% | )# | 6/15/2032 | 14 | 13,816 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN A† | 3.46% (1 Mo. LIBOR + 1.02% | )# | 11/15/2020 | 12 | 12,022 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN B† | 3.79% (1 Mo. LIBOR + 1.35% | )# | 11/15/2020 | 12 | 12,023 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN C† | 4.14% (1 Mo. LIBOR + 1.70% | )# | 11/15/2020 | 12 | 12,023 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN D† | 4.44% (1 Mo. LIBOR + 2.00% | )# | 11/15/2020 | 12 | 12,023 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT AFL† | 3.417% (1 Mo. LIBOR + .95% | )# | 7/5/2033 | 10 | 9,986 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT AFX† | 4.248% | 7/5/2033 | 19 | 20,277 | ||||||||
LSTAR Commercial Mortgage Trust 2015-3 A2† | 2.729% | #(i) | 4/20/2048 | 13 | 13,108 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-CKSV A2† | 3.277% | 10/15/2030 | 100 | 100,552 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14 A5 | 4.064% | 2/15/2047 | 40 | 42,494 | ||||||||
Morgan Stanley Capital Barclays Bank Trust 2016-MART A† | 2.20% | 9/13/2031 | 95 | 94,559 | ||||||||
Morgan Stanley Capital I Trust 2011-C2 A4† | 4.661% | 6/15/2044 | 100 | 103,418 | ||||||||
Morgan Stanley Capital I Trust 2012-C4 AS | 3.773% | 3/15/2045 | 25 | 25,667 | ||||||||
Motel 6 Trust 2017-MTL6 C† | 3.84% (1 Mo. LIBOR + 1.40% | )# | 8/15/2034 | 9 | 8,841 | |||||||
Motel 6 Trust 2017-MTL6 D† | 4.59% (1 Mo. LIBOR + 2.15% | )# | 8/15/2034 | 19 | 19,494 | |||||||
MSCG Trust 2015-ALDR A1† | 2.612% | 6/7/2035 | 47 | 46,191 | ||||||||
MSCG Trust 2016-SNR A† | 3.348% | #(i) | 11/15/2034 | 18 | 17,699 | |||||||
ReadyCap Commercial Mortgage Trust 2018-4 A† | 3.39% | 2/27/2051 | 32 | 31,808 | ||||||||
Shelter Growth CRE Issuer Ltd. 2018-FL1 A† | 3.44% (1 Mo. LIBOR + 1.00% | )# | 1/15/2035 | 32 | 31,714 | |||||||
SLIDE 2018-FUN A† | 3.34% (1 Mo. LIBOR + .90% | )# | 6/15/2031 | 10 | 9,826 | |||||||
SLIDE 2018-FUN B† | 3.69% (1 Mo. LIBOR + 1.25% | )# | 6/15/2031 | 10 | 9,826 | |||||||
SLIDE 2018-FUN C† | 3.99% (1 Mo. LIBOR + 1.55% | )# | 6/15/2031 | 10 | 9,830 | |||||||
Stonemont Portfolio Trust 2017-MONT D† | 4.491% (1 Mo. LIBOR + 2.05% | )# | 8/20/2030 | 20 | 19,534 | |||||||
UBS-Barclays Commercial Mortgage Trust 2012-C2 A4 | 3.525% | 5/10/2063 | 25 | 25,789 |
See Notes to Financial Statements. | 253 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
UBS-Barclays Commercial Mortgage Trust 2012-C4 A5 | 2.85% | 12/10/2045 | $ | 50 | $ | 50,717 | ||||||
UBS-Barclays Commercial Mortgage Trust 2013 C6 A4 | 3.244% | 4/10/2046 | 82 | 84,366 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2013-C5 A4 | 3.185% | 3/10/2046 | 20 | 20,520 | ||||||||
UBS-Citigroup Commercial Mortgage Trust 2011-C1 A3 | 3.595% | 1/10/2045 | 9 | 9,155 | ||||||||
Wells Fargo Commercial Mortgage Trust 2014 LC16 A4 | 3.548% | 8/15/2050 | 22 | 22,875 | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-C26 ASB | 2.991% | 2/15/2048 | 10 | 10,171 | ||||||||
Wells Fargo Commercial Mortgage Trust 2017-RC1 A2 | 3.118% | 1/15/2060 | 115 | 116,871 | ||||||||
Wells Fargo Commercial Mortgage Trust 2018-C48 A2 | 4.224% | 1/15/2052 | 25 | 26,697 | ||||||||
West Town Mall Trust 2017-KNOX C† | 4.346% | #(i) | 7/5/2030 | 15 | 15,298 | |||||||
West Town Mall Trust 2017-KNOX D† | 4.346% | #(i) | 7/5/2030 | 15 | 15,166 | |||||||
WF-RBS Commercial Mortgage Trust 2011-C2 A4† | 4.869% | #(i) | 2/15/2044 | 38 | 39,105 | |||||||
WF-RBS Commercial Mortgage Trust 2012-C10 A3 | 2.875% | 12/15/2045 | 10 | 10,145 | ||||||||
WF-RBS Commercial Mortgage Trust 2012-C7 B | 4.75% | #(i) | 6/15/2045 | 25 | 26,044 | |||||||
WF-RBS Commercial Mortgage Trust 2012-C9 A3 | 2.87% | 11/15/2045 | 22 | 22,095 | ||||||||
WF-RBS Commercial Mortgage Trust 2013-C18 A4 | 3.896% | 12/15/2046 | 24 | 25,390 | ||||||||
WF-RBS Commercial Mortgage Trust 2014-C19 A5 | 4.101% | 3/15/2047 | 87 | 92,867 | ||||||||
WF-RBS Commercial Mortgage Trust 2014-C22 A4 | 3.995% | 5/15/2047 | 140 | 148,848 | ||||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $3,039,845) | 3,110,280 | |||||||||||
U.S. TREASURY OBLIGATIONS 15.09% | ||||||||||||
Government | ||||||||||||
U.S. Treasury Inflation Indexed Note(j) | 0.625% | 4/15/2023 | 793 | 801,222 | ||||||||
U.S. Treasury Note | 2.875% | 10/31/2020 | 33 | 33,364 | ||||||||
U.S. Treasury Note | 2.50% | 1/31/2021 | 2,156 | 2,173,265 | ||||||||
Total U.S. Treasury Obligations (cost $2,976,256) | �� | 3,007,851 | ||||||||||
Total Long-Term Investments (cost $18,094,119) | 18,294,244 |
254 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
SHORT-TERM INVESTMENTS 3.39% | ||||||||||||
COMMERCIAL PAPER 0.52% | ||||||||||||
Automotive | ||||||||||||
Ford Motor Credit Co. (cost $102,966) | 3.91% | 12/4/2019 | $ | 105 | $ | 103,228 | ||||||
CORPORATE BONDS 0.04% | ||||||||||||
Real Estate Investment Trusts | ||||||||||||
Office Properties Income Trust (cost $7,995) | 3.75% | 8/15/2019 | 8 | 8,007 | ||||||||
REPURCHASE AGREEMENT 2.83% | ||||||||||||
Repurchase Agreement dated 5/31/2019, 1.45% due 6/3/2019 with Fixed Income Clearing Corp. collateralized by $575,000 of U.S. Treasury Note at 2.25% due 03/31/2021; value: $578,600; proceeds: $564,808 (cost $564,739) | 565 | 564,739 | ||||||||||
Total Short-Term Investments (cost $675,700) | 675,974 | |||||||||||
Total Investments in Securities 95.16% (cost $18,769,819) | 18,970,218 | |||||||||||
Cash, Foreign Cash and Other Assets in Excess Liabilities(k)4.84% | 964,416 | |||||||||||
Net Assets 100.00% | $ | 19,934,634 |
CAD | Canadian dollar. | |
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, 2019. | |
(a) | Amount is less than $1,000. | |
(b) | Level 3 Investment as described in Note 2(t) 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) | Variable Rate is Fixed to Float: Rate remains fixed until designated future date. | |
(e) | Foreign security traded in U.S. dollars. | |
(f) | Security is perpetual in nature and has no stated maturity. | |
(g) | 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, 2019. | |
(h) | Level 3 Investment as described in Note 2(t) 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. | |
(i) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. |
See Notes to Financial Statements. | 255 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUNDMay 31, 2019
(j) | Treasury Inflation Protected Security. A U.S. Treasury Note or Bond that offers protection from inflation by paying a fixed rate of interest on principal amount that is adjusted for inflation based on the Consumer Price Index. | |
(k) | Cash, Foreign Cash and Other Assets in Excess Liabilities include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and swaps as follows: |
Credit Default Swaps on Indexes - Sell Protection at May 31, 2019(1):
Referenced Index* | Swap Counterparty | Fund Receives (Quarterly) | Termination Date | Notional Amount | Fair Value(2) | Payments Upfront(3) | Unrealized Appreciation(4) | Credit Default Swap Agreements Receivable /(Payable) at Fair Value(5) | ||||||||||||||||||
Markit CMBX. NA.A.6 | Morgan Stanley | 2.00% | 5/11/2063 | $78,000 | $77,803 | $(4,070 | ) | $3,873 | $ (197 | ) | ||||||||||||||||
Markit CMBX. NA.AA.6 | Morgan Stanley | 1.50% | 5/11/2063 | 160,000 | 162,531 | (1,276 | ) | 3,807 | 2,531 | |||||||||||||||||
$(5,346 | ) | $7,680 | $2,334 |
* | 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 in Indexes amounted to $7,680. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $0. | |
(4) | Includes upfront payments received. |
Open Forward Foreign Currency Exchange Contracts at May 31, 2019:
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Appreciation | |||||||||||||||
Canadian dollar | Sell | Toronto Dominion Bank | 6/19/2019 | 150,000 | $ | 112,844 | $ | 111,025 | $1,819 |
Open Futures Contracts at May 31, 2019:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||
U.S. 2-Year Treasury Note | September 2019 | 14 | Long | $ | 2,997,467 | $ | 3,005,406 | $7,939 | ||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||
U.S. 5-Year Treasury Note | September 2019 | 1 | Short | $ | (89,677 | ) | $ | (90,019 | ) | $ | (342 | ) | ||||||
U.S. 5-Year Treasury Note | September 2019 | 18 | Short | (2,101,608 | ) | (2,112,609 | ) | (11,001 | ) | |||||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (11,343 | ) |
256 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION CORE BOND FUNDMay 31, 2019
The following is a summary of the inputs used as of May 31, 2019 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 | ||||||||||||||||
Credit Cards | $ | – | $ | 699,875 | $ | 104,744 | $ | 804,619 | ||||||||
Other | – | 1,698,816 | 112,078 | 1,810,894 | ||||||||||||
Remaining Industries | – | 2,980,076 | – | 2,980,076 | ||||||||||||
Corporate Bonds | – | 6,221,908 | – | 6,221,908 | ||||||||||||
Floating Rate Loan | – | – | 3,643 | 3,643 | ||||||||||||
Foreign Government Obligation | – | 230,386 | – | 230,386 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 118,379 | – | 118,379 | ||||||||||||
Municipal Bond | – | 6,208 | – | 6,208 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 3,110,280 | – | 3,110,280 | ||||||||||||
U.S. Treasury Obligations | – | 3,007,851 | – | 3,007,851 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | – | 103,228 | – | 103,228 | ||||||||||||
Corporate Bonds | – | 8,007 | – | 8,007 | ||||||||||||
Repurchase Agreement | – | 564,739 | – | 564,739 | ||||||||||||
Total | $ | – | $ | 18,749,753 | $ | 220,465 | $ | 18,970,218 | ||||||||
Other Financial Instruments | ||||||||||||||||
Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 2,531 | $ | – | $ | 2,531 | ||||||||
Liabilities | – | (197 | ) | – | (197 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 1,819 | – | 1,819 | ||||||||||||
Liabilities | – | – | – | – | ||||||||||||
Futures Contracts | ||||||||||||||||
Assets | 7,939 | – | – | 7,939 | ||||||||||||
Liabilities | (11,343 | ) | – | – | (11,343 | ) | ||||||||||
Total | $ | (3,404 | ) | $ | 4,153 | $ | – | $ | 749 |
(1) | Refer to Note 2(t) 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, 2019. |
See Notes to Financial Statements. | 257 |
Schedule of Investments (unaudited)(concluded)
SHORT DURATION CORE BOND FUNDMay 31, 2019
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
Investment Type | Asset-Backed Securities | Floating Rate Loans | ||||||
Balance as of December 1, 2018 | $ | – | $ | – | ||||
Accrued Discounts (Premiums) | (171 | ) | (1 | ) | ||||
Realized Gain (Loss) | – | – | ||||||
Change in Unrealized Appreciation (Depreciation) | (1,112 | ) | 16 | |||||
Purchases | 218,105 | – | ||||||
Sales | – | (121 | ) | |||||
Transfers into Level 3 | – | 3,749 | ||||||
Transfers out of Level 3 | – | – | ||||||
Balance as of May 31, 2019 | $ | 216,822 | $ | 3,643 | ||||
Change in unrealized appreciation/depreciation for the period ended May 31, 2019, related to Level 3 investments held at May 31, 2019 | $ | (1,112 | ) | $ | 16 |
258 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 96.62% | ||||||||||||
ASSET-BACKED SECURITIES 27.77% | ||||||||||||
Automobiles 9.09% | ||||||||||||
ACC Trust 2018-1 A† | 3.70% | 12/21/2020 | $ | 12,908 | $ | 12,926,038 | ||||||
ACC Trust 2019-1 A† | 3.75% | 5/20/2022 | 25,273 | 25,462,125 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-1 D | 3.59% | 2/8/2022 | 32,574 | 32,920,483 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-2 C | 2.87% | 11/8/2021 | 2,478 | 2,483,599 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-3 A3 | 1.46% | 5/10/2021 | 4,399 | 4,395,530 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-3 B | 1.80% | 10/8/2021 | 24,251 | 24,172,167 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-2 B | 2.40% | 5/18/2022 | 31,699 | 31,657,354 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-2 C | 2.97% | 3/20/2023 | 49,146 | 49,557,450 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-3 A2A | 1.69% | 12/18/2020 | 701 | 700,191 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-3 B | 2.24% | 6/19/2023 | 22,616 | 22,572,394 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-4 A3 | 2.04% | 7/18/2022 | 71,384 | 71,172,218 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-4 B | 2.36% | 12/19/2022 | 30,598 | 30,553,397 | ||||||||
AmeriCredit Automobile Receivables Trust 2019-1 A2A | 2.93% | 6/20/2022 | 20,000 | 20,077,324 | ||||||||
AmeriCredit Automobile Receivables Trust 2019-1 A2B | 2.701% (1 Mo. LIBOR + .26% | )# | 6/20/2022 | 20,000 | 20,009,744 | |||||||
AmeriCredit Automobile Receivables Trust 2019-1 B | 3.13% | 2/18/2025 | 28,000 | 28,528,326 | ||||||||
AmeriCredit Automobile Receivables Trust 2019-1 C | 3.36% | 2/18/2025 | 37,000 | 37,822,606 | ||||||||
Avid Automobile Receivables Trust 2018-1 A† | 2.84% | 8/15/2023 | 5,723 | 5,710,113 | ||||||||
Avis Budget Rental Car Funding AESOP LLC 2014-1A A | 2.46% | 7/20/2020 | 12,086 | 12,082,544 | ||||||||
Avis Budget Rental Car Funding AESOP LLC 2015-2A | 2.63% | 12/20/2021 | 11,729 | 11,753,225 | ||||||||
Bank of The West Auto Trust 2017-1 A3† | 2.11% | 1/15/2023 | 71,411 | 71,172,059 | ||||||||
Bank of The West Auto Trust 2017-1 A4† | 2.33% | 9/15/2023 | 18,282 | 18,212,166 | ||||||||
California Republic Auto Receivables Trust 2015-2 A4 | 1.75% | 1/15/2021 | 2,803 | 2,798,237 |
See Notes to Financial Statements. | 259 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
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 | $ | 9,430 | $ | 9,414,136 | ||||||
California Republic Auto Receivables Trust 2015-4 A4† | 2.58% | 6/15/2021 | 11,310 | 11,308,775 | ||||||||
California Republic Auto Receivables Trust 2015-4 B† | 3.73% | 11/15/2021 | 20,140 | 20,255,666 | ||||||||
California Republic Auto Receivables Trust 2016-1 A4 | 2.24% | 10/15/2021 | 4,306 | 4,299,323 | ||||||||
California Republic Auto Receivables Trust 2016-2 A4 | 1.83% | 12/15/2021 | 14,609 | 14,547,500 | ||||||||
California Republic Auto Receivables Trust 2018-1 A3 | 3.14% | 8/15/2022 | 53,488 | 53,898,563 | ||||||||
Capital Auto Receivables Asset Trust 2015-3 B | 2.43% | 9/21/2020 | 621 | 620,398 | ||||||||
Capital Auto Receivables Asset Trust 2015-3 C | 2.90% | 12/21/2020 | 23,813 | 23,818,539 | ||||||||
Capital Auto Receivables Asset Trust 2015-3 D | 3.34% | 3/22/2021 | 21,169 | 21,214,731 | ||||||||
Capital Auto Receivables Asset Trust 2016-1 A4 | 1.98% | 10/20/2020 | 2,159 | 2,157,338 | ||||||||
Capital Auto Receivables Asset Trust 2016-1 B | 2.67% | 12/21/2020 | 19,417 | 19,411,699 | ||||||||
Capital Auto Receivables Asset Trust 2016-2 A4 | 1.63% | 1/20/2021 | 14,401 | 14,390,917 | ||||||||
Capital Auto Receivables Asset Trust 2016-2 B | 2.11% | 3/22/2021 | 2,811 | 2,802,457 | ||||||||
Capital Auto Receivables Asset Trust 2017-1 A3† | 2.02% | 8/20/2021 | 16,956 | 16,911,024 | ||||||||
Capital Auto Receivables Asset Trust 2017-1 A4† | 2.22% | 3/21/2022 | 12,437 | 12,408,442 | ||||||||
Capital Auto Receivables Asset Trust 2018-2 A2† | 3.02% | 2/22/2021 | 105,750 | 105,951,485 | ||||||||
Capital Auto Receivables Asset Trust 2018-2 A3† | 3.27% | 6/20/2023 | 45,016 | 45,351,342 | ||||||||
CarMax Auto Owner Trust 2015-4 D | 3.00% | 5/16/2022 | 3,116 | 3,115,301 | ||||||||
CarMax Auto Owner Trust 2016-3 A3 | 1.39% | 5/17/2021 | 17,264 | 17,209,988 | ||||||||
CarMax Auto Owner Trust 2016-3 A4 | 1.60% | 1/18/2022 | 21,321 | 21,124,073 | ||||||||
CarMax Auto Owner Trust 2016-4 A3 | 1.40% | 8/15/2021 | 12,573 | 12,507,028 | ||||||||
CarMax Auto Owner Trust 2016-4 A4 | 1.60% | 6/15/2022 | 18,529 | 18,355,494 | ||||||||
CarMax Auto Owner Trust 2017-3 A3 | 1.97% | 4/15/2022 | 115,334 | 114,982,404 | ||||||||
CarMax Auto Owner Trust 2017-3 A4 | 2.22% | 11/15/2022 | 27,897 | 27,908,962 | ||||||||
CarMax Auto Owner Trust 2017-3 B | 2.44% | 2/15/2023 | 12,944 | 12,968,371 | ||||||||
CarMax Auto Owner Trust 2017-3 C | 2.72% | 5/15/2023 | 15,857 | 15,827,268 | ||||||||
CarMax Auto Owner Trust 2017-4 A3 | 2.11% | 10/17/2022 | 85,078 | 84,897,813 | ||||||||
Chesapeake Funding II LLC 2016-1A A1† | 2.11% | 3/15/2028 | 3,573 | 3,570,485 | ||||||||
Chesapeake Funding II LLC 2016-2A A1† | 1.88% | 6/15/2028 | 14,523 | 14,482,832 | ||||||||
Chesapeake Funding II LLC 2017-2A A1† | 1.99% | 5/15/2029 | 30,089 | 29,949,237 | ||||||||
Chesapeake Funding II LLC 2017-3A A1† | 1.91% | 8/15/2029 | 67,604 | 67,249,107 | ||||||||
Chesapeake Funding II LLC 2017-4A A1† | 2.12% | 11/15/2029 | 72,833 | 72,415,042 | ||||||||
Chesapeake Funding II LLC 2019-1A A1† | 2.95% | 4/15/2031 | 21,650 | 21,854,056 |
260 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
CPS Auto Receivables Trust 2016-B D† | 6.58% | 3/15/2022 | $ | 13,845 | $ | 14,513,322 | ||||||
CPS Auto Receivables Trust 2017-C B† | 2.30% | 7/15/2021 | 5,853 | 5,843,575 | ||||||||
CPS Auto Receivables Trust 2017-D† | 3.73% | 9/15/2023 | 8,345 | 8,453,847 | ||||||||
CPS Auto Receivables Trust 2017-D B† | 2.43% | 1/18/2022 | 5,431 | 5,422,314 | ||||||||
CPS Auto Receivables Trust 2018-B A† | 2.72% | 9/15/2021 | 6,313 | 6,312,049 | ||||||||
CPS Auto Receivables Trust 2018-B B† | 3.23% | 7/15/2022 | 11,465 | 11,521,667 | ||||||||
CPS Auto Receivables Trust 2018-B C† | 3.58% | 3/15/2023 | 12,992 | 13,165,390 | ||||||||
CPS Auto Receivables Trust 2019-A C† | 3.89% | 12/16/2024 | 3,685 | 3,780,739 | ||||||||
Drive Auto Receivables Trust 2015-BA D† | 3.84% | 7/15/2021 | 1,077 | 1,079,497 | ||||||||
Drive Auto Receivables Trust 2015-BA E† | 5.15% | 8/15/2022 | 32,350 | 32,422,749 | ||||||||
Drive Auto Receivables Trust 2015-DA D† | 4.59% | 1/17/2023 | 38,013 | 38,267,907 | ||||||||
Drive Auto Receivables Trust 2016-BA C† | 3.19% | 7/15/2022 | 1,427 | 1,427,049 | ||||||||
Drive Auto Receivables Trust 2016-BA D† | 4.53% | 8/15/2023 | 63,705 | 64,399,601 | ||||||||
Drive Auto Receivables Trust 2016-CA C† | 3.02% | 11/15/2021 | 23,704 | 23,714,624 | ||||||||
Drive Auto Receivables Trust 2016-CA D† | 4.18% | 3/15/2024 | 21,109 | 21,359,619 | ||||||||
Drive Auto Receivables Trust 2017-1 D | 3.84% | 3/15/2023 | 3,410 | 3,447,672 | ||||||||
Drive Auto Receivables Trust 2017-2 C | 2.75% | 9/15/2023 | 20,943 | 20,943,861 | ||||||||
Drive Auto Receivables Trust 2017-2 D | 3.49% | 9/15/2023 | 137,019 | 138,307,801 | ||||||||
Drive Auto Receivables Trust 2017-3 C | 2.80% | 7/15/2022 | 6,160 | 6,161,453 | ||||||||
Drive Auto Receivables Trust 2017-AA D† | 4.16% | 5/15/2024 | 14,904 | 15,151,645 | ||||||||
Drive Auto Receivables Trust 2017-BA C† | 2.61% | 8/16/2021 | 7,558 | 7,566,481 | ||||||||
Drive Auto Receivables Trust 2017-BA D† | 3.72% | 10/17/2022 | 35,827 | 36,040,780 | ||||||||
Drive Auto Receivables Trust 2018-3 B | 3.37% | 9/15/2022 | 28,919 | 29,026,139 | ||||||||
Drive Auto Receivables Trust 2018-3 C | 3.72% | 9/16/2024 | 68,935 | 69,960,229 | ||||||||
Drive Auto Receivables Trust 2018-4 B | 3.36% | 10/17/2022 | 33,808 | 33,972,577 | ||||||||
Drive Auto Receivables Trust 2018-4 C | 3.66% | 11/15/2024 | 66,281 | 67,147,213 | ||||||||
Drive Auto Receivables Trust 2018-4 D | 4.09% | 1/15/2026 | 45,962 | 47,345,001 | ||||||||
Drive Auto Receivables Trust 2018-5 C | 3.99% | 1/15/2025 | 46,539 | 47,881,208 | ||||||||
Drive Auto Receivables Trust 2019-2 B | 3.17% | 11/15/2023 | 22,380 | 22,654,941 | ||||||||
Drive Auto Receivables Trust 2019-2 C | 3.42% | 6/16/2025 | 43,447 | 44,191,986 | ||||||||
Drive Auto Receivables Trust 2019-2 D | 3.69% | 8/17/2026 | 27,276 | 27,927,013 | ||||||||
Exeter Automobile Receivables Trust 2017-3A A† | 2.05% | 12/15/2021 | 9,609 | 9,594,769 | ||||||||
Exeter Automobile Receivables Trust 2017-3A B† | 2.81% | 9/15/2022 | 37,187 | 37,274,694 | ||||||||
Fifth Third Auto Trust 2019-1 A2A | 2.66% | 5/16/2022 | 115,165 | 115,591,122 | ||||||||
Fifth Third Auto Trust 2019-1 A3 | 2.64% | 12/15/2023 | 134,669 | 136,180,956 | ||||||||
Fifth Third Auto Trust 2019-1 A4 | 2.69% | 11/16/2026 | 28,213 | 28,673,617 | ||||||||
First Investors Auto Owner Trust 2017-3A A1† | 2.00% | 3/15/2022 | 7,591 | 7,579,076 | ||||||||
First Investors Auto Owner Trust 2018-1A B† | 3.51% | 5/15/2023 | 8,540 | 8,659,107 |
See Notes to Financial Statements. | 261 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
First Investors Auto Owner Trust 2018-2A C† | 4.03% | 1/15/2025 | $ | 8,643 | $ | 8,928,205 | ||||||
First Investors Auto Owner Trust 2018-2A D† | 4.28% | 1/15/2025 | 5,505 | 5,724,599 | ||||||||
Flagship Credit Auto Trust 2016-2 A2† | 3.05% | 8/16/2021 | 9,172 | 9,173,369 | ||||||||
Flagship Credit Auto Trust 2017-3 A† | 1.88% | 10/15/2021 | 12,462 | 12,424,352 | ||||||||
Flagship Credit Auto Trust 2017-3 B† | 2.59% | 7/15/2022 | 24,950 | 24,903,271 | ||||||||
Flagship Credit Auto Trust 2017-4 A† | 2.07% | 4/15/2022 | 21,656 | 21,582,563 | ||||||||
Flagship Credit Auto Trust 2019-1 A† | 3.11% | 8/15/2023 | 52,168 | 52,577,381 | ||||||||
Ford Credit Auto Owner Trust 2015-1 A† | 2.12% | 7/15/2026 | 225,951 | 225,299,064 | ||||||||
Ford Credit Auto Owner Trust 2016-2 A† | 2.03% | 12/15/2027 | 39,189 | 38,964,169 | ||||||||
Ford Credit Auto Owner Trust 2017-2 A† | 2.36% | 3/15/2029 | 38,244 | 38,339,021 | ||||||||
Ford Credit Auto Owner Trust 2017-2 B† | 2.60% | 3/15/2029 | 8,257 | 8,242,560 | ||||||||
Ford Credit Auto Owner Trust 2018-2 A† | 3.47% | 1/15/2030 | 78,661 | 81,987,495 | ||||||||
GM Financial Automobile Leasing Trust 2019-2 A2A | 2.67% | 6/21/2021 | 85,818 | 86,007,847 | ||||||||
GM Financial Automobile Leasing Trust 2019-2 A3 | 2.67% | 3/21/2022 | 46,349 | 46,676,011 | ||||||||
GM Financial Consumer Automobile Receivables Trust 2019-1 B | 3.37% | 8/16/2024 | 13,645 | 14,013,090 | ||||||||
Honda Auto Receivables Owner Trust 2019-1 A3 | 2.83% | 3/20/2023 | 57,166 | 57,993,101 | ||||||||
Honda Auto Receivables Owner Trust 2019-1 A4 | 2.90% | 6/18/2024 | 11,166 | 11,383,431 | ||||||||
Nissan Auto Receivables Owner Trust 2016-A A3 | 1.34% | 10/15/2020 | 6,365 | 6,354,541 | ||||||||
Nissan Auto Receivables Owner Trust 2016-B A3 | 1.32% | 1/15/2021 | 12,023 | 11,982,123 | ||||||||
Santander Drive Auto Receivables Trust 2014-5 E | 4.23% | 4/15/2022 | 41,595 | 41,636,615 | ||||||||
Santander Drive Auto Receivables Trust 2015-1 D | 3.24% | 4/15/2021 | 4,024 | 4,027,413 | ||||||||
Santander Drive Auto Receivables Trust 2015-4 C | 2.97% | 3/15/2021 | 3,427 | 3,428,057 | ||||||||
Santander Drive Auto Receivables Trust 2015-5 D | 3.65% | 12/15/2021 | 28,059 | 28,172,050 | ||||||||
Santander Drive Auto Receivables Trust 2016-1 D | 4.02% | 4/15/2022 | 18,954 | 19,161,277 | ||||||||
Santander Drive Auto Receivables Trust 2016-3 B | 1.89% | 6/15/2021 | 561 | 560,878 | ||||||||
Santander Drive Auto Receivables Trust 2017-1 D | 3.17% | 4/17/2023 | 9,536 | 9,593,514 | ||||||||
Santander Drive Auto Receivables Trust 2017-2 B | 2.21% | 10/15/2021 | 14,754 | 14,746,461 | ||||||||
Santander Drive Auto Receivables Trust 2017-2 C | 2.79% | 8/15/2022 | 59,001 | 59,023,574 | ||||||||
Santander Drive Auto Receivables Trust 2017-2 D | 3.49% | 7/17/2023 | 68,158 | 68,888,020 | ||||||||
Santander Drive Auto Receivables Trust 2017-3 C | 2.76% | 12/15/2022 | 15,068 | 15,103,588 | ||||||||
Santander Drive Auto Receivables Trust 2018-1 C | 2.96% | 3/15/2024 | 37,842 | 38,056,171 | ||||||||
Santander Drive Auto Receivables Trust 2018-3 A3 | 3.03% | 2/15/2022 | 35,478 | 35,525,697 | ||||||||
Santander Drive Auto Receivables Trust 2018-3 B | 3.29% | 10/17/2022 | 45,961 | 46,270,667 | ||||||||
Santander Drive Auto Receivables Trust 2018-4 C | 3.56% | 7/15/2024 | 30,572 | 31,217,387 | ||||||||
Santander Drive Auto Receivables Trust 2018-5 B | 3.52% | 12/15/2022 | 47,601 | 48,194,937 | ||||||||
Santander Drive Auto Receivables Trust 2018-5 C | 3.81% | 12/16/2024 | 44,093 | 45,150,244 | ||||||||
TCF Auto Receivables Owner Trust 2015-1A D† | 3.53% | 3/15/2022 | 4,862 | 4,861,668 | ||||||||
TCF Auto Receivables Owner Trust 2015-2A B† | 3.00% | 9/15/2021 | 10,457 | 10,462,428 |
262 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
TCF Auto Receivables Owner Trust 2015-2A C† | 3.75% | 12/15/2021 | $ | 6,591 | $ | 6,608,005 | ||||||
TCF Auto Receivables Owner Trust 2016-1A A4† | 2.03% | 2/15/2022 | 52,575 | 52,390,504 | ||||||||
TCF Auto Receivables Owner Trust 2016-1A C† | 2.51% | 9/15/2022 | 5,943 | 5,904,382 | ||||||||
TCF Auto Receivables Owner Trust 2016-PT1A A† | 1.93% | 6/15/2022 | 20,595 | 20,487,226 | ||||||||
Toyota Auto Receivables Owner Trust 2016-D A3 | 1.23% | 10/15/2020 | 8,668 | 8,643,045 | ||||||||
Westlake Automobile Receivables Trust 2016-2A C† | 2.83% | 5/17/2021 | 190 | 189,526 | ||||||||
Westlake Automobile Receivables Trust 2017-2A B† | 2.25% | 12/15/2020 | 49,389 | 49,348,284 | ||||||||
Westlake Automobile Receivables Trust 2018-2A C | 3.50% | 1/16/2024 | 5,149 | 5,198,993 | ||||||||
Westlake Automobile Receivables Trust 2018-3A A2A† | 2.98% | 1/18/2022 | 82,014 | 82,182,780 | ||||||||
Westlake Automobile Receivables Trust 2019-1 2019-1A B† | 3.26% | 10/17/2022 | 21,268 | 21,477,443 | ||||||||
Westlake Automobile Receivables Trust 2019-1A C† | 3.45% | 3/15/2024 | 11,100 | 11,251,821 | ||||||||
World Omni Auto Receivables Trust 2017-A A3 | 1.93% | 9/15/2022 | 22,127 | 22,042,545 | ||||||||
World Omni Auto Receivables Trust 2018-D A4 | 3.44% | 12/16/2024 | 22,044 | 22,933,616 | ||||||||
World Omni Automobile Lease Securitization Trust 2019-A A2 | 2.89% | 11/15/2021 | 96,191 | 96,710,085 | ||||||||
World Omni Select Auto Trust 2018-1A B† | 3.68% | 7/15/2023 | 10,171 | 10,404,188 | ||||||||
World Omni Select Auto Trust 2018-1A D† | 4.13% | 1/15/2025 | 33,345 | 34,466,436 | ||||||||
Total | 4,403,758,094 | |||||||||||
Credit Cards 7.24% | ||||||||||||
American Express Credit Account Master Trust 2017-3 A | 1.77% | 11/15/2022 | 52,543 | 52,276,192 | ||||||||
American Express Credit Account Master Trust 2017-6 A | 2.04% | 5/15/2023 | 120,724 | 120,408,753 | ||||||||
American Express Credit Account Master Trust 2017-7 A | 2.35% | 5/15/2025 | 93,148 | 93,593,564 | ||||||||
American Express Credit Account Master Trust 2019-1 A | 2.87% | 10/15/2024 | 95,902 | 97,851,803 | ||||||||
American Express Credit Account Master Trust 2019-1 B | 3.07% | 10/15/2024 | 32,359 | 33,009,668 | ||||||||
BA Credit Card Trust 2017-A2 | 1.84% | 1/17/2023 | 130,482 | 129,800,310 | ||||||||
Barclays Dryrock Issuance Trust 2016-1 A | 1.52% | 5/16/2022 | 35,395 | 35,351,680 | ||||||||
Barclays Dryrock Issuance Trust 2017-1 A | 2.77% (1 Mo. LIBOR + .33% | )# | 3/15/2023 | 101,590 | 101,767,305 | |||||||
Barclays Dryrock Issuance Trust 2017-2 A | 2.74% (1 Mo. LIBOR + .30% | )# | 5/15/2023 | 168,102 | 168,415,174 | |||||||
Barclays Dryrock Issuance Trust 2018-1 A | 2.77% (1 Mo. LIBOR + .33% | )# | 7/15/2024 | 25,054 | 25,084,095 |
See Notes to Financial Statements. | 263 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Credit Cards (continued) | ||||||||||||
Capital One Multi-Asset Execution Trust 2016-A4 | 1.33% | 6/15/2022 | $ | 21,658 | $ | 21,604,784 | ||||||
Capital One Multi-Asset Execution Trust 2017-A1 | 2.00% | 1/17/2023 | 14,265 | 14,216,158 | ||||||||
Capital One Multi-Asset Execution Trust 2017-A4 | 1.99% | 7/17/2023 | 178,623 | 178,081,576 | ||||||||
Capital One Multi-Asset Execution Trust 2017-A6 | 2.29% | 7/15/2025 | 98,364 | 98,756,610 | ||||||||
Capital One Multi-Asset Execution Trust 2019-A1 | 2.84% | 12/15/2024 | 67,973 | 69,118,277 | ||||||||
Chase Issuance Trust 2016-A2 A | 1.37% | 6/15/2021 | 10,161 | 10,156,975 | ||||||||
Chase Issuance Trust 2018-A1 | 2.64% (1 Mo. LIBOR + .20% | )# | 4/17/2023 | 148,171 | 148,329,558 | |||||||
Citibank Credit Card Issuance Trust 2017-A3 | 1.92% | 4/7/2022 | 18,149 | 18,079,077 | ||||||||
Citibank Credit Card Issuance Trust 2017-A8 | 1.86% | 8/8/2022 | 134,319 | 133,707,983 | ||||||||
Continental Credit Card 2016-1A C† | 11.33% | 1/15/2025 | 4,347 | 4,553,234 | (a) | |||||||
Discover Card Execution Note Trust 2015-A2 A | 1.90% | 10/17/2022 | 9,583 | 9,548,853 | ||||||||
Discover Card Execution Note Trust 2017-A6 | 1.88% | 2/15/2023 | 125,489 | 124,804,483 | ||||||||
Discover Card Execution Note Trust 2018-A2 | 2.77% (1 Mo. LIBOR + .33% | )# | 8/15/2025 | 5,100 | 5,086,318 | |||||||
Discover Card Execution Note Trust 2019-A1 | 3.04% | 7/15/2024 | 71,981 | 73,530,650 | ||||||||
First National Master Note Trust 2017-2 A | 2.88% (1 Mo. LIBOR + .44% | )# | 10/16/2023 | 123,149 | 123,320,116 | |||||||
Golden Credit Card Trust 2018-1A A† | 2.62% | 1/15/2023 | 114,501 | 115,011,182 | ||||||||
Golden Credit Card Trust 2018-4A A† | 3.44% | 10/15/2025 | 88,393 | 91,853,816 | ||||||||
Master Credit Card Trust 2019-1A B† | 3.57% | 7/21/2022 | 7,742 | 7,827,047 | ||||||||
Master Credit Card Trust II Series 2018-1A A† | 2.932% (1 Mo. LIBOR + .49% | )# | 7/21/2024 | 149,590 | 149,361,277 | |||||||
Synchrony Credit Card Master Note Trust 2015-1 A | 2.37% | 3/15/2023 | 18,713 | 18,701,667 | ||||||||
Synchrony Credit Card Master Note Trust 2015-1 B | 2.64% | 3/15/2023 | 9,594 | 9,581,479 | ||||||||
Synchrony Credit Card Master Note Trust 2016-2 A | 2.21% | 5/15/2024 | 134,727 | 134,696,660 | ||||||||
Synchrony Credit Card Master Note Trust 2016-2 B | 2.55% | 5/15/2024 | 42,808 | 42,889,462 | ||||||||
Synchrony Credit Card Master Note Trust 2017-1 A | 1.93% | 6/15/2023 | 66,569 | 66,220,731 | ||||||||
Synchrony Credit Card Master Note Trust 2017-1 B | 2.19% | 6/15/2023 | 33,423 | 33,290,019 | ||||||||
Synchrony Credit Card Master Note Trust 2017-2 A | 2.62% | 10/15/2025 | 95,747 | 96,769,415 | ||||||||
Synchrony Credit Card Master Note Trust 2017-2 B | 2.82% | 10/15/2025 | 36,807 | 37,061,336 | ||||||||
Synchrony Credit Card Master Note Trust 2018-2 A | 3.47% | 5/15/2026 | 16,250 | 16,958,195 | ||||||||
World Financial Network Credit Card Master Trust 2012-D A | 2.15% | 4/17/2023 | 7,680 | 7,676,995 | ||||||||
World Financial Network Credit Card Master Trust 2015-B A | 2.55% | 6/17/2024 | 37,818 | 37,922,419 | ||||||||
World Financial Network Credit Card Master Trust 2016-A | 2.03% | 4/15/2025 | 193,189 | 192,118,675 | ||||||||
World Financial Network Credit Card Master Trust 2016-C M | 1.98% | 8/15/2023 | 7,444 | 7,418,060 |
264 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
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 | $ | 110,156 | $ | 109,883,144 | ||||||
World Financial Network Credit Card Master Trust 2017-B A | 1.98% | 6/15/2023 | 101,152 | 101,135,694 | ||||||||
World Financial Network Credit Card Master Trust 2017-C A | 2.31% | 8/15/2024 | 49,120 | 49,120,757 | ||||||||
World Financial Network Credit Card Master Trust 2018-C A | 3.55% | 8/15/2025 | 117,526 | 120,826,506 | ||||||||
World Financial Network Credit Card Master Trust 2018-C M | 3.95% | 8/15/2025 | 19,966 | 20,528,354 | ||||||||
World Financial Network Credit Card Master Trust 2019-A | 3.14% | 12/15/2025 | 114,084 | 116,628,233 | ||||||||
World Financial Network Credit Card Master Trust 2019-A M | 3.61% | 12/15/2025 | 29,519 | 30,168,046 | ||||||||
Total | 3,504,102,365 | |||||||||||
Home Equity 0.13% | ||||||||||||
Meritage Mortgage Loan Trust 2004-2 M3 | 3.405% (1 Mo. LIBOR + .98% | )# | 1/25/2035 | 1,023 | 1,002,659 | |||||||
Towd Point Mortgage Trust 2019-HY2 A1† | 3.43% (1 Mo. LIBOR + 1.00% | )# | 5/25/2058 | 60,899 | 61,444,424 | |||||||
Total | 62,447,083 | |||||||||||
Other 11.31% | ||||||||||||
Access Point Funding I LLC 2017-A† | 3.06% | 4/15/2029 | 7,295 | 7,282,491 | ||||||||
Allegro CLO IV Ltd. 2016-1A† | 3.997% (3 Mo. LIBOR + 1.40% | )# | 1/15/2029 | 21,328 | 21,345,050 | |||||||
Ally Master Owner Trust 2018-2 A | 3.29% | 5/15/2023 | 1,893 | 1,929,946 | ||||||||
ALM VII Ltd. 2012-7A A1R† | 4.077% (3 Mo. LIBOR + 1.48% | )# | 10/15/2028 | 23,366 | 23,407,855 | |||||||
Ammc CLO 19 Ltd. 2016-19A A† | 4.097% (3 Mo. LIBOR + 1.50% | )# | 10/15/2028 | 22,450 | 22,462,428 | |||||||
Anchorage Capital CLO 3-R Ltd. 2014-3RA A† | 3.632% (3 Mo. LIBOR + 1.05% | )# | 1/28/2031 | 34,008 | 33,795,753 | |||||||
Anchorage Capital CLO 4-R Ltd. 2014-4RA A† | 3.632% (3 Mo. LIBOR + 1.05% | )# | 1/28/2031 | 42,636 | 42,507,265 | |||||||
Apex Credit CLO Ltd. 2016-1A B1R† | 4.432% (3 Mo. LIBOR + 1.85% | )# | 10/27/2028 | 16,704 | 16,750,319 | |||||||
Apex Credit CLO Ltd. 2017-1A B† | 4.531% (3 Mo. LIBOR + 1.95% | )# | 4/24/2029 | 18,374 | 18,383,213 |
See Notes to Financial Statements. | 265 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Arbor Realty Collateralized Loan Obligation Ltd. 2017-FL3 A† | 3.43% (1 Mo. LIBOR + .99% | )# | 12/15/2027 | $ | 47,836 | $ | 47,886,213 | |||||
Arbor Realty Commercial Real Estate Notes Ltd. 2017-FL1 A† | 3.74% (1 Mo. LIBOR + 1.30% | )# | 4/15/2027 | 18,057 | 18,107,968 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. 2017-FL2 A† | 3.43% (1 Mo. LIBOR + .99% | )# | 8/15/2027 | 18,704 | 18,730,659 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. 2018-FL1 A† | 3.59% (1 Mo. LIBOR + 1.15% | )# | 6/15/2028 | 35,293 | 35,394,570 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. 2019-FL1 A†(b) | 3.65% (1 Mo. LIBOR + 1.15% | )# | 5/15/2037 | 77,312 | 77,408,640 | |||||||
Ares XXXIII CLO Ltd. 2015-1A A1R† | 3.949% (3 Mo. LIBOR + 1.35% | )# | 12/5/2025 | 48,800 | 48,817,148 | |||||||
Ascentium Equipment Receivables 2019-1A A2† | 2.84% | 6/10/2022 | 70,278 | 70,617,309 | ||||||||
Ascentium Equipment Receivables Trust 2016-2A A3† | 1.65% | 5/10/2022 | 5,353 | 5,344,942 | ||||||||
Ascentium Equipment Receivables Trust 2017-1A A3† | 2.29% | 6/10/2021 | 12,054 | 12,033,154 | ||||||||
Ascentium Equipment Receivables Trust 2017-2A A2† | 2.00% | 5/11/2020 | 5,826 | 5,817,737 | ||||||||
Avery Point V CLO Ltd. 2014-5A AR† | 3.568% (3 Mo. LIBOR + .98% | )# | 7/17/2026 | 38,661 | 38,675,066 | |||||||
Avery Point VII CLO Ltd. 2015-7A A1† | 4.097% (3 Mo. LIBOR + 1.50% | )# | 1/15/2028 | 23,500 | 23,514,349 | |||||||
AXIS Equipment Finance Receivables VI LLC 2018-2A A2† | 3.89% | 7/20/2022 | 42,483 | 43,080,336 | ||||||||
B2R Mortgage Trust 2015-2 A† | 3.336% | 11/15/2048 | 14,465 | 14,479,172 | ||||||||
Bain Capital Credit CLO 2016-2A A† | 4.017% (3 Mo. LIBOR + 1.42% | )# | 1/15/2029 | 4,500 | 4,503,112 | |||||||
BDS Ltd. 2019-FL3 A† | 3.832% (1 Mo. LIBOR + 1.40% | )# | 12/15/2035 | 37,956 | 38,115,009 | |||||||
Benefit Street Partners CLO IV Ltd. 2014-IVA A1RR† | 3.842% (3 Mo. LIBOR + 1.25% | )# | 1/20/2029 | 36,900 | 36,910,432 | |||||||
Benefit Street Partners CLO IV Ltd. 2014-IVA A2RR† | 4.342% (3 Mo. LIBOR + 1.75% | )# | 1/20/2029 | 26,500 | 26,508,157 | |||||||
Benefit Street Partners CLO X Ltd. 2 016-10A A2† | 4.597% (3 Mo. LIBOR + 2.00% | )# | 1/15/2029 | 20,100 | 20,116,478 | |||||||
BlueMountain CLO Ltd. 2012-2A AR2† | 3.57% (3 Mo. LIBOR + 1.05% | )# | 11/20/2028 | 52,910 | 52,669,561 | |||||||
BlueMountain CLO Ltd. 2013-1A A1R2† | 3.822% (3 Mo. LIBOR + 1.23% | )# | 1/20/2029 | 74,000 | 74,083,250 | |||||||
BlueMountain CLO Ltd. 2013-1A A2R2† | 4.342% (3 Mo. LIBOR + 1.78% | )# | 1/20/2029 | 27,442 | 27,456,692 |
266 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Bowman Park CLO Ltd. 2014-1A AR† | 3.704% (3 Mo. LIBOR + 1.18% | )# | 11/23/2025 | $ | 48,809 | $ | 48,847,441 | |||||
BSPRT Issuer, Ltd. 2019 FL5 A† | 3.628% | 5/15/2029 | 48,248 | 48,691,626 | ||||||||
Carlyle Global Market Strategies CLO Ltd. 2013-2A AR† | 3.491% (3 Mo. LIBOR + .89% | )# | 1/18/2029 | 32,350 | 32,236,371 | |||||||
Cent CLO Ltd. 2013-19A A1A† | 3.912% (3 Mo. LIBOR + 1.33% | )# | 10/29/2025 | 13,381 | 13,427,823 | |||||||
CIFC Funding Ltd. 2016-1A A† | 4.072% (3 Mo. LIBOR + 1.48% | )# | 10/21/2028 | 6,192 | 6,214,621 | |||||||
CNH Equipment Trust 2015-C A3 | 1.66% | 11/16/2020 | 1,046 | 1,045,130 | ||||||||
Colombia Cent CLO Ltd. 2018-27A A2A† | 4.18% (3 Mo. LIBOR + 1.60% | )# | 10/25/2028 | 7,358 | 7,287,273 | |||||||
Conn’s Receivables Funding LLC 2018-A† | 3.25% | 1/15/2023 | 7,452 | 7,472,319 | ||||||||
CoreVest American Finance Trust 2018-1 A | 3.804% | 6/15/2051 | 43,333 | 44,490,120 | ||||||||
Dell Equipment Finance Trust 2017-1 A3† | 2.14% | 4/22/2022 | 3,464 | 3,461,203 | ||||||||
Diamond Resorts Owner Trust 2016-1 A† | 3.08% | 11/20/2028 | 4,091 | 4,123,241 | ||||||||
Diamond Resorts Owner Trust 2018-1 A† | 3.70% | 1/21/2031 | 53,416 | 54,529,076 | ||||||||
Diamond Resorts Owner Trust 2018-1 B† | 4.19% | 1/21/2031 | 31,917 | 32,529,612 | ||||||||
DLL LLC 2018-1 A2† | 2.81% | 11/17/2020 | 7,866 | 7,869,803 | ||||||||
DLL LLC 2018-1 A3† | 3.10% | 4/18/2022 | 107,668 | 108,681,134 | ||||||||
DLL LLC 2018-1 A4† | 3.27% | 4/17/2026 | 64,285 | 65,642,410 | ||||||||
DLL Securitization Trust 2017-A A2† | 1.89% | 7/15/2020 | 5,821 | 5,815,733 | ||||||||
DLL Securitization Trust 2017-A A3† | 2.14% | 12/15/2021 | 32,893 | 32,809,376 | ||||||||
DLL Securitization Trust 2017-A A4† | 2.43% | 11/17/2025 | 32,826 | 32,894,882 | ||||||||
DRB Prime Student Loan Trust 2015-D A2 | 3.20% | 1/25/2040 | 2,868 | 2,888,852 | ||||||||
Dryden 30 Senior Loan Fund 2013-30A AR† | 3.338% (3 Mo. LIBOR + .82% | )# | 11/15/2028 | 94,976 | 93,953,602 | |||||||
Dryden XXV Senior Loan Fund 2012-25A BRR† | 3.947% (3 Mo. LIBOR + 1.35% | )# | 10/15/2027 | 36,320 | 36,113,441 | |||||||
Engs Commercial Finance Trust 2016-1A A2† | 2.63% | 2/22/2022 | 9,901 | 9,892,117 | ||||||||
Fairstone Financial Issuance Trust I 2019-1A A†(c) | 3.948% | 3/21/2033 | CAD | 17,751 | 13,271,617 | |||||||
Fairstone Financial Issuance Trust I 2019-1A B†(c) | 5.084% | 3/21/2033 | CAD | 7,974 | 5,958,081 | (a) | ||||||
Fairstone Financial Issuance Trust I 2019-1A C†(c) | 6.299% | 3/21/2033 | CAD | 15,035 | 11,213,178 | (a) | ||||||
Fairstone Financial Issuance Trust I 2019-1A D†(c) | 7.257% | 3/21/2033 | CAD | 8,879 | 6,626,075 | (a) | ||||||
Ford Credit Floorplan Master Owner Trust 2017-2 A1 | 2.16% | 9/15/2022 | $ | 74,609 | 74,412,681 | |||||||
Ford Credit Floorplan Master Owner Trust 2019-1 A | 2.84% | 3/15/2024 | 137,580 | 139,696,283 | ||||||||
Ford Credit Floorplan Master Owner Trust 2019-2 A | 3.06% | 4/15/2026 | 90,962 | 93,176,797 | ||||||||
FREED ABS TRUST 2018-2 A† | 3.99% | 10/20/2025 | 61,968 | 62,496,455 |
See Notes to Financial Statements. | 267 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
GPMT Ltd. 2019-FL2 A† | 3.74% (1 Mo. LIBOR + 1.30% | )# | 2/22/2036 | $ | 37,750 | $ | 37,815,591 | |||||
Grand Avenue CRE 2019-FL1 A†(b) | 3.62% (1 Mo. LIBOR + 1.12% | )# | 6/15/2037 | 120,644 | 120,718,691 | |||||||
Grand Avenue CRE 2019-FL1 AS†(b) | 4.00% (1 Mo. LIBOR + 1.50% | )# | 6/15/2037 | 43,369 | 43,413,770 | |||||||
Great American Auto Leasing, Inc. 2019-1 A4† | 3.21% | 2/18/2025 | 17,040 | 17,432,009 | ||||||||
Greystone Commercial Real Estate Notes Ltd. 2017-FL1A A† | 3.99% (1 Mo. LIBOR + 1.55% | )# | 3/15/2027 | 51,810 | 51,962,259 | |||||||
Greystone Commercial Real Estate Notes Ltd. 2017-FL1A B† | 5.19% (1 Mo. LIBOR + 2.75% | )# | 3/15/2027 | 5,711 | 5,678,851 | |||||||
Greystone Commercial Real Estate Notes Ltd. 2018-HC1 A† | 3.99% (1 Mo. LIBOR + 1.55% | )# | 9/15/2028 | 72,464 | 72,285,854 | |||||||
Greystone Commercial Real Estate Notes Ltd. 2018-HC1 AS† | 4.59% (1 Mo. LIBOR + 2.15% | )# | 9/15/2028 | 22,123 | 22,049,729 | |||||||
Greywolf CLO IV Ltd. 2019-1A A2† | 4.538% (3 Mo. LIBOR + 1.95% | )# | 4/17/2030 | 33,591 | 33,608,857 | |||||||
Halcyon Loan Advisors Funding Ltd. 2015-2A AR† | 3.66% (3 Mo. LIBOR + 1.08% | )# | 7/25/2027 | 28,893 | 28,893,350 | |||||||
Halcyon Loan Advisors Funding Ltd. 2015-2A BR† | 4.23% (3 Mo. LIBOR + 1.65% | )# | 7/25/2027 | 17,477 | 17,479,307 | |||||||
Hyundai Floorplan Master Owner Trust 2019-1 A† | 2.68% | 4/15/2024 | 102,245 | 103,233,055 | ||||||||
Jamestown CLO VII Ltd. 2015-7A A1R† | 3.41% (3 Mo. LIBOR + .83% | )# | 7/25/2027 | 14,247 | 14,221,253 | |||||||
Jamestown CLO VII Ltd. 2015-7A A2R† | 3.88% (3 Mo. LIBOR + 1.30% | )# | 7/25/2027 | 35,299 | 34,703,679 | |||||||
JFIN CLO Ltd. 2014-1A B1R† | 4.042% (3 Mo. LIBOR + 1.45% | )# | 4/21/2025 | 9,750 | 9,750,477 | |||||||
KKR CLO Ltd. 16 A2R†(b) | 4.244% (3 Mo. LIBOR + 1.80% | )# | 1/20/2029 | 19,750 | 19,749,704 | |||||||
KREF Ltd. 2018-FL1 A† | 3.532% (1 Mo. LIBOR + 1.10% | )# | 6/15/2036 | 13,341 | 13,347,670 | |||||||
KVK CLO Ltd. 2016-1A B† | 4.847% (3 Mo. LIBOR + 2.25% | )# | 1/15/2029 | 7,875 | 7,923,634 | |||||||
LMREC, Inc. 2019-CRE3 A† | 3.764% (1 Mo. LIBOR + 1.40% | )# | 12/22/2035 | 105,572 | 106,304,205 | (a) | ||||||
LoanCore Issuer Ltd. 2019-CRE2 A† | 3.559% (1 Mo. LIBOR + 1.13% | )# | 5/9/2036 | 114,082 | 114,449,344 | |||||||
M360 LLC 2018-CRE1 A | 4.395% | 7/24/2028 | 54,900 | 55,006,687 | ||||||||
Madison Park Funding XXI Ltd. 2016-21A A1† | 4.11% (3 Mo. LIBOR + 1.53% | )# | 7/25/2029 | 22,700 | 22,794,239 | |||||||
Magnetite VII Ltd. 2012-7A A1R2† | 3.397% (3 Mo. LIBOR + .80% | )# | 1/15/2028 | 103,715 | 103,261,247 | |||||||
Magnetite XI Ltd. 2014-11A A1R† | 3.721% (3 Mo. LIBOR + 1.12% | )# | 1/18/2027 | 45,508 | 45,541,723 |
268 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Magnetite XVIII Ltd. 2016-18A AR† | 3.598% (3 Mo. LIBOR + 1.08% | )# | 11/15/2028 | $ | 6,653 | $ | 6,644,734 | |||||
Mercedes-Benz Master Owner Trust 2019-BA A† | 2.61% | 5/15/2024 | 83,702 | 84,346,877 | ||||||||
MidOcean Credit CLO VI 2016-6A BR† | 4.425% (3 Mo. LIBOR + 1.90% | )# | 1/20/2029 | 31,307 | 31,229,121 | |||||||
Mountain Hawk III CLO Ltd. 2014-3A AR† | 3.801% (3 Mo. LIBOR + 1.20% | )# | 4/18/2025 | 47,036 | 47,036,953 | |||||||
Mountain View CLO XIV Ltd. 2019-1A A1† | 4.058% (3 Mo. LIBOR + 1.44% | )# | 4/15/2029 | 42,715 | 42,773,750 | |||||||
MVW Owner Trust 2017-1A A† | 2.42% | 12/20/2034 | 7,429 | 7,397,230 | ||||||||
Navient Private Education Refi Loan Trust 2019-A A1† | 3.03% | 1/15/2043 | 73,360 | 73,901,182 | ||||||||
Navient Student Loan Trust 2018-1A A1† | 2.62% (1 Mo. LIBOR + .19% | )# | 3/25/2067 | 1,469 | 1,468,750 | |||||||
NextGear Floorplan Master Owner Trust 2016-2A A2† | 2.19% | 9/15/2021 | 34,216 | 34,156,071 | ||||||||
NextGear Floorplan Master Owner Trust 2017-1A A2† | 2.54% | 4/18/2022 | 70,279 | 70,154,845 | ||||||||
NextGear Floorplan Master Owner Trust 2018-2A A2† | 3.69% | 10/15/2023 | 48,361 | 49,653,593 | ||||||||
NextGear Floorplan Master Owner Trust 2018-2A B† | 4.01% | 10/15/2023 | 19,277 | 19,752,336 | ||||||||
Nissan Master Owner Trust Receivables 2016-A A2 | 1.54% | 6/15/2021 | 26,669 | 26,655,889 | ||||||||
Nissan Master Owner Trust Receivables 2019-A A | 3.00% (1 Mo. LIBOR + .56% | )# | 2/15/2024 | 85,000 | 85,408,782 | |||||||
NorthStar Real Estate CDO VIII Ltd. 2006-8A A2† | 2.846% (1 Mo. LIBOR + .36% | )# | 2/1/2041 | 4,010 | 3,996,684 | |||||||
Oaktree CLO 2014-1A A1R† | 3.825% (3 Mo. LIBOR + 1.29% | )# | 5/13/2029 | 26,733 | 26,744,321 | |||||||
Oaktree CLO 2014-1A A2R† | 4.385% (3 Mo. LIBOR + 1.85% | )# | 5/13/2029 | 17,750 | 17,766,101 | |||||||
Oaktree CLO Ltd. 2015-1A A1R† | 3.462% (3 Mo. LIBOR + .87% | )# | 10/20/2027 | 29,033 | 29,025,742 | |||||||
OCP CLO Ltd. 2015-10A A2AR† | 3.886% (3 Mo. LIBOR + 1.30% | )# | 10/26/2027 | 24,351 | 24,161,807 | |||||||
OCP CLO Ltd. 2015-9A A2R† | 3.947% (3 Mo. LIBOR + 1.35% | )# | 7/15/2027 | 25,719 | 25,339,894 | |||||||
OCP CLO Ltd. 2016-12A A1R† | 3.721% (3 Mo. LIBOR + 1.12% | )# | 10/18/2028 | 38,344 | 38,352,551 | |||||||
OCP CLO Ltd. 2016-12A A2R† | 4.201% (3 Mo. LIBOR + 1.60% | )# | 10/18/2028 | 28,451 | 28,472,503 | |||||||
OHA Loan Funding Ltd. 2015-1A AR† | 3.928% (3 Mo. LIBOR + 1.41% | )# | 8/15/2029 | 25,156 | 25,273,697 | |||||||
OneMain Financial Issuance Trust 2016-1A A† | 3.66% | 2/20/2029 | 23,007 | 23,105,807 | ||||||||
OneMain Financial Issuance Trust 2016-2A A† | 4.10% | 3/20/2028 | 37 | 37,267 |
See Notes to Financial Statements. | 269 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
OneMain Financial Issuance Trust 2016-2A B† | 5.94% | 3/20/2028 | $ | 2,851 | $ | 2,863,794 | ||||||
OneMain Financial Issuance Trust 2018-2A A† | 3.57% | 3/14/2033 | 7,689 | 7,948,533 | ||||||||
OneMain Financial Issuance Trust 2019-1A A† | 3.48% | 2/14/2031 | 83,586 | 85,059,671 | ||||||||
OneMain Financial Issuance Trust 2019-1A B† | 3.79% | 2/14/2031 | 18,443 | 18,913,173 | ||||||||
Orange Lake Timeshare Trust 2019-A† | 3.06% | 4/9/2038 | 18,576 | 18,736,552 | ||||||||
Orec Ltd. 2018-CRE1 A† | 3.62% (1 Mo. LIBOR + 1.18% | )# | 6/15/2036 | 84,853 | 84,908,154 | |||||||
OZLM VIII Ltd. 2014-8A A1RR† | 3.758% (3 Mo. LIBOR + 1.17% | )# | 10/17/2029 | 19,539 | 19,536,726 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A1† | 3.197% (3 Mo. LIBOR + .60% | )# | 4/15/2026 | 70,580 | 70,298,375 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A2† | 3.647% (3 Mo. LIBOR + 1.05% | )# | 4/15/2026 | 29,189 | 28,595,955 | |||||||
Palmer Square Loan Funding Ltd. 2018-5A A1† | 3.442% (3 Mo. LIBOR + .85% | )# | 1/20/2027 | 73,126 | 72,990,427 | |||||||
Palmer Square Loan Funding Ltd. 2018-5A A2† | 3.992% (3 Mo. LIBOR + 1.40% | )# | 1/20/2027 | 18,310 | 18,033,687 | |||||||
Parallel Ltd. 2015-1A AR† | 3.442% (3 Mo. LIBOR + .85% | )# | 7/20/2027 | 38,833 | 38,826,604 | |||||||
PFS Financing Corp. 2016-BA A† | 1.87% | 10/15/2021 | 19,317 | 19,271,568 | ||||||||
PFS Financing Corp. 2018-A A† | 2.84% (1 Mo. LIBOR + .40% | )# | 2/15/2022 | 20,037 | 20,045,077 | |||||||
PFS Financing Corp. 2018-B A† | 2.89% | 2/15/2023 | 80,262 | 80,816,787 | ||||||||
Ready Capital Mortgage Financing LLC 2018-FL2 A† | 3.28% (1 Mo. LIBOR + .85% | )# | 6/25/2035 | 34,594 | 34,518,211 | |||||||
Recette CLO Ltd. 2015-1A AR† | 3.512% (3 Mo. LIBOR + .92% | )# | 10/20/2027 | 8,750 | 8,715,383 | |||||||
Regatta VI Funding Ltd. 2016-1A AR† | 3.672% (3 Mo. LIBOR + 1.08% | )# | 7/20/2028 | 37,010 | 36,835,246 | |||||||
Riserva CLO Ltd. 2016-3A A† | 4.061% (3 Mo. LIBOR + 1.46% | )# | 10/18/2028 | 14,754 | 14,763,447 | |||||||
Salem Fields CLO Ltd. 2016-2A A1R† | 3.73% (3 Mo. LIBOR + 1.15% | )# | 10/25/2028 | 5,450 | 5,441,451 | |||||||
Salem Fields CLO Ltd. 2016-2A A2R† | 4.28% (3 Mo. LIBOR + 1.70% | )# | 10/25/2028 | 30,313 | 30,343,331 | |||||||
SCF Equipment Leasing LLC 2017-2A A† | 3.41% | 12/20/2023 | 19,714 | 19,864,935 | ||||||||
SCF Equipment Leasing LLC 2018-1A A2† | 3.63% | 10/20/2024 | 75,297 | 75,856,394 | ||||||||
SCF Equipment Leasing LLC 2019-1A A1† | 3.04% | 3/20/2023 | 62,444 | 62,631,885 | ||||||||
SCF Equipment Leasing LLC 2019-1A A2† | 3.23% | 10/20/2024 | 70,120 | 70,930,223 | ||||||||
Seneca Park CLO Ltd. 2014-1A AR† | 3.708% (3 Mo. LIBOR + 1.12% | )# | 7/17/2026 | 15,526 | 15,543,156 | |||||||
SLC Student Loan Trust 2008-1 A4A | 4.211% (3 Mo. LIBOR + 1.60% | )# | 12/15/2032 | 28,052 | 28,662,395 |
270 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
SLM Private Education Loan Trust 2010-A 2A† | 5.69% (1 Mo. LIBOR + 3.25% | )# | 5/16/2044 | $ | 5,315 | $ | 5,354,000 | |||||
SLM Student Loan Trust 2011-1 A1 | 2.95% (1 Mo. LIBOR + .52% | )# | 3/25/2026 | 2,789 | 2,789,380 | |||||||
SoFi Consumer Loan Program LLC 2016-2A A† | 3.09% | 10/27/2025 | 1,934 | 1,941,090 | ||||||||
SoFi Professional Loan Program 2017-D A1FX† | 1.72% | 9/25/2040 | 10,511 | 10,470,041 | ||||||||
SoFi Professional Loan Program LLC 2017-C A2A† | 1.75% | 7/25/2040 | 7,329 | 7,297,515 | ||||||||
SoFi Professional Loan Program LLC 2017-E A2A† | 1.86% | 11/26/2040 | 41,859 | 41,602,362 | ||||||||
SoFi Professional Loan Program LLC 2017-F A1FX† | 2.05% | 1/25/2041 | 15,995 | 15,928,347 | ||||||||
SoFi Professional Loan Program LLC 2018-A A2A† | 2.39% | 2/25/2042 | 31,651 | 31,593,838 | ||||||||
SOUND POINT CLO III-R Ltd. 2013-2RA B† | 4.047% (3 Mo. LIBOR + 1.45% | )# | 4/15/2029 | 10,000 | 9,832,573 | |||||||
Sound Point CLO IX Ltd. 2015-2A AR† | 3.472% (3 Mo. LIBOR + .88% | )# | 7/20/2027 | 13,272 | 13,285,297 | |||||||
Sound Point CLO XI Ltd. 2016-1A AR† | 3.692% (3 Mo. LIBOR + 1.10% | )# | 7/20/2028 | 43,040 | 43,083,350 | |||||||
Sound Point CLO XII Ltd. 2016-2A BR† | 4.392% (3 Mo. LIBOR + 1.80% | )# | 10/20/2028 | 13,099 | 13,123,461 | |||||||
Springleaf Funding Trust 2015-AA A† | 3.16% | 11/15/2024 | 395 | 395,056 | ||||||||
TCI-Symphony CLO Ltd. 2016-1A A† | 4.077% (3 Mo. LIBOR + 1.48% | )# | 10/13/2029 | 13,100 | 13,133,488 | |||||||
Thacher Park CLO Ltd. 2014-1A AR† | 3.752% (3 Mo. LIBOR + 1.16% | )# | 10/20/2026 | 60,232 | 60,305,138 | |||||||
Towd Point Asset Trust 2018-SL1 A† | 3.077% (1 Mo. LIBOR + .60% | )# | 1/25/2046 | 80,020 | 79,044,964 | |||||||
TPG Real Estate Finance Issuer Ltd. 2018-FL2 A† | 3.562% (1 Mo. LIBOR + 1.13% | )# | 11/15/2037 | 76,177 | 76,224,611 | |||||||
Wells Fargo Dealer Floorplan Master Note Trust 2015-2 A | 3.091% (1 Mo. LIBOR + .65% | )# | 1/20/2022 | 14,610 | 14,635,490 | |||||||
Westcott Park CLO Ltd. 2016-1A B† | 4.692% (3 Mo. LIBOR + 2.10% | )# | 7/20/2028 | 10,400 | 10,413,345 | |||||||
Westgate Resorts LLC 2016-1A A† | 3.50% | 12/20/2028 | 16,972 | 17,014,805 | ||||||||
WhiteHorse VIII Ltd. 2014-1A BR† | 4.029% (3 Mo. LIBOR + 1.45% | )# | 5/1/2026 | 55,578 | 55,570,391 | |||||||
Total | 5,474,374,001 | |||||||||||
Total Asset-Backed Securities (cost $13,379,247,400) | 13,444,681,543 |
See Notes to Financial Statements. | 271 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Shares (000) | Fair Value | ||||||||
COMMON STOCKS 0.02% | ||||||||||||
Electric: Power 0.00% | ||||||||||||
Eneva SA*(c) | BRL | 52 | $ | 256,284 | ||||||||
Oil 0.02% | ||||||||||||
Chaparral Energy, Inc. Class A* | 1,906 | 8,043,392 | ||||||||||
Dommo Energia SA*(c) | BRL | 5,487 | 463,544 | |||||||||
Templar Energy LLC Class A Units | 178 | – | ||||||||||
Total | 8,506,936 | |||||||||||
Total Common Stocks (cost $58,789,844) | 8,763,220 | |||||||||||
Principal Amount (000) | ||||||||||||
CONVERTIBLE BONDS 0.10% | ||||||||||||
Electric: Power 0.01% | ||||||||||||
Clearway Energy, Inc.† | 3.25% | 6/1/2020 | $ | 5,980 | 5,845,450 | |||||||
Energy Equipment & Services 0.02% | ||||||||||||
Tesla Energy Operations, Inc. | 1.625% | 11/1/2019 | 13,257 | 12,400,775 | ||||||||
Real Estate Investment Trusts 0.06% | ||||||||||||
VEREIT, Inc. | 3.75% | 12/15/2020 | 29,318 | 29,373,466 | ||||||||
Retail 0.01% | ||||||||||||
RH | Zero Coupon | 6/15/2019 | 3,575 | 3,568,664 | ||||||||
Total Convertible Bonds (cost $51,945,847) | 51,188,355 | |||||||||||
CORPORATE BONDS 32.53% | ||||||||||||
Aerospace/Defense 0.40% | ||||||||||||
Bombardier, Inc. (Canada)†(d) | 6.00% | 10/15/2022 | 21,499 | 21,062,570 | ||||||||
Bombardier, Inc. (Canada)†(d) | 6.125% | 1/15/2023 | 70,980 | 69,184,206 | ||||||||
Bombardier, Inc. (Canada)†(d) | 8.75% | 12/1/2021 | 61,319 | 66,442,203 | ||||||||
Embraer Overseas Ltd.† | 5.696% | 9/16/2023 | 22,520 | 24,321,825 | ||||||||
TransDigm, Inc. | 6.00% | 7/15/2022 | 1,780 | 1,791,125 | ||||||||
Triumph Group, Inc. | 4.875% | 4/1/2021 | 12,780 | 12,588,300 | ||||||||
Total | 195,390,229 | |||||||||||
Air Transportation 0.18% | ||||||||||||
Air Canada 2015-1 Class B Pass-Through Trust (Canada)†(d) | 3.875% | 9/15/2024 | 9,605 | 9,624,472 | ||||||||
Air Canada 2015-2 Class B Pass-Through Trust (Canada)†(d) | 5.00% | 6/15/2025 | 5,781 | 5,976,251 |
272 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Air Transportation (continued) | ||||||||||||
American Airlines 2011-1 Class A Pass-Through Trust | 5.25% | 7/31/2022 | $ | 4,796 | $ | 4,927,386 | ||||||
American Airlines 2013-1 Class B Pass-ThroughTrust† | 5.625% | 7/15/2022 | 8,842 | 9,024,046 | ||||||||
American Airlines 2013-2 Class B Pass-ThroughTrust† | 5.60% | 1/15/2022 | 20,523 | 20,836,098 | ||||||||
American Airlines 2014-1 Class B Pass-Through Trust | 4.375% | 4/1/2024 | 16,233 | 16,437,484 | ||||||||
Continental Airlines Pass-Through Trust 2012-1 Class B | 6.25% | 10/11/2021 | 2,896 | 2,953,761 | ||||||||
UAL 2007-1 Pass Through Trust | 7.336% | 1/2/2021 | 3,029 | 3,047,437 | ||||||||
United Airlines 2014-1 Class B Pass-Through Trust | 4.75% | 10/11/2023 | 5,935 | 6,070,426 | ||||||||
US Airways 2012-2 Class B Pass-Through Trust | 6.75% | 12/3/2022 | 7,807 | 8,263,965 | ||||||||
Total | 87,161,326 | |||||||||||
Auto Parts: Original Equipment 0.21% | ||||||||||||
IHO Verwaltungs GmbH PIK 5.50% (Denmark)†(d) | 4.75% | 9/15/2026 | 16,763 | 15,673,405 | ||||||||
Nexteer Automotive Group Ltd.† | 5.875% | 11/15/2021 | 19,774 | 20,182,510 | ||||||||
Titan International, Inc. | 6.50% | 11/30/2023 | 14,031 | 12,092,968 | ||||||||
ZF North America Capital, Inc.† | 4.00% | 4/29/2020 | 29,445 | 29,620,964 | ||||||||
ZF North America Capital, Inc.† | 4.50% | 4/29/2022 | 650 | 657,278 | ||||||||
ZF North America Capital, Inc.† | 4.75% | 4/29/2025 | 25,279 | 25,233,421 | ||||||||
Total | 103,460,546 | |||||||||||
Automotive 1.38% | ||||||||||||
Daimler Finance North America LLC† | 2.875% | 3/10/2021 | 17,892 | 17,919,609 | ||||||||
Daimler Finance North America LLC† | 3.115% (3 Mo. LIBOR + .55% | )# | 5/4/2021 | 23,350 | 23,354,997 | |||||||
Daimler Finance North America LLC† | 3.405% (3 Mo. LIBOR + .84% | )# | 5/4/2023 | 2,420 | 2,431,072 | |||||||
Daimler Finance North America LLC† | 3.75% | 11/5/2021 | 39,267 | 40,099,001 | ||||||||
Fiat Chrysler Automobiles NV (United Kingdom)(d) | 5.25% | 4/15/2023 | 7,400 | 7,733,074 | ||||||||
Ford Motor Credit Co. LLC | 2.979% | 8/3/2022 | 16,316 | 15,957,200 | ||||||||
Ford Motor Credit Co. LLC | 3.219% | 1/9/2022 | 6,933 | 6,850,196 | ||||||||
Ford Motor Credit Co. LLC | 3.339% | 3/28/2022 | 25,368 | 25,193,725 | ||||||||
Ford Motor Credit Co. LLC | 3.532% (3 Mo. LIBOR + .93% | )# | 9/24/2020 | 33,052 | 33,057,320 | |||||||
Ford Motor Credit Co. LLC | 3.656% (3 Mo. LIBOR + 1.08% | )# | 8/3/2022 | 6,434 | 6,279,784 | |||||||
Ford Motor Credit Co. LLC | 5.584% | 3/18/2024 | 66,345 | 69,119,513 | ||||||||
Ford Motor Credit Co. LLC | 5.875% | 8/2/2021 | 43,567 | 45,579,108 | ||||||||
General Motors Co. | 4.875% | 10/2/2023 | 27,606 | 28,782,700 | ||||||||
General Motors Financial Co., Inc. | 3.15% | 6/30/2022 | 57,254 | 56,844,416 |
See Notes to Financial Statements. | 273 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automotive (continued) | ||||||||||||
General Motors Financial Co., Inc. | 3.20% | 7/6/2021 | $ | 23,156 | $ | 23,154,558 | ||||||
General Motors Financial Co., Inc. | 4.20% | 3/1/2021 | 56,815 | 57,750,212 | ||||||||
General Motors Financial Co., Inc. | 5.10% | 1/17/2024 | 80,739 | 84,347,369 | ||||||||
Harley-Davidson Financial Services, Inc.† | 3.46% (3 Mo. LIBOR + .94% | )# | 3/2/2021 | 4,425 | 4,430,040 | |||||||
Harley-Davidson Financial Services, Inc.† | 3.55% | 5/21/2021 | 1,000 | 1,010,010 | ||||||||
Hyundai Capital America† | 1.75% | 9/27/2019 | 32,216 | 32,117,591 | ||||||||
Hyundai Capital America† | 2.00% | 7/1/2019 | 3,760 | 3,757,821 | ||||||||
Hyundai Capital America† | 3.25% | 9/20/2022 | 23,225 | 23,377,517 | ||||||||
Hyundai Capital America† | 3.45% | 3/12/2021 | 8,901 | 8,992,851 | ||||||||
Hyundai Capital Services, Inc. (South Korea)†(d) | 3.00% | 8/29/2022 | 47,447 | 47,428,918 | ||||||||
Nissan Motor Acceptance Corp.† | 2.55% | 3/8/2021 | 1,165 | 1,158,413 | ||||||||
Volkswagen Group of America Finance LLC† | 3.475% (3 Mo. LIBOR + .94% | )# | 11/12/2021 | 750 | 754,638 | |||||||
Total | 667,481,653 | |||||||||||
Banks: Regional 5.42% | ||||||||||||
ABN AMRO Bank NV (Netherlands)(d) | 6.25% | 4/27/2022 | 64,981 | 69,995,259 | ||||||||
AIB Group plc (Ireland)†(d) | 4.263% | #(e) | 4/10/2025 | 25,833 | 26,204,146 | |||||||
AIB Group plc (Ireland)†(d) | 4.75% | 10/12/2023 | 22,919 | 23,760,675 | ||||||||
Akbank T.A.S. (Turkey)†(d) | 5.00% | 10/24/2022 | 20,000 | 18,303,620 | ||||||||
ASB Bank Ltd. (New Zealand)†(d) | 3.75% | 6/14/2023 | 31,956 | 33,055,884 | ||||||||
Associated Banc-Corp. | 2.75% | 11/15/2019 | 14,409 | 14,407,950 | ||||||||
Associated Bank NA | 3.50% | 8/13/2021 | 27,007 | 27,415,228 | ||||||||
Banco de Credito del Peru (Panama)†(d) | 2.25% | 10/25/2019 | 4,200 | 4,198,740 | ||||||||
Bank of America Corp. | 3.004% (3 Mo. LIBOR + .79% | )# | 12/20/2023 | 121,834 | 122,637,215 | |||||||
Bank of Ireland Group plc (Ireland)†(d) | 4.50% | 11/25/2023 | 30,413 | 31,355,529 | ||||||||
Barclays Bank plc (United Kingdom)†(d) | 10.179% | 6/12/2021 | 88,358 | 99,703,444 | ||||||||
BBVA Bancomer SA† | 6.50% | 3/10/2021 | 56,117 | 58,808,371 | ||||||||
CIT Group, Inc. | 4.125% | 3/9/2021 | 18,321 | 18,504,576 | ||||||||
CIT Group, Inc. | 4.75% | 2/16/2024 | 26,063 | 26,844,890 | ||||||||
CIT Group, Inc. | 5.00% | 8/15/2022 | 3,109 | 3,231,868 | ||||||||
Citigroup, Inc. | 2.876% (3 Mo. LIBOR + .95% | )# | 7/24/2023 | 46,599 | 46,563,664 | |||||||
Citigroup, Inc. | 3.272% (3 Mo. LIBOR + .69% | )# | 10/27/2022 | 70,181 | 70,173,309 | |||||||
Citigroup, Inc. | 3.352% | #(e) | 4/24/2025 | 42,016 | 42,564,849 | |||||||
Citigroup, Inc. | 4.05% | 7/30/2022 | 30,148 | 31,226,242 | ||||||||
Citizens Bank NA/Providence RI | 3.331% (3 Mo. LIBOR + .81% | )# | 5/26/2022 | 2,483 | 2,491,740 | |||||||
Citizens Financial Group, Inc.† | 4.15% | 9/28/2022 | 4,253 | 4,366,105 |
274 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Credit Suisse AG (Switzerland)†(d) | 6.50% | 8/8/2023 | $ | 38,248 | $ | 41,518,204 | ||||||
Danske Bank A/S (Denmark)†(d) | 2.00% | 9/8/2021 | 11,268 | 10,989,989 | ||||||||
Danske Bank A/S (Denmark)†(d) | 2.75% | 9/17/2020 | 43,848 | 43,766,619 | ||||||||
Danske Bank A/S (Denmark)†(d) | 2.80% | 3/10/2021 | 75,774 | 75,621,975 | ||||||||
Danske Bank A/S (Denmark)†(d) | 5.00% | 1/12/2022 | 35,946 | 37,231,260 | ||||||||
Danske Bank A/S (Denmark)†(d) | 5.375% | 1/12/2024 | 32,947 | 34,835,099 | ||||||||
Discover Bank | 3.35% | 2/6/2023 | 26,689 | 27,055,522 | ||||||||
Discover Bank | 8.70% | 11/18/2019 | 24,607 | 25,249,668 | ||||||||
Goldman Sachs Group, Inc. (The) | 2.876% (3 Mo. LIBOR+ .82% | )# | 10/31/2022 | 69,717 | 69,672,394 | |||||||
Goldman Sachs Group, Inc. (The) | 2.908% (3 Mo. LIBOR+ 1.05% | )# | 6/5/2023 | 51,426 | 51,450,630 | |||||||
Goldman Sachs Group, Inc. (The) | 3.696% (3 Mo. LIBOR + 1.11% | )# | 4/26/2022 | 57,938 | 58,406,896 | |||||||
Goldman Sachs Group, Inc. (The) | 5.25% | 7/27/2021 | 28,945 | 30,446,281 | ||||||||
Goldman Sachs Group, Inc. (The) | 5.75% | 1/24/2022 | 18,050 | 19,411,863 | ||||||||
Huntington Bancshares, Inc. | 7.00% | 12/15/2020 | 19,171 | 20,402,925 | ||||||||
ING Bank NV (Netherlands)†(d) | 5.80% | 9/25/2023 | 18,400 | 20,066,523 | ||||||||
Intesa Sanpaolo SpA (Italy)†(d) | 6.50% | 2/24/2021 | 77,183 | 80,652,892 | ||||||||
Lloyds Bank plc (United Kingdom)†(d) | 6.50% | 9/14/2020 | 90,296 | 94,123,576 | ||||||||
Macquarie Bank Ltd. (Australia)†(d) | 6.625% | 4/7/2021 | 24,042 | 25,641,369 | ||||||||
Macquarie Group Ltd. (Australia)†(d) | 3.189% | #(e) | 11/28/2023 | 27,716 | 27,689,365 | |||||||
Macquarie Group Ltd. (Australia)†(d) | 4.15% | #(e) | 3/27/2024 | 45,822 | 47,359,333 | |||||||
Macquarie Group Ltd. (Australia)†(d) | 7.625% | 8/13/2019 | 15,062 | 15,199,956 | ||||||||
Manufacturers & Traders Trust Co. | 3.16% (3 Mo. LIBOR + .64% | )# | 12/1/2021 | 15,000 | 14,996,031 | |||||||
Manufacturers & Traders Trust Co. | 3.645% (1 Mo. LIBOR + 1.22% | )# | 12/28/2020 | 12,384 | 12,388,136 | |||||||
Morgan Stanley | 3.772% (3 Mo. LIBOR + 1.18% | )# | 1/20/2022 | 47,070 | 47,565,378 | |||||||
Morgan Stanley | 4.875% | 11/1/2022 | 54,575 | 58,102,612 | ||||||||
Morgan Stanley | 5.625% | 9/23/2019 | 22,631 | 22,824,545 | ||||||||
NBK SPC Ltd. (United Arab Emirates)†(d) | 2.75% | 5/30/2022 | 32,710 | 32,442,367 | ||||||||
Nordea Bank Abp (Finland)†(d) | 4.25% | 9/21/2022 | 18,035 | 18,708,584 | ||||||||
Nordea Bank Abp (Finland)†(d) | 4.875% | 5/13/2021 | 62,259 | 64,550,458 | ||||||||
People’s United Bank NA | 4.00% | 7/15/2024 | 5,725 | 5,873,730 | ||||||||
Popular, Inc. | 6.125% | 9/14/2023 | 13,517 | 14,125,265 | ||||||||
Royal Bank of Scotland Group plc (United Kingdom)(d) | 6.125% | 12/15/2022 | 14,683 | 15,625,112 | ||||||||
Royal Bank of Scotland Group plc (United Kingdom)(d) | 6.40% | 10/21/2019 | 24,148 | 24,466,140 |
See Notes to Financial Statements. | 275 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Santander UK Group Holdings plc (United Kingdom)(d) | 2.875% | 8/5/2021 | $ | 36,550 | $ | 36,411,183 | ||||||
Santander UK Group Holdings plc (United Kingdom)(d) | 3.373% | #(e) | 1/5/2024 | 36,966 | 36,690,365 | |||||||
Santander UK Group Holdings plc (United Kingdom)(d) | 3.571% | 1/10/2023 | 16,944 | 17,023,211 | ||||||||
Standard Chartered Bank Hong Kong Ltd. (Hong Kong)(d) | 5.875% | 6/24/2020 | 29,122 | 30,023,935 | ||||||||
Standard Chartered plc (United Kingdom)†(d) | 4.247% | #(e) | 1/20/2023 | 41,630 | 42,427,090 | |||||||
Swedbank AB (Sweden)†(d) | 2.65% | 3/10/2021 | 13,541 | 13,472,510 | ||||||||
Swedbank AB (Sweden)†(d) | 2.80% | 3/14/2022 | 30,591 | 30,361,231 | ||||||||
Turkiye Halk Bankasi AS (Turkey)†(d) | 3.875% | 2/5/2020 | 9,282 | 8,854,787 | ||||||||
Turkiye Halk Bankasi AS (Turkey)†(d) | 4.75% | 6/4/2019 | 32,806 | 32,806,000 | ||||||||
Turkiye Vakiflar Bankasi TAO (Turkey)†(d) | 5.625% | 5/30/2022 | 23,009 | 20,625,268 | ||||||||
Turkiye Vakiflar Bankasi TAO (Turkey)†(d) | 5.75% | 1/30/2023 | 28,476 | 24,578,632 | ||||||||
UBS AG (Switzerland)(d) | 5.125% | 5/15/2024 | 26,615 | 27,828,937 | ||||||||
UBS AG/Stamford CT | 7.625% | 8/17/2022 | 128,451 | 142,036,620 | ||||||||
UBS Group Funding Switzerland AG (Switzerland)†(d) | 2.65% | 2/1/2022 | 42,503 | 42,337,262 | ||||||||
UBS Group Funding Switzerland AG (Switzerland)†(d) | 2.859% | #(e) | 8/15/2023 | 10,282 | 10,228,308 | |||||||
UBS Group Funding Switzerland AG (Switzerland)†(d) | 3.491% | 5/23/2023 | 28,338 | 28,702,237 | ||||||||
UBS Group Funding Switzerland AG (Switzerland)†(d) | 3.744% (3 Mo. LIBOR + 1.22% | )# | 5/23/2023 | 37,578 | 37,916,427 | |||||||
Wells Fargo & Co. | 3.75% | 1/24/2024 | 27,382 | 28,451,132 | ||||||||
Zions Bancorp N.A. | 3.35% | 3/4/2022 | 36,198 | 36,709,770 | ||||||||
Zions Bancorp N.A. | 3.50% | 8/27/2021 | 10,181 | 10,350,186 | ||||||||
Total | 2,622,109,092 | |||||||||||
Beverages 0.16% | ||||||||||||
Bacardi Ltd.† | 4.45% | 5/15/2025 | 1,800 | 1,887,379 | ||||||||
Keurig Dr Pepper, Inc. | 3.20% | 11/15/2021 | 25,234 | 25,437,222 | ||||||||
Keurig Dr Pepper, Inc.† | 4.057% | 5/25/2023 | 49,630 | 51,626,335 | ||||||||
Total | 78,950,936 | |||||||||||
Biotechnology Research & Production 0.04% | ||||||||||||
Sotera Health Topco, Inc. PIK 8.875%† | 8.125% | 11/1/2021 | 17,628 | 17,539,860 | ||||||||
Building Materials 0.49% | ||||||||||||
Boral Finance Pty Ltd. (Australia)†(d) | 3.00% | 11/1/2022 | 13,924 | 13,869,340 | ||||||||
CPG Merger Sub LLC† | 8.00% | 10/1/2021 | 30,597 | 31,132,448 |
276 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Building Materials (continued) | ||||||||||||
Griffon Corp. | 5.25% | 3/1/2022 | $ | 44,403 | $ | 44,347,496 | ||||||
Holcim US Finance Sarl & Cie SCS (Luxembourg)†(d) | 6.00% | 12/30/2019 | 71,442 | 72,529,414 | ||||||||
Johnson Controls International plc | 5.00% | 3/30/2020 | 225 | 229,033 | ||||||||
Owens Corning | 4.20% | 12/1/2024 | 43,137 | 44,427,354 | ||||||||
Owens Corning | 4.20% | 12/15/2022 | 7,970 | 8,249,559 | ||||||||
Vulcan Materials Co. | 3.17% (3 Mo. LIBOR + .65% | )# | 3/1/2021 | 24,266 | 24,278,038 | |||||||
Total | 239,062,682 | |||||||||||
Business Services 0.22% | ||||||||||||
Adani Ports & Special Economic Zone Ltd. (India)†(d) | 3.95% | 1/19/2022 | 4,495 | 4,563,884 | ||||||||
APX Group, Inc. | 8.75% | 12/1/2020 | 34,398 | 32,291,122 | ||||||||
Ashtead Capital, Inc.† | 5.625% | 10/1/2024 | 15,631 | 16,158,546 | ||||||||
IHS Markit Ltd. (United Kingdom)(d) | 3.625% | 5/1/2024 | 12,813 | 12,922,551 | ||||||||
IHS Markit Ltd. (United Kingdom)(d) | 4.125% | 8/1/2023 | 13,549 | 14,062,372 | ||||||||
NESCO LLC/NESCO Finance Corp.† | 6.875% | 2/15/2021 | 27,869 | 27,799,328 | ||||||||
Total | 107,797,803 | |||||||||||
Chemicals 0.64% | ||||||||||||
Blue Cube Spinco LLC | 9.75% | 10/15/2023 | 8,311 | 9,162,878 | ||||||||
Braskem Netherlands Finance BV (Netherlands)†(d) | 3.50% | 1/10/2023 | 14,085 | 13,835,132 | ||||||||
Celanese US Holdings LLC | 4.625% | 11/15/2022 | 13,901 | 14,638,272 | ||||||||
Celanese US Holdings LLC | 5.875% | 6/15/2021 | 48,400 | 51,179,110 | ||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(d) | 3.00% | 7/19/2020 | 20,000 | 20,032,136 | ||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(d) | 3.50% | 7/19/2022 | 19,800 | 19,870,303 | ||||||||
DowDuPont, Inc. | 4.205% | 11/15/2023 | 13,751 | 14,495,577 | ||||||||
Equate Petrochemical BV (Netherlands)†(d) | 3.00% | 3/3/2022 | 11,400 | 11,317,293 | ||||||||
Rayonier AM Products, Inc.† | 5.50% | 6/1/2024 | 9,125 | 7,409,591 | ||||||||
SABIC Capital II BV (Netherlands)†(d) | 4.00% | 10/10/2023 | 18,560 | 19,107,520 | ||||||||
Syngenta Finance NV (Netherlands)†(d) | 3.698% | 4/24/2020 | 21,687 | 21,783,968 | ||||||||
Syngenta Finance NV (Netherlands)†(d) | 3.933% | 4/23/2021 | 26,837 | 27,208,802 | ||||||||
Syngenta Finance NV (Netherlands)†(d) | 4.441% | 4/24/2023 | 9,425 | 9,722,868 | ||||||||
Yara International ASA (Norway)†(d) | 7.875% | 6/11/2019 | 71,524 | 71,590,183 | ||||||||
Total | 311,353,633 | |||||||||||
Coal 0.06% | ||||||||||||
Eterna Capital Pte Ltd. PIK 1.00% (Singapore)(d) | 7.50% | 12/11/2022 | 20,726 | 20,497,022 | ||||||||
Peabody Energy Corp.† | 6.00% | 3/31/2022 | 7,563 | 7,534,639 | ||||||||
Total | 28,031,661 |
See Notes to Financial Statements. | 277 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Computer Hardware 0.44% | ||||||||||||
Dell International LLC/EMC Corp.† | 4.42% | 6/15/2021 | $ | 79,955 | $ | 81,960,882 | ||||||
Dell International LLC/EMC Corp.† | 5.45% | 6/15/2023 | 66,222 | 70,439,142 | ||||||||
Dell International LLC/EMC Corp.† | 5.875% | 6/15/2021 | 19,099 | 19,383,992 | ||||||||
GCI LLC | 6.75% | 6/1/2021 | 24,270 | 24,300,338 | ||||||||
Hewlett Packard Enterprise Co. | 3.318% (3 Mo. LIBOR + .72% | )# | 10/5/2021 | 5,081 | 5,082,593 | |||||||
HT Global IT Solutions Holdings Ltd. (Mauritius)†(d) | 7.00% | 7/14/2021 | 9,770 | 10,092,410 | ||||||||
Total | 211,259,357 | |||||||||||
Computer Software 0.70% | ||||||||||||
CA, Inc. | 3.60% | 8/1/2020 | 13,326 | 13,390,206 | ||||||||
First Data Corp.† | 5.75% | 1/15/2024 | 29,240 | 30,029,480 | ||||||||
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Ho† | 10.00% | 11/30/2024 | 42,460 | 46,387,550 | ||||||||
Infor US, Inc. | 6.50% | 5/15/2022 | 10,132 | 10,273,240 | ||||||||
Informatica LLC† | 7.125% | 7/15/2023 | 30,288 | 30,650,850 | ||||||||
RP Crown Parent LLC† | 7.375% | 10/15/2024 | 16,607 | 17,317,780 | ||||||||
Solera LLC/Solera Finance, Inc.† | 10.50% | 3/1/2024 | 69,665 | 75,321,798 | ||||||||
Sophia LP/Sophia Finance, Inc.† | 9.00% | 9/30/2023 | 32,338 | 33,469,830 | ||||||||
TIBCO Software, Inc.† | 11.375% | 12/1/2021 | 79,672 | 84,302,935 | ||||||||
Total | 341,143,669 | |||||||||||
Construction/Homebuilding 0.31% | ||||||||||||
Brookfield Residential Properties, Inc. (Canada)†(d) | 6.50% | 12/15/2020 | 51,305 | 51,240,869 | ||||||||
Century Communities, Inc. | 6.875% | 5/15/2022 | 13,750 | 14,056,625 | ||||||||
D.R. Horton, Inc. | 4.375% | 9/15/2022 | 9,273 | 9,621,373 | ||||||||
D.R. Horton, Inc. | 4.75% | 2/15/2023 | 4,048 | 4,261,390 | ||||||||
D.R. Horton, Inc. | 5.75% | 8/15/2023 | 18,701 | 20,387,479 | ||||||||
M/I Homes, Inc. | 6.75% | 1/15/2021 | 13,024 | 13,219,360 | ||||||||
Taylor Morrison Communities, Inc. | 6.625% | 5/15/2022 | 8,820 | 9,092,979 | ||||||||
William Lyon Homes, Inc. | 7.00% | 8/15/2022 | 28,406 | 28,477,015 | ||||||||
Total | 150,357,090 | |||||||||||
Containers 0.21% | ||||||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA | 5.75% | 10/15/2020 | 97,616 | 97,889,607 | ||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA | 6.875% | 2/15/2021 | 3,029 | 3,040,442 | ||||||||
Total | 100,930,049 |
278 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Drugs 0.36% | ||||||||||||
AstraZeneca plc (United Kingdom)(d) | 3.19% (3 Mo. LIBOR + .665% | )# | 8/17/2023 | $ | 7,043 | $ | 7,015,692 | |||||
AstraZeneca plc (United Kingdom)(d) | 3.221% (3 Mo. LIBOR + .62% | )# | 6/10/2022 | 1,442 | 1,436,511 | |||||||
Bayer US Finance II LLC† | 2.75% | 7/15/2021 | 18,595 | 18,520,592 | ||||||||
Bayer US Finance II LLC† | 3.50% | 6/25/2021 | 10,876 | 10,971,116 | ||||||||
Bayer US Finance II LLC† | 3.621% (3 Mo. LIBOR + 1.01% | )# | 12/15/2023 | 5,797 | 5,691,688 | |||||||
Bayer US Finance II LLC† | 3.875% | 12/15/2023 | 53,683 | 54,628,562 | ||||||||
Cardinal Health, Inc. | 3.381% (3 Mo. LIBOR + .77% | )# | 6/15/2022 | 3,976 | 3,952,026 | |||||||
Cigna Corp.† | 2.965% (3 Mo. LIBOR + .35% | )# | 3/17/2020 | 4,425 | 4,427,495 | |||||||
Cigna Corp.† | 3.265% (3 Mo. LIBOR + .65% | )# | 9/17/2021 | 14,794 | 14,798,814 | |||||||
Cigna Corp.† | 3.487% (3 Mo. LIBOR + .89% | )# | 7/15/2023 | 6,000 | 5,980,858 | |||||||
Elanco Animal Health, Inc.† | 3.912% | 8/27/2021 | 10,724 | 10,949,987 | ||||||||
Elanco Animal Health, Inc.† | 4.272% | 8/28/2023 | 26,357 | 27,685,824 | ||||||||
Teva Pharmaceutical Finance Co. BV (Curacao)(d) | 3.65% | 11/10/2021 | 6,532 | 6,131,915 | ||||||||
Zoetis, Inc. | 2.96% (3 Mo. LIBOR + .44% | )# | 8/20/2021 | 1,425 | 1,414,507 | |||||||
Total | 173,605,587 | |||||||||||
Electric: Power 1.60% | ||||||||||||
AES Corp. (The) | 4.875% | 5/15/2023 | 23,223 | 23,379,987 | ||||||||
Ausgrid Finance Pty Ltd. (Australia)†(d) | 3.85% | 5/1/2023 | 68,200 | 70,403,738 | ||||||||
Comision Federal de Electricidad (Mexico)†(d) | 4.875% | 5/26/2021 | 47,121 | 48,381,958 | ||||||||
Dominion Energy, Inc. | 2.962% | 7/1/2019 | 20,895 | 20,894,678 | ||||||||
Dominion Energy, Inc. | 4.104% | 4/1/2021 | 75,393 | 76,958,198 | ||||||||
Duquesne Light Holdings, Inc.† | 5.90% | 12/1/2021 | 22,662 | 24,151,409 | ||||||||
Duquesne Light Holdings, Inc.† | 6.40% | 9/15/2020 | 27,314 | 28,503,531 | ||||||||
Emera US Finance LP | 2.70% | 6/15/2021 | 2,374 | 2,366,714 | ||||||||
Enel Finance International NV (Netherlands)†(d) | 2.75% | 4/6/2023 | 37,000 | 36,209,480 | ||||||||
Enel Finance International NV (Netherlands)†(d) | 2.875% | 5/25/2022 | 90,277 | 89,318,201 | ||||||||
Enel Finance International NV (Netherlands)†(d) | 4.25% | 9/14/2023 | 32,731 | 33,753,554 | ||||||||
FirstEnergy Transmission LLC† | 4.35% | 1/15/2025 | �� | 18,408 | 19,463,291 | |||||||
Jersey Central Power & Light Co.† | 4.70% | 4/1/2024 | 45,678 | 49,183,797 | ||||||||
NRG Energy, Inc.† | 3.75% | 6/15/2024 | 28,889 | 29,394,269 | ||||||||
Origin Energy Finance Ltd. (Australia)†(d) | 5.45% | 10/14/2021 | 18,162 | 19,203,826 | ||||||||
PNM Resources, Inc. | 3.25% | 3/9/2021 | 18,627 | 18,757,886 | ||||||||
PPL Capital Funding, Inc. | 3.50% | 12/1/2022 | 3,184 | 3,246,918 | ||||||||
PPL Capital Funding, Inc. | 3.95% | 3/15/2024 | 11,765 | 12,224,689 | ||||||||
PPL Capital Funding, Inc. | 4.20% | 6/15/2022 | 2,437 | 2,534,235 | ||||||||
PPL WEM Ltd./Western Power Distribution Ltd. (United Kingdom)†(d) | 5.375% | 5/1/2021 | 45,701 | 47,189,459 |
See Notes to Financial Statements. | 279 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Power (continued) | ||||||||||||
PSEG Power LLC | 4.15% | 9/15/2021 | $ | 1,165 | $ | 1,199,087 | ||||||
PSEG Power LLC | 5.125% | 4/15/2020 | 2,486 | 2,537,029 | ||||||||
Puget Energy, Inc. | 5.625% | 7/15/2022 | 2,800 | 2,996,579 | ||||||||
Puget Energy, Inc. | 6.00% | 9/1/2021 | 35,468 | 37,820,596 | ||||||||
SCANA Corp. | 4.125% | 2/1/2022 | 16,222 | 16,525,770 | ||||||||
SCANA Corp. | 4.75% | 5/15/2021 | 30,538 | 31,224,191 | ||||||||
SCANA Corp. | 6.25% | 4/1/2020 | 15,162 | 15,490,677 | ||||||||
Sempra Energy | 2.875% | 10/1/2022 | 7,390 | 7,384,643 | ||||||||
Sempra Energy | 3.061% (3 Mo. LIBOR + .45% | )# | 3/15/2021 | 987 | 979,718 | |||||||
Sempra Energy | 3.097% (3 Mo. LIBOR + .50% | )# | 1/15/2021 | 1,000 | 997,139 | |||||||
TransAlta Corp. (Canada)(d) | 4.50% | 11/15/2022 | 3,623 | 3,719,464 | ||||||||
Total | 776,394,711 | |||||||||||
Electrical Equipment 1.06% | ||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 2.65% | 1/15/2023 | 57,781 | 56,309,401 | ||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 3.00% | 1/15/2022 | 84,755 | 84,320,820 | ||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 3.625% | 1/15/2024 | 71,174 | 70,599,915 | ||||||||
Broadcom, Inc.† | 3.125% | 4/15/2021 | 44,352 | 44,413,758 | ||||||||
Broadcom, Inc.† | 3.125% | 10/15/2022 | 66,333 | 66,067,551 | ||||||||
Broadcom, Inc.† | 3.625% | 10/15/2024 | 84,529 | 83,214,337 | ||||||||
KLA-Tencor Corp. | 4.65% | 11/1/2024 | 484 | 519,042 | ||||||||
Marvell Technology Group Ltd. | 4.20% | 6/22/2023 | 27,368 | 28,243,589 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(d) | 3.875% | 9/1/2022 | 10,454 | 10,647,399 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(d) | 4.125% | 6/1/2021 | 36,522 | 37,175,744 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(d) | 4.625% | 6/1/2023 | 28,043 | 29,229,219 | ||||||||
Total | 510,740,775 | |||||||||||
Electronics 0.19% | ||||||||||||
PerkinElmer, Inc. | 5.00% | 11/15/2021 | 55,052 | 57,491,421 | ||||||||
Trimble, Inc. | 4.15% | 6/15/2023 | 25,968 | 26,730,104 | ||||||||
Trimble, Inc. | 4.75% | 12/1/2024 | 9,077 | 9,476,197 | ||||||||
Total | 93,697,722 | |||||||||||
Entertainment 0.20% | ||||||||||||
Eldorado Resorts, Inc. | 7.00% | 8/1/2023 | 8,846 | 9,177,725 | ||||||||
Scientific Games International, Inc. | 6.25% | 9/1/2020 | 24,837 | 24,899,093 | ||||||||
Scientific Games International, Inc. | 6.625% | 5/15/2021 | 26,158 | 26,517,672 | ||||||||
Scientific Games International, Inc. | 10.00% | 12/1/2022 | 32,155 | 33,861,466 | ||||||||
Total | 94,455,956 |
280 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Financial Services 2.43% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(d) | 3.50% | 5/26/2022 | $ | 8,657 | $ | 8,711,190 | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(d) | 4.25% | 7/1/2020 | 11,628 | 11,807,868 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(d) | 4.45% | 12/16/2021 | 12,622 | 13,021,567 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(d) | 4.625% | 10/30/2020 | 11,464 | 11,739,038 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(d) | 4.875% | 1/16/2024 | 8,989 | 9,506,897 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(d) | 5.00% | 10/1/2021 | 1,150 | 1,198,841 | ||||||||
Air Lease Corp. | 4.25% | 2/1/2024 | 31,091 | 32,319,184 | ||||||||
Aircastle Ltd. | 4.40% | 9/25/2023 | 44,457 | 45,549,509 | ||||||||
Aircastle Ltd. | 5.00% | 4/1/2023 | 19,704 | 20,583,257 | ||||||||
Aircastle Ltd. | 5.50% | 2/15/2022 | 38,028 | 40,152,945 | ||||||||
Aircastle Ltd. | 7.625% | 4/15/2020 | 15,193 | 15,757,525 | ||||||||
Ally Financial, Inc. | 3.875% | 5/21/2024 | 25,151 | 25,088,123 | ||||||||
Discover Financial Services | 3.85% | 11/21/2022 | 13,841 | 14,295,138 | ||||||||
Discover Financial Services | 5.20% | 4/27/2022 | 35,645 | 37,955,749 | ||||||||
E*TRADE Financial Corp. | 2.95% | 8/24/2022 | 24,782 | 24,867,399 | ||||||||
GE Capital International Funding Co. Unlimited Co. (Ireland)(d) | 2.342% | 11/15/2020 | 188,195 | 186,384,498 | ||||||||
International Lease Finance Corp. | 8.25% | 12/15/2020 | 95,118 | 102,548,948 | ||||||||
International Lease Finance Corp. | 8.625% | 1/15/2022 | 50,645 | 57,587,421 | ||||||||
Jefferies Financial Group, Inc. | 5.50% | 10/18/2023 | 58,920 | 62,606,665 | ||||||||
Jefferies Group LLC | 6.875% | 4/15/2021 | 18,250 | 19,515,916 | ||||||||
Jefferies Group LLC | 8.50% | 7/15/2019 | 194,757 | 195,957,383 | ||||||||
Nationstar Mortgage Holdings, Inc.† | 8.125% | 7/15/2023 | 62,392 | 62,392,000 | ||||||||
Nationstar Mortgage LLC/Nationstar Capital Corp. | 6.50% | 7/1/2021 | 37,971 | 37,800,890 | ||||||||
Navient Corp. | 4.875% | 6/17/2019 | 11,269 | 11,274,071 | ||||||||
Navient Corp. | 5.00% | 10/26/2020 | 43,636 | 44,235,995 | ||||||||
Navient Corp. | 5.875% | 3/25/2021 | 16,713 | 17,104,920 | ||||||||
Navient Corp. | 6.625% | 7/26/2021 | 60,898 | 63,322,349 | ||||||||
VFH Parent LLC/Orchestra Co-Issuer, Inc.† | 6.75% | 6/15/2022 | 5,390 | 5,567,062 | ||||||||
Total | 1,178,852,348 | |||||||||||
Food 0.09% | ||||||||||||
Campbell Soup Co. | 3.241% (3 Mo. LIBOR + .63% | )# | 3/15/2021 | 195 | 194,620 | |||||||
General Mills, Inc. | 3.598% (3 Mo. LIBOR + 1.01% | )# | 10/17/2023 | 2,900 | 2,917,777 | |||||||
JBS USA LUX SA/JBS USA Finance, Inc.† | 5.875% | 7/15/2024 | 8,907 | 9,163,076 |
See Notes to Financial Statements. | 281 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Food (continued) | ||||||||||||
Kraft Heinz Foods Co. | 3.365% (3 Mo. LIBOR + .82% | )# | 8/10/2022 | $ | 2,300 | $ | 2,292,994 | |||||
Smithfield Foods, Inc.† | 2.70% | 1/31/2020 | 14,159 | 14,122,968 | ||||||||
Smithfield Foods, Inc.† | 3.35% | 2/1/2022 | 16,271 | 16,041,771 | ||||||||
Total | 44,733,206 | |||||||||||
Health Care Products 0.19% | ||||||||||||
Becton Dickinson & Co. | 3.476% (3 Mo. LIBOR + .88% | )# | 12/29/2020 | 20,400 | 20,405,731 | |||||||
Becton Dickinson and Co. | 3.638% (3 Mo. LIBOR + 1.03% | )# | 6/6/2022 | 24,375 | 24,540,664 | |||||||
Kinetic Concepts, Inc./KCI USA, Inc.† | 7.875% | 2/15/2021 | 30,457 | 31,370,710 | ||||||||
Kinetic Concepts, Inc./KCI USA, Inc.† | 12.50% | 11/1/2021 | 3,481 | 3,845,461 | ||||||||
Zimmer Biomet Holdings, Inc. | 3.375% (3 Mo. LIBOR + .75% | )# | 3/19/2021 | 410 | 409,567 | |||||||
Zimmer Biomet Holdings, Inc. | 3.70% | 3/19/2023 | 9,155 | 9,390,265 | ||||||||
Total | 89,962,398 | |||||||||||
Health Care Services 0.86% | ||||||||||||
Acadia Healthcare Co., Inc. | 5.625% | 2/15/2023 | 9,454 | 9,513,088 | ||||||||
Acadia Healthcare Co., Inc. | 6.125% | 3/15/2021 | 15,207 | 15,226,009 | ||||||||
Centene Corp. | 5.625% | 2/15/2021 | 87,323 | 88,414,537 | ||||||||
Eagle Holding Co. II LLC PIK 8.375%† | 7.625% | 5/15/2022 | 18,376 | 18,444,910 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 4.125% | 10/15/2020 | 16,485 | 16,699,384 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 4.75% | 10/15/2024 | 13,246 | 14,001,843 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 5.875% | 1/31/2022 | 33,710 | 35,915,749 | ||||||||
Fresenius Medical Care US Finance, Inc.† | 5.75% | 2/15/2021 | 9,469 | 9,859,721 | ||||||||
HCA, Inc. | 5.00% | 3/15/2024 | 71,545 | 76,452,810 | ||||||||
Polaris Intermediate Corp. PIK 8.50%† | 8.50% | 12/1/2022 | 31,201 | 30,771,986 | ||||||||
RegionalCare Hospital Partners Holdings, Inc.† | 8.25% | 5/1/2023 | 3,956 | 4,203,250 | ||||||||
Select Medical Corp. | 6.375% | 6/1/2021 | 6,149 | 6,161,298 | ||||||||
Syneos Health, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc.† | 7.50% | 10/1/2024 | 25,583 | 26,734,235 | ||||||||
Universal Health Services, Inc.† | 4.75% | 8/1/2022 | 63,316 | 63,711,725 | ||||||||
Total | 416,110,545 | |||||||||||
Household Equipment/Products 0.39% | ||||||||||||
Newell Brands, Inc. | 3.85% | 4/1/2023 | 108,564 | 109,407,812 | ||||||||
Newell Brands, Inc. | 4.00% | 12/1/2024 | 51,222 | 51,545,055 | ||||||||
Newell Brands, Inc. | 4.70% | 8/15/2020 | 4,882 | 4,994,032 | ||||||||
Newell Brands, Inc. | 5.00% | 11/15/2023 | 13,555 | 13,971,264 | ||||||||
Scotts Miracle-Gro Co. (The) | 6.00% | 10/15/2023 | 5,828 | 6,053,835 | ||||||||
Spectrum Brands, Inc. | 6.625% | 11/15/2022 | 1,480 | 1,513,300 | ||||||||
Total | 187,485,298 |
282 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Insurance 0.27% | ||||||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer† | 8.25% | 8/1/2023 | $ | 22,466 | $ | 23,027,650 | ||||||
American International Group, Inc. | 3.75% | 7/10/2025 | 1,250 | 1,277,833 | ||||||||
Assurant, Inc. | 4.20% | 9/27/2023 | 27,456 | 28,306,946 | ||||||||
AXA Equitable Holdings, Inc. | 3.90% | 4/20/2023 | 13,685 | 14,186,774 | ||||||||
Brown & Brown, Inc. | 4.20% | 9/15/2024 | 467 | 486,347 | ||||||||
CNO Financial Group, Inc. | 4.50% | 5/30/2020 | 8,190 | 8,311,621 | ||||||||
Old Republic International Corp. | 4.875% | 10/1/2024 | 370 | 399,933 | ||||||||
Protective Life Corp. | 7.375% | 10/15/2019 | 11,753 | 11,952,131 | ||||||||
Unum Group | 4.00% | 3/15/2024 | 600 | 621,141 | ||||||||
Willis North America, Inc. | 7.00% | 9/29/2019 | 33,915 | 34,333,908 | ||||||||
Willis Towers Watson plc (United Kingdom)(d) | 5.75% | 3/15/2021 | 8,037 | 8,432,862 | ||||||||
WR Berkley Corp. | 5.375% | 9/15/2020 | 1,000 | 1,035,443 | ||||||||
Total | 132,372,589 | |||||||||||
Investment Management Companies 0.02% | ||||||||||||
Huarong Finance Co. Ltd. | 4.00% | 7/17/2019 | 8,530 | 8,538,317 | ||||||||
Leasing 0.58% | ||||||||||||
Aviation Capital Group LLC† | 3.875% | 5/1/2023 | 22,760 | 23,272,320 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(d) | 5.25% | 5/15/2024 | 18,766 | 19,541,036 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(d) | 5.50% | 1/15/2023 | 8,175 | 8,513,445 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(d) | 5.125% | 10/1/2023 | 37,644 | 39,055,650 | ||||||||
DAE Funding LLC (United Arab Emirates)†(d) | 4.00% | 8/1/2020 | 14,012 | 14,047,030 | ||||||||
GATX Corp. | 4.35% | 2/15/2024 | 17,265 | 18,185,913 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(d) | 5.50% | 2/15/2024 | 17,362 | 18,249,025 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(d) | 3.625% | 3/15/2021 | 11,530 | 11,568,164 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(d) | 4.50% | 3/15/2023 | 32,898 | 33,347,716 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(d) | 5.25% | 8/15/2022 | 9,011 | 9,400,726 | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.† | 3.45% | 7/1/2024 | 50,772 | 51,387,425 | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.† | 3.65% | 7/29/2021 | 22,820 | 23,227,986 | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.† | 3.90% | 2/1/2024 | 6,137 | 6,348,061 | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.† | 4.125% | 8/1/2023 | 1,040 | 1,085,250 | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.† | 4.25% | 1/17/2023 | 2,500 | 2,604,470 | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.† | 4.875% | 7/11/2022 | 3,005 | 3,179,019 | ||||||||
Total | 283,013,236 | |||||||||||
Leisure 0.35% | ||||||||||||
LTF Merger Sub, Inc.† | 8.50% | 6/15/2023 | 53,346 | 54,813,015 | ||||||||
NCL Corp. Ltd.† | 4.75% | 12/15/2021 | 11,341 | 11,454,410 | ||||||||
See Notes to Financial Statements. | 283 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Leisure (continued) | ||||||||||||
Royal Caribbean Cruises Ltd. | 5.25% | 11/15/2022 | $ | 57,280 | $ | 61,873,977 | ||||||
Silversea Cruise Finance Ltd.† | 7.25% | 2/1/2025 | 37,054 | 39,958,663 | ||||||||
Total | 168,100,065 | |||||||||||
Lodging 0.04% | ||||||||||||
Studio City Co., Ltd. (Macau)†(d) | 7.25% | 11/30/2021 | 7,152 | 7,411,260 | ||||||||
Studio City Co., Ltd. (Macau)(d) | 7.25% | 11/30/2021 | 1,722 | 1,784,422 | ||||||||
Wyndham Destinations, Inc. | 5.625% | 3/1/2021 | 11,538 | 11,941,830 | ||||||||
Total | 21,137,512 | |||||||||||
Machinery: Agricultural 0.50% | ||||||||||||
BAT Capital Corp. | 2.764% | 8/15/2022 | 29,569 | 29,337,724 | ||||||||
BAT Capital Corp. | 3.222% | 8/15/2024 | 81,533 | 80,763,342 | ||||||||
BAT Capital Corp. | 3.398% (3 Mo. LIBOR + .88% | )# | 8/15/2022 | 990 | 990,586 | |||||||
BAT International Finance plc (United Kingdom)†(d) | 3.25% | 6/7/2022 | 3,400 | 3,429,176 | ||||||||
Pyxus International, Inc. | 9.875% | 7/15/2021 | 26,644 | 22,714,010 | ||||||||
Reynolds American, Inc. | 4.85% | 9/15/2023 | 27,405 | 29,104,937 | ||||||||
Viterra, Inc. (Canada)†(d) | 5.95% | 8/1/2020 | 72,047 | 74,417,202 | ||||||||
Total | 240,756,977 | |||||||||||
Machinery: Industrial/Specialty 0.72% | ||||||||||||
CNH Industrial Capital LLC | 4.20% | 1/15/2024 | 28,111 | 28,606,018 | ||||||||
CNH Industrial Capital LLC | 4.375% | 11/6/2020 | 8,198 | 8,346,384 | ||||||||
CNH Industrial Capital LLC | 4.375% | 4/5/2022 | 49,678 | 51,009,370 | ||||||||
CNH Industrial Capital LLC | 4.875% | 4/1/2021 | 36,642 | 37,766,909 | ||||||||
CNH Industrial NV (United Kingdom)(d) | 4.50% | 8/15/2023 | 75,304 | 77,886,174 | ||||||||
Flowserve Corp. | 4.00% | 11/15/2023 | 6,810 | 6,911,490 | ||||||||
Nvent Finance Sarl (Luxembourg)(d) | 3.95% | 4/15/2023 | 42,334 | 42,937,385 | ||||||||
Roper Technologies, Inc. | 3.65% | 9/15/2023 | 26,649 | 27,474,012 | ||||||||
Wabtec Corp. | 3.911% (3 Mo. LIBOR + 1.30% | )# | 9/15/2021 | 13,245 | 13,245,625 | |||||||
Wabtec Corp. | 4.375% | 8/15/2023 | 10,400 | 10,725,778 | ||||||||
Wabtec Corp. | 4.40% | 3/15/2024 | 41,105 | 42,639,795 | ||||||||
Total | 347,548,940 | |||||||||||
Manufacturing 0.48% | ||||||||||||
Gates Global LLC/Gates Global Co.† | 6.00% | 7/15/2022 | 30,783 | 30,706,042 | ||||||||
General Electric Co. | 2.70% | 10/9/2022 | 43,485 | 43,047,714 | ||||||||
General Electric Co. | 3.10% | 1/9/2023 | 31,515 | 31,519,479 | ||||||||
General Electric Co. | 3.15% | 9/7/2022 | 25,923 | 26,085,503 | ||||||||
General Electric Co. | 3.375% | 3/11/2024 | 12,400 | 12,559,259 |
284 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Manufacturing (continued) | ||||||||||||
General Electric Co. | 3.397% (3 Mo. LIBOR + .80% | )# | 4/15/2020 | $ | 550 | $ | 551,524 | |||||
General Electric Co. | 3.45% | 5/15/2024 | 31,824 | 32,184,233 | ||||||||
General Electric Co. | 4.65% | 10/17/2021 | 27,372 | 28,456,824 | ||||||||
General Electric Co. | 5.30% | 2/11/2021 | 8,415 | 8,728,272 | ||||||||
General Electric Co./LJ VP Holdings LLC† | 3.80% | 6/18/2019 | 17,445 | 17,452,499 | ||||||||
Total | 231,291,349 | |||||||||||
Media 0.92% | ||||||||||||
Altice Financing SA (Luxembourg)†(d) | 6.625% | 2/15/2023 | 37,092 | 37,792,668 | ||||||||
Altice Luxembourg SA (Luxembourg)†(b)(d) | 7.75% | 5/15/2022 | 20,029 | 20,429,580 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 5.25% | 3/15/2021 | 43,356 | 43,491,487 | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 4.229% (3 Mo. LIBOR + 1.65% | )# | 2/1/2024 | 31,625 | 31,760,445 | |||||||
Cox Communications, Inc.† | 2.95% | 6/30/2023 | 56,407 | 56,398,331 | ||||||||
Cox Communications, Inc.† | 3.15% | 8/15/2024 | 9,890 | 9,953,686 | ||||||||
Cox Communications, Inc.† | 3.25% | 12/15/2022 | 62,150 | 63,076,960 | ||||||||
Globo Comunicacao e Participacoes SA (Brazil)†(d) | 4.875% | 4/11/2022 | 18,425 | 18,805,200 | ||||||||
Myriad International Holdings BV (Netherlands)†(d) | 6.00% | 7/18/2020 | 44,159 | 45,584,011 | ||||||||
NBCUniversal Enterprise, Inc.† | 5.25% | – | (f) | 110,682 | 112,954,855 | |||||||
Virgin Media Finance plc (United Kingdom)†(d) | 6.00% | 10/15/2024 | 3,490 | 3,581,613 | ||||||||
Total | 443,828,836 | |||||||||||
Metal Fabricating 0.06% | ||||||||||||
Grinding Media, Inc./Moly-Cop AltaSteel Ltd.† | 7.375% | 12/15/2023 | 15,880 | 14,847,800 | ||||||||
Zekelman Industries, Inc.† | 9.875% | 6/15/2023 | 14,188 | 14,932,870 | ||||||||
Total | 29,780,670 | |||||||||||
Metals & Minerals: Miscellaneous 1.86% | ||||||||||||
Anglo American Capital plc (United Kingdom)†(d) | 3.625% | 9/11/2024 | 85,525 | 85,933,480 | ||||||||
Anglo American Capital plc (United Kingdom)†(d) | 3.75% | 4/10/2022 | 25,695 | 26,096,789 | ||||||||
Anglo American Capital plc (United Kingdom)†(d) | 4.125% | 4/15/2021 | 37,543 | 38,173,159 | ||||||||
Anglo American Capital plc (United Kingdom)†(d) | 4.125% | 9/27/2022 | 56,763 | 58,371,663 | ||||||||
Century Aluminum Co.† | 7.50% | 6/1/2021 | 18,650 | 18,416,875 | ||||||||
FMG Resources August 2006 Pty Ltd. (Australia)†(d) | 4.75% | 5/15/2022 | 14,447 | 14,537,294 | ||||||||
FMG Resources August 2006 Pty Ltd. (Australia)†(d) | 5.125% | 3/15/2023 | 13,463 | 13,631,288 | ||||||||
FMG Resources August 2006 Pty Ltd. (Australia)†(d) | 5.125% | 5/15/2024 | 27,603 | 27,795,393 | ||||||||
Freeport-McMoRan, Inc. | 3.875% | 3/15/2023 | 24,155 | 23,321,169 | ||||||||
Freeport-McMoRan, Inc. | 4.55% | 11/14/2024 | 19,345 | 18,716,287 | ||||||||
Freeport-McMoRan, Inc. | 6.875% | 2/15/2023 | 10,394 | 10,900,708 |
See Notes to Financial Statements. | 285 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Metals & Minerals: Miscellaneous (continued) | ||||||||||||
Glencore Finance Canada Ltd. (Canada)†(d) | 4.25% | 10/25/2022 | $ | 61,531 | $ | 63,716,949 | ||||||
Glencore Funding LLC† | 2.875% | 4/16/2020 | 4,240 | 4,254,939 | ||||||||
Glencore Funding LLC† | 3.00% | 10/27/2022 | 8,392 | 8,312,696 | ||||||||
Glencore Funding LLC† | 4.125% | 5/30/2023 | 51,135 | 52,235,594 | ||||||||
Glencore Funding LLC† | 4.125% | 3/12/2024 | 33,108 | 33,739,049 | ||||||||
Glencore Funding LLC† | 4.625% | 4/29/2024 | 14,132 | 14,663,957 | ||||||||
Hecla Mining Co. | 6.875% | 5/1/2021 | 19,472 | 18,255,000 | ||||||||
Hudbay Minerals, Inc. (Canada)†(d) | 7.25% | 1/15/2023 | 18,392 | 18,598,910 | ||||||||
Indonesia Asahan Aluminium Persero PT (Indonesia)†(d) | 5.23% | 11/15/2021 | 66,250 | 69,199,119 | ||||||||
Joseph T Ryerson & Son, Inc.† | 11.00% | 5/15/2022 | 23,275 | 24,562,398 | ||||||||
Kinross Gold Corp. (Canada)(d) | 5.125% | 9/1/2021 | 8,280 | 8,507,700 | ||||||||
Kinross Gold Corp. (Canada)(d) | 5.95% | 3/15/2024 | 34,549 | 36,881,057 | ||||||||
New Gold, Inc. (Canada)†(d) | 6.25% | 11/15/2022 | 8,412 | 7,192,260 | ||||||||
Newmont Goldcorp Corp.† | 3.625% | 6/9/2021 | 91,364 | 92,643,270 | ||||||||
Newmont Goldcorp Corp.† | 3.70% | 3/15/2023 | 48,382 | 49,785,735 | ||||||||
Newmont Mining Corp. | 3.50% | 3/15/2022 | 16,500 | 16,757,653 | ||||||||
Teck Resources Ltd. (Canada)†(d) | 8.50% | 6/1/2024 | 44,311 | 47,328,404 | ||||||||
Total | 902,528,795 | |||||||||||
Natural Gas 0.19% | ||||||||||||
Dominion Energy Gas Holdings LLC | 3.60% | 12/15/2024 | 500 | 515,948 | ||||||||
National Fuel Gas Co. | 3.75% | 3/1/2023 | 19,522 | 19,833,806 | ||||||||
National Fuel Gas Co. | 4.90% | 12/1/2021 | 21,911 | 22,741,061 | ||||||||
National Fuel Gas Co. | 7.395% | 3/30/2023 | 4,000 | 4,554,970 | ||||||||
Southern Star Central Corp.† | 5.125% | 7/15/2022 | 28,694 | 29,115,802 | ||||||||
WGL Holdings, Inc. | 3.147% (3 Mo. LIBOR + .55% | )# | 3/12/2020 | 14,571 | 14,535,676 | |||||||
Total | 91,297,263 | |||||||||||
Office Furniture & Business Equipment 0.01% | ||||||||||||
Xerox Corp. | 5.625% | 12/15/2019 | 6,594 | 6,659,940 | ||||||||
Oil 3.87% | ||||||||||||
Afren plc (United Kingdom)†(d)(g) | 6.625% | 12/9/2020 | 8,099 | 67,306 | ||||||||
Afren plc (United Kingdom)†(d)(g) | 10.25% | 4/8/2019 | 11,027 | 92,847 | ||||||||
Afren plc (United Kingdom)†(d)(g) | 11.50% | 2/1/2016 | 16,833 | 141,735 | ||||||||
Antero Resources Corp. | 5.125% | 12/1/2022 | 14,663 | 14,571,356 | ||||||||
Apache Corp. | 2.625% | 1/15/2023 | 1,055 | 1,040,062 | ||||||||
Callon Petroleum Co. | 6.125% | 10/1/2024 | 6,393 | 6,345,053 | ||||||||
Canadian Natural Resources Ltd. (Canada)(d) | 3.80% | 4/15/2024 | 19,700 | 20,288,095 |
286 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil (continued) | ||||||||||||
Canadian Oil Sands Ltd. (Canada)†(d) | 9.40% | 9/1/2021 | $ | 3,351 | $ | 3,805,161 | ||||||
Carrizo Oil & Gas, Inc. | 6.25% | 4/15/2023 | 56,034 | 52,041,577 | ||||||||
Cenovus Energy, Inc. (Canada)(d) | 5.70% | 10/15/2019 | 1,710 | 1,725,225 | ||||||||
Cimarex Energy Co. | 4.375% | 6/1/2024 | 11,272 | 11,800,527 | ||||||||
CNOOC Curtis Funding No 1 Pty Ltd. (Australia)†(d) | 4.50% | 10/3/2023 | 101,925 | 108,162,097 | ||||||||
CNX Resources Corp. | 5.875% | 4/15/2022 | 17,831 | 17,186,944 | ||||||||
Concho Resources, Inc. | 4.375% | 1/15/2025 | 44,090 | 45,704,918 | ||||||||
Continental Resources, Inc. | 3.80% | 6/1/2024 | 29,408 | 29,583,001 | ||||||||
Continental Resources, Inc. | 4.50% | 4/15/2023 | 74,734 | 77,279,288 | ||||||||
Continental Resources, Inc. | 5.00% | 9/15/2022 | 137,667 | 138,856,425 | ||||||||
Diamondback Energy, Inc. | 4.75% | 11/1/2024 | 24,378 | 24,896,033 | ||||||||
Energen Corp. | 4.625% | 9/1/2021 | 21,448 | 21,769,720 | ||||||||
Eni SpA (Italy)†(d) | 4.00% | 9/12/2023 | 47,112 | 48,577,021 | ||||||||
Eni SpA (Italy)†(d) | 4.15% | 10/1/2020 | 35,369 | 35,949,160 | ||||||||
EQT Corp. | 3.362% (3 Mo. LIBOR + .77% | )# | 10/1/2020 | 1,805 | 1,803,291 | |||||||
Equinor ASA (Norway)†(d) | 7.875% | 12/9/2022 | 10,000 | 11,692,056 | ||||||||
Gazprom OAO Via Gaz Capital SA (Luxembourg)†(d) | 6.51% | 3/7/2022 | 22,562 | 24,247,494 | ||||||||
Gulfport Energy Corp. | 6.625% | 5/1/2023 | 29,329 | 27,129,325 | ||||||||
Harvest Operations Corp. (Canada)†(d) | 4.20% | 6/1/2023 | 8,250 | 8,704,797 | ||||||||
Hess Corp. | 3.50% | 7/15/2024 | 8,605 | 8,483,359 | ||||||||
HighPoint Operating Corp. | 7.00% | 10/15/2022 | 5,560 | 5,365,400 | ||||||||
Husky Energy, Inc. (Canada)(d) | 4.00% | 4/15/2024 | 44,672 | 46,551,854 | ||||||||
Kerr-McGee Corp. | 6.95% | 7/1/2024 | 41,560 | 48,923,478 | ||||||||
Laredo Petroleum, Inc. | 5.625% | 1/15/2022 | 43,600 | 40,330,000 | ||||||||
Lukoil International Finance BV (Netherlands)†(d) | 6.125% | 11/9/2020 | 20,352 | 21,146,807 | ||||||||
Marathon Petroleum Corp. | 5.375% | 10/1/2022 | 34,350 | 34,925,069 | ||||||||
Matador Resources Co. | 5.875% | 9/15/2026 | 25,000 | 24,875,000 | ||||||||
Medco Straits Services Pte Ltd. (Singapore)†(d) | 8.50% | 8/17/2022 | 3,985 | 4,221,251 | ||||||||
MEG Energy Corp. (Canada)†(d) | 6.50% | 1/15/2025 | 20,818 | 20,109,147 | ||||||||
Montage Resources Corp. | 8.875% | 7/15/2023 | 27,332 | 24,188,820 | ||||||||
Motiva Enterprises LLC† | 5.75% | 1/15/2020 | 44,822 | 45,503,600 | ||||||||
Murphy Oil Corp. | 6.875% | 8/15/2024 | 37,185 | 38,557,781 | ||||||||
Nexen, Inc. (Canada)(d) | 6.20% | 7/30/2019 | 8,005 | 8,049,548 | ||||||||
Oasis Petroleum, Inc. | 6.875% | 3/15/2022 | 92,813 | 90,076,873 | ||||||||
OGX Austria GmbH (Brazil)†(d)(g) | 8.50% | 6/1/2018 | 31,150 | 623 | ||||||||
Parsley Energy LLC/Parsley Finance Corp.† | 6.25% | 6/1/2024 | 8,276 | 8,462,210 | ||||||||
Petroleos Mexicanos (Mexico)(d) | 3.50% | 1/30/2023 | 54,720 | 52,755,552 | ||||||||
Petroleos Mexicanos (Mexico)(d) | 4.625% | 9/21/2023 | 107,402 | 107,227,472 |
See Notes to Financial Statements. | 287 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil (continued) | ||||||||||||
Petroleos Mexicanos (Mexico)(d) | 4.875% | 1/18/2024 | $ | 44,464 | $ | 44,570,714 | ||||||
Petroleos Mexicanos (Mexico)(d) | 5.50% | 1/21/2021 | 56,529 | 58,196,605 | ||||||||
Petroleos Mexicanos (Mexico)(d) | 6.375% | 2/4/2021 | 94,419 | 98,384,598 | ||||||||
Pioneer Natural Resources Co. | 7.50% | 1/15/2020 | 9,915 | 10,192,565 | ||||||||
Range Resources Corp. | 5.00% | 8/15/2022 | 51,474 | 48,875,592 | ||||||||
Range Resources Corp. | 5.00% | 3/15/2023 | 14,105 | 13,264,765 | ||||||||
Range Resources Corp. | 5.75% | 6/1/2021 | 23,488 | 23,488,000 | ||||||||
Range Resources Corp. | 5.875% | 7/1/2022 | 7,447 | 7,335,295 | ||||||||
Reliance Holdings USA, Inc.† | 5.40% | 2/14/2022 | 32,220 | 34,118,438 | ||||||||
Sable Permian Resources Land LLC/AEPB Finance Corp.† | 13.00% | 11/30/2020 | 25,716 | 24,687,360 | ||||||||
Saudi Arabian Oil Co. (Saudi Arabia)†(d) | 2.75% | 4/16/2022 | 13,147 | 13,124,624 | ||||||||
Saudi Arabian Oil Co. (Saudi Arabia)†(d) | 2.875% | 4/16/2024 | 18,690 | 18,589,009 | ||||||||
Seven Generations Energy Ltd. (Canada)†(d) | 6.75% | 5/1/2023 | 18,088 | 18,268,880 | ||||||||
Seven Generations Energy Ltd. (Canada)†(d) | 6.875% | 6/30/2023 | 43,254 | 43,794,675 | ||||||||
SM Energy Co. | 6.125% | 11/15/2022 | 28,246 | 27,469,235 | ||||||||
Transocean Sentry Ltd.† | 5.375% | 5/15/2023 | 15,592 | 15,475,060 | ||||||||
WPX Energy, Inc. | 5.25% | 9/15/2024 | 7,559 | 7,464,513 | ||||||||
WPX Energy, Inc. | 6.00% | 1/15/2022 | 2,738 | 2,791,939 | ||||||||
Total | 1,873,306,225 | |||||||||||
Oil: Crude Producers 1.67% | ||||||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. | 5.25% | 1/15/2025 | 775 | 814,653 | ||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. | 3.50% | 12/1/2022 | 2,009 | 2,047,110 | ||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. | 5.50% | 10/15/2019 | 22,755 | 22,910,656 | ||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. | 6.25% | 10/15/2022 | 38,109 | 39,156,998 | ||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. | 6.375% | 5/1/2024 | 73,585 | 77,267,929 | ||||||||
Boardwalk Pipelines LP | 5.75% | 9/15/2019 | 4,629 | 4,654,491 | ||||||||
Cheniere Corpus Christi Holdings LLC | 5.875% | 3/31/2025 | 22,000 | 23,668,260 | ||||||||
Cheniere Corpus Christi Holdings LLC | 7.00% | 6/30/2024 | 3,000 | 3,351,600 | ||||||||
Enable Oklahoma Intrastate Transmission LLC† | 6.25% | 3/15/2020 | 4,000 | 4,094,114 | ||||||||
Enbridge, Inc. (Canada)(d) | 2.984% (3 Mo. LIBOR + .40% | )# | 1/10/2020 | 1,800 | 1,800,618 | |||||||
Energy Transfer Operating LP | 4.25% | 3/15/2023 | 56,857 | 58,546,027 | ||||||||
Energy Transfer Operating LP | 5.875% | 1/15/2024 | 65,953 | 72,108,536 | ||||||||
Energy Transfer Operating LP | 7.60% | 2/1/2024 | 1,207 | 1,383,315 | ||||||||
Energy Transfer Partners LP/Regency Energy Finance Corp. | 5.00% | 10/1/2022 | 685 | 723,186 | ||||||||
Energy Transfer Partners LP/Regency Energy Finance Corp. | 5.75% | 9/1/2020 | 975 | 1,003,212 |
288 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil: Crude Producers (continued) | ||||||||||||
Florida Gas Transmission Co. LLC† | 3.875% | 7/15/2022 | $ | 3,629 | $ | 3,749,097 | ||||||
Midcontinent Express Pipeline LLC† | 6.70% | 9/15/2019 | 50,892 | 51,409,255 | ||||||||
Midwest Connector Capital Co. LLC† | 3.625% | 4/1/2022 | 30,586 | 31,195,948 | ||||||||
Midwest Connector Capital Co. LLC† | 3.90% | 4/1/2024 | 55,054 | 56,552,634 | ||||||||
NGPL PipeCo LLC† | 4.375% | 8/15/2022 | 26,059 | 26,474,641 | ||||||||
Sabine Pass Liquefaction LLC | 5.625% | 2/1/2021 | 31,768 | 32,965,766 | ||||||||
Sabine Pass Liquefaction LLC | 5.625% | 4/15/2023 | 139,928 | 150,859,035 | ||||||||
Sabine Pass Liquefaction LLC | 5.75% | 5/15/2024 | 60,411 | 66,251,307 | ||||||||
Sabine Pass Liquefaction LLC | 6.25% | 3/15/2022 | 6,800 | 7,344,897 | ||||||||
Spectra Energy Partners LP | 4.60% | 6/15/2021 | 11,937 | 12,311,214 | ||||||||
Sunoco Logistics Partners Operations LP | 3.45% | 1/15/2023 | 1,564 | 1,575,791 | ||||||||
Texas Eastern Transmission LP† | 2.80% | 10/15/2022 | 5,237 | 5,211,687 | ||||||||
Texas Eastern Transmission LP† | 4.125% | 12/1/2020 | 18,339 | 18,722,417 | ||||||||
Texas Gas Transmission LLC† | 4.50% | 2/1/2021 | 22,284 | 22,746,904 | ||||||||
Williams Cos., Inc. (The) | 7.875% | 9/1/2021 | 5,034 | 5,576,589 | ||||||||
Total | 806,477,887 | |||||||||||
Oil: Integrated Domestic 0.49% | ||||||||||||
National Oilwell Varco, Inc. | 2.60% | 12/1/2022 | 123,964 | 121,542,103 | ||||||||
Oceaneering International, Inc. | 4.65% | 11/15/2024 | 15,458 | 14,762,390 | ||||||||
Schlumberger Holdings Corp.† | 3.75% | 5/1/2024 | 66,150 | 68,150,949 | ||||||||
SESI LLC | 7.125% | 12/15/2021 | 42,146 | 31,609,500 | ||||||||
TechnipFMC plc (United Kingdom)(d) | 3.45% | 10/1/2022 | 2,514 | 2,554,084 | ||||||||
Total | 238,619,026 | |||||||||||
Paper & Forest Products 0.01% | ||||||||||||
Celulosa Arauco y Constitucion SA (Chile)(d) | 4.75% | 1/11/2022 | 1,962 | 2,030,179 | ||||||||
West Fraser Timber Co. Ltd. (Canada)†(d) | 4.35% | 10/15/2024 | 958 | 987,184 | ||||||||
Total | 3,017,363 | |||||||||||
Real Estate Investment Trusts 0.76% | ||||||||||||
Brandywine Operating Partnership LP | 4.10% | 10/1/2024 | 5,554 | 5,742,726 | ||||||||
Brixmor Operating Partnership LP | 3.25% | 9/15/2023 | 28,308 | 28,344,362 | ||||||||
Brixmor Operating Partnership LP | 3.65% | 6/15/2024 | 14,576 | 14,731,974 | ||||||||
Brixmor Operating Partnership LP | 3.875% | 8/15/2022 | 8,457 | 8,649,396 | ||||||||
Digital Realty Trust LP | 3.95% | 7/1/2022 | 555 | 575,665 | ||||||||
EPR Properties | 5.25% | 7/15/2023 | 13,622 | 14,520,474 | ||||||||
EPR Properties | 5.75% | 8/15/2022 | 47,769 | 51,095,673 | ||||||||
Equinix, Inc. | 5.375% | 1/1/2022 | 4,783 | 4,902,575 | ||||||||
GLP Capital LP/GLP Financing II, Inc. | 4.875% | 11/1/2020 | 5,329 | 5,421,671 |
See Notes to Financial Statements. | 289 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Real Estate Investment Trusts (continued) | ||||||||||||
HCP, Inc. | 4.20% | 3/1/2024 | $ | 14,718 | $ | 15,402,028 | ||||||
HCP, Inc. | 4.25% | 11/15/2023 | 10,197 | 10,732,996 | ||||||||
Healthcare Trust of America Holdings LP | 2.95% | 7/1/2022 | 7,782 | 7,802,361 | ||||||||
Healthcare Trust of America Holdings LP | 3.70% | 4/15/2023 | 613 | 622,699 | ||||||||
Highwoods Realty LP | 3.20% | 6/15/2021 | 4,257 | 4,275,464 | ||||||||
Kilroy Realty LP | 3.45% | 12/15/2024 | 18,500 | 18,865,617 | ||||||||
Kilroy Realty LP | 3.80% | 1/15/2023 | 650 | 669,432 | ||||||||
Regency Centers LP | 3.75% | 6/15/2024 | 2,000 | 2,066,404 | ||||||||
SITE Centers Corp. | 4.625% | 7/15/2022 | 7,730 | 8,022,311 | ||||||||
SL Green Operating Partnership LP | 3.25% | 10/15/2022 | 12,792 | 12,816,671 | ||||||||
SL Green Realty Corp. | 4.50% | 12/1/2022 | 17,154 | 17,923,168 | ||||||||
Vereit Operating Partnership LP | 4.125% | 6/1/2021 | 12,830 | 13,119,475 | ||||||||
Vereit Operating Partnership LP | 4.60% | 2/6/2024 | 69,589 | 73,193,557 | ||||||||
VEREIT Operating Partnership LP | 4.625% | 11/1/2025 | 39,000 | 41,212,053 | ||||||||
WEA Finance LLC/Westfield UK &Europe Finance plc† | 3.25% | 10/5/2020 | 3,240 | 3,263,312 | ||||||||
Welltower, Inc. | 4.50% | 1/15/2024 | 3,659 | 3,902,693 | ||||||||
Total | 367,874,757 | |||||||||||
Retail 0.12% | ||||||||||||
AutoNation, Inc. | 3.50% | 11/15/2024 | 19,354 | 19,012,426 | ||||||||
CEC Entertainment, Inc. | 8.00% | 2/15/2022 | 20,971 | 21,102,069 | ||||||||
Dollar Tree, Inc. | 3.70% | 5/15/2023 | 15,368 | 15,677,815 | ||||||||
Total | 55,792,310 | |||||||||||
Savings & Loan 0.07% | ||||||||||||
People’s United Financial, Inc. | 3.65% | 12/6/2022 | 34,249 | 35,184,463 | ||||||||
Steel 0.05% | ||||||||||||
Vale Overseas Ltd. (Brazil)(d) | 4.375% | 1/11/2022 | 22,257 | 22,824,553 | ||||||||
Technology 0.61% | ||||||||||||
Alibaba Group Holding Ltd. (China)(d) | 2.80% | 6/6/2023 | 11,140 | 11,095,094 | ||||||||
Baidu, Inc. (China)(d) | 2.75% | 6/9/2019 | 21,550 | 21,546,875 | ||||||||
Baidu, Inc. (China)(d) | 2.875% | 7/6/2022 | 16,175 | 16,114,878 | ||||||||
Baidu, Inc. (China)(d) | 3.50% | 11/28/2022 | 12,299 | 12,456,686 | ||||||||
Baidu, Inc. (China)(d) | 3.875% | 9/29/2023 | 92,689 | 94,897,501 | ||||||||
Baidu, Inc. (China)(d) | 4.375% | 5/14/2024 | 69,984 | 73,018,156 | ||||||||
eBay, Inc. | 3.059% (3 Mo. LIBOR + .48% | )# | 8/1/2019 | 500 | 500,346 | |||||||
Tencent Holdings Ltd. (China)†(d) | 3.28% | 4/11/2024 | 60,870 | 61,152,719 | ||||||||
VeriSign, Inc. | 4.625% | 5/1/2023 | 5,744 | 5,814,077 | ||||||||
Total | 296,596,332 |
290 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Telecommunications 0.55% | ||||||||||||
AT&T, Inc. | 3.777% (3 Mo. LIBOR + 1.18% | )# | 6/12/2024 | $ | 37,811 | $ | 38,011,991 | |||||
British Telecommunications plc (United Kingdom)(d) | 4.50% | 12/4/2023 | 31,650 | 33,554,638 | ||||||||
CommScope, Inc.† | 5.50% | 3/1/2024 | 19,456 | 19,747,256 | ||||||||
GTH Finance BV (Netherlands)†(d) | 6.25% | 4/26/2020 | 9,400 | 9,542,034 | ||||||||
Level 3 Financing, Inc. | 6.125% | 1/15/2021 | 2,400 | 2,418,000 | ||||||||
Level 3 Parent LLC | 5.75% | 12/1/2022 | 5,042 | 5,067,210 | ||||||||
T-Mobile USA, Inc. | 6.00% | 4/15/2024 | 42,682 | 44,389,280 | ||||||||
Vodafone Group plc (United Kingdom)(d) | 3.75% | 1/16/2024 | 112,817 | 115,795,756 | ||||||||
Total | 268,526,165 | |||||||||||
Toys 0.01% | ||||||||||||
Mattel, Inc. | 2.35% | 8/15/2021 | 6,114 | 5,777,730 | ||||||||
Transportation: Miscellaneous 0.09% | ||||||||||||
Pelabuhan Indonesia III Persero PT (Indonesia)†(d) | 4.50% | 5/2/2023 | 20,485 | 21,095,054 | ||||||||
Watco Cos. LLC/Watco Finance Corp.† | 6.375% | 4/1/2023 | 13,534 | 13,737,010 | ||||||||
XPO Logistics, Inc.† | 6.50% | 6/15/2022 | 9,645 | 9,818,610 | ||||||||
Total | 44,650,674 | |||||||||||
Total Corporate Bonds(cost $15,699,583,395) | 15,753,570,106 | |||||||||||
FLOATING RATE LOANS(h)3.48% | ||||||||||||
Aerospace/Defense 0.13% | ||||||||||||
Gol Luxco SA Term Loan (Luxembourg)(d) | 6.50% | 8/31/2020 | 4,615 | 4,695,763 | (i) | |||||||
TransDigm, Inc. 2018 New Tranche F Term Loan | 4.939% (1 Mo. LIBOR + 2.50% | ) | 6/9/2023 | 57,926 | 57,015,584 | |||||||
Total | 61,711,347 | |||||||||||
Air Transportation 0.33% | ||||||||||||
Air Canada 2018 Term Loan B (Canada)(d) | – | (j) | 10/6/2023 | 4,000 | 4,005,620 | |||||||
American Airlines Replacement Term Loan B | 4.428% (1 Mo. LIBOR + 2.00% | ) | 4/28/2023 | 43,176 | 42,591,333 | |||||||
American Airlines, Inc. 2017 Incremental Term Loan B | 4.44% (1 Mo. LIBOR + 2.00% | ) | 12/14/2023 | 10,857 | 10,718,200 | |||||||
American Airlines, Inc. 2017 Replacement Term Loan | 4.451% (1 Mo. LIBOR + 2.00% | ) | 10/12/2021 | 104,802 | 104,605,070 | |||||||
Total | 161,920,223 | |||||||||||
Business Services 0.12% | ||||||||||||
Worldpay, LLC 2018 1st Lien Term Loan B4 | 4.146% (1 Wk. LIBOR + 1.75%) - 4.190% | 8/9/2024 | 39,452 | 39,484,775 |
See Notes to Financial Statements. | 291 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Business Services (continued) | ||||||||||||
Worldpay, LLC 2018 New Term Loan A5 | 3.896% (1 Wk. LIBOR + 1.50%) - 3.940% | 1/16/2023 | $ | 18,773 | $ | 18,780,929 | ||||||
Total | 58,265,704 | |||||||||||
Computer Hardware 0.36% | ||||||||||||
CDW LLC Term Loan | 4.19% (1 Mo. LIBOR + 1.75% | ) | 8/17/2023 | 26,106 | 26,114,960 | |||||||
Dell International LLC 2017 Refinancing Term Loan B | 4.44% (1 Mo. LIBOR + 2.00% | ) | 9/7/2023 | 18,497 | 18,433,516 | |||||||
Dell International LLC Replacement Term Loan A2 | 4.19% (1 Mo. LIBOR + 1.75% | ) | 9/7/2021 | 127,694 | 127,705,001 | |||||||
Total | 172,253,477 | |||||||||||
Computer Software 0.41% | ||||||||||||
First Data Corp. 2022D New Dollar Term Loan | 4.437% (1 Mo. LIBOR + 2.00% | ) | 7/8/2022 | 16,813 | 16,808,544 | |||||||
First Data Corp. 2023 Initial Term Loan A | 3.937% (1 Mo. LIBOR + 1.50% | ) | 10/26/2023 | 122,061 | 121,982,002 | |||||||
First Data Corp. 2024 New Dollar Term Loan A | 4.437% (1 Mo. LIBOR + 2.00% | ) | 4/26/2024 | 43,180 | 43,169,237 | |||||||
Infor (US), Inc. Tranche B6 Term Loan | 5.189% (1 Mo. LIBOR + 2.75% | ) | 2/1/2022 | 15,570 | 15,535,201 | |||||||
Total | 197,494,984 | |||||||||||
Containers 0.02% | ||||||||||||
Berry Global, Inc. Term Loan S | 4.201% (1 Mo. LIBOR + 1.75% | ) | 2/8/2020 | 4,512 | 4,507,840 | |||||||
Berry Global, Inc. Term Loan T | 4.201% (1 Mo. LIBOR + 1.75% | ) | 1/6/2021 | 5,624 | 5,611,653 | |||||||
Total | 10,119,493 | |||||||||||
Electric: Power 0.21% | ||||||||||||
AES Corp. (The) 2018 Other Term Loan | 4.272% (3 Mo. LIBOR + 1.75% | ) | 5/31/2022 | 27,041 | 27,029,332 | |||||||
Pacific Gas & Electric Company Revolving Credit | 4.74% (1 Mo. LIBOR + 2.25% | ) | 12/31/2020 | 18,512 | 17,270,122 | |||||||
PG&E Corp. DIP Delayed Draw Term Loan | 1.125% | 12/31/2020 | 7,347 | 7,383,735 | ||||||||
PG&E Corp. DIP Initial Term Loan | 2.25% | 12/31/2020 | 22,042 | 22,152,210 | ||||||||
TEX Operations Co. LLC Exit Term Loan B | – | (j) | 8/4/2023 | 27,816 | 27,775,466 | |||||||
Total | 101,610,865 |
292 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electrical Equipment 0.12% | ||||||||||||
Analog Devices, Inc. Three Year Term Loan | 3.555% (1 Mo. LIBOR + 1.25% | ) | 9/23/2019 | $ | 2,804 | $ | 2,800,729 | (i) | ||||
Marvell Technology Group Ltd Term Loan A | 3.845% (1 Mo. LIBOR + 1.75% | ) | 6/4/2021 | 53,248 | 53,148,382 | (i) | ||||||
Total | 55,949,111 | |||||||||||
Entertainment 0.02% | ||||||||||||
GLP Capital, L.P. Incremental Tranche A1 Term Loan | 3.93% (1 Mo. LIBOR + 1.50% | ) | 4/28/2021 | 9,462 | 9,414,828 | (i) | ||||||
Financial Services 0.16% | ||||||||||||
Delos Finance 2018 S.a.r.l. New Term Loan (Luxembourg)(d) | 4.351% (3 Mo. LIBOR + 1.75% | ) | 10/6/2023 | 38,759 | 38,723,042 | |||||||
Flying Fortress Holdings, LLC 2018 New Term Loan | 4.351% (3 Mo. LIBOR + 1.75% | ) | 10/30/2022 | 40,379 | 40,372,056 | |||||||
Total | 79,095,098 | |||||||||||
Food/Tobacco 0.05% | ||||||||||||
CEC Entertainment, Inc. Term Loan B | 5.689% (1 Mo. LIBOR + 3.25% | ) | 2/14/2021 | 23,928 | 23,822,091 | |||||||
Health Care Services 0.08% | ||||||||||||
DaVita, Inc. Tranche B Term Loan | 5.189% (1 Mo. LIBOR + 2.75% | ) | 6/24/2021 | 20,218 | 20,252,063 | |||||||
Jaguar Holding Co.II, LLC 2018 Term Loan | – | (j) | 8/18/2022 | 19,416 | 19,232,426 | |||||||
Total | 39,484,489 | |||||||||||
Investment Management Companies 0.13% | ||||||||||||
RPI Finance Trust Initial Term Loan B6 | 4.439% (1 Mo. LIBOR + 2.00% | ) | 3/27/2023 | 37,169 | 37,194,878 | |||||||
RPI Finance Trust Term Loan A4 | 3.939% (1 Mo. LIBOR + 1.50% | ) | 5/4/2022 | 27,805 | 27,839,698 | (i) | ||||||
Total | 65,034,576 | |||||||||||
Leisure 0.03% | ||||||||||||
Life Time Fitness, Inc. 2017 Refinancing Term Loan | – | (j) | 6/15/2022 | 13,560 | 13,524,353 | |||||||
Lodging 0.10% | ||||||||||||
Hilton Worldwide Finance, LLC Term Loan B2 | 4.18% (1 Mo. LIBOR + 1.75% | ) | 10/25/2023 | 48,440 | 48,379,614 | |||||||
Machinery: Industrial/Specialty 0.18% | ||||||||||||
Colfax Corporation Term Loan A2 | 4.189% (1 Mo. LIBOR + 1.75% | ) | 12/17/2020 | 79,803 | 79,802,503 | (i) |
See Notes to Financial Statements. | 293 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Machinery: Industrial/Specialty (continued) | ||||||||||||
Flowserve Corp. 2012 Term Loan | 4.101% (3 Mo. LIBOR + 1.50% | ) | 10/14/2020 | $ | 5,591 | $ | 5,612,217 | (i) | ||||
Total | 85,414,720 | |||||||||||
Manufacturing 0.01% | ||||||||||||
Tyco International Holding S.a.r.l. Term Loan (Luxembourg)(d) | 4.158% (6 Mo. LIBOR + 1.25% | ) | 3/2/2020 | 6,344 | 6,331,848 | |||||||
Media 0.21% | ||||||||||||
Charter Communications Operating, LLC Term Loan A2 | 3.94% (1 Mo. LIBOR + 1.50% | ) | 3/31/2023 | 84,985 | 84,645,503 | |||||||
Unitymedia Hessen GmbH & Co. KG Facility Term Loan B | 4.69% (1 Mo. LIBOR + 2.25% | ) | 9/30/2025 | 18,211 | 18,147,717 | |||||||
Total | 102,793,220 | |||||||||||
Metal Fabricating 0.00% | ||||||||||||
Doncasters US Finance LLC 2nd Lien Term Loan | 10.851% (3 Mo. LIBOR + 8.25% | ) | 10/9/2020 | 4,552 | 1,308,600 | |||||||
Miscellaneous 0.13% | ||||||||||||
HCA, Inc. Term Loan B11 | 4.189% (1 Mo. LIBOR + 1.75% | ) | 3/17/2023 | 51,283 | 51,336,385 | |||||||
Utex Industries, Inc. 1st Lien Initial Term Loan | 6.439% (1 Mo. LIBOR + 4.00% | ) | 5/22/2021 | 9,504 | 9,171,630 | (i) | ||||||
Utex Industries, Inc. 2nd Lien Initial Term Loan | 9.689% (1 Mo. LIBOR + 7.25% | ) | 5/22/2022 | 3,938 | 3,694,356 | (i) | ||||||
Total | 64,202,371 | |||||||||||
Oil 0.03% | ||||||||||||
Petroleos Mexicanos Term Loan (Mexico)(d) | 3.29% (1 Mo. LIBOR + .85% | ) | 2/14/2020 | 12,268 | 12,206,660 | (i) | ||||||
Real Estate Investment Trusts 0.24% | ||||||||||||
Hudson Pacific Properties, L.P. 7-Year Term Loan | 3.686% (1 Mo. LIBOR + 1.20% | ) | 4/1/2022 | 22,396 | 22,284,475 | (i) | ||||||
Invitation Homes Operating Partnership LP Initial Term Loan | 4.137% (1 Mo. LIBOR + 1.70% | ) | 2/6/2022 | 71,209 | 69,784,820 | (i) | ||||||
MGM Growth Prop. Operating Partnership LP 2016 Term Loan A | – | (j) | 6/14/2023 | 15,179 | 15,112,761 | (i) | ||||||
MGM Growth Properties Operating Partnership LP Delayed Draw Term Loan | – | (j) | 6/14/2023 | 11,244 | 11,194,638 | (i) | ||||||
Total | 118,376,694 |
294 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Retail 0.21% | ||||||||||||
Comfort Holding LLC 1st Lien Initial Term Loan | 7.189% (1 Mo. LIBOR + 4.75% | ) | 2/5/2024 | $ | 12,669 | $ | 12,650,367 | |||||
Comfort Holding LLC 2nd Lien Initial Term Loan | 12.439% (1 Mo. LIBOR + 10.00% | ) | 2/3/2025 | 1,000 | 993,750 | (i) | ||||||
Panera Bread Co. Term Loan | 4.25% (1 Mo. LIBOR + 1.75% | ) | 7/18/2022 | 64,827 | 63,550,596 | |||||||
Smart & Final Stores 1st Lien Term Loan | – | (j) | 11/15/2022 | 22,480 | 22,469,434 | |||||||
Total | 99,664,147 | |||||||||||
Technology 0.08% | ||||||||||||
Symantec Corporation Term Loan A5 | 4.18% (1 Mo. LIBOR + 1.75% | ) | 8/1/2021 | 17,241 | 17,209,094 | (i) | ||||||
Uber Technologies 2018 Incremental Term Loan B1 | 5.93% (1 Mo. LIBOR + 3.50% | ) | 7/13/2023 | 20,818 | 20,789,777 | |||||||
Total | 37,998,871 | |||||||||||
Telecommunications 0.10% | ||||||||||||
CenturyLink, Inc. Initial Term Loan A | 5.189% (1 Mo. LIBOR + 2.75% | ) | 11/1/2022 | 46,211 | 46,171,945 | |||||||
Wholesale 0.02% | ||||||||||||
Core & Main LP 2017 Term Loan B | – | (j) | 8/1/2024 | 11,677 | 11,672,096 | |||||||
Total Floating Rate Loans (cost $1,687,890,717) | 1,684,221,425 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS 0.79% | ||||||||||||
Argentina 0.20% | ||||||||||||
Republic of Argentina(c) | 3.375% | 1/15/2023 | EUR | 23,684 | 19,159,927 | |||||||
Republic of Argentina(d) | 4.625% | 1/11/2023 | $ | 89,361 | 66,128,034 | |||||||
Republic of Argentina(d) | 6.875% | 4/22/2021 | 15,843 | 13,157,611 | ||||||||
Total | 98,445,572 | |||||||||||
Bahamas 0.01% | ||||||||||||
Commonwealth of Bahamas†(d) | 5.75% | 1/16/2024 | 5,000 | 5,267,500 | ||||||||
Bermuda 0.11% | ||||||||||||
Government of Bermuda† | 4.138% | 1/3/2023 | 18,812 | 19,493,935 | ||||||||
Government of Bermuda† | 4.854% | 2/6/2024 | 30,137 | 32,359,604 | ||||||||
Total | 51,853,539 | |||||||||||
Indonesia 0.24% | ||||||||||||
Indonesia Government International Bond(d) | 4.45% | 2/11/2024 | 25,000 | 26,205,550 | ||||||||
Perusahaan Penerbit SBSN†(d) | 3.40% | 3/29/2022 | 62,502 | 62,811,385 |
See Notes to Financial Statements. | 295 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Indonesia (continued) | ||||||||||||
Perusahaan Penerbit SBSN†(d) | 3.75% | 3/1/2023 | $ | 13,995 | $ | 14,176,935 | ||||||
Republic of Indonesia†(d) | 3.70% | 1/8/2022 | 10,939 | 11,111,934 | ||||||||
Total | 114,305,804 | |||||||||||
Netherlands 0.00% | ||||||||||||
Republic of Angola Via Northern Lights III BV (Netherlands)(d) | 7.00% | 8/17/2019 | 1,633 | 1,639,635 | ||||||||
Romania 0.12% | ||||||||||||
Republic of Romania†(d) | 6.75% | 2/7/2022 | 53,948 | 58,944,124 | ||||||||
South Korea 0.01% | ||||||||||||
Korea Expressway Corp. (South Korea)†(d) | 3.625% | 10/22/2021 | 6,441 | 6,608,076 | ||||||||
Sri Lanka 0.05% | ||||||||||||
Republic of Sri Lanka†(d) | 5.75% | 4/18/2023 | 21,860 | 21,333,677 | ||||||||
Turkey 0.05% | ||||||||||||
Republic of Turkey(d) | 7.50% | 11/7/2019 | 22,125 | 22,356,804 | ||||||||
Total Foreign Government Obligations(cost $402,582,687) | 380,754,731 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 2.63% | ||||||||||||
Federal Home Loan Mortgage Corp. K722 X1 IO | 1.307% | #(k) | 3/25/2023 | 194,095 | 7,726,253 | |||||||
Federal Home Loan Mortgage Corp. K061 X1 IO | 0.178% | #(k) | 11/25/2026 | 570,905 | 7,503,975 | |||||||
Government National Mortgage Assoc. 2017 23 AB | 2.60% | 12/16/2057 | 32,869 | 32,441,579 | ||||||||
Government National Mortgage Assoc. 2017-22 GA | 2.60% | #(k) | 8/16/2051 | 22,783 | 22,498,091 | |||||||
Government National Mortgage Assoc. 2017 20 AS | 2.50% | 2/16/2057 | 46,785 | 45,825,322 | ||||||||
Government National Mortgage Assoc. 2017-28 AB | 2.50% | 10/16/2051 | 55,047 | 53,796,205 | ||||||||
Federal Home Loan Mortgage Corp. 2012-K711 B† | 3.51% | #(k) | 8/25/2045 | 13,308 | 13,285,954 | |||||||
Federal Home Loan Mortgage Corp. 2013-K713 B† | 3.155% | #(k) | 4/25/2046 | 30,870 | 30,931,539 | |||||||
Government National Mortgage Assoc. 2017-41 AS | 2.60% | 6/16/2057 | 58,058 | 57,022,039 | ||||||||
Government National Mortgage Assoc. 2017-44 AD | 2.65% | 11/17/2048 | 45,181 | 44,696,111 | ||||||||
Government National Mortgage Assoc. 2017-53 B | 2.75% | 3/16/2050 | 67,533 | 67,390,622 | ||||||||
Government National Mortgage Assoc. 2017-54 AD | 2.75% | 1/16/2057 | 64,271 | 64,243,346 | ||||||||
Government National Mortgage Assoc. 2017-61 A | 2.60% | 8/16/2058 | 45,628 | 45,142,122 | ||||||||
Government National Mortgage Assoc. 2017-51 AS | 2.75% | 4/16/2058 | 68,605 | 68,574,948 | ||||||||
Government National Mortgage Assoc. 2017-71 AS | 2.70% | 4/16/2057 | 45,879 | 45,568,924 | ||||||||
Government National Mortgage Assoc. 2017-76 AS | 2.65% | 11/16/2050 | 45,152 | 44,669,822 | ||||||||
Government National Mortgage Assoc. 2017-72 AM | 2.60% | 9/16/2051 | 22,576 | 22,232,863 | ||||||||
Government National Mortgage Assoc. 2017-69 AS | 2.75% | 2/16/2058 | 55,152 | 54,659,361 |
296 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | ||||||||||||
Government National Mortgage Assoc. 2017-74 AS | 2.60% | 10/16/2057 | $ | 22,655 | $ | 22,407,251 | ||||||
Government National Mortgage Assoc. 2017-86 AS | 2.75% | 2/16/2058 | 42,789 | 42,673,174 | ||||||||
Government National Mortgage Assoc. 2017-92 AS | 2.75% | 6/16/2058 | 44,220 | 44,185,032 | ||||||||
Government National Mortgage Assoc. 2017-100 AS | 2.75% | 2/16/2058 | 36,312 | 36,239,906 | ||||||||
Government National Mortgage Assoc. 2017-89 AB | 2.60% | 7/16/2058 | 35,837 | 35,517,955 | ||||||||
Government National Mortgage Assoc. 2017-90 AS | 2.70% | 7/16/2057 | 49,199 | 48,935,497 | ||||||||
Government National Mortgage Assoc. 2014-172 A | 3.05% | #(k) | 1/16/2049 | 7,432 | 7,435,697 | |||||||
Government National Mortgage Assoc. 2014-164 AK | 2.90% | #(k) | 3/16/2055 | 13,302 | 13,150,985 | |||||||
Federal Home Loan Mortgage Corp. 2013-K712 B† | 3.35% | #(k) | 5/25/2045 | 11,200 | 11,198,309 | |||||||
Government National Mortgage Assoc. 2014-70 A | 2.50% | 3/16/2049 | 4,244 | 4,105,066 | ||||||||
Government National Mortgage Assoc. 2013-162 A | 2.75% | #(k) | 9/16/2046 | 8,424 | 8,286,193 | |||||||
Government National Mortgage Assoc. 2013-171 IO | 0.889% | #(k) | 6/16/2054 | 33,555 | 1,391,864 | |||||||
Government National Mortgage Assoc. 2013-193 IO | 0.905% | #(k) | 1/16/2055 | 83,718 | 3,469,551 | |||||||
Government National Mortgage Assoc. 2014-15 IO | 0.777% | #(k) | 8/16/2054 | 38,717 | 1,519,450 | |||||||
Government National Mortgage Assoc. 2014-112 A | 3.00% | #(k) | 1/16/2048 | 15,388 | 15,342,381 | |||||||
Federal Home Loan Mortgage Corp. 2012-K711 C† | 3.51% | #(k) | 8/25/2045 | 15,500 | 15,468,961 | |||||||
Federal Home Loan Mortgage Corp. 2014-K503 B† | 2.983% | #(k) | 10/25/2047 | 34,442 | 34,368,384 | |||||||
Federal Home Loan Mortgage Corp. K503 X1 IO | 0.358% | #(k) | 8/25/2019 | 12,378 | 124 | |||||||
Government National Mortgage Assoc. 2014-135 AS | 2.30% | 2/16/2047 | 13,388 | 13,340,438 | ||||||||
Government National Mortgage Assoc. 2015-41 AD | 2.90% | #(k) | 8/16/2055 | 12,076 | 12,198,663 | |||||||
Government National Mortgage Assoc. 2015-33 AS | 2.90% | #(k) | 5/16/2054 | 24,609 | 24,555,064 | |||||||
Government National Mortgage Assoc. 2015-48 AS | 2.90% | #(k) | 2/16/2049 | 13,887 | 13,962,085 | |||||||
Government National Mortgage Assoc. 2014-78 A | 2.20% | 4/16/2047 | 4,604 | 4,570,371 | ||||||||
Government National Mortgage Assoc. 2014-78 IO | 0.566% | #(k) | 3/16/2056 | 43,660 | 1,382,016 | |||||||
Government National Mortgage Assoc. 2014-64 A | 2.20% | 2/16/2045 | 6,112 | 6,071,712 | ||||||||
Government National Mortgage Assoc. 2014-64 IO | 1.084% | #(k) | 12/16/2054 | 34,218 | 1,722,535 | |||||||
Government National Mortgage Assoc. 2014-109 A | 2.325% | 1/16/2046 | 30,205 | 30,086,695 | ||||||||
Government National Mortgage Assoc. 2014-186 AP | 2.80% | 4/16/2050 | 36,597 | 36,119,849 | ||||||||
Government National Mortgage Assoc. 2015-19 AD | 2.90% | 10/16/2055 | 20,628 | 20,855,746 | ||||||||
Government National Mortgage Assoc. 2015-22 AS | 2.90% | 1/16/2049 | 32,632 | 32,807,033 | ||||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations(cost $1,283,400,217) | 1,271,577,063 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 0.76% | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.615% (12 Mo. LIBOR + 1.84% | )# | 6/1/2042 | 11,401 | 11,916,056 |
See Notes to Financial Statements. | 297 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued) | ||||||||||||
Federal National Mortgage Assoc. | 4.685% (12 Mo. LIBOR + 1.81% | )# | 8/1/2041 | $ | 4,961 | $ | 5,185,697 | |||||
Federal National Mortgage Assoc. | 2.825% (12 Mo. LIBOR + 1.60% | )# | 10/1/2045 | 16,511 | 16,774,300 | |||||||
Federal National Mortgage Assoc. | 4.497% (12 Mo. LIBOR + 1.66% | )# | 9/1/2036 | 4,395 | 4,594,562 | |||||||
Federal National Mortgage Assoc. | 4.609% (12 Mo. LIBOR + 1.73% | )# | 10/1/2036 | 6,501 | 6,833,193 | |||||||
Federal National Mortgage Assoc. | 2.673% (12 Mo. LIBOR + 1.60% | )# | 12/1/2045 | 13,380 | 13,551,345 | |||||||
Federal National Mortgage Assoc. | 2.725% (12 Mo. LIBOR + 1.60% | )# | 12/1/2045 | 10,988 | 11,136,105 | |||||||
Federal National Mortgage Assoc. | 3.669% (12 Mo. LIBOR + 1.82% | )# | 1/1/2042 | 11,521 | 11,864,514 | |||||||
Federal National Mortgage Assoc. | 2.925% (12 Mo. LIBOR + 1.72% | )# | 6/1/2042 | 10,679 | 10,851,765 | |||||||
Federal National Mortgage Assoc. | 4.756% (12 Mo. LIBOR + 1.78% | )# | 10/1/2036 | 4,758 | 5,008,415 | |||||||
Federal National Mortgage Assoc. | 4.64% (12 Mo. LIBOR + 1.78% | )# | 3/1/2042 | 9,580 | 10,016,964 | |||||||
Federal National Mortgage Assoc. | 5.50% | 1/1/2035 | 881 | 967,275 | ||||||||
Federal Home Loan Mortgage Corp. | 4.825% (12 Mo. LIBOR + 1.97% | )# | 2/1/2037 | 5,837 | 6,175,769 | |||||||
Federal Home Loan Mortgage Corp. | 4.612% (12 Mo. LIBOR + 1.78% | )# | 5/1/2037 | 3,328 | 3,503,066 | |||||||
Federal Home Loan Mortgage Corp. | 4.704% (12 Mo. LIBOR + 1.78% | )# | 5/1/2036 | 4,571 | 4,799,948 | |||||||
Federal National Mortgage Assoc. | 4.684% (12 Mo. LIBOR + 1.75% | )# | 11/1/2038 | 8,034 | 8,450,644 | |||||||
Federal National Mortgage Assoc. | 4.393% (12 Mo. LIBOR + 1.59% | )# | 8/1/2034 | 9,995 | 10,422,620 | |||||||
Federal National Mortgage Assoc. | 4.634% (12 Mo. LIBOR + 1.66% | )# | 12/1/2036 | 4,586 | 4,803,286 | |||||||
Federal National Mortgage Assoc. | 4.223% (12 Mo. LIBOR + 1.84% | )# | 7/1/2040 | 3,083 | 3,237,945 | |||||||
Federal National Mortgage Assoc. | 4.577% (12 Mo. LIBOR + 1.80% | )# | 10/1/2040 | 2,115 | 2,215,294 | |||||||
Federal National Mortgage Assoc. | 4.662% (12 Mo. LIBOR + 1.81% | )# | 12/1/2040 | 3,806 | 3,986,189 | |||||||
Federal National Mortgage Assoc. | 4.692% (12 Mo. LIBOR + 1.82% | )# | 12/1/2040 | 7,979 | 8,363,083 |
298 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued) | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.923% (1 Yr Treasury Constant Maturity Rate + 2.51% | )# | 12/1/2035 | $ | 5,280 | $ | 5,601,333 | |||||
Federal National Mortgage Assoc. | 4.71% (1 Yr Treasury Constant Maturity Rate + 2.19% | )# | 1/1/2038 | 3,409 | 3,591,009 | |||||||
Federal National Mortgage Assoc. | 4.52% | # | 1/1/2038 - 9/1/2038 | 8,282 | 8,673,176 | |||||||
Federal National Mortgage Assoc. | 4.321% (12 Mo. LIBOR + 1.51% | )# | 10/1/2035 | 9,210 | 9,580,538 | |||||||
Federal National Mortgage Assoc. | 4.298% (12 Mo. LIBOR + 1.57% | )# | 11/1/2036 | 2,997 | 3,130,790 | |||||||
Federal Home Loan Mortgage Corp. | 4.635% (12 Mo. LIBOR + 1.79% | )# | 10/1/2038 | 4,792 | 5,038,462 | |||||||
Federal Home Loan Mortgage Corp. | 4.788% (12 Mo. LIBOR + 1.94% | )# | 9/1/2036 | 12,465 | 13,145,655 | |||||||
Federal Home Loan Mortgage Corp. | 4.591% (12 Mo. LIBOR + 1.79% | )# | 12/1/2036 | 12,469 | 13,098,617 | |||||||
Federal Home Loan Mortgage Corp. | 4.604% (12 Mo. LIBOR + 1.72% | )# | 4/1/2037 | 8,452 | 8,870,214 | |||||||
Federal National Mortgage Assoc. | 4.472% (12 Mo. LIBOR + 1.62% | )# | 8/1/2037 | 6,944 | 7,250,168 | |||||||
Federal National Mortgage Assoc. | 4.427% (12 Mo. LIBOR + 1.53% | )# | 3/1/2039 | 4,899 | 5,112,309 | |||||||
Federal National Mortgage Assoc. | 4.395% (12 Mo. LIBOR + 1.53% | )# | 2/1/2036 | 5,287 | 5,508,065 | |||||||
Federal Home Loan Mortgage Corp. | 3.037% (12 Mo. LIBOR + 1.64% | )# | 10/1/2043 | 1,903 | 1,934,052 | |||||||
Federal Home Loan Mortgage Corp. | 3.13% (12 Mo. LIBOR + 1.64% | )# | 11/1/2043 | 2,767 | 2,821,570 | |||||||
Federal National Mortgage Assoc. | 2.945% (12 Mo. LIBOR + 1.74% | )# | 5/1/2042 | 20,559 | 20,921,678 | |||||||
Federal Home Loan Mortgage Corp. | 3.67% (12 Mo. LIBOR + 1.89% | )# | 12/1/2040 | 6,653 | 6,899,917 | |||||||
Federal Home Loan Mortgage Corp. | 4.748% (12 Mo. LIBOR + 1.90% | )# | 12/1/2040 | 1,458 | 1,526,106 | |||||||
Federal National Mortgage Assoc. | 4.824% (12 Mo. LIBOR + 1.82% | )# | 4/1/2040 | 3,111 | 3,273,260 | |||||||
Federal National Mortgage Assoc. | 4.705% (12 Mo. LIBOR + 1.79% | )# | 1/1/2041 | 10,945 | 11,452,590 | |||||||
Federal National Mortgage Assoc. | 4.61% (12 Mo. LIBOR + 1.80% | )# | 11/1/2040 | 11,352 | 11,880,332 |
See Notes to Financial Statements. | 299 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued) | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.63% (12 Mo. LIBOR + 1.81% | )# | 6/1/2041 | $ | 3,109 | $ | 3,274,999 | |||||
Federal National Mortgage Assoc. | 4.544% (12 Mo. LIBOR + 1.69% | )# | 8/1/2038 | 2,586 | 2,700,252 | |||||||
Federal National Mortgage Assoc. | 4.647% (1 Yr Treasury Constant Maturity Rate + 2.23% | )# | 3/1/2038 | 2,777 | 2,917,268 | |||||||
Federal Home Loan Mortgage Corp. | 4.754% (12 Mo. LIBOR + 1.65% | )# | 2/1/2038 | 3,770 | 3,952,123 | |||||||
Federal Home Loan Mortgage Corp. | 4.708% (12 Mo. LIBOR + 1.88% | )# | 9/1/2035 | 3,464 | 3,643,119 | |||||||
Federal National Mortgage Assoc. | 4.881% (12 Mo. LIBOR + 1.90% | )# | 12/1/2038 | 3,534 | 3,744,450 | |||||||
Federal National Mortgage Assoc. | 4.138% (12 Mo. LIBOR + 1.26% | )# | 6/1/2038 | 2,344 | 2,418,476 | |||||||
Federal National Mortgage Assoc. | 4.464% (12 Mo. LIBOR + 1.61% | )# | 4/1/2038 | 8,169 | 8,546,733 | |||||||
Federal National Mortgage Assoc. | 4.32% (12 Mo. LIBOR + 1.47% | )# | 12/1/2035 | 12,197 | 12,690,550 | |||||||
Federal National Mortgage Assoc. | 3.645% (12 Mo. LIBOR + 1.79% | )# | 1/1/2041 | 5,584 | 5,775,985 | |||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $372,709,613) | 370,650,287 | |||||||||||
MUNICIPAL BONDS 0.10% | ||||||||||||
Miscellaneous | ||||||||||||
IL State GO | 6.20% | 7/1/2021 | 174 | 179,558 | ||||||||
Illinois | 4.95% | 6/1/2023 | 30,556 | 31,612,932 | ||||||||
New Jersey Econ Dev Auth (AGM) | Zero Coupon | 2/15/2020 | 8,075 | 7,931,749 | ||||||||
New Jersey Transp Tr Fnd Auth | 5.00% | 6/15/2019 | 1,000 | 1,001,040 | ||||||||
New Jersey Transp Tr Fnd Auth | 5.00% | 12/15/2019 | 6,900 | 7,021,923 | ||||||||
Total Municipal Bonds (cost $47,428,512) | 47,747,202 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 25.59% | ||||||||||||
Sequoia Mortgage Trust 2012-4 A2 | 3.00% | #(k) | 9/25/2042 | 2,394 | 2,362,710 | |||||||
1211 Avenue of the Americas Trust 2015-1211 XA IO† | 0.242% | #(k) | 8/10/2035 | 214,200 | 3,445,129 | |||||||
A10 Bridge Asset Financing LLC 2015-AA A1† | 3.30% | 5/15/2036 | 55,263 | 54,886,982 | ||||||||
A10 Term Asset Financing LLC 2017-1A A1FX† | 2.34% | 3/15/2036 | 3,039 | 3,037,083 | ||||||||
AD Mortgage Trust 2017-330M A† | 3.188% | #(k) | 8/15/2034 | 3,560 | 3,647,313 | |||||||
Americold LLC 2010-ARTA A1† | 3.847% | 1/14/2029 | 14,470 | 14,616,190 |
300 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
AOA Mortgage Trust 2015-1177 A† | 2.957% | 12/13/2029 | $ | 24,596 | $ | 24,861,770 | ||||||
AREIT Trust 2018-CRE2 A† | 3.418% (1 Mo. LIBOR + .98% | )# | 11/14/2035 | 69,774 | 69,838,976 | |||||||
Atrium Hotel Portfolio Trust 2017-ATRM A† | 3.37% (1 Mo. LIBOR + .93% | )# | 12/15/2036 | 19,170 | 19,118,843 | |||||||
Atrium Hotel Portfolio Trust 2017-ATRM B† | 3.94% (1 Mo. LIBOR + 1.50% | )# | 12/15/2036 | 31,196 | 31,173,788 | |||||||
Atrium Hotel Portfolio Trust 2018-ATRM A† | 3.39% (1 Mo. LIBOR + .95% | )# | 6/15/2035 | 51,559 | 51,363,277 | |||||||
Atrium Hotel Portfolio Trust 2018-ATRM B† | 3.87% (1 Mo. LIBOR + 1.43% | )# | 6/15/2035 | 28,355 | 28,381,730 | |||||||
Atrium Hotel Portfolio Trust 2018-ATRM C† | 4.09% (1 Mo. LIBOR + 1.65% | )# | 6/15/2035 | 9,012 | 9,017,979 | |||||||
Aventura Mall Trust 2013-AVM A† | 3.743% | #(k) | 12/5/2032 | 43,213 | 43,854,610 | |||||||
Aventura Mall Trust 2013-AVM D† | 3.743% | #(k) | 12/5/2032 | 11,000 | 11,160,003 | |||||||
BAMLL Commercial Mortgage Securities Trust 2019-AHT B† | 4.04% (1 Mo. LIBOR + 1.60% | )# | 3/15/2034 | 10,221 | 10,221,997 | |||||||
BAMLL Commercial Mortgage Securities Trust 2019-RLJ A† | 3.55% (1 Mo. LIBOR + 1.05% | )# | 4/15/2036 | 9,729 | 9,741,160 | |||||||
BAMLL Trust 2011-FSHN A† | 4.42% | 7/11/2033 | 34,912 | 36,022,980 | ||||||||
Banc of America Commercial Mortgage Trust 2016-UB10 XA IO | 1.973% | #(k) | 7/15/2049 | 86,860 | 7,561,529 | |||||||
Bancorp Commercial Mortgage Trust (The) 2018-CR3 A† | 3.29% (1 Mo. LIBOR + .85% | )# | 1/15/2033 | 28,890 | 28,750,467 | |||||||
Bancorp Commercial Mortgage Trust 2017-CRE2 A† | 3.29% (1 Mo. LIBOR + .85% | )# | 8/15/2032 | 6,472 | 6,460,594 | |||||||
Bancorp Commercial Mortgage Trust 2019-CRE5 A† | 3.44% (1 Mo. LIBOR + 1.00% | )# | 3/15/2036 | 54,400 | 54,444,000 | |||||||
BB-UBS Trust 2012-SHOW A† | 3.43% | 11/5/2036 | 29,264 | 30,315,063 | ||||||||
BB-UBS Trust 2012-TFT A† | 2.892% | 6/5/2030 | 71,213 | 71,029,990 | ||||||||
BB-UBS Trust 2012-TFT B† | 3.468% | #(k) | 6/5/2030 | 7,850 | 7,746,245 | |||||||
BB-UBS Trust 2012-TFT C† | 3.468% | #(k) | 6/5/2030 | 14,354 | 14,124,283 | |||||||
BBCMS Mortgage Trust 2017-DELC A† | 3.29% (1 Mo. LIBOR + .85% | )# | 8/15/2036 | 43,785 | 43,733,088 | |||||||
BBCMS Mortgage Trust 2018-TALL A† | 3.162% (1 Mo. LIBOR + .72% | )# | 3/15/2037 | 41,484 | 41,297,492 | |||||||
BBCMS Mortgage Trust 2018-TALL E† | 4.877% (1 Mo. LIBOR + 2.44% | )# | 3/15/2037 | 49,994 | 50,019,937 | |||||||
BBCMS Trust 2013-TYSN C† | 3.821% | 9/5/2032 | 5,475 | 5,514,153 | ||||||||
BBCMS Trust 2015-MSQ A† | 3.593% | 9/15/2032 | 19,174 | 19,793,842 | ||||||||
BBCMS Trust 2015-STP A† | 3.323% | 9/10/2028 | 7,560 | 7,616,739 | ||||||||
BBCMS Trust 2015-STP B† | 3.927% | 9/10/2028 | 11,400 | 11,519,089 |
See Notes to Financial Statements. | 301 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
BBCMS Trust 2015-STP C† | 4.284% | #(k) | 9/10/2028 | $ | 23,900 | $ | 24,145,233 | |||||
BBCMS Trust 2015-STP XA IO† | 0.962% | #(k) | 9/10/2028 | 216,786 | 2,219,892 | |||||||
BBCMS Trust 2015-VFM A1† | 2.466% | 3/10/2036 | 28,265 | 28,199,616 | ||||||||
BBCMS Trust 2018-BXH A† | 3.44% (1 Mo. LIBOR + 1.00% | )# | 10/15/2037 | 15,000 | 14,953,805 | |||||||
BDS 2018-FL1 A† | 3.282% (1 Mo. LIBOR + .85% | )# | 1/15/2035 | 48,201 | 48,232,529 | |||||||
Bear Stearns Deutsche Bank Trust 2005-AFR1 A2† | 5.008% | 9/15/2027 | 4,140 | 4,160,762 | ||||||||
BWAY Mortgage Trust 2013-1515 XB IO† | 0.403% | #(k) | 3/10/2033 | 103,040 | 2,284,036 | |||||||
BWAY Mortgage Trust 2015-1740 A† | 2.917% | 1/10/2035 | 9,488 | 9,639,537 | ||||||||
BX Commercial Mortgage Trust 2018-BIOA A† | 3.111% (1 Mo. LIBOR + .67% | )# | 3/15/2037 | 118,269 | 117,961,394 | |||||||
BX Trust 2017-APPL A† | 3.32% (1 Mo. LIBOR + .88% | )# | 7/15/2034 | 32,570 | 32,530,893 | |||||||
BX Trust 2017-APPL D† | 4.49% (1 Mo. LIBOR + 2.05% | )# | 7/15/2034 | 21,454 | 21,488,984 | |||||||
BX Trust 2017-APPL E† | 5.59% (1 Mo. LIBOR + 3.15% | )# | 7/15/2034 | 32,923 | 33,109,737 | |||||||
BX Trust 2017-SLCT A† | 3.36% (1 Mo. LIBOR + .92% | )# | 7/15/2034 | 13,154 | 13,158,207 | |||||||
BX Trust 2017-SLCT B† | 3.64% (1 Mo. LIBOR + 1.20% | )# | 7/15/2034 | 30,795 | 30,808,871 | |||||||
BX Trust 2017-SLCT C† | 3.84% (1 Mo. LIBOR + 1.40% | )# | 7/15/2034 | 18,765 | 18,776,148 | |||||||
BX Trust 2017-SLCT D† | 4.49% (1 Mo. LIBOR + 2.05% | )# | 7/15/2034 | 74,720 | 74,813,059 | |||||||
BX Trust 2017-SLCT E† | 5.59% (1 Mo. LIBOR + 3.15% | )# | 7/15/2034 | 56,002 | 56,387,910 | |||||||
BX Trust 2018-BILT A† | 3.24% (1 Mo. LIBOR + .80% Floor .80% | )# | 5/15/2030 | 41,628 | 41,494,749 | |||||||
BX Trust 2018-BILT D† | 4.21% (1 Mo. LIBOR + 1.77% Floor 1.77% | )# | 5/15/2030 | 11,427 | 11,443,690 | |||||||
BX Trust 2018-GW A† | 3.24% (1 Mo. LIBOR + .80% | )# | 5/15/2035 | 21,579 | 21,489,587 | |||||||
BX Trust 2018-GW D† | 4.21% (1 Mo. LIBOR + 1.77% Floor 1.77% | )# | 5/15/2035 | 15,601 | 15,614,071 | |||||||
BXP Trust 2017-CQHP A† | 3.29% (1 Mo. LIBOR + .85% | )# | 11/15/2034 | 41,359 | 41,287,726 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI A† | 3.531% | 10/15/2034 | 189,618 | 195,684,297 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI B† | 3.835% | 10/15/2034 | 94,705 | 97,974,330 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI C† | 4.138% | 10/15/2034 | 55,141 | 57,343,398 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI D† | 4.354% | #(k) | 10/15/2034 | 28,230 | 29,372,036 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI E† | 4.354% | #(k) | 10/15/2034 | 95,392 | 98,033,672 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI XA IO† | 0.823% | #(k) | 10/15/2034 | 495,108 | 12,816,861 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI XB IO† | 0.393% | #(k) | 10/15/2034 | 314,538 | 4,157,815 | |||||||
Cantor Commercial Real Estate Lending 2019-CF1 65A† | 4.411% | 5/15/2052 | 5,498 | 5,762,339 | ||||||||
CFCRE Commercial Mortgage Trust 2011-C2 AJ† | 5.748% | #(k) | 12/15/2047 | 8,307 | 8,772,521 | |||||||
CFCRE Commercial Mortgage Trust 2016-C4 XA IO | 1.722% | #(k) | 5/10/2058 | 69,492 | 6,377,239 | |||||||
CFCRE Commercial Mortgage Trust 2016-C6 XA IO | 1.177% | #(k) | 11/10/2049 | 157,543 | 10,772,080 | |||||||
CFCRE Commercial Mortgage Trust 2016-C7 XA IO | 0.746% | #(k) | 12/10/2054 | 146,629 | 6,828,586 |
302 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
CFCRE Commercial Mortgage Trust 2018-TAN A† | 4.236% | 2/15/2033 | $ | 40,657 | $ | 42,535,695 | ||||||
CGBAM Commercial Mortgage Trust 2015-SMRT B† | 3.213% | 4/10/2028 | 22,707 | 22,789,236 | ||||||||
CGBAM Commercial Mortgage Trust 2015-SMRT C† | 3.516% | 4/10/2028 | 15,195 | 15,277,643 | ||||||||
CGBAM Commercial Mortgage Trust 2015-SMRT D† | 3.768% | 4/10/2028 | 5,200 | 5,235,984 | ||||||||
Cherrywood SB Commercial Mortgage Loan Trust 2016-1A AFX† | 3.73% | 3/25/2049 | 6,026 | 6,006,496 | ||||||||
CHT Mortgage Trust 2017-CSMO A† | 3.37% (1 Mo. LIBOR + 1.93% | )# | 11/15/2036 | 92,398 | 92,437,768 | |||||||
CHT Mortgage Trust 2017-CSMO B† | 3.84% (1 Mo. LIBOR + 1.40% | )# | 11/15/2036 | 32,200 | 32,216,074 | |||||||
CHT Mortgage Trust 2017-CSMO D† | 4.69% (1 Mo. LIBOR + 2.25% | )# | 11/15/2036 | 28,625 | 28,698,601 | |||||||
Citigroup Commercial Mortgage Trust 2012-GC8 A4 | 3.024% | 9/10/2045 | 33,314 | 33,885,166 | ||||||||
Citigroup Commercial Mortgage Trust 2012-GC8 XB IO† | 0.163% | #(k) | 9/10/2045 | 218,445 | 1,144,518 | |||||||
Citigroup Commercial Mortgage Trust 2013-375P A† | 3.251% | 5/10/2035 | 14,500 | 14,871,928 | ||||||||
Citigroup Commercial Mortgage Trust 2013-375P B† | 3.518% | #(k) | 5/10/2035 | 23,000 | 23,610,107 | |||||||
Citigroup Commercial Mortgage Trust 2013-GC11 XA IO | 1.394% | #(k) | 4/10/2046 | 373,697 | 16,717,267 | |||||||
Citigroup Commercial Mortgage Trust 2013-GC15 A4 | 4.371% | #(k) | 9/10/2046 | 13,315 | 14,280,164 | |||||||
Citigroup Commercial Mortgage Trust 2014-GC19 A3 | 3.753% | 3/10/2047 | 4,716 | 4,953,842 | ||||||||
Citigroup Commercial Mortgage Trust 2014-GC19 A4 | 4.023% | 3/10/2047 | 12,490 | 13,267,480 | ||||||||
Citigroup Commercial Mortgage Trust 2014-GC21 XA IO | 1.191% | #(k) | 5/10/2047 | 190,675 | 9,389,130 | |||||||
Citigroup Commercial Mortgage Trust 2014-GC23 XB IO | 0.221% | #(k) | 7/10/2047 | 120,131 | 1,377,770 | |||||||
Citigroup Commercial Mortgage Trust 2015-GC27 AAB | 2.944% | 2/10/2048 | 9,186 | 9,324,442 | ||||||||
Citigroup Commercial Mortgage Trust 2015-GC27 XA IO | 1.37% | #(k) | 2/10/2048 | 122,645 | 7,278,621 | |||||||
Citigroup Commercial Mortgage Trust 2015-GC31 XA IO | 0.389% | #(k) | 6/10/2048 | 244,489 | 4,889,309 | |||||||
Citigroup Commercial Mortgage Trust 2015-GC35 XA IO | 0.865% | #(k) | 11/10/2048 | 178,563 | 6,794,073 | |||||||
Citigroup Commercial Mortgage Trust 2016-GC36 XA IO | 1.29% | #(k) | 2/10/2049 | 100,233 | 6,694,000 |
See Notes to Financial Statements. | 303 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Citigroup Commercial Mortgage Trust 2016-GC37 XA IO | 1.779% | #(k) | 4/10/2049 | $ | 67,664 | $ | 6,408,151 | |||||
Citigroup Mortgage Loan Trust 2013-2 5A1† | 2.617% | #(k) | 7/25/2036 | 3,373 | 3,338,478 | |||||||
CityLine Commercial Mortgage Trust 2016-CLNE A† | 2.778% | #(k) | 11/10/2031 | 16,235 | 16,480,640 | |||||||
COMM PANW Mortgage Trust 2017 D† | 3.935% | #(k) | 10/10/2029 | 18,022 | 18,568,791 | |||||||
Commercial Mortgage Pass-Through Certificates 2010-C1 C† | 5.992% | #(k) | 7/10/2046 | 17,961 | 18,577,529 | |||||||
Commercial Mortgage Pass-Through Certificates 2010-C1 D† | 6.127% | #(k) | 7/10/2046 | 12,446 | 12,778,141 | |||||||
Commercial Mortgage Pass-Through Certificates 2012-CR3 AM† | 3.416% | 10/15/2045 | 7,449 | 7,590,656 | ||||||||
Commercial Mortgage Pass-Through Certificates 2012-CR4 XA IO | 1.763% | #(k) | 10/15/2045 | 229,114 | 10,146,102 | |||||||
Commercial Mortgage Pass-Through Certificates 2012-CR5 AM† | 3.223% | 12/10/2045 | 22,028 | 22,526,551 | ||||||||
Commercial Mortgage Pass-Through Certificates 2012-LC4 XA IO† | 2.106% | #(k) | 12/10/2044 | 62,230 | 2,863,856 | |||||||
Commercial Mortgage Pass-Through Certificates 2012-LTRT A1† | 2.15% | 10/5/2030 | 17,688 | 17,496,134 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-CR10 A4 | 4.21% | #(k) | 8/10/2046 | 9,960 | 10,632,605 | |||||||
Commercial Mortgage Pass-Through Certificates 2013-CR12 A3 | 3.765% | 10/10/2046 | 17,392 | 18,175,576 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-CR6 A4 | 3.101% | 3/10/2046 | 4,850 | 4,953,786 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-CR7 A4 | 3.213% | 3/10/2046 | 31,637 | 32,380,231 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-CR7 XA IO | 1.23% | #(k) | 3/10/2046 | 192,928 | 6,971,057 | |||||||
Commercial Mortgage Pass-Through Certificates 2013-CR8 A5 | 3.612% | #(k) | 6/10/2046 | 20,290 | 21,141,299 | |||||||
Commercial Mortgage Pass-Through Certificates 2013-CR8 XA IO | 0.446% | #(k) | 6/10/2046 | 448,372 | 6,219,775 | |||||||
Commercial Mortgage Pass-Through Certificates 2013-CR9 A4 | 4.232% | #(k) | 7/10/2045 | 34,885 | 37,231,072 | |||||||
Commercial Mortgage Pass-Through Certificates 2013-GAM A2† | 3.367% | 2/10/2028 | 15,413 | 15,479,903 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-SFS A1† | 1.873% | 4/12/2035 | 17,016 | 16,859,488 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-WWP XB IO† | 0.256% | #(k) | 3/10/2031 | 265,903 | 2,778,580 |
304 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Commercial Mortgage Pass-Through Certificates 2014 CR17 A4 | 3.70% | 5/10/2047 | $ | 60,470 | $ | 63,516,999 | ||||||
Commercial Mortgage Pass-Through Certificates 2014-277P A† | 3.611% | #(k) | 8/10/2049 | 8,060 | 8,502,532 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-CR16 A4 | 4.051% | 4/10/2047 | 22,071 | 23,457,274 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-CR17 A5 | 3.977% | 5/10/2047 | 7,751 | 8,241,199 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-CR18 A5 | 3.828% | 7/15/2047 | 25,645 | 27,104,516 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-CR19 A4 | 3.532% | 8/10/2047 | 18,366 | 19,184,815 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-CR19 A5 | 3.796% | 8/10/2047 | 10,150 | 10,728,089 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-CR19 XA IO | 1.129% | #(k) | 8/10/2047 | 101,542 | 4,053,217 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-CR21 XA IO | 0.921% | #(k) | 12/10/2047 | 113,583 | 4,357,712 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-FL5 B† | 3.859% (1 Mo. LIBOR + 2.15% | )# | 10/15/2031 | 823 | 821,640 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-LC15 A3 | 3.727% | 4/10/2047 | 73,012 | 76,675,675 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-LC15 A4 | 4.006% | 4/10/2047 | 18,061 | 19,197,897 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-LC17 XA IO | 0.885% | #(k) | 10/10/2047 | 146,640 | 3,785,030 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-UBS3 A4 | 3.819% | 6/10/2047 | 13,342 | 14,093,189 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-UBS5 XA IO | 1.007% | #(k) | 9/10/2047 | 250,806 | 7,309,244 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-CR23 CMC† | 3.685% | #(k) | 5/10/2048 | 8,800 | 8,809,154 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 XA IO† | 0.702% | #(k) | 7/10/2050 | 184,434 | 5,217,076 | |||||||
Commercial Mortgage Pass-Through Certificates 2016-COR1 A2 | 2.499% | 10/10/2049 | 7,414 | 7,406,425 | ||||||||
Commercial Mortgage Pass-Through Certificates 2016-DC2 ASB | 3.55% | 2/10/2049 | 5,260 | 5,471,455 | ||||||||
Commercial Mortgage Pass-Through Certificates 2016-GCT D† | 3.461% | #(k) | 8/10/2029 | 7,193 | 7,199,695 | |||||||
Commercial Mortgage Pass-Through Certificates 2016-GCT E† | 3.461% | #(k) | 8/10/2029 | 6,850 | 6,792,739 |
See Notes to Financial Statements. | 305 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Commercial Mortgage Trust 2006-GG7 AM | 5.659% | #(k) | 7/10/2038 | $ | 19,330 | $ | 19,464,345 | |||||
Commercial Mortgage Trust 2016-CD1 XA IO | 1.419% | #(k) | 8/10/2049 | 119,013 | 9,158,501 | |||||||
Core Industrial Trust 2015-CALW XA IO† | 0.81% | #(k) | 2/10/2034 | 183,704 | 3,357,311 | |||||||
Core Industrial Trust 2015-TEXW A† | 3.077% | 2/10/2034 | 842 | 858,358 | ||||||||
Core Industrial Trust 2015-WEST XA IO† | 0.935% | #(k) | 2/10/2037 | 180,155 | 8,616,396 | |||||||
Core Industrial Trust 2015-WEST XB IO† | 0.704% | #(k) | 2/10/2037 | 90,323 | 3,321,610 | |||||||
Credit Suisse Commercial Mortgage Securities Corp. 2019-SKLZ A† | 3.69% (1 Mo. LIBOR + 1.25% | )# | 1/15/2034 | 8,300 | 8,311,342 | |||||||
Credit Suisse Commercial Mortgage Securities Corp. 2019-SKLZ B† | 4.34% (1 Mo. LIBOR + 1.90% | )# | 1/15/2034 | 33,700 | 33,792,985 | |||||||
Credit Suisse Commercial Mortgage Securities Corp. 2019-SKLZ C† | 5.19% (1 Mo. LIBOR + 2.75% | )# | 1/15/2034 | 21,900 | 22,024,462 | |||||||
Credit Suisse Commercial Mortgage Securities Corp. 2019-SKLZ D† | 6.04% (1 Mo. LIBOR + 3.60% | )# | 1/15/2034 | 6,000 | 6,050,143 | |||||||
Credit Suisse First Boston Mortgage Securities Corp. 2006-OMA B2† | 5.538% | 5/15/2023 | 9,750 | 9,877,078 | ||||||||
Credit Suisse First Boston Mortgage Securities Corp. 2006-OMA C† | 5.587% | 5/15/2023 | 9,852 | 9,982,912 | ||||||||
Credit Suisse Mortgage Capital Certificates 2011-2R 4A1† | 2.587% (1 Mo. LIBOR + .11% | )# | 2/27/2037 | 2,420 | 2,380,361 | |||||||
Credit Suisse Mortgage Capital Certificates 2012-7R 2A1† | 4.559% | #(k) | 6/26/2036 | 1,560 | 1,574,156 | |||||||
Credit Suisse Mortgage Capital Certificates 2014-USA X1 IO† | 0.552% | #(k) | 9/15/2037 | 115,519 | 3,359,857 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-HD A† | 3.39% (1 Mo. LIBOR + .95% | )# | 2/15/2031 | 37,217 | 37,092,271 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-HD B† | 3.79% (1 Mo. LIBOR + 1.35% | )# | 2/15/2031 | 12,038 | 12,023,162 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-HD C† | 4.14% (1 Mo. LIBOR + 1.70% | )# | 2/15/2031 | 6,721 | 6,706,205 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-HD D† | 4.94% (1 Mo. LIBOR + 2.50% | )# | 2/15/2031 | 12,130 | 12,088,205 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-HD E† | 6.09% (1 Mo. LIBOR + 3.65% | )# | 2/15/2031 | 17,624 | 17,574,429 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-LSTK A† | 2.761% | 4/5/2033 | 64,601 | 64,847,669 | ||||||||
Credit Suisse Mortgage Capital Certificates 2017-LSTK B† | 3.03% | 4/5/2033 | 13,175 | 13,192,460 | ||||||||
Credit Suisse Mortgage Capital Certificates 2017-LSTK C† | 3.229% | 4/5/2033 | 8,450 | 8,446,460 | ||||||||
Credit Suisse Mortgage Capital Certificates 2017-LSTK D† | 3.331% | #(k) | 4/5/2033 | 9,850 | 9,808,523 |
306 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Credit Suisse Mortgage Capital Certificates 2017-MOON A† | 3.197% | 7/10/2034 | $ | 45,816 | $ | 46,760,506 | ||||||
Credit Suisse Mortgage Capital Certificates 2017-MOON B† | 3.197% | #(k) | 7/10/2034 | 8,250 | 8,372,296 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-MOON D† | 3.197% | #(k) | 7/10/2034 | 9,093 | 9,057,303 | |||||||
Credit Suisse Mortgage Capital Certificates 2019-ICE4 A†(b) | 3.443% (1 Mo. LIBOR + .98% | )# | 5/15/2036 | 97,265 | 97,362,265 | |||||||
Credit Suisse Mortgage Capital Certificates 2019-ICE4 B†(b) | 3.693% (1 Mo. LIBOR + 1.23% | )# | 5/15/2036 | 98,596 | 98,694,596 | |||||||
Credit Suisse Mortgage Capital Certificates 2019-ICE4 C†(b) | 3.893% (1 Mo. LIBOR + 1.43% | )# | 5/15/2036 | 105,392 | 105,497,392 | |||||||
Credit Suisse Mortgage Capital Certificates Trust 2017-PFHP A† | 3.39% (1 Mo. LIBOR + .95% | )# | 12/15/2030 | 18,561 | 18,505,195 | |||||||
Credit Suisse Mortgage Capital Certificates Trust 2017-PFHP C† | 4.04% (1 Mo. LIBOR + 1.60% | )# | 12/15/2030 | 14,832 | 14,806,083 | |||||||
CSAIL Commercial Mortgage Trust 2015-C2 ASB | 3.224% | 6/15/2057 | 16,706 | 17,063,973 | ||||||||
CSAIL Commercial Mortgage Trust 2015-C4 A2 | 3.157% | 11/15/2048 | 13,828 | 13,898,351 | ||||||||
CSAIL Commercial Mortgage Trust 2016-C6 XA IO | 1.789% | #(k) | 1/15/2049 | 208,389 | 17,649,379 | |||||||
CSAIL Commercial Mortgage Trust 2016-C7 XA IO | 1.026% | #(k) | 11/15/2049 | 230,257 | 12,776,811 | |||||||
CSAIL Commercial Mortgage Trust 2018-C14 A2 | 4.261% | 11/15/2051 | 46,551 | 49,621,681 | ||||||||
DBGS Mortgage Trust 2018 5BP A† | 3.085% | #(k) | 6/15/2033 | 38,755 | 38,570,906 | |||||||
DBGS Mortgage Trust 2018-BIOD A† | 3.243% (1 Mo. LIBOR + .80% | )# | 5/15/2035 | 49,317 | 49,313,092 | |||||||
DBJPM Mortgage Trust 2016-C3 XA IO | 1.494% | #(k) | 9/10/2049 | 195,503 | 16,882,538 | |||||||
DBUBS Mortgage Trust 2011-LC2A A1† | 3.527% | 7/10/2044 | 6,783 | 6,817,451 | ||||||||
DBUBS Mortgage Trust 2011-LC2A A4† | 4.537% | 7/10/2044 | 17,793 | 18,377,090 | ||||||||
DBUBS Mortgage Trust 2011-LC2A B† | 4.998% | #(k) | 7/10/2044 | 6,825 | 7,119,602 | |||||||
DBUBS Mortgage Trust 2011-LC3A PM4† | 5.098% | #(k) | 5/10/2044 | 9,200 | 9,415,970 | |||||||
DBWF Mortgage Trust 2015-LCM A1† | 2.998% | 6/10/2034 | 16,616 | 16,602,497 | ||||||||
DBWF Mortgage Trust 2015-LCM XA IO† | 0.423% | #(k) | 6/10/2034 | 32,835 | 521,415 | |||||||
DBWF Mortgage Trust 2018-AMXP A† | 3.747% | #(k) | 5/5/2035 | 303,200 | 314,890,028 | |||||||
DBWF Mortgage Trust 2018-AMXP B† | 3.996% | #(k) | 5/5/2035 | 53,868 | 56,102,714 | |||||||
DBWF Mortgage Trust 2018-AMXP C† | 3.83% | #(k) | 5/5/2035 | 49,438 | 50,912,983 | |||||||
DBWF Mortgage Trust 2018-AMXP D† | 3.791% | #(k) | 5/5/2035 | 6,780 | 6,947,432 | |||||||
DBWF Mortgage Trust 2018-GLKS A† | 3.471% (1 Mo. LIBOR + 1.03% | )# | 11/19/2035 | 75,649 | 75,729,960 | |||||||
DBWF Mortgage Trust 2018-GLKS B† | 3.791% (1 Mo. LIBOR + 1.35% | )# | 11/19/2035 | 12,250 | 12,262,956 | |||||||
DBWF Mortgage Trust 2018-GLKS D† | 4.841% (1 Mo. LIBOR + 2.40% | )# | 11/19/2035 | 34,200 | 34,287,388 |
See Notes to Financial Statements. | 307 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Exantas Capital Corp., Ltd. 2019-RSO7 A† | 3.432% (1 Mo. LIBOR + 1.00% | )# | 4/15/2036 | $ | 38,953 | $ | 39,036,511 | |||||
Exantas Capital Corp., Ltd. 2019-RSO7 AS† | 3.932% (1 Mo. LIBOR + 1.50% | )# | 4/15/2036 | 38,900 | 38,977,115 | |||||||
GAHR Commercial Mortgage Trust 2015-NRF BFX† | 3.382% | #(k) | 12/15/2034 | 33,165 | 33,069,999 | |||||||
GAHR Commercial Mortgage Trust 2015-NRF CFX† | 3.382% | #(k) | 12/15/2034 | 5,440 | 5,419,004 | |||||||
GAHR Commercial Mortgage Trust 2015-NRF DFX† | 3.382% | #(k) | 12/15/2034 | 9,970 | 9,925,786 | |||||||
GAHR Commercial Mortgage Trust 2015-NRF EFX† | 3.382% | #(k) | 12/15/2034 | 16,767 | 16,650,989 | |||||||
GRACE Mortgage Trust 2014-GRCE A† | 3.369% | 6/10/2028 | 37,238 | 37,877,642 | ||||||||
Great Wolf Trust 2017-WOLF D† | 4.54% (1 Mo. LIBOR + 2.10% | )# | 9/15/2034 | 70,104 | 70,225,715 | |||||||
Great Wolf Trust 2017-WOLF E† | 5.54% (1 Mo. LIBOR + 3.10% | )# | 9/15/2034 | 76,090 | 76,340,427 | |||||||
Great Wolf Trust 2017-WOLF F† | 6.51% (1 Mo. LIBOR + 4.07% | )# | 9/15/2034 | 15,289 | 15,380,725 | |||||||
GS Mortgage Securities Corp. II 2012-BWTR A† | 2.954% | 11/5/2034 | 9,225 | 9,363,069 | ||||||||
GS Mortgage Securities Corp. II 2012-TMSQ A† | 3.007% | 12/10/2030 | 43,122 | 43,512,021 | ||||||||
GS Mortgage Securities Corp. II 2012-TMSQ C† | 3.458% | #(k) | 12/10/2030 | 14,494 | 14,499,137 | |||||||
GS Mortgage Securities Corp. II 2013-KING A† | 2.706% | 12/10/2027 | 34,764 | 34,741,076 | ||||||||
GS Mortgage Securities Corp. II 2013-KING B† | 3.241% | 12/10/2027 | 28,300 | 28,258,699 | ||||||||
GS Mortgage Securities Corp. II 2013-KING C† | 3.435% | #(k) | 12/10/2027 | 22,300 | 22,271,168 | |||||||
GS Mortgage Securities Corp. II 2013-KING E† | 3.435% | #(k) | 12/10/2027 | 3,000 | 2,985,107 | |||||||
GS Mortgage Securities Corp. II 2017-SLP A† | 3.419% | 10/10/2032 | 9,400 | 9,673,499 | ||||||||
GS Mortgage Securities Corp. Trust 2012-ALOH A† | 3.551% | 4/10/2034 | 66,194 | 68,142,071 | ||||||||
GS Mortgage Securities Corp. Trust 2012-ALOH B† | 4.049% | 4/10/2034 | 10,750 | 11,025,557 | ||||||||
GS Mortgage Securities Corp. Trust 2012-ALOH C† | 4.13% | #(k) | 4/10/2034 | 6,779 | 6,965,768 | |||||||
GS Mortgage Securities Corp. Trust 2012-SHOP A† | 2.933% | 6/5/2031 | 110,457 | 110,412,541 | ||||||||
GS Mortgage Securities Corp. Trust 2012-SHOP B† | 3.311% | 6/5/2031 | 51,853 | 51,830,287 | ||||||||
GS Mortgage Securities Corp. Trust 2012-SHOP C† | 3.633% | 6/5/2031 | 44,905 | 44,883,347 | ||||||||
GS Mortgage Securities Corp. Trust 2012-SHOP D† | 4.182% | 6/5/2031 | 15,450 | 15,442,147 | ||||||||
GS Mortgage Securities Corp. Trust 2016-RENT C† | 4.067% | #(k) | 2/10/2029 | 13,648 | 13,811,776 | |||||||
GS Mortgage Securities Corp. Trust 2017-GPTX A† | 2.856% | 5/10/2034 | 42,391 | 42,579,187 | ||||||||
GS Mortgage Securities Corp. Trust 2017-GPTX B† | 3.104% | 5/10/2034 | 31,294 | 31,137,787 | ||||||||
GS Mortgage Securities Corp. Trust 2017-STAY A† | 3.29% (1 Mo. LIBOR + .85% | )# | 7/15/2032 | 35,859 | 35,856,066 | |||||||
GS Mortgage Securities Corp. Trust 2017-STAY B† | 3.54% (1 Mo. LIBOR + 1.10% | )# | 7/15/2032 | 16,811 | 16,536,249 | |||||||
GS Mortgage Securities Corp. Trust 2017-STAY C† | 3.79% (1 Mo. LIBOR + 1.35% | )# | 7/15/2032 | 15,428 | 15,104,537 |
308 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
GS Mortgage Securities Corp. Trust 2017-STAY D† | 4.39% (1 Mo. LIBOR + 1.95% | )# | 7/15/2032 | $ | 19,051 | $ | 18,650,394 | |||||
GS Mortgage Securities Corp. Trust 2018-FBLU A† | 3.382% (1 Mo. LIBOR + .95% | )# | 11/15/2035 | 73,368 | 73,325,593 | |||||||
GS Mortgage Securities Corp. Trust 2018-FBLU E† | 5.19% (1 Mo. LIBOR + 2.75% | )# | 11/15/2035 | 19,126 | 19,147,913 | |||||||
GS Mortgage Securities Corp. Trust 2018-RIVR A† | 3.39% (1 Mo. LIBOR + .95% | )# | 7/15/2035 | 47,683 | 47,771,118 | |||||||
GS Mortgage Securities Trust 2010-C2 A1† | 3.849% | 12/10/2043 | 2,162 | 2,178,521 | ||||||||
GS Mortgage Securities Trust 2011-GC5 B† | 5.39% | #(k) | 8/10/2044 | 39,535 | 41,434,836 | |||||||
GS Mortgage Securities Trust 2012-GC6 B† | 5.652% | #(k) | 1/10/2045 | 14,812 | 15,801,806 | |||||||
GS Mortgage Securities Trust 2012-GC6 XA IO† | 1.94% | #(k) | 1/10/2045 | 175,450 | 6,933,988 | |||||||
GS Mortgage Securities Trust 2012-GCJ7 B | 4.74% | 5/10/2045 | 11,331 | 11,807,956 | ||||||||
GS Mortgage Securities Trust 2012-GCJ9 XA | 1.954% | #(k) | 11/10/2045 | 89,099 | 4,974,006 | |||||||
GS Mortgage Securities Trust 2012-GCJ9 XB IO† | 0.361% | #(k) | 11/10/2045 | 90,224 | 1,056,802 | |||||||
GS Mortgage Securities Trust 2013 GC12 B | 3.777% | #(k) | 6/10/2046 | 5,809 | 5,947,941 | |||||||
GS Mortgage Securities Trust 2013-G1 A1† | 2.059% | 4/10/2031 | 9,958 | 9,885,897 | ||||||||
GS Mortgage Securities Trust 2013-GC12 XA IO | 1.425% | #(k) | 6/10/2046 | 446,632 | 20,626,477 | |||||||
GS Mortgage Securities Trust 2013-GC14 A5 | 4.243% | 8/10/2046 | 16,691 | 17,797,169 | ||||||||
GS Mortgage Securities Trust 2014-GC18 A4† | 3.323% | 11/5/2035 | 4,745 | 4,786,002 | ||||||||
GS Mortgage Securities Trust 2014-GC18 A4 | 4.074% | 1/10/2047 | 13,702 | 14,543,884 | ||||||||
GS Mortgage Securities Trust 2014-GC22 A5 | 3.862% | 6/10/2047 | 25,948 | 27,440,093 | ||||||||
GS Mortgage Securities Trust 2014-GC26 XA IO | 1.004% | #(k) | 11/10/2047 | 97,675 | 4,179,136 | |||||||
GS Mortgage Securities Trust 2015-GS1 XA IO | 0.797% | #(k) | 11/10/2048 | 94,168 | 4,046,747 | |||||||
GS Mortgage Securities Trust 2016-GS2 XA IO | 1.657% | #(k) | 5/10/2049 | 221,682 | 17,927,669 | |||||||
GS Mortgage Securities Trust 2016-GS4 225A† | 2.636% | 11/10/2029 | 12,237 | 12,157,298 | (a) | |||||||
GS Mortgage Securities Trust 2016-GS4 225C† | 3.778% | 11/10/2029 | 21,308 | 21,517,063 | (a) | |||||||
GS Mortgage Securities Trust 2016-GS4 225D† | 4.766% | 11/10/2029 | 28,888 | 29,554,581 | (a) | |||||||
Hawaii Hotel Trust 2019-MAUI A† | 3.65% (1 Mo. LIBOR + 1.15% | )# | 5/15/2038 | 106,236 | 106,261,104 | |||||||
Hawaii Hotel Trust 2019-MAUI B† | 3.95% (1 Mo. LIBOR + 1.45% | )# | 5/15/2038 | 35,079 | 35,088,478 | |||||||
Hilton Orlando Trust 2018-ORL A† | 3.21% (1 Mo. LIBOR + .77% | )# | 12/15/2034 | 32,401 | 32,313,867 | |||||||
Hilton Orlando Trust 2018-ORL D† | 4.14% (1 Mo. LIBOR + 1.70% | )# | 12/15/2034 | 22,717 | 22,735,487 | |||||||
HMH Trust 2017-NSS A† | 3.062% | 7/5/2031 | 33,687 | 34,029,570 | ||||||||
HMH Trust 2017-NSS B† | 3.343% | 7/5/2031 | 21,685 | 21,870,795 | ||||||||
HMH Trust 2017-NSS C† | 3.787% | 7/5/2031 | 16,116 | 16,121,752 | ||||||||
HMH Trust 2017-NSS D† | 4.723% | 7/5/2031 | 21,309 | 21,522,239 |
See Notes to Financial Statements. | 309 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
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% | #(k) | 8/5/2034 | $ | 150,785 | $ | 10,957,546 | |||||
Hudsons Bay Simon JV Trust 2015-HB7 A7† | 3.914% | 8/5/2034 | 65,851 | 66,847,747 | ||||||||
Hudsons Bay Simon JV Trust 2015-HB7 B7† | 4.666% | 8/5/2034 | 5,000 | 5,011,368 | ||||||||
Hudsons Bay Simon JV Trust 2015-HB7 D7† | 5.159% | #(k) | 8/5/2034 | 5,000 | 4,720,928 | |||||||
Hudsons Bay Simon JV Trust 2015-HB7 XA7 IO† | 1.245% | #(k) | 8/5/2034 | 171,661 | 6,387,506 | |||||||
IMT Trust 2017-APTS AFX† | 3.478% | 6/15/2034 | 1,380 | 1,435,183 | ||||||||
Irvine Core Office Trust 2013-IRV A1† | 2.068% | 5/15/2048 | 30,808 | 30,655,467 | ||||||||
Irvine Core Office Trust 2013-IRV A2† | 3.173% | #(k) | 5/15/2048 | 40,462 | 41,699,236 | |||||||
Irvine Core Office Trust 2013-IRV XA IO† | 1.105% | #(k) | 5/15/2048 | 62,779 | 1,372,419 | |||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-ICON A† | 3.884% | 1/5/2034 | 48,806 | 51,164,447 | ||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-ICON B† | 4.235% | 1/5/2034 | 13,737 | 14,400,922 | ||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-ICON C† | 4.536% | 1/5/2034 | 13,000 | 13,625,353 | ||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-ICON D† | 5.038% | 1/5/2034 | 13,262 | 13,868,756 | ||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-UES A† | 3.81% | 5/5/2032 | 6,710 | 7,022,073 | ||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-MINN A† | 3.46% (1 Mo. LIBOR + 1.02% | )# | 11/15/2020 | 38,730 | 38,802,619 | |||||||
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2019-MARG A† | 3.552% (1 Mo. LIBOR + 1.10% | )# | 5/15/2034 | 48,269 | 48,301,606 | |||||||
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2019-MARG B† | 3.852% (1 Mo. LIBOR + 1.40% | )# | 5/15/2034 | 11,000 | 11,014,324 | |||||||
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2019-MARG C† | 4.162% (1 Mo. LIBOR + 1.71% | )# | 5/15/2034 | 7,900 | 7,910,302 | |||||||
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2019-MARG D† | 4.562% (1 Mo. LIBOR + 2.11% | )# | 5/15/2034 | 11,950 | 11,965,610 | |||||||
JPMBB Commercial Mortgage Securities Trust 2014-C26 A4 | 3.494% | 1/15/2048 | 10,100 | 10,539,622 | ||||||||
JPMBB Commercial Mortgage Securities Trust 2015-C27 A3A2† | 2.92% | 2/15/2048 | 47,373 | 47,981,099 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CB18 AM | 5.466% | #(k) | 6/12/2047 | 14 | 14,196 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CB18 AMFX | 5.40% | 6/12/2047 | 10 | 10,032 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2009-IWST C† | 7.445% | #(k) | 12/5/2027 | 5,730 | 5,810,527 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2010-C1 A2† | 4.608% | 6/15/2043 | 1,675 | 1,680,685 |
310 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2010-C2 B† | 5.075% | #(k) | 11/15/2043 | $ | 1,710 | $ | 1,744,916 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust 2012-C6 B | 4.819% | #(k) | 5/15/2045 | 9,466 | 9,860,138 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2012-WLDN A† | 3.905% | 5/5/2030 | 74,604 | 76,654,988 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C10 XA IO | 0.997% | #(k) | 12/15/2047 | 268,273 | 8,149,745 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C12 XA IO | 0.504% | #(k) | 7/15/2045 | 146,859 | 2,381,905 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C14 A4 | 4.133% | #(k) | 8/15/2046 | 37,840 | 40,179,730 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2013-LC11 XA IO | 1.265% | #(k) | 4/15/2046 | 98,827 | 4,103,894 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C18 A5 | 4.079% | 2/15/2047 | 20,800 | 22,153,743 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 A2 | 3.046% | 4/15/2047 | 1,727 | 1,724,876 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XA IO | 0.799% | #(k) | 4/15/2047 | 67,971 | 1,611,370 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XB IO | 0.303% | #(k) | 4/15/2047 | 34,361 | 544,416 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C22 A4 | 3.801% | 9/15/2047 | 36,541 | 38,564,991 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C24 XA IO | 0.964% | #(k) | 11/15/2047 | 112,855 | 3,678,958 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C25 XA IO | 0.932% | #(k) | 11/15/2047 | 202,871 | 6,934,286 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C26 XA IO | 1.055% | #(k) | 1/15/2048 | 183,965 | 7,040,625 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY A† | 3.429% | 6/10/2027 | 163,798 | 163,593,107 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY B† | 3.771% | 6/10/2027 | 20,772 | 20,817,570 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY C† | 3.805% | #(k) | 6/10/2027 | 14,352 | 14,371,692 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY D† | 3.805% | #(k) | 6/10/2027 | 25,795 | 16,643,435 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY XA IO† | 0.376% | #(k) | 6/10/2027 | 102,274 | 3,068 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY XB IO† | 0.034% | #(k) | 6/10/2027 | 45,476 | 455 |
See Notes to Financial Statements. | 311 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C28 A2 | 2.773% | 10/15/2048 | $ | 2,501 | $ | 2,499,814 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C29 XA IO | 0.797% | #(k) | 5/15/2048 | 93,472 | 2,555,668 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C30 XA IO | 0.535% | #(k) | 7/15/2048 | 134,226 | 3,716,766 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C31 A2 | 3.008% | 8/15/2048 | 5,000 | 5,016,523 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C32 ASB | 3.358% | 11/15/2048 | 15,275 | 15,731,032 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-UES B† | 3.387% | 9/5/2032 | 12,900 | 12,964,810 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-UES C† | 3.621% | #(k) | 9/5/2032 | 10,800 | 10,867,246 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-UES XA IO† | 0.688% | #(k) | 9/5/2032 | 242,750 | 1,474,706 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-JP4 XA IO | 0.746% | #(k) | 12/15/2049 | 170,146 | 5,991,028 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI A† | 2.798% | 10/5/2031 | 60,038 | 60,411,592 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI B† | 3.201% | 10/5/2031 | 12,036 | 12,141,789 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI C† | 3.554% | 10/5/2031 | 15,357 | 15,541,600 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI D† | 4.009% | #(k) | 10/5/2031 | 29,748 | 30,171,701 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI E† | 4.009% | #(k) | 10/5/2031 | 9,726 | 9,767,656 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI XA IO† | 1.211% | #(k) | 10/5/2031 | 131,129 | 2,971,383 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI XB IO† | 0.657% | #(k) | 10/5/2031 | 77,997 | 1,001,481 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-C5 A2 | 3.33% | 3/15/2050 | 20,929 | 21,395,769 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-JP7 A3 | 3.379% | 9/15/2050 | 10,000 | 10,327,136 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-JP7 XA IO | 1.08% | #(k) | 9/15/2050 | 294,221 | 18,856,631 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK A† | 3.392% | 6/5/2032 | 51,308 | 52,095,527 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK B† | 3.795% | 6/5/2032 | 21,137 | 21,469,980 |
312 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK C† | 4.036% | #(k) | 6/5/2032 | $ | 15,721 | $ | 15,952,300 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-BCON A† | 3.735% | 1/5/2031 | 27,681 | 28,894,114 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ A† | 3.44% (1 Mo. LIBOR + 1.00% | )# | 6/15/2032 | 139,267 | 139,261,861 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ B† | 3.74% (1 Mo. LIBOR + 1.30% | )# | 6/15/2032 | 36,057 | 36,079,667 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ C† | 4.04% (1 Mo. LIBOR + 1.60% | )# | 6/15/2032 | 28,192 | 28,298,770 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ D† | 4.54% (1 Mo. LIBOR + 2.10% | )# | 6/15/2032 | 4,892 | 4,918,629 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ E† | 5.44% (1 Mo. LIBOR + 3.00% | )# | 6/15/2035 | 7,140 | 7,203,169 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN B† | 3.79% (1 Mo. LIBOR + 1.35% | )# | 11/15/2020 | 10,053 | 10,071,849 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN C† | 4.14% (1 Mo. LIBOR + 1.70% | )# | 11/15/2020 | 8,746 | 8,762,399 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN D† | 4.44% (1 Mo. LIBOR + 2.00% | )# | 11/15/2020 | 4,900 | 4,909,188 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC A† | 3.64% (1 Mo. LIBOR + 1.20% | )# | 4/15/2031 | 53,048 | 53,138,457 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC B† | 4.34% (1 Mo. LIBOR + 1.90% Floor 1.90% | )# | 4/15/2031 | 14,359 | 14,385,601 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC C† | 4.74% (1 Mo. LIBOR + 2.30% | )# | 4/15/2031 | 10,608 | 10,637,866 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC D† | 5.56% (1 Mo. LIBOR + 3.12% Floor 3.12% | )# | 4/15/2031 | 5,572 | 5,588,498 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT AFL† | 3.417% (1 Mo. LIBOR + .95% | )# | 7/5/2033 | 32,310 | 32,266,207 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT AFX† | 4.248% | 7/5/2033 | 96,017 | 102,469,995 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT BFX† | 4.549% | 7/5/2033 | 23,661 | 25,160,592 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT CFL† | 4.117% (1 Mo. LIBOR + 1.65% | )# | 7/5/2033 | 9,118 | 9,109,636 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT CFX† | 4.95% | 7/5/2033 | 31,569 | 33,439,369 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT DFL† | 4.717% (1 Mo. LIBOR + 2.25% | )# | 7/5/2033 | 9,118 | 9,110,472 |
See Notes to Financial Statements. | 313 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT DFX† | 5.35% | 7/5/2033 | $ | 36,128 | $ | 38,357,791 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT XAFX IO† | 1.116% | #(k) | 7/5/2033 | 155,900 | 6,730,203 | |||||||
Ladder Capital Commercial Mortgage Securities LLC 2014-909 A† | 3.388% | 5/15/2031 | 7,200 | 7,307,351 | ||||||||
Ladder Capital Commercial Mortgage Securities LLC 2014-PKMD A† | 2.857% | #(k) | 11/14/2027 | 190,968 | 190,487,754 | |||||||
Ladder Capital Commercial Mortgage Securities LLC 2014-PKMD B† | 2.857% | #(k) | 11/14/2027 | 16,023 | 15,977,000 | |||||||
Ladder Capital Commercial Mortgage Trust 2013-GCP A1† | 3.575% | 2/15/2036 | 8,000 | 8,330,593 | ||||||||
LMREC, Inc. 2015-CRE1 AR† | 3.417% (1 Mo. LIBOR + .98% | )# | 2/22/2032 | 42,899 | 42,780,956 | |||||||
LMREC, Inc. 2015-CRE1 BR† | 4.678% (1 Mo. LIBOR + 2.25% | )# | 2/22/2032 | 12,355 | 12,369,687 | |||||||
LoanCore Issuer Ltd. 2019-CRE3 A† | 3.55% (1 Mo. LIBOR + 1.05% | )# | 4/15/2034 | 116,635 | 117,801,338 | |||||||
LoanCore Issuer Ltd. 2019-CRE3 AS† | 3.87% (1 Mo. LIBOR + 1.37% | )# | 4/15/2034 | 24,298 | 24,337,557 | |||||||
LSTAR Commercial Mortgage Trust 2015-3 A2† | 2.729% | #(k) | 4/20/2048 | 8,324 | 8,308,045 | |||||||
LSTAR Commercial Mortgage Trust 2016-4 XA IO† | 1.882% | #(k) | 3/10/2049 | 103,271 | 6,545,338 | |||||||
LSTAR Commercial Mortgage Trust 2017-5 A1† | 2.417% | 3/10/2050 | 14,054 | 14,040,494 | ||||||||
LSTAR Commercial Mortgage Trust 2017-5 A2† | 2.776% | 3/10/2050 | 28,000 | 28,064,764 | ||||||||
LSTAR Commercial Mortgage Trust 2017-5 A3† | 4.50% | 3/10/2050 | 72,650 | 76,924,363 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-CKSV A1† | 2.117% | 10/15/2030 | 11,730 | 11,599,665 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-CKSV A2† | 3.277% | 10/15/2030 | 15,315 | 15,399,508 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 A4 | 2.918% | 2/15/2046 | 5,280 | 5,357,382 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8 A4 | 3.134% | 12/15/2048 | 9,470 | 9,670,537 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9 XA IO | 1.063% | #(k) | 5/15/2046 | 207,871 | 7,192,556 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9 XB IO† | 0.312% | #(k) | 5/15/2046 | 107,177 | 1,362,223 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19 XA IO | 1.089% | #(k) | 12/15/2047 | 164,095 | 5,483,822 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24 ASB | 3.479% | 5/15/2048 | 16,231 | 16,790,716 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29 XA IO | 1.616% | #(k) | 5/15/2049 | 130,296 | 10,667,109 |
314 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31 XA IO | 1.427% | #(k) | 11/15/2049 | $ | 272,195 | $ | 20,806,288 | |||||
Morgan Stanley Capital Barclays Bank Trust 2016-MART A† | 2.20% | 9/13/2031 | 5,681 | 5,654,622 | ||||||||
Morgan Stanley Capital Barclays Bank Trust 2016-MART B† | 2.48% | 9/13/2031 | 11,590 | 11,530,205 | ||||||||
Morgan Stanley Capital Barclays Bank Trust 2016-MART C† | 2.817% | 9/13/2031 | 25,000 | 24,886,450 | ||||||||
Morgan Stanley Capital I Trust 2011-C2 A4† | 4.661% | 6/15/2044 | 7,415 | 7,668,436 | ||||||||
Morgan Stanley Capital I Trust 2012-C4 AS | 3.773% | 3/15/2045 | 11,384 | 11,687,073 | ||||||||
Morgan Stanley Capital I Trust 2012-C4 XA IO† | 2.08% | #(k) | 3/15/2045 | 179,627 | 8,158,106 | |||||||
Morgan Stanley Capital I Trust 2012-STAR A1† | 2.084% | 8/5/2034 | 17,127 | 16,956,177 | ||||||||
Morgan Stanley Capital I Trust 2012-STAR A2† | 3.201% | 8/5/2034 | 9,421 | 9,633,788 | ||||||||
Morgan Stanley Capital I Trust 2012-STAR B† | 3.451% | 8/5/2034 | 1,267 | 1,294,017 | ||||||||
Morgan Stanley Capital I Trust 2013-WLSR A† | 2.695% | 1/11/2032 | 8,744 | 8,720,545 | ||||||||
Morgan Stanley Capital I Trust 2014-CPT A† | 3.35% | 7/13/2029 | 19,300 | 19,720,705 | ||||||||
Morgan Stanley Capital I Trust 2014-CPT XA IO† | 0.089% | #(k) | 7/13/2029 | 260,000 | 613,600 | |||||||
Morgan Stanley Capital I Trust 2014-MP A† | 3.469% | 8/11/2033 | 8,445 | 8,619,411 | ||||||||
Morgan Stanley Capital I Trust 2015-420 A† | 3.727% | 10/12/2050 | 25,022 | 26,014,578 | ||||||||
Morgan Stanley Capital I Trust 2015-UBS8 ASB | 3.626% | 12/15/2048 | 9,549 | 9,911,740 | ||||||||
Morgan Stanley Capital I Trust 2016-UB11 XA IO | 1.633% | #(k) | 8/15/2049 | 86,509 | 7,028,546 | |||||||
Morgan Stanley Capital I Trust 2016-UB11 XB IO | 0.993% | #(k) | 8/15/2049 | 121,223 | 7,610,257 | |||||||
Motel 6 Trust 2017-MTL6 C† | 3.84% (1 Mo. LIBOR + 1.40% | )# | 8/15/2034 | 30,510 | 30,533,399 | |||||||
Motel 6 Trust 2017-MTL6 D† | 4.59% (1 Mo. LIBOR + 2.15% | )# | 8/15/2034 | 127,997 | 128,379,833 | |||||||
Motel 6 Trust 2017-MTL6 E† | 5.69% (1 Mo. LIBOR + 3.25% | )# | 8/15/2034 | 125,013 | 125,893,903 | |||||||
Motel 6 Trust 2017-MTL6 F† | 6.69% (1 Mo. LIBOR + 4.25% | )# | 8/15/2034 | 36,598 | 36,972,527 | |||||||
MSCG Trust 2015-ALDR A1† | 2.612% | 6/7/2035 | 21,059 | 20,825,716 | ||||||||
MSCG Trust 2016-SNR A† | 3.348% | #(k) | 11/15/2034 | 38,864 | 38,653,582 | |||||||
MSCG Trust 2016-SNR B† | 4.181% | 11/15/2034 | 22,587 | 22,582,578 | ||||||||
MSCG Trust 2016-SNR C† | 5.205% | 11/15/2034 | 14,521 | 14,666,105 | ||||||||
Natixis Commercial Mortgage Securities Trust 2018-285M A† | 3.79% | #(k) | 11/15/2032 | 68,091 | 70,849,360 | |||||||
Natixis Commercial Mortgage Securities Trust 2018-285M B† | 3.79% | #(k) | 11/15/2032 | 17,029 | 17,645,026 | |||||||
New Orleans Hotel Trust 2019-HNLA A† | 3.489% (1 Mo. LIBOR + .99% | )# | 4/15/2032 | 87,212 | 87,142,475 | |||||||
New Orleans Hotel Trust 2019-HNLA D† | 4.539% (1 Mo. LIBOR + 2.04% | )# | 4/15/2032 | 15,495 | 15,492,631 | |||||||
New Orleans Hotel Trust 2019-HNLA E† | 5.189% (1 Mo. LIBOR + 2.69% | )# | 4/15/2032 | 5,000 | 4,993,043 |
See Notes to Financial Statements. | 315 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
New Orleans Hotel Trust 2019-HNLA F† | 6.189% (1 Mo. LIBOR + 3.69% | )# | 4/15/2032 | $ | 3,000 | $ | 2,993,870 | |||||
Palisades Center Trust 2016-PLSD A† | 2.713% | 4/13/2033 | 6,735 | 6,710,974 | ||||||||
Palisades Center Trust 2016-PLSD C† | 3.998% | 4/13/2033 | 40,040 | 38,612,390 | ||||||||
Palisades Center Trust 2016-PLSD D† | 4.737% | 4/13/2033 | 34,072 | 32,412,756 | ||||||||
PFP Ltd. 2019-5 A† | 3.408% | #(k) | 4/14/2036 | 95,545 | 95,678,763 | |||||||
Prima Capital CRE Securitization 2015-5A B† | 3.50% | 12/24/2050 | 116,607 | 118,074,177 | ||||||||
Prima Capital CRE Securitization 2015-5A C† | 4.50% | 12/24/2050 | 93,302 | 92,387,584 | ||||||||
Prima Capital CRE Securitization Ltd. 2013-3A A† | 2.214% | 10/24/2035 | 10,807 | 10,873,578 | (a) | |||||||
Prima Capital CRE Securitization Ltd. 2013-3A C† | 5.00% | 10/24/2035 | 35,011 | 35,646,215 | ||||||||
Prima Capital CRE Securitization Ltd. 2015-4A MR-A† | 2.55% | 8/24/2049 | 76,235 | 76,163,324 | ||||||||
Prima Capital CRE Securitization Ltd. 2016-6A A† | 2.85% | 8/24/2040 | 101,766 | 101,817,203 | ||||||||
RAIT Trust 2017-FL7 A† | 3.39% (1 Mo. LIBOR + .95% | )# | 6/15/2037 | 18,327 | 18,192,285 | |||||||
RBS Commercial Funding, Inc. Trust 2013-SMV A† | 3.26% | 3/11/2031 | 57,896 | 58,790,655 | ||||||||
Ready Capital Mortgage Trust 2019-5 A† | 3.777% | 2/25/2052 | 14,542 | 14,939,827 | ||||||||
Ready Captial Mortgage Financing LLC 2019-FL3 A† | 3.43% (1 Mo. LIBOR + 1.00% | )# | 3/25/2034 | 71,768 | 71,959,262 | |||||||
ReadyCap Commercial Mortgage Trust 2015-2 A† | 3.804% | 6/25/2055 | 12,564 | 12,917,069 | ||||||||
ReadyCap Commercial Mortgage Trust 2018-4 A† | 3.39% | 2/27/2051 | 28,167 | 28,313,191 | ||||||||
ReadyCap Mortgage Trust 2016-3 A† | 2.94% | 11/20/2038 | 1,505 | 1,503,769 | ||||||||
RETL 2019-RVP A† | 3.59% (1 Mo. LIBOR + 1.15% | )# | 3/15/2036 | 68,804 | 68,911,949 | |||||||
RETL 2019-RVP C† | 4.54% (1 Mo. LIBOR + 2.10% | )# | 3/15/2036 | 19,830 | 19,903,795 | |||||||
Shelter Growth CRE Issuer Ltd. 2018-FL1 A† | 3.44% (1 Mo. LIBOR + 1.00% | )# | 1/15/2035 | 19,453 | 19,495,663 | |||||||
Shelter Growth CRE Issuer Ltd. 2019-FL2 A†(b) | 3.60% (1 Mo. LIBOR + 1.10% | )# | 5/15/2036 | 73,003 | 73,066,724 | |||||||
Shelter Growth CRE Issuer Ltd. 2019-FL2 AS†(b) | 3.95% (1 Mo. LIBOR + 1.45% | )# | 5/15/2036 | 22,967 | 22,997,698 | |||||||
Shops at Crystals Trust 2016-CSTL XA IO† | 0.606% | #(k) | 7/5/2036 | 112,000 | 4,304,160 | |||||||
SLIDE 2018-FUN A† | 3.34% (1 Mo. LIBOR + .90% | )# | 6/15/2031 | 57,002 | 57,029,801 | |||||||
SLIDE 2018-FUN B† | 3.69% (1 Mo. LIBOR + 1.25% | )# | 6/15/2031 | 8,840 | 8,844,719 | |||||||
SLIDE 2018-FUN C† | 3.99% (1 Mo. LIBOR + 1.55% | )# | 6/15/2031 | 7,178 | 7,184,699 | |||||||
SLIDE 2018-FUN D† | 4.29% (1 Mo. LIBOR + 1.85% | )# | 6/15/2031 | 11,612 | 11,658,623 | |||||||
Stonemont Portfolio Trust 2017-MONT A† | 3.291% (1 Mo. LIBOR + .85% | )# | 8/20/2030 | 5,630 | 5,631,087 | |||||||
Stonemont Portfolio Trust 2017-MONT D† | 4.491% (1 Mo. LIBOR + 2.05% | )# | 8/20/2030 | 66,239 | 66,348,613 | |||||||
Stonemont Portfolio Trust 2017-MONT E† | 5.191% (1 Mo. LIBOR + 2.75% | )# | 8/20/2030 | 103,607 | 103,909,397 |
316 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Stonemont Portfolio Trust 2017-MONT F† | 6.041% (1 Mo. LIBOR + 3.60% | )# | 8/20/2030 | $ | 56,975 | $ | 57,219,536 | |||||
Structured Asset Securities Corp. 2006-3H 1A2 | 5.75% | 12/25/2035 | 6,541 | 6,725,134 | ||||||||
Structured Asset Securities Corp. 2006-3H 1A3 | 5.75% | 12/25/2035 | 3,970 | 4,088,648 | ||||||||
UBS Commercial Mortgage Trust 2017-C6 XA IO | 1.034% | #(k) | 12/15/2050 | 378,168 | 25,950,553 | |||||||
UBS-BAMLL Trust 2012-WRM D† | 4.238% | #(k) | 6/10/2030 | 6,900 | 6,688,830 | |||||||
UBS-Barclays Commercial Mortgage Trust 2012-C2 A4 | 3.525% | 5/10/2063 | 71,467 | 73,722,276 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2012-C2 BEC† | 4.819% | #(k) | 5/10/2063 | 8,100 | 8,494,772 | |||||||
UBS-Barclays Commercial Mortgage Trust 2012-C2 XA IO† | 1.319% | #(k) | 5/10/2063 | 84,481 | 2,911,184 | |||||||
UBS-Barclays Commercial Mortgage Trust 2012-C3 A4 | 3.091% | 8/10/2049 | 13,930 | 14,214,615 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2012-C4 A4 | 2.792% | 12/10/2045 | 34,991 | 35,410,297 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2012-C4 A5 | 2.85% | 12/10/2045 | 23,671 | 24,010,546 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2013-C5 A4 | 3.185% | 3/10/2046 | 87,463 | 89,738,745 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2013-C5 AS† | 3.347% | 3/10/2046 | 23,805 | 24,296,917 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2013-C5 B† | 3.649% | #(k) | 3/10/2046 | 12,000 | 12,273,089 | |||||||
UBS-Barclays Commercial Mortgage Trust 2013-C5 XA IO† | 0.959% | #(k) | 3/10/2046 | 349,753 | 10,203,090 | |||||||
UBS-Barclays Commercial Mortgage Trust 2013-C6 XA IO† | 1.126% | #(k) | 4/10/2046 | 413,588 | 14,802,433 | |||||||
UBS-Citigroup Commercial Mortgage Trust 2011-C1 AS† | 5.154% | 1/10/2045 | 4,900 | 5,181,730 | ||||||||
VNDO Mortgage Trust 2012-6AVE A† | 2.996% | 11/15/2030 | 14,400 | 14,653,652 | ||||||||
Vornado DP LLC Trust 2010-VNO A1† | 2.97% | 9/13/2028 | 5,507 | 5,517,424 | ||||||||
Vornado DP LLC Trust 2010-VNO A2FX† | 4.004% | 9/13/2028 | 14,787 | 14,988,423 | ||||||||
Vornado DP LLC Trust 2010-VNO C† | 5.28% | 9/13/2028 | 6,120 | 6,265,614 | ||||||||
Waikiki Beach Hotel Trust 2019-WBM A† | 3.49% (1 Mo. LIBOR + 1.05% | )# | 12/15/2033 | 80,900 | 80,577,743 | |||||||
Waikiki Beach Hotel Trust 2019-WBM B† | 3.67% (1 Mo. LIBOR + 1.23% | )# | 12/15/2033 | 31,700 | 31,574,490 | |||||||
Waikiki Beach Hotel Trust 2019-WBM C† | 3.92% (1 Mo. LIBOR + 1.48% | )# | 12/15/2033 | 22,200 | 22,125,905 | |||||||
Waikiki Beach Hotel Trust 2019-WBM D† | 4.47% (1 Mo. LIBOR + 2.03% | )# | 12/15/2033 | 31,000 | 30,875,715 |
See Notes to Financial Statements. | 317 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Waikiki Beach Hotel Trust 2019-WBM E† | 5.12% (1 Mo. LIBOR + 2.68% | )# | 12/15/2033 | $ | 12,800 | $ | 12,765,576 | |||||
Waldorf Astoria Boca Raton Trust 2016-BOCA C† | 4.94% (1 Mo. LIBOR + 2.50% | )# | 6/15/2029 | 11,999 | 12,009,670 | |||||||
Waldorf Astoria Boca Raton Trust 2016-BOCA E† | 6.79% (1 Mo. LIBOR + 4.35% | )# | 6/15/2029 | 33,698 | 33,761,758 | |||||||
WaMu Mortgage Pass-Through Certificates Trust 2005-AR18 1A1 | 4.25% | #(k) | 1/25/2036 | 3,319 | 3,347,235 | |||||||
Wells Fargo Commercial Mortgage Trust 2010-C1 A2† | 4.393% | 11/15/2043 | 5,940 | 6,034,453 | ||||||||
Wells Fargo Commercial Mortgage Trust 2013-LC12 A4 | 4.218% | #(k) | 7/15/2046 | 22,226 | 23,626,220 | |||||||
Wells Fargo Commercial Mortgage Trust 2014-LC16 A5 | 3.817% | 8/15/2050 | 13,277 | 13,998,889 | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-C26 ASB | 2.991% | 2/15/2048 | 19,200 | 19,527,546 | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-C29 ASB | 3.40% | 6/15/2048 | 10,749 | 11,080,450 | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-C29 XA IO | 0.682% | #(k) | 6/15/2048 | 148,726 | 4,766,398 | |||||||
Wells Fargo Commercial Mortgage Trust 2015-NXS4 A2A | 3.075% | 12/15/2048 | 9,888 | 9,933,706 | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-NXS4 A2B | 4.598% | #(k) | 12/15/2048 | 66,103 | 67,966,946 | |||||||
Wells Fargo Commercial Mortgage Trust 2015-P2 A2B | 4.739% | #(k) | 12/15/2048 | 82,108 | 84,826,855 | |||||||
Wells Fargo Commercial Mortgage Trust 2015-SG1 ASB | 3.556% | 9/15/2048 | 9,675 | 10,015,559 | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-SG1 XA IO | 0.73% | #(k) | 9/15/2048 | 164,568 | 5,761,493 | |||||||
Wells Fargo Commercial Mortgage Trust 2016-BNK1 XA IO | 1.775% | #(k) | 8/15/2049 | 196,583 | 19,745,036 | |||||||
Wells Fargo Commercial Mortgage Trust 2016-C34 XA IO | 2.148% | #(k) | 6/15/2049 | 151,880 | 15,129,341 | |||||||
Wells Fargo Commercial Mortgage Trust 2017-SMP A† | 3.19% (1 Mo. LIBOR + .75% | )# | 12/15/2034 | 22,721 | 22,638,461 | |||||||
Wells Fargo Commercial Mortgage Trust 2017-SMP B† | 3.44% (1 Mo. LIBOR + 1.00% | )# | 12/15/2034 | 16,322 | 16,265,627 | |||||||
Wells Fargo Commercial Mortgage Trust 2018-C44 A2 | 4.178% | 5/15/2051 | 25,197 | 26,699,522 | ||||||||
Wells Fargo Commercial Mortgage Trust 2018-C47 A2 | 4.361% | 9/15/2061 | 22,988 | 24,771,335 |
318 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Wells Fargo Commercial Mortgage Trust 2018-C48 A2 | 4.224% | 1/15/2052 | $ | 15,302 | $ | 16,340,975 | ||||||
Wells Fargo Mortgage Backed Securities Trust 2005-3 A4 | 5.50% | 5/25/2035 | 1,323 | 1,390,111 | ||||||||
West Town Mall Trust 2017-KNOX A† | 3.823% | 7/5/2030 | 56,515 | 57,691,857 | ||||||||
West Town Mall Trust 2017-KNOX B† | 4.322% | 7/5/2030 | 23,788 | 24,429,282 | ||||||||
West Town Mall Trust 2017-KNOX C† | 4.346% | #(k) | 7/5/2030 | 17,640 | 17,990,780 | |||||||
West Town Mall Trust 2017-KNOX D† | 4.346% | #(k) | 7/5/2030 | 21,720 | 21,960,946 | |||||||
WF-RBS Commercial Mortgage Trust 2011-C2 A4† | 4.869% | #(k) | 2/15/2044 | 11,783 | 12,138,137 | |||||||
WF-RBS Commercial Mortgage Trust 2011-C4 A3† | 4.394% | 6/15/2044 | 1 | 1,259 | ||||||||
WF-RBS Commercial Mortgage Trust 2011-C5 A3 | 3.526% | 11/15/2044 | 20,832 | 20,931,414 | ||||||||
WF-RBS Commercial Mortgage Trust 2012-C10 A3 | 2.875% | 12/15/2045 | 28,068 | 28,475,390 | ||||||||
WF-RBS Commercial Mortgage Trust 2012-C10 XA IO† | 1.559% | #(k) | 12/15/2045 | 54,809 | 2,500,083 | |||||||
WF-RBS Commercial Mortgage Trust 2012-C6 AS | 3.835% | 4/15/2045 | 5,000 | 5,141,315 | ||||||||
WF-RBS Commercial Mortgage Trust 2012-C7 A2 | 3.431% | 6/15/2045 | 5,393 | 5,537,156 | ||||||||
WF-RBS Commercial Mortgage Trust 2012-C7 B | 4.75% | #(k) | 6/15/2045 | 17,378 | 18,103,969 | |||||||
WF-RBS Commercial Mortgage Trust 2012-C7 XA IO† | 1.366% | #(k) | 6/15/2045 | 327,736 | 10,360,281 | |||||||
WF-RBS Commercial Mortgage Trust 2012-C8 XA IO† | 1.827% | #(k) | 8/15/2045 | 50,042 | 2,354,130 | |||||||
WF-RBS Commercial Mortgage Trust 2012-C9 A3 | 2.87% | 11/15/2045 | 17,064 | 17,279,888 | ||||||||
WF-RBS Commercial Mortgage Trust 2012-C9 C | 4.543% | #(k) | 11/15/2045 | 9,180 | 9,397,336 | |||||||
WF-RBS Commercial Mortgage Trust 2013-C11 AS | 3.311% | 3/15/2045 | 5,000 | 5,103,203 | ||||||||
WF-RBS Commercial Mortgage Trust 2013-C12 AS | 3.56% | 3/15/2048 | 26,441 | 27,237,858 | ||||||||
WF-RBS Commercial Mortgage Trust 2013-C13 XA IO† | 1.198% | #(k) | 5/15/2045 | 250,077 | 9,837,316 | |||||||
WF-RBS Commercial Mortgage Trust 2013-C15 A3 | 3.881% | 8/15/2046 | 6,178 | 6,488,740 | ||||||||
WF-RBS Commercial Mortgage Trust 2014-C19 A4 | 3.829% | 3/15/2047 | 18,050 | 18,980,582 | ||||||||
WF-RBS Commercial Mortgage Trust 2014-C19 A5 | 4.101% | 3/15/2047 | 5,065 | 5,406,895 | ||||||||
WF-RBS Commercial Mortgage Trust 2014-C20 XA IO | 0.977% | #(k) | 5/15/2047 | 211,700 | 8,091,022 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C20 XB IO | 0.575% | #(k) | 5/15/2047 | 50,603 | 1,431,705 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C21 XB IO | 0.601% | #(k) | 8/15/2047 | 77,369 | 2,502,020 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C22 A4 | 3.488% | 9/15/2057 | 22,760 | 23,699,039 | ||||||||
WF-RBS Commercial Mortgage Trust 2014-C22 A4 | 3.995% | 5/15/2047 | 5,350 | 5,688,130 | ||||||||
WF-RBS Commercial Mortgage Trust 2014-C22 XA IO | 0.833% | #(k) | 9/15/2057 | 90,219 | 3,092,684 |
See Notes to Financial Statements. | 319 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
WF-RBS Commercial Mortgage Trust 2014-C22 XB IO | 0.452% | #(k) | 9/15/2057 | $ | 37,769 | $ | 795,701 | |||||
WFCG Commercial Mortgage Trust 2015-BXRP C† | 4.211% (1 Mo. LIBOR + 1.77% | )# | 11/15/2029 | 2,087 | 2,086,524 | |||||||
WFLD Mortgage Trust 2014-MONT A† | 3.755% | #(k) | 8/10/2031 | 8,000 | 8,342,502 | |||||||
WFRBS Commercial Mortgage Trust 2014-C21 A4 | 3.41% | 8/15/2047 | 17,434 | 18,067,180 | ||||||||
Total Non-Agency Commercial Mortgage-Backed Securities(cost $12,374,928,786) | 12,391,024,272 | |||||||||||
Dividend Rate | Shares (000) | |||||||||||
PREFERRED STOCK 0.00% | ||||||||||||
Energy: Exploration & Production | ||||||||||||
Templar Energy LLC (cost $4,795,109) | Zero Coupon | 509 | – | (a) | ||||||||
Interest Rate | Maturity Date | Principal Amount (000) | ||||||||||
U.S. TREASURY OBLIGATIONS 2.85% | ||||||||||||
U.S. Treasury Bill | Zero Coupon | 3/26/2020 | $ | 471,504 | 462,947,499 | |||||||
U.S. Treasury Note | 2.50% | 1/31/2021 | 911,853 | 919,154,946 | ||||||||
Total U.S. Treasury Obligations (cost $1,375,006,002) | 1,382,102,445 | |||||||||||
Total Long-Term Investments (cost $46,738,308,129) | 46,786,280,649 | |||||||||||
SHORT-TERM INVESTMENTS 4.85% | ||||||||||||
COMMERCIAL PAPER 3.97% | ||||||||||||
Auto Parts: Original Equipment 0.09% | ||||||||||||
Autoliv ASP, Inc. | 2.761% | 6/3/2019 | 28,429 | 28,429,000 | ||||||||
Autoliv ASP, Inc. | 2.764% | 6/27/2019 | 8,981 | 8,964,715 | ||||||||
Autoliv ASP, Inc. | 2.772% | 6/7/2019 | 5,000 | 4,998,483 | ||||||||
Total | 42,392,198 | |||||||||||
Automotive 0.48% | ||||||||||||
Ford Motor Credit Co. | 4.39% | 11/25/2019 | 35,163 | 34,599,341 | ||||||||
Ford Motor Credit Co. | 3.91% | 12/4/2019 | 131,905 | 129,678,872 | ||||||||
General Motors Financial Co., Inc. | 2.779% | 6/3/2019 | 47,667 | 47,667,000 | ||||||||
General Motors Financial Co., Inc. | 2.927% | 6/7/2019 | 18,000 | 17,994,240 | ||||||||
Total | 229,939,453 |
320 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Chemicals 0.13% | ||||||||||||
FMC Corp. | 2.999% | 6/10/2019 | $ | 26,000 | $ | 25,985,086 | ||||||
Sherwin Williams Co. | 2.721% | 6/19/2019 | 19,006 | 18,983,362 | ||||||||
Sherwin Williams Co. | 2.74% | 6/11/2019 | 17,499 | 17,488,500 | ||||||||
Total | 62,456,948 | |||||||||||
Containers 0.09% | ||||||||||||
Bemis Co., Inc. | 2.799% | 6/3/2019 | 29,871 | 29,871,000 | ||||||||
WESTROCK Co. | 2.637% | 6/4/2019 | 13,803 | 13,802,003 | ||||||||
Total | 43,673,003 | |||||||||||
Drugs 0.12% | ||||||||||||
Shire Acquisitions Investments Ireland DAC (Ireland)(d) | 1.90% | 9/23/2019 | 17,335 | 17,285,030 | ||||||||
CIGNA Corp. | 2.703% | 6/26/2019 | 39,258 | 39,191,283 | ||||||||
Total | 56,476,313 | |||||||||||
Electric: Power 0.20% | ||||||||||||
Entergy Corp. | 2.616% | 6/3/2019 | 60,127 | 60,127,000 | ||||||||
Hawaiian Electric Co. | 2.779% | 6/4/2019 | 6,941 | 6,940,472 | ||||||||
Hawaiian Electric Co. | 2.79% | 6/4/2019 | 2,000 | 1,999,847 | ||||||||
KCP&L Greater Missouri Operations Co. | 2.637% | 6/3/2019 | 29,869 | 29,869,000 | ||||||||
Total | 98,936,319 | |||||||||||
Electronics 0.33% | ||||||||||||
Arrow Electronics, Inc. | 2.872% | 6/3/2019 | 23,615 | 23,615,000 | ||||||||
Arrow Electronics, Inc. | 2.947% | 6/20/2019 | 43,201 | 43,141,839 | ||||||||
Arrow Electronics, Inc. | 2.948% | 6/5/2019 | 5,000 | 4,999,194 | ||||||||
Arrow Electronics, Inc. | 2.999% | 6/4/2019 | 8,000 | 7,999,345 | ||||||||
Arrow Electronics, Inc. | 2.999% | 6/5/2019 | 5,000 | 4,999,181 | ||||||||
Arrow Electronics, Inc. | 3.00% | 6/4/2019 | 20,500 | 20,498,320 | ||||||||
Hitachi Capital America Corp. | 2.616% | 6/3/2019 | 56,268 | 56,268,000 | ||||||||
Total | 161,520,879 | |||||||||||
Financial Services 0.13% | ||||||||||||
Nasdaq, Inc. | 2.85% | 6/20/2019 | 37,141 | 37,091,892 | ||||||||
Syngenta Wilmington, Inc. | 3.152% | 6/20/2019 | 26,109 | 26,070,779 | ||||||||
Total | 63,162,671 | |||||||||||
Food 0.18% | ||||||||||||
Campbell Soup Co. | 2.773% | 6/19/2019 | 39,040 | 38,992,632 | ||||||||
Campbell Soup Co. | 2.773% | 6/20/2019 | 32,279 | 32,237,387 | ||||||||
Campbell Soup Co. | 2.974% | 9/5/2019 | 18,107 | 17,972,295 | ||||||||
Total | 89,202,314 |
See Notes to Financial Statements. | 321 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Health Care Products 0.10% | ||||||||||||
Boston Scientific Corp. | 2.871% | 7/23/2019 | $ | 9,662 | $ | 9,624,157 | ||||||
Boston Scientific Corp. | 2.872% | 7/23/2019 | 11,767 | 11,720,913 | ||||||||
Boston Scientific Corp. | 2.91% | 8/29/2019 | 19,910 | 19,772,870 | ||||||||
Boston Scientific Corp. | 2.93% | 8/12/2019 | 6,679 | 6,642,053 | ||||||||
Total | 47,759,993 | |||||||||||
Leasing 0.01% | ||||||||||||
Aviation Capital Group Corp. | 2.743% | 6/12/2019 | 4,150 | 4,147,199 | ||||||||
Leisure 0.16% | ||||||||||||
Royal Caribbean Cruises Ltd. | 2.789% | 6/3/2019 | 7,050 | 7,050,000 | ||||||||
Royal Caribbean Cruises Ltd. | 2.926% | 6/18/2019 | 2,600 | 2,596,880 | ||||||||
Royal Caribbean Cruises Ltd. | 3.00% | 6/18/2019 | 15,500 | 15,480,948 | ||||||||
Royal Caribbean Cruises Ltd. | 3.001% | 6/18/2019 | 32,350 | 32,310,236 | ||||||||
Royal Caribbean Cruises Ltd. | 3.021% | 6/7/2019 | 20,000 | 19,993,400 | ||||||||
Total | 77,431,464 | |||||||||||
Lodging 0.02% | ||||||||||||
Marriott International, Inc. | 2.903% | 6/26/2019 | 9,400 | 9,382,884 | ||||||||
Machinery: Agricultural 0.14% | ||||||||||||
BAT International Finance plc | 2.962% | 7/29/2019 | 2,750 | 2,737,594 | ||||||||
BAT International Finance plc | 2.962% | 7/30/2019 | 32,000 | 31,853,067 | ||||||||
Bunge Asset Funding Corp. | 2.687% | 6/3/2019 | 32,357 | 32,357,000 | ||||||||
Total | 66,947,661 | |||||||||||
Manufacturing 0.07% | ||||||||||||
Pentair Finance | 3.043% | 6/6/2019 | 9,052 | 9,049,737 | ||||||||
Pentair Finance | 3.075% | 6/4/2019 | 9,057 | 9,056,238 | ||||||||
Pentair Finance | 3.096% | 6/13/2019 | 13,578 | 13,566,496 | ||||||||
Total | 31,672,471 | |||||||||||
Media 0.11% | ||||||||||||
Cox Enterprises, Inc. | 2.637% | 6/3/2019 | 36,768 | 36,768,000 | ||||||||
Viacom, Inc. | 2.687% | 6/3/2019 | 18,028 | 18,028,000 | ||||||||
Total | 54,796,000 | |||||||||||
Metals & Minerals: Miscellaneous 0.16% | ||||||||||||
Glencore Funding LLC | 2.896% | 6/17/2019 | 78,750 | 78,662,719 |
322 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Natural Gas 0.15% | ||||||||||||
WGL Holdings, Inc. | 2.925% (3 Mo. LIBOR + .40% | )# | 11/29/2019 | $ | 7,775 | $ | 7,760,364 | |||||
Nisource, Inc. | 2.616% | 6/3/2019 | 10,364 | 10,364,000 | ||||||||
Sempra Energy | 2.67% | 6/18/2019 | 35,794 | 35,754,776 | ||||||||
Sempra Energy | 2.68% | 6/10/2019 | 17,700 | 17,690,914 | ||||||||
Total | 71,570,054 | |||||||||||
Oil 0.09% | ||||||||||||
Encana Corp. | 3.09% | 8/1/2019 | 3,000 | 2,985,962 | ||||||||
Noble Energy, Inc. | 2.932% | 6/6/2019 | 40,733 | 40,723,190 | ||||||||
Total | 43,709,152 | |||||||||||
Oil: Crude Producers 1.08% | ||||||||||||
Enable Midstream Partners LP | 3.529% | 6/4/2019 | 5,000 | 4,999,521 | ||||||||
Enable Midstream Partners LP | 3.531% | 6/11/2019 | 24,295 | 24,276,374 | ||||||||
Enable Midstream Partners LP | 3.118% | 6/7/2019 | 4,000 | 3,998,635 | ||||||||
Enbridge, Inc. | 2.852% | 7/18/2019 | 47,708 | 47,541,022 | ||||||||
Enbridge, Inc. | 2.853% | 7/22/2019 | 28,625 | 28,515,907 | ||||||||
Enbridge, Inc. | 2.863% | 7/24/2019 | 45,058 | 44,878,632 | ||||||||
Energy Transfer Partners | 3.042% | 6/3/2019 | 235,013 | 235,013,000 | ||||||||
Energy Transfer Partners | 3.076% | 6/3/2019 | 85,017 | 85,017,000 | ||||||||
Williams Cos., Inc. (The) | 2.718% | 6/3/2019 | 50,146 | 50,146,000 | ||||||||
Total | 524,386,091 | |||||||||||
Real Estate Investment Trusts 0.11% | ||||||||||||
Office Properties Income Trust | 3.75% | 8/15/2019 | 23,435 | 23,455,046 | ||||||||
Welltower, Inc. | 2.734% | 6/28/2019 | 29,302 | 29,247,262 | ||||||||
Total | 52,702,308 | |||||||||||
Telecommunications 0.02% | ||||||||||||
Hughes Satellite Systems Corp. | 6.50% | 6/15/2019 | 11,076 | 11,076,277 | ||||||||
Total Commercial Paper (cost $1,921,468,261) | 1,922,004,371 | |||||||||||
U.S. TREASURY OBLIGATION 0.05% | ||||||||||||
U.S. Treasury Bill (cost $24,610,971) | Zero Coupon | 7/2/2019 | 24,659 | 24,613,293 |
See Notes to Financial Statements. | 323 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Investments | Principal Amount (000) | Fair Value | ||||||
REPURCHASE AGREEMENTS 0.83% | ||||||||
Repurchase Agreement dated 5/31/2019, 1.45% due 6/3/2019 with Fixed Income Clearing Corp. collateralized by $190,005,000 of U.S. Treasury Note at 2.25% due 3/31/2021; value: $191,194,621; proceeds: $187,464,814 | $ | 187,442 | $ | 187,442,164 | ||||
Repurchase Agreement dated 5/31/2019, 2.35% due 6/3/2019 with JPMorgan Chase & Co. collateralized by $30,000,000 of Federal Farm Credit Bank at 3.00% due 6/1/2032; value: $30,203,900; proceeds: $29,838,842 collateralized by $187,650,000 of Federal Home Loan Bank at 2.61% due 11/26/2021; value: $187,800,120; proceeds: $184,203,066 | 214,000 | 214,000,000 | ||||||
Total Repurchase Agreements(cost $401,442,164) | 401,442,164 | |||||||
Total Short-Term Investments(cost $2,347,521,396) | 2,348,059,828 | |||||||
Total Investments in Securities 101.47%(cost $49,085,529,768) | 49,134,340,477 | |||||||
Less Unfunded Loan Commitments (0.01)%(cost $7,347,000) | (7,383,735 | ) | ||||||
Net Investment 101.46%(cost $49,078,182,768) | 49,126,956,742 | |||||||
Liabilities in Excess of Cash, Foreign Cash and Other Assets(l)(1.46%) | (705,722,779 | ) | ||||||
Net Assets 100.00% | $ | 48,421,233,963 |
BRL | Brazilian real. | |
CAD | Canadian dollar. | |
EUR | euro. | |
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, 2019. | |
* | Non-income producing security. | |
(a) | Level 3 Investment as described in Note 2(t) 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. | |
(b) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(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, 2019. | |
(i) | Level 3 Investment as described in Note 2(t) 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. |
324 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
(j) | Interest rate to be determined. |
(k) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. |
(l) | Liabilities in Excess of Cash, Foreign Cash and Other Assets include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and swaps as follows: |
Credit Default Swaps on Indexes–Sell Protection at May 31, 2019:
Referenced Index* | Swap Counterparty | Fund Receives (Quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Appreciation(3) | Credit Default Swap Agreements receivable (payable) at Fair Value(4) | |||||||||||||||||
Markit CMBX. NA.A.6 | Credit Suisse | 2.00% | 5/11/2063 | $ | 30,000,000 | $ | 28,789,110 | $ | (1,210,890 | ) | $ 1,135,010 | $ (75,880) | |||||||||||||
Markit CMBX. NA.AA.6 | Credit Suisse | 1.50% | 5/11/2063 | 27,000,000 | 26,663,934 | (336,060 | ) | 763,133 | 427,073 | ||||||||||||||||
Markit CMBX. NA.A.6 | Deutsche Bank | 2.00% | 5/11/2063 | 45,000,000 | 43,183,666 | (1,816,334 | ) | 1,702,515 | (113,819) | ||||||||||||||||
Markit CMBX. NA.AA.6 | Deutsche Bank | 1.50% | 5/11/2063 | 3,000,000 | 2,962,659 | (37,340 | ) | 84,793 | 47,453 | ||||||||||||||||
Markit CMBX. NA.A.6 | Morgan Stanley | 2.00% | 5/11/2063 | 75,000,000 | 71,972,776 | (3,027,224 | ) | 2,837,526 | (189,698) | ||||||||||||||||
Markit CMBX. NA.AA.6 | Morgan Stanley | 1.50% | 5/11/2063 | 15,000,000 | 14,813,297 | (186,700 | ) | 423,963 | 237,263 | ||||||||||||||||
$ | (6,614,548 | ) | $ 6,946,940 | $ 332,392 |
* | 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 by Central clearinghouse are presented net of amortization (See Note 2(q)). | |
(3) | Total unrealized appreciation on Credit Default Swaps in Indexes amounted to $6,946,940. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $0. | |
(4) | Includes upfront payments received. |
Open Forward Foreign Currency Exchange Contracts at May 31, 2019:
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date |
Foreign | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Appreciation | |||||||||||||
Canadian dollar | Sell | Toronto Dominion Bank | 6/19/2019 | 49,639,000 | $37,343,081 | $36,741,124 | $ | 601,957 | ||||||||||||
euro | Sell | J.P. Morgan | 6/20/2019 | 19,963,000 | 22,827,840 | 22,331,711 | 496,129 | |||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 1,098,086 |
See Notes to Financial Statements. | 325 |
Schedule of Investments (unaudited)(continued)
SHORT DURATION INCOME FUNDMay 31, 2019
Open Futures Contracts at May 31, 2019:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||
U.S. 2-Year Treasury Note | September 2019 | 32,445 | Long | $ | 6,941,515,931 | $ | 6,965,029,017 | $ 23,513,086 | ||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||
U.S. 5-Year Treasury Note | September 2019 | 7,991 | Short | $ | (932,997,436 | ) | $ | (937,881,199 | ) | $ (4,883,763 | ) |
The following is a summary of the inputs used as of May 31, 2019 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 | ||||||||||||||||
Credit Cards | $ | – | $ | 3,499,549,131 | $ | 4,553,234 | $ | 3,504,102,365 | ||||||||
Other | – | 5,344,272,462 | 130,101,539 | 5,474,374,001 | ||||||||||||
Remaining Industries | – | 4,466,205,177 | – | 4,466,205,177 | ||||||||||||
Common Stocks | ||||||||||||||||
Electric: Power | – | 256,284 | – | 256,284 | ||||||||||||
Oil | 8,043,392 | 463,544 | – | 8,506,936 | ||||||||||||
Convertible Bonds | – | 51,188,355 | – | 51,188,355 | ||||||||||||
Corporate Bonds | – | 15,753,570,106 | – | 15,753,570,106 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Aerospace/Defense | – | 57,015,584 | 4,695,763 | 61,711,347 | ||||||||||||
Electrical Equipment | – | – | 55,949,111 | 55,949,111 | ||||||||||||
Entertainment | – | – | 9,414,828 | 9,414,828 | ||||||||||||
Investment Management Companies | – | 37,194,878 | 27,839,698 | 65,034,576 | ||||||||||||
Machinery: Industrial/Specialty | – | – | 85,414,720 | 85,414,720 | ||||||||||||
Miscellaneous | – | 51,336,385 | 12,865,986 | 64,202,371 | ||||||||||||
Oil | – | – | 12,206,660 | 12,206,660 | ||||||||||||
Real Estate Investment Trusts | – | – | 118,376,694 | 118,376,694 | ||||||||||||
Retail | – | 98,670,397 | 993,750 | 99,664,147 | ||||||||||||
Technology | – | 20,789,777 | 17,209,094 | 37,998,871 | ||||||||||||
Remaining Industries | – | 1,074,248,100 | – | 1,074,248,100 | ||||||||||||
Less Unfunded Commitment | – | (7,383,735 | ) | – | (7,383,735 | ) | ||||||||||
Foreign Government Obligations | – | 380,754,731 | – | 380,754,731 | ||||||||||||
Government Sponsored Enterprises | ||||||||||||||||
Collateralized Mortgage Obligations | – | 1,271,577,063 | – | 1,271,577,063 | ||||||||||||
Government Sponsored Enterprises | ||||||||||||||||
Pass-Throughs | – | 370,650,287 | – | 370,650,287 | ||||||||||||
Municipal Bonds | – | 47,747,202 | – | 47,747,202 | ||||||||||||
Non-Agency Commercial | ||||||||||||||||
Mortgage-Backed Securities | – | 12,316,921,752 | 74,102,520 | 12,391,024,272 | ||||||||||||
Preferred Stock | – | – | – | – | ||||||||||||
U.S. Treasury Obligations | – | 1,382,102,445 | – | 1,382,102,445 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | – | 1,922,004,371 | – | 1,922,004,371 | ||||||||||||
Repurchase Agreements | – | 401,442,164 | – | 401,442,164 | ||||||||||||
U.S. Treasury Obligation | – | 24,613,293 | – | 24,613,293 | ||||||||||||
Total | $ | 8,043,392 | $ | 48,565,189,753 | $ | 553,723,597 | $ | 49,126,956,742 |
326 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(concluded)
SHORT DURATION INCOME FUNDMay 31, 2019
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 711,789 | $ | – | $ | 711,789 | ||||||||
Liabilities | – | (379,397 | ) | – | (379,397 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 1,098,086 | – | 1,098,086 | ||||||||||||
Liabilities | – | – | – | – | ||||||||||||
Futures Contracts | ||||||||||||||||
Assets | 23,513,086 | – | – | 23,513,086 | ||||||||||||
Liabilities | (4,883,763 | ) | – | – | (4,883,763 | ) | ||||||||||
Total | $ | 18,629,323 | $ | 1,430,478 | $ | – | $ | 20,059,801 |
(1) | Refer to Note 2(t) 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, 2019. |
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
Investment Type | Asset- Backed Securities | Common Stock | Floating Rate Loans | Non-Agency Commercial Mortgage- Backed Securities | Preferred Stock | |||||||||||||||
Balance as of December 1, 2018 | $ | 74,938,904 | $ | – | $ | 304,351,921 | $ | 72,709,149 | $ | – | ||||||||||
Accrued Discounts (Premiums) | (7,420 | ) | – | 293,406 | 31,797 | – | ||||||||||||||
Realized Gain (Loss) | – | – | 41,584 | – | – | |||||||||||||||
Change in Unrealized Appreciation (Depreciation) | 607,992 | (177,648 | ) | (285,587 | ) | 1,361,575 | (1,526,070 | ) | ||||||||||||
Purchases | 134,054,200 | – | 152,888,308 | – | 117,317 | |||||||||||||||
Sales | – | – | (161,374,495 | ) | – | – | ||||||||||||||
Transfers into Level 3 | – | 177,648 | 49,051,167 | – | 1,408,753 | |||||||||||||||
Transfers out of Level 3 | (74,938,904 | ) | – | – | – | – | ||||||||||||||
Balance as of May 31, 2019 | $ | 134,654,772 | $ | – | $ | 344,966,304 | $ | 74,102,521 | $ | – | ||||||||||
Change in unrealized appreciation/depreciation for the period ended May 31, 2019, related to Level 3 investments held at May 31, 2019 | $ | 607,992 | $ | (177,648 | ) | $ | (285,587 | ) | $ | 1,361,575 | $ | (1,526,070 | ) |
See Notes to Financial Statements. | 327 |
Schedule of Investments (unaudited)
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 128.53% | ||||||||||||
ASSET-BACKED SECURITIES 24.11% | ||||||||||||
Automobiles 13.45% | ||||||||||||
ACC Trust 2018-1 B† | 4.82% | 5/20/2021 | $ | 1,922 | $ | 1,932,724 | ||||||
ACC Trust 2018-1 C† | 6.81% | 2/21/2023 | 1,490 | 1,513,182 | ||||||||
ACC Trust 2019-1 B† | 4.47% | 10/20/2022 | 3,041 | 3,109,435 | ||||||||
ACC Trust 2019-1 C† | 6.41% | 2/20/2024 | 1,000 | 1,029,662 | ||||||||
Ally Auto Receivables Trust 2016-1 B | 1.99% | 3/15/2021 | 13,203 | 13,177,401 | ||||||||
Ally Auto Receivables Trust 2017-5 A2 | 1.81% | 6/15/2020 | 38 | 38,153 | ||||||||
American Credit Acceptance Receivables Trust 2016-2 C† | 6.09% | 5/12/2022 | 1,489 | 1,504,684 | ||||||||
American Credit Acceptance Receivables Trust 2018-4 A† | 3.38% | 12/13/2021 | 7,242 | 7,263,338 | ||||||||
American Credit Acceptance Receivables Trust 2019-2 B† | 3.05% | 5/12/2023 | 7,113 | 7,143,182 | ||||||||
AmeriCredit Automobile Receivables Trust 2015-2 C | 2.40% | 1/8/2021 | 3,524 | 3,522,597 | ||||||||
AmeriCredit Automobile Receivables Trust 2015-2 D | 3.00% | 6/8/2021 | 8,749 | 8,761,901 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-2 C | 2.97% | 3/20/2023 | 4,919 | 4,960,182 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-3 A2A | 1.69% | 12/18/2020 | 62 | 62,070 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-3 B | 2.24% | 6/19/2023 | 2,022 | 2,018,101 | ||||||||
AmeriCredit Automobile Receivables Trust 2018-2 A2A | 2.86% | 11/18/2021 | 15,503 | 15,524,816 | ||||||||
AmeriCredit Automobile Receivables Trust 2018-3 A2A | 3.11% | 1/18/2022 | 4,956 | 4,967,849 | ||||||||
AmeriCredit Automobile Receivables Trust 2018-3 A2B | 2.691% (1 Mo. LIBOR + .25% | )# | 1/18/2022 | 4,956 | 4,956,515 | |||||||
AmeriCredit Automobile Receivables Trust 2019-1 A2A | 2.93% | 6/20/2022 | 5,971 | 5,994,085 | ||||||||
AmeriCredit Automobile Receivables Trust 2019-1 A2B | 2.701% (1 Mo. LIBOR + .26% | )# | 6/20/2022 | 6,600 | 6,603,215 | |||||||
Avis Budget Rental Car Funding AESOP LLC 2014-1A A† | 2.46% | 7/20/2020 | 1,196 | 1,195,691 | ||||||||
BMW Vehicle Lease Trust 2019-1 A2 | 2.79% | 3/22/2021 | 6,692 | 6,714,556 | ||||||||
BMW Vehicle Owner Trust 2018-A A2A | 2.09% | 11/25/2020 | 4,277 | 4,272,405 | ||||||||
California Republic Auto Receivables Trust 2015-1 A4 | 1.82% | 9/15/2020 | 46 | 46,396 |
328 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
California Republic Auto Receivables Trust 2015-2 B | 2.53% | 6/15/2021 | $ | 5,940 | $ | 5,931,167 | ||||||
California Republic Auto Receivables Trust 2015-3 B | 2.70% | 9/15/2021 | 750 | 749,379 | ||||||||
California Republic Auto Receivables Trust 2016-2 A4 | 1.83% | 12/15/2021 | 2,657 | 2,646,142 | ||||||||
California Republic Auto Receivables Trust 2016-2 B | 2.52% | 5/16/2022 | 2,393 | 2,389,170 | ||||||||
California Republic Auto Receivables Trust 2017-1 A3 | 1.90% | 3/15/2021 | 1,414 | 1,413,274 | ||||||||
California Republic Auto Receivables Trust 2017-1 B | 2.91% | 12/15/2022 | 1,716 | 1,721,096 | ||||||||
California Republic Auto Receivables Trust 2018-1 A2 | 2.86% | 3/15/2021 | 5,537 | 5,538,248 | ||||||||
California Republic Auto Receivables Trust 2018-1 B | 3.56% | 3/15/2023 | 6,833 | 6,984,720 | ||||||||
Capital Auto Receivables Asset Trust 2017-1 B† | 2.43% | 5/20/2022 | 3,190 | 3,194,354 | ||||||||
Capital Auto Receivables Asset Trust 2017-1 C† | 2.70% | 9/20/2022 | 4,537 | 4,522,885 | ||||||||
Capital Auto Receivables Asset Trust 2017-1 D† | 3.15% | 2/20/2025 | 2,950 | 2,960,196 | ||||||||
Capital Auto Receivables Asset Trust 2018-1 A3† | 2.79% | 1/20/2022 | 12,897 | 12,925,903 | ||||||||
Capital Auto Receivables Asset Trust 2018-2 C† | 3.69% | 12/20/2023 | 4,810 | 4,881,220 | ||||||||
CarMax Auto Owner Trust 2016-3 A3 | 1.39% | 5/17/2021 | 1,307 | 1,303,023 | ||||||||
CarMax Auto Owner Trust 2018-3 A2A | 2.88% | 10/15/2021 | 4,694 | 4,703,384 | ||||||||
Chesapeake Funding II LLC 2016-1A A1† | 2.11% | 3/15/2028 | 336 | 335,496 | ||||||||
Chesapeake Funding II LLC 2016-2A A1† | 1.88% | 6/15/2028 | 5,928 | 5,911,303 | ||||||||
Chesapeake Funding II LLC 2017-2A A1† | 1.99% | 5/15/2029 | 2,854 | 2,840,422 | ||||||||
Chesapeake Funding II LLC 2017-3A A1† | 1.91% | 8/15/2029 | 6,337 | 6,303,280 | ||||||||
Chrysler Capital Auto Receivables Trust 2016-AA B† | 2.88% | 6/15/2022 | 1,265 | 1,265,223 | ||||||||
Chrysler Capital Auto Receivables Trust 2016-AA C† | 3.25% | 6/15/2022 | 888 | 890,511 | ||||||||
CPS Auto Receivables Trust 2016-B D† | 6.58% | 3/15/2022 | 1,010 | 1,058,754 | ||||||||
CPS Auto Receivables Trust 2017-D A† | 1.87% | 3/15/2021 | 574 | 573,714 | ||||||||
CPS Auto Receivables Trust 2018-A B† | 2.77% | 4/18/2022 | 1,428 | 1,427,849 | ||||||||
CPS Auto Receivables Trust 2018-A C† | 3.05% | 12/15/2023 | 1,277 | 1,282,408 | ||||||||
CPS Auto Receivables Trust 2018-B D† | 4.26% | 3/15/2024 | 2,879 | 2,972,367 | ||||||||
CPS Auto Trust 2018-C A† | 2.87% | 9/15/2021 | 3,395 | 3,396,123 | ||||||||
CPS Auto Trust 2018-C B† | 3.43% | 7/15/2022 | 2,173 | 2,188,268 | ||||||||
Drive Auto Receivables Trust 2015-BA E† | 5.15% | 8/15/2022 | 9,500 | 9,521,364 | ||||||||
Drive Auto Receivables Trust 2015-DA D† | 4.59% | 1/17/2023 | 3,477 | 3,500,147 | ||||||||
Drive Auto Receivables Trust 2016-BA C† | 3.19% | 7/15/2022 | 101 | 100,786 | ||||||||
Drive Auto Receivables Trust 2016-BA D† | 4.53% | 8/15/2023 | 6,742 | 6,815,511 |
See Notes to Financial Statements. | 329 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Drive Auto Receivables Trust 2016-CA C† | 3.02% | 11/15/2021 | $ | 1,889 | $ | 1,889,950 | ||||||
Drive Auto Receivables Trust 2016-CA D† | 4.18% | 3/15/2024 | 1,735 | 1,755,599 | ||||||||
Drive Auto Receivables Trust 2017-1 E | 5.17% | 9/16/2024 | 5,859 | 6,065,851 | ||||||||
Drive Auto Receivables Trust 2017-3 C | 2.80% | 7/15/2022 | 8,464 | 8,465,887 | ||||||||
Drive Auto Receivables Trust 2017-AA D† | 4.16% | 5/15/2024 | 2,964 | 3,013,250 | ||||||||
Drive Auto Receivables Trust 2017-BA E† | 5.30% | 7/15/2024 | 25,156 | 25,987,889 | ||||||||
Drive Auto Receivables Trust 2018-3 A3 | 3.01% | 11/15/2021 | 4,468 | 4,469,267 | ||||||||
Drive Auto Receivables Trust 2018-3 B | 3.37% | 9/15/2022 | 2,717 | 2,727,066 | ||||||||
Drive Auto Receivables Trust 2018-3 C | 3.72% | 9/16/2024 | 6,477 | �� | 6,573,329 | |||||||
Drive Auto Receivables Trust 2018-4 A2A | 2.78% | 10/15/2020 | 7 | 6,964 | ||||||||
Drive Auto Receivables Trust 2018-4 A3 | 3.04% | 11/15/2021 | 10,037 | 10,044,064 | ||||||||
Drive Auto Receivables Trust 2018-5 A2A | 3.08% | 7/15/2021 | 4,461 | 4,463,810 | ||||||||
Drive Auto Receivables Trust 2018-5 A2B | 2.76% (1 Mo. LIBOR + .32% | )# | 7/15/2021 | 3,658 | 3,658,864 | |||||||
Drive Auto Receivables Trust 2019-2 A2A | 2.93% | 3/15/2022 | 10,456 | 10,473,754 | ||||||||
Enterprise Fleet Financing LLC 2017-1 A2† | 2.13% | 7/20/2022 | 1,044 | 1,041,117 | ||||||||
Enterprise Fleet Financing LLC 2018-1 A2† | 2.87% | 10/20/2023 | 2,644 | 2,650,838 | ||||||||
First Investors Auto Owner Trust 2017-2A A1† | 1.86% | 10/15/2021 | 1,170 | 1,168,727 | ||||||||
First Investors Auto Owner Trust 2017-3A A2† | 2.41% | 12/15/2022 | 3,932 | 3,929,458 | ||||||||
First Investors Auto Owner Trust 2018-2A A1† | 3.23% | 12/15/2022 | 4,509 | 4,530,939 | ||||||||
Flagship Credit Auto Trust 2017-3 A† | 1.88% | 10/15/2021 | 1,106 | 1,102,368 | ||||||||
Flagship Credit Auto Trust 2017-3 B† | 2.59% | 7/15/2022 | 2,205 | 2,200,870 | ||||||||
Flagship Credit Auto Trust 2017-4 A† | 2.07% | 4/15/2022 | 1,950 | 1,942,980 | ||||||||
Flagship Credit Auto Trust 2018-1 A† | 2.59% | 6/15/2022 | 3,297 | 3,294,400 | ||||||||
Flagship Credit Auto Trust 2018-3 A† | 3.07% | 2/15/2023 | 11,460 | 11,505,663 | ||||||||
Flagship Credit Auto Trust 2018-3 B† | 3.59% | 12/16/2024 | 4,766 | 4,856,698 | ||||||||
Ford Credit Auto Lease Trust 2017-B A2A | 1.80% | 6/15/2020 | 775 | 774,304 | ||||||||
Ford Credit Auto Owner Trust 2014-2 A† | 2.31% | 4/15/2026 | 18,526 | 18,504,093 | ||||||||
Ford Credit Auto Owner Trust 2017-2 B† | 2.60% | 3/15/2029 | 760 | 758,671 | ||||||||
Foursight Capital Automobile Receivables Trust 2016-1 A2† | 2.87% | 10/15/2021 | 603 | 603,508 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 A2† | 2.85% | 8/16/2021 | 2,252 | 2,252,149 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 A3† | 3.24% | 9/15/2022 | 5,179 | 5,208,713 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 B† | 3.53% | 4/17/2023 | 1,758 | 1,786,762 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 C† | 3.68% | 8/15/2023 | 962 | 981,438 |
330 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
GM Financial Consumer Automobile Receivables Trust 2017-3A A2A† | 1.71% | 9/16/2020 | $ | 1,009 | $ | 1,008,624 | ||||||
Harley-Davidson Motorcycle Trust 2015-2 A4 | 1.66% | 12/15/2022 | 282 | 281,547 | ||||||||
Honda Auto Receivables Owner Trust 2016-2 A3 | 1.39% | 4/15/2020 | 90 | 89,645 | ||||||||
Honda Auto Receivables Owner Trust 2019-1 A2 | 2.75% | 9/20/2021 | 14,300 | 14,347,354 | ||||||||
Hyundai Auto Lease Securitization Trust2017-C A2A† | 1.89% | 3/16/2020 | 1,457 | 1,455,984 | ||||||||
Mercedes-Benz Auto Lease Trust 2018-A A2 | 2.20% | 4/15/2020 | 2,244 | 2,242,838 | ||||||||
Mercedes-Benz Auto Lease Trust 2018-B A2 | 3.04% | 12/15/2020 | 14,619 | 14,647,658 | ||||||||
Mercedes-Benz Auto Receivables Trust 2016-1 A3 | 1.26% | 2/16/2021 | 1,047 | 1,042,860 | ||||||||
Nissan Auto Receivables Owner Trust 2016-A A3 | 1.34% | 10/15/2020 | 512 | 510,703 | ||||||||
Santander Drive Auto Receivables Trust 2014-5 E | 4.23% | 4/15/2022 | 7,125 | 7,132,128 | ||||||||
Santander Drive Auto Receivables Trust 2015-2 D | 3.02% | 4/15/2021 | 5,165 | 5,168,702 | ||||||||
Santander Drive Auto Receivables Trust 2015-2 E† | 4.02% | 9/15/2022 | 13,458 | 13,511,600 | ||||||||
Santander Drive Auto Receivables Trust 2015-4 C | 2.97% | 3/15/2021 | 2,306 | 2,306,121 | ||||||||
Santander Drive Auto Receivables Trust 2015-4 E† | 4.54% | 11/15/2022 | 21,300 | 21,504,516 | ||||||||
Santander Drive Auto Receivables Trust 2015-5 C | 2.74% | 12/15/2021 | 544 | 544,346 | ||||||||
Santander Drive Auto Receivables Trust 2016-1 E | 5.02% | 6/15/2023 | 14,124 | 14,352,142 | ||||||||
Santander Drive Auto Receivables Trust 2016-2 E | 4.38% | 9/15/2023 | 17,024 | 17,291,546 | ||||||||
Santander Drive Auto Receivables Trust 2016-3 B | 1.89% | 6/15/2021 | 45 | 44,716 | ||||||||
Santander Drive Auto Receivables Trust 2017-3 C | 2.76% | 12/15/2022 | 1,349 | 1,352,186 | ||||||||
Santander Drive Auto Receivables Trust 2018-3 A2A | 2.78% | 3/15/2021 | 2,093 | 2,093,246 | ||||||||
SunTrust Auto Receivables Trust 2015-1A A4† | 1.78% | 1/15/2021 | 768 | 767,773 | ||||||||
SunTrust Auto Receivables Trust 2015-1A D† | 3.24% | 1/16/2023 | 4,877 | 4,876,956 | ||||||||
TCF Auto Receivables Owner Trust 2015-1A B† | 2.49% | 4/15/2021 | 3,976 | 3,975,015 | ||||||||
TCF Auto Receivables Owner Trust 2016-PT1A B† | 2.92% | 10/17/2022 | 4,025 | 4,041,884 | ||||||||
Wheels SPV 2 LLC 2018-1A A2† | 3.06% | 4/20/2027 | 3,417 | 3,432,097 | ||||||||
World Omni Select Auto Trust 2018-1A A2† | 3.24% | 4/15/2022 | 7,543 | 7,567,576 | ||||||||
Total | 522,838,830 | |||||||||||
Credit Cards 3.28% | ||||||||||||
American Express Credit Account Master Trust 2017-1 A | 1.93% | 9/15/2022 | 9,783 | 9,747,810 | ||||||||
Barclays Dryrock Issuance Trust 2014-3 A | 2.41% | 7/15/2022 | 5,974 | 5,971,185 | ||||||||
Capital One Multi-Asset Execution Trust 2016-A4 | 1.33% | 6/15/2022 | 8,015 | 7,995,306 | ||||||||
Chase Issuance Trust 2012-A4 | 1.58% | 8/15/2021 | 5,294 | 5,283,646 | ||||||||
Citibank Credit Card Issuance Trust 2017-A9 | 1.80% | 9/20/2021 | 13,438 | 13,408,165 | ||||||||
Discover Card Execution Note Trust 2012-A6 | 1.67% | 1/18/2022 | 19,224 | 19,203,309 | ||||||||
Discover Card Execution Note Trust 2014-A4 | 2.12% | 12/15/2021 | 6,301 | 6,299,173 |
See Notes to Financial Statements. | 331 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Credit Cards (continued) | ||||||||||||
Discover Card Execution Note Trust 2016-A4 | 1.39% | 3/15/2022 | $ | 18,062 | $ | 18,003,786 | ||||||
GE Capital Credit Card Master Note Trust 2012-7 A | 1.76% | 9/15/2022 | 13,584 | 13,554,670 | ||||||||
Genesis Sales Finance Master Trust Series 2019-AA A† | 4.68% | 8/20/2023 | 4,127 | 4,205,583 | ||||||||
Genesis Sales Finance Master Trust Series 2019-AA B† | 5.42% | 8/20/2023 | 1,150 | 1,173,691 | ||||||||
Genesis Sales Finance Master Trust Series 2019-AA C† | 6.88% | 8/20/2023 | 1,700 | 1,731,011 | ||||||||
Synchrony Credit Card Master Note Trust 2016-3 A | 1.58% | 9/15/2022 | 5,553 | 5,537,188 | ||||||||
World Financial Network Credit Card Master Trust 2017-B A | 1.98% | 6/15/2023 | 8,959 | 8,957,556 | ||||||||
World Financial Network Credit Card Master Trust 2017-C M | 2.66% | 8/15/2024 | 6,515 | 6,508,155 | ||||||||
Total | 127,580,234 | |||||||||||
Home Equity 0.14% | ||||||||||||
New Century Home Equity Loan Trust 2005-A A6 | 4.683% | 8/25/2035 | 330 | 331,337 | ||||||||
Towd Point Mortgage Trust 2019-HY2 A1† | 3.43% (1 Mo. LIBOR + 1.00% | )# | 5/25/2058 | 4,971 | 5,015,055 | |||||||
Total | 5,346,392 | |||||||||||
Other 7.24% | ||||||||||||
Access Point Funding I LLC 2017-A† | 3.06% | 4/15/2029 | 717 | 716,019 | ||||||||
ALM VII Ltd. 2012-7A A1R† | 4.077% (3 Mo. LIBOR + 1.48% | )# | 10/15/2028 | 6,632 | 6,643,880 | |||||||
Apidos CLO XVI 2013-16A CR† | 5.592% (3 Mo. LIBOR + 3.00% | )# | 1/19/2025 | 1,250 | 1,251,645 | |||||||
Ares XXIX CLO Ltd. 2014-1A A1R† | 3.778% (3 Mo. LIBOR + 1.19% | )# | 4/17/2026 | 3,185 | 3,188,258 | |||||||
Ares XXXIII CLO Ltd. 2015-1A A1R† | 3.949% (3 Mo. LIBOR + 1.35% | )# | 12/5/2025 | 740 | 740,260 | |||||||
Ascentium Equipment Receivables Trust 2016-2A A3† | 1.65% | 5/10/2022 | 428 | 427,084 | ||||||||
Ascentium Equipment Receivables Trust 2016-2A B† | 2.50% | 9/12/2022 | 1,200 | 1,197,951 | ||||||||
Ascentium Equipment Receivables Trust 2017-1A A3† | 2.29% | 6/10/2021 | 957 | 955,730 | ||||||||
Avery Point IV CLO Ltd. 2014-1A BR† | 4.18% (3 Mo. LIBOR + 1.60% | )# | 4/25/2026 | 2,019 | 2,021,433 | |||||||
Avery Point VII CLO Ltd. 2015-7A A1† | 4.097% (3 Mo. LIBOR + 1.50% | )# | 1/15/2028 | 8,181 | 8,185,995 | |||||||
Benefit Street Partners CLO IV Ltd. 2014-IVA A1RR† | 3.842% (3 Mo. LIBOR + 1.25% | )# | 1/20/2029 | 11,000 | 11,003,110 | |||||||
Cedar Funding VI CLO Ltd. 2016-6A BR† | 4.192% (3 Mo. LIBOR + 1.60% | )# | 10/20/2028 | 3,950 | 3,926,691 | |||||||
Conn’s Receivables Funding LLC 2017-B C† | 5.95% | 11/15/2022 | 7,326 | 7,427,737 | ||||||||
Daimler Trucks Retail Trust 2018-1 A2† | 2.60% | 5/15/2020 | 2,885 | 2,884,174 | ||||||||
Diamond Resorts Owner Trust 2016-1 A† | 3.08% | 11/20/2028 | 344 | 346,965 |
332 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Diamond Resorts Owner Trust 2017-1A B† | 4.11% | 10/22/2029 | $ | 2,491 | $ | 2,531,464 | ||||||
DLL LLC 2018-ST2 A2† | 3.14% | 10/20/2020 | 11,331 | 11,350,310 | ||||||||
DRB Prime Student Loan Trust 2015-D A2† | 3.20% | 1/25/2040 | 5,645 | 5,685,450 | ||||||||
Engs Commercial Finance Trust 2018-1A A1† | 2.97% | 2/22/2021 | 4,426 | 4,429,390 | ||||||||
Fairstone Financial Issuance Trust I 2019-1A A†(a) | 3.948% | 3/21/2033 | CAD | 1,446 | 1,081,109 | |||||||
Fairstone Financial Issuance Trust I 2019-1A B†(a) | 5.084% | 3/21/2033 | CAD | 650 | 485,672 | (b) | ||||||
Fairstone Financial Issuance Trust I 2019-1A C†(a) | 6.299% | 3/21/2033 | CAD | 1,218 | 908,390 | (b) | ||||||
Fairstone Financial Issuance Trust I 2019-1A D†(a) | 7.257% | 3/21/2033 | CAD | 719 | 536,564 | (b) | ||||||
Ford Credit Floorplan Master Owner Trust 2018-4 A | 4.06% | 11/15/2030 | $ | 4,576 | 4,888,046 | |||||||
Galaxy XXI CLO Ltd. 2015-21A AR† | 3.612% (3 Mo. LIBOR + 1.02% | )# | 4/20/2031 | 1,970 | 1,946,302 | |||||||
Halcyon Loan Advisors Funding Ltd. 2015-2A CR† | 4.73% (3 Mo. LIBOR + 2.15% | )# | 7/25/2027 | 1,496 | 1,491,213 | |||||||
Hardee’s Funding LLC 2018-1A A2II† | 4.959% | 6/20/2048 | 7,792 | 8,253,434 | ||||||||
ICG US CLO Ltd. 2015-2A AR† | 3.451% (3 Mo. LIBOR + .85% | )# | 1/16/2028 | 8,495 | 8,447,479 | |||||||
Jamestown CLO VII Ltd. 2015-7A CR† | 5.18% (3 Mo. LIBOR + 2.60% | )# | 7/25/2027 | 4,209 | 4,188,461 | |||||||
JFIN CLO Ltd. 2014-1A B1R† | 4.042% (3 Mo. LIBOR + 1.45% | )# | 4/21/2025 | 4,500 | 4,500,220 | |||||||
KVK CLO Ltd. 2016-1A C† | 5.747% (3 Mo. LIBOR + 3.15% | )# | 1/15/2029 | 4,936 | 4,978,288 | |||||||
Madison Park Funding XXI Ltd. 2016-21A A1† | 4.11% (3 Mo. LIBOR + 1.53% | )# | 7/25/2029 | 2,129 | 2,137,838 | |||||||
Massachusetts Educational Financing Authority 2008-1 A1 | 3.53% (3 Mo. LIBOR + .95% | )# | 4/25/2038 | 3,165 | 3,181,684 | |||||||
Mountain View CLO X Ltd. 2015-10A BR† | 3.947% (3 Mo. LIBOR + 1.35% | )# | 10/13/2027 | 4,300 | 4,267,006 | |||||||
Navient Private Education Refi Loan Trust 2018-DA A2A† | 4.00% | 12/15/2059 | 3,732 | 3,892,165 | ||||||||
OHA Loan Funding Ltd. 2016-1A B1† | 4.392% (3 Mo. LIBOR + 1.80% | )# | 1/20/2028 | 12,625 | 12,631,367 | |||||||
OneMain Financial Issuance Trust 2016-1A A† | 3.66% | 2/20/2029 | 1,247 | 1,251,949 | ||||||||
OneMain Financial Issuance Trust 2016-2A B† | 5.94% | 3/20/2028 | 309 | 310,387 | ||||||||
Orange Lake Timeshare Trust 2019-A† | 3.06% | 4/9/2038 | 1,493 | 1,505,904 | ||||||||
Orec Ltd. 2018-CRE1 A† | 3.62% (1 Mo. LIBOR + 1.18% | )# | 6/15/2036 | 6,539 | 6,543,250 | |||||||
Palmer Square Loan Funding Ltd. 2017-1A B† | 4.297% (3 Mo. LIBOR + 1.70% | )# | 10/15/2025 | 3,500 | 3,447,663 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A1† | 3.197% (3 Mo. LIBOR + .60% | )# | 4/15/2026 | 6,649 | 6,622,294 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A2† | 3.647% (3 Mo. LIBOR + 1.05% | )# | 4/15/2026 | 2,878 | 2,819,526 |
See Notes to Financial Statements. | 333 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Palmer Square Loan Funding Ltd. 2018-1A B† | 3.997% (3 Mo. LIBOR + 1.40% | )# | 4/15/2026 | $ | 2,179 | $ | 2,103,072 | |||||
Palmer Square Loan Funding Ltd. 2018-5A A1† | 3.442% (3 Mo. LIBOR + .85% | )# | 1/20/2027 | 6,460 | 6,448,021 | |||||||
Palmer Square Loan Funding Ltd. 2018-5A A2† | 3.992% (3 Mo. LIBOR + 1.40% | )# | 1/20/2027 | 1,618 | 1,593,583 | |||||||
Pennsylvania Higher Education Assistance Agency 2006-1 B | 2.85% (3 Mo. LIBOR + .27% | )# | 4/25/2038 | 1,834 | 1,731,140 | |||||||
PFS Financing Corp. 2018-B† | 3.08% | 2/15/2023 | 3,180 | 3,188,225 | ||||||||
Regatta VI Funding Ltd. 2016-1A CR† | 4.642% (3 Mo. LIBOR + 2.05% | )# | 7/20/2028 | 3,106 | 3,097,944 | |||||||
Riserva CLO Ltd. 2016-3A A† | 4.061% (3 Mo. LIBOR + 1.46% | )# | 10/18/2028 | 1,066 | 1,066,683 | |||||||
SCF Equipment Leasing LLC 2017-2A A† | 3.41% | 12/20/2023 | 1,808 | 1,822,236 | ||||||||
SCF Equipment Leasing LLC 2018-1A A2† | 3.63% | 10/20/2024 | 7,103 | 7,155,627 | ||||||||
SCF Equipment Leasing LLC 2019-1A C† | 3.92% | 11/20/2026 | 13,901 | 14,213,558 | ||||||||
Shackleton CLO Ltd. 2016-9A B† | 4.492% (3 Mo. LIBOR + 1.90% | )# | 10/20/2028 | 3,333 | 3,337,077 | |||||||
SLC Student Loan Trust 2008-1 A4A | 4.211% (3 Mo. LIBOR + 1.60% | )# | 12/15/2032 | 11,004 | 11,243,535 | |||||||
SLM Private Education Loan Trust 2010-A 2A† | 5.69% (1 Mo. LIBOR + 3.25% | )# | 5/16/2044 | 306 | 308,138 | |||||||
Sound Point CLO XI Ltd. 2016-1A AR† | 3.692% (3 Mo. LIBOR + 1.10% | )# | 7/20/2028 | 3,749 | 3,752,776 | |||||||
Sound Point CLO XII Ltd. 2016-2A CR† | 5.192% (3 Mo. LIBOR + 2.60% | )# | 10/20/2028 | 5,210 | 5,217,685 | |||||||
Sound Point CLO XV Ltd. 2017-1A C† | 5.092% (3 Mo. LIBOR + 2.50% | )# | 1/23/2029 | 3,701 | 3,702,608 | |||||||
TCI-Symphony CLO Ltd. 2016-1A A† | 4.077% (3 Mo. LIBOR + 1.48% | )# | 10/13/2029 | 1,134 | 1,136,899 | |||||||
Textainer Marine Containers VII Ltd. 2019-1A A† | 4.30% | 4/20/2044 | 4,219 | 4,335,204 | ||||||||
THL Credit Wind River CLO Ltd. 2012-1A BR† | 4.447% (3 Mo. LIBOR + 1.85% | )# | 1/15/2026 | 3,000 | 3,001,272 | |||||||
Towd Point Asset Trust 2018-SL1 A† | 3.077% (1 Mo. LIBOR + .60% | )# | 1/25/2046 | 6,082 | 6,007,435 | |||||||
TPG Real Estate Finance Issuer Ltd. 2018-FL2 A† | 3.562% (1 Mo. LIBOR + 1.13% | )# | 11/15/2037 | 6,669 | 6,673,168 | |||||||
Tralee CLO III Ltd. 2014-3A AR† | 3.622% (3 Mo. LIBOR + 1.03% | )# | 10/20/2027 | 10,067 | 10,059,534 | |||||||
Westgate Resorts LLC 2018-1A A† | 3.38% | 12/20/2031 | 2,623 | 2,643,744 |
334 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
WhiteHorse VIII Ltd. 2014-1A AR† | 3.479% (3 Mo. LIBOR + .90% | )# | 5/1/2026 | $ | 6,960 | $ | 6,948,197 | |||||
Wingstop Funding LLC 2018-1 A2† | 4.97% | 12/5/2048 | 5,398 | 5,650,896 | ||||||||
Total | 281,668,014 | |||||||||||
Total Asset-Backed Securities (cost $933,906,266) | 937,433,470 | |||||||||||
Shares (000) | ||||||||||||
COMMON STOCKS 0.00% | ||||||||||||
Electric: Power 0.00% | ||||||||||||
Eneva SA*(a) | BRL | 3 | 14,213 | |||||||||
Oil 0.00% | ||||||||||||
Dommo Energia SA*(a) | BRL | 305 | 25,738 | |||||||||
Total Common Stocks (cost $139,928) | 39,951 | |||||||||||
Principal Amount (000) | ||||||||||||
CORPORATE BONDS 27.56% | ||||||||||||
Aerospace/Defense 0.28% | ||||||||||||
Kratos Defense & Security Solutions, Inc.† | 6.50% | 11/30/2025 | $ | 5,299 | 5,603,692 | |||||||
TransDigm, Inc. | 6.375% | 6/15/2026 | 5,527 | 5,451,004 | ||||||||
Total | 11,054,696 | |||||||||||
Apparel 0.07% | ||||||||||||
PVH Corp. | 7.75% | 11/15/2023 | 2,290 | 2,577,716 | ||||||||
Auto Parts: Original Equipment 0.13% | ||||||||||||
Aptiv plc (Ireland)(c) | 4.35% | 3/15/2029 | 1,482 | 1,531,674 | ||||||||
ZF North America Capital, Inc.† | 4.75% | 4/29/2025 | 3,370 | 3,363,924 | ||||||||
Total | 4,895,598 | |||||||||||
Automotive 0.87% | ||||||||||||
Aston Martin Capital Holdings Ltd. (Jersey)†(c) | 6.50% | 4/15/2022 | 1,797 | 1,752,075 | ||||||||
Daimler Finance North America LLC† | 3.75% | 2/22/2028 | 7,425 | 7,615,950 | ||||||||
Ford Motor Co. | 7.45% | 7/16/2031 | 10,643 | 12,076,104 | ||||||||
General Motors Co. | 6.60% | 4/1/2036 | 10,296 | 10,805,366 | ||||||||
Tesla, Inc.† | 5.30% | 8/15/2025 | 1,953 | 1,599,058 | ||||||||
Total | 33,848,553 |
See Notes to Financial Statements. | 335 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional 7.11% | ||||||||||||
Akbank T AS (Turkey)†(c) | 4.00% | 1/24/2020 | $ | 2,450 | $ | 2,413,495 | ||||||
Banco de Credito e Inversiones SA (Chile)†(c) | 3.50% | 10/12/2027 | 3,725 | 3,685,422 | ||||||||
Bank of America Corp. | 3.593% (3 Mo. LIBOR + 1.37% | )# | 7/21/2028 | 32,506 | 32,868,256 | |||||||
Bank of America Corp. | 3.95% | 4/21/2025 | 2,775 | 2,845,238 | ||||||||
Bank of America Corp. | 4.00% | 1/22/2025 | 4,554 | 4,705,780 | ||||||||
Bank of America Corp. | 4.45% | 3/3/2026 | 2,000 | 2,110,376 | ||||||||
Citigroup, Inc. | 3.887% (3 Mo. LIBOR + 1.56% | )# | 1/10/2028 | 18,424 | 18,972,937 | |||||||
Citigroup, Inc. | 3.98% | #(d) | 3/20/2030 | 8,361 | 8,658,161 | |||||||
Citigroup, Inc. | 4.45% | 9/29/2027 | 4,060 | 4,251,448 | ||||||||
Danske Bank A/S (Denmark)†(c) | 4.375% | 6/12/2028 | 1,503 | 1,496,524 | ||||||||
Goldman Sachs Group, Inc. (The) | 4.223% | #(d) | 5/1/2029 | 3,428 | 3,565,135 | |||||||
Goldman Sachs Group, Inc. (The) | 6.25% | 2/1/2041 | 3,848 | 4,914,336 | ||||||||
JPMorgan Chase & Co. | 3.54% (3 Mo. LIBOR + 1.38% | )# | 5/1/2028 | 3,733 | 3,777,356 | |||||||
JPMorgan Chase & Co. | 3.782% (3 Mo. LIBOR + 1.34% | )# | 2/1/2028 | 32,740 | 33,814,622 | |||||||
Macquarie Group Ltd. (Australia)†(c) | 4.654% | #(d) | 3/27/2029 | 9,640 | 10,260,934 | |||||||
Morgan Stanley | 3.625% | 1/20/2027 | 13,323 | 13,582,905 | ||||||||
Morgan Stanley | 3.875% | 1/27/2026 | 6,664 | 6,930,039 | ||||||||
Morgan Stanley | 4.00% | 7/23/2025 | 13,805 | 14,448,370 | ||||||||
Morgan Stanley | 7.25% | 4/1/2032 | 523 | 711,301 | ||||||||
Popular, Inc. | 6.125% | 9/14/2023 | 683 | 713,735 | ||||||||
Santander UK plc (United Kingdom)†(c) | 5.00% | 11/7/2023 | 1,480 | 1,539,292 | ||||||||
Santander UK plc (United Kingdom)(c) | 7.95% | 10/26/2029 | 4,693 | 5,813,552 | ||||||||
Toronto-Dominion Bank (The) (Canada)(c) | 3.625% (5 Yr. Swap + 2.21% | )# | 9/15/2031 | 19,023 | 19,111,214 | |||||||
Turkiye Garanti Bankasi AS (Turkey)†(c) | 6.25% | 4/20/2021 | 1,100 | 1,082,750 | ||||||||
UBS AG (Switzerland)(c) | 5.125% | 5/15/2024 | 9,063 | 9,476,372 | ||||||||
UBS AG/Stamford CT | 7.625% | 8/17/2022 | 8,638 | 9,551,598 | ||||||||
Wells Fargo Bank NA | 5.85% | 2/1/2037 | 9,276 | 11,583,756 | ||||||||
Wells Fargo Bank NA | 6.60% | 1/15/2038 | 7,573 | 10,200,336 | ||||||||
Westpac Banking Corp. (Australia)†(c) | 3.15% | 1/16/2024 | 32,080 | 33,224,918 | ||||||||
Total | 276,310,158 | |||||||||||
Beverages 0.48% | ||||||||||||
Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc. | 4.70% | 2/1/2036 | 3,202 | 3,312,958 | ||||||||
Anheuser-Busch InBev Worldwide, Inc. | 4.75% | 1/23/2029 | 12,275 | 13,345,347 | ||||||||
Becle SAB de CV (Mexico)†(c) | 3.75% | 5/13/2025 | 1,900 | 1,872,991 | ||||||||
Total | 18,531,296 |
336 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Biotechnology Research & Production 0.09% | ||||||||||||
Gilead Sciences, Inc. | 4.60% | 9/1/2035 | $ | 3,163 | $ | 3,434,374 | ||||||
Business Services 0.51% | ||||||||||||
Adani Ports & Special Economic Zone Ltd. (India)†(c) | 4.00% | 7/30/2027 | 2,055 | 2,020,223 | ||||||||
Ahern Rentals, Inc.† | 7.375% | 5/15/2023 | 4,095 | 3,603,600 | ||||||||
Total System Services, Inc. | 4.80% | 4/1/2026 | 4,027 | 4,336,591 | ||||||||
United Rentals North America, Inc. | 4.875% | 1/15/2028 | 8,614 | 8,373,669 | ||||||||
Weight Watchers International, Inc.† | 8.625% | 12/1/2025 | 1,783 | 1,680,478 | ||||||||
Total | 20,014,561 | |||||||||||
Chemicals 0.68% | ||||||||||||
Braskem Netherlands Finance BV (Netherlands)†(c) | 4.50% | 1/10/2028 | 3,800 | 3,709,750 | ||||||||
Chemours Co. (The)(a) | 4.00% | 5/15/2026 | EUR | 3,310 | 3,634,690 | |||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(c) | 3.50% | 7/19/2022 | $ | 4,000 | 4,014,203 | |||||||
Mexichem SAB de CV (Mexico)†(c) | 4.875% | 9/19/2022 | 1,364 | 1,419,256 | ||||||||
Phosagro OAO Via Phosagro Bond Funding DAC (Ireland)†(c) | 3.949% | 4/24/2023 | 6,720 | 6,641,120 | ||||||||
Rain CII Carbon LLC/CII Carbon Corp.† | 7.25% | 4/1/2025 | 6,165 | 5,671,800 | ||||||||
Syngenta Finance NV (Netherlands)†(c) | 4.441% | 4/24/2023 | 1,200 | 1,237,925 | ||||||||
Total | 26,328,744 | |||||||||||
Coal 0.02% | ||||||||||||
Peabody Energy Corp.† | 6.375% | 3/31/2025 | 932 | 906,370 | ||||||||
Computer Hardware 0.38% | ||||||||||||
Banff Merger Sub, Inc.†(a) | 8.375% | 9/1/2026 | EUR | 1,170 | 1,243,768 | |||||||
Banff Merger Sub, Inc.† | 9.75% | 9/1/2026 | $ | 1,909 | 1,794,460 | |||||||
Dell International LLC/EMC Corp.† | 5.45% | 6/15/2023 | 1,752 | 1,863,571 | ||||||||
Dell International LLC/EMC Corp.† | 6.02% | 6/15/2026 | 863 | 930,026 | ||||||||
Dell International LLC/EMC Corp.† | 8.35% | 7/15/2046 | 7,347 | 8,993,117 | ||||||||
Total | 14,824,942 | |||||||||||
Computer Software 0.19% | ||||||||||||
Oracle Corp. | 6.125% | 7/8/2039 | 5,658 | 7,459,691 | ||||||||
Construction/Homebuilding 0.25% | ||||||||||||
TRI Pointe Group, Inc. | 5.25% | 6/1/2027 | 2,171 | 2,035,312 | ||||||||
William Lyon Homes, Inc. | 5.875% | 1/31/2025 | 2,154 | 2,078,610 | ||||||||
William Lyon Homes, Inc. | 6.00% | 9/1/2023 | 3,834 | 3,814,830 | ||||||||
Williams Scotsman International, Inc.† | 6.875% | 8/15/2023 | 1,763 | 1,767,408 | ||||||||
Total | 9,696,160 |
See Notes to Financial Statements. | 337 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Diversified 0.02% | ||||||||||||
KOC Holding AS (Turkey)†(c) | 5.25% | 3/15/2023 | $ | 625 | $ | 592,445 | ||||||
Drugs 0.24% | ||||||||||||
Bausch Health Americas, Inc.† | 9.25% | 4/1/2026 | 6,529 | 7,075,804 | ||||||||
Bayer Corp.† | 6.65% | 2/15/2028 | 1,881 | 2,155,118 | ||||||||
Total | 9,230,922 | |||||||||||
Electric: Power 1.84% | ||||||||||||
Ausgrid Finance Pty Ltd. (Australia)†(c) | 4.35% | 8/1/2028 | 7,038 | 7,436,558 | ||||||||
Berkshire Hathaway Energy Co. | 3.80% | 7/15/2048 | 10,091 | 9,969,389 | ||||||||
Calpine Corp. | 5.75% | 1/15/2025 | 1,860 | 1,804,609 | ||||||||
Cleco Corporate Holdings LLC | 4.973% | 5/1/2046 | 2,736 | 2,922,022 | ||||||||
Dominion Energy South Carolina, Inc. | 6.05% | 1/15/2038 | 4,911 | 6,238,955 | ||||||||
Dominion Energy South Carolina, Inc. | 6.625% | 2/1/2032 | 1,709 | 2,201,057 | ||||||||
Electricite de France SA (France)†(c) | 5.00% | 9/21/2048 | 8,832 | 9,517,479 | ||||||||
Emirates Semb Corp., Water & Power Co. PJSC(United Arab Emirates)†(c) | 4.45% | 8/1/2035 | 1,845 | 1,872,675 | ||||||||
Entergy Arkansas LLC | 4.20% | 4/1/2049 | 4,712 | 5,057,067 | ||||||||
Entergy Louisiana LLC | 4.00% | 3/15/2033 | 2,862 | 3,114,918 | ||||||||
Exelon Generation Co. LLC | 5.60% | 6/15/2042 | 564 | 615,544 | ||||||||
Exelon Generation Co. LLC | 6.25% | 10/1/2039 | 4,230 | 4,944,645 | ||||||||
Interstate Power & Light Co. | 3.60% | 4/1/2029 | 3,761 | 3,844,674 | ||||||||
Massachusetts Electric Co.† | 4.004% | 8/15/2046 | 3,105 | 3,116,887 | ||||||||
Minejesa Capital BV (Netherlands)†(c) | 4.625% | 8/10/2030 | 1,800 | 1,752,482 | ||||||||
Pennsylvania Electric Co.†(e) | 3.60% | 6/1/2029 | 3,906 | 3,950,742 | ||||||||
PSEG Power LLC | 8.625% | 4/15/2031 | 2,322 | 3,155,427 | ||||||||
Total | 71,515,130 | |||||||||||
Electrical Equipment 0.45% | ||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 3.625% | 1/15/2024 | 1,596 | 1,583,127 | ||||||||
Broadcom, Inc.† | 3.625% | 10/15/2024 | 16,249 | 15,996,282 | ||||||||
Total | 17,579,409 | |||||||||||
Electronics 0.00% | ||||||||||||
Trimble, Inc. | 4.90% | 6/15/2028 | 158 | 163,425 | ||||||||
Engineering & Contracting Services 0.23% | ||||||||||||
China Railway Resources Huitung Ltd. (Hong Kong)(c) | 3.85% | 2/5/2023 | 2,849 | 2,934,513 | ||||||||
Indika Energy Capital III Pte Ltd. (Singapore)†(c) | 5.875% | 11/9/2024 | 4,200 | 3,896,928 | ||||||||
Promontoria Holding 264 BV†(a) | 6.75% | 8/15/2023 | EUR | 2,000 | 2,187,167 | |||||||
Total | 9,018,608 |
338 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Entertainment 0.15% | ||||||||||||
Penn National Gaming, Inc.† | 5.625% | 1/15/2027 | $ | 2,028 | $ | 2,012,790 | ||||||
Stars Group Holdings BV/Stars Group US Co-Borrower LLC (Netherlands)†(c) | 7.00% | 7/15/2026 | 3,605 | 3,717,656 | ||||||||
Total | 5,730,446 | |||||||||||
Financial Services 1.67% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(c) | 3.50% | 1/15/2025 | 10,075 | 9,925,501 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(c) | 3.875% | 1/23/2028 | 6,006 | 5,811,725 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(c) | 4.875% | 1/16/2024 | 2,348 | 2,483,279 | ||||||||
Affiliated Managers Group, Inc. | 3.50% | 8/1/2025 | 3,039 | 3,115,996 | ||||||||
Affiliated Managers Group, Inc. | 4.25% | 2/15/2024 | 1,612 | 1,701,856 | ||||||||
Air Lease Corp. | 3.625% | 12/1/2027 | 9,254 | 8,942,023 | ||||||||
GE Capital International Funding Co. Unlimited Co. (Ireland)(c) | 4.418% | 11/15/2035 | 16,293 | 15,517,854 | ||||||||
International Lease Finance Corp. | 5.875% | 8/15/2022 | 1,071 | 1,158,781 | ||||||||
Navient Corp. | 6.75% | 6/25/2025 | 3,699 | 3,759,109 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.50% | 3/15/2027 | 3,612 | 3,746,749 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 4,780 | 4,427,529 | ||||||||
SURA Asset Management SA (Colombia)†(c) | 4.375% | 4/11/2027 | 4,400 | 4,460,544 | ||||||||
Total | 65,050,946 | |||||||||||
Food 0.32% | ||||||||||||
Albertsons Cos LLC/Safeway, Inc./Albertsons LP/ Albertson’s LLC | 6.625% | 6/15/2024 | 1,791 | 1,817,865 | ||||||||
Arcor SAIC (Argentina)†(c) | 6.00% | 7/6/2023 | 2,538 | 2,442,825 | ||||||||
Campbell Soup Co. | 3.80% | 8/2/2042 | 3,085 | 2,601,592 | ||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.† | 6.50% | 4/15/2029 | 5,416 | 5,700,340 | ||||||||
Total | 12,562,622 | |||||||||||
Health Care Services 0.44% | ||||||||||||
Acadia Healthcare Co., Inc. | 6.50% | 3/1/2024 | 1,795 | 1,835,387 | ||||||||
CHS/Community Health Systems, Inc. | 8.00% | 11/15/2019 | 4,553 | 4,530,235 | ||||||||
HCA, Inc. | 5.25% | 6/15/2026 | 2,455 | 2,650,730 | ||||||||
HCA, Inc. | 7.50% | 11/6/2033 | 880 | 1,003,200 | ||||||||
Polaris Intermediate Corp. PIK 8.50%† | 8.50% | 12/1/2022 | 1,830 | 1,804,838 |
See Notes to Financial Statements. | 339 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Health Care Services (continued) | ||||||||||||
RegionalCare Hospital Partners Holdings, Inc./ LifePoint Health, Inc.† | 9.75% | 12/1/2026 | $ | 1,760 | $ | 1,856,642 | ||||||
Tenet Healthcare Corp.† | 6.25% | 2/1/2027 | 3,527 | 3,601,949 | ||||||||
Total | 17,282,981 | |||||||||||
Insurance 0.31% | ||||||||||||
Teachers Insurance & Annuity Association of America† | 4.90% | 9/15/2044 | 8,180 | 9,536,689 | ||||||||
Willis North America, Inc. | 7.00% | 9/29/2019 | 2,555 | 2,586,559 | ||||||||
Total | 12,123,248 | |||||||||||
Investment Management Companies 0.10% | ||||||||||||
BrightSphere Investment Group plc (United Kingdom)(c) | 4.80% | 7/27/2026 | 3,066 | 3,066,894 | ||||||||
Grupo de Inversiones Suramericana SA (Colombia)†(c) | 5.50% | 4/29/2026 | 750 | 807,383 | ||||||||
Total | 3,874,277 | |||||||||||
Leisure 0.39% | ||||||||||||
Carnival plc | 7.875% | 6/1/2027 | 3,957 | 5,138,791 | ||||||||
Royal Caribbean Cruises Ltd. | 3.70% | 3/15/2028 | 10,029 | 9,888,120 | ||||||||
Total | 15,026,911 | |||||||||||
Lodging 0.09% | ||||||||||||
Wyndham Destinations, Inc. | 5.75% | 4/1/2027 | 3,647 | 3,678,911 | ||||||||
Machinery: Agricultural 0.32% | ||||||||||||
BAT Capital Corp. | 4.39% | 8/15/2037 | 6,810 | 6,239,486 | ||||||||
Reynolds American, Inc. | 5.70% | 8/15/2035 | 5,830 | 6,189,458 | ||||||||
Total | 12,428,944 | |||||||||||
Machinery: Industrial/Specialty 0.46% | ||||||||||||
Kennametal, Inc. | 4.625% | 6/15/2028 | 3,687 | 3,835,531 | ||||||||
Nvent Finance Sarl (Luxembourg)(c) | 4.55% | 4/15/2028 | 13,974 | 14,153,283 | ||||||||
Total | 17,988,814 | |||||||||||
Manufacturing 0.27% | ||||||||||||
General Electric Co. | 2.945% (3 Mo. LIBOR + .38% | )# | 5/5/2026 | 4,575 | 4,110,385 | |||||||
General Electric Co. | 6.15% | 8/7/2037 | 239 | 272,868 | ||||||||
Siemens Financieringsmaatschappij NV (Netherlands)†(c) | 2.35% | 10/15/2026 | 6,435 | 6,187,265 | ||||||||
Total | 10,570,518 |
340 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Media 1.71% | ||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.00% | 2/1/2028 | $ | 1,863 | $ | 1,849,028 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.75% | 2/15/2026 | 1,741 | 1,810,640 | ||||||||
Cox Communications, Inc.† | 3.35% | 9/15/2026 | 1,192 | 1,181,354 | ||||||||
Cox Communications, Inc.† | 4.50% | 6/30/2043 | 3,215 | 2,993,003 | ||||||||
Cox Communications, Inc.† | 4.70% | 12/15/2042 | 2,680 | 2,564,341 | ||||||||
Cox Communications, Inc.† | 8.375% | 3/1/2039 | 5,603 | 7,580,094 | ||||||||
DISH DBS Corp. | 7.75% | 7/1/2026 | 4,102 | 3,765,636 | ||||||||
Gray Television, Inc.† | 7.00% | 5/15/2027 | 1,699 | 1,803,896 | ||||||||
Myriad International Holdings BV (Netherlands)†(c) | 5.50% | 7/21/2025 | 5,300 | 5,721,324 | ||||||||
Time Warner Cable LLC | 6.55% | 5/1/2037 | 725 | 803,741 | ||||||||
Time Warner Cable LLC | 7.30% | 7/1/2038 | 6,614 | 7,757,592 | ||||||||
Time Warner Entertainment Co. LP | 8.375% | 7/15/2033 | 4,078 | 5,317,952 | ||||||||
VTR Finance BV (Chile)†(c) | 6.875% | 1/15/2024 | 3,496 | 3,596,510 | ||||||||
Walt Disney Co. (The)† | 7.75% | 12/1/2045 | 3,403 | 5,542,160 | ||||||||
Warner Media LLC | 6.10% | 7/15/2040 | 1,546 | 1,813,809 | ||||||||
Warner Media LLC | 6.25% | 3/29/2041 | 7,101 | 8,411,229 | ||||||||
Ziggo BV (Netherlands)†(c) | 5.50% | 1/15/2027 | 3,964 | 3,884,720 | ||||||||
Total | 66,397,029 | |||||||||||
Metals & Minerals: Miscellaneous 1.02% | ||||||||||||
Anglo American Capital plc (United Kingdom)†(c) | 4.00% | 9/11/2027 | 10,010 | 9,829,545 | ||||||||
Anglo American Capital plc (United Kingdom)†(c) | 4.75% | 4/10/2027 | 10,543 | 10,889,666 | ||||||||
Barrick North America Finance LLC | 7.50% | 9/15/2038 | 711 | 909,896 | ||||||||
Corp. Nacional del Cobre de Chile (Chile)†(c) | 4.50% | 9/16/2025 | 4,400 | 4,739,578 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(c) | 5.55% | 10/25/2042 | 7,522 | 7,391,021 | ||||||||
Indonesia Asahan Aluminium Persero PT (Indonesia)†(c) | 6.53% | 11/15/2028 | 440 | 497,721 | ||||||||
Kinross Gold Corp. (Canada)(c) | 5.95% | 3/15/2024 | 1,969 | 2,101,907 | ||||||||
MMC Norilsk Nickel OJSC via MMC Finance DAC (Ireland)†(c) | 4.10% | 4/11/2023 | 3,200 | 3,196,778 | ||||||||
Total | 39,556,112 | |||||||||||
Natural Gas 0.32% | ||||||||||||
Dominion Energy Gas Holdings LLC | 4.60% | 12/15/2044 | 7,847 | 8,564,136 | ||||||||
Piedmont Natural Gas Co., Inc. | 3.50% | 6/1/2029 | 3,959 | 4,020,489 | ||||||||
Total | 12,584,625 | |||||||||||
Oil 1.83% | ||||||||||||
Afren plc (United Kingdom)†(c)(f) | 10.25% | 4/8/2019 | 2,537 | 21,363 | ||||||||
Apache Corp. | 4.75% | 4/15/2043 | 6,009 | 5,690,372 | ||||||||
California Resources Corp.† | 8.00% | 12/15/2022 | 4,420 | 3,105,050 |
See Notes to Financial Statements. | 341 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil (continued) | ||||||||||||
Ecopetrol SA (Colombia)(c) | 5.875% | 5/28/2045 | $ | 1,866 | $ | 1,924,126 | ||||||
Eni SpA (Italy)†(c) | 5.70% | 10/1/2040 | 12,550 | 13,864,453 | ||||||||
Equinor ASA (Norway)(c) | 7.15% | 11/15/2025 | 4,060 | 5,036,322 | ||||||||
Gazprom OAO via Gaz Capital SA (Luxembourg)†(c) | 4.95% | 2/6/2028 | 1,300 | 1,321,503 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 6.25% | 11/1/2028 | 1,844 | 1,855,562 | ||||||||
Kerr-McGee Corp. | 7.875% | 9/15/2031 | 1,873 | 2,519,939 | ||||||||
OGX Austria GmbH (Brazil)†(c)(f) | 8.50% | 6/1/2018 | 1,730 | 35 | ||||||||
Pertamina Persero PT (Indonesia)†(c) | 5.625% | 5/20/2043 | 2,300 | 2,392,819 | ||||||||
Petrobras Global Finance BV (Netherlands)(c) | 7.25% | 3/17/2044 | 5,436 | 5,779,147 | ||||||||
Petroleos Mexicanos (Mexico)(c) | 4.50% | 1/23/2026 | 6,372 | 5,980,122 | ||||||||
Saudi Arabian Oil Co. (Saudi Arabia)†(c) | 2.875% | 4/16/2024 | 6,400 | 6,365,418 | ||||||||
Sinopec Group Overseas Development Ltd.† | 4.375% | 10/17/2023 | 1,548 | 1,635,891 | ||||||||
SM Energy Co. | 6.625% | 1/15/2027 | 2,252 | 1,993,020 | ||||||||
SM Energy Co. | 6.75% | 9/15/2026 | 3,462 | 3,108,876 | ||||||||
Valero Energy Corp. | 10.50% | 3/15/2039 | 4,131 | 6,682,924 | ||||||||
YPF SA (Argentina)†(c) | 8.50% | 7/28/2025 | 1,787 | 1,679,780 | ||||||||
Total | 70,956,722 | |||||||||||
Oil: Crude Producers 0.62% | ||||||||||||
Abu Dhabi Crude Oil Pipeline LLC (United Arab Emirates)†(c) | 4.60% | 11/2/2047 | 2,240 | 2,375,912 | ||||||||
Colonial Pipeline Co.† | 4.25% | 4/15/2048 | 4,898 | 5,166,625 | ||||||||
Energy Transfer Operating LP | 6.25% | 4/15/2049 | 700 | 783,086 | ||||||||
Energy Transfer Partners LP/Regency Energy Finance Corp. | 5.00% | 10/1/2022 | 470 | 496,200 | ||||||||
IFM US Colonial Pipeline 2 LLC† | 6.45% | 5/1/2021 | 3,850 | 3,992,171 | ||||||||
Northern Natural Gas Co.† | 4.30% | 1/15/2049 | 2,437 | 2,601,979 | ||||||||
Peru LNG Srl (Peru)†(c) | 5.375% | 3/22/2030 | 900 | 958,950 | ||||||||
Sabine Pass Liquefaction LLC | 5.625% | 3/1/2025 | 6,968 | 7,634,852 | ||||||||
Total | 24,009,775 | |||||||||||
Oil: Integrated Domestic 0.84% | ||||||||||||
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc. | 4.08% | 12/15/2047 | 18,036 | 16,522,806 | ||||||||
Halliburton Co. | 6.70% | 9/15/2038 | 3,139 | 3,852,984 | ||||||||
Halliburton Co. | 7.45% | 9/15/2039 | 2,244 | 2,949,650 | ||||||||
Nine Energy Service, Inc.† | 8.75% | 11/1/2023 | 1,747 | 1,738,265 | ||||||||
Schlumberger Holdings Corp.† | 4.30% | 5/1/2029 | 3,885 | 4,042,747 | ||||||||
Transocean Proteus Ltd.† | 6.25% | 12/1/2024 | 3,525 | 3,577,672 | ||||||||
Total | 32,684,124 |
342 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Paper & Forest Products 0.10% | ||||||||||||
Fibria Overseas Finance Ltd. (Brazil)(c) | 4.00% | 1/14/2025 | $ | 3,850 | $ | 3,816,312 | ||||||
Real Estate Investment Trusts 1.27% | ||||||||||||
China Evergrande Group (China)(c) | 8.75% | 6/28/2025 | 7,000 | 6,158,196 | ||||||||
Country Garden Holdings Co. Ltd. (China)(c) | 4.75% | 9/28/2023 | 2,517 | 2,426,864 | ||||||||
Country Garden Holdings Co. Ltd. (China)(c) | 4.75% | 1/17/2023 | 1,483 | 1,438,758 | ||||||||
EPR Properties | 4.50% | 6/1/2027 | 7,249 | 7,479,979 | ||||||||
EPR Properties | 4.75% | 12/15/2026 | 3,792 | 3,976,979 | ||||||||
EPR Properties | 4.95% | 4/15/2028 | 2,029 | 2,170,719 | ||||||||
MPT Operating Partnership LP/MPT Finance Corp. | 5.00% | 10/15/2027 | 5,818 | 5,752,548 | ||||||||
Shimao Property Holdings Ltd. (Hong Kong)(c) | 4.75% | 7/3/2022 | 3,200 | 3,208,493 | ||||||||
VEREIT Operating Partnership LP | 4.875% | 6/1/2026 | 15,872 | 16,869,623 | ||||||||
Total | 49,482,159 | |||||||||||
Retail 0.05% | ||||||||||||
IRB Holding Corp.† | 6.75% | 2/15/2026 | 1,873 | 1,830,858 | ||||||||
Steel 0.10% | ||||||||||||
Cleveland-Cliffs, Inc. | 5.75% | 3/1/2025 | 3,825 | 3,738,937 | ||||||||
Technology 0.54% | ||||||||||||
Baidu, Inc. (China)(c) | 3.50% | 11/28/2022 | 3,350 | 3,392,950 | ||||||||
Match Group, Inc.† | 5.625% | 2/15/2029 | 3,678 | 3,808,643 | ||||||||
Netflix, Inc.† | 6.375% | 5/15/2029 | 6,794 | 7,410,216 | ||||||||
Tencent Holdings Ltd. (China)†(c) | 3.595% | 1/19/2028 | 6,500 | 6,434,373 | ||||||||
Total | 21,046,182 | |||||||||||
Telecommunications 0.38% | ||||||||||||
Ooredoo International Finance Ltd.† | 3.75% | 6/22/2026 | 1,800 | 1,819,350 | ||||||||
Sprint Capital Corp. | 6.875% | 11/15/2028 | 9,478 | 9,890,293 | ||||||||
Verizon Communications, Inc. | 3.618% (3 Mo. LIBOR + 1.10% | )# | 5/15/2025 | 3,016 | 3,037,735 | |||||||
Total | 14,747,378 | |||||||||||
Transportation: Miscellaneous 0.21% | ||||||||||||
Autoridad del Canal de Panama (Panama)†(c) | 4.95% | 7/29/2035 | 200 | 219,752 | ||||||||
Burlington Northern Santa Fe LLC | 5.75% | 5/1/2040 | 2,338 | 2,934,137 | ||||||||
Pelabuhan Indonesia III Persero PT (Indonesia)†(c) | 4.50% | 5/2/2023 | 1,500 | 1,544,671 | ||||||||
Rumo Luxembourg Sarl (Luxembourg)†(c) | 7.375% | 2/9/2024 | 3,163 | 3,400,225 | ||||||||
Total | 8,098,785 |
See Notes to Financial Statements. | 343 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Utilities 0.21% | ||||||||||||
Aegea Finance Sarl (Brazil)†(c) | 5.75% | 10/10/2024 | $ | 3,936 | $ | 3,936,000 | ||||||
Aqua America, Inc. | 3.566% | 5/1/2029 | 4,306 | 4,399,923 | ||||||||
Total | 8,335,923 | |||||||||||
Total Corporate Bonds (cost $1,053,370,307) | 1,071,586,337 | |||||||||||
FLOATING RATE LOANS(g)0.25% | ||||||||||||
Containers 0.09% | ||||||||||||
ProAmpac PG Borrower LLC 1st Lien Initial Term Loan | 5.936% (3 Mo. LIBOR + 3.50% | ) | 11/18/2023 | 3,870 | 3,736,988 | |||||||
Service 0.10% | ||||||||||||
North American Lifting Holdings, Inc. 1st Lien Initial Term Loan | 7.101% (3 Mo. LIBOR + 4.50% | ) | 11/27/2020 | 3,996 | 3,776,541 | |||||||
Transportation: Miscellaneous 0.06% | ||||||||||||
Gruden Acquisition, Inc. 2nd Lien Term Loan | 10.999% (3 Mo. LIBOR + 8.50% | ) | 8/18/2023 | 2,238 | 2,226,810 | |||||||
Total Floating Rate Loans (cost $9,952,087) | 9,740,339 | |||||||||||
FOREIGN BOND 0.04% | ||||||||||||
Mexico | ||||||||||||
Red de Carreteras de Occidente S.A.P.I.B. de CV†(a) (cost $2,515,344) | 9.00% | 6/10/2028 | MXN | 31,250 | 1,546,655 | |||||||
FOREIGN GOVERNMENT OBLIGATIONS 3.33% | ||||||||||||
Angola 0.11% | ||||||||||||
Republic of Angola†(c) | 9.50% | 11/12/2025 | $ | 3,900 | 4,263,773 | |||||||
Argentina 0.73% | ||||||||||||
Provincia de Buenos Aires†(c) | 6.50% | 2/15/2023 | 1,533 | 1,157,415 | ||||||||
Provincia de Mendoza†(c) | 8.375% | 5/19/2024 | 2,850 | 2,251,500 | ||||||||
Republic of Argentina(c) | 5.625% | 1/26/2022 | 22,825 | 17,746,666 | ||||||||
Republic of Argentina(c) | 6.875% | 4/22/2021 | 8,832 | 7,334,976 | ||||||||
Total | 28,490,557 | |||||||||||
Bahamas 0.13% | ||||||||||||
Commonwealth of Bahamas†(c) | 6.00% | 11/21/2028 | 2,750 | 2,935,625 | ||||||||
Commonwealth of Bahamas (Bahamas)†(c) | 6.95% | 11/20/2029 | 1,943 | 2,154,301 | ||||||||
Total | 5,089,926 | |||||||||||
Bermuda 0.08% | ||||||||||||
Government of Bermuda† | 3.717% | 1/25/2027 | 3,090 | 3,113,175 |
344 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Dominican Republic 0.04% | ||||||||||||
Dominican Republic†(c) | 6.50% | 2/15/2048 | $ | 1,500 | $ | 1,524,375 | ||||||
Egypt 0.08% | ||||||||||||
Arab Republic of Egypt†(c) | 6.125% | 1/31/2022 | 1,700 | 1,722,253 | ||||||||
Arab Republic of Egypt†(c) | 7.903% | 2/21/2048 | 1,560 | 1,464,030 | ||||||||
Total | 3,186,283 | |||||||||||
Ghana 0.04% | ||||||||||||
Republic of Ghana†(c) | 7.875% | 8/7/2023 | 1,535 | 1,615,557 | ||||||||
Japan 1.03% | ||||||||||||
Japan Bank for International Corp. (Japan)(c) | 2.125% | 2/10/2025 | 23,428 | 23,130,764 | ||||||||
Japan Bank for International Corp. (Japan)(c) | 2.50% | 5/23/2024 | 16,562 | 16,735,349 | ||||||||
Total | 39,866,113 | |||||||||||
Latvia 0.06% | ||||||||||||
Republic of Latvia†(c) | 5.25% | 6/16/2021 | 2,047 | 2,149,039 | ||||||||
Lithuania 0.11% | ||||||||||||
Republic of Lithuania†(c) | 7.375% | 2/11/2020 | 4,078 | 4,210,453 | ||||||||
Mexico 0.24% | ||||||||||||
United Mexican States(c) | 3.75% | 1/11/2028 | 3,915 | 3,872,914 | ||||||||
United Mexican States(c) | 4.00% | 10/2/2023 | 5,095 | 5,272,178 | ||||||||
Total | 9,145,092 | |||||||||||
Nigeria 0.05% | ||||||||||||
Republic of Nigeria†(c) | 7.143% | 2/23/2030 | 2,000 | 1,915,472 | ||||||||
Qatar 0.21% | ||||||||||||
State of Qatar†(c) | 3.25% | 6/2/2026 | 5,701 | 5,758,164 | ||||||||
State of Qatar†(c) | 5.103% | 4/23/2048 | 2,100 | 2,409,960 | ||||||||
Total | 8,168,124 | |||||||||||
Romania 0.01% | ||||||||||||
Republic of Romania†(c) | 6.125% | 1/22/2044 | 320 | 379,907 | ||||||||
Sri Lanka 0.05% | ||||||||||||
Republic of Sri Lanka†(c) | 6.25% | 7/27/2021 | 1,000 | 1,004,834 | ||||||||
Republic of Sri Lanka†(c) | 6.85% | 11/3/2025 | 1,100 | 1,078,361 | ||||||||
Total | 2,083,195 |
See Notes to Financial Statements. | 345 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Turkey 0.36% | ||||||||||||
Export Credit Bank of Turkey†(c) | 8.25% | 1/24/2024 | $ | 2,650 | $ | 2,605,639 | ||||||
Republic of Turkey(c) | 3.25% | 3/23/2023 | 1,350 | 1,180,969 | ||||||||
Republic of Turkey(c) | 5.625% | 3/30/2021 | 8,005 | 7,893,955 | ||||||||
Republic of Turkey(c) | 5.75% | 3/22/2024 | 2,625 | 2,438,376 | ||||||||
Total | 14,118,939 | |||||||||||
Total Foreign Government Obligations (cost $133,636,003) | 129,319,980 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 1.54% | ||||||||||||
Federal Home Loan Mortgage Corp. K072 A2 | 3.444% | 12/25/2027 | 7,090 | 7,554,565 | ||||||||
Federal Home Loan Mortgage Corp. Q001 XA IO | 2.251% | #(h) | 2/25/2032 | 17,294 | 2,397,094 | |||||||
Government National Mortgage Assoc. 2014-78 A | 2.20% | 4/16/2047 | 199 | 197,891 | ||||||||
Government National Mortgage Assoc. 2015-47 AE | 2.90% | #(h) | 11/16/2055 | 6,374 | 6,422,176 | |||||||
Government National Mortgage Assoc. 2015-48 AS | 2.90% | #(h) | 2/16/2049 | 5,243 | 5,271,629 | |||||||
Government National Mortgage Assoc. 2015-73 AC | 2.90% | #(h) | 2/16/2053 | 1,350 | 1,351,204 | |||||||
Government National Mortgage Assoc. 2017-168 AS | 2.70% | 8/16/2058 | 10,983 | 10,845,097 | ||||||||
Government National Mortgage Assoc. 2017-41 AS | 2.60% | 6/16/2057 | 8,507 | 8,355,378 | ||||||||
Government National Mortgage Assoc. 2017-69 AS | 2.75% | 2/16/2058 | 4,401 | 4,361,775 | ||||||||
Government National Mortgage Assoc. 2017-71 AS | 2.70% | 4/16/2057 | 2,894 | 2,874,294 | ||||||||
Government National Mortgage Assoc. 2017-86 AS | 2.75% | 2/16/2058 | 3,394 | 3,384,778 | ||||||||
Government National Mortgage Assoc. 2017-89 AB | 2.60% | 7/16/2058 | 2,836 | 2,810,947 | ||||||||
Government National Mortgage Assoc. 2017-90 AS | 2.70% | 7/16/2057 | 3,895 | 3,873,645 | ||||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $59,711,897) | 59,700,473 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 32.28% | ||||||||||||
Federal Home Loan Mortgage Corp. | 5.00% | 6/1/2026 | 876 | 902,825 | ||||||||
Federal National Mortgage Assoc.(i) | 3.50% | TBA | 405,150 | 413,324,221 | ||||||||
Federal National Mortgage Assoc.(i) | 4.00% | TBA | 261,700 | 270,103,025 | ||||||||
Federal National Mortgage Assoc.(i) | 4.50% | TBA | 541,500 | 565,782,891 | ||||||||
Federal National Mortgage Assoc. | 5.50% | 9/1/2034 - 4/1/2036 | 4,397 | 4,826,262 | ||||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $1,246,316,724) | 1,254,939,224 | |||||||||||
MUNICIPAL BONDS 0.12% | ||||||||||||
Miscellaneous | ||||||||||||
North Texas Tollway Auth | 8.91% | 2/1/2030 | 2,875 | 2,991,725 | ||||||||
Pennsylvania | 5.35% | 5/1/2030 | 1,600 | 1,642,320 | ||||||||
Total | 4,634,045 | |||||||||||
Total Municipal Bonds (cost $4,610,270) | 4,634,045 |
346 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 4.68% | ||||||||||||
Atrium Hotel Portfolio Trust 2018-ATRM A† | 3.39% (1 Mo. LIBOR + .95% | )# | 6/15/2035 | $ | 3,567 | $ | 3,553,459 | |||||
Bancorp Commercial Mortgage Trust (The) 2018-CR3 A† | 3.29% (1 Mo. LIBOR + .85% | )# | 1/15/2033 | 2,730 | 2,716,664 | |||||||
BB-UBS Trust 2012-SHOW A† | 3.43% | 11/5/2036 | 8,833 | 9,150,251 | ||||||||
BWAY Mortgage Trust 2015-1740 A† | 2.917% | 1/10/2035 | 6,137 | 6,235,016 | ||||||||
BX Trust 2018-GW A† | 3.24% (1 Mo. LIBOR + .80% | )# | 5/15/2035 | 9,610 | 9,570,181 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI A† | 3.531% | 10/15/2034 | 10,391 | 10,723,431 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI B† | 3.835% | 10/15/2034 | 6,358 | 6,577,486 | ||||||||
Citigroup Commercial Mortgage Trust 2014-GC25 XB IO | 0.183% | #(h) | 10/10/2047 | 50,626 | 587,646 | |||||||
Citigroup Commercial Mortgage Trust 2016-GC36 D† | 2.85% | 2/10/2049 | 8,100 | 6,780,955 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-CR19 XA IO | 1.129% | #(h) | 8/10/2047 | 4,746 | 189,448 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 B | 4.44% | #(h) | 7/10/2050 | 1,570 | 1,674,878 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 C | 4.44% | #(h) | 7/10/2050 | 2,684 | 2,759,633 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 D | 4.44% | #(h) | 7/10/2050 | 7,822 | 7,198,016 | |||||||
Credit Suisse Mortgage Capital Certificates 2014-USA E† | 4.373% | 9/15/2037 | 3,000 | 2,810,704 | ||||||||
DBWF Mortgage Trust 2018-GLKS A† | 3.471% (1 Mo. LIBOR + 1.03% | )# | 11/19/2035 | 6,411 | 6,417,861 | |||||||
GAHR Commercial Mortgage Trust 2015-NRF DFX† | 3.382% | #(h) | 12/15/2034 | 1,732 | 1,724,319 | |||||||
GS Mortgage Securities Corp. Trust 2018-FBLU A† | 3.382% (1 Mo. LIBOR + .95% | )# | 11/15/2035 | 6,390 | 6,386,307 | |||||||
GS Mortgage Securities Corp. Trust 2018-RIVR A† | 3.39% (1 Mo. LIBOR + .95% | )# | 7/15/2035 | 4,380 | 4,388,094 | |||||||
GS Mortgage Securities Trust 2014-GC26 C | 4.52% | #(h) | 11/10/2047 | 135 | 136,931 | |||||||
GS Mortgage Securities Trust 2015-GC32 C | 4.41% | #(h) | 7/10/2048 | 1,230 | 1,288,311 | |||||||
Hudsons Bay Simon JV Trust 2015-HB10 XB10 IO† | 0.541% | #(h) | 8/5/2034 | 19,156 | 631,765 | |||||||
Hudsons Bay Simon JV Trust 2015-HB7 B7† | 4.666% | 8/5/2034 | 4,226 | 4,235,608 | ||||||||
Hudsons Bay Simon JV Trust 2015-HB7 D7† | 5.159% | #(h) | 8/5/2034 | 3,741 | 3,531,726 | |||||||
Hudsons Bay Simon JV Trust 2015-HB7 XB7 IO† | 0.493% | #(h) | 8/5/2034 | 22,024 | 354,366 | |||||||
JPMorgan Chase Commercial Mortgage Securities Corp. 2018-AON A† | 4.128% | 7/5/2031 | 11,067 | 11,786,094 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XA IO | 0.799% | #(h) | 4/15/2047 | 2,990 | 70,881 |
See Notes to Financial Statements. | 347 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XB IO | 0.303% | #(h) | 4/15/2047 | $ | 1,595 | $ | 25,271 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C30 C | 4.269% | #(h) | 7/15/2048 | 2,500 | 2,581,138 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ A† | 3.44% (1 Mo. LIBOR + 1.00% | )# | 6/15/2032 | 10,372 | 10,371,640 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ D† | 4.54% (1 Mo. LIBOR + 2.10% | )# | 6/15/2032 | 5,181 | 5,208,772 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN A† | 3.46% (1 Mo. LIBOR + 1.02% | )# | 11/15/2020 | 3,436 | 3,442,443 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT AFL† | 3.417% (1 Mo. LIBOR + .95% | )# | 7/5/2033 | 2,472 | 2,468,649 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT AFX† | 4.248% | 7/5/2033 | 6,923 | 7,388,273 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT BFL† | 3.717% (1 Mo. LIBOR + 1.25% | )# | 7/5/2033 | 7,410 | 7,400,386 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT BFX† | 4.549% | 7/5/2033 | 2,228 | 2,369,207 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT CFX† | 4.95% | 7/5/2033 | 2,968 | 3,143,845 | ||||||||
Merrill Lynch Mortgage Investors Trust 2006-AF2 AF1 | 6.25% | 10/25/2036 | 722 | 625,110 | ||||||||
Sequoia Mortgage Trust 2012-4 A3 | 2.069% | #(h) | 9/25/2042 | 316 | 306,786 | |||||||
SFAVE Commercial Mortgage Securities Trust 2015-5AVE A1† | 3.872% | #(h) | 1/5/2043 | 695 | 716,118 | |||||||
SFAVE Commercial Mortgage Securities Trust 2015-5AVE A2B† | 4.144% | #(h) | 1/5/2043 | 450 | 464,749 | |||||||
UBS-BAMLL Trust 2012-WRM E† | 4.238% | #(h) | 6/10/2030 | 3,905 | 3,721,204 | |||||||
Wells Fargo Commercial Mortgage Trust 2013-LC12 D† | 4.286% | #(h) | 7/15/2046 | 5,195 | 4,614,961 | |||||||
Wells Fargo Commercial Mortgage Trust 2015-C28 D | 4.127% | #(h) | 5/15/2048 | 7,460 | 6,860,227 | |||||||
Wells Fargo Commercial Mortgage Trust 2016-C35 C | 4.176% | #(h) | 7/15/2048 | 2,642 | 2,699,112 | |||||||
Wells Fargo Commercial Mortgage Trust 2016-NXS5 E† | 4.876% | #(h) | 1/15/2059 | 2,748 | 2,586,758 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C20 XA IO | 0.977% | #(h) | 5/15/2047 | 9,207 | 351,865 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C20 XB IO | 0.575% | #(h) | 5/15/2047 | 2,205 | 62,386 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C23 XA IO | 0.597% | #(h) | 10/15/2057 | 64,315 | 1,626,014 |
348 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
WF-RBS Commercial Mortgage Trust 2014-C23 XB IO | 0.307% | #(h) | 10/15/2057 | $ | 100,000 | $ | 1,356,490 | |||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $175,087,931) | 181,871,435 | |||||||||||
U.S. TREASURY OBLIGATIONS 34.62% | ||||||||||||
U.S. Treasury Bill | Zero Coupon | 7/2/2019 | 736,431 | 735,065,966 | ||||||||
U.S. Treasury Bond | 2.75% | 11/15/2047 | 81,997 | 84,870,098 | ||||||||
U.S. Treasury Bond | 3.00% | 2/15/2049 | 43,615 | 47,494,350 | ||||||||
U.S. Treasury Inflation Indexed Note(j) | 0.625% | 4/15/2023 | 173,733 | 175,474,892 | ||||||||
U.S. Treasury Note | 2.00% | 5/31/2024 | 31,675 | 31,798,730 | ||||||||
U.S. Treasury Note | 2.50% | 1/31/2021 | 243,054 | 245,000,330 | ||||||||
U.S. Treasury Note | 2.50% | 5/15/2029 | 21,668 | 22,132,677 | ||||||||
U.S. Treasury Note | 2.875% | 10/31/2020 | 4,166 | 4,211,973 | ||||||||
Total U.S. Treasury Obligations (cost $1,330,746,025) | 1,346,049,016 | |||||||||||
Total Long-Term Investments (cost $4,949,992,782) | 4,996,860,925 | |||||||||||
SHORT-TERM INVESTMENTS 2.94% | ||||||||||||
REPURCHASE AGREEMENTS | ||||||||||||
Repurchase Agreement dated 5/31/2019, 1.45% due 6/3/2019 with Fixed Income Clearing Corp. collateralized by $11,230,000 of U.S. Treasury Note at 2.25% due 3/31/2021; value: $11,300,311; proceeds: $11,079,526 | 11,078 | 11,078,187 | ||||||||||
Repurchase Agreement dated 05/31/2019, 2.35% due 06/01/2019 with JPMorgan Chase & Co. collateralized by $4,915,000 of Federal Home Loan Bank at 3.10% due 6/29/2032; value: $5,223,520; proceeds: $5,000,979 | 5,000 | 5,000,000 | ||||||||||
Repurchase Agreement dated 05/31/2019, 2.45% due 06/03/2019 with Toronto Dominion Grand Cayman collateralized by $89,140,000 of U.S. Treasury Note at 2.25% due 03/31/202 and collateralized by $10,145,000 U.S. Treasury Note at 2.00% due 6/30/2019; value: $99,874,801 proceeds: $98,020,009 | 98,000 | 98,000,000 | ||||||||||
Total Short-Term Investments (cost $114,078,187) | 114,078,187 | |||||||||||
Total Investments in Securities 131.47% (cost $5,064,070,969) | 5,110,939,112 | |||||||||||
Liabilities in Excess of Cash, Foreign Cash and Other Assets(k)(31.47%) | (1,223,321,323 | ) | ||||||||||
Net Assets 100.00% | $ | 3,887,617,789 |
See Notes to Financial Statements. | 349 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUNDMay 31, 2019
BRL | Brazilian real. | |
CAD | Canadian dollar. | |
EUR | euro. | |
MXN | Mexican peso. | |
IO | Interest Only. | |
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, 2019. | |
* | Non-income producing security. | |
(a) | Investment in non-U.S. dollar denominated securities. | |
(b) | Level 3 Investment as described in Note 2(t) 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) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(f) | Defaulted (non-income producing security). | |
(g) | 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, 2019. | |
(h) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(i) | 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. | |
(j) | Treasury Inflation Protected Security. A U.S. Treasury Note or Bond that offers protection from inflation by paying a fixed rate of interest on principal amount that is adjusted for inflation based on the Consumer Price Index. | |
(k) | Liabilities in Excess of Cash, Foreign Cash and Other Assets 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, 2019:
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | �� | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Appreciation | ||||||||||||
Canadian dollar | Sell | Toronto Dominion Bank | 6/19/2019 | 4,033,000 | $ | 3,033,998 | $ | 2,985,091 | $ | 48,907 | ||||||||||
euro | Sell | J.P. Morgan | 6/7/2019 | 5,750,000 | 6,551,743 | 6,425,189 | 126,554 | |||||||||||||
euro | Sell | Toronto Dominion Bank | 6/7/2019 | 3,392,000 | 3,812,486 | 3,790,303 | 22,183 | |||||||||||||
Mexican peso | Sell | State Street Bank and Trust | 8/14/2019 | 31,000,000 | 1,601,583 | 1,563,004 | 38,579 | |||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 236,223 | ||||||||||||||||||
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 | Barclays Bank plc | 6/7/2019 | 2,363,000 | $ | 2,665,151 | $ | 2,640,473 | $ | (24,678 | ) |
350 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUNDMay 31, 2019
Centrally Cleared Interest Rate Swap Contracts at May 31, 2019:
Central Clearingparty* | Periodic Payments to be Made By The Fund (Quarterly) | Periodic Payments to be Received By The Fund (Quarterly) | Termination Date | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||
Credit Suisse | 3-Month USD LIBOR Index | 2.3497% | 4/1/2021 | $284,374,331 | $286,069,822 | $1,695,491 |
* | Central clearinghouse: Chicago Mercantile Exchange (CME). |
Central Clearingparty* | Periodic Payments to be Made By The Fund (Quarterly) | Periodic Payments to be Received By The Fund (Quarterly) | Termination Date | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||
Credit Suisse | 2.4045% | 3-Month USD LIBOR Index | 4/1/2029 | $62,020,000 | $63,800,272 | $(1,780,272 | ) |
* | Central clearinghouse: Chicago Mercantile Exchange (CME). |
Open Futures Contracts at May 31, 2019
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||
U.S. 2-Year Treasury Note | September 2019 | 1,834 | Long | $ | 392,649,448 | $ | 393,708,221 | $ | 1,058,773 | |||||||||
U.S. 5-Year Treasury Note | September 2019 | 3,330 | Long | 389,223,215 | 390,832,736 | 1,609,521 | ||||||||||||
U.S. Long Bond | September 2019 | 1,112 | Long | 169,512,468 | 170,935,250 | 1,422,782 | ||||||||||||
U.S. Ultra Treasury Bond | September 2019 | 145 | Long | 25,143,025 | 25,488,281 | 345,256 | ||||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 4,436,332 | ||||||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||
U.S. 10-Year Ultra Treasury Bond | September 2019 | 363 | Short | $ | (49,427,882 | ) | $ | (49,566,516 | ) | $ | (138,634 | ) |
See Notes to Financial Statements. | 351 |
Schedule of Investments (unaudited)(continued)
TOTAL RETURN FUNDMay 31, 2019
The following is a summary of the inputs used as of May 31, 2019 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 | $ | – | $ | 279,737,388 | $ | 1,930,626 | $ | 281,668,014 | ||||||||
Remaining Industries | – | 655,765,456 | – | 655,765,456 | ||||||||||||
Common Stocks | – | 39,951 | – | 39,951 | ||||||||||||
Corporate Bonds | – | 1,071,586,337 | – | 1,071,586,337 | ||||||||||||
Floating Rate Loans | – | 9,740,339 | – | 9,740,339 | ||||||||||||
Foreign Bond | – | 1,546,655 | – | 1,546,655 | ||||||||||||
Foreign Government Obligations | – | 129,319,980 | – | 129,319,980 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 59,700,473 | – | 59,700,473 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 1,254,939,224 | – | 1,254,939,224 | ||||||||||||
Municipal Bonds | – | 4,634,045 | – | 4,634,045 | ||||||||||||
Non-Agency Commercial | ||||||||||||||||
Mortgage-Backed Securities | – | 181,871,435 | – | 181,871,435 | ||||||||||||
U.S. Treasury Obligations | – | 1,346,049,016 | – | 1,346,049,016 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | – | 114,078,187 | – | 114,078,187 | ||||||||||||
Total | $ | – | $ | 5,109,008,486 | $ | 1,930,626 | $ | 5,110,939,112 | ||||||||
Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | $ | – | $ | 236,223 | $ | – | $ | 236,223 | ||||||||
Liabilities | – | (24,678 | ) | – | (24,678 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 4,436,332 | – | – | 4,436,332 | ||||||||||||
Liabilities | (138,634 | ) | – | – | (138,634 | ) | ||||||||||
Centrally Cleared Interest Rate Swaps Contracts | ||||||||||||||||
Assets | – | 1,695,491 | – | 1,695,491 | ||||||||||||
Liabilities | – | (1,780,272 | ) | – | (1,780,272 | ) | ||||||||||
Total | $ | 4,297,698 | $ | 126,764 | $ | – | $ | 4,424,462 |
(1) | Refer to Note 2(t) 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, 2019. |
352 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(concluded)
TOTAL RETURN FUNDMay 31, 2019
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, 2018 | $ | 3,749,000 | ||
Accrued Discounts (Premiums) | – | |||
Realized Gain (Loss) | – | |||
Change in Unrealized Appreciation (Depreciation) | (7,128 | ) | ||
Purchases | 1,937,754 | |||
Sales | – | |||
Transfers into Level 3 | – | |||
Transfers out of Level 3 | (3,749,000 | ) | ||
Balance as of May 31, 2019 | $ | 1,930,626 | ||
Change in unrealized appreciation/depreciation for the period ended May 31, 2019, related to Level 3 investments held at May 31, 2019 | $ | (7,128 | ) |
See Notes to Financial Statements. | 353 |
Schedule of Investments (unaudited)
ULTRA SHORT BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 68.09% | ||||||||||||
ASSET-BACKED SECURITIES 25.35% | ||||||||||||
Automobiles 12.01% | ||||||||||||
ACC Trust 2018-1 A† | 3.70% | 12/21/2020 | $ | 1,390 | $ | 1,391,610 | ||||||
ACC Trust 2019-1 A† | 3.75% | 5/20/2022 | 9,119 | 9,186,855 | ||||||||
American Credit Acceptance Receivables Trust 2016-3 C† | 4.26% | 8/12/2022 | 4,235 | 4,270,825 | ||||||||
American Credit Acceptance Receivables Trust 2018-1 C† | 3.55% | 4/10/2024 | 3,857 | 3,882,374 | ||||||||
American Credit Acceptance Receivables Trust 2018-2 A† | 2.94% | 1/10/2022 | 7,759 | 7,760,034 | ||||||||
American Credit Acceptance Receivables Trust 2019-1 B† | 3.32% | 4/12/2023 | 11,520 | 11,644,561 | ||||||||
AmeriCredit Automobile Receivables 2015-4 D | 3.72% | 12/8/2021 | 21,398 | 21,625,330 | ||||||||
AmeriCredit Automobile Receivables Trust 2015-1 C | 2.51% | 1/8/2021 | 1,016 | 1,016,141 | ||||||||
AmeriCredit Automobile Receivables Trust 2015-2 C | 2.40% | 1/8/2021 | 246 | 246,144 | ||||||||
AmeriCredit Automobile Receivables Trust 2015-3 C | 2.73% | 3/8/2021 | 3,994 | 3,994,281 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-3 A3 | 1.46% | 5/10/2021 | 254 | 253,582 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-3 B | 1.80% | 10/8/2021 | 1,200 | 1,196,099 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-3 C | 2.24% | 4/8/2022 | 2,481 | 2,475,464 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-3 D | 2.71% | 9/8/2022 | 6,489 | 6,499,936 | ||||||||
Americredit Automobile Receivables Trust 2016-4 B | 1.83% | 12/8/2021 | 1,800 | 1,791,409 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-3 A2A | 1.69% | 12/18/2020 | 14 | 13,810 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-4 A3 | 2.04% | 7/18/2022 | 9,000 | 8,973,299 | ||||||||
AmeriCredit Automobile Receivables Trust 2018-2 A2A | 2.86% | 11/18/2021 | 25,931 | 25,967,050 | ||||||||
AmeriCredit Automobile Receivables Trust 2018-3 A2A | 3.11% | 1/18/2022 | 15,935 | 15,972,946 | ||||||||
AmeriCredit Automobile Receivables Trust 2018-3 A2B | 2.691% (1 Mo. LIBOR + .25% | )# | 1/18/2022 | 15,935 | 15,936,504 |
354 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
AmeriCredit Automobile Receivables Trust 2019-1 A2A | 2.93% | 6/20/2022 | $ | 26,440 | $ | 26,542,222 | ||||||
AmeriCredit Automobile Receivables Trust 2019-1 A2B | 2.701% (1 Mo. LIBOR + .26% | )# | 6/20/2022 | 29,222 | 29,236,237 | |||||||
Avid Automobile Receivables Trust 2018-1 A† | 2.84% | 8/15/2023 | 1,223 | 1,219,925 | ||||||||
BMW Vehicle Lease Trust 2019-1 A2 | 2.79% | 3/22/2021 | 29,910 | 30,010,815 | ||||||||
California Republic Auto Receivables Trust 2015-1 A4 | 1.82% | 9/15/2020 | 10 | 10,055 | ||||||||
California Republic Auto Receivables Trust 2015-2 A4 | 1.75% | 1/15/2021 | 40 | 40,365 | ||||||||
California Republic Auto Receivables Trust 2015-4 A4† | 2.58% | 6/15/2021 | 2,319 | 2,319,187 | ||||||||
California Republic Auto Receivables Trust 2016-2 A4 | 1.83% | 12/15/2021 | 292 | 290,342 | ||||||||
California Republic Auto Receivables Trust 2017-1 A4 | 2.28% | 6/15/2022 | 11,868 | 11,848,900 | ||||||||
California Republic Auto Receivables Trust 2018-1 A2 | 2.86% | 3/15/2021 | 8,800 | 8,802,191 | ||||||||
Capital Auto Receivables Asset Trust 2015-2 C | 2.67% | 8/20/2020 | 1,306 | 1,305,643 | ||||||||
Capital Auto Receivables Asset Trust 2015-3 D | 3.34% | 3/22/2021 | 2,575 | 2,580,563 | ||||||||
Capital Auto Receivables Asset Trust 2015-4 D | 3.62% | 5/20/2021 | 1,171 | 1,176,035 | ||||||||
Capital Auto Receivables Asset Trust 2016-2 B | 2.11% | 3/22/2021 | 1,000 | 996,961 | ||||||||
Capital Auto Receivables Asset Trust 2017-1 A3† | 2.02% | 8/20/2021 | 5,588 | 5,573,609 | ||||||||
Capital Auto Receivables Asset Trust 2018-1 A3† | 2.79% | 1/20/2022 | 27,363 | 27,424,323 | ||||||||
Capital Auto Receivables Asset Trust 2018-1 A4† | 2.93% | 6/20/2022 | 13,907 | 14,035,894 | ||||||||
Capital Auto Receivables Asset Trust 2018-2 A2† | 3.02% | 2/22/2021 | 28,649 | 28,703,585 | ||||||||
Capital Auto Receivables Asset Trust 2018-2 A3† | 3.27% | 6/20/2023 | 12,196 | 12,286,853 | ||||||||
Capital Auto Receivables Asset Trust 2018-2 B† | 3.48% | 10/20/2023 | 5,648 | 5,725,450 | ||||||||
Capital One Prime Auto Receivables Trust 2019-1 A2 | 2.58% | 4/15/2022 | 114,502 | 114,955,817 | ||||||||
CarFinance Capital Auto Trust 2015-1A C† | 3.58% | 6/15/2021 | 3,900 | 3,904,616 | ||||||||
CarMax Auto Owner Trust 2015-4 A3 | 1.56% | 11/16/2020 | 66 | 66,118 | ||||||||
CarMax Auto Owner Trust 2016-1 D | 3.11% | 8/15/2022 | 6,389 | 6,393,086 | ||||||||
CarMax Auto Owner Trust 2016-3 A3 | 1.39% | 5/17/2021 | 140 | 140,010 | ||||||||
CarMax Auto Owner Trust 2016-4 A3 | 1.40% | 8/15/2021 | 2,473 | 2,459,967 | ||||||||
CarMax Auto Owner Trust 2017-3 A2A | 1.64% | 9/15/2020 | 51 | 50,709 | ||||||||
Chesapeake Funding II LLC 2016-1A A1† | 2.11% | 3/15/2028 | 2,560 | 2,558,037 | ||||||||
Chesapeake Funding II LLC 2016-2A A1† | 1.88% | 6/15/2028 | 2,294 | 2,287,995 | ||||||||
Chesapeake Funding II LLC 2016-2A A2† | 3.44% (1 Mo. LIBOR + 1.00% | )# | 6/15/2028 | 562 | 562,440 | |||||||
Chesapeake Funding II LLC 2017-2A A1† | 1.99% | 5/15/2029 | 2,920 | 2,906,773 |
See Notes to Financial Statements. | 355 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Chesapeake Funding II LLC 2017-2A A2† | 2.89% (1 Mo. LIBOR + .45% | )# | 5/15/2029 | $ | 1,592 | $ | 1,592,791 | |||||
Chesapeake Funding II LLC 2017-3A A1† | 1.91% | 8/15/2029 | 1,050 | 1,044,899 | ||||||||
Chesapeake Funding II LLC 2017-3A A2† | 2.78% (1 Mo. LIBOR + .34% | )# | 8/15/2029 | 15,439 | 15,445,106 | |||||||
Chesapeake Funding II LLC 2017-4A A1† | 2.12% | 11/15/2029 | 30,687 | 30,510,266 | ||||||||
Chesapeake Funding II LLC 2017-4A A2† | 2.78% (1 Mo. LIBOR + .34% | )# | 11/15/2029 | 5,703 | 5,709,975 | |||||||
Chesapeake Funding II LLC 2018-3A A2† | 2.92% (1 Mo. LIBOR + .48% | )# | 1/15/2031 | 79,814 | 79,911,006 | |||||||
Chrysler Capital Auto Receivables Trust 2015-AA D† | 3.15% | 1/18/2022 | 4,783 | 4,783,644 | ||||||||
Chrysler Capital Auto Receivables Trust 2016-BA A3† | 1.64% | 7/15/2021 | 627 | 625,949 | ||||||||
CPS Auto Receivables Trust 2014-C D† | 4.83% | 8/17/2020 | 6,027 | 6,051,806 | ||||||||
CPS Auto Receivables Trust 2016-C C† | 3.27% | 6/15/2022 | 7,185 | 7,193,581 | ||||||||
CPS Auto Receivables Trust 2016-C D† | 5.92% | 6/15/2022 | 5,325 | 5,497,902 | ||||||||
CPS Auto Receivables Trust 2017-C B† | 2.30% | 7/15/2021 | 737 | 735,664 | ||||||||
CPS Auto Receivables Trust 2017-D A† | 1.87% | 3/15/2021 | 231 | 230,788 | ||||||||
CPS Auto Receivables Trust 2017-D B† | 2.43% | 1/18/2022 | 3,000 | 2,995,202 | ||||||||
CPS Auto Receivables Trust 2018-A B† | 2.77% | 4/18/2022 | 1,521 | 1,520,839 | ||||||||
CPS Auto Receivables Trust 2018-B A† | 2.72% | 9/15/2021 | 5,072 | 5,071,577 | ||||||||
CPS Auto Receivables Trust 2018-B B† | 3.23% | 7/15/2022 | 1,135 | 1,140,610 | ||||||||
CPS Auto Receivables Trust 2019-A† | 3.18% | 6/15/2022 | 28,701 | 28,797,345 | ||||||||
CPS Auto Trust 2017-A B† | 2.68% | 5/17/2021 | 783 | 782,435 | ||||||||
CPS Auto Trust 2017-A C† | 3.31% | 12/15/2022 | 11,425 | 11,471,374 | ||||||||
CPS Auto Trust 2018-C A† | 2.87% | 9/15/2021 | 6,001 | 6,002,814 | ||||||||
CPS Auto Trust 2018-C B† | 3.43% | 7/15/2022 | 3,840 | 3,866,981 | ||||||||
Credit Acceptance Auto Loan Trust 2016-3A A† | 2.15% | 4/15/2024 | 2,441 | 2,437,723 | ||||||||
Drive Auto Receivables Trust 2015-BA E† | 5.15% | 8/15/2022 | 10,500 | 10,523,612 | ||||||||
Drive Auto Receivables Trust 2016-BA C† | 3.19% | 7/15/2022 | 1,276 | 1,275,755 | ||||||||
Drive Auto Receivables Trust 2016-BA D† | 4.53% | 8/15/2023 | 9,794 | 9,900,788 | ||||||||
Drive Auto Receivables Trust 2016-CA C† | 3.02% | 11/15/2021 | 911 | 911,884 | ||||||||
Drive Auto Receivables Trust 2016-CA D† | 4.18% | 3/15/2024 | 17,529 | 17,737,115 | ||||||||
Drive Auto Receivables Trust 2017-1 C | 2.84% | 4/15/2022 | 4,755 | 4,757,305 | ||||||||
Drive Auto Receivables Trust 2017-2 C | 2.75% | 9/15/2023 | 5,373 | 5,372,726 | ||||||||
Drive Auto Receivables Trust 2017-3 C | 2.80% | 7/15/2022 | 1,635 | 1,635,187 | ||||||||
Drive Auto Receivables Trust 2017-AA C† | 2.98% | 1/18/2022 | 3,360 | 3,361,976 | ||||||||
Drive Auto Receivables Trust 2017-BA C† | 2.61% | 8/16/2021 | 1,257 | 1,258,160 | ||||||||
Drive Auto Receivables Trust 2017-BA D† | 3.72% | 10/17/2022 | 10,187 | 10,247,786 | ||||||||
Drive Auto Receivables Trust 2018-2 A3 | 2.88% | 6/15/2021 | 1,449 | 1,449,299 |
356 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Drive Auto Receivables Trust 2018-3 A3 | 3.01% | 11/15/2021 | $ | 8,186 | $ | 8,189,002 | ||||||
Drive Auto Receivables Trust 2018-3 B | 3.37% | 9/15/2022 | 4,980 | 4,998,450 | ||||||||
Drive Auto Receivables Trust 2018-3 C | 3.72% | 9/16/2024 | 8,689 | 8,818,226 | ||||||||
Drive Auto Receivables Trust 2018-4 A2A | 2.78% | 10/15/2020 | 18 | 17,504 | ||||||||
Drive Auto Receivables Trust 2018-4 A3 | 3.04% | 11/15/2021 | 25,236 | 25,253,761 | ||||||||
Drive Auto Receivables Trust 2018-4 B | 3.36% | 10/17/2022 | 10,262 | 10,311,955 | ||||||||
Drive Auto Receivables Trust 2018-4 C | 3.66% | 11/15/2024 | 4,697 | 4,758,384 | ||||||||
Drive Auto Receivables Trust 2018-5 A2A | 3.08% | 7/15/2021 | 14,342 | 14,351,873 | ||||||||
Drive Auto Receivables Trust 2018-5 A2B | 2.76% (1 Mo. LIBOR + .32% | )# | 7/15/2021 | 11,761 | 11,763,601 | |||||||
Drive Auto Receivables Trust 2018-5 B | 3.68% | 7/15/2023 | 39,891 | 40,546,118 | ||||||||
Drive Auto Receivables Trust 2019-2 A2A | 2.93% | 3/15/2022 | 46,515 | 46,593,982 | ||||||||
Enterprise Fleet Financing LLC 2017-1 A2† | 2.13% | 7/20/2022 | 601 | 599,966 | ||||||||
Enterprise Fleet Financing LLC 2017-2 A2† | 1.97% | 1/20/2023 | 939 | 936,754 | ||||||||
Enterprise Fleet Financing LLC 2018-1 A2† | 2.87% | 10/20/2023 | 11,828 | 11,859,275 | ||||||||
Exeter Automobile Receivables Trust 2015-1A D† | 5.83% | 12/15/2021 | 5,250 | 5,286,234 | ||||||||
Exeter Automobile Receivables Trust 2016-3A C† | 4.22% | 6/15/2022 | 3,825 | 3,881,507 | ||||||||
Exeter Automobile Receivables Trust 2017-1A C† | 3.95% | 12/15/2022 | 960 | 971,348 | ||||||||
Exeter Automobile Receivables Trust 2017-3A A† | 2.05% | 12/15/2021 | 9,462 | 9,447,489 | ||||||||
Fifth Third Auto Trust 2019-1 A2A | 2.66% | 5/16/2022 | 40,009 | 40,157,037 | ||||||||
First Investors Auto Owner Trust 2016-2A A2† | 1.87% | 11/15/2021 | 130 | 129,360 | ||||||||
First Investors Auto Owner Trust 2017-2A A1† | 1.86% | 10/15/2021 | 284 | 283,756 | ||||||||
First Investors Auto Owner Trust 2017-3A A1† | 2.00% | 3/15/2022 | 368 | 367,496 | ||||||||
First Investors Auto Owner Trust 2018-2A A1† | 3.23% | 12/15/2022 | 14,060 | 14,127,377 | ||||||||
First Investors Auto Owner Trust 2019-1A A† | 2.89% | 3/15/2024 | 36,055 | 36,268,574 | ||||||||
Flagship Credit Auto Trust 2016-1 B† | 3.91% | 6/15/2022 | 3,619 | 3,632,714 | ||||||||
Flagship Credit Auto Trust 2016-2 A2† | 3.05% | 8/16/2021 | 2,152 | 2,152,715 | ||||||||
Flagship Credit Auto Trust 2016-3 B† | 2.43% | 6/15/2021 | 4,229 | 4,226,354 | ||||||||
Flagship Credit Auto Trust 2017-2 A† | 1.85% | 7/15/2021 | 174 | 173,619 | ||||||||
Flagship Credit Auto Trust 2017-3 A† | 1.88% | 10/15/2021 | 1,556 | 1,551,663 | ||||||||
Flagship Credit Auto Trust 2017-4 A† | 2.07% | 4/15/2022 | 1,050 | 1,046,333 | ||||||||
Flagship Credit Auto Trust 2018-2 A† | 2.97% | 10/17/2022 | 17,056 | 17,113,822 | ||||||||
Flagship Credit Auto Trust 2018-3 A† | 3.07% | 2/15/2023 | 25,539 | 25,640,233 | ||||||||
Ford Credit Auto Owner Trust 2014-2 A† | 2.31% | 4/15/2026 | 121,073 | 120,929,831 | ||||||||
Ford Credit Auto Owner Trust 2015-1 A† | 2.12% | 7/15/2026 | 19,648 | 19,591,310 | ||||||||
Foursight Capital Automobile Receivables Trust 2015-1 B† | 4.12% | 9/15/2022 | 1,750 | 1,754,652 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 A2† | 2.85% | 8/16/2021 | 8,072 | 8,071,836 |
See Notes to Financial Statements. | 357 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Foursight Capital Automobile Receivables Trust 2018-1 A3† | 3.24% | 9/15/2022 | $ | 5,444 | $ | 5,475,233 | ||||||
Foursight Capital Automobile Receivables Trust 2018-2 A2† | 3.32% | 4/15/2022 | 22,023 | 22,100,494 | ||||||||
GM Financial Automobile Leasing Trust 2019-2 A2A | 2.67% | 6/21/2021 | 29,814 | 29,879,954 | ||||||||
GM Financial Automobile Leasing Trust 2019-2 A3 | 2.67% | 3/21/2022 | 16,101 | 16,214,599 | ||||||||
GM Financial Consumer Automobile Receivables Trust 2019-1 A2 | 2.99% | 3/16/2022 | 56,939 | 57,121,013 | ||||||||
Honda Auto Receivables Owner Trust 2017-3 A3 | 1.79% | 9/20/2021 | 9,598 | 9,562,661 | ||||||||
Honda Auto Receivables Owner Trust 2019-1 A2 | 2.75% | 9/20/2021 | 61,418 | 61,621,386 | ||||||||
Mercedes-Benz Auto Lease Trust 2018-A A2 | 2.20% | 4/15/2020 | 1,357 | 1,356,749 | ||||||||
Nissan Auto Receivables Owner Trust 2016-B A3 | 1.32% | 1/15/2021 | 64 | 64,146 | ||||||||
Nissan Auto Receivables Owner Trust 2017-C A3 | 2.12% | 4/18/2022 | 2,624 | 2,618,645 | ||||||||
OSCAR US Funding Trust VII LLC 2017-2A A2B† | 3.101% (1 Mo. LIBOR + .65% | )# | 11/10/2020 | 3,384 | 3,385,901 | |||||||
Santander Drive Auto Receivables Trust 2015-1 D | 3.24% | 4/15/2021 | 925 | 926,209 | ||||||||
Santander Drive Auto Receivables Trust 2015-4 C | 2.97% | 3/15/2021 | 435 | 435,014 | ||||||||
Santander Drive Auto Receivables Trust 2015-4 D | 3.53% | 8/16/2021 | 37,439 | 37,573,380 | ||||||||
Santander Drive Auto Receivables Trust 2015-4 E† | 4.54% | 11/15/2022 | 40,950 | 41,343,190 | ||||||||
Santander Drive Auto Receivables Trust 2015-5 C | 2.74% | 12/15/2021 | 42 | 41,798 | ||||||||
Santander Drive Auto Receivables Trust 2015-5 D | 3.65% | 12/15/2021 | 19,635 | 19,714,109 | ||||||||
Santander Drive Auto Receivables Trust 2016-1 E | 5.02% | 6/15/2023 | 38,076 | 38,691,034 | ||||||||
Santander Drive Auto Receivables Trust 2016-2 D | 3.39% | 4/15/2022 | 1,160 | 1,170,205 | ||||||||
Santander Drive Auto Receivables Trust 2016-2 E | 4.38% | 9/15/2023 | 13,300 | 13,509,020 | ||||||||
Santander Drive Auto Receivables Trust 2016-3 B | 1.89% | 6/15/2021 | 34 | 34,231 | ||||||||
Santander Drive Auto Receivables Trust 2016-3 C | 2.46% | 3/15/2022 | 5,000 | 4,996,806 | ||||||||
Santander Drive Auto Receivables Trust 2016-3 D | 2.80% | 8/15/2022 | 11,898 | 11,952,770 | ||||||||
Santander Drive Auto Receivables Trust 2017-2 B | 2.21% | 10/15/2021 | 1,007 | 1,006,541 | ||||||||
Santander Drive Auto Receivables Trust 2017-3 A3 | 1.87% | 6/15/2021 | 357 | 356,833 | ||||||||
Santander Drive Auto Receivables Trust 2018-1 B | 2.63% | 7/15/2022 | 60,584 | 60,625,300 | ||||||||
Santander Drive Auto Receivables Trust 2018-2 B | 3.03% | 9/15/2022 | 24,303 | 24,385,411 | ||||||||
Santander Drive Auto Receivables Trust 2018-3 A2A | 2.78% | 3/15/2021 | 3,328 | 3,327,793 | ||||||||
Santander Drive Auto Receivables Trust 2018-4 B | 3.27% | 1/17/2023 | 46,221 | 46,567,815 | ||||||||
Santander Drive Auto Receivables Trust 2018-5 B | 3.52% | 12/15/2022 | 12,616 | 12,773,415 | ||||||||
SunTrust Auto Receivables Trust 2015-1A A4† | 1.78% | 1/15/2021 | 123 | 123,148 | ||||||||
TCF Auto Receivables Owner Trust 2015-2A A4† | 2.55% | 4/15/2021 | 3,618 | 3,616,291 | ||||||||
TCF Auto Receivables Owner Trust 2016-PT1A A† | 1.93% | 6/15/2022 | 408 | 405,502 | ||||||||
Toyota Auto Receivables Owner Trust 2016-D A3 | 1.23% | 10/15/2020 | 4,185 | 4,173,017 | ||||||||
Westlake Automobile Receivables Trust 2016-2A C† | 2.83% | 5/17/2021 | 25 | 25,197 |
358 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Westlake Automobile Receivables Trust 2016-2A D† | 4.10% | 6/15/2021 | $ | 3,610 | $ | 3,622,910 | ||||||
Westlake Automobile Receivables Trust 2016-3A C† | 2.46% | 1/18/2022 | 10,152 | 10,148,274 | ||||||||
Westlake Automobile Receivables Trust 2016-3A D† | 3.58% | 1/18/2022 | 23,000 | 23,120,216 | ||||||||
Westlake Automobile Receivables Trust 2018-1A C† | 2.92% | 5/15/2023 | 2,745 | 2,751,299 | ||||||||
Westlake Automobile Receivables Trust 2018-2A C† | 3.50% | 1/16/2024 | 5,383 | 5,435,265 | ||||||||
Westlake Automobile Receivables Trust 2018-3A A2A† | 2.98% | 1/18/2022 | 16,813 | 16,847,250 | ||||||||
Westlake Automobile Receivables Trust 2018-3A B† | 3.32% | 10/16/2023 | 23,532 | 23,696,432 | ||||||||
Westlake Automobile Receivables Trust 2019-1A A2A† | 3.06% | 5/16/2022 | 57,141 | 57,372,901 | ||||||||
Wheels SPV 2 LLC 2018-1A A2† | 3.06% | 4/20/2027 | 6,262 | 6,289,598 | ||||||||
World Omni Select Auto Trust 2018-1A A2† | 3.24% | 4/15/2022 | 23,518 | 23,595,758 | ||||||||
World Omni Select Auto Trust 2018-1A A3† | 3.46% | 3/15/2023 | 39,410 | 40,042,428 | ||||||||
Total | 2,038,266,099 | |||||||||||
Credit Cards 8.66% | ||||||||||||
American Express Credit Account Master Trust 2017-1 A | 1.93% | 9/15/2022 | 46,674 | 46,506,109 | ||||||||
American Express Credit Account Master Trust 2017-2 A | 2.89% (1 Mo. LIBOR + .45% | )# | 9/16/2024 | 17,324 | 17,434,562 | |||||||
American Express Credit Account Master Trust 2017-3 A | 1.77% | 11/15/2022 | 19,097 | 19,000,027 | ||||||||
American Express Credit Account Master Trust 2018-1 A | 2.67% | 10/17/2022 | 9,618 | 9,644,020 | ||||||||
BA Credit Card Trust 2017-A1 | 1.95% | 8/15/2022 | 9,020 | 8,992,830 | ||||||||
BA Credit Card Trust 2017-A2 | 1.84% | 1/17/2023 | 68,435 | 68,077,468 | ||||||||
Barclays Dryrock Issuance Trust 2014-3 A | 2.41% | 7/15/2022 | 6,901 | 6,897,748 | ||||||||
Barclays Dryrock Issuance Trust 2016-1 A | 1.52% | 5/16/2022 | 4,683 | 4,677,268 | ||||||||
Barclays Dryrock Issuance Trust 2017-1 A | 2.77% (1 Mo. LIBOR + .33% | )# | 3/15/2023 | 616 | 617,075 | |||||||
Barclays Dryrock Issuance Trust 2017-2 A | 2.74% (1 Mo. LIBOR + .30% | )# | 5/15/2023 | 16,646 | 16,677,011 | |||||||
Barclays Dryrock Issuance Trust 2018-1 A | 2.77% (1 Mo. LIBOR + .33% | )# | 7/15/2024 | 8,533 | 8,543,250 | |||||||
Cabela’s Credit Card Master Note Trust 2014-2 A | 2.89% (1 Mo. LIBOR + .45% | )# | 7/15/2022 | 31,917 | 31,924,954 | |||||||
Cabela’s Credit Card Master Note Trust 2016-1 A1 | 1.78% | 6/15/2022 | 19,690 | 19,682,155 | ||||||||
Cabela’s Credit Card Master Note Trust 2016-1 A2 | 3.29% (1 Mo. LIBOR + .85% | )# | 6/15/2022 | 60,021 | 60,032,404 | |||||||
Capital One Multi-Asset Execution Trust 2016-A4 | 1.33% | 6/15/2022 | 19,399 | 19,351,335 |
See Notes to Financial Statements. | 359 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Credit Cards (continued) | ||||||||||||
Capital One Multi-Asset Execution Trust 2016-A7 | 2.95% (1 Mo. LIBOR + .51% | )# | 9/16/2024 | $ | 13,141 | $ | 13,246,757 | |||||
Capital One Multi-Asset Execution Trust 2017-A1 | 2.00% | 1/17/2023 | 46,182 | 46,023,877 | ||||||||
Capital One Multi-Asset Execution Trust 2017-A4 | 1.99% | 7/17/2023 | 86,277 | 86,015,486 | ||||||||
Chase Issuance Trust 2012-A4 | 1.58% | 8/15/2021 | 13,101 | 13,075,377 | ||||||||
Chase Issuance Trust 2016-A5 | 1.27% | 7/15/2021 | 15,479 | 15,457,438 | ||||||||
Chase Issuance Trust 2018-A1 | 2.64% (1 Mo. LIBOR + .20% | )# | 4/17/2023 | 12,755 | 12,768,649 | |||||||
Citibank Credit Card Issuance Trust 2014-A1 | 2.88% | 1/23/2023 | 9,819 | 9,900,932 | ||||||||
Citibank Credit Card Issuance Trust 2017-A3 | 1.92% | 4/7/2022 | 65,640 | 65,387,109 | ||||||||
Citibank Credit Card Issuance Trust 2017-A9 | 1.80% | 9/20/2021 | 8,730 | 8,710,618 | ||||||||
Discover Card Execution Note Trust 2015-A2 A | 1.90% | 10/17/2022 | 14,699 | 14,646,623 | ||||||||
Discover Card Execution Note Trust 2016-A4 | 1.39% | 3/15/2022 | 36,330 | 36,212,908 | ||||||||
Discover Card Execution Note Trust 2017-A1 | 2.93% (1 Mo. LIBOR + .49% | )# | 7/15/2024 | 47,116 | 47,445,101 | |||||||
Discover Card Execution Note Trust 2017-A6 | 1.88% | 2/15/2023 | 39,045 | 38,832,017 | ||||||||
First National Master Note Trust 2017-2 A | 2.88% (1 Mo. LIBOR + .44% | )# | 10/16/2023 | 3,500 | 3,504,863 | |||||||
First National Master Note Trust 2018-1 A | 2.90% (1 Mo. LIBOR + .46% | )# | 10/15/2024 | 32,938 | 32,948,869 | |||||||
GE Capital Credit Card Master Note Trust 2012-7 A | 1.76% | 9/15/2022 | 81,139 | 80,963,805 | ||||||||
Golden Credit Card Trust 2017-2A A† | 1.98% | 4/15/2022 | 23,339 | 23,244,176 | ||||||||
Golden Credit Card Trust 2019-1A A† | 2.89% (1 Mo. LIBOR + .45% | )# | 12/15/2022 | 49,831 | 50,007,327 | |||||||
Gracechurch Card Funding plc 2018-1 A† | 2.84% (1 Mo. LIBOR + .40% | )# | 7/15/2022 | 19,202 | 19,142,660 | |||||||
Master Credit Card Trust 2019-1A A† | 2.922% (1 Mo. LIBOR + .48% | )# | 7/21/2022 | 34,629 | 34,724,697 | |||||||
Master Credit Card Trust II 2017-1A A† | 2.26% | 7/21/2021 | 53,055 | 52,956,854 | ||||||||
Master Credit Card Trust II 2017-1A B† | 2.56% | 7/21/2021 | 932 | 931,063 | ||||||||
Master Credit Card Trust II 2018-3A B† | 3.40% | 1/21/2022 | 9,053 | 9,126,772 | ||||||||
Synchrony Credit Card Master Note Trust 2015-1 A | 2.37% | 3/15/2023 | 31,270 | 31,251,063 | ||||||||
Synchrony Credit Card Master Note Trust 2015-1 B | 2.64% | 3/15/2023 | 30,707 | 30,667,332 | ||||||||
Synchrony Credit Card Master Note Trust 2015-4 A | 2.38% | 9/15/2023 | 26,086 | 26,108,108 | ||||||||
Synchrony Credit Card Master Note Trust 2018-1 C | 3.36% | 3/15/2024 | 15,400 | 15,486,687 | ||||||||
Trillium Credit Card Trust II 2019-2A A† | 3.038% | 1/26/2024 | 80,000 | 80,748,024 | ||||||||
World Financial Network Credit Card Master Trust 2012-D A | 2.15% | 4/17/2023 | 31,325 | 31,312,742 | ||||||||
World Financial Network Credit Card Master Trust 2012-D B | 3.34% | 4/17/2023 | 7,119 | 7,119,124 |
360 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Credit Cards (continued) | ||||||||||||
World Financial Network Credit Card Master Trust 2012-D M | 3.09% | 4/17/2023 | $ | 4,437 | $ | 4,436,917 | ||||||
World Financial Network Credit Card Master Trust 2015-B A | 2.55% | 6/17/2024 | 5,045 | 5,058,930 | ||||||||
World Financial Network Credit Card Master Trust 2016-C M | 1.98% | 8/15/2023 | 9,066 | 9,034,408 | ||||||||
World Financial Network Credit Card Master Trust 2017-B A | 1.98% | 6/15/2023 | 50,071 | 50,062,929 | ||||||||
World Financial Network Credit Card Master Trust 2017-C A | 2.31% | 8/15/2024 | 107,821 | 107,822,660 | ||||||||
World Financial Network Credit Card Master Trust 2018-A | 3.07% | 12/16/2024 | 17,734 | 17,941,920 | ||||||||
Total | 1,470,383,038 | |||||||||||
Other 4.68% | ||||||||||||
Access Point Funding I LLC 2017-A† | 3.06% | 4/15/2029 | 1,620 | 1,617,208 | ||||||||
Ally Master Owner Trust 2017-2 A | 2.829% (1 Mo. LIBOR + .34% | )# | 6/15/2021 | 20,628 | 20,627,109 | |||||||
Ascentium Equipment Receivables Trust 2016-1A B† | 2.85% | 7/10/2020 | 110 | 109,549 | ||||||||
Ascentium Equipment Receivables Trust 2017-1A A3† | 2.29% | 6/10/2021 | 7,349 | 7,336,357 | ||||||||
Ascentium Equipment Receivables Trust 2017-2A A2† | 2.00% | 5/11/2020 | 2,588 | 2,584,191 | ||||||||
AXIS Equipment Finance Receivables VI LLC 2018-2A A2† | 3.89% | 7/20/2022 | 11,043 | 11,198,271 | ||||||||
CCG Receivables Trust 2018-1 A2† | 2.50% | 6/16/2025 | 1,704 | 1,704,507 | ||||||||
Conn’s Receivables Funding LLC 2018-A† | 3.25% | 1/15/2023 | 15,820 | 15,862,981 | ||||||||
Conn’s Receivables Funding LLC 2019-A† | 3.40% | 10/16/2023 | 59,043 | 59,255,057 | ||||||||
Dell Equipment Finance Trust 2017-1 A3† | 2.14% | 4/22/2022 | 30 | 30,166 | ||||||||
Dell Equipment Finance Trust 2018-1 A2A† | 2.97% | 10/22/2020 | 23,974 | 24,021,771 | ||||||||
DLL LLC 2018-1 A2† | 2.81% | 11/17/2020 | 17,485 | 17,493,145 | ||||||||
DLL LLC 2018-1 A3† | 3.10% | 4/18/2022 | 23,109 | 23,326,451 | ||||||||
DLL LLC 2018-ST2 A2† | 3.14% | 10/20/2020 | 35,334 | 35,393,137 | ||||||||
DLL Securitization Trust 2017-A A2† | 1.89% | 7/15/2020 | 789 | 788,659 | ||||||||
DLL Securitization Trust 2017-A A3† | 2.14% | 12/15/2021 | 23,109 | 23,050,250 | ||||||||
Engs Commercial Finance Trust 2016-1A A2† | 2.63% | 2/22/2022 | 97 | 96,796 | ||||||||
Engs Commercial Finance Trust 2018-1A A1† | 2.97% | 2/22/2021 | 10,724 | 10,733,287 | ||||||||
Ford Credit Floorplan Master Owner Trust 2015-2 A1 | 1.98% | 1/15/2022 | 11,437 | 11,398,190 |
See Notes to Financial Statements. | 361 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Ford Credit Floorplan Master Owner Trust A 2015-5 A1 | 2.42% | 8/15/2022 | $ | 19,334 | $ | 19,333,053 | ||||||
Ford Credit Floorplan Master Owner Trust A 2016-3 A2 | 3.06% (1 Mo. LIBOR + .62% | )# | 7/15/2021 | 21,560 | 21,572,815 | |||||||
FREED ABS TRUST 2018-1 A† | 3.61% | 7/18/2024 | 7,882 | 7,913,997 | ||||||||
FREED ABS TRUST 2018-2 A† | 3.99% | 10/20/2025 | 16,210 | 16,348,442 | ||||||||
GMF Floorplan Owner Revolving Trust 2017-1 B† | 2.58% | 1/18/2022 | 22,234 | 22,211,553 | ||||||||
GMF Floorplan Owner Revolving Trust 2018-1 A† | 2.694% (1 Mo. LIBOR + .30% | )# | 3/15/2022 | 27,768 | 27,791,600 | |||||||
GreatAmerica Leasing Receivables Funding LLC Series 2018-1 A2 | 2.35% | 5/15/2020 | 904 | 903,267 | ||||||||
Marlette Funding Trust 2018-3 A† | 3.20% | 9/15/2028 | 19,853 | 19,880,324 | ||||||||
Marlette Funding Trust 2018-4A A† | 3.71% | 12/15/2028 | 16,909 | 17,057,161 | ||||||||
Mercedes-Benz Master Owner Trust 2018-BA A† | 2.78% (1 Mo. LIBOR + .34% | )# | 5/15/2023 | 20,435 | 20,447,899 | |||||||
MMAF Equipment Finance LLC 2014-AA A4† | 1.59% | 2/8/2022 | 5,541 | 5,514,554 | ||||||||
Navient Private Education Refi Loan Trust 2019-A A1† | 3.03% | 1/15/2043 | 26,151 | 26,343,752 | ||||||||
Navient Student Loan Trust 2018-1A A1† | 2.62% (1 Mo. LIBOR + .19% | )# | 3/25/2067 | 870 | 870,242 | |||||||
Navistar Financial Dealer Note Master Owner Trust II 2018-1 A† | 3.06% (1 Mo. LIBOR + .63% | )# | 9/25/2023 | 33,008 | 33,085,724 | |||||||
NextGear Floorplan Master Owner Trust 2016-2A A2† | 2.19% | 9/15/2021 | 23,069 | 23,028,595 | ||||||||
NextGear Floorplan Master Owner Trust 2017-1A A2† | 2.54% | 4/18/2022 | 13,038 | 13,014,967 | ||||||||
NextGear Floorplan Master Owner Trust 2018-2A A1† | 3.04% (1 Mo. LIBOR + .60% | )# | 10/15/2023 | 14,116 | 14,145,603 | |||||||
Nissan Master Owner Trust Receivables 2017-B A | 2.87% (1 Mo. LIBOR + .43% | )# | 4/18/2022 | 45,559 | 45,650,004 | |||||||
OneMain Financial Issuance Trust 2016-1A A† | 3.66% | 2/20/2029 | 4,439 | 4,458,528 | ||||||||
OneMain Financial Issuance Trust 2016-2A A† | 4.10% | 3/20/2028 | 66 | 66,587 | ||||||||
PFS Financing Corp. 2016-BA A† | 1.87% | 10/15/2021 | 7,379 | 7,361,645 | ||||||||
PFS Financing Corp. 2017-D A† | 2.40% | 10/17/2022 | 13,043 | 13,035,839 | ||||||||
PFS Financing Corp. 2018-A A† | 2.84% (1 Mo. LIBOR + .40% | )# | 2/15/2022 | 26,700 | 26,710,763 | |||||||
PFS Financing Corp. 2018-A B† | 3.04% (1 Mo. LIBOR + .60% | )# | 2/15/2022 | 6,000 | 5,990,645 | |||||||
SCF Equipment Leasing LLC 2018-1A A2† | 3.63% | 10/20/2024 | 9,108 | 9,175,529 | ||||||||
SCF Equipment Leasing LLC 2019-1A A1† | 3.04% | 3/20/2023 | 22,259 | 22,326,083 |
362 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
SMB Private Education Loan Trust 2018-B A1† | 2.76% (1 Mo. LIBOR + .32% | )# | 12/16/2024 | $ | 11,644 | $ | 11,627,057 | |||||
SoFi Consumer Loan Program LLC 2016-2A A† | 3.09% | 10/27/2025 | 1,220 | 1,224,563 | ||||||||
SoFi Consumer Loan Program LLC 2017-5 A1† | 2.14% | 9/25/2026 | 1,288 | 1,286,856 | ||||||||
SoFi Professional Loan Program 2017-D A1FX† | 1.72% | 9/25/2040 | 200 | 199,474 | ||||||||
SoFi Professional Loan Program LLC 2017-A A2A† | 1.55% | 3/26/2040 | 98 | 97,876 | ||||||||
SoFi Professional Loan Program LLC 2017-C A2A† | 1.75% | 7/25/2040 | 1,586 | 1,579,358 | ||||||||
SoFi Professional Loan Program LLC 2017-E A2A† | 1.86% | 11/26/2040 | 1,396 | 1,387,165 | ||||||||
SoFi Professional Loan Program LLC 2017-F A1FX† | 2.05% | 1/25/2041 | 4,185 | 4,167,433 | ||||||||
SoFi Professional Loan Program LLC 2018-A A2A† | 2.39% | 2/25/2042 | 7,959 | 7,944,804 | ||||||||
SoFi Professional Loan Program Trust 2018-B A1FX† | 2.64% | 8/25/2047 | 11,838 | 11,843,155 | ||||||||
Springleaf Funding Trust 2015-AA A† | 3.16% | 11/15/2024 | 555 | 554,604 | ||||||||
Springleaf Funding Trust 2016-AA A† | 2.90% | 11/15/2029 | 13,489 | 13,489,527 | ||||||||
Verizon Owner Trust 2017-1A B† | 2.45% | 9/20/2021 | 5,164 | 5,164,347 | ||||||||
Wells Fargo Dealer Floorplan Master Note Trust 2015-2 A | 3.091% (1 Mo. LIBOR + .65% | )# | 1/20/2022 | 39,621 | 39,690,127 | |||||||
Westgate Resorts LLC 2018-1A A† | 3.38% | 12/20/2031 | 2,882 | 2,904,395 | ||||||||
Total | 794,026,994 | |||||||||||
Total Asset-Backed Securities (cost $4,283,530,456) | 4,302,676,131 | |||||||||||
CORPORATE BONDS 42.74% | ||||||||||||
Aerospace/Defense 0.10% | ||||||||||||
General Dynamics Corp. | 2.825% (3 Mo. LIBOR + .29% | )# | 5/11/2020 | 9,860 | 9,881,022 | |||||||
Harris Corp. | 3.063% (3 Mo. LIBOR + .48% | )# | 4/30/2020 | 6,447 | 6,446,373 | |||||||
Total | 16,327,395 | |||||||||||
Automotive 4.09% | ||||||||||||
American Honda Finance Corp. | 2.872% | # | 10/19/2020 | 70,094 | 70,142,174 | |||||||
BMW US Capital LLC† | 2.898% (3 Mo. LIBOR + .37% | )# | 8/14/2020 | 30,290 | 30,375,579 | |||||||
BMW US Capital LLC† | 2.969% (3 Mo. LIBOR + .38% | )# | 4/6/2020 | 2,351 | 2,356,600 | |||||||
BMW US Capital LLC† | 3.014% (3 Mo. LIBOR + .41% | )# | 4/12/2021 | 8,483 | 8,500,470 | |||||||
BMW US Capital LLC† | 3.035% (3 Mo. LIBOR + .50% | )# | 8/13/2021 | 23,743 | 23,816,624 | |||||||
Daimler Finance North America LLC† | 2.955% (3 Mo. LIBOR + .39% | )# | 5/4/2020 | 33,492 | 33,484,449 | |||||||
Daimler Finance North America LLC† | 2.965% (3 Mo. LIBOR + .43% | )# | 2/12/2021 | 10,800 | 10,797,111 | |||||||
Daimler Finance North America LLC† | 2.973% | # | 2/22/2021 | 3,377 | 3,377,172 | |||||||
Daimler Finance North America LLC† | 3.095% (3 Mo. LIBOR + .53% | )# | 5/5/2020 | 14,403 | 14,435,432 | |||||||
Daimler Finance North America LLC† | 3.115% (3 Mo. LIBOR + .55% | )# | 5/4/2021 | 7,523 | 7,524,609 |
See Notes to Financial Statements. | 363 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automotive (continued) | ||||||||||||
Daimler Finance North America LLC† | 3.203% (3 Mo. LIBOR + .62% | )# | 10/30/2019 | $ | 21,909 | $ | 21,946,071 | |||||
Daimler Finance North America LLC† | 3.219% (3 Mo. LIBOR + .63% | )# | 1/6/2020 | 34,835 | 34,908,191 | |||||||
Daimler Finance North America LLC† | 3.235% (3 Mo. LIBOR + .67% | )# | 11/5/2021 | 69,315 | 69,464,824 | |||||||
Daimler Finance North America LLC† | 3.403% | # | 2/22/2022 | 12,785 | 12,865,341 | |||||||
Ford Motor Credit Co. LLC | 3.006% (3 Mo. LIBOR + .43% | )# | 11/2/2020 | 5,384 | 5,330,034 | |||||||
Ford Motor Credit Co. LLC | 3.365% (3 Mo. LIBOR + .83% | )# | 8/12/2019 | 15,607 | 15,612,301 | |||||||
Ford Motor Credit Co. LLC | 3.408% (3 Mo. LIBOR + .81% | )# | 4/5/2021 | 14,800 | 14,596,923 | |||||||
Ford Motor Credit Co. LLC | 3.484% (3 Mo. LIBOR + .88% | )# | 10/12/2021 | 33,232 | 32,595,405 | |||||||
Ford Motor Credit Co. LLC | 3.495% (3 Mo. LIBOR + .93% | )# | 11/4/2019 | 400 | 400,525 | |||||||
Ford Motor Credit Co. LLC | 3.592% (3 Mo. LIBOR + 1.00% | )# | 1/9/2020 | 39,494 | 39,549,903 | |||||||
General Motors Co. | 3.365% (3 Mo. LIBOR + .80% | )# | 8/7/2020 | 5,000 | 5,010,273 | |||||||
General Motors Financial Co., Inc. | 3.527% (3 Mo. LIBOR + .93% | )# | 4/13/2020 | 8,000 | 8,029,225 | |||||||
General Motors Financial Co., Inc. | 3.872% (3 Mo. LIBOR + 1.27% | )# | 10/4/2019 | 18,000 | 18,052,570 | |||||||
General Motors Financial Co., Inc. | 4.147% (3 Mo. LIBOR + 1.55% | )# | 1/14/2022 | 9,375 | 9,466,811 | |||||||
General Motors Financial Co., Inc. | 4.157% (3 Mo. LIBOR + 1.56% | )# | 1/15/2020 | 7,891 | 7,945,680 | |||||||
Harley-Davidson Financial Services, Inc.† | 3.022% (3 Mo. LIBOR + .50% | )# | 5/21/2020 | 19,633 | 19,637,901 | |||||||
Nissan Motor Acceptance Corp.† | 2.987% (3 Mo. LIBOR + .39% | )# | 7/13/2020 | 3,237 | 3,234,801 | |||||||
Nissan Motor Acceptance Corp.† | 2.987% (3 Mo. LIBOR + .39% | )# | 9/28/2020 | 7,534 | 7,511,755 | |||||||
Nissan Motor Acceptance Corp.† | 3.128% (3 Mo. LIBOR + .52% | )# | 9/13/2019 | 12,671 | 12,680,233 | |||||||
Nissan Motor Acceptance Corp.† | 3.131% (3 Mo. LIBOR + .52% | )# | 3/15/2021 | 32,286 | 32,199,622 | |||||||
Nissan Motor Acceptance Corp.† | 3.177% (3 Mo. LIBOR + .58% | )# | 1/13/2020 | 6,389 | 6,396,960 | |||||||
Toyota Motor Credit Corp. | 2.837% (3 Mo. LIBOR + .24% | )# | 7/15/2020 | 47,989 | 48,070,927 | |||||||
Toyota Motor Credit Corp. | 3.129% (3 Mo. LIBOR + .54% | )# | 1/8/2021 | 23,434 | 23,574,484 | |||||||
Volkswagen Group of America Finance LLC† | 3.305% (3 Mo. LIBOR + .77% | )# | 11/13/2020 | 37,852 | 37,989,802 | |||||||
Volkswagen Group of America Finance LLC† | 3.475% (3 Mo. LIBOR + .94% | )# | 11/12/2021 | 2,960 | 2,978,306 | |||||||
Total | 694,859,088 |
364 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional 25.90% | ||||||||||||
ABN AMRO Bank NV (Netherlands)†(a) | 3.002% (3 Mo. LIBOR + .41% | )# | 1/19/2021 | $ | 9,800 | $ | 9,820,306 | |||||
ABN AMRO Bank NV (Netherlands)†(a) | 3.091% (3 Mo. LIBOR + .57% | )# | 8/27/2021 | 28,480 | 28,595,942 | |||||||
Australia & New Zealand Banking Group Ltd. (Australia)†(a) | 2.882% (3 Mo. LIBOR + .32% | )# | 11/9/2020 | 9,405 | 9,422,243 | |||||||
Australia & New Zealand Banking Group Ltd. (Australia)†(a) | 2.875% (3 Mo. LIBOR + .25% | )# | 12/19/2019 | 10,000 | 10,010,919 | |||||||
Australia & New Zealand Banking Group Ltd. (Australia)†(a) | 2.985% (3 Mo. LIBOR + .46% | )# | 5/17/2021 | 11,750 | 11,782,905 | |||||||
Australia & New Zealand Banking Group Ltd. (Australia)†(a) | 3.02% (3 Mo. LIBOR + .50% | )# | 8/19/2020 | 9,857 | 9,896,689 | |||||||
Australia & New Zealand Banking Group Ltd. (Australia)(a) | 3.262% (3 Mo. LIBOR + .66% | )# | 9/23/2019 | 3,156 | 3,162,508 | |||||||
Bank of America Corp. | 3.242% | # | 10/1/2021 | 12,069 | 12,107,259 | |||||||
Bank of America Corp. | 3.252% (3 Mo. LIBOR + .66% | )# | 7/21/2021 | 109,530 | 109,936,312 | |||||||
Bank of America NA | 2.771% (3 Mo. LIBOR + .25% | )# | 8/28/2020 | 110,809 | 110,840,305 | |||||||
Bank of America NA | 2.875% (3 Mo. LIBOR + .35% | )# | 5/24/2021 | 92,304 | 92,317,731 | |||||||
Bank of Montreal (Canada)(a) | 2.851% (3 Mo. LIBOR + .25% | )# | 9/11/2019 | 22,000 | 22,016,829 | |||||||
Bank of Montreal (Canada)(a) | 2.937% (3 Mo. LIBOR + .34% | )# | 7/13/2020 | 51,757 | 51,888,149 | |||||||
Bank of Montreal (Canada)(a) | 2.992% (3 Mo. LIBOR + .40% | )# | 1/22/2021 | 47,041 | 47,155,677 | |||||||
Bank of Montreal (Canada)(a) | 3.197% (3 Mo. LIBOR + .60% | )# | 12/12/2019 | 13,626 | 13,674,176 | |||||||
Bank of Montreal (Canada)(a) | 3.251% (3 Mo. LIBOR + .65% | )# | 7/18/2019 | 35 | 35,032 | |||||||
Bank of New York Mellon (The) | 2.783% (3 Mo. LIBOR + .28% | )# | 6/4/2021 | 45,966 | 45,974,455 | |||||||
Bank of Nova Scotia (The) (Canada)(a) | 2.987% (3 Mo. LIBOR + .39% | )# | 7/14/2020 | 31,350 | 31,468,494 | |||||||
Bank of Nova Scotia (The) (Canada)(a) | 3.032% (3 Mo. LIBOR + .44% | )# | 4/20/2021 | 28,611 | 28,726,115 | |||||||
Barclays Bank plc (United Kingdom)(a) | 3.352% (3 Mo. LIBOR + .77% | )# | 10/28/2019 | 10,000 | 10,009,404 | |||||||
BB&T Corp. | 3.181% (3 Mo. LIBOR + .57% | )# | 6/15/2020 | 31,283 | 31,405,556 | |||||||
BB&T Corp. | 3.312% (3 Mo. LIBOR + .72% | )# | 1/15/2020 | 8,685 | 8,713,761 | |||||||
Branch Banking & Trust Co. | 2.74% (3 Mo. LIBOR + .22% | )# | 6/1/2020 | 10,000 | 10,003,609 | |||||||
Branch Banking & Trust Co. | 3.047% (3 Mo. LIBOR + .45% | )# | 1/15/2020 | 16,689 | 16,722,549 | |||||||
Canadian Imperial Bank of Commerce (Canada)(a) | 2.891% (3 Mo. LIBOR + .32% | )# | 2/2/2021 | 1,130 | 1,131,799 | |||||||
Canadian Imperial Bank of Commerce (Canada)(a) | 2.908% (3 Mo. LIBOR + .31% | )# | 10/5/2020 | 37,856 | 37,966,014 | |||||||
Canadian Imperial Bank of Commerce (Canada)(a) | 3.128% (3 Mo. LIBOR + .52% | )# | 9/6/2019 | 4,067 | 4,071,828 |
See Notes to Financial Statements. | 365 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Citibank NA | 2.875% (3 Mo. LIBOR + .26% | )# | 9/18/2019 | $ | 15,000 | $ | 15,012,516 | |||||
Citibank NA | 2.892% (3 Mo. LIBOR + .30% | )# | 10/20/2020 | 10,750 | 10,765,809 | |||||||
Citibank NA | 3.05% (3 Mo. LIBOR + .53% | )# | 2/19/2022 | 70,177 | 70,208,652 | |||||||
Citibank NA | 3.097% (3 Mo. LIBOR + .50% | )# | 6/12/2020 | 3,045 | 3,056,471 | |||||||
Citibank NA | 3.123% | # | 5/20/2022 | 45,174 | 45,211,075 | |||||||
Citibank NA | 3.162% (3 Mo. LIBOR + .57% | )# | 7/23/2021 | 28,793 | 28,917,607 | |||||||
Citigroup, Inc. | 3.374% (3 Mo. LIBOR + .79% | )# | 1/10/2020 | 194,785 | 195,475,737 | |||||||
Citigroup, Inc. | 3.537% (3 Mo. LIBOR + .93% | )# | 6/7/2019 | 36,388 | 36,390,775 | |||||||
Citigroup, Inc. | 3.896% (3 Mo. LIBOR + 1.31% | )# | 10/26/2020 | 14,314 | 14,523,899 | |||||||
Citigroup, Inc. | 3.981% (3 Mo. LIBOR + 1.38% | )# | 3/30/2021 | 52,653 | 53,560,122 | |||||||
Citizens Bank NA/Providence RI | 3.06% (3 Mo. LIBOR + .54% | )# | 3/2/2020 | 12,516 | 12,536,637 | |||||||
Citizens Bank NA/Providence RI | 3.091% (3 Mo. LIBOR + .57% | )# | 5/26/2020 | 2,000 | 2,005,355 | |||||||
Citizens Bank NA/Providence RI | 3.248% (3 Mo. LIBOR + .72% | )# | 2/14/2022 | 28,548 | 28,645,239 | |||||||
Commonwealth Bank of Australia (Australia)†(a) | 3.015% (3 Mo. LIBOR + .40% | )# | 9/18/2020 | 7,000 | 7,022,539 | |||||||
Compass Bank | 3.331% (3 Mo. LIBOR + .73% | )# | 6/11/2021 | 25,202 | 25,162,404 | |||||||
Credit Agricole Corporate & Investment Bank SA (France)(a) | 3.221% (3 Mo. LIBOR + .63% | )# | 10/3/2021 | 32,902 | 32,951,869 | |||||||
Danske Bank A/S (Denmark)†(a) | 3.03% (3 Mo. LIBOR + .51% | )# | 3/2/2020 | 3,000 | 2,996,587 | |||||||
Danske Bank A/S (Denmark)†(a) | 3.188% (3 Mo. LIBOR + .58% | )# | 9/6/2019 | 12,182 | 12,177,693 | |||||||
Danske Bank A/S (Denmark)(a) | 3.03% (3 Mo. LIBOR + .51% | )# | 3/2/2020 | 14,404 | 14,387,611 | |||||||
Federation des Caisses Desjardins du Quebec (Canada)†(a) | 2.913% (3 Mo. LIBOR + .33% | )# | 10/30/2020 | 19,378 | 19,416,622 | |||||||
Fifth Third Bank | 3.026% (3 Mo. LIBOR + .44% | )# | 7/26/2021 | 25,887 | 25,926,465 | |||||||
Fifth Third Bank | 3.199% (3 Mo. LIBOR + .59% | )# | 9/27/2019 | 2,257 | 2,259,866 | |||||||
Goldman Sachs Group, Inc. (The) | 3.339% (3 Mo. LIBOR + .73% | )# | 12/27/2020 | 24,375 | 24,428,018 | |||||||
Goldman Sachs Group, Inc. (The) | 3.408% (3 Mo. LIBOR + .80% | )# | 12/13/2019 | 58,343 | 58,537,397 | |||||||
Goldman Sachs Group, Inc. (The) | 3.612% (3 Mo. LIBOR + 1.02% | )# | 10/23/2019 | 35,197 | 35,316,108 | |||||||
Goldman Sachs Group, Inc. (The) | 3.752% (3 Mo. LIBOR + 1.16% | )# | 4/23/2020 | 232,013 | 233,646,246 | |||||||
Goldman Sachs Group, Inc. (The) | 3.94% (3 Mo. LIBOR + 1.36% | )# | 4/23/2021 | 5,000 | 5,083,684 | |||||||
HSBC Holdings plc (United Kingdom)(a) | 3.12% (3 Mo. LIBOR + .60% | )# | 5/18/2021 | 60,010 | 60,049,267 |
366 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
HSBC Holdings plc (United Kingdom)(a) | 3.247% (3 Mo. LIBOR + .65% | )# | 9/11/2021 | $ | 70,500 | $ | 70,617,785 | |||||
HSBC USA, Inc. | 3.145% (3 Mo. LIBOR + .61% | )# | 11/13/2019 | 3,100 | 3,107,168 | |||||||
Huntington National Bank (The) | 3.111% (3 Mo. LIBOR + .51% | )# | 3/10/2020 | 30,421 | 30,513,227 | |||||||
Huntington National Bank (The) | 3.115% (3 Mo. LIBOR + .55% | )# | 2/5/2021 | 47,000 | 47,125,453 | |||||||
ING Bank NV (Netherlands)†(a) | 3.128% (3 Mo. LIBOR + .61% | )# | 8/15/2019 | 8,000 | 8,009,680 | |||||||
ING Bank NV (Netherlands)†(a) | 3.282% (3 Mo. LIBOR + .69% | )# | 10/1/2019 | 1,970 | 1,974,581 | |||||||
ING Bank NV (Netherlands)†(a) | 3.495% (3 Mo. LIBOR + .97% | )# | 8/17/2020 | 1,700 | 1,715,296 | |||||||
Intesa Sanpaolo SpA | 3.218% (3 Mo. LIBOR + .63% | )# | 7/17/2019 | 32,850 | 32,853,218 | |||||||
JPMorgan Chase & Co. | 3.151% (3 Mo. LIBOR + .55% | )# | 3/9/2021 | 78,349 | 78,504,361 | |||||||
JPMorgan Chase & Co. | 3.20% (3 Mo. LIBOR + .68% | )# | 6/1/2021 | 140,134 | 140,718,820 | |||||||
JPMorgan Chase & Co. | 3.547% (3 Mo. LIBOR + .96% | )# | 1/23/2020 | 20,968 | 21,090,968 | |||||||
JPMorgan Chase & Co. | 4.00% (3 Mo. LIBOR + 1.48% | )# | 3/1/2021 | 55,106 | 56,113,798 | |||||||
JPMorgan Chase Bank NA | 2.75% (3 Mo. LIBOR + .23% | )# | 9/1/2020 | 71,163 | 71,167,631 | |||||||
JPMorgan Chase Bank NA | 2.89% (3 Mo. LIBOR + .37% | )# | 2/19/2021 | 93,584 | 93,660,449 | |||||||
JPMorgan Chase Bank NA | 2.926% (3 Mo. LIBOR + .34% | )# | 4/26/2021 | 24,750 | 24,765,962 | |||||||
JPMorgan Chase Bank NA | 3.192% (3 Mo. LIBOR + .59% | )# | 9/23/2019 | 2,000 | 2,002,834 | |||||||
KeyBank NA | 3.239% (3 Mo. LIBOR + .66% | )# | 2/1/2022 | 32,694 | 32,829,787 | |||||||
Lloyds Bank plc (United Kingdom)(a) | 3.055% (3 Mo. LIBOR + .49% | )# | 5/7/2021 | 19,757 | 19,753,442 | |||||||
Lloyds Banking Group plc (United Kingdom)(a) | 3.413% (3 Mo. LIBOR + .80% | )# | 6/21/2021 | 9,492 | 9,507,905 | |||||||
Manufacturers & Traders Trust Co. | 2.85% (3 Mo. LIBOR + .27% | )# | 1/25/2021 | 17,447 | 17,416,096 | |||||||
Manufacturers & Traders Trust Co. | 3.16% (3 Mo. LIBOR + .64% | )# | 12/1/2021 | 21,816 | 21,810,228 | |||||||
Manufacturers & Traders Trust Co. | 3.645% (1 Mo. LIBOR + 1.22% | )# | 12/28/2020 | 29,427 | 29,436,827 | |||||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(a) | 3.236% (3 Mo. LIBOR + .65% | )# | 7/26/2021 | 19,196 | 19,272,950 | |||||||
Morgan Stanley | 3.095% (3 Mo. LIBOR + .55% | )# | 2/10/2021 | 222,464 | 222,733,762 | |||||||
Morgan Stanley | 3.595% (3 Mo. LIBOR + .98% | )# | 6/16/2020 | 17,995 | 18,126,869 | |||||||
Morgan Stanley | 3.722% (3 Mo. LIBOR + 1.14% | )# | 1/27/2020 | 15,105 | 15,200,143 | |||||||
Morgan Stanley | 3.772% (3 Mo. LIBOR + 1.18% | )# | 1/20/2022 | 42,917 | 43,368,671 | |||||||
Morgan Stanley | 3.992% (3 Mo. LIBOR + 1.40% | )# | 4/21/2021 | 3,937 | 4,009,996 | |||||||
MUFG Union Bank NA | 3.207% | # | 3/7/2022 | 46,977 | 46,996,135 | |||||||
National Australia Bank Ltd. (Australia)†(a) | 2.954% (3 Mo. LIBOR + .35% | )# | 1/12/2021 | 51,851 | 51,956,680 |
See Notes to Financial Statements. | 367 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
National Australia Bank Ltd. (Australia)†(a) | 3.174% (3 Mo. LIBOR + .59% | )# | 1/10/2020 | $ | 3,610 | $ | 3,622,171 | |||||
National Australia Bank Ltd. (Australia)†(a) | 3.291% (3 Mo. LIBOR + .69% | )# | 12/9/2019 | 8,000 | 8,025,698 | |||||||
National Bank of Canada (Canada)(a) | 3.157% (3 Mo. LIBOR + .56% | )# | 6/12/2020 | 47,372 | 47,565,883 | |||||||
Nordea Bank AB (Finland)†(a) | 3.221% (3 Mo. LIBOR + .62% | )# | 9/30/2019 | 6,810 | 6,823,787 | |||||||
PNC Bank NA | 2.842% (3 Mo. LIBOR + .25% | )# | 1/22/2021 | 3,500 | 3,506,139 | |||||||
PNC Bank NA | 2.947% | # | 3/12/2021 | 70,467 | 70,522,410 | |||||||
Regions Bank/Birmingham AL | 3.035% (3 Mo. LIBOR + .50% | )# | 8/13/2021 | 42,736 | 42,677,399 | |||||||
Royal Bank of Canada (Canada)(a) | 2.826% (3 Mo. LIBOR + .24% | )# | 10/26/2020 | 2,822 | 2,826,704 | |||||||
Royal Bank of Canada (Canada)(a) | 2.892% (3 Mo. LIBOR + .30% | )# | 7/22/2020 | 44,148 | 44,257,281 | |||||||
Royal Bank of Canada (Canada)(a) | 2.90% (3 Mo. LIBOR + .38% | )# | 3/2/2020 | 1,360 | 1,363,103 | |||||||
Royal Bank of Canada (Canada)(a) | 2.98% (3 Mo. LIBOR + .40% | )# | 1/25/2021 | 70,329 | 70,530,291 | |||||||
Royal Bank of Canada (Canada)(a) | 3.052% | # | 4/29/2022 | 23,500 | 23,526,738 | |||||||
Santander UK plc (United Kingdom)(a) | 3.14% (3 Mo. LIBOR + .62% | )# | 6/1/2021 | 14,250 | 14,246,014 | |||||||
Santander UK plc (United Kingdom)(a) | 2.876% (3 Mo. LIBOR + .30% | )# | 11/3/2020 | 10,000 | 10,004,001 | |||||||
Skandinaviska Enskilda Banken AB (Sweden)†(a) | 3.178% (3 Mo. LIBOR + .57% | )# | 9/13/2019 | 14,840 | 14,863,037 | |||||||
Standard Chartered plc (United Kingdom)(a) | 3.65% (3 Mo. LIBOR + 1.13% | )# | 8/19/2019 | 7,850 | 7,866,634 | |||||||
Standard Chartered plc (United Kingdom)†(a) | 3.65% (3 Mo. LIBOR + 1.13% | )# | 8/19/2019 | 25,844 | 25,894,875 | |||||||
Sumitomo Mitsui Banking Corp. (Japan)(a) | 2.911% (3 Mo. LIBOR + .31% | )# | 10/18/2019 | 24,485 | 24,511,566 | |||||||
Sumitomo Mitsui Banking Corp. (Japan)(a) | 2.938% (3 Mo. LIBOR + .35% | )# | 1/17/2020 | 75,521 | 75,670,425 | |||||||
Sumitomo Mitsui Banking Corp. (Japan)(a) | 2.971% (3 Mo. LIBOR + .37% | )# | 10/16/2020 | 47,074 | 47,125,866 | |||||||
Sumitomo Mitsui Trust Bank Ltd. (Japan)†(a) | 3.065% (3 Mo. LIBOR + .44% | )# | 9/19/2019 | 9,000 | 9,010,391 | |||||||
SunTrust Bank | 3.086% (3 Mo. LIBOR + .50% | )# | 10/26/2021 | 13,040 | 13,056,971 | |||||||
SunTrust Bank | 3.115% | # | 5/17/2022 | 37,260 | 37,311,378 | |||||||
Svenska Handelsbanken AB (Sweden)(a) | 3.098% (3 Mo. LIBOR + .49% | )# | 9/6/2019 | 1,800 | 1,802,016 |
368 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Toronto-Dominion Bank (The) (Canada)(a) | 2.82% (3 Mo. LIBOR + .24% | )# | 1/25/2021 | $ | 15,549 | $ | 15,561,612 | |||||
Toronto-Dominion Bank (The) (Canada)(a) | 2.875% (3 Mo. LIBOR + .26% | )# | 9/17/2020 | 74,501 | 74,762,127 | |||||||
Toronto-Dominion Bank (The) (Canada)(a) | 3.523% (3 Mo. LIBOR + .93% | )# | 12/14/2020 | 32,917 | 33,302,745 | |||||||
UBS AG (United Kingdom)†(a) | 3.00% (3 Mo. LIBOR + .48% | )# | 12/1/2020 | 34,139 | 34,230,731 | |||||||
UBS AG (United Kingdom)†(a) | 3.175% (3 Mo. LIBOR + .58% | )# | 6/8/2020 | 22,190 | 22,277,029 | |||||||
UBS AG/Stamford CT | 3.168% (3 Mo. LIBOR + .64% | )# | 8/14/2019 | 15,130 | 15,148,414 | |||||||
UBS Group Funding Switzerland AG (Switzerland)†(a) | 4.042% (3 Mo. LIBOR + 1.44% | )# | 9/24/2020 | 4,687 | 4,758,678 | |||||||
US Bank NA/Cincinnati OH | 2.812% (3 Mo. LIBOR + .29% | )# | 5/21/2021 | 24,000 | 24,009,705 | |||||||
Wells Fargo & Co. | 3.263% (3 Mo. LIBOR + .68% | )# | 1/30/2020 | 73,561 | 73,856,973 | |||||||
Wells Fargo & Co. | 3.465% (3 Mo. LIBOR + .93% | )# | 2/11/2022 | 32,750 | 32,949,593 | |||||||
Wells Fargo & Co. | 3.472% (3 Mo. LIBOR + .88% | )# | 7/22/2020 | 143,936 | 144,998,995 | |||||||
Wells Fargo & Co. | 3.843% (3 Mo. LIBOR + 1.34% | )# | 3/4/2021 | 28,181 | 28,636,373 | |||||||
Wells Fargo Bank NA | 2.827% (3 Mo. LIBOR + .23% | )# | 1/15/2020 | 90,223 | 90,341,231 | |||||||
Wells Fargo Bank NA | 2.907% (3 Mo. LIBOR + .31% | )# | 1/15/2021 | 2,340 | 2,341,173 | |||||||
Wells Fargo Bank NA | 3.092% (3 Mo. LIBOR + .50% | )# | 7/23/2021 | 69,139 | 69,237,293 | |||||||
Wells Fargo Bank NA | 3.102% (3 Mo. LIBOR + .51% | )# | 10/22/2021 | 32,949 | 32,983,763 | |||||||
Wells Fargo Bank NA | 3.258% (3 Mo. LIBOR + .65% | )# | 12/6/2019 | 9,270 | 9,299,984 | |||||||
Total | 4,396,196,755 | |||||||||||
Beverages 0.21% | ||||||||||||
Constellation Brands, Inc. | 3.218% (3 Mo. LIBOR + .70% | )# | 11/15/2021 | 35,006 | 35,014,094 | |||||||
Biotechnology Research & Production 0.04% | ||||||||||||
Gilead Sciences, Inc. | 2.883% (3 Mo. LIBOR + .25% | )# | 9/20/2019 | 7,538 | 7,541,740 | |||||||
Building Materials 0.60% | ||||||||||||
Martin Marietta Materials, Inc. | 3.133% (3 Mo. LIBOR + .50% | )# | 12/20/2019 | 37,665 | 37,667,353 | |||||||
Martin Marietta Materials, Inc. | 3.173% (3 Mo. LIBOR + .65% | )# | 5/22/2020 | 21,057 | 21,064,933 | |||||||
Vulcan Materials Co. | 3.17% (3 Mo. LIBOR + .65% | )# | 3/1/2021 | 30,531 | 30,546,146 | |||||||
Vulcan Materials Co. | 3.211% (3 Mo. LIBOR + .60% | )# | 6/15/2020 | 13,106 | 13,104,740 | |||||||
Total | 102,383,172 | |||||||||||
Chemicals 0.11% | ||||||||||||
DowDuPont, Inc. | 3.228% (3 Mo. LIBOR + .71% | )# | 11/15/2020 | 18,771 | 18,903,143 |
See Notes to Financial Statements. | 369 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Computer Hardware 0.52% | ||||||||||||
IBM Credit LLC | 2.994% (3 Mo. LIBOR + .47% | )# | 11/30/2020 | $ | 56,366 | $ | 56,684,832 | |||||
International Business Machines Corp. | 2.935% | # | 5/13/2021 | 32,322 | 32,394,767 | |||||||
Total | 89,079,599 | |||||||||||
Drugs 0.81% | ||||||||||||
Bayer US Finance II LLC† | 3.232% (3 Mo. LIBOR + .63% | )# | 6/25/2021 | 9,468 | 9,392,346 | |||||||
Bristol-Myers Squibb Co.† | 2.725% | # | 11/16/2020 | 13,868 | 13,877,501 | |||||||
Cigna Corp.† | 2.965% (3 Mo. LIBOR + .35% | )# | 3/17/2020 | 74,717 | 74,759,126 | |||||||
CVS Health Corp. | 3.231% (3 Mo. LIBOR + .63% | )# | 3/9/2020 | 36,276 | 36,378,162 | |||||||
Express Scripts Holding Co. | 3.274% | # | 11/30/2020 | 3,089 | 3,089,107 | |||||||
Total | 137,496,242 | |||||||||||
Electric: Power 1.28% | ||||||||||||
Florida Power & Light Co. | 2.965% | # | 5/6/2022 | 55,496 | 55,517,710 | |||||||
Kansas Gas & Electric Co.† | 6.70% | 6/15/2019 | 125 | 125,142 | ||||||||
Mississippi Power Co. | 3.259% (3 Mo. LIBOR + .65% | )# | 3/27/2020 | 1,000 | 1,000,142 | |||||||
NextEra Energy Capital Holdings, Inc. | 3.071% (3 Mo. LIBOR + .55% | )# | 8/28/2021 | 47,466 | 47,394,254 | |||||||
Sempra Energy | 2.847% (3 Mo. LIBOR + .25% | )# | 7/15/2019 | 56,199 | 56,204,271 | |||||||
Sempra Energy | 3.097% (3 Mo. LIBOR + .50% | )# | 1/15/2021 | 12,001 | 11,966,668 | |||||||
Southern Power Co.† | 3.183% (3 Mo. LIBOR + .55% | )# | 12/20/2020 | 44,475 | 44,478,569 | |||||||
Total | 216,686,756 | |||||||||||
Electrical Equipment 0.06% | ||||||||||||
QUALCOMM, Inc. | 3.07% (3 Mo. LIBOR + .55% | )# | 5/20/2020 | 9,589 | 9,623,612 | |||||||
Electronics 0.17% | ||||||||||||
Tyco Electronics Group SA (Luxembourg)(a) | 3.049% (3 Mo. LIBOR + .45% | )# | 6/5/2020 | 28,184 | 28,233,171 | |||||||
Financial Services 1.00% | ||||||||||||
AIG Global Funding† | 3.08% (3 Mo. LIBOR + .48% | )# | 7/2/2020 | 12,000 | 12,044,950 | |||||||
AIG Global Funding† | 3.242% (3 Mo. LIBOR + .65% | )# | 1/22/2021 | 32,931 | 33,043,431 | |||||||
American Express Co. | 2.913% (3 Mo. LIBOR + .33% | )# | 10/30/2020 | 4,702 | 4,703,487 | |||||||
American Express Co. | 3.14% | # | 5/20/2022 | 45,206 | 45,258,229 | |||||||
American Express Co. | 3.165% (3 Mo. LIBOR + .60% | )# | 11/5/2021 | 23,482 | 23,599,807 | |||||||
American Express Credit Corp. | 3.008% (3 Mo. LIBOR + .49% | )# | 8/15/2019 | 8,292 | 8,299,460 | |||||||
American Express Credit Corp. | 3.643% (3 Mo. LIBOR + 1.05% | )# | 9/14/2020 | 9,379 | 9,472,882 | |||||||
Capital One Financial Corp. | 3.295% (3 Mo. LIBOR + .76% | )# | 5/12/2020 | 10,205 | 10,247,320 | |||||||
TD Ameritrade Holding Corp. | 3.009% (3 Mo. LIBOR + .43% | )# | 11/1/2021 | 23,482 | 23,544,270 | |||||||
Total | 170,213,836 |
370 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Food 0.41% | ||||||||||||
Campbell Soup Co. | 3.115% (3 Mo. LIBOR + .50% | )# | 3/16/2020 | $ | 14,912 | $ | 14,900,433 | |||||
Conagra Brands, Inc. | 3.092% (3 Mo. LIBOR + .50% | )# | 10/9/2020 | 10,045 | 10,015,974 | |||||||
Conagra Brands, Inc. | 3.342% (3 Mo. LIBOR + .75% | )# | 10/22/2020 | 32,968 | 32,981,110 | |||||||
Mondelez International Holdings Netherlands BV (Netherlands)†(a) | 3.192% (3 Mo. LIBOR + .61% | )# | 10/28/2019 | 11,801 | 11,817,130 | |||||||
Total | 69,714,647 | |||||||||||
Health Care Products 0.29% | ||||||||||||
Becton Dickinson & Co. | 3.476% (3 Mo. LIBOR + .88% | )# | 12/29/2020 | 7,955 | 7,957,235 | |||||||
Zimmer Biomet Holdings, Inc. | 3.375% (3 Mo. LIBOR + .75% | )# | 3/19/2021 | 41,994 | 41,949,632 | |||||||
Total | 49,906,867 | |||||||||||
Insurance 2.16% | ||||||||||||
Assurant, Inc. | 3.86% (3 Mo. LIBOR + 1.25% | )# | 3/26/2021 | 9,942 | 9,927,542 | |||||||
Jackson National Life Global Funding† | 2.882% (3 Mo. LIBOR + .30% | )# | 4/27/2020 | 47,022 | 47,105,161 | |||||||
Jackson National Life Global Funding† | 2.897% (3 Mo. LIBOR + .30% | )# | 10/15/2020 | 78,156 | 78,225,804 | |||||||
Jackson National Life Global Funding† | 2.909% | # | 3/16/2021 | 46,734 | 46,773,450 | |||||||
Marsh & McLennan Cos, Inc. | 3.801% (3 Mo. LIBOR + 1.20% | )# | 12/29/2021 | 28,125 | 28,213,860 | |||||||
Metropolitan Life Global Funding I† | 2.819% (3 Mo. LIBOR + .23% | )# | 1/8/2021 | 77,190 | 77,150,050 | |||||||
Metropolitan Life Global Funding I† | 2.845% (3 Mo. LIBOR + .22% | )# | 9/19/2019 | 7,000 | 7,004,614 | |||||||
New York Life Global Funding† | 2.862% (3 Mo. LIBOR + .28% | )# | 1/28/2021 | 18,733 | 18,777,657 | |||||||
New York Life Global Funding† | 2.885% (3 Mo. LIBOR + .32% | )# | 8/6/2021 | 28,524 | 28,580,490 | |||||||
Protective Life Global Funding† | 3.117% (3 Mo. LIBOR + .52% | )# | 6/28/2021 | 24,089 | 24,165,879 | |||||||
Total | 365,924,507 | |||||||||||
Leasing 0.06% | ||||||||||||
Aviation Capital Group LLC† | 3.253% (3 Mo. LIBOR + .67% | )# | 7/30/2021 | 9,570 | 9,548,952 | |||||||
Lodging 0.28% | ||||||||||||
Marriott International, Inc. | 3.12% (3 Mo. LIBOR + .60% | )# | 12/1/2020 | 46,980 | 47,117,398 | |||||||
Machinery: Agricultural 0.03% | ||||||||||||
BAT Capital Corp. | 3.118% (3 Mo. LIBOR + .59% | )# | 8/14/2020 | 5,046 | 5,052,161 |
See Notes to Financial Statements. | 371 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Machinery: Industrial/Specialty 0.57% | ||||||||||||
John Deere Capital Corp. | 2.718% (3 Mo. LIBOR + .12% | )# | 7/5/2019 | $ | 10,000 | $ | 10,002,202 | |||||
John Deere Capital Corp. | 2.769% (3 Mo. LIBOR + .18% | )# | 1/7/2020 | 28,991 | 29,023,663 | |||||||
John Deere Capital Corp. | 3.004% (3 Mo. LIBOR + .42% | )# | 7/10/2020 | 46,877 | 47,059,623 | |||||||
Wabtec Corp. | 3.911% (3 Mo. LIBOR + 1.30% | )# | 9/15/2021 | 11,255 | 11,255,531 | |||||||
Total | 97,341,019 | |||||||||||
Machinery: Oil Well Equipment & Services 0.63% | ||||||||||||
Caterpillar Financial Services Corp. | 2.771% (3 Mo. LIBOR + .25% | )# | 8/26/2020 | 60,848 | 60,912,234 | |||||||
Caterpillar Financial Services Corp. | 2.915% | # | 5/17/2021 | 46,220 | 46,315,465 | |||||||
Total | 107,227,699 | |||||||||||
Manufacturing 0.66% | ||||||||||||
General Electric Co. | 3.007% (3 Mo. LIBOR + .41% | )# | 3/28/2020 | 14,608 | 14,557,749 | |||||||
General Electric Co. | 3.212% (3 Mo. LIBOR + .62% | )# | 1/9/2020 | 55,510 | 55,567,714 | |||||||
General Electric Co. | 3.397% (3 Mo. LIBOR + .80% | )# | 4/15/2020 | 12,627 | 12,661,986 | |||||||
Siemens Financieringsmaatschappij NV (Netherlands)†(a) | 2.955% (3 Mo. LIBOR + .34% | )# | 3/16/2020 | 14,380 | 14,413,489 | |||||||
Textron, Inc. | 3.095% | # | 11/10/2020 | 15,000 | 14,989,982 | |||||||
Total | 112,190,920 | |||||||||||
Media 1.01% | ||||||||||||
Comcast Corp. | 2.922% (3 Mo. LIBOR + .33% | )# | 10/1/2020 | 86,346 | 86,535,448 | |||||||
NBCUniversal Enterprise, Inc.† | 2.992% (3 Mo. LIBOR + .40% | )# | 4/1/2021 | 84,826 | 85,103,665 | |||||||
Total | 171,639,113 | |||||||||||
Natural Gas 0.40% | ||||||||||||
Dominion Energy Gas Holdings LLC | 3.211% | # | 6/15/2021 | 11,500 | 11,554,699 | |||||||
WGL Holdings, Inc. | 2.925% (3 Mo. LIBOR + .40% | )# | 11/29/2019 | 28,034 | 27,981,226 | |||||||
WGL Holdings, Inc. | 3.147% (3 Mo. LIBOR + .55% | )# | 3/12/2020 | 28,459 | 28,390,008 | |||||||
Total | 67,925,933 | |||||||||||
Oil 0.34% | ||||||||||||
BP Capital Markets plc ( United Kingdom)(a) | 2.775% (3 Mo. LIBOR + .25% | )# | 11/24/2020 | 46,166 | 46,197,719 | |||||||
Phillips 66 | 3.121% (3 Mo. LIBOR + .60% | )# | 2/26/2021 | 8,311 | 8,311,255 | |||||||
Phillips 66† | 3.347% (3 Mo. LIBOR + .75% | )# | 4/15/2020 | 2,602 | 2,603,427 | |||||||
Total | 57,112,401 | |||||||||||
Real Estate 0.08% | ||||||||||||
SL Green Operating Partnership LP | 3.505% (3 Mo. LIBOR + .98% | )# | 8/16/2021 | 14,316 | 14,323,454 |
372 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Retail 0.62% | ||||||||||||
Alimentation Couche-Tard, Inc. (Canada)†(a) | 3.108% (3 Mo. LIBOR + .50% | )# | 12/13/2019 | $ | 8,181 | $ | 8,181,191 | |||||
Dollar Tree, Inc. | 3.288% (3 Mo. LIBOR + .70% | )# | 4/17/2020 | 96,292 | 96,302,359 | |||||||
Total | 104,483,550 | |||||||||||
Telecommunications 0.31% | ||||||||||||
AT&T, Inc. | 3.531% (3 Mo. LIBOR + .93% | )# | 6/30/2020 | 38,654 | 38,938,568 | |||||||
Deutsche Telekom International Finance BV (Netherlands)†(a) | 3.075% (3 Mo. LIBOR + .45% | )# | 9/19/2019 | 13,704 | 13,714,200 | |||||||
Total | 52,652,768 | |||||||||||
Total Corporate Bonds (cost $7,244,997,550) | 7,254,719,992 | |||||||||||
Total Long-Term Investments (cost $11,528,528,006) | 11,557,396,123 | |||||||||||
SHORT-TERM INVESTMENTS 31.65% | ||||||||||||
COMMERCIAL PAPER 29.07% | ||||||||||||
Aerospace/Defense 0.28% | ||||||||||||
Northrop Grumman Corp. | 2.972% | 6/19/2019 | 46,875 | 46,814,375 | ||||||||
Auto Parts: Original Equipment 0.22% | ||||||||||||
Autoliv ASP, Inc. | 2.742% | 6/21/2019 | 18,481 | 18,456,051 | ||||||||
Continental Rubber of America Corp. | 2.846% | 6/3/2019 | 18,618 | 18,618,000 | ||||||||
Total | 37,074,051 | |||||||||||
Automotive 0.77% | ||||||||||||
Ford Motor Credit Co. | 4.39% | 11/25/2019 | 9,397 | 9,246,367 | ||||||||
General Motors Financial Co., Inc. | 2.842% | 6/5/2019 | 14,825 | 14,822,694 | ||||||||
General Motors Financial Co., Inc. | 2.842% | 6/12/2019 | 16,393 | 16,381,525 | ||||||||
General Motors Financial Co., Inc. | 2.854% | 6/13/2019 | 27,000 | 26,978,925 | ||||||||
General Motors Financial Co., Inc. | 3.24% | 6/3/2019 | 23,513 | 23,513,000 | ||||||||
Nissan Motor Acceptance Corp. | 2.859% | 7/31/2019 | 40,000 | 39,825,472 | ||||||||
Total | 130,767,983 | |||||||||||
Banks: Regional 0.29% | ||||||||||||
Canadian Imperial Bank of Commerce | 3.043% | 9/20/2019 | 29,830 | 29,863,976 | ||||||||
Svenska Handelsbanken | 2.862% | 10/21/2019 | 19,840 | 19,860,558 | ||||||||
Total | 49,724,534 | |||||||||||
Beverages 0.98% | ||||||||||||
Constellation Brands, Inc. | 2.846% | 6/20/2019 | 14,819 | 14,799,406 | ||||||||
Constellation Brands, Inc. | 2.846% | 6/21/2019 | 9,960 | 9,946,056 | ||||||||
Constellation Brands, Inc. | 2.846% | 6/24/2019 | 5,000 | 4,991,833 |
See Notes to Financial Statements. | 373 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Beverages (continued) | ||||||||||||
Constellation Brands, Inc. | 2.846% | 6/24/2019 | $ | 46,327 | $ | 46,251,333 | ||||||
Constellation Brands, Inc. | 2.866% | 6/3/2019 | 33,100 | 33,100,000 | ||||||||
Constellation Brands, Inc. | 2.897% | 6/3/2019 | 10,750 | 10,750,000 | ||||||||
Molson Coors Brewing Co. | 3.063% | 6/3/2019 | 46,736 | 46,736,000 | ||||||||
Total | 166,574,628 | |||||||||||
Building Materials 0.48% | ||||||||||||
CRH America Finance, Inc. | 2.855% | 7/10/2019 | 11,497 | 11,463,914 | ||||||||
CRH America Finance, Inc. | 2.868% | 7/26/2019 | 9,076 | 9,038,453 | ||||||||
CRH America Finance, Inc. | 2.931% | 7/1/2019 | 9,359 | 9,338,109 | ||||||||
CRH America Finance, Inc. | 2.958% | 6/3/2019 | 28,123 | 28,123,000 | ||||||||
CRH America Finance, Inc. | 2.942% | 7/15/2019 | 24,000 | 23,919,360 | ||||||||
Total | 81,882,836 | |||||||||||
Chemicals 1.87% | ||||||||||||
DowDuPont, Inc. | 2.793% | 7/22/2019 | 23,195 | 23,108,496 | ||||||||
FMC Corp. | 2.947% | 6/19/2019 | 41,694 | 41,640,261 | ||||||||
FMC Corp. | 2.947% | 6/21/2019 | 34,513 | 34,462,956 | ||||||||
FMC Corp. | 2.999% | 6/10/2019 | 35,000 | 34,979,924 | ||||||||
FMC Corp. | 2.999% | 6/3/2019 | 33,385 | 33,385,000 | ||||||||
FMC Corp. | 3.049% | 6/12/2019 | 41,000 | 40,969,250 | ||||||||
FMC Corp. | 3.05% | 6/3/2019 | 28,615 | 28,615,000 | ||||||||
Sherwin Williams Co. | 2.834% | 6/10/2019 | 7,415 | 7,410,977 | ||||||||
Sherwin Williams Co. | 2.835% | 6/12/2019 | 18,537 | 18,524,070 | ||||||||
Sherwin Williams Co. | 2.848% | 6/25/2019 | 18,540 | 18,508,276 | ||||||||
Sherwin Williams Co. | 2.848% | 6/27/2019 | 17,149 | 17,116,989 | ||||||||
Sherwin Williams Co. | 2.871% | 6/25/2019 | 18,567 | 18,535,003 | ||||||||
Total | 317,256,202 | |||||||||||
Drugs 0.16% | ||||||||||||
CIGNA Corp. | 2.909% | 7/16/2019 | 27,463 | 27,369,511 | ||||||||
Electric: Power 0.91% | ||||||||||||
Entergy Corp. | 2.859% | 7/26/2019 | 46,000 | 45,810,378 | ||||||||
Entergy Corp. | 2.962% | 6/6/2019 | 23,493 | 23,487,322 | ||||||||
Entergy Corp. | 3.058% | 7/9/2019 | 8,118 | 8,093,646 | ||||||||
Hawaiian Electric Co. | 2.846% | 6/13/2019 | 46,390 | 46,353,919 | ||||||||
Hawaiian Electric Co. | 2.846% | 6/17/2019 | 30,587 | 30,553,694 | ||||||||
Total | 154,298,959 |
374 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electrical Equipment 1.20% | ||||||||||||
Broadcom, Inc. | 3.051% | 6/6/2019 | $ | 204,004 | $ | 203,952,999 | ||||||
Electronics 0.95% | ||||||||||||
Arrow Electronics, Inc. | 2.894% | 6/20/2019 | 29,000 | 28,960,971 | ||||||||
Arrow Electronics, Inc. | 2.945% | 6/18/2019 | 20,117 | 20,092,692 | ||||||||
Arrow Electronics, Inc. | 2.945% | 6/20/2019 | 18,485 | 18,459,686 | ||||||||
Arrow Electronics, Inc. | 2.948% | 6/5/2019 | 7,500 | 7,498,792 | ||||||||
Arrow Electronics, Inc. | 2.998% | 6/18/2019 | 38,000 | 37,953,291 | ||||||||
Arrow Electronics, Inc. | 2.998% | 6/19/2019 | 4,401 | 4,395,230 | ||||||||
Arrow Electronics, Inc. | 2.998% | 6/19/2019 | 18,527 | 18,502,709 | ||||||||
Arrow Electronics, Inc. | 2.999% | 6/4/2019 | 17,000 | 16,998,607 | ||||||||
Arrow Electronics, Inc. | 2.999% | 6/5/2019 | 7,500 | 7,498,771 | ||||||||
Total | 160,360,749 | |||||||||||
Financial Services 0.30% | ||||||||||||
Hitachi Capital America Corp. | 2.785% | 6/6/2019 | 51,027 | 51,015,349 | ||||||||
Food 1.42% | ||||||||||||
Campbell Soup Co. | 2.974% | 9/4/2019 | 46,247 | 45,906,746 | ||||||||
Campbell Soup Co. | 2.974% | 9/5/2019 | 27,748 | 27,541,573 | ||||||||
Campbell Soup Co. | 3.036% | 6/24/2019 | 92,765 | 92,603,744 | ||||||||
Campbell Soup Co. | 3.046% | 8/13/2019 | 37,125 | 36,916,743 | ||||||||
Campbell Soup Co. | 3.196% | 7/22/2019 | 37,490 | 37,330,792 | ||||||||
Total | 240,299,598 | |||||||||||
Health Care Products 1.55% | ||||||||||||
Boston Scientific Corp. | 2.814% | 6/18/2019 | 16,673 | 16,653,756 | ||||||||
Boston Scientific Corp. | 2.87% | 6/17/2019 | 8,611 | 8,601,557 | ||||||||
Boston Scientific Corp. | 2.872% | 7/15/2019 | 40,000 | 39,868,400 | ||||||||
Boston Scientific Corp. | 2.872% | 7/22/2019 | 35,702 | 35,564,964 | ||||||||
Boston Scientific Corp. | 2.872% | 7/23/2019 | 4,000 | 3,984,333 | ||||||||
Boston Scientific Corp. | 2.883% | 7/22/2019 | 15,500 | 15,440,295 | ||||||||
Boston Scientific Corp. | 2.928% | 8/14/2019 | 13,894 | 13,814,978 | ||||||||
Boston Scientific Corp. | 2.93% | 8/12/2019 | 45,390 | 45,138,912 | ||||||||
Boston Scientific Corp. | 2.931% | 8/15/2019 | 46,368 | 46,100,668 | ||||||||
Boston Scientific Corp. | 2.96% | 7/22/2019 | 15,000 | 14,940,792 | ||||||||
Boston Scientific Corp. | 2.96% | 7/29/2019 | 22,264 | 22,163,565 | ||||||||
Total | 262,272,220 |
See Notes to Financial Statements. | 375 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Health Care Services 0.46% | ||||||||||||
Humana, Inc. | 2.832% | 7/16/2019 | $ | 23,184 | $ | 23,107,016 | ||||||
Humana, Inc. | 2.898% | 6/10/2019 | 55,666 | 55,635,152 | ||||||||
Total | 78,742,168 | |||||||||||
Leisure 1.13% | ||||||||||||
Royal Caribbean Cruises Ltd. | 2.982% | 7/8/2019 | 72,000 | 71,794,900 | ||||||||
Royal Caribbean Cruises Ltd. | 3.02% | 6/21/2019 | 4,637 | 4,630,114 | ||||||||
Royal Caribbean Cruises Ltd. | 3.021% | 6/7/2019 | 22,000 | 21,992,740 | ||||||||
Royal Caribbean Cruises Ltd. | 3.021% | 6/10/2019 | 4,200 | 4,197,574 | ||||||||
Royal Caribbean Cruises Ltd. | 3.022% | 6/4/2019 | 18,314 | 18,312,489 | ||||||||
Royal Caribbean Cruises Ltd. | 3.022% | 6/18/2019 | 16,700 | 16,679,334 | ||||||||
Royal Caribbean Cruises Ltd. | 3.022% | 6/21/2019 | 54,202 | 54,121,510 | ||||||||
Total | 191,728,661 | |||||||||||
Lodging 0.25% | ||||||||||||
Marriott International, Inc. | 2.848% | 6/18/2019 | 17,627 | 17,606,435 | ||||||||
Marriott International, Inc. | 2.848% | 6/19/2019 | 6,586 | 6,577,804 | ||||||||
Marriott International, Inc. | 2.849% | 6/21/2019 | 3,247 | 3,242,454 | ||||||||
Marriott International, Inc. | 2.966% | 6/3/2019 | 14,975 | 14,975,000 | ||||||||
Total | 42,401,693 | |||||||||||
Machinery: Agricultural 1.51% | ||||||||||||
BAT International Finance plc | 2.961% | 7/2/2019 | 46,763 | 46,653,757 | ||||||||
BAT International Finance plc | 2.962% | 7/2/2019 | 55,894 | 55,763,425 | ||||||||
BAT International Finance plc | 2.962% | 7/30/2019 | 15,000 | 14,931,125 | ||||||||
BAT International Finance plc | 2.97% | 7/2/2019 | 28,000 | 27,934,363 | ||||||||
BAT International Finance plc | 3.003% | 7/9/2019 | 46,529 | 46,392,205 | ||||||||
Bunge Asset Funding Corp. | 2.687% | 6/3/2019 | 55,000 | 55,000,000 | ||||||||
Bunge Asset Funding Corp. | 2.894% | 6/5/2019 | 9,353 | 9,351,524 | ||||||||
Total | 256,026,399 | |||||||||||
Machinery: Industrial/Specialty 0.21% | ||||||||||||
CNH Industrial Capital LLC | 3.126% | 11/5/2019 | 36,819 | 36,269,579 | ||||||||
Manufacturing 1.31% | ||||||||||||
Pentair Finance | 2.992% | 6/3/2019 | 45,570 | 45,570,000 | ||||||||
Pentair Finance | 3.023% | 6/6/2019 | 4,620 | 4,618,853 | ||||||||
Pentair Finance | 3.043% | 6/4/2019 | 9,625 | 9,624,198 | ||||||||
Pentair Finance | 3.043% | 6/5/2019 | 9,245 | 9,243,459 | ||||||||
Pentair Finance | 3.045% | 6/7/2019 | 4,628 | 4,626,457 | ||||||||
Pentair Finance | 3.055% | 6/11/2019 | 2,750 | 2,748,161 |
376 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Manufacturing (continued) | ||||||||||||
Pentair Finance | 3.065% | 6/6/2019 | $ | 9,026 | $ | 9,023,728 | ||||||
Pentair Finance | 3.065% | 6/13/2019 | 9,009 | 9,001,443 | ||||||||
Pentair Finance | 3.076% | 6/6/2019 | 10,000 | 9,997,475 | ||||||||
Pentair Finance | 3.076% | 6/7/2019 | 4,629 | 4,627,442 | ||||||||
Pentair Finance | 3.096% | 6/11/2019 | 5,541 | 5,537,244 | ||||||||
Pentair Finance | 3.096% | 6/3/2019 | 17,763 | 17,763,000 | ||||||||
Pentair Finance | 3.096% | 6/5/2019 | 20,000 | 19,996,611 | ||||||||
Pentair Finance | 3.096% | 6/7/2019 | 4,397 | 4,395,510 | ||||||||
Pentair Finance | 3.096% | 6/11/2019 | 10,000 | 9,993,222 | ||||||||
Pentair Finance | 3.096% | 6/12/2019 | 4,622 | 4,618,476 | ||||||||
Pentair Finance | 3.096% | 6/14/2019 | 13,861 | 13,848,082 | ||||||||
Pentair Finance | 3.128% | 6/12/2019 | 15,000 | 14,988,450 | ||||||||
Pentair Finance | 3.138% | 6/4/2019 | 12,500 | 12,498,927 | ||||||||
Pentair Finance | 3.149% | 6/12/2019 | 10,000 | 9,992,250 | ||||||||
Total | 222,712,988 | |||||||||||
Metals & Minerals: Miscellaneous 1.19% | ||||||||||||
Glencore Funding LLC | 2.896% | 6/17/2019 | 97,102 | 96,994,379 | ||||||||
Glencore Funding LLC | 2.897% | 6/19/2019 | 42,000 | 41,946,800 | ||||||||
Glencore Funding LLC | 2.897% | 6/17/2019 | 18,308 | 18,287,708 | ||||||||
Glencore Funding LLC | 3.219% | 7/17/2019 | 45,000 | 44,826,750 | ||||||||
Total | 202,055,637 | |||||||||||
Natural Gas 1.30% | ||||||||||||
Sempra Energy | 2.859% | 7/30/2019 | 42,000 | 41,813,800 | ||||||||
Sempra Energy | 2.89% | 7/29/2019 | 46,313 | 46,109,120 | ||||||||
Sempra Energy | 2.892% | 8/19/2019 | 69,339 | 68,917,573 | ||||||||
SPIRE, Inc. | 2.851% | 7/1/2019 | 36,874 | 36,793,696 | ||||||||
WGL Holdings, Inc. | 3.071% | 6/6/2019 | 15,593 | 15,589,076 | ||||||||
WGL Holdings, Inc. | 3.392% | 6/5/2019 | 11,883 | 11,880,802 | ||||||||
Total | 221,104,067 | |||||||||||
Oil 3.36% | ||||||||||||
Encana Corp. | 3.026% | 6/20/2019 | 18,479 | 18,452,996 | ||||||||
Encana Corp. | 3.048% | 6/17/2019 | 22,234 | 22,208,060 | ||||||||
Encana Corp. | 3.075% | 7/22/2019 | 69,054 | 68,770,150 | ||||||||
Encana Corp. | 3.078% | 6/7/2019 | 18,553 | 18,546,754 | ||||||||
Encana Corp. | 3.08% | 6/13/2019 | 36,873 | 36,841,965 | ||||||||
Encana Corp. | 3.099% | 6/3/2019 | 83,248 | 83,248,000 | ||||||||
Encana Corp. | 3.179% | 7/8/2019 | 9,045 | 9,017,564 |
See Notes to Financial Statements. | 377 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil (continued) | ||||||||||||
Encana Corp. | 3.179% | 7/9/2019 | $ | 9,277 | $ | 9,248,056 | ||||||
ENI Finance USA, Inc. | 2.77% | 7/23/2019 | 26,592 | 26,491,541 | ||||||||
ENI Finance USA, Inc. | 2.781% | 7/31/2019 | 23,101 | 22,995,470 | ||||||||
ENI Finance USA, Inc. | 2.791% | 7/29/2019 | 22,892 | 22,794,429 | ||||||||
ENI Finance USA, Inc. | 2.797% | 6/24/2019 | 23,195 | 23,157,791 | ||||||||
ENI Finance USA, Inc. | 2.798% | 7/2/2019 | 25,952 | 25,894,509 | ||||||||
ENI Finance USA, Inc. | 2.799% | 7/5/2019 | 3,000 | 2,992,667 | ||||||||
ENI Finance USA, Inc. | 2.801% | 7/22/2019 | 44,474 | 44,307,531 | ||||||||
ENI Finance USA, Inc. | 2.802% | 7/24/2019 | 8,000 | 7,968,833 | ||||||||
ENI Finance USA, Inc. | 2.873% | 6/4/2019 | 23,387 | 23,385,168 | ||||||||
Noble Energy, Inc. | 2.932% | 6/6/2019 | 80,000 | 79,980,734 | ||||||||
Noble Energy, Inc. | 2.942% | 6/4/2019 | 6,197 | 6,196,501 | ||||||||
Noble Energy, Inc. | 2.942% | 6/5/2019 | 18,258 | 18,255,058 | ||||||||
Total | 570,753,777 | |||||||||||
Oil: Crude Producers 3.85% | ||||||||||||
Enable Midstream Partners LP | 2.951% | 6/3/2019 | 6,468 | 6,468,000 | ||||||||
Enable Midstream Partners LP | 3.118% | 6/7/2019 | 15,000 | 14,994,883 | ||||||||
Enable Midstream Partners LP | 3.203% | 6/3/2019 | 46,546 | 46,546,000 | ||||||||
Enable Midstream Partners LP | 3.529% | 6/4/2019 | 40,000 | 39,996,167 | ||||||||
Enable Midstream Partners LP | 3.529% | 6/5/2019 | 23,276 | 23,271,539 | ||||||||
Enbridge, Inc. | 2.784% | 6/11/2019 | 50,000 | 49,969,556 | ||||||||
Enbridge, Inc. | 2.784% | 6/12/2019 | 47,318 | 47,285,587 | ||||||||
Enbridge, Inc. | 2.785% | 6/13/2019 | 69,585 | 69,532,038 | ||||||||
Enbridge, Inc. | 2.815% | 6/4/2019 | 92,463 | 92,455,886 | ||||||||
Enbridge, Inc. | 2.962% | 7/15/2019 | 2,750 | 2,740,696 | ||||||||
Energy Transfer Partners LP | 3.042% | 6/3/2019 | 73,680 | 73,680,000 | ||||||||
Energy Transfer Partners LP | 3.054% | 6/6/2019 | 92,357 | 92,333,834 | ||||||||
Energy Transfer Partners LP | 3.064% | 6/6/2019 | 45,721 | 45,709,493 | ||||||||
TransCanada PipeLines Ltd. | 2.791% | 7/12/2019 | 9,278 | 9,250,460 | ||||||||
TransCanada PipeLines Ltd. | 2.802% | 7/25/2019 | 40,000 | 39,841,111 | ||||||||
Total | 654,075,250 | |||||||||||
Oil: Integrated Domestic 0.22% | ||||||||||||
FMC Technologies, Inc. | 2.89% | 7/15/2019 | 37,093 | 36,970,531 | ||||||||
Real Estate 1.13% | ||||||||||||
Crown Castle International Corp. | 2.926% | 6/24/2019 | 22,892 | 22,853,542 | ||||||||
Crown Castle International Corp. | 2.947% | 6/18/2019 | 50,721 | 50,659,712 | ||||||||
Crown Castle International Corp. | 2.947% | 6/19/2019 | 69,258 | 69,168,734 |
378 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Real Estate (continued) | ||||||||||||
Crown Castle International Corp. | 2.978% | 6/12/2019 | $ | 25,043 | $ | 25,024,656 | ||||||
Crown Castle International Corp. | 2.978% | 6/13/2019 | 23,184 | 23,165,131 | ||||||||
Total | 190,871,775 | |||||||||||
Retail 1.44% | ||||||||||||
Autonation, Inc. | 2.84% | 6/3/2019 | 60,063 | 60,063,000 | ||||||||
Autonation, Inc. | 2.891% | 6/4/2019 | 133,885 | 133,874,400 | ||||||||
Autonation, Inc. | 2.891% | 6/5/2019 | 18,250 | 18,247,110 | ||||||||
Autonation, Inc. | 2.893% | 6/5/2019 | 9,034 | 9,032,570 | ||||||||
Walgreens Boots Alliance, Inc. | 2.92% | 6/21/2019 | 23,198 | 23,164,827 | ||||||||
Total | 244,381,907 | |||||||||||
Telecommunications 0.33% | ||||||||||||
Bell Canada, Inc. | 2.802% | 6/3/2019 | 9,125 | 9,125,000 | ||||||||
Bell Canada, Inc. | 2.859% | 6/17/2019 | 46,868 | 46,816,966 | ||||||||
Total | 55,941,966 | |||||||||||
Total Commercial Paper (cost $4,932,868,746) | 4,933,700,392 | |||||||||||
CORPORATE BONDS 0.21% | ||||||||||||
Banks: Regional 0.09% | ||||||||||||
Capital One NA | 3.373% (3 Mo. LIBOR + .77% | )# | 9/13/2019 | 7,365 | 7,373,900 | |||||||
ING Bank NV (Netherlands)(a) | 3.128% (3 Mo. LIBOR + .61% | )# | 8/15/2019 | 1,570 | 1,571,900 | |||||||
Lloyds Bank plc (United Kingdom)†(a) | 5.80% | 1/13/2020 | 5,175 | 5,269,266 | ||||||||
Morgan Stanley | 3.332% (3 Mo. LIBOR + .74% | )# | 7/23/2019 | 1,000 | 1,001,005 | |||||||
Total | 15,216,071 | |||||||||||
Drugs 0.03% | ||||||||||||
Shire Acquisitions Investments Ireland DAC (Ireland)(a) | 1.90% | 9/23/2019 | 5,301 | 5,285,719 | ||||||||
Food 0.04% | ||||||||||||
Kraft Heinz Foods Co. | 2.982% (3 Mo. LIBOR + .42% | )# | 8/9/2019 | 7,000 | 7,002,457 | |||||||
Manufacturing 0.02% | ||||||||||||
Pentair Finance Sarl (Luxembourg)(a) | 2.65% | 12/1/2019 | 3,750 | 3,746,083 | ||||||||
Telecommunications 0.03% | ||||||||||||
AT&T, Inc. | 3.247% (3 Mo. LIBOR + .65% | )# | 1/15/2020 | 3,967 | 3,979,395 | |||||||
Total Corporate Bonds (cost $35,153,050) | 35,229,725 |
See Notes to Financial Statements. | 379 |
Schedule of Investments (unaudited)(continued)
ULTRA SHORT BOND FUNDMay 31, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
REPURCHASE AGREEMENT 0.41% | ||||||||||||
Repurchase Agreement dated 5/31/2019, 1.45% due 6/3/2019 with Fixed Income Clearing Corp. collateralized by $56,370,000 of U.S. Treasury Note at 2.25% due 03/31/2021 and $14,470,000 U.S. Treasury Note at 1.375% 05/31/2021 value: $70,990,585; proceeds: $69,603,099 (cost $69,594,690) | $ | 69,595 | $ | 69,594,690 | ||||||||
U.S. TREASURY OBLIGATION 1.96% | ||||||||||||
Government | ||||||||||||
U.S. Treasury Bill (cost $333,222,707) | Zero Coupon | 7/2/2019 | 333,873 | 333,254,140 | ||||||||
Total Short-Term Investments (cost $5,370,839,193) | 5,371,778,947 | |||||||||||
Total Investments in Securities 99.74% (cost $16,899,367,199) | 16,929,175,070 | |||||||||||
Cash and Other Assets in Excess of Liabilities 0.26% | 44,591,738 | |||||||||||
Net Assets 100.00% | $ | 16,973,766,808 |
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, 2019. | |
(a) | Foreign security traded in U.S. dollars. |
380 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(concluded)
ULTRA SHORT BOND FUNDMay 31, 2019
The following is a summary of the inputs used as of May 31, 2019 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) | ||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 4,302,676,131 | $ | — | $ | 4,302,676,131 | ||||||||
Corporate Bonds | — | 7,254,719,992 | — | 7,254,719,992 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | — | 4,933,700,392 | — | 4,933,700,392 | ||||||||||||
Corporate Bonds | — | 35,229,725 | — | 35,229,725 | ||||||||||||
Repurchase Agreement | — | 69,594,690 | — | 69,594,690 | ||||||||||||
U.S. Treasury Obligation | — | 333,254,140 | — | 333,254,140 | ||||||||||||
Total | $ | — | $ | 16,929,175,070 | $ | — | $ | 16,929,175,070 |
(1) | Refer to Note 2(t) 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, 2019. |
See Notes to Financial Statements. | 381 |
Statements of Assets and Liabilities (unaudited)
May 31, 2019
Convertible Fund | Core Fixed Income Fund | Core Plus Bond Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in securities, at cost | $ | 673,401,724 | $ | 1,572,811,086 | $ | 72,165,204 | ||||||
Investments in securities, at fair value | $ | 712,194,628 | $ | 1,592,688,526 | $ | 72,821,051 | ||||||
Cash | 3,602,557 | 197 | 65,343 | |||||||||
Deposits with brokers for futures collateral | – | 1,853,090 | 61,271 | |||||||||
Deposits with brokers for swaps collateral | – | 481,397 | 223,800 | |||||||||
Foreign cash, at value (cost $62,344, $0, $3,364, $0, $254,959, $153,311, $87,166 and $9,175, respectively) | 61,528 | – | 3,360 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 9,975,135 | – | – | |||||||||
Interest and dividends | 3,061,931 | 5,349,763 | 380,057 | |||||||||
Capital shares sold | 690,556 | 6,793,288 | 1,506,956 | |||||||||
Variation margin for futures contracts | – | 1,039,068 | 37,441 | |||||||||
From advisor (See Note 3) | – | 7,244 | 15,775 | |||||||||
Variation margin for centrally cleared credit default swap agreements | – | 17,500 | – | |||||||||
Total return swap, at fair value | – | – | – | |||||||||
Unrealized appreciation on forward foreign currency exchange contracts | 275,936 | – | 4,793 | |||||||||
Unrealized appreciation on CPI swaps | – | – | – | |||||||||
Unrealized appreciation on unfunded commitments | – | – | – | |||||||||
Prepaid expenses and other assets | 120,241 | 155,952 | 95,044 | |||||||||
Total assets | 729,982,512 | 1,608,386,025 | 75,214,891 | |||||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Investment securities purchased | 13,098,634 | 424,486,415 | 18,994,834 | |||||||||
Capital shares reacquired | 1,909,298 | 1,241,732 | 93,946 | |||||||||
Management fee | 437,240 | 231,909 | 12,127 | |||||||||
12b-1 distribution plan | 30,519 | 142,034 | 6,284 | |||||||||
Trustees’ fees | 100,085 | 155,834 | 951 | |||||||||
Variation margin on futures contracts | – | – | – | |||||||||
Fund administration | 24,985 | 39,320 | 1,732 | |||||||||
To bank | – | �� | – | |||||||||
Offering costs | – | – | – | |||||||||
Variation margin for centrally cleared credit default swap agreements | – | – | 1,967 | |||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 68,379 | – | 1,086 | |||||||||
Unrealized depreciation on CPI swaps | – | – | – | |||||||||
Credit default swap agreements payable, at fair value (including upfront payments of $0, $0, $0, $0, $0, $355,113, $403,256 and $0, respectively) | – | – | – | |||||||||
Unrealized depreciation on unfunded commitments | – | – | 113 | |||||||||
Distributions payable | – | 2,965,851 | 139,216 | |||||||||
Accrued expenses | 170,645 | 241,599 | 69,517 | |||||||||
Total liabilities | 15,839,785 | 429,504,694 | 19,321,773 | |||||||||
NET ASSETS | $ | 714,142,727 | $ | 1,178,881,331 | $ | 55,893,118 |
382 | See Notes to Financial Statements. |
Corporate Bond Fund | Floating Rate Fund | High Yield Fund | Income Fund | Inflation Focused Fund | ||||||||||||||
$ | 6,496,976 | $ | 12,066,370,518 | $ | 6,786,521,902 | $ | 2,296,191,407 | $ | 1,215,054,506 | |||||||||
$ | 6,626,621 | $ | 11,897,099,272 | $ | 6,754,392,566 | $ | 2,319,179,620 | $ | 1,218,171,388 | |||||||||
50 | – | 10,032,789 | 165,239 | 482,683 | ||||||||||||||
9,960 | 1,187,226 | 4,602,254 | 5,752,905 | 2,411,632 | ||||||||||||||
– | – | 9,404,694 | 60,000 | 143,938,863 | ||||||||||||||
– | 254,670 | 240,389 | 87,371 | 9,115 | ||||||||||||||
– | 324,700,162 | 56,773,337 | 1,034,420 | 234,737 | ||||||||||||||
77,745 | 59,255,400 | 97,148,341 | 24,289,324 | 8,559,373 | ||||||||||||||
16,819 | 68,824,612 | 62,693,542 | 16,201,978 | 6,446,714 | ||||||||||||||
– | – | 3,355,537 | – | 958,076 | ||||||||||||||
21,439 | – | – | – | – | ||||||||||||||
– | – | – | – | – | ||||||||||||||
– | 386,470 | – | – | – | ||||||||||||||
– | 687,573 | 5,353,720 | 169,887 | 30,159 | ||||||||||||||
– | – | – | – | 9,438,943 | ||||||||||||||
– | – | – | 735 | 1,100 | ||||||||||||||
112,674 | 378,281 | 205,542 | 149,268 | 134,967 | ||||||||||||||
6,865,308 | 12,352,773,666 | 7,004,202,711 | 2,367,090,747 | 1,390,817,750 | ||||||||||||||
38,147 | 480,818,019 | 168,842,767 | 23,679,539 | 11,274,335 | ||||||||||||||
1,113 | 46,260,707 | 28,102,172 | 4,273,021 | 3,590,820 | ||||||||||||||
2,253 | 4,628,405 | 3,036,747 | 736,244 | 315,212 | ||||||||||||||
505 | 2,748,838 | 834,048 | 428,607 | 166,918 | ||||||||||||||
251 | 1,100,482 | 598,834 | 555,828 | 113,406 | ||||||||||||||
3,316 | 690,302 | – | 818,548 | – | ||||||||||||||
225 | 407,639 | 232,748 | 77,499 | 42,028 | ||||||||||||||
– | 48,441 | – | – | – | ||||||||||||||
17,198 | – | – | – | – | ||||||||||||||
– | – | 718,538 | – | 6,484,659 | ||||||||||||||
– | – | 351,268 | 281 | – | ||||||||||||||
– | – | – | – | 137,085,390 | ||||||||||||||
– | – | 380,153 | 55,242 | – | ||||||||||||||
– | 84,527 | 4,603 | – | – | ||||||||||||||
17,272 | 57,361,746 | 28,928,436 | 7,823,025 | 3,973,502 | ||||||||||||||
55,179 | 8,051,544 | 1,324,300 | 560,145 | 292,102 | ||||||||||||||
135,459 | 602,200,650 | 233,354,614 | 39,007,979 | 163,338,372 | ||||||||||||||
$ | 6,729,849 | $ | 11,750,573,016 | $ | 6,770,848,097 | $ | 2,328,082,768 | $ | 1,227,479,378 |
See Notes to Financial Statements. | 383 |
Statements of Assets and Liabilities (unaudited)(continued)
May 31, 2019
Convertible Fund | Core Fixed Income Fund | Core Plus Bond Fund | ||||||||||
COMPOSITION OF NET ASSETS: | ||||||||||||
Paid-in capital | $ | 662,571,951 | $ | 1,193,478,606 | $ | 55,197,634 | ||||||
Total distributable earnings (loss) | 51,570,776 | (14,597,275 | ) | 695,484 | ||||||||
Net Assets | $ | 714,142,727 | $ | 1,178,881,331 | $ | 55,893,118 | ||||||
Net assets by class: | ||||||||||||
Class A Shares | $ | 131,668,234 | $ | 437,727,504 | $ | 12,378,614 | ||||||
Class C Shares | $ | 40,222,088 | $ | 41,444,160 | $ | 968,874 | ||||||
Class F Shares | $ | 159,822,410 | $ | 155,861,607 | $ | 42,265,713 | ||||||
Class F3 Shares | $ | 6,772,944 | $ | 262,273,839 | $ | 10,837 | ||||||
Class I Shares | $ | 362,119,248 | $ | 215,736,796 | $ | 125,685 | ||||||
Class P Shares | $ | 64,648 | $ | 105.22 | – | |||||||
Class R2 Shares | $ | 67,584 | $ | 549,754 | $ | 28,195 | ||||||
Class R3 Shares | $ | 9,113,779 | $ | 12,538,874 | $ | 28,994 | ||||||
Class R4 Shares | $ | 75,903 | $ | 5,797,506 | $ | 28,541 | ||||||
Class R5 Shares | $ | 527,892 | $ | 1,189,469 | $ | 28,789 | ||||||
Class R6 Shares | $ | 3,687,997 | $ | 45,761,717 | $ | 28,876 | ||||||
Outstanding shares by class (unlimited number of authorized shares of beneficial interest): | ||||||||||||
Class A Shares | 10,116,519 | 40,267,223 | 822,932 | |||||||||
Class C Shares | 3,111,544 | 3,829,591 | 64,377 | |||||||||
Class F Shares | 12,276,907 | 14,340,804 | 2,811,793 | |||||||||
Class F3 Shares | 516,864 | 24,128,461 | 720.40 | |||||||||
Class I Shares | 27,653,236 | 19,853,391 | 8,355 | |||||||||
Class P Shares | 4,889 | 9.53 | – | |||||||||
Class R2 Shares | 5,116 | 50,560 | 1,875 | |||||||||
Class R3 Shares | 703,474 | 1,153,222 | 1,928 | |||||||||
Class R4 Shares | 5,834 | 533,435 | 1,897 | |||||||||
Class R5 Shares | 40,327 | 109,421 | 1,914 | |||||||||
Class R6 Shares | 281,333 | 4,211,267 | 1,920 | |||||||||
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | ||||||||||||
Class A Shares-Net asset value | $13.02 | $10.87 | $15.04 | |||||||||
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%) | $13.32 | $11.12 | $15.39 | |||||||||
Class C Shares-Net asset value | $12.93 | $10.82 | $15.05 | |||||||||
Class F Shares-Net asset value | $13.02 | $10.87 | $15.03 | |||||||||
Class F3 Shares-Net asset value | $13.10 | $10.87 | $15.04 | |||||||||
Class I Shares-Net asset value | $13.10 | $10.87 | $15.04 | |||||||||
Class P Shares-Net asset value | $13.22 | $11.04 | – | |||||||||
Class R2 Shares-Net asset value | $13.21 | $10.87 | $15.04 | |||||||||
Class R3 Shares-Net asset value | $12.96 | $10.87 | $15.04 | |||||||||
Class R4 Shares-Net asset value | $13.01 | $10.87 | $15.05 | |||||||||
Class R5 Shares-Net asset value | $13.09 | $10.87 | $15.04 | |||||||||
Class R6 Shares-Net asset value | $13.11 | $10.87 | $15.04 |
384 | See Notes to Financial Statements. |
Corporate Bond Fund | Floating Rate Fund | High Yield Fund | Income Fund | Inflation Focused Fund | ||||||||||||||
$ | 6,847,797 | $ | 12,488,454,163 | $ | 7,004,160,963 | $ | 2,388,608,222 | $ | 1,501,977,675 | |||||||||
(117,948 | ) | (737,881,147 | ) | (233,312,866 | ) | (60,525,454 | ) | (274,498,297 | ) | |||||||||
$ | 6,729,849 | $ | 11,750,573,016 | $ | 6,770,848,097 | $ | 2,328,082,768 | $ | 1,227,479,378 | |||||||||
$ | 536,234 | $ | 2,943,774,436 | $ | 1,171,164,940 | $ | 918,121,911 | $ | 129,115,726 | |||||||||
$ | 241,335 | $ | 1,434,064,961 | $ | 387,122,356 | $ | 165,603,054 | $ | 38,503,036 | |||||||||
$ | 2,412,390 | $ | 5,108,758,120 | $ | 2,069,271,650 | $ | 503,123,351 | $ | 352,505,805 | |||||||||
$ | 1,622,178 | $ | 196,839,193 | $ | 518,345,060 | $ | 467,687,583 | $ | 18,634,587 | |||||||||
$ | 163,661 | $ | 1,903,765,880 | $ | 1,547,582,373 | $ | 168,441,401 | $ | 625,432,614 | |||||||||
– | – | $ | 65,829 | – | – | |||||||||||||
$ | 26,641 | $ | 1,750,645 | $ | 13,104,320 | $ | 1,441,405 | $ | 151,726 | |||||||||
$ | 51,412 | $ | 54,925,539 | $ | 111,400,205 | $ | 50,895,874 | $ | 101,022 | |||||||||
$ | 26,838 | $ | 6,643,323 | $ | 102,350,453 | $ | 6,533,738 | $ | 2,646,400 | |||||||||
$ | 26,983 | $ | 6,687,856 | $ | 276,748,252 | $ | 5,249,163 | $ | 299,104 | |||||||||
$ | 1,622,177 | $ | 93,363,063 | $ | 573,692,659 | $ | 40,985,288 | $ | 60,089,358 | |||||||||
54,397 | 330,757,543 | 160,711,107 | 326,352,460 | 11,312,655 | ||||||||||||||
24,490 | 161,012,091 | 53,401,330 | 58,593,892 | 3,369,032 | ||||||||||||||
244,286 | 574,611,477 | 284,322,457 | 178,801,688 | 30,855,213 | ||||||||||||||
164,560 | 22,088,450 | 70,784,599 | 166,267,058 | 1,633,062 | ||||||||||||||
16,608 | 213,790,409 | 211,451,108 | 59,855,620 | 54,772,823 | ||||||||||||||
– | – | 8,908 | – | – | ||||||||||||||
2,703 | 196,518 | 1,787,756 | 508,211 | 13,302 | ||||||||||||||
5,216 | 6,168,907 | 15,199,467 | 18,034,741 | 8,850 | ||||||||||||||
2,723 | 746,546 | 14,048,062 | 2,322,224 | 231,818 | ||||||||||||||
2,737 | 750,385 | 37,827,515 | 1,865,107 | 26,211 | ||||||||||||||
164,560 | 10,479,343 | 78,355,303 | 14,574,508 | 5,264,462 | ||||||||||||||
$ 9.86 | $8.90 | $7.29 | $2.81 | $11.41 | ||||||||||||||
$10.09 | $9.10 | $7.46 | $2.87 | $11.67 | ||||||||||||||
$ 9.85 | $8.91 | $7.25 | $2.83 | $11.43 | ||||||||||||||
$ 9.88 | $8.89 | $7.28 | $2.81 | $11.42 | ||||||||||||||
$ 9.86 | $8.91 | $7.32 | $2.81 | $11.41 | ||||||||||||||
$ 9.85 | $8.90 | $7.32 | $2.81 | $11.42 | ||||||||||||||
– | – | $7.39 | – | – | ||||||||||||||
$ 9.86 | $8.91 | $7.33 | $2.84 | $11.41 | ||||||||||||||
$ 9.86 | $8.90 | $7.33 | $2.82 | $11.41 | ||||||||||||||
$ 9.86 | $8.90 | $7.29 | $2.81 | $11.42 | ||||||||||||||
$ 9.86 | $8.91 | $7.32 | $2.81 | $11.41 | ||||||||||||||
$ 9.86 | $8.91 | $7.32 | $2.81 | $11.41 |
See Notes to Financial Statements. | 385 |
Statements of Assets and Liabilities (unaudited)(continued)
May 31, 2019
Short Duration Core Bond Fund | Short Duration Income Fund | |||||||
ASSETS: | ||||||||
Investments in securities, at cost | $ | 18,769,819 | $ | 49,078,182,768 | ||||
Investments in securities, at fair value | $ | 18,970,218 | $ | 49,126,956,742 | ||||
Cash | 84 | 5,223,438 | ||||||
Deposits with brokers for futures collateral | 8,431 | 12,583,337 | ||||||
Deposits with brokers for swaps collateral | – | – | ||||||
Foreign cash, at value (cost $912, $323,337, $100,289 and $0, respectively) | 909 | 321,643 | ||||||
Receivables: | ||||||||
Capital shares sold | 828,498 | 393,342,357 | ||||||
Interest and dividends | 114,058 | 288,924,441 | ||||||
Investment securities sold | – | 57,022,937 | ||||||
Variation margin for futures contracts | – | – | ||||||
From advisor (See Note 3) | 21,819 | – | ||||||
Variation margin for centrally cleared credit default swap agreements | – | – | ||||||
Unrealized appreciation on forward foreign currency exchange contracts | 1,819 | 1,098,086 | ||||||
Unrealized appreciation on unfunded commitments | – | 36,735 | ||||||
Credit default swap agreements receivable, at fair value (including upfront payments of $5,346, $6,614,548, $0 and $0, respectively) | 2,334 | 332,392 | ||||||
Prepaid expenses and other assets | 116,734 | 1,078,676 | ||||||
Total assets | 20,064,904 | 49,886,920,784 | ||||||
LIABILITIES: | ||||||||
Payables: | ||||||||
Investment securities purchased | – | 1,158,582,735 | ||||||
Capital shares reacquired | 5,428 | 125,007,626 | ||||||
Management fee | 4,746 | 10,242,718 | ||||||
12b-1 distribution plan | 3,379 | 10,365,991 | ||||||
Directors’ fees | 388 | 4,312,407 | ||||||
Fund administration | 633 | 1,618,451 | ||||||
Variation margin on futures contracts | 2,894 | 1,939,973 | ||||||
Offering costs | 15,676 | – | ||||||
Unrealized depreciation on forward foreign currency exchange contracts | – | – | ||||||
Distributions payable | 46,050 | 150,154,854 | ||||||
Accrued expenses | 51,076 | 3,462,066 | ||||||
Total liabilities | 130,270 | 1,465,686,821 | ||||||
NET ASSETS | $ | 19,934,634 | $ | 48,421,233,963 | ||||
COMPOSITION OF NET ASSETS: | ||||||||
Paid-in capital | $ | 19,944,057 | $ | 51,702,597,503 | ||||
Total distributable earnings (loss) | (9,423 | ) | (3,281,363,540 | ) | ||||
Net Assets | $ | 19,934,634 | $ | 48,421,233,963 |
386 | See Notes to Financial Statements. |
Total Return Fund | Ultra Short Bond Fund | |||||
$ | 5,064,070,969 | $ | 16,899,367,199 | |||
$ | 5,110,939,112 | $ | 16,929,175,070 | |||
3,039,132 | 729,867 | |||||
5,746,960 | – | |||||
1,571,382 | – | |||||
100,064 | – | |||||
19,096,883 | 229,920,018 | |||||
21,164,704 | 35,584,738 | |||||
– | – | |||||
3,044,684 | – | |||||
13,860 | 825,366 | |||||
57,123 | – | |||||
236,223 | – | |||||
– | – | |||||
– | – | |||||
165,261 | 1,224,993 | |||||
5,165,175,388 | 17,197,460,052 | |||||
1,259,698,632 | 114,736,150 | |||||
5,385,981 | 66,199,108 | |||||
909,819 | 2,826,474 | |||||
432,697 | 1,542,914 | |||||
349,722 | 241,217 | |||||
129,974 | 565,295 | |||||
– | – | |||||
– | – | |||||
24,678 | – | |||||
9,964,250 | 36,993,429 | |||||
661,846 | 588,657 | |||||
1,277,557,599 | 223,693,244 | |||||
$ | 3,887,617,789 | $ | 16,973,766,808 | |||
$ | 3,956,949,267 | $ | 16,943,212,435 | |||
(69,331,478 | ) | 30,554,373 | ||||
$ | 3,887,617,789 | $ | 16,973,766,808 |
See Notes to Financial Statements. | 387 |
Statements of Assets and Liabilities (unaudited)(concluded)
May 31, 2019
Short Duration Core Bond Fund | Short Duration Income Fund | |||||||
Net assets by class: | ||||||||
Class A Shares | $ | 8,564,592 | $ | 9,530,368,944 | ||||
Class C Shares | $ | 1,948,319 | $ | 4,799,870,574 | ||||
Class F Shares | $ | 5,663,016 | $ | 19,883,112,374 | ||||
Class F3 Shares | $ | 1,581,696 | $ | 3,908,917,510 | ||||
Class I Shares | $ | 137,066 | $ | 8,997,917,735 | ||||
Class P Shares | – | – | ||||||
Class R2 Shares | $ | 25,985 | $ | 19,602,650 | ||||
Class R3 Shares | $ | 71,966 | $ | 342,519,272 | ||||
Class R4 Shares | $ | 26,177 | $ | 127,813,503 | ||||
Class R5 Shares | $ | 26,314 | $ | 62,762,642 | ||||
Class R6 Shares | $ | 1,889,503 | $ | 748,348,759 | ||||
Outstanding shares by class (unlimited number of authorized shares of beneficial interest): | ||||||||
Class A Shares | 868,743 | 2,269,328,041 | ||||||
Class C Shares | 197,672 | 1,135,911,857 | ||||||
Class F Shares | 574,528 | 4,737,732,331 | ||||||
Class F3 Shares | 160,467 | 929,659,700 | ||||||
Class I Shares | 13,907 | 2,144,567,916 | ||||||
Class P Shares | – | – | ||||||
Class R2 Shares | 2,636 | 4,666,163 | ||||||
Class R3 Shares | 7,300 | 81,483,458 | ||||||
Class R4 Shares | 2,656 | 30,379,834 | ||||||
Class R5 Shares | 2,670 | 14,972,647 | ||||||
Class R6 Shares | 191,701 | 178,277,855 | ||||||
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | ||||||||
Class A Shares-Net asset value | $ 9.86 | $4.20 | ||||||
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%)* | $10.09 | $4.30 | ||||||
Class C Shares-Net asset value | $ 9.86 | $4.23 | ||||||
Class F Shares-Net asset value | $ 9.86 | $4.20 | ||||||
Class F3 Shares-Net asset value | $ 9.86 | $4.20 | ||||||
Class I Shares-Net asset value | $ 9.86 | $4.20 | ||||||
Class P Shares-Net asset value | – | – | ||||||
Class R2 Shares-Net asset value | $ 9.86 | $4.20 | ||||||
Class R3 Shares-Net asset value | $ 9.86 | $4.20 | ||||||
Class R4 Shares-Net asset value | $ 9.86 | $4.21 | ||||||
Class R5 Shares-Net asset value | $ 9.86 | $4.19 | ||||||
Class R6 Shares-Net asset value | $ 9.86 | $4.20 |
* Sales charge not applicable to Ultra Short Bond Fund
388 | See Notes to Financial Statements. |
Total Return Fund | Ultra Short Bond Fund | |||||
$ | 1,218,559,646 | $ | 8,688,100,348 | |||
$ | 120,924,534 | – | ||||
$ | 941,955,616 | $ | 6,450,216,518 | |||
$ | 604,879,993 | $ | 260,032,496 | |||
$ | 413,126,634 | $ | 1,567,184,324 | |||
$ | 618,235 | – | ||||
$ | 4,621,877 | – | ||||
$ | 103,725,771 | – | ||||
$ | 65,781,270 | – | ||||
$ | 118,931,099 | $ | 2,373,247 | |||
$ | 294,493,114 | $ | 5,859,875 | |||
118,329,181 | 866,939,352 | |||||
11,753,208 | – | |||||
91,475,747 | 643,521,979 | |||||
58,713,534 | 25,941,390 | |||||
40,043,831 | 156,403,885 | |||||
59,748 | – | |||||
448,960 | – | |||||
10,075,363 | – | |||||
6,387,623 | – | |||||
11,546,384 | 236,733 | |||||
28,572,489 | 584,657 | |||||
$10.30 | $10.02 | |||||
$10.54 | – | |||||
$10.29 | – | |||||
$10.30 | $10.02 | |||||
$10.30 | $10.02 | |||||
$10.32 | $10.02 | |||||
$10.35 | – | |||||
$10.29 | – | |||||
$10.29 | – | |||||
$10.30 | – | |||||
$10.30 | $10.02 | |||||
$10.31 | $10.02 |
See Notes to Financial Statements. | 389 |
Statements of Operations (unaudited)
For the Six Months Ended May 31, 2019
Convertible Fund | Core Fixed Income Fund | Core Plus Bond Fund | ||||||||||
Investment income: | ||||||||||||
Dividends (net of foreign withholding taxes of $11,262, $0, $0, $0, $0, $11,123, $0 and $0, respectively) | $ | 2,580,935 | $ | – | $ | – | ||||||
Interest and other (net of foreign withholding taxes of $0, $281, $0, $8, $0, $0, $10,817 and $93, respectively) | 8,601,987 | 17,190,147 | 549,994 | |||||||||
Total investment income | 11,182,922 | 17,190,147 | 549,994 | |||||||||
Expenses: | ||||||||||||
Management fee | 2,767,810 | 1,309,884 | 40,658 | |||||||||
12b-1 distribution plan-Class A | 134,188 | 420,608 | 8,545 | |||||||||
12b-1 distribution plan-Class C | 166,585 | 169,685 | 2,926 | |||||||||
12b-1 distribution plan-Class F | 84,143 | 69,523 | 9,769 | |||||||||
12b-1 distribution plan-Class P | 140 | – | – | |||||||||
12b-1 distribution plan-Class R2 | 218 | 1,875 | 82 | |||||||||
12b-1 distribution plan-Class R3 | 22,092 | 30,439 | 70 | |||||||||
12b-1 distribution plan-Class R4 | 89 | 7,318 | 34 | |||||||||
Shareholder servicing | 182,224 | 432,456 | 4,254 | |||||||||
Fund administration | 158,161 | 221,009 | 5,808 | |||||||||
Registration | 98,410 | 109,740 | 79,329 | |||||||||
Reports to shareholders | 35,930 | 76,910 | 2,259 | |||||||||
Professional | 36,275 | 31,296 | 29,149 | |||||||||
Trustees’ fees | 12,444 | 16,260 | 254 | |||||||||
Custody | 14,554 | 12,757 | 7,820 | |||||||||
Other | 58,876 | 69,960 | 6,342 | |||||||||
Gross expenses | 3,772,139 | 2,979,720 | 197,299 | |||||||||
Expense reductions (See Note 9) | (7,511 | ) | (15,716 | ) | (542 | ) | ||||||
Fees waived and expenses reimbursed (See Note 3) | – | – | (105,642 | ) | ||||||||
Shareholder servicing reimbursed-Class I (See Note 3) | – | (39,293 | ) | – | ||||||||
Net expenses | 3,764,628 | 2,924,711 | 91,115 | |||||||||
Net investment income | 7,418,294 | 14,265,436 | 458,879 | |||||||||
Net realized and unrealized gain (loss): | ||||||||||||
Net realized gain (loss) on investments | 21,844,022 | 17,335,726 | 186,201 | |||||||||
Net realized gain (loss) on futures contracts | – | 6,174,556 | 179,136 | |||||||||
Net realized gain on foreign currency exchange contracts | 433,596 | – | 5,965 | |||||||||
Net realized gain (loss) on swap contracts | – | (37,962 | ) | (19,124 | ) | |||||||
Net realized gain (loss) on foreign currency related transactions | (79,928 | ) | – | 878 | ||||||||
Net change in unrealized appreciation/depreciation on investments | 15,984,105 | 29,004,181 | 885,698 | |||||||||
Net change in unrealized appreciation/depreciation on futures contracts | – | 1,559,287 | 53,803 | |||||||||
Net change in unrealized appreciation/depreciation on foreign currency exchange contracts | (149,819 | ) | – | (1,681 | ) | |||||||
Net change in unrealized appreciation/depreciation on swap contracts | – | (25,973 | ) | 22,297 |
390 | See Notes to Financial Statements. |
Corporate Bond Fund | Floating Rate Fund | High Yield Fund | Income Fund | Inflation Focused Fund | ||||||||||||||
$ | – | $ | 1,811,356 | $ | 846,356 | $ | 107,184 | $ | 3,445 | |||||||||
117,840 | 406,909,175 | 210,088,708 | 47,530,048 | 23,325,860 | ||||||||||||||
117,840 | 408,720,531 | 210,935,064 | 47,637,232 | 23,329,305 | ||||||||||||||
11,910 | 28,724,021 | 17,261,248 | 4,073,513 | 1,913,931 | ||||||||||||||
415 | 3,119,314 | 1,121,111 | 858,054 | 147,541 | ||||||||||||||
903 | 6,286,857 | 1,638,817 | 674,160 | 180,293 | ||||||||||||||
967 | 2,793,373 | 1,022,718 | 223,494 | 197,193 | ||||||||||||||
– | – | 398 | – | – | ||||||||||||||
77 | 4,887 | 40,575 | 4,760 | 531 | ||||||||||||||
123 | 134,331 | 270,412 | 124,690 | 245 | ||||||||||||||
32 | 23,118 | 121,837 | 7,393 | 2,696 | ||||||||||||||
553 | 5,198,846 | 2,893,485 | 872,311 | 524,000 | ||||||||||||||
1,191 | 2,531,085 | 1,321,064 | 428,791 | 255,191 | ||||||||||||||
79,429 | 612,723 | 195,565 | 123,997 | 124,399 | ||||||||||||||
2,986 | 644,741 | 392,660 | 142,142 | 65,470 | ||||||||||||||
32,063 | 148,622 | 90,300 | 53,094 | 52,156 | ||||||||||||||
84 | 193,002 | 97,021 | 31,016 | 19,165 | ||||||||||||||
3,807 | 72,759 | 70,529 | 25,193 | 13,880 | ||||||||||||||
5,652 | 259,904 | 115,065 | 69,204 | 60,344 | ||||||||||||||
140,192 | 50,747,583 | 26,652,805 | 7,711,812 | 3,557,035 | ||||||||||||||
(56 | ) | (238,770 | ) | (95,115 | ) | (32,904 | ) | (19,811 | ) | |||||||||
(124,715 | ) | – | – | – | – | |||||||||||||
– | – | – | – | – | ||||||||||||||
15,421 | 50,508,813 | 26,557,690 | 7,678,908 | 3,537,224 | ||||||||||||||
102,419 | 358,211,718 | 184,377,374 | 39,958,324 | 19,792,081 | ||||||||||||||
(10,940 | ) | (222,310,109 | ) | (111,771,701 | ) | (7,789,542 | ) | (1,648,412 | ) | |||||||||
(24,734 | ) | (7,978,290 | ) | (3,516,106 | ) | 7,139,426 | 5,704,842 | |||||||||||
– | 1,622,084 | 8,293,472 | 238,125 | 42,356 | ||||||||||||||
– | (11,514,513 | ) | 7,610,534 | (27,675 | ) | 1,840,047 | ||||||||||||
– | 710,628 | (585,771 | ) | (25,026 | ) | 7,916 | ||||||||||||
397,284 | 95,507,064 | 256,596,137 | 112,862,868 | 23,047,086 | ||||||||||||||
(1,017 | ) | 8,782 | 3,037,637 | 1,811,154 | 2,407,228 | |||||||||||||
– | (265,026 | ) | (94,039 | ) | (127,348 | ) | (19,482 | ) | ||||||||||
– | 7,882,748 | (742,956 | ) | (6,100 | ) | (42,308,960 | ) |
See Notes to Financial Statements. | 391 |
Statements of Operations (unaudited)(continued)
For the Six Months Ended May 31, 2019
Convertible Fund | Core Fixed Income Fund | Core Plus Bond Fund | ||||||||||
Net realized and unrealized gain (loss): | ||||||||||||
Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies | $ | 2,295 | $ | – | $ | 63 | ||||||
Net change in unrealized appreciation/depreciation on unfunded commitments | – | – | (113 | ) | ||||||||
Net realized and unrealized gain (loss) | 38,034,271 | 54,009,815 | 1,313,123 | |||||||||
Net Increase in Net Assets Resulting From Operations | $ | 45,452,565 | $ | 68,275,251 | $ | 1,772,002 |
392 | See Notes to Financial Statements. |
Corporate Bond Fund | Floating Rate Fund | High Yield Fund | Income Fund | Inflation Focused Fund | ||||||||||||||
$ | – | $ | 57,711 | $ | 63,076 | $ | 3,689 | $ | 801 | |||||||||
– | 50,040 | (1,301 | ) | 735 | 1,100 | |||||||||||||
360,593 | (136,228,881 | ) | 158,888,982 | 114,080,306 | (10,925,478 | ) | ||||||||||||
$ | 463,012 | $ | 221,982,837 | $ | 343,266,356 | $ | 154,038,630 | $ | 8,866,603 |
See Notes to Financial Statements. | 393 |
Statements of Operations (unaudited)(concluded)
For the Six Months Ended May 31, 2019
Short Duration Core Bond Fund | Short Duration Income Fund | |||||||
Investment income: | ||||||||
Dividends | $ | – | $ | 117,317 | ||||
Interest and other (net of foreign withholding taxes of $0, $18,193, $0 and $15,102, respectively) | 253,346 | 789,615,345 | ||||||
Total investment income | 253,346 | 789,732,662 | ||||||
Expenses: | ||||||||
Management fee | 23,982 | 56,030,791 | ||||||
12b-1 distribution plan-Class A | 5,467 | 8,945,588 | ||||||
12b-1 distribution plan-Class C | 7,915 | 19,729,403 | ||||||
12b-1 distribution plan-Class F | 2,596 | 8,782,475 | ||||||
12b-1 distribution plan-Class P | – | – | ||||||
12b-1 distribution plan-Class R2 | 77 | 60,219 | ||||||
12b-1 distribution plan-Class R3 | 141 | 815,745 | ||||||
12b-1 distribution plan-Class R4 | 32 | 141,897 | ||||||
Shareholder servicing | 3,289 | 14,465,087 | ||||||
Fund administration | 3,198 | 8,845,255 | ||||||
Registration | 80,870 | 899,532 | ||||||
Reports to shareholders | 3,931 | 1,710,068 | ||||||
Directors’ fees | 185 | 608,565 | ||||||
Professional | 32,139 | 250,594 | ||||||
Custody | 5,203 | 226,172 | ||||||
Other | 6,056 | 298,443 | ||||||
Gross expenses | 175,081 | 121,809,834 | ||||||
Expense reductions (See Note 9) | (252 | ) | (775,337 | ) | ||||
Fees waived and expenses reimbursed (See Note 3) | (127,615 | ) | – | |||||
Shareholder servicing reimbursed-Class I (See Note 3) | – | – | ||||||
Net expenses | 47,214 | 121,034,497 | ||||||
Net investment income | 206,132 | 668,698,165 | ||||||
Net realized and unrealized gain (loss): | ||||||||
Net realized gain on investments | 22,313 | 25,592,899 | ||||||
Net realized gain (loss) on futures contracts | (30,524 | ) | 28,078,272 | |||||
Net realized gain (loss) on foreign currency exchange contracts | (800 | ) | 1,554,275 | |||||
Net realized gain (loss) on swap contracts | 2,060 | 1,930,712 | ||||||
Net realized gain (loss) on foreign currency related transactions | 540 | 310,817 | ||||||
Net change in unrealized appreciation/depreciation on investments | 279,701 | 741,485,359 | ||||||
Net change in unrealized appreciation/depreciation on futures contracts | (2,222 | ) | 20,262,123 | |||||
Net change in unrealized appreciation/depreciation on foreign currency exchange contracts | 1,819 | (740,938 | ) | |||||
Net change in unrealized appreciation/depreciation on swap contracts | 3,731 | 4,739,784 | ||||||
Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies | (3 | ) | 31,022 | |||||
Net change in unrealized appreciation/depreciation on unfunded commitments | – | 36,735 | ||||||
Net realized and unrealized gain | 276,615 | 823,281,060 | ||||||
Net Increase in Net Assets Resulting From Operations | $ | 482,747 | $ | 1,491,979,225 |
394 | See Notes to Financial Statements. |
Total Return Fund | Ultra Short Bond Fund | |||||
$ | – | $ | – | |||
64,600,612 | 231,778,466 | |||||
64,600,612 | 231,778,466 | |||||
5,144,112 | 15,482,562 | |||||
1,163,706 | 5,784,136 | |||||
495,874 | – | |||||
438,769 | 3,068,854 | |||||
1,309 | – | |||||
14,594 | – | |||||
256,224 | – | |||||
78,118 | – | |||||
1,669,822 | 4,001,520 | |||||
734,873 | 3,096,512 | |||||
139,854 | 1,386,003 | |||||
235,566 | 504,762 | |||||
53,252 | 170,978 | |||||
49,658 | 114,920 | |||||
27,454 | 45,626 | |||||
96,719 | 39,073 | |||||
10,599,904 | 33,694,946 | |||||
(55,432 | ) | (293,202 | ) | |||
– | (4,685,367 | ) | ||||
(79,101 | ) | – | ||||
10,465,371 | 28,716,377 | |||||
54,135,241 | 203,062,089 | |||||
47,380,239 | 1,139,358 | |||||
20,721,915 | – | |||||
109,720 | – | |||||
(122,556 | ) | – | ||||
(16,094 | ) | – | ||||
96,000,028 | 42,000,013 | |||||
4,211,911 | – | |||||
18,926 | – | |||||
(84,781 | ) | – | ||||
95,089 | – | |||||
– | – | |||||
168,314,397 | 43,139,371 | |||||
$ | 222,449,638 | $ | 246,201,460 |
See Notes to Financial Statements. | 395 |
Statements of Changes in Net Assets
Convertible Fund | ||||||||
For the | ||||||||
Six Months Ended | For the | |||||||
May 31, 2019 | Year Ended | |||||||
INCREASE (DECREASE) IN NET ASSETS | (unaudited) | November 30, 2018 | ||||||
Operations: | ||||||||
Net investment income | $ | 7,418,294 | $ | 12,000,877 | ||||
Net realized gain (loss) on investments, futures contracts, forward currency exchange contracts, swaps and foreign currency related transactions | 22,197,690 | 50,680,908 | ||||||
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 | 15,836,581 | (55,234,356 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 45,452,565 | 7,447,429 | ||||||
Distributions to shareholders: | ||||||||
Class A | (8,390,564 | ) | (2,624,703 | ) | ||||
Class B | – | (1,783 | ) | |||||
Class C | (2,319,810 | ) | (594,213 | ) | ||||
Class F | (11,497,718 | ) | (3,646,644 | ) | ||||
Class F3 | (422,084 | ) | (104,731 | ) | ||||
Class I | (29,073,861 | ) | (12,062,635 | ) | ||||
Class P | (3,600 | ) | (1,030 | ) | ||||
Class R2 | (4,249 | ) | (1,708 | ) | ||||
Class R3 | (531,652 | ) | (104,746 | ) | ||||
Class R4 | (4,081 | ) | (1,218 | ) | ||||
Class R5 | (8,870 | ) | (28,853 | ) | ||||
Class R6 | (164,259 | ) | (101,827 | ) | ||||
Total distributions to shareholders | (52,420,748 | ) | (19,274,091 | ) | ||||
Capital share transactions (Net of share conversions) (See Note 14): | ||||||||
Net proceeds from sales of shares | 81,238,771 | 276,106,262 | ||||||
Reinvestment of distributions | 49,122,710 | 18,145,176 | ||||||
Cost of shares reacquired | (271,807,317 | ) | (294,467,421 | ) | ||||
Net increase (decrease) in net assets resulting from capital share transactions | (141,445,836 | ) | (215,983 | ) | ||||
Net increase (decrease) in net assets | (148,414,019 | ) | (12,042,645 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | $ | 862,556,746 | $ | 874,599,391 | ||||
End of period | $ | 714,142,727 | $ | 862,556,746 |
396 | See Notes to Financial Statements. |
Core Fixed Income Fund | Core Plus Bond Fund | |||||||||||||
For the Six Months Ended May 31, 2019 (unaudited) | For the Year Ended November 30, 2018 | For the Six Months Ended May 31, 2019 (unaudited) | For the Year Ended November 30, 2018 | |||||||||||
$ | 14,265,436 | $ | 29,221,001 | $ | 458,879 | $ | 429,276 | |||||||
23,472,320 | (36,266,131 | ) | 353,056 | (180,866 | ) | |||||||||
30,537,495 | (11,958,381 | ) | 960,067 | (403,136 | ) | |||||||||
68,275,251 | (19,003,511 | ) | 1,772,002 | (154,726 | ) | |||||||||
(6,301,191 | ) | (12,753,891 | ) | (155,350 | ) | (240,578 | ) | |||||||
– | (1,973 | ) | – | – | ||||||||||
(499,348 | ) | (1,246,459 | ) | (10,588 | ) | (22,046 | ) | |||||||
(2,144,815 | ) | (4,644,715 | ) | (353,732 | ) | (235,682 | ) | |||||||
(4,001,806 | ) | (9,267,783 | ) | (203 | ) | (412 | ) | |||||||
(3,183,883 | ) | (6,271,470 | ) | (2,184 | ) | (4,315 | ) | |||||||
(2 | ) | (3 | ) | – | – | |||||||||
(8,100 | ) | (20,385 | ) | (446 | ) | (900 | ) | |||||||
(164,406 | ) | (352,636 | ) | (471 | ) | (940 | ) | |||||||
(86,376 | ) | (226,732 | ) | (500 | ) | (1,003 | ) | |||||||
(15,588 | ) | (26,092 | ) | (536 | ) | (1,076 | ) | |||||||
(716,112 | ) | (1,350,793 | ) | (542 | ) | (1,088 | ) | |||||||
(17,121,627 | ) | (36,162,932 | ) | (524,552 | ) | (508,040 | ) | |||||||
226,576,213 | 304,093,118 | 49,826,901 | 1,623,846 | |||||||||||
16,864,173 | 35,209,250 | 509,332 | 507,409 | |||||||||||
(188,627,342 | ) | (491,488,670 | ) | (8,603,523 | ) | (1,824,448 | ) | |||||||
54,813,044 | (152,186,302 | ) | 41,732,710 | 306,807 | ||||||||||
105,966,668 | (207,352,745 | ) | 42,980,160 | (355,959 | ) | |||||||||
$ | 1,072,914,663 | $ | 1,280,267,408 | $ | 12,912,958 | $ | 13,268,917 | |||||||
$ | 1,178,881,331 | $ | 1,072,914,663 | $ | 55,893,118 | $ | 12,912,958 |
See Notes to Financial Statements. | 397 |
Statements of Changes in Net Assets (continued)
Corporate Bond Fund | ||||||||
For the | ||||||||
Six Months Ended | For the | |||||||
May 31, 2019 | Year Ended | |||||||
INCREASE (DECREASE) IN NET ASSETS | (unaudited) | November 30, 2018 | ||||||
Operations: | ||||||||
Net investment income | $ | 102,419 | $ | 206,236 | ||||
Net realized gain (loss) on investments, futures contracts, forward currency exchange contracts, swaps and foreign currency related transactions | (35,674 | ) | (95,352 | ) | ||||
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 | 396,267 | (329,184 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 463,012 | (218,300 | ) | |||||
Distributions to shareholders: | ||||||||
Class A | (8,838 | ) | (14,990 | ) | ||||
Class B | – | – | ||||||
Class C | (3,730 | ) | (3,124 | ) | ||||
Class F | (40,906 | ) | (101,250 | ) | ||||
Class F3 | (34,490 | ) | (68,931 | ) | ||||
Class I | (3,236 | ) | (9,961 | ) | ||||
Class P | – | – | ||||||
Class R2 | (479 | ) | (962 | ) | ||||
Class R3 | (943 | ) | (1,577 | ) | ||||
Class R4 | (527 | ) | (1,054 | ) | ||||
Class R5 | (562 | ) | (1,120 | ) | ||||
Class R6 | (34,490 | ) | (68,930 | ) | ||||
Class T | – | – | ||||||
Total distributions to shareholders | (128,201 | ) | (271,899 | ) | ||||
Capital share transactions (See Note 14): | ||||||||
Net proceeds from sales of shares | 1,128,419 | 1,241,911 | ||||||
Reinvestment of distributions | 127,393 | 271,145 | ||||||
Cost of shares reacquired | (68,588 | ) | (2,105,393 | ) | ||||
Net increase (decrease) in net assets resulting from capital share transactions | 1,187,224 | (592,337 | ) | |||||
Net increase (decrease) in net assets | 1,522,035 | (1,082,536 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | $ | 5,207,814 | $ | 6,290,350 | ||||
End of period | $ | 6,729,849 | $ | 5,207,814 |
398 | See Notes to Financial Statements. |
Floating Rate Fund | High Yield Fund | |||||||||||||
For the Six Months Ended May 31, 2019 (unaudited) | For the Year Ended November 30, 2018 | For the Six Months Ended May 31, 2019 (unaudited) | For the Year Ended November 30, 2018 | |||||||||||
$ | 358,211,718 | $ | 690,592,557 | $ | 184,377,374 | $ | 378,980,729 | |||||||
(239,470,200 | ) | (19,423,828 | ) | (99,969,572 | ) | 1,096,792 | ||||||||
103,241,319 | (336,617,877 | ) | 258,858,554 | (521,563,321 | ) | |||||||||
221,982,837 | 334,550,852 | 343,266,356 | (141,485,800 | ) | ||||||||||
(88,806,515 | ) | (182,692,462 | ) | (32,958,782 | ) | (77,925,306 | ) | |||||||
– | – | – | (14,882 | ) | ||||||||||
(38,182,431 | ) | (70,222,262 | ) | (10,369,782 | ) | (24,303,373 | ) | |||||||
(161,595,517 | ) | (302,725,744 | ) | (61,056,522 | ) | (120,825,979 | ) | |||||||
(6,696,079 | ) | (13,400,545 | ) | (15,621,986 | ) | (30,616,750 | ) | |||||||
(59,670,516 | ) | (111,978,828 | ) | (46,493,504 | ) | (90,809,058 | ) | |||||||
– | – | (5,064 | ) | (24,421 | ) | |||||||||
(43,256 | ) | (63,553 | ) | (373,717 | ) | (849,236 | ) | |||||||
(1,453,762 | ) | (2,289,907 | ) | (3,023,627 | ) | (5,631,290 | ) | |||||||
(521,100 | ) | (351,841 | ) | (2,846,199 | ) | (4,646,769 | ) | |||||||
(737,860 | ) | (816,520 | ) | (8,055,041 | ) | (16,072,658 | ) | |||||||
(2,671,966 | ) | (2,624,032 | ) | (16,026,376 | ) | (25,728,534 | ) | |||||||
– | (324 | ) | – | (376 | ) | |||||||||
(360,379,002 | ) | (687,166,018 | ) | (196,830,600 | ) | (397,448,632 | ) | |||||||
2,243,050,905 | 8,184,859,014 | 1,460,295,902 | 2,977,604,675 | |||||||||||
294,870,608 | 557,322,288 | 181,403,484 | 368,519,986 | |||||||||||
(5,579,990,715 | ) | (5,491,466,098 | ) | (1,487,606,498 | ) | (3,436,725,945 | ) | |||||||
(3,042,069,202 | ) | 3,250,715,204 | 154,092,888 | (90,601,284 | ) | |||||||||
(3,180,465,367 | ) | 2,898,100,038 | 300,528,644 | (629,535,716 | ) | |||||||||
$ | 14,931,038,383 | $ | 12,032,938,345 | $ | 6,470,319,453 | $ | 7,099,855,169 | |||||||
$ | 11,750,573,016 | $ | 14,931,038,383 | $ | 6,770,848,097 | $ | 6,470,319,453 |
See Notes to Financial Statements. | 399 |
Statements of Changes in Net Assets (continued)
Income Fund | ||||||||
INCREASE (DECREASE) IN NET ASSETS | For the Six Months Ended May 31, 2019 (unaudited) | For the Year Ended November 30, 2018 | ||||||
Operations: | ||||||||
Net investment income | $ | 39,958,324 | $ | 76,091,103 | ||||
Net realized gain (loss) on investments, futures contracts, forward currency exchange contracts, swaps and foreign currency related transactions | (464,692 | ) | (16,244,123 | ) | ||||
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 | 114,544,998 | (117,453,722 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 154,038,630 | (57,606,742 | ) | |||||
Distributions to shareholders: | ||||||||
Class A | (18,100,301 | ) | (35,790,758 | ) | ||||
Class B | – | (6,796 | ) | |||||
Class C | (2,980,580 | ) | (6,848,475 | ) | ||||
Class F | (9,615,360 | ) | (19,066,758 | ) | ||||
Class F3 | (9,374,808 | ) | (15,488,182 | ) | ||||
Class I | (3,429,709 | ) | (7,833,592 | ) | ||||
Class R2 | (30,318 | ) | (71,068 | ) | ||||
Class R3 | (978,242 | ) | (1,960,870 | ) | ||||
Class R4 | (123,405 | ) | (182,381 | ) | ||||
Class R5 | (101,697 | ) | (215,284 | ) | ||||
Class R6 | (859,759 | ) | (1,483,888 | ) | ||||
Class T | – | – | ||||||
Total distributions to shareholders | (45,594,179 | ) | (88,948,052 | ) | ||||
Capital share transactions (Net of share conversions) (See Note 14): | ||||||||
Net proceeds from sales of shares | 422,440,275 | 759,398,133 | ||||||
Reinvestment of distributions | 41,202,467 | 79,689,649 | ||||||
Cost of shares reacquired | (337,335,809 | ) | (739,334,763 | ) | ||||
Net increase (decrease) in net assets resulting from capital share transactions | 126,306,933 | 99,753,019 | ||||||
Net increase (decrease) in net assets | 234,751,384 | (46,801,775 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | $ | 2,093,331,384 | $ | 2,140,133,159 | ||||
End of period | $ | 2,328,082,768 | $ | 2,093,331,384 |
400 | See Notes to Financial Statements. |
Inflation Focused Fund | Short Duration Core Bond Fund | |||||||||||||
For the Six Months Ended May 31, 2019 (unaudited) | For the Year Ended November 30, 2018 | For the Six Months Ended May 31, 2019 (unaudited) | For the Year Ended November 30, 2018 | |||||||||||
$ | 19,792,081 | $ | 34,721,039 | $ | 206,132 | $ | 215,062 | |||||||
5,946,749 | (10,821,733 | ) | (6,411 | ) | (40,114 | ) | ||||||||
(16,872,227 | ) | (14,583,449 | ) | 283,026 | (64,014 | ) | ||||||||
8,866,603 | 9,315,857 | 482,747 | 110,934 | |||||||||||
(2,973,176 | ) | (7,083,363 | ) | (85,963 | ) | (81,958 | ) | |||||||
– | – | – | – | |||||||||||
(724,253 | ) | (1,499,530 | ) | (21,400 | ) | (21,906 | ) | |||||||
(8,122,905 | ) | (16,911,221 | ) | (84,107 | ) | (86,836 | ) | |||||||
(438,909 | ) | (700,819 | ) | (26,395 | ) | (51,147 | ) | |||||||
(12,940,653 | ) | (23,512,050 | ) | (2,134 | ) | (2,250 | ) | |||||||
(3,215 | ) | (8,991 | ) | (350 | ) | (674 | ) | |||||||
(1,828 | ) | (5,898 | ) | (807 | ) | (760 | ) | |||||||
(43,178 | ) | (49,564 | ) | (397 | ) | (765 | ) | |||||||
(4,649 | ) | (4,110 | ) | (432 | ) | (829 | ) | |||||||
(1,229,753 | ) | (1,763,239 | ) | (30,206 | ) | (52,985 | ) | |||||||
– | (244 | ) | – | – | ||||||||||
(26,482,519 | ) | (51,539,029 | ) | (252,191 | ) | (300,110 | ) | |||||||
216,022,015 | 822,331,919 | 8,930,937 | 6,151,614 | |||||||||||
22,393,426 | 45,030,234 | 234,736 | 296,402 | |||||||||||
(443,854,732 | ) | (489,757,257 | ) | (2,039,069 | ) | (1,333,751 | ) | |||||||
(205,439,291 | ) | 377,604,896 | 7,126,604 | 5,114,265 | ||||||||||
(223,055,207 | ) | 335,381,724 | 7,357,160 | 4,925,089 | ||||||||||
$ | 1,450,534,585 | $ | 1,115,152,861 | $ | 12,577,474 | $ | 7,652,385 | |||||||
$ | 1,227,479,378 | $ | 1,450,534,585 | $ | 19,934,634 | $ | 12,577,474 |
See Notes to Financial Statements. | 401 |
Statements of Changes in Net Assets (concluded)
Short Duration Income Fund | ||||||||
INCREASE (DECREASE) IN NET ASSETS | For the Six Months Ended May 31, 2019 (unaudited) | For the Year Ended November 30, 2018 | ||||||
Operations: | ||||||||
Net investment income | $ | 668,698,165 | $ | 1,094,486,472 | ||||
Net realized gain (loss) on investments, futures contracts, forward currency exchange contracts, swaps and foreign currency related transactions | 57,466,975 | (97,078,633 | ) | |||||
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 | 765,814,085 | (605,099,402 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 1,491,979,225 | 392,308,437 | ||||||
Distributions to shareholders: | ||||||||
Class A | (171,715,404 | ) | (363,495,008 | ) | ||||
Class B | – | (22,448 | ) | |||||
Class C | (77,502,928 | ) | (174,572,094 | ) | ||||
Class F | (345,072,407 | ) | (587,998,014 | ) | ||||
Class F3 | (78,042,748 | ) | (103,474,314 | ) | ||||
Class I | (159,985,780 | ) | (279,774,438 | ) | ||||
Class P | – | – | ||||||
Class R2 | (346,038 | ) | (801,279 | ) | ||||
Class R3 | (5,793,218 | ) | (10,578,147 | ) | ||||
Class R4 | (2,160,227 | ) | (3,422,926 | ) | ||||
Class R5 | (1,169,938 | ) | (1,394,009 | ) | ||||
Class R6 | (13,054,030 | ) | (18,399,562 | ) | ||||
Class T | – | (245 | ) | |||||
Total distributions to shareholders | (854,842,718 | ) | (1,543,932,484 | ) | ||||
Capital share transactions (See Note 14): | ||||||||
Net proceeds from sales of shares | 14,798,096,013 | 18,963,750,231 | ||||||
Reinvestment of distributions | 731,058,792 | 1,328,550,979 | ||||||
Cost of shares reacquired | (9,292,027,714 | ) | (20,065,675,820 | ) | ||||
Net increase in net assets resulting from capital share transactions | 6,237,127,091 | 226,625,390 | ||||||
Net increase (decrease) in net assets | 6,874,263,598 | (924,998,657 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | $ | 41,546,970,365 | $ | 42,471,969,022 | ||||
End of period | $ | 48,421,233,963 | $ | 41,546,970,365 |
402 | See Notes to Financial Statements. |
Total Return Fund | Ultra Short Bond Fund | |||||||||||||
For the Six Months Ended May 31, 2019 (unaudited) | For the Year Ended November 30, 2018 | For the Six Months Ended May 31, 2019 (unaudited) | For the Year Ended November 30, 2018 | |||||||||||
$ | 54,135,241 | $ | 106,114,481 | $ | 203,062,089 | $ | 132,737,323 | |||||||
68,073,224 | (104,694,908 | ) | 1,139,358 | 301,251 | ||||||||||
100,241,173 | (63,872,504 | ) | 42,000,013 | (12,199,808 | ) | |||||||||
222,449,638 | (62,452,931 | ) | 246,201,460 | 120,838,766 | ||||||||||
(19,182,770 | ) | (39,057,947 | ) | (100,143,229 | ) | (76,825,237 | ) | |||||||
– | (6,057 | ) | – | – | ||||||||||
(1,630,008 | ) | (3,785,191 | ) | – | – | |||||||||
(14,846,932 | ) | (29,412,805 | ) | (80,994,631 | ) | (41,339,616 | ) | |||||||
(10,547,558 | ) | (22,589,621 | ) | (3,849,316 | ) | (3,216,832 | ) | |||||||
(6,988,730 | ) | (13,566,154 | ) | (18,448,687 | ) | (11,563,824 | ) | |||||||
(8,873 | ) | (16,486 | ) | – | – | |||||||||
(70,388 | ) | (164,614 | ) | – | – | |||||||||
(1,537,007 | ) | (3,448,996 | ) | – | – | |||||||||
(1,015,880 | ) | (2,141,936 | ) | – | – | |||||||||
(1,769,250 | ) | (2,960,527 | ) | (27,452 | ) | (8,858 | ) | |||||||
(4,657,205 | ) | (6,865,814 | ) | (90,593 | ) | (80,076 | ) | |||||||
– | (196 | ) | – | – | ||||||||||
(62,254,601 | ) | (124,016,344 | ) | (203,553,908 | ) | (133,034,443 | ) | |||||||
795,384,799 | 1,138,605,464 | 12,294,654,762 | 16,496,397,363 | |||||||||||
56,068,778 | 110,682,893 | 193,075,322 | 131,090,203 | |||||||||||
(710,946,145 | ) | (1,245,991,281 | ) | (8,420,503,102 | ) | (6,020,090,865 | ) | |||||||
140,507,432 | 3,297,076 | 4,067,226,982 | 10,607,396,701 | |||||||||||
300,702,469 | (183,172,199 | ) | 4,109,874,534 | 10,595,201,024 | ||||||||||
$ | 3,586,915,320 | $ | 3,770,087,519 | $ | 12,863,892,274 | $ | 2,268,691,250 | |||||||
$ | 3,887,617,789 | $ | 3,586,915,320 | $ | 16,973,766,808 | $ | 12,863,892,274 |
See Notes to Financial Statements. | 403 |
Financial Highlights (unaudited)
CONVERTIBLE 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 | ||||||||||||||||||||||||||||
5/31/2019(c) | $ | 13.16 | $ | 0.11 | $ | 0.57 | $ | 0.68 | $ | (0.43 | ) | $ | (0.39 | ) | $ | (0.82 | ) | |||||||||||
11/30/2018 | 13.31 | 0.16 | (0.03 | ) | 0.13 | (0.28 | ) | – | (0.28 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2019(c) | 13.08 | 0.07 | 0.56 | 0.63 | (0.39 | ) | (0.39 | ) | (0.78 | ) | ||||||||||||||||||
11/30/2018 | 13.23 | 0.07 | (0.03 | ) | 0.04 | (0.19 | ) | – | (0.19 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2019(c) | 13.17 | 0.12 | 0.56 | 0.68 | (0.44 | ) | (0.39 | ) | (0.83 | ) | ||||||||||||||||||
11/30/2018 | 13.32 | 0.18 | (0.04 | ) | 0.14 | (0.29 | ) | – | (0.29 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2019(c) | 13.25 | 0.13 | 0.56 | 0.69 | (0.45 | ) | (0.39 | ) | (0.84 | ) | ||||||||||||||||||
11/30/2018 | 13.39 | 0.20 | (0.04 | ) | 0.16 | (0.30 | ) | – | (0.30 | ) | ||||||||||||||||||
4/4/2017 to 11/30/2017(f) | 17.35 | 0.16 | (4.01 | ) | (3.85 | ) | (0.11 | ) | – | (0.11 | ) | |||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2019(c) | 13.24 | 0.13 | 0.57 | 0.70 | (0.45 | ) | (0.39 | ) | (0.84 | ) | ||||||||||||||||||
11/30/2018 | 13.39 | 0.19 | (0.04 | ) | 0.15 | (0.30 | ) | – | (0.30 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class P | ||||||||||||||||||||||||||||
5/31/2019(c) | 13.36 | 0.10 | 0.57 | 0.67 | (0.42 | ) | (0.39 | ) | (0.81 | ) | ||||||||||||||||||
11/30/2018 | 13.51 | 0.13 | (0.04 | ) | 0.09 | (0.24 | ) | – | (0.24 | ) | ||||||||||||||||||
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 | ) |
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 (%) | ||||||||||||||||||||
$ | 13.02 | 5.71 | (d) | 1.05 | (e) | 1.05 | (e) | 1.78 | (e) | $ | 131,668 | 81 | (d) | |||||||||||||
13.16 | 0.94 | 1.04 | 1.04 | 1.21 | 133,181 | 213 | ||||||||||||||||||||
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 | ||||||||||||||||||||
12.93 | 5.40 | (d) | 1.70 | (e) | 1.70 | (e) | 1.13 | (e) | 40,222 | 81 | (d) | |||||||||||||||
13.08 | 0.27 | 1.69 | 1.69 | 0.56 | 38,615 | 213 | ||||||||||||||||||||
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 | ||||||||||||||||||||
13.02 | 5.83 | (d) | 0.95 | (e) | 0.95 | (e) | 1.88 | (e) | 159,822 | 81 | (d) | |||||||||||||||
13.17 | 0.95 | 0.94 | 0.94 | 1.32 | 201,325 | 213 | ||||||||||||||||||||
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 | ||||||||||||||||||||
13.10 | 5.86 | (d) | 0.82 | (e) | 0.82 | (e) | 2.01 | (e) | 6,773 | 81 | (d) | |||||||||||||||
13.25 | 1.12 | 0.81 | 0.81 | 1.47 | 6,635 | 213 | ||||||||||||||||||||
13.39 | 10.06 | (d) | 0.81 | (e) | 0.82 | (e) | 1.84 | (e) | 3,884 | 224 | ||||||||||||||||
13.10 | 5.78 | (d) | 0.85 | (e) | 0.85 | (e) | 1.98 | (e) | 362,119 | 81 | (d) | |||||||||||||||
13.24 | 1.12 | 0.84 | 0.84 | 1.40 | 469,350 | 213 | ||||||||||||||||||||
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 | ||||||||||||||||||||
13.22 | 5.57 | (d) | 1.30 | (e) | 1.30 | (e) | 1.53 | (e) | 65 | 81 | (d) | |||||||||||||||
13.36 | 0.68 | 1.29 | 1.29 | 0.96 | 59 | 213 | ||||||||||||||||||||
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 | ||||||||||||||||||||
See Notes to Financial Statements. | 405 |
Financial Highlights (unaudited)(continued)
CONVERTIBLE 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 | ||||||||||||||||||||||||||||
5/31/2019(c) | $ | 13.35 | $ | 0.09 | $ | 0.57 | $ | 0.66 | $ | (0.41 | ) | $ | (0.39 | ) | $ | (0.80 | ) | |||||||||||
11/30/2018 | 13.49 | 0.11 | (0.03 | ) | 0.08 | (0.22 | ) | – | (0.22 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2019(c) | 13.11 | 0.09 | 0.57 | 0.66 | (0.42 | ) | (0.39 | ) | (0.81 | ) | ||||||||||||||||||
11/30/2018 | 13.26 | 0.13 | (0.04 | ) | 0.09 | (0.24 | ) | – | (0.24 | ) | ||||||||||||||||||
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 | ) | |||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2019(c) | 13.16 | 0.11 | 0.56 | 0.67 | (0.43 | ) | (0.39 | ) | (0.82 | ) | ||||||||||||||||||
11/30/2018 | 13.31 | 0.16 | (0.04 | ) | 0.12 | (0.27 | ) | – | (0.27 | ) | ||||||||||||||||||
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | 13.24 | 0.13 | 0.56 | 0.69 | (0.45 | ) | (0.39 | ) | (0.84 | ) | ||||||||||||||||||
11/30/2018 | 13.38 | 0.19 | (0.03 | ) | 0.16 | (0.30 | ) | – | (0.30 | ) | ||||||||||||||||||
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | 13.25 | 0.13 | 0.57 | 0.70 | (0.45 | ) | (0.39 | ) | (0.84 | ) | ||||||||||||||||||
11/30/2018 | 13.39 | 0.19 | (0.03 | ) | 0.16 | (0.30 | ) | – | (0.30 | ) | ||||||||||||||||||
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. |
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 (%) | ||||||||||||||||||||
$ | 13.21 | 5.48 | (d) | 1.45 | (e) | 1.45 | (e) | 1.39 | (e) | $ | 68 | 81 | (d) | |||||||||||||
13.35 | 0.57 | 1.44 | 1.44 | 0.79 | 70 | 213 | ||||||||||||||||||||
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 | ||||||||||||||||||||
12.96 | 5.50 | (d) | 1.35 | (e) | 1.35 | (e) | 1.48 | (e) | 9,114 | 81 | (d) | |||||||||||||||
13.11 | 0.65 | 1.34 | 1.34 | 0.94 | 8,548 | 213 | ||||||||||||||||||||
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 | ||||||||||||||||||||
13.01 | 5.69 | (d) | 1.10 | (e) | 1.10 | (e) | 1.73 | (e) | 76 | 81 | (d) | |||||||||||||||
13.16 | 0.88 | 1.09 | 1.09 | 1.17 | 64 | 213 | ||||||||||||||||||||
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 | ||||||||||||||||
13.09 | 5.87 | (d) | 0.85 | (e) | 0.85 | (e) | 2.04 | (e) | 528 | 81 | (d) | |||||||||||||||
13.24 | 1.10 | 0.83 | 0.83 | 1.43 | 150 | 213 | ||||||||||||||||||||
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 | ||||||||||||||||
13.11 | 5.86 | (d) | 0.82 | (e) | 0.82 | (e) | 1.95 | (e) | 3,688 | 81 | (d) | |||||||||||||||
13.25 | 1.20 | 0.81 | 0.81 | 1.39 | 4,558 | 213 | ||||||||||||||||||||
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. | 407 |
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | $ | 10.38 | $ | 0.13 | $ | 0.52 | $ | 0.65 | $ | (0.16 | ) | $ | – | $ | (0.16 | ) | ||||||||||||
11/30/2018 | 10.87 | 0.25 | (0.43 | ) | (0.18 | ) | (0.31 | ) | – | (0.31 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2019(c) | 10.34 | 0.10 | 0.51 | 0.61 | (0.13 | ) | – | (0.13 | ) | |||||||||||||||||||
11/30/2018 | 10.82 | 0.18 | (0.41 | ) | (0.23 | ) | (0.25 | ) | – | (0.25 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2019(c) | 10.38 | 0.14 | 0.51 | 0.65 | (0.16 | ) | – | (0.16 | ) | |||||||||||||||||||
11/30/2018 | 10.87 | 0.26 | (0.43 | ) | (0.17 | ) | (0.32 | ) | – | (0.32 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2019(c) | 10.38 | 0.15 | 0.51 | 0.66 | (0.17 | ) | – | (0.17 | ) | |||||||||||||||||||
11/30/2018 | 10.87 | 0.28 | (0.43 | ) | (0.15 | ) | (0.34 | ) | – | (0.34 | ) | |||||||||||||||||
4/4/2017 to 11/30/2017(f) | 10.84 | 0.15 | 0.06 | 0.21 | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2019(c) | 10.38 | 0.14 | 0.52 | 0.66 | (0.17 | ) | – | (0.17 | ) | |||||||||||||||||||
11/30/2018 | 10.86 | 0.28 | (0.42 | ) | (0.14 | ) | (0.34 | ) | – | (0.34 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||||
Class P | ||||||||||||||||||||||||||||
5/31/2019(c) | 10.52 | 0.20 | 0.49 | 0.69 | (0.17 | ) | – | (0.17 | ) | |||||||||||||||||||
11/30/2018 | 11.00 | 0.33 | (0.46 | ) | (0.13 | ) | (0.35 | ) | – | (0.35 | ) | |||||||||||||||||
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 | ) |
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 (%) | ||||||||||||||||||||
$ | 10.87 | 6.28 | (d) | 0.64 | (e) | 0.64 | (e) | 2.48 | (e) | $ | 437,728 | 406 | (d) | |||||||||||||
10.38 | (1.64 | ) | 0.62 | 0.69 | 2.36 | 405,998 | 615 | |||||||||||||||||||
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 | ||||||||||||||||||||
10.82 | 5.88 | (d) | 1.25 | (e) | 1.25 | (e) | 1.87 | (e) | 41,444 | 406 | (d) | |||||||||||||||
10.34 | (2.18 | ) | 1.24 | 1.32 | 1.72 | 41,820 | 615 | |||||||||||||||||||
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 | ||||||||||||||||||||
10.87 | 6.33 | (d) | 0.53 | (e) | 0.53 | (e) | 2.57 | (e) | 155,862 | 406 | (d) | |||||||||||||||
10.38 | (1.54 | ) | 0.52 | 0.60 | 2.43 | 128,716 | 615 | |||||||||||||||||||
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 | ||||||||||||||||||||
10.87 | 6.43 | (d) | 0.35 | (e) | 0.35 | (e) | 2.76 | (e) | 262,274 | 406 | (d) | |||||||||||||||
10.38 | (1.38 | ) | 0.34 | 0.41 | 2.63 | 237,638 | 615 | |||||||||||||||||||
10.87 | 1.99 | (d) | 0.35 | (e) | 0.55 | (e) | 2.14 | (e) | 300,983 | 466 | ||||||||||||||||
10.87 | 6.41 | (d) | 0.40 | (e) | 0.44 | (e) | 2.72 | (e) | 215,737 | 406 | (d) | |||||||||||||||
10.38 | (1.33 | ) | 0.39 | 0.48 | 2.60 | 194,836 | 615 | |||||||||||||||||||
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 | ||||||||||||||||||||
11.04 | 6.60 | (d) | 0.87 | (e) | 0.87 | (e) | 3.93 | (e) | – | (g) | 406 | (d) | ||||||||||||||
10.52 | (0.68 | ) | 0.88 | 0.88 | 3.23 | – | (g) | 615 | ||||||||||||||||||
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 |
See Notes to Financial Statements. | 409 |
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | $ | 10.38 | $ | 0.11 | $ | 0.52 | $ | 0.63 | $ | (0.14 | ) | $ | – | $ | (0.14 | ) | ||||||||||||
11/30/2018 | 10.87 | 0.21 | (0.43 | ) | (0.22 | ) | (0.27 | ) | – | (0.27 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2019(c) | 10.38 | 0.12 | 0.51 | 0.63 | (0.14 | ) | – | (0.14 | ) | |||||||||||||||||||
11/30/2018 | 10.87 | 0.22 | (0.43 | ) | (0.21 | ) | (0.28 | ) | – | (0.28 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2019(c) | 10.38 | 0.13 | 0.52 | 0.65 | (0.16 | ) | – | (0.16 | ) | |||||||||||||||||||
11/30/2018 | 10.87 | 0.25 | (0.43 | ) | (0.18 | ) | (0.31 | ) | – | (0.31 | ) | |||||||||||||||||
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | 10.38 | 0.14 | 0.52 | 0.66 | (0.17 | ) | – | (0.17 | ) | |||||||||||||||||||
11/30/2018 | 10.87 | 0.27 | (0.43 | ) | (0.16 | ) | (0.33 | ) | – | (0.33 | ) | |||||||||||||||||
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | 10.38 | 0.15 | 0.51 | 0.66 | (0.17 | ) | – | (0.17 | ) | |||||||||||||||||||
11/30/2018 | 10.86 | 0.28 | (0.42 | ) | (0.14 | ) | (0.34 | ) | – | (0.34 | ) | |||||||||||||||||
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. |
410 | 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 (%) | ||||||||||||||||||||
$ | 10.87 | 6.07 | (d) | 1.04 | (e) | 1.04 | (e) | 2.07 | (e) | $ | 550 | 406 | (d) | |||||||||||||
10.38 | (2.03 | ) | 1.02 | 1.10 | 1.95 | 632 | 615 | |||||||||||||||||||
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 | ||||||||||||||||||||
10.87 | 6.13 | (d) | 0.94 | (e) | 0.94 | (e) | 2.18 | (e) | 12,539 | 406 | (d) | |||||||||||||||
10.38 | (1.94 | ) | 0.92 | 0.99 | 2.05 | 11,965 | 615 | |||||||||||||||||||
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 | ||||||||||||||||||||
10.87 | 6.25 | (d) | 0.69 | (e) | 0.69 | (e) | 2.43 | (e) | 5,798 | 406 | (d) | |||||||||||||||
10.38 | (1.69 | ) | 0.67 | 0.73 | 2.34 | 8,196 | 615 | |||||||||||||||||||
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 | ||||||||||||||||
10.87 | 6.39 | (d) | 0.44 | (e) | 0.44 | (e) | 2.70 | (e) | 1,189 | 406 | (d) | |||||||||||||||
10.38 | (1.44 | ) | 0.42 | 0.48 | 2.58 | 811 | 615 | |||||||||||||||||||
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 | ||||||||||||||||
10.87 | 6.43 | (d) | 0.35 | (e) | 0.35 | (e) | 2.77 | (e) | 45,762 | 406 | (d) | |||||||||||||||
10.38 | (1.28 | ) | 0.34 | 0.41 | 2.65 | 42,302 | 615 | |||||||||||||||||||
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. | 411 |
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | $ | 14.41 | $ | 0.23 | $ | 0.67 | $ | 0.90 | $ | (0.27 | ) | $ | – | $ | (0.27 | ) | ||||||||||||
11/30/2018 | 15.14 | 0.47 | (0.64 | ) | (0.17 | ) | (0.56 | ) | – | (0.56 | ) | |||||||||||||||||
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | 14.42 | 0.18 | 0.67 | 0.85 | (0.22 | ) | – | (0.22 | ) | |||||||||||||||||||
11/30/2018 | 15.15 | 0.37 | (0.64 | ) | (0.27 | ) | (0.46 | ) | – | (0.46 | ) | |||||||||||||||||
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | 14.41 | 0.23 | 0.66 | 0.89 | (0.27 | ) | – | (0.27 | ) | |||||||||||||||||||
11/30/2018 | 15.14 | 0.48 | (0.64 | ) | (0.16 | ) | (0.57 | ) | – | (0.57 | ) | |||||||||||||||||
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | 14.42 | 0.24 | 0.66 | 0.90 | (0.28 | ) | – | (0.28 | ) | |||||||||||||||||||
11/30/2018 | 15.15 | 0.52 | (0.65 | ) | (0.13 | ) | (0.60 | ) | – | (0.60 | ) | |||||||||||||||||
4/4/2017 to 11/30/2017(g) | 15.08 | 0.30 | 0.12 | 0.42 | (0.35 | ) | – | (0.35 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2019(c) | 14.41 | 0.24 | 0.67 | 0.91 | (0.28 | ) | – | (0.28 | ) | |||||||||||||||||||
11/30/2018 | 15.14 | 0.50 | (0.64 | ) | (0.14 | ) | (0.59 | ) | – | (0.59 | ) | |||||||||||||||||
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | 14.41 | 0.20 | 0.67 | 0.87 | (0.24 | ) | – | (0.24 | ) | |||||||||||||||||||
11/30/2018 | 15.14 | 0.41 | (0.64 | ) | (0.23 | ) | (0.50 | ) | – | (0.50 | ) | |||||||||||||||||
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | 14.41 | 0.21 | 0.67 | 0.88 | (0.25 | ) | – | (0.25 | ) | |||||||||||||||||||
11/30/2018 | 15.13 | 0.43 | (0.64 | ) | (0.21 | ) | (0.51 | ) | – | (0.51 | ) | |||||||||||||||||
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 | ) |
412 | 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 (%) | ||||||||||||||||||||
$ | 15.04 | 6.28 | (d) | 0.68 | (e) | 1.54 | (e) | 3.08 | (e) | $ | 12,379 | 280 | (d) | |||||||||||||
14.41 | (1.16 | ) | 0.68 | 2.45 | 3.18 | 6,283 | 468 | |||||||||||||||||||
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 | ||||||||||||||||
15.05 | 5.96 | (d) | 1.32 | (e) | 2.21 | (e) | 2.47 | (e) | 969 | 280 | (d) | |||||||||||||||
14.42 | (1.83 | ) | 1.36 | 3.12 | 2.51 | 603 | 468 | |||||||||||||||||||
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 | ||||||||||||||||
15.03 | 6.25 | (d) | 0.58 | (e) | 1.21 | (e) | 3.14 | (e) | 42,266 | 280 | (d) | |||||||||||||||
14.41 | (1.07 | ) | 0.58 | 2.35 | 3.28 | 5,774 | 468 | |||||||||||||||||||
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 | ||||||||||||||||
15.04 | 6.39 | (d) | 0.47 | (e) | 1.40 | (e) | 3.29 | (e) | 11 | 280 | (d) | |||||||||||||||
14.42 | (0.83 | ) | 0.43 | 2.12 | 3.46 | 10 | 468 | |||||||||||||||||||
15.15 | 2.71 | (d) | 0.39 | (e) | 2.66 | (e) | 3.01 | (e) | 10 | 396 | ||||||||||||||||
15.04 | 6.40 | (d) | 0.47 | (e) | 1.42 | (e) | 3.32 | (e) | 126 | 280 | (d) | |||||||||||||||
14.41 | (0.95 | ) | 0.47 | 2.25 | 3.40 | 108 | 468 | |||||||||||||||||||
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 | ||||||||||||||||
15.04 | 6.08 | (d) | 1.08 | (e) | 2.02 | (e) | 2.72 | (e) | 28 | 280 | (d) | |||||||||||||||
14.41 | (1.56 | ) | 1.08 | 2.86 | 2.77 | 27 | 468 | |||||||||||||||||||
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 | ||||||||||||||||
15.04 | 6.13 | (d) | 0.98 | (e) | 1.93 | (e) | 2.81 | (e) | 29 | 280 | (d) | |||||||||||||||
14.41 | (1.45 | ) | 0.97 | 2.75 | 2.88 | 27 | 468 | |||||||||||||||||||
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. | 413 |
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | $ | 14.41 | $ | 0.22 | $ | 0.69 | $ | 0.91 | $ | (0.27 | ) | $ | – | $ | (0.27 | ) | ||||||||||||
11/30/2018 | 15.14 | 0.46 | (0.64 | ) | (0.18 | ) | (0.55 | ) | – | (0.55 | ) | |||||||||||||||||
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | 14.41 | 0.24 | 0.67 | 0.91 | (0.28 | ) | – | (0.28 | ) | |||||||||||||||||||
11/30/2018 | 15.14 | 0.50 | (0.64 | ) | (0.14 | ) | (0.59 | ) | – | (0.59 | ) | |||||||||||||||||
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | 14.41 | 0.24 | 0.67 | 0.91 | (0.28 | ) | – | (0.28 | ) | |||||||||||||||||||
11/30/2018 | 15.14 | 0.50 | (0.64 | ) | (0.14 | ) | (0.59 | ) | – | (0.59 | ) | |||||||||||||||||
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. |
414 | 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 (%) | ||||||||||||||||||||
$ | 15.05 | 6.26 | (d) | 0.73 | (e) | 1.68 | (e) | 3.05 | (e) | $ | 29 | 280 | (d) | |||||||||||||
14.41 | (1.21 | ) | 0.72 | 2.50 | 3.13 | 27 | 468 | |||||||||||||||||||
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 | ||||||||||||||||
15.04 | 6.39 | (d) | 0.48 | (e) | 1.43 | (e) | 3.31 | (e) | 29 | 280 | (d) | |||||||||||||||
14.41 | (0.97 | ) | 0.47 | 2.25 | 3.38 | 27 | 468 | |||||||||||||||||||
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 | ||||||||||||||||
15.04 | 6.40 | (d) | 0.47 | (e) | 1.41 | (e) | 3.31 | (e) | 29 | 280 | (d) | |||||||||||||||
14.41 | (0.93 | ) | 0.44 | 2.24 | 3.42 | 27 | 468 | |||||||||||||||||||
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. | 415 |
Financial Highlights (unaudited)(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 | ||||||||||||||||||||||||||||
5/31/2019(c) | $ | 9.32 | $ | 0.16 | $ | 0.58 | $ | 0.74 | $ | (0.20 | ) | $ | – | $ | (0.20 | ) | ||||||||||||
11/30/2018 | 10.06 | 0.31 | (0.64 | ) | (0.33 | ) | (0.40 | ) | (0.01 | ) | (0.41 | ) | ||||||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.17 | 0.13 | 0.30 | (0.24 | ) | – | (0.24 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2019(c) | 9.32 | 0.13 | 0.57 | 0.70 | (0.17 | ) | – | (0.17 | ) | |||||||||||||||||||
11/30/2018 | 10.06 | 0.23 | (0.63 | ) | (0.40 | ) | (0.33 | ) | (0.01 | ) | (0.34 | ) | ||||||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.13 | 0.12 | 0.25 | (0.19 | ) | – | (0.19 | ) | |||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2019(c) | 9.34 | 0.16 | 0.58 | 0.74 | (0.20 | ) | – | (0.20 | ) | |||||||||||||||||||
11/30/2018 | 10.08 | 0.31 | (0.63 | ) | (0.32 | ) | (0.41 | ) | (0.01 | ) | (0.42 | ) | ||||||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.18 | 0.14 | 0.32 | (0.24 | ) | – | (0.24 | ) | |||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2019(c) | 9.32 | 0.17 | 0.58 | 0.75 | (0.21 | ) | – | (0.21 | ) | |||||||||||||||||||
11/30/2018 | 10.06 | 0.34 | (0.64 | ) | (0.30 | ) | (0.43 | ) | (0.01 | ) | (0.44 | ) | ||||||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.19 | 0.13 | 0.32 | (0.26 | ) | – | (0.26 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2019(c) | 9.32 | 0.17 | 0.57 | 0.74 | (0.21 | ) | – | (0.21 | ) | |||||||||||||||||||
11/30/2018 | 10.06 | 0.32 | (0.63 | ) | (0.31 | ) | (0.42 | ) | (0.01 | ) | (0.43 | ) | ||||||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.19 | 0.12 | 0.31 | (0.25 | ) | – | (0.25 | ) | |||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
5/31/2019(c) | 9.32 | 0.14 | 0.58 | 0.72 | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||||
11/30/2018 | 10.06 | 0.27 | (0.64 | ) | (0.37 | ) | (0.36 | ) | (0.01 | ) | (0.37 | ) | ||||||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.15 | 0.12 | 0.27 | (0.21 | ) | – | (0.21 | ) | |||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2019(c) | 9.32 | 0.14 | 0.58 | 0.72 | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||||
11/30/2018 | 10.06 | 0.28 | (0.64 | ) | (0.36 | ) | (0.37 | ) | (0.01 | ) | (0.38 | ) | ||||||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.15 | 0.13 | 0.28 | (0.22 | ) | – | (0.22 | ) |
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 (%) | ||||||||||||||||||||
$ | 9.86 | 7.98 | (d) | 0.68 | (e) | 4.80 | (e) | 3.27 | (e) | $ | 536 | 27 | (d) | |||||||||||||
9.32 | (3.36 | ) | 0.68 | 4.54 | 3.17 | 368 | 109 | |||||||||||||||||||
10.06 | 3.01 | (d) | 0.68 | (e) | 3.99 | (e) | 2.80 | (e) | 311 | 88 | ||||||||||||||||
9.85 | 7.53 | (d) | 1.32 | (e) | 5.34 | (e) | 2.62 | (e) | 241 | 27 | (d) | |||||||||||||||
9.32 | (4.07 | ) | 1.43 | 5.17 | 2.39 | 71 | 109 | |||||||||||||||||||
10.06 | 2.52 | (d) | 1.48 | (e) | 4.75 | (e) | 2.02 | (e) | 102 | 88 | ||||||||||||||||
9.88 | 8.02 | (d) | 0.58 | (e) | 4.68 | (e) | 3.36 | (e) | 2,412 | 27 | (d) | |||||||||||||||
9.34 | (3.26 | ) | 0.58 | 4.20 | 3.21 | 1,501 | 109 | |||||||||||||||||||
10.08 | 3.27 | (d) | 0.58 | (e) | 3.82 | (e) | 2.89 | (e) | 2,614 | 88 | ||||||||||||||||
9.86 | 8.14 | (d) | 0.39 | (e) | 4.64 | (e) | 3.57 | (e) | 1,622 | 27 | (d) | |||||||||||||||
9.32 | (3.07 | ) | 0.37 | 4.28 | 3.46 | 1,501 | 109 | |||||||||||||||||||
10.06 | 3.20 | (d) | 0.38 | (e) | 3.67 | (e) | 3.10 | (e) | 1,548 | 88 | ||||||||||||||||
9.85 | 7.98 | (d) | 0.48 | (e) | 4.65 | (e) | 3.48 | (e) | 164 | 27 | (d) | |||||||||||||||
9.32 | (3.19 | ) | 0.48 | 4.16 | 3.30 | 144 | 109 | |||||||||||||||||||
10.06 | 3.13 | (d) | 0.48 | (e) | 3.78 | (e) | 3.00 | (e) | 52 | 88 | ||||||||||||||||
9.86 | 7.77 | (d) | 1.08 | (e) | 5.25 | (e) | 2.86 | (e) | 27 | 27 | (d) | |||||||||||||||
9.32 | (3.75 | ) | 1.08 | 4.92 | 2.76 | 25 | 109 | |||||||||||||||||||
10.06 | 2.76 | (d) | 1.08 | (e) | 4.38 | (e) | 2.40 | (e) | 26 | 88 | ||||||||||||||||
9.86 | 7.82 | (d) | 0.98 | (e) | 5.15 | (e) | 2.98 | (e) | 51 | 27 | (d) | |||||||||||||||
9.32 | (3.65 | ) | 0.98 | 4.87 | 2.87 | 47 | 109 | |||||||||||||||||||
10.06 | 2.82 | (d) | 0.97 | (e) | 4.20 | (e) | 2.49 | (e) | 39 | 88 |
See Notes to Financial Statements. | 417 |
Financial Highlights (unaudited)(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 R4 | ||||||||||||||||||||||||||||
5/31/2019(c) | $ | 9.32 | $ | 0.15 | $ | 0.59 | $ | 0.74 | $ | (0.20 | ) | $ | – | $ | (0.20 | ) | ||||||||||||
11/30/2018 | 10.06 | 0.30 | (0.63 | ) | (0.33 | ) | (0.40 | ) | (0.01 | ) | (0.41 | ) | ||||||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.17 | 0.13 | 0.30 | (0.24 | ) | – | (0.24 | ) | |||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
5/31/2019(c) | 9.32 | 0.17 | 0.58 | 0.75 | (0.21 | ) | – | (0.21 | ) | |||||||||||||||||||
11/30/2018 | 10.06 | 0.33 | (0.64 | ) | (0.31 | ) | (0.42 | ) | (0.01 | ) | (0.43 | ) | ||||||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.19 | 0.12 | 0.31 | (0.25 | ) | – | (0.25 | ) | |||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
5/31/2019(c) | 9.32 | 0.17 | 0.58 | 0.75 | (0.21 | ) | – | (0.21 | ) | |||||||||||||||||||
11/30/2018 | 10.06 | 0.34 | (0.64 | ) | (0.30 | ) | (0.43 | ) | (0.01 | ) | (0.44 | ) | ||||||||||||||||
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) | Unaudited. |
(d) | Not annualized. |
(e) | Annualized. |
(f) | Commenced on April 19, 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 (%) | ||||||||||||||||||||
$ | 9.86 | 7.96 | (d) | 0.73 | (e) | 4.90 | (e) | 3.22 | (e) | $ | 27 | 27 | (d) | |||||||||||||
9.32 | (3.41 | ) | 0.73 | 4.56 | 3.11 | 25 | 109 | |||||||||||||||||||
10.06 | 2.98 | (d) | 0.73 | (e) | 4.00 | (e) | 2.74 | (e) | 26 | 88 | ||||||||||||||||
9.86 | 8.09 | (d) | 0.48 | (e) | 4.65 | (e) | 3.47 | (e) | 27 | 27 | (d) | |||||||||||||||
9.32 | (3.17 | ) | 0.48 | 4.32 | 3.36 | 25 | 109 | |||||||||||||||||||
10.06 | 3.14 | (d) | 0.48 | (e) | 3.79 | (e) | 2.99 | (e) | 26 | 88 | ||||||||||||||||
9.86 | 8.14 | (d) | 0.39 | (e) | 4.64 | (e) | 3.57 | (e) | 1,622 | 27 | (d) | |||||||||||||||
9.32 | (3.07 | ) | 0.37 | 4.28 | 3.46 | 1,501 | 109 | |||||||||||||||||||
10.06 | 3.20 | (d) | 0.38 | (e) | 3.67 | (e) | 3.10 | (e) | 1,548 | 88 |
See Notes to Financial Statements. | 419 |
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | $ | 8.97 | $ | 0.25 | $ | (0.07 | ) | $ | 0.18 | $ | (0.25 | ) | $ | – | $ | (0.25 | ) | |||||||||||
11/30/2018 | 9.18 | 0.46 | (0.21 | ) | 0.25 | (0.46 | ) | – | (0.46 | ) | ||||||||||||||||||
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 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2019(c) | 8.98 | 0.22 | (0.07 | ) | 0.15 | (0.22 | ) | – | (0.22 | ) | ||||||||||||||||||
11/30/2018 | 9.18 | 0.40 | (0.20 | ) | 0.20 | (0.40 | ) | – | (0.40 | ) | ||||||||||||||||||
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 | ) | |||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2019(c) | 8.96 | 0.25 | (0.06 | ) | 0.19 | (0.26 | ) | – | (0.26 | ) | ||||||||||||||||||
11/30/2018 | 9.17 | 0.47 | (0.21 | ) | 0.26 | (0.47 | ) | – | (0.47 | ) | ||||||||||||||||||
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 | ) | |||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2019(c) | 8.98 | 0.26 | (0.07 | ) | 0.19 | (0.26 | ) | – | (0.26 | ) | ||||||||||||||||||
11/30/2018 | 9.19 | 0.49 | (0.22 | ) | 0.27 | (0.48 | ) | – | (0.48 | ) | ||||||||||||||||||
4/4/2017 to 11/30/2017(f) | 9.23 | 0.28 | (0.04 | ) | 0.24 | (0.28 | ) | – | (0.28 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2019(c) | 8.97 | 0.26 | (0.07 | ) | 0.19 | (0.26 | ) | – | (0.26 | ) | ||||||||||||||||||
11/30/2018 | 9.18 | 0.48 | (0.21 | ) | 0.27 | (0.48 | ) | – | (0.48 | ) | ||||||||||||||||||
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 | ) |
420 | 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 (%) | |||||||||||||||||
$ | 8.90 | 2.07 | (d) | 0.81 | (e) | 5.67 | (e) | $ | 2,943,774 | 30 | (d) | |||||||||||
8.97 | 2.74 | 0.79 | 5.05 | 3,653,385 | 68 | |||||||||||||||||
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 | |||||||||||||||||
8.91 | 1.87 | (d) | 1.44 | (e) | 5.05 | (e) | 1,434,065 | 30 | (d) | |||||||||||||
8.98 | 2.10 | 1.43 | 4.42 | 1,627,126 | 68 | |||||||||||||||||
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 | |||||||||||||||||
8.89 | 2.12 | (d) | 0.71 | (e) | 5.76 | (e) | 5,108,758 | 30 | (d) | |||||||||||||
8.96 | 2.84 | 0.69 | 5.17 | 6,725,819 | 68 | |||||||||||||||||
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 | |||||||||||||||||
8.91 | 2.21 | (d) | 0.54 | (e) | 5.94 | (e) | 196,839 | 30 | (d) | |||||||||||||
8.98 | 3.00 | 0.53 | 5.29 | 277,822 | 68 | |||||||||||||||||
9.19 | 2.67 | (d) | 0.54 | (e) | 4.68 | (e) | 203,910 | 81 | ||||||||||||||
8.90 | 2.17 | (d) | 0.61 | (e) | 5.86 | (e) | 1,903,766 | 30 | (d) | |||||||||||||
8.97 | 2.94 | 0.59 | 5.27 | 2,462,923 | 68 | |||||||||||||||||
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 |
See Notes to Financial Statements. | 421 |
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 | �� | |||||||||||||||||||||||||||
5/31/2019(c) | $ | 8.98 | $ | 0.23 | $ | (0.07 | ) | $ | 0.16 | $ | (0.23 | ) | $ | – | $ | (0.23 | ) | |||||||||||
11/30/2018 | 9.19 | 0.43 | (0.22 | ) | 0.21 | (0.42 | ) | – | (0.42 | ) | ||||||||||||||||||
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 | ) | |||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2019(c) | 8.97 | 0.24 | (0.07 | ) | 0.17 | (0.24 | ) | – | (0.24 | ) | ||||||||||||||||||
11/30/2018 | 9.18 | 0.44 | (0.22 | ) | 0.22 | (0.43 | ) | – | (0.43 | ) | ||||||||||||||||||
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 | ) | |||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2019(c) | 8.97 | 0.25 | (0.07 | ) | 0.18 | (0.25 | ) | – | (0.25 | ) | ||||||||||||||||||
11/30/2018 | 9.18 | 0.47 | (0.22 | ) | 0.25 | (0.46 | ) | – | (0.46 | ) | ||||||||||||||||||
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | 8.98 | 0.26 | (0.07 | ) | 0.19 | (0.26 | ) | – | (0.26 | ) | ||||||||||||||||||
11/30/2018 | 9.19 | 0.51 | (0.24 | ) | 0.27 | (0.48 | ) | – | (0.48 | ) | ||||||||||||||||||
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | 8.98 | 0.26 | (0.07 | ) | 0.19 | (0.26 | ) | – | (0.26 | ) | ||||||||||||||||||
11/30/2018 | 9.19 | 0.49 | (0.22 | ) | 0.27 | (0.48 | ) | – | (0.48 | ) | ||||||||||||||||||
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 | ) |
(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 (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | |||||||||||||||||
$ | 8.91 | 1.88 | (d) | 1.21 | (e) | 5.29 | (e) | $ | 1,751 | 30 | (d) | |||||||||||
8.98 | 2.35 | 1.19 | 4.68 | 1,579 | 68 | |||||||||||||||||
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 | |||||||||||||||||
8.90 | 1.92 | (d) | 1.11 | (e) | 5.39 | (e) | 54,926 | 30 | (d) | |||||||||||||
8.97 | 2.45 | 1.09 | 4.78 | 52,978 | 68 | |||||||||||||||||
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 | |||||||||||||||||
8.90 | 2.05 | (d) | 0.86 | (e) | 5.60 | (e) | 6,643 | 30 | (d) | |||||||||||||
8.97 | 2.70 | 0.85 | 5.16 | 21,747 | 68 | |||||||||||||||||
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 | ||||||||||||||
8.91 | 2.18 | (d) | 0.62 | (e) | 5.83 | (e) | 6,688 | 30 | (d) | |||||||||||||
8.98 | 2.96 | 0.61 | 5.62 | 44,385 | 68 | |||||||||||||||||
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 | ||||||||||||||
8.91 | 2.20 | (d) | 0.53 | (e) | 5.91 | (e) | 93,363 | 30 | (d) | |||||||||||||
8.98 | 3.01 | 0.53 | 5.35 | 63,275 | 68 | |||||||||||||||||
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 |
See Notes to Financial Statements. | 423 |
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | $ | 7.13 | $ | 0.20 | $ | 0.17 | $ | 0.37 | $ | (0.21 | ) | $ | – | $ | (0.21 | ) | ||||||||||||
11/30/2018 | 7.71 | 0.41 | (0.56 | ) | (0.15 | ) | (0.43 | ) | – | (0.43 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2019(c) | 7.09 | 0.17 | 0.18 | 0.35 | (0.19 | ) | – | (0.19 | ) | |||||||||||||||||||
11/30/2018 | 7.67 | 0.36 | (0.56 | ) | (0.20 | ) | (0.38 | ) | – | (0.38 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2019(c) | 7.12 | 0.20 | 0.17 | 0.37 | (0.21 | ) | – | (0.21 | ) | |||||||||||||||||||
11/30/2018 | 7.70 | 0.42 | (0.56 | ) | (0.14 | ) | (0.44 | ) | – | (0.44 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2019(c) | 7.16 | 0.21 | 0.17 | 0.38 | (0.22 | ) | – | (0.22 | ) | |||||||||||||||||||
11/30/2018 | 7.75 | 0.43 | (0.56 | ) | (0.13 | ) | (0.46 | ) | – | (0.46 | ) | |||||||||||||||||
4/4/2017 to 11/30/2017(f) | 7.65 | 0.28 | 0.12 | 0.40 | (0.30 | ) | – | (0.30 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2019(c) | 7.16 | 0.21 | 0.17 | 0.38 | (0.22 | ) | – | (0.22 | ) | |||||||||||||||||||
11/30/2018 | 7.74 | 0.43 | (0.56 | ) | (0.13 | ) | (0.45 | ) | – | (0.45 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class P | ||||||||||||||||||||||||||||
5/31/2019(c) | 7.23 | 0.20 | 0.17 | 0.37 | (0.21 | ) | – | (0.21 | ) | |||||||||||||||||||
11/30/2018 | 7.82 | 0.40 | (0.57 | ) | (0.17 | ) | (0.42 | ) | – | (0.42 | ) | |||||||||||||||||
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 | ) |
424 | 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 (%) | ||||||||||||||||||||
$ | 7.29 | 5.27 | (d) | 0.89 | (e) | 0.89 | (e) | 5.49 | (e) | $ | 1,171,165 | 43 | (d) | |||||||||||||
7.13 | (2.03 | ) | 0.90 | 0.90 | 5.48 | 1,126,386 | 107 | |||||||||||||||||||
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 | ||||||||||||||||||||
7.25 | 4.96 | (d) | 1.52 | (e) | 1.52 | (e) | 4.88 | (e) | 387,122 | 43 | (d) | |||||||||||||||
7.09 | (2.70 | ) | 1.55 | 1.55 | 4.84 | 410,469 | 107 | |||||||||||||||||||
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 | ||||||||||||||||||||
7.28 | 5.32 | (d) | 0.79 | (e) | 0.79 | (e) | 5.59 | (e) | 2,069,272 | 43 | (d) | |||||||||||||||
7.12 | (1.95 | ) | 0.80 | 0.80 | 5.58 | 2,082,549 | 107 | |||||||||||||||||||
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 | ||||||||||||||||||||
7.32 | 5.56 | (d) | 0.60 | (e) | 0.60 | (e) | 5.79 | (e) | 518,345 | 43 | (d) | |||||||||||||||
7.16 | (1.85 | ) | 0.60 | 0.60 | 5.77 | 507,646 | 107 | |||||||||||||||||||
7.75 | 5.28 | (d) | 0.62 | (e) | 0.62 | (e) | 5.45 | (e) | 449,538 | 93 | ||||||||||||||||
7.32 | 5.36 | (d) | 0.69 | (e) | 0.69 | (e) | 5.68 | (e) | 1,547,582 | 43 | (d) | |||||||||||||||
7.16 | (1.82 | ) | 0.70 | 0.70 | 5.66 | 1,412,203 | 107 | |||||||||||||||||||
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 | ||||||||||||||||||||
7.39 | 5.11 | (d) | 1.16 | (e) | 1.16 | (e) | 5.44 | (e) | 66 | 43 | (d) | |||||||||||||||
7.23 | (2.29 | ) | 1.15 | 1.15 | 5.24 | 333 | 107 | |||||||||||||||||||
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 |
See Notes to Financial Statements. | 425 |
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | $ | 7.17 | $ | 0.19 | $ | 0.17 | $ | 0.36 | $ | (0.20 | ) | $ | – | $ | (0.20 | ) | ||||||||||||
11/30/2018 | 7.76 | 0.38 | (0.57 | ) | (0.19 | ) | (0.40 | ) | – | (0.40 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2019(c) | 7.17 | 0.19 | 0.17 | 0.36 | (0.20 | ) | – | (0.20 | ) | |||||||||||||||||||
11/30/2018 | 7.75 | 0.39 | (0.56 | ) | (0.17 | ) | (0.41 | ) | – | (0.41 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2019(c) | 7.12 | 0.20 | 0.18 | 0.38 | (0.21 | ) | – | (0.21 | ) | |||||||||||||||||||
11/30/2018 | 7.71 | 0.41 | (0.57 | ) | (0.16 | ) | (0.43 | ) | – | (0.43 | ) | |||||||||||||||||
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | 7.15 | 0.21 | 0.18 | 0.39 | (0.22 | ) | – | (0.22 | ) | |||||||||||||||||||
11/30/2018 | 7.74 | 0.43 | (0.57 | ) | (0.14 | ) | (0.45 | ) | – | (0.45 | ) | |||||||||||||||||
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | 7.16 | 0.21 | 0.17 | 0.38 | (0.22 | ) | – | (0.22 | ) | |||||||||||||||||||
11/30/2018 | 7.75 | 0.43 | (0.56 | ) | (0.13 | ) | (0.46 | ) | – | (0.46 | ) | |||||||||||||||||
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 | ) |
(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. |
426 | 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 (%) | ||||||||||||||||||||
$ | 7.33 | 5.06 | (d) | 1.29 | (e) | 1.29 | (e) | 5.12 | (e) | $ | 13,104 | 43 | (d) | |||||||||||||
7.17 | (2.50 | ) | 1.29 | 1.29 | 5.10 | 14,435 | 107 | |||||||||||||||||||
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 | ||||||||||||||||||||
7.33 | 5.11 | (d) | 1.19 | (e) | 1.19 | (e) | 5.21 | (e) | 111,400 | 43 | (d) | |||||||||||||||
7.17 | (2.28 | ) | 1.20 | 1.20 | 5.20 | 107,532 | 107 | |||||||||||||||||||
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 | ||||||||||||||||||||
7.29 | 5.40 | (d) | 0.94 | (e) | 0.94 | (e) | 5.45 | (e) | 102,350 | 43 | (d) | |||||||||||||||
7.12 | (2.21 | ) | 0.95 | 0.95 | 5.45 | 91,526 | 107 | |||||||||||||||||||
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 | ||||||||||||||||
7.32 | 5.52 | (d) | 0.69 | (e) | 0.69 | (e) | 5.71 | (e) | 276,748 | 43 | (d) | |||||||||||||||
7.15 | (1.94 | ) | 0.70 | 0.70 | 5.70 | 266,231 | 107 | |||||||||||||||||||
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 | ||||||||||||||||
7.32 | 5.56 | (d) | 0.60 | (e) | 0.60 | (e) | 5.78 | (e) | 573,693 | 43 | (d) | |||||||||||||||
7.16 | (1.84 | ) | 0.60 | 0.61 | 5.78 | 451,009 | 107 | |||||||||||||||||||
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 |
See Notes to Financial Statements. | 427 |
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | $ | 2.67 | $ | 0.05 | $ | 0.15 | $ | 0.20 | $ | (0.06 | ) | $ | – | $ | (0.06 | ) | ||||||||||||
11/30/2018 | 2.86 | 0.10 | (0.18 | ) | (0.08 | ) | (0.11 | ) | – | (0.11 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2019(c) | 2.69 | 0.04 | 0.15 | 0.19 | (0.05 | ) | – | (0.05 | ) | |||||||||||||||||||
11/30/2018 | 2.87 | 0.08 | (0.16 | ) | (0.08 | ) | (0.10 | ) | – | (0.10 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2019(c) | 2.67 | 0.05 | 0.15 | 0.20 | (0.06 | ) | – | (0.06 | ) | |||||||||||||||||||
11/30/2018 | 2.86 | 0.10 | (0.17 | ) | (0.07 | ) | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2019(c) | 2.67 | 0.05 | 0.15 | 0.20 | (0.06 | ) | – | (0.06 | ) | |||||||||||||||||||
11/30/2018 | 2.86 | 0.10 | (0.17 | ) | (0.07 | ) | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||
4/4/2017 to 11/30/2017(f) | 2.82 | 0.06 | 0.05 | 0.11 | (0.07 | ) | – | (0.07 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2019(c) | 2.67 | 0.05 | 0.15 | 0.20 | (0.06 | ) | – | (0.06 | ) | |||||||||||||||||||
11/30/2018 | 2.86 | 0.10 | (0.17 | ) | (0.07 | ) | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||
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 | ) |
428 | 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 (%) | ||||||||||||||||||||
$ | 2.81 | 7.46 | (d) | 0.76 | (e) | 0.76 | (e) | 3.69 | (e) | $ | 918,122 | 51 | (d) | |||||||||||||
2.67 | (2.78 | ) | 0.77 | 0.81 | 3.46 | 836,525 | 117 | |||||||||||||||||||
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 | ||||||||||||||||||||
2.83 | 7.09 | (d) | 1.38 | (e) | 1.38 | (e) | 3.08 | (e) | 165,603 | 51 | (d) | |||||||||||||||
2.69 | (3.00 | ) | 1.39 | 1.43 | 2.82 | 166,762 | 117 | |||||||||||||||||||
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 | ||||||||||||||||||||
2.81 | 7.11 | (d) | 0.66 | (e) | 0.66 | (e) | 3.77 | (e) | 503,123 | 51 | (d) | |||||||||||||||
2.67 | (2.33 | ) | 0.67 | 0.71 | 3.55 | 434,593 | 117 | |||||||||||||||||||
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 | ||||||||||||||||||||
2.81 | 7.61 | (d) | 0.47 | (e) | 0.47 | (e) | 3.96 | (e) | 467,688 | 51 | (d) | |||||||||||||||
2.67 | (2.51 | ) | 0.47 | 0.51 | 3.75 | 394,646 | 117 | |||||||||||||||||||
2.86 | 3.99 | (d) | 0.46 | (e) | 0.60 | (e) | 3.25 | (e) | 274,355 | 205 | ||||||||||||||||
2.81 | 7.56 | (d) | 0.56 | (e) | 0.56 | (e) | 3.88 | (e) | 168,441 | 51 | (d) | |||||||||||||||
2.67 | (2.59 | ) | 0.57 | 0.60 | 3.66 | 165,736 | 117 | |||||||||||||||||||
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 |
See Notes to Financial Statements. | 429 |
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | $ | 2.70 | $ | 0.05 | $ | 0.14 | $ | 0.19 | $ | (0.05 | ) | $ | – | $ | (0.05 | ) | ||||||||||||
11/30/2018 | 2.88 | 0.09 | (0.17 | ) | (0.08 | ) | (0.10 | ) | – | (0.10 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2019(c) | 2.68 | 0.05 | 0.14 | 0.19 | (0.05 | ) | – | (0.05 | ) | |||||||||||||||||||
11/30/2018 | 2.87 | 0.09 | (0.18 | ) | (0.09 | ) | (0.10 | ) | – | (0.10 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2019(c) | 2.67 | 0.05 | 0.15 | 0.20 | (0.06 | ) | – | (0.06 | ) | |||||||||||||||||||
11/30/2018 | 2.86 | 0.10 | (0.18 | ) | (0.08 | ) | (0.11 | ) | – | (0.11 | ) | |||||||||||||||||
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | 2.68 | 0.05 | 0.14 | 0.19 | (0.06 | ) | – | (0.06 | ) | |||||||||||||||||||
11/30/2018 | 2.86 | 0.10 | (0.16 | ) | (0.06 | ) | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | 2.67 | 0.05 | 0.15 | 0.20 | (0.06 | ) | – | (0.06 | ) | |||||||||||||||||||
11/30/2018 | 2.86 | 0.10 | (0.17 | ) | (0.07 | ) | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||
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. |
430 | 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 (%) | ||||||||||||||||||||
$ | 2.84 | 7.19 | (d) | 1.16 | (e) | 1.16 | (e) | 3.30 | (e) | $ | 1,441 | 51 | (d) | |||||||||||||
2.70 | (2.76 | ) | 1.17 | 1.21 | 3.05 | 1,667 | 117 | |||||||||||||||||||
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 | ||||||||||||||||||||
2.82 | 7.28 | (d) | 1.06 | (e) | 1.06 | (e) | 3.40 | (e) | 50,896 | 51 | (d) | |||||||||||||||
2.68 | (3.05 | ) | 1.07 | 1.11 | 3.16 | 50,016 | 117 | |||||||||||||||||||
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 | ||||||||||||||||||||
2.81 | 7.44 | (d) | 0.81 | (e) | 0.81 | (e) | 3.64 | (e) | 6,534 | 51 | (d) | |||||||||||||||
2.67 | (2.83 | ) | 0.82 | 0.85 | 3.44 | 5,363 | 117 | |||||||||||||||||||
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 | ||||||||||||||||
2.81 | 7.17 | (d) | 0.56 | (e) | 0.56 | (e) | 3.89 | (e) | 5,249 | 51 | (d) | |||||||||||||||
2.68 | (2.23 | ) | 0.58 | 0.62 | 3.54 | 4,048 | 117 | |||||||||||||||||||
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 | ||||||||||||||||
2.81 | 7.61 | (d) | 0.47 | (e) | 0.47 | (e) | 3.98 | (e) | 40,985 | 51 | (d) | |||||||||||||||
2.67 | (2.50 | ) | 0.47 | 0.51 | 3.77 | 33,975 | 117 | |||||||||||||||||||
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. | 431 |
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | $ | 11.55 | $ | 0.17 | $ | (0.08 | ) | $ | 0.09 | $ | (0.23 | ) | $ | (0.23 | ) | $ | 11.41 | |||||||||||
11/30/2018 | 11.88 | 0.29 | (0.17 | ) | 0.12 | (0.45 | ) | (0.45 | ) | 11.55 | ||||||||||||||||||
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 | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2019(c) | 11.57 | 0.13 | (0.08 | ) | 0.05 | (0.19 | ) | (0.19 | ) | 11.43 | ||||||||||||||||||
11/30/2018 | 11.90 | 0.22 | (0.18 | ) | 0.04 | (0.37 | ) | (0.37 | ) | 11.57 | ||||||||||||||||||
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 | ||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2019(c) | 11.57 | 0.18 | (0.09 | ) | 0.09 | (0.24 | ) | (0.24 | ) | 11.42 | ||||||||||||||||||
11/30/2018 | 11.89 | 0.31 | (0.17 | ) | 0.14 | (0.46 | ) | (0.46 | ) | 11.57 | ||||||||||||||||||
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 | ||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2019(c) | 11.55 | 0.19 | (0.08 | ) | 0.11 | (0.25 | ) | (0.25 | ) | 11.41 | ||||||||||||||||||
11/30/2018 | 11.88 | 0.33 | (0.18 | ) | 0.15 | (0.48 | ) | (0.48 | ) | 11.55 | ||||||||||||||||||
4/4/2017 to 11/30/2017(f) | 12.17 | 0.19 | (0.15 | ) | 0.04 | (0.33 | ) | – | 11.88 | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2019(c) | 11.56 | 0.18 | (0.08 | ) | 0.10 | (0.24 | ) | (0.24 | ) | 11.42 | ||||||||||||||||||
11/30/2018 | 11.89 | 0.32 | (0.18 | ) | 0.14 | (0.47 | ) | (0.47 | ) | 11.56 | ||||||||||||||||||
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 | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
5/31/2019(c) | 11.55 | 0.15 | (0.08 | ) | 0.07 | (0.21 | ) | (0.21 | ) | 11.41 | ||||||||||||||||||
11/30/2018 | 11.87 | 0.24 | (0.16 | ) | 0.08 | (0.40 | ) | (0.40 | ) | 11.55 | ||||||||||||||||||
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 |
432 | 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 (%) | |||||||||||||||||
0.79 | (d) | 0.68 | (e) | 0.68 | (e) | 2.99 | (e) | $ | 129,116 | 19 | (d) | |||||||||||
0.95 | 0.69 | 0.69 | 2.48 | 171,109 | 108 | |||||||||||||||||
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 | ||||||||||||||||
0.47 | (d) | 1.33 | (e) | 1.33 | (e) | 2.35 | (e) | 38,503 | 19 | (d) | ||||||||||||
0.30 | 1.34 | 1.35 | 1.84 | 49,435 | 108 | |||||||||||||||||
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 | ||||||||||||||||
0.84 | (d) | 0.58 | (e) | 0.58 | (e) | 3.08 | (e) | 352,506 | 19 | (d) | ||||||||||||
1.14 | 0.58 | 0.59 | 2.60 | 489,043 | 108 | |||||||||||||||||
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 | ||||||||||||||||
0.93 | (d) | 0.41 | (e) | 0.41 | (e) | 3.26 | (e) | 18,635 | 19 | (d) | ||||||||||||
1.25 | 0.39 | 0.43 | 2.80 | 22,597 | 108 | |||||||||||||||||
0.33 | (d) | 0.38 | (e) | 0.53 | (e) | 2.47 | (e) | 13,427 | 64 | |||||||||||||
0.89 | (d) | 0.48 | (e) | 0.48 | (e) | 3.19 | (e) | 625,433 | 19 | (d) | ||||||||||||
1.16 | 0.48 | 0.49 | 2.71 | 661,340 | 108 | |||||||||||||||||
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 | ||||||||||||||||
0.59 | (d) | 1.08 | (e) | 1.08 | (e) | 2.59 | (e) | 152 | 19 | (d) | ||||||||||||
0.64 | 1.10 | 1.11 | 2.07 | 201 | 108 | |||||||||||||||||
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 |
See Notes to Financial Statements. | 433 |
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | $ | 11.56 | $ | 0.15 | $ | (0.09 | ) | $ | 0.06 | $ | (0.21 | ) | $ | (0.21 | ) | $ | 11.41 | |||||||||||
11/30/2018 | 11.88 | 0.26 | (0.17 | ) | 0.09 | (0.41 | ) | (0.41 | ) | 11.56 | ||||||||||||||||||
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 | ||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2019(c) | 11.56 | 0.17 | (0.08 | ) | 0.09 | (0.23 | ) | (0.23 | ) | 11.42 | ||||||||||||||||||
11/30/2018 | 11.88 | 0.30 | (0.18 | ) | 0.12 | (0.44 | ) | (0.44 | ) | 11.56 | ||||||||||||||||||
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | 11.55 | 0.18 | (0.08 | ) | 0.10 | (0.24 | ) | (0.24 | ) | 11.41 | ||||||||||||||||||
11/30/2018 | 11.88 | 0.33 | (0.19 | ) | 0.14 | (0.47 | ) | (0.47 | ) | 11.55 | ||||||||||||||||||
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | 11.56 | 0.19 | (0.09 | ) | 0.10 | (0.25 | ) | (0.25 | ) | 11.41 | ||||||||||||||||||
11/30/2018 | 11.88 | 0.33 | (0.17 | ) | 0.16 | (0.48 | ) | (0.48 | ) | 11.56 | ||||||||||||||||||
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 |
(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. |
434 | 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 (%) | ||||||||||||||||
0.64 | (d) | 0.98 | (e) | 0.98 | (e) | 2.69 | (e) | $ | 101 | 19 | (d) | |||||||||||
0.74 | 0.99 | 1.00 | 2.17 | 111 | 108 | |||||||||||||||||
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 | ||||||||||||||||
0.77 | (d) | 0.73 | (e) | 0.73 | (e) | 2.95 | (e) | 2,646 | 19 | (d) | ||||||||||||
1.00 | 0.73 | 0.73 | 2.52 | 2,006 | 108 | |||||||||||||||||
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 | |||||||||||||
0.89 | (d) | 0.48 | (e) | 0.48 | (e) | 3.21 | (e) | 299 | 19 | (d) | ||||||||||||
1.17 | 0.47 | 0.48 | 2.83 | 144 | 108 | |||||||||||||||||
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 | |||||||||||||
0.93 | (d) | 0.41 | (e) | 0.41 | (e) | 3.27 | (e) | 60,089 | 19 | (d) | ||||||||||||
1.34 | 0.39 | 0.43 | 2.81 | 54,549 | 108 | |||||||||||||||||
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 |
See Notes to Financial Statements. | 435 |
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 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 | ||||||||||||||||||||||||||||
5/31/2019(c) | $ | 9.72 | $ | 0.13 | $ | 0.16 | $ | 0.29 | $ | (0.15 | ) | $ | (0.15 | ) | $ | 9.86 | ||||||||||||
11/30/2018 | 9.92 | 0.22 | (0.12 | ) | 0.10 | (0.30 | ) | – | 9.72 | |||||||||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.09 | (0.02 | ) | 0.07 | (0.15 | ) | – | 9.92 | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2019(c) | 9.72 | 0.09 | 0.17 | 0.26 | (0.12 | ) | (0.12 | ) | 9.86 | |||||||||||||||||||
11/30/2018 | 9.92 | 0.14 | (0.11 | ) | 0.03 | (0.23 | ) | – | 9.72 | |||||||||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.04 | (0.02 | ) | 0.02 | (0.10 | ) | – | 9.92 | |||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2019(c) | 9.72 | 0.13 | 0.17 | 0.30 | (0.16 | ) | (0.16 | ) | 9.86 | |||||||||||||||||||
11/30/2018 | 9.92 | 0.23 | (0.12 | ) | 0.11 | (0.31 | ) | – | 9.72 | |||||||||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.09 | (0.01 | ) | 0.08 | (0.16 | ) | – | 9.92 | |||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2019(c) | 9.72 | 0.14 | 0.17 | 0.31 | (0.17 | ) | (0.17 | ) | 9.86 | |||||||||||||||||||
11/30/2018 | 9.92 | 0.24 | (0.11 | ) | 0.13 | (0.33 | ) | – | 9.72 | |||||||||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.11 | (0.02 | ) | 0.09 | (0.17 | ) | – | 9.92 | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2019(c) | 9.71 | 0.13 | 0.18 | 0.31 | (0.16 | ) | (0.16 | ) | 9.86 | |||||||||||||||||||
11/30/2018 | 9.92 | 0.24 | (0.13 | ) | 0.11 | (0.32 | ) | – | 9.71 | |||||||||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.10 | (0.02 | ) | 0.08 | (0.16 | ) | – | 9.92 | |||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
5/31/2019(c) | 9.72 | 0.11 | 0.16 | 0.27 | (0.13 | ) | (0.13 | ) | 9.86 | |||||||||||||||||||
11/30/2018 | 9.92 | 0.18 | (0.12 | ) | 0.06 | (0.26 | ) | – | 9.72 | |||||||||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.06 | (0.01 | ) | 0.05 | (0.13 | ) | – | 9.92 | |||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2019(c) | 9.72 | 0.11 | 0.17 | 0.28 | (0.14 | ) | (0.14 | ) | 9.86 | |||||||||||||||||||
11/30/2018 | 9.92 | 0.19 | (0.12 | ) | 0.07 | (0.27 | ) | – | 9.72 | |||||||||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.07 | (0.02 | ) | 0.05 | (0.13 | ) | – | 9.92 |
436 | 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 | |||||||||||||||||
3.03 | (d) | 0.60 | (e) | 2.16 | (e) | 2.56 | (e) | $ | 8,565 | 63 | (d) | |||||||||||
1.04 | 0.60 | 3.11 | 2.21 | 3,844 | 177 | |||||||||||||||||
0.70 | (d) | 0.60 | (e) | 3.42 | (e) | 1.43 | (e) | 1,775 | 216 | |||||||||||||
2.68 | (d) | 1.30 | (e) | 2.87 | (e) | 1.86 | (e) | 1,948 | 63 | (d) | ||||||||||||
0.27 | 1.39 | 3.88 | 1.42 | 1,083 | 177 | |||||||||||||||||
0.22 | (d) | 1.37 | (e) | 4.11 | (e) | 0.70 | (e) | 806 | 216 | |||||||||||||
3.08 | (d) | 0.50 | (e) | 2.10 | (e) | 2.66 | (e) | 5,663 | 63 | (d) | ||||||||||||
1.14 | 0.50 | 3.00 | 2.32 | 4,212 | 177 | |||||||||||||||||
0.77 | (d) | 0.50 | (e) | 3.37 | (e) | 1.52 | (e) | 1,894 | 216 | |||||||||||||
3.17 | (d) | 0.34 | (e) | 1.99 | (e) | 2.82 | (e) | 1,582 | 63 | (d) | ||||||||||||
1.34 | 0.32 | 2.87 | 2.47 | 1,533 | 177 | |||||||||||||||||
0.89 | (d) | 0.30 | (e) | 3.25 | (e) | 1.71 | (e) | 1,513 | 216 | |||||||||||||
3.23 | (d) | 0.40 | (e) | 2.03 | (e) | 2.75 | (e) | 137 | 63 | (d) | ||||||||||||
1.14 | 0.40 | 2.88 | 2.42 | 127 | 177 | |||||||||||||||||
0.83 | (d) | 0.40 | (e) | 3.35 | (e) | 1.61 | (e) | 50 | 216 | |||||||||||||
2.83 | (d) | 0.97 | (e) | 2.60 | (e) | 2.18 | (e) | 26 | 63 | (d) | ||||||||||||
0.65 | 1.00 | 3.47 | 1.79 | 25 | 177 | |||||||||||||||||
0.47 | (d) | 1.00 | (e) | 3.94 | (e) | 1.00 | (e) | 25 | 216 | |||||||||||||
2.88 | (d) | 0.90 | (e) | 2.50 | (e)�� | 2.28 | (e) | 72 | 63 | (d) | ||||||||||||
0.75 | 0.90 | 3.42 | 1.92 | 49 | 177 | |||||||||||||||||
0.53 | (d) | 0.90 | (e) | 3.84 | (e) | 1.09 | (e) | 25 | 216 |
See Notes to Financial Statements. | 437 |
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 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 R4 | ||||||||||||||||||||||||||||
5/31/2019(c) | $ | 9.72 | $ | 0.12 | $ | 0.17 | $ | 0.29 | $ | (0.15 | ) | $ | (0.15 | ) | $ | 9.86 | ||||||||||||
11/30/2018 | 9.92 | 0.21 | (0.11 | ) | 0.10 | (0.30 | ) | – | 9.72 | |||||||||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.08 | (0.01 | ) | 0.07 | (0.15 | ) | – | 9.92 | |||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
5/31/2019(c) | 9.72 | 0.13 | 0.17 | 0.30 | (0.16 | ) | (0.16 | ) | 9.86 | |||||||||||||||||||
11/30/2018 | 9.92 | 0.23 | (0.11 | ) | 0.12 | (0.32 | ) | – | 9.72 | |||||||||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.10 | (0.02 | ) | 0.08 | (0.16 | ) | – | 9.92 | |||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
5/31/2019(c) | 9.72 | 0.14 | 0.17 | 0.31 | (0.17 | ) | (0.17 | ) | 9.86 | |||||||||||||||||||
11/30/2018 | 9.92 | 0.24 | (0.11 | ) | 0.13 | (0.33 | ) | – | 9.72 | |||||||||||||||||||
4/19/2017 to 11/30/2017(f) | 10.00 | 0.11 | (0.02 | ) | 0.09 | (0.17 | ) | – | 9.92 |
(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 19, 2017. |
438 | 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 (%) | |||||||||||||||||
3.01 | (d) | 0.65 | (e) | 2.28 | (e) | 2.49 | (e) | $ | 26 | 63 | (d) | |||||||||||
1.00 | 0.65 | 3.13 | 2.14 | 25 | 177 | |||||||||||||||||
0.68 | (d) | 0.65 | (e) | 3.56 | (e) | 1.35 | (e) | 25 | 216 | |||||||||||||
3.14 | (d) | 0.40 | (e) | 2.02 | (e) | 2.75 | (e) | 26 | 63 | (d) | ||||||||||||
1.25 | 0.40 | 2.88 | 2.39 | 26 | 177 | |||||||||||||||||
0.83 | (d) | 0.40 | (e) | 3.34 | (e) | 1.60 | (e) | 25 | 216 | |||||||||||||
3.17 | (d) | 0.34 | (e) | 1.99 | (e) | 2.82 | (e) | 1,890 | 63 | (d) | ||||||||||||
1.34 | 0.32 | 2.87 | 2.48 | 1,653 | 177 | |||||||||||||||||
0.89 | (d) | 0.30 | (e) | 3.25 | (e) | 1.71 | (e) | 1,513 | 216 |
See Notes to Financial Statements. | 439 |
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | $ | 4.14 | $ | 0.06 | $ | 0.08 | $ | 0.14 | $ | (0.08 | ) | $ | – | $ | (0.08 | ) | ||||||||||||
11/30/2018 | 4.26 | 0.11 | (0.07 | ) | 0.04 | (0.16 | ) | – | (0.16 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2019(c) | 4.17 | 0.05 | 0.08 | 0.13 | (0.07 | ) | – | (0.07 | ) | |||||||||||||||||||
11/30/2018 | 4.29 | 0.09 | (0.08 | ) | 0.01 | (0.13 | ) | – | (0.13 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2019(c) | 4.14 | 0.06 | 0.08 | 0.14 | (0.08 | ) | – | (0.08 | ) | |||||||||||||||||||
11/30/2018 | 4.26 | 0.12 | (0.08 | ) | 0.04 | (0.16 | ) | – | (0.16 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2019(c) | 4.14 | 0.07 | 0.08 | 0.15 | (0.09 | ) | – | (0.09 | ) | |||||||||||||||||||
11/30/2018 | 4.26 | 0.12 | (0.07 | ) | 0.05 | (0.17 | ) | – | (0.17 | ) | ||||||||||||||||||
4/4/2017 to 11/30/2017(f) | 4.30 | 0.07 | – | 0.07 | (0.11 | ) | – | (0.11 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2019(c) | 4.14 | 0.07 | 0.07 | 0.14 | (0.08 | ) | – | (0.08 | ) | |||||||||||||||||||
11/30/2018 | 4.25 | 0.12 | (0.06 | ) | 0.06 | (0.17 | ) | – | (0.17 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
5/31/2019(c) | 4.14 | 0.05 | 0.08 | 0.13 | (0.07 | ) | – | (0.07 | ) | |||||||||||||||||||
11/30/2018 | 4.26 | 0.10 | (0.08 | ) | 0.02 | (0.14 | ) | – | (0.14 | ) | ||||||||||||||||||
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 | ) |
440 | 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 | 3.40 | (d) | 0.58 | (e) | 2.99 | (e) | $ | 9,530,369 | 31 | (d) | |||||||||||
4.14 | 0.96 | 0.59 | 2.70 | 8,735,221 | 71 | |||||||||||||||||
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 | |||||||||||||||||
4.23 | 3.07 | (d) | 1.20 | (e) | 2.38 | (e) | 4,799,871 | 31 | (d) | |||||||||||||
4.17 | 0.35 | 1.23 | 2.07 | 4,912,225 | 71 | |||||||||||||||||
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 | |||||||||||||||||
4.20 | 3.45 | (d) | 0.48 | (e) | 3.08 | (e) | 19,883,112 | 31 | (d) | |||||||||||||
4.14 | 1.06 | 0.49 | 2.80 | 15,833,169 | 71 | |||||||||||||||||
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 | |||||||||||||||||
4.20 | 3.78 | (d) | 0.32 | (e) | 3.24 | (e) | 3,908,918 | 31 | (d) | |||||||||||||
4.14 | 1.22 | 0.32 | 2.95 | 3,709,795 | 71 | |||||||||||||||||
4.26 | 1.62 | (d) | 0.33 | (e) | 2.55 | (e) | 2,914,992 | 67 | ||||||||||||||
4.20 | 3.50 | (d) | 0.38 | (e) | 3.19 | (e) | 8,997,918 | 31 | (d) | |||||||||||||
4.14 | 1.40 | 0.39 | 2.90 | 7,315,707 | 71 | |||||||||||||||||
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 | |||||||||||||||||
4.20 | 3.20 | (d) | 0.98 | (e) | 2.60 | (e) | 19,603 | 31 | (d) | |||||||||||||
4.14 | 0.56 | 0.99 | 2.30 | 20,433 | 71 | |||||||||||||||||
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 |
See Notes to Financial Statements. | 441 |
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 R3 | ||||||||||||||||||||||||||||
5/31/2019(c) | $ | 4.14 | $ | 0.06 | $ | 0.07 | $ | 0.13 | $ | (0.07 | ) | $ | – | $ | (0.07 | ) | ||||||||||||
11/30/2018 | 4.26 | 0.10 | (0.07 | ) | 0.03 | (0.15 | ) | – | (0.15 | ) | ||||||||||||||||||
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 | ) | |||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2019(c) | 4.15 | 0.06 | 0.08 | 0.14 | (0.08 | ) | – | (0.08 | ) | |||||||||||||||||||
11/30/2018 | 4.27 | 0.11 | (0.07 | ) | 0.04 | (0.16 | ) | – | (0.16 | ) | ||||||||||||||||||
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(g) | 4.44 | 0.04 | (0.05 | ) | (0.01 | ) | (0.07 | ) | – | (0.07 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
5/31/2019(c) | 4.13 | 0.07 | 0.07 | 0.14 | (0.08 | ) | – | (0.08 | ) | |||||||||||||||||||
11/30/2018 | 4.25 | 0.12 | (0.07 | ) | 0.05 | (0.17 | ) | – | (0.17 | ) | ||||||||||||||||||
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(g) | 4.43 | 0.05 | (0.06 | ) | (0.01 | ) | (0.07 | ) | – | (0.07 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
5/31/2019(c) | 4.14 | 0.07 | 0.08 | 0.15 | (0.09 | ) | – | (0.09 | ) | |||||||||||||||||||
11/30/2018 | 4.26 | 0.13 | (0.08 | ) | 0.05 | (0.17 | ) | – | (0.17 | ) | ||||||||||||||||||
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(g) | 4.43 | 0.05 | (0.05 | ) | – | (0.08 | ) | – | (0.08 | ) |
(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. |
442 | 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 | 3.25 | (d) | 0.88 | (e) | 2.71 | (e) | $ | 342,519 | 31 | (d) | |||||||||||
4.14 | 0.67 | 0.89 | 2.41 | 318,477 | 71 | |||||||||||||||||
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 | |||||||||||||||||
4.21 | 3.37 | (d) | 0.63 | (e) | 2.96 | (e) | 127,814 | 31 | (d) | |||||||||||||
4.15 | 0.93 | 0.64 | 2.68 | 105,445 | 71 | |||||||||||||||||
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 | 3.51 | (d) | 0.38 | (e) | 3.21 | (e) | 62,763 | 31 | (d) | |||||||||||||
4.13 | 1.16 | 0.39 | 2.94 | 45,264 | 71 | |||||||||||||||||
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 | ||||||||||||||
4.20 | 3.54 | (d) | 0.32 | (e) | 3.26 | (e) | 748,349 | 31 | (d) | |||||||||||||
4.14 | 1.23 | 0.33 | 3.00 | 551,235 | 71 | |||||||||||||||||
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 |
See Notes to Financial Statements. | 443 |
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | $ | 9.86 | $ | 0.14 | $ | 0.47 | $ | 0.61 | $ | (0.17 | ) | $ | – | $ | (0.17 | ) | ||||||||||||
11/30/2018 | 10.36 | 0.28 | (0.46 | ) | (0.18 | ) | (0.32 | ) | – | (0.32 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2019(c) | 9.85 | 0.11 | 0.46 | 0.57 | (0.13 | ) | – | (0.13 | ) | |||||||||||||||||||
11/30/2018 | 10.35 | 0.21 | (0.45 | ) | (0.24 | ) | (0.26 | ) | – | (0.26 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2019(c) | 9.86 | 0.15 | 0.46 | 0.61 | (0.17 | ) | – | (0.17 | ) | |||||||||||||||||||
11/30/2018 | 10.36 | 0.29 | (0.46 | ) | (0.17 | ) | (0.33 | ) | – | (0.33 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2019(c) | 9.87 | 0.16 | 0.45 | 0.61 | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||||
11/30/2018 | 10.36 | 0.31 | (0.44 | ) | (0.13 | ) | (0.36 | ) | – | (0.36 | ) | |||||||||||||||||
4/4/2017 to 11/30/2017(f) | 10.33 | 0.18 | 0.05 | 0.23 | (0.20 | ) | – | (0.20 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2019(c) | 9.88 | 0.16 | 0.46 | 0.62 | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||||
11/30/2018 | 10.38 | 0.30 | (0.45 | ) | (0.15 | ) | (0.35 | ) | – | (0.35 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||||
Class P | ||||||||||||||||||||||||||||
5/31/2019(c) | 9.91 | 0.13 | 0.46 | 0.59 | (0.15 | ) | – | (0.15 | ) | |||||||||||||||||||
11/30/2018 | 10.41 | 0.25 | (0.45 | ) | (0.20 | ) | (0.30 | ) | – | (0.30 | ) | |||||||||||||||||
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 | ) |
444 | 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 (%) | ||||||||||||||||||||
$ | 10.30 | 6.18 | (d) | 0.67 | (e) | 0.67 | (e) | 2.85 | (e) | $ | 1,218,560 | 351 | (d) | |||||||||||||
9.86 | (1.71 | ) | 0.68 | 0.72 | 2.74 | 1,150,292 | 643 | |||||||||||||||||||
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 | ||||||||||||||||||||
10.29 | 5.86 | (d) | 1.28 | (e) | 1.28 | (e) | 2.24 | (e) | 120,925 | 351 | (d) | |||||||||||||||
9.85 | (2.32 | ) | 1.30 | 1.35 | 2.10 | 123,735 | 643 | |||||||||||||||||||
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 | ||||||||||||||||||||
10.30 | 6.23 | (d) | 0.57 | (e) | 0.57 | (e) | 2.94 | (e) | 941,956 | 351 | (d) | |||||||||||||||
9.86 | (1.61 | ) | 0.58 | 0.62 | 2.83 | 822,274 | 643 | |||||||||||||||||||
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 | ||||||||||||||||||||
10.30 | 6.23 | (d) | 0.37 | (e) | 0.37 | (e) | 3.15 | (e) | 604,880 | 351 | (d) | |||||||||||||||
9.87 | (1.31 | ) | 0.37 | 0.40 | 3.05 | 632,109 | 643 | |||||||||||||||||||
10.36 | 2.22 | (d) | 0.35 | (e) | 0.48 | (e) | 2.58 | (e) | 581,363 | 472 | ||||||||||||||||
10.32 | 6.29 | (d) | 0.43 | (e) | 0.47 | (e) | 3.09 | (e) | 413,127 | 351 | (d) | |||||||||||||||
9.88 | (1.48 | ) | 0.45 | 0.52 | 2.97 | 376,595 | 643 | |||||||||||||||||||
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 | ||||||||||||||||||||
10.35 | 6.03 | (d) | 0.92 | (e) | 0.92 | (e) | 2.61 | (e) | 618 | 351 | (d) | |||||||||||||||
9.91 | (1.93 | ) | 0.93 | 0.97 | 2.49 | 555 | 643 | |||||||||||||||||||
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 |
See Notes to Financial Statements. | 445 |
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | $ | 9.86 | $ | 0.12 | $ | 0.46 | $ | 0.58 | $ | (0.15 | ) | $ | – | $ | (0.15 | ) | ||||||||||||
11/30/2018 | 10.36 | 0.23 | (0.45 | ) | (0.22 | ) | (0.28 | ) | – | (0.28 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2019(c) | 9.86 | 0.13 | 0.45 | 0.58 | (0.15 | ) | – | (0.15 | ) | |||||||||||||||||||
11/30/2018 | 10.36 | 0.24 | (0.45 | ) | (0.21 | ) | (0.29 | ) | – | (0.29 | ) | |||||||||||||||||
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 | ) | |||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2019(c) | 9.86 | 0.14 | 0.46 | 0.60 | (0.16 | ) | – | (0.16 | ) | |||||||||||||||||||
11/30/2018 | 10.36 | 0.27 | (0.45 | ) | (0.18 | ) | (0.32 | ) | – | (0.32 | ) | |||||||||||||||||
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | 9.86 | 0.15 | 0.47 | 0.62 | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||||
11/30/2018 | 10.36 | 0.30 | (0.46 | ) | (0.16 | ) | (0.34 | ) | – | (0.34 | ) | |||||||||||||||||
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 | ||||||||||||||||||||||||||||
5/31/2019(c) | 9.87 | 0.16 | 0.46 | 0.62 | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||||
11/30/2018 | 10.37 | 0.31 | (0.45 | ) | (0.14 | ) | (0.36 | ) | – | (0.36 | ) | |||||||||||||||||
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 | ) |
(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. |
446 | 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 (%) | ||||||||||||||||||||
$ | 10.29 | 5.87 | (d) | 1.07 | (e) | 1.07 | (e) | 2.45 | (e) | $ | 4,622 | 351 | (d) | |||||||||||||
9.86 | (2.10 | ) | 1.08 | 1.13 | 2.31 | 4,898 | 643 | |||||||||||||||||||
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 | ||||||||||||||||||||
10.29 | 5.92 | (d) | 0.97 | (e) | 0.97 | (e) | 2.55 | (e) | 103,726 | 351 | (d) | |||||||||||||||
9.86 | (2.00 | ) | 0.98 | 1.02 | 2.43 | 107,380 | 643 | |||||||||||||||||||
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 | ||||||||||||||||||||
10.30 | 6.15 | (d) | 0.72 | (e) | 0.72 | (e) | 2.81 | (e) | 65,781 | 351 | (d) | |||||||||||||||
9.86 | (1.76 | ) | 0.73 | 0.77 | 2.70 | 63,160 | 643 | |||||||||||||||||||
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 | ||||||||||||||||
10.30 | 6.28 | (d) | 0.47 | (e) | 0.47 | (e) | 3.07 | (e) | 118,931 | 351 | (d) | |||||||||||||||
9.86 | (1.51 | ) | 0.48 | 0.52 | 2.94 | 85,701 | 643 | |||||||||||||||||||
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 | ||||||||||||||||
10.31 | 6.33 | (d) | 0.37 | (e) | 0.37 | (e) | 3.16 | (e) | 294,493 | 351 | (d) | |||||||||||||||
9.87 | (1.40 | ) | 0.37 | 0.40 | 3.07 | 220,216 | 643 | |||||||||||||||||||
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 |
See Notes to Financial Statements. | 447 |
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 | Total distri- butions | Net asset value, end of period | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
5/31/2019(c) | $ | 10.00 | $ | 0.13 | $ | 0.02 | $ | 0.15 | $ | (0.13 | ) | $ | (0.13 | ) | $ | 10.02 | ||||||||||||
11/30/2018 | 10.01 | 0.21 | (0.02 | ) | 0.19 | (0.20 | ) | (0.20 | ) | 10.00 | ||||||||||||||||||
11/30/2017 | 10.00 | 0.13 | – | 0.13 | (0.12 | ) | (0.12 | ) | 10.01 | |||||||||||||||||||
11/30/2016(f) | 10.00 | 0.01 | 0.01 | 0.02 | (0.02 | ) | (0.02 | ) | 10.00 | |||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2019(c) | 10.00 | 0.13 | 0.02 | 0.15 | (0.13 | ) | (0.13 | ) | 10.02 | |||||||||||||||||||
11/30/2018 | 10.01 | 0.22 | (0.02 | ) | 0.20 | (0.21 | ) | (0.21 | ) | 10.00 | ||||||||||||||||||
11/30/2017 | 10.00 | 0.13 | – | 0.13 | (0.12 | ) | (0.12 | ) | 10.01 | |||||||||||||||||||
11/30/2016(f) | 10.00 | 0.01 | 0.01 | 0.02 | (0.02 | ) | (0.02 | ) | 10.00 | |||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2019(c) | 10.00 | 0.14 | 0.02 | 0.16 | (0.14 | ) | (0.14 | ) | 10.02 | |||||||||||||||||||
11/30/2018 | 10.01 | 0.23 | (0.02 | ) | 0.21 | (0.22 | ) | (0.22 | ) | 10.00 | ||||||||||||||||||
4/4/2017 to 11/30/2017(g) | 10.01 | 0.10 | – | 0.10 | (0.10 | ) | (0.10 | ) | 10.01 | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2019(c) | 9.99 | 0.14 | 0.03 | 0.17 | (0.14 | ) | (0.14 | ) | 10.02 | |||||||||||||||||||
11/30/2018 | 10.01 | 0.23 | (0.03 | ) | 0.20 | (0.22 | ) | (0.22 | ) | 9.99 | ||||||||||||||||||
11/30/2017 | 10.00 | 0.15 | – | 0.15 | (0.14 | ) | (0.14 | ) | 10.01 | |||||||||||||||||||
11/30/2016(f) | 10.00 | 0.01 | 0.01 | 0.02 | (0.02 | ) | (0.02 | ) | 10.00 | |||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
5/31/2019(c) | 10.00 | 0.14 | 0.02 | 0.16 | (0.14 | ) | (0.14 | ) | 10.02 | |||||||||||||||||||
11/30/2018 | 10.01 | 0.23 | (0.02 | ) | 0.21 | (0.22 | ) | (0.22 | ) | 10.00 | ||||||||||||||||||
11/30/2017 | 10.00 | 0.14 | 0.01 | 0.15 | (0.14 | ) | (0.14 | ) | 10.01 | |||||||||||||||||||
11/30/2016(f) | 10.00 | 0.01 | 0.01 | 0.02 | (0.02 | ) | (0.02 | ) | 10.00 | |||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
5/31/2019(c) | 10.00 | 0.14 | 0.02 | 0.16 | (0.14 | ) | (0.14 | ) | 10.02 | |||||||||||||||||||
11/30/2018 | 10.01 | 0.24 | (0.03 | ) | 0.21 | (0.22 | ) | (0.22 | ) | 10.00 | ||||||||||||||||||
11/30/2017 | 10.00 | 0.14 | 0.01 | 0.15 | (0.14 | ) | (0.14 | ) | 10.01 | |||||||||||||||||||
11/30/2016(f) | 10.00 | 0.01 | 0.01 | 0.02 | (0.02 | ) | (0.02 | ) | 10.00 |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for Class A 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 October 12, 2016. |
(g) | Commenced on April 4, 2017. |
448 | 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 (%) | |||||||||||||||||
1.61 | (d) | 0.41 | (e) | 0.47 | (e) | 2.58 | (e) | $ | 8,688,100 | 20 | (d) | |||||||||||
1.84 | 0.40 | 0.49 | 2.11 | 6,688,131 | 23 | |||||||||||||||||
1.30 | 0.40 | 0.51 | 1.28 | 1,550,462 | 23 | |||||||||||||||||
0.15 | (d) | 0.40 | (e) | 3.62 | (e) | 0.82 | (e) | 5,297 | 2 | |||||||||||||
1.53 | (d) | 0.36 | (e) | 0.42 | (e) | 2.63 | (e) | 6,450,217 | 20 | (d) | ||||||||||||
1.98 | 0.35 | 0.44 | 2.18 | 4,603,442 | 23 | |||||||||||||||||
1.34 | 0.35 | 0.44 | 1.32 | 552,335 | 23 | |||||||||||||||||
0.16 | (d) | 0.35 | (e) | 3.57 | (e) | 0.86 | (e) | 250 | 2 | |||||||||||||
1.60 | (d) | 0.23 | (e) | 0.28 | (e) | 2.77 | (e) | 260,032 | 20 | (d) | ||||||||||||
2.13 | 0.22 | 0.30 | 2.27 | 271,727 | 23 | |||||||||||||||||
0.96 | (d) | 0.21 | (e) | 0.34 | (e) | 1.50 | (e) | 50,096 | 23 | |||||||||||||
1.68 | (d) | 0.26 | (e) | 0.32 | (e) | 2.73 | (e) | 1,567,184 | 20 | (d) | ||||||||||||
1.99 | 0.25 | 0.35 | 2.32 | 1,291,802 | 23 | |||||||||||||||||
1.46 | 0.25 | 0.39 | 1.45 | 115,193 | 23 | |||||||||||||||||
0.17 | (d) | 0.25 | (e) | 3.47 | (e) | 0.96 | (e) | 4,631 | 2 | |||||||||||||
1.59 | (d) | 0.26 | (e) | 0.32 | (e) | 2.76 | (e) | 2,373 | 20 | (d) | ||||||||||||
2.11 | 0.25 | 0.35 | 2.29 | 1,716 | 23 | |||||||||||||||||
1.48 | 0.25 | 0.53 | 1.35 | 292 | 23 | |||||||||||||||||
0.17 | (d) | 0.25 | (e) | 3.47 | (e) | 0.96 | (e) | 250 | 2 | |||||||||||||
1.59 | (d) | 0.23 | (e) | 0.28 | (e) | 2.74 | (e) | 5,860 | 20 | (d) | ||||||||||||
2.13 | 0.23 | 0.30 | 2.35 | 7,075 | 23 | |||||||||||||||||
1.53 | 0.20 | 0.50 | 1.41 | 314 | 23 | |||||||||||||||||
0.18 | (d) | 0.20 | (e) | 3.44 | (e) | 1.01 | (e) | 250 | 2 |
See Notes to Financial Statements. | 449 |
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 fifteen funds as of May 31, 2019. This report covers the following twelve funds (separately, a “Fund” and collectively, the “Funds”) and their respective active share classes at May 31, 2019:
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, and R6 | |
Lord Abbett High Yield Fund (“High Yield Fund”) | A, C, F, F3, I, P, R2, R3, R4, R5, and R6 | |
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, and R6 | |
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, and R6 | |
Lord Abbett Total Return Fund (“Total Return Fund”) | A, C, F, F3, I, P, R2, R3, R4, R5, and R6 | |
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. The Funds no longer issue Class T shares for purchase.
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 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); and Class C shares redeemed before the first anniversary of purchase. 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 day thereafter) following the tenth anniversary of the month on which the purchase order was accepted.
450
Notes to Financial Statements (unaudited)(continued)
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. | |
Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value. |
451
Notes to Financial Statements (unaudited)(continued)
(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, 2015 through November 30, 2018. 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, C, F, P, R2, R3 and R4 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 translation of assets and liabilities denominated in foreign currencies 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 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 |
452
Notes to Financial Statements (unaudited)(continued)
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. |
(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 |
453
Notes to Financial Statements (unaudited)(continued)
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, 2019, 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% | 85,361 | 1,322,693 | |
Income Fund | 6.00% | 2,216 | 233,416 | |
Total Return Fund | 6.00% | 13,191 | 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 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”). |
454
Notes to Financial Statements (unaudited)(continued)
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, 2019, the following Funds had unfunded loan commitments: |
Unfunded Loans | Core Plus Bond Fund | Floating Rate Fund | High Yield Fund | Income Fund | Inflation Focused Fund | Short Duration Income Fund | |||||||||||||||||||
Bulldog Purchaser Inc. 1st Lien Delayed Draw Term Loan | $ | – | $ | 736,218 | $ | – | $ | – | $ | – | $ | – | |||||||||||||
Heartland Dental, LLC Delayed Draw Term Loan | – | 369,152 | – | – | – | – | |||||||||||||||||||
Mavis Tire Express Services Corp. 1st Lien Delayed Draw Term Loan | 7,866 | 4,170,936 | 1,227,122 | – | – | – | |||||||||||||||||||
Nexstar Media Group, Inc. Bridge Term Loan | – | – | 16,026,000 | – | – | – | |||||||||||||||||||
NMN Holdings III Corp. 1st Lien Delayed Draw Term Loan | – | 4,213,475 | – | – | – | – | |||||||||||||||||||
PG&E Corp. DIP Delayed Draw Term Loan | – | – | 2,151,000 | 147,000 | 220,000 | 7,347,000 | |||||||||||||||||||
Total | $ | 7,866 | $ | 9,489,781 | $ | 19,404,122 | $ | 147,000 | $ | 220,000 | $ | 7,347,000 |
(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 swap contracts 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 swaps contracts 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 |
455
Notes to Financial Statements (unaudited)(continued)
(“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 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 |
456
Notes to Financial Statements (unaudited)(continued)
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) | Interest Rate Swaps–Each Fund may enter into interest rate swap agreements. Pursuant to interest rate swap agreements, a Fund either makes floating-rate payments to the counterparty (or Central counterparty clearing house (“CCP”) in the case of centrally cleared swaps) based on a benchmark interest rate in exchange for fixed-rate payments or a Fund makes fixed-rate payments to the counterparty (or CCP in the case of a centrally cleared swap) in exchange for payments on a floating benchmark interest rate. Payments received or made, including amortization of upfront payments/receipts, are recorded as realized gains or losses. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains or losses. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. The value of the swap is determined by changes in the relationship between two rates of interest. A Fund is exposed to credit loss in the event of non-performance by the swap counterparty. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP. Risk may also arise from movements in interest rates. |
(t) | 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). |
457
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, 2019 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 | Income Fund | |||
First $1 billion | .70% | First $3 billion | .38% | |
Next $1 billion | .60% | Next $7 billion | .35% | |
Over $2 billion | .57% | Over $10 billion | .34% | |
Core Fixed Income Fund | Inflation Focused Fund | |||
First $1 billion | .24% | First $2 billion | .30% | |
Next $1 billion | .21% | Next $3 billion | .28% | |
Over $2 billion | .20% | Over $5 billion | .26% | |
Core Plus Bond Fund | Short Duration Core Bond Fund | |||
First $4 billion | .28% | First $1 billion | .30% | |
Next $11 billion | .26% | Next $1 billion | .25% | |
Over $15 billion | .25% | Over $2 billion | .20% | |
Corporate Bond Fund | Short Duration Income Fund | |||
First $2 billion | .40% | First $1 billion | .35% | |
Over $2 billion | .35% | Next $1 billion | .30% | |
Over $2 billion | .25% | |||
Floating Rate Fund | ||||
First $1 billion | .50% | Total Return Fund | ||
Over $1 billion | .45% | First $4 billion | .28% | |
Next $11 billion | .26% | |||
High Yield Fund | Over $15 billion | .25% | ||
First $1 billion | .60% | |||
Next $1 billion | .55% | Ultra Short Bond Fund | .20% | |
Over $2 billion | .50% |
458
Notes to Financial Statements (unaudited)(continued)
For the six months ended May 31, 2019, 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 | .38% | |
Inflation Focused Fund | .30% | |
Short Duration Core Bond Fund | .00% | |
Short Duration Income Fund | .25% | |
Total Return Fund | .28% | |
Ultra Short Bond Fund | .17% |
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, 2019 and continuing through March 31, 2020, Lord Abbett has contractually agreed to waive its fees and reimburse expenses to the extent necessary to limit total net annual operating expenses for each class, excluding 12b-1 fees, to the following annual rates:
Effective April 1, 2019 | Prior to April 1, 2019 | |||||||||
Classes* | Classes* | |||||||||
Fund | A, C, F, I, P, R2, R3, R4 and R5 | F3 and R6 | A, C, F, P, R2, R3, R4 and R5 | I | F3 and R6 | |||||
Core Plus Bond Fund | .48% | .46% | .48% | .46% | .47% | |||||
Corporate Bond Fund | .48% | .43% | .48% | .48% | .37% | |||||
Short Duration Core Bond Fund | .40% | .38% | .40% | .40% | .32% | |||||
Ultra Short Bond Fund | .27% | .22% | .25% | .25% | .23% |
* | If applicable |
For the period ended May 31, 2019 and continuing through March 31, 2020, Lord Abbett has contractually agreed to waive Core Fixed Income Fund’s and Total Return Fund’s Class I shareholder servicing expenses at an annual rate of 0.04% of the Fund’s average daily net assets.
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, C, F, P, R2, R3 and R4 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:
459
Notes to Financial Statements (unaudited)(continued)
Fees* | Class A | Class C(1) | Class F(2) | Class P | Class R2 | Class R3 | Class R4 | |||||||
Service | .15% | .25% | - | .25% | .25% | .25% | .25% | |||||||
Distribution | .05% | (3) | .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-1fee may be designated as a service fee in limited circumstances as described in the Funds’ prospectus. |
(3) | Distribution fees not applicable to Ultra Short Bond Fund. |
Class F3, I, R5, and 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, 2019:
Distributor Commissions | Dealers’ Concessions | |||||||
Convertible Fund | $ | 4,583 | $ | 27,229 | ||||
Core Fixed Income Fund | 29,969 | 182,077 | ||||||
Core Plus Bond Fund | 1,225 | 8,047 | ||||||
Corporate Bond Fund | 207 | 1,228 | ||||||
Floating Rate Fund | 109,460 | 650,314 | ||||||
High Yield Fund | 46,627 | 293,761 | ||||||
Income Fund | 67,580 | 464,032 | ||||||
Inflation Focused Fund | 2,609 | 13,846 | ||||||
Short Duration Core Bond Fund | 672 | 4,029 | ||||||
Short Duration Income Fund | 488,624 | 3,295,463 | ||||||
Total Return Fund | 76,162 | 468,000 | ||||||
Ultra Short Bond Fund | – | – |
Distributor received the following amount of CDSCs for the six months ended May 31, 2019:
Class A | Class C | |||||||
Convertible Fund | $ | 5,858 | $ | 2,678 | ||||
Core Fixed Income Fund | 884 | 439 | ||||||
Core Plus Bond Fund | – | 73 | ||||||
Corporate Bond Fund | – | – | ||||||
Floating Rate Fund | 300,081 | 119,966 | ||||||
High Yield Fund | 12,628 | 18,742 | ||||||
Income Fund | 2,042 | 4,527 | ||||||
Inflation Focused Fund | 9,314 | 2,606 | ||||||
Short Duration Core Bond Fund | – | – | ||||||
Short Duration Income Fund | 236,362 | 197,887 | ||||||
Total Return Fund | 7,606 | 3,558 | ||||||
Ultra Short Bond Fund | 1,173 | – |
460
Notes to Financial Statements (unaudited)(continued)
Other Related Parties
As of May 31, 2019, the percentages of Convertible Fund’s, Core Fixed Income Fund’s, High Yield Fund’s, Inflation Focused Fund’s and Ultra Short Bond Fund’s outstanding shares owned by each Fund that invests principally in affiliated mutual funds managed by Lord Abbett (“Fund of Funds”) were as follows:
Underlying Funds | ||||||||||
Fund of Funds | Convertible Fund | Core Fixed Income Fund | High Yield Fund | Inflation Focused Fund | Ultra Short Bond Fund | |||||
Lord Abbett Multi-Asset Balanced Opportunity Fund | 16.96% | – | 3.28% | 5.88% | 0.61% | |||||
Lord Abbett Multi-Asset Global Opportunity Fund | 0.82% | – | 0.36% | 0.46% | 0.04% | |||||
Lord Abbett Multi-Asset Growth Fund | 4.75% | – | 2.73% | 0.60% | 0.21% | |||||
Lord Abbett Multi-Asset Income Fund | 22.85% | 1.15% | 3.22% | 7.04% | 1.61% |
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 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 U.S. GAAP. 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, 2019 and fiscal year ended November 30, 2018 were as follows:
Convertible Fund | Core Fixed Income Fund | ||||||||||||||
Six Months Ended 5/31/2019 | Year Ended 11/30/2018 | Six Months Ended 5/31/2019 | Year Ended 11/30/2018 | ||||||||||||
Distributions paid from: | |||||||||||||||
Ordinary income | $ | 27,680,532 | $ | 19,274,091 | $ | 17,121,627 | $ | 36,162,932 | |||||||
Net long-term capital gains | 24,740,216 | – | – | ||||||||||||
Total distributions paid | $ | 52,420,748 | $ | 19,274,091 | $ | 17,121,627 | $ | 36,162,932 | |||||||
Core Plus Bond Fund | Corporate Bond Fund | ||||||||||||||
Six Months Ended 5/31/2019 | Year Ended 11/30/2018 | Six Months Ended 5/31/2019 | Period Ended 11/30/2018 | ||||||||||||
Distributions paid from: | |||||||||||||||
Ordinary income | $ | 524,552 | $ | 508,040 | $ | 128,201 | $ | 271,899 | |||||||
Total distributions paid | $ | 524,552 | $ | 508,040 | $ | 128,201 | $ | 271,899 |
461
Notes to Financial Statements (unaudited)(continued)
Floating Rate Fund | High Yield Fund | ||||||||||||||
Six Months Ended 5/31/2019 | Year Ended 11/30/2018 | Six Months Ended 5/31/2019 | Year Ended 11/30/2018 | ||||||||||||
Distributions paid from: | |||||||||||||||
Ordinary income | $ | 360,379,002 | $ | 687,166,018 | $ | 196,830,600 | $ | 397,448,632 | |||||||
Total distributions paid | $ | 360,379,002 | $ | 687,166,018 | $ | 196,830,600 | $ | 397,448,632 | |||||||
Income Fund | Inflation Focused Fund | ||||||||||||||
Six Months Ended 5/31/2019 | Year Ended 11/30/2018 | Six Months Ended 5/31/2019 | Year Ended 11/30/2018 | ||||||||||||
Distributions paid from: | |||||||||||||||
Ordinary income | $ | 45,594,179 | $ | 88,948,052 | $ | 26,482,519 | $ | 51,539,029 | |||||||
Total distributions paid | $ | 45,594,179 | $ | 88,948,052 | $ | 26,482,519 | $ | 51,539,029 | |||||||
Short Duration Core Bond Fund | Short Duration Income Fund | ||||||||||||||
Six Months Ended 5/31/2019 | Period Ended 11/30/2018 | Six Months Ended 5/31/2019 | Year Ended 11/30/2018 | ||||||||||||
Distributions paid from: | |||||||||||||||
Ordinary income | $ | 252,191 | $ | 300,110 | $ | 854,842,718 | $ | 1,543,932,484 | |||||||
Total distributions paid | $ | 252,191 | $ | 300,110 | $ | 854,842,718 | $ | 1,543,932,484 | |||||||
Total Return Fund | Ultra Short Bond Fund | ||||||||||||||
Six Months Ended 5/31/2019 | Year Ended 11/30/2018 | Six Months Ended 5/31/2019 | Year Ended 11/30/2018 | ||||||||||||
Distributions paid from: | |||||||||||||||
Ordinary income | $ | 62,254,601 | $ | 124,016,344 | $ | 203,553,908 | $ | 133,034,443 | |||||||
Total distributions paid | $ | 62,254,601 | $ | 124,016,344 | $ | 203,553,908 | $ | 133,034,443 |
As of November 30, 2018, the capital loss carryforwards, along with the related expiration dates, were as follows:
Indefinite | |||
Core Fixed Income Fund | $ | 50,114,216 | |
Core Plus Bond Fund | 275,372 | ||
Corporate Bond Fund | 126,419 | ||
Floating Rate Fund | 299,729,238 | ||
High Yield Fund | 35,719,983 | ||
Income Fund | 49,399,603 | ||
Inflation Focused Fund | 93,276,857 | ||
Short Duration Core Bond Fund | 87,897 | ||
Short Duration Income Fund | 2,112,333,674 | ||
Total Return Fund | 163,741,251 |
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.
462
Notes to Financial Statements (unaudited)(continued)
As of May 31, 2019, 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 | Core Plus Bond Fund | ||||||||||
Tax cost | $ | 676,074,840 | $ | 1,579,301,622 | $ | 72,197,276 | ||||||
Gross unrealized gain | 47,267,319 | 17,105,243 | 844,769 | |||||||||
Gross unrealized loss | (10,939,974 | ) | (2,175,052 | ) | (173,361 | ) | ||||||
Net unrealized security gain | $ | 36,327,345 | $ | 14,930,191 | $ | 671,408 | ||||||
Corporate Bond Fund | Floating Rate Fund | High Yield Fund | ||||||||||
Tax cost | $ | 6,556,715 | $ | 12,063,201,029 | $ | 6,814,932,487 | ||||||
Gross unrealized gain | 111,735 | 44,751,459 | 168,569,150 | |||||||||
Gross unrealized loss | (46,627 | ) | (211,161,899 | ) | (223,558,510 | ) | ||||||
Net unrealized security gain (loss) | $ | 65,108 | $ | (166,410,440 | ) | $ | (54,989,360 | ) | ||||
Income Fund | Inflation Focused Fund | Short Duration Core Bond Fund | ||||||||||
Tax cost | $ | 2,319,769,976 | $ | 1,252,285,102 | $ | 18,851,271 | ||||||
Gross unrealized gain | 33,522,079 | 33,057,808 | 147,113 | |||||||||
Gross unrealized loss | (33,010,896 | ) | (213,074,269 | ) | (22,071 | ) | ||||||
Net unrealized security gain (loss) | $ | 511,183 | $ | (180,016,461 | ) | $ | 125,042 | |||||
Short Duration Income Fund | Total Return Fund | Ultra Short Bond Fund | ||||||||||
Tax cost | $ | 50,172,229,610 | $ | 5,079,087,642 | $ | 16,899,367,199 | ||||||
Gross unrealized gain | 430,311,872 | 60,904,042 | 82,474,234 | |||||||||
Gross unrealized loss | (1,448,910,391 | ) | (24,628,110 | ) | (52,666,363 | ) | ||||||
Net unrealized security gain (loss) | $ | (1,018,598,519 | ) | $ | 36,275,932 | $ | 29,807,871 |
The difference between book-basis and tax-basis unrealized gains (losses) is primarily attributable to the tax treatment of certain securities, certain distributions, other financial instruments, 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, 2019 were as follows:
U.S. Government Purchases | Purchases | U.S. Government Sales | Sales | ||||||||||||
Convertible Fund | $ | – | $ | 598,750,828 | $ | – | $ | 732,725,205 | |||||||
Core Fixed Income Fund | 4,902,501,450 | 236,534,524 | 4,843,497,145 | 297,518,778 | |||||||||||
Core Plus Bond Fund | 104,122,076 | 35,422,232 | 87,469,565 | 7,044,462 | |||||||||||
Corporate Bond Fund | 595,620 | 1,846,208 | 750,167 | 799,797 | |||||||||||
Floating Rate Fund | – | 3,632,627,296 | – | 6,970,917,156 | |||||||||||
High Yield Fund | – | 2,953,497,813 | – | 2,801,834,652 | |||||||||||
Income Fund | 517,613,383 | 519,901,972 | 543,919,406 | 486,469,703 | |||||||||||
Inflation Focused Fund | 16,976,161 | 217,799,955 | 7,370,798 | 467,502,224 | |||||||||||
Short Duration Core Bond Fund | 7,259,226 | 8,386,305 | 6,231,154 | 3,367,475 | |||||||||||
Short Duration Income Fund | 3,881,905,403 | 14,971,372,920 | 3,350,042,120 | 9,978,799,847 | |||||||||||
Total Return Fund | 13,572,561,799 | 895,883,251 | 13,576,242,261 | 921,989,462 | |||||||||||
Ultra Short Bond Fund | – | 5,363,589,681 | – | 1,942,116,158 |
463
Notes to Financial Statements (unaudited)(continued)
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 with provisions of the Rule. For the six months ended May 31, 2019, the following Funds engaged in cross-trades:
Fund | Purchases | Sales | Gain/(Loss) | |||||||
Convertible Fund | $ | – | $ | 411,920 | $ | 101,794 | ||||
Floating Rate Fund | – | 38,037,938 | (975,953 | ) | ||||||
High Yield Fund | 3,078,892 | 17,362,824 | 971,856 | |||||||
Income Fund | 958,249 | 3,149,179 | 65,555 | |||||||
Inflation Focused Fund | 3,677,051 | 16,558,362 | (56,707 | ) | ||||||
Short Duration Income Fund | 105,708,285 | – | – | |||||||
Total Return Fund | 4,397,905 | 8,079,970 | (6,149 | ) |
6. | DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES |
Each Fund except for Core Fixed Income Fund, Corporate Bond Fund and Ultra Short Bond Fund entered into forward foreign currency exchange contracts for the six months ended May 31, 2019 (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, 2019 (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, 2019 (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.
Core Plus Bond Fund, High Yield Fund, Income Fund, Short Duration Core Bond Fund and Short Duration Income Fund entered into credit default swaps for the six months ended May 31, 2019 (as described in note 2(q)) for investment purposes, to economically hedge credit risk or for speculative
464
Notes to Financial Statements (unaudited)(continued)
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.
Floating Rate Fund entered into total return swaps on indexes for the six months ended May 31, 2019 (as described in note 2(r)) to hedge credit risk. The 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. The 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, the Fund also may be required to pay an amount equal to that decline in value to their counterparty.
Core Fixed Income Fund, Core Plus Bond Fund, Inflation Focused Fund and Total Return Fund may invest in interest rate swaps in order to enhance returns or hedge against interest rate risk. Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. The interest rate swap agreement will normally be entered into on a zero coupon basis, meaning that the floating rate will be based on the cumulative of the variable rate, and the fixed rate will compound until the swap’s maturity date, at which point the payments would be netted.
As of May 31, 2019, 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) | $ | 275,936 | ||
Liability Derivatives | ||||
Forward Foreign Currency Exchange Contracts(2) | $ | 68,379 |
465
Notes to Financial Statements (unaudited)(continued)
Core Fixed Income Fund | ||||||||||||
Asset Derivatives | Interest Rate Contracts | |||||||||||
Centrally Cleared Interest Rate Swap Contracts(3) | $ | 519,418 | ||||||||||
Futures Contracts(4) | $ | 1,569,260 | ||||||||||
Liability Derivatives | ||||||||||||
Centrally Cleared Interest Rate Swap Contracts(3) | $ | 545,391 | ||||||||||
Core Plus Bond Fund | ||||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | |||||||||
Centrally Cleared Interest Rate Swap Contracts(3) | $ | 16,403 | – | – | ||||||||
Credit Default Swap Contracts(5) | – | – | $ | 4,710 | ||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 4,793 | – | ||||||||
Futures Contracts(4) | $ | 51,191 | – | – | ||||||||
Liability Derivatives | ||||||||||||
Centrally Cleared Interest Rate Swap Contracts(3) | $ | 17,223 | – | – | ||||||||
Centrally Cleared Credit Default Swap Contracts(6) | – | – | $ | 28,420 | ||||||||
Credit Default Swap Contracts(7) | – | – | $ | 5,489 | ||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 1,086 | – | ||||||||
Futures Contracts(4) | $ | 987 | – | – | ||||||||
Corporate Bond Fund | ||||||||||||
Asset Derivatives | Interest Rate Contracts | |||||||||||
Futures Contracts(4) | $ | 9,731 | ||||||||||
Liability Derivatives | ||||||||||||
Futures Contracts(4) | $ | 14,529 | ||||||||||
Floating Rate Fund | ||||||||||||
Asset Derivatives | Equity Contracts | Interest Rate Contracts | Foreign Currency Contracts | |||||||||
Forward Foreign Currency Exchange Contracts(1) | – | – | $ | 687,573 | ||||||||
Futures Contracts(4) | – | $ | 482,689 | – | ||||||||
Total Return Swap Contracts(8) | $ | 552,423 | – | – | ||||||||
Liability Derivatives | ||||||||||||
Futures Contracts(4) | – | $ | 1,382,726 | – | ||||||||
Total Return Swap Contracts(8) | $ | 165,953 | – | – |
466
Notes to Financial Statements (unaudited)(continued)
High Yield Fund | ||||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | |||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 5,353,720 | – | ||||||||
Futures Contracts(4) | $ | 9,947,452 | – | – | ||||||||
Liability Derivatives | ||||||||||||
Centrally Cleared Credit Default Swap Contracts(6) | – | – | $ | 1,311,391 | ||||||||
Credit Default Swaps(7) | – | – | $ | 380,153 | ||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 351,268 | – | ||||||||
Futures Contracts(4) | $ | 8,062,912 | – | – | ||||||||
Income Fund | ||||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | |||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 169,887 | – | ||||||||
Futures Contracts(4) | $ | 3,183,298 | – | – | ||||||||
Liability Derivatives | ||||||||||||
Credit Default Swap Contracts(7) | – | – | $ | 55,242 | ||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 281 | – | ||||||||
Futures Contracts(4) | $ | 1,792,867 | – | – | ||||||||
Inflation Focused Fund | ||||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | Inflation Linked Contracts | |||||||||
Centrally Cleared CPI Swap Contracts(6) | – | – | $ | 8,176,147 | ||||||||
Centrally Cleared Interest Rate Swap Contracts(3) | $ | 601,432 | – | – | ||||||||
CPI Swap Contracts(9) | – | – | $ | 9,438,943 | ||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 30,159 | – | ||||||||
Futures Contracts(4) | $ | 2,731,439 | – | – | ||||||||
Liability Derivatives | ||||||||||||
Centrally Cleared CPI Swap Contracts(6) | – | – | $ | 28,649,376 | ||||||||
Centrally Cleared Interest Rate Swap Contracts(3) | $ | 631,506 | – | – | ||||||||
CPI Swap Contracts(10) | – | – | $ | 137,085,390 | ||||||||
Futures Contracts(4) | $ | 514,595 | – | – |
467
Notes to Financial Statements (unaudited)(continued)
Short Duration Core Bond Fund | ||||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | |||||||||
Credit Default Swap Contracts(5) | – | – | $ | 2,531 | ||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 1,819 | – | ||||||||
Futures Contracts(4) | $ | 7,939 | – | – | ||||||||
Liability Derivatives | ||||||||||||
Credit Default Swap Contracts(7) | – | – | $ | 197 | ||||||||
Futures Contracts(4) | $ | 11,343 | – | – | ||||||||
Short Duration Income Fund | ||||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | |||||||||
Credit Default Swap Contracts(5) | – | – | $ | 711,789 | ||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 1,098,086 | – | ||||||||
Futures Contracts(4) | $ | 23,513,086 | – | – | ||||||||
Liability Derivatives | ||||||||||||
Credit Default Swap Contracts(7) | – | – | $ | 379,397 | ||||||||
Futures Contracts(4) | $ | 4,883,763 | – | – | ||||||||
Total Return Fund | ||||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | ||||||||||
Centrally Cleared Interest Rate Swap Contracts(3) | $ | 1,695,491 | – | |||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 236,223 | |||||||||
Futures Contracts(4) | $ | 4,436,332 | – | |||||||||
Liability Derivatives | ||||||||||||
Centrally Cleared Interest Rate Swap Contracts(3) | $ | 1,780,272 | – | |||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 24,678 | |||||||||
Futures Contracts(4) | $ | 138,634 | – |
(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 centrally cleared interest rate swap 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 futures 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: 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. |
(7) | Statements of Assets and Liabilities location: Credit default swap agreements payable, at fair value. |
468
Notes to Financial Statements (unaudited)(continued)
(8) | Statements of Assets and Liabilities location: Total return swap, at fair value: |
(9) | Statements of Assets and Liabilities location: Unrealized appreciation on CPI swaps. |
(10) | Statements of Assets and Liabilities location: Unrealized depreciation on CPI swaps. |
Transactions in derivative investments for the period ended May 31, 2019 were as follows:
Convertible Fund | ||||||||||||
Foreign Currency Contracts | ||||||||||||
Net Realized Gain (Loss) | ||||||||||||
Forward Foreign Currency Exchange Contracts(1) | $ | 433,596 | ||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
Forward Foreign Currency Exchange Contracts(2) | $ | (149,819 | ) | |||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||
Forward Foreign Currency Exchange Contracts(3) | $ | 18,115,195 | ||||||||||
Core Fixed Income Fund | ||||||||||||
Interest Rate Contracts | ||||||||||||
Net Realized Gain (Loss) | ||||||||||||
Interest Rate Swap Contracts(4) | $ | (37,962 | ) | |||||||||
Futures Contracts(5) | $ | 6,174,556 | ||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
Interest Rate Swap Contracts(6) | $ | (25,973 | ) | |||||||||
Futures Contracts(7) | $ | 1,559,287 | ||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||
Interest Rate Swap Contracts(3) | $ | (45,479,516 | ) | |||||||||
Futures Contracts(8) | 1,491 | |||||||||||
Core Plus Bond Fund | ||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | ||||||||||
Net Realized Gain (Loss) | ||||||||||||
Credit Default Swap Contracts(4) | – | – | $ | (19,124 | ) | |||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 5,965 | – | ||||||||
Futures Contracts(5) | $ | 179,136 | – | – | ||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||
Credit Default Swap Contracts(6) | – | – | $ | 23,117 | ||||||||
Interest Rate Swap Contracts(4) | $ | (820 | ) | – | – | |||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | (1,681 | ) | – | |||||||
Futures Contracts(7) | $ | 53,803 | – | – | ||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||
Credit Default Swap Contracts(3) | – | – | $ | 2,450,000 | ||||||||
Interest Rate Swap Contracts(3) | $ | 1,436,195 | – | – | ||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 204,591 | – | ||||||||
Futures Contracts(8) | 51 | – | – |
469
Notes to Financial Statements (unaudited)(continued)
Corporate Bond Fund | ||||||||||||||||
Interest Rate Contracts | ||||||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||
Futures Contracts(5) | $ | (24,734 | ) | |||||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
Futures Contracts(7) | $ | (1,017 | ) | |||||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||||||
Futures Contracts(8) | 30 | |||||||||||||||
Floating Rate Fund | ||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Equity Contracts | Credit Contracts | |||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||
Credit Default Swap Contracts(4) | – | – | – | $ | (3,600,903 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 1,622,084 | – | – | |||||||||||
Futures Contracts(5) | $ | (7,978,290 | ) | – | – | – | ||||||||||
Total Return Swap Contracts(4) | 591,831 | – | $ | (8,505,441 | ) | – | ||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
Credit Default Swap Contracts(4) | – | – | – | $ | 2,027,045 | |||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | (265,026 | ) | – | – | ||||||||||
Futures Contracts(7) | $ | 8,782 | ||||||||||||||
Total Return Swap Contracts(6) | – | – | 5,855,703 | – | ||||||||||||
Average Number of Contracts/ Notional Amounts* | ||||||||||||||||
Credit Default Swap Contracts(3) | – | – | – | $ | 100,575,606 | |||||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 70,605,268 | – | – | |||||||||||
Futures Contracts(8) | 3,738 | – | – | – | ||||||||||||
Total Return Swap Contracts(3) | – | – | $ | 244,000,000 | – |
470
Notes to Financial Statements (unaudited)(continued)
High Yield Fund | ||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Equity Contracts | Credit Contracts | |||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||
Credit Default Swaps Contracts(4) | – | – | – | $ | 9,141,202 | |||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 8,293,472 | – | – | |||||||||||
Futures Contracts(5) | $ | (3,516,106 | ) | – | – | – | ||||||||||
Total Return Swap Contracts(3) | $ | (1,530,668 | ) | – | – | – | ||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
Credit Default Swap Contracts(6) | – | – | – | $ | (771,301 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | (94,039 | ) | – | – | ||||||||||
Futures Contracts(7) | $ | 3,037,637 | – | – | – | |||||||||||
Total Return Swap Contracts(3) | – | – | $ | 28,345 | – | |||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||||||
Credit Default Swap Contracts(3) | – | – | – | $ | 170,005,093 | |||||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 297,122,769 | – | – | |||||||||||
Futures Contracts(8) | 14,187 | – | – | – | ||||||||||||
Total Return Swap Contracts(3) | – | – | $ | 16,084,429 | – | |||||||||||
Income Fund | ||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | ||||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||
Credit Default Swap Contracts(4) | – | – | $ | (27,675 | ) | |||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 238,125 | – | ||||||||||||
Futures Contracts(5) | $ | 7,139,426 | – | – | ||||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
Credit Default Swap Contracts(6) | – | – | $ | (6,100 | ) | |||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | (127,348 | ) | – | |||||||||||
Futures Contracts(7) | $ | 1,811,154 | – | – | ||||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||||||
Credit Default Swap Contracts(3) | – | – | $ | 8,877,000 | ||||||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 8,566,787 | – | ||||||||||||
Futures Contracts(8) | 5,117 | – | – |
471
Notes to Financial Statements (unaudited)(continued)
Inflation Focused Fund | ||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Inflation Linked Contracts | ||||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||
CPI Swap Contracts(4) | – | – | $ | 1,840,047 | ||||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 42,356 | – | ||||||||||||
Futures Contracts(5) | $ | 5,704,842 | – | – | ||||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
CPI Swap Contracts(6) | – | – | $ | (42,308,960 | ) | |||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | (19,482 | ) | – | |||||||||||
Futures Contracts(7) | $ | 2,407,228 | – | – | ||||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||||||
CPI Swap Contracts(3) | – | – | $ | 4,237,089,063 | ||||||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 1,146,792 | – | ||||||||||||
Futures Contracts(8) | 4,191 | – | – | |||||||||||||
Short Duration Core Bond Fund | ||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | ||||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||
Credit Default Swap Contracts(4) | – | – | $ | 2,060 | ||||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | (800 | ) | – | |||||||||||
Futures Contracts(5) | $ | (30,524 | ) | – | – | |||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
Credit Default Swap Contracts(6) | – | – | $ | 3,731 | ||||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 1,819 | – | ||||||||||||
Futures Contracts(7) | $ | (2,222 | ) | – | – | |||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||||||
Credit Default Swap Contracts(3) | – | – | $ | 238,000 | ||||||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 48,362 | – | ||||||||||||
Futures Contracts(8) | 19 | – | – |
472
Notes to Financial Statements (unaudited)(continued)
Short Duration Income Fund | ||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | ||||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||
Credit Default Swap Contracts(4) | – | – | $ | 1,930,712 | ||||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 1,554,275 | – | ||||||||||||
Futures Contracts(5) | $ | 28,078,272 | – | – | ||||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
Credit Default Swap Contracts(6) | – | – | $ | 4,739,784 | ||||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | (740,938 | ) | – | |||||||||||
Futures Contracts(7) | $ | 20,262,123 | – | – | ||||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||||||
Credit Default Swap Contracts(3) | – | – | $ | 195,000,000 | ||||||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 41,216,303 | – | ||||||||||||
Futures Contracts(8) | 37,641 | – | – | |||||||||||||
Total Return Fund | ||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | ||||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||
Interest Rate Swap Contracts(4) | – | – | $ | (122,556 | ) | |||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 109,720 | – | ||||||||||||
Futures Contracts(5) | $ | 20,721,915 | – | – | ||||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
Interest Rate Swap Contracts(4) | – | – | $ | (84,781 | ) | |||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 18,926 | – | ||||||||||||
Futures Contracts(7) | $ | 4,211,911 | – | – | ||||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||||||
Interest Rate Swap Contracts(4) | $ | 148,454,713 | – | – | ||||||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 10,509,315 | – | ||||||||||||
Futures Contracts(8) | 4,932 | – | – |
* | Calculated based on the number of contracts or notional amounts for the six months ended May 31, 2019. |
(1) | Statements of Operations location: Net realized gain (loss) on foreign currency exchange contracts. |
(2) | Statements of Operations location: Net change in unrealized appreciation/depreciation on foreign currency exchange contracts. |
(3) | Amount represents notional amounts in U.S. dollars. |
(4) | Statements of Operations location: Net realized gain (loss) on swap contracts. |
(5) | Statements of Operations location: Net realized gain (loss) on futures contracts. |
(6) | Statements of Operations location: Net change in unrealized appreciation/depreciation on swap contracts. |
(7) | Statements of Operations location: Net change in unrealized appreciation/depreciation on futures contracts. |
(8) | Amount represents number of contracts. |
473
Notes to Financial Statements (unaudited)(continued)
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:
Convertible 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 | ||||||
Forward Foreign Currency Exchange Contracts | $ | 275,936 | $ | – | $ | 275,936 | |||
Repurchase Agreement | 13,586,724 | – | 13,586,724 | ||||||
Total | $ | 13,862,660 | $ | – | $ | 13,862,660 |
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 | $ | 6,824 | $ | – | $ | – | $ | – | $ | 6,824 | |||||||||
Fixed Income Clearing Corp. | 13,586,724 | – | – | (13,586,724 | ) | – | |||||||||||||
Goldman Sachs | 73,833 | – | – | – | 73,833 | ||||||||||||||
J.P. Morgan Chase | 67,029 | – | – | – | 67,029 | ||||||||||||||
State Street Bank and Trust | 61,528 | (7,275 | ) | – | – | 54,253 | |||||||||||||
Toronto Dominion Bank | 66,722 | – | – | – | 66,722 | ||||||||||||||
Total | $ | 13,862,660 | $ | (7,275 | ) | $ | – | $ | (13,586,724 | ) | $ | 268,661 |
Gross Amounts | Net Amounts of | ||||||||
Offset in the | Liabilities Presented | ||||||||
Gross Amounts of | Statement of Assets | in the Statement of | |||||||
Description | Recognized Liabilities | and Liabilities | Assets and Liabilities | ||||||
Forward Foreign Currency Exchange Contracts | $ | 68,379 | $ | – | $ | 68,379 | |||
Total | $ | 68,379 | $ | – | $ | 68,379 |
474
Notes to Financial Statements (unaudited)(continued)
Convertible Fund | |||||||||||||||||||
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) | ||||||||||||||
Morgan Stanley | $ | 46,982 | $ | – | $ | – | $ | – | $ | 46,982 | |||||||||
Standard Chartered Bank | 9,104 | – | – | – | 9,104 | ||||||||||||||
State Street Bank and Trust | 7,275 | (7,275 | ) | – | – | – | |||||||||||||
UBS AG | 5,018 | – | – | – | 5,018 | ||||||||||||||
Total | $ | 68,379 | $ | (7,275 | ) | $ | – | $ | – | $ | 61,104 |
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 | $ | 23,419,542 | $ | – | $ | 23,419,542 | |||
Total | $ | 23,419,542 | $ | – | $ | 23,419,542 |
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. | $ | 11,419,542 | $ | – | $ | – | $ | (11,419,542 | ) | $ | – | ||||||||
Toronto Dominion Grand Cayman | 12,000,000 | – | – | (12,000,000 | ) | – | |||||||||||||
Total | $ | 23,419,542 | $ | – | $ | – | $ | (23,419,542 | ) | $ | – |
Core Plus Bond 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 | ||||||
Credit Default Swap Contracts | $ | 4,710 | $ | – | $ | 4,710 | |||
Forward Foreign Currency Exchange Contracts | 4,793 | – | 4,793 | ||||||
Repurchase Agreement | 1,590,439 | – | 1,590,439 | ||||||
Total | $ | 1,599,942 | $ | – | $ | 1,599,942 |
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. | $ | 1,590,439 | $ | – | $ | – | $ | (1,590,439 | ) | $ | – | ||||||||
Morgan Stanley | 7,017 | (5,489 | ) | – | – | 1,528 | |||||||||||||
Toronto Dominion Bank | 2,486 | – | – | – | 2,486 | ||||||||||||||
Total | $ | 1,599,942 | $ | (5,489 | ) | $ | – | $ | (1,590,439 | ) | $ | 4,014 |
475
Notes to Financial Statements (unaudited)(continued)
Core Plus Bond Fund | |||||||||
Gross Amounts | Net Amounts of | ||||||||
Offset in the | Liabilities Presented | ||||||||
Gross Amounts of | Statement of Assets | in the Statement of | |||||||
Description | Recognized Liabilities | and Liabilities | Assets and Liabilities | ||||||
Credit Default Swap Contracts | $ | 5,489 | $ | – | $ | 5,489 | |||
Forward Foreign Currency Exchange Contracts | 1,086 | – | 1,086 | ||||||
Total | $ | 6,575 | $ | – | $ | 6,575 |
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) | ||||||||||||||
Barclays Bank plc | $ | 1,086 | $ | – | $ | – | $ | – | $ | 1,086 | |||||||||
Morgan Stanley | 5,489 | (5,489 | ) | – | – | – | |||||||||||||
Total | $ | 6,575 | $ | (5,489 | ) | $ | – | $ | – | $ | 1,086 |
Corporate Bond 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 Agreement | $ | 253,222 | $ | – | $ | 253,222 | |||
Total | $ | 253,222 | $ | – | $ | 253,222 |
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. | $ | 253,222 | $ | – | $ | – | $ | (253,222 | ) | $ | – | ||||||||
Total | $ | 255,753 | $ | – | $ | – | $ | (253,222 | ) | $ | – |
Floating Rate 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 | ||||||
Forward Foreign Currency Exchange Contracts | $ | 687,573 | $ | – | $ | 687,573 | |||
Total Return Swap Contracts | 552,423 | – | 552,423 | ||||||
Repurchase Agreements | 332,782,517 | – | 332,782,517 | ||||||
Total | $ | 334,022,513 | $ | – | $ | 334,022,513 |
476
Notes to Financial Statements (unaudited)(continued)
Floating Rate Fund | |||||||||||||||||||
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. | $ | 110,782,517 | $ | – | $ | – | $ | (110,782,517 | ) | $ | – | ||||||||
Goldman Sachs | 196,506 | – | – | – | 196,506 | ||||||||||||||
J.P. Morgan Chase | 222,920,908 | (165,953 | ) | – | (222,000,000 | ) | 754,955 | ||||||||||||
Morgan Stanley | 10,186 | – | – | – | 10,186 | ||||||||||||||
State Street Bank and Trust | 60,879 | – | – | – | 60,879 | ||||||||||||||
Toronto Dominion Bank | 51,517 | – | – | – | 51,517 | ||||||||||||||
Total | $ | 334,022,513 | $ | (165,953 | ) | $ | – | $ | (332,782,517 | ) | $ | 1,074,043 |
Gross Amounts | Net Amounts of | ||||||||
Offset in the | Liabilities Presented | ||||||||
Gross Amounts of | Statement of Assets | in the Statement of | |||||||
Description | Recognized Liabilities | and Liabilities | Assets and Liabilities | ||||||
Total Return Swap Contracts | $ | 165,953 | $ | – | $ | 165,953 | |||
Total | $ | 165,953 | $ | – | $ | 165,953 |
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 | $ | 165,953 | $ | (165,953 | ) | $ | – | $ | – | $ | – | ||||||||
Total | $ | 165,953 | $ | (165,953 | ) | $ | – | $ | – | $ | – |
High Yield 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 | ||||||
Forward Foreign Currency Exchange Contracts | $ | 5,353,720 | $ | – | $ | 5,353,720 | |||
Repurchase Agreement | 127,317,271 | – | 127,317,271 | ||||||
Total | $ | 132,670,991 | $ | – | $ | 132,670,991 |
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. | $ | 127,317,271 | $ | – | $ | – | $ | (127,317,271 | ) | $ | – | ||||||||
Goldman Sachs | 170,287 | – | – | – | 170,287 | ||||||||||||||
J.P. Morgan Chase | 1,556,723 | (394,519 | ) | (1,162,204 | ) | – | – | ||||||||||||
State Street Bank and Trust | 2,272,872 | (75,646 | ) | – | (2,197,226 | ) | – | ||||||||||||
Toronto Dominion Bank | 1,353,838 | – | – | (1,252,000 | ) | 101,838 | |||||||||||||
Total | $ | 132,670,991 | $ | (470,165 | ) | $ | (1,162,204 | ) | $ | (130,766,497 | ) | $ | 272,125 |
477
Notes to Financial Statements (unaudited)(continued)
High Yield Fund | |||||||||
Gross Amounts | Net Amounts of | ||||||||
Offset in the | Liabilities Presented | ||||||||
Gross Amounts of | Statement of Assets | in the Statement of | |||||||
Description | Recognized Liabilities | and Liabilities | Assets and Liabilities | ||||||
Credit Default Swap Contracts | $ | 380,153 | $ | – | $ | 380,153 | |||
Forward Foreign Currency Exchange Contracts | 351,268 | – | 351,268 | ||||||
Total | $ | 731,421 | $ | – | $ | 731,421 |
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 | $ | 122,699 | $ | – | $ | – | $ | – | $ | 122,699 | |||||||||
Barclays Bank plc | 35,381 | – | – | – | 35,381 | ||||||||||||||
J.P. Morgan Chase | 394,519 | (394,519 | ) | – | – | – | |||||||||||||
Morgan Stanley | 103,176 | – | – | – | 103,176 | ||||||||||||||
State Street Bank and Trust | 75,646 | (75,646 | ) | – | – | – | |||||||||||||
Total | $ | 731,421 | $ | (470,165 | ) | $ | – | $ | – | $ | 261,256 |
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 | ||||||
Forward Foreign Currency Exchange Contracts | $ | 169,887 | $ | – | $ | 169,887 | |||
Repurchase Agreements | 49,207,755 | – | 49,207,755 | ||||||
Total | $ | 49,377,642 | $ | – | $ | 49,377,642 |
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. | $ | 20,207,755 | $ | – | $ | – | $ | (20,207,755 | ) | $ | – | ||||||||
J.P. Morgan Chase | 29,131,308 | – | – | (29,000,000 | ) | 131,308 | |||||||||||||
State Street Bank and Trust | 38,579 | (281 | ) | – | – | 38,298 | |||||||||||||
Total | $ | 49,377,642 | $ | (281 | ) | $ | – | $ | (49,207,755 | ) | $ | 169,606 |
Gross Amounts | Net Amounts of | ||||||||
Offset in the | Liabilities Presented | ||||||||
Gross Amounts of | Statement of Assets | in the Statement of | |||||||
Description | Recognized Liabilities | and Liabilities | Assets and Liabilities | ||||||
Credit Default Swap Contracts | $ | 55,242 | $ | – | $ | 55,242 | |||
Forward Foreign Currency Exchange Contracts | 281 | – | 281 | ||||||
Total | $ | 55,523 | $ | – | $ | 55,523 |
478
Notes to Financial Statements (unaudited)(continued)
Income Fund | |||||||||||||||||||
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) | ||||||||||||||
Morgan Stanley | $ | 55,242 | $ | – | $ | (55,242 | ) | $ | – | $ | – | ||||||||
State Street Bank and Trust | 281 | (281 | ) | – | – | – | |||||||||||||
Total | $ | 55,523 | $ | (281 | ) | $ | (55,242 | ) | $ | – | $ | – |
Inflation Focused 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 | ||||||
Consumer Price Index (“CPI”) Swaps | $ | 9,438,943 | $ | – | $ | 9,438,943 | |||
Forward Foreign Currency Exchange Contracts | 30,159 | – | 30,159 | ||||||
Repurchase Agreement | 23,894,876 | – | 23,894,876 | ||||||
Total | $ | 33,363,978 | $ | – | $ | 33,363,978 |
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 | $ | 3,774,699 | $ | (3,774,699 | ) | $ | – | $ | – | $ | – | ||||||||
Barclays Bank plc | 1,535,722 | (1,535,722 | ) | – | – | – | |||||||||||||
Deutsche Bank AG | 553,481 | (553,481 | ) | – | – | – | |||||||||||||
Fixed Income Clearing Corp. | 23,894,876 | – | – | (23,894,876 | ) | – | |||||||||||||
Goldman Sachs | 3,248,235 | (3,248,235 | ) | – | – | – | |||||||||||||
J.P. Morgan Chase | 339,903 | (339,903 | ) | – | – | – | |||||||||||||
Toronto Dominion Bank | 17,062 | – | – | – | 17,062 | ||||||||||||||
Total | $ | 33,363,978 | $ | (9,452,040 | ) | $ | – | $ | (23,894,876 | ) | $ | 17,062 |
Gross Amounts | Net Amounts of | ||||||||
Offset in the | Liabilities Presented | ||||||||
Gross Amounts of | Statement of Assets | in the Statement of | |||||||
Description | Recognized Liabilities | and Liabilities | Assets and Liabilities | ||||||
Consumer Price Index (“CPI”) Swaps | $137,085,390 | $ | – | $ | 137,085,390 | ||||
Total | $ | 137,085,390 | $ | – | $ | 137,085,390 |
479
Notes to Financial Statements (unaudited)(continued)
Inflation Focused Fund | |||||||||||||||||||
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 | $ | 21,553,916 | $ | (3,774,699 | ) | $ | (17,310,000 | ) | $ | – | $ | 469,217 | |||||||
Barclays Bank plc | 19,111,011 | (1,535,722 | ) | (16,960,000 | ) | – | 615,289 | ||||||||||||
Credit Suisse | 5,813,335 | – | (5,690,000 | ) | – | 123,335 | |||||||||||||
Deutsche Bank AG | 35,690,124 | (553,481 | ) | (34,680,000 | ) | – | 456,643 | ||||||||||||
Goldman Sachs | 22,179,821 | (3,248,235 | ) | (18,540,000 | ) | – | 391,586 | ||||||||||||
J.P. Morgan Chase | 20,337,193 | (339,903 | ) | (19,580,000 | ) | – | 417,290 | ||||||||||||
Merrill Lynch International Bank Ltd. | 1,328,967 | – | (1,080,000 | ) | – | 248,967 | |||||||||||||
Wells Fargo | 11,071,023 | – | (10,930,000 | ) | – | 141,023 | |||||||||||||
Total | $ | 137,085,390 | $ | (9,452,040 | ) | $ | (124,770,000 | ) | $ | – | $ | 2,863,350 |
Short Duration Core Bond 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 | ||||||
Credit Default Swap Contracts | $ | 2,531 | $ | – | $ | 2,531 | |||
Forward Foreign Currency Exchange Contracts | 1,819 | – | 1,819 | ||||||
Repurchase Agreement | 564,739 | – | 564,739 | ||||||
Total | $ | 569,089 | $ | – | $ | 569,089 |
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. | $ | 564,739 | $ | – | $ | – | $ | (564,739 | ) | $ | – | ||||||||
Morgan Stanley | 2,531 | (197 | ) | – | – | 2,334 | |||||||||||||
Toronto Dominion Bank | 1,819 | – | – | – | 1,819 | ||||||||||||||
Total | $ | 569,089 | $ | (197 | ) | $ | – | $ | (564,739 | ) | $ | 4,153 |
Gross Amounts | Net Amounts of | ||||||||
Offset in the | Liabilities Presented | ||||||||
Gross Amounts of | Statement of Assets | in the Statement of | |||||||
Description | Recognized Liabilities | and Liabilities | Assets and Liabilities | ||||||
Credit Default Swap Contracts | $ | 197 | $ | – | $ | 197 | |||
Total | $ | 197 | $ | – | $ | 197 |
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) | ||||||||||||||
Morgan Stanley | $ | 197 | $ | (197 | ) | $ | – | $ | – | $ | – | ||||||||
Total | $ | 197 | $ | (197 | ) | $ | – | $ | – | $ | – |
480
Notes to Financial Statements (unaudited)(continued)
Short Duration 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 | ||||||
Credit Default Swap Contracts | $ | 711,789 | $ | – | $ | 711,789 | |||
Forward Foreign Currency Exchange Contracts | 1,098,086 | – | 1,098,086 | ||||||
Repurchase Agreements | 401,442,164 | – | 401,442,164 | ||||||
Total | $ | 403,252,039 | $ | – | $ | 403,252,039 |
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. | $ | 187,442,164 | $ | – | $ | – | $ | (187,442,164 | ) | $ | – | ||||||||
Credit Suisse | 427,073 | (75,880 | ) | (351,193 | ) | – | – | ||||||||||||
Deutsche Bank | 47,453 | (47,453 | ) | – | – | – | |||||||||||||
J.P. Morgan Chase | 214,496,129 | – | (496,129 | ) | (214,000,000 | ) | – | ||||||||||||
Morgan Stanley | 237,263 | (189,698 | ) | (47,565 | ) | – | – | ||||||||||||
Toronto Dominion Bank | 601,957 | – | (601,957 | ) | – | – | |||||||||||||
Total | $ | 403,252,039 | $ | (313,031 | ) | $ | (1,496,844 | ) | $ | (401,442,164 | ) | $ | – |
Gross Amounts | Net Amounts of | ||||||||
Offset in the | Liabilities Presented | ||||||||
Gross Amounts of | Statement of Assets | in the Statement of | |||||||
Description | Recognized Liabilities | and Liabilities | Assets and Liabilities | ||||||
Credit Default Swap Contracts | $ | 379,397 | $ | – | $ | 379,397 |
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) | ||||||||||||||
Credit Suisse | $ | 75,880 | $ | (75,880 | ) | $ | – | $ | – | $ | – | ||||||||
Deutsche Bank | 113,819 | (47,453 | ) | – | – | 66,366 | |||||||||||||
Morgan Stanley | 189,698 | (189,698 | ) | – | – | – | |||||||||||||
Total | $ | 379,397 | $ | (313,031 | ) | $ | – | $ | – | $ | 66,366 |
Total Return 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 | ||||||
Forward Foreign Currency Exchange Contracts | $ | 236,223 | $ | – | $ | 236,223 | |||
Repurchase Agreements | 114,078,187 | – | 114,078,187 | ||||||
Total | $ | 114,314,410 | $ | – | $ | 114,314,410 |
481
Notes to Financial Statements (unaudited)(continued)
Total Return Fund | |||||||||||||||||||
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. | $ | 11,078,187 | $ | – | $ | – | $ | (11,078,187 | ) | $ | – | ||||||||
J. P. Morgan Chase | 5,126,554 | – | – | (5,000,000 | ) | 126,554 | |||||||||||||
State Street Bank and Trust | 38,579 | – | – | – | 38,579 | ||||||||||||||
Toronto Dominion Bank | 98,071,090 | – | – | (98,000,000 | ) | 71,090 | |||||||||||||
Total | $ | 114,314,410 | $ | – | $ | – | $ | (114,078,187 | ) | $ | 236,223 |
Gross Amounts | Net Amounts of | ||||||||
Offset in the | Liabilities Presented | ||||||||
Gross Amounts of | Statement of Assets | in the Statement of | |||||||
Description | Recognized Liabilities | and Liabilities | Assets and Liabilities | ||||||
Forward Foreign Currency Exchange Contracts | $ | 24,678 | $ | – | $ | 24,678 | |||
Total | $ | 24,678 | $ | – | $ | 24,678 |
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) | ||||||||||||||
Barclays Bank plc | $ | 24,678 | $ | – | $ | – | $ | – | $ | 24,678 | |||||||||
Total | $ | 24,678 | $ | – | $ | – | $ | – | $ | 24,678 |
Ultra Short Bond 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 Agreement | $ | 69,594,690 | $ | – | $ | 69,594,690 | |||
Total | $ | 69,594,690 | $ | – | $ | 69,594,690 |
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. | $ | 69,594,690 | $ | – | $ | – | $ | (69,594,690 | ) | $ | – | ||||||||
Total | $ | 69,594,690 | $ | – | $ | – | $ | (69,594,690 | ) | $ | – |
(a) | Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets (liabilities) 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, 2019. |
(c) | Net amount represents the amount owed by the Fund to the counterparty as of May 31, 2019. |
482
Notes to Financial Statements (unaudited)(continued)
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. | LINE OF CREDIT |
During the period ended December 20, 2018, the Funds and certain other funds managed by Lord Abbett (collectively, the “Participating Funds”) participated in a syndicated line of credit facility with various lenders for $1.06 billion (the “Syndicated Facility”), whereas State Street Bank and Trust Company (“SSB”) participates as a lender and as agent for the lenders. Under the Syndicated Facility, 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, $350 million, or $1 billion, based on past borrowings and likelihood of future borrowings. Effective December 21, 2018, the Participating Funds entered into an amended Syndicated Facility with various lenders for $1.1 billion based on the same terms as described above.
For the six months ended May 31, 2019, the Participating Funds participated in an additional line of credit facility with SSB for $250 million (the “Bilateral Facility,” and together with the Syndicated Facility, the “Facilities”). Under the Bilateral Facility, each Participating Fund may borrow up to the lesser of $250 million or one-third of Fund assets. The Facilities are to be used for temporary or emergency purposes to satisfy redemption requests and manage liquidity.
For the six months ended May 31, 2019, the Funds did not utilize the Facilities.
11. | 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, 2019, the Funds did not participate as a borrower or lender in the Interfund Lending Program.
12. | 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.
483
Notes to Financial Statements (unaudited)(continued)
13. | 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 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
484
Notes to Financial Statements (unaudited)(continued)
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.
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
485
Notes to Financial Statements (unaudited)(continued)
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.
14. | SUMMARY OF CAPITAL TRANSACTIONS |
Transactions in shares of beneficial interest were as follows:
Convertible Fund | Six Months Ended May 31, 2019 (unaudited | ) | Year Ended November 30, 2018 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,727,773 | $ | 22,113,292 | 4,958,401 | $ | 67,270,445 | ||||||||||
Converted from Class B* | – | – | 6,235 | 82,233 | ||||||||||||
Converted from Class C** | 92,542 | 1,212,054 | 584,452 | 7,978,508 | ||||||||||||
Reinvestment of distributions | 662,858 | 7,957,575 | 183,983 | 2,459,369 | ||||||||||||
Shares reacquired | (2,483,389 | ) | (31,674,967 | ) | (4,390,057 | ) | (58,751,103 | ) | ||||||||
Increase (decrease) | (216 | ) | $ | (392,046 | ) | 1,343,014 | $ | 19,039,452 | ||||||||
Class B Shares(a) | ||||||||||||||||
Reinvestment of distributions | – | $ | – | 136 | $ | 1,783 | ||||||||||
Shares reacquired | – | – | (8,987 | ) | (119,656 | ) | ||||||||||
Converted to Class A* | – | – | (6,207 | ) | (82,233 | ) | ||||||||||
Increase (decrease) | – | $ | – | (15,058 | ) | $ | (200,106 | ) | ||||||||
Class C Shares | ||||||||||||||||
Shares sold | 449,214 | $ | 5,622,595 | 948,417 | $ | 12,778,141 | ||||||||||
Reinvestment of distributions | 156,401 | 1,862,379 | 37,463 | 492,527 | ||||||||||||
Shares reacquired | (352,933 | ) | (4,401,225 | ) | (663,701 | ) | (8,858,508 | ) | ||||||||
Converted to Class A** | (93,115 | ) | (1,212,054 | ) | (588,322 | ) | (7,978,508 | ) | ||||||||
Increase (decrease) | 159,567 | $ | 1,871,695 | (266,143 | ) | $ | (3,566,348 | ) | ||||||||
Class F Shares | ||||||||||||||||
Shares sold | 3,143,315 | $ | 39,774,311 | 9,171,694 | $ | 124,133,676 | ||||||||||
Reinvestment of distributions | 771,109 | 9,259,663 | 216,930 | 2,903,036 | ||||||||||||
Shares reacquired | (6,927,831 | ) | (87,293,936 | ) | (5,281,534 | ) | (70,983,367 | ) | ||||||||
Increase (decrease) | (3,013,407 | ) | $ | (38,259,962 | ) | 4,107,090 | $ | 56,053,345 | ||||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 62,824 | $ | 817,950 | 310,996 | $ | 4,212,635 | ||||||||||
Reinvestment of distributions | 34,916 | 422,084 | 7,769 | 104,716 | ||||||||||||
Shares reacquired | (81,766 | ) | (1,050,615 | ) | (107,907 | ) | (1,461,940 | ) | ||||||||
Increase | 15,974 | $ | 189,419 | 210,858 | $ | 2,855,411 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 621,067 | $ | 8,021,186 | 3,321,079 | $ | 45,643,567 | ||||||||||
Reinvestment of distributions | 2,400,966 | 29,008,525 | 899,257 | 12,055,156 | ||||||||||||
Shares reacquired | (10,817,639 | ) | (142,154,602 | ) | (10,128,381 | ) | (137,396,647 | ) | ||||||||
Decrease | (7,795,606 | ) | $ | (105,124,891 | ) | (5,908,045 | ) | $ | (79,697,924 | ) |
486
Notes to Financial Statements (unaudited)(continued)
Convertible Fund | Six Months Ended May 31, 2019 (unaudited | ) | Year Ended November 30, 2018 | |||||||||||||
Class P Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 200 | $ | 2,550 | 195 | $ | 2,649 | ||||||||||
Reinvestment of distributions | 295 | 3,600 | 76 | 1,030 | ||||||||||||
Shares reacquired | (2 | ) | (26 | ) | (31 | ) | (421 | ) | ||||||||
Increase | 493 | $ | 6,124 | 240 | $ | 3,258 | ||||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 190 | $ | 2,346 | 477 | $ | 6,575 | ||||||||||
Reinvestment of distributions | 204 | 2,484 | 48 | 653 | ||||||||||||
Shares reacquired | (558 | ) | (7,367 | ) | (4,081 | ) | (55,686 | ) | ||||||||
Decrease | (164 | ) | $ | (2,537 | ) | (3,556 | ) | $ | (48,458 | ) | ||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 99,736 | $ | 1,253,804 | 407,658 | $ | 5,512,069 | ||||||||||
Reinvestment of distributions | 44,498 | 531,652 | 7,881 | 104,745 | ||||||||||||
Shares reacquired | (92,891 | ) | (1,164,532 | ) | (184,023 | ) | (2,495,122 | ) | ||||||||
Increase | 51,343 | $ | 620,924 | 231,516 | $ | 3,121,692 | ||||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 619 | $ | 7,646 | 3,645 | $ | 48,407 | ||||||||||
Reinvestment of distributions | 340 | 4,081 | 44 | 600 | ||||||||||||
Shares reacquired | (3 | ) | (39 | ) | (3,237 | ) | (42,346 | ) | ||||||||
Increase | 956 | $ | 11,688 | 452 | $ | 6,661 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 29,278 | $ | 398,604 | 512,510 | $ | 6,864,120 | ||||||||||
Reinvestment of distributions | 734 | 8,870 | 225 | 3,013 | ||||||||||||
Shares reacquired | (1,054 | ) | (13,448 | ) | (511,764 | ) | (6,817,312 | ) | ||||||||
Increase | 28,958 | $ | 394,026 | 971 | $ | 49,821 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 242,299 | $ | 3,224,487 | 713,762 | $ | 9,633,978 | ||||||||||
Reinvestment of distributions | 5,099 | 61,797 | 1,377 | 18,548 | ||||||||||||
Shares reacquired | (310,088 | ) | (4,046,560 | ) | (563,195 | ) | (7,485,313 | ) | ||||||||
Increase (decrease) | (62,690 | ) | $ | (760,276 | ) | 151,944 | $ | 2,167,213 | ||||||||
Core Fixed Income Fund | Six Months Ended May 31, 2019 (unaudited | ) | Year Ended November 30, 2018 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 6,067,380 | $ | 64,237,046 | 7,493,147 | $ | 79,496,080 | ||||||||||
Converted from Class B* | – | – | 15,391 | 164,798 | ||||||||||||
Converted from Class C** | 209,624 | 2,246,038 | 490,948 | 5,183,375 | ||||||||||||
Reinvestment of distributions | 577,054 | 6,158,739 | 1,164,110 | 12,299,760 | ||||||||||||
Shares reacquired | (5,690,407 | ) | (60,252,723 | ) | (12,409,034 | ) | (131,502,217 | ) | ||||||||
Increase (decrease) | 1,163,651 | $ | 12,389,100 | (3,245,438 | ) | $ | (34,358,204 | ) |
487
Notes to Financial Statements (unaudited)(continued)
Core Fixed Income Fund | Six Months Ended May 31, 2019 (unaudited | ) | Year Ended November 30, 2018 | |||||||||||||
Class B Shares(a) | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | – | $ | – | 8 | $ | 177 | ||||||||||
Reinvestment of distributions | – | – | 142 | 1,522 | ||||||||||||
Shares reacquired | – | – | (49,544 | ) | (531,533 | ) | ||||||||||
Converted to Class A* | – | – | (15,436 | ) | (164,798 | ) | ||||||||||
Increase (decrease) | – | $ | – | (64,830 | ) | $ | (694,632 | ) | ||||||||
Class C Shares | ||||||||||||||||
Shares sold | 565,966 | $ | 5,969,943 | 313,212 | $ | 3,319,667 | ||||||||||
Reinvestment of distributions | 42,775 | 454,296 | 106,761 | 1,124,116 | ||||||||||||
Shares reacquired | (614,688 | ) | (6,480,878 | ) | (2,016,288 | ) | (21,238,948 | ) | ||||||||
Converted to Class A** | (210,507 | ) | (2,246,038 | ) | (492,834 | ) | (5,183,375 | ) | ||||||||
Decrease | (216,454 | ) | $ | (2,302,677 | ) | (2,089,149 | ) | $ | (21,978,540 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 5,313,733 | $ | 56,399,238 | 6,115,076 | $ | 64,735,065 | ||||||||||
Reinvestment of distributions | 200,044 | 2,135,362 | 419,343 | 4,432,326 | ||||||||||||
Shares reacquired | (3,572,363 | ) | (37,833,432 | ) | (12,175,316 | ) | (129,058,705 | ) | ||||||||
Increase (decrease) | 1,941,414 | $ | 20,701,168 | (5,640,897 | ) | $ | (59,891,314 | ) | ||||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 3,928,776 | $ | 41,775,872 | 9,872,752 | $ | 104,801,511 | ||||||||||
Reinvestment of distributions | 374,244 | 3,994,646 | 877,421 | 9,280,165 | ||||||||||||
Shares reacquired | (3,063,882 | ) | (32,457,829 | ) | (15,554,262 | ) | (164,110,209 | ) | ||||||||
Increase (decrease) | 1,239,138 | $ | 13,312,689 | (4,804,089 | ) | $ | (50,028,533 | ) | ||||||||
Class I Shares | ||||||||||||||||
Shares sold | 5,075,406 | $ | 53,874,923 | 4,003,386 | $ | 42,450,113 | ||||||||||
Reinvestment of distributions | 297,217 | 3,171,082 | 585,704 | 6,183,641 | ||||||||||||
Shares reacquired | (4,293,059 | ) | (45,337,607 | ) | (3,309,805 | ) | (34,923,506 | ) | ||||||||
Increase | 1,079,564 | $ | 11,708,398 | 1,279,285 | $ | 13,710,248 | ||||||||||
Class P Shares | ||||||||||||||||
Reinvestment of distributions | 0.16 | $ | 2 | 0.30 | $ | 3 | ||||||||||
Increase | 0.16 | $ | 2 | 0.30 | $ | 3 | ||||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 9,395 | $ | 100,066 | 11,053 | $ | 117,679 | ||||||||||
Reinvestment of distributions | 510 | 5,440 | 1,024 | 10,827 | ||||||||||||
Shares reacquired | (20,236 | ) | (215,897 | ) | (38,692 | ) | (410,041 | ) | ||||||||
Decrease | (10,331 | ) | $ | (110,391 | ) | (26,615 | ) | $ | (281,535 | ) | ||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 146,603 | $ | 1,557,837 | 311,838 | $ | 3,321,381 | ||||||||||
Reinvestment of distributions | 15,312 | 163,402 | 33,158 | 350,546 | ||||||||||||
Shares reacquired | (160,873 | ) | (1,708,054 | ) | (623,681 | ) | (6,647,507 | ) | ||||||||
Increase (decrease) | 1,042 | $ | 13,185 | (278,685 | ) | $ | (2,975,580 | ) |
488
Notes to Financial Statements (unaudited)(continued)
Core Fixed Income Fund | Six Months Ended May 31, 2019 (unaudited | ) | Year Ended November 30, 2018 | |||||||||||||
Class R4 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 109,740 | $ | 1,162,720 | 342,287 | $ | 3,644,357 | ||||||||||
Reinvestment of distributions | 6,015 | 64,190 | 16,911 | 178,429 | ||||||||||||
Shares reacquired | (371,953 | ) | (3,903,556 | ) | (171,822 | ) | (1,817,861 | ) | ||||||||
Increase (decrease) | (256,198 | ) | $ | (2,676,646 | ) | 187,376 | $ | 2,004,925 | ||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 40,287 | $ | 428,595 | 22,510 | $ | 241,212 | ||||||||||
Reinvestment of distributions | 1,388 | 14,835 | 2,353 | 24,847 | ||||||||||||
Shares reacquired | (10,342 | ) | (109,978 | ) | (20,538 | ) | (218,911 | ) | ||||||||
Increase | 31,333 | $ | 333,452 | 4,325 | $ | 47,148 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 100,544 | $ | 1,069,973 | 186,167 | $ | 1,965,876 | ||||||||||
Reinvestment of distributions | 65,831 | 702,179 | 125,284 | 1,323,068 | ||||||||||||
Shares reacquired | (30,935 | ) | (327,388 | ) | (96,874 | ) | (1,029,232 | ) | ||||||||
Increase | 135,440 | $ | 1,444,764 | 214,577 | $ | 2,259,712 | ||||||||||
Core Plus Bond Fund | Six Months Ended May 31, 2019 (unaudited | ) | Year Ended November 30, 2018 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 436,532 | $ | 6,452,641 | 22,078 | $ | 328,196 | ||||||||||
Reinvestment of distributions | 10,297 | 152,324 | 16,301 | 239,857 | ||||||||||||
Shares reacquired | (59,845 | ) | (885,022 | ) | (24,532 | ) | (361,159 | ) | ||||||||
Increase | 386,984 | $ | 5,719,943 | 13,847 | $ | 206,894 | ||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 26,469 | $ | 392,831 | 21,145 | $ | 317,754 | ||||||||||
Reinvestment of distributions | 713 | 10,552 | 1,498 | 22,057 | ||||||||||||
Shares reacquired | (4,602 | ) | (68,056 | ) | (21,320 | ) | (315,979 | ) | ||||||||
Increase | 22,580 | $ | 335,327 | 1,323 | $ | 23,832 | ||||||||||
Class F Shares | ||||||||||||||||
Shares sold | 2,900,621 | $ | 42,970,706 | 65,950 | $ | 977,614 | ||||||||||
Reinvestment of distributions | 22,987 | 341,614 | 16,016 | 235,763 | ||||||||||||
Shares reacquired | (512,402 | ) | (7,650,445 | ) | (78,339 | ) | (1,147,310 | ) | ||||||||
Increase | 2,411,206 | $ | 35,661,875 | 3,627 | $ | 66,067 | ||||||||||
Class F3 Shares | ||||||||||||||||
Reinvestment of distributions | 14 | $ | 202 | 27.98 | $ | 412 | ||||||||||
Increase | 14 | $ | 202 | 27.98 | $ | 412 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 704 | $ | 10,500 | – | $ | – | ||||||||||
Reinvestment of distributions | 146 | 2,151 | 293 | 4,315 | ||||||||||||
Increase | 850 | $ | 12,651 | 293 | $ | 4,315 |
489
Notes to Financial Statements (unaudited)(continued)
Core Plus Bond Fund | Six Months Ended May 31, 2019 (unaudited | ) | Year Ended November 30, 2018 | |||||||||||||
Class R2 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Reinvestment of distributions | 31 | $ | 445 | 61 | $ | 899 | ||||||||||
Increase | 31 | $ | 445 | 61 | $ | 899 | ||||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 16 | $ | 225 | 19 | $ | 282 | ||||||||||
Reinvestment of distributions | 32 | 469 | 63 | 939 | ||||||||||||
Increase | 48 | $ | 694 | 82 | $ | 1,221 | ||||||||||
Class R4 Shares | ||||||||||||||||
Reinvestment of distributions | 33 | $ | 498 | 68 | $ | 1,002 | ||||||||||
Increase | 33 | $ | 498 | 68 | $ | 1,002 | ||||||||||
Class R5 Shares | ||||||||||||||||
Reinvestment of distributions | 36 | $ | 537 | 73 | $ | 1,076 | ||||||||||
Increase | 36 | $ | 537 | 73 | $ | 1,076 | ||||||||||
Class R6 Shares | ||||||||||||||||
Reinvestment of distributions | 37 | $ | 540 | 74 | $ | 1,089 | ||||||||||
Increase | 37 | $ | 540 | 74 | $ | 1,089 | ||||||||||
Corporate Bond Fund | Six Months Ended May 31, 2019 (unaudited | ) | Year Ended November 30, 2018 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 15,712 | $ | 151,765 | 7,203 | $ | 71,189 | ||||||||||
Reinvestment of distributions | 858 | 8,287 | 1,446 | 13,991 | ||||||||||||
Shares reacquired | (1,690 | ) | (15,990 | ) | – | – | ||||||||||
Increase | 14,880 | $ | 144,062 | 8,649 | $ | 85,180 | ||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 20,495 | $ | 193,818 | 577 | $ | 5,544 | ||||||||||
Reinvestment of distributions | 385 | 3,726 | 321 | 3,115 | ||||||||||||
Shares reacquired | (4,022 | ) | (39,064 | ) | (3,379 | ) | (32,330 | ) | ||||||||
Increase (decrease) | 16,858 | $ | 158,480 | (2,481 | ) | $ | (23,671 | ) | ||||||||
Class F Shares | ||||||||||||||||
Shares sold | 80,559 | $ | 772,161 | 82,564 | $ | 823,187 | ||||||||||
Reinvestment of distributions | 4,218 | 40,854 | 10,417 | 101,435 | ||||||||||||
Shares reacquired | (1,200 | ) | (11,410 | ) | (191,555 | ) | (1,844,216 | ) | ||||||||
Increase (decrease) | 83,577 | $ | 801,605 | (98,574 | ) | $ | (919,594 | ) | ||||||||
Class F3 Shares | ||||||||||||||||
Reinvestment of distributions | 3,568 | 34,397 | 7,120 | 68,931 | ||||||||||||
Increase | 3,568 | $ | 34,397 | 7,120 | $ | 68,931 |
490
Notes to Financial Statements (unaudited)(continued)
Corporate Bond Fund | Six Months Ended May 31, 2019 (unaudited | ) | Year Ended November 30, 2018 | |||||||||||||
Class I Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,023 | $ | 10,000 | 33,188 | $ | 332,200 | ||||||||||
Reinvestment of distributions | 335 | 3,227 | 1,036 | 10,028 | ||||||||||||
Shares reacquired | (217 | ) | (2,096 | ) | (23,883 | ) | (228,819 | ) | ||||||||
Increase | 1,141 | $ | 11,131 | 10,341 | $ | 113,409 | ||||||||||
Class R2 Shares | ||||||||||||||||
Reinvestment of distributions | 50 | $ | 478 | 99 | $ | 962 | ||||||||||
Increase | 50 | $ | 478 | 99 | $ | 962 | ||||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 70 | $ | 675 | 1,030 | $ | 9,791 | ||||||||||
Reinvestment of distributions | 98 | 940 | 163 | 1,577 | ||||||||||||
Shares reacquired | (3 | ) | (28 | ) | (3 | ) | (28 | ) | ||||||||
Increase | 165 | $ | 1,587 | 1,190 | $ | 11,340 | ||||||||||
Class R4 Shares | ||||||||||||||||
Reinvestment of distributions | 55 | $ | 526 | 109 | $ | 1,055 | ||||||||||
Increase | 55 | $ | 526 | 109 | $ | 1,055 | ||||||||||
Class R5 Shares | ||||||||||||||||
Reinvestment of distributions | 58 | $ | 561 | 116 | 1,121 | |||||||||||
Increase | 58 | $ | 561 | 116 | $ | 1,121 | ||||||||||
Class R6 Shares | ||||||||||||||||
Reinvestment of distributions | 3,567 | $ | 34,397 | 7,121 | $ | 68,930 | ||||||||||
Increase | 3,567 | $ | 34,397 | 7,121 | $ | 68,930 | ||||||||||
Floating Rate Fund | Six Months Ended May 31, 2019 (unaudited | ) | Year Ended November 30, 2018 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 46,617,814 | $ | 412,988,654 | 184,880,037 | $ | 1,694,591,518 | ||||||||||
Converted from Class C** | 2,784,315 | 24,718,881 | 911,003 | 8,351,831 | ||||||||||||
Reinvestment of distributions | 8,914,978 | 78,986,795 | 17,787,230 | 162,693,938 | ||||||||||||
Shares reacquired | (134,880,679 | ) | (1,193,526,410 | ) | (180,950,567 | ) | (1,655,138,345 | ) | ||||||||
Increase (decrease) | (76,563,572 | ) | $ | (676,832,080 | ) | 22,627,703 | $ | 210,498,942 | ||||||||
Class C Shares | ||||||||||||||||
Shares sold | 11,218,410 | $ | 99,490,733 | 44,049,642 | $ | 403,830,624 | ||||||||||
Reinvestment of distributions | 3,609,919 | 32,011,297 | 6,427,720 | 58,845,019 | ||||||||||||
Shares reacquired | (32,309,545 | ) | (286,302,549 | ) | (41,204,843 | ) | (377,686,396 | ) | ||||||||
Converted to Class A** | (2,784,131 | ) | (24,718,881 | ) | (910,100 | ) | (8,351,831 | ) | ||||||||
Increase (decrease) | (20,265,347 | ) | $ | (179,519,400 | ) | 8,362,419 | $ | 76,637,416 |
491
Notes to Financial Statements (unaudited)(continued)
Floating Rate Fund | Six Months Ended May 31, 2019 (unaudited | ) | Year Ended November 30, 2018 | |||||||||||||
Class F Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 138,004,588 | $ | 1,222,265,623 | 450,271,758 | $ | 4,123,068,036 | ||||||||||
Reinvestment of distributions | 13,706,884 | 121,285,127 | 24,284,961 | 221,770,570 | ||||||||||||
Shares reacquired | (327,726,755 | ) | (2,896,545,339 | ) | (256,002,568 | ) | (2,338,124,136 | ) | ||||||||
Increase (decrease) | (176,015,283 | ) | $ | (1,552,994,589 | ) | 218,554,151 | $ | 2,006,714,470 | ||||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 3,513,872 | $ | 31,208,930 | 22,133,180 | $ | 202,986,317 | ||||||||||
Reinvestment of distributions | 733,900 | 6,510,005 | 1,407,320 | 12,887,155 | ||||||||||||
Shares reacquired | (13,092,882 | ) | (116,213,966 | ) | (14,799,048 | ) | (135,522,128 | ) | ||||||||
Increase (decrease) | (8,845,110 | ) | $ | (78,495,031 | ) | 8,741,452 | $ | 80,351,344 | ||||||||
Class I Shares | ||||||||||||||||
Shares sold | 46,435,989 | $ | 411,612,774 | 177,660,305 | $ | 1,629,132,153 | ||||||||||
Reinvestment of distributions | 5,735,259 | 50,828,430 | 10,412,064 | 95,227,660 | ||||||||||||
Shares reacquired | (112,818,196 | ) | (997,657,346 | ) | (103,642,822 | ) | (947,344,961 | ) | ||||||||
Increase (decrease) | (60,646,948 | ) | $ | (535,216,142 | ) | 84,429,547 | $ | 777,014,852 | ||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 31,093 | $ | 276,881 | 51,447 | $ | 472,323 | ||||||||||
Reinvestment of distributions | 4,857 | 43,092 | 6,919 | 63,341 | ||||||||||||
Shares reacquired | (15,278 | ) | (135,576 | ) | (19,080 | ) | (175,340 | ) | ||||||||
Increase | 20,672 | $ | 184,397 | 39,286 | $ | 360,324 | ||||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 881,198 | $ | 7,818,274 | 2,119,336 | $ | 19,438,280 | ||||||||||
Reinvestment of distributions | 163,446 | 1,449,089 | 249,946 | 2,286,427 | ||||||||||||
Shares reacquired | (779,689 | ) | (6,915,719 | ) | (1,161,358 | ) | (10,645,174 | ) | ||||||||
Increase | 264,955 | $ | 2,351,644 | 1,207,924 | $ | 11,079,533 | ||||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 205,754 | $ | 1,818,807 | 2,210,230 | $ | 20,079,038 | ||||||||||
Reinvestment of distributions | 52,139 | 461,669 | 28,408 | 259,089 | ||||||||||||
Shares reacquired | (1,935,723 | ) | (17,233,363 | ) | (373,585 | ) | (3,417,762 | ) | ||||||||
Increase (decrease) | (1,677,830 | ) | $ | (14,952,887 | ) | 1,865,053 | $ | 16,920,365 | ||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 360,344 | $ | 3,178,544 | 4,940,517 | $ | 45,261,714 | ||||||||||
Reinvestment of distributions | 83,442 | 737,372 | 89,569 | 815,943 | ||||||||||||
Shares reacquired | (4,634,623 | ) | (41,317,367 | ) | (365,378 | ) | (3,329,608 | ) | ||||||||
Increase (decrease) | (4,190,837 | ) | $ | (37,401,451 | ) | 4,664,708 | $ | 42,748,049 | ||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 5,885,787 | $ | 52,391,685 | 5,013,399 | $ | 45,999,011 | ||||||||||
Reinvestment of distributions | 288,279 | 2,557,732 | 270,227 | 2,472,857 | ||||||||||||
Shares reacquired | (2,741,916 | ) | (24,143,080 | ) | (2,187,207 | ) | (20,071,864 | ) | ||||||||
Increase | 3,432,150 | $ | 30,806,337 | 3,096,419 | $ | 28,400,004 |
492
Notes to Financial Statements (unaudited)(continued)
Floating Rate Fund | Six Months Ended May 31, 2019 (unaudited | ) | Year Ended November 30, 2018 | |||||||||||||
Class T Shares(b) | Shares | Amount | Shares | Amount | ||||||||||||
Reinvestment of distributions | – | $ | – | 32 | $ | 289 | ||||||||||
Shares reacquired | – | – | (1,135 | ) | (10,384 | ) | ||||||||||
Increase (decrease) | – | $ | – | (1,103 | ) | $ | (10,095 | ) | ||||||||
High Yield Fund | Six Months Ended May 31, 2019 (unaudited | ) | Year Ended November 30, 2018 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 31,839,963 | $ | 229,831,127 | 56,952,927 | $ | 429,357,280 | ||||||||||
Converted from Class B* | – | – | 37,386 | 285,523 | ||||||||||||
Converted from Class C** | 642,765 | 4,673,840 | 1,171,433 | 8,711,840 | ||||||||||||
Reinvestment of distributions | 4,143,234 | 29,894,742 | 9,505,625 | 71,027,904 | ||||||||||||
Shares reacquired | (33,978,960 | ) | (243,454,402 | ) | (114,086,674 | ) | (855,653,391 | ) | ||||||||
Increase (decrease) | 2,647,002 | $ | 20,945,307 | (46,419,303 | ) | $ | (346,270,844 | ) | ||||||||
Class B Shares(a) | ||||||||||||||||
Shares sold | – | $ | – | 2 | $ | 15 | ||||||||||
Reinvestment of distributions | – | – | 1,579 | 12,047 | ||||||||||||
Shares reacquired | – | – | (157,988 | ) | (1,199,863 | ) | ||||||||||
Converted to Class A* | – | – | (37,581 | ) | (285,523 | ) | ||||||||||
Increase (decrease) | – | $ | – | (193,988 | ) | $ | (1,473,324 | ) | ||||||||
Class C Shares | ||||||||||||||||
Shares sold | 4,298,670 | $ | 30,816,859 | 8,803,775 | $ | 66,001,511 | ||||||||||
Reinvestment of distributions | 1,326,153 | 9,514,883 | 3,004,778 | 22,323,347 | ||||||||||||
Shares reacquired | (9,481,222 | ) | (67,572,915 | ) | (20,002,173 | ) | (148,819,063 | ) | ||||||||
Converted to Class A** | (646,322 | ) | (4,673,840 | ) | (1,177,768 | ) | (8,711,840 | ) | ||||||||
Decrease | (4,502,721 | ) | $ | (31,915,013 | ) | (9,371,388 | ) | $ | (69,206,045 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 65,451,559 | $ | 471,956,090 | 152,913,311 | $ | 1,147,729,989 | ||||||||||
Reinvestment of distributions | 7,866,546 | 56,689,036 | 14,713,299 | 109,584,370 | ||||||||||||
Shares reacquired | (81,633,617 | ) | (585,617,695 | ) | (136,190,449 | ) | (1,018,883,928 | ) | ||||||||
Increase (decrease) | (8,315,512 | ) | $ | (56,972,569 | ) | 31,436,161 | $ | 238,430,431 | ||||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 7,574,707 | $ | 55,037,351 | 27,817,923 | $ | 210,870,059 | ||||||||||
Reinvestment of distributions | 2,149,092 | 15,578,271 | 4,090,892 | 30,651,707 | ||||||||||||
Shares reacquired | (9,832,287 | ) | (71,051,273 | ) | (19,042,108 | ) | (142,942,554 | ) | ||||||||
Increase (decrease) | (108,488 | ) | $ | (435,651 | ) | 12,866,707 | $ | 98,579,212 | ||||||||
Class I Shares | ||||||||||||||||
Shares sold | 61,748,299 | $ | 442,096,563 | 84,019,546 | $ | 630,169,302 | ||||||||||
Reinvestment of distributions | 5,739,632 | 41,615,276 | 11,445,781 | 85,845,611 | ||||||||||||
Shares reacquired | (53,375,668 | ) | (384,670,188 | ) | (120,938,037 | ) | (908,517,320 | ) | ||||||||
Increase (decrease) | 14,112,263 | $ | 99,041,651 | (25,472,710 | ) | $ | (192,502,407 | ) |
493
Notes to Financial Statements (unaudited)(continued)
High Yield Fund | Six Months Ended May 31, 2019 (unaudited | ) | Year Ended November 30, 2018 | |||||||||||||
Class P Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,193 | $ | 8,733 | 5,593 | $ | 42,530 | ||||||||||
Reinvestment of distributions | 681 | 4,928 | 3,222 | 24,421 | ||||||||||||
Shares reacquired | (39,013 | ) | (285,258 | ) | (23,919 | ) | (179,148 | ) | ||||||||
Decrease | (37,139 | ) | $ | (271,597 | ) | (15,104 | ) | $ | (112,197 | ) | ||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 265,776 | $ | 1,927,563 | 1,028,078 | $ | 7,760,024 | ||||||||||
Reinvestment of distributions | 34,242 | 248,556 | 58,259 | 436,240 | ||||||||||||
Shares reacquired | (526,173 | ) | (3,800,031 | ) | (985,674 | ) | (7,386,039 | ) | ||||||||
Increase (decrease) | (226,155 | ) | $ | (1,623,912 | ) | 100,663 | $ | 810,225 | ||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 1,906,325 | $ | 13,804,567 | 5,617,157 | $ | 42,616,962 | ||||||||||
Reinvestment of distributions | 415,052 | 3,011,784 | 750,134 | 5,623,395 | ||||||||||||
Shares reacquired | (2,125,772 | ) | (15,336,994 | ) | (3,102,294 | ) | (23,413,742 | ) | ||||||||
Increase | 195,605 | $ | 1,479,357 | 3,264,997 | $ | 24,826,615 | ||||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 3,905,107 | $ | 28,128,371 | 7,527,250 | $ | 56,393,253 | ||||||||||
Reinvestment of distributions | 297,014 | 2,142,910 | 464,404 | 3,457,198 | ||||||||||||
Shares reacquired | (3,000,764 | ) | (21,604,518 | ) | (3,933,420 | ) | (29,477,678 | ) | ||||||||
Increase | 1,201,357 | $ | 8,666,763 | 4,058,234 | $ | 30,372,773 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 5,141,945 | $ | 37,299,002 | 9,349,094 | $ | 70,574,128 | ||||||||||
Reinvestment of distributions | 1,070,888 | 7,756,487 | 2,068,168 | 15,487,341 | ||||||||||||
Shares reacquired | (5,597,774 | ) | (40,471,787 | ) | (8,394,015 | ) | (63,120,695 | ) | ||||||||
Increase | 615,059 | $ | 4,583,702 | 3,023,247 | $ | 22,940,774 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 20,723,982 | $ | 149,389,676 | 41,950,505 | $ | 316,089,622 | ||||||||||
Reinvestment of distributions | 2,059,201 | 14,946,611 | 3,209,711 | 24,046,066 | ||||||||||||
Shares reacquired | (7,419,917 | ) | (53,741,437 | ) | (31,408,318 | ) | (237,122,384 | ) | ||||||||
Increase | 15,363,266 | $ | 110,594,850 | 13,751,898 | $ | 103,013,304 | ||||||||||
Class T Shares(b) | ||||||||||||||||
Reinvestment of distributions | – | $ | – | 45 | $ | 339 | ||||||||||
Shares reacquired | – | – | (1,365 | ) | (10,140 | ) | ||||||||||
Increase (decrease) | – | $ | – | (1,320 | ) | $ | (9,801 | ) |
494
Notes to Financial Statements (unaudited)(continued)
Income Fund | Six Months Ended May 31, 2019 (unaudited | ) | Year Ended November 30, 2018 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 42,566,988 | $ | 117,120,769 | 58,386,339 | $ | 162,605,140 | ||||||||||
Converted from Class B* | – | – | 79,053 | 222,715 | ||||||||||||
Converted from Class C** | 1,833,193 | 5,087,428 | 5,148,902 | 14,208,842 | ||||||||||||
Reinvestment of distributions | 5,862,783 | 16,168,212 | 11,376,379 | 31,479,528 | ||||||||||||
Shares reacquired | (36,700,400 | ) | (100,273,002 | ) | (83,435,604 | ) | (231,651,303 | ) | ||||||||
Increase (decrease) | 13,562,564 | $ | 38,103,407 | (8,444,931 | ) | $ | (23,135,078 | ) | ||||||||
Class B Shares(a) | ||||||||||||||||
Shares sold | – | $ | – | 6 | $ | 675 | ||||||||||
Reinvestment of distributions | – | – | 2,133 | 6,076 | ||||||||||||
Shares reacquired | – | – | (289,148 | ) | (821,756 | ) | ||||||||||
Converted to Class A* | – | – | (78,947 | ) | (222,715 | ) | ||||||||||
Increase (decrease) | – | $ | – | (365,956 | ) | $ | (1,037,720 | ) | ||||||||
Class C Shares | ||||||||||||||||
Shares sold | 4,361,830 | $ | 12,019,816 | 5,655,449 | $ | 15,876,877 | ||||||||||
Reinvestment of distributions | 958,827 | 2,657,220 | 2,196,393 | 6,117,013 | ||||||||||||
Shares reacquired | (6,971,587 | ) | (19,150,304 | ) | (20,804,511 | ) | (57,969,839 | ) | ||||||||
Converted to Class A** | (1,826,087 | ) | (5,087,428 | ) | (5,112,489 | ) | (14,208,842 | ) | ||||||||
Decrease | (3,477,017 | ) | $ | (9,560,696 | ) | (18,065,158 | ) | $ | (50,184,791 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 49,443,929 | $ | 136,037,367 | 70,620,550 | $ | 196,541,531 | ||||||||||
Reinvestment of distributions | 3,004,555 | 8,287,446 | 5,885,482 | 16,286,169 | ||||||||||||
Shares reacquired | (36,114,424 | ) | (98,359,477 | ) | (72,980,869 | ) | (201,966,979 | ) | ||||||||
Increase | 16,334,060 | $ | 45,965,336 | 3,525,163 | $ | 10,860,721 | ||||||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 35,627,766 | $ | 98,156,710 | 82,893,254 | $ | 230,715,818 | ||||||||||
Reinvestment of distributions | 3,394,025 | 9,362,540 | 5,624,793 | 15,526,040 | ||||||||||||
Shares reacquired | (20,342,160 | ) | (55,599,242 | ) | (36,860,866 | ) | (101,598,485 | ) | ||||||||
Increase | 18,679,631 | $ | 51,920,008 | 51,657,181 | $ | 144,643,373 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 14,594,411 | $ | 40,313,438 | 34,271,721 | $ | 95,289,832 | ||||||||||
Reinvestment of distributions | 1,163,885 | 3,207,621 | 2,711,058 | 7,494,161 | ||||||||||||
Shares reacquired | (17,862,619 | ) | (48,609,601 | ) | (33,414,790 | ) | (92,030,658 | ) | ||||||||
Increase (decrease) | (2,104,323 | ) | $ | (5,088,542 | ) | 3,567,989 | $ | 10,753,335 | ||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 137,161 | $ | 379,541 | 295,604 | $ | 832,982 | ||||||||||
Reinvestment of distributions | 6,314 | 17,579 | 10,115 | 28,179 | ||||||||||||
Shares reacquired | (253,598 | ) | (703,329 | ) | (383,705 | ) | (1,070,448 | ) | ||||||||
Decrease | (110,123 | ) | $ | (306,209 | ) | (77,986 | ) | $ | (209,287 | ) |
495
Notes to Financial Statements (unaudited)(continued)
Income Fund | Six Months Ended May 31, 2019 (unaudited | ) | Year Ended November 30, 2018 | |||||||||||||
Class R3 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,442,478 | $ | 3,967,572 | 3,739,793 | $ | 10,449,186 | ||||||||||
Reinvestment of distributions | 352,578 | 974,827 | 706,009 | 1,959,187 | ||||||||||||
Shares reacquired | (2,403,398 | ) | (6,594,860 | ) | (4,280,804 | ) | (11,922,884 | ) | ||||||||
Increase (decrease) | (608,342 | ) | $ | (1,652,461 | ) | 164,998 | $ | 485,489 | ||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 597,242 | $ | 1,635,997 | 1,298,213 | $ | 3,614,269 | ||||||||||
Reinvestment of distributions | 17,897 | 49,401 | 28,404 | 78,487 | ||||||||||||
Shares reacquired | (297,828 | ) | (815,182 | ) | (410,539 | ) | (1,133,723 | ) | ||||||||
Increase | 317,311 | $ | 870,216 | 916,078 | $ | 2,559,033 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 659,273 | $ | 1,805,254 | 565,077 | $ | 1,584,244 | ||||||||||
Reinvestment of distributions | 6,153 | 17,007 | 3,780 | 10,477 | ||||||||||||
Shares reacquired | (313,266 | ) | (852,181 | ) | (4,620,801 | ) | (13,201,457 | ) | ||||||||
Increase (decrease) | 352,160 | $ | 970,080 | (4,051,944 | ) | $ | (11,606,736 | ) | ||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 4,027,544 | $ | 11,003,811 | 14,857,384 | $ | 41,887,579 | ||||||||||
Reinvestment of distributions | 167,135 | 460,614 | 254,966 | 704,332 | ||||||||||||
Shares reacquired | (2,328,345 | ) | (6,378,631 | ) | (9,298,274 | ) | (25,967,231 | ) | ||||||||
Increase | 1,866,334 | $ | 5,085,794 | 5,814,076 | $ | 16,624,680 | ||||||||||
Inflation Focused Fund | Six Months Ended May 31, 2019 (unaudited | ) | Year Ended November 30, 2018 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,556,367 | $ | 17,795,371 | 8,443,244 | $ | 100,211,978 | ||||||||||
Converted from Class C** | 25,377 | 291,094 | 7,203 | 85,250 | ||||||||||||
Reinvestment of distributions | 237,279 | 2,721,963 | 555,770 | 6,573,668 | ||||||||||||
Shares reacquired | (5,315,456 | ) | (60,876,450 | ) | (9,294,434 | ) | (109,929,769 | ) | ||||||||
Decrease | (3,496,433 | ) | $ | (40,068,022 | ) | (288,217 | ) | $ | (3,058,873 | ) | ||||||
Class C Shares | ||||||||||||||||
Shares sold | 298,113 | $ | 3,420,036 | 1,519,719 | $ | 18,051,216 | ||||||||||
Reinvestment of distributions | 53,835 | 618,485 | 109,146 | 1,292,269 | ||||||||||||
Shares reacquired | (1,230,371 | ) | (14,128,774 | ) | (1,339,695 | ) | (15,896,198 | ) | ||||||||
Converted to Class A** | (25,337 | ) | (291,094 | ) | (7,192 | ) | (85,250 | ) | ||||||||
Increase (decrease) | (903,760 | ) | $ | (10,381,347 | ) | 281,978 | $ | 3,362,037 | ||||||||
Class F Shares | ||||||||||||||||
Shares sold | 6,081,516 | $ | 69,850,444 | 29,474,651 | $ | 349,876,275 | ||||||||||
Reinvestment of distributions | 502,410 | 5,768,907 | 996,795 | 11,789,000 | ||||||||||||
Shares reacquired | (18,012,953 | ) | (206,630,475 | ) | (15,798,804 | ) | (186,626,286 | ) | ||||||||
Increase (decrease) | (11,429,027 | ) | $ | (131,011,124 | ) | 14,672,642 | $ | 175,038,989 |
496
Notes to Financial Statements (unaudited)(continued)
Inflation Focused Fund | Six Months Ended May 31, 2019 (unaudited | ) | Year Ended November 30, 2018 | |||||||||||||
Class F3 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 118,236 | $ | 1,355,355 | 1,007,517 | $ | 11,916,848 | ||||||||||
Reinvestment of distributions | 38,197 | 438,092 | 59,493 | 702,399 | ||||||||||||
Shares reacquired | (479,484 | ) | (5,490,949 | ) | (241,292 | ) | (2,847,545 | ) | ||||||||
Increase (decrease) | (323,051 | ) | $ | (3,697,502 | ) | 825,718 | $ | 9,771,702 | ||||||||
Class I Shares | ||||||||||||||||
Shares sold | 9,674,482 | $ | 111,078,416 | 26,132,211 | $ | 310,027,649 | ||||||||||
Reinvestment of distributions | 1,015,472 | 11,657,090 | 1,938,388 | 22,916,434 | ||||||||||||
Shares reacquired | (13,128,639 | ) | (150,046,820 | ) | (13,895,267 | ) | (164,020,560 | ) | ||||||||
Increase (decrease) | (2,438,685 | ) | $ | (27,311,314 | ) | 14,175,332 | $ | 168,923,523 | ||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 1,365 | $ | 15,654 | 17,540 | $ | 209,089 | ||||||||||
Reinvestment of distributions | 37 | 428 | 91 | 1,068 | ||||||||||||
Shares reacquired | (5,503 | ) | (63,241 | ) | (24,290 | ) | (288,529 | ) | ||||||||
Decrease | (4,101 | ) | $ | (47,159 | ) | (6,659 | ) | $ | (78,372 | ) | ||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 1,371 | $ | 15,780 | 4,485 | $ | 53,229 | ||||||||||
Reinvestment of distributions | 157 | 1,802 | 497 | 5,878 | ||||||||||||
Shares reacquired | (2,280 | ) | (26,139 | ) | (10,099 | ) | (118,986 | ) | ||||||||
Decrease | (752 | ) | $ | (8,557 | ) | (5,117 | ) | $ | (59,879 | ) | ||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 88,844 | $ | 1,019,678 | 132,376 | $ | 1,569,810 | ||||||||||
Reinvestment of distributions | 826 | 9,482 | 728 | 8,576 | ||||||||||||
Shares reacquired | (31,398 | ) | (358,857 | ) | (21,387 | ) | (252,308 | ) | ||||||||
Increase | 58,272 | $ | 670,303 | 111,717 | $ | 1,326,078 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 15,971 | $ | 182,101 | 10,026 | $ | 119,301 | ||||||||||
Reinvestment of distributions | 266 | 3,055 | 347 | 4,098 | ||||||||||||
Shares reacquired | (2,475 | ) | (28,359 | ) | (721 | ) | (8,553 | ) | ||||||||
Increase | 13,762 | $ | 156,797 | 9,652 | $ | 114,846 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 983,415 | $ | 11,289,180 | 2,557,248 | $ | 30,296,524 | ||||||||||
Reinvestment of distributions | 102,301 | 1,174,122 | 147,038 | 1,736,623 | ||||||||||||
Shares reacquired | (542,043 | ) | (6,204,668 | ) | (824,175 | ) | (9,758,242 | ) | ||||||||
Increase | 543,673 | $ | 6,258,634 | 1,880,111 | $ | 22,274,905 | ||||||||||
Class T Shares(b) | ||||||||||||||||
Reinvestment of distributions | – | $ | – | 19 | $ | 221 | ||||||||||
Shares reacquired | – | – | (868 | ) | (10,281 | ) | ||||||||||
Increase (decrease) | – | $ | – | (849 | ) | $ | (10,060 | ) |
497
Notes to Financial Statements (unaudited)(continued)
Short Duration Core Bond Fund | Six Months Ended May 31, 2019 (unaudited | ) | Year Ended November 30, 2018 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 532,443 | $ | 5,219,925 | 272,183 | $ | 2,664,534 | ||||||||||
Reinvestment of distributions | 7,152 | 70,180 | 7,965 | 77,938 | ||||||||||||
Shares reacquired | (66,410 | ) | (648,102 | ) | (63,511 | ) | (622,151 | ) | ||||||||
Increase | 473,185 | $ | 4,642,003 | 216,637 | $ | 2,120,321 | ||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 150,640 | $ | 1,469,597 | 69,579 | $ | 681,277 | ||||||||||
Reinvestment of distributions | 2,035 | 19,961 | 2,241 | 21,934 | ||||||||||||
Shares reacquired | (66,407 | ) | (649,042 | ) | (41,718 | ) | (408,142 | ) | ||||||||
Increase | 86,268 | $ | 840,516 | 30,102 | $ | 295,069 | ||||||||||
Class F Shares | ||||||||||||||||
Shares sold | 207,871 | $ | 2,030,091 | 264,676 | $ | 2,587,143 | ||||||||||
Reinvestment of distributions | 8,572 | 84,051 | 8,905 | 87,094 | ||||||||||||
Shares reacquired | (75,440 | ) | (738,675 | ) | (31,027 | ) | (303,278 | ) | ||||||||
Increase | 141,003 | $ | 1,375,467 | 242,554 | $ | 2,370,959 | ||||||||||
Class F3 Shares | ||||||||||||||||
Reinvestment of distributions | 2,686 | $ | 26,319 | 5,224 | $ | 51,147 | ||||||||||
Increase | 2,686 | $ | 26,319 | 5,224 | $ | 51,147 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 633 | $ | 6,250 | 7,742 | $ | 75,609 | ||||||||||
Reinvestment of distributions | 217 | 2,128 | 233 | 2,276 | ||||||||||||
Increase | 850 | $ | 8,378 | 7,975 | $ | 77,885 | ||||||||||
Class R2 Shares | ||||||||||||||||
Reinvestment of distributions | 35 | $ | 349 | 69 | $ | 674 | ||||||||||
Increase | 35 | $ | 349 | 69 | $ | 674 | ||||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 2,148 | $ | 21,069 | 2,474 | $ | 24,068 | ||||||||||
Reinvestment of distributions | 82 | 804 | 78 | 760 | ||||||||||||
Shares reacquired | (11 | ) | (112 | ) | (4 | ) | (38 | ) | ||||||||
Increase | 2,219 | $ | 21,761 | 2,548 | $ | 24,790 | ||||||||||
Class R4 Shares | ||||||||||||||||
Reinvestment of distributions | 41 | $ | 396 | 78 | $ | 765 | ||||||||||
Increase | 41 | $ | 396 | 78 | $ | 765 | ||||||||||
Class R5 Shares | ||||||||||||||||
Reinvestment of distributions | 44 | $ | 431 | 85 | $ | 829 | ||||||||||
Increase | 44 | $ | 431 | 85 | $ | 829 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 18,830 | $ | 184,005 | 12,164 | $ | 118,983 | ||||||||||
Reinvestment of distributions | 3,072 | 30,117 | 5,413 | 52,985 | ||||||||||||
Shares reacquired | (320 | ) | (3,138 | ) | (15 | ) | (142 | ) | ||||||||
Increase | 21,582 | $ | 210,984 | 17,562 | $ | 171,826 |
498
Notes to Financial Statements (unaudited)(continued)
Short Duration Income Fund | Six Months Ended May 31, 2019 (unaudited | ) | Year Ended November 30, 2018 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 539,996,380 | $ | 2,251,373,032 | 667,762,368 | $ | 2,802,958,459 | ||||||||||
Converted from Class B* | – | – | 59,292 | 249,970 | ||||||||||||
Converted from Class C** | 16,784,106 | 70,298,368 | 6,035,542 | 25,272,242 | ||||||||||||
Reinvestment of distributions | 35,899,711 | 149,952,365 | 75,901,941 | 318,062,573 | ||||||||||||
Shares reacquired | (433,460,579 | ) | (1,804,875,661 | ) | (1,151,523,105 | ) | (4,835,416,843 | ) | ||||||||
Increase (decrease) | 159,219,618 | $ | 666,748,104 | (401,763,962 | ) | $ | (1,688,873,599 | ) | ||||||||
Class B Shares(a) | ||||||||||||||||
Shares sold | – | $ | – | 545 | $ | 2,314 | ||||||||||
Reinvestment of distributions | – | – | 3,633 | 15,396 | ||||||||||||
Shares reacquired | – | – | (936,975 | ) | (3,964,212 | ) | ||||||||||
Converted to Class A* | – | – | (59,255 | ) | (249,970 | ) | ||||||||||
Increase (decrease) | – | $ | – | (992,052 | ) | $ | (4,196,472 | ) | ||||||||
Class C Shares | ||||||||||||||||
Shares sold | 113,884,550 | $ | 477,830,843 | 136,863,211 | $ | 578,114,083 | ||||||||||
Reinvestment of distributions | 15,932,687 | 66,963,779 | 35,931,011 | 151,497,904 | ||||||||||||
Shares reacquired | (156,565,638 | ) | (656,215,472 | ) | (417,777,796 | ) | (1,763,706,968 | ) | ||||||||
Converted to Class A** | (16,668,747 | ) | (70,298,367 | ) | (5,993,632 | ) | (25,272,242 | ) | ||||||||
Decrease | (43,417,148 | ) | $ | (181,719,217 | ) | (250,977,206 | ) | $ | (1,059,367,223 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 1,803,125,095 | $ | 7,512,177,075 | 1,967,142,189 | $ | 8,240,558,082 | ||||||||||
Reinvestment of distributions | 66,490,512 | 277,681,134 | 111,988,053 | 468,547,606 | ||||||||||||
Shares reacquired | (959,311,432 | ) | (3,993,086,574 | ) | (1,754,258,042 | ) | (7,356,767,071 | ) | ||||||||
Increase | 910,304,175 | $ | 3,796,771,635 | 324,872,200 | $ | 1,352,338,617 | ||||||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 237,731,546 | $ | 991,743,052 | 616,487,879 | $ | 2,575,263,060 | ||||||||||
Reinvestment of distributions | 17,916,525 | 74,951,483 | 24,607,671 | 103,170,928 | ||||||||||||
Shares reacquired | (221,066,331 | ) | (922,704,667 | ) | (429,819,150 | ) | (1,810,618,400 | ) | ||||||||
Increase | 34,581,740 | $ | 143,989,868 | 211,276,400 | $ | 867,815,588 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 762,928,355 | $ | 3,178,552,856 | 1,001,993,649 | $ | 4,193,420,029 | ||||||||||
Reinvestment of distributions | 33,743,147 | 140,855,014 | 61,035,539 | 255,413,537 | ||||||||||||
Shares reacquired | (420,948,060 | ) | (1,751,676,065 | ) | (960,880,261 | ) | (4,027,023,856 | ) | ||||||||
Increase | 375,723,442 | $ | 1,567,731,805 | 102,148,927 | $ | 421,809,710 | ||||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 902,927 | $ | 3,764,197 | 2,216,188 | $ | 9,288,411 | ||||||||||
Reinvestment of distributions | 32,451 | 135,562 | 52,408 | 219,478 | ||||||||||||
Shares reacquired | (1,203,365 | ) | (5,020,759 | ) | (3,787,859 | ) | (15,896,102 | ) | ||||||||
Decrease | (267,987 | ) | $ | (1,121,000 | ) | (1,519,263 | ) | $ | (6,388,213 | ) |
499
Notes to Financial Statements (unaudited)(continued)
Short Duration Income Fund | Six Months Ended May 31, 2019 (unaudited | ) | Year Ended November 30, 2018 | |||||||||||||
Class R3 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 12,474,741 | $ | 52,033,615 | 22,105,896 | $ | 92,661,329 | ||||||||||
Reinvestment of distributions | 1,380,513 | 5,770,794 | 2,519,826 | 10,563,054 | ||||||||||||
Shares reacquired | (9,231,324 | ) | (38,469,813 | ) | (20,905,906 | ) | (87,972,540 | ) | ||||||||
Increase | 4,623,930 | $ | 19,334,596 | 3,719,816 | $ | 15,251,843 | ||||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 10,548,384 | $ | 44,067,467 | 15,152,818 | $ | 63,678,097 | ||||||||||
Reinvestment of distributions | 376,768 | 1,577,229 | 526,247 | 2,205,376 | ||||||||||||
Shares reacquired | (5,972,114 | ) | (24,919,970 | ) | (8,067,425 | ) | (33,913,929 | ) | ||||||||
Increase | 4,953,038 | $ | 20,724,726 | 7,611,640 | $ | 31,969,544 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 6,280,036 | $ | 26,049,149 | 7,946,782 | $ | 33,249,576 | ||||||||||
Reinvestment of distributions | 267,118 | 1,113,210 | 329,805 | 1,376,939 | ||||||||||||
Shares reacquired | (2,528,381 | ) | (10,505,108 | ) | (3,000,523 | ) | (12,561,968 | ) | ||||||||
Increase | 4,018,773 | $ | 16,657,251 | 5,276,064 | $ | 22,064,547 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 62,450,050 | $ | 260,504,727 | 89,191,701 | $ | 374,556,791 | ||||||||||
Reinvestment of distributions | 2,886,924 | 12,058,222 | 4,179,697 | 17,477,967 | ||||||||||||
Shares reacquired | (20,284,391 | ) | (84,553,625 | ) | (28,159,616 | ) | (117,823,872 | ) | ||||||||
Increase | 45,052,583 | $ | 188,009,324 | 65,211,782 | $ | 274,210,886 | ||||||||||
Class T Shares(b) | ||||||||||||||||
Reinvestment of distributions | – | $ | – | 52 | $ | 221 | ||||||||||
Shares reacquired | – | – | (2,406 | ) | (10,059 | ) | ||||||||||
Increase (decrease) | – | $ | – | (2,354 | ) | $ | (9,838 | ) | ||||||||
Total Return Fund | Six Months Ended May 31, 2019 (unaudited | ) | Year Ended November 30, 2018 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 13,997,431 | $ | 141,053,967 | 25,027,826 | $ | 253,021,559 | ||||||||||
Converted from Class B* | – | – | 13,404 | 137,041 | ||||||||||||
Converted from Class C** | 327,795 | 3,323,088 | 1,077,289 | 10,817,894 | ||||||||||||
Reinvestment of distributions | 1,644,368 | 16,647,848 | 3,341,091 | 33,603,577 | ||||||||||||
Shares reacquired | (14,287,893 | ) | (143,457,080 | ) | (35,389,029 | ) | (356,760,242 | ) | ||||||||
Increase (decrease) | 1,681,701 | $ | 17,567,823 | (5,929,419 | ) | $ | (59,180,171 | ) | ||||||||
Class B Shares(a) | ||||||||||||||||
Shares sold | – | $ | – | 2,072 | $ | 21,197 | ||||||||||
Reinvestment of distributions | – | – | 538 | 5,521 | ||||||||||||
Shares reacquired | – | – | (159,488 | ) | (1,629,583 | ) | ||||||||||
Converted to Class A* | – | – | (13,426 | ) | (137,041 | ) | ||||||||||
Increase (decrease) | – | $ | – | (170,304 | ) | $ | (1,739,906 | ) |
500
Notes to Financial Statements (unaudited)(continued)
Total Return Fund | Six Months Ended May 31, 2019 (unaudited | ) | Year Ended November 30, 2018 | |||||||||||||
Class C Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,114,147 | $ | 11,194,498 | 1,441,299 | $ | 14,635,239 | ||||||||||
Reinvestment of distributions | 132,175 | 1,336,410 | 309,531 | 3,111,959 | ||||||||||||
Shares reacquired | (1,724,163 | ) | (17,312,159 | ) | (4,564,827 | ) | (46,016,002 | ) | ||||||||
Converted to Class A** | (328,119 | ) | (3,323,088 | ) | (1,078,362 | ) | (10,817,894 | ) | ||||||||
Decrease | (805,960 | ) | $ | (8,104,339 | ) | (3,892,359 | ) | $ | (39,086,698 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 27,135,584 | $ | 272,796,462 | 28,102,861 | $ | 284,934,639 | ||||||||||
Reinvestment of distributions | 1,291,913 | 13,082,175 | 2,505,327 | 25,196,371 | ||||||||||||
Shares reacquired | (20,342,357 | ) | (204,420,035 | ) | (34,271,603 | ) | (345,655,517 | ) | ||||||||
Increase (decrease) | 8,085,140 | $ | 81,458,602 | (3,663,415 | ) | $ | (35,524,507 | ) | ||||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 8,697,918 | $ | 87,838,810 | 23,411,356 | $ | 236,879,870 | ||||||||||
Reinvestment of distributions | 1,039,852 | 10,525,530 | 2,248,874 | 22,616,091 | ||||||||||||
Shares reacquired | (15,097,186 | ) | (151,355,993 | ) | (17,678,371 | ) | (177,363,504 | ) | ||||||||
Increase (decrease) | (5,359,416 | ) | $ | (52,991,653 | ) | 7,981,859 | $ | 82,132,457 | ||||||||
Class I Shares | ||||||||||||||||
Shares sold | 11,237,972 | $ | 113,253,766 | 12,388,782 | $ | 125,821,390 | ||||||||||
Reinvestment of distributions | 621,361 | 6,305,758 | 1,200,033 | 12,089,693 | ||||||||||||
Shares reacquired | (9,934,993 | ) | (100,184,359 | ) | (12,121,965 | ) | (122,199,015 | ) | ||||||||
Increase | 1,924,340 | $ | 19,375,165 | 1,466,850 | $ | 15,712,068 | ||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 5,652 | $ | 57,206 | 4,446 | $ | 44,891 | ||||||||||
Reinvestment of distributions | 869 | 8,846 | 1,631 | 16,482 | ||||||||||||
Shares reacquired | (2,804 | ) | (28,384 | ) | (12,463 | ) | (128,278 | ) | ||||||||
Increase (decrease) | 3,717 | $ | 37,668 | (6,386 | ) | $ | (66,905 | ) | ||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 66,107 | $ | 662,843 | 114,095 | $ | 1,153,560 | ||||||||||
Reinvestment of distributions | 3,872 | 39,142 | 10,265 | 103,416 | ||||||||||||
Shares reacquired | (117,917 | ) | (1,188,159 | ) | (414,240 | ) | (4,217,682 | ) | ||||||||
Decrease | (47,938 | ) | $ | (486,174 | ) | (289,880 | ) | $ | (2,960,706 | ) | ||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 1,401,729 | $ | 14,089,199 | 4,341,811 | $ | 44,046,467 | ||||||||||
Reinvestment of distributions | 151,181 | 1,529,370 | 339,091 | 3,411,273 | ||||||||||||
Shares reacquired | (2,369,968 | ) | (23,744,450 | ) | (6,651,005 | ) | (67,169,075 | ) | ||||||||
Decrease | (817,058 | ) | $ | (8,125,881 | ) | (1,970,103 | ) | $ | (19,711,335 | ) | ||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 1,293,525 | $ | 13,040,729 | 2,535,815 | $ | 25,613,855 | ||||||||||
Reinvestment of distributions | 47,666 | 482,581 | 99,086 | 996,244 | ||||||||||||
Shares reacquired | (1,358,269 | ) | (13,640,919 | ) | (2,887,059 | ) | (29,112,361 | ) | ||||||||
Decrease | (17,078 | ) | $ | (117,609 | ) | (252,158 | ) | $ | (2,502,262 | ) |
501
Notes to Financial Statements (unaudited)(continued)
Total Return Fund | Six Months Ended May 31, 2019 (unaudited | ) | Year Ended November 30, 2018 | |||||||||||||
Class R5 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 4,413,308 | $ | 44,485,728 | 1,955,935 | $ | 19,705,498 | ||||||||||
Reinvestment of distributions | 168,557 | 1,708,333 | 284,968 | 2,866,907 | ||||||||||||
Shares reacquired | (1,723,621 | ) | (17,378,206 | ) | (2,423,137 | ) | (24,489,740 | ) | ||||||||
Increase (decrease) | 2,858,244 | $ | 28,815,855 | (182,234 | ) | $ | (1,917,335 | ) | ||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 9,622,819 | $ | 96,911,591 | 13,158,956 | $ | 132,727,299 | ||||||||||
Reinvestment of distributions | 434,205 | 4,402,785 | 662,838 | 6,665,184 | ||||||||||||
Shares reacquired | (3,797,067 | ) | (38,236,401 | ) | (7,075,386 | ) | (71,240,411 | ) | ||||||||
Increase | 6,259,957 | $ | 63,077,975 | 6,746,408 | $ | 68,152,072 | ||||||||||
Class T Shares(b) | ||||||||||||||||
Reinvestment of distributions | – | $ | – | 17 | $ | 175 | ||||||||||
Shares reacquired | – | – | (986 | ) | (9,871 | ) | ||||||||||
Increase (decrease) | – | $ | – | (969 | ) | $ | (9,696 | ) | ||||||||
Ultra Short Bond Fund | Six Months Ended May 31, 2019 (unaudited | ) | Year Ended November 30, 2018 | |||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 554,014,472 | $ | 5,543,304,488 | 861,733,618 | $ | 8,621,105,383 | ||||||||||
Reinvestment of distributions | 9,929,761 | 99,387,334 | 7,680,213 | 76,812,945 | ||||||||||||
Shares reacquired | (366,135,104 | ) | (3,663,495,044 | ) | (355,186,792 | ) | (3,553,351,477 | ) | ||||||||
Increase | 197,809,129 | $ | 1,979,196,778 | 514,227,039 | $ | 5,144,566,851 | ||||||||||
Class F Shares | ||||||||||||||||
Shares sold | 550,857,761 | $ | 5,510,040,984 | 598,730,801 | $ | 5,990,800,285 | ||||||||||
Reinvestment of distributions | 7,389,728 | 73,964,157 | 3,986,567 | 39,884,877 | ||||||||||||
Shares reacquired | (375,190,444 | ) | (3,754,996,196 | ) | (197,436,695 | ) | (1,975,571,007 | ) | ||||||||
Increase | 183,057,045 | $ | 1,829,008,945 | 405,280,673 | $ | 4,055,114,155 | ||||||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 12,367,956 | $ | 123,703,532 | 31,540,628 | $ | 315,657,944 | ||||||||||
Reinvestment of distributions | 382,126 | 3,825,049 | 323,874 | 3,240,930 | ||||||||||||
Shares reacquired | (13,986,055 | ) | (139,951,619 | ) | (9,692,360 | ) | (97,000,840 | ) | ||||||||
Increase (decrease) | (1,235,973 | ) | $ | (12,423,038 | ) | 22,172,142 | $ | 221,898,034 | ||||||||
Class I Shares | ||||||||||||||||
Shares sold | 110,831,427 | $ | 1,108,744,402 | 155,429,131 | $ | 1,554,545,144 | ||||||||||
Reinvestment of distributions | 1,576,713 | 15,780,422 | 1,105,994 | 11,061,608 | ||||||||||||
Shares reacquired | (85,257,972 | ) | (852,499,927 | ) | (38,790,372 | ) | (387,980,624 | ) | ||||||||
Increase | 27,150,168 | $ | 272,024,897 | 117,744,753 | $ | 1,177,626,128 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 72,563 | $ | 726,740 | 144,255 | $ | 1,442,554 | ||||||||||
Reinvestment of distributions | 2,735 | 27,377 | 886 | 8,869 | ||||||||||||
Shares reacquired | (10,187 | ) | (101,923 | ) | (2,706 | ) | (26,446 | ) | ||||||||
Increase | 65,111 | $ | 652,194 | 142,435 | $ | 1,424,977 |
502
Notes to Financial Statements (unaudited)(concluded)
Ultra Short Bond Fund | Six Months Ended May 31, 2019 (unaudited | ) | Year Ended November 30, 2018 | |||||||||||||
Class R6 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 813,168 | $ | 8,134,616 | 1,283,451 | $ | 12,846,053 | ||||||||||
Reinvestment of distributions | 9,089 | 90,983 | 8,091 | 80,974 | ||||||||||||
Shares reacquired | (945,204 | ) | (9,458,393 | ) | (615,270 | ) | (6,160,471 | ) | ||||||||
Increase (decrease) | (122,947 | ) | $ | (1,232,794 | ) | 676,272 | $ | 6,766,556 |
* | 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) | Closed on April 25, 2018. |
(b) | Closed on July 24, 2018. |
503
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 knowledge of 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 Broadridge Financial Solutions, Inc. (“Broadridge”) regarding the investment performance of the Fund compared to the investment performance of certain funds with similar investment styles as determined by Broadridge, 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 Broadridge 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 (for each Fund other than Corporate Bond Fund); and (9) information regarding the personnel and other resources devoted by Lord Abbett to managing the Fund.
Investment Management and Related Services Generally.The Board considered the 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, 2018. As to Convertible Fund, the Board observed that the Fund’s investment
504
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 and 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, but below the median of the performance peer group for the one-, three-, and five-year periods. The Board also observed that each of these Funds outperformed its respective benchmark(s) for the one-, three-, five-, and ten-year periods. As to Core Plus Bond Fund, Corporate Bond Fund, Short Duration Core Bond Fund, and Ultra Short Bond Fund, the Board observed that each 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 one-, three-, and five-year periods, and equal to the median of the performance peer group for the ten-year period. As to each of High Yield Fund, Income 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 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. 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 appropriate. 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, and other services provided to each Fund by Lord Abbett. Among other things, the Board considered the size, experience, and turnover of Lord Abbett’s staff, Lord Abbett’s investment methodology and philosophy, and Lord Abbett’s approach to recruiting, training, and retaining personnel.
Nature and Quality of Other Services.The Board considered the nature, quality, 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 level of each Fund, including the contractual and actual management fee rates, 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 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
505
Approval of Advisory Contract (continued)
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 personnel. The Board recognized that Lord Abbett’s overall profitability was a factor in enabling it to attract and retain qualified 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, Core Fixed Income Fund, High Yield Fund, Income Fund, Inflation Focused Fund, Short Duration Income Fund, and Total Return Fund, the Board concluded that the contractual breakpoints in the existing management fee schedule adequately addressed any economies of scale in managing the Fund. With respect to each of Short Duration Core Bond Fund and Core Plus Bond Fund, the Board concluded that the contractual breakpoints in the existing management fee schedule, in conjunction with the Fund’s proposed expense limitation agreement, adequately addressed any economies of scale. With respect to Corporate Bond Fund, the Board concluded that the contractual breakpoint in the existing management fee schedule, in conjunction with the Fund’s proposed expense limitation agreement, adequately addressed any economies of scale. With respect to Floating Rate Fund, the Board concluded that the contractual 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, such as the fee that Lord Abbett receives from each Fund for providing administrative services to the Fund. 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 the Lord Abbett Funds. The Board also took into consideration the investment research that Lord Abbett receives as a result of client 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.
506
Approval of Advisory Contract (concluded)
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.
507
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 as an attachment to Form N-PORT. Previously, this information was filed 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.
508
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 (07/19) |
LORD ABBETT
SEMIANNUAL REPORT
Lord Abbett
Multi-Asset Balanced Opportunity Fund
Multi-Asset Growth Fund
Multi-Asset Income Fund
For the six-month period ended May 31, 2019
Important Information on Paperless Delivery
Beginning in January 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of each Fund’s shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer, investment advisor or bank. Instead, the reports will be made available on Lord Abbett’s website and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. Shareholders who hold accounts directly with a Fund may elect to receive shareholder reports and other communications from the Fund electronically by signing into your Lord Abbett online account at lordabbett.com and selecting “Log In.” For further information, you may also contact the Funds at (800) 821-5129. Shareholders who hold accounts through a financial intermediary should contact them directly.
You may elect to receive all future reports in paper free of charge by contacting a Fund at (800) 821-5129. Your election to receive reports in paper will apply to all funds held with Lord Abbett. If your fund shares are held through a financial intermediary please contact them directly. Your election applies to all funds held with that intermediary.
Table of Contents
Lord Abbett Investment Trust
Lord Abbett Multi-Asset Balanced Opportunity Fund,
Lord Abbett Multi-Asset Growth Fund,
and Lord Abbett Multi-Asset Income Fund
Semiannual Report
For the six-month period ended May 31, 2019
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, 2019. 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 inLord 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, 2018 through May 31, 2019).
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 12/1/18 – 5/31/19” 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†# | |||||
12/1/18 | 5/31/19 | 12/1/18 - 5/31/19 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,031.80 | $2.68 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.29 | $2.67 | ||||
Class C | |||||||
Actual | $1,000.00 | $1,027.30 | $6.47 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.55 | $6.44 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,032.50 | $1.93 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.04 | $1.92 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $1,034.10 | $0.86 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,024.08 | $0.86 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,033.00 | $1.42 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.54 | $1.41 | ||||
Class P | |||||||
Actual | $1,000.00 | $1,030.90 | $3.70 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.29 | $3.68 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,030.20 | $4.50 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.49 | $4.48 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,030.60 | $3.95 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.04 | $3.93 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,031.80 | $2.68 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.29 | $2.67 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,032.10 | $1.42 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.54 | $1.41 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $1,033.10 | $1.01 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.93 | $1.01 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.53% for Class A, 1.28%for Class C, 0.38% for Class F, 0.17% for Class F3, 0.28% for Class I, 0.73% for Class P, 0.89% for Class R2, 0.78% for ClassR3, 0.53% for Class R4, 0.28% for Class R5 and 0.20% 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 Balanced Opportunity Fund invests. |
3
Portfolio Holdings Presented by Portfolio Allocation
May 31, 2019
Underlying Fund Name | %* | |||
Lord Abbett Investment Trust-Convertible Fund-Class I | 8.54 | % | ||
Lord Abbett Global Fund, Inc.-Emerging Markets Bond Fund-Class I | 5.49 | % | ||
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I | 13.31 | % | ||
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I | 11.15 | % | ||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I | 8.67 | % | ||
Lord Abbett Investment Trust-High Yield Fund-Class I | 15.66 | % | ||
Lord Abbett Investment Trust-Inflation Focused Fund-Class I | 5.07 | % | ||
Lord Abbett Securities Trust-International Equity Fund-Class I | 5.58 | % | ||
Lord Abbett Securities Trust-International Value Fund-Class I | 5.51 | % | ||
Lord Abbett Mid Cap Stock Fund, Inc.-Class I | 13.72 | % | ||
Lord Abbett Investment Trust-Ultra Short Bond Fund-Class I | 7.30 | % | ||
Total | 100.00 | % |
* | Represents percent of total investments. |
4
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†# | |||||
12/1/18 | 5/31/19 | 12/1/18 - 5/31/19 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,025.80 | $2.83 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.14 | $2.82 | ||||
Class C | |||||||
Actual | $1,000.00 | $1,022.00 | $6.60 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.40 | $6.59 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,026.60 | $2.07 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.89 | $2.07 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $1,027.80 | $1.06 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.88 | $1.06 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,027.60 | $1.57 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.39 | $1.56 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,024.70 | $4.54 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.44 | $4.53 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,024.60 | $4.09 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.89 | $4.08 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,026.00 | $2.83 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.14 | $2.82 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,027.60 | $1.52 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.44 | $1.51 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $1,027.80 | $1.06 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.88 | $1.06 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.56% for Class A, 1.31%for Class C, 0.41% for Class F, 0.21% for Class F3, 0.31% for Class I, 0.90% for Class R2, 0.81% for Class R3, 0.56% for ClassR4, 0.30% for Class R5 and 0.21% for Class R6) multiplied by the average account value over the period, multiplied by182/365 (to reflect one-half year period). |
# | Does not include expenses of the Underlying Funds in which Multi-Asset Growth Fund invests. |
5
Portfolio Holdings Presented by Portfolio Allocation
May 31, 2019
Underlying Fund Name | %* | |||
Lord Abbett Investment Trust-Convertible Fund-Class I | 3.52 | % | ||
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I | 14.78 | % | ||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I | 10.45 | % | ||
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I | 13.43 | % | ||
Lord Abbett Investment Trust-High Yield Fund-Class I | 19.17 | % | ||
Lord Abbett Investment Trust-Inflation Focused Fund-Class I | 0.76 | % | ||
Lord Abbett Securities Trust-International Equity Fund-Class I | 8.10 | % | ||
Lord Abbett Securities Trust-International Value Fund-Class I | 8.06 | % | ||
Lord Abbett Mid Cap Stock Fund, Inc.-Class I | 18.11 | % | ||
Lord Abbett Investment Trust-Ultra Short Bond Fund-Class I | 3.62 | % | ||
Total | 100.00 | % |
* | Represents percent of total investments. |
6
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†# | |||||
12/1/18 | 5/31/19 | 12/1/18 - 5/31/19 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,033.90 | $2.54 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.44 | $2.52 | ||||
Class C | |||||||
Actual | $1,000.00 | $1,030.20 | $6.33 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.70 | $6.29 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,034.70 | $1.78 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.19 | $1.77 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $1,035.50 | $0.91 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,024.03 | $0.91 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,034.70 | $1.27 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.68 | $1.26 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,031.90 | $4.31 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.69 | $4.28 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,032.70 | $3.80 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.19 | $3.78 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,034.00 | $2.54 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.44 | $2.52 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,035.40 | $1.22 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.73 | $1.21 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $1,035.50 | $0.91 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,024.03 | $0.91 |
† | 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, 0.85% for Class R2, 0.75% for Class R3, 0.50% for ClassR4, 0.24% for Class R5 and 0.18% for Class R6) multiplied by the average account value over the period, multiplied by182/365 (to reflect one-half year period). |
# | Does not include expenses of the Underlying Funds in which Multi-Asset Income Fund invests. |
7
Portfolio Holdings Presented by Portfolio Allocation
May 31, 2019
Underlying Fund Name | %* | |||
Lord Abbett Investment Trust-Convertible Fund-Class I | 12.43 | % | ||
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I | 1.04 | % | ||
Lord Abbett Global Fund, Inc.-Emerging Markets Bond Fund-Class I | 5.19 | % | ||
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I | 7.22 | % | ||
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I | 6.04 | % | ||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I | 5.06 | % | ||
Lord Abbett Investment Trust-High Yield Fund-Class I | 16.60 | % | ||
Lord Abbett Investment Trust-Inflation Focused Fund-Class I | 6.57 | % | ||
Lord Abbett Securities Trust-International Equity Fund-Class I | 5.52 | % | ||
Lord Abbett Securities Trust-International Value Fund-Class I | 5.50 | % | ||
Lord Abbett Mid Cap Stock Fund, Inc.-Class I | 8.01 | % | ||
Lord Abbett Investment Trust-Ultra Short Bond Fund-Class I | 20.82 | % | ||
Total | 100.00 | % |
* | Represents percent of total investments. |
8
Schedule of Investments (unaudited)
MULTI-ASSET BALANCED OPPORTUNITY FUNDMay 31, 2019
Investments | Shares | Fair Value (000) | ||||||
INVESTMENTS IN UNDERLYING FUNDS(a)(b)99.18% | ||||||||
Lord Abbett Investment Trust-Convertible Fund-Class I(c) | 9,282,134 | $ | 121,503 | |||||
Lord Abbett Global Fund, Inc.-Emerging Markets Bond Fund-Class I(d) | 15,412,301 | 78,140 | ||||||
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I(e) | 16,389,281 | 189,296 | ||||||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I*(f) | 4,369,341 | 123,347 | ||||||
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I*(g) | 6,229,517 | 158,604 | ||||||
Lord Abbett Investment Trust-High Yield Fund-Class I(h) | 30,420,258 | 222,676 | ||||||
Lord Abbett Investment Trust-Inflation Focused Fund-Class I(i) | 6,316,474 | 72,134 | ||||||
Lord Abbett Securities Trust-International Equity Fund-Class I(j) | 6,431,149 | 79,296 | ||||||
Lord Abbett Securities Trust-International Value Fund-Class I(k) | 11,808,282 | 78,289 | ||||||
Lord Abbett Mid Cap Stock Fund, Inc.-Class I(l) | 7,616,773 | 195,142 | ||||||
Lord Abbett Investment Trust-Ultra Short Bond Fund-Class I(m) | 10,355,297 | 103,760 | ||||||
Total Investments in Underlying Funds (cost $1,462,005,901) | 1,422,187 | |||||||
PURCHASE OPTIONS AND SWAPTIONS 1.20% (cost $11,979,766) | 17,275 | |||||||
Principal Amount (000) | ||||||||
SHORT-TERM INVESTMENT 0.03% | ||||||||
Repurchase Agreement | ||||||||
Repurchase Agreement dated 5/31/2019, 1.45% due 6/3/2019 with Fixed Income Clearing Corp. collateralized by $405,000 of U.S. Treasury Note at 2.250% due 3/31/2021; value: $407,536; proceeds: $394,879 (cost $394,831) | $395 | 395 | ||||||
Total Investments in Securities 100.41% (cost $1,474,380,498) | 1,439,857 | |||||||
Liabilities in Excess of Cash, Foreign Cash and Other Assets(n)(0.41%) | (5,892 | ) | ||||||
Net Assets 100.00% | $ | 1,433,965 |
* | Non-income producing security. | |
(a) | Affiliated issuers (See Note 11). | |
(b) | These investments offer daily redemptions. | |
(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 long-term growth of capital and income without excessive fluctuations in market value. | |
(f) | Fund investment objective is to seek capital appreciation. | |
(g) | Fund investment objective is capital appreciation. | |
(h) | Fund investment objective is to seek a high 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 long-term capital appreciation. | |
(k) | Fund investment objective is to seek a high level of total return. | |
(l) | Fund investment objective is to seek capital appreciation through investments, primarily in equity securities, which are believed to be undervalued in the marketplace. |
See Notes to Financial Statements. | 9 |
Schedule of Investments (unaudited)(continued)
MULTI-ASSET BALANCED OPPORTUNITY FUNDMay 31, 2019
(m) | Fund investment objective is to seek current income consistent with the preservation of capital. | |
(n) | Liabilities in Excess of Cash, Foreign Cash and Other Assets include net unrealized appreciation/depreciation on futures contracts, written options and written swaptions contracts as follows: |
Open Futures Contracts at May 31, 2019:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||
E-Mini MSCI EAFE INDEX | June 2019 | 354 | Short | $(32,590,260 | ) | $(32,176,830 | ) | $ | 413,430 | |||||||||
E-Mini S&P 500 INDEX | June 2019 | 316 | Short | (43,577,893 | ) | (43,491,080 | ) | 86,813 | ||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 500,243 | ||||||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||
E-Mini NASDAQ 100 | June 2019 | 238 | Short | $(33,577,730 | ) | $(33,955,460 | ) | $ | (377,730 | ) | ||||||||
OTC Options Purchased | ||||||||||||||||||
Description | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Notional Amount | Value (000 | ) | |||||||||||
S&P 500 Index -Put | Citibank | 29,798 | 5/18/2020 | $2,549 | $ 29,798 | $ | 3,271 | |||||||||||
S&P 500 Index -Put | JP Morgan | 106,965 | 5/18/2020 | 2,583 | 106,965 | 12,687 | ||||||||||||
15,958 |
OTC Interest Rate Swaptions Purchased
Description | Counterparty | Expiration Date | Notional Amount | Value (000 | ) | ||||||
Straddle swaption on floating rate 2y-5y ATM (3-month USD- Libor)-Call | Morgan Stanley | 3/7/2022 | $590,000,000 | $1,317 |
Open OTC Written Options at May 31, 2019:
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Fair Value | Premiums (Received | ) | Unrealized Appreciation/ (Depreciation | ) | ||||||||||||||||||
S&P 500 Index, Put | Citibank | $2,266 | 5/18/2020 | 29,798 | $ | (29,798 | ) | $ | (1,604,276 | ) | $ | (1,299,789 | ) | $ | (304,487 | ) | ||||||||||||
S&P 500 Index, Call | Citibank | 3,116 | 5/18/2020 | 29,798 | (29,798 | ) | (961,862 | ) | (1,350,445 | ) | 388,583 | |||||||||||||||||
S&P 500 Index, Put | J.P. Morgan | 2,296 | 5/18/2020 | 106,965 | (106,965 | ) | (6,242,111 | ) | (4,528,246 | ) | (1,713,865 | ) | ||||||||||||||||
S&P 500 Index, Call | J.P. Morgan | 3,157 | 5/18/2020 | 106,965 | (106,965 | ) | (2,643,816 | ) | (4,912,003 | ) | 2,268,187 | |||||||||||||||||
Total OTC Written Options | $ | (11,452,065 | ) | $ | (12,090,483 | ) | $ | 638,418 |
Open OTC Written Interest Rate Swaptions at May 31, 2019:
Description | Counterparty | Expiration Date | Notional Amount | Cost | Fair Value | ||||
Straddle swaption on floating rate 2y-5y ATM (3-month USD-Libor)(1) | Morgan Stanley | 3/7/2022 | $590,000,000 | – | $(6 | ) |
(1) | At the settlement date of March 9, 2020, the Portfolio will purchase from the counterparty a straddle swaption (i.e.a receiver swaption and a payer swaption) with a determined premium amount of $20,720,063 and an interest ratecomponent to be determined at a future date. |
10 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(concluded)
MULTI-ASSET BALANCED OPPORTUNITY FUNDMay 31, 2019
The following is a summary of the inputs used as of May 31, 2019 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) | ||||||||||||
Long-Term Investments | ||||||||||||||||
Investments in Underlying Funds | $ | 1,422,187 | $ | – | $ | – | $ | 1,422,187 | ||||||||
OTC Options Purchased | – | 15,958 | – | 15,958 | ||||||||||||
OTC Interest Rate Swaptions Purchased | – | 1,317 | – | 1,317 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Repurchase Agreement | – | 395 | – | 395 | ||||||||||||
Total | $ | 1,422,187 | $ | 17,670 | $ | – | $ | 1,439,857 | ||||||||
Other Financial Instruments | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Assets | $ | 500 | $ | – | $ | – | $ | 500 | ||||||||
Liabilities | (378 | ) | – | – | (378 | ) | ||||||||||
OTC Options Written | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | (11,452 | ) | – | (11,452 | ) | ||||||||||
OTC Interest Rate Swaptions Written | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | – | (4) | – | – | |||||||||||
Total | $ | 122 | $ | (11,452 | ) | $ | – | $ | (11,330 | ) |
(1) | Refer to Note 2(l) 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, 2019. | |
(4) | Represents less than $1,000. |
See Notes to Financial Statements. | 11 |
Schedule of Investments (unaudited)
MULTI-ASSET GROWTH FUNDMay 31, 2019
Investments | Shares | Fair Value (000) | ||||||
INVESTMENTS IN UNDERLYING FUNDS(a)(b)99.12% | ||||||||
Lord Abbett Investment Trust-Convertible Fund-Class I(c) | 2,599,965 | $ | 34,034 | |||||
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I(d) | 12,380,437 | 142,994 | ||||||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I*(e) | 3,580,347 | 101,073 | ||||||
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I*(f) | 5,103,759 | 129,942 | ||||||
Lord Abbett Investment Trust-High Yield Fund-Class I(g) | 25,336,872 | 185,466 | ||||||
Lord Abbett Investment Trust-Inflation Focused Fund-Class I(h) | 642,748 | 7,340 | ||||||
Lord Abbett Securities Trust-International Equity Fund-Class I(i) | 6,359,452 | 78,412 | ||||||
Lord Abbett Securities Trust-International Value Fund-Class I(j) | 11,766,486 | 78,012 | ||||||
Lord Abbett Mid Cap Stock Fund, Inc.-Class I(k) | 6,839,583 | 175,230 | ||||||
Lord Abbett Investment Trust-Ultra Short Bond Fund-Class I(l) | 3,496,309 | 35,033 | ||||||
Total Investments in Underlying Funds (cost $1,008,127,497) | 967,536 | |||||||
PURCHASE OPTIONS AND SWAPTIONS 1.30% (cost $9,258,662) | 12,682 | |||||||
Principal Amount (000) | ||||||||
SHORT-TERM INVESTMENT 0.01% | ||||||||
Repurchase Agreement | ||||||||
Repurchase Agreement dated 5/31/2019, 1.45% due 6/3/2019 with Fixed Income Clearing Corp. collateralized by $150,000 of U.S. Treasury Note at 0.625% due 7/15/2021 value: $170,185; proceeds: $166,369 (cost $166,349) | $166 | 166 | ||||||
Total Investments in Securities 100.43% (cost $1,017,552,508) | 980,384 | |||||||
Liabilities in Excess of Cash and Other Assets(m)(0.43%) | (4,242 | ) | ||||||
Net Assets 100.00% | $ | 976,142 |
* | Non-income producing security. | |
(a) | Affiliated issuers (See Note 11). | |
(b) | These investments offer daily redemptions. | |
(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 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 long-term capital appreciation. | |
(j) | Fund investment objective is to seek a high level of total return. | |
(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 current income consistent with the preservation of capital. | |
(m) | Liabilities in Excess of Cash and Other Assets include net unrealized appreciation/depreciation on futures contracts, written options and written swaptions as follows: |
12 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(continued)
MULTI-ASSET GROWTH FUNDMay 31, 2019
Open Futures Contracts at May 31, 2019:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||
E-Mini MSCI EAFE INDEX | June 2019 | 240 | Short | $ | (22,095,091 | ) | $ | (21,814,800 | ) | $ | 280,291 | |||||||
E-Mini S&P 500 INDEX | June 2019 | 284 | Short | (39,677,879 | ) | (39,086,920 | ) | 590,959 | ||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 871,250 | ||||||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||
E-Mini NASDAQ 100 | June 2019 | 145 | Short | $ | (20,457,020 | ) | $ | (20,687,150 | ) | $ | (230,130 | ) | ||||||
OTC Options Purchased | ||||||||||||||||||
Description | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Notional Amount | Value (000 | ) | |||||||||||
S&P 500 Index -Put | Citibank | 16,700 | 5/18/2020 | $2,549 | $16,700 | $ | 1,833 | |||||||||||
S&P 500 Index -Put | JP Morgan | 89,055 | 5/18/2020 | 2,557 | 89,055 | 9,954 | ||||||||||||
$ | 11,787 |
OTC Interest Rate Swaptions Purchased
Description | Counterparty | Expiration Date | Notional Amount | Value (000 | ) | |||||||
Straddle swaption on floating rate 2y-5y ATM (3-month USD- Libor)-Call | Morgan Stanley | 3/7/2022 | $401,000,000 | $895 |
Open OTC Written Options at May 31, 2019:
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Fair Value | Premiums (Received | ) | Unrealized Appreciation/ (Depreciation | ) | ||||||||||||||||||
S&P 500 Index, Put | Citibank | $2,266 | 5/18/2020 | 16,700 | $(16,700 | ) | $ | (899,101 | ) | $ | (728,454 | ) | $ | (170,647 | ) | |||||||||||||
S&P 500 Index, Call | Citibank | 3,116 | 5/18/2020 | 16,700 | (16,700 | ) | (539,066 | ) | (756,844 | ) | 217,778 | |||||||||||||||||
S&P 500 Index, Put | Goldman Sachs | 2,273 | 5/18/2020 | 89,055 | (89,055 | ) | (4,885,113 | ) | (3,830,425 | ) | (1,054,688 | ) | ||||||||||||||||
S&P 500 Index, Call | Goldman Sachs | 3,125 | 5/18/2020 | 89,055 | (89,055 | ) | (2,706,910 | ) | (4,098,605 | ) | 1,391,695 | |||||||||||||||||
Total OTC Written Options | $ | (9,030,190 | ) | $ | (9,414,328 | ) | $ | 384,138 |
Open OTC Written Interest Rate Swaptions at May 31, 2019:
Description | Counterparty | Expiration Date | Notional Amount | Cost | Fair Value | |||||||
Straddle swaption on floating rate 2y-5y ATM (3-month USD-Libor)(1) | Morgan Stanley | 3/7/2022 | $401,000,000 | – | $(4 | ) |
(1) | At the settlement date of March 9, 2020, the Portfolio will purchase from the counterparty a straddle swaption (i.e.a receiver swaption and a payer swaption) with a determined premium amount of $14,082,619 and an interest ratecomponent to be determined at a future date. |
See Notes to Financial Statements. | 13 |
Schedule of Investments (unaudited)(concluded)
MULTI-ASSET GROWTH FUNDMay 31, 2019
The following is a summary of the inputs used as of May 31, 2019 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) | ||||||||||||
Long-Term Investments | ||||||||||||||||
Investments in Underlying Funds | $ | 967,536 | $ | – | $ | – | $ | 967,536 | ||||||||
OTC Options Purchased | – | 11,787 | – | 11,787 | ||||||||||||
OTC Interest Rate Swaptions Purchased | – | 895 | – | 895 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Repurchase Agreement | – | 166 | – | 166 | ||||||||||||
Total | $ | 967,536 | $ | 12,848 | $ | – | $ | 980,384 | ||||||||
Other Financial Instruments | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Assets | $ | 871 | $ | – | $ | – | $ | 871 | ||||||||
Liabilities | (230 | ) | – | – | (230 | ) | ||||||||||
OTC Options Written | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | (9,030 | ) | – | (9,030 | ) | ||||||||||
OTC Interest Rate Swaptions Written | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | – | (4) | – | – | |||||||||||
Total | $ | 641 | $ | (9,030 | ) | $ | – | $ | (8,389 | ) |
(1) | Refer to Note 2(l) 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, 2019. | |
(4) | Represents less than $1,000. |
14 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)
MULTI-ASSET INCOME FUNDMay 31, 2019
Investments | Shares | Fair Value (000) | ||||||
INVESTMENTS IN UNDERLYING FUNDS(a)(b)99.08% | ||||||||
Lord Abbett Investment Trust-Convertible Fund-Class I(c) | 12,500,635 | $ | 163,633 | |||||
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I(d) | 1,247,595 | 13,561 | ||||||
Lord Abbett Global Fund, Inc.-Emerging Markets Bond Fund-Class I(e) | 13,459,450 | 68,239 | ||||||
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I(f) | 8,226,720 | 95,019 | ||||||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I*(g) | 2,359,566 | 66,611 | ||||||
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I*(h) | 3,120,855 | 79,457 | ||||||
Lord Abbett Investment Trust-High Yield Fund-Class I(i) | 29,837,536 | 218,411 | ||||||
Lord Abbett Investment Trust-Inflation Focused Fund-Class I(j) | 7,570,662 | 86,457 | ||||||
Lord Abbett Securities Trust-International Equity Fund-Class I(k) | 5,893,849 | 72,671 | ||||||
Lord Abbett Securities Trust-International Value Fund-Class I(l) | 10,912,524 | 72,350 | ||||||
Lord Abbett Mid Cap Stock Fund, Inc.-Class I(m) | 4,114,839 | 105,422 | ||||||
Lord Abbett Investment Trust-Ultra Short Bond Fund-Class I(n) | 27,340,727 | 273,954 | ||||||
Total Investments in Underlying Funds (cost $1,347,265,683) | 1,315,785 | |||||||
PURCHASED OPTIONS AND SWAPTIONS 0.78% (cost $6,978,503) | 10,323 | |||||||
Principal Amount (000) | ||||||||
SHORT-TERM INVESTMENT 0.01% | ||||||||
Repurchase Agreement | ||||||||
Repurchase Agreement dated 5/31/2019, 1.45% due 6/3/2019 with Fixed Income Clearing Corp. collateralized by $100,000 of U.S. Treasury Note at 0.625% due 7/15/2021; value: $113,457; proceeds: $109,792 (cost $109,779) | $110 | 110 | ||||||
Total Investments in Securities 99.87% (cost $1,354,353,965) | 1,326,218 | |||||||
Cash and Other Assets in Excess of Liabilities(o)0.13% | 1,765 | |||||||
Net Assets 100.00% | $ | 1,327,983 |
* | Non-income producing security. | |
(a) | Affiliated issuers (See Note 11). | |
(b) | These investments offer daily redemptions. | |
(c) | Fund investment objective is to seek a 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 long-term growth of capital and income without excessive fluctuations in market value. | |
(g) | Fund investment objective is to seek capital appreciation. | |
(h) | Fund investment objective is capital appreciation. | |
(i) | Fund investment objective is to seek high current income and the opportunity for capital appreciation to produce a high total return. | |
(j) | 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. | |
(k) | Fund investment objective is to seek long-term capital appreciation. | |
(l) | Fund investment objective is to seek a high level of total return. |
See Notes to Financial Statements. | 15 |
Schedule of Investments (unaudited)(continued)
MULTI-ASSET INCOME FUNDMay 31, 2019
(m) | Fund investment objective is to seek capital appreciation through investments, primarily in equity securities, which are believed to be undervalued in the marketplace. | |
(n) | Fund investment objective is to seek current income consistent with the preservation of capital. | |
(o) | Cash and Other Assets in Excess of Liabilities include net unrealized appreciation/depreciation on futures contracts written option contracts and written swaption contracts as follows: |
Open Futures Contracts at May 31, 2019:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||
E-Mini MSCI EAFE INDEX | June 2019 | 324 | Short | $ | (29,828,373 | ) | $ | (29,449,980 | ) | $ | 378,393 | |||||||
E-Mini S&P 500 INDEX J | June 2019 | 583 | Short | (81,522,457 | ) | (80,238,290 | ) | 1,284,167 | ||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 1,662,560 | ||||||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||
E-Mini NASDAQ 100 | June 2019 | 196 | Short | $ | (27,652,249 | ) | $ | (27,963,320 | ) | $ | (311,071 | ) | ||||||
OTC Options Purchased | ||||||||||||||||||
Description | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Notional Amount | Value (000 | ) | |||||||||||
S&P 500 Index -Put | Citibank | 42,856 | 5/18/2020 | $2,583 | $42,856 | $ | 5,083 | |||||||||||
S&P 500 Index -Put | JP Morgan | 36,754 | 5/18/2020 | 2,549 | 36,754 | 4,034 | ||||||||||||
$ | 9,117 |
OTC Interest Rate Swaptions Purchased
Description | Counterparty | Expiration Date | Notional Amount | Value (000 | ) | |||||||
Straddle swaption on floating rate 2y-5y ATM (3-month USD-Libor)-Call | Morgan Stanley | 3/7/2022 | 540,000,000 | $1,206 |
Open OTC Written Options at May 31, 2019:
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Fair Value (000 | ) | Premiums (Received | ) | Unrealized Appreciation/ (Depreciation | ) | |||||||||||||||||
S&P 500 Index, Call | Citibank | $3,116 | 5/18/2020 | 36,754 | $ | (36,754 | ) | $ | (1,186,398 | ) | $ | (1,665,692 | ) | $ | 479,294 | |||||||||||||
S&P 500 Index, Put | Citibank | 2,266 | 5/18/2020 | 36,754 | (36,754 | ) | (1,978,776 | ) | (1,603,209 | ) | (375,567 | ) | ||||||||||||||||
S&P 500 Index, Put | J.P. Morgan | 2,296 | 5/18/2020 | 42,856 | (42,856 | ) | (2,500,912 | ) | (1,814,249 | ) | (686,663 | ) | ||||||||||||||||
S&P 500 Index Call | J.P. Morgan | 3,157 | 5/18/2020 | 42,856 | (42,856 | ) | (1,059,249 | ) | (1,968,002 | ) | 908,753 | |||||||||||||||||
Total OTC Written Options | $ | (6,725,335 | ) | $ | (7,051,152 | ) | $ | 325,817 |
Open OTC Written Interest Rate Swaption at May 31, 2019:
Description | Counterparty | Expiration Date | Notional Amount | Cost | Value | |||||||
Straddle swaption on floating rate 2y-5y ATM (3-month USD-Libor)(1) | Morgan Stanley | 3/7/2022 | $540,000,000 | – | $(5 | ) |
(1) | At the settlement date of March 9, 2020, the Portfolio will purchase from the counterparty a straddle swaption (i.e. a receiver swaption and a payer swaption) with a determined premium amount of $18,964,125 and an interest rate component to be determined at a future date. |
16 | See Notes to Financial Statements. |
Schedule of Investments (unaudited)(concluded)
MULTI-ASSET INCOME FUNDMay 31, 2019
The following is a summary of the inputs used as of May 31, 2019 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) | ||||||||||||
Long-Term Investments | ||||||||||||||||
Investments in Underlying Funds | $ | 1,315,785 | $ | – | $ | – | $ | 1,315,785 | ||||||||
OTC Options Purchased | – | 9,117 | – | 9,117 | ||||||||||||
OTC Interest Rate Swaption Purchased | – | 1,206 | – | 1,206 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Repurchase Agreement | – | 110 | – | 110 | ||||||||||||
Total | $ | 1,315,785 | $ | 10,433 | $ | – | $ | 1,326,218 | ||||||||
Other Financial Instruments | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Assets | $ | 1,663 | $ | – | $ | – | $ | 1,663 | ||||||||
Liabilities | (311 | ) | – | – | (311 | ) | ||||||||||
OTC Options Written | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | (6,725 | ) | – | (6,725 | ) | ||||||||||
OTC Interest Rate Swaptions Written | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | – | (4) | – | – | |||||||||||
Total | $ | 1,352 | $ | (6,725 | ) | $ | – | $ | (5,373 | ) |
(1) | Refer to Note 2(l) 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, 2019. | |
(4) | Represents less than $1,000. |
See Notes to Financial Statements. | 17 |
Statements of Assets and Liabilities (unaudited)
May 31, 2019
Multi-Asset | ||||||||||||
Balanced | ||||||||||||
Opportunity | Multi-Asset | Multi-Asset | ||||||||||
Fund | Growth Fund | Income Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in securities, at cost | $ | 12,374,597 | $ | 9,425,011 | $ | 7,088,282 | ||||||
Investments in Underlying Funds, at cost | 1,462,005,901 | 1,008,127,497 | 1,347,265,683 | |||||||||
Investments in securities, at value | $ | 17,670,432 | $ | 12,848,626 | $ | 10,433,087 | ||||||
Investments in Underlying Funds, at value | 1,422,186,914 | 967,535,533 | 1,315,785,382 | |||||||||
Cash | 34,440 | 19,146 | 42,115 | |||||||||
Deposits with brokers for futures collateral | 5,392,600 | 3,971,200 | 6,620,500 | |||||||||
Deposits for OTC option collateral | 380,000 | 430,000 | 570,000 | |||||||||
Receivables: | ||||||||||||
Interest and dividends | 2,057,203 | 1,099,764 | 2,496,272 | |||||||||
Variation margin for futures contracts | 1,413,561 | 1,044,692 | 1,794,671 | |||||||||
Capital shares sold | 1,957,685 | 201,016 | 2,088,614 | |||||||||
Investments in Underlying Funds sold | 2,181,592 | 1,416,867 | 1,519,665 | |||||||||
Prepaid expenses and other assets | 122,702 | 123,911 | 127,571 | |||||||||
Total assets | 1,453,397,129 | 988,690,755 | 1,341,477,877 | |||||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Capital shares reacquired | 3,507,455 | 1,678,480 | 1,769,288 | |||||||||
Investments in Underlying Funds purchased | 1,933,543 | 1,034,772 | 2,346,119 | |||||||||
12b-1 distribution plan | 394,556 | 202,333 | 486,869 | |||||||||
Trustees’ fees | 279,774 | 160,113 | 196,171 | |||||||||
Management fee | 124,793 | 85,424 | 114,645 | |||||||||
Fund administration | 49,917 | 34,170 | 45,860 | |||||||||
Options and swaptions written, at value (including premiums received of $12,090,483, $9,414,328 and $7,051,152, respectively) (See Note 2) | 11,452,071 | 9,030,194 | 6,725,340 | |||||||||
Distributions payable | 1,185,444 | – | 1,541,534 | |||||||||
Accrued expenses | 504,710 | 323,283 | 269,223 | |||||||||
Total liabilities | 19,432,263 | 12,548,769 | 13,495,049 | |||||||||
NET ASSETS | $ | 1,433,964,866 | $ | 976,141,986 | $ | 1,327,982,828 | ||||||
COMPOSITION OF NET ASSETS: | ||||||||||||
Paid-in capital | $ | 1,487,667,747 | $ | 1,021,926,724 | $ | 1,501,407,906 | ||||||
Total distributable earnings (loss) | (53,702,881 | ) | (45,784,738 | ) | (173,425,078 | ) | ||||||
Net Assets | $ | 1,433,964,866 | $ | 976,141,986 | $ | 1,327,982,828 |
18 | See Notes to Financial Statements. |
Statements of Assets and Liabilities (unaudited)(concluded)
May 31, 2019
Multi-Asset | ||||||||||||
Balanced | ||||||||||||
Opportunity | Multi-Asset | Multi-Asset | ||||||||||
Fund | Growth Fund | Income Fund | ||||||||||
Net assets by class: | ||||||||||||
Class A Shares | $ | 1,147,751,599 | $ | 731,575,130 | $ | 674,615,350 | ||||||
Class C Shares | $ | 198,537,134 | $ | 139,760,217 | $ | 372,649,239 | ||||||
Class F Shares | $ | 41,704,681 | $ | 32,192,381 | $ | 202,830,921 | ||||||
Class F3 Shares | $ | 10,830 | $ | 30,925 | $ | 4,534,582 | ||||||
Class I Shares | $ | 11,143,460 | $ | 29,357,109 | $ | 47,307,727 | ||||||
Class P Shares | $ | 549,305 | – | – | ||||||||
Class R2 Shares | $ | 377,750 | $ | 38,767 | $ | 123,128 | ||||||
Class R3 Shares | $ | 23,524,092 | $ | 27,080,430 | $ | 20,714,998 | ||||||
Class R4 Shares | $ | 5,592,058 | $ | 5,336,823 | $ | 2,429,733 | ||||||
Class R5 Shares | $ | 115,988 | $ | 23,910 | $ | 33,252 | ||||||
Class R6 Shares | $ | 4,657,969 | $ | 10,746,294 | $ | 2,743,898 | ||||||
Outstanding shares by class(unlimited number of authorized shares of beneficial interest) | ||||||||||||
Class A Shares | 104,611,685 | 46,154,557 | 46,593,814 | |||||||||
Class C Shares | 18,210,865 | 8,916,209 | 25,351,687 | |||||||||
Class F Shares | 3,801,670 | 2,031,017 | 14,011,212 | |||||||||
Class F3 Shares | 985 | 1,934 | 314,772 | |||||||||
Class I Shares | 1,015,772 | 1,840,569 | 3,286,889 | |||||||||
Class P Shares | 50,305 | – | – | |||||||||
Class R2 Shares | 33,668 | 2,386 | 8,274 | |||||||||
Class R3 Shares | 2,148,013 | 1,714,480 | 1,430,753 | |||||||||
Class R4 Shares | 509,614 | 337,250 | 167,834 | |||||||||
Class R5 Shares | 10,560 | 1,498 | 2,309 | |||||||||
Class R6 Shares | 424,222 | 672,218 | 190,473 | |||||||||
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | ||||||||||||
Class A Shares-Net asset value | $10.97 | $15.85 | $14.48 | |||||||||
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%) | $11.22 | $16.21 | $14.81 | |||||||||
Class C Shares-Net asset value | $10.90 | $15.67 | $14.70 | |||||||||
Class F Shares-Net asset value | $10.97 | $15.85 | $14.48 | |||||||||
Class F3 Shares-Net asset value | $10.99 | $15.99 | $14.41 | |||||||||
Class I Shares-Net asset value | $10.97 | $15.95 | $14.39 | |||||||||
Class P Shares-Net asset value | $10.92 | – | – | |||||||||
Class R2 Shares-Net asset value | $11.22 | $16.25 | $14.88 | |||||||||
Class R3 Shares-Net asset value | $10.95 | $15.80 | $14.48 | |||||||||
Class R4 Shares-Net asset value | $10.97 | $15.82 | $14.48 | |||||||||
Class R5 Shares-Net asset value | $10.98 | $15.96 | $14.40 | |||||||||
Class R6 Shares-Net asset value | $10.98 | $15.99 | $14.41 |
See Notes to Financial Statements. | 19 |
Statements of Operations (unaudited)
For the Six Months Ended May 31, 2019
Multi-Asset | ||||||||
Balanced | ||||||||
Opportunity | Multi-Asset | |||||||
Fund | Growth Fund | |||||||
Investment income: | ||||||||
Dividends received from underlying Funds | $ | 21,275,090 | $ | 12,517,985 | ||||
Interest and other | 358 | 3,551 | ||||||
Total investment income | 21,275,448 | 12,521,536 | ||||||
Expenses: | ||||||||
Management fee | 732,885 | 501,457 | ||||||
12b-1 distribution plan-Class A | 1,453,237 | 931,132 | ||||||
12b-1 distribution plan-Class C | 1,047,203 | 740,119 | ||||||
12b-1 distribution plan-Class F | 21,681 | 17,075 | ||||||
12b-1 distribution plan-Class P | 1,190 | – | ||||||
12b-1 distribution plan-Class R2 | 1,104 | 114 | ||||||
12b-1 distribution plan-Class R3 | 63,952 | 69,521 | ||||||
12b-1 distribution plan-Class R4 | 6,740 | 6,150 | ||||||
Shareholder servicing | 717,200 | 564,411 | ||||||
Fund administration | 293,154 | 200,583 | ||||||
Registration | 100,647 | 144,386 | ||||||
Reports to shareholders | 59,319 | 45,706 | ||||||
Trustees’ fees | 22,856 | 14,964 | ||||||
Professional | 21,958 | 11,185 | ||||||
Custody | 14,054 | 18,738 | ||||||
Other | 124,980 | 36,015 | ||||||
Gross expenses | 4,682,160 | 3,301,556 | ||||||
Expense reductions (See Note 9) | (28,568 | ) | (19,369 | ) | ||||
Net expenses | 4,653,592 | 3,282,187 | ||||||
Net investment income | 16,621,856 | 9,239,349 | ||||||
Net realized and unrealized gain (loss): | ||||||||
Capital gain distributions received from Underlying Funds | 13,947,296 | 11,187,009 | ||||||
Net realized loss on investments in Underlying Funds | (10,521,584 | ) | (6,635,997 | ) | ||||
Net realized gain (loss) on futures contracts | (211,000 | ) | 1,126,011 | |||||
Net realized gain on foreign currency exchange contracts | 380,094 | 257,487 | ||||||
Net realized loss on foreign currency related transactions | – | (440 | ) | |||||
Net change in unrealized appreciation/depreciation in Underlying Funds | 20,768,214 | 6,471,595 | ||||||
Net change in unrealized appreciation/depreciation on investments | 5,295,835 | 3,423,615 | ||||||
Net change in unrealized appreciation/depreciation on futures contracts | (3,811,845 | ) | (1,966,580 | ) | ||||
Net change in unrealized appreciation/depreciation on foreign currency exchange contracts | (380,094 | ) | (257,487 | ) | ||||
Net change in unrealized appreciation/depreciation on options and swaptions written | 638,412 | 384,134 | ||||||
Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies | 1,129 | (1 | ) | |||||
Net realized and unrealized gain | 26,106,457 | 13,989,346 | ||||||
Net Increase in Net Assets Resulting From Operations | $ | 42,728,313 | $ | 23,228,695 |
20 | See Notes to Financial Statements. |
Statements of Operations (unaudited)(concluded)
For the Six Months Ended May 31, 2019
Multi-Asset | ||||
Income Fund | ||||
Investment income: | ||||
Dividends received from underlying Funds | $ | 25,292,077 | ||
Interest | 5,298 | |||
Total investment income | 25,297,375 | |||
Expenses: | ||||
Management fee | 682,154 | |||
12b-1 distribution plan-Class A | 857,065 | |||
12b-1 distribution plan-Class C | 1,948,298 | |||
12b-1 distribution plan-Class F | 105,166 | |||
12b-1 distribution plan-Class R2 | 353 | |||
12b-1 distribution plan-Class R3 | 48,387 | |||
12b-1 distribution plan-Class R4 | 2,638 | |||
Shareholder servicing | 522,546 | |||
Fund administration | 272,862 | |||
Registration | 106,272 | |||
Reports to shareholders | 52,851 | |||
Trustees’ fees | 21,167 | |||
Professional | 21,134 | |||
Custody | 13,311 | |||
Other | 14,789 | |||
Gross expenses | 4,668,993 | |||
Expense reductions (See Note 9) | (26,535 | ) | ||
Net expenses | 4,642,458 | |||
Net investment income | 20,654,917 | |||
Net realized and unrealized gain (loss): | ||||
Capital gain distributions received from Underlying Funds | 14,115,769 | |||
Net realized loss on investments in Underlying Funds | (10,407,418 | ) | ||
Net realized loss on futures contracts | (76,890 | ) | ||
Net realized gain on foreign currency exchange contracts | 347,839 | |||
Net change in unrealized appreciation/depreciation in Underlying Funds | 17,080,379 | |||
Net change in unrealized appreciation/depreciation on investments | 3,344,805 | |||
Net change in unrealized appreciation/depreciation on futures contracts | (2,337,018 | ) | ||
Net change in unrealized appreciation/depreciation on foreign currency exchange contracts | (347,839 | ) | ||
Net change in unrealized appreciation/depreciation on options and swaptions written | 325,812 | |||
Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies | 1,048 | |||
Net realized and unrealized gain | 22,046,487 | |||
Net Increase in Net Assets Resulting From Operations | $ | 42,701,404 |
See Notes to Financial Statements. | 21 |
Statements of Changes in Net Assets
Multi-Asset Balanced Opportunity Fund | ||||||||
For the Six Months | ||||||||
Ended May 31, 2019 | For the Year Ended | |||||||
DECREASE IN NET ASSETS | (unaudited) | November 30, 2018 | ||||||
Operations: | ||||||||
Net investment income | $ | 16,621,856 | $ | 34,465,887 | ||||
Capital gain distributions received from Underlying Funds | 13,947,296 | 50,465,514 | ||||||
Net realized gain (loss) on futures contracts, forward currency exchange contracts and foreign currency related transactions | 169,094 | (24,483,780 | ) | |||||
Net realized gain (loss) on investments in Underlying Funds | (10,521,584 | ) | 34,189,217 | |||||
Net change in unrealized appreciation/depreciation on investments in Underlying Funds | 20,768,214 | (133,723,764 | ) | |||||
Net change in unrealized appreciation/depreciation on Securities | 5,295,835 | – | ||||||
Net change in unrealized appreciation/depreciation on futures contracts, forward currency exchange contracts, options and swaptions written and translation of assets and liabilities denominated in foreign currencies | (3,552,398 | ) | 4,528,953 | |||||
Net increase (decrease) in net assets resulting from operations | 42,728,313 | (34,557,973 | ) | |||||
Distributions to shareholders: | ||||||||
Class A | (64,586,404 | ) | (74,517,433 | ) | ||||
Class B | – | (118,630 | ) | |||||
Class C | (11,194,704 | ) | (14,366,092 | ) | ||||
Class F | (2,507,273 | ) | (3,381,032 | ) | ||||
Class F3 | (585 | ) | (635 | ) | ||||
Class I | (759,877 | ) | (979,609 | ) | ||||
Class P | (27,677 | ) | (34,549 | ) | ||||
Class R2 | (18,635 | ) | (22,157 | ) | ||||
Class R3 | (1,420,978 | ) | (1,725,025 | ) | ||||
Class R4 | (270,468 | ) | (189,965 | ) | ||||
Class R5 | (6,110 | ) | (6,048 | ) | ||||
Class R6 | (257,433 | ) | (467,527 | ) | ||||
Class T | – | (471 | ) | |||||
Total distributions to shareholders | (81,050,144 | ) | (95,809,173 | ) | ||||
Capital share transactions (Net of share conversions) (See Note 14): | ||||||||
Net proceeds from sales of shares | 66,681,717 | 175,782,322 | ||||||
Reinvestment of distributions | 79,281,452 | 93,181,328 | ||||||
Cost of shares reacquired | (211,777,537 | ) | (445,461,357 | ) | ||||
Net decrease in net assets resulting from capital share transactions | (65,814,368 | ) | (176,497,707 | ) | ||||
Net decrease in net assets | (104,136,199 | ) | (306,864,853 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | $ | 1,538,101,065 | $ | 1,844,965,918 | ||||
End of period | $ | 1,433,964,866 | $ | 1,538,101,065 |
22 | See Notes to Financial Statements. |
Statements of Changes in Net Assets (continued)
Multi-Asset Growth Fund | ||||||||
For the Six Months | ||||||||
Ended May 31, 2019 | For the Year Ended | |||||||
INCREASE (DECREASE) IN NET ASSETS | (unaudited) | November 30, 2018 | ||||||
Operations: | ||||||||
Net investment income | $ | 9,239,349 | $ | 17,918,062 | ||||
Capital gain distributions received from Underlying Funds | 11,187,009 | 39,583,635 | ||||||
Net realized gain (loss) on futures contracts, forward currency exchange contracts and foreign currency related transactions | 1,383,058 | (15,328,553 | ) | |||||
Net realized gain (loss) on investments in Underlying Funds | (6,635,997 | ) | 33,021,292 | |||||
Net change in unrealized appreciation/depreciation on investments in Underlying Funds | 6,471,595 | (110,205,745 | ) | |||||
Net change in unrealized appreciation/depreciation on investments | 3,423,615 | – | ||||||
Net change in unrealized appreciation/depreciation on futures contracts, forward currency exchange contracts, options and swaptions written and translation of assets and liabilities denominated in foreign currencies | (1,839,934 | ) | 2,890,415 | |||||
Net increase (decrease) in net assets resulting from operations | 23,228,695 | (32,120,894 | ) | |||||
Distributions to shareholders: | ||||||||
Class A | (56,132,954 | ) | (48,910,364 | ) | ||||
Class B | – | (121,325 | ) | |||||
Class C | (10,999,757 | ) | (10,629,014 | ) | ||||
Class F | (2,876,529 | ) | (2,686,706 | ) | ||||
Class F3 | (2,446 | ) | (1,642 | ) | ||||
Class I | (2,556,360 | ) | (1,487,365 | ) | ||||
Class R2 | (2,558 | ) | (2,015 | ) | ||||
Class R3 | (2,131,432 | ) | (1,668,489 | ) | ||||
Class R4 | (339,197 | ) | (157,993 | ) | ||||
Class R5 | (1,729 | ) | (841 | ) | ||||
Class R6 | (1,012,689 | ) | (405,706 | ) | ||||
Total distributions to shareholders | (76,055,651 | ) | (66,071,460 | ) | ||||
Capital share transactions (Net of share conversions) (See Note 14): | ||||||||
Net proceeds from sales of shares | 43,198,888 | 107,460,881 | ||||||
Net proceeds from reorganizations (See Note 15) | – | 222,766,548 | ||||||
Reinvestment of distributions | 73,565,129 | 63,958,574 | ||||||
Cost of shares reacquired | (149,489,902 | ) | (256,197,539 | ) | ||||
Net increase (decrease) in net assets resulting from capital share transactions | (32,725,885 | ) | 137,988,464 | |||||
Net increase (decrease) in net assets | (85,552,841 | ) | 39,796,110 | |||||
NET ASSETS: | ||||||||
Beginning of period | $ | 1,061,694,827 | $ | 1,021,898,717 | ||||
End of period | $ | 976,141,986 | $ | 1,061,694,827 |
See Notes to Financial Statements. | 23 |
Statements of Changes in Net Assets (concluded)
Multi-Asset Income Fund | ||||||||
For the Six Months | ||||||||
Ended May 31, 2019 | For the Year Ended | |||||||
DECREASE IN NET ASSETS | (unaudited) | November 30, 2018 | ||||||
Operations: | ||||||||
Net investment income | $ | 20,654,917 | $ | 35,468,002 | ||||
Capital gain distributions received from Underlying Funds | 14,115,769 | 28,351,878 | ||||||
Net realized gain (loss) on futures contracts, forward currency exchange contracts and foreign currency related transactions | 270,949 | (19,967,595 | ) | |||||
Net realized gain (loss) on investments in Underlying Funds | (10,407,418 | ) | 15,848,672 | |||||
Net change in unrealized appreciation/depreciation on investments in Underlying Funds | 17,080,379 | (93,450,750 | ) | |||||
Net change in unrealized appreciation/depreciation on investments | 3,344,805 | – | ||||||
Net change in unrealized appreciation/depreciation on futures contracts, forward currency exchange contracts, options and swaptions written and translation of assets and liabilities denominated in foreign currencies | (2,357,997 | ) | 5,863,419 | |||||
Net increase (decrease) in net assets resulting from operations | 42,701,404 | (27,886,374 | ) | |||||
Distributions to shareholders: | ||||||||
Class A | (15,937,356 | ) | (25,016,753 | ) | ||||
Class B | – | (8,124 | ) | |||||
Class C | (7,485,002 | ) | (11,758,447 | ) | ||||
Class F | (5,105,004 | ) | (8,526,758 | ) | ||||
Class F3 | (92,291 | ) | (138,875 | ) | ||||
Class I | (1,254,836 | ) | (1,927,245 | ) | ||||
Class R2 | (2,464 | ) | (3,360 | ) | ||||
Class R3 | (406,177 | ) | (562,698 | ) | ||||
Class R4 | (44,506 | ) | (39,747 | ) | ||||
Class R5 | (717 | ) | (897 | ) | ||||
Class R6 | (68,912 | ) | (76,017 | ) | ||||
Class T | – | (243 | ) | |||||
Total distributions to shareholders | (30,397,265 | ) | (48,059,164 | ) | ||||
Capital share transactions (Net of share conversions) (See Note 14): | ||||||||
Net proceeds from sales of shares | 79,295,449 | 229,284,720 | ||||||
Reinvestment of distributions | 28,257,933 | 44,326,813 | ||||||
Cost of shares reacquired | (228,050,102 | ) | (421,833,888 | ) | ||||
Net decrease in net assets resulting from capital share transactions | (120,496,720 | ) | (148,222,355 | ) | ||||
Net decrease in net assets | (108,192,581 | ) | (224,167,893 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | $ | 1,436,175,409 | $ | 1,660,343,302 | ||||
End of period | $ | 1,327,982,828 | $ | 1,436,175,409 |
24 | See Notes to Financial Statements. |
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25
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 (loss)(b) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
5/31/2019(d) | $11.28 | $0.13 | $0.17 | $0.30 | $(0.27 | ) | $(0.34 | ) | $(0.61 | ) | ||||||||||||||||||
11/30/2018 | 12.19 | 0.25 | (0.50 | ) | (0.25 | ) | (0.42 | ) | (0.24 | ) | (0.66 | ) | ||||||||||||||||
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 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2019(d) | 11.22 | 0.09 | 0.16 | 0.25 | (0.23 | ) | (0.34 | ) | (0.57 | ) | ||||||||||||||||||
11/30/2018 | 12.12 | 0.16 | (0.49 | ) | (0.33 | ) | (0.33 | ) | (0.24 | ) | (0.57 | ) | ||||||||||||||||
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 | ) | |||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2019(d) | 11.28 | 0.14 | 0.16 | 0.30 | (0.27 | ) | (0.34 | ) | (0.61 | ) | ||||||||||||||||||
11/30/2018 | 12.18 | 0.27 | (0.49 | ) | (0.22 | ) | (0.44 | ) | (0.24 | ) | (0.68 | ) | ||||||||||||||||
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 | ) | |||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2019(d) | 11.29 | 0.15 | 0.17 | 0.32 | (0.28 | ) | (0.34 | ) | (0.62 | ) | ||||||||||||||||||
11/30/2018 | 12.19 | 0.28 | (0.49 | ) | (0.21 | ) | (0.45 | ) | (0.24 | ) | (0.69 | ) | ||||||||||||||||
4/4/2017 to 11/30/2017(g) | 11.62 | 0.21 | 0.56 | 0.77 | (0.20 | ) | – | (0.20 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2019(d) | 11.28 | 0.15 | 0.16 | 0.31 | (0.28 | ) | (0.34 | ) | (0.62 | ) | ||||||||||||||||||
11/30/2018 | 12.19 | 0.28 | (0.50 | ) | (0.22 | ) | (0.45 | ) | (0.24 | ) | (0.69 | ) | ||||||||||||||||
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 | ) | |||||||||||||||||||
Class P | ||||||||||||||||||||||||||||
5/31/2019(d) | 11.23 | 0.11 | 0.18 | 0.29 | (0.26 | ) | (0.34 | ) | (0.60 | ) | ||||||||||||||||||
11/30/2018 | 12.14 | 0.22 | (0.49 | ) | (0.27 | ) | (0.40 | ) | (0.24 | ) | (0.64 | ) | ||||||||||||||||
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 | ) | |||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
5/31/2019(d) | 11.52 | 0.11 | 0.18 | 0.29 | (0.25 | ) | (0.34 | ) | (0.59 | ) | ||||||||||||||||||
11/30/2018 | 12.43 | 0.22 | (0.51 | ) | (0.29 | ) | (0.38 | ) | (0.24 | ) | (0.62 | ) | ||||||||||||||||
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 | ) |
26 | 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 (%) | ||||||||||||||||||||
$ | 10.97 | 3.18 | (e) | 0.53 | (f) | 0.53 | (f) | 2.37 | (f) | $ | 1,147,752 | 12 | (e) | |||||||||||||
11.28 | (2.18 | ) | 0.51 | 0.51 | 2.12 | 1,214,155 | 31 | |||||||||||||||||||
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 | ||||||||||||||||||||
10.90 | 2.73 | (e) | 1.28 | (f) | 1.28 | (f) | 1.64 | (f) | 198,537 | 12 | (e) | |||||||||||||||
11.22 | (2.85 | ) | 1.26 | 1.26 | 1.35 | 223,823 | 31 | |||||||||||||||||||
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 | ||||||||||||||||||||
10.97 | 3.25 | (e) | 0.38 | (f) | 0.38 | (f) | 2.55 | (f) | 41,705 | 12 | (e) | |||||||||||||||
11.28 | (1.95 | ) | 0.36 | 0.36 | 2.27 | 46,998 | 31 | |||||||||||||||||||
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 | ||||||||||||||||||||
10.99 | 3.41 | (e) | 0.17 | (f) | 0.17 | (f) | 2.69 | (f) | 11 | 12 | (e) | |||||||||||||||
11.29 | (1.83 | ) | 0.22 | 0.22 | 2.38 | 10 | 31 | |||||||||||||||||||
12.19 | 6.72 | (e) | 0.21 | (f) | 0.21 | (f) | 2.68 | (f) | 11 | 47 | ||||||||||||||||
10.97 | 3.30 | (e) | 0.28 | (f) | 0.28 | (f) | 2.68 | (f) | 11,143 | 12 | (e) | |||||||||||||||
11.28 | (1.93 | ) | 0.26 | 0.26 | 2.38 | 14,440 | 31 | |||||||||||||||||||
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 | ||||||||||||||||||||
10.92 | 3.09 | (e) | 0.73 | (f) | 0.73 | (f) | 2.12 | (f) | 549 | 12 | (e) | |||||||||||||||
11.23 | (2.38 | ) | 0.71 | 0.71 | 1.85 | 512 | 31 | |||||||||||||||||||
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 | ||||||||||||||||||||
11.22 | 3.02 | (e) | 0.89 | (f) | 0.89 | (f) | 1.98 | (f) | 378 | 12 | (e) | |||||||||||||||
11.52 | (2.49 | ) | 0.86 | 0.86 | 1.83 | 360 | 31 | |||||||||||||||||||
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 |
See Notes to Financial Statements. | 27 |
Financial Highlights (concluded)
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 (loss)(b) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2019(d) | $11.26 | $0.12 | $0.16 | $0.28 | $(0.25 | ) | $(0.34 | ) | $(0.59 | ) | ||||||||||||||||||
11/30/2018 | 12.16 | 0.22 | (0.49 | ) | (0.27 | ) | (0.39 | ) | (0.24 | ) | (0.63 | ) | ||||||||||||||||
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 | ) | |||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2019(d) | 11.29 | 0.12 | 0.17 | 0.29 | (0.27 | ) | (0.34 | ) | (0.61 | ) | ||||||||||||||||||
11/30/2018 | 12.19 | 0.24 | (0.48 | ) | (0.24 | ) | (0.42 | ) | (0.24 | ) | (0.66 | ) | ||||||||||||||||
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 | ||||||||||||||||||||||||||||
5/31/2019(d) | 11.30 | 0.14 | 0.16 | 0.30 | (0.28 | ) | (0.34 | ) | (0.62 | ) | ||||||||||||||||||
11/30/2018 | 12.20 | 0.29 | (0.50 | ) | (0.21 | ) | (0.45 | ) | (0.24 | ) | (0.69 | ) | ||||||||||||||||
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 | ||||||||||||||||||||||||||||
5/31/2019(d) | 11.29 | 0.15 | 0.16 | 0.31 | (0.28 | ) | (0.34 | ) | (0.62 | ) | ||||||||||||||||||
11/30/2018 | 12.19 | 0.24 | (0.45 | ) | (0.21 | ) | (0.45 | ) | (0.24 | ) | (0.69 | ) | ||||||||||||||||
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 | ) |
(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. |
28 | 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 (%) | ||||||||||||||||||||
$ | 10.95 | 3.06 | (e) | 0.78 | (f) | 0.78 | (f) | 2.13 | (f) | $ | 23,524 | 12 | (e) | |||||||||||||
11.26 | (2.34 | ) | 0.76 | 0.76 | 1.84 | 27,258 | 31 | |||||||||||||||||||
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 | ||||||||||||||||||||
10.97 | 3.18 | (e) | 0.53 | (f) | 0.53 | (f) | 2.27 | (f) | 5,592 | 12 | (e) | |||||||||||||||
11.29 | (2.17 | ) | 0.51 | 0.51 | 2.07 | 4,971 | 31 | |||||||||||||||||||
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 | ||||||||||||||||
10.98 | 3.21 | (e) | 0.28 | (f) | 0.28 | (f) | 2.56 | (f) | 116 | 12 | (e) | |||||||||||||||
11.30 | (1.85 | ) | 0.26 | 0.26 | 2.45 | 121 | 31 | |||||||||||||||||||
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 | ||||||||||||||||
10.98 | 3.31 | (e) | 0.20 | (f) | 0.20 | (f) | 2.67 | (f) | 4,658 | 12 | (e) | |||||||||||||||
11.29 | (1.83 | ) | 0.18 | 0.18 | 2.01 | 5,451 | 31 | |||||||||||||||||||
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 |
See Notes to Financial Statements. | 29 |
Financial Highlights
MULTI-ASSET GROWTH FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(b) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
5/31/2019(d) | $16.77 | $0.15 | $0.15 | $0.30 | $(0.48 | ) | $(0.74 | ) | $(1.22 | ) | ||||||||||||||||||
11/30/2018 | 18.42 | 0.32 | (0.77 | ) | (0.45 | ) | (0.61 | ) | (0.59 | ) | (1.20 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2019(d) | 16.59 | 0.09 | 0.15 | 0.24 | (0.42 | ) | (0.74 | ) | (1.16 | ) | ||||||||||||||||||
11/30/2018 | 18.23 | 0.19 | (0.76 | ) | (0.57 | ) | (0.48 | ) | (0.59 | ) | (1.07 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2019(d) | 16.77 | 0.17 | 0.14 | 0.31 | (0.49 | ) | (0.74 | ) | (1.23 | ) | ||||||||||||||||||
11/30/2018 | 18.41 | 0.35 | (0.76 | ) | (0.41 | ) | (0.64 | ) | (0.59 | ) | (1.23 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2019(d) | 16.90 | 0.18 | 0.15 | 0.33 | (0.50 | ) | (0.74 | ) | (1.24 | ) | ||||||||||||||||||
11/30/2018 | 18.53 | 0.39 | (0.77 | ) | (0.38 | ) | (0.66 | ) | (0.59 | ) | (1.25 | ) | ||||||||||||||||
4/4/2017 to 11/30/2017(h) | 17.35 | 0.31 | 1.03 | 1.34 | (0.16 | ) | – | (0.16 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2019(d) | 16.86 | 0.18 | 0.15 | 0.33 | (0.50 | ) | (0.74 | ) | (1.24 | ) | ||||||||||||||||||
11/30/2018 | 18.52 | 0.37 | (0.78 | ) | (0.41 | ) | (0.66 | ) | (0.59 | ) | (1.25 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
5/31/2019(d) | 17.15 | 0.12 | 0.17 | 0.29 | (0.45 | ) | (0.74 | ) | (1.19 | ) | ||||||||||||||||||
11/30/2018 | 18.81 | 0.27 | (0.79 | ) | (0.52 | ) | (0.55 | ) | (0.59 | ) | (1.14 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2019(d) | 16.71 | 0.13 | 0.16 | 0.29 | (0.46 | ) | (0.74 | ) | (1.20 | ) | ||||||||||||||||||
11/30/2018 | 18.36 | 0.28 | (0.77 | ) | (0.49 | ) | (0.57 | ) | (0.59 | ) | (1.16 | ) | ||||||||||||||||
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 | ) |
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 (%) | ||||||||||||||||||||
$15.85 | 2.58 | (e) | 0.56 | (f) | 0.56 | (f) | 1.93 | (f) | $731,575 | 12 | (e) | |||||||||||||||
16.77 | (2.61 | ) | 0.53 | 0.53 | 1.86 | 779,488 | 32 | (g) | ||||||||||||||||||
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 | ||||||||||||||||||||
15.67 | 2.20 | (e) | 1.31 | (f) | 1.31 | (f) | 1.20 | (f) | 139,760 | 12 | (e) | |||||||||||||||
16.59 | (3.34 | ) | 1.28 | 1.28 | 1.07 | 159,526 | 32 | (g) | ||||||||||||||||||
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 | ||||||||||||||||||||
15.85 | 2.66 | (e) | 0.41 | (f) | 0.41 | (f) | 2.18 | (f) | 32,192 | 12 | (e) | |||||||||||||||
16.77 | (2.41 | ) | 0.38 | 0.38 | 2.00 | 39,381 | 32 | (g) | ||||||||||||||||||
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 | ||||||||||||||||||||
15.99 | 2.78 | (e) | 0.21 | (f) | 0.21 | (f) | 2.28 | (f) | 31 | 12 | (e) | |||||||||||||||
16.90 | (2.22 | ) | 0.21 | 0.21 | 2.21 | 33 | 32 | (g) | ||||||||||||||||||
18.53 | 7.77 | (e) | 0.24 | (f) | 0.24 | (f) | 2.59 | (f) | 24 | 39 | ||||||||||||||||
15.95 | 2.76 | (e) | 0.31 | (f) | 0.31 | (f) | 2.26 | (f) | 29,357 | 12 | (e) | |||||||||||||||
16.86 | (2.41 | ) | 0.28 | 0.28 | 2.12 | 35,051 | 32 | (g) | ||||||||||||||||||
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 | ||||||||||||||||||||
16.25 | 2.47 | (e) | 0.90 | (f) | 0.90 | (f) | 1.53 | (f) | 39 | 12 | (e) | |||||||||||||||
17.15 | (2.97 | ) | 0.88 | 0.88 | 1.52 | 36 | 32 | (g) | ||||||||||||||||||
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 | ||||||||||||||||||||
15.80 | 2.46 | (e) | 0.81 | (f) | 0.81 | (f) | 1.71 | (f) | 27,080 | 12 | (e) | |||||||||||||||
16.71 | (2.86 | ) | 0.78 | 0.78 | 1.63 | 29,931 | 32 | (g) | ||||||||||||||||||
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 |
See Notes to Financial Statements. | 31 |
Financial Highlights (concluded)
MULTI-ASSET GROWTH FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(b) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2019(d) | $16.74 | $0.14 | $ 0.16 | $ 0.30 | $(0.48 | ) | $(0.74 | ) | $(1.22 | ) | ||||||||||||||||||
11/30/2018 | 18.40 | 0.32 | (0.77 | ) | (0.45 | ) | (0.62 | ) | (0.59 | ) | (1.21 | ) | ||||||||||||||||
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(i) | 17.67 | 0.20 | (0.95 | ) | (0.75 | ) | (0.08 | ) | – | (0.08 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
5/31/2019(d) | 16.87 | 0.17 | 0.16 | 0.33 | (0.50 | ) | (0.74 | ) | (1.24 | ) | ||||||||||||||||||
11/30/2018 | 18.53 | 0.38 | (0.79 | ) | (0.41 | ) | (0.66 | ) | (0.59 | ) | (1.25 | ) | ||||||||||||||||
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(i) | 17.75 | 0.21 | (0.94 | ) | (0.73 | ) | (0.09 | ) | – | (0.09 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
5/31/2019(d) | 16.90 | 0.19 | 0.14 | 0.33 | (0.50 | ) | (0.74 | ) | (1.24 | ) | ||||||||||||||||||
11/30/2018 | 18.54 | 0.36 | (0.75 | ) | (0.39 | ) | (0.66 | ) | (0.59 | ) | (1.25 | ) | ||||||||||||||||
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(i) | 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) | Excludes purchases and sales of securities in connection with the acquisition of Lord Abbett Multi-Asset Focused Growth Fund on July 13, 2018. |
(h) | Commenced on April 4, 2017. |
(i) | Commenced on June 30, 2015. |
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 (%) | ||||||||||||||||||||
$15.82 | 2.60 | (e) | 0.56 | (f) | 0.56 | (f) | 1.83 | (f) | $ 5,337 | 12 | (e) | |||||||||||||||
16.74 | (2.64 | ) | 0.53 | 0.53 | 1.86 | 4,473 | 32 | (g) | ||||||||||||||||||
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 | ||||||||||||||||
15.96 | 2.76 | (e) | 0.30 | (f) | 0.30 | (f) | 2.15 | (f) | 24 | 12 | (e) | |||||||||||||||
16.87 | (2.42 | ) | 0.27 | 0.27 | 2.18 | 23 | 32 | (g) | ||||||||||||||||||
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 | ||||||||||||||||
15.99 | 2.78 | (e) | 0.21 | (f) | 0.21 | (f) | 2.39 | (f) | 10,746 | 12 | (e) | |||||||||||||||
16.90 | (2.27 | ) | 0.19 | 0.19 | 2.08 | 13,752 | 32 | (g) | ||||||||||||||||||
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. | 33 |
Financial Highlights
MULTI-ASSET INCOME FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income (loss)(b) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
5/31/2019(d) | $14.34 | $0.23 | $ 0.24 | $ 0.47 | $(0.33 | ) | $ – | $(0.33 | ) | |||||||||||||||||||
11/30/2018 | 15.08 | 0.36 | (0.62 | ) | (0.26 | ) | (0.48 | ) | – | (0.48 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
5/31/2019(d) | 14.55 | 0.18 | 0.24 | 0.42 | (0.27 | ) | – | (0.27 | ) | |||||||||||||||||||
11/30/2018 | 15.29 | 0.26 | (0.63 | ) | (0.37 | ) | (0.37 | ) | – | (0.37 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
5/31/2019(d) | 14.34 | 0.24 | 0.24 | 0.48 | (0.34 | ) | – | (0.34 | ) | |||||||||||||||||||
11/30/2018 | 15.08 | 0.38 | (0.62 | ) | (0.24 | ) | (0.50 | ) | – | (0.50 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
5/31/2019(d) | 14.27 | 0.25 | 0.24 | 0.49 | (0.35 | ) | – | (0.35 | ) | |||||||||||||||||||
11/30/2018 | 15.00 | 0.40 | (0.61 | ) | (0.21 | ) | (0.52 | ) | – | (0.52 | ) | |||||||||||||||||
4/4/2017 to 11/30/2017(g) | 14.42 | 0.29 | 0.56 | 0.85 | (0.27 | ) | – | (0.27 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
5/31/2019(d) | 14.26 | 0.25 | 0.23 | 0.48 | (0.35 | ) | – | (0.35 | ) | |||||||||||||||||||
11/30/2018 | 14.99 | 0.40 | (0.61 | ) | (0.21 | ) | (0.52 | ) | – | (0.52 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
5/31/2019(d) | 14.73 | 0.21 | 0.24 | 0.45 | (0.30 | ) | – | (0.30 | ) | |||||||||||||||||||
11/30/2018 | 15.47 | 0.32 | (0.63 | ) | (0.31 | ) | �� | (0.43 | ) | – | (0.43 | ) | ||||||||||||||||
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 | ) |
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 (%) | ||||||||||||||||||||
$14.48 | 3.39 | (e) | 0.50 | (f) | 0.50 | (f) | 3.21 | (f) | $ 674,615 | 19 | (e) | |||||||||||||||
14.34 | (1.79 | ) | 0.50 | 0.50 | 2.43 | 716,679 | 41 | |||||||||||||||||||
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 | ||||||||||||||||||||
14.70 | 3.02 | (e) | 1.25 | (f) | 1.25 | (f) | 2.46 | (f) | 372,649 | 19 | (e) | |||||||||||||||
14.55 | (2.51 | ) | 1.25 | 1.25 | 1.69 | 410,332 | 41 | |||||||||||||||||||
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 | ||||||||||||||||||||
14.48 | 3.47 | (e) | 0.35 | (f) | 0.35 | (f) | 3.39 | (f) | 202,831 | 19 | (e) | |||||||||||||||
14.34 | (1.64 | ) | 0.35 | 0.35 | 2.57 | 227,804 | 41 | |||||||||||||||||||
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 | ||||||||||||||||||||
14.41 | 3.55 | (e) | 0.18 | (f) | 0.18 | (f) | 3.53 | (f) | 4,535 | 19 | (e) | |||||||||||||||
14.27 | (1.47 | ) | 0.18 | 0.18 | 2.70 | 4,077 | 41 | |||||||||||||||||||
15.00 | 5.96 | (e) | 0.18 | (f) | 0.18 | (f) | 2.99 | (f) | 3,519 | 55 | ||||||||||||||||
14.39 | 3.47 | (e) | 0.25 | (f) | 0.25 | (f) | 3.50 | (f) | 47,308 | 19 | (e) | |||||||||||||||
14.26 | (1.48 | ) | 0.25 | 0.25 | 2.70 | 54,171 | 41 | |||||||||||||||||||
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 | ||||||||||||||||||||
14.88 | 3.19 | (e)�� | 0.85 | (f) | 0.85 | (f) | 2.86 | (f) | 123 | 19 | (e) | |||||||||||||||
14.73 | (2.09 | ) | 0.84 | 0.84 | 2.08 | 122 | 41 | |||||||||||||||||||
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 |
See Notes to Financial Statements. | 35 |
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 (loss)(b) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
5/31/2019(d) | $14.34 | $0.20 | $ 0.25 | $ 0.45 | $(0.31 | ) | $ | – | $(0.31 | ) | ||||||||||||||||||
11/30/2018 | 15.08 | 0.33 | (0.63 | ) | (0.30 | ) | (0.44 | ) | – | (0.44 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
5/31/2019(d) | 14.34 | 0.21 | 0.26 | 0.47 | (0.33 | ) | – | (0.33 | ) | |||||||||||||||||||
11/30/2018 | 15.08 | 0.34 | (0.60 | ) | (0.26 | ) | (0.48 | ) | – | (0.48 | ) | |||||||||||||||||
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 | ||||||||||||||||||||||||||||
5/31/2019(d) | 14.26 | 0.23 | 0.26 | 0.49 | (0.35 | ) | – | (0.35 | ) | |||||||||||||||||||
11/30/2018 | 14.99 | 0.39 | (0.60 | ) | (0.21 | ) | (0.52 | ) | – | (0.52 | ) | |||||||||||||||||
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 | ||||||||||||||||||||||||||||
5/31/2019(d) | 14.27 | 0.25 | 0.24 | 0.49 | (0.35 | ) | – | (0.35 | ) | |||||||||||||||||||
11/30/2018 | 15.00 | 0.38 | (0.59 | ) | (0.21 | ) | (0.52 | ) | – | (0.52 | ) | |||||||||||||||||
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 | ) |
(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. |
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 (%) | ||||||||||||||||||||
$14.48 | 3.27 | (e) | 0.75 | (f) | 0.75 | (f) | 2.84 | (f) | $20,715 | 19 | (e) | |||||||||||||||
14.34 | (2.03 | ) | 0.74 | 0.74 | 2.20 | 18,400 | 41 | |||||||||||||||||||
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 | ||||||||||||||||||||
14.48 | 3.40 | (e) | 0.50 | (f) | 0.50 | (f) | 3.00 | (f) | 2,430 | 19 | (e) | |||||||||||||||
14.34 | (1.77 | ) | 0.49 | 0.49 | 2.31 | 1,756 | 41 | |||||||||||||||||||
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 | ||||||||||||||||
14.40 | 3.54 | (e) | 0.24 | (f) | 0.24 | (f) | 3.29 | (f) | 33 | 19 | (e) | |||||||||||||||
14.26 | (1.55 | ) | 0.24 | 0.24 | 2.64 | 28 | 41 | |||||||||||||||||||
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 | ||||||||||||||||
14.41 | 3.55 | (e) | 0.18 | (f) | 0.18 | (f) | 3.47 | (f) | 2,744 | 19 | (e) | |||||||||||||||
14.27 | (1.47 | ) | 0.18 | 0.18 | 2.58 | 2,807 | 41 | |||||||||||||||||||
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 |
See Notes to Financial Statements. | 37 |
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 fifteen funds as of May 31, 2019. This report covers the following three 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 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 and R6 |
Multi-Asset Balanced Opportunity Fund Class P shares are closed to substantially all new investors, with certain exceptions as set forth in the Funds’ prospectus.
Multi-Asset Balanced Opportunity Fund’s investment objective is to seek current income and capital growth. 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 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 C shares redeemed before the first anniversary of purchase. Class C shares will convert automatically 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.
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. |
38
Notes to Financial Statements (unaudited)(continued)
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, options and options on swaps (“swaptions”) 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 that ended from November 30, 2015 through November 30, 2018. 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, C, F, P, R2, R3 and R4 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 |
39
Notes to Financial Statements (unaudited)(continued)
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 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 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 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. |
40
Notes to Financial Statements (unaudited)(continued)
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) | Options–Each Fund may purchase and write exchange-listed and over-the-counter put or call options on securities, stock indices, currencies and other financial instruments for hedging purposes, to enhance portfolio returns and reduce overall volatility. |
When a Fund writes (sells) an option, an amount equal to the premium received by the Fund is recorded as a liability on the Statement of Assets and Liabilities. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. When an option expires, the Fund realizes a gain on the option to the extent of the premium received. Premiums received from writing options which are exercised or closed are added to or offset against the proceeds or amount paid on the transaction to determine the realized gain or loss. If a put option on a security is exercised, the premium reduces the cost basis of the security purchased by the Fund. If a call option is exercised, the premium is added to the proceeds of the security sold to determine the realized gain or loss. The Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the underlying investment. Other risks include the possibility of an illiquid options market or the inability of the counterparties to fulfill their obligations under the contracts. | |
Put and call options purchased are accounted for in the same manner as portfolio securities. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss when the underlying transaction is executed. The risk associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of the premium and change in market value should the counterparty not perform under the contract. | |
The Funds may purchase and write swaptions to preserve a return or spread on a particular investment or portion of the Funds’ holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option. |
41
Notes to Financial Statements (unaudited)(continued)
(j) | 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. |
(k) | 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. |
(l) | 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). |
A summary of inputs used in valuing each Fund’s investments and other financial instruments as of May 31, 2019 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
42
Notes to Financial Statements (unaudited)(continued)
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, 2019, 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 Growth Fund | .10% | |||
Multi-Asset Income Fund | .10% |
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, C, F, P, R2, R3 and R4 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 C | Class F(1) | Class P | Class R2 | Class R3 | Class R4 |
Service | .25% | .25% | – | .25% | .25% | .25% | .25% |
Distribution | – | .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, 2019:
Distributor Commissions | Dealers’ Concessions | |||||||
Multi-Asset Balanced Opportunity Fund | $47,121 | $313,439 | ||||||
Multi-Asset Growth Fund | 30,643 | 208,923 | ||||||
Multi-Asset Income Fund | 30,497 | 195,482 |
43
Notes to Financial Statements (unaudited)(continued)
Distributor received the following amount of CDSCs for the six months ended May 31, 2019:
Class A | Class C | |||||||
Multi-Asset Balanced Opportunity Fund | $ | 2,454 | $ | 2,557 | ||||
Multi-Asset Growth Fund | 2,249 | 3,027 | ||||||
Multi-Asset Income Fund | 6,460 | 5,921 |
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; and declared and paid quarterly for Multi-Asset 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 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, 2019 and fiscal year ended November 30, 2018 were as follows:
Multi-Asset Balanced Opportunity Fund | ||||||||
Six Months Ended 5/31/2019 (unaudited) | Year Ended 11/30/2018 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 36,699,714 | $ | 59,811,556 | ||||
Net long-term capital gains | 44,350,430 | 35,997,617 | ||||||
Total distributions paid | $ | 81,050,144 | $ | 95,809,173 |
Multi-Asset Growth Fund | Multi-Asset Income Fund | |||||||||||||||
Six Months Ended 5/31/2019 (unaudited) | Year Ended 11/30/2018 | Six Months Ended 5/31/2019 (unaudited) | Year Ended 11/30/2018 | |||||||||||||
Distributions paid from: | ||||||||||||||||
Ordinary income | $ | 30,550,193 | $ | 33,335,927 | $ | 30,397,265 | $ | 48,059,164 | ||||||||
Net long-term capital gains | 45,505,458 | 32,735,533 | – | – | ||||||||||||
Total distributions paid | $ | 76,055,651 | $ | 66,071,460 | $ | 30,397,265 | $ | 48,059,164 |
As of November 30, 2018, Multi-Asset Income Fund had a capital loss carryforward of $114,069,297, 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.
44
Notes to Financial Statements (unaudited)(continued)
As of May 31, 2019, 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:
Multi-Asset Balanced Opportunity Fund | Multi-Asset Growth Fund | Multi-Asset Income Fund | ||||||||||
Tax cost | $ | 1,496,226,002 | $ | 1,031,725,133 | $ | 1,390,574,362 | ||||||
Gross unrealized gain | 24,411,308 | 14,899,569 | 22,375,665 | |||||||||
Gross unrealized loss | (80,019,039 | ) | (65,216,289 | ) | (85,054,258 | ) | ||||||
Net unrealized security loss | $ | (55,607,731 | ) | $ | (50,316,720 | ) | $ | (62,678,593 | ) |
The difference between book-basis and tax-basis unrealized gains (losses) is attributable to the tax treatment of certain distributions, wash sales, and other financial instruments.
5. | PORTFOLIO SECURITIES TRANSACTIONS |
Purchases and sales of investment securities (excluding short-term investments) for the six months ended May 31, 2019 were as follows:
Purchases | Sales | |||||||
Multi-Asset Balanced Opportunity Fund | $ | 169,432,152 | $ | 283,004,864 | ||||
Multi-Asset Growth Fund | 122,582,358 | 214,053,534 | ||||||
Multi-Asset Income Fund | 255,949,660 | 377,515,966 |
There were no purchases or sales of U.S. Government securities for the six months ended May 31, 2019.
6. | DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES |
Multi-Asset Balanced Opportunity Fund, Multi-Asset Growth Fund and Multi-Asset Income Fund entered into forward foreign currency exchange contracts for the six months ended May 31, 2019 (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 Growth Fund and Multi-Asset Income Fund entered into domestic and foreign equity index futures contracts for the six months ended May 31, 2019 (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 Growth Fund and Multi-Asset Income Fund entered into swaptions and options on indexes for the six months ended May 31, 2019 (as described in note 2(i)) to obtain exposure to an index (the Reference Entity). The Funds’ use of swaptions and options involves the risk that Lord Abbett will not accurately predict expectations of market value of the Reference Entity, and the Funds’ returns could be reduced as a result. The Funds’ risk of loss from counterparty credit risk is the notional value of the contract.
45
Notes to Financial Statements (unaudited)(continued)
As of May 31, 2019, Multi-Asset Balanced Opportunity 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 | ||||||||||||
Asset Derivatives | Equity Contracts | Index Contracts | Interest Rate Contracts | |||||||||
Futures Contracts(1) | $ | 500,243 | – | – | ||||||||
Purchased Options(2) | – | $ | 15,958,078 | – | ||||||||
Purchased Interest Rate Swaptions(2) | – | – | $ | 1,317,523 | ||||||||
Liability Derivatives | ||||||||||||
Futures Contracts(1) | $ | 377,730 | – | – | ||||||||
Written Options(3) | – | $ | 11,452,065 | – | ||||||||
Written Interest Rate Swaptions(4) | – | – | $ | 6 | ||||||||
Multi-Asset Growth Fund | ||||||||||||
Asset Derivatives | Equity Contracts | Index Contracts | Interest Rate Contracts | |||||||||
Futures Contracts(1) | $ | 871,250 | – | – | ||||||||
Purchased Options(2) | – | $ | 11,786,807 | – | ||||||||
Purchased Interest Rate Swaptions(2) | – | – | $ | 895,469 | ||||||||
Liability Derivatives | ||||||||||||
Futures Contracts(1) | $ | 230,130 | – | – | ||||||||
Written Options(3) | – | $ | 9,030,190 | – | ||||||||
Written Interest Rate Swaptions(4) | – | – | $ | 4 | ||||||||
Multi-Asset Income Fund | ||||||||||||
Asset Derivatives | Equity Contracts | Index Contracts | Interest Rate Contracts | |||||||||
Futures Contracts(1) | $ | 1,662,560 | – | – | ||||||||
Purchased Options(2) | – | $ | 9,117,439 | – | ||||||||
Purchased Interest Rate Swaptions(2) | – | – | $ | 1,205,869 | ||||||||
Liability Derivatives | ||||||||||||
Futures Contracts(1) | $ | 311,071 | – | – | ||||||||
Written Options(3) | – | $ | 6,725,335 | – | ||||||||
Written Interest Rate Swaptions(4) | – | – | $ | 5 |
(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 reported is within the Statements of Assets and Liabilities. |
(2) | Statements of Assets and Liabilities location: Investments in securities at fair value. |
(3) | Statements of Assets and Liabilities location: Includes cumulative unrealized appreciation/depreciation of written options as reported in the Schedule of Investments. Only current fair value is reported within the Statements of Assets and Liabilities. |
(4) | Statements of Assets and Liabilities location: Includes cumulative unrealized appreciation/depreciation of written swaptions as reported in the Schedule of Investments. Only current fair value is reported within the Statements of Assets and Liabilities. |
46
Notes to Financial Statements (unaudited)(continued)
Multi-Asset Balanced Opportunity Fund | ||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Equity Contracts | Index Contracts | |||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 380,094 | – | – | |||||||||||
Futures Contracts(2) | $ | (3,193,860 | ) | – | $ | 2,982,860 | – | |||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | (380,094 | ) | – | – | ||||||||||
Futures Contracts(4) | $ | 154,017 | – | $ | (3,965,862 | ) | – | |||||||||
Written Options(5) | – | – | – | $ | 638,418 | |||||||||||
Written Interest Rate Swaption(5) | $ | (6 | ) | – | – | – | ||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(6) | – | $ | 19,127,715 | – | – | |||||||||||
Futures Contracts(7) | 393 | – | 1,255 | – | ||||||||||||
Written Options(6) | $ | 19,538 | – | – | – | |||||||||||
Written Interest Rate Swaption(6) | — | – | $ | 252,857,143 | ||||||||||||
Multi-Asset Growth Fund | ||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Equity Contracts | Index Contracts | |||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 257,487 | – | – | |||||||||||
Futures Contracts(2) | – | – | $ | 1,126,011 | – | |||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | (257,487 | ) | – | – | ||||||||||
Futures Contracts(4) | – | – | $ | (1,966,580 | ) | – | ||||||||||
Written Options(5) | – | – | – | $ | 384,138 | |||||||||||
Written Interest Rate Swaption(5) | $ | (4 | ) | – | – | – | ||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(6) | – | $ | 12,957,698 | – | – | |||||||||||
Futures Contracts(7) | – | – | 890 | – | ||||||||||||
Written Options(6) | $ | 15,108 | – | – | – | |||||||||||
Written Interest Rate Swaption(6) | – | – | – | $ | 171,857,143 |
47
Notes to Financial Statements (unaudited)(continued)
Multi-Asset Income Fund | ||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Equity Contracts | Index Contracts | |||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 347,839 | – | – | |||||||||||
Futures Contracts(2) | $ | (2,925,399 | ) | – | $ | 2,848,509 | – | |||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | (347,839 | ) | – | – | ||||||||||
Futures Contracts(4) | $ | 113,643 | – | $ | (2,450,661 | ) | – | |||||||||
Written Option(5) | – | – | – | $ | 325,817 | |||||||||||
Written Interest Rate Swaption(5) | $ | (5 | ) | – | – | – | ||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(6) | – | $ | 17,504,508 | – | – | |||||||||||
Futures Contracts(7) | 359 | – | 1,254 | – | ||||||||||||
Written Options(6) | $ | 11,373 | – | – | – | |||||||||||
Written Interest Rate Swaption(6) | – | – | – | $ | 231,428,571 |
* | Calculated based on the number of contracts or notional amounts for the six months ended May 31, 2019. |
(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 change in unrealized appreciation/depreciation on foreign currency exchange contracts. |
(4) | Statements of Operations location: Net change in unrealized appreciation/depreciation on futures contracts. |
(5) | Statements of Operations location: Net change in unrealized appreciation/depreciation on options and swaptions written. |
(6) | Amount represents notional amounts in U.S. dollars. |
(7) | 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:
48
Notes to Financial Statements (unaudited)(continued)
Multi-Asset Balanced Opportunity 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 | |||||||||
OTC Options Purchased | $ | 17,275,000 | $ | – | $ | 17,275,000 | ||||||
Repurchase Agreement | 394,831 | – | 394,831 | |||||||||
Total | $ | 17,669,831 | $ | – | $ | 17,669,831 |
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) | |||||||||||||||
Citibank | $ | 3,271,000 | $ | (2,566,138 | ) | $ | (300,000 | ) | $ | – | $ | 404,862 | ||||||||
Fixed Income Clearing Corp. | 394,831 | – | – | (394,831 | ) | – | ||||||||||||||
J.P. Morgan Chase | 12,687,000 | (8,885,927 | ) | (3,010,000 | ) | – | 791,073 | |||||||||||||
Morgan Stanley | 1,317,000 | (6 | ) | – | – | 1,316,994 | ||||||||||||||
Total | $ | 17,669,831 | $ | (11,452,071 | ) | $ | (3,310,000 | ) | $ | (394,831 | ) | $ | 2,512,929 |
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 | |||||||||
OTC Options Written | $ | 11,452,071 | $ | – | $ | 11,452,071 | ||||||
Total | $ | 11,452,071 | $ | – | $ | 11,452,071 |
Net Amounts of Liabilities Presented in | Amounts Not Offset in the Statement of Assets and Liabilities | |||||||||||||||||||
Counterparty | the Statement of Assets and Liabilities | Financial Instruments | Cash Collateral Pledged(a) | Securities Collateral Pledged(a) | Net Amount(c) | |||||||||||||||
Citibank | $ | 2,566,138 | $ | (2,566,138 | ) | $ | – | $ | – | $ | – | |||||||||
J.P. Morgan Chase | 8,885,927 | (8,885,927 | ) | – | – | – | ||||||||||||||
Morgan Stanley | 6 | (6 | ) | – | – | – | ||||||||||||||
Total | $ | 11,452,071 | $ | (11,452,071 | ) | $ | – | $ | – | $ | – |
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 | |||||||||
OTC Options Purchased | $ | 12,682,000 | $ | – | $ | 12,682,000 | ||||||
Repurchase Agreement | 166,349 | – | 166,349 | |||||||||
Total | $ | 12,848,349 | $ | – | $ | 12,848,349 |
49
Notes to Financial Statements (unaudited)(continued)
Multi-Asset Growth Fund | ||||||||||||||||||||
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) | |||||||||||||||
Citibank | $ | 1,833,000 | $ | (1,438,167 | ) | $ | – | $ | – | $ | 394,833 | |||||||||
Fixed Income Clearing Corp. | 166,349 | – | – | (166,349 | ) | – | ||||||||||||||
Goldman Sachs | 9,954,000 | (7,592,023 | ) | (1,270,000 | ) | – | 1,091,977 | |||||||||||||
Morgan Stanley | 895,000 | (4 | ) | – | – | 894,996 | ||||||||||||||
Total | $ | 12,848,349 | $ | (9,030,194 | ) | $ | (1,270,000 | ) | $ | (166,349 | ) | $ | 2,381,806 |
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 | |||||||||
OTC Options Written | $ | 9,030,194 | $ | – | $ | 9,030,194 | ||||||
Total | $ | 9,030,194 | $ | – | $ | 9,030,194 |
Net Amounts of Liabilities Presented in | Amounts Not Offset in the Statement of Assets and Liabilities | |||||||||||||||||||
Counterparty | the Statement of Assets and Liabilities | Financial Instruments | Cash Collateral Pledged(a) | Securities Collateral Pledged(a) | Net Amount(c) | |||||||||||||||
Citibank | $ | 1,438,167 | $ | (1,438,167 | ) | $ | – | $ | – | $ | – | |||||||||
Goldman Sachs | 7,592,023 | (7,592,023 | ) | – | – | – | ||||||||||||||
Morgan Stanley | 4 | (4 | ) | – | – | – | ||||||||||||||
Total | $ | 9,030,194 | $ | (9,030,194 | ) | $ | – | $ | – | $ | – |
Multi-Asset 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 | |||||||||
OTC Options Purchased | $ | 10,323,000 | $ | – | $ | 10,323,000 | ||||||
Repurchase Agreement | 109,779 | – | 109,779 | |||||||||
Total | $ | 10,432,779 | $ | – | $ | 10,432,779 |
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) | |||||||||||||||
Citibank | $ | 4,034,000 | $ | (3,165,174 | ) | $ | (370,000 | ) | $ | – | $ | 498,826 | ||||||||
Fixed Income Clearing Corp. | 109,779 | – | – | (109,779 | ) | – | ||||||||||||||
J.P. Morgan | 5,083,000 | (3,560,161 | ) | (1,210,000 | ) | – | 1,212,839 | |||||||||||||
Morgan Stanley | 1,206,000 | (5 | ) | – | – | 635,995 | ||||||||||||||
Total | $ | 10,432,779 | $ | (6,725,340 | ) | $ | (1,580,000 | ) | $ | (109,779 | ) | $ | 2,347,660 |
50
Notes to Financial Statements (unaudited)(continued)
Multi-Asset Income Fund | ||||||||||||
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 | |||||||||
OTC Options Written | $ | 6,725,340 | $ | – | $ | 6,725,340 | ||||||
Total | $ | 6,725,340 | $ | – | $ | 6,725,340 |
Net Amounts of Liabilities Presented in | Amounts Not Offset in the Statement of Assets and Liabilities | |||||||||||||||||||
Counterparty | the Statement of Assets and Liabilities | Financial Instruments | Cash Collateral Pledged(a) | Securities Collateral Pledged(a) | Net Amount(c) | |||||||||||||||
Citibank | $ | 3,165,174 | $ | (3,165,174 | ) | $ | – | $ | – | $ | – | |||||||||
J.P. Morgan Chase | 3,560,161 | (3,560,161 | ) | – | – | – | ||||||||||||||
Morgan Stanley | 5 | (5 | ) | – | – | – | ||||||||||||||
Total | $ | 6,725,340 | $ | (6,725,340 | ) | $ | – | $ | – | $ | – |
(a) | Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets (liabilities) presented in the Statements of Assets and Liabilities, for each respective counterparty. |
(b) | Net amount represents the amount owed to the Fund by each counterparty as of May 31, 2019. |
(c) | Net amount represents the amount owed by the Fund to each counterparty as of May 31, 2019. |
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, 2019, the Funds did not participate as a borrower or lender in the Interfund Lending Program.
51
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 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, 2019:
Multi-Asset Balanced Opportunity Fund | ||||||||||||||||||||||||||||||||
Affiliated Issuer | Balance of Shares Held at 11/30/2018 | Gross Additions | Gross Sales | Balance of Shares Held at 5/31/2019 | Fair Value at 5/31/2019 | Net Realized Gain 12/1/2018 to 5/31/2019 | Dividend Income 12/1/2018 to 5/31/2019 | Change in Appreciation (Depreciation) 12/1/2018 to 5/31/2019 | ||||||||||||||||||||||||
Lord Abbett Equity Trust-Calibrated Large Cap Value Fund–Class I | 10,679,174 | 27,370 | (10,706,544 | ) | – | $ | – | $ | (594,044 | ) | $ | 544,118 | $ | 12,410,051 | ||||||||||||||||||
Lord Abbett Equity Trust-Calibrated Mid Cap Value Fund–Class I | 8,006,923 | 3,750 | (8,010,673 | ) | – | – | (731,563 | ) | 72,928 | 8,661,115 | ||||||||||||||||||||||
Lord Abbett Investment Trust-Convertible Fund-Class I | 11,552,944 | 785,947 | (3,056,757 | ) | 9,282,134 | 121,503,140 | 5,982,177 | (a) | 5,059,757 | (1,960,510 | ) | |||||||||||||||||||||
Lord Abbett Global Fund, Inc.-Emerging Markets Bond Fund–Class I | 15,146,308 | 1,388,433 | (1,122,440 | ) | 15,412,301 | 78,140,368 | (100,623 | ) | 2,140,640 | 4,976,479 | ||||||||||||||||||||||
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I | – | 17,218,833 | (829,552 | ) | 16,389,281 | 189,296,193 | (459,227 | ) | – | (14,830,724 | ) | |||||||||||||||||||||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I | 7,257,952 | 16,389 | (2,905,000 | ) | 4,369,341 | 123,346,496 | (7,410,732 | ) | – | 23,472,353 | ||||||||||||||||||||||
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I | 5,785,975 | 1,442,925 | (999,383 | ) | 6,229,517 | 158,603,511 | 6,028,474 | (b) | – | 5,787,131 | ||||||||||||||||||||||
Lord Abbett Investment Trust-High Yield Fund–Class I | 38,576,789 | 1,128,908 | (9,285,439 | ) | 30,420,258 | 222,676,292 | (177,481 | ) | 7,586,390 | 5,916,350 | ||||||||||||||||||||||
Lord Abbett Investment Trust-Inflation Focused Fund-Class I | 6,882,447 | 205,171 | (771,144 | ) | 6,316,474 | 72,134,128 | (654,737 | ) | 1,520,813 | (389,467 | ) | |||||||||||||||||||||
Lord Abbett Securities Trust-International Equity Fund-Class I | 6,841,732 | 184,602 | (595,184 | ) | 6,431,149 | 79,296,072 | (87,545 | ) | 1,943,736 | (2,182 | ) | |||||||||||||||||||||
Lord Abbett Securities Trust-International Value Fund–Class I | 12,240,556 | 308,882 | (741,156 | ) | 11,808,282 | 78,288,910 | (806,937 | ) | 879,443 | (904,115 | ) | |||||||||||||||||||||
Lord Abbett Mid Cap Stock Fund, Inc.–Class I | 2,317,331 | 5,764,764 | (465,322 | ) | 7,616,773 | 195,141,726 | 2,450,393 | (c) | 764,256 | (22,568,118 | ) | |||||||||||||||||||||
Lord Abbett Ultra Short Bond Fund | 3,236,109 | 8,363,489 | (1,244,301 | ) | 10,355,297 | 103,760,078 | (12,443 | ) | 763,009 | 199,851 | ||||||||||||||||||||||
Total | $ | 1,422,186,914 | $ | 3,425,712 | $ | 21,275,090 | $ | 20,768,214 |
(a) | Includes $4,437,951 of distributed capital gains. |
(b) | Includes $6,458,116 of distributed capital gains. |
(c) | Includes $3,051,229 of distributed capital gains. |
52
Notes to Financial Statements (unaudited)(continued)
Multi-Asset Growth Fund | ||||||||||||||||||||||||||||||||
Affiliated Issuer | Balance of Shares Held at 11/30/2018 | Gross Additions | Gross Sales | Balance of Shares Held at 5/31/2019 | Fair Value at 5/31/2019 | Net Realized Gain 12/1/2018 to 5/31/2019 | Dividend Income 12/1/2018 to 5/31/2019 | Change in Appreciation (Depreciation 12/1/2018 to 5/31/2019 | ) | |||||||||||||||||||||||
Lord Abbett Affiliated Fund, Inc.-Class I | 3,784,490 | 47,277 | (3,831,767 | ) | – | $ | – | $ | (402,212 | ) | $ | 654,116 | $ | 1,397,357 | ||||||||||||||||||
Lord Abbett Equity Trust-Calibrated Large Cap Value Fund-Class I | 5,484,373 | 13,943 | (5,498,316 | ) | – | – | (337,913 | ) | 277,182 | 2,382,370 | ||||||||||||||||||||||
Lord Abbett Equity Trust-Calibrated Mid Cap Value Fund-Class I | 6,571,631 | 2,966 | (6,574,597 | ) | – | – | (1,261,347 | ) | 57,687 | 12,012,290 | ||||||||||||||||||||||
Lord Abbett Investment Trust-Convertible Fund-Class I | 3,980,503 | 270,426 | (1,650,964 | ) | 2,599,965 | 34,033,535 | 2,949,592 | (a) | 1,725,685 | (1,567,892 | ) | |||||||||||||||||||||
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I | – | 12,899,236 | (518,799 | ) | 12,380,437 | 142,994,051 | 333 | – | (9,841,704 | ) | ||||||||||||||||||||||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I | 4,989,415 | 3,450 | (1,412,518 | ) | 3,580,347 | 101,073,192 | (4,196,073 | ) | – | 15,164,099 | ||||||||||||||||||||||
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I | 5,530,315 | 583,892 | (1,010,448 | ) | 5,103,759 | 129,941,707 | 5,547,839 | (b) | – | 6,024,386 | ||||||||||||||||||||||
Lord Abbett Investment Trust-High Yield Fund- Class I | 28,347,397 | 904,428 | (3,914,953 | ) | 25,336,872 | 185,465,900 | (222,486 | ) | 5,717,751 | 4,009,868 | ||||||||||||||||||||||
Lord Abbett Investment Trust-Inflation Focused Fund-Class I | 729,282 | 13,503 | (100,037 | ) | 642,748 | 7,340,179 | (38,014 | ) | 154,837 | (57,882 | ) | |||||||||||||||||||||
Lord Abbett Securities Trust-International Equity Fund-Class I | 6,762,616 | 226,169 | (629,333 | ) | 6,359,452 | 78,412,038 | (47,005 | ) | 1,921,259 | (36,330 | ) | |||||||||||||||||||||
Lord Abbett Securities Trust-International Value Fund-Class I | 12,420,011 | 469,885 | (1,123,410 | ) | 11,766,486 | 78,011,802 | (1,299,527 | ) | 872,601 | (481,263 | ) | |||||||||||||||||||||
Lord Abbett Mid Cap Stock Fund, Inc.-Class I | 2,619,706 | 4,606,272 | (386,395 | ) | 6,839,583 | 175,230,115 | 3,856,247 | (c) | 863,980 | (22,604,162 | ) | |||||||||||||||||||||
Lord Abbett Ultra Short Bond Fund | 280,789 | 3,294,426 | (78,906 | ) | 3,496,309 | 35,033,014 | 1,578 | 272,887 | 70,458 | |||||||||||||||||||||||
Total | $ | 967,535,533 | $ | 4,551,012 | $ | 12,517,985 | $ | 6,471,595 |
(a) | Includes $1,540,115 of distributed capital gains. |
(b) | Includes $6,197,527 of distributed capital gains. |
(c) | Includes $3,449,367 of distributed capital gains. |
53
Notes to Financial Statements (unaudited)(continued)
Multi-Asset Income Fund | ||||||||||||||||||||||||||||||||
Affiliated Issuer | Balance of Shares Held at 11/30/2018 | Gross Additions | Gross Sales | Balance of Shares Held at 5/31/2019 | Fair Value at 5/31/2019 | Net Realized Gain 12/1/2018 to 5/31/2019 | Dividend Income 12/1/2018 to 5/31/2019 | Change in Appreciation (Depreciation 12/1/2018 to 5/31/2019 | ) | |||||||||||||||||||||||
Lord Abbett Equity Trust-Calibrated Mid Cap Value Fund-Class I | 6,744,374 | – | (6,744,374 | ) | – | $ | – | $ | (247,451 | ) | $ | 60,176 | $ | 13,964,276 | ||||||||||||||||||
Lord Abbett Investment Trust-Convertible Fund-Class I | 16,233,536 | 1,114,249 | (4,847,150 | ) | 12,500,635 | 163,633,315 | 5,737,475 | (a) | 7,147,610 | (607,772 | ) | |||||||||||||||||||||
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I | 1,369,865 | 21,319 | (143,589 | ) | 1,247,595 | 13,561,360 | (20,417 | ) | 227,076 | 668,472 | ||||||||||||||||||||||
Lord Abbett Global Fund, Inc.-Emerging Markets Bond Fund-Class I | 11,189,766 | 4,242,428 | (1,972,744 | ) | 13,459,450 | 68,239,411 | (431,302 | ) | 1,903,607 | 4,705,839 | ||||||||||||||||||||||
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I | – | 8,226,720 | – | 8,226,720 | 95,018,615 | – | – | (7,854,079 | ) | |||||||||||||||||||||||
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund- Class I | 3,317,795 | 433,516 | (630,456 | ) | 3,120,855 | 79,456,972 | 3,664,465 | (b) | – | 3,402,611 | ||||||||||||||||||||||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I | 4,252,856 | – | (1,893,290 | ) | 2,359,566 | 66,610,542 | (5,196,343 | ) | – | 13,606,265 | ||||||||||||||||||||||
Lord Abbett Investment Trust-High Yield Fund-Class I | 36,240,904 | 1,002,003 | (7,405,371 | ) | 29,837,536 | 218,410,763 | 1,973,803 | 7,233,502 | 3,447,591 | |||||||||||||||||||||||
Lord Abbett Investment Trust-Inflation Focused Fund-Class I | 8,194,338 | 162,453 | (786,129 | ) | 7,570,662 | 86,456,961 | (466,800 | ) | 1,863,913 | (676,225 | ) | |||||||||||||||||||||
Lord Abbett Securities Trust–International Equity Fund-Class I | 6,242,490 | 344,025 | (692,666 | ) | 5,893,849 | 72,671,158 | 224,380 | 1,781,744 | (53,252 | ) | ||||||||||||||||||||||
Lord Abbett Securities Trust-International Value Fund-Class I | 11,697,199 | 647,386 | (1,432,061 | ) | 10,912,524 | 72,350,032 | (1,913,813 | ) | 811,326 | 456,089 | ||||||||||||||||||||||
Lord Abbett Mid Cap Stock Fund, Inc.-Class I | 3,134,124 | 4,816,106 | (3,835,391 | ) | 4,114,839 | 105,422,166 | 406,942 | (c) | 1,033,635 | (14,725,188 | ) | |||||||||||||||||||||
Lord Abbett Ultra Short Bond Fund | 23,590,968 | 7,994,240 | (4,244,481 | ) | 27,340,727 | 273,954,087 | (22,588 | ) | 3,229,488 | 745,752 | ||||||||||||||||||||||
Total | $ | 1,315,785,382 | $ | 3,708,351 | $ | 25,292,077 | $ | 17,080,379 |
(a) | Includes $6,306,888 of distributed capital gains. |
(b) | Includes $3,682,181 of distributed capital gains. |
(c) | Includes $4,126,700 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.
54
Notes to Financial Statements (unaudited)(continued)
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 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 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, Multi-Asset Growth Fund will be more heavily invested in equity funds than fixed income funds, each will
55
Notes to Financial Statements (unaudited)(continued)
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, each will be affected by risks associated with both equity and fixed income investments.
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. 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, 2019 (unaudited) | Year Ended November 30, 2018 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 4,562,230 | $ | 49,103,038 | 9,470,672 | $ | 111,822,619 | ||||||||||
Converted from Class B* | – | – | 56,691 | 679,837 | ||||||||||||
Converted from Class C** | 433,316 | 4,761,549 | 3,021,785 | 35,490,466 | ||||||||||||
Reinvestment of distributions | 6,289,131 | 63,339,755 | 6,208,291 | 72,973,932 | ||||||||||||
Shares reacquired | (14,275,813 | ) | (153,323,699 | ) | (25,845,961 | ) | (304,582,141 | ) | ||||||||
Decrease | (2,991,136 | ) | $ | (36,119,357 | ) | (7,088,522 | ) | $ | (83,615,287 | ) | ||||||
Class B Shares | ||||||||||||||||
Shares sold | – | $ | – | 1,160 | $ | 13,194 | ||||||||||
Reinvestment of distributions | – | – | 9,665 | 114,233 | ||||||||||||
Shares reacquired | – | – | (233,141 | ) | (2,791,943 | ) | ||||||||||
Converted to Class A* | – | – | (56,661 | ) | (679,837 | ) | ||||||||||
Decrease | – | $ | – | (278,977 | ) | $ | (3,344,353 | ) | ||||||||
Class C Shares | ||||||||||||||||
Shares sold | 794,329 | $ | 8,512,490 | 1,719,654 | $ | 20,234,629 | ||||||||||
Reinvestment of distributions | 1,088,520 | 10,828,300 | 1,187,590 | 13,883,624 | ||||||||||||
Shares reacquired | (3,189,189 | ) | (34,253,831 | ) | (6,208,173 | ) | (72,806,017 | ) | ||||||||
Converted to Class A** | (436,237 | ) | (4,761,549 | ) | (3,042,434 | ) | (35,490,465 | ) | ||||||||
Decrease | (1,742,577 | ) | $ | (19,674,590 | ) | (6,343,363 | ) | $ | (74,178,229 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 467,633 | $ | 5,066,844 | 1,341,778 | $ | 15,845,294 | ||||||||||
Reinvestment of distributions | 244,901 | 2,467,632 | 251,480 | 2,954,381 | ||||||||||||
Shares reacquired | (1,076,691 | ) | (11,601,745 | ) | (2,669,715 | ) | (31,438,904 | ) | ||||||||
Decrease | (364,157 | ) | $ | (4,067,269 | ) | (1,076,457 | ) | $ | (12,639,229 | ) |
56
Notes to Financial Statements (unaudited)(continued)
Multi-Asset Balanced Opportunity Fund | Six Months Ended May 31, 2019 (unaudited) | Year Ended November 30, 2018 | ||||||||||||||
Class F3 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | – | $ | – | 241 | $ | 2,907 | ||||||||||
Reinvestment of distributions | 57 | 584 | 54 | 635 | ||||||||||||
Shares reacquired | – | – | (242 | ) | (2,823 | ) | ||||||||||
Increase | 57 | $ | 584 | 53 | $ | 719 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 36,847 | $ | 401,912 | 262,943 | $ | 3,100,011 | ||||||||||
Reinvestment of distributions | 74,577 | 751,350 | 82,867 | 974,293 | ||||||||||||
Shares reacquired | (375,497 | ) | (4,086,546 | ) | (529,206 | ) | (6,275,040 | ) | ||||||||
Decrease | (264,073 | ) | $ | (2,933,284 | ) | (183,396 | ) | $ | (2,200,736 | ) | ||||||
Class P Shares | ||||||||||||||||
Shares sold | 3,045 | $ | 33,497 | 4,294 | $ | 50,061 | ||||||||||
Reinvestment of distributions | 2,764 | 27,677 | 2,952 | 34,549 | ||||||||||||
Shares reacquired | (1,082 | ) | (12,141 | ) | (16,396 | ) | (196,256 | ) | ||||||||
Increase (decrease) | 4,727 | $ | 49,033 | (9,150 | ) | $ | (111,646 | ) | ||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 1,004 | $ | 11,228 | 1,960 | $ | 23,606 | ||||||||||
Reinvestment of distributions | 1,814 | 18,636 | 1,841 | 22,096 | ||||||||||||
Shares reacquired | (397 | ) | (4,448 | ) | (9,986 | ) | (123,016 | ) | ||||||||
Increase (decrease) | 2,421 | $ | 25,416 | (6,185 | ) | $ | (77,314 | ) | ||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 191,835 | $ | 2,059,102 | 848,468 | $ | 9,954,205 | ||||||||||
Reinvestment of distributions | 141,620 | 1,420,838 | 147,035 | 1,724,886 | ||||||||||||
Shares reacquired | (605,318 | ) | (6,619,217 | ) | (1,352,271 | ) | (15,884,781 | ) | ||||||||
Decrease | (271,863 | ) | $ | (3,139,277 | ) | (356,768 | ) | $ | (4,205,690 | ) | ||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 113,703 | $ | 1,220,506 | 388,823 | $ | 4,573,649 | ||||||||||
Reinvestment of distributions | 26,779 | 270,071 | 16,204 | 189,803 | ||||||||||||
Shares reacquired | (71,396 | ) | (784,772 | ) | (167,424 | ) | (1,948,934 | ) | ||||||||
Increase | 69,086 | $ | 705,805 | 237,603 | $ | 2,814,518 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 422 | $ | 4,534 | 2,177 | $ | 25,027 | ||||||||||
Reinvestment of distributions | 605 | 6,110 | 515 | 6,048 | ||||||||||||
Shares reacquired | (1,137 | ) | (12,226 | ) | (409 | ) | (4,775 | ) | ||||||||
Increase (decrease) | (110 | ) | $ | (1,582 | ) | 2,283 | $ | 26,300 | ||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 25,183 | $ | 268,566 | 1,070,971 | $ | 13,030,370 | ||||||||||
Reinvestment of distributions | 14,897 | 150,499 | 25,715 | 302,377 | ||||||||||||
Shares reacquired | (98,743 | ) | (1,078,912 | ) | (1,072,158 | ) | (12,289,445 | ) | ||||||||
Increase (decrease) | (58,663 | ) | $ | (659,847 | ) | 24,528 | $ | 1,043,302 | ||||||||
Class T Shares | ||||||||||||||||
Reinvestment of distributions | – | $ | – | 39.86 | $ | 471 | ||||||||||
Shares reacquired | – | – | (890 | ) | (10,532 | ) | ||||||||||
Decrease | – | $ | – | (850.14 | ) | $ | (10,061 | ) |
57
Notes to Financial Statements (unaudited)(continued)
Multi-Asset Growth Fund | Six Months Ended May 31, 2019 (unaudited) | Year Ended November 30, 2018 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,952,785 | $ | 30,174,515 | 3,786,232 | $ | 66,231,998 | ||||||||||
Converted from Class B* | – | – | 21,750 | 386,198 | ||||||||||||
Converted from Class C** | 284,419 | 4,500,914 | 1,007,666 | 17,550,106 | ||||||||||||
Reinvestment of distributions | 3,851,001 | 55,577,918 | 2,748,707 | 48,270,680 | ||||||||||||
Shares reacquired | (6,425,276 | ) | (99,994,579 | ) | (10,105,310 | ) | (176,896,566 | ) | ||||||||
Shares issued in reorganization (See Note 15) | – | – | 8,638,032 | 151,251,948 | ||||||||||||
Increase (decrease) | (337,071 | ) | $ | (9,741,232 | ) | 6,097,077 | $ | 106,794,364 | ||||||||
Class B Shares | ||||||||||||||||
Shares sold | – | $ | – | 5 | $ | 90 | ||||||||||
Reinvestment of distributions | – | – | 6,899 | 120,622 | ||||||||||||
Shares reacquired | – | – | (108,999 | ) | (1,919,150 | ) | ||||||||||
Converted to Class A* | – | – | (21,856 | ) | (386,099 | ) | ||||||||||
Decrease | – | $ | – | (123,951 | ) | $ | (2,184,537 | ) | ||||||||
Class C Shares | ||||||||||||||||
Shares sold | 284,361 | $ | 4,360,865 | 589,485 | $ | 10,214,762 | ||||||||||
Reinvestment of distributions | 743,127 | 10,573,839 | 586,694 | 10,198,441 | ||||||||||||
Shares reacquired | (1,438,358 | ) | (22,243,539 | ) | (2,782,742 | ) | (48,133,577 | ) | ||||||||
Converted to Class A** | (287,732 | ) | (4,500,914 | ) | (1,018,607 | ) | (17,550,106 | ) | ||||||||
Shares issued in reorganization (See Note 15) | – | – | 2,250,912 | 39,053,329 | ||||||||||||
Decrease | (698,602 | ) | $ | (11,809,749 | ) | (374,258 | ) | $ | (6,217,751 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 261,188 | $ | 4,134,682 | 758,589 | $ | 13,255,518 | ||||||||||
Reinvestment of distributions | 174,517 | 2,518,157 | 126,632 | 2,221,882 | ||||||||||||
Shares reacquired | (753,986 | ) | (11,498,203 | ) | (864,675 | ) | (15,085,895 | ) | ||||||||
Shares issued in reorganization (See Note 15) | 648 | – | 162,717 | 2,847,554 | ||||||||||||
Increase (decrease) | (317,633 | ) | $ | (4,845,364 | ) | 183,263 | $ | 3,239,059 | ||||||||
Class F3 Shares | ||||||||||||||||
Reinvestment of distributions | 168 | $ | 2,446 | 93 | $ | 1,642 | ||||||||||
Shares reacquired | (197 | ) | (3,090 | ) | (49 | ) | (865 | ) | ||||||||
Shares issued in reorganization (See Note 15) | – | – | 648 | 11,420 | ||||||||||||
Increase (decrease) | (29 | ) | $ | (644 | ) | 692 | $ | 12,197 | ||||||||
Class I Shares | ||||||||||||||||
Shares sold | 21,017 | $ | 338,670 | 220,054 | $ | 3,920,536 | ||||||||||
Reinvestment of distributions | 122,879 | 1,779,138 | 62,533 | 1,104,538 | ||||||||||||
Shares reacquired | (381,775 | ) | (5,946,333 | ) | (268,246 | ) | (4,631,895 | ) | ||||||||
Shares issued in reorganization (See Note 15) | – | – | 942,593 | 16,599,080 | ||||||||||||
Increase (decrease) | (237,879 | ) | $ | (3,828,525 | ) | 956,934 | $ | 16,992,259 |
58
Notes to Financial Statements (unaudited)(continued)
Multi-Asset Growth Fund | Six Months Ended May 31, 2019 (unaudited) | Year Ended November 30, 2018 | ||||||||||||||
Class R2 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 231 | $ | 3,734 | 374 | $ | 6,718 | ||||||||||
Reinvestment of distributions | 167 | 2,466 | 82 | 1,465 | ||||||||||||
Shares reacquired | (82 | ) | (1,339 | ) | (493 | ) | (8,789 | ) | ||||||||
Shares issued in reorganization (See Note 15) | – | – | 352 | 6,314 | ||||||||||||
Increase | 316 | $ | 4,861 | 315 | $ | 5,708 | ||||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 134,954 | $ | 2,120,817 | 292,269 | $ | 5,095,781 | ||||||||||
Reinvestment of distributions | 148,436 | 2,131,432 | 94,911 | 1,661,060 | ||||||||||||
Shares reacquired | (359,843 | ) | (5,561,862 | ) | (487,789 | ) | (8,557,879 | ) | ||||||||
Shares issued in reorganization (See Note 15) | – | – | 478,206 | 8,349,484 | ||||||||||||
Increase (decrease) | (76,453 | ) | $ | (1,309,613 | ) | 377,597 | $ | 6,548,446 | ||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 91,573 | $ | 1,418,210 | 133,259 | $ | 2,332,405 | ||||||||||
Reinvestment of distributions | 23,443 | 337,862 | 8,998 | 157,835 | ||||||||||||
Shares reacquired | (44,953 | ) | (691,402 | ) | (65,774 | ) | (1,148,545 | ) | ||||||||
Shares issued in reorganization (See Note 15) | – | – | 81,509 | 1,425,593 | ||||||||||||
Increase | 70,063 | $ | 1,064,670 | 157,992 | $ | 2,767,288 | ||||||||||
Class R5 Shares | ||||||||||||||||
Reinvestment of distributions | 119 | $ | 1,729 | 47.62 | $ | 841 | ||||||||||
Shares issued in reorganization (See Note 15) | – | – | 699 | 12,310 | ||||||||||||
Increase | 119 | $ | 1,729 | 746.62 | $ | 13,151 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 41,935 | $ | 648,992 | 445,796 | $ | 8,083,094 | ||||||||||
Reinvestment of distributions | 43,959 | 640,142 | 12,447 | 219,568 | ||||||||||||
Shares reacquired | (227,610 | ) | (3,551,152 | ) | (85,241 | ) | (1,493,898 | ) | ||||||||
Shares issued in reorganization (See Note 15) | – | – | 181,945 | 3,209,516 | ||||||||||||
Increase (decrease) | (141,716 | ) | $ | (2,262,018 | ) | 554,947 | $ | 10,018,280 | ||||||||
Multi-Asset Income Fund | Six Months Ended May 31, 2019 (unaudited) | Year Ended November 30, 2018 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 2,937,422 | $ | 41,830,265 | 7,128,755 | $ | 106,570,981 | ||||||||||
Converted from Class B* | – | – | 4,559 | 69,003 | ||||||||||||
Converted from Class C** | 255,013 | 3,694,944 | 562,708 | 8,415,974 | ||||||||||||
Reinvestment of distributions | 1,113,298 | 15,368,187 | 1,617,108 | 24,062,715 | ||||||||||||
Shares reacquired | (7,689,363 | ) | (109,013,662 | ) | (12,373,137 | ) | (184,458,293 | ) | ||||||||
Decrease | (3,383,630 | ) | $ | (48,120,266 | ) | (3,060,007 | ) | $ | (45,339,620 | ) |
59
Notes to Financial Statements (unaudited)(continued)
Six Months Ended | ||||||||||||||||
May 31, 2019 | Year Ended | |||||||||||||||
Multi-Asset Income Fund | (unaudited) | November 30, 2018 | ||||||||||||||
Class B Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | – | $ | – | 22 | $ | 262 | ||||||||||
Reinvestment of distributions | – | – | 511 | 7,761 | ||||||||||||
Shares reacquired | – | – | (44,723 | ) | (685,813 | ) | ||||||||||
Converted to Class A* | – | – | (4,489 | ) | (69,003 | ) | ||||||||||
Increase (decrease) | – | $ | – | (48,679 | ) | $ | (746,793 | ) | ||||||||
Class C Shares | ||||||||||||||||
Shares sold | 739,610 | $ | 10,602,370 | 2,067,790 | $ | 31,399,542 | ||||||||||
Reinvestment of distributions | 499,928 | 6,951,164 | 721,420 | 10,894,175 | ||||||||||||
Shares reacquired | (3,832,927 | ) | (55,437,117 | ) | (7,956,457 | ) | (120,382,550 | ) | ||||||||
Converted to Class A** | (251,257 | ) | (3,694,944 | ) | (554,903 | ) | (8,415,974 | ) | ||||||||
Decrease | (2,844,646 | ) | $ | (41,578,527 | ) | (5,722,150 | ) | $ | (86,504,807 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 1,170,181 | $ | 16,761,458 | 4,342,789 | $ | 64,964,389 | ||||||||||
Reinvestment of distributions | 301,069 | 4,159,590 | 452,965 | 6,738,828 | ||||||||||||
Shares reacquired | (3,348,069 | ) | (47,576,893 | ) | (6,106,798 | ) | (90,852,710 | ) | ||||||||
Decrease | (1,876,819 | ) | $ | (26,655,845 | ) | (1,311,044 | ) | $ | (19,149,493 | ) | ||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 73,875 | $ | 1,073,148 | 100,315 | $ | 1,482,496 | ||||||||||
Reinvestment of distributions | 6,700 | 92,291 | 9,394 | 138,875 | ||||||||||||
Shares reacquired | (51,619 | ) | (728,000 | ) | (58,518 | ) | (846,904 | ) | ||||||||
Increase | 28,956 | $ | 437,439 | 51,191 | $ | 774,467 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 233,264 | $ | 3,304,089 | 1,154,359 | $ | 16,955,367 | ||||||||||
Reinvestment of distributions | 85,328 | 1,172,249 | 122,643 | 1,813,852 | ||||||||||||
Shares reacquired | (831,264 | ) | (11,733,455 | ) | (1,274,048 | ) | (18,898,365 | ) | ||||||||
Increase (decrease) | (512,672 | ) | $ | (7,257,117 | ) | 2,954 | $ | (129,146 | ) | |||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 1,263 | $ | 18,731 | 2,528 | $ | 39,033 | ||||||||||
Reinvestment of distributions | 154 | 2,183 | 185 | 2,820 | ||||||||||||
Shares reacquired | (1,417 | ) | (20,722 | ) | (2,075 | ) | (32,139 | ) | ||||||||
Increase | – | (a) | $ | 192 | 638 | $ | 9,714 | |||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 314,082 | $ | 4,523,970 | 309,618 | $ | 4,602,969 | ||||||||||
Reinvestment of distributions | 29,418 | 406,097 | 37,806 | 562,455 | ||||||||||||
Shares reacquired | (195,875 | ) | (2,818,457 | ) | (361,707 | ) | (5,409,857 | ) | ||||||||
Increase (decrease) | 147,625 | $ | 2,111,610 | (14,283 | ) | $ | (244,433 | ) | ||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 64,842 | $ | 933,349 | 124,744 | $ | 1,853,639 | ||||||||||
Reinvestment of distributions | 3,210 | 44,506 | 2,666 | 39,512 | ||||||||||||
Shares reacquired | (22,661 | ) | (325,522 | ) | (42,724 | ) | (635,904 | ) | ||||||||
Increase | 45,391 | $ | 652,333 | 84,686 | $ | 1,257,247 |
60
Notes to Financial Statements (unaudited)(continued)
Six Months Ended | ||||||||||||||||
May 31, 2019 | Year Ended | |||||||||||||||
Multi-Asset Income Fund | (unaudited) | November 30, 2018 | ||||||||||||||
Class R5 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 325 | $ | 4,433 | 385 | $ | 5,768 | ||||||||||
Reinvestment of distributions | 52 | 717 | 61 | 897 | ||||||||||||
Shares reacquired | (12 | ) | (166 | ) | (18 | ) | (256 | ) | ||||||||
Increase | 365 | $ | 4,984 | 428 | $ | 6,409 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 17,168 | $ | 243,636 | 131,049 | $ | 1,987,040 | ||||||||||
Reinvestment of distributions | 4,426 | 60,949 | 4,381 | 64,680 | ||||||||||||
Shares reacquired | (27,880 | ) | (396,108 | ) | (13,306 | ) | (197,405 | ) | ||||||||
Increase (decrease) | (6,286 | ) | $ | (91,523 | ) | 122,124 | $ | 1,854,315 | ||||||||
Class T Shares | ||||||||||||||||
Reinvestment of distributions | – | $ | – | 16 | $ | 243 | ||||||||||
Shares reacquired | – | – | (698 | ) | (10,458 | ) | ||||||||||
Increase (decrease) | – | $ | – | (682 | ) | $ | (10,215 | ) |
* | 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. |
** | 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) | Amount less than 1 share. |
15. | REORGANIZATION |
The following table illustrates share conversion ratios and dollar amounts of the reorganization on July 13, 2018:
Multi-Asset | Multi-Asset | Multi-Asset | ||||||||||||||
Focused Growth | Conversion | Growth | Growth Fund | |||||||||||||
Class | Fund Shares | Ratio | Fund Shares | Amount | ||||||||||||
A | 9,230,652 | 0.935797 | 8,638,032 | $ | 151,251,948 | |||||||||||
C | 2,465,827 | 0.912841 | 2,250,912 | 39,053,329 | ||||||||||||
F | 173,915 | 0.935617 | 162,717 | 2,847,554 | ||||||||||||
F3 | 690 | 0.938332 | 648 | 11,420 | ||||||||||||
I | 1,003,324 | 0.939472 | 942,593 | 16,599,080 | ||||||||||||
R2 | 373 | 0.944479 | 352 | 6,314 | ||||||||||||
R3 | 515,965 | 0.926821 | 478,206 | 8,349,484 | ||||||||||||
R4 | 87,420 | 0.932384 | 81,509 | 1,425,593 | ||||||||||||
R5 | 744 | 0.939614 | 699 | 12,310 | ||||||||||||
R6 | 193,884 | 0.938424 | 181,945 | 3,209,516 |
16. | SUBSEQUENT EVENT |
As of the close of business on June 21, 2019, Lord Abbett Multi-Asset Balanced Opportunity Fund acquired the net assets of Lord Abbett Multi-Asset Global Opportunity Fund (a fund of Lord Abbett Global Bond Fund, Inc.) and Lord Abbett Multi-Asset Growth Fund, pursuant to plans of reorganization. The reorganizations permitted Lord Abbett Multi-Asset Global Opportunity Fund and Lord Abbett Multi-Asset Growth Fund shareholders to each pursue a substantially similar investment goal, but as part of a larger fund with a lower expense ratio. The acquisition was accomplished by a tax-free exchange whereas holders of shares of Lord Abbett Multi-Asset Global Opportunity Fund and Lord Abbett Multi-Asset Growth Fund outstanding on June 21, 2019 received shares valued at $170,391,304 and $1,001,782,537, respectively, of Lord Abbett Multi-Asset Balanced Opportunity Fund.
61
Notes to Statements (unaudited)(concluded)
The following tables illustrate share conversion ratios and dollar amounts of the reorganization on June 21, 2019:
Class | Lord Abbett Multi-Asset Global Opportunity Fund Shares | Conversion Ratio | Lord Abbett Multi-Asset Balanced Opportunity Fund Shares | Lord Abbett Multi-Asset Balanced Opportunity Fund Amount | ||||||||||||
A | 10,047,024 | 0.981003 | 9,856,165 | $ | 112,064,595 | |||||||||||
C | 2,093,411 | 0.881735 | 1,845,842 | 20,858,012 | ||||||||||||
F | 331,622 | 0.981319 | 325,426 | 3,700,098 | ||||||||||||
F3 | 970 | 0.988446 | 959 | 10,920 | ||||||||||||
I | 102,866 | 0.988540 | 101,687 | 1,156,179 | ||||||||||||
R2 | 38,488 | 0.980714 | 37,745 | 438,979 | ||||||||||||
R3 | 202,719 | 0.989868 | 200,664 | 2,277,540 | ||||||||||||
R4 | 56,889 | 0.979789 | 55,739 | 633,752 | ||||||||||||
R5 | 4,193 | 0.987507 | 4,141 | 47,162 | ||||||||||||
R6 | 2,593,281 | 0.989578 | 2,566,262 | 29,204,067 | ||||||||||||
Class | Lord Abbett Multi-Asset Growth Fund Shares | Conversion Ratio | Lord Abbett Multi-Asset Balanced Opportunity Fund Shares | Lord Abbett Multi-Asset Balanced Opportunity Fund Amount | ||||||||||||
A | 45,644,807 | 1.447010 | 66,048,287 | $ | 750,969,028 | |||||||||||
C | 8,801,519 | 1.439938 | 12,673,647 | 143,212,215 | ||||||||||||
F | 1,970,422 | 1.446623 | 2,850,449 | 32,409,600 | ||||||||||||
F3 | 1,936 | 1.456427 | 2,819 | 32,113 | ||||||||||||
I | 1,829,027 | 1.455462 | 2,662,079 | 30,267,837 | ||||||||||||
R2 | 2,410 | 1.450576 | 3,496 | 40,659 | ||||||||||||
R3 | 1,716,339 | 1.445031 | 2,480,170 | 28,149,931 | ||||||||||||
R4 | 337,927 | 1.444600 | 488,171 | 5,550,506 | ||||||||||||
R5 | 1,500 | 1.453968 | 2,180 | 24,836 | ||||||||||||
R6 | 670,779 | 1.457504 | 977,664 | 11,125,813 |
62
Investments in Underlying Funds (unaudited)
The Funds invests in Underlying Funds managed by Lord Abbett. As of May 31, 2019, 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 Investment Trust – Convertible Fund – Class I | 8.54% | |
Lord Abbett Global Fund, Inc. – Emerging Markets Bond Fund – Class I | 5.49% | |
Lord Abbett Securities Trust – Fundamental Equity Fund – Class I | 13.31% | |
Lord Abbett Securities Trust – Growth Leaders Fund – Class I | 8.67% | |
Lord Abbett Research Fund, Inc. – Growth Opportunities Fund – Class I | 11.15% | |
Lord Abbett Investment Trust – High Yield Fund – Class I | 15.66% | |
Lord Abbett Investment Trust – Inflation Focused Fund – Class I | 5.07% | |
Lord Abbett Securities Trust – International Equity Fund – Class I | 5.58% | |
Lord Abbett Securities Trust – International Value Fund – Class I | 5.51% | |
Lord Abbett Mid Cap Stock Fund, Inc. – Class I | 13.72% | |
Lord Abbett Investment Trust – Ultra Short Bond Fund – Class I | 7.30% | |
Multi-Asset Growth Fund’s Investments: | ||
Underlying Fund Name | % of Investments | |
Lord Abbett Investment Trust – Convertible Fund – Class I | 3.52% | |
Lord Abbett Securities Trust – Fundamental Equity Fund – Class I | 14.78% | |
Lord Abbett Securities Trust – Growth Leaders Fund – Class I | 10.45% | |
Lord Abbett Research Fund, Inc. – Growth Opportunities Fund – Class I | 13.43% | |
Lord Abbett Investment Trust – High Yield Fund – Class I | 19.17% | |
Lord Abbett Investment Trust – Inflation Focused Fund – Class I | 0.76% | |
Lord Abbett Securities Trust – International Equity Fund – Class I | 8.10% | |
Lord Abbett Securities Trust – International Value Fund – Class I | 8.06% | |
Lord Abbett Mid Cap Stock Fund, Inc. – Class I | 18.11% | |
Lord Abbett Investment Trust – Ultra Short Bond Fund – Class I | 3.62% | |
Multi-Asset Income Fund’s Investments: | ||
Underlying Fund Name | % of Investments | |
Lord Abbett Investment Trust – Convertible Fund – Class I | 12.43% | |
Lord Abbett Investment Trust – Core Fixed Income Fund – Class I | 1.04% | |
Lord Abbett Global Fund, Inc. – Emerging Markets Bond Fund – Class I | 5.19% | |
Lord Abbett Securities Trust – Fundamental Equity Fund – Class I | 7.22% | |
Lord Abbett Securities Trust – Growth Leaders Fund – Class I | 5.06% | |
Lord Abbett Research Fund, Inc. – Growth Opportunities Fund – Class I | 6.04% | |
Lord Abbett Investment Trust – High Yield Fund – Class I | 16.60% | |
Lord Abbett Investment Trust – Inflation Focused Fund – Class I | 6.57% | |
Lord Abbett Securities Trust – International Equity Fund – Class I | 5.52% | |
Lord Abbett Securities Trust – International Value Fund – Class I | 5.50% | |
Lord Abbett Mid Cap Stock Fund, Inc. – Class I | 8.01% | |
Lord Abbett Investment Trust – Ultra Short Bond Fund – Class I | 20.82% |
63
Investments in Underlying Funds (unaudited)(continued)
The Ten Largest Holdings and the Holdings by Sector, as of May 31, 2019, 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 Investment Trust – Convertible Fund | ||
Ten Largest Holdings | % of Investments | |
Tesla Energy Operations, Inc., 1.625%, 11/1/2019 | 4.34% | |
FireEye, Inc., 1.625%, 6/1/2035 | 4.32% | |
SunPower Corp., 4.00%, 1/15/2023 | 4.05% | |
Wells Fargo & Co., 7.50% | 3.96% | |
Fortive Corp., 0.875%, 02/15/2022 | 3.37% | |
Microchip Technology, Inc., 1.625%, 2/15/2025 | 3.24% | |
DISH Network Corp., 3.375%, 8/15/2026 | 2.85% | |
Danaher Corp. 4.75% | 2.45% | |
Starwood Property Trust, Inc.4.375%, 04/01/2023 | 2.11% | |
Crown Castle International Corp., 6.875% | 2.10% | |
Holding by Sector* | % of Investments | |
Automotive | 0.44% | |
Banking | 5.07% | |
Basic Industry | 1.83% | |
Capital Goods | 7.07% | |
Consumer Goods | 1.47% | |
Energy | 6.09% | |
Health Care | 11.15% | |
Leisure | 4.23% | |
Media | 3.88% | |
Real Estate | 5.40% | |
Retail | 3.10% | |
Services | 4.64% | |
Technology & Electronics | 36.26% | |
Telecommunication | 1.92% | |
Transportation | 3.97% | |
Utilities | 1.57% | |
Repurchase Agreement | 1.91% | |
Total | 100.00% |
* | A sector may comprise several industries. |
64
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Investment Trust – Core Fixed Income Fund | ||
Ten Largest Holdings | % of Investments | |
U.S. Treasury Bill, Zero Coupon, 07/02/2019 | 15.72% | |
Federal National Mortgage Assoc., 3.50%, TBA | 9.07% | |
Federal National Mortgage Assoc., 4.50%, TBA | 8.83% | |
U.S. Treasury Note, 2.50%, 01/31/2021 | 8.79% | |
Federal National Mortgage Assoc., 4.00%, TBA | 8.74% | |
U.S. Treasury Inflation Indexed Note, 0.625%, 04/15/2023 | 3.21% | |
U.S. Treasury Bond, 2.75%, 11/15/2047 | 2.16% | |
U.S. Treasury Bond, 3.00%, 02/15/2049 | 1.82% | |
U.S. Treasury Note, 2.00%, 05/31/2024 | 0.81% | |
JPMorgan Chase & Co., 3.78%, 02/01/2028 | 0.66% | |
Holding by Sector* | % of Investments | |
Auto | 0.41% | |
Capital Goods | 0.28% | |
Consumer Cyclicals | 0.29% | |
Consumer Services | 0.82% | |
Consumer Staples | 0.36% | |
Energy | 1.67% | |
Financial Services | 29.97% | |
Foreign Government | 0.77% | |
Health Care | 0.25% | |
Integrated Oils | 0.69% | |
Materials and Processing | 0.48% | |
Municipal | 0.04% | |
Producer Durables | 0.75% | |
Technology | 0.44% | |
Telecommunications | 0.05% | |
Transportation | 0.34% | |
U.S. Government | 59.52% | |
Utilities | 1.40% | |
Repurchase Agreement | 1.47% | |
Total | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Global Fund, Inc. – Emerging Markets Bond Fund | ||
Ten Largest Holdings | % of Investments | |
Petroleos Mexicanos, 5.35%, 02/12/2028 | 2.55% | |
Republic of Colombia, 5.00%, 06/15/2045 | 1.78% | |
Republic of EI Salvador, 6.375%, 01/18/2027 | 1.61% | |
Dominican Republic, 5.95%, 01/25/2027 | 1.59% | |
Republic of Ecuador, 8.75%, 06/02/2023 | 1.51% | |
State of Qatar, 3.25%, 06/02/2026 | 1.36% | |
Pakistan Government International Bond, 8.25%, 04/15/2024 | 1.30% | |
United Mexican States, 4.75%, 03/08/2044 | 1.25% | |
Petroleos Mexicanos, 6.75%, 09/21/2047 | 1.23% | |
Saudi International Bond, 3.25%, 10/26/2026 | 1.15% |
65
Investments in Underlying Funds (unaudited)(continued)
Holding by Sector* | % of Investments | |
Banking | 4.10% | |
Basic Industry | 3.38% | |
Consumer Goods | 1.07% | |
Energy | 13.56% | |
Financial Services | 3.63% | |
Foreign Government | 9.29% | |
Foreign Sovereign | 53.56% | |
Local-Authority | 0.45% | |
Real Estate | 0.62% | |
Telecommunications | 0.51% | |
Transportation | 3.22% | |
Utilities | 3.98% | |
Repurchase Agreement | 2.63% | |
Total | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Securities Trust – Fundamental Equity Fund | ||
Ten Largest Holdings | % of Investments | |
JPMorgan Chase & Co. | 4.12% | |
Merck & Co., Inc. | 3.33% | |
Johnson & Johnson | 3.23% | |
Verizon Communications, Inc. | 2.79% | |
Pfizer, Inc. | 2.72% | |
Citigroup, Inc. | 2.70% | |
PepsiCo, Inc. | 2.63% | |
Wells Fargo & Co. | 2.56% | |
Walt Disney Co. (The) | 2.42% | |
United Technologies Corp. | 2.38% | |
Holding by Sector* | % of Investments | |
Communication Services | 7.51% | |
Consumer Discretionary | 5.23% | |
Consumer Staples | 8.69% | |
Energy | 8.84% | |
Financial Services | 21.81% | |
Health Care | 15.1% | |
Industrials | 12.58% | |
Information Technology | 11.80% | |
Materials | 2.92% | |
Real Estate | 1.50% | |
Utilities | 3.49% | |
Repurchase Agreement | 0.53% | |
Total | 100.00% |
* | A sector may comprise several industries. |
66
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Securities Trust – Growth Leaders Fund | ||
Ten Largest Holdings | % of Investments | |
Amazon.com, Inc. | 4.55% | |
Microsoft Corp. | 3.15% | |
Mastercard, Inc. Class A | 2.92% | |
Alphabet, Inc. Class A | 2.91% | |
PayPal Holdings, Inc. | 2.18% | |
MercadoLibre, Inc. | 2.05% | |
Match Group, Inc. | 1.85% | |
ServiceNow, Inc. | 1.76% | |
HEICO Corp. | 1.75% | |
Shopify, Inc. Class A | 1.71% | |
Holding by Sector* | % of Investments | |
Communication Services | 11.43% | |
Consumer Discretionary | 19.42% | |
Financial Services | 2.44% | |
Health Care | 13.94% | |
Industrials | 6.08% | |
Information Technology | 42.42% | |
Real Estate | 1.14% | |
Repurchase Agreement | 3.13% | |
Total | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Research Fund – Growth Opportunities Fund | ||
Ten Largest Holdings | % of Investments | |
ServiceNow, Inc. | 2.91% | |
Global Payments, Inc. | 2.17% | |
SBA Communications Corp. | 1.99% | |
Dollar General Corp. | 1.92% | |
O’Reilly Automotive, Inc. | 1.88% | |
TransDigm Group, Inc. | 1.88% | |
Fidelity National Information Services, Inc. | 1.82% | |
Burlington Stores, Inc. | 1.81% | |
Worldpay, Inc. Class A | 1.67% | |
Fortive Corp. | 1.66% | |
Holding by Sector* | % of Investments | |
Communication Services | 2.26% | |
Consumer Discretionary | 14.82% | |
Consumer Staples | 3.34% | |
Energy | 0.97% | |
Financials | 7.79% | |
Health Care | 14.80% | |
Industrials | 17.18% | |
Information Technology | 30.85% | |
Materials | 4.36% | |
Real Estate | 1.99% | |
Repurchase Agreement | 1.64% | |
Total | 100.00% |
* | A sector may comprise several industries. |
67
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Investment Trust – High Yield Fund | ||
Ten Largest Holdings | % of Investments | |
Sprint Capital Corp., 6.875%, 11/15/2028 | 1.94% | |
Ally Financial, Inc., 8.00%, 11/01/2031 | 0.83% | |
DISH DBS Corp., 7.75%, 07/01/2026 | 0.78% | |
T-Mobile USA, Inc., 6.50%, 01/15/2026 | 0.70% | |
CCO Holdings LLC/CCO Holdings Capital Corp., 5.875%, 05/01/2027 | 0.67% | |
Tenet Healthcare Corp., 5.125%, 05/01/2025 | 0.63% | |
Altice France SA (France), 7.375%, 05/01/2026 | 0.57% | |
Tesla, Inc., 5.30%, 08/15/2025 | 0.55% | |
TransDigm, Inc., 6.375%, 06/15/2026 | 0.55% | |
Calpine Corp., 5.75%, 01/15/2025 | 0.52% | |
Holding by Sector* | % of Investments | |
Automotive | 0.8% | |
Banking | 0.45% | |
Basic Industry | 1.66% | |
Capital Goods | 0.56% | |
Communication Services | 4.65% | |
Consumer Cyclicals | 0.97% | |
Consumer Discretionary | 18.08% | |
Consumer Goods | 0.61% | |
Consumer Services | 0.25% | |
Consumer Staples | 3.04% | |
Energy | 14.07% | |
Financial Services | 8.01% | |
Foreign Government | 0.73% | |
Health Care | 10.30% | |
Industrials | 8.12% | |
Information Technology | 4.10% | |
Insurance | 0.11% | |
Leisure | 0.88% | |
Materials | 6.36% | |
Media | 2.34% | |
Mortgage Backed | 0.01% | |
Municipals | 0.20% | |
Producer Durables | 0.10% | |
Real Estate | 0.93% | |
Retail | 1.39% | |
Services | 1.19% | |
Technology | 2.56% | |
Telecommunications | 0.71% | |
Transportation | 0.74% | |
Utilities | 4.20% | |
Repurchase Agreement | 1.88% | |
Total | 100.00% |
* | A sector may comprise several industries. |
68
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Investment Trust — Inflation Focused Fund | ||
Ten Largest Holdings | % of Investments | |
U.S. Treasury Note, 2.5%, 01/31/2021 | 1.05% | |
VNDO Mortgage Trust 2012–6AVE A, 2.9956%, 11/15/2030 | 0.75% | |
Energy Transfer Partners, 3.0424%-3.0757%, 06/03/2019 | 0.65% | |
Ally Master Owner Trust 2018–4 A, 3.3%, 07/17/2023 | 0.60% | |
Sabine Pass Liquefaction LLC, 5.625%, 04/15/2023 | 0.57% | |
California Republic Auto Receivables Trust 2016–1 B, 3.43%, 02/15/2022 | 0.53% | |
Ford Credit Auto Owner Trust 2015–1 A, 2.12%, 07/15/2026 | 0.52% | |
DBWF Mortgage Trust 2018-AMXP A, 3.7468%, 05/05/2035 | 0.51% | |
JPMorgan Chase Commercial Mortgage Securities Trust 2012-WLDN A, 3.9054%, 05/05/2030 | 0.51% | |
BBCMS Mortgage Trust 2018-TALL A, 3.1616%, 03/15/2037 | 0.48% | |
Holding by Sector* | % of Investments | |
Auto | 2.43% | |
Basic Industry | 0.29% | |
Capital Goods | 1.15% | |
Consumer Cyclicals | 0.93% | |
Consumer Discretionary | 0.65% | |
Consumer Services | 1.25% | |
Consumer Staples | 0.33% | |
Energy | 7.77% | |
Financial Services | 63.42% | |
Foreign Government | 0.54% | |
Health Care | 2.15% | |
Integrated Oils | 0.53% | |
Materials and Processing | 4.68% | |
Municipal | 0.07% | |
Other | 0.15% | |
Producer Durables | 2.55% | |
Technology | 3.30% | |
Telecommunications | 0.86% | |
Transportation | 1.09% | |
U.S. Government | 1.54% | |
Undefined | 0.03% | |
Utilities | 2.33% | |
Repurchase Agreement | 1.96% | |
Total | 100.00% |
* | A sector may comprise several industries. |
69
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Securities Trust – International Equity Fund | ||
Ten Largest Holdings | % of Investments | |
Nestle SA Registered Shares | 2.57% | |
AIA Group Ltd. | 2.56% | |
Vinci SA | 2.18% | |
Allianz SE Registered Shares | 2.11% | |
AstraZeneca plc | 2.03% | |
SAP SE | 1.89% | |
Bank Rakyat Indonesia Persero Tbk PT | 1.85% | |
Alibaba Group Holding Ltd. ADR | 1.85% | |
BHP Group Ltd. | 1.83% | |
ICICI Bank Ltd. ADR | 1.75% | |
Holding by Sector | % of Investments | |
Communication Services | 4.51% | |
Consumer Discretionary | 8.70% | |
Consumer Staples | 9.29% | |
Energy | 7.74% | |
Financial Services | 23.64% | |
Health Care | 8.00% | |
Industrials | 12.07% | |
Information Technology | 12.00% | |
Materials | 8.31% | |
Real Estate | 2.47% | |
Utilities | 1.04% | |
Repurchase Agreement | 2.23% | |
Total | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Securities Trust – International Value Fund
Ten Largest Holdings | % of Investments | |
Allianz SE Registered Shares | 3.30% | |
Royal Dutch Shell plc Class A ADR | 3.20% | |
Novartis AG Registered Shares | 2.86% | |
Toyota Motor Corp. | 2.77% | |
Sanofi | 2.72% | |
Total SA | 2.30% | |
Sumitomo Mitsui Financial Group, Inc. | 1.93% | |
Tokio Marine Holdings, Inc. | 1.86% | |
Ageas | 1.81% | |
Swiss Life Holding AG Registered Shares | 1.73% |
70
Investments in Underlying Funds (unaudited)(continued)
Holding by Sector* | % of Investments | |
Communication Services | 2.32% | |
Consumer Discretionary | 11.26% | |
Consumer Staples | 7.75% | |
Energy | 10.81% | |
Financial Services | 26.08% | |
Health Care | 10.02% | |
Industrials | 11.28% | |
Information Technology | 3.10% | |
Materials | 5.57% | |
Real Estate | 5.56% | |
Utilities | 1.49% | |
Repurchase Agreement | 4.76% | |
Total | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Mid Cap Stock Fund, Inc.
Ten Largest Holdings | % of Investments | |
KeyCorp | 2.30% | |
FirstEnergy Corp. | 2.13% | |
Alexandria Real Estate Equities, Inc. | 1.98% | |
Hartford Financial Services Group, Inc. (The) | 1.94% | |
Citizens Financial Group, Inc. | 1.94% | |
Edison International | 1.92% | |
Western Union Co. (The) | 1.86% | |
EMCOR Group, Inc. | 1.83% | |
UDR, Inc. | 1.83% | |
RenaissanceRe Holdings Ltd. | 1.81% | |
Holding by Sector* | % of Investments | |
Consumer Discretionary | 10.70% | |
Consumer Staples | 5.17% | |
Energy | 6.31% | |
Financial Services | 20.62% | |
Health Care | 8.36% | |
Industrials | 14.69% | |
Information Technology | 9.52% | |
Materials | 5.85% | |
Real Estate | 10.43% | |
Utilities | 6.98% | |
Repurchase Agreement | 1.37% | |
Total | 100.00% |
* | A sector may comprise several industries. |
71
Investments in Underlying Funds (unaudited)(concluded)
Lord Abbett Investment Trust – Ultra Short Bond Fund-Class I | ||
Ten Largest Holdings | % of Investments | |
U.S. Treasury Bill, Zero Coupon, 07/02/2019 | 1.97% | |
Goldman Sachs Group, Inc. (The), 3.7515%, 04/23/2020 | 1.38% | |
Morgan Stanley, 3.0951%, 02/10/2021 | 1.32% | |
BROADCOM, Inc. DISC COML PAPER, 3.0506%, 06/06/2019 | 1.20% | |
Citigroup, Inc., 3.3740%, 01/10/2020 | 1.15% | |
Wells Fargo & Co., 3.4715%, 07/22/2020 | 0.86% | |
JPMorgan Chase & Co., 3.2003%, 06/01/2021 | 0.83% | |
Energy Transfer Partners, 3.0538%, 06/06/2019 | 0.82% | |
Autonation, Inc., 2.8912%, 06/04/2019 | 0.79% | |
B.A.T. International Finance P.L.C., 2.9613%, 07/02/2019 | 0.77% | |
Holding by Sector* | % of Investments | |
Auto | 5.10% | |
Capital Goods | 1.26% | |
Consumer Cyclicals | 3.72% | |
Consumer Services | 1.01% | |
Consumer Staples | 3.06% | |
Energy | 9.91% | |
Financial Services | 56.45% | |
Health Care | 3.36% | |
Integrated Oils | 0.22% | |
Materials and Processing | 4.27% | |
Producer Durables | 4.33% | |
Technology | 2.01% | |
Telecommunications | 0.67% | |
Transportation | 0.06% | |
U.S. Government | 1.97% | |
Utilities | 2.19% | |
Repurchase Agreement | 0.41% | |
Total | 100.00% |
* | A sector may comprise several industries. |
72
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 knowledge of 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 Broadridge Financial Solutions, Inc. (“Broadridge”) regarding the investment performance of the Fund compared to the investment performance of certain funds with similar investment styles as determined by Broadridge, 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 Broadridge 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 and Related Services Generally.The Board considered the 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, 2018. 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 one-year period, but below the median of the performance peer group for the three-, five-,
73
Approval of Advisory Contract (continued)
and ten-year periods. As to Multi-Asset Growth Fund, the Board observed that the Fund’s investment performance was equal to the median of the performance peer group for the ten-year period, but below the median of the performance peer group for the one-, three-, and five-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-, three-, five-, and ten-year periods. With respect to each Fund, the Board took into account actions taken by Lord Abbett to attempt to improve equity fund performance, which would benefit the Funds because of their investments in Lord Abbett equity funds. 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 appropriate. 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, and other services provided to each Fund by Lord Abbett. Among other things, the Board considered the size, experience, and turnover of Lord Abbett’s staff, Lord Abbett’s investment methodology and philosophy, and Lord Abbett’s approach to recruiting, training, and retaining personnel.
Nature and Quality of Other Services.The Board considered the nature, quality, 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 level of each Fund, including the contractual and actual management fee rates, 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 Growth 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 each of Multi-Asset Balanced Opportunity Fund and Multi-Asset Income Fund, the Board observed that while the net total expense ratio of the Fund was above the median of the expense peer group, its advisory fee was below 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 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 personnel. The Board recognized that Lord Abbett’s overall profitability was a factor in enabling it to attract and retain qualified personnel to provide services
74
Approval of Advisory Contract (concluded)
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, such as the fee that Lord Abbett receives from each Fund for providing administrative services to the Fund. 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 the Lord Abbett Funds. The Board also took into consideration the investment research that Lord Abbett receives as a result of client 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.
75
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 as an attachment to Form N-PORT. Previously, this information was filed 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.
76
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. | Lord Abbett Investment Trust
Lord Abbett Multi-Asset Balanced Opportunity Fund
Lord Abbett Multi-Asset Growth Fund
Lord Abbett Multi-Asset Income Fund | LASAF-3 (07/19) |
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 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 30, 2019
By: | /s/ Bernard J. Grzelak | |
Bernard J. Grzelak | ||
Chief Financial Officer and Vice President |
Date: July 30, 2019
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 30, 2019
By: | /s/ Bernard J. Grzelak | |
Bernard J. Grzelak | ||
Chief Financial Officer and Vice President |
Date: July 30, 2019