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: 11/30/2019
Item 1: | Report(s) to Shareholders. |
LORD ABBETT
ANNUAL REPORT
Lord Abbett
Multi-Asset Balanced Opportunity Fund
Multi-Asset Income Fund
For the fiscal year ended November 30, 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 Multi-Asset Balanced Opportunity Fund and Lord Abbett Multi-Asset Income Fund
Annual Report
For the fiscal year ended November 30, 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 overview of the performance of the Funds for the fiscal year ended November 30, 2019. On this page and the following pages, we discuss the major factors that influenced fiscal year performance. For detailed and more timely information about the Funds, please visit our website at www.lordabbett.com, where you also can access the quarterly commentaries that provide updates on each Fund’s performance and other portfolio related updates.
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
Lord Abbett Multi-Asset Balanced Opportunity Fund
For the fiscal year ended November 30, 2019, the Fund returned 10.19%, reflecting performance at the net asset value (NAV) of Class A shares, with all distributions reinvested, compared to its benchmark, the Russell 1000® Index1, which returned 16.10% over the same period.
Domestic equity returns were positive over the past year, with large cap stocks, as
represented by the S&P 500® Index2rising 16.11% during the period, while small cap stocks, as represented by the Russell 2000® Index3were up 7.51%. Following a tumultuous fourth quarter of 2018, where trade tensions and monetary policy uncertainty sent many investors toward safety, the market staged a strong recovery. After the worst December since 1931, the S&P 500 posted its best January since 1987. Trade tensions continued to dominate headlines, as trade negotiations
1
between the U.S. and China remained volatile throughout the period. Since the beginning of 2019, both the U.S. and China have imposed tariffs of roughly $550 billion and $185 billion on each country’s products, respectively. One of the more notable shifts over the year was the U.S. Federal Reserve’s (the “Fed”) transition to a more dovish policy stance, with Chairman Jerome Powell stating that the Fed would act appropriately to sustain economic growth. Given an uncertain market outlook and muted inflation pressures, the Fed announced its decision to cut interest rates by 25 basis points on July 31, 2019 to a range of 2.00-2.25%. This was the first time that the Fed had cut interest rates since December 2008. The Fed followed that decision with two more 25 basis point rate cuts in September and October, citing “implications of global developments for the economic outlook as well as muted inflation pressures”. After the October rate cut, Fed Chairman Powell signaled a likely pause on future rate cuts, resulting in the market-based probability of a fourth rate cut dipping below 25%. The combination of a dovish Fed, trade pressures, and slowing economic growth, resulted in falling rates across the U.S. Treasury yield curve. In fact, in July, the yield on the 10-year U.S. Treasury fell to its lowest level since 2016. Bond yields continued to fall and, in August, the spread between the U.S. 10-year Treasury and the 2-year Treasury temporarily inverted. In September, a large rotation from growth into value took place and continued through November.
Geopolitics also contributed to market volatility. Following a coordinated drone strike on Saudi Arabia in the third quarter, Brent crude oil prices increased 20% in one trading session. Despite the record increase, oil prices retracted their gains within weeks. Investor sentiment was buoyed in November as the market grew optimistic about the possibility of a “phase one” trade deal between the U.S. and China.
During the 12-month period ending November 30, 2019, domestic equity markets (as represented by the S&P 500® Index2) outperformed fixed-income markets (as represented by the Bloomberg Barclays U.S. Aggregate Bond Index4) and outperformed foreign equity markets (as represented by the MSCI EAFE Index5). In Paddition, high yield bonds (as represented by the ICE BofA Merrill Lynch U.S. High Yield Constrained Index6) underperformed higher quality fixed-income securities (as represented by the Bloomberg Barclays U.S. Aggregate Bond Index4).
The Fund’s allocation to international stocks detracted from relative performance, as international equities underperformed domestic equity markets during the period. The asset class suffered from ongoing trade tensions globally, from the continuing uncertainties around Brexit, and from the proliferation of negative yields globally that sent investors searching for yield in the U.S. Also detracting from the Fund’s relative performance was exposure to short duration bonds, as this segment of the market underperformed
2
the Fund’s benchmark. The duration positioning created a drag on relative performance, given the significant rally in Treasuries and flattening in the U.S. Treasury yield curve at the end of the second quarter and in the third quarter.
The Fund’s allocation to U.S. growth stocks contributed to relative performance, as growth equity markets outperformed broader domestic equity markets during the period. Despite a shift in leadership from growth to value, which began in September, growth stocks still outperformed value stocks throughout the period. In addition, the Fund’s allocation to convertible bonds contributed to relative performance, as this segment of the market outperformed broader fixed income markets. We believe convertible bonds capture a high percentage of the upside of underlying equities, while protecting on the downside, thereby outperforming broader fixed income markets during periods of strong equity performance.
Lord Abbett Multi-Asset Income Fund
For the fiscal year ended November 30, 2019, the Fund returned 8.50%, reflecting performance at the net asset value (NAV) of Class A shares with all distributions reinvested, compared to its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index4, which returned 10.79% over the same period.
Domestic equity returns were positive over the past year, with large cap stocks, as represented by the S&P 500® Index2rising
16.11% during the period, while small cap stocks, as represented by the Russell 2000® Index3were up 7.51%. Following a tumultuous fourth quarter of 2018, where trade tensions and monetary policy uncertainty sent many investors toward safety, the market staged a strong recovery. After the worst December since 1931, the S&P 500 posted its best January since 1987. Trade tensions continued to dominate headlines, as trade negotiations between the U.S. and China remained volatile throughout the period. Since the beginning of 2019, both the U.S. and China have imposed tariffs of roughly $550 billion and $185 billion on each country’s products, respectively. One of the more notable shifts over the year was the U.S. Federal Reserve’s (the “Fed”) transition to a more dovish policy stance, with Chairman Jerome Powell stating that the Fed would act appropriately to sustain economic growth. Given an uncertain market outlook and muted inflation pressures, the Fed announced its decision to cut interest rates by 25 basis points on July 31, 2019 to a range of 2.00-2.25%. This was the first time that the Fed had cut interest rates since December 2008. The Fed followed that decision with two more 25 basis point rate cuts in September and October, citing “implications of global developments for the economic outlook as well as muted inflation pressures”. After the October rate cut, Fed Chairman Powell signaled a likely pause on future rate cuts, resulting in the market-based probability of a fourth rate
3
cut dipping below 25%. The combination of a dovish Fed, trade pressures, and slowing economic growth, resulted in falling rates across the U.S. Treasury yield curve. In fact, in July, the yield on the 10-year U.S. Treasury fell to its lowest level since 2016. Bond yields continued to fall and, in August, the spread between the U.S. 10-year Treasury and the 2-year Treasury temporarily inverted. In September, a large rotation from growth into value took place and continued through November. Geopolitics also contributed to market volatility. Following a coordinated drone strike on Saudi Arabia in the third quarter, Brent crude oil prices increased 20% in one trading session. Despite the record increase, oil prices retracted their gains within weeks. Investor sentiment was buoyed in November as the market grew optimistic about the possibility of a “phase one” trade deal between the U.S. and China.
During the 12-month period ending November 30, 2019, domestic equity markets (as represented by the S&P 500® Index2) outperformed fixed-income markets (as represented by the Bloomberg Barclays U.S. Aggregate Bond Index4) and outperformed foreign equity markets (as represented by the MSCI EAFE Index5). In addition, high yield bonds (as represented by the ICE BofA Merrill Lynch U.S. High Yield Constrained Index6) underperformed higher quality fixed-income securities (as represented by the Bloomberg Barclays U.S. Aggregate Bond Index4).
The Fund’s allocation to short duration bonds detracted from relative performance, as this segment of the market underperformed the Fund’s benchmark during the period. The duration positioning created a drag on relative performance, given the significant rally in Treasuries and flattening in the U.S. Treasury yield curve at the end of the second quarter and in the third quarter. Also detracting from the Fund’s relative performance was exposure to mid cap value stocks, as this segment of the market underperformed broader domestic equity markets.
The Fund’s allocation to U.S. growth stocks contributed to relative performance, as growth equity markets outperformed broader domestic equity markets during the period. Despite a shift in leadership from growth to value, which began in September, growth stocks still outperformed value stocks throughout the period. In addition, the Fund’s allocation to convertible bonds contributed to relative performance, as this segment of the market outperformed broader fixed income markets. We believe convertible bonds capture a high percentage of the upside of underlying equities, while protecting on the downside, thereby outperforming broader fixed income markets during periods of strong equity performance.
Each Fund’s portfolio is actively managed and, therefore, holdings and weightings of particular issuers or particular sector as a percentage of portfolio assets are subject to change. Sectors may include many industries.
4
1 The Russell 1000® Index measures the performance of the 1,000 largest companies in the Russell 3000® Index, which represents approximately 92% of the total market capitalization of the Russell 3000 Index.
2 The S&P 500® Index is widely regarded as the standard for measuring large cap U.S. stock market performance and includes a representative sample of leading companies in leading industries.
3 The Russell 2000® Index measures the performance of the 2,000 smallest companies in the Russell 3000® Index, which represents approximately 10% of the total market capitalization of the Russell 3000® Index.
4 The Bloomberg Barclays U.S. Aggregate Bond Index an index of U.S dollar-denominated, investment-grade U.S. government and corporate securities, and mortgage pass-through securities, and asset-backed securities. Indexes are unmanaged, do not reflect the deduction of fees or expenses, and an investor cannot invest directly in an index.
5 The MSCI EAFE Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the US & Canada. Indexes are unmanaged, do not reflect the deduction of fees or expenses, and are not available for direct investment.
6 The ICE BofA Merrill Lynch U.S. High Yield Constrained Index is a capitalization weighted index of all U.S. dollar denominated below investment grade corporate debt publicly issued in the U.S. domestic market.
Unless otherwise specified, indexes reflect total return, with all dividends reinvested. Indexes are unmanaged, do not reflect the deduction of fees or expenses, and are not available for direct investment.
Important Performance and Other Information
Performance data quoted in the following pages reflect past performance and are no guarantee of future results. Current performance may be higher or lower than the performance quoted. The investment return and principal value of an investment in the Funds will fluctuate so that shares, on any given day or when redeemed, may be worth more or less than their original cost. You can obtain performance data current to the most recent month end by calling Lord Abbett at 888-522-2388 or referring to www.lordabbett.com.
Except where noted, comparative Fund performance does not account for the deduction of sales charges and would be different if sales charges were included. Each Fund offers classes of shares with distinct pricing options. For a full description of the differences in pricing alternatives, please see each Fund’s prospectus.
During certain periods shown, expense waivers and reimbursements were in place. Without such expense waivers and reimbursements, each Fund’s returns would have been lower.
The annual commentary above discusses the views of the Funds’ management and various portfolio holdings of the Funds as of November 30, 2019. These views and portfolio holdings may have changed after this date. Information provided in the commentary is not a recommendation to buy or sell securities. Because the Funds’ portfolio is actively managed and may change significantly, the Funds may no longer own the securities described above or may have otherwise changed their positions in the securities. For more recent information about the Funds’ portfolio holdings, please visit www.lordabbett.com.
A Note about Risk:See Notes to Financial Statements for a discussion of investment risks. For a more detailed discussion of the risks associated with each Fund, please see each Fund’s prospectus.
Mutual funds are not insured by the FDIC, are not deposits or other obligations of, or guaranteed by, banks, and are subject to investment risks including possible loss of principal amount invested.
5
Multi-Asset Balanced Opportunity Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Russell 1000® Index, 40% Russell 1000® Index/30% Bloomberg Barclays U.S. Aggregate Bond Index/20% ICE BofA Merrill Lynch U.S. High Yield Constrained Index/10% MSCI EAFE® Index with Gross Dividends and the Morningstar Allocation 50-70% Equity Category Average, assuming reinvestment of all dividends and distributions. The performance of the other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett and reimbursed by the Underlying Funds; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower.Past performance is no guarantee of future results.
6
Average Annual Total Returns at Maximum Applicable Sales Charge for the Periods Ended November 30, 2019 | |||||||||
1 Year | 5 Year | 10 Year | Life of Class | ||||||
Class A4 | 7.70% | 3.91% | 6.82% | – | |||||
Class C5 | 8.35% | 3.63% | 6.29% | – | |||||
Class F6 | 10.35% | 4.56% | 7.25% | – | |||||
Class F37 | 10.56% | – | – | 5.68% | |||||
Class I6 | 10.45% | 4.67% | 7.34% | – | |||||
Class P6 | 9.93% | 4.18% | 6.86% | – | |||||
Class R26 | 9.85% | 4.04% | 6.73% | – | |||||
Class R36 | 9.94% | 4.17% | 6.83% | – | |||||
Class R48 | 10.19% | – | – | 4.88% | |||||
Class R58 | 10.44% | – | – | 5.15% | |||||
Class R68 | 10.47% | – | – | 5.17% |
1 Reflects the deduction of the maximum initial sales charge of 2.25%.
2 Performance for the unmanaged index does not reflect any fees or expenses. The performance of the index is not necessarily representative of the Fund’s performance.
3 Source: Morningstar, Inc. The performance of the average is not necessarily representative of the Fund’s performance.
4 Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 2.25% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended
November 30, 2019, is calculated using the SEC-required uniform method to compute such return.
5 The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance for other periods is at net asset value.
6 Performance is at net asset value.
7 Commenced operations and performance for the class began on April 4, 2017. Performance is at net asset value.
8 Commenced operations and performance for the class began on June 30, 2015. Performance is at net asset value.
7
Multi-Asset Income Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Bloomberg Barclays Aggregate Index, 45% Bloomberg Barclays U.S. Aggregate Bond Index/25% ICE BofA Merrill Lynch U.S. High Yield Constrained Index/20% Russell 1000® Index/10% MSCI EAFE®Index with Gross Dividends and the Morningstar Allocation 30-50% Equity Category Average, assuming reinvestment of all dividends and distributions. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett and reimbursed by the Underlying Funds; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower.Past performance is no guarantee of future results.
8
Average Annual Total Returns at Maximum Applicable Sales Charge for the Periods Ended November 30, 2019 | |||||||||
1 Year | 5 Year | 10 Year | Life of Class | ||||||
Class A4 | 6.06% | 3.40% | 6.07% | – | |||||
Class C5 | 6.70% | 3.09% | 5.53% | – | |||||
Class F6 | 8.66% | 4.03% | 6.49% | – | |||||
Class F37 | 8.83% | – | – | 4.92% | |||||
Class I6 | 8.75% | 4.13% | 6.58% | – | |||||
Class R26 | 8.10% | 3.51% | 6.00% | – | |||||
Class R36 | 8.24% | 3.61% | 6.06% | – | |||||
Class R48 | 8.50% | – | – | 4.23% | |||||
Class R58 | 8.75% | – | – | 4.48% | |||||
Class R68 | 8.83% | – | – | 4.53% |
1 Reflects the deduction of the maximum initial sales charge of 2.25%.
2 Performance for the unmanaged index does not reflect any fees or expenses. The performance of the index is not necessarily representative of the Fund’s performance.
3 Source: Morningstar, Inc. The performance of the average is not necessarily representative of the Fund’s performance.
4 Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 2.25% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended
November 30, 2019, is calculated using the SEC-required uniform method to compute such return.
5 The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance for other periods is at net asset value.
6 Performance is at net asset value.
7 Commenced operations and performance for the class began on April 4, 2017. Performance is at net asset value.
8 Commenced operations and performance for the class began on June 30, 2015. Performance is at net asset value.
9
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 (June 1, 2019 through November 30, 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 6/1/19 – 11/30/19” 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.
10
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†# | |||||
6/1/19 | 11/30/19 | 6/1/19 - 11/30/19 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,067.90 | $2.64 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.51 | $2.59 | ||||
Class C | |||||||
Actual | $1,000.00 | $1,064.40 | $6.52 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.75 | $6.38 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,068.70 | $1.87 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.26 | $1.83 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $1,069.20 | $0.99 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,024.12 | $0.96 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,069.20 | $1.35 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.76 | $1.32 | ||||
Class P | |||||||
Actual | $1,000.00 | $1,066.30 | $3.68 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.51 | $3.60 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,066.30 | $4.45 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.76 | $4.36 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,066.80 | $3.94 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.26 | $3.85 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,067.90 | $2.64 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.51 | $2.59 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $ 1,070.10 | $1.35 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.76 | $1.32 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $1,069.20 | $0.99 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,024.12 | $0.96 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.51% for Class A, 1.26% for Class C, 0.36% for Class F, 0.19% for Class F3, 0.26% for Class I, 0.71% for Class P, 0.86% for Class R2, 0.76% for Class R3, 0.51% for Class R4, 0.26% for Class R5 and 0.19% for Class R6) multiplied by the average account value over the period, multiplied by 183/365 (to reflect one-half year period). |
# | Does not include expenses of the Underlying Funds in which Multi-Asset Balanced Opportunity Fund invests. |
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Portfolio Holdings Presented by Portfolio Allocation
November 30, 2019
Underlying Fund Name | %* | |||
Lord Abbett Investment Trust-Convertible Fund-Class I | 6.38 | % | ||
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I | 4.99 | % | ||
Lord Abbett Global Fund, Inc.-Emerging Markets Bond Fund-Class I | 3.62 | % | ||
Lord Abbett Securities Trust- Focused Large Cap Value Fund-Class I | 1.06 | % | ||
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I | 17.01 | % | ||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I | 8.10 | % | ||
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I | 11.97 | % | ||
Lord Abbett Investment Trust-High Yield Fund-Class I | 16.47 | % | ||
Lord Abbett Investment Trust-Inflation Focused Fund-Class I | 4.57 | % | ||
Lord Abbett Securities Trust-International Equity Fund-Class I | 4.97 | % | ||
Lord Abbett Securities Trust-International Value Fund-Class I | 4.93 | % | ||
Lord Abbett Mid Cap Stock Fund, Inc.-Class I | 10.01 | % | ||
Lord Abbett Investment Trust-Ultra Short Bond Fund-Class I | 5.92 | % | ||
Total | 100.00 | % |
* | Represents percent of total investments. |
12
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†# | |||||
6/1/19 | 11/30/19 | 6/1/19 - 11/30/19 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,049.40 | $2.57 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.56 | $2.54 | ||||
Class C | |||||||
Actual | $1,000.00 | $1,045.40 | $6.41 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.80 | $6.33 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,050.20 | $1.80 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.31 | $1.78 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $1,051.00 | $0.98 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,024.12 | $0.96 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,051.00 | $1.29 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.82 | $1.27 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,047.60 | $4.36 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.81 | $4.31 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,048.10 | $3.85 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.31 | $3.80 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,049.40 | $2.57 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.56 | $2.54 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,050.30 | $1.23 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.87 | $1.22 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $1,051.00 | $0.98 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,024.12 | $0.96 |
† | 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, 0.19% for Class F3, 0.25% for Class I, 0.85% for Class R2, 0.75% for Class R3, 0.50% for Class R4, 0.24% for Class R5 and 0.19% for Class R6) multiplied by the average account value over the period, multiplied by 183/365 (to reflect one-half year period). |
# | Does not include expenses of the Underlying Funds in which Multi-Asset Income Fund invests. |
13
Portfolio Holdings Presented by Portfolio Allocation
November 30, 2019
Underlying Fund Name | %* | |||
Lord Abbett Investment Trust-Convertible Fund-Class I | 9.53 | % | ||
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I | 2.02 | % | ||
Lord Abbett Global Fund, Inc.-Emerging Markets Bond Fund-Class I | 5.06 | % | ||
Lord Abbett Securities Trust-Focused Large Cap Value Fund-Class I | 1.04 | % | ||
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I | 9.47 | % | ||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I | 3.49 | % | ||
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I | 5.48 | % | ||
Lord Abbett Investment Trust-High Yield Fund-Class I | 16.56 | % | ||
Lord Abbett Investment Trust-Inflation Focused Fund-Class I | 7.54 | % | ||
Lord Abbett Securities Trust-International Equity Fund-Class I | 5.48 | % | ||
Lord Abbett Securities Trust-International Value Fund-Class I | 5.48 | % | ||
Lord Abbett Mid Cap Stock Fund, Inc.-Class I | 8.21 | % | ||
Lord Abbett Investment Trust-Ultra Short Bond Fund-Class I | 20.64 | % | ||
Total | 100.00 | % |
* | Represents percent of total investments. |
14
MULTI-ASSET BALANCED OPPORTUNITY FUNDNovember 30, 2019
Fair | ||||||||
Value | ||||||||
Investments | Shares | (000) | ||||||
INVESTMENTS IN UNDERLYING FUNDS(a)(b)99.85% | ||||||||
Lord Abbett Investment Trust-Convertible Fund-Class I(c) | 11,174,184 | $ | 159,009 | |||||
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I(d) | 11,196,261 | 124,278 | ||||||
Lord Abbett Global Fund, Inc.-Emerging Markets Bond Fund-Class I(e) | 17,414,790 | 90,209 | ||||||
Lord Abbett Securities Trust- Focused Large Cap Value Fund-Class I(f) | 1,723,858 | 26,496 | ||||||
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I(g) | 36,089,864 | 424,056 | ||||||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I*(h) | 7,050,449 | 201,995 | ||||||
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I*(i) | 10,401,654 | 298,423 | ||||||
Lord Abbett Investment Trust-High Yield Fund-Class I(j) | 55,467,522 | 410,460 | ||||||
Lord Abbett Investment Trust-Inflation Focused Fund-Class I(k) | 10,139,853 | 113,972 | ||||||
Lord Abbett Securities Trust-International Equity Fund-Class I(f) | 9,220,505 | 123,923 | ||||||
Lord Abbett Securities Trust-International Value Fund-Class I(l) | 17,347,241 | 122,992 | ||||||
Lord Abbett Mid Cap Stock Fund, Inc.-Class I(m) | 8,766,015 | 249,656 | ||||||
Lord Abbett Investment Trust-Ultra Short Bond Fund-Class I(n) | 14,702,490 | 147,466 | ||||||
Total Investments in Securities 99.85% (cost $2,454,542,826) | 2,492,935 | |||||||
Other Assets in Excess of Liabilities(o)0.15% | 3,710 | |||||||
Net Assets 100.00% | $ | 2,496,645 |
* | 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 income and capital appreciation to produce a high total return. | |
(e) | Fund investment objective is to seek high total return. | |
(f) | Fund investment objective is to seek long-term capital appreciation. | |
(g) | Fund investment objective is long-term growth of capital and income without excessive fluctuations in market value. | |
(h) | Fund investment objective is to seek capital appreciation. | |
(i) | Fund investment objective is capital appreciation. | |
(j) | Fund investment objective is to seek a high current income and the opportunity for capital appreciation to produce a high total return. | |
(k) | 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. | |
(l) | Fund investment objective is to seek a high level of total return. | |
(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) | Other Assets in Excess of Liabilities include net unrealized appreciation/depreciation on total return swaps and futures contracts as follows: |
See Notes to Financial Statements. | 15 |
Schedule of Investments (concluded)
MULTI-ASSET BALANCED OPPORTUNITY FUNDNovember 30, 2019
Open Futures Contracts at November 30, 2019:
Notional | Notional | Unrealized | |||||||||||
Type | Expiration | Contracts | Position | Amount | Value | Appreciation | |||||||
E-Mini MSCI EAFE INDEX | December 2019 | 502 | Long | $48,564,480 | $49,630,230 | $1,065,750 | |||||||
Notional | Notional | Unrealized | |||||||||||
Type | Expiration | Contracts | Position | Amount | Value | Depreciation | |||||||
E-Mini MSCI EMGMKT INDEX | December 2019 | 465 | Long | $24,605,321 | $24,133,500 | $(471,821 | ) |
Total Return Swaps–OTC Volatility Swap Agreements at November 30, 2019:
Counter Party | Reference Entity | Fund Pays/ Receives | Volatility Strike Rate | Units | Maturity Date | Notional Cost | Notional Value | Unrealized Depreciation | ||||||||||||||
Bank of America | JPY/USD | Receives | 6.75% | 575,000 | 5/14/2020 | $ 575,000 | $ | (251,399 | ) | $ | (826,399 | ) | ||||||||||
Bank of America | JPY/USD | Receives | 6.975% | 575,000 | 10/23/2020 | 575,000 | 62,002 | (512,998 | ) | |||||||||||||
J.P.Morgan | EUR/USD | Receives | 5.425% | 575,000 | 5/14/2020 | 575,000 | 175,375 | (399,625 | ) | |||||||||||||
J.P.Morgan | EUR/USD | Receives | 5.95% | 575,000 | 10/23/2020 | 575,000 | 187,364 | (387,636 | ) | |||||||||||||
Total OTC Volatility Swaps Depreciation | $2,300,000 | $ | 173,342 | $ | (2,126,658 | ) |
The following is a summary of the inputs used as of November 30, 2019 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2) | Level 1 (000) | Level 2 (000) | Level 3 (000) | Total (000) | ||||||||||||
Investments in Underlying Funds | $ | 2,492,935 | $ | – | $ | – | $ | 2,492,935 | ||||||||
Total | $ | 2,492,935 | $ | – | $ | – | $ | 2,492,935 | ||||||||
Other Financial Instruments | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Assets | $ | 1,066 | $ | – | $ | – | $ | 1,066 | ||||||||
Liabilities | (472 | ) | – | – | (472 | ) | ||||||||||
Total Return Swap Contracts | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | (2,127 | ) | – | (2,127 | ) | ||||||||||
Total | $ | 594 | $ | (2,127 | ) | $ | – | $ | (1,533 | ) |
(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. |
16 | See Notes to Financial Statements. |
MULTI-ASSET INCOME FUNDNovember 30, 2019
Investments | Shares | Fair Value (000) | ||||||
INVESTMENTS IN UNDERLYING FUNDS(a)(b)99.88% | ||||||||
Lord Abbett Investment Trust-Convertible Fund-Class I(c) | 8,648,622 | $ | 123,070 | |||||
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I(d) | 2,351,335 | 26,100 | ||||||
Lord Abbett Global Fund, Inc.-Emerging Markets Bond Fund-Class I(e) | 12,609,725 | 65,318 | ||||||
Lord Abbett Securities Trust-Focused Large Cap Value Fund-Class I(f) | 874,871 | 13,447 | ||||||
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I(g) | 10,401,486 | 122,217 | ||||||
Lord Abbett Securities Trust-Growth Leaders Fund-Class I*(h) | 1,573,579 | 45,083 | ||||||
Lord Abbett Research Fund, Inc.-Growth Opportunities Fund-Class I*(i) | 2,466,810 | 70,773 | ||||||
Lord Abbett Investment Trust-High Yield Fund-Class I(j) | 28,903,625 | 213,887 | ||||||
Lord Abbett Investment Trust-Inflation Focused Fund-Class I(k) | 8,660,636 | 97,346 | ||||||
Lord Abbett Securities Trust-International Equity Fund-Class I(f) | 5,269,439 | 70,821 | ||||||
Lord Abbett Securities Trust-International Value Fund-Class I(l) | 9,977,369 | 70,740 | ||||||
Lord Abbett Mid Cap Stock Fund, Inc.-Class I(m) | 3,720,836 | 105,969 | ||||||
Lord Abbett Investment Trust-Ultra Short Bond Fund-Class I(n) | 26,571,167 | 266,509 | ||||||
Total Investments in Securities 99.88% (cost $1,282,345,308) | 1,291,280 | |||||||
Other Assets in Excess of Liabilities(o)0.12% | 1,566 | |||||||
Net Assets 100.00% | $ | 1,292,846 |
* | 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 to seek long-term capital appreciation. | |
(g) | Fund investment objective is long-term growth of capital and income without excessive fluctuations in market value. | |
(h) | Fund investment objective is to seek capital appreciation. | |
(i) | Fund investment objective is capital appreciation. | |
(j) | Fund investment objective is to seek high current income and the opportunity for capital appreciation to produce a high total return. | |
(k) | 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. | |
(l) | Fund investment objective is to seek high total return. | |
(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 a high level of income consistent with preservation of capital. | |
(o) | Other Assets in Excess of Liabilities include net unrealized appreciation/depreciation on total return swaps and futures contracts as follows: |
See Notes to Financial Statements. | 17 |
Schedule of Investments (concluded)
MULTI-ASSET INCOME FUNDNovember 30, 2019
Open Futures Contracts at November 30, 2019:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | |||||||
E-Mini MSCI EAFE INDEX | December 2019 | 262 | Long | $25,356,229 | $25,902,630 | $546,401 | |||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | |||||||
E-Mini MSCI EMGMKT INDEX | December 2019 | 242 | Long | $12,805,228 | $12,559,800 | $(245,428 | ) |
Total Return Swaps–OTC Volatility Swap Agreements at November 30, 2019:
Counter Party | Reference Entity | Fund Pays/ Receives | Volatility Strike Rate | Units | Maturity Date | Notional Cost | Notional Value | Unrealized Depreciation | |||||||||||||||||
Bank of America | JPY/USD | Receives | 6.75% | 300,000 | 5/14/2020 | $ | 300,000 | $ | (131,165 | ) | $ | (431,165 | ) | ||||||||||||
Bank of America | JPY/USD | Receives | 6.975% | 300,000 | 10/23/2020 | 300,000 | 32,349 | (267,651 | ) | ||||||||||||||||
J.P.Morgan | EUR/USD | Receives | 5.425% | 300,000 | 5/14/2020 | 300,000 | 91,500 | (208,500 | ) | ||||||||||||||||
J.P.Morgan | EUR/USD | Receives | 5.95% | 300,000 | 10/23/2020 | 300,000 | 97,755 | (202,245 | ) | ||||||||||||||||
Total OTC Volatility Swaps Depreciation | $ | 1,200,000 | $ | 90,439 | $ | (1,109,561 | ) |
The following is a summary of the inputs used as of November 30, 2019 in valuing the Fund’s investments carried at fair value(1):
Investment Type(2) | Level 1 (000) | Level 2 (000) | Level 3 (000) | Total (000) | ||||||||||||
Investments in Underlying Funds | $ | 1,291,280 | $ | – | $ | – | $ | 1,291,280 | ||||||||
Total | $ | 1,291,280 | $ | – | $ | – | $ | 1,291,280 | ||||||||
Other Financial Instruments | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Assets | $ | 546 | $ | – | $ | – | $ | 546 | ||||||||
Liabilities | (245 | ) | – | – | (245 | ) | ||||||||||
Total Return Swap Contracts | ||||||||||||||||
Assets | – | – | – | – | ||||||||||||
Liabilities | – | (1,110 | ) | – | (1,110 | ) | ||||||||||
Total | $ | 301 | $ | (1,110 | ) | $ | – | $ | (809 | ) |
(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. |
18 | See Notes to Financial Statements. |
Statements of Assets and Liabilities
November 30, 2019
Multi-Asset Balanced Opportunity Fund | Multi-Asset Income Fund | |||||||
ASSETS: | ||||||||
Investments in Underlying Funds, at cost | $ | 2,454,542,826 | $ | 1,282,345,308 | ||||
Investments in Underlying Funds, at value | $ | 2,492,935,373 | $ | 1,291,279,543 | ||||
Deposits with brokers for futures collateral | 3,468,000 | 1,808,200 | ||||||
Deposits with brokers for swaps collateral | 1,730,000 | 910,000 | ||||||
Receivables: | ||||||||
Dividends | 3,257,699 | 2,193,455 | ||||||
Capital shares sold | 1,474,446 | 371,070 | ||||||
Investments in Underlying Funds sold | 3,397,866 | 2,849,692 | ||||||
Prepaid expenses and other assets | 175,989 | 88,881 | ||||||
Total assets | 2,506,439,373 | 1,299,500,841 | ||||||
LIABILITIES: | ||||||||
Payables: | ||||||||
Investments in Underlying Funds purchased | 3,154,894 | 2,124,149 | ||||||
Capital shares reacquired | 1,271,133 | 1,238,257 | ||||||
To bank | 897,300 | 797,931 | ||||||
Variation margin for futures contracts | 824,172 | 428,039 | ||||||
12b-1 distribution plan | 568,210 | 439,287 | ||||||
Trustees’ fees | 359,124 | 149,446 | ||||||
Management fee | 204,958 | 106,621 | ||||||
Fund administration | 81,984 | 42,650 | ||||||
Total return swap, at fair value | 2,126,658 | 1,109,561 | ||||||
Accrued expenses | 305,618 | 218,615 | ||||||
Total liabilities | 9,794,051 | 6,654,556 | ||||||
Commitments and contingent liabilities | ||||||||
NET ASSETS | $ | 2,496,645,322 | $ | 1,292,846,285 | ||||
COMPOSITION OF NET ASSETS: | ||||||||
Paid-in capital | $ | 2,477,311,609 | $ | 1,417,760,480 | ||||
Total distributable earnings (loss) | 19,333,713 | (124,914,195 | ) | |||||
Net Assets | $ | 2,496,645,322 | $ | 1,292,846,285 |
See Notes to Financial Statements. | 19 |
Statements of Assets and Liabilities (concluded)
November 30, 2019
Multi-Asset Balanced Opportunity Fund | Multi-Asset Income Fund | |||||||
Net assets by class: | ||||||||
Class A Shares | $ | 1,974,099,675 | $ | 678,177,840 | ||||
Class C Shares | $ | 337,419,827 | $ | 340,785,881 | ||||
Class F Shares | $ | 73,256,110 | $ | 200,059,917 | ||||
Class F3 Shares | $ | 46,525 | $ | 3,527,315 | ||||
Class I Shares | $ | 29,487,494 | $ | 43,319,405 | ||||
Class P Shares | $ | 587,932 | – | |||||
Class R2 Shares | $ | 837,267 | $ | 138,035 | ||||
Class R3 Shares | $ | 52,553,853 | $ | 21,507,601 | ||||
Class R4 Shares | $ | 12,167,228 | $ | 2,421,019 | ||||
Class R5 Shares | $ | 204,068 | $ | 36,070 | ||||
Class R6 Shares | $ | 15,985,343 | $ | 2,873,202 | ||||
Outstanding shares by class (unlimited number of authorized shares of beneficial interest) | ||||||||
Class A Shares | 170,183,269 | 45,153,104 | ||||||
Class C Shares | 29,274,119 | 22,344,655 | ||||||
Class F Shares | 6,315,715 | 13,321,770 | ||||||
Class F3 Shares | 4,003 | 235,978 | ||||||
Class I Shares | 2,542,351 | 2,901,508 | ||||||
Class P Shares | 50,925 | – | ||||||
Class R2 Shares | 70,555 | 8,938 | ||||||
Class R3 Shares | 4,538,938 | 1,432,035 | ||||||
Class R4 Shares | 1,048,828 | 161,209 | ||||||
Class R5 Shares | 17,567 | 2,415 | ||||||
Class R6 Shares | 1,377,044 | 192,225 | ||||||
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | ||||||||
Class A Shares-Net asset value | $11.60 | $15.02 | ||||||
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%) | $11.87 | $15.37 | ||||||
Class C Shares-Net asset value | $11.53 | $15.25 | ||||||
Class F Shares-Net asset value | $11.60 | $15.02 | ||||||
Class F3 Shares-Net asset value | $11.62 | $14.95 | ||||||
Class I Shares-Net asset value | $11.60 | $14.93 | ||||||
Class P Shares-Net asset value | $11.55 | – | ||||||
Class R2 Shares-Net asset value | $11.87 | $15.44 | ||||||
Class R3 Shares-Net asset value | $11.58 | $15.02 | ||||||
Class R4 Shares-Net asset value | $11.60 | $15.02 | ||||||
Class R5 Shares-Net asset value | $11.62 | $14.93 | ||||||
Class R6 Shares-Net asset value | $11.61 | $14.95 |
20 | See Notes to Financial Statements. |
For the Year Ended November 30, 2019
Multi-Asset Balanced Opportunity Fund | Multi-Asset Income Fund | |||||||
Investment income: | ||||||||
Dividends received from underlying Funds | $ | 51,637,375 | $ | 43,532,896 | ||||
Interest income | 12,318 | 24,885 | ||||||
Total investment income | 51,649,693 | 43,557,781 | ||||||
Expenses: | ||||||||
Management fee | 1,932,765 | 1,342,840 | ||||||
12b-1 distribution plan-Class A | 3,814,310 | 1,704,341 | ||||||
12b-1 distribution plan-Class C | 2,698,459 | 3,762,647 | ||||||
12b-1 distribution plan-Class F | 57,238 | 206,963 | ||||||
12b-1 distribution plan-Class P | 2,504 | – | ||||||
12b-1 distribution plan-Class R2 | 3,492 | 752 | ||||||
12b-1 distribution plan-Class R3 | 186,849 | 101,438 | ||||||
12b-1 distribution plan-Class R4 | 20,655 | 5,633 | ||||||
Shareholder servicing | 1,619,173 | 981,730 | ||||||
Fund administration | 773,106 | 537,136 | ||||||
Registration | 417,657 | 205,277 | ||||||
Professional | 85,815 | 44,234 | ||||||
Reports to shareholders | 34,831 | 83,955 | ||||||
Trustees’ fees | 54,425 | 43,338 | ||||||
Custody | 15,796 | 36,305 | ||||||
Other | 298,765 | 77,184 | ||||||
Gross expenses | 12,015,840 | 9,133,773 | ||||||
Expense reductions (See Note 9) | (64,587 | ) | (45,905 | ) | ||||
Net expenses | 11,951,253 | 9,087,868 | ||||||
Net investment income | 39,698,440 | 34,469,913 | ||||||
Net realized and unrealized gain (loss): | ||||||||
Capital gain distributions received from Underlying Funds | 65,105,464 | 27,912,945 | ||||||
Net realized gain on investments in Underlying Funds | 437,166 | 1,555,315 | ||||||
Net realized loss on futures contracts | (6,091,164 | ) | (7,151,060 | ) | ||||
Net realized gain on foreign currency exchange contracts | 380,094 | 347,839 | ||||||
Net realized loss on options and swaptions written | (15,167,005 | ) | (4,545,530 | ) | ||||
Net realized gain on foreign currency related transactions | 7,528 | 6,989 | ||||||
Net change in unrealized appreciation/depreciation in Underlying Funds | 84,277,520 | 57,494,915 | ||||||
Net change in unrealized appreciation/depreciation on futures contracts | (3,340,429 | ) | (3,387,534 | ) | ||||
Net change in unrealized appreciation/depreciation on foreign currency exchange contracts | (380,094 | ) | (347,839 | ) | ||||
Net change in unrealized appreciation/depreciation on swap contracts | 2,841,623 | (1,109,561 | ) | |||||
Net realized and unrealized gain | 128,070,703 | 70,776,479 | ||||||
Net Increase in Net Assets Resulting From Operations | $ | 167,769,143 | $ | 105,246,392 |
See Notes to Financial Statements. | 21 |
Statements of Changes in Net Assets
Multi-Asset Balanced Opportunity Fund | ||||||||||
INCREASE (DECREASE) IN NET ASSETS | For the Year Ended November 30, 2019 | For the Year Ended November 30, 2018 | ||||||||
Operations: | ||||||||||
Net investment income | $ | 39,698,440 | $ | 34,465,887 | ||||||
Capital gain distributions received from Underlying Funds | 65,105,464 | 50,465,514 | ||||||||
Net realized loss on futures contracts, options and swaptions written, foreign currency exchange contracts, swaps and foreign currency related transactions | (20,870,547 | ) | (24,483,780 | ) | ||||||
Net realized gain on investments in Underlying Funds | 437,166 | 34,189,217 | ||||||||
Net change in unrealized appreciation/depreciation on investments in Underlying Funds | 84,277,520 | (133,723,764 | ) | |||||||
Net change in unrealized appreciation/depreciation on foreign currency exchange contract, futures contracts and swaps | (878,900 | ) | 4,528,953 | |||||||
Net increase (decrease) in net assets resulting from operations | 167,769,143 | (34,557,973 | ) | |||||||
Distributions to shareholders: | ||||||||||
Class A | (83,733,540 | ) | (74,517,433 | ) | ||||||
Class B | – | (118,630 | ) | |||||||
Class C | (13,318,023 | ) | (14,366,092 | ) | ||||||
Class F | (3,275,707 | ) | (3,381,032 | ) | ||||||
Class F3 | (1,117 | ) | (635 | ) | ||||||
Class I | (1,067,541 | ) | (979,609 | ) | ||||||
Class P | (32,915 | ) | (34,549 | ) | ||||||
Class R2 | (25,153 | ) | (22,157 | ) | ||||||
Class R3 | (1,867,955 | ) | (1,725,025 | ) | ||||||
Class R4 | (385,003 | ) | (189,965 | ) | ||||||
Class R5 | (8,254 | ) | (6,048 | ) | ||||||
Class R6 | (425,636 | ) | (467,527 | ) | ||||||
Class T | – | (471 | ) | |||||||
Total distributions to shareholders | (104,140,844 | ) | (95,809,173 | ) | ||||||
Capital share transactions (Net of share conversions) (See Note 14): | ||||||||||
Net proceeds from sales of shares | 141,970,512 | 175,782,322 | ||||||||
Net proceeds from reorganizations (See Note 15) | 1,171,902,740 | – | ||||||||
Reinvestment of distributions | 101,774,992 | 93,181,328 | ||||||||
Cost of shares reacquired | (520,732,286 | ) | (445,461,357 | ) | ||||||
Net increase (decrease) in net assets resulting from capital share transactions | 894,915,958 | (176,497,707 | ) | |||||||
Net increase (decrease) in net assets | 958,544,257 | (306,864,853 | ) | |||||||
NET ASSETS: | ||||||||||
Beginning of year | $ | 1,538,101,065 | $ | 1,844,965,918 | ||||||
End of year | $ | 2,496,645,322 | $ | 1,538,101,065 |
22 | See Notes to Financial Statements. |
Statements of Changes in Net Assets (concluded)
Multi-Asset Income Fund | ||||||||||
INCREASE (DECREASE) IN NET ASSETS | For the Year Ended November 30, 2019 | For the Year Ended November 30, 2018 | ||||||||
Operations: | ||||||||||
Net investment income | $ | 34,469,913 | $ | 35,468,002 | ||||||
Capital gain distributions received from Underlying Funds | 27,912,945 | 28,351,878 | ||||||||
Net realized loss on futures contracts, options and swaptions written, foreign currency exchange contracts, swaps and foreign currency related transactions | (11,341,762 | ) | (19,967,595 | ) | ||||||
Net realized gain on investments in Underlying Funds | 1,555,315 | 15,848,672 | ||||||||
Net change in unrealized appreciation/depreciation on investments in Underlying Funds | 57,494,915 | (93,450,750 | ) | |||||||
Net change in unrealized appreciation/depreciation on foreign currency exchange contract, futures contracts and swaps | (4,844,934 | ) | 5,863,419 | |||||||
Net increase (decrease) in net assets resulting from operations | 105,246,392 | (27,886,374 | ) | |||||||
Distributions to shareholders: | ||||||||||
Class A | (23,801,009 | ) | (25,016,753 | ) | ||||||
Class B | – | (8,124 | ) | |||||||
Class C | (10,223,578 | ) | (11,758,447 | ) | ||||||
Class F | (7,608,013 | ) | (8,526,758 | ) | ||||||
Class F3 | (146,802 | ) | (138,875 | ) | ||||||
Class I | (1,841,166 | ) | (1,927,245 | ) | ||||||
Class R2 | (3,744 | ) | (3,360 | ) | ||||||
Class R3 | (627,711 | ) | (562,698 | ) | ||||||
Class R4 | (72,378 | ) | (39,747 | ) | ||||||
Class R5 | (1,169 | ) | (897 | ) | ||||||
Class R6 | (105,800 | ) | (76,017 | ) | ||||||
Class T | – | (243 | ) | |||||||
Total distributions to shareholders | (44,431,370 | ) | (48,059,164 | ) | ||||||
Capital share transactions (Net of share conversions) (See Note 14): | ||||||||||
Net proceeds from sales of shares | 138,058,781 | 229,284,720 | ||||||||
Reinvestment of distributions | 41,327,339 | 44,326,813 | ||||||||
Cost of shares reacquired | (383,530,266 | ) | (421,833,888 | ) | ||||||
Net decrease in net assets resulting from capital share transactions | (204,144,146 | ) | (148,222,355 | ) | ||||||
Net decrease in net assets | (143,329,124 | ) | (224,167,893 | ) | ||||||
NET ASSETS: | ||||||||||
Beginning of year | $ | 1,436,175,409 | $ | 1,660,343,302 | ||||||
End of year | $ | 1,292,846,285 | $ | 1,436,175,409 |
See Notes to Financial Statements. | 23 |
MULTI-ASSET BALANCED OPPORTUNITY FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(b) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
11/30/2019 | $ | 11.28 | $ | 0.24 | $ | 0.80 | $ | 1.04 | $ | (0.38 | ) | $ | (0.34 | ) | $ | (0.72 | ) | |||||||||||
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 | ) | ||||||||||||||||
Class C | ||||||||||||||||||||||||||||
11/30/2019 | 11.22 | 0.16 | 0.79 | 0.95 | (0.30 | ) | (0.34 | ) | (0.64 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||
Class F | ||||||||||||||||||||||||||||
11/30/2019 | 11.28 | 0.26 | 0.80 | 1.06 | (0.40 | ) | (0.34 | ) | (0.74 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
11/30/2019 | 11.29 | 0.27 | 0.81 | 1.08 | (0.41 | ) | (0.34 | ) | (0.75 | ) | ||||||||||||||||||
11/30/2018 | 12.19 | 0.28 | (0.49 | ) | (0.21 | ) | (0.45 | ) | (0.24 | ) | (0.69 | ) | ||||||||||||||||
4/4/2017 to 11/30/2017(d) | 11.62 | 0.21 | 0.56 | 0.77 | (0.20 | ) | – | (0.20 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
11/30/2019 | 11.28 | 0.28 | 0.79 | 1.07 | (0.41 | ) | (0.34 | ) | (0.75 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||
Class P | ||||||||||||||||||||||||||||
11/30/2019 | 11.23 | 0.21 | 0.81 | 1.02 | (0.36 | ) | (0.34 | ) | (0.70 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
11/30/2019 | 11.52 | 0.20 | 0.83 | 1.03 | (0.34 | ) | (0.34 | ) | (0.68 | ) | ||||||||||||||||||
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 | ) |
24 | See Notes to Financial Statements. |
Ratios to Average Net Assets:(a) | Supplemental Data: | |||||||||||||||||||||||||
Net asset value, end of period | Total return (%)(c) | Total expenses after waivers and/or reimburse- ments (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$11.60 | 10.19 | 0.52 | 0.52 | 2.15 | $1,974,100 | 25 | ||||||||||||||||||||
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 | |||||||||||||||||||
11.53 | 9.35 | 1.27 | 1.27 | 1.41 | 337,420 | 25 | ||||||||||||||||||||
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 | |||||||||||||||||||
11.60 | 10.35 | 0.37 | 0.37 | 2.31 | 73,256 | 25 | ||||||||||||||||||||
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 | |||||||||||||||||||
11.62 | 10.56 | 0.19 | 0.19 | 2.40 | 47 | 25 | ||||||||||||||||||||
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 | ||||||||||||||||
11.60 | 10.45 | 0.26 | 0.26 | 2.47 | 29,487 | 25 | ||||||||||||||||||||
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 | |||||||||||||||||||
11.55 | 9.93 | 0.72 | 0.72 | 1.93 | 588 | 25 | ||||||||||||||||||||
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 | |||||||||||||||||||
11.87 | 9.85 | 0.87 | 0.87 | 1.77 | 837 | 25 | ||||||||||||||||||||
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 | |||||||||||||||||||
See Notes to Financial Statements. | 25 |
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(b) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
11/30/2019 | $ | 11.26 | $ | 0.21 | $ | 0.80 | $ | 1.01 | $ | (0.35 | ) | $ | (0.34 | ) | $ | (0.69 | ) | |||||||||||
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 | ) | ||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
11/30/2019 | 11.29 | 0.24 | 0.79 | 1.03 | (0.38 | ) | (0.34 | ) | (0.72 | ) | ||||||||||||||||||
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(g) | 11.97 | 0.13 | (0.68 | ) | (0.55 | ) | (0.13 | ) | – | (0.13 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
11/30/2019 | 11.30 | 0.27 | 0.80 | 1.07 | (0.41 | ) | (0.34 | ) | (0.75 | ) | ||||||||||||||||||
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(g) | 11.97 | 0.15 | (0.69 | ) | (0.54 | ) | (0.14 | ) | – | (0.14 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
11/30/2019 | 11.29 | 0.30 | 0.77 | 1.07 | (0.41 | ) | (0.34 | ) | (0.75 | ) | ||||||||||||||||||
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(g) | 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) | Commenced on April 4, 2017. |
(e) | Not annualized. |
(f) | Annualized. |
(g) | Commenced on June 30, 2015. |
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 (%) | ||||||||||||||||||||
$11.58 | 9.94 | 0.76 | 0.76 | 1.91 | $52,554 | 25 | ||||||||||||||||||||
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 | |||||||||||||||||||
11.60 | 10.19 | 0.52 | 0.52 | 2.12 | 12,167 | 25 | ||||||||||||||||||||
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 | ||||||||||||||||
11.62 | 10.44 | 0.27 | 0.27 | 2.38 | 204 | 25 | ||||||||||||||||||||
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 | ||||||||||||||||
11.61 | 10.47 | 0.19 | 0.19 | 2.61 | 15,985 | 25 | ||||||||||||||||||||
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. | 27 |
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(b) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
11/30/2019 | $ | 14.34 | $ | 0.40 | $ | 0.78 | $ | 1.18 | $ | (0.50 | ) | $ | – | $ | (0.50 | ) | ||||||||||||
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 | ) | ||||||||||||||||
Class C | ||||||||||||||||||||||||||||
11/30/2019 | 14.55 | 0.30 | 0.79 | 1.09 | (0.39 | ) | – | (0.39 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||
Class F | ||||||||||||||||||||||||||||
11/30/2019 | 14.34 | 0.42 | 0.78 | 1.20 | (0.52 | ) | – | (0.52 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
11/30/2019 | 14.27 | 0.44 | 0.78 | 1.22 | (0.54 | ) | – | (0.54 | ) | |||||||||||||||||||
11/30/2018 | 15.00 | 0.40 | (0.61 | ) | (0.21 | ) | (0.52 | ) | – | (0.52 | ) | |||||||||||||||||
4/4/2017 to 11/30/2017(d) | 14.42 | 0.29 | 0.56 | 0.85 | (0.27 | ) | – | (0.27 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
11/30/2019 | 14.26 | 0.44 | 0.77 | 1.21 | (0.54 | ) | – | (0.54 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
11/30/2019 | 14.73 | 0.35 | 0.81 | 1.16 | (0.45 | ) | – | (0.45 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
11/30/2019 | 14.34 | 0.35 | 0.80 | 1.15 | (0.47 | ) | – | (0.47 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||
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 (%) | ||||||||||||||||||||
$15.02 | 8.50 | 0.50 | 0.50 | 2.74 | $ | 678,178 | 27 | |||||||||||||||||||
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 | |||||||||||||||||||
15.25 | 7.70 | 1.25 | 1.25 | 2.00 | 340,786 | 27 | ||||||||||||||||||||
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 | |||||||||||||||||||
15.02 | 8.66 | 0.35 | 0.35 | 2.91 | 200,060 | 27 | ||||||||||||||||||||
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 | |||||||||||||||||||
14.95 | 8.83 | 0.19 | 0.19 | 3.01 | 3,527 | 27 | ||||||||||||||||||||
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 | ||||||||||||||||
14.93 | 8.75 | 0.25 | 0.25 | 3.03 | 43,319 | 27 | ||||||||||||||||||||
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 | |||||||||||||||||||
15.44 | 8.10 | 0.85 | 0.85 | 2.36 | 138 | 27 | ||||||||||||||||||||
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 | |||||||||||||||||||
15.02 | 8.24 | 0.75 | 0.75 | 2.41 | 21,508 | 27 | ||||||||||||||||||||
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 | |||||||||||||||||||
See Notes to Financial Statements. | 29 |
Financial Highlights (concluded)
MULTI-ASSET INCOME FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(b) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
11/30/2019 | $ | 14.34 | $ | 0.38 | $ | 0.80 | $ | 1.18 | $ | (0.50 | ) | $ | – | $ | (0.50 | ) | ||||||||||||
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(g) | 14.98 | 0.21 | (0.75 | ) | (0.54 | ) | (0.20 | ) | – | (0.20 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
11/30/2019 | 14.26 | 0.42 | 0.79 | 1.21 | (0.54 | ) | – | (0.54 | ) | |||||||||||||||||||
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(g) | 14.90 | 0.22 | (0.75 | ) | (0.53 | ) | (0.21 | ) | – | (0.21 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
11/30/2019 | 14.27 | 0.44 | 0.78 | 1.22 | (0.54 | ) | – | (0.54 | ) | |||||||||||||||||||
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(g) | 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) | Commenced on April 4, 2017. |
(e) | Not annualized. |
(f) | Annualized. |
(g) | Commenced on June 30, 2015. |
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 (%) | ||||||||||||||||||||
$15.02 | 8.50 | 0.50 | 0.50 | 2.62 | $2,421 | 27 | ||||||||||||||||||||
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 | ||||||||||||||||
14.93 | 8.75 | 0.24 | 0.24 | 2.89 | 36 | 27 | ||||||||||||||||||||
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 | ||||||||||||||||
14.95 | 8.83 | 0.19 | 0.19 | 3.02 | 2,873 | 27 | ||||||||||||||||||||
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. | 31 |
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 fourteen funds. This report covers the following two 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 Income Fund (“Multi-Asset Income Fund”) | A, C, F, F3, I, R2, R3, R4, R5 and R6 |
The Funds’ Class P shares are closed to substantially all new investors, with certain exceptions as set forth in the Funds’ prospectus.
On June 21, 2019, Multi-Asset Balanced Opportunity Fund acquired the net assets of Lord Abbett Multi-Asset Growth Fund (“Multi-Asset Growth Fund”) and Lord Abbett Multi-Asset Global Opportunity Fund (“Multi-Asset Global Opportunity Fund”). Refer to Note 15Reorganizationsfor additional information.
Multi-Asset Balanced Opportunity Fund’s investment objective is to seek current income and capital growth. 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 automatically convert to Class A shares on the 25th day of the month (or, if the 25th is not a business day, the next business day thereafter) following the tenth anniversary of the month on which the purchase order was accepted.
The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. These Funds are considered investment companies under U.S. GAAP and follow the accounting and reporting guidance applicable to investment companies.
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 |
32
Notes to Financial Statements (continued)
independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value. | |
Investments in the Underlying Funds are valued at their NAV each business day at the close of regular trading on the New York Stock Exchange, normally 4:00 p.m. Eastern time. Exchange traded futures contracts are valued at the last sales price in the market in which they are principally traded. If no sale has occurred, the mean between the most recently quoted bid and asked 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 income on the Statements of Operations. Investment income is allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
(d) | Income Taxes–It is the policy of each Fund to meet the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all taxable income and capital gains to its shareholders. Therefore, no income tax provision is required. |
Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s filed U.S. federal tax returns remains open for the fiscal years ended November 30, 2016 through November 30, 2019. 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 |
33
Notes to Financial Statements (continued)
shares bear their class-specific share of all expenses and fees relating to the Funds’ 12b-1 Distribution Plan. | |
(f) | Forward Foreign Currency Exchange Contracts–Each Fund may enter into forward foreign currency exchange contracts in order to reduce their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings, or gain or reduce exposure to foreign currency solely for investment purposes. A forward foreign currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated rate. The contracts are valued daily at forward exchange rates and any unrealized gain (loss) is included in Net change in unrealized appreciation/depreciation on foreign currency exchange contracts in each Fund’s Statement of Operations. The gain (loss) arising from the difference between the U.S. dollar cost of the original contract and the value of the foreign currency in U.S. dollars upon closing of such contracts is included in Net realized gain (loss) on foreign currency exchange contracts in each Fund’s Statement of Operations. |
(g) | Futures Contracts–Each Fund may purchase and sell futures contracts to manage cash, to adjust exposure to the direction of interest rates or as a substitute position in lieu of holding the underlying asset on which the instrument is based. At the time of entering into a futures transaction, an investor is required to deposit and maintain a specified amount of cash or eligible securities called “initial margin.” Subsequent payments made or received by 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 |
34
Notes to Financial Statements (continued)
of default of the referenced debt obligation is recorded as proceeds from sale/delivery of the referenced debt obligation and the resulting gain or loss realized on the referenced debt obligation is recorded as such by a Fund. | |
Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the custodian bank or broker in accordance with the swap agreement. The value and credit rating of each credit default swap where the Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. The maximum potential amount of future payments (undiscounted) that the Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by the Funds for the same referenced entity or entities. | |
Entering into credit default swaps involves credit and market risk. Such risks involve the possibility that there will be no liquid market for these agreements, that there may be unfavorable changes in interest rates, and that Lord Abbett does not correctly predict the creditworthiness of the issuers of the reference obligation on which the credit default swap is based. | |
(i) | 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. |
35
Notes to Financial Statements (continued)
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. | |
(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). |
36
Notes to Financial Statements (continued)
A summary of inputs used in valuing each Fund’s investments and other financial instruments as of November 30, 2019 and, if applicable, Level 3 rollforwards for the fiscal year 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. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
3. | MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES |
Management Fee
The Trust has a management agreement with Lord Abbett, pursuant to which Lord Abbett supplies each Fund with investment management services and executive and other personnel, provides office space and pays for ordinary and necessary office and clerical expenses relating to research and statistical work and supervision of each Fund’s investment portfolio.
The management fee is based on each Fund’s average daily net assets at an annual rate of .10%.
For the fiscal year ended November 30, 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 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 fiscal year ended November 30, 2019:
Distributor Commissions | Dealers’ Concessions | |||||||
Multi-Asset Balanced Opportunity Fund | $106,612 | $710,835 | ||||||
Multi-Asset Income Fund | 58,498 | 373,480 |
37
Notes to Financial Statements (continued)
Distributor received the following amount of CDSCs for the fiscal year ended November 30, 2019:
Class A | Class C | |||||||
Multi-Asset Balanced Opportunity Fund | $5,709 | $11,110 | ||||||
Multi-Asset Income Fund | 8,439 | 7,738 |
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. 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 fiscal years ended November 30, 2019 and November 30, 2018 were as follows:
Multi-Asset Balanced Opportunity Fund | Multi-Asset Income Fund | |||||||||||||||
Year Ended 11/30/2019 | Year Ended 11/30/2018 | Year Ended 11/30/2019 | Year Ended 11/30/2018 | |||||||||||||
Distributions paid from: | ||||||||||||||||
Ordinary income | $ | 59,663,229 | $ | 59,811,556 | $ | 44,431,370 | $ | 48,059,164 | ||||||||
Net long-term capital gains | 44,477,615 | 35,997,617 | – | – | ||||||||||||
Total distributions paid | $ | 104,140,844 | $ | 95,809,173 | $ | 44,431,370 | $ | 48,059,164 |
Subsequent to the Funds’ fiscal year ended November 30, 2019, distributions were paid on December 20, 2019 to shareholders of record on December 19, 2019. The approximate amounts were as follows:
Net Investment Income | Net Long-Term Capital Gains | |||||||
Multi-Asset Balanced Opportunity Fund | $ | 8,107,000 | $ | 30,377,000 | ||||
Multi-Asset Income Fund | 4,212,000 | – |
As of November 30, 2019, the components of accumulated gains (losses) on a tax-basis were as follows:
Multi-Asset Balanced Opportunity Fund | Multi-Asset Income Fund | |||||||
Undistributed ordinary income – net | $ | 2,813,862 | $ | 569,839 | ||||
Undistributed long-term capital gains | 30,377,912 | – | ||||||
Total undistributed earnings | 33,191,774 | 569,839 | ||||||
Capital loss carryforwards* | (13,846,213 | ) | (110,091,254 | ) | ||||
Temporary differences | (359,125 | ) | (149,444 | ) | ||||
Unrealized losses – net | 347,277 | (15,243,336 | ) | |||||
Total accumulated gains (losses) – net | $ | 19,333,713 | $ | (124,914,195 | ) |
* | The capital losses will carryforward indefinitely. |
38
Notes to Financial Statements (continued)
As of November 30, 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 Income Fund | |||||||
Tax cost | $ | 2,491,055,367 | $ | 1,305,714,291 | ||||
Gross unrealized gain | 45,378,927 | 8,344,233 | ||||||
Gross unrealized loss | (45,031,650 | ) | (23,587,569 | ) | ||||
Net unrealized security gain (loss) | $ | 347,277 | $ | (15,243,336 | ) |
The difference between book-basis and tax-basis unrealized gains (losses) is attributable to the tax treatment of certain distributions, other financial instruments and wash sales.
Permanent items identified during the fiscal year ended November 30, 2019 have been reclassified among the components of net assets based on their tax basis treatment as follows:
Total Distributable Earnings (loss) | Paid-in Capital | |||||||
Multi-Asset Balanced Opportunity Fund | $163,712 | $(163,712 | ) |
The permanent differences are primarily attributable to the tax treatment of certain expenses.
5. | PORTFOLIO SECURITIES TRANSACTIONS |
Purchases and sales of investment securities (excluding short-term investments) for the fiscal year ended November 30, 2019 were as follows:
Purchases | Sales | |||||||
Multi-Asset Balanced Opportunity Fund | $ | 492,234,919 | $ | 789,617,732 | ||||
Multi-Asset Income Fund | 368,185,779 | 568,987,586 |
There were no purchases or sales of U.S. Government securities for the fiscal year ended November 30, 2019.
6. | DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES |
Multi-Asset Balanced Opportunity Fund and Multi-Asset Income Fund entered into forward foreign currency exchange contracts for the fiscal year ended November 30, 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 and Multi-Asset Income Fund entered into domestic and foreign equity index futures contracts for the fiscal year ended November 30, 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
39
Notes to Financial Statements (continued)
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 and Multi-Asset Income Fund entered into swaptions and options on indexes for the fiscal year ended November 30, 2019 (as described in note 2(i)) to obtain exposure to an issuer (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.
Multi-Asset Balanced Opportunity Fund and Multi-Asset Income Fund entered into total return swaps on indexes for the fiscal year ended November 30, 2019 (as described in note 2(j)) to obtain exposure to a issuer (the Reference Entity). The Fund’s use of total return swaps involves the risk that Lord Abbett will not accurately predict expectations of market value of the Reference Entity, and the Fund’s returns could be reduced as a result. The Fund’s risk of loss from counterparty credit risk is the notional value of the contract.
As of November 30, 2019, Multi-Asset Balanced Opportunity Fund and Multi-Asset Income Fund had the following derivatives at fair value, grouped into risk categories that illustrate the Funds use of derivative instruments:
Multi-Asset Balanced Opportunity Fund | ||||||||
Asset Derivatives | Foreign Currency Contracts | Index Contracts | ||||||
Futures Contracts(1) | $ | – | $ | 1,065,750 | ||||
Liability Derivatives | ||||||||
Futures Contracts(1) | $ | – | $ | 471,821 | ||||
Total Return Swap Contracts(2) | $ | 2,126,658 | – | |||||
Multi-Asset Income Fund | ||||||||
Asset Derivatives | Foreign Currency Contracts | Index Contracts | ||||||
Futures Contracts(1) | $ | – | $ | 546,401 | ||||
Liability Derivatives | ||||||||
Futures Contracts(1) | $ | – | $ | 245,428 | ||||
Total Return Swap Contracts(2) | $ | 1,109,561 | – |
(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: Total return swap, at fair value. |
40
Notes to Financial Statements (continued)
Transaction in derivatives instruments for the period ended November 30, 2019, were as follows:
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) | $ | (3,195,967 | ) | – | – | $ | (2,895,197 | ) | ||||||||
Written Options(3) | – | – | – | $ | (15,189,361 | ) | ||||||||||
Written Interest Rate Swaption(3) | $ | 22,356 | – | – | – | |||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(4) | – | $ | (380,094 | ) | – | – | ||||||||||
Futures Contracts(5) | $ | 154,018 | – | – | $ | (3,494,447 | ) | |||||||||
Total Return Swap Contracts(6) | – | $ | 2,841,623 | – | – | |||||||||||
Average Number of Contracts/Notional Amounts | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(7) | – | $ | 10,299,539 | – | – | |||||||||||
Futures Contracts(8) | 211 | – | – | 1,177 | ||||||||||||
Written Options(7) | – | – | – | $ | 91,567 | |||||||||||
Written Interest Rate Swaption(7) | $ | 380,769,231 | – | – | – | |||||||||||
Total Return Swap Contracts(7) | – | $ | 176,923 | – | – |
41
Notes to Financial Statements (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) | $ | (2,927,429 | ) | – | – | $ | (4,223,631 | ) | ||||||||
Written Options(3) | – | – | – | $ | (4,556,919 | ) | ||||||||||
Written Interest Rate(3)Swaption | $ | 11,389 | – | – | – | |||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
Forward Foreign Currency Exchange(4) | – | $ | (347,839 | ) | – | – | ||||||||||
Futures Contracts(5) | $ | 113,643 | – | – | $ | (3,501,177 | ) | |||||||||
Total Return Swap Contracts(6) | – | $ | (1,109,561 | ) | – | – | ||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(7) | – | $ | 9,425,504 | – | – | |||||||||||
Futures Contracts(8) | 193 | – | – | 901 | ||||||||||||
Written Options(7) | – | – | – | $ | 30,150 | |||||||||||
Written Interest Rate Swaption(7) | $ | 249,230,769 | – | – | – | |||||||||||
Total Return Swap Contracts(7) | – | $ | 92,308 | – | – |
* | Calculated based on the number of contracts or notional amounts for the six months ended November 30, 2019. |
(1) | Statements of Operations location: Net realized gain on foreign forward currency exchange contracts. |
(2) | Statements of Operations location: Net realized loss on futures contracts. |
(3) | Statements of Operations location: Net realized gain (loss) on options and swaptions written. |
(4) | Statements of Operations location: Net change in unrealized appreciation/depreciation on foreign currency exchange contracts. |
(5) | Statements of Operations location: Net change in unrealized appreciation/depreciation on futures contracts. |
(6) | Statements of Operations location: Net change in unrealized appreciation/depreciation on swap contracts. |
(7) | Amount represents notional amounts in U.S. dollars. |
(8) | Amount represents number of contracts. |
7. | DISCLOSURES ABOUT OFFSETTING ASSETS AND LIABILITIES |
The Financial Accounting Standards Board (“FASB”) requires disclosures intended to help better assess the effect or potential effect of offsetting arrangements on a fund’s financial position. The following tables illustrate gross and net information about recognized assets and liabilities eligible for offset in the Statements of Assets and Liabilities; and disclose such amounts subject to an enforceable master netting agreement or similar agreement, by a 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
42
Notes to Financial Statements (continued)
financial assets and liabilities in the Statement of Assets and Liabilities across transactions between the Funds and the applicable counterparty:
Multi-Asset Balanced Opportunity 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 | |||||||||
Total Return Swap Contracts | $ | 2,126,658 | $ | – | $ | 2,126,658 | ||||||
Total | $ | 2,126,658 | $ | – | $ | 2,126,658 |
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(b) | |||||||||||||||
Bank of America | $ | 1,339,397 | $ | – | $ | (990,000 | ) | $ | – | $ | 349,397 | |||||||||
J.P. Morgan | 787,261 | – | (740,000 | ) | – | 47,261 | ||||||||||||||
Total | $ | 2,126,658 | $ | – | $ | (1,730,000 | ) | $ | – | $ | 396,658 |
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 | |||||||||
Total Return Swap Contracts | $ | 1,109,561 | $ | – | $ | 1,109,561 | ||||||
Total | $ | 1,109,561 | $ | – | $ | 1,109,561 |
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(b) | |||||||||||||||
Bank of America | $ | 698,816 | $ | – | $ | (520,000 | ) | $ | – | $ | 178,816 | |||||||||
J.P. Morgan | 410,745 | – | (390,000 | ) | – | 20,745 | ||||||||||||||
Total | $ | 1,109,561 | $ | – | $ | (910,000 | ) | $ | – | $ | 199,561 |
(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 by the Fund to each counterparty as of November 30, 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.
43
Notes to Financial Statements (continued)
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.
For the fiscal year ended November 30, 2019, the Funds did not participate as a borrower or lender in the Interfund Lending Program.
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 and Multi-Asset Income Fund had the following transactions with affiliated issuers (i.e. the Underlying Funds) during the fiscal year ended November 30, 2019:
44
Notes to Financial Statements (continued)
Multi-Asset Balanced Opportunity Fund | ||||||||||||||||||||||||||||||||
Affiliated Issuer | Balance of Shares Held at 11/30/2018 | Gross Additions | Gross Sales | Balance of Shares Held at 11/30/2019 | Fair Value at 11/30/2019 | Net Realized Gain (Loss) 12/1/2018 to 11/30/2019 | Dividend Income 12/1/2018 to 11/30/2019 | Change in Appreciation (Depreciation) 12/1/2018 to 11/30/2019 | ||||||||||||||||||||||||
Lord Abbett Equity Trust–Calibrated Large Cap Value Fund–Class I | 10,679,174 | 27,370 | (10,706,544 | ) | – | $ | – | $ | (594,044 | ) | $ | 544,118 | $ | 8,661,115 | ||||||||||||||||||
Lord Abbett Equity Trust–Calibrated Mid Cap Value Fund–Class I | 8,006,923 | 3,750 | (8,010,673 | ) | – | – | (731,563 | ) | 72,928 | 12,410,052 | ||||||||||||||||||||||
Lord Abbett Investment Trust–Convertible Fund–Class I | 11,552,944 | 3,985,226 | (4,363,986 | ) | 11,174,184 | 159,008,632 | 8,001,445 | (a) | 6,375,547 | 7,715,994 | ||||||||||||||||||||||
Lord Abbett Investment Trust–Core Fixed Income Fund–Class I | – | 12,496,601 | (1,300,340 | ) | 11,196,261 | 124,278,494 | 236,896 | 1,456,442 | 2,169,855 | |||||||||||||||||||||||
Lord Abbett Global Fund, Inc.–Emerging Markets Bond Fund–Class I | 15,146,308 | 4,487,451 | (2,218,969 | ) | 17,414,790 | 90,208,611 | 7,927 | 4,441,344 | 6,494,910 | |||||||||||||||||||||||
Lord Abbett Securities Trust–Focused Large Cap Value Fund–Class I | – | 1,723,858 | – | 1,723,858 | 26,495,695 | – | 165,135 | 1,152,938 | ||||||||||||||||||||||||
Lord Abbett Securities Trust–Fundamental Equity Fund–Class I | – | 41,466,230 | (5,376,366 | ) | 36,089,864 | 424,055,901 | 34,250,157 | (b) | 7,240,367 | (18,925,839 | ) | |||||||||||||||||||||
Lord Abbett Securities Trust–Growth Leaders Fund–Class I | 7,257,952 | 5,675,648 | (5,883,151 | ) | 7,050,449 | 201,995,369 | 13,040,817 | (c) | – | 19,382,893 | ||||||||||||||||||||||
Lord Abbett Research Fund, Inc.–Growth Opportunities Fund–Class I | 5,785,975 | 7,543,420 | (2,927,741 | ) | 10,401,654 | 298,423,464 | 12,548,380 | (d) | – | 27,510,809 | ||||||||||||||||||||||
Lord Abbett Investment Trust–High Yield Fund–Class I | 38,576,789 | 31,406,017 | (14,515,284 | ) | 55,467,522 | 410,459,663 | 2,192,108 | 18,706,150 | 3,140,293 | |||||||||||||||||||||||
Lord Abbett Investment Trust–Inflation Focused Fund–Class I | 6,882,447 | 4,751,074 | (1,493,668 | ) | 10,139,853 | 113,971,945 | (1,186,168 | ) | 3,766,375 | (1,854,351 | ) | |||||||||||||||||||||
Lord Abbett Securities Trust–International Equity Fund–Class I | 6,841,732 | 4,871,502 | (2,492,729 | ) | 9,220,505 | 123,923,589 | 1,307,399 | 1,943,736 | 6,219,466 | |||||||||||||||||||||||
Lord Abbett Securities Trust–International Value Fund–Class I | 12,240,556 | 9,568,195 | (4,461,510 | ) | 17,347,241 | 122,991,940 | (4,752,282 | ) | 3,679,944 | 8,616,568 | ||||||||||||||||||||||
Lord Abbett Mid Cap Stock Fund, Inc.–Class I | 2,317,331 | 10,333,525 | (3,884,841 | ) | 8,766,015 | 249,656,094 | 1,081,925 | (e) | 783,702 | 1,388,964 | ||||||||||||||||||||||
Lord Abbett Investment Trust–Ultra Short Bond Fund–Class I | 3,236,109 | 19,772,071 | (8,305,690 | ) | 14,702,490 | 147,465,976 | 139,633 | 2,461,587 | 193,853 | |||||||||||||||||||||||
Total | $ | 2,492,935,373 | $ | 65,542,630 | $ | 51,637,375 | $ | 84,277,520 |
(a) | Includes $4,437,951 of distributed capital gains. |
(b) | Includes $35,502,520 of distributed capital gains. |
(c) | Includes $15,655,648 of distributed capital gains. |
(d) | Includes $6,458,116 of distributed capital gains. |
(e) | Includes $3,051,229 of distributed capital gains. |
45
Notes to Financial Statements (continued)
Multi-Asset Income Fund | ||||||||||||||||||||||||||||||||
Affiliated Issuer | Balance of Shares Held at 11/30/2018 | Gross Additions | Gross Sales | Balance of Shares Held at 11/30/2019 | Fair Value at 11/30/2019 | Net Realized Gain (Loss) 12/1/2018 to 11/30/2019 | Dividend Income 12/1/2018 to 11/30/2019 | Change in Appreciation (Depreciation) 12/1/2018 to 11/30/2019 | ||||||||||||||||||||||||
Lord Abbett Equity Trust–Calibrated Mid Cap Value Fund–Class I | 6,744,374 | 3,093 | (6,747,467 | ) | – | $ | – | $ | (247,451 | ) | $ | 60,176 | $ | 13,964,276 | ||||||||||||||||||
Lord Abbett Investment Trust–Convertible Fund–Class I | 16,233,536 | 1,351,277 | (8,936,191 | ) | 8,648,622 | 123,069,893 | 13,601,728 | (a) | 8,454,049 | 4,284,013 | ||||||||||||||||||||||
Lord Abbett Investment Trust–Core Fixed Income Fund–Class I | 1,369,865 | 1,282,794 | (301,324 | ) | 2,351,335 | 26,099,823 | 24,642 | 424,305 | 940,157 | |||||||||||||||||||||||
Lord Abbett Global Fund, Inc.–Emerging Markets Bond Fund–Class I | 11,189,766 | 4,579,809 | (3,159,850 | ) | 12,609,725 | 65,318,377 | (530,735 | ) | 3,657,210 | 6,264,767 | ||||||||||||||||||||||
Lord Abbett Securities Trust–Focused Large Cap Value Fund–Class I | – | 897,212 | (22,341 | ) | 874,871 | 13,446,771 | 9,160 | 83,807 | 579,569 | |||||||||||||||||||||||
Lord Abbett Securities Trust–Fundamental Equity Fund–Class I | – | 11,500,746 | (1,099,260 | ) | 10,401,486 | 122,217,460 | 10,393,936 | (b) | 2,102,809 | (7,078,808 | ) | |||||||||||||||||||||
Lord Abbett Securities Trust–Growth Leaders Fund–Class I | 4,252,856 | 161,300 | (2,840,576 | ) | 1,573,580 | 45,083,040 | 399,930 | (c) | – | 14,203,367 | ||||||||||||||||||||||
Lord Abbett Research Fund, Inc.–Growth Opportunities Fund–Class I | 3,317,795 | 463,612 | (1,314,597 | ) | 2,466,810 | 70,772,790 | 6,471,218 | (d) | – | 9,994,773 | ||||||||||||||||||||||
Lord Abbett Investment Trust–High Yield Fund–Class I | 36,240,904 | 2,080,655 | (9,417,934 | ) | 28,903,625 | 213,886,826 | 2,776,853 | 13,342,061 | 5,078,514 | |||||||||||||||||||||||
Lord Abbett Investment Trust–Inflation Focused Fund–Class I | 8,194,338 | 1,469,147 | (1,002,849 | ) | 8,660,636 | 97,345,551 | (664,914 | ) | 3,702,904 | (1,762,462 | ) | |||||||||||||||||||||
Lord Abbett Securities Trust–International Equity Fund–Class I | 6,242,490 | 371,577 | (1,344,628 | ) | 5,269,439 | 70,821,267 | 914,376 | 1,781,744 | 5,618,691 | |||||||||||||||||||||||
Lord Abbett Securities Trust–International Value Fund–Class I | 11,697,199 | 876,330 | (2,596,160 | ) | 9,977,369 | 70,739,543 | (3,112,715 | ) | 2,390,147 | 6,566,000 | ||||||||||||||||||||||
Lord Abbett Mid Cap Stock Fund, Inc.–Class I | 3,134,124 | 4,883,775 | (4,297,063 | ) | 3,720,836 | 105,969,398 | (577,645 | )(e) | 1,041,973 | (2,135,635 | ) | |||||||||||||||||||||
Lord Abbett Investment Trust–Ultra Short Bond Fund–Class I | 23,590,968 | 8,810,682 | (5,830,483 | ) | 26,571,167 | 266,508,804 | 9,877 | 6,491,711 | 977,693 | |||||||||||||||||||||||
Total | $ | 1,291,279,543 | $ | 29,468,260 | $ | 43,532,896 | $ | 57,494,915 |
(a) | Includes $6,306,887 of distributed capital gains. |
(b) | Includes $10,310,945 of distributed capital gains. |
(c) | Includes $3,486,232 of distributed capital gains. |
(d) | Includes $3,682,181 of distributed capital gains. |
(e) | Includes $4,126,700 of distributed capital gains. |
46
Notes to Financial Statements (continued)
12. | CUSTODIAN AND ACCOUNTING AGENT |
State Street Bank and Trust Company (“SSB”) is the Trust’s custodian and accounting agent. SSB performs custodial, accounting and recordkeeping functions relating to portfolio transactions and calculating each Fund’s NAV.
13. | INVESTMENT RISKS |
The Funds invest principally in the Underlying Funds and, as a result, a Fund’s performance is directly related to the Underlying Fund’s performance. Each Fund’s ability to meet its investment objective depends on the ability of the Underlying Funds to achieve their investment objectives and on the 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 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
47
Notes to Financial Statements (continued)
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. Given Multi-Asset Balanced Opportunity Fund’s more balanced allocation among fixed income funds and equity funds, it will be affected by risks associated with both equity and fixed income investments.
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 | Year Ended November 30, 2019 | Year Ended November 30, 2018 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 9,141,772 | $ | 101,204,949 | 9,470,672 | $ | 111,822,619 | ||||||||||
Converted from Class B* | – | – | 56,691 | 679,837 | ||||||||||||
Converted from Class C** | 1,433,326 | 16,143,393 | 3,021,785 | 35,490,466 | ||||||||||||
Reinvestment of distributions | 7,930,354 | 82,179,814 | 6,208,291 | 72,973,932 | ||||||||||||
Shares reacquired | (31,815,661 | ) | (352,908,608 | ) | (25,845,961 | ) | (304,582,141 | ) | ||||||||
Shares issued in reorganization (See Note 15) | 75,890,657 | 862,876,766 | – | – | ||||||||||||
Increase (decrease) | 62,580,448 | $ | 709,496,314 | (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 | ) |
48
Notes to Financial Statements (continued)
Multi-Asset Balanced Opportunity Fund | Year Ended November 30, 2019 | Year Ended November 30, 2018 | ||||||||||||||
Class C Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,500,111 | $ | 16,495,615 | 1,719,654 | $ | 20,234,629 | ||||||||||
Reinvestment of distributions | 1,268,039 | 12,883,474 | 1,187,590 | 13,883,624 | ||||||||||||
Shares reacquired | (6,514,716 | ) | (71,780,826 | ) | (6,208,173 | ) | (72,806,017 | ) | ||||||||
Converted to Class A** | (1,442,996 | ) | (16,143,393 | ) | (3,042,434 | ) | (35,490,465 | ) | ||||||||
Shares issued in reorganization (See Note 15) | 14,510,239 | 163,965,699 | – | – | ||||||||||||
Increase (decrease) | 9,320,677 | $ | 105,420,569 | (6,343,363 | ) | $ | (74,178,229 | ) | ||||||||
Class F Shares | ||||||||||||||||
Shares sold | 1,228,932 | $ | 13,689,784 | 1,341,778 | $ | 15,845,294 | ||||||||||
Reinvestment of distributions | 309,872 | 3,213,157 | 251,480 | 2,954,381 | ||||||||||||
Shares reacquired | (2,564,592 | ) | (28,533,275 | ) | (2,669,715 | ) | (31,438,904 | ) | ||||||||
Shares issued in reorganization (See Note 15) | 3,175,676 | 36,107,437 | – | – | ||||||||||||
Increase (decrease) | 2,149,888 | $ | 24,477,103 | (1,076,457 | ) | $ | (12,639,229 | ) | ||||||||
Class F3 Shares | ||||||||||||||||
Shares sold | – | $ | 1 | 241 | $ | 2,907 | ||||||||||
Reinvestment of distributions | 104 | 1,116 | 54 | 635 | ||||||||||||
Shares reacquired | (807 | ) | (9,237 | ) | (242 | ) | (2,823 | ) | ||||||||
Shares issued in reorganization (See Note 15) | 3,778 | 43,033 | – | – | ||||||||||||
Increase | 3,075 | $ | 34,913 | 53 | $ | 719 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 149,226 | $ | 1,695,360 | 262,943 | $ | 3,100,011 | ||||||||||
Reinvestment of distributions | 88,658 | 912,862 | 82,867 | 974,293 | ||||||||||||
Shares reacquired | (1,738,505 | ) | (19,757,843 | ) | (529,206 | ) | (6,275,040 | ) | ||||||||
Shares issued in reorganization (See Note 15) | 2,763,127 | 31,416,744 | – | – | ||||||||||||
Increase (decrease) | 1,262,506 | $ | 14,267,123 | (183,396 | ) | $ | (2,200,736 | ) | ||||||||
Class P Shares | ||||||||||||||||
Shares sold | 7,240 | $ | 81,036 | 4,294 | $ | 50,061 | ||||||||||
Reinvestment of distributions | 3,222 | 32,916 | 2,952 | 34,549 | ||||||||||||
Shares reacquired | (5,115 | ) | (58,407 | ) | (16,396 | ) | (196,256 | ) | ||||||||
Increase (decrease) | 5,347 | $ | 55,545 | (9,150 | ) | $ | (111,646 | ) | ||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 2,638 | $ | 30,226 | 1,960 | $ | 23,606 | ||||||||||
Reinvestment of distributions | 2,367 | 25,142 | 1,841 | 22,096 | ||||||||||||
Shares reacquired | (6,939 | ) | (80,534 | ) | (9,986 | ) | (123,016 | ) | ||||||||
Shares issued in reorganization (See Note 15) | 41,242 | 479,638 | – | – | ||||||||||||
Increase (decrease) | 39,308 | $ | 454,472 | (6,185 | ) | $ | (77,314 | ) |
49
Notes to Financial Statements (continued)
Multi-Asset Balanced Opportunity Fund | Year Ended November 30, 2019 | Year Ended November 30, 2018 | ||||||||||||||
Class R3 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 459,819 | $ | 5,094,314 | 848,468 | $ | 9,954,205 | ||||||||||
Reinvestment of distributions | 180,586 | 1,867,819 | 147,035 | 1,724,886 | ||||||||||||
Shares reacquired | (1,202,171 | ) | (13,398,185 | ) | (1,352,271 | ) | (15,884,781 | ) | ||||||||
Shares issued in reorganization (See Note 15) | 2,680,828 | 30,427,397 | – | – | ||||||||||||
Increase (decrease) | 2,119,062 | $ | 23,991,345 | (356,768 | ) | $ | (4,205,690 | ) | ||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 258,980 | $ | 2,873,615 | 388,823 | $ | 4,573,649 | ||||||||||
Reinvestment of distributions | 36,737 | 384,424 | 16,204 | 189,803 | ||||||||||||
Shares reacquired | (231,326 | ) | (2,598,497 | ) | (167,424 | ) | (1,948,934 | ) | ||||||||
Shares issued in reorganization (See Note 15) | 543,909 | 6,184,246 | – | – | ||||||||||||
Increase | 608,300 | $ | 6,843,788 | 237,603 | $ | 2,814,518 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 1,042 | $ | 11,607 | 2,177 | $ | 25,027 | ||||||||||
Reinvestment of distributions | 792 | 8,254 | 515 | 6,048 | ||||||||||||
Shares reacquired | (1,258 | ) | (13,595 | ) | (409 | ) | (4,775 | ) | ||||||||
Shares issued in reorganization (See Note 15) | 6,321 | 71,998 | – | – | ||||||||||||
Increase | 6,897 | $ | 78,264 | 2,283 | $ | 26,300 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 71,178 | $ | 794,005 | 1,070,971 | $ | 13,030,370 | ||||||||||
Reinvestment of distributions | 24,958 | 266,014 | 25,715 | 302,377 | ||||||||||||
Shares reacquired | (2,745,894 | ) | (31,593,279 | ) | (1,072,158 | ) | (12,289,445 | ) | ||||||||
Shares issued in reorganization (See Note 15) | 3,543,917 | 40,329,782 | – | – | ||||||||||||
Increase | 894,159 | $ | 9,796,522 | 24,528 | $ | 1,043,302 | ||||||||||
Class T Shares(a) | ||||||||||||||||
Reinvestment of distributions | – | $ | – | 40 | $ | 471 | ||||||||||
Shares reacquired | – | – | (890 | ) | (10,532 | ) | ||||||||||
Decrease | – | $ | – | (850 | ) | $ | (10,061 | ) | ||||||||
Multi-Asset Income Fund | Year Ended November 30, 2019 | Year Ended November 30, 2018 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 4,983,674 | $ | 72,185,662 | 7,128,755 | $ | 106,570,981 | ||||||||||
Converted from Class B* | – | – | 4,559 | 69,003 | ||||||||||||
Converted from Class C** | 1,148,763 | 16,985,884 | 562,708 | 8,415,974 | ||||||||||||
Reinvestment of distributions | 1,622,422 | 22,944,162 | 1,617,108 | 24,062,715 | ||||||||||||
Shares reacquired | (12,579,199 | ) | (181,503,402 | ) | (12,373,137 | ) | (184,458,293 | ) | ||||||||
Decrease | (4,824,340 | ) | $ | (69,387,694 | ) | (3,060,007 | ) | $ | (45,339,620 | ) |
50
Notes to Financial Statements (continued)
Multi-Asset Income Fund | Year Ended November 30, 2019 | Year Ended 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 | ) | ||||||||||
Decrease | – | $ | – | (48,679 | ) | $ | (746,793 | ) | ||||||||
Class C Shares | ||||||||||||||||
Shares sold | 1,310,603 | $ | 19,199,659 | 2,067,790 | $ | 31,399,542 | ||||||||||
Reinvestment of distributions | 668,537 | 9,500,022 | 721,420 | 10,894,175 | ||||||||||||
Shares reacquired | (6,698,826 | ) | (98,571,003 | ) | (7,956,457 | ) | (120,382,550 | ) | ||||||||
Converted to Class A** | (1,131,992 | ) | (16,985,884 | ) | (554,903 | ) | (8,415,974 | ) | ||||||||
Decrease | (5,851,678 | ) | $ | (86,857,206 | ) | (5,722,150 | ) | $ | (86,504,807 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 2,164,773 | $ | 31,496,054 | 4,342,789 | $ | 64,964,389 | ||||||||||
Reinvestment of distributions | 440,278 | 6,230,349 | 452,965 | 6,738,828 | ||||||||||||
Shares reacquired | (5,171,312 | ) | (74,604,494 | ) | (6,106,798 | ) | (90,852,710 | ) | ||||||||
Decrease | (2,566,261 | ) | $ | (36,878,091 | ) | (1,311,044 | ) | $ | (19,149,493 | ) | ||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 79,151 | $ | 1,151,662 | 100,315 | $ | 1,482,496 | ||||||||||
Reinvestment of distributions | 10,385 | 146,802 | 9,394 | 138,875 | ||||||||||||
Shares reacquired | (139,374 | ) | (2,033,659 | ) | (58,518 | ) | (846,904 | ) | ||||||||
Increase (decrease) | (49,838 | ) | $ | (735,195 | ) | 51,191 | $ | 774,467 | ||||||||
Class I Shares | ||||||||||||||||
Shares sold | 402,951 | $ | 5,803,920 | 1,154,359 | $ | 16,955,367 | ||||||||||
Reinvestment of distributions | 121,419 | 1,705,893 | 122,643 | 1,813,852 | ||||||||||||
Shares reacquired | (1,422,423 | ) | (20,435,890 | ) | (1,274,048 | ) | (18,898,365 | ) | ||||||||
Increase (decrease) | (898,053 | ) | $ | (12,926,077 | ) | 2,954 | $ | (129,146 | ) | |||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 1,849 | $ | 27,665 | 2,528 | $ | 39,033 | ||||||||||
Reinvestment of distributions | 238 | 3,463 | 185 | 2,820 | ||||||||||||
Shares reacquired | (1,423 | ) | (20,815 | ) | (2,075 | ) | (32,139 | ) | ||||||||
Increase | 664 | $ | 10,313 | 638 | $ | 9,714 | ||||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 447,645 | $ | 6,503,136 | 309,618 | $ | 4,602,969 | ||||||||||
Reinvestment of distributions | 44,302 | 627,630 | 37,806 | 562,455 | ||||||||||||
Shares reacquired | (343,040 | ) | (4,999,229 | ) | (361,707 | ) | (5,409,857 | ) | ||||||||
Increase (decrease) | 148,907 | $ | 2,131,537 | (14,283 | ) | $ | (244,433 | ) | ||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 89,878 | $ | 1,304,447 | 124,744 | $ | 1,853,639 | ||||||||||
Reinvestment of distributions | 5,083 | 72,374 | 2,666 | 39,512 | ||||||||||||
Shares reacquired | (56,195 | ) | (819,577 | ) | (42,724 | ) | (635,904 | ) | ||||||||
Increase | 38,766 | $ | 557,244 | 84,686 | $ | 1,257,247 |
51
Notes to Financial Statements (continued)
Multi-Asset Income Fund | Year Ended November 30, 2019 | Year Ended November 30, 2018 | ||||||||||||||
Class R5 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 413 | $ | 5,727 | 385 | $ | 5,768 | ||||||||||
Reinvestment of distributions | 82 | 1,169 | 61 | 897 | ||||||||||||
Shares reacquired | (24 | ) | (356 | ) | (18 | ) | (256 | ) | ||||||||
Increase | 471 | $ | 6,540 | 428 | $ | 6,409 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 26,475 | $ | 380,849 | 131,049 | $ | 1,987,040 | ||||||||||
Reinvestment of distributions | 6,758 | 95,475 | 4,381 | 64,680 | ||||||||||||
Shares reacquired | (37,767 | ) | (541,841 | ) | (13,306 | ) | (197,405 | ) | ||||||||
Increase (decrease) | (4,534 | ) | $ | (65,517 | ) | 122,124 | $ | 1,854,315 | ||||||||
Class T Shares(a) | ||||||||||||||||
Reinvestment of distributions | – | $ | – | 16 | $ | 243 | ||||||||||
Shares reacquired | – | – | (698 | ) | (10,458 | ) | ||||||||||
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. 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 July 24, 2018. |
15. | REORGANIZATIONS |
As of the close of business on June 21, 2019, Multi-Asset Balanced Opportunity Fund acquired the net assets of the Multi-Asset Global Opportunity and Multi-Asset Growth Funds, pursuant to plans of reorganization. The reorganizations permitted the Multi-Asset Growth and Multi-Asset Global Opportunity Funds’ shareholders to 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 whereby holders of shares of Multi-Asset Global Opportunity and Multi-Asset Growth Funds outstanding on June 21, 2019 received shares valued at $170,388,322 and $1,001,514,418, respectively of Multi-Asset Balanced Opportunity Fund. Multi-Asset Balanced Opportunity Fund’s net assets at the date of acquisition, including $9,733,947 of net unrealized appreciation, $211,054 of distributions in excess of net investment income and $38,600,141 of accumulated net realized losses, were combined with those of Multi-Asset Balanced Opportunity Fund. The cost basis of securities received from the Multi-Asset Global Opportunity and Multi-Asset Growth Funds were carried forward.
The total net assets of the Multi-Asset Global Opportunity and Multi-Asset Growth Funds immediately before the transfer were $170,388,322 and $1,001,514,418, respectively. Total net assets of Multi-Asset Balanced Opportunity Fund immediately before the transfer were $1,475,996,251. Total net assets of Multi-Asset Balanced Opportunity Fund immediately after the transfer were $2,647,898,991.
52
Notes to Financial Statements (concluded)
The following table illustrates share conversion ratios and dollar amounts of the reorganizations on June 21, 2019:
Class | Multi-Asset Global Opportunity Fund Shares | Conversion Ratio | Multi-Asset Balanced Opportunity Fund Shares | Multi-Asset Balanced Opportunity Fund Amount | ||||||
A | 10,047,035 | 0.981003 | 9,856,172 | $ | 112,064,676 | |||||
C | 2,093,303 | 0.881735 | 1,845,739 | 20,856,847 | ||||||
F | 331,468 | 0.981319 | 325,276 | 3,698,388 | ||||||
F3 | 970 | 0.988446 | 959 | 10,920 | ||||||
I | 102,866 | 0.988540 | 101,687 | 1,156,175 | ||||||
R2 | 38,489 | 0.980714 | 37,746 | 438,979 | ||||||
R3 | 202,712 | 0.989868 | 200,658 | 2,277,466 | ||||||
R4 | 56,888 | 0.979789 | 55,738 | 633,740 | ||||||
R5 | 4,193 | 0.987507 | 4,141 | 47,162 | ||||||
R6 | 2,593,280 | 0.989578 | 2,566,253 | 29,203,969 | ||||||
Class | Multi-Asset Growth Fund Shares | Conversion Ratio | Multi-Asset Balanced Opportunity Fund Shares | Multi-Asset Balanced Opportunity Fund Amount | ||||||
A | 45,635,127 | 1.447010 | 66,034,485 | $ | 750,812,090 | |||||
C | 8,795,170 | 1.439938 | 12,664,500 | 143,108,852 | ||||||
F | 1,970,382 | 1.446623 | 2,850,400 | 32,409,049 | ||||||
F3 | 1,936 | 1.456427 | 2,819 | 32,113 | ||||||
I | 1,828,588 | 1.455462 | 2,661,440 | 30,260,569 | ||||||
R2 | 2,410 | 1.450576 | 3,496 | 40,659 | ||||||
R3 | 1,716,344 | 1.445031 | 2,480,170 | 28,149,931 | ||||||
R4 | 337,928 | 1.444600 | 488,171 | 5,550,506 | ||||||
R5 | 1,500 | 1.453968 | 2,180 | 24,836 | ||||||
R6 | 670,780 | 1.457504 | 977,664 | 11,125,813 |
Had the acquisition been completed on December 1, 2018, the beginning of Multi-Asset Balanced Opportunity Fund’s 2019 fiscal year, the Fund’s condensed pro-forma results of operations for the fiscal year ended November 30, 2019 would be as follows:
Net investment income: | $ | 62,646,835 | ||
Net realized and unrealized gain on investments: | 205,602,427 | |||
Net realized and unrealized loss on futures contracts, forward foreign currency exchange contracts, written options and foreign currency related transactions: | (29,710,541 | ) | ||
Net increase in net assets resulting from operations: | 238,538,721 |
The combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed. Revenue and earnings of Multi-Asset Global Opportunity and Multi-Asset Growth Funds’ portfolio holdings have been included in Multi-Asset Balanced Opportunity Fund’s Statement of Operations since the date of acquisition.
53
Report of Independent Registered Public Accounting Firm
To the shareholders and the Board of Trustees of Lord Abbett Investment Trust
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Lord Abbett Multi-Asset Balanced Opportunity Fund and Lord Abbett Multi-Asset Income Fund, two of the funds constituting the Lord Abbett Investment Trust (the “Trust”), as of November 30, 2019, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the two funds constituting the Trust as of November 30, 2019, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Trust’s financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of November 30, 2019, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
DELOITTE & TOUCHE LLP
New York, New York
January 28, 2020
We have served as the auditor of one or more Lord Abbett Family of Funds’ investment companies since 1932.
54
Investments in Underlying Funds (unaudited)
The Funds invest in Underlying Funds managed by Lord Abbett. As of November 30, 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 | 6.38% | |
Lord Abbett Investment Trust – Core Fixed Income Fund – Class I | 4.99% | |
Lord Abbett Global Fund, Inc. – Emerging Markets Bond Fund – Class I | 3.62% | |
Lord Abbett Securities Trust – Focused Large Cap Value Fund – Class I | 1.06% | |
Lord Abbett Securities Trust – Fundamental Equity Fund – Class I | 17.01% | |
Lord Abbett Securities Trust – Growth Leaders Fund – Class I | 8.10% | |
Lord Abbett Research Fund, Inc. – Growth Opportunities Fund – Class I | 11.97% | |
Lord Abbett Investment Trust – High Yield Fund – Class I | 16.47% | |
Lord Abbett Investment Trust – Inflation Focused Fund – Class I | 4.57% | |
Lord Abbett Securities Trust – International Equity Fund – Class I | 4.97% | |
Lord Abbett Securities Trust – International Value Fund – Class I | 4.93% | |
Lord Abbett Mid Cap Stock Fund, Inc. – Class I | 10.01% | |
Lord Abbett Investment Trust – Ultra Short Bond Fund – Class I | 5.92% |
Multi-Asset Income Fund’s Investments:
Underlying Fund Name | % of Investments | |
Lord Abbett Investment Trust – Convertible Fund – Class I | 9.53% | |
Lord Abbett Investment Trust – Core Fixed Income Fund – Class I | 2.02% | |
Lord Abbett Global Fund, Inc. – Emerging Markets Bond Fund – Class I | 5.06% | |
Lord Abbett Securities Trust – Focused Large Cap Value Fund – Class I | 1.04% | |
Lord Abbett Securities Trust – Fundamental Equity Fund – Class I | 9.47% | |
Lord Abbett Securities Trust – Growth Leaders Fund – Class I | 3.49% | |
Lord Abbett Research Fund, Inc. – Growth Opportunities Fund – Class I | 5.48% | |
Lord Abbett Investment Trust – High Yield Fund – Class I | 16.56% | |
Lord Abbett Investment Trust – Inflation Focused Fund – Class I | 7.54% | |
Lord Abbett Securities Trust – International Equity Fund – Class I | 5.48% | |
Lord Abbett Securities Trust – International Value Fund – Class I | 5.48% | |
Lord Abbett Mid Cap Stock Fund, Inc. – Class I | 8.21% | |
Lord Abbett Investment Trust – Ultra Short Bond Fund – Class I | 20.64% |
The Ten Largest Holdings and the Holdings by Sector, as of November 30, 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-PORT 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.
55
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Investment Trust – Convertible Fund
Ten Largest Holdings | % of Investments | |
Ctrip.com International Ltd. (China), 1.00%, 07/01/2020 | 4.71% | |
Microchip Technology, Inc., 1.625%, 02/15/2025 | 4.04% | |
SunPower Corp., 4.00%, 01/15/2023 | 3.95% | |
Weibo Corp. (China), 1.25%, 11/15/2022 | 3.66% | |
Tesla, Inc., 2.00%, 05/15/2024 | 3.12% | |
Patrick Industries, Inc., 1.00%, 02/01/2023 | 2.48% | |
Advanced Micro Devices, Inc., 2.125%, 09/01/2026 | 2.16% | |
DexCom, Inc., 0.75%, 05/15/2022 | 2.16% | |
Novellus Systems, Inc., 2.625%, 05/15/2041 | 2.07% | |
Akamai Technologies, Inc., 0.375%, 09/01/2027 | 1.99% | |
Holding by Sector* | % of Investments | |
Automotive | 3.97% | |
Banking | 2.46% | |
Basic Industry | 2.48% | |
Capital Goods | 2.27% | |
Consumer Goods | 1.47% | |
Energy | 0.72% | |
Health Care | 14.33% | |
Leisure | 1.41% | |
Media | 5.08% | |
Real Estate | 1.90% | |
Retail | 2.98% | |
Services | 3.32% | |
Technology & Electronics | 47.75% | |
Telecommunication | 1.80% | |
Transportation | 2.45% | |
Utilities | 2.69% | |
Repurchase Agreement | 2.92% | |
Total | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Investment Trust – Core Fixed Income Fund
Ten Largest Holdings | % of Investments | |
Federal National Mortgage Assoc., 3.50%, 12/12/2049 | 20.58% | |
U.S. Treasury Bill, Zero Coupon, 12/03/2019 | 9.60% | |
U.S. Treasury Bill, Zero Coupon, 01/30/2020 | 6.27% | |
Federal National Mortgage Assoc. 3.00%, 12/12/2049 | 3.57% | |
U.S. Treasury Note, 2.50%, 01/31/2021 | 3.26% | |
Federal National Mortgage Assoc. 3.00%, 12/06/2019 | 3.20% | |
U.S. Treasury Inflation Indexed Note, 0.625%, 04/15/2023 | 2.85% | |
Japan Treasury Discount Bill, Zero Coupon, 01/27/2020 | 2.84% | |
Federal National Mortgage Assoc. 4.00%, 12/12/2049 | 2.60% | |
U.S. Treasury Bond, 2.25%, 08/15/2049 | 2.53% |
56
Investments in Underlying Funds (unaudited)(continued)
Holding by Sector* | % of Investments | |
Auto | 0.45% | |
Capital Goods | 0.26% | |
Consumer Cyclicals | 0.29% | |
Consumer Services | 0.49% | |
Consumer Staples | 0.40% | |
Energy | 1.40% | |
Financial Services | 24.42% | |
Foreign Government | 3.79% | |
Health Care | 0.19% | |
Integrated Oils | 0.69% | |
Materials and Processing | 0.39% | |
Municipal | 0.03% | |
Producer Durables | 0.54% | |
Technology | 0.55% | |
Telecommunications | 0.44% | |
Transportation | 0.33% | |
U.S. Government | 62.82% | |
Utilities | 1.09% | |
Repurchase Agreement | 1.43% | |
Total | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Global Fund, Inc. – Emerging Markets Bond Fund
Ten Largest Holdings | % of Investments | |
Republic of Nigeria, 6.50%, 11/28/2027 | 1.74% | |
Dominican Republic, 5.95%, 01/25/2027 | 1.64% | |
Republic of Colombia, 5.00%, 06/15/2045 | 1.57% | |
Ukraine Government, 7.375%, 09/25/2032 | 1.49% | |
United Mexican States, 4.50%, 01/31/2050 | 1.42% | |
State of Qatar, 3.25%, 06/02/2026 | 1.38% | |
Petroleos Mexicanos (Mexico), 5.35%, 02/12/2028 | 1.35% | |
Pakistan Government International Bond, 8.25%, 04/15/2024 | 1.35% | |
Ivory Coast Bond, 6.375%, 03/03/2028 | 1.29% | |
Arab Republic of Egypt, 6.588%, 02/21/2028 | 1.22% | |
Holding by Sector* | % of Investments | |
Banking | 5.15% | |
Basic Industry | 2.34% | |
Consumer Goods | 1.66% | |
Energy | 13.58% | |
Financial Services | 2.57% | |
Foreign Government | 63.03% | |
Real Estate | 0.53% | |
Services | 0.58% | |
Telecommunications | 0.55% | |
Transportation | 2.58% | |
Utilities | 5.15% | |
Repurchase Agreement | 2.28% | |
Total | 100.00% |
* | A sector may comprise several industries. |
57
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Securities Trust – Focused Large Cap Value Fund
Ten Largest Holdings | % of Investments | |
Wells Fargo & Co. | 4.07% | |
Citigroup, Inc. | 3.95% | |
E*TRADE Financial Corp. | 3.91% | |
Spectrum Brands Holdings, Inc. | 3.72% | |
Nucor Corp. | 3.71% | |
Dow, Inc. | 3.70% | |
CVS Health Corp. | 3.65% | |
Cummins, Inc. | 3.51% | |
Intel Corp. | 3.47% | |
Wabtec Corp. | 3.45% | |
Holding by Sector* | % of Investments | |
Auto | 2.25% | |
Capital Goods | 3.47% | |
Consumer Cyclicals | 6.78% | |
Consumer Discretionary | 8.35% | |
Energy | 6.02% | |
Financial Services | 28.13% | |
Health Care | 12.72% | |
Integrated Oils | 2.49% | |
Materials and Processing | 7.42% | |
Producer Durables | 12.91% | |
Technology | 2.83% | |
Telecommunications | 4.58% | |
Utilities | 1.51% | |
Repurchase Agreement | 0.54% | |
Total | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Securities Trust – Fundamental Equity Fund
Ten Largest Holdings | % of Investments | |
JPMorgan Chase & Co. | 3.12% | |
Wells Fargo & Co. | 3.04% | |
Verizon Communications, Inc. | 2.71% | |
United Technologies Corp. | 2.45% | |
Citigroup, Inc. | 2.21% | |
Walt Disney Co. (The) | 2.20% | |
Apple, Inc. | 2.16% | |
U.S. Bancorp | 2.15% | |
Intel Corp. | 1.95% | |
TJX Cos., Inc. (The) | 1.74% |
58
Investments in Underlying Funds (unaudited)(continued)
Holding by Sector* | % of Investments | |
Communication Services | 8.22% | |
Consumer Discretionary | 5.11% | |
Consumer Staples | 8.44% | |
Energy | 8.55% | |
Financial Services | 23.80% | |
Health Care | 13.90% | |
Industrials | 10.72% | |
Information Technology | 8.21% | |
Materials | 4.11% | |
Real Estate | 2.38% | |
Utilities | 6.16% | |
Repurchase Agreement | 0.40% | |
Total | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Securities Trust – Growth Leaders Fund
Ten Largest Holdings | % of Investments | |
Microsoft Corp. | 5.94% | |
Apple, Inc. | 5.46% | |
Alphabet, Inc. Class A | 3.33% | |
Mastercard, Inc. Class A | 3.13% | |
Amazon.com, Inc. | 2.84% | |
NVIDIA Corp. | 2.17% | |
Visa, Inc. Class A | 2.17% | |
Vertex Pharmaceuticals, Inc. | 1.97% | |
Intuitive Surgical, Inc. | 1.92% | |
NIKE, Inc. Class B | 1.87% | |
Holding by Sector* | % of Investments | |
Communication Services | 11.61% | |
Consumer Discretionary | 18.69% | |
Financial Services | 4.49% | |
Health Care | 14.42% | |
Industrials | 10.00% | |
Information Technology | 38.60% | |
Repurchase Agreement | 2.19% | |
Total | 100.00% |
* | A sector may comprise several industries. |
59
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Research Fund – Growth Opportunities Fund
Ten Largest Holdings | % of Investments | |
Global Payments, Inc. | 3.86% | |
Fidelity National Information Services, Inc. | 3.37% | |
RingCentral, Inc. Class A | 2.49% | |
O’Reilly Automotive, Inc | 2.40% | |
Dollar General Corp. | 2.33% | |
TransDigm Group, Inc. | 2.30% | |
Burlington Stores, Inc. | 2.11% | |
SBA Communications Corp. | 2.00% | |
Centene Corp. | 1.90% | |
FleetCor Technologies, Inc. | 1.87% | |
Holding by Sector* | % of Investments | |
Communication Services | 2.17% | |
Consumer Discretionary | 15.66% | |
Consumer Staples | 3.38% | |
Energy | 0.95% | |
Financials | 6.59% | |
Health Care | 15.99% | |
Industrials | 19.05% | |
Information Technology | 30.10% | |
Materials | 3.30% | |
Real Estate | 2.00% | |
Repurchase Agreement | 0.81% | |
Total | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Investment Trust – High Yield Fund
Ten Largest Holdings | % of Investments | |
Sprint Capital Corp., 6.875%, 11/15/2028 | 1.87% | |
DISH DBS Corp., 7.75%, 07/01/2026 | 1.22% | |
Ally Financial, Inc., 8.00%, 11/01/2031 | 0.78% | |
CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 05/01/2027 | 0.70% | |
Tesla, Inc., 5.30%, 08/15/2025 | 0.67% | |
CCO Holdings LLC/CCO Holdings Capital Corp., 5.875%, 05/01/2027 | 0.65% | |
Altice France SA, 7.375%, 05/01/2026 | 0.65% | |
General Electric Co. 5.00% | 0.62% | |
TransDigm, Inc., 6.375%, 06/15/2026 | 0.56% | |
Tenet Healthcare Corp. 5.125%, 05/01/2025 | 0.55% |
60
Investments in Underlying Funds (unaudited)(continued)
Holding by Sector* | % of Investments | |
Advertising | 0.04% | |
Asset Backed | 0.18% | |
Automotive | 3.80% | |
Banking | 3.35% | |
Basic Industry | 11.51% | |
Capital Goods | 7.30% | |
Commercial Mortgage Backed | 0.31% | |
Communications | 0.10% | |
Consumer Cyclicals | 0.22% | |
Consumer Discretionary | 1.04% | |
Consumer Goods | 3.63% | |
Consumer Non-Cyclical | 0.02% | |
Consumer Staples | 0.20% | |
Energy | 12.39% | |
Financial Services | 7.59% | |
Foreign Government | 0.49% | |
Health Care | 9.04% | |
Industrials | 0.74% | |
Information Technology | 0.26% | |
Insurance | 0.84% | |
Leisure | 5.10% | |
Local Authority | 0.10% | |
Materials | 0.39% | |
Media | 11.16% | |
Real Estate | 0.05% | |
Retail | 1.44% | |
Technology & Electronics | 3.32% | |
Telecommunications | 3.22% | |
Transportation | 5.65% | |
Utilities | 2.01% | |
Repurchase Agreement | 4.51% | |
Total | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Investment Trust – Inflation Focused Fund
Ten Largest Holdings | % of Investments | |
U.S. Treasury Notes, 1.50%, 11/30/2021 | 1.01% | |
BX Commercial Mortgage Trust 2019–XL 2019–XL A, 2.6854%, 10/15/2036 | 0.92% | |
VNDO Mortgage Trust 2012–6AVE A, 2.9956%, 11/15/2030 | 0.84% | |
Ally Master Owner Trust 2018–4 A, 3.30%, 07/17/2023 | 0.67% | |
Sabine Pass Liquefaction LLC, 5.625%, 04/15/2023 | 0.64% | |
Ford Credit Auto Owner Trust 2015–1 A, 2.12%, 07/15/2026 | 0.59% | |
DBWF Mortgage Trust 2018–AMXP A, 3.8731%, 05/05/2035 | 0.57% | |
JPMorgan Chase Commercial Mortgage Securities Trust 2012–WLDN A, 3.9054%, 05/05/2030 | 0.56% | |
BBCMS Mortgage Trust 2018–TALL A, 2.7495%, 03/15/2037 | 0.53% | |
AT&T, Inc., 3.3116%, 06/12/2024 | 0.48% |
61
Investments in Underlying Funds (unaudited)(continued)
Holding by Sector* | % of Investments | |
Auto | 2.38% | |
Basic Industry | 0.29% | |
Capital Goods | 1.26% | |
Consumer Cyclicals | 1.20% | |
Consumer Discretionary | 1.13% | |
Consumer Services | 1.11% | |
Consumer Staples | 0.30% | |
Energy | 8.29% | |
Financial Services | 62.98% | |
Foreign Government | 0.42% | |
Health Care | 2.92% | |
Integrated Oils | 0.49% | |
Materials and Processing | 3.92% | |
Municipal | 0.19% | |
Other | 0.02% | |
Producer Durables | 2.28% | |
Technology | 2.85% | |
Telecommunications | 0.88% | |
Transportation | 0.90% | |
U.S. Government | 1.52% | |
Utilities | 3.54% | |
Repurchase Agreement | 1.13% | |
Total | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Securities Trust – International Equity Fund
Ten Largest Holdings | % of Investments | |
Alibaba Group Holding Ltd. ADR | 2.77% | |
AIA Group Ltd. | 2.14% | |
Nestle SA Registered Shares | 2.12% | |
Novartis AG Registered Shares | 2.04% | |
AstraZeneca plc | 1.96% | |
Samsung Electronics Co., Ltd. | 1.95% | |
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 1.93% | |
Toyota Motor Corp. | 1.86% | |
Allianz SE Registered Shares | 1.83% | |
Sony Corp. | 1.72% |
62
Investments in Underlying Funds (unaudited)(continued)
Holding by Sector | % of Investments | |
Communication Services | 2.78% | |
Consumer Discretionary | 10.69% | |
Consumer Staples | 10.64% | |
Energy | 6.76% | |
Financials | 20.85% | |
Health Care | 8.77% | |
Industrials | 14.52% | |
Information Technology | 13.10% | |
Materials | 6.48% | |
Real Estate | 2.66% | |
Utilities | 1.22% | |
Reprchase Agreement | 1.53% | |
Total | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Securities Trust – International Value Fund
Ten Largest Holdings | % of Investments | |
Royal Dutch Shell plc Class A ADR | 3.17% | |
Toyota Motor Corp. | 2.93% | |
Sanofi | 2.84% | |
Credit Agricole SA | 2.59% | |
Allianz SE Registered Shares | 2.33% | |
Anglo American plc | 2.21% | |
Sumitomo Mitsui Financial Group, Inc. | 2.16% | |
Novartis AG Registered Shares | 2.08% | |
Sony Corp. | 2.08% | |
AXA SA | 2.05% | |
Holding by Sector* | % of Investments | |
Communication Services | 3.29% | |
Consumer Discretionary | 12.97% | |
Consumer Staples | 5.94% | |
Energy | 9.82% | |
Financial Services | 27.14% | |
Health Care | 9.80% | |
Industrials | 10.92% | |
Information Technology | 4.62% | |
Materials | 7.06% | |
Real Estate | 4.66% | |
Utilities | 2.10% | |
Repurchase Agreement | 1.68% | |
Total | 100.00% |
* | A sector may comprise several industries. |
63
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Mid Cap Stock Fund, Inc.
Ten Largest Holdings | % of Investments | |
FirstEnergy Corp. | 2.01% | |
Hartford Financial Services Group, Inc. (The) | 1.99% | |
Alexandria Real Estate Equities, Inc | 1.93% | |
Stanley Black & Decker, Inc. | 1.81% | |
E*TRADE Financial Corp. | 1.77% | |
Cummins, Inc. | 1.76% | |
Duke Realty Corp. | 1.75% | |
CMS Energy Corp. | 1.75% | |
Evergy, Inc. | 1.73% | |
Landstar System, Inc. | 1.72% | |
Holding by Sector* | % of Investments | |
Communication Services | 1.99% | |
Consumer Discretionary | 9.99% | |
Consumer Staples | 4.23% | |
Energy | 5.75% | |
Financials | 18.07% | |
Health Care | 8.06% | |
Industrials | 14.09% | |
Information Technology | 9.15% | |
Materials | 6.80% | |
Real Estate | 10.26% | |
Utilities | 11.19% | |
Repurchase Agreement | 0.42% | |
Total | 100.00% |
* | A sector may comprise several industries. |
Lord Abbett Investment Trust – Ultra Short Bond Fund
Ten Largest Holdings | % of Investments | |
Goldman Sachs Group, Inc. (The), 3.4194%, 04/23/2020 | 1.35% | |
Morgan Stanley, 2.731%, 02/10/2021 | 1.29% | |
Bank of America Corp., 2.9376%, 07/21/2021 | 1.25% | |
Citigroup, Inc., 3.1278%, 01/10/2020 | 1.07% | |
Energy Transfer Partners, 2.5861%–2.6390%, 09/03/2019 | 0.95% | |
Federal Home Loan Bank Discount Notes, 09/06/2019 | 0.91% | |
Jabil, Inc., 2.6417%, 11/25/2019 | 0.87% | |
Autonation, Inc., 2.4852%, 09/06/2019 | 0.81% | |
Wells Fargo & Co., 3.1576%, 07/22/2020 | 0.79% | |
Glencore Funding LLC, 2.4589%–2.4906%, 09/13/2019 | 0.78% |
64
Investments in Underlying Funds (unaudited)(concluded)
Holding by Sector* | % of Investments | |
Auto | 8.32% | |
Capital Goods | 1.12% | |
Consumer Cyclicals | 4.15% | |
Consumer Discretionary | 0.99% | |
Consumer Services | 1.00% | |
Consumer Staples | 2.29% | |
Energy | 9.45% | |
Financial Services | 52.44% | |
Health Care | 4.11% | |
Integrated Oils | 0.36% | |
Materials and Processing | 5.48% | |
Producer Durables | 2.18% | |
Technology | 2.81% | |
Telecommunications | 1.69% | |
Transportation | 0.07% | |
U.S. Government | 2.11% | |
Utilities | 1.32% | |
Repurchase Agreement | 0.11% | |
Total | 100.00% |
* | A sector may comprise several industries. |
65
Supplemental Proxy Information (unaudited)
A joint special meeting of shareholders of each Fund was held on August 26, 2019. The joint special meeting was held for the purpose of electing members of each Fund’s Board of Trustees. Shareholders elected the following ten (10) Trustees at the joint special meeting:
• | Eric C. Fast |
• | Evelyn E. Guernsey |
• | Julie A. Hill |
• | Kathleen M. Lutito |
• | James M. McTaggart |
• | Charles O. Prince |
• | Karla M. Rabusch |
• | Mark A. Schmid |
• | Douglas B. Sieg |
• | James L.L. Tullis |
The results of the proxy solicitation on the preceding matter were as follows:
Lord Abbett Investment Trust
Nominee Votes | Votes For | Votes Withheld |
Eric C. Fast | 15,643,505,972.201 | 210,392,282.209 |
Evelyn E. Guernsey | 15,641,065,356.699 | 212,832,897.741 |
Julie A. Hill | 15,643,850,403.794 | 210,047,850.616 |
Kathleen M. Lutito | 15,660,153,950.675 | 193,744,303.755 |
James M. McTaggart | 15,633,589,967.945 | 220,308,286.465 |
Charles O. Prince | 15,630,650,593.598 | 223,247,660.822 |
Karla M. Rabusch | 15,641,844,350.984 | 212,053,903.446 |
Mark A. Schmid | 15,647,960,480.331 | 205,937,774.089 |
Douglas B. Sieg | 15,644,544,968.564 | 209,353,285.847 |
James L.L. Tullis | 15,576,986,992.318 | 276,911,262.072 |
66
Basic Information About Management
The Board is responsible for the management of the business and affairs of the Trust in accordance with the laws of the State of Delaware. The Board elects officers who are responsible for the day-to-day operations of each Fund and who execute policies authorized by the Board. The Board also approves an investment adviser to each Fund and continues to monitor the cost and quality of the services the investment adviser provides, and annually considers whether to renew the contract with the investment adviser. Generally, each Trustee holds office until his/her successor is elected and qualified or until his/her earlier resignation or removal, as provided in the Trust’s organizational documents.
Lord Abbett, a Delaware limited liability company, is each Fund’s investment adviser. Designated Lord Abbett personnel are responsible for the day-to-day management of the Funds.
Interested Trustees
Mr. Sieg is affiliated with Lord Abbett and is an “interested person” of the Trust as defined in the Act. Mr. Sieg is director/trustee of each of the 12 investment companies in the Lord Abbett Family of Funds, which consist of 57 investment portfolios. Mr. Sieg is an officer of the Lord Abbett Family of Funds.
Name, Address and Year of Birth | Current Position and Length of Service with the Trust | Principal Occupation and Other Directorships During the Past Five Years | ||
Douglas B. Sieg Lord, Abbett & Co. LLC 90 Hudson Street Jersey City, NJ 07302 (1969) | Trustee since 2016; President and Chief Executive Officer since 2018 | Principal Occupation:Managing Partner (since 2018) and was formerly Head of Client Services, joined Lord Abbett in 1994.
Other Directorships:None. |
Independent Trustees
The following Independent Trustees also are directors/trustees of each of the 12 investment companies in the Lord Abbett Family of Funds, which consist of 57 investment portfolios.
Name, Address and Year of Birth | Current Position and Length of Service with the Trust | Principal Occupation and Other Directorships During the Past Five Years | ||
Eric C. Fast Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1949) | Trustee since 2014 | Principal Occupation:Chief Executive Officer of Crane Co., an industrial products company (2001 – 2014).
Other Directorships:Currently serves as director of Automatic Data Processing, Inc. (since 2007) and Regions Financial Corporation (since 2010). Previously served as a director of Crane Co. (1999 – 2014). | ||
Evelyn E. Guernsey Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1955) | Trustee since 2011 | Principal Occupation:None.
Other Directorships:None. |
67
Basic Information About Management (continued)
Name, Address and Year of Birth | Current Position and Length of Service with the Trust | Principal Occupation and Other Directorships During the Past Five Years | ||
Julie A. Hill Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1946) | Trustee since 2004 | Principal Occupation:Owner and CEO of The Hill Company, a business consulting firm (since 1998).
Other Directorships:Currently serves as director of Anthem, Inc., a health benefits company (since 1994). | ||
Kathleen M. Lutito Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1963) | Trustee since 2017 | Principal Occupation:President and Chief Investment Officer of CenturyLink Investment Management Company (since 2006).
Other Directorships:None. | ||
James M. McTaggart Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1947) | Trustee since 2012 | Principal Occupation:Independent management advisor and consultant (since 2012). Other Directorships:Blyth, Inc., a home products company (2004 – 2015). | ||
Charles O. Prince Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1950) | Trustee since 2019 | Principal Occupation:None. Formerly Chairman and Chief Executive Officer, Citigroup, Inc.
Other Directorships:Currently serves as director of Johnson & Johnson (2006 – Present). Previously served as director of Xerox Corporation (2008 – 2018). | ||
Karla M. Rabusch Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1959) | Trustee since 2017 | Principal Occupation:President and Director of Wells Fargo Funds Management, LLC (2003 – 2017); President of Wells Fargo Funds (2003 – 2016).
Other Directorships:None. | ||
Mark A. Schmid Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1959) | Trustee since 2016 | Principal Occupation:Vice President and Chief Investment Officer of the University of Chicago (since 2009).
Other Directorships:None. | ||
James L.L. Tullis Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1947) | Trustee since 2006; Chairman since 2017 | Principal Occupation:Chairman of Tullis Health Investors – FL LLC (since 2018); CEO of Tullis-Dickerson and Co. Inc., a venture capital management firm (1990 – 2016).
Other Directorships:Currently serves as director of Crane Co. (since 1998), Alphatec Spine, Inc. (since 2018), and electroCore, Inc. (since 2018). |
68
Basic Information About Management (continued)
Officers
None of the officers listed below have received compensation from the Trust. All of the officers of the Trust also may be officers of the other Lord Abbett Funds and maintain offices at 90 Hudson Street, Jersey City, NJ 07302. Unless otherwise indicated, the position(s) and title(s) listed under the “Principal Occupation During the Past Five Years” column indicate each officer’s position(s) and title(s) with Lord Abbett. Each officer serves for an indefinite term (i.e., until his or her death, resignation, retirement, or removal).
Name and Year of Birth | Current Position with the Trust | Length of Service of Current Position | Principal Occupation During the Past Five Years | |||
Douglas B. Sieg (1969) | President and Chief Executive Officer | Elected as President and Chief Executive Officer in 2018 | Managing Partner of Lord Abbett (since 2018) and was formerly Head of Client Services, joined Lord Abbett in 1994. | |||
Jackson C. Chan (1964) | AML Compliance Officer | Elected in 2018 | Deputy Chief Compliance Officer and Director of Regulatory Affairs, joined Lord Abbett in 2014. | |||
Pamela P. Chen (1978) | Vice President, Assistant Secretary and Privacy Officer | Elected as Vice President and Assistant Secretary in 2018 and Privacy Officer in 2019 | Associate General Counsel, joined Lord Abbett in 2017 and was formerly Special Counsel at Schulte, Roth & Zabel LLP (2005 – 2017). | |||
John T. Fitzgerald (1975) | Vice President and Assistant Secretary | Elected in 2018 | Deputy General Counsel, joined Lord Abbett in 2018 and was formerly Deputy Head of U.S. Funds Legal, Executive Director and Assistant General Counsel at JPMorgan Chase (2005 – 2018). | |||
Vito A. Fronda (1969) | Treasurer | Elected in 2018 | Partner and Director of Fund Treasury and Tax, joined Lord Abbett in 2003. | |||
Bernard J. Grzelak (1971) | Chief Financial Officer and Vice President | Elected in 2017 | Partner and Chief Operating Officer, Global Funds and Risk, joined Lord Abbett in 2003. | |||
Linda Y. Kim (1980) | Vice President and Assistant Secretary | Elected in 2016 | Counsel, joined Lord Abbett in 2015 and was formerly an Associate at Stroock & Stroock & Lavan LLP (2007 – 2015). | |||
Joseph M. McGill (1962) | Chief Compliance Officer | Elected in 2014 | Partner and Chief Compliance Officer, joined Lord Abbett in 2014. |
69
Basic Information About Management (concluded)
Name and Year of Birth | Current Position with the Trust | Length of Service of Current Position | Principal Occupation During the Past Five Years | |||
Amanda S. Ryan (1978) | Vice President and Assistant Secretary | Elected in 2018 | Counsel, joined Lord Abbett in 2016 and was formerly a Director and Corporate Counsel at PGIM Investments (2012 – 2016). | |||
Lawrence B. Stoller (1963) | Vice President, Secretary and Chief Legal Officer | Elected as Vice President and Secretary in 2007 and Chief Legal Officer in 2019 | Partner and General Counsel, joined Lord Abbett in 2007. |
Please call 888-522-2388 for a copy of the statement of additional information, which contains further information about the Trust’s Trustees. It is available free upon request.
70
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. 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.
Tax Information (unaudited)
The percentages below reflect the portion of ordinary income distributions that are eligible for the corporate dividend received deduction (DRD) and qualified dividend income (QDI) for individual shareholders:
Fund Name | DRD | QDI | ||
Multi-Asset Balanced Opportunity Fund | 24% | 35% | ||
Multi-Asset Income Fund | 15% | 26% |
Additionally, of the distributions paid to shareholders during the fiscal year ended November 30, 2019, the following amounts represent short-term capital gains and long-term capital gains:
Fund Name | Short-term Capital Gains | Long-term Capital Gains | ||
Multi-Asset Balanced Opportunity Fund | $1,402,140 | $44,477,615 |
Each fund intends to pass through foreign source income and foreign taxes as follows:
Fund Name | Foreign Source Income | Foreign Taxes | ||
Multi-Asset Balanced Opportunity Fund | $5,354,308 | $679,754 | ||
Multi-Asset Income Fund | 3,996,932 | 544,969 |
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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 Investment Trust
| ||
Lord Abbett mutual fund shares are distributed by LORD ABBETT DISTRIBUTOR LLC. | Lord Abbett Multi-Asset Balanced Opportunity Fund
Lord Abbett Multi-Asset Income Fund | LASAF-2 (01/20) |
LORD ABBETT
ANNUAL 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 fiscal year ended November 30, 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 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
Annual Report
For the fiscal year ended November 30, 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 overview of the performance of the Funds for the fiscal year ended November 30, 2019. On this page and the following pages, we discuss the major factors that influenced fiscal year performance. For detailed and more timely information about the Funds, please visit our website at www.lordabbett.com, where you also can access the quarterly commentaries that provide updates on each Fund’s performance and other portfolio related updates. 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 |
Lord Abbett Convertible Fund
For the fiscal year ended November 30, 2019, the Fund returned 15.80%, reflecting performance at the net asset value (NAV) of Class A shares with all distributions reinvested, compared to its benchmark, the
ICE BofAML U.S. Convertibles Index,1which returned 14.54% over the same period.
Despite bouts of volatility arising from U.S./China trade tensions, risk assets generally rallied during the trailing 12-months ended November 30, 2019, primarily due to the dovish comments
1
from central banks around the globe, culminating in the longest U.S. economic expansion on record. One of the more notable shifts over the year was the U.S. Federal Reserve’s (the “Fed”) transition to a more dovish policy stance, with Chairman Jerome Powell stating that the Fed would act appropriately to sustain economic growth. Given the uncertain market outlook and the muted inflation pressure at the beginning of 2019, the Fed cut interest rates by 25 basis points in July, September and October. Expectations of a “Phase 1” trade deal between the U.S. and China improved confidence and reduced uncertainty, while bolstering the outlook for global growth.
The U.S. equity market produced strong returns, with the S&P 500 Index2returning 16.1% over the period. Credit sectors also performed exceptionally well, with investment grade bonds benefiting from a sizeable decline in spreads along with a sharp downward shift in the yield curve. High yield bonds also produced positive returns with modest spread compression. High yield performance was characterized by a sharp up-in-quality bias, as the “CCC” segment underperformed. The energy sector dragged on high yield performance, which we believe was largely due to idiosyncratic issues within select industries. Convertibles was one of the best performing fixed income categories during the period, as strong growth from the technology sector and surging U.S. equity markets were major benefits to the asset class. The convertible market saw robust issuance during the period, with issuance on pace to reach a multi-year high.
Among the largest contributors to the Fund’s relative performance during the period was security selection within the
information technology and energy sectors. Furthermore, the Fund’s security selection within the industrials sector also contributed to relative performance.
Among the largest detractors from the Fund’s relative performance during the period were security selection and overweights within the consumer discretionary and communication services sectors. Positioning within the health care sector also detracted from relative performance.
Lord Abbett Core Fixed Income Fund
For the 12-month period ended November 30, 2019, the Fund returned 9.79%, reflecting performance at the net asset value (NAV) of Class A shares with all distributions reinvested, compared to its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index,3which returned 10.79%.
The trailing 12-month period was characterized by several market-moving events. Following a tumultuous fourth quarter of 2018, where trade tensions and monetary policy uncertainty sent many investors toward safety, the market staged a strong recovery. After the worst December since 1931, the S&P 500 Index2posted its best January performance since 1987. Trade tensions continued to dominate headlines, as trade negotiations between the U.S. and China remained volatile throughout the period. One of the more notable shifts over the year was the U.S. Federal Reserve’s (the “Fed”) transition to a more dovish policy stance, with Chairman Jerome Powell stating that the Fed would act appropriately to sustain economic growth. Given the uncertain market outlook and the muted inflation
2
pressure, the Fed announced its decision to cut interest rates by 25 basis points on July 31, 2019 to a range of 2.00-2.25%. This was the first time that the Fed had cut interest rates since December 2008. The Fed followed that decision with two more 25 basis point rate cuts in September and October, citing “implications of global developments for the economic outlook as well as muted inflation pressures”. Chairman Powell signaled a likely pause on future rate cuts, resulting in the market-based probability of a fourth rate cut dipping below 25%. The combination of a dovish Fed, trade pressures, and slowing economic growth resulted in falling rates across the U.S. Treasury yield curve and further increased the partial curve inversion. In fact, the yield on the 10-year U.S. Treasury fell below 1.5% in September to its lowest level since 2016. In August, spreads between the U.S. 10-year Treasury and the 2-year Treasury inverted for the first time in over a decade. After several months of concern, the yield curve steepened in November following a sharp shift in sentiment, with all maturities moving out of inversion territory.
The U.S. equity market produced strong returns, with the S&P 500 Index2returning 16.1% over the period. Credit sectors also performed exceptionally well, with investment grade bonds benefiting from a sizeable decline in spreads along with a sharp downward shift in the yield curve. High yield bonds also produced positive returns with modest spread compression. High yield performance was characterized by an up-in-quality bias, as the “CCC” segment underperformed. The energy sector dragged on high yield performance, largely due to idiosyncratic issues within select industries.
For the 12-month period ended November 30, 2019, the largest detractor to the Fund’s relative performance was an off-benchmark allocation to short-term cash equivalents. Cash equivalents underperformed the benchmark and longer duration debt as rates fell across the yield curve, providing a tailwind to more interest rate sensitive securities. In addition, an underweight to sovereign bonds detracted from relative performance as the asset class outperformed the broader benchmark over the period. Security selection within sovereign bonds also detracted over the period.
The largest contributor to the Fund’s relative performance during the period came from security selection within investment-grade corporate bonds. Specifically, security selection within the financials sector contributed to performance. We remain attracted to select securities within the financials sector due to strict regulations, strong balance sheets, more conservative management teams, and improved quality relative to the pre-crisis period. Also contributing to relative performance was an underweight to U.S. Treasury bonds, as the asset class underperformed the broader index during the period.
Lord Abbett Core Plus Bond Fund
For the 12-month period ended November 30, 2019, the Fund returned 10.39%, reflecting performance at the net asset value (NAV) of Class A shares with all distributions reinvested, compared to its benchmark, the Bloomberg Barclays U.S. Universal Index,4which returned 10.84%.
The trailing 12-month period was characterized by several market moving
3
events. Following a tumultuous fourth quarter of 2018, where trade tensions and monetary policy uncertainty sent many investors toward safety, the market staged a strong recovery. After the worst December since 1931, the S&P 500 Index2posted its best January performance since 1987. Trade tensions continued to dominate headlines, as trade negotiations between the U.S. and China remained volatile throughout the period. One of the more notable shifts over the year was the U.S. Federal Reserve’s (the “Fed”) transition to a more dovish policy stance, with Chairman Jerome Powell stating that the Fed would act appropriately to sustain economic growth. Given the uncertain market outlook and the muted inflation pressure, the Fed announced its decision to cut interest rates by 25 basis points on July 31, 2019 to a range of 2.00-2.25%. This was the first time that the Fed had cut interest rates since December 2008. The Fed followed that decision with two more 25 basis point rate cuts in September and October, citing “implications of global developments for the economic outlook as well as muted inflation pressures”. Chairman Powell signaled a likely pause on future rate cuts, resulting in the market-based probability of a fourth rate cut dipping below 25%. The combination of a dovish Fed, trade pressures, and slowing economic growth resulted in falling rates across the U.S. Treasury yield curve and further increased the partial curve inversion. In fact, the yield on the 10-year U.S. Treasury fell below 1.5% in September to its lowest level since 2016. In August, spreads between the U.S. 10-year Treasury and the 2-year Treasury inverted for the first time in over a decade. After several months of concern, the yield curve steepened in November following a sharp
shift in sentiment, with all maturities moving out of inversion territory.
The U.S. equity market produced strong returns, with the S&P 500 Index2returning 16.1% over the period. Credit sectors also performed exceptionally well, with investment grade bonds benefiting from a sizeable decline in spreads along with a sharp downward shift in the yield curve. Additionally, high yield bonds produced strong returns, with spreads compressing 28 basis points following weakness in November/December. Despite strong returns, high yield performance was characterized by a sharp up-in-quality bias, as the CCC segment sharply underperformed. The energy sector dragged on high yield performance, due largely to idiosyncratic issues within select industries.
For the 12-month period ended November 30, 2019, the largest detractors to the Fund’s relative performance were an underweight to and security selection within sovereign bonds. Additionally, an overweight to asset-backed securities (ABS) detracted from relative performance as the asset class underperformed other spread products during the period.
The largest contributor to the Fund’s relative performance over the period came from security selection within commercial mortgage-backed securities (CMBS). We continue to favor SASB (single-asset/single-borrower) deals across the credit spectrum. Generally, these deals have had superior asset quality, geographic locations, and underwriting, as well as stronger borrower profiles versus conduit deals. Also contributing to performance was an overweight to high yield corporate bonds. High yield bonds experienced strong performance over the period amid continued positive economic growth.
4
Lord Abbett Corporate Bond Fund
For the fiscal year ended November 30, 2019, the Fund returned 14.12%, reflecting performance at the net asset value (NAV) of Class A shares with all distributions reinvested, compared to its benchmark, the Bloomberg Barclays U.S. Corporate Investment Grade Index,5which returned 15.85% over the period.
The trailing 12-month period was characterized by several market-moving events. Following a tumultuous fourth quarter of 2018, where trade tensions and monetary policy uncertainty sent many investors toward safety, the market staged a strong recovery. After the worst December since 1931, the S&P 500 Index2posted its best January performance since 1987. Trade tensions continued to dominate headlines, as trade negotiations between the U.S. and China remained volatile throughout the period. One of the more notable shifts over the year was the U.S. Federal Reserve’s (the “Fed”) transition to a more dovish policy stance, with Chairman Jerome Powell stating that the Fed would act appropriately to sustain economic growth. Given the uncertain market outlook and the muted inflation pressure, the Fed announced its decision to cut interest rates by 25 basis points on July 31, 2019 to a range of 2.00-2.25%. This was the first time that the Fed had cut interest rates since December 2008. The Fed followed that decision with two more 25 basis point rate cuts in September and October, citing “implications of global developments for the economic outlook as well as muted inflation pressures”. Chairman Powell signaled a likely pause on future rate cuts, resulting in the market-based probability of a fourth rate cut
dipping below 25%. The combination of a dovish Fed, trade pressures, and slowing economic growth resulted in falling rates across the U.S. Treasury yield curve and further increased the partial curve inversion. In fact, the yield on the 10-year U.S. Treasury fell below 1.5% in September to its lowest level since 2016. In August, spreads between the U.S. 10-year Treasury and the 2-year Treasury inverted for the first time in over a decade. After several months of concern, the yield curve steepened in November following a sharp shift in sentiment, with all maturities moving out of inversion territory.
Despite bouts of volatility arising from U.S./China trade tensions, risk assets generally rallied during the 12-month period ended November 30, 2019, primarily due to the dovish comments from central banks around the globe, culminating in the longest U.S. economic expansion on record. The U.S. equity market produced strong returns, with the S&P 500 Index2returning 16.1% over the period. Credit sectors also performed exceptionally well, with investment grade bonds benefiting from a sizeable decline in spreads along with a sharp downward shift in the yield curve. High yield bonds also produced positive returns with modest spread compression. High yield performance was characterized by a sharp up-in-quality bias, as the “CCC” segment underperformed. The energy sector dragged on high yield performance, largely due to idiosyncratic issues within select industries.
Investment grade corporate bonds were among the top performing sectors for the Fund during the trailing 12-month period. Within the investment grade allocation, the Fund’s shorter duration positioning relative to the benchmark had a negative impact on performance
5
considering the notable move in rates and flattening of the yield curve. Security selection, however, helped to offset this detraction. In particular, security selection within the financials sector helped to support relative performance during the period. Overall, the sector is subject to stricter regulations and is characterized by stronger balance sheets, more conservative management teams, and improved credit quality relative to the pre-crisis period. The Fund’s modest allocation to U.S. Treasury securities also contributed to relative performance during the period, as Treasuries produced strong returns during the period due to the rally in interest rates.
Lord Abbett Floating Rate Fund
For the fiscal year ended November 30, 2019, the Fund returned 2.90%, reflecting performance at the net asset value (NAV) of Class A shares with all distributions reinvested, compared to its benchmark, the Credit Suisse Leveraged Loan Index,6which returned 4.02% over the same period.
The trailing 12-month period was characterized by several market-moving events. Following a tumultuous fourth quarter of 2018, where trade tensions and monetary policy uncertainty sent many investors toward safety, the market staged a strong recovery. After the worst December since 1931, the S&P 500 Index2posted its best January performance since 1987. Trade tensions continued to dominate headlines, as trade negotiations between the U.S. and China remained volatile throughout the period. One of the more notable shifts over the year was the U.S. Federal Reserve’s (the “Fed”) transition to a more dovish policy stance, with Chairman Jerome Powell stating that the
Fed would act appropriately to sustain economic growth. The combination of a dovish Fed, trade pressures, and slowing economic growth resulted in a downward shift in the U.S. Treasury yield curve.
Despite bouts of volatility arising from U.S./China trade tensions, risk assets rallied during the 12-month period ended November 30, 2019, primarily due to the dovish comments from central banks around the globe, culminating in the longest U.S. economic expansion on record. Credit sectors performed exceptionally well, with investment grade bonds benefiting from a sizeable decline in spreads along with a sharp downward shift in the yield curve. Additionally, high yield bonds produced positive returns following weakness in November/December. High yield performance was characterized by a sharp up-in-quality bias, as the CCC segment underperformed. Bank loans posted positive returns, but underperformed the high yield market amidst a negative technical backdrop culminating in one of the longest and most pronounced periods of retail outflows on record. Loan performance was also characterized by an up-in-quality bias, as investors favored the largest and most liquid segment of the market.
Among the largest detractors from the Fund’s relative performance during the period was security selection in the manufacturing and consumer non-durables sectors. Additionally, the Fund’s underweight to the BB segment of the loan market was a detractor, as higher quality loans outperformed during the period.
Security selection within the energy and health care sectors was the largest contributor to relative performance on the year. The Fund’s avoidance of some of the
6
worst performers in the energy sector was a relative contributor. Additionally, within the health care sector, the Fund’s avoidance of the challenged specialty pharmaceutical issuers tied to litigation arising from the opioid crisis was a positive contributor during the period.
Lord Abbett High Yield Fund
For the fiscal year ended November 30, 2019, the Fund returned 9.37%, reflecting performance at the net asset value (NAV) of Class A shares with all distributions reinvested, compared to its benchmark, the ICE BofA Merrill Lynch U.S. High Yield Constrained Index,7which returned 9.61% over the same period.
The trailing 12-month period was characterized by several market-moving events. Following a tumultuous fourth quarter of 2018, where trade tensions and monetary policy uncertainty sent many investors toward safety, the market staged a strong recovery. After the worst December since 1931, the S&P 500 Index2posted its best January performance since 1987. Trade tensions continued to dominate headlines, as trade negotiations between the U.S. and China remained volatile throughout the period [5]. One of the more notable shifts over the year was the U.S. Federal Reserve’s (the “Fed”) transition to a more dovish policy stance, with Chairman Jerome Powell stating that the Fed would act appropriately to sustain economic growth. The combination of a dovish Fed, trade pressures, and slowing economic growth resulted in a downward shift in the U.S. Treasury yield curve.
Despite bouts of volatility arising from U.S./China trade, risk assets rallied during the 12-month period ended November 30,
2019, primarily due to the dovish comments from central banks around the globe, culminating in the longest U.S. economic expansion on record. Credit sectors performed exceptionally well, with investment grade bonds benefiting from a sizeable decline in spreads along with a sharp downward shift in the yield curve. Additionally, high yield bonds produced strong returns following weakness in November/December. High yield performance was characterized by a sharp up-in-quality bias, as the CCC segment sharply underperformed. The CCC tier has been adversely affected this year by idiosyncratic weakness in select industries along with overall investor hesitation to enter the space given late cycle concerns and a strong preference for perceived quality and liquidity. The energy sector dragged on high yield performance, which we believe was due largely to idiosyncratic issues within select industries.
Among the largest detractors from the Fund’s relative performance was security selection within the retail sector. The Fund’s exposure to select secularly challenged brick & mortar issuers was a detractor in the first quarter following poor 4Q retail sales results. The Fund’s modest exposures to select off-benchmark asset classes, notably sovereign bonds and equity securities, were also detractors during the period. The Fund’s underweight to the outperforming BB segment was also a relative detractor, although selection across all credit tiers was a positive contributor.
Security selection within the energy and healthcare sectors was the largest contributor to relative performance on the year. Within the energy sector, the Fund exhibited strong selection in an
7
environment of heightened volatility and increasing performance dispersion. Selection within the exploration & production and oil field equipment & services industries, the two worst performing segments, was the largest contributor, largely due to the Fund’s avoidance of some of the most stressed issuers in this space. The Fund’s avoidance of certain specialty pharmaceutical issuers tied to litigation arising from the opioid crisis was also a meaningful contributor during the period.
Lord Abbett Income Fund
For the fiscal year ended November 30, 2019, the Fund returned 13.02%, reflecting performance at the net asset value (NAV) of Class A shares with all distributions reinvested, compared to its benchmark, the Bloomberg Barclays U.S. Credit Bond Index,8which returned 15.18% over the same period.
The trailing 12-month period was characterized by several market-moving events. Following a tumultuous fourth quarter of 2018, where trade tensions and monetary policy uncertainty sent many investors toward safety, the market staged a strong recovery. After the worst December since 1931, the S&P 500 Index2posted its best January performance since 1987. Trade tensions continued to dominate headlines, as trade negotiations between the U.S. and China remained volatile throughout the period. One of the more notable shifts over the year was the U.S. Federal Reserve’s (the “Fed”) transition to a more dovish policy stance, with Chairman Jerome Powell stating that the Fed would act appropriately to sustain economic growth. Given the uncertain market outlook and the muted inflation pressure, the Fed announced its decision to
cut interest rates by 25 basis points on July 31, 2019 to a range of 2.00-2.25%. This was the first time that the Fed had cut interest rates since December 2008. The Fed followed that decision with two more 25 basis point rate cuts in September and October, citing “implications of global developments for the economic outlook as well as muted inflation pressures”. Chairman Powell signaled a likely pause on future rate cuts, resulting in the market-based probability of a fourth rate cut dipping below 25%. The combination of a dovish Fed, trade pressures, and slowing economic growth resulted in falling rates across the U.S. Treasury yield curve and further increased the partial curve inversion. In fact, the yield on the 10-year U.S. Treasury fell below 1.5% in September to its lowest level since 2016. In August, spreads between the U.S. 10-year Treasury and the 2-year Treasury inverted for the first time in over a decade. After several months of concern, the yield curve steepened in November following a sharp shift in sentiment, with all maturities moving out of inversion territory.
Despite bouts of volatility arising from U.S./China trade tensions, risk assets generally rallied during the 12-month period ended November 30, 2019, primarily due to the dovish comments from central banks around the globe, culminating in the longest U.S. economic expansion on record. The U.S. equity market produced strong returns, with the S&P 500 Index2returning 16.1% over the period. Credit sectors also performed exceptionally well, with investment grade bonds benefiting from a sizeable decline in spreads along with a sharp downward shift in the yield curve. High yield bonds also produced positive returns with modest spread compression. High yield performance was characterized
8
by a sharp up-in-quality bias, as the “CCC” segment underperformed. The energy sector dragged on high yield performance, largely due to idiosyncratic issues within select industries.
Investment grade corporate bonds were among the top performing sectors for the Fund during the trailing 12-month period. While the benchmark predominantly consists of investment grade corporate bonds, the Fund takes a more diversified approach and maintained larger allocations to sectors that did not experience the same strength in performance during the trailing 12-month period. For example, the Fund’s allocation to high yield corporate bonds produced strong absolute returns as credit spreads narrowed, but lagged the performance of investment grade corporate bonds. Additionally, within the investment grade allocation, the Fund’s shorter duration positioning relative to its benchmark had a negative impact on relative performance due to the move in rates and flattening of the yield curve. The Fund’s modest allocation to emerging market sovereign securities also detracted from relative performance. In particular, Argentinian sovereign bonds sold-off in August following the unexpected defeat of President Mauricio Macri by Alberto Fernandez during Argentina’s primary vote.
The Fund’s position in “BBB” rated corporate bonds aided relative performance, as this credit tier produced strong returns. Additionally, selection within the consumer cyclicals sector and selection within the financials sector contributed to performance. Securities within the consumer cyclicals sector benefited from the strength of the American consumer, the low unemployment rate, rise in wages, and
lower interest rates. We also remain attracted to securities within the financials sector because we believe they are subject to stricter regulations and have stronger balance sheets, more conservative management teams, and improved credit quality relative to the pre-crisis period.
Lord Abbett Inflation Focused Fund
For the fiscal year ended November 30, 2019, the Fund returned 1.19%, reflecting performance at the net asset value (NAV) of Class A shares with all distributions reinvested, compared to its benchmark, the Bloomberg Barclays U.S. 1-5 Year TIPS Index,9which returned 4.49% over the same period.
The trailing 12-month period was characterized by several market moving events. Following a tumultuous fourth quarter of 2018, where trade tensions and monetary policy uncertainty sent many investors toward safety, the market staged a strong recovery. After the worst December since 1931, the S&P 500 Index2posted its best January performance since 1987. Trade tensions continued to dominate headlines, as trade negotiations between the U.S. and China remained volatile throughout the period. One of the more notable shifts over the year was the U.S. Federal Reserve’s (the “Fed”) transition to a more dovish policy stance, with Chairman Jerome Powell stating that the Fed would act appropriately to sustain economic growth. Given the uncertain market outlook and the muted inflation pressure, the Fed announced its decision to cut interest rates by 25 basis points on July 31, 2019 to a range of 2.00-2.25%. This was the first time that the Fed had cut interest rates since December 2008. The Fed followed that decision with two more
9
25 basis point rate cuts in September and October, citing “implications of global developments for the economic outlook as well as muted inflation pressures.” Chairman Powell signaled a likely pause on future rate cuts, resulting in the market-based probability of a fourth rate cut dipping below 25%. The combination of a dovish Fed, trade pressures, and slowing economic growth resulted in falling rates across the U.S. Treasury yield curve and further increased the partial curve inversion. In fact, the yield on the 10-year U.S. Treasury fell below 1.5% in September to its lowest level since 2016. In August, spreads between the U.S. 10-year Treasury and the 2-year Treasury inverted for the first time in over a decade. After several months of concern, the yield curve steepened in November following a sharp shift in sentiment, with all maturities moving out of inversion territory.
Despite bouts of volatility arising from U.S./China trade tensions, risk assets generally rallied during the trialing 12-months, primarily due to the dovish comments from central banks around the globe, culminating in the longest U.S. economic expansion on record. The U.S. equity market produced strong returns, with the S&P 500 Index2returning 16.1% over the period. Credit sectors also performed well, with investment grade bonds benefiting from a sizeable decline in spreads along with a sharp downward shift in the yield curve. High yield bonds also produced positive returns with modest spread compression. High yield performance was characterized by a sharp up-in-quality bias, as the “CCC” segment underperformed. The energy sector dragged on high yield performance, which we believe was largely due to idiosyncratic issues within select industries.
The strategic design of the Fund takes a different approach to inflation protection than its benchmark, which is comprised entirely of U.S. Treasury Inflation-Protected Securities (“TIPS”). This strategy combines a short-term bond portfolio with an overlay of CPI swaps through which the Fund seeks to hedge against inflation over a full market cycle. The Fund’s CPI swap overlay was a detractor from relative performance. Inflation expectations drastically fell in December 2018 following the elevated market volatility, collapse in oil prices, and economic growth concerns. While inflation expectations briefly ticked higher in April, CPI swaps produced negative returns during the trailing 12 months, as CPI inflation remained below the 2.0% goal for the majority of the period.
Within the underlying bond portfolio, a minor allocation to Argentinian sovereign securities also detracted from relative performance, as Argentinian sovereign bonds sold-off in August following the unexpected defeat of President Mauricio Macri by Alberto Fernandez during Argentina’s primary vote.
Conversely, within the underlying bond portfolio, the Fund’s allocation to investment grade corporate bonds contributed to relative performance, as credit spreads compressed and interest rates declined. Additionally, the underlying bond portfolio’s allocation to high quality commercial mortgage-backed securities (“CMBS”) contributed to relative performance. On a risk-adjusted basis, CMBS exhibited resilient performance during periods of market volatility during the trailing 12-months. Additionally, CMBS delinquency rates remained benign and the low interest rate and competitive lending environment provided a tailwind for CMBS performance.
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Lord Abbett Short Duration Core Bond Fund
For the fiscal year ended November 30, 2019, the Fund returned 4.87%, reflecting performance at the net asset value (NAV) of Class A shares with all distributions reinvested, compared to its benchmark, the Bloomberg Barclays 1-3 Year U.S. Government/Credit Bond Index,10which returned 4.58% over the same period.
The trailing 12-month period was characterized by several market-moving events. Following a tumultuous fourth quarter of 2018, where trade tensions and monetary policy uncertainty sent many investors toward safety, the market staged a strong recovery. After the worst December since 1931, the S&P 500 Index2posted its best January performance since 1987. Trade tensions continued to dominate headlines, as trade negotiations between the U.S. and China remained volatile throughout the period. One of the more notable shifts over the year was the U.S. Federal Reserve’s (the “Fed”) transition to a more dovish policy stance, with Chairman Jerome Powell stating that the Fed would act appropriately to sustain economic growth. Given the uncertain market outlook and the muted inflation pressure, the Fed announced its decision to cut interest rates by 25 basis points on July 31, 2019 to a range of 2.00-2.25%. This was the first time that the Fed had cut interest rates since December 2008. The Fed followed that decision with two more 25 basis point rate cuts in September and October, citing “implications of global developments for the economic outlook as well as muted inflation pressures”. Chairman Powell signaled a likely pause on future rate cuts, resulting in the market-based probability of a fourth rate cut
dipping below 25%. The combination of a dovish Fed, trade pressures, and slowing economic growth resulted in falling rates across the U.S. Treasury yield curve and further increased the partial curve inversion. In fact, the yield on the 10-year U.S. Treasury fell below 1.5% in September to its lowest level since 2016. In August, spreads between the U.S. 10-year Treasury and the 2-year Treasury inverted for the first time in over a decade. After several months of concern, the yield curve steepened in November following a sharp shift in sentiment, with all maturities moving out of inversion territory.
Despite bouts of volatility arising from U.S./China trade tensions, risk assets generally rallied during the 12-month period ended November 30, 2019, primarily due to the dovish comments from central banks around the globe, culminating in the longest U.S. economic expansion on record. The U.S. equity market produced strong returns, with the S&P 500 Index2returning 16.1% over the period. Credit sectors also performed exceptionally well, with investment grade bonds benefiting from a sizeable decline in spreads along with a sharp downward shift in the yield curve. High yield bonds also produced positive returns with modest spread compression. High yield performance was characterized by a sharp up-in-quality bias, as the “CCC” segment underperformed. The energy sector dragged on high yield performance, largely due to idiosyncratic issues within select industries.
Consistent with the Fund’s strategic design, the Fund maintained exposure to a variety of fixed income sectors in addition to the investment-grade corporate and government-related securities that are predominantly represented in the benchmark. This design provides portfolio
11
diversification and allows for the flexibility to take advantage of relative value opportunities across sectors, and, in our view, these weightings were important factors affecting performance during the period.
The Fund’s allocation to securitized products contributed to relative performance. On a risk-adjusted basis, both commercial mortgage-backed securities (“CMBS”) and asset-backed securities (“ABS”) exhibited resilient performance during periods of market volatility within the 12-months ended November 30, 2019. CMBS delinquency rates remained benign, and the low interest rate and competitive lending environment provided a tailwind for CMBS performance. Additionally, despite a modest slowdown in soft economic indicators, consumer confidence remained generally robust, which positively impacted ABS performance. Security selection within investment grade corporate bonds also contributed to relative performance. Specifically, selection within “BBB” rated corporate bonds and bonds within the banking and financial services industries aided relative performance. Overall, the sector is subject to stricter regulations and is characterized by stronger balance sheets, more conservative management teams, and improved credit quality relative to the pre-crisis period.
While there were no major detractors from relative performance during the period, the Fund’s duration positioning within U.S. Treasuries created a drag on performance.
Lord Abbett Short Duration Income Fund
For the fiscal year ended November 30, 2019, the Fund returned 5.48%, reflecting
performance at the net asset value (NAV) of Class A shares with all distributions reinvested, compared to its benchmark, the ICE BofA Merrill Lynch 1-3 Year U.S. Corporate Index,11which returned 5.80% over the same period.
The trailing 12-month period was characterized by several market-moving events. Following a tumultuous fourth quarter of 2018, where trade tensions and monetary policy uncertainty sent many investors toward safety, the market staged a strong recovery. After the worst December since 1931, the S&P 500 Index2posted its best January performance since 1987. Trade tensions continued to dominate headlines, as trade negotiations between the U.S. and China remained volatile throughout the period. One of the more notable shifts over the year was the U.S. Federal Reserve’s (the “Fed”) transition to a more dovish policy stance, with Chairman Jerome Powell stating that the Fed would act appropriately to sustain economic growth. Given the uncertain market outlook and the muted inflation pressure, the Fed announced its decision to cut interest rates by 25 basis points on July 31, 2019 to a range of 2.00-2.25%. This was the first time that the Fed had cut interest rates since December 2008. The Fed followed that decision with two more 25 basis point rate cuts in September and October, citing “implications of global developments for the economic outlook as well as muted inflation pressures”. Chairman Powell signaled a likely pause on future rate cuts, resulting in the market-based probability of a fourth rate cut dipping below 25%. The combination of a dovish Fed, trade pressures, and slowing economic growth resulted in falling rates across the U.S. Treasury yield curve and further increased the partial curve
12
inversion. In fact, the yield on the 10-year U.S. Treasury fell below 1.5% in September to its lowest level since 2016. In August, spreads between the U.S. 10-year Treasury and the 2-year Treasury inverted for the first time in over a decade. After several months of concern, the yield curve steepened in November following a sharp shift in sentiment, with all maturities moving out of inversion territory.
Despite bouts of volatility arising from U.S./China trade tensions, risk assets generally rallied during the 12-month period ended November 30, 2019, primarily due to the dovish comments from central banks around the globe, culminating in the longest U.S. economic expansion on record. The U.S. equity market produced strong returns, with the S&P 500 Index2returning 16.1% over the period. Credit sectors also performed exceptionally well, with investment grade bonds benefiting from a sizeable decline in spreads along with a sharp downward shift in the yield curve. High yield bonds also produced positive returns with modest spread compression. High yield performance was characterized by a sharp up-in-quality bias, as the “CCC” segment underperformed. The energy sector dragged on high yield performance, largely due to idiosyncratic issues within select industries.
Consistent with the Fund’s strategic design, the Fund maintained exposure to a variety of bond market sectors in addition to the investment grade corporate bonds represented in the benchmark. This design provides portfolio diversification and allows for the flexibility to pursue relative value opportunities across sectors. In our view, these sector weightings were important factors affecting performance during the period.
The Fund’s duration positioning within its investment grade corporate bond allocation weighed on relative performance. In the second half of the period, we reduced the Fund’s corporate duration positioning, maintaining a slightly shorter duration relative to the benchmark, and applied a steepener trade by buying shorter dated securities and selling longer dated securities. This created a drag on relative performance, given the significant rally in rates and flattening in the U.S. Treasury yield curve at the end of the second quarter and in the third quarter of 2019. Additionally, the Fund’s minor allocation to Argentinian sovereign securities detracted from relative performance, as Argentinian sovereign bonds sold-off in August following the unexpected defeat of President Mauricio Macri by Albert Fernandez during Argentina’s primary vote.
The Fund’s allocation to high quality commercial mortgage-backed securities (“CMBS”) was the primary contributor to relative performance. On a risk-adjusted basis, CMBS exhibited resilient performance during periods of market volatility within the 12-months ended November 30, 2019. Additionally, CMBS delinquency rates remained benign and the low interest rate and competitive lending environment provided a tailwind for CMBS performance. While high yield corporate bonds experienced some volatility during the year due to the U.S.-China trade tensions, mixed messaging from the Fed and the inverted yield curve, high yield credit spreads modestly compressed, which also aided the Fund’s relative performance during the period.
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Lord Abbett Total Return Fund
For the 12-month period ended November 30, 2019, the Fund returned 9.62%, reflecting performance at the net asset value (NAV) of Class A shares with all distributions reinvested, compared to its benchmark, the Bloomberg Barclays U.S. Universal Index4which returned 10.84%.
The trailing 12-month period was characterized by several market-moving events. Following a tumultuous fourth quarter of 2018, where trade tensions and monetary policy uncertainty sent many investors toward safety, the market staged a strong recovery. After the worst December since 1931, the S&P 500 Index2posted its best January performance since 1987. Trade tensions continued to dominate headlines, as trade negotiations between the U.S. and China remained volatile throughout the period. One of the more notable shifts over the year was the U.S. Federal Reserve’s (the “Fed”) transition to a more dovish policy stance, with Chairman Jerome Powell stating that the Fed would act appropriately to sustain economic growth. Given the uncertain market outlook and the muted inflation pressure, the Fed announced its decision to cut interest rates by 25 basis points on July 31, 2019 to a range of 2.00-2.25%. This was the first time that the Fed had cut interest rates since December 2008. The Fed followed that decision with two more 25 basis point rate cuts in September and October, citing “implications of global developments for the economic outlook as well as muted inflation pressures”. Chairman Powell signaled a likely pause on future rate cuts, resulting in the market-based probability of a fourth rate cut dipping below 25%. The combination of a
dovish Fed, trade pressures, and slowing economic growth resulted in falling rates across the U.S. Treasury yield curve and further increased the partial curve inversion. In fact, the yield on the 10-year U.S. Treasury fell below 1.5% in September to its lowest level since 2016. In August, spreads between the U.S. 10-year Treasury and the 2-year Treasury inverted for the first time in over a decade. After several months of concern, the yield curve steepened in November following a sharp shift in sentiment, with all maturities moving out of inversion territory.
The U.S. equity market produced strong returns, with the S&P 500 Index2returning 16.1% over the period. Credit sectors also performed exceptionally well, with investment grade bonds benefiting from a sizeable decline in spreads along with a sharp downward shift in the yield curve. High yield bonds also produced positive returns with modest spread compression. High yield performance was characterized by an up-in-quality bias, as the “CCC” segment underperformed. The energy sector dragged on high yield performance, largely due to idiosyncratic issues within select industries.
For the 12-month period ended November 30, 2019, security selection within sovereign bonds detracted most from the Fund’s relative performance. Also detracting was an off-benchmark allocation to short-term cash equivalents. Cash equivalents underperformed the benchmark and longer duration debt as rates fell across the yield curve, providing a tailwind to more interest rate sensitive securities.
The largest contributor to the Fund’s relative performance was security selection within investment-grade corporate bonds.
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Specifically, security selection within the financials sector contributed to performance. We remain attracted to select securities within the financial sector due to strict regulations, strong balance sheets, more conservative management teams, and improved quality relative to the pre-crisis period. Also contributing to relative performance was security selection within high yield corporate bonds. Regarding security selection within high yield, selection within consumer cyclical bonds drove performance.
Lord Abbett Ultra Short Bond Fund
For the fiscal year ended November 30, 2019, the Fund returned 2.87%, reflecting performance at the net asset value (NAV) of Class A shares with all distributions reinvested, compared to its benchmark, the ICE BofA Merrill Lynch U.S. Treasury Bill Index,12which returned 2.40% over the same period.
The trailing 12-month period was characterized by several market-moving events. Following a tumultuous fourth quarter of 2018, where trade tensions and monetary policy uncertainty sent many investors toward safety, the market staged a strong recovery. After the worst December since 1931, the S&P 500 Index2posted its best January performance since 1987. Trade tensions continued to dominate headlines, as trade negotiations between the U.S. and China remained volatile throughout the period. One of the more notable shifts over the year was the U.S. Federal Reserve’s (the “Fed”) transition to a more dovish policy stance, with Chairman Jerome Powell stating that the Fed would act appropriately to sustain economic growth. Given the uncertain market outlook and the muted inflation
pressure, the Fed announced its decision to cut interest rates by 25 basis points on July 31, 2019 to a range of 2.00-2.25%. This was the first time that the Fed had cut interest rates since December 2008. The Fed followed that decision with two more 25 basis point rate cuts in September and October, citing “implications of global developments for the economic outlook as well as muted inflation pressures.” Chairman Powell signaled a likely pause on future rate cuts, resulting in the market-based probability of a fourth rate cut dipping below 25%. The combination of a dovish Fed, trade pressures, and slowing economic growth resulted in falling rates across the U.S. Treasury yield curve and further increased the partial curve inversion. In fact, the yield on the 10-year U.S. Treasury fell below 1.5% in September to its lowest level since 2016. In August, spreads between the U.S. 10-year Treasury and the 2-year Treasury inverted for the first time in over a decade. After several months of concern, the yield curve steepened in November following a sharp shift in sentiment, with all maturities moving out of inversion territory.
Despite bouts of volatility arising from U.S./China trade tensions, risk assets generally rallied during the 12-month period ended November 30, 2019, primarily due to the dovish comments from central banks around the globe, culminating in the longest U.S. economic expansion on record. The U.S. equity market produced strong returns, with the S&P 500 Index2returning 16.1% over the period. Credit sectors also performed exceptionally well, with investment grade bonds benefiting from a sizeable decline in spreads along with a sharp downward shift in the yield curve. High yield bonds also produced positive returns with modest spread compression.
15
High yield performance was characterized by a sharp up-in-quality bias, as the “CCC” segment underperformed. The energy sector dragged on high yield performance, which we believe was largely due to idiosyncratic issues within select industries.
Consistent with the Fund’s design, the Fund maintained exposure to a variety of short maturity, investment grade bond market sectors in addition to the U.S. Treasury Bills represented in the benchmark. The Fund is strategically allocated to short term investment grade bonds with floating rate coupons, commercial paper, and asset-backed securities (“ABS”). We believe this approach provides diversification and gives the potential for higher income and total return compared to other short term U.S. government-related securities and money market funds.
The Fund’s allocation to high quality floating rate notes was the primary contributor to relative performance. Floating rate notes presented attractive carry opportunities during the period, allowing us to capture higher yield over traditional U.S. Treasury Bills. Allocation to ABS also aided relative performance. ABS, particularly within the auto-loan space, offered diversification benefits and attractive risk-adjusted yield relative to U.S. Treasuries, in our view.
There were no major detractors during the 12-month period.
Each Fund’s portfolio is actively managed and, therefore, its holdings and the weightings of a particular issuer or particular sector as a percentage of portfolio assets are subject to change. Sectors may include many industries.
1 The ICE BofAML U.S. Convertibles Index contains issues that have a greater than $50 million aggregate market value. The issues are U.S. dollar-denominated, sold into the U.S. market and publicly traded in the United States.
2 The S&P 500® Index is widely regarded as the standard for measuring large cap U.S. stock market performance and includes a representative sample of leading companies in leading industries.
3 The Bloomberg Barclays U.S. Aggregate Bond Index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. Total return comprises price appreciation/depreciation and income as a percentage of the original investment.
4 The Bloomberg Barclays U.S. Universal Index represents the union of the U.S. Aggregate Index, the U.S High-Yield Corporate Index, the 144A
Index, the Eurodollar Index, the Emerging Markets Index, and the non-ERISA portion of the CMBS Index. Municipal debt, private placements, and non-dollar-denominated issues are excluded from the Universal Index. The only constituent of the index that includes floating-rate debt is the Emerging Markets Index.
5 The Bloomberg Barclays U.S. Corporate Investment Grade Index is the corporate component of the U.S. Credit index. The U.S. Credit index is defined as publicly issued U.S. corporate and specified foreign debentures and secured notes that meet the specified maturity, liquidity, and quality requirements. To qualify, bonds must be SEC-registered. The index includes both corporate and non-corporate sectors. Bonds must be an investment grade credit security and have at least $250 million par amount outstanding.
6 The Credit Suisse Leveraged Loan Index is designed to mirror the investable universe of the U.S. dollar-denominated leveraged loan market. The CS Leveraged Loan Index, which includes reinvested dividends, has been taken from published sources.
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7 The ICE BofA Merrill Lynch U.S. High Yield Constrained Index is a capitalization weighted index of all U.S. dollar denominated below investment grade corporate debt publicly issued in the U.S. domestic market.
8 The Bloomberg Barclays U.S. Credit Bond Index is the U.S. Credit component of the U.S. Government/Credit Index. The index includes publicly issued U.S. corporate and specified foreign debentures and secured notes that meet the specified maturity, liquidity, and quality requirements. To qualify, bonds must be SEC-registered. The index includes both corporate and non-corporate sectors. The corporate sectors are Industrial, Utility, and Finance, which include both U.S. and non-U.S. corporations. The non-corporate sectors are Sovereign, Supranational, Foreign Agency, and Foreign Local Government. All returns are market value-weighted inclusive of accrued interest.
9 The Bloomberg Barclays U.S. 1-5 Year TIPS Index (also known as Barclays 1-5 Year U.S. Inflation-Linked Treasury Index) is an unmanaged index comprised of U.S. Treasury Inflation Protected Securities with at least $1 billion in outstanding face value and a remaining term to final maturity of at least one year and less than five years.
10 The Bloomberg Barclays 1-3 Year U.S. Government/Credit Bond Index is an unmanaged index that is designed to represent a combination of the Government Bond Index and the Corporate Bond Index and includes U.S. government Treasury and agency securities, corporate bonds, and Yankee bonds.
11 The ICE BofA Merrill Lynch 1-3 Year U.S. Corporate Index is an unmanaged index comprised of U.S. dollar-denominated investment grade corporate debt securities publicly issued in the U.S. domestic market with between one and three years remaining to final maturity.
12 The ICE BofA Merrill Lynch US Treasury Bill Index tracks the performance of US dollar denominated sovereign debt publicly issued by the US government in its domestic market. Qualifying securities must have at least one year remaining term to final maturity, a fixed coupon schedule and a minimum amount outstanding of $1 billion.
Unless otherwise specified, indexes reflect total return, with all dividends reinvested. Indexes are unmanaged, do not reflect the deduction of fees or expenses, and are not available for direct investment.
Important Performance and Other Information
Performance data quoted in the following pages reflect past performance and are no guarantee of future results. Current performance may be higher or lower than the performance quoted. The investment return and principal value of an investment in the Funds will fluctuate so that shares, on any given day or when redeemed, may be worth more or less than their original cost. You can obtain performance data current to the most recent month end by calling Lord Abbett at 888-522-2388 or referring to www.lordabbett.com.
Except where noted, comparative Fund performance does not account for the deduction of sales charges and would be different if sales charges were included. Each Fund offers classes of shares with distinct pricing options. For a full description of the differences in pricing alternatives, please see each Fund’s prospectus.
During certain periods shown, expense waivers and reimbursements were in place. Without such expense waivers and reimbursements, each Fund’s returns would have been lower.
The annual commentary above discusses the views of the Funds’ management and various portfolio holdings of the Funds as of November 30, 2019. These views and portfolio holdings may have changed after this date. Information provided in the commentary is not a recommendation to buy or sell securities. Because the Funds’ portfolio is actively managed and may change significantly, the Funds may no longer own the securities described above or may have otherwise changed their positions in the securities. For more recent information about the Funds’ portfolio holdings, please visit www.lordabbett.com.
A Note about Risk:See Notes to Financial Statements for a discussion of investment risks. For a more detailed discussion of the risks associated with each Fund, please see each Fund’s prospectus.
Mutual funds are not insured by the FDIC, are not deposits or other obligations of, or guaranteed by, banks, and are subject to investment risks including possible loss of principal amount invested.
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Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the ICE BofAML U.S. Convertibles Index, assuming reinvestment of all dividends and distributions. The performance of the other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower.Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended November 30, 2019
1 Year | 5 Years | 10 Years | Life of Class | ||||||
Class A3 | 13.22% | 6.42% | 8.40% | – | |||||
Class C4 | 14.00% | 6.20% | 7.96% | – | |||||
Class F5 | 15.92% | 6.99% | 8.77% | – | |||||
Class F36 | 16.02% | – | – | 10.10% | |||||
Class I5 | 15.94% | 7.11% | 8.88% | – | |||||
Class P5 | 15.43% | 6.69% | 8.43% | – | |||||
Class R25 | 15.27% | 6.46% | 8.23% | – | |||||
Class R35 | 15.37% | 6.58% | 8.35% | – | |||||
Class R47 | 15.68% | – | – | 7.57% | |||||
Class R57 | 16.03% | – | – | 7.84% | |||||
Class R67 | 16.01% | – | – | 7.88% |
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Standardized Yield for the Period Ended November 30, 2019
Class A | Class C | Class F | Class F3 | Class I | Class P | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 | ||||||||||
0.36% | 0.00% | 0.46% | 0.59% | 0.56% | 0.13% | 0.00% | 0.08% | 0.32% | 0.56% | 0.59% |
1 Reflects the deduction of the maximum initial sales charge of 2.25%.
2 Performance for the unmanaged index does not reflect any fees or expenses. The performance of the index is not necessarily representative of the Fund’s performance.
3 Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 2.25% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended November 30, 2019 is calculated using the SEC-required uniform method to compute such return.
4 The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance for other periods is at net asset value.
5 Performance is at net asset value.
6 Commenced operations and performance for the Class began on April 4, 2017. Performance is at net asset value.
7 Commenced operations and performance for the Class began on June 30, 2015. Performance is at net asset value.
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Core Fixed Income Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Bloomberg Barclays U.S. Aggregate Bond Index, assuming reinvestment of all dividends and distributions. The performance of the other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower.Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended November 30, 2019
1 Year | 5 Years | 10 Years | Life of Class | ||||||
Class A3 | 7.30% | 2.11% | 3.25% | – | |||||
Class C4 | 8.05% | 1.95% | 2.83% | – | |||||
Class F5 | 9.89% | 2.68% | 3.59% | – | |||||
Class F36 | 10.09% | – | – | 3.91% | |||||
Class I5 | 10.04% | 2.80% | 3.70% | – | |||||
Class P5 | 10.57% | 3.01% | 3.57% | – | |||||
Class R25 | 9.35% | 2.16% | 3.08% | – | |||||
Class R35 | 9.46% | 2.28% | 3.18% | – | |||||
Class R47 | 9.73% | – | – | 2.93% | |||||
Class R57 | 10.01% | – | – | 3.19% | |||||
Class R67 | 10.10% | – | – | 3.29% |
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Standardized Yield for the Period Ended November 30, 2019
Class A | Class C | Class F | Class F3 | Class I | Class P | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 | ||||||||||
1.67% | 1.10% | 1.81% | 1.99% | 1.95% | 3.33% | 1.31% | 1.41% | 1.66% | 1.91% | 1.99% |
1 Reflects the deduction of the maximum initial sales charge of 2.25%.
2 Performance for the unmanaged index does not reflect any fees or expenses. The performance of the index is not necessarily representative of the Fund’s performance.
3 Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 2.25% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended November 30, 2019, is calculated using the SEC-required uniform method to compute such return.
4 The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance for other periods is at net asset value.
5 Performance is at net asset value.
6 Commenced operations and performance for the Class began on April 4, 2017. Performance is at net asset value.
7 Commenced operations and performance for the Class began on June 30, 2015. Performance is at net asset value.
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Core Plus Bond Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Bloomberg Barclays U.S. Universal Index, assuming reinvestment of all dividends and distributions. The performance of the other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower.Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended November 30, 2019
1 Year | Life of Class | ||||
Class A3 | 7.92% | 3.97% | |||
Class C4 | 8.63% | 3.83% | |||
Class F5 | 10.41% | 4.64% | |||
Class F36 | 10.63% | 4.60% | |||
Class I5 | 10.61% | 4.77% | |||
Class R25 | 9.97% | 4.15% | |||
Class R35 | 10.09% | 4.25% | |||
Class R45 | 10.35% | 4.51% | |||
Class R55 | 10.63% | 4.77% | |||
Class R65 | 10.65% | 4.85% |
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Standardized Yield for the Period Ended November 30, 2019
Class A | Class C | Class F | Class F3 | Class I | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 | |||||||||
2.18% | 1.57% | 2.33% | 2.44% | 2.43% | 1.83% | 2.01% | 2.18% | 2.43% | 2.45% |
1 Reflects the deduction of the maximum initial sales charge of 2.25%.
2 Performance for the unmanaged index does not reflect any fees or expenses. The performance of the index is not necessarily representative of the Fund’s performance.
3 Commenced operations on December 2, 2015 and performance for the Class began on December 8, 2015. Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 2.25% applicable to Class A shares, with all dividends and distributions reinvested for the period shown ended November 30, 2019 is calculated using the SEC-required uniform method to compute such return.
4 Commenced operations on December 2, 2015 and performance for the Class began on December 8, 2015. The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date.
5 Commenced operations on December 2, 2015 and performance for the Class began on December 8, 2015. Performance is at net asset value.
6 Commenced operations and performance for the Class began on April 4, 2017. Performance is at net asset value.
23
Corporate Bond Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Bloomberg Barclays U.S. Corporate Investment Grade Index, assuming reinvestment of all dividends and distributions. The performance of the other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower.Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended November 30, 2019
1 Year | Life of Class | ||||
Class A3 | 11.60% | 4.09% | |||
Class C4 | 12.38% | 4.25% | |||
Class F5 | 14.20% | 5.17% | |||
Class F35 | 14.42% | 5.29% | |||
Class I5 | 14.34% | 5.19% | |||
Class R25 | 13.66% | 4.58% | |||
Class R35 | 13.77% | 4.68% | |||
Class R45 | 14.06% | 4.94% | |||
Class R55 | 14.45% | 5.24% | |||
Class R65 | 14.42% | 5.29% |
24
Standardized Yield for the Period Ended November 30, 2019
Class A | Class C | Class F | Class F3 | Class I | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 | |||||||||
2.48% | 1.89% | 2.63% | 2.78% | 2.73% | 2.13% | 2.24% | 2.48% | 2.73% | 2.78% |
1 Reflects the deduction of the maximum initial sales charge of 2.25%.
2 Performance for the unmanaged index does not reflect any fees or expenses. The performance of the index is not necessarily representative of the Fund’s performance.
3 Commenced operations and performance for the Class began on April 19, 2017. Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 2.25% applicable to Class A shares, with all dividends and distributions reinvested for the period
shown ended November 30, 2019 is calculated using the SEC-required uniform method to compute such return.
4 Commenced operations and performance for the Class began on April 19, 2017. The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date.
5 Commenced operations and performance for the Class began on April 19, 2017. Performance is at net asset value.
25
Floating Rate Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Credit Suisse Leveraged Loan Index, assuming reinvestment of all dividends and distributions. The performance of the other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower.Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended November 30, 2019
1 Year | 5 Years | 10 Years | Life of Class | ||||||
Class A3 | 0.54% | 3.13% | 4.49% | – | |||||
Class C4 | 1.39% | 2.94% | 4.05% | – | |||||
Class F5 | 3.00% | 3.68% | 4.83% | – | |||||
Class F36 | 3.17% | – | – | 3.34% | |||||
Class I5 | 3.22% | 3.79% | 4.96% | – | |||||
Class R25 | 2.50% | 3.18% | 4.39% | – | |||||
Class R35 | 2.71% | 3.29% | 4.45% | – | |||||
Class R47 | 2.85% | – | – | 3.66% | |||||
Class R57 | 3.23% | – | – | 3.95% | |||||
Class R67 | 3.16% | – | – | 3.97% |
26
Standardized Yield for the Period Ended November 30, 2019
Class A | Class C | Class F | Class F3 | Class I | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 | |||||||||
4.96% | 4.44% | 5.17% | 5.34% | 5.27% | 4.67% | 4.77% | 5.03% | 5.27% | 5.34% |
1 Reflects the deduction of the maximum initial sales charge of 2.25%.
2 Performance for the unmanaged index does not reflect any fees or expenses. The performance of the index is not necessarily representative of the Fund’s performance.
3 Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 2.25% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended November 30, 2019, is calculated using the SEC–required uniform method to compute such return.
4 The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance for other periods is at net asset value.
5 Performance is at net asset value.
6 Commenced operations and performance for the Class began on April 4, 2017. Performance is at net asset value.
7 Commenced operations and performance for the Class began on June 30, 2015. Performance is at net asset value.
27
High Yield Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the ICE BofA Merrill Lynch U.S. High Yield Constrained Index assuming reinvestment of all dividends and distributions. The performance of the other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower.Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended November 30, 2019
1 Year | 5 Years | 10 Years | Life of Class | ||||||
Class A3 | 6.97% | 4.76% | 7.50% | – | |||||
Class C4 | 7.72% | 4.56% | 7.02% | – | |||||
Class F5 | 9.48% | 5.34% | 7.85% | – | |||||
Class F36 | 9.82% | – | – | 4.87% | |||||
Class I5 | 9.57% | 5.45% | 7.96% | – | |||||
Class P5 | 9.20% | 5.03% | 7.50% | – | |||||
Class R25 | 8.93% | 4.84% | 7.33% | – | |||||
Class R35 | 9.03% | 4.94% | 7.44% | – | |||||
Class R47 | 9.48% | – | – | 5.37% | |||||
Class R57 | 9.73% | – | – | 5.64% | |||||
Class R67 | 9.82% | – | – | 5.76% |
28
Standardized Yield for the Period Ended November 30, 2019
Class A | Class C | Class F | Class F3 | Class I | Class P | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 | ||||||||||
4.46% | 3.94% | 4.66% | 4.85% | 4.76% | 4.31% | 4.16% | 4.26% | 4.51% | 4.76% | 4.85% |
1 Reflects the deduction of the maximum initial sales charge of 2.25%.
2 Performance for the unmanaged index does not reflect any fees or expenses. The performance of the index is not necessarily representative of the Fund’s performance.
3 Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 2.25% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended November 30, 2019 is calculated using the SEC-required uniform method to compute such return.
4 The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance for other periods is at net asset value.
5 Performance is at net asset value.
6 Commenced operations and performance for the Class began on April 4, 2017. Performance is at net asset value.
7 Commenced operations and performance for the Class began on June 30, 2015. Performance is at net asset value.
29
Income Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Bloomberg Barclays U.S. Credit Bond Index, the Bloomberg Barclays Baa Corporate Bond Index and the Bloomberg Barclays U.S. Aggregate Bond Index, assuming reinvestment of all dividends and distributions. The performance of the other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower.Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended November 30, 2019
1 Year | 5 Years | 10 Years | Life of Class | ||||||
Class A3 | 10.54% | 3.56% | 5.55% | – | |||||
Class C4 | 11.26% | 3.48% | 5.13% | – | |||||
Class F5 | 13.09% | 4.23% | 5.91% | – | |||||
Class F36 | 13.33% | – | – | 5.36% | |||||
Class I5 | 13.63% | 4.33% | 6.06% | – | |||||
Class R25 | 12.47% | 3.64% | 5.44% | – | |||||
Class R35 | 12.65% | 3.75% | 5.51% | – | |||||
Class R47 | 12.97% | – | – | 4.73% | |||||
Class R57 | 13.21% | – | – | 5.07% | |||||
Class R67 | 13.34% | – | – | 5.09% |
30
Standardized Yield for the Period Ended November 30, 2019
Class A | Class C | Class F | Class F3 | Class I | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 | |||||||||
2.81% | 2.26% | 2.97% | 3.17% | 3.07% | 2.48% | 2.58% | 2.83% | 3.07% | 3.16% |
1 Reflects the deduction of the maximum initial sales charge of 2.25%.
2 Performance for each unmanaged index does not reflect any fees or expenses. The performance of each index is not necessarily representative of the Fund’s performance.
3 Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 2.25% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended November 30, 2019 is calculated using the SEC-required uniform method to compute such return.
4 The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance for other periods is at net asset value.
5 Performance is at net asset value.
6 Commenced operations and performance for the Class began on April 4, 2017. Performance is at net asset value.
7 Commenced operations and performance for the Class began on June 30, 2015. Performance is at net asset value.
31
Inflation Focused Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares to the same investment in the Bloomberg Barclays U.S. 1–5 Year TIPS Index, the Consumer Price Index for All Urban Consumers (“CPI-U”) and the ICE BofA Merrill Lynch 1–3 Year U.S. Corporate Index assuming reinvestment of all dividends and distributions. The performance of the other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower.Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended November 30, 2019
1 Year | 5 Years | Life of Class | |||||
Class A3 | –1.13% | 0.10% | 0.23% | ||||
Class C4 | –0.43% | –0.07% | –0.17% | ||||
Class F5 | 1.20% | 0.66% | 0.60% | ||||
Class F36 | 1.46% | – | 1.14% | ||||
Class I5 | 1.39% | 0.78% | 0.71% | ||||
Class R25 | 0.70% | 0.16% | 0.17% | ||||
Class R35 | 0.80% | 0.26% | 0.25% | ||||
Class R47 | 1.05% | – | 0.85% | ||||
Class R57 | 1.39% | – | 1.11% | ||||
Class R67 | 1.37% | – | 1.24% |
32
Standardized Yield for the Period Ended November 30, 2019
Class A | Class C | Class F | Class F3 | Class I | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 | |||||||||
2.34% | 1.77% | 2.50% | 2.66% | 2.60% | 2.00% | 2.10% | 2.35% | 2.60% | 2.66% |
1 Reflects the deduction of the maximum initial sales charge of 2.25%.
2 Performance for the unmanaged index does not reflect any fees or expenses. The performance of the index is not necessarily representative of the Fund’s performance.
3 Commenced operations on April 20, 2011. Performance for the Class began April 29, 2011. Total return, which is the percent change in value, after deduction of the maximum initial sales charge of 2.25% applicable to Class A shares, with all dividends and distributions reinvested for period shown ended November 30, 2019, is calculated using the SEC required uniform method to compute such return.
4 Commenced operations on April 20, 2011. The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance for the Class began April 29, 2011. Performance for other periods is at net asset value.
5 Commenced operations on April 20, 2011. Performance for the Class began April 29, 2011. Performance is at net asset value.
6 Commenced operations and performance for the Class began on April 4, 2017. Performance is at net asset value.
7 Commenced operations and performance for the Class began on June 30, 2015. Performance is at net asset value.
33
Short Duration Core Bond Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Bloomberg Barclays 1-3 Year U.S. Government/Credit Bond Index, assuming reinvestment of all dividends and distributions. The performance of the other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower.Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended November 30, 2019
1 Year | Life of Class | ||||
Class A3 | 2.51% | 1.62% | |||
Class C4 | 3.15% | 1.76% | |||
Class F5 | 4.97% | 2.61% | |||
Class F35 | 5.13% | 2.80% | |||
Class I5 | 5.18% | 2.71% | |||
Class R25 | 4.46% | 2.11% | |||
Class R35 | 4.56% | 2.22% | |||
Class R45 | 4.82% | 2.47% | |||
Class R55 | 5.08% | 2.72% | |||
Class R65 | 5.13% | 2.80% |
34
Standardized Yield for the Period Ended November 30, 2019
Class A | Class C | Class F | Class F3 | Class I | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 | |||||||||
2.03% | 1.40% | 2.18% | 2.30% | 2.28% | 1.68% | 1.78% | 2.03% | 2.28% | 2.30% |
1 Reflects the deduction of the maximum initial sales charge of 2.25%.
2 Performance for the unmanaged index does not reflect any fees or expenses. The performance of the index is not necessarily representative of the Fund’s performance.
3 Commenced operations and performance for the Class began on April 19, 2017. Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 2.25% applicable to Class A shares, with all dividends and distributions reinvested for the period
shown ended November 30, 2019, is calculated using the SEC-required uniform method to compute such return.
4 Commenced operations and performance for the Class began on April 19, 2017. The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date.
5 Commenced operations and performance for the Class began on April 19, 2017. Performance is at net asset value.
35
Short Duration Income Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the ICE BofA Merrill Lynch 1–3 Year U.S. Corporate Index assuming reinvestment of all dividends and distributions. The performance of the other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower.Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended November 30, 2019
1 Year | 5 Years | 10 Years | Life of Class | ||||||
Class A3 | 2.99% | 2.04% | 3.00% | – | |||||
Class C4 | 3.57% | 1.80% | 2.54% | – | |||||
Class F5 | 5.58% | 2.59% | 3.34% | – | |||||
Class F36 | 5.75% | – | – | 3.22% | |||||
Class I5 | 5.44% | 2.64% | 3.42% | – | |||||
Class R2 | 5.07% | 2.09% | 2.82% | – | |||||
Class R35 | 5.17% | 2.19% | 2.93% | – | |||||
Class R47 | 5.43% | – | – | 2.62% | |||||
Class R57 | 5.70% | – | – | 2.81% | |||||
Class R67 | 5.76% | – | – | 2.94% |
36
Standardized Yield for the Period Ended November 30, 2019
Class A | Class C | Class F | Class F3 | Class I | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 | |||||||||
2.37% | 1.80% | 2.52% | 2.70% | 2.63% | 2.03% | 2.13% | 2.37% | 2.63% | 2.69% |
1 Reflects the deduction of the maximum initial sales charge of 2.25%.
2 Performance of the unmanaged index does not reflect any fees or expenses. The performance of the index is not necessarily representative of the Fund’s performance.
3 Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 2.25% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended November 30, 2019, is calculated using the SEC-required uniform method to compute such return.
4 The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance for other periods is at net asset value.
5 Performance is at net asset value.
6 Commenced operations and performance for the Class began on April 4, 2017. Performance is at net asset value.
7 Commenced operations and performance for the Class began on June 30, 2015. Performance is at net asset value.
37
Total Return Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Bloomberg Barclays U.S. Universal Index and the Bloomberg Barclays U.S. Aggregate Bond Index, assuming reinvestment of all dividends and distributions. The performance of the other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower.Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended November 30, 2019
1 Year | 5 Years | 10 Years | Life of Class | ||||||
Class A3 | 7.12% | 2.34% | 3.78% | – | |||||
Class C4 | 7.95% | 2.17% | 3.35% | – | |||||
Class F5 | 9.62% | 2.90% | 4.11% | – | |||||
Class F36 | 9.83% | – | – | 3.93% | |||||
Class I5 | 9.76% | 3.02% | 4.22% | – | |||||
Class P5 | 9.21% | 2.54% | 3.75% | – | |||||
Class R25 | 9.08% | 2.39% | 3.60% | – | |||||
Class R35 | 9.19% | 2.49% | 3.70% | – | |||||
Class R47 | 9.56% | – | – | 3.19% | |||||
Class R57 | 9.84% | – | – | 3.40% | |||||
Class R67 | 9.84% | – | – | 3.51% |
38
Standardized Yield for the Period Ended November 30, 2019
Class A | Class C | Class F | Class F3 | Class I | Class P | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 | ||||||||||
1.96% | 1.39% | 2.11% | 2.31% | 2.24% | 1.76% | 1.60% | 1.71% | 1.95% | 2.20% | 2.31% |
1 Reflects the deduction of the maximum initial sales charge of 2.25%.
2 Performance for each unmanaged index does not reflect any fees or expenses. The performance of each index is not necessarily representative of the Fund’s performance.
3 Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 2.25% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended November 30, 2019, is calculated using the SEC-required uniform method to compute such return.
4 The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance for other periods is at net asset value.
5 Performance is at net asset value.
6 Commenced operations and performance for the Class began on April 4, 2017. Performance is at net asset value.
7 Commenced operations and performance for the Class began on June 30, 2015. Performance is at net asset value.
39
Ultra Short Bond Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the ICE BofA Merrill Lynch U.S. Treasury Bill Index assuming reinvestment of all dividends and distributions. The performance of the other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower.Past performance is no guarantee of future results.
Average Annual Total Returns at Net Asset Value#
for the Periods Ended November 30, 2019
1 Year | Life of Class | ||||
Class A2 | 2.87% | 1.97% | |||
Class A13 | – | –0.70% | |||
Class F2 | 2.82% | 2.02% | |||
Class F34 | 2.97% | 2.28% | |||
Class I2 | 3.03% | 2.13% | |||
Class R52 | 2.94% | 2.15% | |||
Class R62 | 2.96% | 2.18% |
Standardized Yield for the Period Ended November 30, 2019
Class A | Class F | Class F3 | Class I | Class R5 | Class R6 | |||||
1.92% | 1.97% | 2.12% | 2.07% | 2.07% | 2.12% |
1 Performance for the unmanaged index does not reflect any fees or expenses. The performance of the index is not necessarily representative of the Fund’s performance.
2 Commenced operations on October 12, 2016 and performance for the Class began on October 17, 2016. Performance is at net asset value.
3 Commenced operations and performance for the Class began on July 31, 2019. Performance is at net asset value.
4 Commenced operations and performance for the Class began on April 4, 2017. Performance is at net asset value.
# Sales charge not applicable to Ultra Short Bond Fund.
40
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 (June 1, 2019 through November 30, 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 6/1/19 – 11/30/19” 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.
41
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† | |||||
6/1/19 | 11/30/19 | 6/1/19 – 11/30/19 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,095.50 | $5.57 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.75 | $5.37 | ||||
Class C | |||||||
Actual | $1,000.00 | $1,091.00 | $8.91 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,016.55 | $8.59 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,095.30 | $5.04 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.26 | $4.86 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $1,096.00 | $4.36 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.91 | $4.20 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,096.00 | $4.52 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.76 | $4.36 | ||||
Class P | |||||||
Actual | $1,000.00 | $1,093.40 | $6.87 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.50 | $6.63 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,092.80 | $7.61 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,017.80 | $7.33 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,093.60 | $7.14 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.25 | $6.88 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,094.50 | $5.83 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.50 | $5.62 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,096.10 | $4.52 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.76 | $4.36 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $1,095.90 | $4.36 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.91 | $4.20 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.06% for Class A, 1.70% for Class C, 0.96% for Class F, 0.83% for Class F3, 0.86% for Class I, 1.31% for Class P, 1.45% for Class R2, 1.36% for Class R3, 1.11% for Class R4, 0.86% for Class R5 and 0.83% for Class R6) multiplied by the average account value over the period, multiplied by 183/365 (to reflect one-half year period). |
42
Portfolio Holdings Presented by Sector
November 30, 2019
Sector* | %** | |||
Automotive | 3.97 | % | ||
Banking | 2.46 | % | ||
Basic Industry | 2.48 | % | ||
Capital Goods | 2.27 | % | ||
Consumer Goods | 1.47 | % | ||
Energy | 0.72 | % | ||
Healthcare | 14.33 | % | ||
Leisure | 1.41 | % | ||
Media | 5.08 | % |
Sector* | %** | |||
Real Estate | 1.90 | % | ||
Retail | 2.98 | % | ||
Services | 3.32 | % | ||
Technology & Electronics | 47.75 | % | ||
Telecommunications | 1.80 | % | ||
Transportation | 2.45 | % | ||
Utilities | 2.69 | % | ||
Repurchase Agreement | 2.92 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
43
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† | |||||
6/1/19 | 11/30/19 | 6/1/19 – 11/30/19 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,033.00 | $3.26 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.86 | $3.24 | ||||
Class C | |||||||
Actual | $1,000.00 | $1,029.90 | $6.36 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.80 | $6.33 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,033.50 | $2.75 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.36 | $2.74 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $1,034.40 | $1.78 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.31 | $1.78 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,034.20 | $2.04 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.06 | $2.03 | ||||
Class P | |||||||
Actual | $1,000.00 | $1,037.30 | $4.55 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.61 | $4.51 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,030.90 | $5.29 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.85 | $5.27 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,031.40 | $4.79 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.36 | $4.76 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,032.70 | $3.52 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.61 | $3.50 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,034.00 | $2.24 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.86 | $2.23 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $1,034.40 | $1.78 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.31 | $1.78 |
† | 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, 0.54% for Class F, 0.35% for Class F3, 0.40% for Class I, 0.89% 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 183/365 (to reflect one-half year period). |
44
Portfolio Holdings Presented by Sector
November 30, 2019
Sector* | %** | |||
Auto | 0.45 | % | ||
Capital Goods | 0.26 | % | ||
Consumer Cyclical | 0.29 | % | ||
Consumer Services | 0.49 | % | ||
Consumer Staples | 0.40 | % | ||
Energy | 1.40 | % | ||
Financial Services | 24.42 | % | ||
Foreign Government | 3.79 | % | ||
Healthcare | 0.19 | % | ||
Integrated Oils | 0.69 | % |
Sector* | %** | |||
Materials & Processing | 0.39 | % | ||
Municipal | 0.03 | % | ||
Producer Durables | 0.54 | % | ||
Technology | 0.55 | % | ||
Telecommunications | 0.44 | % | ||
Transportation | 0.33 | % | ||
U.S. Government | 62.82 | % | ||
Utilities | 1.09 | % | ||
Repurchase Agreement | 1.43 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
45
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† | |||||
6/1/19 | 11/30/19 | 6/1/19 – 11/30/19 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,038.60 | $3.48 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.66 | $3.45 | ||||
Class C | |||||||
Actual | $1,000.00 | $1,034.70 | $6.73 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.45 | $6.68 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,039.10 | $2.96 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.16 | $2.94 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $1,039.90 | $2.35 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.76 | $2.33 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,039.60 | $2.45 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.66 | $2.43 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,036.70 | $5.51 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.65 | $5.47 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,037.30 | $4.85 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.31 | $4.81 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,038.50 | $3.73 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.41 | $3.70 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,039.80 | $2.45 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.66 | $2.43 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $1,039.90 | $2.35 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.76 | $2.33 |
† | 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, 0.46% for Class F3, 0.48% for Class I, 1.08% for Class R2, 0.95% for Class R3, 0.73% for Class R4, 0.48% for Class R5 and 0.46% for Class R6) multiplied by the average account value over the period, multiplied by 183/365 (to reflect one-half year period). |
46
Portfolio Holdings Presented by Sector
November 30, 2019
Sector* | %** | |||
Auto | 0.99 | % | ||
Basic Industry | 0.20 | % | ||
Capital Goods | 0.39 | % | ||
Consumer Cyclical | 0.77 | % | ||
Consumer Discretionary | 0.33 | % | ||
Consumer Services | 1.11 | % | ||
Consumer Staples | 0.68 | % | ||
Energy | 2.88 | % | ||
Financial Services | 35.55 | % | ||
Foreign Government | 7.92 | % | ||
Healthcare | 1.13 | % |
Sector* | %** | |||
Integrated Oils | 0.20 | % | ||
Materials & Processing | 1.58 | % | ||
Municipal | 0.00 | (a)% | ||
Producer Durables | 1.56 | % | ||
Technology | 1.26 | % | ||
Telecommunications | 1.24 | % | ||
Transportation | 0.01 | % | ||
U.S. Government | 37.56 | % | ||
Utilities | 1.34 | % | ||
Repurchase Agreement | 3.30 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. | |
(a) | Amount Less than .01%. |
47
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† | |||||
6/1/19 | 11/30/19 | 6/1/19 – 11/30/19 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,056.80 | $3.51 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.71 | $3.45 | ||||
Class C | |||||||
Actual | $1,000.00 | $1,054.30 | $6.80 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.40 | $6.68 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,057.20 | $2.99 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.16 | $2.94 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $1,058.10 | $2.22 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.01 | $2.18 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,058.90 | $2.48 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.66 | $2.43 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,054.60 | $5.56 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.65 | $5.47 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,055.20 | $5.05 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.16 | $4.96 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,056.50 | $3.76 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.41 | $3.70 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,058.80 | $2.48 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.66 | $2.43 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $1,058.10 | $2.22 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.01 | $2.18 |
† | 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, 0.43% for Class F3, 0.48% for Class I, 1.08% for Class R2, 0.98% for Class R3, 0.73% for Class R4, 0.48% for Class R5 and 0.43% for Class R6) multiplied by the average account value over the period, multiplied by 183/365 (to reflect one-half year period). |
48
Portfolio Holdings Presented by Sector
November 30, 2019
Sector* | %** | |||
Auto | 1.18 | % | ||
Basic Industry | 0.20 | % | ||
Capital Goods | 1.54 | % | ||
Consumer Cyclical | 2.06 | % | ||
Consumer Discretionary | 0.12 | % | ||
Consumer Services | 2.97 | % | ||
Consumer Staples | 2.25 | % | ||
Energy | 10.31 | % | ||
Financial Services | 30.54 | % | ||
Healthcare | 8.95 | % |
Sector* | %** | |||
Integrated Oils | 2.67 | % | ||
Materials & Processing | 3.52 | % | ||
Municipal | 0.56 | % | ||
Producer Durables | 3.56 | % | ||
Technology | 6.05 | % | ||
Telecommunications | 3.65 | % | ||
Transportation | 3.77 | % | ||
U.S. Government | 0.92 | % | ||
Utilities | 10.08 | % | ||
Repurchase Agreement | 5.10 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
49
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† | |||||
6/1/19 | 11/30/19 | 6/1/19 – 11/30/19 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,008.10 | $4.13 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.96 | $4.15 | ||||
Class C | |||||||
Actual | $1,000.00 | $1,004.90 | $7.29 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,017.80 | $7.33 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,008.60 | $3.63 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.46 | $3.65 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $1,009.40 | $2.77 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.31 | $2.79 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,010.20 | $3.07 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.01 | $3.09 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,006.10 | $6.14 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.95 | $6.17 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,007.70 | $5.64 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.45 | $5.67 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,007.80 | $4.33 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.76 | $4.36 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,010.30 | $3.12 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.96 | $3.14 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $1,009.30 | $2.77 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.31 | $2.79 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.82% for Class A, 1.45% for Class C, 0.72% for Class F, 0.55% for Class F3, 0.61% for Class I, 1.22% for Class R2, 1.12% for Class R3, 0.86% for Class R4, 0.62% for Class R5 and 0.55% for Class R6) multiplied by the average account value over the period, multiplied by 183/365 (to reflect one-half year period). |
50
Portfolio Holdings Presented by Sector
November 30, 2019
Sector* | %** | |||
Aerospace | 3.23 | % | ||
Chemicals | 1.56 | % | ||
Consumer Durables | 1.58 | % | ||
Consumer Non-Durables | 2.41 | % | ||
Energy | 3.20 | % | ||
Financial | 8.48 | % | ||
Food and Drug | 1.18 | % | ||
Food/Tobacco | 3.50 | % | ||
Forest Products | 2.62 | % | ||
Gaming/Leisure | 5.36 | % | ||
Healthcare | 10.24 | % |
Sector* | %** | |||
Housing | 2.39 | % | ||
Information Technology | 8.74 | % | ||
Manufacturing | 5.68 | % | ||
Media/Telecommunications | 15.77 | % | ||
Metals/Minerals | 0.90 | % | ||
Retail | 3.81 | % | ||
Service | 5.41 | % | ||
Transportation | 4.20 | % | ||
Utility | 3.71 | % | ||
Repurchase Agreement | 6.03 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
51
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† | |||||
6/1/19 | 11/30/19 | 6/1/19 – 11/30/19 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,038.90 | $4.65 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.51 | $4.61 | ||||
Class C | |||||||
Actual | $1,000.00 | $1,035.80 | $7.81 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,017.40 | $7.74 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,039.50 | $4.14 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.01 | $4.10 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $1,040.40 | $3.17 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.96 | $3.14 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,039.90 | $3.63 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.51 | $3.60 | ||||
Class P | |||||||
Actual | $1,000.00 | $1,038.90 | $5.93 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.25 | $5.87 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,036.80 | $6.64 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.55 | $6.58 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,037.40 | $6.18 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.00 | $6.12 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,038.70 | $4.91 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.26 | $4.86 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,040.00 | $3.63 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.51 | $3.60 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $1,040.40 | $3.17 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.96 | $3.14 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.91% for Class A, 1.53% for Class C, 0.81% for Class F, 0.62% for Class F3, 0.71% for Class I, 1.16% for Class P, 1.30% for Class R2, 1.21% for Class R3, 0.96% for Class R4, 0.71% for Class R5 and 0.62% for Class R6) multiplied by the average account value over the period, multiplied by 183/365 (to reflect one-half year period). |
52
Portfolio Holdings Presented by Sector
November 30, 2019
Sector* | %** | |||
Advertising | 0.04 | % | ||
Automotive | 3.80 | % | ||
Banking | 3.35 | % | ||
Basic Industry | 11.51 | % | ||
Capital Goods | 7.29 | % | ||
Commercial Mortgage-Backed | 0.31 | % | ||
Communications | 0.10 | % | ||
Consumer Cyclical | 0.22 | % | ||
Consumer Discretionary | 1.01 | % | ||
Consumer Goods | 3.63 | % | ||
Consumer Non-Cyclical | 0.02 | % | ||
Consumer Staples | 0.20 | % | ||
Energy | 12.41 | % | ||
Financial Services | 7.79 | % | ||
Foreign Government | 0.69 | % |
Sector* | %** | |||
Healthcare | 9.05 | % | ||
Industrials | 0.74 | % | ||
Information Technology | 0.26 | % | ||
Insurance | 0.84 | % | ||
Leisure | 5.00 | % | ||
Materials | 0.39 | % | ||
Media | 11.17 | % | ||
Real Estate | 0.05 | % | ||
Retail | 3.32 | % | ||
Technology & Electronics | 3.22 | % | ||
Telecommunications | 5.65 | % | ||
Transportation | 2.01 | % | ||
Utilities | 4.49 | % | ||
Repurchase Agreement | 1.44 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
53
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† | |||||
6/1/19 | 11/30/19 | 6/1/19 – 11/30/19 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,051.70 | $3.96 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.21 | $3.90 | ||||
Class C | |||||||
Actual | $1,000.00 | $1,048.30 | $7.09 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.15 | $6.98 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,055.80 | $3.45 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.71 | $3.40 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $1,053.10 | $2.52 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.61 | $2.48 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,056.40 | $2.94 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.21 | $2.89 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,049.30 | $6.01 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.20 | $5.92 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,050.10 | $5.50 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.70 | $5.42 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,051.50 | $4.22 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.96 | $4.15 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,056.40 | $2.94 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.21 | $2.89 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $1,053.20 | $2.52 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.61 | $2.48 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.77% for Class A, 1.38% for Class C, 0.67% for Class F, 0.49% for Class F3, 0.57% for Class I, 1.17% for Class R2, 1.07% for Class R3, 0.82% for Class R4, 0.57% for Class R5 and 0.49% for Class R6) multiplied by the average account value over the period, multiplied by 183/365 (to reflect one-half year period). |
54
Portfolio Holdings Presented by Sector
November 30, 2019
Sector* | %** | |||
Auto | 2.54 | % | ||
Basic Industry | 0.61 | % | ||
Capital Goods | 1.16 | % | ||
Consumer Cyclical | 2.94 | % | ||
Consumer Discretionary | 1.07 | % | ||
Consumer Services | 2.34 | % | ||
Consumer Staples | 2.85 | % | ||
Energy | 13.08 | % | ||
Financial Services | 28.61 | % | ||
Foreign Government | 1.91 | % | ||
Health Care | 6.83 | % |
Sector* | %** | |||
Integrated Oils | 1.18 | % | ||
Manufacturing | 0.04 | % | ||
Materials & Processing | 4.75 | % | ||
Municipal | 0.52 | % | ||
Producer Durables | 4.17 | % | ||
Technology | 5.82 | % | ||
Telecommunications | 3.44 | % | ||
Transportation | 1.91 | % | ||
U.S. Government | 6.34 | % | ||
Utilities | 7.14 | % | ||
Repurchase Agreement | 0.75 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
55
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† | |||||
6/1/19 | 11/30/19 | 6/1/19 – 11/30/19 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,003.90 | $3.47 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.61 | $3.50 | ||||
Class C | |||||||
Actual | $1,000.00 | $1,000.80 | $6.67 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.40 | $6.73 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,003.50 | $2.96 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.11 | $2.99 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $1,005.20 | $2.11 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.96 | $2.13 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,004.90 | $2.46 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.61 | $2.48 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,001.00 | $5.42 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.65 | $5.47 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,001.60 | $4.97 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.10 | $5.01 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,002.80 | $3.72 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.36 | $3.75 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,004.90 | $2.46 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.61 | $2.48 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $1,004.40 | $2.11 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.96 | $2.13 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.69% for Class A, 1.33% for Class C, 0.59% for Class F, 0.42% for Class F3, 0.49% for Class I, 1.08% for Class R2, 0.99% for Class R3, 0.74% for Class R4, 0.49% for Class R5 and 0.42% for Class R6) multiplied by the average account value over the period, multiplied by 183/365 (to reflect one-half year period). |
56
Portfolio Holdings Presented by Sector
November 30, 2019
Sector* | %** | |||
Auto | 2.38 | % | ||
Basic Industry | 0.29 | % | ||
Capital Goods | 1.26 | % | ||
Consumer Cyclical | 1.20 | % | ||
Consumer Discretionary | 1.13 | % | ||
Consumer Services | 1.11 | % | ||
Consumer Staples | 0.30 | % | ||
Energy | 8.29 | % | ||
Financial Services | 63.00 | % | ||
Foreign Government | 0.42 | % | ||
Health Care | 2.92 | % |
Sector* | %** | |||
Integrated Oils | 0.49 | % | ||
Materials & Processing | 3.92 | % | ||
Municipal | 0.19 | % | ||
Other | 0.02 | % | ||
Producer Durables | 2.28 | % | ||
Technology | 2.85 | % | ||
Telecommunications | 0.88 | % | ||
Transportation | 0.89 | % | ||
U.S. Government | 1.52 | % | ||
Utilities | 3.53 | % | ||
Repurchase Agreement | 1.13 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
57
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† | |||||
6/1/19 | 11/30/19 | 6/1/19 – 11/30/19 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,017.90 | $3.04 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.06 | $3.04 | ||||
Class C | |||||||
Actual | $1,000.00 | $1,014.40 | $6.51 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.60 | $6.53 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,018.30 | $2.53 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.56 | $2.54 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $1,019.00 | $1.82 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.26 | $1.83 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,018.80 | $1.97 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.11 | $1.98 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,015.80 | $5.10 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.00 | $5.11 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,016.40 | $4.55 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.56 | $4.56 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,017.60 | $3.34 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.76 | $3.35 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,018.90 | $2.02 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.06 | $2.03 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $1,019.00 | $1.82 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.26 | $1.83 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.60% for Class A, 1.29% for Class C, 0.50% for Class F, 0.36% for Class F3, 0.39% for Class I, 1.01% for Class R2, 0.90% for Class R3, 0.66% for Class R4, 0.40% for Class R5 and 0.36% for Class R6) multiplied by the average account value over the period, multiplied by 183/365 (to reflect one-half year period). |
58
Portfolio Holdings Presented by Sector
November 30, 2019
Sector* | %** | |||
Auto | 2.06 | % | ||
Capital Goods | 0.82 | % | ||
Consumer Cyclical | 0.77 | % | ||
Consumer Discretionary | 0.13 | % | ||
Consumer Services | 0.70 | % | ||
Consumer Staples | 0.28 | % | ||
Energy | 4.05 | % | ||
Financial Services | 62.12 | % | ||
Foreign Government | 0.52 | % | ||
Healthcare | 1.36 | % | ||
Integrated Oils | 0.40 | % |
Sector* | %** | |||
Materials & Processing | 1.18 | % | ||
Municipal | 0.02 | % | ||
Producer Durables | 1.44 | % | ||
Technology | 0.77 | % | ||
Telecommunications | 0.55 | % | ||
Transportation | 0.68 | % | ||
U.S. Government | 17.15 | % | ||
Utilities | 1.47 | % | ||
Repurchase Agreement | 3.53 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
59
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† | |||||
6/1/19 | 11/30/19 | 6/1/19 – 11/30/19 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,020.10 | $3.04 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.06 | $3.04 | ||||
Class C | |||||||
Actual | $1,000.00 | $1,014.50 | $6.16 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.95 | $6.17 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,020.60 | $2.53 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.56 | $2.54 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $1,019.00 | $1.72 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.36 | $1.72 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,018.70 | $2.02 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.06 | $2.03 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,018.10 | $5.06 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.05 | $5.06 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,018.60 | $4.55 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.56 | $4.56 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,019.90 | $3.29 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.81 | $3.29 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,021.20 | $2.03 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.06 | $2.03 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $1,021.50 | $1.72 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.36 | $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, 1.22% for Class C, 0.50% for Class F, 0.34% for Class F3, 0.40% for Class I, 1.00% for Class R2, 0.90% for Class R3, 0.65% for Class R4, 0.40% for Class R5 and 0.34% for Class R6) multiplied by the average account value over the period, multiplied by 183/365 (to reflect one-half year period). |
60
Portfolio Holdings Presented by Sector
November 30, 2019
Sector* | %** | |||
Auto | 2.33 | % | ||
Basic Industry | 0.18 | % | ||
Capital Goods | 1.33 | % | ||
Consumer Cyclical | 1.38 | % | ||
Consumer Discretionary | 1.42 | % | ||
Consumer Services | 0.99 | % | ||
Consumer Staples | 0.78 | % | ||
Energy | 7.87 | % | ||
Financial Services | 62.36 | % | ||
Foreign Government | 0.66 | % | ||
Health Care | 2.88 | % | ||
Integrated Oils | 0.32 | % |
Sector* | %** | |||
Manufacturing | 0.02 | % | ||
Materials & Processing | 2.67 | % | ||
Municipal | 0.16 | % | ||
Producer Durables | 2.06 | % | ||
Technology | 3.18 | % | ||
Telecommunications | 0.89 | % | ||
Transportation | 1.04 | % | ||
U.S. Government | 4.22 | % | ||
Utilities | 3.01 | % | ||
Repurchase Agreement | 0.25 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
61
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† | |||||
6/1/19 | 11/30/19 | 6/1/19 – 11/30/19 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,032.40 | $3.46 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.66 | $3.45 | ||||
Class C | |||||||
Actual | $1,000.00 | $1,029.20 | $6.61 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,018.55 | $6.58 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,031.90 | $2.95 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.16 | $2.94 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $1,034.00 | $1.94 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.16 | $1.93 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,032.60 | $2.24 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.86 | $2.23 | ||||
Class P | |||||||
Actual | $1,000.00 | $1,030.00 | $4.73 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.41 | $4.71 | ||||
Class R2 | |||||||
Actual | $1,000.00 | $1,030.30 | $5.50 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,019.65 | $5.47 | ||||
Class R3 | |||||||
Actual | $1,000.00 | $1,030.90 | $4.99 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,020.16 | $4.96 | ||||
Class R4 | |||||||
Actual | $1,000.00 | $1,032.10 | $3.72 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,021.41 | $3.70 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,033.40 | $2.45 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.66 | $2.43 | ||||
Class R6 | |||||||
Actual | $1,000.00 | $1,033.00 | $1.94 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.16 | $1.93 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.68% for Class A, 1.30% for Class C, 0.58% for Class F, 0.38% for Class F3, 0.44% for Class I, 0.93% for Class P, 1.08% for Class R2, 0.98% for Class R3, 0.73% for Class R4, 0.48% for Class R5 and 0.38% for Class R6) multiplied by the average account value over the period, multiplied by 183/365 (to reflect one-half year period). |
62
Portfolio Holdings Presented by Sector
November 30, 2019
Sector* | %** | |||
Asset Backed Securities | 0.35 | % | ||
Auto | 0.75 | % | ||
Banking | 0.07 | % | ||
Basic Industry | 0.39 | % | ||
Capital Goods | 0.34 | % | ||
Consumer Cyclical | 0.61 | % | ||
Consumer Discretionary | 0.23 | % | ||
Consumer Goods | 0.04 | % | ||
Consumer Services | 0.73 | % | ||
Consumer Staples | 0.45 | % | ||
Energy | 2.72 | % | ||
Financial Services | 24.39 | % | ||
Food And Drugs | 0.15 | % | ||
Foreign Government | 9.90 | % |
Sector* | %** | |||
Health Care | 0.72 | % | ||
Integrated Oils | 0.33 | % | ||
Materials & Processing | 1.68 | % | ||
Media/Telecom | 0.08 | % | ||
Municipal | 0.08 | % | ||
Producer Durables | 0.78 | % | ||
Real Estate | 0.18 | % | ||
Technology | 1.20 | % | ||
Telecommunications | 0.51 | % | ||
Transportation | 0.16 | % | ||
U.S. Government | 49.01 | % | ||
Utilities | 1.81 | % | ||
Repurchase Agreement | 2.34 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
63
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† | |||||
6/1/19 | 11/30/19 | 6/1/19 – 11/30/19 | |||||
Class A | |||||||
Actual | $1,000.00 | $1,012.50 | $2.12 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,022.96 | $2.13 | ||||
Class A1* | |||||||
Actual | $1,000.00 | $1,007.90 | $1.54 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,015.17 | $1.55 | ||||
Class F | |||||||
Actual | $1,000.00 | $1,012.80 | $1.87 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.21 | $1.88 | ||||
Class F3 | |||||||
Actual | $1,000.00 | $1,013.50 | $1.11 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.97 | $1.12 | ||||
Class I | |||||||
Actual | $1,000.00 | $1,013.30 | $1.36 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.71 | $1.37 | ||||
Class R5 | |||||||
Actual | $1,000.00 | $1,013.30 | $1.36 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.71 | $1.37 | ||||
Class R6* | |||||||
Actual | $1,000.00 | $1,013.50 | $1.11 | ||||
Hypothetical (5% Return Before Expenses) | $1,000.00 | $1,023.97 | $1.12 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.42% for Class A, 0.46% for Class A1, 0.37% for Class F, 0.22% for Class F3, 0.27% for Class I, 0.27% for Class R5 and 0.22% for Class R6) multiplied by the average account value over the period, multiplied by 183/365 (to reflect one-half year period for Class A, F, F3, I, R5 and R6) and multiplied by 122/365 (to reflect the period from July 31, 2019, commencement of operations, to November 30, 2019, for Class A1). |
* | The annualized expenses have been updated (0.52% for Class A1). 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 A1 | $1.74 | $1.75 |
64
Portfolio Holdings Presented by Sector
November 30, 2019
Sector* | %** | |||
Auto | 6.31 | % | ||
Capital Goods | 1.26 | % | ||
Consumer Cyclical | 5.52 | % | ||
Consumer Services | 0.83 | % | ||
Consumer Staples | 2.26 | % | ||
Energy | 5.04 | % | ||
Financial Services | 53.13 | % | ||
Health Care | 5.35 | % | ||
Integrated Oils | 0.66 | % |
Sector* | %** | |||
Materials & Processing | 3.34 | % | ||
Producer Durables | 2.72 | % | ||
Technology | 3.26 | % | ||
Telecommunications | 2.46 | % | ||
Transportation | 2.21 | % | ||
U.S. Government | 1.87 | % | ||
Utilities | 3.63 | % | ||
Repurchase Agreement | 0.15 | % | ||
Total | 100.00 | % |
* | A sector may comprise several industries. | |
** | Represents percent of total investments. |
65
CONVERTIBLE FUNDNovember 30, 2019
Investments | Shares (000) | Fair Value | ||||||||||
LONG-TERM INVESTMENTS 97.00% | ||||||||||||
COMMON STOCKS 7.29% | ||||||||||||
Aerospace/Defense 0.54% | ||||||||||||
Teledyne Technologies, Inc.* | 11 | $ | 3,761,890 | |||||||||
Banking 0.50% | ||||||||||||
JPMorgan Chase & Co. | 26 | 3,425,760 | ||||||||||
Cable & Satellite Television 0.00% | ||||||||||||
DISH Network Corp.* | 4 | 2,445 | ||||||||||
Electronics 1.73% | ||||||||||||
Nintendo Co., Ltd.(a) | JPY | 11 | 4,354,208 | |||||||||
NVIDIA Corp. | 35 | 7,585,900 | ||||||||||
Total | 11,940,108 | |||||||||||
Health Equipment & Supply 0.39% | ||||||||||||
Nevro Corp.* | 24 | 2,682,720 | ||||||||||
Machinery 0.71% | ||||||||||||
Generac Holdings, Inc.* | 50 | 4,875,750 | ||||||||||
Media: Content 0.56% | ||||||||||||
Take-Two Interactive Software, Inc.* | 32 | 3,883,200 | ||||||||||
Software/Services 1.58% | ||||||||||||
Alibaba Group Holding Ltd. ADR* | 37 | 7,400,000 | ||||||||||
CD Projekt SA(a) | PLN | 52 | 3,486,323 | |||||||||
Total | 10,886,323 | |||||||||||
Specialty Retail 1.28% | ||||||||||||
Lululemon Athletica, Inc. (Canada)*(b) | 19 | 4,175,265 | ||||||||||
Puma SE(a) | EUR | 62 | 4,673,503 | |||||||||
Total | 8,848,768 | |||||||||||
Total Common Stocks (cost $43,410,194) | 50,306,964 | |||||||||||
Interest Rate | Maturity Date | Principal Amount (000) | ||||||||||
CONVERTIBLE BONDS 82.31% | ||||||||||||
Advertising 1.57% | ||||||||||||
Snap, Inc.† | 0.75% | 8/1/2026 | $ | 10,665 | 10,806,555 |
66 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CONVERTIBLE FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Aerospace/Defense 1.02% | ||||||||||||
Safran SA(a) | Zero Coupon | 6/21/2023 | EUR | 3,781 | $ | 7,048,769 | ||||||
Automakers 3.96% | ||||||||||||
Tesla, Inc. | 2.00% | 5/15/2024 | $ | 16,975 | 21,527,284 | |||||||
Winnebago Industries, Inc.† | 1.50% | 4/1/2025 | 5,817 | 5,842,565 | ||||||||
Total | 27,369,849 | |||||||||||
Building Materials 2.47% | ||||||||||||
Patrick Industries, Inc. | 1.00% | 2/1/2023 | 18,056 | 17,085,490 | ||||||||
Cable & Satellite Television 0.59% | ||||||||||||
DISH Network Corp. | 3.375% | 8/15/2026 | 4,330 | 4,094,556 | ||||||||
Electronics 12.93% | ||||||||||||
Advanced Micro Devices, Inc. | 2.125% | 9/1/2026 | 3,010 | 14,930,356 | ||||||||
Enphase Energy, Inc.† | 1.00% | 6/1/2024 | 6,675 | 9,032,109 | ||||||||
Inphi Corp. | 1.125% | 12/1/2020 | 5,385 | 9,474,711 | ||||||||
Microchip Technology, Inc. | 1.625% | 2/15/2025 | 14,365 | 27,866,991 | ||||||||
Micron Technology, Inc. | 3.125% | 5/1/2032 | 720 | 3,428,729 | ||||||||
Novellus Systems, Inc. | 2.625% | 5/15/2041 | 1,720 | 14,287,597 | ||||||||
Teradyne, Inc. | 1.25% | 12/15/2023 | 5,051 | 10,266,157 | ||||||||
Total | 89,286,650 | |||||||||||
Energy: Exploration & Production 0.72% | ||||||||||||
SM Energy Co. | 1.50% | 7/1/2021 | 5,550 | 4,991,415 | ||||||||
Health Services 3.70% | ||||||||||||
Insmed, Inc. | 1.75% | 1/15/2025 | 6,550 | 6,182,113 | ||||||||
Repligen Corp. | 0.375% | 7/15/2024 | 11,220 | 11,974,509 | ||||||||
Teladoc Health, Inc. | 3.00% | 12/15/2022 | 3,660 | 7,375,154 | ||||||||
Total | 25,531,776 | |||||||||||
Media: Content 0.95% | ||||||||||||
Zynga, Inc.† | 0.25% | 6/1/2024 | 6,350 | 6,523,716 | ||||||||
Media: Diversified 1.41% | ||||||||||||
IAC FinanceCo, Inc.† | 0.875% | 10/1/2022 | 6,234 | 9,753,742 | ||||||||
Medical Products 8.44% | ||||||||||||
CONMED Corp.† | 2.625% | 2/1/2024 | 7,940 | 11,076,300 | ||||||||
DexCom, Inc. | 0.75% | 5/15/2022 | 6,465 | 14,891,672 | ||||||||
Insulet Corp.† | 0.375% | 9/1/2026 | 2,825 | 3,044,167 | ||||||||
Insulet Corp. | 1.375% | 11/15/2024 | 6,725 | 13,750,502 |
See Notes to Financial Statements. | 67 |
Schedule of Investments (continued)
CONVERTIBLE FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Medical Products (continued) | ||||||||||||
Neurocrine Biosciences, Inc. | 2.25% | 5/15/2024 | $ | 4,575 | $ | 7,465,566 | ||||||
Nevro Corp. | 1.75% | 6/1/2021 | 6,110 | 8,072,251 | ||||||||
Total | 58,300,458 | |||||||||||
Real Estate Investment Trusts 1.90% | ||||||||||||
IH Merger Sub LLC | 3.50% | 1/15/2022 | 4,815 | 6,576,707 | ||||||||
Starwood Property Trust, Inc. | 4.375% | 4/1/2023 | 6,288 | 6,527,730 | ||||||||
Total | 13,104,437 | |||||||||||
Software/Services 24.70% | ||||||||||||
Akamai Technologies, Inc.† | 0.375% | 9/1/2027 | 13,900 | 13,758,900 | ||||||||
Carbonite, Inc. | 2.50% | 4/1/2022 | 7,900 | 8,376,375 | ||||||||
Coupa Software, Inc.† | 0.125% | 6/15/2025 | 9,205 | 11,127,901 | ||||||||
DocuSign, Inc. | 0.50% | 9/15/2023 | 8,715 | 10,647,233 | ||||||||
Euronet Worldwide, Inc.† | 0.75% | 3/15/2049 | 2,000 | 2,385,530 | ||||||||
FireEye, Inc. | 1.625% | 6/1/2035 | 12,326 | 11,943,675 | ||||||||
Five9, Inc. | 0.125% | 5/1/2023 | 4,954 | 8,645,244 | ||||||||
LivePerson, Inc.† | 0.75% | 3/1/2024 | 4,970 | 6,221,705 | ||||||||
MercadoLibre, Inc. (Argentina)(b) | 2.00% | 8/15/2028 | 2,400 | 3,631,500 | ||||||||
Okta, Inc.† | 0.125% | 9/1/2025 | 10,250 | 10,384,531 | ||||||||
Pinduoduo, Inc. (China)†(b) | Zero Coupon | 10/1/2024 | 4,200 | 4,638,900 | ||||||||
RingCentral, Inc. | Zero Coupon | 3/15/2023 | 4,540 | 9,742,160 | ||||||||
Trip.com Group Ltd. (China)(b) | 1.00% | 7/1/2020 | 32,960 | 32,511,325 | ||||||||
Twitter, Inc. | 1.00% | 9/15/2021 | 11,655 | 11,295,295 | ||||||||
Weibo Corp. (China)(b) | 1.25% | 11/15/2022 | 26,970 | 25,265,758 | ||||||||
Total | 170,576,032 | |||||||||||
Specialty Retail 1.70% | ||||||||||||
RH | Zero Coupon | 6/15/2023 | 9,485 | 11,719,484 | ||||||||
Support: Services 3.32% | ||||||||||||
Chegg, Inc.† | 0.125% | 3/15/2025 | 5,600 | 5,788,603 | ||||||||
FTI Consulting, Inc. | 2.00% | 8/15/2023 | 5,400 | 6,736,500 | ||||||||
Macquarie Infrastructure Corp. | 2.00% | 10/1/2023 | 5,088 | 4,820,443 | ||||||||
ServiceNow, Inc. | Zero Coupon | 6/1/2022 | 2,645 | 5,599,664 | ||||||||
Total | 22,945,210 | |||||||||||
Technology Hardware & Equipment 6.77% | ||||||||||||
Lumentum Holdings, Inc. | 0.25% | 3/15/2024 | 4,445 | 6,238,388 | ||||||||
SunPower Corp. | 0.875% | 6/1/2021 | 4,539 | 4,190,064 | ||||||||
SunPower Corp. | 4.00% | 1/15/2023 | 33,400 | 27,220,806 |
68 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CONVERTIBLE FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Technology Hardware & Equipment (continued) | ||||||||||||
Western Digital Corp. | 1.50% | 2/1/2024 | $ | 9,600 | $ | 9,066,484 | ||||||
Total | 46,715,742 | |||||||||||
Telecommunications: Wireline Integrated & Services 1.80% | ||||||||||||
GDS Holdings Ltd. (China)(b) | 2.00% | 6/1/2025 | 10,940 | 12,430,359 | ||||||||
Theaters & Entertainment 1.41% | ||||||||||||
Live Nation Entertainment, Inc. | 2.50% | 3/15/2023 | 8,020 | 9,703,316 | ||||||||
Tobacco 0.50% | ||||||||||||
Vector Group Ltd. | 1.75% | # | 4/15/2020 | 3,319 | 3,449,686 | |||||||
Transportation: Infrastructure/Services 2.45% | ||||||||||||
DHT Holdings, Inc. | 4.50% | 8/15/2021 | 5,545 | 7,119,687 | ||||||||
Scorpio Tankers, Inc. (Monaco)(b) | 3.00% | 5/15/2022 | 8,519 | 9,788,239 | ||||||||
Total | 16,907,926 | |||||||||||
Total Convertible Bonds (cost $514,759,483) | 568,345,168 | |||||||||||
Dividend Rate | Shares (000) | |||||||||||
CONVERTIBLE PREFERRED STOCKS 4.77% | ||||||||||||
Banking 1.96% | ||||||||||||
Wells Fargo & Co. | 7.50% | 9 | 13,532,740 | |||||||||
Medical Products 1.79% | ||||||||||||
Danaher Corp. | 4.75% | 11 | 12,319,992 | |||||||||
Non-Electric Utilities 1.02% | ||||||||||||
Aqua America, Inc. | 6.00% | 119 | 7,066,812 | |||||||||
Total Convertible Preferred Stocks (cost $30,692,882) | 32,919,544 | |||||||||||
PREFERRED STOCKS 2.63% | ||||||||||||
ELECTRIC: INTEGRATED 1.66% | ||||||||||||
NextEra Energy, Inc. | 4.872% | 231 | 11,479,080 | |||||||||
PERSONAL & HOUSEHOLD PRODUCTS 0.97% | ||||||||||||
Stanley Black & Decker, Inc. | 5.25% | 65 | 6,706,065 | |||||||||
Total Preferred Stocks (cost $17,779,311) | 18,185,145 | |||||||||||
Total Long-Term Investments (cost $606,641,870) | 669,756,821 |
See Notes to Financial Statements. | 69 |
Schedule of Investments (continued)
CONVERTIBLE FUNDNovember 30, 2019
Investments | Principal Amount (000) | Fair Value | ||||||
SHORT-TERM INVESTMENT 2.92% | ||||||||
REPURCHASE AGREEMENT | ||||||||
Repurchase Agreement dated 11/29/2019, 0.85% due 12/2/2019 with Fixed Income Clearing Corp. collateralized by $20,370,000 of U.S. Treasury Note at 2.00% due 10/31/2021 value: $20,530,699; proceeds: $20,127,521 (cost $20,126,096) | $ | 20,126 | $ | 20,126,096 | ||||
Total Investments in Securities 99.92% (cost $626,767,966) | 689,882,917 | |||||||
Cash and Other Assets in Excess Liabilities(c)0.08% | 580,687 | |||||||
Net Assets 100.00% | $ | 690,463,604 |
ADR | American Depositary Receipt. | |
EUR | euro. | |
JPY | Japanese yen. | |
PLN | Polish zloty. | |
* | 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. At November 30, 2019, the total value of Rule 144A securities was $110,385,224, which represents 15.99% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at November 30, 2019. | |
(a) | Investment in non-U.S. dollar denominated securities. | |
(b) | Foreign security traded in U.S. dollars. | |
(c) | Cash and Other Assets in Excess Liabilities include net unrealized appreciation/depreciation on forward foreign currency exchange contracts as follows: |
Open Forward Foreign Currency Exchange Contracts at November 30, 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 | State Street Bank and Trust | 12/9/2019 | 10,279,000 | $ | 11,419,276 | $ | 11,329,451 | $ | 89,825 | ||||||||||
Japanese yen | Sell | Barclays Bank plc | 12/13/2019 | 480,000,000 | 4,479,011 | 4,389,490 | 89,521 | |||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 179,346 | ||||||||||||||||||
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Depreciation | |||||||||||||
Japanese yen | Buy | Bank of America | 12/13/2019 | 58,000,000 | $ | 533,916 | $ | 530,397 | $ | (3,519 | ) | |||||||||
Polish zloty | Sell | Bank of America | 1/15/2020 | 12,750,000 | 3,185,523 | 3,255,970 | (70,447 | ) | ||||||||||||
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (73,966 | ) |
70 | See Notes to Financial Statements. |
Schedule of Investments (concluded)
CONVERTIBLE FUNDNovember 30, 2019
The following is a summary of the inputs used as of November 30, 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 | $ | 50,306,964 | $ | – | $ | – | $ | 50,306,964 | ||||||||
Convertible Bonds | – | 568,345,168 | – | 568,345,168 | ||||||||||||
Convertible Preferred Stocks | ||||||||||||||||
Banking | – | 13,532,740 | – | 13,532,740 | ||||||||||||
Medical Products | 12,319,992 | – | – | 12,319,992 | ||||||||||||
Non-Electric Utilities | – | 7,066,812 | – | 7,066,812 | ||||||||||||
Preferred Stocks | – | 18,185,145 | – | 18,185,145 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Repurchase Agreement | – | 20,126,096 | – | 20,126,096 | ||||||||||||
Total | $ | 62,626,956 | $ | 627,255,961 | $ | – | $ | 689,882,917 | ||||||||
Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | $ | – | $ | 179,346 | $ | – | $ | 179,346 | ||||||||
Liabilities | – | (73,966 | ) | – | (73,966 | ) | ||||||||||
Total | $ | – | $ | 105,380 | $ | – | $ | 105,380 |
(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. |
See Notes to Financial Statements. | 71 |
Schedule of Investments
CORE FIXED INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 104.43% | ||||||||||||
ASSET-BACKED SECURITIES 18.50% | ||||||||||||
Automobiles 8.72% | ||||||||||||
American Credit Acceptance Receivables Trust 2016-2 C† | 6.09% | 5/12/2022 | $ | 280 | $ | 280,003 | ||||||
American Credit Acceptance Receivables Trust 2018-4 A† | 3.38% | 12/13/2021 | 749 | 750,165 | ||||||||
American Credit Acceptance Receivables Trust 2019-2 B† | 3.05% | 5/12/2023 | 2,151 | 2,167,562 | ||||||||
AmeriCredit Automobile Receivables Trust 2015-3 D | 3.34% | 8/8/2021 | 3,759 | 3,766,701 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-1 D | 3.59% | 2/8/2022 | 3,917 | 3,957,865 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-2 C | 2.97% | 3/20/2023 | 1,664 | 1,683,481 | ||||||||
AmeriCredit Automobile Receivables Trust 2018-2 A2A | 2.86% | 11/18/2021 | 1,979 | 1,981,899 | ||||||||
AmeriCredit Automobile Receivables Trust 2018-3 A2A | 3.11% | 1/18/2022 | 713 | 714,922 | ||||||||
AmeriCredit Automobile Receivables Trust 2018-3 A2B | 2.013% (1 Mo. LIBOR + .25% | )# | 1/18/2022 | 713 | 712,764 | |||||||
AmeriCredit Automobile Receivables Trust 2019-1 A2A | 2.93% | 6/20/2022 | 1,326 | 1,330,741 | ||||||||
AmeriCredit Automobile Receivables Trust 2019-1 A2B | 2.023% (1 Mo. LIBOR + .26% | )# | 6/20/2022 | 1,465 | 1,465,626 | |||||||
Avid Automobile Receivables Trust 2019-1 A† | 2.62% | 2/15/2024 | 2,124 | 2,124,537 | ||||||||
Avid Automobile Receivables Trust 2019-1 B† | 2.82% | 7/15/2026 | 653 | 653,278 | ||||||||
BMW Vehicle Lease Trust 2019-1 A2 | 2.79% | 3/22/2021 | 1,853 | 1,858,318 | ||||||||
California Republic Auto Receivables Trust 2015-3 B | 2.70% | 9/15/2021 | 419 | 419,394 | ||||||||
California Republic Auto Receivables Trust 2017-1 B | 2.91% | 12/15/2022 | 572 | 574,857 | ||||||||
California Republic Auto Receivables Trust 2018-1 A2 | 2.86% | 3/15/2021 | 32 | 32,087 | ||||||||
California Republic Auto Receivables Trust 2018-1 B | 3.56% | 3/15/2023 | 2,191 | 2,236,011 | ||||||||
Capital Auto Receivables Asset Trust 2018-1 A3† | 2.79% | 1/20/2022 | 2,758 | 2,765,384 | ||||||||
Capital Auto Receivables Asset Trust 2018-2 C† | 3.69% | 12/20/2023 | 1,442 | 1,464,166 | ||||||||
CarMax Auto Owner Trust 2016-3 A3 | 1.39% | 5/17/2021 | 144 | 144,274 | ||||||||
CarMax Auto Owner Trust 2017-3 A3 | 1.97% | 4/15/2022 | 5,313 | 5,313,723 | ||||||||
CarMax Auto Owner Trust 2018-3 A2A | 2.88% | 10/15/2021 | 1,011 | 1,013,250 | ||||||||
CarMax Auto Owner Trust 2019-4 C | 2.60% | 9/15/2025 | 804 | 805,886 | ||||||||
Chesapeake Funding II LLC 2017-2A A1† | 1.99% | 5/15/2029 | 642 | 641,832 | ||||||||
Chesapeake Funding II LLC 2017-3A A1† | 1.91% | 8/15/2029 | 1,475 | 1,474,158 | ||||||||
Chrysler Capital Auto Receivables Trust 2016-AA C† | 3.25% | 6/15/2022 | 211 | 211,722 | ||||||||
CPS Auto Receivables Trust 2016-B D† | 6.58% | 3/15/2022 | 540 | 559,092 | ||||||||
CPS Auto Receivables Trust 2018-A B† | 2.77% | 4/18/2022 | 586 | 586,602 |
72 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE FIXED INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
CPS Auto Receivables Trust 2018-B D† | 4.26% | 3/15/2024 | $ | 949 | $ | 978,952 | ||||||
CPS Auto Trust 2018-C A† | 2.87% | 9/15/2021 | 358 | 358,559 | ||||||||
CPS Auto Trust 2018-C B† | 3.43% | 7/15/2022 | 688 | 692,049 | ||||||||
Credit Acceptance Auto Loan Trust 2019-3A B† | 2.86% | 1/16/2029 | 4,251 | 4,262,892 | ||||||||
Drive Auto Receivables Trust 2016-CA D† | 4.18% | 3/15/2024 | 651 | 660,098 | ||||||||
Drive Auto Receivables Trust 2017-1 E | 5.17% | 9/16/2024 | 1,772 | 1,829,101 | ||||||||
Drive Auto Receivables Trust 2017-2 C | 2.75% | 9/15/2023 | 142 | 142,366 | ||||||||
Drive Auto Receivables Trust 2017-2 D | 3.49% | 9/15/2023 | 4,111 | 4,147,651 | ||||||||
Drive Auto Receivables Trust 2017-AA D† | 4.16% | 5/15/2024 | 1,145 | 1,162,808 | ||||||||
Drive Auto Receivables Trust 2017-BA E† | 5.30% | 7/15/2024 | 5,337 | 5,507,493 | ||||||||
Drive Auto Receivables Trust 2018-2 D | 4.14% | 8/15/2024 | 2,452 | 2,507,589 | ||||||||
Drive Auto Receivables Trust 2018-3 B | 3.37% | 9/15/2022 | 447 | 447,910 | ||||||||
Drive Auto Receivables Trust 2018-3 C | 3.72% | 9/16/2024 | 1,949 | 1,966,983 | ||||||||
Drive Auto Receivables Trust 2019-2 A2A | 2.93% | 3/15/2022 | 1,174 | 1,175,452 | ||||||||
Drive Auto Receivables Trust 2019-3 A2A | 2.63% | 9/15/2022 | 1,983 | 1,987,289 | ||||||||
Enterprise Fleet Financing LLC 2017-1 A2† | 2.13% | 7/20/2022 | 158 | 158,252 | ||||||||
Enterprise Fleet Financing LLC 2018-1 A2† | 2.87% | 10/20/2023 | 578 | 580,814 | ||||||||
First Investors Auto Owner Trust 2017-3A A2† | 2.41% | 12/15/2022 | 1,282 | 1,283,381 | ||||||||
First Investors Auto Owner Trust 2018-2A A1† | 3.23% | 12/15/2022 | 740 | 743,276 | ||||||||
First Investors Auto Owner Trust 2019-2A C† | 2.71% | 12/15/2025 | 1,606 | 1,607,956 | ||||||||
Flagship Credit Auto Trust 2017-3 A† | 1.88% | 10/15/2021 | 92 | 92,385 | ||||||||
Flagship Credit Auto Trust 2017-3 B† | 2.59% | 7/15/2022 | 745 | 745,934 | ||||||||
Flagship Credit Auto Trust 2017-4 A† | 2.07% | 4/15/2022 | 315 | 314,972 | ||||||||
Flagship Credit Auto Trust 2018-1 A† | 2.59% | 6/15/2022 | 600 | 600,515 | ||||||||
Flagship Credit Auto Trust 2018-3 A† | 3.07% | 2/15/2023 | 2,317 | 2,329,132 | ||||||||
Flagship Credit Auto Trust 2018-3 B† | 3.59% | 12/16/2024 | 1,407 | 1,432,427 | ||||||||
Ford Credit Auto Owner Trust 2015-1 A† | 2.12% | 7/15/2026 | 7,121 | 7,122,475 | ||||||||
Foursight Capital Automobile Receivables Trust 2016-1 A2† | 2.87% | 10/15/2021 | 104 | 104,472 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 A3† | 3.24% | 9/15/2022 | 1,833 | 1,840,049 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 B† | 3.53% | 4/17/2023 | 937 | 947,067 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 C† | 3.68% | 8/15/2023 | 442 | 449,106 | ||||||||
Honda Auto Receivables Owner Trust 2019-1 A2 | 2.75% | 9/20/2021 | 4,046 | 4,063,409 | ||||||||
Hyundai Auto Receivables Trust 2017-A 2017-A C | 2.53% | 11/15/2023 | 2,918 | 2,934,178 | ||||||||
Mercedes-Benz Auto Lease Trust 2018-B A2 | 3.04% | 12/15/2020 | 2,190 | 2,193,917 | ||||||||
Mercedes-Benz Auto Receivables Trust 2016-1 A3 | 1.26% | 2/16/2021 | 69 | 68,782 |
See Notes to Financial Statements. | 73 |
Schedule of Investments (continued)
CORE FIXED INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Santander Drive Auto Receivables Trust 2015-4 E† | 4.54% | 11/15/2022 | $ | 6,410 | $ | 6,440,401 | ||||||
Santander Drive Auto Receivables Trust 2016-1 E | 5.02% | 6/15/2023 | 4,212 | 4,254,215 | ||||||||
Santander Drive Auto Receivables Trust 2016-2 E | 4.38% | 9/15/2023 | 5,396 | 5,476,844 | ||||||||
Santander Drive Auto Receivables Trust 2017-3 C | 2.76% | 12/15/2022 | 454 | 455,673 | ||||||||
Santander Drive Auto Receivables Trust 2018-1 B | 2.63% | 7/15/2022 | 3,094 | 3,097,047 | ||||||||
TCF Auto Receivables Owner Trust 2016-PT1A B† | 2.92% | 10/17/2022 | 1,508 | 1,517,011 | ||||||||
Westlake Automobile Receivables Trust 2018-1A B† | 2.67% | 5/17/2021 | 815 | 815,336 | ||||||||
Westlake Automobile Receivables Trust 2019-2A A2A† | 2.57% | 2/15/2023 | 2,985 | 2,995,986 | ||||||||
Westlake Automobile Receivables Trust 2019-2A D† | 3.20% | 11/15/2024 | 1,285 | 1,304,062 | ||||||||
Wheels SPV 2 LLC 2018-1A A2† | 3.06% | 4/20/2027 | 705 | 708,831 | ||||||||
World Omni Auto Receivables Trust 2017-A A3 | 1.93% | 9/15/2022 | 2,383 | 2,382,660 | ||||||||
World Omni Select Auto Trust 2018-1A A2† | 3.24% | 4/15/2022 | 938 | 939,855 | ||||||||
Total | 129,517,912 | |||||||||||
Credit Cards 1.65% | ||||||||||||
American Express Credit Account Master Trust 2017-1 A | 1.93% | 9/15/2022 | 3,208 | 3,207,642 | ||||||||
American Express Credit Account Master Trust 2017-3 A | 1.77% | 11/15/2022 | 2,947 | 2,946,002 | ||||||||
Barclays Dryrock Issuance Trust 2017-2 A | 2.065% (1 Mo. LIBOR + .30% | )# | 5/15/2023 | 5,056 | 5,060,874 | |||||||
Genesis Sales Finance Master Trust 2019-AA A† | 4.68% | 8/20/2023 | 1,235 | 1,260,432 | ||||||||
Perimeter Master Note Business Trust 2019-1A A† | 4.31% | 12/15/2022 | 2,579 | 2,593,558 | (a) | |||||||
Synchrony Credit Card Master Note Trust 2015-1 A | 2.37% | 3/15/2023 | 6,511 | 6,516,702 | ||||||||
World Financial Network Credit Card Master Trust 2016-A | 2.03% | 4/15/2025 | 747 | 747,045 | ||||||||
World Financial Network Credit Card Master Trust 2017-C M | 2.66% | 8/15/2024 | 2,213 | 2,217,720 | ||||||||
Total | 24,549,975 | |||||||||||
Other 8.13% | ||||||||||||
Access Point Funding I LLC 2017-A† | 3.06% | 4/15/2029 | 66 | 65,876 | ||||||||
ALM VII Ltd. 2012-7A A2R2† | 3.851% (3 Mo. LIBOR +1.85% | )# | 7/15/2029 | 3,302 | 3,301,717 | |||||||
Apidos CLO XVI 2013-16A CR† | 4.966% (3 Mo. LIBOR + 3.00% | )# | 1/19/2025 | 500 | 501,633 | |||||||
Ares XLI CLO Ltd. 2016-41A B† | 3.801% (3 Mo. LIBOR + 1.80% | )# | 1/15/2029 | 2,100 | 2,105,420 |
74 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE FIXED INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Ares XXIX CLO Ltd. 2014-1A A1R† | 3.192% (3 Mo. LIBOR + 1.19% | )# | 4/17/2026 | $ | 687 | $ | 688,163 | |||||
Ascentium Equipment Receivables Trust 2016-2A B† | 2.50% | 9/12/2022 | 237 | 236,982 | ||||||||
Ascentium Equipment Receivables Trust 2017-1A A3† | 2.29% | 6/10/2021 | 235 | 235,087 | ||||||||
Avery Point IV CLO Ltd. 2014-1A BR† | 3.54% (3 Mo. LIBOR + 1.60% | )# | 4/25/2026 | 731 | 731,866 | |||||||
Avery Point VII CLO Ltd. 2015-7A BR† | 3.751% (3 Mo. LIBOR + 1.75% | )# | 1/15/2028 | 1,500 | 1,497,116 | |||||||
Avery Point VII CLO Ltd. 2015-7A CR† | 4.451% (3 Mo. LIBOR + 2.45% | )# | 1/15/2028 | 1,000 | 1,001,023 | |||||||
Benefit Street Partners CLO IV Ltd. 2014-IVA A1RR† | 3.216% (3 Mo. LIBOR + 1.25% | )# | 1/20/2029 | 3,500 | 3,500,118 | |||||||
BSPRT Issuer Ltd. 2018-FL4 A† | 2.815% (1 Mo. LIBOR + 1.05% | )# | 9/15/2035 | 2,138 | 2,136,012 | |||||||
Cedar Funding VI CLO Ltd. 2016-6A BR† | 3.566% (3 Mo. LIBOR + 1.60% | )# | 10/20/2028 | 1,200 | 1,188,750 | |||||||
CIFC Funding Ltd. 2017-1A A† | 3.326% (3 Mo. LIBOR + 1.36% | )# | 4/23/2029 | 2,097 | 2,099,761 | |||||||
Clear Creek CLO 2015-1A DR† | 4.916% (3 Mo. LIBOR + 2.95% | )# | 10/20/2030 | 798 | 752,062 | |||||||
Diamond Resorts Owner Trust 2016-1 A† | 3.08% | 11/20/2028 | 113 | 113,740 | ||||||||
Diamond Resorts Owner Trust 2017-1A B† | 4.11% | 10/22/2029 | 690 | 703,039 | ||||||||
DLL LLC 2018-ST2 A2† | 3.14% | 10/20/2020 | 995 | 996,458 | ||||||||
DRB Prime Student Loan Trust 2015-D A2 | 3.20% | 1/25/2040 | 1,706 | 1,726,413 | ||||||||
Ford Credit Floorplan Master Owner Trust 2015-5 A1 | 2.42% | 8/15/2022 | 2,872 | 2,879,596 | ||||||||
Ford Credit Floorplan Master Owner Trust 2017-2 A1 | 2.16% | 9/15/2022 | 4,168 | 4,173,256 | ||||||||
Galaxy XXI CLO Ltd. 2015-21A AR† | 2.986% (3 Mo. LIBOR + 1.02% | )# | 4/20/2031 | 485 | 479,665 | |||||||
Halcyon Loan Advisors Funding Ltd. 2015-2A CR† | 4.09% (3 Mo. LIBOR + 2.15% | )# | 7/25/2027 | 448 | 446,500 | |||||||
Hardee’s Funding LLC 2018-1A A23† | 5.71% | 6/20/2048 | 1,716 | 1,848,534 | ||||||||
Hardee’s Funding LLC 2018-1A A2II† | 4.959% | 6/20/2048 | 2,517 | 2,546,729 | ||||||||
ICG US CLO Ltd. 2015-2A AR† | 2.851% (3 Mo. LIBOR + .85% | )# | 1/16/2028 | 2,795 | 2,785,151 | |||||||
Jamestown CLO IX Ltd. 2016-9A BR† | 4.616% (3 Mo. LIBOR + 2.65% | )# | 10/20/2028 | 1,750 | 1,746,816 | |||||||
Jamestown CLO VII Ltd. 2015-7A CR† | 4.54% (3 Mo. LIBOR + 2.60% | )# | 7/25/2027 | 1,681 | 1,660,420 | |||||||
JFIN CLO Ltd. 2014-1A B1R† | 3.416% (3 Mo. LIBOR + 1.45% | )# | 4/21/2025 | 2,500 | 2,497,942 | |||||||
KKR CLO Ltd. 18 D† | 5.603% (3 Mo. LIBOR + 3.60% | )# | 7/18/2030 | 332 | 326,351 | |||||||
KKR CLO Ltd.18 B† | 3.703% (3 Mo. LIBOR + 1.70% | )# | 7/18/2030 | 2,072 | 2,035,911 |
See Notes to Financial Statements. | 75 |
Schedule of Investments (continued)
CORE FIXED INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
KVK CLO Ltd. 2016-1A C† | 5.151% (3 Mo. LIBOR + 3.15% | )# | 1/15/2029 | $ | 1,564 | $ | 1,564,585 | |||||
Longtrain Leasing III LLC 2015-1A A2† | 4.06% | 1/15/2045 | 1,698 | 1,761,405 | ||||||||
Massachusetts Educational Financing Authority 2008-1 A1 | 2.89% (3 Mo. LIBOR + .95% | )# | 4/25/2038 | 1,035 | 1,034,618 | |||||||
ME Funding LLC 2019-1 A2† | 6.448% | 7/30/2049 | 1,700 | 1,767,723 | ||||||||
Mountain View CLO X Ltd. 2015-10A BR† | 3.351% (3 Mo. LIBOR + 1.35% | )# | 10/13/2027 | 1,449 | 1,436,618 | |||||||
Navient Private Education Refi Loan Trust 2018-DA A2A† | 4.00% | 12/15/2059 | 1,088 | 1,132,685 | ||||||||
NextGear Floorplan Master Owner Trust 2018-2A A2† | 3.69% | 10/15/2023 | 4,130 | 4,249,089 | ||||||||
Northwoods Capital Corp./Northwoods Capital Ltd. 2019-20A C†(b) | Zero Coupon | #(c) | 1/25/2030 | 1,395 | 1,395,487 | |||||||
Northwoods Capital Corp./Northwoods Capital Ltd. 2019-20A D†(b) | Zero Coupon | #(c) | 1/25/2030 | 1,616 | 1,615,601 | |||||||
OHA Loan Funding Ltd. 2015-1A CR2†(b) | Zero Coupon | #(c) | 11/15/2032 | 770 | 770,000 | |||||||
OHA Loan Funding Ltd. 2016-1A B1† | 3.766% (3 Mo. LIBOR + 1.80% | )# | 1/20/2028 | 4,200 | 4,185,463 | |||||||
OneMain Financial Issuance Trust 2016-1A A† | 3.66% | 2/20/2029 | 232 | 232,679 | ||||||||
Orec Ltd. 2018-CRE1 A† | 2.945% (1 Mo. LIBOR + 1.18% | )# | 6/15/2036 | 1,950 | 1,950,103 | |||||||
Palmer Square Loan Funding Ltd. 2017-1A B† | 3.701% (3 Mo. LIBOR + 1.70% | )# | 10/15/2025 | 1,246 | 1,236,908 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A1† | 2.601% (3 Mo. LIBOR + .60% | )# | 4/15/2026 | 1,815 | 1,808,062 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A2† | 3.051% (3 Mo. LIBOR + 1.05% | )# | 4/15/2026 | 946 | 933,080 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A B† | 3.401% (3 Mo. LIBOR + 1.40% | )# | 4/15/2026 | 716 | 694,465 | |||||||
Palmer Square Loan Funding Ltd. 2018-5A A2† | 3.366% (3 Mo. LIBOR + 1.40% | )# | 1/20/2027 | 485 | 476,934 | |||||||
Pennsylvania Higher Education Assistance Agency 2006-1 B | 2.21% (3 Mo. LIBOR + .27% | )# | 4/25/2038 | 878 | 821,124 | |||||||
PFS Financing Corp. 2018-B† | 3.08% | 2/15/2023 | 1,069 | 1,073,691 | ||||||||
Planet Fitness Master Issuer LLC 2019-1A A2†(b) | 3.858% | 12/5/2049 | 1,422 | 1,429,192 | ||||||||
Regatta VI Funding Ltd. 2016-1A CR† | 4.016% (3 Mo. LIBOR + 2.05% | )# | 7/20/2028 | 929 | 909,214 | |||||||
Regatta XVI Funding Ltd. 2019-2A C†(b) | Zero Coupon | #(c) | 1/15/2033 | 670 | 670,000 | |||||||
Regatta XVI Funding Ltd. 2019-2A D†(b) | Zero Coupon | #(c) | 1/15/2033 | 731 | 731,000 | |||||||
SCF Equipment Leasing LLC 2017-2A A† | 3.41% | 12/20/2023 | 506 | 511,991 | ||||||||
SCF Equipment Leasing LLC 2018-1A A2† | 3.63% | 10/20/2024 | 1,632 | 1,654,195 | ||||||||
SCF Equipment Leasing LLC 2019-1A C† | 3.92% | 11/20/2026 | 4,181 | 4,299,441 |
76 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE FIXED INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
SCF Equipment Leasing LLC 2019-2A B† | 2.76% | 8/20/2026 | $ | 3,285 | $ | 3,288,845 | ||||||
SCF Equipment Leasing LLC 2019-2A C† | 3.11% | 6/21/2027 | 2,384 | 2,386,718 | ||||||||
Shackleton CLO Ltd. 2016-9A B† | 3.866% (3 Mo. LIBOR + 1.90% | )# | 10/20/2028 | 1,070 | 1,070,050 | |||||||
Shackleton CLO Ltd. 2019-14A A2† | 4.178% (3 Mo. LIBOR + 1.90% | )# | 7/20/2030 | 3,798 | 3,762,373 | |||||||
SLC Student Loan Trust 2008-1 A4A | 3.719% (3 Mo. LIBOR + 1.60% | )# | 12/15/2032 | 2,620 | 2,663,878 | |||||||
SLM Private Education Loan Trust 2010-A 2A† | 5.015% (1 Mo. LIBOR + 3.25% | )# | 5/16/2044 | 17 | 17,087 | |||||||
Sound Point CLO XII Ltd. 2016-2A CR† | 4.566% (3 Mo. LIBOR + 2.60% | )# | 10/20/2028 | 1,565 | 1,566,916 | |||||||
Sound Point CLO XV Ltd. 2017-1A C† | 4.434% (3 Mo. LIBOR + 2.50% | )# | 1/23/2029 | 1,114 | 1,114,836 | |||||||
Sound Point CLO XVII 2017-3A A2† | 3.566% (3 Mo. LIBOR + 1.60% | )# | 10/20/2030 | 4,046 | 3,945,487 | |||||||
TAL Advantage VI LLC 2017-1A A† | 4.50% | 4/20/2042 | 2,313 | 2,357,693 | ||||||||
Textainer Marine Containers VII Ltd. 2019-1A A† | 3.96% | 4/20/2044 | 1,218 | 1,235,461 | ||||||||
Towd Point Asset Trust 2018-SL1 A† | 2.308% (1 Mo. LIBOR + .60% | )# | 1/25/2046 | 1,699 | 1,676,307 | |||||||
Towd Point Mortgage Trust 2019-HY2 A1† | 2.708% (1 Mo. LIBOR + 1.00% | )# | 5/25/2058 | 1,812 | 1,822,159 | |||||||
TPG Real Estate Finance Issuer Ltd. 2018-FL2 A† | 2.893% (1 Mo. LIBOR + 1.13% | )# | 11/15/2037 | 1,988 | 1,988,994 | |||||||
Tralee CLO III Ltd. 2014-3A AR† | 2.996% (3 Mo. LIBOR + 1.03% | )# | 10/20/2027 | 3,556 | 3,551,480 | |||||||
Voya CLO Ltd. 2019-1A D† | 5.301% (3 Mo. LIBOR + 3.30% | )# | 4/15/2029 | 376 | 374,309 | |||||||
Westgate Resorts LLC 2018-1A A† | 3.38% | 12/20/2031 | 711 | 719,009 | ||||||||
Total | 120,895,062 | |||||||||||
Total Asset-Backed Securities (cost $274,188,581) | 274,962,949 | |||||||||||
CORPORATE BONDS 18.82% | ||||||||||||
Automotive 0.61% | ||||||||||||
Ford Motor Co. | 7.45% | 7/16/2031 | 2,929 | 3,403,669 | ||||||||
General Motors Co. | 6.60% | 4/1/2036 | 4,911 | 5,715,537 | ||||||||
Total | 9,119,206 | |||||||||||
Banks: Regional 5.51% | ||||||||||||
Banco de Credito e Inversiones SA (Chile)†(d) | 3.50% | 10/12/2027 | 1,290 | 1,316,217 | ||||||||
Bank of America Corp. | 3.593% (3 Mo. LIBOR + 1.37% | )# | 7/21/2028 | 12,458 | 13,225,776 |
See Notes to Financial Statements. | 77 |
Schedule of Investments (continued)
CORE FIXED INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Bank of America Corp. | 4.00% | 1/22/2025 | $ | 1,716 | $ | 1,826,921 | ||||||
Bank of America Corp. | 4.45% | 3/3/2026 | 940 | 1,032,666 | ||||||||
Citigroup, Inc. | 3.887% (3 Mo. LIBOR + 1.56% | )# | 1/10/2028 | 7,721 | 8,307,306 | |||||||
Citigroup, Inc. | 4.45% | 9/29/2027 | 1,374 | 1,513,216 | ||||||||
Goldman Sachs Group, Inc. (The) | 6.75% | 10/1/2037 | 2,314 | 3,182,228 | ||||||||
JPMorgan Chase & Co. | 3.54% | # | 5/1/2028 | 1,452 | 1,540,545 | |||||||
JPMorgan Chase & Co. | 3.782% (3 Mo. LIBOR + 1.34% | )# | 2/1/2028 | 9,225 | 9,923,522 | |||||||
Macquarie Group Ltd. (Australia)†(d) | 4.654% (3 Mo. LIBOR + 1.73% | )# | 3/27/2029 | 3,121 | 3,460,191 | |||||||
Morgan Stanley | 3.625% | 1/20/2027 | 1,033 | 1,102,084 | ||||||||
Morgan Stanley | 3.875% | 1/27/2026 | 5,383 | 5,804,950 | ||||||||
Morgan Stanley | 4.00% | 7/23/2025 | 5,348 | 5,785,050 | ||||||||
Santander UK plc (United Kingdom)(d) | 7.95% | 10/26/2029 | 2,280 | 2,921,002 | ||||||||
Toronto-Dominion Bank (The) (Canada)(d) | 3.625% (5 Yr. Swap rate + 2.21% | )# | 9/15/2031 | 6,336 | 6,614,553 | |||||||
UBS AG | 7.625% | 8/17/2022 | 2,826 | 3,189,438 | ||||||||
UBS AG (Switzerland)(d) | 5.125% | 5/15/2024 | 1,694 | 1,826,474 | ||||||||
Wells Fargo Bank NA | 5.85% | 2/1/2037 | 5,275 | 7,025,002 | ||||||||
Wells Fargo Bank NA | 6.60% | 1/15/2038 | 1,583 | 2,277,791 | ||||||||
Total | 81,874,932 | |||||||||||
Beverages 0.54% | ||||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. | 4.70% | 2/1/2036 | 6,168 | 7,180,651 | ||||||||
Becle SAB de CV (Mexico)†(d) | 3.75% | 5/13/2025 | 800 | 822,556 | ||||||||
Total | 8,003,207 | |||||||||||
Business Services 0.22% | ||||||||||||
Adani Ports & Special Economic Zone Ltd. (India)†(d) | 4.00% | 7/30/2027 | 704 | 716,479 | ||||||||
Ashtead Capital, Inc.† | 4.25% | 11/1/2029 | 1,058 | 1,071,225 | ||||||||
PayPal Holdings, Inc. | 2.85% | 10/1/2029 | 1,419 | 1,418,866 | ||||||||
Total | 3,206,570 | |||||||||||
Chemicals 0.13% | ||||||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(d) | 3.50% | 7/19/2022 | 1,270 | 1,289,746 | ||||||||
Orbia Advance Corp. SAB de CV (Mexico)†(d) | 4.875% | 9/19/2022 | 550 | 577,672 | ||||||||
Total | 1,867,418 | |||||||||||
Computer Hardware 0.33% | ||||||||||||
Dell International LLC/EMC Corp.† | 6.02% | 6/15/2026 | 1,950 | 2,229,988 | ||||||||
Dell International LLC/EMC Corp.† | 8.35% | 7/15/2046 | 1,998 | 2,683,163 | ||||||||
Total | 4,913,151 |
78 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE FIXED INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Computer Software 0.16% | ||||||||||||
Oracle Corp. | 6.125% | 7/8/2039 | $ | 1,692 | $ | 2,410,706 | ||||||
Drugs 0.05% | ||||||||||||
Bayer Corp.† | 6.65% | 2/15/2028 | 629 | 773,965 | ||||||||
Electric: Integrated 0.05% | ||||||||||||
Empresas Publicas de Medellin ESP (Colombia)†(d) | 4.25% | 7/18/2029 | 650 | 671,351 | ||||||||
Electric: Power 1.28% | ||||||||||||
Berkshire Hathaway Energy Co. | 3.80% | 7/15/2048 | 3,046 | 3,314,240 | ||||||||
Cleco Corporate Holdings LLC | 4.973% | 5/1/2046 | 824 | 935,259 | ||||||||
Dominion Energy South Carolina, Inc. | 6.05% | 1/15/2038 | 1,113 | 1,523,211 | ||||||||
Dominion Energy South Carolina, Inc. | 6.625% | 2/1/2032 | 581 | 790,620 | ||||||||
Entergy Louisiana LLC | 4.00% | 3/15/2033 | 934 | 1,067,919 | ||||||||
Entergy Texas, Inc. | 4.00% | 3/30/2029 | 1,212 | 1,343,439 | ||||||||
Exelon Generation Co. LLC | 5.60% | 6/15/2042 | 1,421 | 1,658,247 | ||||||||
Minejesa Capital BV (Netherlands)†(d) | 4.625% | 8/10/2030 | 700 | 721,728 | ||||||||
Ohio Edison Co. | 8.25% | 10/15/2038 | 2,012 | 3,214,463 | ||||||||
Oklahoma Gas & Electric Co. | 3.30% | 3/15/2030 | 1,146 | 1,206,636 | ||||||||
Pennsylvania Electric Co.† | 3.60% | 6/1/2029 | 1,682 | 1,790,498 | ||||||||
Vistra Operations Co. LLC† | 4.30% | 7/15/2029 | 1,401 | 1,446,040 | ||||||||
Total | 19,012,300 | |||||||||||
Electrical Equipment 0.35% | ||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 3.625% | 1/15/2024 | 1,933 | 1,989,794 | ||||||||
Broadcom, Inc.† | 3.625% | 10/15/2024 | 3,143 | 3,232,694 | ||||||||
Total | 5,222,488 | |||||||||||
Financial Services 1.53% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(d) | 3.50% | 1/15/2025 | 2,732 | 2,814,823 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(d) | 3.875% | 1/23/2028 | 2,320 | 2,411,656 | ||||||||
Affiliated Managers Group, Inc. | 3.50% | 8/1/2025 | 370 | 385,905 | ||||||||
Affiliated Managers Group, Inc. | 4.25% | 2/15/2024 | 715 | 762,947 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(d) | 5.25% | 5/15/2024 | 4,791 | 5,219,866 | ||||||||
GE Capital International Funding Co. Unlimited Co. (Ireland)(d) | 4.418% | 11/15/2035 | 2,712 | 2,922,932 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.50% | 3/15/2027 | 1,164 | 1,245,389 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 690 | 717,073 |
See Notes to Financial Statements. | 79 |
Schedule of Investments (continued)
CORE FIXED INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Financial Services (continued) | ||||||||||||
Park Aerospace Holdings Ltd. (Ireland)†(d) | 5.50% | 2/15/2024 | $ | 3,956 | $ | 4,334,392 | ||||||
SURA Asset Management SA (Columbia)†(d) | 4.875% | 4/17/2024 | 1,835 | 1,958,101 | ||||||||
Total | 22,773,084 | |||||||||||
Health Care Services 0.21% | ||||||||||||
CommonSpirit Health | 3.347% | 10/1/2029 | 1,938 | 1,949,770 | ||||||||
Providence St. Joseph Health Obligated Group | 2.532% | 10/1/2029 | 498 | 492,526 | ||||||||
Universal Health Services, Inc.† | 5.00% | 6/1/2026 | 632 | 668,560 | ||||||||
Total | 3,110,856 | |||||||||||
Insurance 0.39% | ||||||||||||
Teachers Insurance & Annuity Association of America† | 4.90% | 9/15/2044 | 4,592 | 5,730,050 | ||||||||
Leisure 0.40% | ||||||||||||
Carnival plc | 7.875% | 6/1/2027 | 1,230 | 1,607,888 | ||||||||
Royal Caribbean Cruises Ltd. | 3.70% | 3/15/2028 | 4,163 | 4,283,185 | ||||||||
Total | 5,891,073 | |||||||||||
Machinery: Agricultural 0.37% | ||||||||||||
BAT Capital Corp. | 3.557% | 8/15/2027 | 2,114 | 2,155,496 | ||||||||
BAT Capital Corp. | 4.39% | 8/15/2037 | 3,348 | 3,316,784 | ||||||||
Total | 5,472,280 | |||||||||||
Machinery: Industrial/Specialty 0.23% | ||||||||||||
nVent Finance Sarl (Luxembourg)(d) | 4.55% | 4/15/2028 | 3,315 | 3,424,338 | ||||||||
Manufacturing 0.14% | ||||||||||||
General Electric Co. | 2.271% (3 Mo. LIBOR + .38% | )# | 5/5/2026 | 1,357 | 1,273,503 | |||||||
General Electric Co. | 6.15% | 8/7/2037 | 685 | 855,442 | ||||||||
Total | 2,128,945 | |||||||||||
Media 0.67% | ||||||||||||
Cox Communications, Inc.† | 8.375% | 3/1/2039 | 3,714 | 5,629,274 | ||||||||
Time Warner Cable LLC | 7.30% | 7/1/2038 | 3,385 | 4,345,339 | ||||||||
Total | 9,974,613 | |||||||||||
Metals & Minerals: Miscellaneous 0.40% | ||||||||||||
Anglo American Capital plc (United Kingdom)†(d) | 4.75% | 4/10/2027 | 3,199 | 3,483,078 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(d) | 5.55% | 10/25/2042 | 2,296 | 2,486,724 | ||||||||
Total | 5,969,802 | |||||||||||
Natural Gas 0.13% | ||||||||||||
Dominion Energy Gas Holdings LLC | 4.60% | 12/15/2044 | 1,711 | 1,899,910 |
80 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE FIXED INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil 1.47% | ||||||||||||
Apache Corp. | 4.75% | 4/15/2043 | $ | 3,619 | $ | 3,340,001 | ||||||
Ecopetrol SA (Colombia)(d) | 4.125% | 1/16/2025 | 3,650 | 3,815,765 | ||||||||
Eni SpA (Italy)†(d) | 5.70% | 10/1/2040 | 5,053 | 6,197,206 | ||||||||
Equinor ASA (Norway)(d) | 7.15% | 11/15/2025 | 1,354 | 1,693,808 | ||||||||
Occidental Petroleum Corp. | 7.875% | 9/15/2031 | 1,678 | 2,237,274 | ||||||||
Saudi Arabian Oil Co. (Saudi Arabia)†(d) | 2.875% | 4/16/2024 | 1,950 | 1,976,061 | ||||||||
Shell International Finance BV (Netherlands)(d) | 6.375% | 12/15/2038 | 1,773 | 2,575,312 | ||||||||
Total | 21,835,427 | |||||||||||
Oil: Crude Producers 0.31% | ||||||||||||
Abu Dhabi Crude Oil Pipeline LLC (United Arab Emirates)†(d) | 4.60% | 11/2/2047 | 770 | 882,208 | ||||||||
IFM US Colonial Pipeline 2 LLC† | 6.45% | 5/1/2021 | 2,710 | 2,805,627 | ||||||||
Northern Natural Gas Co.† | 4.30% | 1/15/2049 | 771 | 884,818 | ||||||||
Total | 4,572,653 | |||||||||||
Oil: Integrated Domestic 0.94% | ||||||||||||
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc. | 3.138% | 11/7/2029 | 1,842 | 1,869,447 | ||||||||
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc. | 4.08% | 12/15/2047 | 4,022 | 4,111,019 | ||||||||
Halliburton Co. | 7.45% | 9/15/2039 | 2,595 | 3,698,758 | ||||||||
National Oilwell Varco, Inc. | 3.60% | 12/1/2029 | 2,551 | 2,493,517 | ||||||||
Schlumberger Holdings Corp.† | 4.30% | 5/1/2029 | 1,711 | 1,859,860 | ||||||||
Total | 14,032,601 | |||||||||||
Real Estate Investment Trusts 0.95% | ||||||||||||
EPR Properties | 4.50% | 6/1/2027 | 779 | 836,531 | ||||||||
EPR Properties | 4.75% | 12/15/2026 | 888 | 969,357 | ||||||||
EPR Properties | 4.95% | 4/15/2028 | 2,902 | 3,184,971 | ||||||||
VEREIT Operating Partnership LP | 4.875% | 6/1/2026 | 5,718 | 6,350,235 | ||||||||
WEA Finance LLC† | 3.50% | 6/15/2029 | 2,743 | 2,845,746 | ||||||||
Total | 14,186,840 | |||||||||||
Technology 0.26% | ||||||||||||
Tencent Holdings Ltd. (China)†(d) | 3.595% | 1/19/2028 | 3,700 | 3,852,930 | ||||||||
Telecommunications 0.60% | ||||||||||||
AT&T, Inc. | 6.00% | 8/15/2040 | 2,154 | 2,731,503 | ||||||||
AT&T, Inc. | 6.25% | 3/29/2041 | 2,130 | 2,754,301 | ||||||||
Ooredoo International Finance Ltd.† | 3.75% | 6/22/2026 | 3,270 | 3,441,675 | ||||||||
Total | 8,927,479 |
See Notes to Financial Statements. | 81 |
Schedule of Investments (continued)
CORE FIXED INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Transportation: Miscellaneous 0.44% | ||||||||||||
Burlington Northern Santa Fe LLC | 5.75% | 5/1/2040 | $ | 1,000 | $ | 1,362,126 | ||||||
Norfolk Southern Corp. | 5.59% | 5/17/2025 | 4,477 | 5,224,393 | ||||||||
Total | 6,586,519 | |||||||||||
Utilities 0.15% | ||||||||||||
Aqua America, Inc. | 3.566% | 5/1/2029 | 2,156 | 2,301,596 | ||||||||
Total Corporate Bonds (cost $261,800,822) | 279,746,290 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS 1.29% | ||||||||||||
Indonesia 0.17% | ||||||||||||
Republic of Indonesia(d) | 3.40% | 9/18/2029 | 2,450 | 2,552,558 | ||||||||
Japan 0.78% | ||||||||||||
Japan Bank for International Corp.(d) | 2.125% | 2/10/2025 | 6,352 | 6,386,942 | ||||||||
Japan Bank for International Corp.(d) | 2.50% | 5/23/2024 | 5,060 | 5,173,995 | ||||||||
Total | 11,560,937 | |||||||||||
Qatar 0.06% | ||||||||||||
State of Qatar†(d) | 5.103% | 4/23/2048 | 725 | 929,635 | ||||||||
South Africa 0.28% | ||||||||||||
Saudi International Bond†(d) | 3.25% | 10/26/2026 | 4,000 | 4,135,696 | ||||||||
Total Foreign Government Obligations (cost $18,577,317) | 19,178,826 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 1.28% | ||||||||||||
Federal Home Loan Mortgage Corp. Q001 XA IO | 2.231% | #(e) | 2/25/2032 | 12,003 | 1,595,110 | |||||||
Government National Mortgage Assoc. 2014-78 A | 2.20% | 4/16/2047 | 89 | 88,799 | ||||||||
Government National Mortgage Assoc. 2015-48 AS | 2.90% | #(e) | 2/16/2049 | 3,003 | 3,045,853 | |||||||
Government National Mortgage Assoc. 2015-73 AC | 2.90% | #(e) | 2/16/2053 | 591 | 599,065 | |||||||
Government National Mortgage Assoc. 2017-168 AS | 2.70% | 8/16/2058 | 3,697 | 3,735,162 | ||||||||
Government National Mortgage Assoc. 2017-41 AS | 2.60% | 6/16/2057 | 3,209 | 3,231,644 | ||||||||
Government National Mortgage Assoc. 2017-69 AS | 2.75% | 2/16/2058 | 1,732 | 1,753,812 | ||||||||
Government National Mortgage Assoc. 2017-71 AS | 2.70% | 4/16/2057 | 1,142 | 1,154,781 | ||||||||
Government National Mortgage Assoc. 2017-86 AS | 2.75% | 2/16/2058 | 1,276 | 1,291,890 | ||||||||
Government National Mortgage Assoc. 2017-89 AB | 2.60% | 7/16/2058 | 1,072 | 1,079,021 | ||||||||
Government National Mortgage Assoc. 2017-90 AS | 2.70% | 7/16/2057 | 1,475 | 1,490,219 | ||||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $18,858,649) | 19,065,356 |
82 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE FIXED INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 37.03% | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.00% | 10/1/2049 | $ | 3,560 | $ | 3,858,416 | ||||||
Federal National Mortgage Assoc.(f) | 3.00% | TBA | 71,200 | 72,206,813 | ||||||||
Federal National Mortgage Assoc.(f) | 3.50% | TBA | 406,000 | 416,784,379 | ||||||||
Federal National Mortgage Assoc. | 4.00% | 1/1/2048 | 4,502 | 4,890,577 | ||||||||
Federal National Mortgage Assoc.(f) | 4.00% | TBA | 50,750 | 52,657,090 | ||||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $548,872,363) | 550,397,275 | |||||||||||
MUNICIPAL BOND 0.05% | ||||||||||||
Miscellaneous | ||||||||||||
Pennsylvania (cost $658,315) | 5.35% | 5/1/2030 | 650 | 659,620 | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 4.89% | ||||||||||||
Atrium Hotel Portfolio Trust 2018-ATRM A† | 2.715% (1 Mo. LIBOR + .95% | )# | 6/15/2035 | 1,141 | 1,142,741 | |||||||
Bancorp Commercial Mortgage Trust (The) 2018-CR3 A† | 2.615% (1 Mo. LIBOR + .85% | )# | 1/15/2033 | 702 | 701,151 | |||||||
BBCMS Mortgage Trust 2019-BWAY A† | 2.756% (1 Mo. LIBOR + .96% | )# | 11/25/2034 | 1,510 | 1,501,731 | |||||||
BBCMS Mortgage Trust 2019-BWAY B† | 3.11% (1 Mo. LIBOR + 1.31% | )# | 11/25/2034 | 664 | 660,558 | |||||||
BX Commercial Mortgage Trust 2018-BIOA A† | 2.436% (1 Mo. LIBOR + .67% | )# | 3/15/2037 | 4,127 | 4,121,310 | |||||||
BX Trust 2018-GW A† | 2.565% (1 Mo. LIBOR + .80% | )# | 5/15/2035 | 3,064 | 3,057,051 | |||||||
CF Trust 2019-BOSS A1† | 4.953% (1 Mo. LIBOR + 3.25% | )# | 12/15/2021 | 1,690 | 1,692,312 | (a) | ||||||
Citigroup Commercial Mortgage Trust 2014-GC21 XA IO | 1.345% | #(e) | 5/10/2047 | 16,936 | 751,152 | |||||||
Citigroup Commercial Mortgage Trust 2016-GC36 D† | 2.85% | 2/10/2049 | 3,025 | 2,638,602 | ||||||||
Citigroup Commercial Mortgage Trust 2016-P3 D† | 2.804% | #(e) | 4/15/2049 | 709 | 621,170 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-CR19 XA IO | 1.191% | #(e) | 8/10/2047 | 3,220 | 126,127 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-UBS4 D† | 4.863% | #(e) | 8/10/2047 | 4,440 | 4,123,011 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-DC1 D† | 4.408% | #(e) | 2/10/2048 | 2,961 | 2,738,249 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 B | 4.584% | #(e) | 7/10/2050 | 620 | 664,106 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 C | 4.584% | #(e) | 7/10/2050 | 3,385 | 3,535,973 |
See Notes to Financial Statements. | 83 |
Schedule of Investments (continued)
CORE FIXED INCOME FUNDNovember 30, 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 D | 4.584% | #(e) | 7/10/2050 | $ | 1,471 | $ | 1,395,937 | |||||
Commercial Mortgage Pass-Through Certificates 2016-COR1 AM | 3.494% | 10/10/2049 | 690 | 722,521 | ||||||||
CSAIL Commercial Mortgage Trust 2015-C2 C | 4.332% | #(e) | 6/15/2057 | 325 | 317,250 | |||||||
CSAIL Commercial Mortgage Trust 2019-C18 AS(b) | 3.321% | 12/15/2052 | 1,635 | 1,682,677 | ||||||||
DBWF Mortgage Trust 2018-GLKS A† | 2.763% (1 Mo. LIBOR + 1.03% | )# | 11/19/2035 | 1,916 | 1,920,923 | |||||||
GS Mortgage Securities Corp. Trust 2018-RIVR A† | 2.715% (1 Mo. LIBOR + .95% | )# | 7/15/2035 | 1,348 | 1,351,300 | |||||||
GS Mortgage Securities Trust 2015-GC32 C | 4.557% | #(e) | 7/10/2048 | 685 | 728,061 | |||||||
Hilton Orlando Trust 2018-ORL A† | 2.535% (1 Mo. LIBOR + .77% | )# | 12/15/2034 | 4,123 | 4,127,116 | |||||||
Hudsons Bay Simon JV Trust 2015-HB7 B7† | 4.666% | 8/5/2034 | 2,410 | 2,432,837 | ||||||||
Hudsons Bay Simon JV Trust 2015-HB7 D7† | 5.331% | #(e) | 8/5/2034 | 2,231 | 2,143,195 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XA IO | 0.909% | #(e) | 4/15/2047 | 2,494 | 54,657 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XB IO | 0.441% | #(e) | 4/15/2047 | 1,381 | 19,837 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C30 C | 4.41% | #(e) | 7/15/2048 | 2,629 | 2,706,927 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ A† | 2.765% (1 Mo. LIBOR + 1.00% | )# | 6/15/2032 | 3,125 | 3,129,926 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ B† | 3.065% (1 Mo. LIBOR + 1.30% | )# | 6/15/2032 | 2,643 | 2,646,845 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ D† | 3.865% (1 Mo. LIBOR + 2.10% | )# | 6/15/2032 | 1,560 | 1,567,519 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN† | 2.934% (1 Mo. LIBOR + 1.27% | )# | 11/15/2035 | 1,026 | 1,028,037 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT AFL† | 2.724% (1 Mo. LIBOR + .95% | )# | 7/5/2033 | 4,859 | 4,851,061 | |||||||
PFP Ltd. 2019-6 A†(b) | 2.964% (1 Mo. LIBOR + 1.05% | )# | 4/14/2037 | 1,729 | 1,745,963 | |||||||
ReadyCap Commercial Mortgage Trust 2019-6 A† | 2.832% | 10/25/2052 | 1,331 | 1,337,194 | ||||||||
Sequoia Mortgage Trust 2012-4 A3 | 2.069% | #(e) | 9/25/2042 | 307 | 304,287 | |||||||
SFAVE Commercial Mortgage Securities Trust 2015-5AVE A2B† | 4.144% | #(e) | 1/5/2043 | 250 | 266,696 | |||||||
Wells Fargo Commercial Mortgage Trust 2015-C28 D | 4.244% | #(e) | 5/15/2048 | 2,000 | 1,896,229 | |||||||
Wells Fargo Commercial Mortgage Trust 2016-C35 C | 4.176% | #(e) | 7/15/2048 | 2,139 | 2,213,846 |
84 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE FIXED INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Wells Fargo Commercial Mortgage Trust 2016-NXS5 E† | 5.038% | #(e) | 1/15/2059 | $ | 1,524 | $ | 1,529,685 | |||||
Wells Fargo Commercial Mortgage Trust 2017-C41 AS | 3.785% | #(e) | 11/15/2050 | 1,151 | 1,238,316 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C20 XA IO | 1.124% | #(e) | 5/15/2047 | 7,563 | 258,302 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C20 XB IO | 0.734% | #(e) | 5/15/2047 | 1,909 | 48,311 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C23 XA IO | 0.715% | #(e) | 10/15/2057 | 21,850 | 516,347 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C23 XB IO | 0.307% | #(e) | 10/15/2057 | 36,416 | 453,634 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $70,393,265) | 72,710,680 | |||||||||||
U.S. TREASURY OBLIGATIONS 22.57% | ||||||||||||
U.S. Treasury Bond | 2.25% | 8/15/2049 | 50,757 | 51,216,985 | ||||||||
U.S. Treasury Bond | 2.75% | 11/15/2047 | 31,667 | 35,236,960 | ||||||||
U.S. Treasury Bond | 3.625% | 8/15/2043 | 37,160 | 47,057,479 | ||||||||
U.S. Treasury Inflation Indexed Note(g) | 0.625% | 4/15/2023 | 57,071 | 57,622,635 | ||||||||
U.S. Treasury Note | 1.50% | 11/30/2021 | 18,782 | 18,740,914 | ||||||||
U.S. Treasury Note | 1.50% | 11/30/2024 | 28,057 | 27,887,672 | ||||||||
U.S. Treasury Note | 1.75% | 11/15/2029 | 30,386 | 30,311,815 | ||||||||
U.S. Treasury Note | 2.50% | 1/31/2021 | 65,320 | 65,919,617 | ||||||||
U.S. Treasury Note | 2.875% | 10/31/2020 | 1,375 | 1,389,583 | ||||||||
Total U.S. Treasury Obligations (cost $327,339,975) | 335,383,660 | |||||||||||
Total Long-Term Investments (cost $1,520,689,287) | 1,552,104,656 | |||||||||||
SHORT-TERM INVESTMENTS 31.81% | ||||||||||||
FOREIGN GOVERNMENT OBLIGATION 3.88% | ||||||||||||
Japan | ||||||||||||
Japan Treasury Discount Bill(h) (cost $58,132,349) | Zero Coupon | 1/27/2020 | JPY | 6,300,000 | 57,593,408 | |||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGH 4.36% | ||||||||||||
Federal Home Loan Bank Discount Notes (cost $64,816,391) | Zero Coupon | 12/6/2019 | $ | 64,834 | 64,822,690 |
See Notes to Financial Statements. | 85 |
Schedule of Investments (continued)
CORE FIXED INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
REPURCHASE AGREEMENTS 1.95% | ||||||||||||
Repurchase Agreement dated 11/29/2019, 0.85% due 12/2/2019 with Fixed Income Clearing Corp. collateralized by $11,025,000 of U.S. Treasury Note at 2.125% due 9/30/2021; value: $11,151,446; proceeds: $10,928,637 | $ | 10,928 | $ | 10,927,863 | ||||||||
Repurchase Agreement dated 11/29/2019, 1.45% due 12/2/2019 with JPMorgan Chase & Co. collateralized by $11,956,000 of U.S. Treasury Note at 2.125% due 5/15/2025; value: $12,248,551; proceeds: $12,001,450 | 12,000 | 12,000,000 | ||||||||||
Repurchase Agreement dated 11/29/2019, 1.61% due 12/2/2019 with Toronto Dominion Grand Cayman collateralized by $6,080,000 of U.S. Treasury Note at 2.25% due 4/30/2021; value: $6,139,526; proceeds: $6,000,805 | 6,000 | 6,000,000 | ||||||||||
Total Repurchase Agreements (cost $28,927,863) | 28,927,863 | |||||||||||
U.S. TREASURY OBLIGATIONS 21.62% | ||||||||||||
U.S. Treasury Bill | Zero Coupon | 12/3/2019 | 194,440 | 194,431,466 | ||||||||
U.S. Treasury Bill | Zero Coupon | 1/30/2020 | 127,267 | 126,938,631 | ||||||||
Total U.S. Treasury Obligations (cost $321,368,117) | 321,370,097 | |||||||||||
Total Short-Term Investments (cost $473,244,720) | 472,714,058 | |||||||||||
Total Investments in Securities 136.24% (cost $1,993,934,007) | 2,024,818,714 | |||||||||||
Liabilities in Excess of Cash and Other Assets(i)(36.24%) | (538,549,831 | ) | ||||||||||
Net Assets 100.00% | $ | 1,486,268,883 |
JPY | Japanese yen. | |
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. At November 30, 2019, the total value of Rule 144A securities was $309,699,133, which represents 20.84% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at November 30, 2019. | |
(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) | Variable Rate is Fixed to Float: Rate remains fixed until designated future date. | |
(d) | Foreign security traded in U.S. dollars. | |
(e) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(f) | To-be-announced (“TBA”). Security purchased on a forward commitment basis with an approximate principal and maturity date. Actual principal and maturity will be determined upon settlement when the specific mortgage pools are assigned. | |
(g) | 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. | |
(h) | Investment in non-U.S. dollar denominated securities. | |
(i) | Liabilities in Excess of Cash and Other Assets include net unrealized appreciation/depreciation on interest rate swaps, forward foreign currency exchange contracts and futures contracts as follows: |
86 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE FIXED INCOME FUNDNovember 30, 2019
Centrally Cleared Interest Rate Swap Contracts at November 30, 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 | 1.8902% | 6/7/2021 | $ | 125,000,000 | $ | 125,411,884 | $ | 411,884 | ||||||||||
Credit Suisse | 3-Month USD LIBOR Index | 2.3497% | 4/1/2021 | 87,118,870 | 87,858,640 | 739,770 | |||||||||||||
Total | $ | 1,151,654 |
* | Central clearinghouse: Chicago Mercantile Exchange (CME). |
Open Forward Foreign Currency Exchange Contracts at November 30, 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 | |||||||||||||
Japanese yen | Sell | J.P. Morgan | 1/27/2020 | 6,270,000,000 | $58,183,776 | $57,533,374 | $650,402 |
Open Futures Contracts at November 30, 2019:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | |||||||||||||
U.S. 2-Year Treasury Note | March 2020 | 205 | Short | $ | (44,202,762) | $ | (44,195,117) | $ | 7,645 | ||||||||||
U.S. 10-Year Ultra Treasury Note | March 2020 | 42 | Short | (5,983,615) | (5,973,187) | 10,428 | |||||||||||||
U.S. Ultra Treasury Bond | March 2020 | 21 | Short | (3,952,146) | (3,942,094) | 10,052 | |||||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 28,125 |
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | |||||||||||||
U.S. 5-Year Treasury Note | March 2020 | 1,112 | Long | $ | 132,382,121 | $ | 132,293,250 | $ | (88,871 | ) | |||||||||
U.S. Long Bond | March 2020 | 263 | Long | 42,064,054 | 41,808,781 | (255,273 | ) | ||||||||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (344,144 | ) |
See Notes to Financial Statements. | 87 |
Schedule of Investments (continued)
CORE FIXED INCOME FUNDNovember 30, 2019
The following is a summary of the inputs used as of November 30, 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 | ||||||||||||||||
Credit Cards | $ | – | $ | 21,956,417 | $ | 2,593,558 | $ | 24,549,975 | ||||||||
Remaining Industries | – | 250,412,974 | – | 250,412,974 | ||||||||||||
Corporate Bonds | – | 279,746,290 | – | 279,746,290 | ||||||||||||
Foreign Government Obligations | – | 19,178,826 | – | 19,178,826 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 19,065,356 | – | 19,065,356 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 550,397,275 | – | 550,397,275 | ||||||||||||
Municipal Bond | – | 659,620 | – | 659,620 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 71,018,368 | 1,692,312 | 72,710,680 | ||||||||||||
U.S. Treasury Obligations | – | 335,383,660 | – | 335,383,660 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Foreign Government Obligation | – | 57,593,408 | – | 57,593,408 | ||||||||||||
Government Sponsored Enterprises Pass-Through | – | 64,822,690 | – | 64,822,690 | ||||||||||||
Repurchase Agreements | – | 28,927,863 | – | 28,927,863 | ||||||||||||
U.S. Treasury Obligations | – | 321,370,097 | – | 321,370,097 | ||||||||||||
Total | $ | – | $ | 2,020,532,844 | $ | 4,285,870 | $ | 2,024,818,714 | ||||||||
Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | $ | – | $ | 650,402 | $ | – | $ | 650,402 | ||||||||
Liabilities | – | – | – | – | ||||||||||||
Futures Contracts | ||||||||||||||||
Assets | 28,125 | – | – | 28,125 | ||||||||||||
Liabilities | (344,144 | ) | – | – | (344,144 | ) | ||||||||||
Centrally Cleared Interest Rate Swaps Contracts | ||||||||||||||||
Assets | – | 1,151,654 | – | 1,151,654 | ||||||||||||
Liabilities | – | – | – | – | ||||||||||||
Total | $ | (316,019 | ) | $ | 1,802,056 | $ | – | $ | 1,486,037 |
(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. |
88 | See Notes to Financial Statements. |
Schedule of Investments (concluded)
CORE FIXED INCOME FUNDNovember 30, 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 | Non-Agency Commercial Mortgage-Backed Securities | ||||||
Balance as of December 1, 2018 | $ | – | $ | – | ||||
Accrued Discounts (Premiums) | 43 | – | ||||||
Realized Gain (Loss) | – | – | ||||||
Change in Unrealized Appreciation (Depreciation) | 14,862 | 2,312 | ||||||
Purchases | 2,578,653 | 1,690,000 | ||||||
Sales | – | – | ||||||
Transfers into Level 3 | – | – | ||||||
Transfers out of Level 3 | – | – | ||||||
Balance as of November 30, 2019 | $ | 2,593,558 | $ | 1,692,312 | ||||
Change in unrealized appreciation/depreciation for the year ended November 30, 2019, related to Level 3 investments held at November 30, 2019 | $ | 14,862 | $ | 2,312 |
See Notes to Financial Statements. | 89 |
Schedule of Investments
CORE PLUS BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 106.72% | ||||||||||||
ASSET-BACKED SECURITIES 21.62% | ||||||||||||
Automobiles 12.55% | ||||||||||||
ACC Trust 2018-1 A† | 3.70% | 12/21/2020 | $ | 7 | $ | 6,714 | ||||||
ACC Trust 2018-1 B† | 4.82% | 5/20/2021 | 100 | 100,619 | ||||||||
ACC Trust 2019-1 B† | 4.47% | 10/20/2022 | 100 | 101,894 | ||||||||
American Credit Acceptance Receivables Trust 2016-2 C† | 6.09% | 5/12/2022 | 47 | 46,594 | ||||||||
American Credit Acceptance Receivables Trust 2018-4 A† | 3.38% | 12/13/2021 | 9 | 9,021 | ||||||||
American Credit Acceptance Receivables Trust 2019-2 B† | 3.05% | 5/12/2023 | 97 | 97,747 | ||||||||
AmeriCredit Automobile Receivables Trust 2015-3 D | 3.34% | 8/8/2021 | 291 | 291,596 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-2 C | 2.97% | 3/20/2023 | 16 | 16,187 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-3 B | 2.24% | 6/19/2023 | 586 | 586,889 | ||||||||
Americredit Automobile Receivables Trust 2018-1 C | 3.50% | 1/18/2024 | 618 | 635,370 | ||||||||
AmeriCredit Automobile Receivables Trust 2018-3 A2A | 3.11% | 1/18/2022 | 9 | 8,761 | ||||||||
AmeriCredit Automobile Receivables Trust 2018-3 A2B | 2.013% (1 Mo. LIBOR + .25% | )# | 1/18/2022 | 9 | 8,735 | |||||||
AmeriCredit Automobile Receivables Trust 2019-3 A2A | 2.17% | 1/18/2023 | 250 | 250,294 | ||||||||
Avid Automobile Receivables Trust 2019-1 A† | 2.62% | 2/15/2024 | 484 | 484,391 | ||||||||
Avid Automobile Receivables Trust 2019-1 B† | 2.82% | 7/15/2026 | 500 | 500,213 | ||||||||
Avid Automobile Receivables Trust 2019-1 C† | 3.14% | 7/15/2026 | 500 | 500,090 | ||||||||
BMW Vehicle Lease Trust 2019-1 A2 | 2.79% | 3/22/2021 | 45 | 44,989 | ||||||||
California Republic Auto Receivables Trust 2015-4 B† | 3.73% | 11/15/2021 | 25 | 25,110 | ||||||||
California Republic Auto Receivables Trust 2016-2 B | 2.52% | 5/16/2022 | 8 | 8,020 | ||||||||
California Republic Auto Receivables Trust 2017-1 B | 2.91% | 12/15/2022 | 73 | 73,365 | ||||||||
Capital Auto Receivables Asset Trust 2015-3 D | 3.34% | 3/22/2021 | 23 | 23,088 | ||||||||
Capital Auto Receivables Asset Trust 2017-1 A3† | 2.02% | 8/20/2021 | 536 | 536,374 | ||||||||
Capital Auto Receivables Asset Trust 2018-1 A3† | 2.79% | 1/20/2022 | 175 | 175,096 | ||||||||
Capital One Prime Auto Receivables Trust 2019-2 A2 | 2.06% | 9/15/2022 | 713 | 713,631 |
90 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE PLUS BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
CarMax Auto Owner Trust 2017-3 A3 | 1.97% | 4/15/2022 | $ | 410 | $ | 410,549 | ||||||
CarMax Auto Owner Trust 2017-4 D | 3.30% | 5/15/2024 | 675 | 685,177 | ||||||||
CarMax Auto Owner Trust 2018-3 A2A | 2.88% | 10/15/2021 | 18 | 18,501 | ||||||||
CarMax Auto Owner Trust 2019-4 B | 2.32% | 7/15/2025 | 427 | 427,485 | ||||||||
CarMax Auto Owner Trust 2019-4 C | 2.60% | 9/15/2025 | 433 | 434,015 | ||||||||
Carvana Auto Receivables Trust 2019-1A E† | 5.64% | 1/15/2026 | 500 | 517,891 | ||||||||
Carvana Auto Receivables Trust 2019-3A A2† | 2.42% | 4/15/2022 | 396 | 396,327 | ||||||||
Chesapeake Funding II LLC 2017-2A A1† | 1.99% | 5/15/2029 | 564 | 563,757 | ||||||||
Chesapeake Funding II LLC 2017-3A A1† | 1.91% | 8/15/2029 | 185 | 184,727 | ||||||||
CPS Auto Receivables Trust 2017-C D† | 3.79% | 6/15/2023 | 100 | 101,596 | ||||||||
CPS Auto Receivables Trust 2018-A B† | 2.77% | 4/18/2022 | 79 | 79,057 | ||||||||
CPS Auto Receivables Trust 2019-D B† | 2.35% | 11/15/2023 | 411 | 410,329 | ||||||||
CPS Auto Receivables Trust 2019-D C† | 2.54% | 8/15/2024 | 411 | 409,947 | ||||||||
CPS Auto Trust 2017-A D† | 4.61% | 12/15/2022 | 966 | 988,831 | ||||||||
Credit Acceptance Auto Loan Trust 2017-3A C† | 3.48% | 10/15/2026 | 250 | 254,264 | ||||||||
Drive Auto Receivables Trust 2016-CA D† | 4.18% | 3/15/2024 | 811 | 822,085 | ||||||||
Drive Auto Receivables Trust 2017-1 D | 3.84% | 3/15/2023 | 93 | 94,014 | ||||||||
Drive Auto Receivables Trust 2017-3 C | 2.80% | 7/15/2022 | 36 | 35,853 | ||||||||
Drive Auto Receivables Trust 2017-3 D† | 3.53% | 12/15/2023 | 150 | 151,571 | ||||||||
Drive Auto Receivables Trust 2017-AA D† | 4.16% | 5/15/2024 | 567 | 575,819 | ||||||||
Drive Auto Receivables Trust 2018-3 B | 3.37% | 9/15/2022 | 5 | 5,476 | ||||||||
Drive Auto Receivables Trust 2018-3 C | 3.72% | 9/16/2024 | 23 | 23,212 | ||||||||
Drive Auto Receivables Trust 2018-4 C | 3.66% | 11/15/2024 | 72 | 72,752 | ||||||||
Drive Auto Receivables Trust 2019-2 A2A | 2.93% | 3/15/2022 | 28 | 28,226 | ||||||||
Drive Auto Receivables Trust 2019-4 A2A | 2.32% | 6/15/2022 | 519 | 519,745 | ||||||||
Drive Auto Receivables Trust 2019-4 C | 2.51% | 11/17/2025 | 275 | 275,532 | ||||||||
Drive Auto Receivables Trust 2019-4 D | 2.70% | 2/16/2027 | 391 | 390,640 | ||||||||
Enterprise Fleet Financing LLC 2018-1 A2† | 2.87% | 10/20/2023 | 60 | 60,313 | ||||||||
Exeter Automobile Receivables Trust 2017-3A C† | 3.68% | 7/17/2023 | 130 | 132,269 | ||||||||
Fifth Third Auto Trust 2019-1 A2A | 2.66% | 5/16/2022 | 1,003 | 1,006,872 | ||||||||
Fifth Third Auto Trust 2019-1 A4 | 2.69% | 11/16/2026 | 28 | 28,558 | ||||||||
First Investors Auto Owner Trust 2017-3A A2† | 2.41% | 12/15/2022 | 13 | 13,418 | ||||||||
First Investors Auto Owner Trust 2018-2A A1† | 3.23% | 12/15/2022 | 336 | 337,888 | ||||||||
First Investors Auto Owner Trust 2019-1A A† | 2.89% | 3/15/2024 | 61 | 61,625 | ||||||||
First Investors Auto Owner Trust 2019-1A B† | 3.02% | 3/17/2025 | 949 | 963,900 | ||||||||
First Investors Auto Owner Trust 2019-2A A† | 2.21% | 9/16/2024 | 434 | 433,770 | ||||||||
First Investors Auto Owner Trust 2019-2A C† | 2.71% | 12/15/2025 | 427 | 427,520 | ||||||||
Flagship Credit Auto Trust 2017-3 A† | 1.88% | 10/15/2021 | – | (a) | 912 |
See Notes to Financial Statements. | 91 |
Schedule of Investments (continued)
CORE PLUS BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Flagship Credit Auto Trust 2017-3 B† | 2.59% | 7/15/2022 | $ | 10 | $ | 10,013 | ||||||
Flagship Credit Auto Trust 2017-4 A† | 2.07% | 4/15/2022 | 4 | 3,662 | ||||||||
Flagship Credit Auto Trust 2018-1 A† | 2.59% | 6/15/2022 | 7 | 6,511 | ||||||||
Ford Credit Auto Owner Trust 2015-1 A† | 2.12% | 7/15/2026 | 853 | 853,177 | ||||||||
Foursight Capital Automobile Receivables Trust 2016-1 A2† | 2.87% | 10/15/2021 | 5 | 5,338 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 B† | 3.53% | 4/17/2023 | 980 | 990,529 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 E† | 5.56% | 1/16/2024 | 451 | 469,771 | ||||||||
GM Financial Automobile Leasing Trust 2017-3 A3 | 2.01% | 11/20/2020 | 5 | 5,126 | ||||||||
GM Financial Automobile Leasing Trust 2019-2 A2A | 2.67% | 6/21/2021 | 216 | 216,194 | ||||||||
GM Financial Automobile Leasing Trust 2019-2 A3 | 2.67% | 3/21/2022 | 45 | 45,336 | ||||||||
Honda Auto Receivables Owner Trust 2019-1 A2 | 2.75% | 9/20/2021 | 96 | 96,478 | ||||||||
Honda Auto Receivables Owner Trust 2019-3 A4 | 1.85% | 8/15/2025 | 546 | 545,116 | ||||||||
Mercedes-Benz Auto Lease Trust 2018-B A2 | 3.04% | 12/15/2020 | 27 | 26,688 | ||||||||
Mercedes-Benz Auto Receivables Trust 2016-1 A3 | 1.26% | 2/16/2021 | – | (a) | 699 | |||||||
Nissan Auto Receivables Owner Trust 2017-C A3 | 2.12% | 4/18/2022 | 372 | 372,047 | ||||||||
Prestige Auto Receivables Trust 2017-1A D† | 3.61% | 10/16/2023 | 329 | 333,916 | ||||||||
Prestige Auto Receivables Trust 2019-1A E† | 3.90% | 5/15/2026 | 101 | 102,129 | ||||||||
Santander Drive Auto Receivables Trust 2017-3 C | 2.76% | 12/15/2022 | 105 | 105,387 | ||||||||
TCF Auto Receivables Owner Trust 2016-PT1A B† | 2.92% | 10/17/2022 | 11 | 11,066 | ||||||||
Westlake Automobile Receivables Trust 2018-1A B† | 2.67% | 5/17/2021 | 36 | 36,499 | ||||||||
Westlake Automobile Receivables Trust 2018-2A C† | 3.50% | 1/16/2024 | 228 | 230,229 | ||||||||
Westlake Automobile Receivables Trust 2018-3A B† | 3.32% | 10/16/2023 | 590 | 595,291 | ||||||||
Westlake Automobile Receivables Trust 2019-1A C† | 3.45% | 3/15/2024 | 246 | 249,413 | ||||||||
Westlake Automobile Receivables Trust 2019-2A D† | 3.20% | 11/15/2024 | 57 | 57,846 | ||||||||
Westlake Automobile Receivables Trust 2019-3A A2† | 2.15% | 2/15/2023 | 853 | 854,043 | ||||||||
World Omni Auto Receivables Trust 2017-A A3 | 1.93% | 9/15/2022 | 510 | 509,631 | ||||||||
World Omni Automobile Lease Securitization Trust 2018-A A3 | 2.83% | 7/15/2021 | 406 | 407,547 | ||||||||
World Omni Automobile Lease Securitization Trust 2019-A A2 | 2.89% | 11/15/2021 | 399 | 401,377 | ||||||||
World Omni Select Auto Trust 2018-1A A2† | 3.24% | 4/15/2022 | 11 | 11,452 | ||||||||
Total | 25,141,722 | |||||||||||
Credit Cards 1.16% | ||||||||||||
American Express Credit Account Master Trust 2017-2 A | 2.215% (1 Mo. LIBOR + .45% | )# | 9/16/2024 | 71 | 70,961 |
92 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE PLUS BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Credit Cards (continued) | ||||||||||||
American Express Credit Account Master Trust 2017-3 A | 1.77% | 11/15/2022 | $ | 228 | $ | 227,923 | ||||||
American Express Credit Account Master Trust 2019-1 B | 3.07% | 10/15/2024 | 100 | 102,347 | ||||||||
American Express Credit Account Master Trust 2019-2 B | 2.86% | 11/15/2024 | 500 | 509,856 | ||||||||
Capital One Multi-Asset Execution Trust 2016-A7 | 2.275% (1 Mo. LIBOR + .51% | )# | 9/16/2024 | 71 | 71,047 | |||||||
Discover Card Execution Note Trust 2019-A1 | 3.04% | 7/15/2024 | 13 | 13,339 | ||||||||
First National Master Note Trust 2018-1 A | 2.225% (1 Mo. LIBOR + .46% | )# | 10/15/2024 | 105 | 104,957 | |||||||
Genesis Sales Finance Master Trust Series 2019-AA B† | 5.42% | 8/20/2023 | 100 | 101,826 | ||||||||
Perimeter Master Note Business Trust 2019-1A B† | 6.02% | 12/15/2022 | 500 | 507,702 | (b) | |||||||
Synchrony Credit Card Master Note Trust 2015-1 A | 2.37% | 3/15/2023 | 491 | 491,430 | ||||||||
Synchrony Credit Card Master Note Trust 2015-1 B | 2.64% | 3/15/2023 | 100 | 100,058 | ||||||||
World Financial Network Credit Card Master Trust 2017-C M | 2.66% | 8/15/2024 | 23 | 23,049 | ||||||||
Total | 2,324,495 | |||||||||||
Other 7.91% | ||||||||||||
Access Point Funding I LLC 2017-A† | 3.06% | 4/15/2029 | 14 | 13,679 | ||||||||
Ammc Clo 19 Ltd. 2016-19A BR† | 3.801% (3 Mo. LIBOR + 1.80% | )# | 10/16/2028 | 500 | 499,982 | |||||||
Ammc Clo Ltd. 2016-19A CR† | 4.551% (3 Mo. LIBOR + 2.55% | )# | 10/16/2028 | 500 | 495,037 | |||||||
Amur Equipment Finance Receivables V LLC 2018-1A C† | 3.74% | 4/22/2024 | 675 | 685,268 | ||||||||
Ares XLI Clo Ltd. 2016-41A AR† | 3.201% (3 Mo. LIBOR + 1.20% | )# | 1/15/2029 | 250 | 249,822 | |||||||
Ascentium Equipment Receivables Trust 2017-1A A3† | 2.29% | 6/10/2021 | 2 | 1,931 | ||||||||
Avery Point VII CLO Ltd. 2015-7A BR† | 3.751% (3 Mo. LIBOR + 1.75% | )# | 1/15/2028 | 250 | 249,519 | |||||||
Avery Point VII CLO Ltd. 2015-7A CR† | 4.451% (3 Mo. LIBOR + 2.45% | )# | 1/15/2028 | 250 | 250,256 | |||||||
BDS Ltd. 2019-FL3 A† | 3.163% (1 Mo. LIBOR + 1.40% | )# | 12/15/2035 | 100 | 100,216 | |||||||
Benefit Street Partners CLO XI 2017-11A A2A† | 3.751% (3 Mo. LIBOR + 1.75% | )# | 4/15/2029 | 250 | 247,372 | |||||||
Bristol Park CLO Ltd. 2016-1A E† | 9.251% (3 Mo. LIBOR + 7.25% | )# | 4/15/2029 | 500 | 504,336 | (b) | ||||||
BSPRT Issuer Ltd. 2018-FL4 A† | 2.815% (1 Mo. LIBOR + 1.05% | )# | 9/15/2035 | 271 | 270,312 |
See Notes to Financial Statements. | 93 |
Schedule of Investments (continued)
CORE PLUS BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Cent CLO Ltd. 2013-19A A1A† | 3.258% (3 Mo. LIBOR + 1.33% | )# | 10/29/2025 | $ | 171 | $ | 171,669 | |||||
CIFC Funding Ltd. 2017-1A A† | 3.326% (3 Mo. LIBOR + 1.36% | )# | 4/23/2029 | 250 | 250,329 | |||||||
Clear Creek CLO 2015-1A DR† | 4.916% (3 Mo. LIBOR + 2.95% | )# | 10/20/2030 | 250 | 235,485 | |||||||
Colony American Finance Ltd. 2018-1 A† | 3.804% | 6/15/2051 | 129 | 133,540 | ||||||||
Diamond Resorts Owner Trust 2017-1A B† | 4.11% | 10/22/2029 | 34 | 35,064 | ||||||||
DLL LLC 2018-ST2 A2† | 3.14% | 10/20/2020 | 12 | 11,969 | ||||||||
Elm CLO Ltd. 2014-1A BRR† | 3.752% (3 Mo. LIBOR + 1.75% | )# | 1/17/2029 | 200 | 200,077 | |||||||
Fairstone Financial Issuance Trust I 2019-1A C†(c) | 6.299% | 3/21/2033 | CAD | 150 | 113,620 | (b) | ||||||
Ford Credit Floorplan Master Owner Trust 2015-2 A1 | 1.98% | 1/15/2022 | $ | 648 | 647,983 | |||||||
Ford Credit Floorplan Master Owner Trust 2015-5 A1 | 2.42% | 8/15/2022 | 351 | 351,928 | ||||||||
Ford Credit Floorplan Master Owner Trust 2019-2 A | 3.06% | 4/15/2026 | 75 | 77,624 | ||||||||
Great American Auto Leasing, Inc. 2019-1 A4† | 3.21% | 2/18/2025 | 110 | 112,979 | ||||||||
Greywolf CLO IV Ltd. 2019-1A A2† | 3.952% (3 Mo. LIBOR + 1.95% | )# | 4/17/2030 | 250 | 250,409 | |||||||
Hardee’s Funding LLC 2018-1A A23† | 5.71% | 6/20/2048 | 209 | 224,723 | ||||||||
Hardee’s Funding LLC 2018-1A A2II† | 4.959% | 6/20/2048 | 28 | 28,052 | ||||||||
Hyundai Floorplan Master Owner Trust 2019-1 A† | 2.68% | 4/15/2024 | 109 | 110,495 | ||||||||
Jamestown CLO IX Ltd. 2016-9A BR† | 4.616% (3 Mo. LIBOR + 2.65% | )# | 10/20/2028 | 250 | 249,545 | |||||||
Jamestown CLO VI-R Ltd. 2018-6RA A1† | 3.09% (3 Mo. LIBOR + 1.15% | )# | 4/25/2030 | 400 | 396,771 | |||||||
KKR CLO Ltd.17 B† | 3.651% (3 Mo. LIBOR + 1.65% | )# | 4/15/2029 | 250 | 248,000 | |||||||
KKR CLO Ltd.18 B† | 3.703% (3 Mo. LIBOR + 1.70% | )# | 7/18/2030 | 250 | 245,646 | |||||||
KVK CLO Ltd. 2016-1A B† | 4.251% (3 Mo. LIBOR + 2.25% | )# | 1/15/2029 | 743 | 743,670 | |||||||
LMREC, Inc. 2019-CRE3 A† | 3.567% (1 Mo. LIBOR + 1.40% | )# | 12/22/2035 | 174 | 174,302 | |||||||
Longtrain Leasing III LLC 2015-1A A2† | 4.06% | 1/15/2045 | 100 | 103,734 | ||||||||
M360 LLC 2019-CRE2 AS† | 3.615% (1 Mo. LIBOR + 1.85% | )# | 9/15/2034 | 519 | 519,899 | |||||||
M360 LLC 2019-CRE2 B† | 4.015% (1 Mo. LIBOR + 2.25% | )# | 9/15/2034 | 258 | 258,450 | |||||||
ME Funding LLC 2019-1 A2† | 6.448% | 7/30/2049 | 76 | 78,842 | ||||||||
Newark BSL CLO 1 Ltd. 2016-1A A1 | 3.456% | 12/21/2029 | 250 | 250,109 | ||||||||
NextGear Floorplan Master Owner Trust 2017-2A A2† | 2.56% | 10/17/2022 | 824 | 827,097 | ||||||||
NextGear Floorplan Master Owner Trust 2018-2A B† | 4.01% | 10/15/2023 | 100 | 102,574 | ||||||||
Oaktree CLO 2014-1A A1R† | 3.195% (3 Mo. LIBOR + 1.29% | )# | 5/13/2029 | 250 | 250,200 | |||||||
Octagon Investment Partners 30 Ltd. 2017-1A A2† | 3.666% (3 Mo. LIBOR + 1.70% | )# | 3/17/2030 | 500 | 496,264 |
94 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE PLUS BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
OHA Loan Funding Ltd. 2016-1A B1† | 3.766% (3 Mo. LIBOR + 1.80% | )# | 1/20/2028 | $ | 250 | $ | 249,135 | |||||
OneMain Financial Issuance Trust 2018-2A A† | 3.57% | 3/14/2033 | 100 | 103,643 | ||||||||
OneMain Financial Issuance Trust 2019-1A A† | 3.48% | 2/14/2031 | 140 | 142,292 | ||||||||
Orange Lake Timeshare Trust 2015-AA A† | 2.88% | 9/8/2027 | 12 | 12,421 | ||||||||
Orange Lake Timeshare Trust 2019-A† | 3.06% | 4/9/2038 | 42 | 42,588 | ||||||||
Orec Ltd. 2018-CRE1 A† | 2.945% (1 Mo. LIBOR + 1.18% | )# | 6/15/2036 | 23 | 23,001 | |||||||
Pennsylvania Higher Education Assistance Agency 2006-1 B | 2.21% (3 Mo. LIBOR + .27% | )# | 4/25/2038 | 38 | 35,181 | |||||||
PFS Financing Corp. 2018-B A† | 2.89% | 2/15/2023 | 100 | 100,932 | ||||||||
Planet Fitness Master Issuer LLC 2018-1A A2II† | 4.666% | 9/5/2048 | 104 | 108,711 | ||||||||
SCF Equipment Leasing LLC 2017-2A A† | 3.41% | 12/20/2023 | 47 | 47,101 | ||||||||
SCF Equipment Leasing LLC 2018-1A A2† | 3.63% | 10/20/2024 | 56 | 57,179 | ||||||||
SCF Equipment Leasing LLC 2019-1A A1† | 3.04% | 3/20/2023 | 56 | 56,388 | ||||||||
SCF Equipment Leasing LLC 2019-1A C† | 3.92% | 11/20/2026 | 142 | 146,023 | ||||||||
SCF Equipment Leasing LLC 2019-2A B† | 2.76% | 8/20/2026 | 402 | 402,471 | ||||||||
SCF Equipment Leasing LLC 2019-2A C† | 3.11% | 6/21/2027 | 291 | 291,332 | ||||||||
SLM Student Loan Trust 2007-3 A4 | 2.00% (3 Mo. LIBOR + .06% | )# | 1/25/2022 | 89 | 86,248 | |||||||
Sound Point CLO XII Ltd. 2016-2A BR† | 3.766% (3 Mo. LIBOR + 1.80% | )# | 10/20/2028 | 250 | 249,673 | |||||||
Sound Point CLO XVII 2017-3A A2† | 3.566% (3 Mo. LIBOR + 1.60% | )# | 10/20/2030 | 287 | 279,870 | |||||||
TAL Advantage VI LLC 2017-1A A† | 4.50% | 4/20/2042 | 110 | 111,878 | ||||||||
Textainer Marine Containers VII Ltd. 2018-1A A† | 4.11% | 7/20/2043 | 542 | 547,616 | ||||||||
Textainer Marine Containers VII Ltd. 2019-1A A† | 3.96% | 4/20/2044 | 95 | 96,671 | ||||||||
Towd Point Mortgage Trust 2019-HY2 A1† | 2.708% (1 Mo. LIBOR + 1.00% | )# | 5/25/2058 | 278 | 279,164 | |||||||
Triton Container Finance VI LLC 2018-2A A† | 4.19% | 6/22/2043 | 500 | 505,245 | ||||||||
TRTX Issuer Ltd. 2019-FL3 C† | 3.923% (1 Mo. LIBOR + 2.10% | )# | 9/15/2034 | 411 | 411,257 | |||||||
Total | 15,854,799 | |||||||||||
Total Asset-Backed Securities (cost $43,236,240) | 43,321,016 | |||||||||||
CORPORATE BONDS 29.35% | ||||||||||||
Aerospace/Defense 0.20% | ||||||||||||
BBA US Holdings, Inc.† | 4.00% | 3/1/2028 | 131 | 132,185 | ||||||||
Kratos Defense & Security Solutions, Inc.† | 6.50% | 11/30/2025 | 51 | 54,209 | ||||||||
TransDigm, Inc. | 6.375% | 6/15/2026 | 206 | 216,976 | ||||||||
Total | 403,370 |
See Notes to Financial Statements. | 95 |
Schedule of Investments (continued)
CORE PLUS BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Air Transportation 0.11% | ||||||||||||
TAP-Transportes Aereos Portugueses SGPS SA†(c)(d) | 5.625% | 12/2/2024 | EUR | 200 | $ | 218,933 | ||||||
Auto Parts: Original Equipment 0.12% | ||||||||||||
Panther BF Aggregator 2 LP/Panther | ||||||||||||
Finance Co., Inc.† | 8.50% | 5/15/2027 | $ | 244 | 249,801 | |||||||
Automotive 1.11% | ||||||||||||
BCD Acquisition, Inc.† | 9.625% | 9/15/2023 | 10 | 10,141 | ||||||||
Ford Motor Co. | 7.45% | 7/16/2031 | 534 | 620,539 | ||||||||
General Motors Co. | 6.60% | 4/1/2036 | 1,208 | 1,405,899 | ||||||||
Tesla, Inc.† | 5.30% | 8/15/2025 | 203 | 195,132 | ||||||||
Total | 2,231,711 | |||||||||||
Banks: Regional 4.91% | ||||||||||||
Banco de Credito e Inversiones SA (Chile)†(e) | 3.50% | 10/12/2027 | 290 | 295,894 | ||||||||
Bank of America Corp. | 3.593% | # | 7/21/2028 | 1,302 | 1,382,241 | |||||||
Bank of America Corp. | 3.824% (3 Mo. LIBOR + 1.58% | )# | 1/20/2028 | 18 | 19,407 | |||||||
Bank of America Corp. | 4.00% | 1/22/2025 | 7 | 7,452 | ||||||||
Citigroup, Inc. | 3.887% (3 Mo. LIBOR + 1.56% | )# | 1/10/2028 | 1,062 | 1,142,645 | |||||||
Citigroup, Inc. | 3.98% | # | 3/20/2030 | 186 | 202,811 | |||||||
Citigroup, Inc. | 4.45% | 9/29/2027 | 38 | 41,850 | ||||||||
Danske Bank A/S (Denmark)†(e) | 5.375% | 1/12/2024 | 200 | 219,854 | ||||||||
Discover Bank | 4.682% (5 Yr. Swap rate + 1.73% | )# | 8/9/2028 | 500 | 524,960 | |||||||
Goldman Sachs Group, Inc. (The) | 6.25% | 2/1/2041 | 470 | 659,697 | ||||||||
Goldman Sachs Group, Inc. (The) | 6.75% | 10/1/2037 | 14 | 19,253 | ||||||||
JPMorgan Chase & Co. | 3.782% | # | 2/1/2028 | 947 | 1,018,707 | |||||||
Macquarie Bank Ltd. (Australia)†(e) | 6.625% | 4/7/2021 | 16 | 16,905 | ||||||||
Macquarie Group Ltd. (Australia)†(e) | 4.654% (3 Mo. LIBOR + 1.73% | )# | 3/27/2029 | 204 | 226,171 | |||||||
Morgan Stanley | 3.625% | 1/20/2027 | 424 | 452,356 | ||||||||
Morgan Stanley | 3.875% | 1/27/2026 | 79 | 85,193 | ||||||||
Morgan Stanley | 4.00% | 7/23/2025 | 108 | 116,826 | ||||||||
National Australia Bank Ltd. (Australia)†(e) | 3.933% (5 Yr Treasury Constant Maturity Rate + 1.88% | )# | 8/2/2034 | 250 | 255,774 | |||||||
Popular, Inc. | 6.125% | 9/14/2023 | 89 | 95,712 | ||||||||
Royal Bank of Scotland Group plc(United Kingdom)(e) | 6.125% | 12/15/2022 | 40 | 43,429 | ||||||||
Santander UK plc (United Kingdom)(e) | 7.95% | 10/26/2029 | 55 | 70,463 | ||||||||
Toronto-Dominion Bank (The) (Canada)(e) | 3.625% (5 Yr. Swap rate + 2.21% | )# | 9/15/2031 | 337 | 351,816 | |||||||
Turkiye Garanti Bankasi AS (Turkey)†(e) | 5.875% | 3/16/2023 | 200 | 204,557 |
96 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE PLUS BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Turkiye Vakiflar Bankasi TAO (Turkey)†(e) | 5.625% | 5/30/2022 | $ | 200 | $ | 198,708 | ||||||
UBS AG (Switzerland)(e) | 5.125% | 5/15/2024 | 1,100 | 1,186,022 | ||||||||
Wells Fargo Capital X | 5.95% | 12/1/2036 | 550 | 686,645 | ||||||||
Westpac Banking Corp. (Australia)(e) | 4.11% (5 Yr Treasury Constant Maturity Rate + 2.00% | )# | 7/24/2034 | 300 | 311,349 | |||||||
Total | 9,836,697 | |||||||||||
Beverages 0.54% | ||||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. | 4.70% | 2/1/2036 | 280 | 325,970 | ||||||||
Bacardi Ltd.† | 4.70% | 5/15/2028 | 700 | 761,206 | ||||||||
Total | 1,087,176 | |||||||||||
Building Materials 0.22% | ||||||||||||
Norbord, Inc. (Canada)†(e) | 6.25% | 4/15/2023 | 21 | 22,452 | ||||||||
Owens Corning, Inc. | 4.30% | 7/15/2047 | 300 | 284,860 | ||||||||
Owens Corning, Inc. | 7.00% | 12/1/2036 | 80 | 98,673 | ||||||||
Summit Materials LLC/Summit Materials Finance Corp.† | 5.125% | 6/1/2025 | 40 | 41,017 | ||||||||
Total | 447,002 | |||||||||||
Business Services 0.39% | ||||||||||||
Ahern Rentals, Inc.† | 7.375% | 5/15/2023 | 92 | 72,028 | ||||||||
Ashtead Capital, Inc.† | 4.25% | 11/1/2029 | 129 | 130,613 | ||||||||
Brink’s Co. (The)† | 4.625% | 10/15/2027 | 170 | 175,070 | ||||||||
Cardtronics, Inc./Cardtronics USA, Inc.† | 5.50% | 5/1/2025 | 91 | 94,402 | ||||||||
Global Payments, Inc. | 3.20% | 8/15/2029 | 176 | 179,056 | ||||||||
United Rentals North America, Inc. | 4.875% | 1/15/2028 | 133 | 139,105 | ||||||||
Total | 790,274 | |||||||||||
Chemicals 0.59% | ||||||||||||
Ashland LLC | 6.875% | 5/15/2043 | 60 | 68,606 | ||||||||
CF Industries, Inc. | 4.95% | 6/1/2043 | 139 | 142,142 | ||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(e) | 3.50% | 7/19/2022 | 400 | 406,219 | ||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(e) | 4.125% | 7/19/2027 | 250 | 263,541 | ||||||||
Orbia Advance Corp. SAB de CV (Mexico)(e) | 4.875% | 9/19/2022 | 200 | 210,063 | ||||||||
Tronox, Inc.† | 6.50% | 4/15/2026 | 93 | 93,932 | ||||||||
Total | 1,184,503 | |||||||||||
Coal 0.06% | ||||||||||||
Warrior Met Coal, Inc.† | 8.00% | 11/1/2024 | 111 | 112,317 |
See Notes to Financial Statements. | 97 |
Schedule of Investments (continued)
CORE PLUS BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Computer Hardware 0.40% | ||||||||||||
Dell International LLC/EMC Corp.† | 5.45% | 6/15/2023 | $ | 8 | $ | 8,678 | ||||||
Dell International LLC/EMC Corp.† | 6.02% | 6/15/2026 | 115 | 131,512 | ||||||||
Dell International LLC/EMC Corp.† | 8.35% | 7/15/2046 | 497 | 667,434 | ||||||||
Total | 807,624 | |||||||||||
Computer Software 0.01% | ||||||||||||
Solera LLC/Solera Finance, Inc.† | 10.50% | 3/1/2024 | 19 | 19,831 | ||||||||
Construction/Homebuilding 0.27% | ||||||||||||
Century Communities, Inc.† | 6.75% | 6/1/2027 | 165 | 175,283 | ||||||||
Toll Brothers Finance Corp. | 4.35% | 2/15/2028 | 121 | 125,957 | ||||||||
Toll Brothers Finance Corp. | 4.875% | 3/15/2027 | 43 | 46,670 | ||||||||
TRI Pointe Group, Inc. | 5.25% | 6/1/2027 | 77 | 80,107 | ||||||||
Williams Scotsman International, Inc.† | 6.875% | 8/15/2023 | 104 | 109,573 | ||||||||
Total | 537,590 | |||||||||||
Containers 0.15% | ||||||||||||
Intertape Polymer Group, Inc. (Canada)†(e) | 7.00% | 10/15/2026 | 79 | 82,385 | ||||||||
Mauser Packaging Solutions Holding Co.† | 7.25% | 4/15/2025 | 226 | 214,698 | ||||||||
Total | 297,083 | |||||||||||
Drugs 0.75% | ||||||||||||
AbbVie, Inc.† | 4.25% | 11/21/2049 | 186 | 196,198 | ||||||||
Bausch Health Americas, Inc.† | 9.25% | 4/1/2026 | 231 | 265,011 | ||||||||
Bayer Corp.† | 6.65% | 2/15/2028 | 57 | 70,137 | ||||||||
CVS Health Corp. | 4.78% | 3/25/2038 | 850 | 968,413 | ||||||||
Total | 1,499,759 | |||||||||||
Electric: Power 1.53% | ||||||||||||
Ausgrid Finance Pty Ltd. (Australia)†(e) | 4.35% | 8/1/2028 | 25 | 27,459 | ||||||||
Berkshire Hathaway Energy Co. | 3.80% | 7/15/2048 | 200 | 217,613 | ||||||||
Calpine Corp. | 5.75% | 1/15/2025 | 152 | 154,660 | ||||||||
Dominion Energy South Carolina, Inc. | 6.05% | 1/15/2038 | 17 | 23,266 | ||||||||
Dominion Energy South Carolina, Inc. | 6.625% | 2/1/2032 | 6 | 8,165 | ||||||||
Dominion Energy, Inc. | 7.00% | 6/15/2038 | 135 | 189,102 | ||||||||
DPL, Inc.† | 4.35% | 4/15/2029 | 300 | 281,118 | ||||||||
Eskom Holdings SOC Ltd. (South Africa)†(e) | 5.75% | 1/26/2021 | 200 | 200,071 | ||||||||
Exelon Generation Co. LLC | 5.60% | 6/15/2042 | 65 | 75,852 | ||||||||
Exelon Generation Co. LLC | 5.75% | 10/1/2041 | 290 | 340,547 | ||||||||
Exelon Generation Co. LLC | 6.25% | 10/1/2039 | 10 | 12,406 | ||||||||
NRG Energy, Inc.† | 4.45% | 6/15/2029 | 395 | 417,078 |
98 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE PLUS BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Power (continued) | ||||||||||||
Oglethorpe Power Corp. | 5.05% | 10/1/2048 | $ | 239 | $ | 287,915 | ||||||
Pennsylvania Electric Co.† | 3.60% | 6/1/2029 | 175 | 186,288 | ||||||||
Perusahaan Listrik Negara PT (Indonesia)†(e) | 5.25% | 10/24/2042 | 200 | 221,687 | ||||||||
PPL Electric Utilities Corp. | 5.20% | 7/15/2041 | 6 | 7,485 | ||||||||
PSEG Power LLC | 8.625% | 4/15/2031 | 200 | 281,812 | ||||||||
Vistra Operations Co. LLC† | 4.30% | 7/15/2029 | 121 | 124,890 | ||||||||
Total | 3,057,414 | |||||||||||
Electrical Equipment 0.50% | ||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 3.625% | 1/15/2024 | 78 | 80,292 | ||||||||
Broadcom, Inc.† | 3.625% | 10/15/2024 | 896 | 921,570 | ||||||||
Total | 1,001,862 | |||||||||||
Electronics 0.47% | ||||||||||||
Allegion plc (Ireland)(e) | 3.50% | 10/1/2029 | 97 | 99,164 | ||||||||
PerkinElmer, Inc. | 3.30% | 9/15/2029 | 530 | 531,451 | ||||||||
Trimble, Inc. | 4.90% | 6/15/2028 | 292 | 321,419 | ||||||||
Total | 952,034 | |||||||||||
Energy Equipment & Services 0.09% | ||||||||||||
Enviva Partners LP/Enviva Partners Finance Corp.†(d) | 6.50% | 1/15/2026 | 180 | 187,506 | ||||||||
Engineering & Contracting Services 0.05% | ||||||||||||
Brand Industrial Services, Inc.† | 8.50% | 7/15/2025 | 112 | 109,479 | ||||||||
Entertainment 0.25% | ||||||||||||
Penn National Gaming, Inc.† | 5.625% | 1/15/2027 | 232 | 241,360 | ||||||||
Stars Group Holdings BV/Stars Group US Co-Borrower LLC (Netherlands)†(e) | 7.00% | 7/15/2026 | 241 | 260,840 | ||||||||
Total | 502,200 | |||||||||||
Financial Services 2.27% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(e) | 3.65% | 7/21/2027 | 450 | 463,975 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(e) | 4.875% | 1/16/2024 | 700 | 759,146 | ||||||||
Affiliated Managers Group, Inc. | 3.50% | 8/1/2025 | 79 | 82,396 | ||||||||
Affiliated Managers Group, Inc. | 4.25% | 2/15/2024 | 6 | 6,402 | ||||||||
Aircastle Ltd. | 4.25% | 6/15/2026 | 350 | 367,845 | ||||||||
Ally Financial, Inc. | 8.00% | 11/1/2031 | 131 | 180,947 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(e) | 5.25% | 5/15/2024 | 418 | 455,417 | ||||||||
Brightsphere Investment Group, Inc. | Zero Coupon | 7/27/2026 | 11 | 11,435 |
See Notes to Financial Statements. | 99 |
Schedule of Investments (continued)
CORE PLUS BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Financial Services (continued) | ||||||||||||
Discover Financial Services | 4.10% | 2/9/2027 | $ | 475 | $ | 509,685 | ||||||
E*TRADE Financial Corp. | 3.80% | 8/24/2027 | 244 | 253,512 | ||||||||
E*TRADE Financial Corp. | 4.50% | 6/20/2028 | 17 | 18,420 | ||||||||
Global Aircraft Leasing Co. Ltd. PIK 7.25%† | 6.50% | 9/15/2024 | 295 | 302,464 | ||||||||
Navient Corp. | 6.75% | 6/25/2025 | 252 | 272,790 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.50% | 3/15/2027 | 20 | 21,398 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 303 | 314,889 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(e) | 5.50% | 2/15/2024 | 382 | 418,538 | ||||||||
SURA Asset Management SA (Columbia)†(e) | 4.875% | 4/17/2024 | 100 | 106,709 | ||||||||
Total | 4,545,968 | |||||||||||
Food 0.33% | ||||||||||||
Chobani LLC/Chobani Finance Corp., Inc.† | 7.50% | 4/15/2025 | 201 | 190,948 | ||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.† | 6.50% | 4/15/2029 | 246 | 273,145 | ||||||||
Minerva Luxembourg SA (Luxembourg)†(e) | 5.875% | 1/19/2028 | 200 | 203,320 | ||||||||
Total | 667,413 | |||||||||||
Foreign Government 0.11% | ||||||||||||
CBB International Sukuk Co. 6 Spc (Bahrain)†(e) | 5.25% | 3/20/2025 | 200 | 213,423 | ||||||||
Health Care Services 0.71% | ||||||||||||
Centene Corp.†(d) | 4.625% | 12/15/2029 | 197 | 207,096 | ||||||||
CommonSpirit Health | 3.347% | 10/1/2029 | 304 | 305,846 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 4.75% | 10/15/2024 | 55 | 59,455 | ||||||||
HCA, Inc. | 5.50% | 6/15/2047 | 19 | 22,005 | ||||||||
RegionalCare Hospital Partners Holdings, Inc./ LifePoint Health, Inc.† | 9.75% | 12/1/2026 | 55 | 60,639 | ||||||||
Surgery Center Holdings, Inc.† | 6.75% | 7/1/2025 | 44 | 42,478 | ||||||||
Surgery Center Holdings, Inc.† | 10.00% | 4/15/2027 | 60 | 63,171 | ||||||||
Tenet Healthcare Corp.† | 6.25% | 2/1/2027 | 77 | 82,486 | ||||||||
Universal Health Services, Inc.† | 4.75% | 8/1/2022 | 45 | 45,590 | ||||||||
Universal Health Services, Inc.† | 5.00% | 6/1/2026 | 500 | 528,924 | ||||||||
Total | 1,417,690 | |||||||||||
Insurance 0.85% | ||||||||||||
Assurant, Inc. | 3.70% | 2/22/2030 | 162 | 164,583 | ||||||||
AXIS Specialty Finance LLC | 3.90% | 7/15/2029 | 117 | 122,877 | ||||||||
Fidelity National Financial, Inc. | 4.50% | 8/15/2028 | 108 | 116,878 |
100 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE PLUS BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Insurance (continued) | ||||||||||||
Global Atlantic Fin Co.† | 4.40% | 10/15/2029 | $ | 384 | $ | 381,391 | ||||||
HUB International Ltd.† | 7.00% | 5/1/2026 | 134 | 137,688 | ||||||||
Protective Life Corp. | 8.45% | 10/15/2039 | 275 | 419,780 | ||||||||
Teachers Insurance & Annuity Association of America† | 4.90% | 9/15/2044 | 287 | 358,128 | ||||||||
Total | 1,701,325 | |||||||||||
Leisure 0.39% | ||||||||||||
Carnival plc | 7.875% | 6/1/2027 | 10 | 13,072 | ||||||||
Royal Caribbean Cruises Ltd. | 3.70% | 3/15/2028 | 472 | 485,627 | ||||||||
Royal Caribbean Cruises Ltd. | 7.50% | 10/15/2027 | 220 | 281,922 | ||||||||
Total | 780,621 | |||||||||||
Lodging 0.18% | �� | |||||||||||
Las Vegas Sands Corp. | 3.90% | 8/8/2029 | 158 | 163,949 | ||||||||
Wyndham Destinations, Inc. | 5.75% | 4/1/2027 | 180 | 195,362 | ||||||||
Total | 359,311 | |||||||||||
Machinery: Agricultural 0.85% | ||||||||||||
BAT Capital Corp. | 3.557% | 8/15/2027 | 16 | 16,314 | ||||||||
BAT Capital Corp. | 4.39% | 8/15/2037 | 767 | 759,849 | ||||||||
Imperial Brands Finance plc (United Kingdom)†(e) | 3.875% | 7/26/2029 | 509 | 509,251 | ||||||||
Kernel Holding SA (Ukraine)†(e) | 8.75% | 1/31/2022 | 200 | 212,102 | ||||||||
MHP Lux SA (Luxembourg)†(e) | 6.95% | 4/3/2026 | 200 | 205,524 | ||||||||
Total | 1,703,040 | |||||||||||
Machinery: Industrial/Specialty 0.68% | ||||||||||||
nVent Finance Sarl (Luxembourg)(e) | 4.55% | 4/15/2028 | 669 | 691,066 | ||||||||
Westinghouse Air Brake Technologies Corp. | 4.95% | 9/15/2028 | 598 | 664,941 | ||||||||
Total | 1,356,007 | |||||||||||
Manufacturing 0.48% | ||||||||||||
General Electric Co. | 2.271% (3 Mo. LIBOR + .38% | )# | 5/5/2026 | 16 | 15,015 | |||||||
General Electric Co. | 5.00% (3 Mo. LIBOR + 3.33% | )# | – | (f) | 605 | 592,737 | ||||||
General Electric Co. | 6.15% | 8/7/2037 | 212 | 264,750 | ||||||||
Pentair Finance Sarl (Luxembourg)(e) | 4.50% | 7/1/2029 | 87 | 91,353 | ||||||||
Total | 963,855 | |||||||||||
Media 1.43% | ||||||||||||
AMC Networks, Inc. | 4.75% | 8/1/2025 | 75 | 74,625 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.00% | 2/1/2028 | 134 | 141,373 |
See Notes to Financial Statements. | 101 |
Schedule of Investments (continued)
CORE PLUS BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Media (continued) | ||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 6.484% | 10/23/2045 | $ | 28 | $ | 34,744 | ||||||
Cox Communications, Inc.† | 8.375% | 3/1/2039 | 517 | 783,612 | ||||||||
DISH DBS Corp. | 7.75% | 7/1/2026 | 133 | 138,069 | ||||||||
Gray Television, Inc.† | 7.00% | 5/15/2027 | 214 | 237,502 | ||||||||
Scripps Escrow, Inc.† | 5.875% | 7/15/2027 | 257 | 264,584 | ||||||||
Sinclair Television Group, Inc.† | 5.125% | 2/15/2027 | 110 | 111,413 | ||||||||
Sinclair Television Group, Inc.† | 5.875% | 3/15/2026 | 70 | 73,126 | ||||||||
Time Warner Cable LLC | 7.30% | 7/1/2038 | 776 | 996,154 | ||||||||
Time Warner Entertainment Co. LP | 8.375% | 7/15/2033 | 6 | 8,399 | ||||||||
Total | 2,863,601 | |||||||||||
Metals & Minerals: Miscellaneous 0.52% | ||||||||||||
Anglo American Capital plc (United Kingdom)†(e) | 4.75% | 4/10/2027 | 400 | 435,521 | ||||||||
Barrick North America Finance LLC | 7.50% | 9/15/2038 | 60 | 84,057 | ||||||||
Freeport-McMoRan, Inc. | 3.875% | 3/15/2023 | 74 | 75,694 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(e) | 5.55% | 10/25/2042 | 397 | 429,978 | ||||||||
Kinross Gold Corp. (Canada)(e) | 5.95% | 3/15/2024 | 7 | 7,772 | ||||||||
Total | 1,033,022 | |||||||||||
Natural Gas 0.11% | ||||||||||||
Dominion Energy Gas Holdings LLC | 4.60% | 12/15/2044 | 200 | 222,082 | ||||||||
Oil 2.53% | ||||||||||||
Berry Petroleum Co. LLC† | 7.00% | 2/15/2026 | 143 | 124,003 | ||||||||
Centennial Resource Production LLC† | 6.875% | 4/1/2027 | 398 | 389,018 | ||||||||
Ecopetrol SA (Colombia)(e) | 4.125% | 1/16/2025 | 315 | 329,306 | ||||||||
Ecopetrol SA (Colombia)(e) | 5.875% | 5/28/2045 | 40 | 45,937 | ||||||||
Eni SpA (Italy)†(e) | 5.70% | 10/1/2040 | 200 | 245,288 | ||||||||
Eni USA, Inc. | 7.30% | 11/15/2027 | 70 | 90,449 | ||||||||
Laredo Petroleum, Inc. | 5.625% | 1/15/2022 | 191 | 176,373 | ||||||||
MEG Energy Corp. (Canada)†(e) | 7.00% | 3/31/2024 | 306 | 300,836 | ||||||||
Oasis Petroleum, Inc. | 6.875% | 3/15/2022 | 222 | 207,986 | ||||||||
Occidental Petroleum Corp. | 7.875% | 9/15/2031 | 445 | 593,318 | ||||||||
Pertamina Persero PT (Indonesia)†(e) | 4.70% | 7/30/2049 | 200 | 210,200 | ||||||||
Petrobras Global Finance BV (Netherlands)†(e) | 5.093% | 1/15/2030 | 180 | 188,685 | ||||||||
Petrobras Global Finance BV (Netherlands)(e) | 7.25% | 3/17/2044 | 215 | 256,589 | ||||||||
Petroleos Mexicanos (Mexico)(e) | 4.50% | 1/23/2026 | 294 | 287,842 | ||||||||
Petroleos Mexicanos (Mexico)(e) | 5.35% | 2/12/2028 | 360 | 350,549 | ||||||||
QEP Resources, Inc. | 5.25% | 5/1/2023 | 66 | 62,865 |
102 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE PLUS BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil (continued) | ||||||||||||
QEP Resources, Inc. | 5.625% | 3/1/2026 | $ | 223 | $ | 202,924 | ||||||
Saudi Arabian Oil Co. (Saudi Arabia)†(e) | 2.875% | 4/16/2024 | 200 | 202,673 | ||||||||
SM Energy Co. | 6.625% | 1/15/2027 | 330 | 301,066 | ||||||||
Tapstone Energy LLC/Tapstone Energy Finance Corp.† | 9.75% | 6/1/2022 | 15 | 3,900 | ||||||||
Valero Energy Corp. | 10.50% | 3/15/2039 | 276 | 468,376 | ||||||||
YPF SA (Argentina)†(e) | 8.50% | 3/23/2021 | 33 | 31,446 | ||||||||
Total | 5,069,629 | |||||||||||
Oil: Crude Producers 0.81% | ||||||||||||
Cheniere Corpus Christi Holdings LLC† | 3.70% | 11/15/2029 | 161 | 162,751 | ||||||||
NGPL PipeCo LLC† | 4.875% | 8/15/2027 | 300 | 318,419 | ||||||||
Sabine Pass Liquefaction LLC | 5.875% | 6/30/2026 | 1,006 | 1,151,532 | ||||||||
Total | 1,632,702 | |||||||||||
Oil: Integrated Domestic 0.25% | ||||||||||||
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc. | 4.08% | 12/15/2047 | 179 | 182,962 | ||||||||
National Oilwell Varco, Inc. | 3.95% | 12/1/2042 | 162 | 147,311 | ||||||||
Transocean Proteus Ltd.† | 6.25% | 12/1/2024 | 173 | 175,487 | ||||||||
Total | 505,760 | |||||||||||
Paper & Forest Products 0.06% | ||||||||||||
Fibria Overseas Finance Ltd. (Brazil)(e) | 4.00% | 1/14/2025 | 120 | 123,650 | ||||||||
Real Estate Investment Trusts 1.24% | ||||||||||||
Country Garden Holdings Co. Ltd. (China)†(e) | 4.75% | 9/28/2023 | 200 | 200,810 | ||||||||
EPR Properties | 4.50% | 6/1/2027 | 45 | 48,323 | ||||||||
EPR Properties | 4.75% | 12/15/2026 | 10 | 10,916 | ||||||||
EPR Properties | 4.95% | 4/15/2028 | 593 | 650,823 | ||||||||
Goodman US Finance Three LLC† | 3.70% | 3/15/2028 | 356 | 369,735 | ||||||||
Healthcare Trust of America Holdings LP | 3.10% | 2/15/2030 | 194 | 193,192 | ||||||||
Spirit Realty LP | 3.40% | 1/15/2030 | 188 | 188,847 | ||||||||
VEREIT Operating Partnership LP | 4.875% | 6/1/2026 | 739 | 820,711 | ||||||||
Total | 2,483,357 | |||||||||||
Retail 0.22% | ||||||||||||
Dollar Tree, Inc. | 4.20% | 5/15/2028 | 225 | 240,856 | ||||||||
IRB Holding Corp.† | 6.75% | 2/15/2026 | 188 | 196,760 | ||||||||
Total | 437,616 | |||||||||||
Retail: Specialty 0.10% | ||||||||||||
Coty, Inc.† | 6.50% | 4/15/2026 | 186 | 192,515 |
See Notes to Financial Statements. | 103 |
Schedule of Investments (continued)
CORE PLUS BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Steel 0.19% | ||||||||||||
Cleveland-Cliffs, Inc. | 5.75% | 3/1/2025 | $ | 173 | $ | 173,216 | ||||||
CSN Resources SA (Brazil)†(e) | 7.625% | 2/13/2023 | 200 | 209,083 | ||||||||
Total | 382,299 | |||||||||||
Technology 0.43% | ||||||||||||
Alibaba Group Holding Ltd. (China)(e) | 3.60% | 11/28/2024 | 200 | 210,202 | ||||||||
Match Group, Inc.† | 5.625% | 2/15/2029 | 156 | 165,180 | ||||||||
Netflix, Inc. | 6.375% | 5/15/2029 | 180 | 201,793 | ||||||||
Tencent Holdings Ltd. (China)†(e) | 3.595% | 1/19/2028 | 270 | 281,160 | ||||||||
Total | 858,335 | |||||||||||
Telecommunications 1.60% | ||||||||||||
AT&T, Inc. | 6.00% | 8/15/2040 | 1,125 | 1,426,621 | ||||||||
AT&T, Inc. | 6.25% | 3/29/2041 | 562 | 726,722 | ||||||||
Intelsat Jackson Holdings SA (Luxembourg)(e) | 5.50% | 8/1/2023 | 12 | 9,566 | ||||||||
Intelsat Jackson Holdings SA (Luxembourg)†(e) | 8.50% | 10/15/2024 | 133 | 109,725 | ||||||||
Sprint Capital Corp. | 6.875% | 11/15/2028 | 148 | 158,182 | ||||||||
Verizon Communications, Inc. | 3.01% (3 Mo. LIBOR + 1.10% | )# | 5/15/2025 | 561 | 571,824 | |||||||
ViaSat, Inc.† | 5.625% | 4/15/2027 | 185 | 197,256 | ||||||||
Total | 3,199,896 | |||||||||||
Toys 0.08% | ||||||||||||
Mattel, Inc.† | 6.75% | 12/31/2025 | 155 | 162,750 | ||||||||
Utilities 0.21% | ||||||||||||
Aqua America, Inc. | 3.566% | 5/1/2029 | 78 | 83,267 | ||||||||
Aquarion Co.† | 4.00% | 8/15/2024 | 125 | 131,628 | ||||||||
Empresas Publicas de Medellin ESP (Colombia)†(e) | 4.25% | 7/18/2029 | 200 | 206,570 | ||||||||
Total | 421,465 | |||||||||||
Total Corporate Bonds (cost $57,429,427) | 58,831,498 | |||||||||||
FLOATING RATE LOANS(g) 0.56% | ||||||||||||
Building Materials 0.19% | ||||||||||||
Airxcel, Inc. 2018 1st Lien Term Loan | 6.202% (1 Mo. LIBOR + 4.50% | ) | 4/28/2025 | 182 | 175,369 | |||||||
Forterra Finance LLC 2017 Term Loan B | – | (h) | 10/25/2023 | 204 | 196,804 | |||||||
Total | 372,173 | |||||||||||
Computer Software 0.10% | ||||||||||||
Navicure, Inc. 2019 Term Loan B | – | (h) | 10/22/2026 | 198 | 197,815 |
104 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE PLUS BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Containers 0.05% | ||||||||||||
Proampac PG Borrower LLC 2016 1st Lien Term Loan | 5.336% (3 Mo. LIBOR + 3.50%) - 5.436% | 11/20/2023 | $ | 110 | $ | 105,404 | ||||||
Electric: Power 0.09% | ||||||||||||
Helix Gen Funding, LLC Term Loan B | 5.452% (1 Mo. LIBOR + 3.75% | ) | 6/2/2024 | 198 | 190,224 | |||||||
Retail 0.03% | ||||||||||||
Mavis Tire Express Services Corp. 2018 1st Lien Term Loan | 4.952% (1 Mo. LIBOR + 3.25% | ) | 3/20/2025 | 62 | 58,587 | |||||||
Mavis Tire Express Services Corp. 2018 Delayed Draw Term Loan | 4.952% | 3/20/2025 | 8 | 7,452 | ||||||||
Total | 66,039 | |||||||||||
Transportation: Miscellaneous 0.01% | ||||||||||||
Gruden Acquisition, Inc. 2nd Lien Term Loan | 10.604% (3 Mo. LIBOR + 8.50% | ) | 8/18/2023 | 12 | 11,935 | |||||||
Wholesale 0.09% | ||||||||||||
Yak Access, LLC 2018 2nd Lien Term Loan B | 11.722% (1 Mo. LIBOR + 10.00% | ) | 7/10/2026 | 213 | 183,979 | |||||||
Total Floating Rate Loans (cost $1,138,993) | 1,127,569 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS 2.17% | ||||||||||||
Angola 0.10% | ||||||||||||
Republic of Angola†(e) | 8.25% | 5/9/2028 | 200 | 204,642 | ||||||||
Argentina 0.05% | ||||||||||||
Provincia de Mendoza†(e) | 8.375% | 5/19/2024 | 150 | 99,750 | ||||||||
Bahamas 0.11% | ||||||||||||
Commonwealth of Bahamas†(e) | 6.00% | 11/21/2028 | 200 | 218,819 | ||||||||
Bermuda 0.10% | ||||||||||||
Government of Bermuda† | 3.717% | 1/25/2027 | 200 | 209,071 | ||||||||
Dominican Republic 0.08% | ||||||||||||
Dominican Republic†(e) | 6.40% | 6/5/2049 | 150 | 157,453 | ||||||||
Egypt 0.20% | ||||||||||||
Arab Republic of Egypt†(e) | 4.55% | 11/20/2023 | 200 | 201,700 | ||||||||
Arab Republic of Egypt†(e) | 6.588% | 2/21/2028 | 200 | 204,580 | ||||||||
Total | 406,280 |
See Notes to Financial Statements. | 105 |
Schedule of Investments (continued)
CORE PLUS BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
El Salvador 0.09% | �� | |||||||||||
Republic of EI Salvador†(e) | 6.375% | 1/18/2027 | $ | 170 | $ | 177,284 | ||||||
Ghana 0.22% | ||||||||||||
Republic of Ghana†(e) | 7.875% | 8/7/2023 | 400 | 434,416 | ||||||||
Japan 0.25% | ||||||||||||
Japan Bank for International Corp.(e) | 2.125% | 2/10/2025 | 264 | 265,452 | ||||||||
Japan Bank for International Corp.(e) | 2.50% | 5/23/2024 | 224 | 229,047 | ||||||||
Total | 494,499 | |||||||||||
Kenya 0.10% | ||||||||||||
Republic of Kenya†(e) | 7.00% | 5/22/2027 | 200 | 209,391 | ||||||||
Mexico 0.14% | ||||||||||||
United Mexican States(e) | 3.75% | 1/11/2028 | 265 | 275,004 | ||||||||
Nigeria 0.11% | ||||||||||||
Republic of Nigeria†(e) | 6.375% | 7/12/2023 | 200 | 211,506 | ||||||||
Qatar 0.31% | ||||||||||||
State of Qatar†(e) | 3.25% | 6/2/2026 | 600 | 631,758 | ||||||||
South Africa 0.21% | ||||||||||||
Saudi International Bond†(e) | 3.625% | 3/4/2028 | 400 | 421,530 | ||||||||
Sri Lanka 0.10% | ||||||||||||
Republic of Sri Lanka†(e) | 6.25% | 7/27/2021 | 200 | 201,000 | ||||||||
Total Foreign Government Obligations(cost $4,352,460) | 4,352,403 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 0.09% | ||||||||||||
Government National Mortgage Assoc. 2017-168 AS | 2.70% | 8/16/2058 | 37 | 37,224 | ||||||||
Government National Mortgage Assoc. 2017-41 AS | 2.60% | 6/16/2057 | 31 | 31,320 | ||||||||
Government National Mortgage Assoc. 2017-69 AS | 2.75% | 2/16/2058 | 33 | 33,727 | ||||||||
Government National Mortgage Assoc. 2017-71 AS | 2.70% | 4/16/2057 | 33 | 33,320 | ||||||||
Government National Mortgage Assoc. 2017-76 AS | 2.65% | 11/16/2050 | 13 | 13,501 | ||||||||
Government National Mortgage Assoc. 2017-86 AS | 2.75% | 2/16/2058 | 12 | 12,608 | ||||||||
Government National Mortgage Assoc. 2017-89 AB | 2.60% | 7/16/2058 | 11 | 10,655 | ||||||||
Government National Mortgage Assoc. 2017-90 AS | 2.70% | 7/16/2057 | 14 | 14,193 | ||||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations(cost $183,240) | 186,548 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 28.92% | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.00% | 10/1/2049 | 429 | 465,306 | ||||||||
Federal National Mortgage Assoc.(i) | 3.00% | TBA | 10,200 | 10,344,235 |
106 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE PLUS BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued) | ||||||||||||
Federal National Mortgage Assoc.(i) | 3.50% | TBA | $ | 41,100 | $ | 42,191,719 | ||||||
Federal National Mortgage Assoc. | 4.00% | 1/1/2048 | 549 | 596,309 | ||||||||
Federal National Mortgage Assoc.(i) | 4.00% | TBA | 4,200 | 4,357,828 | ||||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $57,808,714) | 57,955,397 | |||||||||||
MUNICIPAL BOND 0.00% | ||||||||||||
Miscellaneous | ||||||||||||
Pennsylvania (cost $5,064) | 5.35% | 5/1/2030 | 5 | 5,074 | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 14.36% | ||||||||||||
1345 Avenue of the Americas & Park Avenue Plaza Trust 2005-1 A3† | 5.278% | 8/10/2035 | 50 | 55,357 | ||||||||
A10 Bridge Asset Financing LLC 2015-AA A1† | 3.30% | 5/15/2036 | 114 | 113,888 | ||||||||
AREIT Trust 2018-CRE2 A† | 2.743% (1 Mo. LIBOR + .98% | )# | 11/14/2035 | 73 | 72,386 | |||||||
Atrium Hotel Portfolio Trust 2017-ATRM A† | 2.695% (1 Mo. LIBOR + .93% | )# | 12/15/2036 | 1,075 | 1,074,398 | |||||||
Atrium Hotel Portfolio Trust 2018-ATRM A† | 2.715% (1 Mo. LIBOR + .95% | )# | 6/15/2035 | 100 | 100,153 | |||||||
BAMLL Commercial Mortgage Securities Trust 2019-AHT B† | 3.365% (1 Mo. LIBOR + 1.60% | )# | 3/15/2034 | 100 | 100,576 | |||||||
BAMLL Trust 2011-FSHN A† | 4.42% | 7/11/2033 | 168 | 172,011 | ||||||||
Bancorp Commercial Mortgage Trust (The) 2018-CR3 A† | 2.615% (1 Mo. LIBOR + .85% | )# | 1/15/2033 | 8 | 7,892 | |||||||
Bancorp Commercial Mortgage Trust 2019-CRE6 A† | 2.971% (1 Mo. LIBOR + 1.05% | )# | 9/15/2036 | 1,396 | 1,397,736 | |||||||
BB-UBS Trust 2012-SHOW A† | 3.43% | 11/5/2036 | 175 | 183,096 | ||||||||
BBCMS Mortgage Trust 2018-TALL E† | 4.202% (1 Mo. LIBOR + 2.44% | )# | 3/15/2037 | 64 | 64,128 | |||||||
BBCMS Mortgage Trust 2019-BWAY A† | 2.756% (1 Mo. LIBOR + .96% | )# | 11/25/2034 | 197 | 195,921 | |||||||
BBCMS Mortgage Trust 2019-BWAY B† | 3.11% (1 Mo. LIBOR + 1.31% | )# | 11/25/2034 | 87 | 86,549 | |||||||
BBCMS Mortgage Trust 2019-BWAY C† | 3.41% (1 Mo. LIBOR + 1.61% | )# | 11/25/2034 | 350 | 348,217 | |||||||
Benchmark Mortgage Trust 2019-B12 TCC† | 3.555% | #(j) | 8/15/2052 | 500 | 489,494 | (b) | ||||||
BHP Trust 2019-BXHP E† | 4.333% (1 Mo. LIBOR + 2.57% | )# | 8/15/2036 | 100 | 99,844 | |||||||
BWAY Mortgage Trust 2015-1740 A† | 2.917% | 1/10/2035 | 100 | 101,749 | ||||||||
BX Commercial Mortgage Trust 2018-BIOA A† | 2.436% (1 Mo. LIBOR + .67% | )# | 3/15/2037 | 70 | 69,904 |
See Notes to Financial Statements. | 107 |
Schedule of Investments (continued)
CORE PLUS BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
BX Commercial Mortgage Trust 2019-XL C† | 3.015% (1 Mo. LIBOR + 1.25% | )# | 10/15/2036 | $ | 150 | $ | 150,239 | |||||
BX Commercial Mortgage Trust 2019-XL D† | 3.215% (1 Mo. LIBOR + 1.45% | )# | 10/15/2036 | 170 | 170,329 | |||||||
BX Commercial Mortgage Trust 2019-XL E† | 3.565% (1 Mo. LIBOR + 1.80% | )# | 10/15/2036 | 100 | 100,230 | |||||||
BX Commercial Mortgage Trust 2019-XL F† | 3.765% (1 Mo. LIBOR + 2.00% | )# | 10/15/2036 | 250 | 250,660 | |||||||
BX Trust 2018-GW A† | 2.565% (1 Mo. LIBOR + .80% | )# | 5/15/2035 | 55 | 54,875 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI A† | 3.531% | 10/15/2034 | 35 | 36,345 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI B† | 3.835% | 10/15/2034 | 543 | 564,271 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI C† | 4.138% | 10/15/2034 | 100 | 104,439 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI D† | 4.499% | #(j) | 10/15/2034 | 10 | 10,464 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI E† | 4.499% | #(j) | 10/15/2034 | 27 | 27,991 | |||||||
CF Trust 2019-BOSS A1† | 4.953% (1 Mo. LIBOR + 3.25% | )# | 12/15/2021 | 222 | 222,304 | (b) | ||||||
CF Trust 2019-MF1 2019-MF1 C† | 3.415% (1 Mo. LIBOR + 1.65% | )# | 8/21/2032 | 378 | 379,327 | |||||||
CF Trust 2019-MF1 D† | 3.715% (1 Mo. LIBOR + 1.95% | )# | 8/21/2032 | 356 | 357,239 | |||||||
Citigroup Commercial Mortgage Trust 2013-375P A† | 3.251% | 5/10/2035 | 100 | 103,151 | ||||||||
Citigroup Commercial Mortgage Trust 2016-GC36 AS | 3.849% | 2/10/2049 | 98 | 103,570 | ||||||||
Citigroup Commercial Mortgage Trust 2016-GC36 D† | 2.85% | 2/10/2049 | 282 | 245,979 | ||||||||
Citigroup Commercial Mortgage Trust 2016-P3 D† | 2.804% | #(j) | 4/15/2049 | 25 | 21,903 | |||||||
Commercial Mortgage Pass-Through Certificates 2012-LTRT A2† | 3.40% | 10/5/2030 | 100 | 101,585 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-UBS4 D† | 4.863% | #(j) | 8/10/2047 | 835 | 775,386 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-UBS6 B | 4.349% | #(j) | 12/10/2047 | 50 | 52,746 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-DC1 D† | 4.408% | #(j) | 2/10/2048 | 600 | 554,795 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 AM | 4.29% | #(j) | 7/10/2050 | 53 | 57,406 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 B | 4.584% | #(j) | 7/10/2050 | 50 | 53,557 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 C | 4.584% | #(j) | 7/10/2050 | 10 | 10,446 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 D | 4.584% | #(j) | 7/10/2050 | 425 | 403,313 |
108 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE PLUS BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Commercial Mortgage Pass-Through Certificates 2016-COR1 AM | 3.494% | 10/10/2049 | $ | 88 | $ | 92,148 | ||||||
Credit Suisse Commercial Mortgage Securities Corp. 2019-SKLZ A† | 3.015% (1 Mo. LIBOR + 1.25% | )# | 1/15/2034 | 683 | 684,783 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-HD A† | 2.715% (1 Mo. LIBOR + .95% | )# | 2/15/2031 | 188 | 187,939 | |||||||
Credit Suisse Mortgage Capital Certificates 2019-ICE4 A† | 2.745% (1 Mo. LIBOR + .98% | )# | 5/15/2036 | 342 | 342,853 | |||||||
CSAIL Commercial Mortgage Trust 2019-C18 AS(d) | 3.321% | 12/15/2052 | 214 | 220,398 | ||||||||
DBWF Mortgage Trust 2018-GLKS A† | 2.763% (1 Mo. LIBOR + 1.03% | )# | 11/19/2035 | 100 | 100,257 | |||||||
Exantas Capital Corp., Ltd. 2019-RSO7 A† | 2.763% (1 Mo. LIBOR + 1.00% | )# | 4/15/2036 | 100 | 99,878 | |||||||
Exantas Capital Corp., Ltd. 2019-RSO7 AS† | 3.263% (1 Mo. LIBOR + 1.50% | )# | 4/15/2036 | 100 | 100,165 | |||||||
Fontainebleau Miami Beach Trust 2019-FBLU A†(d) | 3.144% | 12/10/2036 | 134 | 138,006 | ||||||||
Fontainebleau Miami Beach Trust 2019-FBLU B†(d) | 3.447% | 12/10/2036 | 100 | 103,065 | ||||||||
Great Wolf Trust 2017-WOLF A† | 2.615% (1 Mo. LIBOR + .85% | )# | 9/15/2034 | 100 | 100,066 | |||||||
GS Mortgage Securities Corp. Trust 2018-HULA A† | 2.685% (1 Mo. LIBOR + .92% | )# | 7/15/2025 | 987 | 985,014 | |||||||
GS Mortgage Securities Corp. Trust 2018-RIVR A† | 2.715% (1 Mo. LIBOR + .95% | )# | 7/15/2035 | 100 | 100,245 | |||||||
GS Mortgage Securities Corp. Trust 2019-70P A† | 2.765% (1 Mo. LIBOR + 1.00% | )# | 10/15/2036 | 1,219 | 1,220,700 | |||||||
GS Mortgage Securities Corp. Trust 2019-70P B† | 3.085% (1 Mo. LIBOR + 1.32% | )# | 10/15/2036 | 813 | 813,834 | |||||||
GS Mortgage Securities Corp. Trust 2019-70P XCP IO† | 0.506% | #(j) | 10/15/2036 | 86,776 | 572,609 | |||||||
GS Mortgage Securities Corp. Trust 2019-SMP A† | 2.915% (1 Mo. LIBOR + 1.15% | )# | 8/15/2032 | 750 | 750,924 | |||||||
GS Mortgage Securities Corp. Trust 2019-SMP B† | 3.265% (1 Mo. LIBOR + 1.50% | )# | 8/15/2032 | 525 | 526,652 | |||||||
GS Mortgage Securities Corp. Trust 2019-SMP XCP IO† | 0.587% | #(j) | 8/15/2032 | 36,803 | 271,054 | |||||||
GS Mortgage Securities Trust 2013-G1 A2† | 3.557% | #(j) | 4/10/2031 | 154 | 157,016 | |||||||
GS Mortgage Securities Trust 2014-GC26 C | 4.667% | #(j) | 11/10/2047 | 50 | 51,204 | |||||||
GS Mortgage Securities Trust 2015-GC30 A2 | 2.726% | 5/10/2050 | 1,005 | 1,005,611 | ||||||||
Hilton Orlando Trust 2018-ORL A† | 2.535% (1 Mo. LIBOR + .77% | )# | 12/15/2034 | 45 | 45,045 |
See Notes to Financial Statements. | 109 |
Schedule of Investments (continued)
CORE PLUS BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Hilton Orlando Trust 2018-ORL D† | 3.465% (1 Mo. LIBOR + 1.70% | )# | 12/15/2034 | $ | 55 | $ | 55,077 | |||||
JPMorgan Chase Commercial Mortgage Securities Corp. 2018-AON D† | 4.767% | #(j) | 7/5/2031 | 30 | 31,665 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust | 3.75% | 9/15/2029 | 325 | 325,609 | (b) | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust | 4.65% | 9/15/2029 | 325 | 325,603 | (b) | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust | 5.35% | 9/15/2029 | 325 | 325,602 | (b) | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust | 6.35% | 9/15/2029 | 325 | 325,602 | (b) | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust | 7.35% | 9/15/2029 | 325 | 325,601 | (b) | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2012-C8 A3 | 2.829% | 10/15/2045 | 8 | 7,842 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY D† | 3.931% | #(j) | 6/10/2027 | 100 | 69,229 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C30 C | 4.41% | #(j) | 7/15/2048 | 10 | 10,296 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-UES C† | 3.742% | #(j) | 9/5/2032 | 100 | 100,481 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK A† | 3.392% | 6/5/2032 | 103 | 105,175 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ A† | 2.765% (1 Mo. LIBOR + 1.00% | )# | 6/15/2032 | 968 | 969,152 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ B† | 3.065% (1 Mo. LIBOR + 1.30% | )# | 6/15/2032 | 339 | 339,055 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ C† | 3.365% (1 Mo. LIBOR + 1.60% | )# | 6/15/2032 | 34 | 34,205 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ D† | 3.865% (1 Mo. LIBOR + 2.10% | )# | 6/15/2032 | 50 | 50,057 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ E† | 4.765% (1 Mo. LIBOR + 3.00% | )# | 6/15/2035 | 47 | 47,372 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN† | 2.934% (1 Mo. LIBOR + 1.27% | )# | 11/15/2035 | 10 | 10,020 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN B† | 3.264% (1 Mo. LIBOR + 1.60% | )# | 11/15/2035 | 10 | 10,020 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT AFL† | 2.724% (1 Mo. LIBOR + .95% | )# | 7/5/2033 | 10 | 9,984 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT BFL† | 3.024% (1 Mo. LIBOR + 1.25% | )# | 7/5/2033 | 26 | 25,959 |
110 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE PLUS BOND FUNDNovember 30, 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 BFX† | 4.549% | 7/5/2033 | $ | 10 | $ | 10,692 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT CFX† | 4.95% | 7/5/2033 | 10 | 10,707 | ||||||||
LoanCore Issuer Ltd. 2019-CRE3 A† | 2.815% (1 Mo. LIBOR + 1.05% | )# | 4/15/2034 | 900 | 900,169 | |||||||
Motel 6 Trust 2017-MTL6 E† | 5.015% (1 Mo. LIBOR + 3.25% | )# | 8/15/2034 | 28 | 28,323 | |||||||
Natixis Commercial Mortgage Securities Trust 2018-285M A† | 3.917% | #(j) | 11/15/2032 | 50 | 51,936 | |||||||
Natixis Commercial Mortgage Securities Trust 2018-285M B† | 3.917% | #(j) | 11/15/2032 | 50 | 51,792 | |||||||
Natixis Commercial Mortgage Securities Trust 2019-1776 XCP IO† | 0.633% | #(j) | 10/15/2036 | 36,272 | 409,874 | |||||||
PFP Ltd. 2019-6 B†(d) | 3.614% (1 Mo. LIBOR + 1.70% | )# | 4/14/2037 | 500 | 500,765 | |||||||
PFP Ltd. 2019-6 C†(d) | 4.014% (1 Mo. LIBOR + 2.10% | )# | 4/14/2037 | 332 | 332,686 | |||||||
Prima Capital CRE Securitization Ltd. 2019-RK1 AG† | 4.00% | 4/15/2038 | 165 | 172,731 | (b) | |||||||
Prima Capital CRE Securitization Ltd. 2019-RK1 AT† | 4.45% | 4/15/2038 | 100 | 106,899 | (b) | |||||||
ReadyCap Commercial Mortgage Trust 2018-4 A† | 3.39% | 2/27/2051 | 25 | 25,537 | ||||||||
ReadyCap Commercial Mortgage Trust 2019-6 A† | 2.832% | 10/25/2052 | 924 | 928,152 | ||||||||
ReadyCap Mortgage Trust 2016-3 A IO† | 0.456% | #(j) | 2/15/2041 | 1,217 | 34,440 | |||||||
RETL 2019-RVP C† | 3.865% (1 Mo. LIBOR + 2.10% | )# | 3/15/2036 | 70 | 70,351 | |||||||
Shelter Growth CRE Issuer Ltd. 2018-FL1 A† | 2.765% (1 Mo. LIBOR + 1.00% | )# | 1/15/2035 | 26 | 26,051 | |||||||
SLIDE 2018-FUN D† | 3.615% (1 Mo. LIBOR + 1.85% | )# | 6/15/2031 | 15 | 14,571 | |||||||
Stonemont Portfolio Trust 2017-MONT E† | 4.474% (1 Mo. LIBOR + 2.75% | )# | 8/20/2030 | 65 | 65,530 | |||||||
Stonemont Portfolio Trust 2017-MONT F† | 5.324% (1 Mo. LIBOR + 3.60% | )# | 8/20/2030 | 66 | 66,482 | |||||||
VMC Finance LLC 2019-FL3 A† | 2.863% (1 Mo. LIBOR + 1.10% | )# | 9/15/2036 | 1,695 | 1,696,972 | |||||||
Wells Fargo Commercial Mortgage Trust 2013-LC12 B | 4.42% | #(j) | 7/15/2046 | 494 | 513,484 | |||||||
Wells Fargo Commercial Mortgage Trust 2014-LC16 A5 | 3.817% | 8/15/2050 | 165 | 175,496 | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-C28 D | 4.244% | #(j) | 5/15/2048 | 60 | 56,887 | |||||||
Wells Fargo Commercial Mortgage Trust 2016-C35 C | 4.176% | #(j) | 7/15/2048 | 100 | 103,499 | |||||||
Wells Fargo Commercial Mortgage Trust 2017-C41 AS | 3.785% | #(j) | 11/15/2050 | 146 | 157,076 |
See Notes to Financial Statements. | 111 |
Schedule of Investments (continued)
CORE PLUS BOND FUNDNovember 30, 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† | 2.613% (1 Mo. LIBOR + .85% | )# | 12/13/2031 | $ | 200 | $ | 199,566 | |||||
West Town Mall Trust 2017-KNOX A† | 3.823% | 7/5/2030 | 100 | 102,522 | ||||||||
WF-RBS Commercial Mortgage Trust 2012-C8 C | 5.048% | #(j) | 8/15/2045 | 50 | 52,488 | |||||||
WF-RBS Commercial Mortgage Trust 2013-C12 C | 4.471% | #(j) | 3/15/2048 | 50 | 52,129 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C22 A4 | 3.488% | 9/15/2057 | 25 | 26,311 | ||||||||
WFRBS Commercial Mortgage Trust 2013-C12 B | 3.863% | #(j) | 3/15/2048 | 25 | 25,775 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $28,551,761) | 28,788,814 | |||||||||||
U.S. TREASURY OBLIGATIONS 9.65% | ||||||||||||
U.S. Treasury Bond | 2.25% | 8/15/2049 | 4,958 | 5,002,932 | ||||||||
U.S. Treasury Bond | 2.75% | 11/15/2047 | 47 | 52,299 | ||||||||
U.S. Treasury Bond | 3.625% | 8/15/2043 | 2,698 | 3,416,606 | ||||||||
U.S. Treasury Inflation Indexed Note(k) | 0.625% | 4/15/2023 | 2,348 | 2,370,198 | ||||||||
U.S. Treasury Note | 1.75% | 11/15/2029 | 8,516 | 8,495,209 | ||||||||
Total U.S. Treasury Obligations (cost $19,061,741) | 19,337,244 | |||||||||||
Total Long-Term Investments (cost $211,767,640) | 213,905,563 | |||||||||||
SHORT-TERM INVESTMENTS 21.91% | ||||||||||||
FOREIGN BOND 7.92% | ||||||||||||
Japan | ||||||||||||
Japan Treasury Discount Bill(c) (cost $16,249,199) | Zero Coupon | 1/8/2020 | JPY | 1,735,450 | 15,863,262 | |||||||
GOVERNMENT SPONSORED ENTERPRISES SECURITY 1.24% | ||||||||||||
Federal Home Loan Bank Discount Notes (cost $2,487,325) | Zero Coupon | 12/6/2019 | $ | 2,488 | 2,487,566 | |||||||
REPURCHASE AGREEMENT 4.25% | ||||||||||||
Repurchase Agreement dated 11/29/2019, 0.85% due 12/2/2019 with Fixed Income Clearing Corp. collateralized by $8,615,000 of U.S. Treasury Note at 2.00% due 10/31/2021; value: $8,682,964; proceeds: $8,508,749 (cost $8,508,146) | 8,508 | 8,508,146 |
112 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE PLUS BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
U.S. TREASURY OBLIGATIONS 8.50% | ||||||||||||
U.S. Treasury Bill | Zero Coupon | 12/3/2019 | $ | 9,392 | $ | 9,391,588 | ||||||
U.S. Treasury Bill | Zero Coupon | 1/30/2020 | 7,667 | 7,647,218 | ||||||||
Total U.S. Treasury Obligations (cost $17,038,781) | 17,038,806 | |||||||||||
Total Short-Term Investments (cost $44,283,451) | 43,897,780 | |||||||||||
Total Investments in Securities 128.63% (cost $256,051,091) | 257,803,343 | |||||||||||
Less Unfunded Loan Commitments (0.00%) (cost $6,085) | (5,775 | ) | ||||||||||
Net Investments 128.63% (cost $256,045,006) | 257,797,568 | |||||||||||
Liabilities in Excess of Cash, Foreign Cash and Other Assets(l)(28.63%) | (57,376,050 | ) | ||||||||||
Net Assets 100.00% | $ | 200,421,518 |
CAD | Canadian dollar. | |
EUR | euro. | |
JPY | Japanese yen. | |
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. At November 30, 2019, the total value of Rule 144A securities was $79,368,381, which represents 39.60% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at November 30, 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) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(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 November 30, 2019. | |
(h) | Interest rate to be determined. | |
(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) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(k) | 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. | |
(l) | Liabilities in Excess of Cash, Foreign Cash and Other Assets include net unrealized appreciation/depreciation on swaps, forward foreign currency exchange contracts and futures contracts as follows: |
See Notes to Financial Statements. | 113 |
Schedule of Investments (continued)
CORE PLUS BOND FUNDNovember 30, 2019
Centrally Cleared Interest Rate Swap Contract at November 30, 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 | $2,774,483 | $23,361 |
* | Central clearinghouse: Chicago Mercantile Exchange (CME). |
Credit Default Swaps on Indexes - Sell Protection at November 30, 2019(1):
Referenced Index* | Swap Counterparty | Fund Pays (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 | $ | 365,000 | $ | 354,406 | $(22,667 | ) | $12,073 | $(10,594 | ) | ||||||||||||||
Markit CMBX.NA.A.8 | Morgan Stanley | 2.00% | 10/17/2057 | 175,000 | 179,184 | (9,738 | ) | 13,922 | 4,184 | |||||||||||||||||
$(32,405 | ) | $25,995 | $ (6,410 | ) |
* | The Referenced Index is for the Credit Default Swaps on Indexes, which is comprised of a basket of commercial mortgage-backed securities. | |
(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. | |
(3) | Total unrealized appreciation on Credit Default Swaps on Indexes amounted to $25,995. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $0. | |
(4) | Includes upfront payments paid. |
114 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORE PLUS BOND FUNDNovember 30, 2019
Open Forward Foreign Currency Exchange Contracts at November 30, 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 | Barclays Bank plc | 12/13/2019 | 150,000 | $112,972 | $112,933 | $ | 39 | ||||||||||||||
euro | Sell | Toronto Dominion Bank | 2/14/2020 | 197,000 | 218,296 | 218,173 | 123 | |||||||||||||||
Japanese yen | Sell | Barclays Bank plc | 1/8/2020 | 1,725,000,000 | 16,249,647 | 15,811,537 | 438,110 | |||||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 438,272 | ||||||||||||||||||||
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 | Toronto Dominion Bank | 12/2/2019 | 197,405 | $217,628 | $217,500 | $(128 | ) |
Open Futures Contracts at November 30, 2019:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||
Euro- Schatz | December 2019 | 1 | Short | EUR | (112,613) | EUR | (111,980) | $698 | ||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||
5-Year Canadian Bond | March 2020 | 2 | Short | CAD | (242,296 | ) | CAD | (242,680 | ) | $ | (289 | ) | ||||||
U.S. 10-Year Ultra | March 2020 | 8 | Long | $ | 1,139,765 | $ | 1,137,750 | (2,015 | ) | |||||||||
U.S. 5-Year Treasury Note | March 2020 | 228 | Long | 27,143,097 | 27,124,875 | (18,222 | ) | |||||||||||
U.S. Ultra Treasury Bond | March 2020 | 12 | Long | 2,258,365 | 2,252,626 | (5,739 | ) | |||||||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (26,265 | ) |
See Notes to Financial Statements. | 115 |
Schedule of Investments (continued)
CORE PLUS BOND FUNDNovember 30, 2019
The following is a summary of the inputs used as of November 30, 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 | ||||||||||||||||
Credit Cards | $ | – | $ | 1,816,793 | $ | 507,702 | $ | 2,324,495 | ||||||||
Other | – | 15,236,843 | 617,956 | 15,854,799 | ||||||||||||
Remaining Industries | – | 25,141,722 | – | 25,141,722 | ||||||||||||
Corporate Bonds | – | 58,831,498 | – | 58,831,498 | ||||||||||||
Floating Rate Loans | – | 1,127,569 | – | 1,127,569 | ||||||||||||
Less Unfunded Commitments | – | (5,775 | ) | – | (5,775 | ) | ||||||||||
Foreign Government Obligations | – | 4,352,403 | – | 4,352,403 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 186,548 | – | 186,548 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 57,955,397 | – | 57,955,397 | ||||||||||||
Municipal Bond | – | 5,074 | – | 5,074 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 26,169,369 | 2,619,445 | 28,788,814 | ||||||||||||
U.S. Treasury Obligations | – | 19,337,244 | – | 19,337,244 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Foreign Bond | – | 15,863,262 | – | 15,863,262 | ||||||||||||
Government Sponsored Enterprises Security | – | 2,487,566 | – | 2,487,566 | ||||||||||||
Repurchase Agreement | – | 8,508,146 | – | 8,508,146 | ||||||||||||
U.S. Treasury Obligations | – | 17,038,806 | – | 17,038,806 | ||||||||||||
Total | $ | – | $ | 254,052,465 | $ | 3,745,103 | $ | 257,797,568 | ||||||||
Other Financial Instruments | ||||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 23,361 | $ | – | $ | 23,361 | ||||||||
Liabilities | – | – | – | – | ||||||||||||
Credit Default Swap Contracts | ||||||||||||||||
Assets | – | 4,184 | – | 4,184 | ||||||||||||
Liabilities | – | (10,594 | ) | – | (10,594 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 438,272 | – | 438,272 | ||||||||||||
Liabilities | – | (128 | ) | – | (128 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 698 | – | – | 698 | ||||||||||||
Liabilities | (26,265 | ) | – | – | (26,265 | ) | ||||||||||
Total | $ | (25,567 | ) | $ | 455,095 | $ | – | $ | 429,528 |
(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. |
116 | See Notes to Financial Statements. |
Schedule of Investments (concluded)
CORE PLUS BOND FUNDNovember 30, 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 | Non-Agency Commercial Mortgage-Backed Securities | ||||||||
Balance as of December 1, 2018 | $ | – | $ | – | ||||||
Accrued Discounts (Premiums) | 70 | (83 | ) | |||||||
Realized Gain (Loss) | – | – | ||||||||
Change in Unrealized Appreciation (Depreciation) | 32,725 | 5,796 | ||||||||
Purchases | 1,092,863 | 2,613,732 | ||||||||
Sales | – | – | ||||||||
Transfers into Level 3 | – | – | ||||||||
Transfers out of Level 3 | – | – | ||||||||
Balance as of November 30, 2019 | $ | 1,125,658 | $ | 2,619,445 | ||||||
Change in unrealized appreciation/depreciation for the year ended November 30, 2019 related to Level 3 investments held at November 30, 2019 | $ | 32,725 | $ | 5,796 |
See Notes to Financial Statements. | 117 |
CORPORATE BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 94.17% | ||||||||||||
ASSET-BACKED SECURITIES 1.49% | ||||||||||||
Automobiles 0.85% | ||||||||||||
Drive Auto Receivables Trust 2017-1 C | 2.84% | 4/15/2022 | $ | 2 | $ | 1,772 | ||||||
Santander Drive Auto Receivables Trust 2016-1 D | 4.02% | 4/15/2022 | 65 | 65,527 | ||||||||
Total | 67,299 | |||||||||||
Other 0.64% | ||||||||||||
Ford Credit Floorplan Master Owner Trust 2015-5 A1 | 2.42% | 8/15/2022 | 25 | 25,066 | ||||||||
Hardee’s Funding LLC 2018-1A A2II† | 4.959% | 6/20/2048 | 25 | 25,047 | ||||||||
Total | 50,113 | |||||||||||
Total Asset-Backed Securities(cost $117,432) | 117,412 | |||||||||||
CORPORATE BONDS 90.86% | ||||||||||||
Aerospace/Defense 1.84% | ||||||||||||
Embraer Netherlands Finance BV (Netherlands)(a) | 5.05% | 6/15/2025 | 28 | 30,687 | ||||||||
L3Harris Technologies, Inc.† | 4.40% | 6/15/2028 | 15 | 16,773 | ||||||||
Litton Industries, Inc. | 7.75% | 3/15/2026 | 15 | 19,068 | ||||||||
Lockheed Martin Corp. | 7.75% | 5/1/2026 | 15 | 19,295 | ||||||||
Northrop Grumman Systems Corp. | 7.875% | 3/1/2026 | 15 | 19,299 | ||||||||
United Technologies Corp. | 4.625% | 11/16/2048 | 32 | 40,118 | ||||||||
Total | 145,240 | |||||||||||
Air Transportation 0.43% | ||||||||||||
American Airlines 2014-1 Class B Pass-Through Trust | 4.375% | 4/1/2024 | 11 | 11,539 | ||||||||
Delta Air Lines 2019-1 Class AA Pass Through Trust | 3.204% | 10/25/2025 | 10 | 10,418 | ||||||||
United Airlines 2019-2 Class AA Pass Through Trust | 2.70% | 11/1/2033 | 12 | 12,049 | ||||||||
Total | 34,006 | |||||||||||
Automotive 1.17% | ||||||||||||
Ford Motor Co. | 7.45% | 7/16/2031 | 32 | 37,186 | ||||||||
General Motors Co. | 6.75% | 4/1/2046 | 47 | 54,740 | ||||||||
Total | 91,926 | |||||||||||
Banks: Regional 14.24% | ||||||||||||
Bank of America Corp. | 3.593% (3 Mo. LIBOR + 1.37% | )# | 7/21/2028 | 165 | 175,169 | |||||||
Bank of Montreal (Canada)(a) | 3.803% (5 Yr Swap rate + 1.43% | )# | 12/15/2032 | 8 | 8,336 |
118 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORPORATE BOND FUNDNovember 30, 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 | $ | 135 | $ | 143,460 | |||||
Comerica, Inc. | 4.00% | 2/1/2029 | 30 | 32,981 | ||||||||
Goldman Sachs Group, Inc. (The) | 6.75% | 10/1/2037 | 43 | 59,134 | ||||||||
HSBC USA, Inc. | 9.30% | 6/1/2021 | 23 | 25,250 | ||||||||
JPMorgan Chase & Co. | 8.00% | 4/29/2027 | 45 | 59,996 | ||||||||
JPMorgan Chase & Co. | 3.782% (3 Mo. LIBOR + 1.34% | )# | 2/1/2028 | 77 | 82,830 | |||||||
JPMorgan Chase & Co. | 3.96% (3 Mo. LIBOR + 1.25% | )# | 1/29/2027 | 25 | 27,032 | |||||||
Macquarie Bank Ltd. (Australia)†(a) | 6.625% | 4/7/2021 | 60 | 63,395 | ||||||||
Macquarie Group Ltd. (Australia)†(a) | 4.654% (3 Mo. LIBOR + 1.73% | )# | 3/27/2029 | 22 | 24,391 | |||||||
Morgan Stanley | 3.875% | 1/27/2026 | 76 | 81,957 | ||||||||
Morgan Stanley | 4.431% (3 Mo. LIBOR + 1.63% | )# | 1/23/2030 | 39 | 44,021 | |||||||
Santander UK plc (United Kingdom)(a) | 7.95% | 10/26/2029 | 23 | 29,466 | ||||||||
State Street Corp. | 3.031% (SOFR + 1.49% | )# | 11/1/2034 | 30 | 30,184 | |||||||
SVB Financial Group | 3.50% | 1/29/2025 | 20 | 21,033 | ||||||||
Toronto-Dominion Bank (The) (Canada)(a) | 3.625% (5 Yr Swap + 2.21% | )# | 9/15/2031 | 62 | 64,726 | |||||||
US Bancorp | 3.00% | 7/30/2029 | 7 | 7,243 | ||||||||
Webster Financial Corp. | 4.10% | 3/25/2029 | 14 | 14,942 | ||||||||
Wells Fargo & Co. | 4.65% | 11/4/2044 | 8 | 9,577 | ||||||||
Wells Fargo Capital X | 5.95% | 12/1/2086 | 46 | 57,428 | ||||||||
Westpac Banking Corp. (Australia)(a) | 4.11% (5 Yr Treasury CMT + 2.00% | )# | 7/24/2034 | 19 | 19,719 | |||||||
Westpac Banking Corp. (Australia)(a) | 4.322% (5 Yr. Swap + 2.24% | )# | 11/23/2031 | 37 | 38,928 | |||||||
Total | 1,121,198 | |||||||||||
Beverages 2.11% | ||||||||||||
Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc. | 4.70% | 2/1/2036 | 58 | 67,522 | ||||||||
Anheuser-Busch InBev Worldwide, Inc. | 8.20% | 1/15/2039 | 45 | 71,341 | ||||||||
Keurig Dr Pepper, Inc. | 4.417% | 5/25/2025 | 14 | 15,282 | ||||||||
Keurig Dr Pepper, Inc. | 5.085% | 5/25/2048 | 10 | 12,030 | ||||||||
Total | 166,175 | |||||||||||
Biotechnology Research & Production 0.32% | ||||||||||||
Gilead Sciences, Inc. | 4.60% | 9/1/2035 | 21 | 25,080 | ||||||||
Building Materials 1.70% | ||||||||||||
Boral Finance Pty Ltd. (Australia)†(a) | 3.00% | 11/1/2022 | 8 | 8,036 | ||||||||
Johnson Controls International plc | 5.00% | 3/30/2020 | 26 | 26,248 |
See Notes to Financial Statements. | 119 |
Schedule of Investments (continued)
CORPORATE BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Building Materials (continued) | ||||||||||||
Martin Marietta Materials, Inc. | 2.549% (3 Mo. LIBOR + .65% | )# | 5/22/2020 | $ | 42 | $ | 42,059 | |||||
Owens Corning, Inc. | 4.30% | 7/15/2047 | 29 | 27,536 | ||||||||
Vulcan Materials Co. | 2.557% (3 Mo. LIBOR + .65% | )# | 3/1/2021 | 20 | 20,060 | |||||||
Vulcan Materials Co. | 2.719% (3 Mo. LIBOR + .60% | )# | 6/15/2020 | 10 | 10,015 | |||||||
Total | 133,954 | |||||||||||
Business Services 1.23% | ||||||||||||
Ashtead Capital, Inc.† | 4.25% | 11/1/2029 | 6 | 6,075 | ||||||||
Global Payments, Inc. | 3.20% | 8/15/2029 | 14 | 14,243 | ||||||||
IHS Markit Ltd. (United Kingdom)(a) | 3.625% | 5/1/2024 | 2 | 2,088 | ||||||||
IHS Markit Ltd. (United Kingdom)†(a) | 4.00% | 3/1/2026 | 19 | 20,219 | ||||||||
IHS Markit Ltd. (United Kingdom)(a) | 4.25% | 5/1/2029 | 9 | 9,710 | ||||||||
PayPal Holdings, Inc. | 2.85% | 10/1/2029 | 45 | 44,996 | ||||||||
Total | 97,331 | |||||||||||
Computer Hardware 1.56% | ||||||||||||
Apple, Inc. | 4.45% | 5/6/2044 | 55 | 67,155 | ||||||||
Dell International LLC/EMC Corp.† | 6.02% | 6/15/2026 | 35 | 40,025 | ||||||||
Dell International LLC/EMC Corp.† | 8.35% | 7/15/2046 | 12 | 16,115 | ||||||||
Total | 123,295 | |||||||||||
Computer Software 1.46% | ||||||||||||
Microsoft Corp. | 3.50% | 2/12/2035 | 52 | 57,709 | ||||||||
Oracle Corp. | 6.125% | 7/8/2039 | 40 | 56,991 | ||||||||
Total | 114,700 | |||||||||||
Construction/Homebuilding 0.50% | ||||||||||||
D.R. Horton, Inc. | 2.50% | 10/15/2024 | 6 | 6,003 | ||||||||
D.R. Horton, Inc. | 5.75% | 8/15/2023 | 30 | 33,116 | ||||||||
Total | 39,119 | |||||||||||
Drugs 4.35% | ||||||||||||
AbbVie, Inc.† | 4.25% | 11/21/2049 | 8 | 8,439 | ||||||||
AbbVie, Inc. | 4.70% | 5/14/2045 | 15 | 16,669 | ||||||||
AbbVie, Inc. | 4.875% | 11/14/2048 | 15 | 17,290 | ||||||||
AstraZeneca plc (United Kingdom)(a) | 2.569% (3 Mo. LIBOR + .67% | )# | 8/17/2023 | 50 | 50,102 | |||||||
AstraZeneca plc (United Kingdom)(a) | 2.754% (3 Mo. LIBOR + .62% | )# | 6/10/2022 | 30 | 30,110 | |||||||
AstraZeneca plc (United Kingdom)(a) | 6.45% | 9/15/2037 | 10 | 14,133 |
120 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORPORATE BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Drugs (continued) | ||||||||||||
Bayer Corp.† | 6.65% | 2/15/2028 | $ | 7 | $ | 8,613 | ||||||
Cigna Corp.† | 6.125% | 11/15/2041 | 16 | 20,707 | ||||||||
CVS Health Corp. | 4.30% | 3/25/2028 | 63 | 68,761 | ||||||||
CVS Health Corp. | 4.78% | 3/25/2038 | 20 | 22,786 | ||||||||
CVS Health Corp. | 5.05% | 3/25/2048 | 35 | 41,453 | ||||||||
Express Scripts Holding Co. | 2.664% (3 Mo. LIBOR + .75% | )# | 11/30/2020 | 32 | 32,005 | |||||||
Merck & Co., Inc. | 3.90% | 3/7/2039 | 10 | 11,583 | ||||||||
Total | 342,651 | |||||||||||
Electric: Power 9.65% | ||||||||||||
Appalachian Power Co. | 7.00% | 4/1/2038 | 22 | 31,814 | ||||||||
Ausgrid Finance Pty Ltd. (Australia)†(a) | 4.35% | 8/1/2028 | 16 | 17,574 | ||||||||
Avista Corp. | 4.35% | 6/1/2048 | 11 | 12,868 | ||||||||
Berkshire Hathaway Energy Co. | 3.80% | 7/15/2048 | 20 | 21,761 | ||||||||
Cleco Corporate Holdings LLC | 4.973% | 5/1/2046 | 8 | 9,080 | ||||||||
Cleco Power LLC | 6.00% | 12/1/2040 | 20 | 25,476 | ||||||||
Dominion Energy South Carolina, Inc. | 6.05% | 1/15/2038 | 7 | 9,580 | ||||||||
Dominion Energy, Inc. | 7.00% | 6/15/2038 | 22 | 30,817 | ||||||||
DPL, Inc.† | 4.35% | 4/15/2029 | 18 | 16,867 | ||||||||
Duquesne Light Holdings, Inc.† | 6.40% | 9/15/2020 | 28 | 28,850 | ||||||||
El Paso Electric Co. | 5.00% | 12/1/2044 | 5 | 5,934 | ||||||||
El Paso Electric Co. | 6.00% | 5/15/2035 | 15 | 18,800 | ||||||||
Entergy Arkansas LLC | 4.95% | 12/15/2044 | 27 | 29,169 | ||||||||
Entergy Corp. | 5.125% | 9/15/2020 | 25 | 25,397 | ||||||||
Entergy Louisiana LLC | 4.00% | 3/15/2033 | 5 | 5,717 | ||||||||
Entergy Texas, Inc. | 4.00% | 3/30/2029 | 5 | 5,542 | ||||||||
Exelon Generation Co. LLC | 5.60% | 6/15/2042 | 41 | 47,845 | ||||||||
Georgia Power Co. | 4.75% | 9/1/2040 | 22 | 25,282 | ||||||||
Interstate Power & Light Co. | 3.50% | 9/30/2049 | 15 | 15,030 | ||||||||
Interstate Power & Light Co. | 3.60% | 4/1/2029 | 6 | 6,436 | ||||||||
Interstate Power & Light Co. | 4.70% | 10/15/2043 | 10 | 11,629 | ||||||||
Jersey Central Power & Light Co.† | 4.70% | 4/1/2024 | 5 | 5,440 | ||||||||
Mississippi Power Co. | 4.25% | 3/15/2042 | 20 | 21,754 | ||||||||
New York State Electric & Gas Corp.† | 3.30% | 9/15/2049 | 12 | 11,744 | ||||||||
NRG Energy, Inc.† | 4.45% | 6/15/2029 | 15 | 15,838 | ||||||||
Oglethorpe Power Corp. | 5.05% | 10/1/2048 | 8 | 9,637 | ||||||||
Ohio Edison Co. | 8.25% | 10/15/2038 | 23 | 36,746 | ||||||||
Oklahoma Gas & Electric Co. | 3.30% | 3/15/2030 | 19 | 20,005 | ||||||||
Oncor Electric Delivery Co. LLC | 7.00% | 5/1/2032 | 7 | 10,041 |
See Notes to Financial Statements. | 121 |
Schedule of Investments (continued)
CORPORATE BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Power (continued) | ||||||||||||
Pennsylvania Electric Co.† | 3.60% | 6/1/2029 | $ | 7 | $ | 7,452 | ||||||
PPL Electric Utilities Corp. | 5.20% | 7/15/2041 | 23 | 28,694 | ||||||||
PPL WEM Ltd./Western Power Distribution Ltd. (United Kingdom)†(a) | 5.375% | 5/1/2021 | 20 | 20,629 | ||||||||
Progress Energy, Inc. | 7.75% | 3/1/2031 | 9 | 12,745 | ||||||||
Public Service Co. of Oklahoma | 6.625% | 11/15/2037 | 20 | 28,288 | ||||||||
Puget Energy, Inc. | 3.65% | 5/15/2025 | 12 | 12,454 | ||||||||
Puget Energy, Inc. | 5.625% | 7/15/2022 | 14 | 14,976 | ||||||||
Puget Energy, Inc. | 6.00% | 9/1/2021 | 10 | 10,634 | ||||||||
San Diego Gas & Electric Co. | 1.914% | 2/1/2022 | 5 | 5,268 | ||||||||
SCANA Corp. | 4.125% | 2/1/2022 | 15 | 15,368 | ||||||||
SCANA Corp. | 4.75% | 5/15/2021 | 4 | 4,093 | ||||||||
Tampa Electric Co. | 6.15% | 5/15/2037 | 7 | 9,347 | ||||||||
TransAlta Corp. (Canada)(a) | 4.50% | 11/15/2022 | 31 | 31,972 | ||||||||
Vistra Operations Co. LLC† | 4.30% | 7/15/2029 | 25 | 25,804 | ||||||||
Total | 760,397 | |||||||||||
Electrical Equipment 1.53% | ||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 2.65% | 1/15/2023 | 4 | 4,006 | ||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 3.875% | 1/15/2027 | 42 | 42,912 | ||||||||
Broadcom, Inc.† | 3.625% | 10/15/2024 | 29 | 29,828 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(a) | 4.875% | 3/1/2024 | 25 | 27,163 | ||||||||
Xilinx, Inc. | 2.95% | 6/1/2024 | 16 | 16,432 | ||||||||
Total | 120,341 | |||||||||||
Electronics 0.90% | ||||||||||||
PerkinElmer, Inc. | 3.30% | 9/15/2029 | 33 | 33,090 | ||||||||
Trimble, Inc. | 4.75% | 12/1/2024 | 24 | 26,015 | ||||||||
Trimble, Inc. | 4.90% | 6/15/2028 | 11 | 12,108 | ||||||||
Total | 71,213 | |||||||||||
Financial Services 4.51% | ||||||||||||
Affiliated Managers Group, Inc. | 3.50% | 8/1/2025 | 11 | 11,473 | ||||||||
Affiliated Managers Group, Inc. | 4.25% | 2/15/2024 | 50 | 53,353 | ||||||||
Air Lease Corp. | 3.625% | 4/1/2027 | 19 | 19,706 | ||||||||
Aircastle Ltd. | 4.25% | 6/15/2026 | 27 | 28,377 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(a) | 5.125% | 10/1/2023 | 7 | 7,545 | ||||||||
Brightsphere Investment Group, Inc. | Zero Coupon | 7/27/2026 | 26 | 27,027 | ||||||||
Credit Suisse USA, Inc. | 7.125% | 7/15/2032 | 10 | 14,608 | ||||||||
Discover Financial Services | 4.10% | 2/9/2027 | 18 | 19,314 |
122 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORPORATE BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Financial Services (continued) | ||||||||||||
Discover Financial Services | 5.20% | 4/27/2022 | $ | 25 | $ | 26,659 | ||||||
E*TRADE Financial Corp. | 3.80% | 8/24/2027 | 9 | 9,351 | ||||||||
E*TRADE Financial Corp. | 4.50% | 6/20/2028 | 9 | 9,752 | ||||||||
International Lease Finance Corp. | 8.25% | 12/15/2020 | 24 | 25,484 | ||||||||
International Lease Finance Corp. | 8.625% | 1/15/2022 | 15 | 16,927 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.50% | 3/15/2027 | 23 | 24,608 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 11 | 11,432 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(a) | 5.50% | 2/15/2024 | 45 | 49,304 | ||||||||
Total | 354,920 | |||||||||||
Food 0.13% | ||||||||||||
Campbell Soup Co. | 2.749% (3 Mo. LIBOR + .63% | )# | 3/15/2021 | 10 | 10,025 | |||||||
Health Care Products 0.82% | ||||||||||||
Abbott Laboratories | 4.75% | 11/30/2036 | 17 | 21,280 | ||||||||
Zimmer Biomet Holdings, Inc. | 2.914% (3 Mo. LIBOR + .75% | )# | 3/19/2021 | 30 | 30,006 | |||||||
Zimmer Biomet Holdings, Inc. | 5.75% | 11/30/2039 | 11 | 13,262 | ||||||||
Total | 64,548 | |||||||||||
Health Care Services 3.39% | ||||||||||||
CommonSpirit Health | 3.347% | 10/1/2029 | 35 | 35,212 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 4.75% | 10/15/2024 | 19 | 20,539 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 5.875% | 1/31/2022 | 14 | 14,971 | ||||||||
HCA, Inc. | 5.125% | 6/15/2039 | 37 | 41,034 | ||||||||
Kaiser Foundation Hospitals | 4.15% | 5/1/2047 | 10 | 11,664 | ||||||||
Mount Sinai Hospitals Group, Inc. | 3.737% | 7/1/2049 | 6 | 6,118 | ||||||||
New York and Presbyterian Hospital (The) | 3.954% | 8/1/2119 | 25 | 25,697 | ||||||||
Northwell Healthcare, Inc. | 3.979% | 11/1/2046 | 12 | 12,619 | ||||||||
NYU Langone Hospitals | 4.368% | 7/1/2047 | 12 | 13,865 | ||||||||
NYU Langone Hospitals | 4.784% | 7/1/2044 | 7 | 8,515 | ||||||||
Providence St Joseph Health Obligated Group | 2.532% | 10/1/2029 | 8 | 7,912 | ||||||||
UnitedHealth Group, Inc. | 6.875% | 2/15/2038 | 23 | 34,391 | ||||||||
Universal Health Services, Inc.† | 4.75% | 8/1/2022 | 34 | 34,446 | ||||||||
Total | 266,983 | |||||||||||
Household Equipment/Products 0.12% | ||||||||||||
Newell Brands, Inc. | 3.85% | 4/1/2023 | 9 | 9,288 |
See Notes to Financial Statements. | 123 |
Schedule of Investments (continued)
CORPORATE BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Insurance 4.81% | ||||||||||||
Aon plc (United Kingdom)(a) | 3.875% | 12/15/2025 | $ | 19 | $ | 20,357 | ||||||
Assurant, Inc. | 3.70% | 2/22/2030 | 17 | 17,271 | ||||||||
Berkshire Hathaway Finance Corp. | 4.25% | 1/15/2049 | 27 | 32,099 | ||||||||
CNO Financial Group, Inc. | 5.25% | 5/30/2025 | 20 | 22,212 | ||||||||
Fidelity National Financial, Inc. | 4.50% | 8/15/2028 | 35 | 37,877 | ||||||||
Global Atlantic Fin Co.† | 4.40% | 10/15/2029 | 20 | 19,864 | ||||||||
Hanover Insurance Group, Inc. (The) | 4.50% | 4/15/2026 | 9 | 9,742 | ||||||||
Lincoln National Corp. | 6.30% | 10/9/2037 | 25 | 33,180 | ||||||||
New York Life Insurance Co.† | 4.45% | 5/15/2069 | 30 | 35,673 | ||||||||
Protective Life Corp. | 8.45% | 10/15/2039 | 25 | 38,162 | ||||||||
Securian Financial Group, Inc.† | 4.80% | 4/15/2048 | 16 | 18,774 | ||||||||
Selective Insurance Group, Inc. | 5.375% | 3/1/2049 | 9 | 10,680 | ||||||||
Teachers Insurance & Annuity Association of America† | 4.90% | 9/15/2044 | 35 | 43,674 | ||||||||
Transatlantic Holdings, Inc. | 8.00% | 11/30/2039 | 9 | 13,524 | ||||||||
Unum Group | 5.75% | 8/15/2042 | 23 | 25,844 | ||||||||
Total | 378,933 | |||||||||||
Leasing 0.48% | ||||||||||||
GATX Corp. | 4.55% | 11/7/2028 | 28 | 30,752 | ||||||||
Penske Truck Leasing Co., LP/PTL Finance Corp.† | 3.45% | 7/1/2024 | 5 | 5,190 | ||||||||
Penske Truck Leasing Co., LP/PTL Finance Corp.† | 3.95% | 3/10/2025 | 2 | 2,119 | ||||||||
Total | 38,061 | |||||||||||
Leisure 0.71% | ||||||||||||
Royal Caribbean Cruises Ltd. | 3.70% | 3/15/2028 | 2 | 2,058 | ||||||||
Royal Caribbean Cruises Ltd. | 5.25% | 11/15/2022 | 27 | 29,272 | ||||||||
Royal Caribbean Cruises Ltd. | 7.50% | 10/15/2027 | 19 | 24,348 | ||||||||
Total | 55,678 | |||||||||||
Lodging 0.20% | ||||||||||||
Las Vegas Sands Corp. | 3.90% | 8/8/2029 | 15 | 15,565 | ||||||||
Machinery: Agricultural 1.35% | ||||||||||||
BAT Capital Corp. | 3.222% | 8/15/2024 | 20 | 20,368 | ||||||||
BAT Capital Corp. | 3.557% | 8/15/2027 | 3 | 3,059 | ||||||||
BAT Capital Corp. | 4.39% | 8/15/2037 | 24 | 23,776 | ||||||||
Philip Morris International, Inc. | 3.25% | 11/10/2024 | 15 | 15,741 | ||||||||
Reynolds American, Inc. | 4.85% | 9/15/2023 | 40 | 43,286 | ||||||||
Total | 106,230 |
124 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORPORATE BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Machinery: Industrial/Specialty 0.79% | ||||||||||||
CNH Industrial Capital LLC | 4.375% | 4/5/2022 | $ | 13 | $ | 13,677 | ||||||
CNH Industrial Capital LLC | 4.875% | 4/1/2021 | 5 | 5,174 | ||||||||
Kennametal, Inc. | 4.625% | 6/15/2028 | 12 | 12,848 | ||||||||
nVent Finance Sarl (Luxembourg)(a) | 4.55% | 4/15/2028 | 19 | 19,627 | ||||||||
Roper Technologies, Inc. | 3.85% | 12/15/2025 | 10 | 10,764 | ||||||||
Total | 62,090 | |||||||||||
Manufacturing 1.40% | ||||||||||||
General Electric Co. | 3.10% | 1/9/2023 | 5 | 5,108 | ||||||||
General Electric Co. | 5.00% (3 Mo. LIBOR + 3.33% | )# | – | (b) | 32 | 31,351 | ||||||
General Electric Co. | 6.15% | 8/7/2037 | 35 | 43,709 | ||||||||
Pentair Finance Sarl (Luxembourg)(a) | 3.15% | 9/15/2022 | 30 | 30,187 | ||||||||
Total | 110,355 | |||||||||||
Media 2.95% | ||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 6.484% | 10/23/2045 | 52 | 64,524 | ||||||||
Comcast Corp. | 4.95% | 10/15/2058 | 15 | 19,608 | ||||||||
Cox Communications, Inc.† | 4.50% | 6/30/2043 | 7 | 7,473 | ||||||||
Cox Communications, Inc.† | 8.375% | 3/1/2039 | 19 | 28,798 | ||||||||
Grupo Televisa SAB (Mexico)(a) | 6.625% | 1/15/2040 | 7 | 8,788 | ||||||||
NBCUniversal Enterprise, Inc.† | 5.25% | – | (b) | 100 | 103,035 | |||||||
Total | 232,226 | |||||||||||
Metal Fabricating 0.29% | ||||||||||||
Valmont Industries, Inc. | 5.25% | 10/1/2054 | 22 | 22,589 | ||||||||
Metals & Minerals: Miscellaneous 1.01% | ||||||||||||
Barrick North America Finance LLC | 7.50% | 9/15/2038 | 21 | 29,420 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(a) | 5.55% | 10/25/2042 | 19 | 20,578 | ||||||||
Newmont Goldcorp Corp. | 3.70% | 3/15/2023 | 14 | 14,565 | ||||||||
Southern Copper Corp. (Peru)(a) | 5.875% | 4/23/2045 | 12 | 14,675 | ||||||||
Total | 79,238 | |||||||||||
Natural Gas 1.11% | ||||||||||||
National Fuel Gas Co. | 3.95% | 9/15/2027 | 8 | 8,171 | ||||||||
National Fuel Gas Co. | 4.90% | 12/1/2021 | 16 | 16,675 | ||||||||
National Fuel Gas Co. | 5.20% | 7/15/2025 | 2 | 2,200 | ||||||||
National Fuel Gas Co. | 7.395% | 3/30/2023 | 15 | 17,107 | ||||||||
Piedmont Natural Gas Co., Inc. | 4.10% | 9/18/2034 | 19 | 21,290 |
See Notes to Financial Statements. | 125 |
Schedule of Investments (continued)
CORPORATE BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Natural Gas (continued) | ||||||||||||
Southern Star Central Corp.† | 5.125% | 7/15/2022 | $ | 10 | $ | 10,128 | ||||||
Southwest Gas Corp. | 4.15% | 6/1/2049 | 11 | 12,121 | ||||||||
Total | 87,692 | |||||||||||
Oil 5.39% | ||||||||||||
Apache Corp. | 5.10% | 9/1/2040 | 30 | 29,305 | ||||||||
Canadian Natural Resources Ltd. (Canada)(a) | 7.20% | 1/15/2032 | 31 | 41,587 | ||||||||
Cimarex Energy Co. | 4.375% | 3/15/2029 | 14 | 14,546 | ||||||||
Continental Resources, Inc. | 4.90% | 6/1/2044 | 12 | 12,209 | ||||||||
Continental Resources, Inc. | 5.00% | 9/15/2022 | 30 | 30,182 | ||||||||
Eni USA, Inc. | 7.30% | 11/15/2027 | 22 | 28,427 | ||||||||
Equinor ASA (Norway)(a) | 7.15% | 11/15/2025 | 26 | 32,525 | ||||||||
Helmerich & Payne, Inc. | 4.65% | 3/15/2025 | 40 | 43,500 | ||||||||
Hess Corp. | 5.60% | 2/15/2041 | 5 | 5,708 | ||||||||
Hess Corp. | 5.80% | 4/1/2047 | 5 | 5,937 | ||||||||
Motiva Enterprises LLC† | 5.75% | 1/15/2020 | 60 | 60,231 | ||||||||
Occidental Petroleum Corp. | 6.95% | 7/1/2024 | 20 | 23,364 | ||||||||
Occidental Petroleum Corp. | 7.875% | 9/15/2031 | 28 | 37,332 | ||||||||
Suncor Energy Ventures Corp. (Canada)†(a) | 4.50% | 4/1/2022 | 5 | 5,159 | ||||||||
Suncor Energy Ventures Corp. (Canada)†(a) | 9.40% | 9/1/2021 | 5 | 5,527 | ||||||||
Valero Energy Corp. | 7.50% | 4/15/2032 | 2 | 2,716 | ||||||||
Valero Energy Corp. | 8.75% | 6/15/2030 | 4 | 5,565 | ||||||||
Valero Energy Corp. | 10.50% | 3/15/2039 | 24 | 40,728 | ||||||||
Total | 424,548 | |||||||||||
Oil: Crude Producers 3.73% | ||||||||||||
Energy Transfer Operating LP | 4.05% | 3/15/2025 | 14 | 14,504 | ||||||||
Energy Transfer Operating LP | 6.125% | 12/15/2045 | 26 | 29,351 | ||||||||
Energy Transfer Operating LP | 7.60% | 2/1/2024 | 10 | 11,559 | ||||||||
Energy Transfer Operating LP | 8.25% | 11/15/2029 | 6 | 7,615 | ||||||||
Enterprise Products Operating LLC | 7.55% | 4/15/2038 | 11 | 15,820 | ||||||||
Gulfstream Natural Gas System LLC† | 4.60% | 9/15/2025 | 15 | 16,234 | ||||||||
Midwest Connector Capital Co. LLC† | 3.90% | 4/1/2024 | 17 | 17,763 | ||||||||
MPLX LP | 3.202% (3 Mo. LIBOR + 1.10% | )# | 9/9/2022 | 25 | 25,091 | |||||||
MPLX LP† | 5.25% | 1/15/2025 | 35 | 36,751 | ||||||||
MPLX LP† | 6.25% | 10/15/2022 | 28 | 28,468 | ||||||||
NGPL PipeCo LLC† | 4.875% | 8/15/2027 | 23 | 24,412 | ||||||||
Sabine Pass Liquefaction LLC | 5.875% | 6/30/2026 | 58 | 66,391 | ||||||||
Total | 293,959 |
126 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORPORATE BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil: Integrated Domestic 2.65% | ||||||||||||
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc. | 3.337% | 12/15/2027 | $ | 13 | $ | 13,471 | ||||||
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc. | 4.08% | 12/15/2047 | 32 | 32,708 | ||||||||
Halliburton Co. | 7.45% | 9/15/2039 | 29 | 41,335 | ||||||||
National Oilwell Varco, Inc. | 3.95% | 12/1/2042 | 33 | 30,008 | ||||||||
Patterson-UTI Energy, Inc. | 3.95% | 2/1/2028 | 31 | 29,108 | ||||||||
Schlumberger Holdings Corp.† | 3.75% | 5/1/2024 | 52 | 54,771 | ||||||||
Schlumberger Holdings Corp.† | 4.30% | 5/1/2029 | 7 | 7,609 | ||||||||
Total | 209,010 | |||||||||||
Paper & Forest Products 0.19% | ||||||||||||
International Paper Co. | 7.30% | 11/15/2039 | 11 | 15,315 | ||||||||
Real Estate Investment Trusts 3.67% | ||||||||||||
American Homes 4 Rent LP | 4.25% | 2/15/2028 | 13 | 13,955 | ||||||||
EPR Properties | 4.75% | 12/15/2026 | 15 | 16,374 | ||||||||
EPR Properties | 4.95% | 4/15/2028 | 26 | 28,535 | ||||||||
Equinix, Inc. | 5.875% | 1/15/2026 | 8 | 8,499 | ||||||||
Goodman US Finance Three LLC† | 3.70% | 3/15/2028 | 28 | 29,080 | ||||||||
Healthcare Realty Trust, Inc. | 3.625% | 1/15/2028 | 5 | 5,212 | ||||||||
Healthcare Realty Trust, Inc. | 3.75% | 4/15/2023 | 15 | 15,449 | ||||||||
Healthcare Realty Trust, Inc. | 3.875% | 5/1/2025 | 31 | 32,493 | ||||||||
Healthcare Trust of America Holdings LP | 3.10% | 2/15/2030 | 10 | 9,958 | ||||||||
SL Green Operating Partnership LP | 3.25% | 10/15/2022 | 6 | 6,130 | ||||||||
SL Green Realty Corp. | 4.50% | 12/1/2022 | 22 | 23,160 | ||||||||
Spirit Realty LP | 3.40% | 1/15/2030 | 20 | 20,090 | ||||||||
VEREIT Operating Partnership LP | 4.875% | 6/1/2026 | 33 | 36,649 | ||||||||
WEA Finance LLC† | 3.50% | 6/15/2029 | 32 | 33,199 | ||||||||
Weyerhaeuser Co. | 8.50% | 1/15/2025 | 8 | 10,104 | ||||||||
Total | 288,887 | |||||||||||
Retail 1.14% | ||||||||||||
Dollar Tree, Inc. | 4.20% | 5/15/2028 | 25 | 26,762 | ||||||||
McDonald’s Corp. | 6.30% | 10/15/2037 | 38 | 52,522 | ||||||||
Walgreens Boots Alliance, Inc. | 4.80% | 11/18/2044 | 10 | 10,298 | ||||||||
Total | 89,582 | |||||||||||
Technology 0.23% | ||||||||||||
Amazon.com, Inc. | 4.05% | 8/22/2047 | 10 | 11,960 | ||||||||
Amazon.com, Inc. | 4.25% | 8/22/2057 | 5 | 6,141 | ||||||||
Total | 18,101 |
See Notes to Financial Statements. | 127 |
Schedule of Investments (continued)
CORPORATE BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Telecommunications 3.62% | ||||||||||||
AT&T, Inc. | 5.35% | 9/1/2040 | $ | 4 | $ | 4,792 | ||||||
AT&T, Inc. | 6.00% | 8/15/2040 | 78 | 98,913 | ||||||||
AT&T, Inc. | 6.25% | 3/29/2041 | 29 | 37,500 | ||||||||
Orange SA (France)(a) | 9.00% | 3/1/2031 | 11 | 17,094 | ||||||||
Telefonica Emisiones SA (Spain)(a) | 7.045% | 6/20/2036 | 10 | 14,042 | ||||||||
Verizon Communications, Inc. | 3.01% (3 Mo. LIBOR + 1.10% | )# | 5/15/2025 | 25 | 25,482 | |||||||
Verizon Communications, Inc. | 4.40% | 11/1/2034 | 75 | 87,174 | ||||||||
Total | 284,997 | |||||||||||
Transportation: Miscellaneous 2.83% | ||||||||||||
Burlington Northern Santa Fe LLC | 6.15% | 5/1/2037 | 35 | 49,348 | ||||||||
Canadian National Railway Co. (Canada)(a) | 7.375% | 10/15/2031 | 7 | 9,885 | ||||||||
Canadian Pacific Railway Co. (Canada)(a) | 7.125% | 10/15/2031 | 18 | 25,320 | ||||||||
Canadian Pacific Railway Co. (Canada)(a) | 9.45% | 8/1/2021 | 10 | 11,160 | ||||||||
CSX Corp. | 6.00% | 10/1/2036 | 25 | 32,840 | ||||||||
CSX Transportation, Inc. | 7.875% | 5/15/2043 | 8 | 12,399 | ||||||||
FedEx Corp. | 4.95% | 10/17/2048 | 6 | 6,652 | ||||||||
Kansas City Southern | 4.20% | 11/15/2069 | 8 | 8,252 | ||||||||
Norfolk Southern Corp. | 5.59% | 5/17/2025 | 7 | 8,169 | ||||||||
Union Pacific Corp. | 6.625% | 2/1/2029 | 45 | 58,672 | ||||||||
Total | 222,697 | |||||||||||
Utilities 0.35% | ||||||||||||
Aqua America, Inc. | 3.566% | 5/1/2029 | 8 | 8,540 | ||||||||
Aquarion Co.† | 4.00% | 8/15/2024 | 18 | 18,955 | ||||||||
Total | 27,495 | |||||||||||
Total Corporate Bonds (cost $6,780,374) | 7,155,638 | |||||||||||
MUNICIPAL BONDS 0.55% | ||||||||||||
Miscellaneous | ||||||||||||
California | 7.60% | 11/1/2040 | 10 | 16,668 | ||||||||
Chicago, IL | 6.314% | 1/1/2044 | 15 | 16,837 | ||||||||
Illinois | 5.10% | 6/1/2033 | 5 | 5,385 | ||||||||
State of Illinois | 4.95% | 6/1/2023 | 4 | 4,563 | ||||||||
Total Municipal Bonds (cost $39,720) | 43,453 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 0.36% | ||||||||||||
Caesars Palace Las Vegas Trust 2017-VICI A† | 3.531% | 10/15/2034 | 17 | 17,653 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI B† | 3.835% | 10/15/2034 | 10 | 10,392 | ||||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $27,737) | 28,045 | |||||||||||
128 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CORPORATE BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
U.S. TREASURY OBLIGATIONS 0.91% | ||||||||||||
U.S. Treasury Bond | 3.625% | 8/15/2043 | $ | 1 | $ | 1,267 | ||||||
U.S. Treasury Note | 1.50% | 11/30/2024 | 28 | 27,831 | ||||||||
U.S. Treasury Note | 1.75% | 11/15/2029 | 43 | 42,895 | ||||||||
Total U.S. Treasury Obligations (cost $72,002) | 71,993 | |||||||||||
Total Long- Term Investments (cost $7,037,265) | 7,416,541 | |||||||||||
SHORT-TERM INVESTMENT 5.06% | ||||||||||||
�� | ||||||||||||
REPURCHASE AGREEMENT | ||||||||||||
Repurchase Agreement dated 11/29/2019, 0.85% due 12/2/2019 with Fixed Income Clearing Corp. collateralized $405,000 of U.S. Treasury Note at 2.125% due 3/15/2021; value: $410,476; proceeds: $398,552 (cost $398,524) | 399 | 398,524 | ||||||||||
Total Investments in Securities 99.23% (cost $7,435,789) | 7,815,065 | |||||||||||
Cash and Other Assets in Excess of Liabilities(c)0.77% | 60,489 | |||||||||||
Net Assets 100.00% | $ | 7,875,554 |
CMT | Constant Maturity Rate. | |
LIBOR | London Interbank Offered Rate. | |
SOFR | Secured Over Night Financing 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. At November 30, 2019, the total value of Rule 144A securities was $1,289,379, which represents 16.37% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at November 30, 2019. | |
(a) | Foreign security traded in U.S. dollars. | |
(b) | Security is perpetual in nature and has no stated maturity. | |
(c) | Cash and Other Assets in Excess of Liabilities include net unrealized appreciation/depreciation on futures contracts as follows: |
See Notes to Financial Statements. | 129 |
Schedule of Investments (concluded)
CORPORATE BOND FUNDNovember 30, 2019
Open Futures Contracts at November 30, 2019:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||||
U.S. 10-Year Treasury Note | March 2020 | 8 | Short | $ | (1,036,361 | ) | $ | (1,034,875 | ) | $ | 1,486 | |||||||||
U.S. 10-Year Ultra Treasury Note | March 2020 | 3 | Short | (427,103 | ) | (426,656 | ) | 447 | ||||||||||||
U.S. 2-Year Treasury Note | March 2020 | 2 | Short | (431,246 | ) | (431,171 | ) | 75 | ||||||||||||
U.S. Long Bond | March 2020 | 2 | Short | (319,681 | ) | (317,938 | ) | 1,743 | ||||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 3,751 | ||||||||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||||
U.S. 5-Year Treasury Note | March 2020 | 12 | Long | $ | 1,428,584 | $ | 1,427,625 | $ | (959 | ) | ||||||||||
U.S. Ultra Treasury Bond | March 2020 | 1 | Long | 188,197 | 187,719 | (478 | ) | |||||||||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (1,437 | ) |
The following is a summary of the inputs used as of November 30, 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 | $ | – | $ | 117,412 | $ | – | $ | 117,412 | ||||||||
Corporate Bonds | – | 7,155,638 | – | 7,155,638 | ||||||||||||
Municipal Bonds | – | 43,453 | – | 43,453 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 28,045 | – | 28,045 | ||||||||||||
U.S. Treasury Obligations | – | 71,993 | – | 71,993 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Repurchase Agreement | – | 398,524 | – | 398,524 | ||||||||||||
Total | $ | – | $ | 7,815,065 | $ | – | $ | 7,815,065 | ||||||||
Other Financial Instruments | ||||||||||||||||
Futures Contracts | ||||||||||||||||
Assets | $ | 3,751 | $ | – | $ | – | $ | 3,751 | ||||||||
Liabilities | (1,437 | ) | – | – | (1,437 | ) | ||||||||||
Total | $ | 2,314 | $ | – | $ | – | $ | 2,314 | ||||||||
(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. |
130 | See Notes to Financial Statements. |
Schedule of Investments
FLOATING RATE FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 95.39% | ||||||||||||
ASSET-BACKED SECURITIES 0.89% | ||||||||||||
Other | ||||||||||||
AMMC CLO 15 Ltd. 2014-15A DRR† | 5.401% (3 Mo. LIBOR + 3.40% | )# | 1/15/2032 | $ | 2,986 | $ | 2,829,104 | |||||
Battalion CLO VII Ltd. 2014-7A CRR† | 4.932% (3 Mo. LIBOR + 2.93% | )# | 7/17/2028 | 2,169 | 2,143,249 | |||||||
Cedar Funding VII CLO Ltd. 2018-7A D† | 4.516% (3 Mo. LIBOR + 2.55% | )# | 1/20/2031 | 5,000 | 4,628,818 | |||||||
Cent CLO Ltd. 2014-21A CR2† | 5.136% (3 Mo. LIBOR + 3.20% | )# | 7/27/2030 | 5,864 | 5,454,184 | |||||||
Jamestown CLO VII Ltd. 2015-7A CR† | 4.54% (3 Mo. LIBOR + 2.60% | )# | 7/25/2027 | 5,000 | 4,938,785 | |||||||
KKR CLO Ltd-15 DR† | 5.153% (3 Mo. LIBOR + 3.15% | )# | 1/18/2032 | 3,264 | 3,064,021 | |||||||
Mariner CLO 2017-4A D† | 4.986% (3 Mo. LIBOR + 3.05% | )# | 10/26/2029 | 7,052 | 6,793,273 | |||||||
Mariner CLO LLC 2015-1A DR† | 5.616% (3 Mo. LIBOR + 3.65% | )# | 4/20/2029 | 2,723 | 2,651,349 | |||||||
Northwoods Capital Corp./Northwoods Capital Ltd. 2019-20A D†(a) | Zero Coupon | #(b) | 1/25/2030 | 10,284 | 10,283,935 | |||||||
OCP CLO Ltd. 2016-12A CR† | 5.003% (3 Mo. LIBOR + 3.00% | )# | 10/18/2028 | 7,250 | 7,184,812 | |||||||
Octagon Investment Partners 39 Ltd. 2018-3A D† | 4.916% (3 Mo. LIBOR + 2.95% | )# | 10/20/2030 | 2,639 | 2,525,528 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A D† | 5.951% (3 Mo. LIBOR + 3.95% | )# | 4/15/2026 | 5,000 | 4,662,015 | (c) | ||||||
Regatta VI Funding Ltd. 2016-1A DR† | 4.666% (3 Mo. LIBOR + 2.70% | )# | 7/20/2028 | 2,534 | 2,467,429 | |||||||
Regatta XVI Funding Ltd. 2019-2A D†(a) | Zero Coupon | #(b) | 1/15/2033 | 4,676 | 4,676,000 | |||||||
Sound Point CLO II Ltd. 2013-1A B1R† | 4.636% (3 Mo. LIBOR + 2.70% | )# | 1/26/2031 | 3,750 | 3,330,325 | |||||||
Sound Point CLO XI Ltd. 2016-1A DR† | 4.916% (3 Mo. LIBOR + 2.95% | )# | 7/20/2028 | 8,160 | 8,098,280 | |||||||
THL Credit Wind River CLO Ltd. 2018-3A D† | 4.916% (3 Mo. LIBOR + 2.95% | )# | 1/20/2031 | 8,478 | 7,757,796 | |||||||
Total | 83,488,903 | |||||||||||
Total Asset-Backed Securities (cost $86,759,635) | 83,488,903 |
See Notes to Financial Statements. | 131 |
Schedule of Investments (continued)
FLOATING RATE FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Shares (000) | Fair Value | ||||||||
COMMON STOCKS 0.23% | ||||||||||||
Broadcasting 0.23% | ||||||||||||
Clear Channel Outdoor Holdings, Inc.* | 2,571 | $ | 6,377,141 | |||||||||
iHeartMedia, Inc. Class A* | 999 | 15,374,164 | ||||||||||
Total | 21,751,305 | |||||||||||
Energy 0.00% | ||||||||||||
Templar Energy LLC Class A Units | 747 | 93,367 | ||||||||||
Information Technology 0.00% | ||||||||||||
Avaya Holdings Corp.* | – | (d) | 1,762 | |||||||||
Total Common Stocks (cost $38,379,378) | 21,846,434 | |||||||||||
Principal Amount (000) | ||||||||||||
CONVERTIBLE BONDS 0.44% | ||||||||||||
Automotive 0.07% | ||||||||||||
Winnebago Industries, Inc.† | 1.50% | 4/1/2025 | $ | 6,780 | 6,809,798 | |||||||
Gaming/Leisure 0.12% | ||||||||||||
Trip.com Group Ltd. (China)(e) | 1.00% | 7/1/2020 | 11,674 | 11,515,085 | ||||||||
Healthcare 0.04% | ||||||||||||
Insmed, Inc. | 1.75% | 1/15/2025 | 4,307 | 4,065,093 | ||||||||
Land Transportation 0.09% | ||||||||||||
Scorpio Tankers, Inc. (Monaco)(e) | 3.00% | 5/15/2022 | 7,000 | 8,042,925 | ||||||||
Manufacturing 0.12% | ||||||||||||
Patrick Industries, Inc. | 1.00% | 2/1/2023 | 11,560 | 10,938,650 | ||||||||
Total Convertible Bonds (cost $41,241,488) | 41,371,551 | |||||||||||
CORPORATE BONDS 4.82% | ||||||||||||
Broadcasting 0.32% | ||||||||||||
Clear Channel Worldwide Holdings, Inc.† | 5.125% | 8/15/2027 | 16,693 | 17,402,870 | ||||||||
iHeartCommunications, Inc. | 6.375% | 5/1/2026 | 285 | 308,556 | ||||||||
iHeartCommunications, Inc. | 8.375% | 5/1/2027 | 11,209 | 12,243,718 | ||||||||
Total | 29,955,144 | |||||||||||
Cable/Wireless Video 0.49% | ||||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp.† | 5.375% | 6/1/2029 | 43,033 | 46,207,760 |
132 | See Notes to Financial Statements. |
Schedule of Investments (continued)
FLOATING RATE FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Chemicals 0.12% | ||||||||||||
Univar Solutions USA, Inc.† | 5.125% | 12/1/2027 | $ | 10,602 | $ | 10,869,170 | ||||||
Consumer Non-Durables 0.24% | ||||||||||||
Mattel, Inc.† | 5.875% | 12/15/2027 | 13,253 | 13,453,120 | ||||||||
Revlon Consumer Products Corp. | 5.75% | 2/15/2021 | 11,115 | 8,972,584 | ||||||||
Total | 22,425,704 | |||||||||||
Diversified Media 0.40% | ||||||||||||
AMC Entertainment Holdings, Inc. | 5.875% | 11/15/2026 | 2,194 | 1,979,696 | ||||||||
Entercom Media Corp.† | 6.50% | 5/1/2027 | 5,741 | 6,073,102 | ||||||||
TEGNA, Inc.† | 5.00% | 9/15/2029 | 29,156 | 29,228,890 | ||||||||
Total | 37,281,688 | |||||||||||
Gaming/Leisure 0.11% | ||||||||||||
Citgo Holding, Inc.† | 9.25% | 8/1/2024 | 9,894 | 10,401,067 | ||||||||
Financial 0.54% | ||||||||||||
Global Aircraft Leasing Co. Ltd. PIK 7.25%† | 6.50% | 9/15/2024 | 38,211 | 39,177,738 | ||||||||
WeWork Cos., Inc.† | 7.875% | 5/1/2025 | 16,569 | 11,888,092 | ||||||||
Total | 51,065,830 | |||||||||||
Food & Drug 0.30% | ||||||||||||
Albertsons Cos, Inc./Safeway, Inc./Albertsons LP/Albertsons LLC | 6.625% | 6/15/2024 | 6,700 | 7,045,117 | ||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.† | 6.50% | 4/15/2029 | 19,163 | 21,277,589 | ||||||||
Total | 28,322,706 | |||||||||||
Food/Tobacco 0.19% | ||||||||||||
H-Food Holdings LLC/Hearthside Finance Co., Inc.† | 8.50% | 6/1/2026 | 9,688 | 7,369,870 | ||||||||
Performance Food Group, Inc.† | 5.50% | 10/15/2027 | 10,137 | 10,796,158 | ||||||||
Total | 18,166,028 | |||||||||||
Forest Products 0.11% | ||||||||||||
Mauser Packaging Solutions Holding Co.† | 7.25% | 4/15/2025 | 11,429 | 10,857,436 | ||||||||
Gaming/Leisure 0.11% | ||||||||||||
AMC Entertainment Holdings, Inc. | 6.125% | 5/15/2027 | 1,944 | 1,754,509 | ||||||||
Scientific Games International, Inc.† | 7.00% | 5/15/2028 | 8,640 | 9,028,800 | ||||||||
Total | 10,783,309 |
See Notes to Financial Statements. | 133 |
Schedule of Investments (continued)
FLOATING RATE FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Healthcare 0.55% | ||||||||||||
Bausch Health Cos., Inc.† | 6.125% | 4/15/2025 | $ | 10,405 | $ | 10,846,901 | ||||||
BCPE Cycle Merger Sub II, Inc.† | 10.625% | 7/15/2027 | 21,502 | 20,434,372 | ||||||||
Surgery Center Holdings, Inc.† | 10.00% | 4/15/2027 | 19,165 | 20,177,822 | ||||||||
Total | 51,459,095 | |||||||||||
Manufacturing 0.14% | ||||||||||||
Brand Industrial Services, Inc.† | 8.50% | 7/15/2025 | 3,000 | 2,932,470 | ||||||||
TransDigm, Inc. | 7.50% | 3/15/2027 | 9,562 | 10,373,073 | ||||||||
Total | 13,305,543 | |||||||||||
Media/Telecommunications 0.27% | ||||||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co.† | 6.625% | 8/15/2027 | 13,647 | 13,336,326 | ||||||||
Scripps Escrow, Inc.† | 5.875% | 7/15/2027 | 11,463 | 11,801,273 | ||||||||
Total | 25,137,599 | |||||||||||
Metals/Minerals 0.22% | ||||||||||||
Mirabela Nickel Ltd. (Australia)(e) | 1.00% | 9/10/2044 | 51 | 5 | (f) | |||||||
New Gold, Inc. (Canada)†(e) | 6.25% | 11/15/2022 | 11,769 | 11,739,501 | ||||||||
Warrior Met Coal, Inc.† | 8.00% | 11/1/2024 | 9,208 | 9,317,253 | ||||||||
Total | 21,056,759 | |||||||||||
Service 0.26% | ||||||||||||
Ahern Rentals, Inc.† | 7.375% | 5/15/2023 | 21,827 | 17,088,686 | ||||||||
Cloud Crane LLC† | 10.125% | 8/1/2024 | 7,388 | 7,646,506 | ||||||||
Total | 24,735,192 | |||||||||||
Shipping 0.08% | ||||||||||||
Golar LNG Partners LP (United Kingdom)†(e) | 8.16% (3 Mo. LIBOR + 6.25% | )# | 5/18/2021 | 7,400 | 7,326,120 | |||||||
Utility 0.37% | ||||||||||||
Calpine Corp. | 5.75% | 1/15/2025 | 23,909 | 24,327,407 | ||||||||
Pacific Gas & Electric Co.(g) | 6.05% | 3/1/2034 | 4,860 | 5,139,572 | ||||||||
Pacific Gas & Electric Co.(g) | 6.25% | 3/1/2039 | 4,860 | 5,192,594 | ||||||||
Total | 34,659,573 | |||||||||||
Total Corporate Bonds (cost $451,186,638) | 454,015,723 | |||||||||||
EXCHANGE-TRADED FUND 1.03% | ||||||||||||
Financial | ||||||||||||
Invesco Senior Loan ETF (cost $96,760,695) | 4,296 | 96,493,326 |
134 | See Notes to Financial Statements. |
Schedule of Investments (continued)
FLOATING RATE FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
FLOATING RATE LOANS(h)87.98% | ||||||||||||
Aerospace 3.30% | ||||||||||||
American Airlines, Inc. 2018 Term Loan B | 3.45% (1 Mo. LIBOR + 1.75% | ) | 6/27/2025 | $ | 61,492 | $ | 61,062,050 | |||||
Bleriot US Bidco Inc. Delayed Draw Term Loan | – | 10/23/2026 | 3,284 | 3,304,043 | ||||||||
Bleriot US Bidco Inc. Term Loan B | 6.613% (3 Mo. LIBOR + 4.75% | ) | 10/23/2026 | 21,019 | 21,145,888 | |||||||
Doncasters Finance US LLC 2nd Lien Term Loan | 10.354% (3 Mo. LIBOR + 8.25% | ) | 10/9/2020 | 8,103 | 2,238,493 | |||||||
Doncasters Finance US LLC USD Term Loan | 5.604% (3 Mo. LIBOR + 3.5% | ) | 4/9/2020 | 42,180 | 30,194,085 | |||||||
Forming Machining Industries Holdings, LLC Term Loan | 6.104% (3 Mo. LIBOR + 4.00% | ) | 10/9/2025 | 20,061 | 19,408,933 | (i) | ||||||
Jazz Acquisition, Inc. 2019 1st Lien Term Loan | 6.35% (3 Mo. LIBOR + 4.25% | ) | 6/19/2026 | 28,672 | 27,534,152 | |||||||
Jazz Acquisition, Inc. 2019 2nd Lien Term Loan | 10.10% (3 Mo. LIBOR + 8.00% | ) | 6/18/2027 | 7,441 | 7,180,565 | (i) | ||||||
MB Aerospace Holdings Inc. 2017 Term Loan | 5.202% (1 Mo. LIBOR + 3.50% | ) | 1/22/2025 | 8,768 | 8,439,003 | |||||||
Nordam Group Inc, The Term Loan B | 7.313% (6 Mo. LIBOR + 5.50%) - 7.875% | 4/9/2026 | 4,158 | 4,142,037 | (i) | |||||||
TransDigm, Inc. 2018 Term Loan E | 4.202% (3 Mo. LIBOR + 2.50% | ) | 5/30/2025 | 29,268 | 29,274,050 | |||||||
TransDigm, Inc. 2018 Term Loan F | 4.202% (1 Mo. LIBOR + 2.50% | ) | 6/9/2023 | 33,130 | 33,184,315 | |||||||
TransDigm, Inc. 2018 Term Loan G | 4.202% (3 Mo. LIBOR + 2.50% | ) | 8/22/2024 | 28,688 | 28,705,510 | |||||||
Vertex Aerospace Services Corp. Term Loan B | 6.202% (1 Mo. LIBOR + 4.50% | ) | 6/29/2025 | 18,984 | 19,084,598 | |||||||
WP CPP Holdings, LLC 2018 2nd Lien Term Loan | 9.68% (3 Mo. LIBOR + 7.75% | ) | 4/30/2026 | 15,622 | 15,387,601 | |||||||
Total | 310,285,323 | |||||||||||
Chemicals 1.39% | ||||||||||||
Associated Asphalt Partners, LLC 2017 Term Loan B | 6.952% (3 Mo. LIBOR + 5.25% | ) | 4/5/2024 | 14,402 | 12,889,640 | |||||||
H.B. Fuller Company 2017 Term Loan B | 3.724% (1 Mo. LIBOR + 2.00% | ) | 10/20/2024 | 20,205 | 20,249,966 | |||||||
Messer Industries GmbH 2018 USD Term Loan | 4.604% (3 Mo. LIBOR + 2.50% | ) | 3/1/2026 | 18,575 | 18,644,265 | |||||||
Polar US Borrower, LLC 2018 1st Lien Term Loan | 6.793% (3 Mo. LIBOR + 4.75%) - 6.854% | 10/15/2025 | 21,824 | 21,278,760 | (i) |
See Notes to Financial Statements. | 135 |
Schedule of Investments (continued)
FLOATING RATE FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Chemicals (continued) | ||||||||||||
Starfruit Finco B.V 2018 USD Term Loan B (Netherlands)(e) | 5.005% (1 Mo. LIBOR + 3.25% | ) | 10/1/2025 | $ | 58,514 | $ | 58,075,539 | |||||
Total | 131,138,170 | |||||||||||
Consumer Durables 1.30% | ||||||||||||
Comfort Holding, LLC 1st Lien Term Loan | 6.452% (1 Mo. LIBOR + 4.75% | ) | 2/5/2024 | 40,736 | 40,328,294 | |||||||
G-III Apparel Group, Ltd. Term Loan B | 7.00% (1 Mo. LIBOR + 5.25% | ) | 12/1/2022 | 18,468 | 18,687,292 | |||||||
Hayward Industries, Inc. 1st Lien Term Loan | 5.202% (1 Mo. LIBOR + 3.50% | ) | 8/5/2024 | 20,135 | 19,839,588 | |||||||
Huskies Parent, Inc. 2019 Term Loan | 5.844% (3 Mo. LIBOR + 4.00% | ) | 7/31/2026 | 11,463 | 11,484,550 | |||||||
TGP Holdings III, LLC 2018 1st Lien Term Loan | 5.952% (3 Mo. LIBOR + 4.25% | ) | 9/25/2024 | 24,369 | 22,906,906 | |||||||
TGP Holdings III, LLC 2nd Lien Term Loan | 10.202% (3 Mo. LIBOR + 8.50% | ) | 9/25/2025 | 9,333 | 8,633,025 | (i) | ||||||
Total | 121,879,655 | |||||||||||
Consumer Non-Durables 2.35% | ||||||||||||
ABG Intermediate Holdings 2 LLC 2017 1st Lien Add-On Term Loan | 5.202% (1 Mo. LIBOR + 3.50% | ) | 9/26/2024 | 37,697 | 37,696,669 | |||||||
ABG Intermediate Holdings 2 LLC 2017 2nd Lien Term Loan | 9.452% (1 Mo. LIBOR + 7.75% | ) | 9/29/2025 | 10,033 | 10,041,559 | |||||||
AI Aqua Merger Sub, Inc. 2017 1st Lien Term Loan B | 4.952% (1 Mo. LIBOR + 3.25% | ) | 12/13/2023 | 36,124 | 34,950,092 | |||||||
AI Aqua Merger Sub, Inc. 2017 Incremental Term Loan | 4.952% (1 Mo. LIBOR + 3.25% | ) | 12/13/2023 | 14,936 | 14,376,073 | (i) | ||||||
Atkins Nutritionals Holdings II, Inc. 2017 Term Loan B | 5.734% (3 Mo. LIBOR + 3.75 | ) | 7/7/2024 | 13,606 | 13,708,391 | (i) | ||||||
Edgewell Personal Care Company Term Loan B | – | (j) | 9/18/2026 | 15,071 | 15,156,053 | |||||||
Energizer Holdings, Inc. 2018 Term Loan B | 4.063% (1 Mo. LIBOR + 2.25% | ) | 12/17/2025 | 31,447 | 31,623,588 | |||||||
Isagenix International, LLC Term Loan | 7.85% (3 Mo. LIBOR + 5.75% | ) | 6/14/2025 | 22,262 | 16,896,928 | |||||||
Recess Holdings, Inc. 2017 1st Lien Term Loan | 5.452% (3 Mo. LIBOR + 3.75% | ) | 9/30/2024 | 16,435 | 16,243,774 | |||||||
Revlon Consumer Products Corporation 2016 Term Loan B | 5.409% (3 Mo. LIBOR + 3.50%) - 5.604% | 9/7/2023 | 9,696 | 7,146,970 | ||||||||
Rodan & Fields, LLC 2018 Term Loan B | 5.765% (1 Mo. LIBOR + 4.00% | ) | 6/16/2025 | 34,500 | 23,172,467 | |||||||
Total | 221,012,564 |
136 | See Notes to Financial Statements. |
Schedule of Investments (continued)
FLOATING RATE FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Energy 3.06% | ||||||||||||
BCP Raptor II, LLC 1st Lien Term Loan | 6.452% (1 Mo. LIBOR + 4.75% | ) | 11/3/2025 | $ | 24,718 | $ | 21,154,695 | |||||
Brazos Delaware II, LLC Term Loan B | 5.722% (3 Mo. LIBOR + 4.00% | ) | 5/21/2025 | 12,972 | 10,507,499 | (i) | ||||||
Buckeye Partners, L.P. 2019 Term Loan B | 4.531% (1 Mo. LIBOR + 2.75% | ) | 11/1/2026 | 34,004 | 34,319,477 | |||||||
California Resources Corporation 2017 1st Lien Term Loan | 6.452% (1 Mo. LIBOR + 4.75% | ) | 12/31/2022 | 52,119 | 44,245,034 | |||||||
Compass Power Generation LLC 2018 Term Loan B | 5.202% (1 Mo. LIBOR + 3.50% | ) | 12/20/2024 | 11,126 | 11,148,188 | |||||||
Keane Group Holdings, LLC 2018 1st Lien Term Loan | 5.50% (1 Mo. LIBOR + 3.75% | ) | 5/25/2025 | 32,161 | 30,391,807 | |||||||
Lower Cadence Holdings LLC Term Loan B | 5.702% (1 Mo. LIBOR + 4.00% | ) | 5/22/2026 | 46,195 | 43,866,290 | |||||||
Lucid Energy Group II Borrower, LLC 2018 1st Lien Term Loan | 4.702% (3 Mo. LIBOR + 3.00% | ) | 2/17/2025 | 19,107 | 16,571,452 | |||||||
Medallion Midland Acquisition, LLC 1st Lien Term Loan | 5.00% (3 Mo. LIBOR + 3.30% | ) | 10/30/2024 | 31,743 | 30,049,949 | |||||||
Navitas Midstream Midland Basin, LLC Term Loan B | 6.202% (1 Mo. LIBOR + 4.50% | ) | 12/13/2024 | 23,301 | 21,524,059 | |||||||
Ulterra Drilling Technologies, LP Term Loan B | 6.952% (1 Mo. LIBOR + 5.25% | ) | 11/26/2025 | 25,556 | 24,150,309 | (i) | ||||||
Total | 287,928,759 | |||||||||||
Financial 6.00% | ||||||||||||
Achilles Acquisition LLC 2018 Term Loan | 5.75% (1 Mo. LIBOR + 4.00% | ) | 10/13/2025 | 21,173 | 21,146,577 | |||||||
Acrisure, LLC 2017 Term Loan B | 6.354% (3 Mo. LIBOR + 4.25% | ) | 11/20/2023 | 26,479 | 26,374,176 | |||||||
Acrisure, LLC 2018 Term Loan B | 5.854% (1 Mo. LIBOR + 3.75% | ) | 11/22/2023 | 3,346 | 3,328,922 | |||||||
Advisor Group, Inc. 2019 Term Loan | 6.702% (1 Mo. LIBOR + 5.00% | ) | 7/31/2026 | 37,732 | 36,010,503 | |||||||
Alliant Holdings Intermediate, LLC 2018 Term Loan B | 4.702% (1 Mo. LIBOR + 3.00% | ) | 5/9/2025 | 37,977 | 37,656,591 | |||||||
Asurion LLC 2017 2nd Lien Term Loan | – | (j) | 8/4/2025 | 24,297 | 24,532,132 | |||||||
Asurion LLC 2017 Term Loan B4 | 4.702% (1 Mo. LIBOR + 3.00% | ) | 8/4/2022 | 15,115 | 15,158,925 | |||||||
Asurion LLC 2018 Term Loan B6 | 4.702% (1 Mo. LIBOR +3.00% | ) | 11/3/2023 | 72,137 | 72,289,353 | |||||||
Blackhawk Network Holdings, Inc 2018 1st Lien Term Loan | 4.702% (1 Mo. LIBOR + 3.00% | ) | 6/15/2025 | 14,777 | 14,741,490 |
See Notes to Financial Statements. | 137 |
Schedule of Investments (continued)
FLOATING RATE FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Financial (continued) | ||||||||||||
Blackstone CQP Holdco LP Term Loan B | 5.656% (3 Mo. LIBOR + 3.50% | ) | 9/30/2024 | $ | 35,818 | $ | 35,843,215 | |||||
Blackstone Mortgage Trust, Inc. 2019 Term Loan B | 3.952% (1 Mo. LIBOR + 2.25% | ) | 4/23/2026 | 15,377 | 15,434,461 | |||||||
Claros Mortgage Trust, Inc. Term Loan B | 5.005% (3 Mo. LIBOR + 3.25% | ) | 8/10/2026 | 28,633 | 28,704,582 | (i) | ||||||
Hub International Limited 2018 Term Loan B | 4.648% (3 Mo. LIBOR + 3.00%) - 4.68963% | 4/25/2025 | 39,898 | 39,409,889 | ||||||||
Hub International Limited 2019 Incremental Term Loan B | 5.903% (3 Mo. LIBOR + 4.00% | ) | 4/25/2025 | 4,860 | 4,879,659 | |||||||
Jefferies Finance LLC 2019 Term Loan | 5.563% (3 Mo. LIBOR + 3.75% | ) | 6/3/2026 | 12 | 11,892 | |||||||
Minotaur Acquisition, Inc. Term Loan B | 6.702% (3 Mo. LIBOR + 5.00% | ) | 3/27/2026 | 16,139 | 15,466,598 | |||||||
Mitchell International, Inc. 2017 1st Lien Term Loan | 4.952% (3 Mo. LIBOR + 3.25% | ) | 11/29/2024 | 26,545 | 25,499,669 | |||||||
NEXUS Buyer LLC Term Loan B | 5.505% (1 Mo. LIBOR + 3.75% | ) | 11/9/2026 | 19,434 | 19,567,433 | (i) | ||||||
PGX Holdings, Inc. 1st Lien Term Loan | 6.96% (1 Mo. LIBOR + 5.25% | ) | 9/29/2020 | 11,554 | 8,781,093 | (i) | ||||||
Trans Union, LLC 2019 Term Loan B5 | 3.452% (1 Mo. LIBOR + 1.75% | ) | 11/16/2026 | 19,433 | 19,479,289 | |||||||
USI, Inc. 2017 Repriced Term Loan | 5.104% (3 Mo. LIBOR + 3.00% | ) | 5/16/2024 | 7,867 | 7,781,885 | |||||||
USI, Inc. 2019 Incremental Term Loan B | – | (j) | 12/2/2026 | 4,858 | 4,864,228 | |||||||
VFH Parent LLC 2019 Term Loan B | 5.20% (3 Mo. LIBOR + 3.50% | ) | 3/1/2026 | 55,698 | 55,738,527 | |||||||
Victory Capital Holdings, Inc. 2019 Term Loan B | 5.349% (3 Mo. LIBOR + 3.25% | ) | 7/1/2026 | 16,887 | 17,010,366 | |||||||
WMG Acquisition Corp. 2018 Term Loan F | – | (j) | 11/1/2023 | 15,105 | 15,153,336 | |||||||
Total | 564,864,791 | |||||||||||
Food & Drug 0.44% | ||||||||||||
Albertsons, LLC 2019 Term Loan B7 | 4.452% (3 Mo. LIBOR + 2.75% | ) | 11/17/2025 | 28,597 | 28,821,259 | |||||||
United Natural Foods, Inc. Term Loan B | 5.952% (1 Mo. LIBOR + 4.25% | ) | 10/22/2025 | 15,284 | 12,664,531 | |||||||
Total | 41,485,790 | |||||||||||
Food/Tobacco 4.11% | ||||||||||||
Aramark Services, Inc. 2018 Term Loan B3 | 3.452% (1 Mo. LIBOR + 1.75% | ) | 3/11/2025 | 12,809 | 12,857,382 |
138 | See Notes to Financial Statements. |
Schedule of Investments (continued)
FLOATING RATE FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Food/Tobacco (continued) | ||||||||||||
BellRing Brands, LLC 2019 Term Loan B | 6.702% (1 Mo. LIBOR + 5.00% | ) | 10/8/2026 | $ | 23,329 | $ | 23,373,036 | |||||
Chobani, LLC 2017 Term Loan B | 5.202% (1 Mo. LIBOR + 3.50% | ) | 10/10/2023 | 43,971 | 43,513,439 | |||||||
Flynn Restaurant Group LP 1st Lien Term Loan | 5.202% (1 Mo. LIBOR + 3.50% | ) | 6/27/2025 | 25,585 | 24,293,232 | |||||||
Flynn Restaurant Group LP 2nd Lien Term Loan | 8.758% (1 Mo. LIBOR + 7.00% | ) | 6/29/2026 | 6,291 | 5,787,720 | (i) | ||||||
GPS Hospitality Holding Company LLC Term Loan B | 6.354% (3 Mo. LIBOR + 4.25% | ) | 12/6/2025 | 29,604 | 28,419,881 | (i) | ||||||
Hearthside Food Solutions, LLC 2018 Term Loan B | 5.389% (3 Mo. LIBOR + 3.69% | ) | 5/23/2025 | 10,682 | 9,941,840 | |||||||
IRB Holding Corp 1st Lien Term Loan | 5.193% (3 Mo. LIBOR + 3.25%) - 5.21588% | 2/5/2025 | 45,777 | 45,848,901 | ||||||||
JBS USA Lux S.A. 2019 Term Loan B (Luxembourg)(e) | 4.202% (1 Mo. LIBOR + 2.50% | ) | 5/1/2026 | 41,428 | 41,757,793 | |||||||
Miller’s Ale House, Inc. 2018 Term Loan | (3 Mo. LIBOR +4.75%) - 6.959% | 5/26/2025 | 24,019 | 21,496,971 | (i) | |||||||
NPC International, Inc. 2nd Lien Term Loan | 9.427% (3 Mo. LIBOR + 7.50% | ) | 4/18/2025 | 9,531 | 1,223,685 | |||||||
Panera Bread Company Term Loan A | 3.563% (1 Mo. LIBOR + 1.75% | ) | 7/18/2022 | 21,332 | 20,858,750 | |||||||
Red Lobster Management LLC Term Loan B | 6.952% (1 Mo. LIBOR + 5.25% | ) | 7/28/2021 | 32,648 | 31,668,838 | (i) | ||||||
Sigma Bidco B.V. 2018 USD Term Loan B2 (Netherlands)(e) | 5.085% (3 Mo. LIBOR + 3.00% | ) | 7/2/2025 | 26,688 | 26,567,666 | |||||||
US Foods, Inc. 2016 Term Loan B | 3.702% (1 Mo. LIBOR + 2.00% | ) | 6/27/2023 | 29,926 | 30,015,078 | |||||||
US Foods, Inc. 2019 Term Loan B | 3.702% (1 Mo. LIBOR + 2.00% | ) | 9/13/2026 | 19,444 | 19,519,346 | |||||||
Total | 387,143,558 | |||||||||||
Forest Products 2.55% | ||||||||||||
Berry Global, Inc. USD Term Loan U | 4.258% (1 Mo. LIBOR + 2.50% | ) | 7/1/2026 | 70,882 | 71,267,241 | |||||||
BWAY Holding Company 2017 Term Loan B | 5.234% (3 Mo. LIBOR + 3.25% | ) | 4/3/2024 | 24,827 | 24,389,669 | |||||||
Proampac PG Borrower LLC 2016 1st Lien Term Loan | 7.25% (3 Mo. LIBOR + 3.50%) - 5.40413% | 11/20/2023 | 45,018 | 43,318,954 | ||||||||
Reynolds Group Holdings Inc. USD 2017 Term Loan | 4.452% (3 Mo. LIBOR + 2.75% | ) | 2/5/2023 | 36,157 | 36,258,819 |
See Notes to Financial Statements. | 139 |
Schedule of Investments (continued)
FLOATING RATE FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Forest Products (continued) | ||||||||||||
Southern Graphics, Inc. 2018 Term Loan B | 4.952% (1 Mo. LIBOR + 3.25% | ) | 12/31/2022 | $ | 26,328 | $ | 16,455,269 | |||||
Southern Graphics, Inc. 2nd Lien Term Loan | 9.427% (3 Mo. LIBOR + 7.50% | ) | 12/31/2023 | 9,480 | 2,588,040 | |||||||
Spectrum Holdings III Corp. 1st Lien Term Loan | 4.952% (1 Mo. LIBOR + 3.25% | ) | 1/31/2025 | 24,090 | 21,168,851 | |||||||
Spectrum Holdings III Corp. 2nd Lien Term Loan | 8.702% (1 Mo. LIBOR + 7.00% | ) | 1/31/2026 | 11,425 | 9,139,977 | |||||||
Trident TPI Holdings, Inc. 2017 USD Term Loan B1 | 4.702% (3 Mo. LIBOR + 3.25% | ) | 10/17/2024 | 15,633 | 14,845,455 | |||||||
Total | 239,432,275 | |||||||||||
Gaming/Leisure 4.97% | ||||||||||||
Aimbridge Acquisition Co., Inc. 2019 Term Loan B | 5.458% (1 Mo. LIBOR + 3.75% | ) | 2/2/2026 | 19,437 | 19,583,066 | (i) | ||||||
Alterra Mountain Company Term Loan B1 | 4.452% (1 Mo. LIBOR + 3.00% | ) | 7/31/2024 | 22,655 | 22,759,012 | |||||||
Bulldog Purchaser Inc. 2018 Term Loan | 5.452% (1 Mo. LIBOR + 3.75% | ) | 9/5/2025 | 10,868 | 10,645,850 | |||||||
Caesars Entertainment Operating Company Exit Term Loan | 3.702% (3 Mo. LIBOR + 2.00% | ) | 10/7/2024 | 29,335 | 29,407,377 | |||||||
Caesars Resort Collection, LLC 2017 1st Lien Term Loan B | 4.452% (3 Mo. LIBOR + 2.75% | ) | 12/23/2024 | 39,385 | 39,148,325 | |||||||
Equinox Holdings, Inc. 2017 1st Lien Term Loan | 4.702% (1 Mo. LIBOR + 3.00% | ) | 3/8/2024 | 24,635 | 24,614,565 | |||||||
Equinox Holdings, Inc. 2017 2nd Lien Term Loan | – | (j) | 9/6/2024 | 7,044 | 7,053,288 | |||||||
Everi Payments Inc. Term Loan B | 4.702% (1 Mo. LIBOR + 2.75% | ) | 5/9/2024 | 21,163 | 21,209,605 | |||||||
Gateway Casinos & Entertainment Limited 2018 Term Loan B (Canada)(e) | 5.104% (3 Mo. LIBOR + 3.00% | ) | 3/13/2025 | 18,718 | 18,513,545 | |||||||
Golden Entertainment, Inc. 2017 1st Lien Term Loan | 4.70% (1 Mo. LIBOR + 3.00% | ) | 10/21/2024 | 26,176 | 26,282,072 | |||||||
Life Time Fitness Inc 2017 Term Loan B | 4.452% (3 Mo. LIBOR + 2.75%) - 4.65863% | 6/10/2022 | 42,339 | 42,414,319 | ||||||||
Montreign Operating Company, LLC Term Loan | 10.159% (3 Mo. LIBOR + 8.25% | ) | 1/24/2023 | 14,304 | 12,592,717 | |||||||
Motion Finco SARL Delayed Draw Term Loan B | – | (j) | 11/4/2026 | 1,694 | 1,709,128 | |||||||
Motion Finco Sarl USD Term Loan B (Luxembourg)(e) | – | (j) | 11/13/2026 | 12,885 | 13,004,237 | |||||||
PCI Gaming Authority Term Loan | 4.702% (1 Mo. LIBOR + 2.50% | ) | 5/29/2026 | 17,316 | 17,440,054 | |||||||
Playa Resorts Holding B.V. 2017 Term Loan B (Netherlands)(e) | 4.45% (1 Mo. LIBOR + 2.75% | ) | 4/29/2024 | 24,851 | 24,322,596 |
140 | See Notes to Financial Statements. |
Schedule of Investments (continued)
FLOATING RATE FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Gaming/Leisure (continued) | ||||||||||||
Scientific Games International, Inc. 2018 Term Loan B5 | 4.452% (1 Mo. LIBOR + 2.75% | ) | 8/14/2024 | $ | 71,738 | $ | 71,524,278 | |||||
Spectacle Gary Holdings Delayed Draw Term Loan | – | (j) | 11/6/2025 | 985 | 970,189 | (i) | ||||||
Spectacle Gary Holdings LLC Term Loan B | – | (j) | 11/6/2025 | 13,592 | 13,388,607 | (i) | ||||||
Stars Group Holdings B.V. (The) 2018 USD Incremental Term Loan (Netherlands)(e) | 5.604% (3 Mo. LIBOR + 3.50% | ) | 7/10/2025 | 24,978 | 25,114,742 | |||||||
Station Casinos LLC 2016 Term Loan B | 4.21% (1 Mo. LIBOR + 2.50% | ) | 6/8/2023 | 14,911 | 14,963,098 | |||||||
VICI Properties 1 LLC Replacement Term Loan B | 3.716% (1 Mo. LIBOR + 2.75% | ) | 12/20/2024 | 10,542 | 10,588,194 | |||||||
Total | 467,248,864 | |||||||||||
Healthcare 10.27% | ||||||||||||
Parexel International Corporation Term Loan B | 4.452% (1 Mo. LIBOR + 2.75% | ) | 9/27/2024 | 25,753 | 24,948,624 | |||||||
Athenahealth, Inc. 2019 Term Loan B | 6.258% (3 Mo. LIBOR + 4.50%) - 6.40138% | 2/11/2026 | 52,570 | 52,609,724 | ||||||||
Bausch Health Companies Inc. 2018 Term Loan B (Canada)(e) | 4.765% (1 Mo. LIBOR + 3.00% | ) | 6/2/2025 | 20,009 | 20,118,283 | |||||||
Bausch Health Companies Inc. Term Loan B (Canada)(e) | 4.515% (1 Mo. LIBOR + 2.75% | ) | 11/27/2025 | 32,570 | 32,729,211 | |||||||
Change Healthcare Holdings LLC 2017 Term Loan B | 4.202% (1 Mo. LIBOR + 2.50% | ) | 3/1/2024 | 62,781 | 62,855,296 | |||||||
FHC Health Systems, Inc. 2014 Term Loan | 6.104% (3 Mo. LIBOR + 4.00% | ) | 12/23/2021 | 30,314 | 30,342,592 | |||||||
Gentiva Health Services, Inc. 2018 1st Lien Term Loan | 5.50% (1 Mo. LIBOR + 3.75% | ) | 7/2/2025 | 23,829 | 23,955,673 | |||||||
Global Medical Response, Inc. 2018 Term Loan B1 | 4.972% (1 Mo. LIBOR + 3.25% | ) | 4/28/2022 | 23,182 | 21,938,838 | |||||||
Grifols Worldwide Operations USA, Inc. USD 2019 Term Loan B | – | (j) | 11/15/2027 | 4,859 | 4,893,080 | |||||||
Heartland Dental LLC 2018 Delayed Draw Term Loan | 3.75% | 4/30/2025 | 658 | 639,984 | ||||||||
Heartland Dental, LLC 2018 1st Lien Term Loan | 5.452% (3 Mo. LIBOR + 3.75% | ) | 4/30/2025 | 29,248 | 28,453,142 | |||||||
IQVIA Inc. 2018 USD Term Loan B3 | 3.854% (3 Mo. LIBOR + 1.75% | ) | 6/11/2025 | 8,147 | 8,179,352 | |||||||
Jaguar Holding Company II 2018 Term Loan | 4.202% (3 Mo. LIBOR + 2.50% | ) | 8/18/2022 | 19,565 | 19,611,703 | |||||||
Kindred Healthcare LLC 2018 1st Lien Term Loan | 6.75% (1 Mo. LIBOR + 5.00% | ) | 7/2/2025 | 15,869 | 15,967,684 | (i) | ||||||
MED ParentCo LP 1st Lien Delayed Draw Term Loan | 5.95% (3 Mo. LIBOR + 4.25%) - 6.0607% | 8/31/2026 | 6,676 | 6,638,121 |
See Notes to Financial Statements. | 141 |
Schedule of Investments (continued)
FLOATING RATE FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Healthcare (continued) | ||||||||||||
MED ParentCo LP 1st Lien Term Loan | 5.952% (1 Mo. LIBOR + 4.25% | ) | 8/31/2026 | $ | 26,734 | $ | 26,583,947 | |||||
MedRisk, Inc. 2017 1st Lien Term Loan | 4.452% (3 Mo. LIBOR + 2.75% | ) | 12/28/2024 | 33,395 | 32,445,059 | |||||||
MedRisk, Inc. 2017 2nd Lien Term Loan | 8.452% (3 Mo. LIBOR + 6.75% | ) | 12/28/2025 | 9,222 | 9,112,951 | |||||||
MMM Holdings, Inc. Term Loan B | – | (j) | 10/30/2026 | 19,437 | 18,757,050 | (i) | ||||||
MPH Acquisition Holdings LLC 2016 Term Loan B | 4.854% (3 Mo. LIBOR + 2.75% | ) | 6/7/2023 | 62,447 | 59,917,675 | |||||||
National Mentor Holdings, Inc. 2019 Term Loan B | 5.96% (3 Mo. LIBOR + 4.25% | ) | 3/9/2026 | 34,652 | 34,781,778 | |||||||
National Mentor Holdings, Inc. 2019 Term Loan C | 5.96% (3 Mo. LIBOR + 4.25% | ) | 3/9/2026 | 1,678 | 1,684,057 | |||||||
Navicure, Inc. 2019 Term Loan B | 5.702% (1 Mo. LIBOR + 4.00% | ) | 10/22/2026 | 29,220 | 29,192,702 | |||||||
NMN Holdings III Corp. 1st Lien Term Loan | 5.452% (1 Mo. LIBOR + 3.75% | ) | 11/13/2020 | 7,871 | 7,555,693 | |||||||
NMN Holdings III Corp. Delayed Draw Term Loan | 3.75% | 11/13/2020 | 1,681 | 1,613,909 | ||||||||
RegionalCare Hospital Partners Holdings, Inc. 2018 Term Loan B | 6.202% (1 Mo. LIBOR + 4.50% | ) | 11/17/2025 | 37,858 | 38,115,370 | |||||||
Sound Inpatient Physicians 2018 1st Lien Term Loan | 4.452% (3 Mo. LIBOR + 2.75% | ) | 6/27/2025 | 27,565 | 27,668,832 | |||||||
Sunshine Luxembourg VII SARL USD 1st Lien Term Loan (Luxembourg)(e) | 6.349% (1 Mo. LIBOR + 4.25% | ) | 10/1/2026 | 25,660 | 25,785,991 | |||||||
Surgery Center Holdings, Inc. 2017 Term Loan B | 4.96% (3 Mo. LIBOR + 3.25% | ) | 9/2/2024 | 47,430 | 46,860,591 | |||||||
U.S. Renal Care, Inc. 2019 Term Loan B | 6.75% (1 Mo. LIBOR + 5.00% | ) | 6/26/2026 | 44,798 | 42,800,681 | |||||||
Verscend Holding Corp. 2018 Term Loan B | 6.202% (1 Mo. LIBOR + 4.50% | ) | 8/27/2025 | 56,360 | 56,557,555 | |||||||
Wellpath Holdings, Inc. 2018 1st Lien Term Loan | 7.202% (3 Mo. LIBOR + 5.50%) - 7.42713% | 10/1/2025 | 28,709 | 27,812,110 | ||||||||
Wink Holdco, Inc 1st Lien Term Loan B | 4.702% (3 Mo. LIBOR + 3.00% | ) | 12/2/2024 | 23,757 | 23,549,557 | |||||||
WP CityMD Bidco LLC 2019 Term Loan B | 6.604% (1 Mo. LIBOR + 4.50% | ) | 8/13/2026 | 47,714 | 47,415,787 | |||||||
Zelis Healthcare Corporation Term Loan B | 6.452% (1 Mo. LIBOR + 4.75% | ) | 9/30/2026 | 29,142 | 29,172,164 | |||||||
Zotec Partners, LLC 2018 Term Loan | 6.71% (3 Mo. LIBOR + 5.00% | ) | 2/14/2024 | 24,930 | 24,976,385 | (i) | ||||||
Total | 966,241,151 |
142 | See Notes to Financial Statements. |
Schedule of Investments (continued)
FLOATING RATE FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Housing 2.42% | ||||||||||||
Builders FirstSource, Inc. 2017 Term Loan B | 4.702% (1 Mo. LIBOR + 3.00% | ) | 2/29/2024 | $ | 2,380 | $ | 2,392,656 | |||||
CPG International Inc. 2017 Term Loan | 5.933% (3 Mo. LIBOR + 3.75% | ) | 5/5/2024 | 21,826 | 21,614,843 | |||||||
Foundation Building Materials Holding Company LLC 2018 Term Loan B | 4.702% (3 Mo. LIBOR + 3.00% | ) | 8/13/2025 | 20,924 | 21,041,506 | |||||||
GYP Holdings III Corp. 2018 Term Loan B | 4.452% (3 Mo. LIBOR + 2.75% | ) | 6/1/2025 | 40,394 | 40,352,270 | |||||||
LBM Borrower, LLC 2018 1st Lien Term Loan | 5.452% (3 Mo. LIBOR + 3.75% | ) | 8/20/2022 | 18,783 | 18,850,701 | |||||||
MI Windows and Doors, LLC Term Loan B | 7.271% (3 Mo. LIBOR + 5.50% | ) | 11/6/2026 | 14,578 | 14,468,684 | |||||||
NCI Building Systems, Inc. 2018 Term Loan | 5.509% (1 Mo. LIBOR + 3.75% | ) | 4/12/2025 | 45,839 | 45,381,048 | |||||||
Quikrete Holdings, Inc. 2016 1st Lien Term Loan | 4.452% (3 Mo. LIBOR + 2.75% | ) | 11/15/2023 | 34,003 | 34,045,674 | |||||||
SRS Distribution Inc. 2018 1st Lien Term Loan | 4.952% (1 Mo. LIBOR + 3.25% | ) | 5/23/2025 | 30,158 | 29,661,787 | |||||||
Total | 227,809,169 | |||||||||||
Information Technology 8.86% | ||||||||||||
Almonde, Inc. USD 1st Lien Term Loan | 5.696% (2 Mo. LIBOR + 3.50% | ) | 6/13/2024 | 50,392 | 49,384,605 | |||||||
Banff Merger Sub Inc 2018 USD Term Loan B | – | (j) | 10/2/2025 | 12,145 | 11,712,574 | |||||||
Carbonite, Inc Term Loan B | 5.677% (3 Mo. LIBOR + 3.75% | ) | 3/26/2026 | 16,227 | 16,272,939 | |||||||
Datto, Inc. 2019 Term Loan B | 5.952% (3 Mo. LIBOR + 4.25% | ) | 4/2/2026 | 14,132 | 14,255,360 | |||||||
EIG Investors Corp. 2018 1st Lien Term Loan | 5.45% (3 Mo. LIBOR + 3.75%) - 5.66863% | 2/9/2023 | 13,803 | 13,047,760 | ||||||||
Eta Australia Holdings III Pty Ltd Term Loan (Australia)(e) | 5.702% (1 Mo. LIBOR + 4.00% | ) | 5/6/2026 | 19,104 | 19,199,641 | (i) | ||||||
GlobalFoundries Inc USD Term Loan B | 6.625% (2 Mo. LIBOR + 4.75% | ) | 6/5/2026 | 45,734 | 44,286,249 | |||||||
Hyland Software, Inc. 2017 2nd Lien Term Loan | 8.702% (3 Mo. LIBOR + 7.00% | ) | 7/7/2025 | 18,928 | 19,211,525 | |||||||
Hyland Software, Inc. 2018 1st Lien Term Loan | 5.202% (3 Mo. LIBOR + 3.50% | ) | 7/1/2024 | 13,380 | 13,434,158 | |||||||
Imperva, Inc. 1st Lien Term Loan | 5.986% (3 Mo. LIBOR + 4.00% | ) | 1/12/2026 | 33,812 | 32,567,955 | |||||||
ION Trading Technologies S.a.r.l. USD Incremental Term Loan B (Luxembourg)(e) | 6.064% (3 Mo. LIBOR + 4.00% | ) | 11/21/2024 | 51,034 | 47,952,514 |
See Notes to Financial Statements. | 143 |
Schedule of Investments (continued)
FLOATING RATE FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Information Technology (continued) | ||||||||||||
MA FinanceCo., LLC USD Term Loan B3 | 4.202% (1 Mo. LIBOR + 2.50% | ) | 6/21/2024 | $ | 7,633 | $ | 7,602,958 | |||||
McAfee, LLC 2018 USD Term Loan B | 5.452% (1 Mo. LIBOR + 3.75% | ) | 9/30/2024 | 22,156 | 22,204,935 | |||||||
NASCAR Holdings, Inc Term Loan B | 4.513% (3 Mo. LIBOR + 2.75% | ) | 10/19/2026 | 18,294 | 18,445,136 | |||||||
NaviHealth, Inc. 2018 Term Loan B | 6.765% (1 Mo. LIBOR + 5.00% | ) | 8/1/2025 | 28,528 | 28,492,656 | (i) | ||||||
ON Semiconductor Corporation 2019 Term Loan B | 3.702% (1 Mo. LIBOR + 2.00% | ) | 9/19/2026 | 24,292 | 24,426,347 | |||||||
Perforce Software Inc Term Loan B | 6.202% (1 Mo. LIBOR + 4.50% | ) | 7/1/2026 | 28,666 | 28,612,251 | |||||||
Project Angel Holdings LLC 2018 1st Lien Term Loan | 5.702% (1 Mo. LIBOR + 4.00% | ) | 5/31/2025 | 15,845 | 15,706,851 | |||||||
Project Boost Purchaser, LLC 2019 Term Loan B | – | (j) | 6/1/2026 | 16,324 | 16,195,113 | |||||||
Renaissance Holding Corp. 2018 1st Lien Term Loan | 4.952% (1 Mo. LIBOR + 3.25% | ) | 5/30/2025 | 29,427 | 28,936,316 | |||||||
RP Crown Parent, LLC 2016 Term Loan B | 4.45% (1 Mo. LIBOR + 2.75% | ) | 10/12/2023 | 11,084 | 11,107,914 | |||||||
Science Applications International Corporation 2018 Term Loan B | 3.452% (1 Mo. LIBOR + 1.75% | ) | 10/31/2025 | 23,662 | 23,697,838 | |||||||
Seattle SpinCo, Inc. USD Term Loan B3 | 4.202% (1 Mo. LIBOR + 2.50% | ) | 6/21/2024 | 51,639 | 51,437,520 | |||||||
Severin Acquisition, LLC 2018 Term Loan B | 5.144% (3 Mo. LIBOR + 3.25% | ) | 8/1/2025 | 23,510 | 23,216,234 | |||||||
SolarWinds Holdings, Inc. 2018 Term Loan B | 4.452% (3 Mo. LIBOR + 2.75% | ) | 2/5/2024 | 30,443 | 30,585,921 | |||||||
SS&C Technologies Holdings Europe S.A.R.L. 2018 Term Loan B4 (Luxembourg)(e) | 3.952% (3 Mo. LIBOR + 2.25% | ) | 4/16/2025 | 19,568 | 19,724,540 | |||||||
SS&C Technologies Inc. 2018 Term Loan B3 | 3.952% (3 Mo. LIBOR + 2.25% | ) | 4/16/2025 | 30,060 | 30,300,896 | |||||||
SS&C Technologies Inc. 2018 Term Loan B5 | 3.952% (3 Mo. LIBOR + 2.25% | ) | 4/16/2025 | 14,507 | 14,597,660 | |||||||
Tibco Software Inc. 2019 Term Loan B | 5.78% (1 Mo. LIBOR + 4.00% | ) | 6/30/2026 | 9,531 | 9,578,768 | |||||||
TriTech Software Systems 2018 Term Loan B | 5.452% (1 Mo. LIBOR + 3.75% | ) | 8/29/2025 | 28,101 | 26,122,233 | |||||||
Uber Technologies, Inc. 2018 Incremental Term Loan | 5.202% (1 Mo. LIBOR + 3.50% | ) | 7/13/2023 | 24,105 | 23,596,963 | |||||||
Uber Technologies, Inc. 2018 Term Loan | 5.763% (1 Mo. LIBOR + 4.00% | ) | 4/4/2025 | 1,861 | 1,814,809 |
144 | See Notes to Financial Statements. |
Schedule of Investments (continued)
FLOATING RATE FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Information Technology (continued) | ||||||||||||
Vertafore, Inc. 2018 1st Lien Term Loan | 4.952% (1 Mo. LIBOR + 3.25% | ) | 7/2/2025 | $ | 55,171 | $ | 53,661,165 | |||||
Vertafore, Inc. 2018 2nd Lien Term Loan | 8.952% (1 Mo. LIBOR + 7.25% | ) | 7/2/2026 | 17,279 | 16,890,473 | |||||||
Web.com Group, Inc. 2018 Term Loan B | 5.513% (1 Mo. LIBOR + 3.75%) | 10/10/2025 | 25,417 | 25,029,000 | ||||||||
Total | 833,309,777 | |||||||||||
Manufacturing 4.71% | ||||||||||||
Advanced Drainage Systems Inc Term Loan B | 4.00% (3 Mo. LIBOR + 2.25% | ) | 7/31/2026 | 10,825 | 10,909,527 | |||||||
AI Alpine AT BidCo GmbH 2018 EUR Term Loan B(k) | 3.00% (1 Mo. Euribor + 3.00% | ) | 10/31/2025 | EUR | 7,447 | 8,037,352 | ||||||
AI Alpine AT BidCo GmbH 2018 USD Term Loan B (Austria)(e) | 4.581% (3 Mo. LIBOR + 2.75%) - 4.60% | 10/31/2025 | $ | 16,752 | 16,249,103 | (i) | ||||||
AI Aqua Merger Sub, Inc. 2019 Incremental Term Loan B | 5.952% (3 Mo. LIBOR + 4.25% | ) | 12/13/2023 | 4,763 | 4,661,847 | |||||||
Airxcel, Inc. 2018 1st Lien Term Loan | 6.202% (3 Mo. LIBOR + 4.50% | ) | 4/28/2025 | 16,409 | 15,814,036 | |||||||
Brand Energy & Infrastructure Services, Inc. 2017 Term Loan | 6.184% (3 Mo. LIBOR + 4.25%) - 6.35438% | 6/21/2024 | 52,979 | 51,985,408 | ||||||||
CPI Holdco, LLC 2019 Term Loan | 5.952% (1 Mo. LIBOR + 4.25 | ) | 11/4/2026 | 8,745 | 8,744,929 | (i) | ||||||
Deliver Buyer, Inc. Term Loan B | 7.104% (3 Mo. LIBOR + 5.00% | ) | 5/1/2024 | 22,189 | 22,230,693 | |||||||
Forterra Finance, LLC 2017 Term Loan B | 4.702% (3 Mo. LIBOR + 3.00% | ) | 10/25/2023 | 38,993 | 37,617,249 | |||||||
Granite Holdings US Acquisition Co. Term Loan B | 7.354% (3 Mo. LIBOR + 5.25% | ) | 9/30/2026 | 3,887 | 3,799,347 | |||||||
II-VI Incorporated Term Loan B | 5.208% (3 Mo. LIBOR + 3.50% | ) | 9/24/2026 | 17,701 | 17,750,828 | |||||||
MW Industries, Inc. 2nd Lien Term Loan | 10.104% (3 Mo. LIBOR + 8.00% | ) | 9/29/2025 | 9,780 | 9,217,650 | (i) | ||||||
Pregis TopCo Corporation 1st Lien Term Loan | 5.702% (1 Mo. LIBOR + 4.00% | ) | 7/31/2026 | 6,362 | 6,242,720 | |||||||
Pro Mach Group, Inc. 2018 Term Loan B | 4.472% (1 Mo. LIBOR + 2.75% | ) | 3/7/2025 | 35,730 | 34,546,259 | |||||||
Robertshaw US Holding Corp. 2018 2nd Lien Term Loan | 9.75% (1 Mo. LIBOR + 8.00% | ) | 2/28/2026 | 5,308 | 4,379,100 | (i) | ||||||
Sabre Industries, Inc. 2019 Term Loan B | 5.972% (3 Mo. LIBOR + 4.25% | ) | 4/15/2026 | 19,058 | 19,135,702 |
See Notes to Financial Statements. | 145 |
Schedule of Investments (continued)
FLOATING RATE FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Manufacturing (continued) | ||||||||||||
Safe Fleet Holdings LLC 2018 1st Lien Term Loan | 4.77% (3 Mo. LIBOR + 3.00% | ) | 2/3/2025 | $ | 15,894 | $ | 15,245,444 | |||||
Safe Fleet Holdings LLC 2018 2nd Lien Term Loan | 8.52% (1 Mo. LIBOR + 6.75% | ) | 2/2/2026 | 4,675 | 4,546,461 | |||||||
Tecomet Inc. 2017 Repriced Term Loan | 5.013% (3 Mo. LIBOR + 3.50% | ) | 5/1/2024 | 27,557 | 27,579,744 | |||||||
Titan Acquisition Limited 2018 Term Loan B (Canada)(e) | 4.702% (1 Mo. LIBOR + 3.00% | ) | 3/28/2025 | 25,591 | 24,544,379 | |||||||
UTEX Industries Inc. 1st Lien Term Loan 2014 | 5.702% (1 Mo. LIBOR + 4.00% | ) | 5/22/2021 | 32,364 | 23,220,854 | |||||||
UTEX Industries Inc. 2nd Lien Term Loan 2014 | 8.952% (1 Mo. LIBOR + 7.25% | ) | 5/22/2022 | 22,936 | 11,009,280 | |||||||
Vectra Co. 1st Lien Term Loan | 4.952% (3 Mo. LIBOR + 3.25% | ) | 3/8/2025 | 29,449 | 28,998,412 | |||||||
Yak Access, LLC 2018 1st Lien Term Loan B | 6.702% (1 Mo. LIBOR + 5.00% | ) | 7/11/2025 | 39,210 | 36,955,072 | (i) | ||||||
Total | 443,421,396 | |||||||||||
Media/Telecommunications 14.01% | ||||||||||||
Altice Financing SA 2017 USD Term Loan B (Luxembourg)(e) | 4.515% (1 Mo. LIBOR + 2.75% | ) | 7/15/2025 | 26,648 | 26,062,002 | |||||||
Altice Financing SA USD 2017 1st Lien Term Loan (Luxembourg)(e) | 4.472% (1 Mo. LIBOR + 2.75% | ) | 1/31/2026 | 9,503 | 9,293,203 | |||||||
Altice France S.A. 2018 Term Loan B13 (France)(e) | 5.765% (1 Mo. LIBOR + 4.00% | ) | 8/14/2026 | 53,592 | 53,340,651 | |||||||
Altice France S.A. USD Term Loan B12 (France)(e) | 5.453% (1 Mo. LIBOR + 3.69% | ) | 1/31/2026 | 9,714 | 9,622,902 | |||||||
AP NMT Acquisition BV USD 1st Lien Term Loan (Netherlands)(e) | 7.835% (3 Mo. LIBOR + 5.75% | ) | 8/13/2021 | 27,112 | 27,240,906 | |||||||
AP NMT Acquisition BV USD 2nd Lien Term Loan (Netherlands)(e) | 11.089% (3 Mo. LIBOR + 9.00% | ) | 8/13/2022 | 40,225 | 40,591,694 | |||||||
CenturyLink, Inc. 2017 Term Loan A | 4.452% (1 Mo. LIBOR + 2.75% | ) | 11/1/2022 | 23,433 | 23,540,003 | |||||||
CenturyLink, Inc. 2017 Term Loan B | 4.452% (1 Mo. LIBOR + 2.75% | ) | 1/31/2025 | 114,959 | 115,086,197 | |||||||
Clear Channel Outdoor Holdings, Inc. Term Loan B | 5.202% (1 Mo. LIBOR + 3.50% | ) | 8/21/2026 | 35,774 | 35,927,292 | |||||||
Colorado Buyer Inc 2nd Lien Term Loan | 9.01% (1 Mo. LIBOR + 7.25% | ) | 5/1/2025 | 26,341 | 16,858,440 | |||||||
Colorado Buyer Inc Term Loan B | 4.77% (1 Mo. LIBOR + 3.00% | ) | 5/1/2024 | 33,508 | 28,100,192 | |||||||
Connect Finco Sarl Term Loan B (Luxembourg)(e) | – | (j) | 9/23/2026 | 33,926 | 33,824,498 |
146 | See Notes to Financial Statements. |
Schedule of Investments (continued)
FLOATING RATE FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Media/Telecommunications (continued) | ||||||||||||
Consolidated Communications, Inc. 2016 Term Loan B | 4.71% (1 Mo. LIBOR + 3.00% | ) | 10/4/2023 | $ | 48,082 | $ | 44,633,602 | |||||
Crown Finance US, Inc. 2018 USD Term Loan | 3.952% (1 Mo. LIBOR + 2.25% | ) | 2/28/2025 | 7,383 | 7,368,020 | |||||||
CSC Holdings, LLC 2017 1st Lien Term Loan | 4.015% (1 Mo. LIBOR + 2.25% | ) | 7/17/2025 | 68,128 | 68,075,849 | |||||||
CSC Holdings, LLC 2018 Incremental Term Loan | 4.015% (1 Mo. LIBOR + 2.25% | ) | 1/15/2026 | 19,121 | 19,115,732 | |||||||
CSC Holdings, LLC 2019 Term Loan B5 | 4.327% (2 Mo. LIBOR + 2.50% | ) | 4/15/2027 | 25,162 | 25,237,870 | |||||||
Delta 2 (LUX) S.a.r.l. 2018 USD Term Loan (Luxembourg)(e) | 4.202% (1 Mo. LIBOR +2.50% | ) | 2/1/2024 | 14,979 | 14,917,014 | |||||||
Diamond Sports Group, LLC Term Loan | 4.96% (1 Mo. LIBOR + 3.25% | ) | 8/24/2026 | 42,988 | 42,947,591 | |||||||
Entercom Media Corp. 2017 Term Loan B | 4.452% (1 Mo. LIBOR + 2.75% | ) | 11/18/2024 | 11,237 | 11,324,333 | |||||||
Gray Television, Inc. 2017 Term Loan B | 4.031% (3 Mo. LIBOR + 2.25% | ) | 2/7/2024 | 13,185 | 13,219,808 | |||||||
Gray Television, Inc. 2018 Term Loan C | 4.281% (3 Mo. LIBOR + 2.50% | ) | 1/2/2026 | 26,567 | 26,698,471 | |||||||
Hargray Communications Group, Inc. 2017 Term Loan B | 4.702% (1 Mo. LIBOR + 2.75% | ) | 5/16/2024 | 15,192 | 15,202,656 | |||||||
iHeartCommunications, Inc. Exit Term Loan | 5.780% (1 Mo. LIBOR + 4.00% | ) | 5/1/2026 | 60,423 | 60,888,854 | |||||||
Iridium Satellite LLC Term Loan (France)(e) | 5.452% (1 Mo. LIBOR + 3.75% | ) | 11/4/2026 | 17,009 | 17,197,802 | |||||||
Level 3 Financing, Inc. 2017 Term Loan B | 3.952% (1 Mo. LIBOR + 1.75% | ) | 3/1/2027 | 3,119 | 3,114,188 | |||||||
Liberty Latin America Ltd. Term Loan B | 6.765% (1 Mo. LIBOR + 5.00% | ) | 10/22/2026 | 12,630 | 12,766,131 | |||||||
Lions Gate Capital Holdings LLC 2018 Term Loan B | 3.952% (1 Mo. LIBOR + 2.25% | ) | 3/24/2025 | 37,710 | 36,908,302 | |||||||
Mission Broadcasting, Inc. 2018 Term Loan B3 | 4.031% (1 Mo. LIBOR + 2.25% | ) | 1/17/2024 | 4,686 | 4,698,282 | |||||||
NEP/NCP Holdco, Inc. 2018 1st Lien Term Loan | 4.952% (1 Mo. LIBOR + 3.25% | ) | 10/20/2025 | 14,144 | 13,338,113 | |||||||
Nexstar Broadcasting, Inc. 2018 Term Loan B3 | 3.952% (1 Mo. LIBOR + 2.25% | ) | 1/17/2024 | 23,581 | 23,644,460 | |||||||
Nexstar Broadcasting, Inc. 2019 Term Loan B4 | 4.452% (1 Mo. LIBOR + 2.75% | ) | 9/18/2026 | 47,780 | 48,038,729 |
See Notes to Financial Statements. | 147 |
Schedule of Investments (continued)
FLOATING RATE FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Media/Telecommunications (continued) | ||||||||||||
Radiate Holdco, LLC 1st Lien Term Loan | 4.702% (3 Mo. LIBOR + 3.00% | ) | 2/1/2024 | $ | 17,200 | $ | 17,114,565 | |||||
Sinclair Television Group Inc. Term Loan B2 | 3.96% (1 Mo. LIBOR + 2.25% | ) | 1/3/2024 | 30,904 | 31,029,677 | |||||||
Sinclair Television Group Inc. Term Loan B2B | 4.27% (1 Mo. LIBOR + 2.50% | ) | 9/30/2026 | 11,574 | 11,613,506 | |||||||
SMG US Midco 2, Inc. 2017 1st Lien Term Loan | 4.702% (3 Mo. LIBOR + 3.00% | ) | 1/23/2025 | 6,971 | 6,982,114 | |||||||
SMG US Midco 2, Inc. 2017 2nd Lien Term Loan | 8.702% (1 Mo. LIBOR + 7.00% | ) | 1/23/2026 | 9,689 | 9,777,932 | |||||||
Sprint Communications, Inc. 1st Lien Term Loan B | 4.25% (1 Mo. LIBOR + 2.50% | ) | 2/2/2024 | 66,100 | 65,521,784 | |||||||
Sprint Communications, Inc. 2018 Term Loan B | 4.75% (1 Mo. LIBOR + 3.00% | ) | 2/2/2024 | 10,970 | 10,935,486 | |||||||
Telesat Canada 2019 Term Loan (Canada)(e) | – | (j) | 11/22/2026 | 20,000 | 20,012,500 | (i) | ||||||
Telesat Canada Term Loan B4 (Canada)(e) | 4.61% (3 Mo. LIBOR + 2.50% | ) | 11/17/2023 | 19,287 | 19,333,063 | |||||||
Univision Communications Inc. Term Loan C5 | 4.452% (1 Mo. LIBOR + 2.75% | ) | 3/15/2024 | 57,498 | 56,407,215 | |||||||
Virgin Media Bristol LLC USD Term Loan N | 4.265% (1 Mo. LIBOR + 2.50% | ) | 1/31/2028 | 17,153 | 17,181,803 | |||||||
WideOpenWest Finance LLC 2017 Term Loan B | 4.953% (3 Mo. LIBOR + 3.25% | ) | 8/18/2023 | 59,024 | 57,519,253 | |||||||
William Morris Endeavor Entertainment, LLC 2018 1st Lien Term Loan | 4.46% (1 Mo. LIBOR + 2.75%) - 4.68% | 5/18/2025 | 42,925 | 42,299,348 | ||||||||
Windstream Services, LLC Repriced Term Loan B6 | 7.75% (1 Mo. LIBOR + 3.00% | ) | 3/29/2021 | 25,020 | 23,856,995 | |||||||
Total | 1,318,409,028 | |||||||||||
Metals/Minerals 0.69% | ||||||||||||
GrafTech Finance, Inc. 2018 Term Loan B | 5.202% (1 Mo. LIBOR + 3.50% | ) | 2/12/2025 | 45,765 | 44,735,663 | (i) | ||||||
U.S. Silica Company 2018 Term Loan B | 5.75% (3 Mo. LIBOR + 4.00% | ) | 5/1/2025 | 23,646 | 20,268,826 | |||||||
Total | 65,004,489 | |||||||||||
Retail 4.20% | ||||||||||||
Amer Sports Oyj EUR Term Loan B(k) | 4.50% (3 Mo. EURIBOR + 4.50% | ) | 3/30/2026 | EUR | 25,952 | 28,616,923 | ||||||
Anastasia Parent, LLC 2018 Term Loan B | 5.677% (3 Mo. LIBOR + 3.75% | ) | 8/11/2025 | $ | 27,308 | 22,955,510 | ||||||
Bass Pro Group, LLC Term Loan B | 6.702% (1 Mo. LIBOR + 5.00% | ) | 9/25/2024 | 27,658 | 27,243,578 |
148 | See Notes to Financial Statements. |
Schedule of Investments (continued)
FLOATING RATE FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Retail (continued) | ||||||||||||
BDF Acquisition Corp.1st Lien Term Loan | 6.952% (1 Mo. LIBOR + 5.25% | ) | 8/14/2023 | $ | 23,869 | $ | 22,914,408 | (i) | ||||
BJ’s Wholesale Club, Inc. 2017 1st Lien Term Loan | 4.509% (1 Mo. LIBOR + 2.75% | ) | 2/3/2024 | 20,856 | 20,954,833 | |||||||
Coty Inc. 2018 USD Term Loan B | 4.005% (1 Mo. LIBOR + 2.25% | ) | 4/7/2025 | 30,420 | 29,621,428 | |||||||
Harbor Freight Tools USA, Inc. 2018 Term Loan B | 4.202% (3 Mo. LIBOR + 2.50% | ) | 8/18/2023 | 38,861 | 38,104,034 | |||||||
J. Crew Group, Inc. Consenting Term Loan | 4.922% (3 Mo. LIBOR + 3.22%) - 5.32438% | 3/5/2021 | 55,725 | 48,784,307 | ||||||||
JP Intermediate B, LLC Term Loan | 7.427% (3 Mo. LIBOR + 5.50% | ) | 11/20/2025 | 20,865 | 17,605,073 | |||||||
Lands’ End, Inc. Term Loan B | 4.952% (1 Mo. LIBOR + 3.25% | ) | 4/4/2021 | 37,337 | 36,054,022 | |||||||
Mavis Tire Express Services Corp. 2018 Delayed Draw Term Loan | 3.00% (3 Mo. LIBOR + 3.25%) - 4.95163% | 3/20/2025 | 3,847 | 3,646,794 | ||||||||
Men’s Wearhouse, Inc. (The) 2018 Term Loan B2 | 4.90% (1 Mo. LIBOR + 3.30% | ) | 4/9/2025 | 13,164 | 9,004,354 | |||||||
Michaels Stores, Inc. 2018 Term Loan B | 4.202% (1 Mo. LIBOR + 2.50%) - 4.208% | 1/28/2023 | 19,076 | 18,128,540 | ||||||||
PetSmart, Inc. Consenting Term Loan | 5.77% (1 Mo. LIBOR + 4.00% | ) | 3/11/2022 | 59,021 | 57,594,519 | |||||||
Toms Shoes, LLC Term Loan B | 7.43% (3 Mo. LIBOR + 5.5% | ) | 11/2/2020 | 21,618 | 13,997,660 | |||||||
Total | 395,225,983 | |||||||||||
Service 5.38% | ||||||||||||
AVSC Holding Corp. 2018 1st Lien Term Loan | 4.90% (1 Mo. LIBOR + 3.25%) - 5.35438% | 3/3/2025 | 20,593 | 20,052,303 | ||||||||
AVSC Holding Corp. 2018 2nd Lien Term Loan | 9.159% (3 Mo. LIBOR + 7.25% | ) | 9/1/2025 | 5,525 | 5,248,930 | |||||||
BIFM CA Buyer Inc. Term Loan B (Canada)(e) | 5.452% (1 Mo. LIBOR + 3.75% | ) | 6/1/2026 | 9,456 | 9,468,108 | (i) | ||||||
CIBT Global, Inc. 2017 1st Lien Term Loan | 5.854% (1 Mo. LIBOR + 3.75% | ) | 6/3/2024 | 5,821 | 5,529,699 | (i) | ||||||
CRCI Longhorn Holdings, Inc. 2018 1st Lien Term Loan | 5.19% (3 Mo. LIBOR + 3.50% | ) | 8/8/2025 | 4,423 | 4,207,794 | |||||||
DG Investment Intermediate Holdings 2, Inc. 2018 1st Lien Term Loan | 4.702% (3 Mo. LIBOR + 3.00% | ) | 2/3/2025 | 11,407 | 11,259,870 | |||||||
EagleView Technology Corporation 2018 Add On Term Loan B | 5.409% (3 Mo. LIBOR + 3.50% | ) | 8/14/2025 | 17,563 | 16,673,900 | |||||||
Emerald TopCo Inc Term Loan | 5.202% (1 Mo. LIBOR + 3.50% | ) | 7/24/2026 | 23,879 | 23,815,004 |
See Notes to Financial Statements. | 149 |
Schedule of Investments (continued)
FLOATING RATE FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Service (continued) | ||||||||||||
Garda World Security Corporation 2019 1st Lien Term Loan B (Canada)(e) | 6.70% (3 Mo. LIBOR + 4.75% | ) | 10/30/2026 | $ | 23,670 | $ | 23,634,446 | |||||
Genuine Financial Holdings, LLC 2018 1st Lien Term Loan | 5.452% (1 Mo. LIBOR + 3.75% | ) | 7/12/2025 | 32,028 | 30,987,571 | |||||||
Guidehouse LLP 2018 Term Loan | 6.202% (1 Mo. LIBOR + 4.50% | ) | 5/1/2025 | 42,034 | 41,298,809 | |||||||
Hampton Rubber Company 1st Lien Term Loan | 5.702% (1 Mo. LIBOR + 4.00% | ) | 3/27/2021 | 15,209 | 14,676,953 | (i) | ||||||
I-Logic Technologies Bidco Limited 2018 USD Term Loan (United Kingdom)(e) | 5.104% (3 Mo. LIBOR + 3.00% | ) | 12/21/2024 | 11,580 | 11,256,355 | |||||||
KUEHG Corp. 2017 2nd Lien Term Loan | 10.354% (3 Mo. LIBOR + 8.25% | ) | 8/18/2025 | 13,446 | 13,425,831 | |||||||
KUEHG Corp. 2018 Incremental Term Loan | 5.854% (3 Mo. LIBOR + 3.75% | ) | 2/21/2025 | 41,721 | 41,486,284 | |||||||
Learning Care Group, Inc. 2018 1st Lien Term Loan | 5.177% (3 Mo. LIBOR + 3.25%) - 5.43488% | 3/13/2025 | 22,732 | 22,668,227 | ||||||||
MHI Holdings,LLC Term Loan B | 6.702% (1 Mo. LIBOR + 5.00% | ) | 9/21/2026 | 25,905 | 25,954,036 | |||||||
Monitronics International Inc. Takeback Term Loan | 8.604% (3 Mo. LIBOR + 6.50% | ) | 3/29/2024 | 13,324 | 11,625,321 | |||||||
North American Lifting Holdings, Inc. 1st Lien Term Loan | 6.604% (3 Mo. LIBOR + 4.50% | ) | 11/27/2020 | 20,140 | 16,726,302 | |||||||
North American Lifting Holdings, Inc. 2nd Lien Term Loan | 11.104% (3 Mo. LIBOR + 9.00% | ) | 11/26/2021 | 3,520 | 2,129,670 | |||||||
Sedgwick Claims Management Services, Inc. 2018 Term Loan B | 4.952% (1 Mo. LIBOR + 3.25% | ) | 12/31/2025 | 10,306 | 10,143,731 | |||||||
Sedgwick Claims Management Services, Inc. 2019 Term Loan B | 5.702% (1 Mo. LIBOR + 4.00% | ) | 9/3/2026 | 6,662 | 6,662,302 | |||||||
SSH Group Holdings, Inc. 2018 1st Lien Term Loan | 5.952% (1 Mo. LIBOR + 4.25% | ) | 7/30/2025 | 23,915 | 23,776,771 | |||||||
TKC Holdings, Inc. 2017 1st Lien Term Loan | 5.46% (3 Mo. LIBOR + 3.75% | ) | 2/1/2023 | 21,465 | 20,499,359 | |||||||
TKC Holdings, Inc. 2017 2nd Lien Term Loan | 9.71% (3 Mo. LIBOR + 8.00% | ) | 2/1/2024 | 8,083 | 7,800,401 | |||||||
United PF Holdings, LLC 2019 Delayed Draw Term Loan | 2.25% | 6/10/2026 | 1,835 | 1,833,083 | ||||||||
United PF Holdings, LLC 2019 Term Loan | 6.202% (3 Mo. LIBOR + 4.50% | ) | 6/10/2026 | 13,379 | 13,362,086 |
150 | See Notes to Financial Statements. |
Schedule of Investments (continued)
FLOATING RATE FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Service (continued) | ||||||||||||
USIC Holdings, Inc. 2017 Term Loan B | 4.952% (1 Mo. LIBOR + 3.00% | ) | 12/8/2023 | $ | 30,317 | $ | 30,013,926 | (6) | ||||
Weight Watchers International, Inc. 2017 Term Loan B | 6.86% (3 Mo. LIBOR + 4.75% | ) | 11/29/2024 | 40,228 | 40,307,397 | |||||||
Total | 506,524,469 | |||||||||||
Transportation 4.58% | ||||||||||||
American Axle and Manufacturing, Inc. Term Loan B | 3.96% (3 Mo. LIBOR + 2.25% | ) | 4/6/2024 | 20,948 | 20,622,236 | |||||||
Belron Finance U.S. LLC 2018 Term Loan B | 4.151% (3 Mo. LIBOR + 2.30% | ) | 11/13/2025 | 9,557 | 9,602,560 | |||||||
Belron Finance U.S. LLC USD Term Loan B | 4.144% (3 Mo. LIBOR + 2.25% | ) | 11/7/2024 | 9,391 | 9,436,027 | |||||||
Belron Finance US LLC 2019 USD Term Loan B | 4.436% (3 Mo. LIBOR + 2.30% | ) | 10/30/2026 | 16,519 | 16,594,297 | |||||||
Chassix Inc. 2017 1st Lien Term Loan | 7.438% (3 Mo. LIBOR + 5.50%) - 9.25% | 11/15/2023 | 20,638 | 19,159,069 | ||||||||
Commercial Barge Line Company 2015 1st Lien Term Loan | 10.613% (3 Mo. LIBOR + 8.75% | ) | 11/12/2020 | 41,099 | 21,209,946 | |||||||
Drive Chassis HoldCo, LLC 2019 2nd Lien Term Loan | 10.26% (3 Mo. LIBOR + 8.25% | ) | 4/10/2026 | 47,742 | 43,445,220 | (i) | ||||||
Fastlane Parent Company, Inc. 2018 Add On 1st Lien Term Loan | 6.604% (3 Mo. LIBOR + 4.50% | ) | 2/4/2026 | 14,273 | 13,599,791 | |||||||
Genesee & Wyoming Inc. (New) Term Loan | – | (j) | 11/6/2026 | 23,324 | 23,520,168 | |||||||
Gruden Acquisition, Inc. 2017 Term Loan | 7.604% (3 Mo. LIBOR + 5.50% | ) | 8/18/2022 | 27,401 | 27,264,244 | |||||||
Gruden Acquisition, Inc. 2nd Lien Term Loan | 10.604% (3 Mo. LIBOR + 8.50% | ) | 8/18/2023 | 24,245 | 24,113,713 | |||||||
Hornblower Sub, LLC 2018 Term Loan B | 6.604% (3 Mo. LIBOR + 4.50% | ) | 4/27/2025 | 9,259 | 9,297,518 | |||||||
Mavis Tire Express Services Corp. 2018 1st Lien Term Loan | 4.952% (3 Mo. LIBOR + 3.25% | ) | 3/20/2025 | 30,248 | 28,673,081 | |||||||
Navistar International Corporation 2017 1st Lien Term Loan B | 5.27% (1 Mo. LIBOR + 3.50% | ) | 11/6/2024 | 19,986 | 19,935,763 | |||||||
Panther BF Aggregator 2 LP USD Term Loan B (Canada)(e) | 5.202% (1 Mo. LIBOR + 3.50% | ) | 4/30/2026 | 44,824 | 44,880,075 | |||||||
Tenneco, Inc. 2018 Term Loan B | 4.702% (1 Mo. LIBOR + 3.00% | ) | 10/1/2025 | 30,734 | 29,466,196 | (i) | ||||||
Thor Industries, Inc. EUR Term Loan B(k) | 4.00% (1 Mo. Euribor + 4.00% | ) | 2/1/2026 | EUR | 16,893 | 18,551,044 | ||||||
Thor Industries, Inc. USD Term Loan B | 5.563% (1 Mo. LIBOR + 3.75% | ) | 2/1/2026 | $ | 14,024 | 13,971,119 |
See Notes to Financial Statements. | 151 |
Schedule of Investments (continued)
FLOATING RATE FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Transportation (continued) | ||||||||||||
WestJet Airlines Ltd. Term Loan B(e) | – | (j) | 8/7/2026 | $ | 37,213 | $ | 37,468,839 | |||||
Total | 430,810,906 | |||||||||||
Utility 3.39% | ||||||||||||
Calpine Corporation 2019 Term Loan B10 | 4.202% (3 Mo. LIBOR + 2.50% | ) | 8/12/2026 | 18,117 | 18,195,977 | |||||||
Adient US LLC Term Loan B | 6.105% (3 Mo. LIBOR + 4.25%) - 6.1435% | 5/6/2024 | 24,722 | 24,744,888 | ||||||||
Brookfield WEC Holdings Inc. 2018 1st Lien Term Loan | 5.202% (3 Mo. LIBOR + 3.50% | ) | 8/1/2025 | 42,543 | 42,600,891 | |||||||
Calpine Construction Finance Company, L.P. 2017 Term Loan B | 4.202% (3 Mo. LIBOR + 2.50% | ) | 1/15/2025 | 5,151 | 5,170,538 | |||||||
Calpine Corporation Term Loan B5 | 4.61% (3 Mo. LIBOR + 2.50% | ) | 1/15/2024 | 2,915 | 2,926,994 | |||||||
Edgewater Generation, L.L.C. Term Loan | 5.452% (3 Mo. LIBOR + 3.75% | ) | 12/13/2025 | 5,537 | 5,266,999 | |||||||
ExGen Renewables IV, LLC Term Loan B | 4.91% (3 Mo. LIBOR + 3.00% | ) | 11/28/2024 | 25,308 | 24,382,305 | |||||||
Frontera Generation Holdings LLC 2018 Term Loan B | 6.015% (1 Mo. LIBOR + 4.25% | ) | 5/2/2025 | 33,731 | 29,092,711 | |||||||
Helix Gen Funding, LLC Term Loan B | 5.452% (3 Mo. LIBOR + 3.75% | ) | 6/3/2024 | 45,960 | 44,154,704 | |||||||
Lightstone Holdco LLC 2018 Term Loan B | 5.452% (3 Mo. LIBOR + 3.75% | ) | 1/30/2024 | 38,309 | 34,550,063 | |||||||
Lightstone Holdco LLC 2018 Term Loan C | 5.452% (3 Mo. LIBOR + 3.75% | ) | 1/30/2024 | 2,161 | 1,948,676 | |||||||
Pacific Gas & Electric Company Revolver | – | (j) | 4/27/2022 | 29,021 | 28,162,248 | |||||||
PowerTeam Services, LLC 2018 2nd Lien Term Loan | 9.354% (3 Mo. LIBOR + 7.25% | ) | 3/6/2026 | 12,484 | 9,050,900 | |||||||
Vistra Operations Company LLC 1st Lien Term Loan B3 | 3.452% (1 Mo. LIBOR + 1.75%) - 3.51538% | 12/31/2025 | 48,735 | 48,942,829 | ||||||||
Total | 319,190,723 | |||||||||||
Total Floating Rate Loans (cost $8,492,849,456) | 8,278,366,840 | |||||||||||
Total Long-Term Investments (cost $9,207,177,290) | 8,975,582,777 |
152 | See Notes to Financial Statements. |
Schedule of Investments (continued)
FLOATING RATE FUNDNovember 30, 2019
Investments | Principal Amount (000) | Fair Value | ||||||
SHORT-TERM INVESTMENTS 6.11% | ||||||||
REPURCHASE AGREEMENTS | ||||||||
Repurchase Agreement dated 11/29/2019, 0.85% due 12/2/2019 with Fixed Income Clearing Corp. collateralized by $50,480,000 of U.S. Treasury Note at 2.0% due 10/31/2021; $28,385,000 of U.S. Treasury Note at 1.25% due 10/31/2021; $46,140,000 of U.S. Treasury Note at 1.875% due 1/31/2022; value: $125,712,500; proceeds: $123,255,158 | $ | 123,246 | $ | 123,246,428 | ||||
Repurchase Agreement dated 11/29/2019, 1.45% due 12/2/2019 with JPMorgan Chase & Co. collateralized by $270,450,000 of U.S. Treasury Note at 2.75% due 2/15/2024; value: $293,882,053; proceeds: $279,033,713 | 279,000 | 279,000,000 | ||||||
Repurchase Agreement dated 11/29/2019, 1.61% due 12/2/2019 with Toronto Dominion Grand Cayman collateralized by $175,280,000 of U.S. Treasury Note at 2.25% due 4/30/2021 value: $174,693,760 proceeds: $173,023,211 | 173,000 | 173,000,000 | ||||||
Total Repurchase Agreements (cost $575,246,428) | 575,246,428 | |||||||
Total Investments in Securities 101.50% (cost $9,782,423,718) | 9,550,829,205 | |||||||
Less Unfunded Loan Commitments (0.15)% (cost $14,475,474) | (14,291,338 | ) | ||||||
Net Investments 101.35% (cost $9,767,948,244) | 9,536,537,867 | |||||||
Liabilities in Excess of Cash and Other Assets(l)(1.35%) | (126,764,225 | ) | ||||||
Net Assets 100.00% | $ | 9,409,773,642 |
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. At November 30, 2019, the total value of Rule 144A securities was $466,977,593, which represents 4.96% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at November 30, 2019. | |
* | Non-income producing security. | |
(a) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(b) | Variable Rate is Fixed to Float: Rate remains fixed until designated future date. | |
(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) | Amount is less than 1,000 shares. | |
(e) | Foreign security traded in U.S. dollars. | |
(f) | Level 3 Investment as described in Note 2(t) in the Notes to Financials. Security fair valued by the Pricing Committee. | |
(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 November 30, 2019. |
See Notes to Financial Statements. | 153 |
Schedule of Investments (continued)
FLOATING RATE FUNDNovember 30, 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. | |
(j) | Interest rate to be determined. | |
(k) | Investment in non-U.S. dollar denominated securities. | |
(l) | Liabilities in Excess of Cash and Other Assets include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and swaps as follows: |
Open Total Return Swaps Contracts at November 30, 2019:
Swap Counterparty | Referenced Index* | Referenced Spread | Units | Position | Termination Date | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||||
Barclays Bank plc | IBXXLL | 3 Mo. LIBOR + .00% | 284,819 | Long | 12/20/2019 | $ | 50,000,000 | $ | 50,017,564 | $ | 17,564 | |||||||||||
Barclays Bank plc | IBXXLL | 3 Mo. LIBOR + .00% | 284,738 | Long | 12/20/2019 | 50,000,000 | 50,003,322 | 3,322 | ||||||||||||||
Barclays Bank plc | IBXXLL | 3 Mo. LIBOR + .00% | 287,438 | Long | 12/20/2019 | 50,000,000 | 50,477,628 | 477,628 | ||||||||||||||
Barclays Bank plc | IBXXLL | 3 Mo. LIBOR + .00% | 286,467 | Long | 12/20/2019 | 50,000,000 | 50,306,998 | 306,998 | ||||||||||||||
Barclays Bank plc | IBXXLL | 3 Mo. LIBOR + .00% | 285,388 | Long | 3/20/2020 | 50,000,000 | 50,147,451 | 147,451 | ||||||||||||||
Barclays Bank plc | IBXXLL | 3 Mo. LIBOR + .00% | 284,997 | Long | 3/20/2020 | 50,000,000 | 50,078,849 | 78,849 | ||||||||||||||
J.P. Morgan | IBXXLL | 3 Mo. LIBOR + .00% | 285,307 | Long | 12/20/2019 | 50,000,000 | 50,103,185 | 103,185 | ||||||||||||||
J.P. Morgan | IBXXLL | 3 Mo. LIBOR + .00% | 285,959 | Long | 12/20/2019 | 50,000,000 | 50,217,805 | 217,805 | ||||||||||||||
Total | $ | 400,000,000 | $ | 401,352,802 | $ | 1,352,802 |
* | iBoxx Leverage Loan Index. |
154 | See Notes to Financial Statements. |
Schedule of Investments (continued)
FLOATING RATE FUNDNovember 30, 2019
Open Forward Foreign Currency Exchange Contracts at November 30, 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 | State Street Bank and Trust | 12/9/2019 | 45,000,000 | $49,991,967 | $ | 49,598,727 | $ | 393,240 | |||||||||
euro | Sell | State Street Bank and Trust | 2/14/2020 | 3,445,000 | 3,816,342 | 3,815,260 | 1,082 | |||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 394,322 | ||||||||||||||||
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 | J.P. Morgan | 12/5/2019 | 5,498,768 | $4,166,488 | $ | 4,139,703 | $ | (26,785 | ) | ||||||||
Canadian dollar | Buy | Morgan Stanley | 12/5/2019 | 6,433,000 | 4,878,138 | 4,843,032 | (35,106 | ) | ||||||||||
Canadian dollar | Sell | State Street Bank and Trust | 12/5/2019 | 11,931,768 | 8,952,332 | 8,982,736 | (30,404 | ) | ||||||||||
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (92,295 | ) |
Open Futures Contracts at November 30, 2019:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||
U.S. 2-Year Treasury Note | March 2020 | 422 | Short | $ | (90,993,003 | ) | $ | (90,977,266 | ) | $ | 15,737 | |||||||
U.S. 10-Year Treasury Note | March 2020 | 1,345 | Short | (174,238,200 | ) | (173,988,359 | ) | 249,841 | ||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 265,578 | ||||||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||
U.S. 5-Year Treasury Note | March 2020 | 713 | Long | $ | 84,881,702 | $ | 84,824,719 | $ | (56,983 | ) |
See Notes to Financial Statements. | 155 |
Schedule of Investments (continued)
FLOATING RATE FUNDNovember 30, 2019
The following is a summary of the inputs used as of November 30, 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 | $ | – | $ | 78,826,888 | $ | 4,662,015 | $ | 83,488,903 | ||||||||
Common Stocks | ||||||||||||||||
Energy | – | 93,367 | – | 93,367 | ||||||||||||
Other | 21,753,067 | – | – | 21,753,067 | ||||||||||||
Convertible Bonds | – | 41,371,551 | – | 41,371,551 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Metals/Minerals | – | 21,056,754 | 5 | 21,056,759 | ||||||||||||
Other | – | 432,958,964 | – | 432,958,964 | ||||||||||||
Exchange-Traded Fund | 96,493,326 | – | – | 96,493,326 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Aerospace | – | 279,553,788 | 30,731,535 | 310,285,323 | ||||||||||||
Chemicals | – | 109,859,410 | 21,278,760 | 131,138,170 | ||||||||||||
Consumer Durables | – | 113,246,630 | 8,633,025 | 121,879,655 | ||||||||||||
Consumer Non-Durables | – | 192,928,100 | 28,084,464 | 221,012,564 | ||||||||||||
Energy | – | 253,270,951 | 34,657,808 | 287,928,759 | ||||||||||||
Financial | – | 507,811,683 | 57,053,108 | 564,864,791 | ||||||||||||
Food & Drug | – | 41,485,790 | – | 41,485,790 | ||||||||||||
Food/Tobacco | – | 299,770,148 | 87,373,410 | 387,143,558 | ||||||||||||
Forest Products | – | 239,432,275 | – | 239,432,275 | ||||||||||||
Gaming/Leisure | – | 433,307,002 | 33,941,862 | 467,248,864 | ||||||||||||
Healthcare | – | 906,540,032 | 59,701,119 | 966,241,151 | ||||||||||||
Housing | – | 227,809,169 | – | 227,809,169 | ||||||||||||
Information Technology | – | 785,617,480 | 47,692,297 | 833,309,777 | ||||||||||||
Manufacturing | – | 367,875,542 | 75,545,854 | 443,421,396 | ||||||||||||
Media/Telecommunications | – | 1,298,396,528 | 20,012,500 | 1,318,409,028 | ||||||||||||
Metals/Minerals | – | 20,268,826 | 44,735,663 | 65,004,489 | ||||||||||||
Retail | – | 372,311,575 | 22,914,408 | 395,225,983 | ||||||||||||
Service | – | 476,849,709 | 29,674,760 | 506,524,469 | ||||||||||||
Transportation | – | 357,899,490 | 72,911,416 | 430,810,906 | ||||||||||||
Utility | – | 319,190,723 | – | 319,190,723 | ||||||||||||
Less Unfunded Commitments | – | (14,291,338 | ) | – | (14,291,338 | ) | ||||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | – | 575,246,428 | – | 575,246,428 | ||||||||||||
Total | $ | 118,246,393 | $ | 8,738,687,465 | $ | 679,604,009 | $ | 9,536,537,867 | ||||||||
Other Financial Instruments | ||||||||||||||||
Total Return Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 1,352,802 | $ | – | $ | 1,352,802 | ||||||||
Liabilities | – | – | – | – | ||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 394,322 | – | 394,322 | ||||||||||||
Liabilities | – | (92,295 | ) | – | (92,295 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 265,578 | – | – | 265,578 | ||||||||||||
Liabilities | (56,983 | ) | – | – | (56,983 | ) | ||||||||||
Total | $ | 208,595 | $ | 1,654,829 | $ | – | $ | 1,863,424 |
(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. |
156 | See Notes to Financial Statements. |
Schedule of Investments (concluded)
FLOATING RATE FUNDNovember 30, 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 | Corporate Bonds | Floating Rate Loans | |||||||||
Balance as of December 1, 2018 | $ | 28,564,000 | $ | 5 | $ | 1,335,850,637 | ||||||
Accrued Discounts (Premiums) | 249,907 | – | (2,433,876 | ) | ||||||||
Realized Gain (Loss) | (385,966 | ) | – | (16,971,321 | ) | |||||||
Change in Unrealized Appreciation (Depreciation) | (299,767 | ) | – | (8,676,708 | ) | |||||||
Purchases | – | – | 352,423,770 | |||||||||
Sales | (14,017,941 | ) | – | (930,394,938 | ) | |||||||
Transfers into Level 3 | 4,961,782 | – | 205,505,295 | |||||||||
Transfers out of Level 3 | (14,410,000 | ) | – | (260,360,870 | ) | |||||||
Balance as of November 30, 2019 | $ | 4,662,015 | $ | 5 | $ | 674,941,989 | ||||||
Change in unrealized appreciation/depreciation for the year ended November 30, 2019 related to Level 3 investments held at November 30, 2019 | $ | (299,767 | ) | $ | – | $ | (13,772,339 | ) |
See Notes to Financial Statements. | 157 |
Schedule of Investments
HIGH YIELD FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 99.55% | ||||||||||||
ASSET-BACKED SECURITIES 0.19% | ||||||||||||
Other | ||||||||||||
CIFC Funding Ltd. 2013 3RA C | 4.836% (3 Mo. LIBOR + 2.90% | )# | 4/24/2031 | $ | 1,721 | $ | 1,626,958 | |||||
Jamestown CLO VII Ltd. 2015-7A CR† | 4.54% (3 Mo. LIBOR + 2.60% | )# | 7/25/2027 | 250 | 246,939 | |||||||
Madison Park Funding XXVII Ltd. 2018-27A C† | 4.566% (3 Mo. LIBOR + 2.60% | )# | 4/20/2030 | 4,320 | 4,065,460 | |||||||
Octagon Investment Partners 44 Ltd. 2019-1A E† | 8.756% (3 Mo. LIBOR+ 6.79% | )# | 7/20/2032 | 3,750 | 3,695,675 | |||||||
Regatta XVI Funding Ltd. 2019-2A D†(a) | 5.80% (3 Mo. LIBOR+ 3.90% | )# | 1/15/2033 | 3,462 | 3,462,000 | |||||||
Total | 13,097,032 | |||||||||||
Total Asset-Backed Securities (cost $12,920,830) | 13,097,032 | |||||||||||
Shares (000) | ||||||||||||
COMMON STOCKS 2.35% | ||||||||||||
Banking 0.10% | ||||||||||||
First Republic Bank | 65 | 7,125,147 | ||||||||||
Beverages 0.10% | ||||||||||||
Carlsberg A/S Class B(b) | DKK | 48 | 6,956,066 | |||||||||
Building Materials 0.10% | ||||||||||||
Sherwin-Williams Co. (The) | 12 | 7,137,511 | ||||||||||
Diversified Capital Goods 0.37% | ||||||||||||
Badger Meter, Inc. | 130 | 8,074,074 | ||||||||||
Dover Corp. | 96 | 10,729,504 | ||||||||||
Illinois Tool Works, Inc. | 41 | 7,186,929 | ||||||||||
Total | 25,990,507 | |||||||||||
Electric: Generation 0.10% | ||||||||||||
SolarEdge Technologies, Inc. (Israel)*(c) | 88 | 7,148,383 | ||||||||||
Electronics 0.10% | ||||||||||||
Zebra Technologies Corp. Class A* | 28 | 7,054,676 | ||||||||||
Energy: Exploration & Production 0.00% | ||||||||||||
Chaparral Energy, Inc. Class A* | 284 | 306,919 | ||||||||||
Templar Energy LLC Class A Units | 191 | 23,822 | ||||||||||
Total | 330,741 |
158 | See Notes to Financial Statements. |
Schedule of Investments (continued)
HIGH YIELD FUNDNovember 30, 2019
Investments | Shares (000) | Fair Value | ||||
Food & Drug Retailers 0.00% | ||||||
Fairway Group Holdings Corp. | 20 | $ | 197 | (k) | ||
Food: Wholesale 0.11% | ||||||
Beyond Meat, Inc.* | 89 | 7,395,137 | ||||
Health Services 0.26% | ||||||
NextCure, Inc.* | 384 | 18,371,518 | ||||
Investments & Miscellaneous Financial Services 0.00% | ||||||
Penson Technologies Class A Units | 4,881 | 48,812 | (k) | |||
Machinery 0.11% | ||||||
Generac Holdings, Inc.* | 76 | 7,519,096 | ||||
Medical Products 0.14% | ||||||
Mirati Therapeutics, Inc.* | 97 | 9,740,932 | ||||
Personal & Household Products 0.09% | ||||||
Gibson Brands, Inc. | 57 | 6,456,564 | ||||
Remington Outdoor Co., Inc. | 128 | 99,452 | ||||
Total | 6,556,016 | |||||
Rail 0.15% | ||||||
Kansas City Southern | 68 | 10,368,675 | ||||
Restaurants 0.11% | ||||||
Shake Shack, Inc. Class A* | 129 | 8,002,114 | ||||
Specialty Retail 0.27% | ||||||
Claires Holdings LLC | 7 | 4,863,046 | ||||
Crocs, Inc.* | 204 | 7,108,048 | ||||
Lululemon Athletica, Inc. (Canada)*(c) | 33 | 7,342,373 | ||||
Total | 19,313,467 | |||||
Technology Hardware & Equipment 0.21% | ||||||
Apple, Inc. | 27 | 7,320,512 | ||||
NVIDIA Corp. | 35 | 7,514,159 | ||||
Total | 14,834,671 | |||||
Transportation: Infrastructure/Services 0.03% | ||||||
Chassix Holdings, Inc. | 160 | 1,941,725 | ||||
Total Common Stocks (cost $179,415,719) | 165,835,391 |
See Notes to Financial Statements. | 159 |
Schedule of Investments (continued)
HIGH YIELD FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
CONVERTIBLE BONDS 1.33% | ||||||||||||
Automakers 0.24% | ||||||||||||
Tesla, Inc. | 2.00% | 5/15/2024 | $ | 7,914 | $ | 10,036,343 | ||||||
Winnebago Industries, Inc.† | 1.50% | 4/1/2025 | 6,679 | 6,708,354 | ||||||||
Total | 16,744,697 | |||||||||||
Electronics 0.10% | ||||||||||||
Teradyne, Inc. | 1.25% | 12/15/2023 | 3,472 | 7,056,840 | ||||||||
Medical Products 0.31% | ||||||||||||
Insulet Corp. | 1.375% | 11/15/2024 | 5,385 | 11,010,625 | ||||||||
Repligen Corp. | 0.375% | 7/15/2024 | 10,348 | 11,043,870 | ||||||||
Total | 22,054,495 | |||||||||||
Pharmaceuticals 0.11% | ||||||||||||
Neurocrine Biosciences, Inc. | 2.25% | 5/15/2024 | 4,790 | 7,816,407 | ||||||||
Software/Services 0.57% | ||||||||||||
DocuSign, Inc. | 0.50% | 9/15/2023 | 6,105 | 7,458,561 | ||||||||
Five9, Inc. | 0.125% | 5/1/2023 | 4,453 | 7,770,947 | ||||||||
Guidewire Software, Inc. | 1.25% | 3/15/2025 | 8,621 | 10,820,237 | ||||||||
RingCentral, Inc. | Zero Coupon | 3/15/2023 | 6,631 | 14,229,133 | ||||||||
Total | 40,278,878 | |||||||||||
Total Convertible Bonds (cost $89,596,626) | 93,951,317 | |||||||||||
FLOATING RATE LOANS(e)7.10% | ||||||||||||
Advertising 0.18% | ||||||||||||
Clear Channel Outdoor Holdings, Inc. Term Loan B | 5.202% (1 Mo. LIBOR + 3.50% | ) | 8/21/2026 | 10,648 | 10,693,627 | |||||||
Southern Graphics, Inc. 2nd Lien Term Loan | 9.427% (3 Mo. LIBOR + 7.50% | ) | 12/31/2023 | 6,950 | 1,897,350 | |||||||
Total | 12,590,977 | |||||||||||
Aerospace/Defense 0.39% | ||||||||||||
Bleriot US Bidco Inc. Delayed Draw Term Loan | – | (f) | 10/23/2026 | 1,551 | 1,560,686 | |||||||
Bleriot US Bidco Inc. Term Loan B | 6.613% (3 Mo. LIBOR + 4.75% | ) | 10/23/2026 | 9,928 | 9,988,372 | |||||||
Doncasters Finance US LLC USD Term Loan | 5.604% (3 Mo. LIBOR + 3.5% | ) | 4/9/2020 | 8,575 | 6,138,285 | |||||||
Forming Machining Industries Holdings, LLC Term Loan | 6.104% (3 Mo. LIBOR + 4.00% | ) | 10/9/2025 | 9,908 | 9,586,370 | (g) | ||||||
Total | 27,273,713 |
160 | See Notes to Financial Statements. |
Schedule of Investments (continued)
HIGH YIELD FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Air Transportation 0.11% | ||||||||||||
WestJet Airlines Ltd. Term Loan B(Canada)(c) | – | (f) | 8/7/2026 | $ | 7,383 | $ | 7,433,758 | |||||
Automakers 0.20% | ||||||||||||
Thor Industries, Inc. USD Term Loan B | 5.563% (1 Mo. LIBOR + 3.75% | ) | 2/1/2026 | 14,148 | 14,094,904 | |||||||
Building Materials 0.53% | ||||||||||||
Airxcel, Inc. 2018 1st Lien Term Loan | 6.202% (3 Mo. LIBOR + 4.50% | ) | 4/28/2025 | 8,530 | 8,220,420 | |||||||
Forterra Finance, LLC Term Loan B | 4.702% (3 Mo. LIBOR + 3.00% | ) | 10/25/2023 | 10,923 | 10,537,677 | |||||||
Hayward Industries, Inc. 1st Lien Term Loan | 5.202% (3 Mo. LIBOR + 3.00% | ) | 8/5/2024 | 7,289 | 7,181,932 | |||||||
Yak Access, LLC 2018 2nd Lien Term Loan B | 11.722% (1 Mo. LIBOR + 10.00% | ) | 7/10/2026 | 12,853 | 11,101,851 | |||||||
Total | 37,041,880 | |||||||||||
Chemicals 0.10% | ||||||||||||
U.S. Silica Co. 2018 Term Loan B | 5.75% (3 Mo. LIBOR + 4.00% | ) | 5/1/2025 | 8,398 | 7,199,099 | |||||||
Diversified Capital Goods 0.10% | ||||||||||||
GrafTech Finance, Inc. 2018 Term Loan B | 5.202% (3 Mo. LIBOR + 3.50% | ) | 2/12/2025 | 7,080 | 6,920,366 | (g) | ||||||
Electric: Generation 0.74% | ||||||||||||
ExGen Renewables IV, LLC Term Loan B | 4.91% (3 Mo. LIBOR + 3.00% | ) | 11/28/2024 | 10,852 | 10,455,100 | |||||||
Frontera Generation Holdings LLC 2018 Term Loan B | 6.015% (1 Mo. LIBOR + 4.25% | ) | 5/2/2025 | 9,441 | 8,142,760 | |||||||
Helix Gen Funding, LLC Term Loan B | 5.452% (3 Mo. LIBOR + 3.75% | ) | 6/3/2024 | 10,500 | 10,087,887 | |||||||
Lonestar II Generation Holdings LLC Term Loan B | 6.702% (1 Mo. LIBOR + 5.00% | ) | 4/20/2026 | 6,950 | 6,949,551 | |||||||
Lonestar II Generation Holdings LLC Term Loan C | 6.702% (1 Mo. LIBOR + 5.00% | ) | 4/20/2026 | 836 | 836,041 | |||||||
Longview Power LLC Advance Term Loan B | 7.93% (3 Mo. LIBOR + 6.00% | ) | 4/13/2021 | 10,091 | 5,655,332 | |||||||
Moxie Patriot LLC Term Loan B1 Term Loan B1 | 7.854% (3 Mo. LIBOR + 5.75% | ) | 12/19/2020 | 3,070 | 2,545,152 | |||||||
Moxie Patriot LLC Delayed Draw Term Loan B2 | 7.854% (3 Mo. LIBOR + 5.75% | ) | 12/19/2020 | 4,440 | 3,681,530 | |||||||
Panda Temple Power, LLC 2nd Lien Term Loan | 9.702% (1 Mo. LIBOR + 8.00% | ) | 2/7/2023 | 3,795 | 3,810,642 | |||||||
Total | 52,163,995 |
See Notes to Financial Statements. | 161 |
Schedule of Investments (continued)
HIGH YIELD FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Integrated 0.12% | ||||||||||||
Pacific Gas & Electric Company DIP Delayed Draw Term Loan | 2.25% | 12/31/2020 | $ | 2,151 | $ | 2,161,755 | (g) | |||||
Pacific Gas & Electric Company DIP Term Loan | 4.02% (1Mo. LIBOR + 2.25% | ) | 12/31/2020 | 6,451 | 6,483,255 | (g) | ||||||
Total | 8,645,010 | |||||||||||
Electronics 0.19% | ||||||||||||
II-VI Incorporated Term Loan B | 5.208% (3 Mo. LIBOR + 3.50% | ) | 9/24/2026 | 13,531 | 13,569,584 | |||||||
Food & Drug Retailers 0.00% | ||||||||||||
Fairway Group Acquisition Company 2018 Holdco Term Loan | 11.00% | 2/24/2024 | 1,354 | 136 | (g) | |||||||
Fairway Group Acquisition Company 2018 Last Out Term Loan | 10.00% | 11/27/2023 | 1,513 | 151 | (g) | |||||||
Total | 287 | |||||||||||
Gaming 0.56% | ||||||||||||
Montreign Operating Company, LLC Term Loan | 10.159% (3 Mo. LIBOR + 8.25% | ) | 1/24/2023 | 8,203 | 7,221,707 | |||||||
PCI Gaming Authority Term Loan | 4.702% (1 Mo. LIBOR + 3.00% | ) | 5/29/2026 | 6,885 | 6,934,302 | |||||||
Spectacle Gary Holdings Delayed Draw Term Loan | – | (f) | 11/6/2025 | 711 | 700,343 | (g) | ||||||
Spectacle Gary Holdings LLC Term Loan B | – | (f) | 11/6/2025 | 9,812 | 9,664,730 | (g) | ||||||
TopGolf International, Inc. Term Loan B | 7.265% (1 Mo. LIBOR + 5.50% | ) | 2/8/2026 | 7,699 | 7,776,303 | |||||||
UFC Holdings, LLC 2019 Term Loan | 4.96% (1 Mo. LIBOR + 3.25% | ) | 4/29/2026 | 6,986 | 7,028,851 | |||||||
Total | 39,326,236 | |||||||||||
Gas Distribution 0.18% | ||||||||||||
Lower Cadence Holdings LLC Term Loan B | 5.702% (1 Mo. LIBOR + 4.00% | ) | 5/22/2026 | 10,140 | 9,628,944 | |||||||
Medallion Midland Acquisition, LLC 1st Lien Term Loan | – | (f) | 10/30/2024 | 3,196 | 3,025,092 | |||||||
Total | 12,654,036 | |||||||||||
Health Services 0.53% | ||||||||||||
Parexel International Corporation Term Loan B | – | (f) | 9/27/2024 | 12,423 | 12,034,821 | |||||||
Emerald TopCo Inc Term Loan | 5.202% (1 Mo. LIBOR + 3.50% | ) | 7/24/2026 | 7,338 | 7,318,334 | |||||||
Navicure, Inc. 2019 Term Loan B | 5.702% (3 Mo. LIBOR + 4.00% | ) | 10/22/2026 | 8,784 | 8,775,689 |
162 | See Notes to Financial Statements. |
Schedule of Investments (continued)
HIGH YIELD FUNDNovember 30, 2019
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Health Services (continued) | ||||||||||||
Sound Inpatient Physicians 2nd Lien Initial Term Loan | 8.452% (3 Mo. LIBOR + 6.75% | ) | 6/26/2026 | $ | 8,961 | $ | 8,972,714 | |||||
Total | 37,101,558 | |||||||||||
Integrated Energy 0.11% | ||||||||||||
Navitas Midstream Midland Basin, LLC Term Loan B | – | (f) | 12/13/2024 | 8,411 | 7,769,840 | |||||||
Investments & Miscellaneous Financial Services 0.10% | ||||||||||||
Minotaur Acquisition, Inc. Term Loan B | – | (f) | 3/27/2026 | 7,723 | 7,401,525 | |||||||
Machinery 0.06% | ||||||||||||
North American Lifting Holdings, Inc. 2nd Lien Term Loan | 11.104% (3 Mo. LIBOR + 9.00% | ) | 11/26/2021 | 7,323 | 4,430,415 | |||||||
Media: Content 0.15% | ||||||||||||
Univision Communications Inc. Term Loan C5 | 4.452% (1 Mo. LIBOR + 2.75% | ) | 3/15/2024 | 10,909 | 10,702,223 | |||||||
Oil Field Equipment & Services 0.18% | ||||||||||||
Ulterra Drilling Technologies, LP Term Loan B | 6.952% (1 Mo. LIBOR + 5.25% | ) | 11/26/2025 | 13,702 | 12,948,712 | (g) | ||||||
Packaging 0.14% | ||||||||||||
Proampac PG Borrower LLC 2016 1st Lien Term Loan | 5.336% (3 Mo. LIBOR + 3.50%) - 5.436% | 11/20/2023 | 10,518 | 10,120,879 | ||||||||
Personal & Household Products 0.29% | ||||||||||||
Britax U.S. Holdings, Inc. Initial Dollar Term Loan | 5.604% (3 Mo. LIBOR + 3.50% | ) | 10/15/2020 | 8,481 | 5,764,691 | |||||||
FGI Operating Company, LLC Exit Term Loan | 12.10% (3 Mo. LIBOR + 10.00% | ) | 5/15/2022 | 832 | 665,885 | (g) | ||||||
Revlon Consumer Products Corporation 2016 Term Loan B | 5.409% (3 Mo. LIBOR + 3.50% | ) | 9/7/2023 | 10,020 | 7,386,178 | |||||||
TGP Holdings III, LLC 2nd Lien Term Loan | 10.202% (3 Mo. LIBOR + 8.50% | ) | 9/25/2025 | 7,243 | 6,699,775 | (g) | ||||||
Total | 20,516,529 | |||||||||||
Printing & Publishing 0.10% | ||||||||||||
J.D. Power and Associates 2nd Lien Term Loan | 10.202% (1 Mo. LIBOR + 8.50% | ) | 9/7/2024 | 6,975 | 6,957,313 |
See Notes to Financial Statements. | 163 |
Schedule of Investments (continued)
HIGH YIELD FUNDNovember 30, 2019
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Recreation & Travel 0.13% | ||||||||||||
United PF Holdings, LLC 2019 Delayed Draw Term Loan | 6.202% (3 Mo. LIBOR + 4.50% | ) | 6/10/2026 | $ | 1,088 | $ | 1,087,027 | |||||
United PF Holdings, LLC 2019 Term Loan | 6.202% (3 Mo. LIBOR + 4.50% | ) | 6/10/2026 | 7,934 | 7,923,809 | |||||||
Total | 9,010,836 | |||||||||||
Restaurants 0.18% | ||||||||||||
Flynn Restaurant Group LP 1st Lien Term Loan | 5.202% (3 Mo. LIBOR + 3.50% | ) | 6/27/2025 | 6,922 | 6,572,394 | |||||||
Flynn Restaurant Group LP 2nd Lien Term Loan | 8.758% (3 Mo. LIBOR + 7.00% | ) | 6/29/2026 | 6,747 | 6,207,240 | (g) | ||||||
Total | 12,779,634 | |||||||||||
Software/Services 0.40% | ||||||||||||
Ancestry.com Operations, Inc. 2019 Extended Term Loan B | – | (f) | 8/27/2026 | 3,079 | 2,971,512 | |||||||
Optiv Security, Inc. 1st Lien Initial Term Loan | – | (f) | 2/1/2024 | 3,160 | 2,617,168 | |||||||
Project Boost Purchaser, LLC 2019 Term Loan B | – | (f) | 6/1/2026 | 7,928 | 7,865,548 | |||||||
Titan AcquisitionCo New Zealand Limited Term Loan (New Zealand)(c) | 6.354% (3 Mo. LIBOR + 4.25% | ) | 5/1/2026 | 7,607 | 7,648,127 | |||||||
Vertafore, Inc. 2018 2nd Lien Term Loan | 8.952% (1 Mo. LIBOR + 7.25% | ) | 7/2/2026 | 7,343 | 7,177,750 | |||||||
Total | 28,280,105 | |||||||||||
Specialty Retail 0.37% | ||||||||||||
Claire’s Stores, Inc. 2018 Term Loan | 9.188% (6 Mo. LIBOR + 7.25% | ) | 10/12/2038 | 905 | 1,628,244 | (g) | ||||||
Mavis Tire Express Services Corp. 2018 1st Lien Term Loan | 5.00% (1 Mo. LIBOR + 3.30% | ) | 3/20/2025 | 9,642 | 9,139,508 | |||||||
Mavis Tire Express Services Corp. 2018 Delayed Draw Term Loan | 3.00% | 3/20/2025 | 1,226 | 1,162,520 | ||||||||
PetSmart, Inc. Consenting Term Loan | – | (f) | 3/11/2022 | 14,544 | 14,192,644 | |||||||
Total | 26,122,916 | |||||||||||
Support: Services 0.77% | ||||||||||||
DG Investment Intermediate Holdings 2, Inc. 2018 1st Lien Term Loan | 4.702% (3 Mo. LIBOR + 3.00% | ) | 2/3/2025 | 10,549 | 10,413,083 | |||||||
Drive Chassis HoldCo, LLC 2019 2nd Lien Term Loan | 10.26% (3 Mo. LIBOR + 8.25% | ) | 4/10/2026 | 17,104 | 15,564,640 | (g) | ||||||
KUEHG Corp. 2017 2nd Lien Term Loan | 10.354% (3 Mo. LIBOR + 8.25% | ) | 8/18/2025 | 7,108 | 7,097,338 | |||||||
Learning Care Group, Inc. 2018 1st Lien Term Loan | 5.19% (3 Mo. LIBOR + 3.25% | ) | 3/13/2025 | 6,865 | 6,845,288 |
164 | See Notes to Financial Statements. |
Schedule of Investments (continued)
HIGH YIELD FUNDNovember 30, 2019
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Support: Services (continued) | ||||||||||||
MHI Holdings,LLC Term Loan B | 6.702% (1 Mo. LIBOR + 5.00% | ) | 9/21/2026 | $ | 9,479 | $ | 9,497,190 | |||||
PowerTeam Services, LLC 2018 2nd Lien Term Loan | 9.354% (3 Mo. LIBOR + 7.25% | ) | 3/6/2026 | 6,954 | 5,041,650 | |||||||
Total | 54,459,189 | |||||||||||
Telecommunications: Satellite 0.12% | ||||||||||||
Iridium Satellite LLC Term Loan (France)(c) | 5.452% (1 Mo. LIBOR + 3.75% | ) | 11/4/2026 | 8,153 | 8,243,282 | |||||||
Transportation: Infrastructure/Services 0.07% | ||||||||||||
Commercial Barge Line Company 2015 1st Lien Term Loan | 10.677% (3 Mo. LIBOR + 8.75% | ) | 11/12/2020 | 9,144 | 4,718,961 | |||||||
Total Floating Rate Loans (cost $528,963,468) | 500,477,762 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS(c)0.59% | ||||||||||||
Argentina 0.50% | ||||||||||||
Ciudad Autonoma De Buenos Aires† | 7.50% | 6/1/2027 | 8,718 | 6,900,384 | ||||||||
Province of Santa Fe† | 6.90% | 11/1/2027 | 10,002 | 7,151,530 | ||||||||
Provincia de Cordoba† | 7.45% | 9/1/2024 | 10,982 | 7,099,973 | ||||||||
Provincia de Mendoza† | 8.375% | 5/19/2024 | 10,607 | 7,053,655 | ||||||||
Provincia of Neuquen† | 7.50% | 4/27/2025 | 9,987 | 6,915,998 | ||||||||
Total | 35,121,540 | |||||||||||
United Arab Emirates 0.09% | ||||||||||||
Ukraine Government† | 7.375% | 9/25/2032 | 6,600 | 6,734,191 | ||||||||
Total Foreign Government Obligations(cost $50,393,837) | 41,855,731 | |||||||||||
HIGH YIELD CORPORATE BONDS 87.68% | ||||||||||||
Advertising 0.14% | ||||||||||||
Clear Channel Worldwide Holdings, Inc.† | 9.25% | 2/15/2024 | 8,738 | 9,647,189 | ||||||||
Aerospace/Defense 1.92% | ||||||||||||
Arconic, Inc. | 6.75% | 1/15/2028 | 12,501 | 14,512,411 | ||||||||
BBA US Holdings, Inc.† | 4.00% | 3/1/2028 | 16,409 | 16,557,502 | ||||||||
BBA US Holdings, Inc.† | 5.375% | 5/1/2026 | 6,546 | 6,898,191 | ||||||||
Booz Allen Hamilton, Inc.† | 5.125% | 5/1/2025 | 13,038 | 13,516,038 | ||||||||
Kratos Defense & Security Solutions, Inc.† | 6.50% | 11/30/2025 | 9,646 | 10,252,878 | ||||||||
TransDigm, Inc.† | 6.25% | 3/15/2026 | 21,356 | 22,971,026 | ||||||||
TransDigm, Inc. | 6.375% | 6/15/2026 | 37,928 | 39,948,899 | ||||||||
Triumph Group, Inc.† | 6.25% | 9/15/2024 | 3,036 | 3,195,360 |
See Notes to Financial Statements. | 165 |
Schedule of Investments (continued)
HIGH YIELD FUNDNovember 30, 2019
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Aerospace/Defense (continued) | ||||||||||||
Triumph Group, Inc. | 7.75% | 8/15/2025 | $ | 6,937 | $ | 7,234,701 | ||||||
Total | 135,087,006 | |||||||||||
Air Transportation 0.69% | ||||||||||||
Azul Investments LLP† | 5.875% | 10/26/2024 | 13,658 | 13,859,660 | ||||||||
Hawaiian Airlines 2013-1 Class B Pass-Through Certificates | 4.95% | 7/15/2023 | 8,036 | 8,175,426 | ||||||||
Latam Finance Ltd.† | 7.00% | 3/1/2026 | 6,832 | 7,264,961 | ||||||||
TAP-Transportes Aereos Portugueses SGPS SA†(a)(b) | 5.625% | 12/2/2024 | EUR | 7,800 | 8,538,391 | |||||||
United Airlines Holdings, Inc. | 4.875% | 1/15/2025 | $ | 10,382 | 10,983,274 | |||||||
Total | 48,821,712 | |||||||||||
Auto Loans 0.57% | ||||||||||||
Ford Motor Credit Co. LLC | 4.542% | 8/1/2026 | 17,243 | 17,344,536 | ||||||||
Mclaren Finance plc(b) | 5.00% | 8/1/2022 | GBP | 18,309 | 22,846,422 | |||||||
Total | 40,190,958 | |||||||||||
Auto Parts & Equipment 1.91% | ||||||||||||
Adient Global Holdings Ltd.† | 4.875% | 8/15/2026 | $ | 8,592 | 7,346,375 | |||||||
Adient US LLC† | 7.00% | 5/15/2026 | 13,063 | 13,989,506 | ||||||||
Allison Transmission, Inc.† | 5.00% | 10/1/2024 | 6,534 | 6,705,452 | ||||||||
American Axle & Manufacturing, Inc. | 6.50% | 4/1/2027 | 11,912 | 12,001,638 | ||||||||
Delphi Technologies plc (United Kingdom)†(c) | 5.00% | 10/1/2025 | 23,459 | 20,526,625 | ||||||||
Garrett LX I Sarl/Garrett Borrowing LLC†(b) | 5.125% | 10/15/2026 | EUR | 9,427 | 10,282,799 | |||||||
IAA, Inc.† | 5.50% | 6/15/2027 | $ | 10,474 | 11,038,837 | |||||||
IHO Verwaltungs GmbH PIK 5.50% (Germany)†(c) | 4.75% | 9/15/2026 | 13,436 | 13,672,843 | ||||||||
Panther BF Aggregator 2 LP/ Panther Finance Co., Inc.(b) | 4.375% | 5/15/2026 | EUR | 6,088 | 7,000,818 | |||||||
Panther BF Aggregator 2 LP/Panther Finance Co., Inc.† | 8.50% | 5/15/2027 | $ | 16,858 | 17,258,799 | |||||||
Tenneco, Inc. | 5.00% | 7/15/2026 | 8,600 | 7,398,365 | ||||||||
Wabash National Corp.† | 5.50% | 10/1/2025 | 7,816 | 7,760,624 | ||||||||
Total | 134,982,681 | |||||||||||
Automakers 1.00% | ||||||||||||
Aston Martin Capital Holdings Ltd. (Jersey)†(c) | 6.50% | 4/15/2022 | 13,985 | 12,760,949 | ||||||||
General Motors Corp. | 7.20% | 1/15/2049 | 8,500 | 850 | (k) | |||||||
Mclaren Finance plc. (United Kingdom)†(c) | 5.75% | 8/1/2022 | 3,498 | 3,376,619 | ||||||||
Navistar International Corp.† | 6.625% | 11/1/2025 | 6,506 | 6,717,445 | ||||||||
Tesla, Inc.† | 5.30% | 8/15/2025 | 49,378 | 47,464,109 | ||||||||
Total | 70,319,972 |
166 | See Notes to Financial Statements. |
Schedule of Investments (continued)
HIGH YIELD FUNDNovember 30, 2019
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Banking 3.28% | ||||||||||||
Ally Financial, Inc. | 8.00% | 11/1/2031 | $ | 40,402 | $ | 55,806,272 | ||||||
BankUnited, Inc. | 4.875% | 11/17/2025 | 12,909 | 14,132,275 | ||||||||
CIT Group, Inc. | 5.25% | 3/7/2025 | 6,005 | 6,620,452 | ||||||||
CIT Group, Inc. | 6.125% | 3/9/2028 | 21,067 | 24,813,713 | ||||||||
Credit Suisse Group AG (Switzerland)†(c) | 7.25% (5 Yr. Swap rate + 4.332% | )# | – | (h) | 10,437 | 11,567,901 | ||||||
Huntington Bancshares, Inc. | 5.70% (3 Mo. LIBOR + 2.88% | )# | – | (h) | 10,524 | 10,899,865 | ||||||
Intesa Sanpaolo SpA (Italy)†(c) | 5.017% | 6/26/2024 | 11,556 | 12,025,966 | ||||||||
Intesa Sanpaolo SpA (Italy)†(c) | 5.71% | 1/15/2026 | 28,488 | 30,421,244 | ||||||||
Macquarie Bank Ltd. (United Kingdom)†(c) | 6.125% (5 Yr. Swap rate + 3.703% | )# | – | (h) | 17,019 | 17,587,435 | ||||||
Popular, Inc. | 6.125% | 9/14/2023 | 15,457 | 16,622,690 | ||||||||
Synovus Financial Corp. | 5.90% (5 Yr. Swap rate + 3.379% | )# | 2/7/2029 | 18,351 | 19,636,029 | |||||||
Texas Capital Bank NA | 5.25% | 1/31/2026 | 10,952 | 11,531,224 | ||||||||
Washington Mutual Bank(i) | 6.875% | 6/15/2011 | 10,000 | 1,000 | (k) | |||||||
Total | 231,666,066 | |||||||||||
Beverages 0.35% | ||||||||||||
Bacardi Ltd.† | 5.30% | 5/15/2048 | 14,691 | 16,783,069 | ||||||||
Central American Bottling Corp. (Guatemala)†(c) | 5.75% | 1/31/2027 | 7,306 | 7,687,026 | ||||||||
Total | 24,470,095 | |||||||||||
Building & Construction 3.18% | ||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co.† | 6.75% | 8/1/2025 | 17,058 | 17,342,272 | ||||||||
Beazer Homes USA, Inc.† | 7.25% | 10/15/2029 | 11,818 | 12,497,830 | ||||||||
Century Communities, Inc. | 5.875% | 7/15/2025 | 16,932 | 17,492,873 | ||||||||
Century Communities, Inc.† | 6.75% | 6/1/2027 | 10,804 | 11,477,332 | ||||||||
KB Home | 4.80% | 11/15/2029 | 6,944 | 7,048,160 | ||||||||
Lennar Corp. | 4.75% | 5/30/2025 | 20,007 | 21,538,336 | ||||||||
LGI Homes, Inc.† | 6.875% | 7/15/2026 | 13,250 | 13,718,354 | ||||||||
Miller Homes Group Holdings plc(b) | 5.50% | 10/15/2024 | GBP | 5,350 | 7,201,721 | |||||||
PulteGroup, Inc. | 5.00% | 1/15/2027 | $ | 24,291 | 26,533,606 | |||||||
PulteGroup, Inc. | 6.375% | 5/15/2033 | 8,068 | 9,384,871 | ||||||||
Shea Homes LP/Shea Homes Funding Corp.† | 6.125% | 4/1/2025 | 13,483 | 13,994,208 | ||||||||
Toll Brothers Finance Corp. | 4.35% | 2/15/2028 | 13,448 | 13,998,998 | ||||||||
Toll Brothers Finance Corp. | 4.875% | 3/15/2027 | 12,422 | 13,482,187 | ||||||||
TRI Pointe Group, Inc. | 5.25% | 6/1/2027 | 17,687 | 18,400,626 | ||||||||
Weekley Homes LLC / Weekley Finance Corp. | 6.00% | 2/1/2023 | 4,869 | 4,895,366 | ||||||||
William Lyon Homes, Inc.† | 6.625% | 7/15/2027 | 14,528 | 15,586,328 | ||||||||
Total | 224,593,068 |
See Notes to Financial Statements. | 167 |
Schedule of Investments (continued)
HIGH YIELD FUNDNovember 30, 2019
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Building Materials 2.53% | ||||||||||||
American Woodmark Corp.† | 4.875% | 3/15/2026 | $ | 10,714 | $ | 10,924,557 | ||||||
Core & Main Holdings LP PIK 9.8%† | 8.625% | 9/15/2024 | 14,011 | 14,507,200 | ||||||||
Cornerstone Building Brands, Inc.† | 8.00% | 4/15/2026 | 7,499 | 7,630,420 | ||||||||
Hillman Group, Inc. (The)† | 6.375% | 7/15/2022 | 11,479 | 10,592,959 | ||||||||
Installed Building Products, Inc.† | 5.75% | 2/1/2028 | 8,443 | 8,878,638 | ||||||||
Masonite International Corp.† | 5.375% | 2/1/2028 | 10,637 | 11,286,628 | ||||||||
Masonite International Corp.† | 5.75% | 9/15/2026 | 10,191 | 10,831,479 | ||||||||
New Enterprise Stone & Lime Co., Inc.† | 6.25% | 3/15/2026 | 7,249 | 7,613,969 | ||||||||
Owens Corning, Inc. | 4.30% | 7/15/2047 | 10,610 | 10,074,556 | ||||||||
Owens Corning, Inc. | 4.40% | 1/30/2048 | 7,188 | 6,817,285 | ||||||||
Patrick Industries, Inc.† | 7.50% | 10/15/2027 | 15,428 | 16,309,749 | ||||||||
PGT Escrow Issuer, Inc.† | 6.75% | 8/1/2026 | 15,183 | 16,156,192 | ||||||||
SRS Distribution, Inc.† | 8.25% | 7/1/2026 | 6,929 | 7,087,310 | ||||||||
Summit Materials LLC/Summit Materials Finance Corp.† | 5.125% | 6/1/2025 | 16,203 | 16,614,799 | ||||||||
Summit Materials LLC/Summit Materials Finance Corp.† | 6.50% | 3/15/2027 | 9,052 | 9,688,786 | ||||||||
TopBuild Corp.† | 5.625% | 5/1/2026 | 12,767 | 13,345,951 | ||||||||
Total | 178,360,478 | |||||||||||
Cable & Satellite Television 6.02% | ||||||||||||
Altice France SA (France)†(c) | 8.125% | 2/1/2027 | 27,219 | 30,213,770 | ||||||||
Altice Luxembourg SA (Luxembourg)†(c) | 10.50% | 5/15/2027 | 10,467 | 11,896,007 | ||||||||
CCO Holdings LLC/ CCO Holdings Capital Corp.† | 4.75% | 3/1/2030 | 13,882 | 14,298,807 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.00% | 2/1/2028 | 7,000 | 7,385,175 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.125% | 5/1/2027 | 47,113 | 50,058,740 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.75% | 2/15/2026 | 32,863 | 34,786,554 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.875% | 5/1/2027 | 43,628 | 46,565,146 | ||||||||
CSC Holdings LLC† | 5.50% | 4/15/2027 | 29,380 | 31,321,210 | ||||||||
CSC Holdings LLC† | 5.75% | 1/15/2030 | 6,638 | 7,011,388 | ||||||||
CSC Holdings LLC† | 6.50% | 2/1/2029 | 6,220 | 6,949,513 | ||||||||
CSC Holdings LLC† | 10.875% | 10/15/2025 | 22,447 | 25,294,963 | ||||||||
DISH DBS Corp. | 7.75% | 7/1/2026 | 83,565 | 86,749,871 | ||||||||
LCPR Senior Secured Financing DAC (Ireland)†(c) | 6.75% | 10/15/2027 | 13,785 | 14,250,244 | ||||||||
Radiate Holdco LLC/Radiate Finance, Inc.† | 6.625% | 2/15/2025 | 7,081 | 7,172,451 | ||||||||
Virgin Media Secured Finance plc(b) | 4.875% | 1/15/2027 | GBP | 7,656 | 10,146,911 | |||||||
Virgin Media Secured Finance plc (United Kingdom)†(c) | 5.50% | 5/15/2029 | $ | 15,107 | 15,900,495 | |||||||
Ziggo BV (Netherlands)†(c) | 5.50% | 1/15/2027 | 23,355 | 24,782,516 | ||||||||
Total | 424,783,761 |
168 | See Notes to Financial Statements. |
Schedule of Investments (continued)
HIGH YIELD FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Chemicals 2.47% | ||||||||||||
Ashland LLC | 6.875% | 5/15/2043 | $ | 15,374 | $ | 17,579,170 | ||||||
Blue Cube Spinco LLC | 10.00% | 10/15/2025 | 8,884 | 9,927,781 | ||||||||
CF Industries, Inc. | 4.95% | 6/1/2043 | 3,851 | 3,938,033 | ||||||||
CF Industries, Inc. | 5.15% | 3/15/2034 | 24,328 | 26,574,022 | ||||||||
GCP Applied Technologies, Inc.† | 5.50% | 4/15/2026 | 6,832 | 7,056,414 | ||||||||
Ingevity Corp.† | 4.50% | 2/1/2026 | 18,205 | 18,393,376 | ||||||||
Koppers, Inc.† | 6.00% | 2/15/2025 | 10,930 | 11,093,841 | ||||||||
OCI NV (Netherlands)†(c) | 6.625% | 4/15/2023 | 8,463 | 8,852,298 | ||||||||
SPCM SA (France)†(c) | 4.875% | 9/15/2025 | 9,381 | 9,709,241 | ||||||||
Starfruit Finco BV/Starfruit US Holdco LLC (Netherlands)†(c) | 8.00% | 10/1/2026 | 13,633 | 14,212,743 | ||||||||
Trinseo Materials Operating SCA / Trinseo Materials Finance, Inc. (Luxembourg)†(c) | 5.375% | 9/1/2025 | 14,436 | 14,490,568 | ||||||||
Tronox, Inc.† | 6.50% | 4/15/2026 | 7,125 | 7,196,428 | ||||||||
Univar Solutions USA, Inc.† | 5.125% | 12/1/2027 | 7,024 | 7,201,005 | ||||||||
Yingde Gases Investment Ltd. (Hong Kong)†(c) | 6.25% | 1/19/2023 | 17,469 | 18,028,226 | ||||||||
Total | 174,253,146 | |||||||||||
Consumer/Commercial/Lease Financing 2.55% | ||||||||||||
AerCap Ireland Capital DAC/AerCap GlobalAviation Trust (Ireland)(c) | 3.65% | 7/21/2027 | 6,589 | 6,793,629 | ||||||||
AerCap Ireland Capital DAC/AerCap GlobalAviation Trust (Ireland)(c) | 4.45% | 4/3/2026 | 6,201 | 6,672,884 | ||||||||
Freedom Mortgage Corp.† | 8.25% | 4/15/2025 | 8,282 | 8,240,507 | ||||||||
Ladder Capital Finance Holdings LLLP/LadderCapital Finance Corp.† | 5.25% | 10/1/2025 | 11,070 | 11,268,319 | ||||||||
Navient Corp. | 6.125% | 3/25/2024 | 24,659 | 26,384,883 | ||||||||
Navient Corp. | 6.75% | 6/25/2025 | 27,777 | 30,068,603 | ||||||||
Navient Corp. | 6.75% | 6/15/2026 | 17,522 | 18,794,185 | ||||||||
Provident Funding Associates LP/PFG Finance Corp.† | 6.375% | 6/15/2025 | 11,558 | 11,414,854 | ||||||||
Quicken Loans, Inc.† | 5.25% | 1/15/2028 | 7,174 | 7,502,408 | ||||||||
Springleaf Finance Corp. | 5.375% | 11/15/2029 | 10,458 | 10,797,885 | ||||||||
Springleaf Finance Corp. | 6.125% | 3/15/2024 | 31,595 | 34,675,513 | ||||||||
Springleaf Finance Corp. | 7.125% | 3/15/2026 | 6,089 | 7,028,989 | ||||||||
Total | 179,642,659 | |||||||||||
Diversified Capital Goods 2.09% | ||||||||||||
Amsted Industries, Inc.† | 5.625% | 7/1/2027 | 7,147 | 7,560,436 | ||||||||
BCD Acquisition, Inc.† | 9.625% | 9/15/2023 | 9,034 | 9,161,922 | ||||||||
General Electric Co. | 5.00% (3 Mo. LIBOR + 3.33% | )# | – | (h) | 45,184 | 44,268,120 |
See Notes to Financial Statements. | 169 |
Schedule of Investments (continued)
HIGH YIELD FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Diversified Capital Goods (continued) | ||||||||||||
Granite Holdings US Acquisition Co.† | 11.00% | 10/1/2027 | $ | 11,276 | $ | 10,518,788 | ||||||
Griffon Corp. | 5.25% | 3/1/2022 | 6,735 | 6,808,769 | ||||||||
JB Poindexter & Co., Inc.† | 7.125% | 4/15/2026 | 9,888 | 10,341,340 | ||||||||
MTS Systems Corp.† | 5.75% | 8/15/2027 | 6,818 | 7,127,179 | ||||||||
Pentair Finance Sarl (Luxembourg)(c) | 4.50% | 7/1/2029 | 8,846 | 9,288,570 | ||||||||
SPX FLOW, Inc.† | 5.625% | 8/15/2024 | 10,220 | 10,684,141 | ||||||||
SPX FLOW, Inc.† | 5.875% | 8/15/2026 | 7,252 | 7,644,315 | ||||||||
Stevens Holding Co., Inc.† | 6.125% | 10/1/2026 | 9,679 | 10,505,079 | ||||||||
Westinghouse Air Brake Technologies Corp. | 3.45% | 11/15/2026 | 13,419 | 13,549,713 | ||||||||
Total | 147,458,372 | |||||||||||
Electric: Distribution/Transportation 0.21% | ||||||||||||
Cemig Geracao e Transmissao SA (Brazil)†(c) | 9.25% | 12/5/2024 | 12,618 | 14,626,344 | ||||||||
Electric: Generation 2.12% | ||||||||||||
AES Gener SA (Chile)†(c) | 6.35% (5 Yr Treasury Constant Maturity Rate + 4.92% | )# | 10/7/2079 | 6,868 | 6,868,069 | |||||||
Azure Power Solar Energy Pvt Ltd. (Mauritius)†(c) | 5.65% | 12/24/2024 | 7,017 | 7,116,641 | ||||||||
Calpine Corp. | 5.75% | 1/15/2025 | 36,607 | 37,247,622 | ||||||||
Clearway Energy Operating LLC | 5.00% | 9/15/2026 | 6,200 | 6,434,655 | ||||||||
Clearway Energy Operating LLC | 5.75% | 10/15/2025 | 4,490 | 4,725,680 | ||||||||
Elwood Energy LLC | 8.159% | 7/5/2026 | 6,617 | 7,112,811 | ||||||||
Greenko Solar Mauritius Ltd. (Mauritius)†(c) | 5.95% | 7/29/2026 | 10,342 | 10,450,960 | ||||||||
NextEra Energy Operating Partners LP† | 4.50% | 9/15/2027 | 12,492 | 12,770,853 | ||||||||
NRG Energy, Inc. | 5.75% | 1/15/2028 | 23,119 | 25,026,895 | ||||||||
NSG Holdings LLC/NSG Holdings, Inc.† | 7.75% | 12/15/2025 | 7,497 | 8,156,503 | ||||||||
Terraform Global Operating LLC† | 6.125% | 3/1/2026 | 6,836 | 7,128,906 | ||||||||
TerraForm Power Operating LLC† | 4.75% | 1/15/2030 | 12,069 | 12,159,216 | ||||||||
TerraForm Power Operating LLC† | 5.00% | 1/31/2028 | 4,179 | 4,353,275 | ||||||||
Total | 149,552,086 | |||||||||||
Electric: Integrated 1.44% | ||||||||||||
Aegea Finance Sarl (Brazil)†(c) | 5.75% | 10/10/2024 | 12,075 | 12,744,136 | ||||||||
AES Corp. (The) | 4.50% | 3/15/2023 | 9,872 | 10,143,381 | ||||||||
AES Corp. (The) | 5.125% | 9/1/2027 | 7,415 | 7,942,003 | ||||||||
DPL, Inc.† | 4.35% | 4/15/2029 | 7,716 | 7,230,357 | ||||||||
Electricite de France SA (France)†(c) | 5.625% (10 Yr. Swap rate + 3.041% | )# | – | (h) | 10,368 | 10,893,813 | ||||||
HAT Holdings I LLC/HAT Holdings II LLC† | 5.25% | 7/15/2024 | 11,605 | 12,286,678 | ||||||||
Mong Duong Finance Holdings BV (Vietnam)†(c) | 5.125% | 5/7/2029 | 10,399 | 10,653,012 |
170 | See Notes to Financial Statements. |
Schedule of Investments (continued)
HIGH YIELD FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Integrated (continued) | ||||||||||||
NRG Energy, Inc.† | 5.25% | 6/15/2029 | $ | 4,894 | $ | 5,256,756 | ||||||
Pacific Gas & Electric Co.(i) | 6.05% | 3/1/2034 | 16,909 | 17,881,690 | ||||||||
YPF Energia Electrica SA (Argentina)†(c) | 10.00% | 7/25/2026 | 8,883 | 6,838,777 | ||||||||
Total | 101,870,603 | |||||||||||
Electronics 0.56% | ||||||||||||
Micron Technology, Inc. | 5.327% | 2/6/2029 | 13,302 | 14,909,433 | ||||||||
Qorvo, Inc.† | 4.375% | 10/15/2029 | 9,396 | 9,566,303 | ||||||||
Sensata Technologies BV† | 5.625% | 11/1/2024 | 13,449 | 14,833,104 | ||||||||
Total | 39,308,840 | |||||||||||
Energy: Exploration & Production 7.13% | ||||||||||||
Afren plc (United Kingdom)†(c)(i) | 6.625% | 12/9/2020 | 4,806 | 23,549 | ||||||||
Afren plc (United Kingdom)†(c)(i) | 10.25% | 4/8/2019 | 3,367 | 28,347 | ||||||||
Afren plc (United Kingdom)†(c)(i) | 11.50% | 2/1/2016 | 4,294 | 36,153 | ||||||||
American Energy- Permian Basin LLC† | 12.00% | 10/1/2024 | 3,919 | 2,449,375 | ||||||||
Berry Petroleum Co. LLC† | 7.00% | 2/15/2026 | 16,160 | 14,013,184 | ||||||||
Callon Petroleum Co. | 6.125% | 10/1/2024 | 15,017 | 14,303,692 | ||||||||
Callon Petroleum Co. | 6.375% | 7/1/2026 | 14,252 | 13,330,573 | ||||||||
Carrizo Oil & Gas, Inc. | 8.25% | 7/15/2025 | 12,101 | 11,894,254 | ||||||||
Centennial Resource Production LLC† | 5.375% | 1/15/2026 | 14,534 | 13,667,011 | ||||||||
Centennial Resource Production LLC† | 6.875% | 4/1/2027 | 10,799 | 10,555,294 | ||||||||
Chaparral Energy, Inc.† | 8.75% | 7/15/2023 | 17,156 | 6,918,157 | ||||||||
Endeavor Energy Resources LP/EER Finance, Inc.† | 5.50% | 1/30/2026 | 6,790 | 6,958,545 | ||||||||
Endeavor Energy Resources LP/EER Finance, Inc.† | 5.75% | 1/30/2028 | 7,757 | 8,136,957 | ||||||||
Extraction Oil & Gas, Inc.† | 7.375% | 5/15/2024 | 4,207 | 1,915,931 | ||||||||
Geopark Ltd. (Chile)†(c) | 6.50% | 9/21/2024 | 7,365 | 7,515,356 | ||||||||
HighPoint Operating Corp. | 7.00% | 10/15/2022 | 7,112 | 6,509,699 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 5.00% | 12/1/2024 | 10,206 | 9,117,071 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 5.75% | 10/1/2025 | 9,092 | 7,924,451 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 6.25% | 11/1/2028 | 8,481 | 7,158,621 | ||||||||
Indigo Natural Resources LLC† | 6.875% | 2/15/2026 | 11,489 | 10,455,277 | ||||||||
Jagged Peak Energy LLC | 5.875% | 5/1/2026 | 21,396 | 21,666,178 | ||||||||
Jonah Energy LLC/Jonah Energy Finance Corp.† | 7.25% | 10/15/2025 | 17,530 | 5,127,525 | ||||||||
Laredo Petroleum, Inc. | 5.625% | 1/15/2022 | 11,465 | 10,586,987 | ||||||||
Magnolia Oil & Gas Operating LLC/MagnoliaOil & Gas Finance Corp.† | 6.00% | 8/1/2026 | 20,688 | 20,617,609 | ||||||||
MEG Energy Corp. (Canada)†(c) | 6.50% | 1/15/2025 | 10,899 | 11,355,995 | ||||||||
MEG Energy Corp. (Canada)†(c) | 7.00% | 3/31/2024 | 38,154 | 37,510,151 | ||||||||
Murphy Oil Corp. | 5.875% | 12/1/2027 | 15,515 | 15,615,227 |
See Notes to Financial Statements. | 171 |
Schedule of Investments (continued)
HIGH YIELD FUNDNovember 30, 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 | $ | 7,101,629 | ||||||
Oasis Petroleum, Inc.† | 6.25% | 5/1/2026 | 21,787 | 15,687,185 | ||||||||
Oasis Petroleum, Inc. | 6.875% | 3/15/2022 | 7,593 | 7,113,692 | ||||||||
Parsley Energy LLC/Parsley Finance Corp.† | 5.625% | 10/15/2027 | 14,115 | 14,627,022 | ||||||||
PDC Energy, Inc. | 6.125% | 9/15/2024 | 9,402 | 9,382,397 | ||||||||
PTTEP Treasury Center Co. Ltd. (Thailand)†(a)(c) | 3.903% | 12/6/2059 | 5,386 | 5,346,144 | ||||||||
QEP Resources, Inc. | 5.25% | 5/1/2023 | 12,858 | 12,247,245 | ||||||||
QEP Resources, Inc. | 5.625% | 3/1/2026 | 7,453 | 6,782,044 | ||||||||
Range Resources Corp. | 4.875% | 5/15/2025 | 12,453 | 10,180,328 | ||||||||
Range Resources Corp. | 5.00% | 8/15/2022 | 7,488 | 7,113,600 | ||||||||
SM Energy Co. | 6.625% | 1/15/2027 | 20,528 | 18,728,156 | ||||||||
SM Energy Co. | 6.75% | 9/15/2026 | 20,035 | 18,288,900 | ||||||||
Southwestern Energy Co. | 6.20% | 1/23/2025 | 7,428 | 6,481,004 | ||||||||
Southwestern Energy Co. | 7.75% | 10/1/2027 | 7,547 | 6,575,512 | ||||||||
SRC Energy, Inc. | 6.25% | 12/1/2025 | 17,458 | 17,108,665 | ||||||||
Tapstone Energy LLC/Tapstone Energy Finance Corp.† | 9.75% | 6/1/2022 | 17,808 | 4,630,080 | ||||||||
Tullow Oil plc (United Kingdom)†(c) | 7.00% | 3/1/2025 | 14,527 | 14,417,902 | ||||||||
Viper Energy Partners LP† | 5.375% | 11/1/2027 | 6,842 | 7,132,682 | ||||||||
W&T Offshore, Inc.† | 9.75% | 11/1/2023 | 10,969 | 10,118,793 | ||||||||
WPX Energy, Inc. | 5.25% | 9/15/2024 | 11,997 | 12,290,447 | ||||||||
WPX Energy, Inc. | 5.25% | 10/15/2027 | 7,710 | 7,729,082 | ||||||||
WPX Energy, Inc. | 5.75% | 6/1/2026 | 8,510 | 8,752,982 | ||||||||
Total | 503,226,660 | |||||||||||
Environmental 0.31% | ||||||||||||
Covanta Holding Corp. | 6.00% | 1/1/2027 | 7,393 | 7,765,219 | ||||||||
Waste Pro USA, Inc.† | 5.50% | 2/15/2026 | 13,669 | 14,144,989 | ||||||||
Total | 21,910,208 | |||||||||||
Food & Drug Retailers 0.09% | ||||||||||||
Fresh Market, Inc. (The)† | 9.75% | 5/1/2023 | 11,579 | 6,600,030 | ||||||||
Food: Wholesale 1.97% | ||||||||||||
Arcor SAIC (Argentina)†(c) | 6.00% | 7/6/2023 | 7,507 | 6,855,767 | ||||||||
BRF SA (Brazil)†(c) | 4.875% | 1/24/2030 | 11,042 | 11,014,395 | ||||||||
Chobani LLC/Chobani Finance Corp., Inc.† | 7.50% | 4/15/2025 | 17,678 | 16,793,923 | ||||||||
FAGE International SA/FAGE USA Dairy Industry, Inc. (Luxembourg)†(c) | 5.625% | 8/15/2026 | 15,536 | 13,599,399 | ||||||||
JBS USA LUX SA/JBS USA Finance, Inc.† | 6.75% | 2/15/2028 | 15,107 | 16,715,858 | ||||||||
Kernel Holding SA (Ukraine)†(c) | 8.75% | 1/31/2022 | 7,296 | 7,737,466 |
172 | See Notes to Financial Statements. |
Schedule of Investments (continued)
HIGH YIELD FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Food: Wholesale (continued) | ||||||||||||
Lamb Weston Holdings, Inc.† | 4.625% | 11/1/2024 | $ | 5,098 | $ | 5,397,457 | ||||||
Lamb Weston Holdings, Inc.† | 4.875% | 11/1/2026 | 12,043 | 12,763,442 | ||||||||
MHP Lux SA (Luxembourg)†(c) | 6.95% | 4/3/2026 | 7,807 | 8,022,629 | ||||||||
Minerva Luxembourg SA (Luxembourg)†(c) | 5.875% | 1/19/2028 | 13,746 | 13,974,149 | ||||||||
Performance Food Group, Inc.† | 5.50% | 6/1/2024 | 6,640 | 6,825,356 | ||||||||
Performance Food Group, Inc.† | 5.50% | 10/15/2027 | 5,071 | 5,400,742 | ||||||||
Post Holdings, Inc.† | 5.50% | 3/1/2025 | 6,607 | 6,945,543 | ||||||||
Simmons Foods, Inc.† | 7.75% | 1/15/2024 | 6,368 | 6,864,163 | ||||||||
Tonon Luxembourg SA PIK 6.50% (Luxembourg)†(c) | 6.50% | 10/31/2024 | 1,574 | 125,884 | ||||||||
Total | 139,036,173 | |||||||||||
Forestry/Paper 0.37% | ||||||||||||
Enviva Partners LP/Enviva Partners Finance Corp.†(a) | 6.50% | 1/15/2026 | 10,582 | 11,023,269 | ||||||||
Louisiana-Pacific Corp. | 4.875% | 9/15/2024 | 7,644 | 7,914,712 | ||||||||
Norbord, Inc. (Canada)†(c) | 6.25% | 4/15/2023 | 6,409 | 6,852,279 | ||||||||
Total | 25,790,260 | |||||||||||
Gaming 3.00% | ||||||||||||
Boyd Gaming Corp. | 6.00% | 8/15/2026 | 10,259 | 10,955,047 | ||||||||
Boyd Gaming Corp.†(a) | 4.75% | 12/1/2027 | 7,314 | 7,406,376 | ||||||||
Buena Vista Gaming Authority† | 13.00% | 4/1/2023 | 12,631 | 12,983,594 | ||||||||
Churchill Downs, Inc.† | 4.75% | 1/15/2028 | 13,218 | 13,711,329 | ||||||||
Enterprise Development Authority (The)† | 12.00% | 7/15/2024 | 12,367 | 14,072,595 | ||||||||
Everi Payments, Inc.† | 7.50% | 12/15/2025 | 13,209 | 13,973,999 | ||||||||
Gateway Casinos & Entertainment Ltd. (Canada)†(c) | 8.25% | 3/1/2024 | 6,800 | 6,972,822 | ||||||||
Jacobs Entertainment, Inc.† | 7.875% | 2/1/2024 | 5,705 | 6,063,930 | ||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. | 5.625% | 5/1/2024 | 6,675 | 7,359,188 | ||||||||
MGM Resorts International | 4.625% | 9/1/2026 | 22,007 | 23,208,747 | ||||||||
Mohegan Gaming & Entertainment† | 7.875% | 10/15/2024 | 6,983 | 6,793,865 | ||||||||
Penn National Gaming, Inc.† | 5.625% | 1/15/2027 | 13,855 | 14,414,015 | ||||||||
Scientific Games International, Inc.† | 7.00% | 5/15/2028 | 10,290 | 10,753,050 | ||||||||
Scientific Games International, Inc.† | 7.25% | 11/15/2029 | 6,873 | 7,199,468 | ||||||||
Stars Group Holdings BV/Stars Group US Co-Borrower LLC (Netherlands)†(c) | 7.00% | 7/15/2026 | 6,677 | 7,226,667 | ||||||||
Station Casinos LLC† | 5.00% | 10/1/2025 | 6,918 | 7,039,065 | ||||||||
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp.† | 5.875% | 5/15/2025 | 6,952 | 6,920,125 | ||||||||
Twin River Worldwide Holdings, Inc.† | 6.75% | 6/1/2027 | 13,055 | 13,483,824 | ||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.† | 5.50% | 3/1/2025 | 9,791 | 10,464,033 |
See Notes to Financial Statements. | 173 |
Schedule of Investments (continued)
HIGH YIELD FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Gaming (continued) | ||||||||||||
Wynn Macau Ltd. (Macau)†(c) | 5.50% | 10/1/2027 | $ | 10,297 | $ | 10,668,439 | ||||||
Total | 211,670,178 | |||||||||||
Gas Distribution 2.32% | ||||||||||||
Buckeye Partners LP | 3.95% | 12/1/2026 | 10,675 | 9,904,576 | ||||||||
Buckeye Partners LP | 4.125% | 12/1/2027 | 9,034 | 8,319,291 | ||||||||
Buckeye Partners LP | 6.375% (3 Mo. LIBOR + 4.02% | )# | 1/22/2078 | 9,253 | 6,948,402 | |||||||
Cheniere Corpus Christi Holdings LLC | 5.125% | 6/30/2027 | 12,823 | 14,079,846 | ||||||||
Cheniere Corpus Christi Holdings LLC | 5.875% | 3/31/2025 | 23,628 | 26,468,086 | ||||||||
Cheniere Corpus Christi Holdings LLC | 7.00% | 6/30/2024 | 5,664 | 6,512,694 | ||||||||
Cheniere Energy Partners LP† | 4.50% | 10/1/2029 | 17,930 | 18,070,302 | ||||||||
Holly Energy Partners LP/Holly Energy Finance Corp.† | 6.00% | 8/1/2024 | 7,202 | 7,544,743 | ||||||||
LBC Tank Terminals Holding Netherlands BV (Belgium)†(c) | 6.875% | 5/15/2023 | 7,105 | 7,181,983 | ||||||||
NGPL PipeCo LLC† | 4.875% | 8/15/2027 | 13,014 | 13,813,031 | ||||||||
Rockpoint Gas Storage Canada Ltd. (Canada)†(c) | 7.00% | 3/31/2023 | 10,081 | 10,122,987 | ||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | 4.25% | 11/15/2023 | 5,738 | 5,802,495 | ||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | 5.375% | 2/1/2027 | 9,221 | 9,403,783 | ||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | 5.875% | 4/15/2026 | 7,718 | 8,135,343 | ||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp.† | 6.50% | 7/15/2027 | 4,493 | 4,803,410 | ||||||||
Transportadora de Gas del Sur SA (Argentina)†(c) | 6.75% | 5/2/2025 | 8,009 | 6,653,477 | ||||||||
Total | 163,764,449 | |||||||||||
Health Facilities 3.43% | ||||||||||||
Acadia Healthcare Co., Inc. | 5.625% | 2/15/2023 | 6,684 | 6,825,968 | ||||||||
AHP Health Partners, Inc.† | 9.75% | 7/15/2026 | 12,077 | 13,017,164 | ||||||||
Encompass Health Corp. | 4.50% | 2/1/2028 | 7,774 | 7,986,405 | ||||||||
HCA, Inc. | 5.50% | 6/15/2047 | 32,035 | 37,100,515 | ||||||||
HCA, Inc. | 5.875% | 2/15/2026 | 1,453 | 1,643,743 | ||||||||
HCA, Inc. | 7.50% | 12/15/2023 | 10,647 | 12,124,271 | ||||||||
HCA, Inc. | 7.69% | 6/15/2025 | 3,765 | 4,528,975 | ||||||||
HCA, Inc. | 8.36% | 4/15/2024 | 12,701 | 15,415,839 | ||||||||
MPT Operating Partnership LP/MPT Finance Corp. | 5.00% | 10/15/2027 | 9,013 | 9,486,408 | ||||||||
Rede D’or Finance Sarl (Luxembourg)†(c) | 4.95% | 1/17/2028 | 13,826 | 14,072,760 | ||||||||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc.† | 9.75% | 12/1/2026 | 22,882 | 25,227,977 | ||||||||
Surgery Center Holdings, Inc.† | 6.75% | 7/1/2025 | 11,018 | 10,636,942 |
174 | See Notes to Financial Statements. |
Schedule of Investments (continued)
HIGH YIELD FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Health Facilities (continued) | ||||||||||||
Surgery Center Holdings, Inc.† | 10.00% | 4/15/2027 | $ | 13,728 | $ | 14,453,490 | ||||||
Tenet Healthcare Corp. | 5.125% | 5/1/2025 | 38,075 | 39,217,250 | ||||||||
Tenet Healthcare Corp.† | 4.875% | 1/1/2026 | 10,029 | 10,430,160 | ||||||||
Tenet Healthcare Corp. | 6.75% | 6/15/2023 | 18,399 | 19,916,918 | ||||||||
Total | 242,084,785 | |||||||||||
Health Services 2.21% | ||||||||||||
Air Medical Group Holdings, Inc.† | 6.375% | 5/15/2023 | 7,809 | 6,816,593 | ||||||||
BCPE Cycle Merger Sub II, Inc.† | 10.625% | 7/15/2027 | 12,788 | 12,153,044 | ||||||||
Catalent Pharma Solutions, Inc.† | 5.00% | 7/15/2027 | 9,891 | 10,284,884 | ||||||||
DaVita, Inc. | 5.00% | 5/1/2025 | 13,651 | 14,117,591 | ||||||||
DaVita, Inc. | 5.125% | 7/15/2024 | 10,705 | 11,012,662 | ||||||||
Hadrian Merger Sub, Inc.† | 8.50% | 5/1/2026 | 12,404 | 12,399,690 | ||||||||
HCA, Inc. | 5.875% | 2/1/2029 | 10,817 | 12,371,944 | ||||||||
Jaguar Holding Co. II/Pharmaceutical Product Development LLC† | 6.375% | 8/1/2023 | 6,864 | 7,121,331 | ||||||||
NVA Holdings, Inc.† | 6.875% | 4/1/2026 | 6,808 | 7,368,452 | ||||||||
Service Corp. International | 4.625% | 12/15/2027 | 5,284 | 5,494,422 | ||||||||
Service Corp. International | 5.125% | 6/1/2029 | 6,241 | 6,678,026 | ||||||||
Tenet Healthcare Corp.† | 6.25% | 2/1/2027 | 17,889 | 19,163,591 | ||||||||
Verscend Escrow Corp.† | 9.75% | 8/15/2026 | 21,745 | 23,430,781 | ||||||||
West Street Merger Sub, Inc.† | 6.375% | 9/1/2025 | 8,034 | 7,652,305 | ||||||||
Total | 156,065,316 | |||||||||||
Hotels 0.86% | ||||||||||||
Hilton Domestic Operating Co., Inc. | 4.875% | 1/15/2030 | 6,527 | 6,950,096 | ||||||||
Hilton Domestic Operating Co., Inc. | 5.125% | 5/1/2026 | 13,784 | 14,546,910 | ||||||||
Marriott Ownership Resorts, Inc./ILG LLC | 6.50% | 9/15/2026 | 10,269 | 11,186,782 | ||||||||
Wyndham Destinations, Inc. | 5.75% | 4/1/2027 | 12,689 | 13,771,974 | ||||||||
Wyndham Destinations, Inc. | 6.35% | 10/1/2025 | 6,014 | 6,678,036 | ||||||||
Wyndham Hotels & Resorts, Inc.† | 5.375% | 4/15/2026 | 7,267 | 7,683,563 | ||||||||
Total | 60,817,361 | |||||||||||
Insurance Brokerage 0.60% | ||||||||||||
Acrisure LLC/Acrisure Finance, Inc.† | 7.00% | 11/15/2025 | 7,728 | 6,949,095 | ||||||||
Acrisure LLC/Acrisure Finance, Inc.† | 8.125% | 2/15/2024 | 8,669 | 9,227,067 | ||||||||
Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer† | 6.75% | 10/15/2027 | 11,410 | 12,092,574 | ||||||||
HUB International Ltd.† | 7.00% | 5/1/2026 | 13,577 | 13,950,707 | ||||||||
Total | 42,219,443 |
See Notes to Financial Statements. | 175 |
Schedule of Investments (continued)
HIGH YIELD FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Integrated Energy 0.74% | ||||||||||||
Cheniere Energy Partners LP | 5.25% | 10/1/2025 | $ | 10,042 | $ | 10,368,265 | ||||||
Cheniere Energy Partners LP | 5.625% | 10/1/2026 | 11,493 | 12,117,690 | ||||||||
Hess Corp. | 5.60% | 2/15/2041 | 9,443 | 10,779,285 | ||||||||
Rio Oil Finance Trust Series 2018-1 (Brazil)†(c) | 8.20% | 4/6/2028 | 16,289 | 18,758,372 | ||||||||
Total | 52,023,612 | |||||||||||
Investments & Miscellaneous Financial Services 1.03% | ||||||||||||
AG Merger Sub II, Inc.† | 10.75% | 8/1/2027 | 7,058 | 6,954,583 | ||||||||
Fairstone Financial, Inc. (Canada)†(c) | 7.875% | 7/15/2024 | 13,285 | 14,353,313 | ||||||||
Global Aircraft Leasing Co. Ltd. PIK 7.25%† | 6.50% | 9/15/2024 | 13,346 | 13,683,654 | ||||||||
LHC3 plc PIK 4.88%(b) | 4.125% | 8/15/2024 | EUR | 7,059 | 8,071,051 | |||||||
Muthoot Finance Ltd. (India)†(c) | 6.125% | 10/31/2022 | $ | 11,586 | 11,953,855 | |||||||
Radian Group, Inc. | 4.875% | 3/15/2027 | 16,618 | 17,454,675 | ||||||||
Total | 72,471,131 | |||||||||||
Machinery 1.16% | ||||||||||||
Itron, Inc.† | 5.00% | 1/15/2026 | 13,383 | 13,880,212 | ||||||||
Mueller Water Products, Inc.† | 5.50% | 6/15/2026 | 16,698 | 17,580,447 | ||||||||
RBS Global, Inc./Rexnord LLC† | 4.875% | 12/15/2025 | 24,627 | 25,365,564 | ||||||||
Titan Acquisition Ltd./Titan Co-Borrower LLC (Canada)†(c) | 7.75% | 4/15/2026 | 15,358 | 14,548,979 | ||||||||
Vertiv Group Corp.† | 9.25% | 10/15/2024 | 10,745 | 10,583,825 | ||||||||
Total | 81,959,027 | |||||||||||
Managed Care 0.95% | ||||||||||||
Centene Corp.†(a) | 4.25% | 12/15/2027 | 10,334 | 10,656,937 | ||||||||
Centene Corp.†(a) | 4.625% | 12/15/2029 | 9,226 | 9,698,833 | ||||||||
Centene Corp. | 4.75% | 1/15/2025 | 18,825 | 19,603,790 | ||||||||
Centene Corp.† | 5.375% | 6/1/2026 | 7,252 | 7,714,496 | ||||||||
Molina Healthcare, Inc.† | 4.875% | 6/15/2025 | 18,755 | 19,184,771 | ||||||||
Total | 66,858,827 | |||||||||||
Media: Content 4.39% | ||||||||||||
AMC Networks, Inc. | 4.75% | 8/1/2025 | 25,580 | 25,452,100 | ||||||||
AMC Networks, Inc. | 5.00% | 4/1/2024 | 11,871 | 11,945,194 | ||||||||
Belo Corp. | 7.25% | 9/15/2027 | 11,082 | 12,554,216 | ||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co.† | 5.375% | 8/15/2026 | 13,684 | 13,914,904 | ||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co.† | 6.625% | 8/15/2027 | 23,234 | 22,705,078 | ||||||||
EW Scripps Co. (The)† | 5.125% | 5/15/2025 | 13,494 | 13,718,878 |
176 | See Notes to Financial Statements. |
Schedule of Investments (continued)
HIGH YIELD FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Media: Content (continued) | ||||||||||||
Gray Television, Inc.† | 5.125% | 10/15/2024 | $ | 5,110 | $ | 5,314,349 | ||||||
Gray Television, Inc.† | 5.875% | 7/15/2026 | 11,267 | 11,973,187 | ||||||||
Gray Television, Inc.† | 7.00% | 5/15/2027 | 11,511 | 12,775,167 | ||||||||
Netflix, Inc.(b) | 3.625% | 5/15/2027 | EUR | 30,266 | 35,494,720 | |||||||
Netflix, Inc.†(b) | 3.625% | 6/15/2030 | EUR | 11,539 | 12,904,193 | |||||||
Netflix, Inc.†(b) | 3.875% | 11/15/2029 | EUR | 8,134 | 9,390,334 | |||||||
Netflix, Inc.(b) | 4.625% | 5/15/2029 | EUR | 12,367 | 15,123,013 | |||||||
Netflix, Inc. | 4.875% | 4/15/2028 | $ | 22,240 | 22,836,143 | |||||||
Netflix, Inc. | 5.875% | 11/15/2028 | 6,182 | 6,769,445 | ||||||||
Sinclair Television Group, Inc.† | 5.125% | 2/15/2027 | 26,509 | 26,849,574 | ||||||||
Sinclair Television Group, Inc.† | 5.875% | 3/15/2026 | 13,206 | 13,795,681 | ||||||||
Sirius XM Radio, Inc.† | 4.625% | 7/15/2024 | 10,714 | 11,249,700 | ||||||||
Sirius XM Radio, Inc.† | 5.00% | 8/1/2027 | 12,546 | 13,236,344 | ||||||||
Sirius XM Radio, Inc.† | 5.375% | 7/15/2026 | 4,500 | 4,764,488 | ||||||||
Univision Communications, Inc.† | 5.125% | 2/15/2025 | 7,135 | 6,894,194 | ||||||||
Total | 309,660,902 | |||||||||||
Media: Diversified 0.30% | ||||||||||||
Nexstar Escrow, Inc.† | 5.625% | 7/15/2027 | 20,114 | 21,234,400 | ||||||||
Medical Products 0.25% | ||||||||||||
Hill-Rom Holdings, Inc.† | 5.00% | 2/15/2025 | 6,578 | 6,876,740 | ||||||||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA† | 6.625% | 5/15/2022 | 10,734 | 10,599,755 | ||||||||
Total | 17,476,495 | |||||||||||
Metals/Mining (Excluding Steel) 2.70% | ||||||||||||
Baffinland Iron Mines Corp./Baffinland Iron | ||||||||||||
Mines LP (Canada)†(c) | 8.75% | 7/15/2026 | 13,271 | 13,335,000 | ||||||||
Barminco Finance Pty Ltd. (Australia)†(c) | 6.625% | 5/15/2022 | 9,650 | 9,974,240 | ||||||||
Cleveland-Cliffs, Inc. | 5.75% | 3/1/2025 | 6,759 | 6,767,449 | ||||||||
Cleveland-Cliffs, Inc.† | 5.875% | 6/1/2027 | 3,660 | 3,512,950 | ||||||||
Coeur Mining, Inc. | 5.875% | 6/1/2024 | 13,935 | 13,905,946 | ||||||||
Compass Minerals International, Inc.† | 4.875% | 7/15/2024 | 9,384 | 9,270,594 | ||||||||
Compass Minerals International, Inc.† | 6.75% | 12/1/2027 | 10,332 | 10,719,450 | ||||||||
CONSOL Energy, Inc.† | 11.00% | 11/15/2025 | 7,708 | 6,574,269 | ||||||||
Freeport-McMoRan, Inc. | 3.875% | 3/15/2023 | 35,840 | 36,660,736 | ||||||||
Freeport-McMoRan, Inc. | 5.25% | 9/1/2029 | 18,545 | 19,124,995 | ||||||||
Hecla Mining Co. | 6.875% | 5/1/2021 | 9,217 | 9,145,568 | ||||||||
Industrias Penoles SAB de CV (Mexico)†(c) | 5.65% | 9/12/2049 | 10,152 | 10,425,444 |
See Notes to Financial Statements. | 177 |
Schedule of Investments (continued)
HIGH YIELD FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Metals/Mining (Excluding Steel) (continued) | ||||||||||||
Mirabela Nickel Ltd. (Australia)(c) | 1.00% | 9/10/2044 | $ | 51 | $ | 5 | (k) | |||||
New Gold, Inc. (Canada)†(c) | 6.25% | 11/15/2022 | 16,989 | 16,946,417 | ||||||||
Novelis Corp.† | 5.875% | 9/30/2026 | 7,009 | 7,358,206 | ||||||||
Rain CII Carbon LLC/CII Carbon Corp.† | 7.25% | 4/1/2025 | 7,095 | 6,882,079 | ||||||||
Warrior Met Coal, Inc.† | 8.00% | 11/1/2024 | 9,760 | 9,875,802 | ||||||||
Total | 190,479,150 | |||||||||||
Monoline Insurance 0.10% | ||||||||||||
MGIC Investment Corp. | 5.75% | 8/15/2023 | 6,339 | 7,023,073 | ||||||||
Multi-Line Insurance 0.15% | ||||||||||||
Genworth Holdings, Inc. | 4.90% | 8/15/2023 | 11,029 | 10,482,127 | ||||||||
Oil Field Equipment & Services 1.58% | ||||||||||||
Apergy Corp. | 6.375% | 5/1/2026 | 16,019 | 15,904,424 | ||||||||
Archrock Partners LP/Archrock Partners Finance Corp.† | 6.875% | 4/1/2027 | 8,835 | 9,117,079 | ||||||||
CSI Compressco LP/CSI Compressco Finance, Inc.† | 7.50% | 4/1/2025 | 11,534 | 10,962,087 | ||||||||
Exterran Energy Solutions LP/EES Finance Corp. | 8.125% | 5/1/2025 | 7,634 | 7,541,743 | ||||||||
Nine Energy Service, Inc.† | 8.75% | 11/1/2023 | 10,217 | 7,670,413 | ||||||||
Oceaneering International, Inc. | 4.65% | 11/15/2024 | 9,958 | 8,912,410 | ||||||||
Oceaneering International, Inc. | 6.00% | 2/1/2028 | 14,357 | 12,942,154 | ||||||||
Transocean Phoenix 2 Ltd.† | 7.75% | 10/15/2024 | 5,873 | 6,125,040 | ||||||||
Transocean Pontus Ltd.† | 6.125% | 8/1/2025 | 7,264 | 7,365,878 | ||||||||
Transocean Poseidon Ltd.† | 6.875% | 2/1/2027 | 17,845 | 18,243,345 | ||||||||
Transocean Proteus Ltd.† | 6.25% | 12/1/2024 | 6,733 | 6,819,703 | ||||||||
Total | 111,604,276 | |||||||||||
Oil Refining & Marketing 0.20% | ||||||||||||
Citgo Holding, Inc.† | 9.25% | 8/1/2024 | 13,667 | 14,367,434 | ||||||||
Packaging 1.39% | ||||||||||||
Ball Corp. | 4.875% | 3/15/2026 | 13,792 | 15,117,308 | ||||||||
Berry Global, Inc.† | 4.875% | 7/15/2026 | 6,644 | 6,963,736 | ||||||||
Flex Acquisition Co., Inc.† | 7.875% | 7/15/2026 | 7,634 | 7,308,200 | ||||||||
Intertape Polymer Group, Inc. (Canada)†(c) | 7.00% | 10/15/2026 | 11,553 | 12,048,017 | ||||||||
Mauser Packaging Solutions Holding Co.† | 7.25% | 4/15/2025 | 14,783 | 14,043,702 | ||||||||
Pactiv LLC | 7.95% | 12/15/2025 | 9,754 | 10,770,025 | ||||||||
Sealed Air Corp.† | 6.875% | 7/15/2033 | 8,808 | 10,308,421 | ||||||||
TriMas Corp.† | 4.875% | 10/15/2025 | 7,379 | 7,558,863 | ||||||||
Trivium Packaging Finance BV†(b) | 3.75% | 8/15/2026 | EUR | 3,596 | 4,187,494 |
178 | See Notes to Financial Statements. |
Schedule of Investments (continued)
HIGH YIELD FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Packaging (continued) | ||||||||||||
Trivium Packaging Finance BV (Netherlands)†(c) | 5.50% | 8/15/2026 | $ | 2,781 | $ | 2,925,303 | ||||||
Trivium Packaging Finance BV (Netherlands)†(c) | 8.50% | 8/15/2027 | 6,485 | 7,068,812 | ||||||||
Total | 98,299,881 | |||||||||||
Personal & Household Products 1.07% | ||||||||||||
Coty, Inc.† | 6.50% | 4/15/2026 | 14,324 | 14,825,698 | ||||||||
Dometic Group AB(b) | 3.00% | 5/8/2026 | EUR | 6,010 | 6,848,613 | |||||||
Energizer Holdings, Inc.† | 6.375% | 7/15/2026 | $ | 9,670 | 10,345,184 | |||||||
Mattel, Inc. | 5.45% | 11/1/2041 | 8,742 | 7,067,339 | ||||||||
Mattel, Inc.† | 5.875% | 12/15/2027 | 6,897 | 7,001,145 | ||||||||
Mattel, Inc.† | 6.75% | 12/31/2025 | 15,025 | 15,776,250 | ||||||||
Newell Brands, Inc. | 5.375% | 4/1/2036 | 13,132 | 13,712,267 | ||||||||
Total | 75,576,496 | |||||||||||
Pharmaceuticals 1.20% | ||||||||||||
Bausch Health Americas, Inc.† | 8.50% | 1/31/2027 | 33,852 | 38,422,866 | ||||||||
Bausch Health Cos., Inc.† | 5.50% | 3/1/2023 | 4,085 | 4,127,545 | ||||||||
Bausch Health Cos., Inc.† | 5.875% | 5/15/2023 | 14,187 | 14,399,663 | ||||||||
Bausch Health Cos., Inc.† | 6.125% | 4/15/2025 | 7,219 | 7,525,591 | ||||||||
Bausch Health Cos., Inc.† | 7.00% | 3/15/2024 | 6,590 | 6,911,197 | ||||||||
Horizon Pharma USA, Inc.† | 5.50% | 8/1/2027 | 12,544 | 13,239,910 | ||||||||
Total | 84,626,772 | |||||||||||
Rail 0.17% | ||||||||||||
Rumo Luxembourg Sarl (Luxembourg)†(c) | 5.875% | 1/18/2025 | 11,299 | 12,038,124 | ||||||||
Recreation & Travel 0.94% | ||||||||||||
Boyne USA, Inc.† | 7.25% | 5/1/2025 | 9,061 | 9,857,598 | ||||||||
CPUK Finance Ltd.(b) | 4.875% | 2/28/2047 | GBP | 5,175 | 6,937,077 | |||||||
Inter Media & Communication SpA†(b) | 4.875% | 12/31/2022 | EUR | 7,674 | 8,709,591 | |||||||
Merlin Entertainments plc (United Kingdom)†(c) | 5.75% | 6/15/2026 | $ | 7,625 | 8,237,650 | |||||||
Motion Bondco DAC (Ireland)†(c) | 6.625% | 11/15/2027 | 6,711 | 6,937,496 | ||||||||
Pinnacle Bidco plc(b) | 6.375% | 2/15/2025 | GBP | 5,266 | 7,250,155 | |||||||
VOC Escrow Ltd.† | 5.00% | 2/15/2028 | $ | 17,203 | 18,088,826 | |||||||
Total | 66,018,393 | |||||||||||
Restaurants 0.95% | ||||||||||||
IRB Holding Corp.† | 6.75% | 2/15/2026 | 20,287 | 21,232,323 | ||||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC† | 4.75% | 6/1/2027 | 5,032 | 5,244,967 | ||||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC† | 5.00% | 6/1/2024 | 13,090 | 13,613,469 |
See Notes to Financial Statements. | 179 |
Schedule of Investments (continued)
HIGH YIELD FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Restaurants (continued) | ||||||||||||
Wendy’s International LLC | 7.00% | 12/15/2025 | $ | 10,154 | $ | 10,796,241 | ||||||
Yum! Brands, Inc. | 5.35% | 11/1/2043 | 16,487 | 16,255,110 | ||||||||
Total | 67,142,110 | |||||||||||
Software/Services 0.76% | ||||||||||||
Fair Isaac Corp.† | 5.25% | 5/15/2026 | 9,983 | 10,909,897 | ||||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc.† | 5.25% | 12/1/2027 | 6,753 | 7,106,334 | ||||||||
j2 Cloud Services LLC/j2 Global Co-Obligor, Inc.† | 6.00% | 7/15/2025 | 9,955 | 10,552,200 | ||||||||
Match Group, Inc.† | 5.00% | 12/15/2027 | 13,650 | 14,030,118 | ||||||||
VeriSign, Inc. | 5.25% | 4/1/2025 | 9,788 | 10,794,109 | ||||||||
Total | 53,392,658 | |||||||||||
Specialty Retail 1.79% | ||||||||||||
Asbury Automotive Group, Inc. | 6.00% | 12/15/2024 | 6,700 | 6,926,058 | ||||||||
Carvana Co.† | 8.875% | 10/1/2023 | 7,259 | 7,540,214 | ||||||||
Claire’s Stores, Inc. | 14.00% | 3/15/2039 | 1,745 | 2,617,500 | (d) | |||||||
Dutch Lion BV PIK 12.00%†(b) | 11.25% | 6/15/2020 | EUR | 8,635 | 8,526,753 | |||||||
eG Global Finance plc (United Kingdom)†(c) | 8.50% | 10/30/2025 | $ | 10,430 | 10,951,500 | |||||||
KGA Escrow LLC† | 7.50% | 8/15/2023 | 6,791 | 7,116,391 | ||||||||
Murphy Oil USA, Inc. | 4.75% | 9/15/2029 | 13,674 | 14,470,134 | ||||||||
Murphy Oil USA, Inc. | 5.625% | 5/1/2027 | 8,668 | 9,369,870 | ||||||||
PetSmart, Inc.† | 5.875% | 6/1/2025 | 6,778 | 6,659,385 | ||||||||
Sally Holdings LLC/Sally Capital, Inc. | 5.625% | 12/1/2025 | 13,862 | 14,399,152 | ||||||||
Sonic Automotive, Inc. | 6.125% | 3/15/2027 | 7,325 | 7,666,327 | ||||||||
Under Armour, Inc. | 3.25% | 6/15/2026 | 7,317 | 7,014,610 | ||||||||
William Carter Co. (The)† | 5.625% | 3/15/2027 | 12,004 | 12,962,189 | ||||||||
WW International, Inc.† | 8.625% | 12/1/2025 | 9,686 | 10,125,890 | ||||||||
Total | 126,345,973 | |||||||||||
Steel Producers/Products 0.27% | ||||||||||||
CSN Resources SA (Brazil)†(c) | 7.625% | 4/17/2026 | 13,693 | 14,060,965 | ||||||||
Joseph T Ryerson & Son, Inc.† | 11.00% | 5/15/2022 | 4,912 | 5,204,230 | ||||||||
Total | 19,265,195 | |||||||||||
Support: Services 2.93% | ||||||||||||
Ahern Rentals, Inc.† | 7.375% | 5/15/2023 | 9,694 | 7,589,578 | ||||||||
Algeco Global Finance plc (United Kingdom)†(c) | 8.00% | 2/15/2023 | 6,649 | 6,515,954 | ||||||||
Ashtead Capital, Inc.† | 5.25% | 8/1/2026 | 4,462 | 4,778,657 | ||||||||
Brand Industrial Services, Inc.† | 8.50% | 7/15/2025 | 15,804 | 15,448,252 | ||||||||
Brink’s Co. (The)† | 4.625% | 10/15/2027 | 15,513 | 15,975,636 |
180 | See Notes to Financial Statements. |
Schedule of Investments (continued)
HIGH YIELD FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Support: Services (continued) | ||||||||||||
Capitol Investment Merger Sub 2 LLC† | 10.00% | 8/1/2024 | 6,723 | 6,725,790 | ||||||||
Cardtronics, Inc./Cardtronics USA, Inc.† | 5.50% | 5/1/2025 | 10,413 | 10,802,290 | ||||||||
Cloud Crane LLC† | 10.125% | 8/1/2024 | 6,587 | 6,817,479 | ||||||||
Diebold Nixdorf, Inc. | 8.50% | 4/15/2024 | 14,442 | 12,414,271 | ||||||||
GEO Group, Inc. (The) | 6.00% | 4/15/2026 | 15,364 | 12,214,764 | ||||||||
GW B-CR Security Corp. (Canada)†(c) | 9.50% | 11/1/2027 | 5,563 | 5,799,428 | ||||||||
H&E Equipment Services, Inc. | 5.625% | 9/1/2025 | 10,554 | 11,125,657 | ||||||||
Marble II Pte Ltd. (Singapore)†(c) | 5.30% | 6/20/2022 | 7,814 | 7,913,502 | ||||||||
Ritchie Bros Auctioneers, Inc. (Canada)†(c) | 5.375% | 1/15/2025 | 7,406 | 7,729,272 | ||||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp.† | 6.75% | 6/1/2025 | 7,651 | 7,899,581 | ||||||||
United Rentals North America, Inc. | 4.625% | 10/15/2025 | 6,810 | 7,014,232 | ||||||||
United Rentals North America, Inc. | 4.875% | 1/15/2028 | 28,407 | 29,711,023 | ||||||||
WeWork Cos., Inc.† | 7.875% | 5/1/2025 | 23,351 | 16,754,109 | ||||||||
Williams Scotsman International, Inc.† | 6.875% | 8/15/2023 | 13,105 | 13,807,225 | ||||||||
Total | 207,036,700 | |||||||||||
Technology Hardware & Equipment 0.48% | ||||||||||||
CDW LLC/CDW Finance Corp. | 5.50% | 12/1/2024 | 8,825 | 9,755,243 | ||||||||
Western Digital Corp. | 4.75% | 2/15/2026 | 23,503 | 24,252,158 | ||||||||
Total | 34,007,401 | |||||||||||
Telecommunications: Satellite 1.35% | ||||||||||||
Connect Finco SARL/Connect US Finco LLC (Luxembourg)†(c) | 6.75% | 10/1/2026 | 18,393 | 18,898,807 | ||||||||
Hughes Satellite Systems Corp. | 5.25% | 8/1/2026 | 6,723 | 7,313,599 | ||||||||
Inmarsat Finance plc (United Kingdom)†(c) | 6.50% | 10/1/2024 | 6,538 | 6,874,151 | ||||||||
Intelsat Jackson Holdings SA (Luxembourg)(c) | 5.50% | 8/1/2023 | 40,583 | 32,352,768 | ||||||||
Intelsat Jackson Holdings SA (Luxembourg)†(c) | 8.50% | 10/15/2024 | 10,410 | 8,588,250 | ||||||||
ViaSat, Inc.† | 5.625% | 4/15/2027 | 19,897 | 21,215,176 | ||||||||
Total | 95,242,751 | |||||||||||
Telecommunications: Wireless 2.40% | ||||||||||||
Millicom International Cellular SA (Luxembourg)†(c) | 6.625% | 10/15/2026 | 8,786 | 9,590,776 | ||||||||
Sprint Capital Corp. | 6.875% | 11/15/2028 | 124,514 | 133,079,941 | ||||||||
Sprint Corp. | 7.625% | 3/1/2026 | 7,011 | 7,668,106 | ||||||||
T-Mobile USA, Inc. | 6.50% | 1/15/2026 | 17,984 | 19,288,289 | ||||||||
Total | 169,627,112 |
See Notes to Financial Statements. | 181 |
Schedule of Investments (continued)
HIGH YIELD FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Telecommunications: Wireline Integrated & Services 1.84% | ||||||||||||
Altice Financing SA (Luxembourg)†(c) | 7.50% | 5/15/2026 | $ | 13,991 | $ | 14,917,554 | ||||||
Altice France SA†(b) | 3.375% | 1/15/2028 | EUR | 4,934 | 5,551,333 | |||||||
Altice France SA (France)†(c) | 7.375% | 5/1/2026 | $ | 43,403 | 46,442,295 | |||||||
Cogent Communications Group, Inc.† | 5.375% | 3/1/2022 | 8,907 | 9,310,594 | ||||||||
DKT Finance ApS (Denmark)†(c) | 9.375% | 6/17/2023 | 21,942 | 23,357,259 | ||||||||
Equinix, Inc.(b) | 2.875% | 2/1/2026 | EUR | 8,316 | 9,509,094 | |||||||
GCI LLC | 6.875% | 4/15/2025 | $ | 12,746 | 13,340,792 | |||||||
Telefonica Celular del Paraguay SA (Paraguay)†(c) | 5.875% | 4/15/2027 | 6,699 | 7,153,511 | ||||||||
Total | 129,582,432 | |||||||||||
Theaters & Entertainment 0.10% | ||||||||||||
Live Nation Entertainment, Inc.† | 5.625% | 3/15/2026 | 6,779 | 7,238,938 | ||||||||
Transportation (Excluding Air/Rail) 0.19% | ||||||||||||
CMA CGM SA(b) | 5.25% | 1/15/2025 | EUR | 15,488 | 13,330,036 | |||||||
Transportation: Infrastructure/Services 0.98% | ||||||||||||
Autopistas del Sol SA (Costa Rica)†(c) | 7.375% | 12/30/2030 | $ | 7,405 | 7,435,071 | |||||||
Delhi International Airport Ltd. (India)†(c) | 6.45% | 6/4/2029 | 6,848 | 7,370,434 | ||||||||
Golar LNG Partners LP (United Kingdom)†(c) | 8.16% (3 Mo. LIBOR + 6.25% | )# | 5/18/2021 | 7,000 | 6,930,114 | |||||||
Great Lakes Dredge & Dock Corp. | 8.00% | 5/15/2022 | 6,767 | 7,201,022 | ||||||||
Promontoria Holding 264 BV†(b) | 6.75% | 8/15/2023 | EUR | 7,107 | 7,067,018 | |||||||
Stena AB (Sweden)†(c) | 7.00% | 2/1/2024 | $ | 14,221 | 14,582,427 | |||||||
Teekay Corp.† | 9.25% | 11/15/2022 | 7,472 | 7,829,251 | ||||||||
XPO CNW, Inc. | 6.70% | 5/1/2034 | 10,312 | 10,486,391 | ||||||||
Total | 68,901,728 | |||||||||||
Total High Yield Corporate Bonds (cost $6,024,108,572) | 6,186,133,053 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 0.31% | ||||||||||||
Caesars Palace Las Vegas Trust 2017-VICI E† | 4.499% | #(j) | 10/15/2034 | 7,954 | 8,246,002 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI F† | 4.499% | #(j) | 10/15/2034 | 13,397 | 13,705,446 | |||||||
Morgan Stanley Capital I Trust 2005-IQ9 G† | 5.51% | #(j) | 7/15/2056 | 2,000 | 102,627 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $21,819,193) | 22,054,075 | |||||||||||
Dividend Rate | Shares (000) | |||||||||||
PREFERRED STOCK 0.00% | ||||||||||||
Energy: Exploration & Production | ||||||||||||
Templar Energy LLC (cost $1,913,468) | Zero Coupon | 203 | – | (d) |
182 | See Notes to Financial Statements. |
Schedule of Investments (continued)
HIGH YIELD FUNDNovember 30, 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 | (k) | |||||||
Total Long-Term Investments (cost $6,909,886,564) | 7,023,405,655 | ||||||||||||
Principal Amount (000) | |||||||||||||
SHORT-TERM INVESTMENT 1.45% | |||||||||||||
REPURCHASE AGREEMENT | |||||||||||||
Repurchase Agreement dated 11/29/2019, 0.85% due 12/2/2019 with Fixed Income Clearing Corp. collateralized by $41,540,000 of U.S. Treasury Note at 2.125% due 9/30/2021; $63,080,000 of U.S. Treasury Note at 1.125% due 9/30/2021; value: $104,584,087; proceeds: $102,540,485 (cost $102,533,222) | $ | 102,533 | 102,533,222 | ||||||||||
Total Investments in Securities 101.00% (cost $7,012,419,786) | 7,125,938,877 | ||||||||||||
Less Unfunded Loan Commitments (0.07%) (cost $(4,808,938) | (4,777,842 | ) | |||||||||||
Net Investments 100.93% (cost $7,007,610,848) | 7,121,161,035 | ||||||||||||
Liabilities in Excess of Cash, Foreign Cash and Other Assets(l)(0.93%) | (65,958,436 | ) | |||||||||||
Net Assets 100.00% | $ | 7,055,202,599 |
DKK | Danish Krone. | |
EUR | euro. | |
GBP | British pound. | |
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. At November 30, 2019, the total value of Rule 144A securities was $3,757,706,186, which represents 53.26% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at November 30, 2019. | |
* | Non-income producing security. | |
(a) | Securities purchased on a when-issued basis. (See Note 2(i)) | |
(b) | Investment in non-U.S. dollar denominated securities. | |
(c) | Foreign security traded in U.S. dollars. | |
(d) | 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. | |
(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 November 30, 2019. | |
(f) | Interest rate to be determined. |
See Notes to Financial Statements. | 183 |
Schedule of Investments (continued)
HIGH YIELD FUNDNovember 30, 2019
(g) | 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. | |
(h) | Security is perpetual in nature and has no stated maturity. | |
(i) | Defaulted (non-income producing security). | |
(j) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(k) | Level 3 Investment as described in Note 2(s) in the Notes to Financials. Security fair valued by the Pricing Committee. | |
(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: |
Centrally Cleared Credit Default Swaps on Indexes - Sell Protection at November 30, 2019(1):
Referenced Index | Central Clearing party | Fund Pays (Quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Appreciation(3) | |||||||||||||||
Markit CDX. | ||||||||||||||||||||||
NA.HY.33(4)(5) | Credit Suisse | 5.00% | 12/20/2024 | $27,000,000 | $ | 29,069,004 | $ | 2,017,928 | $51,076 |
(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. | |
(3) | Total unrealized appreciation on Credit Default Swaps on Indexes amounted to $51,076. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $0. | |
(4) | Central Clearinghouse: Intercontinental Exchange (ICE). | |
(5) | The Referenced Index is for the Centrally Cleared Credit Default Swaps on Indexes, which is comprised of a basket of high yield securities. |
Credit Default Swaps on Indexes - Sell Protection at November 30, 2019(1):
Referenced Issuer | Swap Counterparty | Fund Receives (Quarterly) | Termination Date | Notional Amount | Notional Value | Payments Upfront(2) | Unrealized Appreciation(3) | Credit Default Swap Agreements Payable at Fair Value(4) | ||||||||||||||||||||
Tesla | J.P. Morgan | 1.00% | 6/20/2020 | $ | 7,938,000 | $ | 7,929,416 | $ | (186,319 | ) | $177,735 | $(8,584) |
(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. | |
(3) | Total unrealized appreciation on Credit Default Swaps on Indexes amounted to $177,735. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $0. | |
(4) | Includes upfront payments received. |
184 | See Notes to Financial Statements. |
Schedule of Investments (continued)
HIGH YIELD FUNDNovember 30, 2019
Open Forward Foreign Currency Exchange Contracts at November 30, 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 | Buy | Barclays Bank plc | 12/9/2019 | 924,000 | $ | 1,018,064 | $ | 1,018,427 | $ | 363 | ||||||||||||
euro | Buy | State Street Bank and Trust | 12/9/2019 | 4,026,000 | 4,436,505 | 4,437,433 | 928 | |||||||||||||||
Danish krone | Sell | Barclays Bank plc | 12/13/2019 | 48,771,000 | 7,200,457 | 7,197,321 | 3,136 | |||||||||||||||
euro | Sell | Morgan Stanley | 12/9/2019 | 10,900,000 | 12,169,227 | 12,013,914 | 155,313 | |||||||||||||||
euro | Sell | State Street Bank and Trust | 12/9/2019 | 76,387,000 | 84,860,809 | 84,193,289 | 667,520 | |||||||||||||||
euro | Sell | State Street Bank and Trust | 12/9/2019 | 630,000 | 701,402 | 694,382 | 7,020 | |||||||||||||||
euro | Sell | State Street Bank and Trust | 12/9/2019 | 7,000,000 | 7,752,295 | 7,715,358 | 36,937 | |||||||||||||||
euro | Sell | Toronto Dominion Bank | 12/9/2019 | 2,460,000 | 2,739,003 | 2,711,397 | 27,606 | |||||||||||||||
euro | Sell | Toronto Dominion Bank | 12/9/2019 | 1,425,000 | 1,577,431 | 1,570,626 | 6,805 | |||||||||||||||
euro | Sell | State Street Bank and Trust | 2/14/2020 | 53,866,000 | 59,672,302 | 59,655,380 | 16,922 | |||||||||||||||
euro | Sell | Toronto Dominion Bank | 2/14/2020 | 7,757,000 | 8,595,547 | 8,590,703 | 4,844 | |||||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 927,394 |
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 | Toronto Dominion Bank | 12/2/2019 | 7,757,098 | $ | 8,551,789 | $ | 8,546,768 | $ | (5,021 | ) | |||||||||||
euro | Buy | UBS AG | 12/9/2019 | 7,100,000 | 7,872,523 | 7,825,577 | (46,946 | ) | ||||||||||||||
British pound | Sell | J.P. Morgan | 12/5/2019 | 1,082,000 | 1,395,029 | 1,399,424 | (4,395 | ) | ||||||||||||||
British pound | Sell | Morgan Stanley | 12/5/2019 | 3,000,000 | 3,864,134 | 3,880,105 | (15,971 | ) | ||||||||||||||
British pound | Sell | State Street Bank and Trust | 12/5/2019 | 36,720,409 | 44,489,082 | 47,493,011 | (3,003,929 | ) | ||||||||||||||
British pound | Sell | State Street Bank and Trust | 12/5/2019 | 1,310,000 | 1,632,645 | 1,694,312 | (61,667 | ) | ||||||||||||||
British pound | Sell | State Street Bank and Trust | 12/5/2019 | 265,000 | 340,236 | 342,743 | (2,507 | ) | ||||||||||||||
euro | Sell | J.P. Morgan | 12/9/2019 | 5,750,000 | 6,318,815 | 6,337,615 | (18,800 | ) | ||||||||||||||
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | $ | (3,159,236 | ) |
See Notes to Financial Statements. | 185 |
Schedule of Investments (continued)
HIGH YIELD FUNDNovember 30, 2019
Open Futures Contracts at November 30, 2019:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||||
Euro- Bobl | December 2019 | 30 | Short | EUR (4,096,147 | ) | EUR (4,029,600 | ) | $ | 73,321 | |||||||||||
Euro-Bund | December 2019 | 313 | Short | (55,040,496 | ) | (53,544,910 | ) | 1,647,836 | ||||||||||||
U.S. 10-Year Ultra Treasury Note | March 2020 | 1,600 | Short | $(227,788,048 | ) | $(227,550,000 | ) | 238,048 | ||||||||||||
U.S. 5-Year Treasury Note | March 2020 | 1,350 | Short | (160,847,951 | ) | (160,607,813 | ) | 240,138 | ||||||||||||
U.S. Long Bond | March 2020 | 708 | Short | (113,167,095 | ) | (112,549,875 | ) | 617,220 | ||||||||||||
U.S. Ultra Treasury Bond | March 2020 | 511 | Short | (96,168,887 | ) | (95,924,282 | ) | 244,605 | ||||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 3,061,168 | ||||||||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||||
U.S. 10-Year Treasury Note | March 2020 | 2,479 | Long | $321,690,335 | $320,681,891 | $ | (1,008,444 | ) | ||||||||||||
U.S. 2-Year Treasury Note | March 2020 | 9,038 | Long | 1,948,552,762 | 1,948,465,708 | (87,054 | ) | |||||||||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (1,095,498 | ) |
186 | See Notes to Financial Statements. |
Schedule of Investments (continued)
HIGH YIELD FUNDNovember 30, 2019
The following is a summary of the inputs used as of November 30, 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 | $ | – | $ | 13,097,032 | $ | – | $ | 13,097,032 | ||||||||
Common Stocks | ||||||||||||||||
Energy: Exploration & Production | 306,919 | 23,822 | – | 330,741 | ||||||||||||
Food & Drug Retailers | – | – | 197 | 197 | ||||||||||||
Investments & Miscellaneous Financial Services | – | – | 48,812 | 48,812 | ||||||||||||
Personal & Household Products | – | 6,556,016 | – | 6,556,016 | ||||||||||||
Specialty Retail | 14,450,421 | 4,863,046 | – | 19,313,467 | ||||||||||||
Transportation: Infrastructure/Services | – | 1,941,725 | – | 1,941,725 | ||||||||||||
Remaining Industries | 137,644,433 | – | – | 137,644,433 | ||||||||||||
Convertible Bonds | – | 93,951,317 | – | 93,951,317 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Aerospace/Defense | – | 17,687,343 | 9,586,370 | 27,273,713 | ||||||||||||
Diversified Capital Goods | – | – | 6,920,366 | 6,920,366 | ||||||||||||
Electric: Integrated | – | – | 8,645,010 | 8,645,010 | ||||||||||||
Food & Drug Retailers | – | – | 287 | 287 | ||||||||||||
Gaming | – | 28,961,163 | 10,365,073 | 39,326,236 | ||||||||||||
Oil Field Equipment & Services | – | – | 12,948,712 | 12,948,712 | ||||||||||||
Personal & Household Products | – | 13,150,869 | 7,365,660 | 20,516,529 | ||||||||||||
Restaurants | – | 6,572,394 | 6,207,240 | 12,779,634 | ||||||||||||
Specialty Retail | – | 24,494,672 | 1,628,244 | 26,122,916 | ||||||||||||
Support: Services | – | 38,894,549 | 15,564,640 | 54,459,189 | ||||||||||||
Remaining Industries | – | 291,485,170 | – | 291,485,170 | ||||||||||||
Less Unfunded Commitments | – | (2,616,087 | ) | (2,161,755 | ) | (4,777,842 | ) | |||||||||
Foreign Government Obligations | – | 41,855,731 | – | 41,855,731 | ||||||||||||
High Yield Corporate Bonds | ||||||||||||||||
Automakers | – | 70,319,122 | 850 | 70,319,972 | ||||||||||||
Banking | – | 231,665,066 | 1,000 | 231,666,066 | ||||||||||||
Metals/Mining (Excluding Steel) | – | 190,479,145 | 5 | 190,479,150 | ||||||||||||
Specialty Retail | – | 123,728,473 | 2,617,500 | 126,345,973 | ||||||||||||
Remaining Industries | – | 5,567,321,892 | – | 5,567,321,892 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 22,054,075 | – | 22,054,075 | ||||||||||||
Preferred Stock | – | – | – | – | ||||||||||||
Warrant | – | – | 1,294 | 1,294 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Repurchase Agreement | – | 102,533,222 | – | 102,533,222 | ||||||||||||
Total | $ | 152,401,773 | $ | 6,889,019,757 | $ | 79,739,505 | $ | 7,121,161,035 |
See Notes to Financial Statements. | 187 |
Schedule of Investments (concluded)
HIGH YIELD FUNDNovember 30, 2019
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 51,076 | $ | – | $ | 51,076 | ||||||||
Liabilities | – | (8,584 | ) | – | (8,584 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 927,394 | – | 927,394 | ||||||||||||
Liabilities | – | (3,159,236 | ) | – | (3,159,236 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 3,061,168 | – | – | 3,061,168 | ||||||||||||
Liabilities | (1,095,498 | ) | – | – | (1,095,498 | ) | ||||||||||
Total | $ | 1,965,670 | $ | (2,189,350 | ) | $ | – | $ | (223,680 | ) |
(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. |
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) | – | 323,584 | 1,892 | – | – | |||||||||||||||
Realized Gain (Loss) | – | 331,403 | 23,287 | – | – | |||||||||||||||
Change in Unrealized Appreciation (Depreciation) | 2,606,952 | (2,817,228 | ) | 893,097 | (608,971 | ) | – | |||||||||||||
Purchases | – | 56,813,194 | 237,054 | 46,815 | – | |||||||||||||||
Sales | (13,030,392 | ) | (70,497,150 | ) | (93,265 | ) | – | – | ||||||||||||
Transfers into Level 3 | – | 24,671,535 | – | 562,156 | – | |||||||||||||||
Transfers out of Level 3 | (1,251,169 | ) | (18,937,649 | ) | – | – | – | |||||||||||||
Balance as of November 30, 2019 | $ | 49,009 | $ | 77,069,847 | $ | 2,619,355 | $ | – | $ | 1,294 | ||||||||||
Change in unrealized appreciation/depreciation for the year ended November 30, 2019, related to Level 3 investments held at November 30, 2019 | $ | 85,908 | $ | (1,625,165 | ) | $ | 823,429 | $ | (608,971 | ) | $ | – |
188 | See Notes to Financial Statements. |
Schedule of Investments
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 93.43% | ||||||||||||
ASSET-BACKED SECURITIES 6.17% | ||||||||||||
Automobiles 1.17% | ||||||||||||
ACC Trust 2018-1 B† | 4.82% | 5/20/2021 | $ | 1,124 | $ | 1,130,957 | ||||||
ACC Trust 2018-1 C† | 6.81% | 2/21/2023 | 870 | 892,203 | ||||||||
Avis Budget Rental Car Funding AESOP LLC 2015-2A† | 2.63% | 12/20/2021 | 710 | 712,909 | ||||||||
BMW Vehicle Lease Trust 2019-1 A2 | 2.79% | 3/22/2021 | 3,585 | 3,596,359 | ||||||||
California Republic Auto Receivables Trust 2015-4 B† | 3.73% | 11/15/2021 | 1,131 | 1,135,985 | ||||||||
Capital Auto Receivables Asset Trust 2015-3 D | 3.34% | 3/22/2021 | 1,859 | 1,859,835 | ||||||||
Capital Auto Receivables Asset Trust 2018-1 A3† | 2.79% | 1/20/2022 | 5,337 | 5,351,418 | ||||||||
CPS Auto Trust 2017-A D† | 4.61% | 12/15/2022 | 2,500 | 2,559,087 | ||||||||
Drive Auto Receivables Trust 2015-DA D† | 4.59% | 1/17/2023 | 512 | 513,171 | ||||||||
Drive Auto Receivables Trust 2016-CA D† | 4.18% | 3/15/2024 | 706 | 715,781 | ||||||||
Drive Auto Receivables Trust 2017-1 C | 2.84% | 4/15/2022 | 687 | 686,754 | ||||||||
Drive Auto Receivables Trust 2019-2 A2A | 2.93% | 3/15/2022 | 2,270 | 2,273,284 | ||||||||
Enterprise Fleet Financing LLC 2018-1 A2† | 2.87% | 10/20/2023 | 1,120 | 1,125,440 | ||||||||
Flagship Credit Auto Trust 2019-1 D† | 4.08% | 2/18/2025 | 4,000 | 4,152,168 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 D† | 4.19% | 11/15/2023 | 3,500 | 3,589,797 | ||||||||
GM Financial Automobile Leasing Trust 2017-3 A3 | 2.01% | 11/20/2020 | 410 | 410,363 | ||||||||
Santander Drive Auto Receivables Trust 2016-1 D | 4.02% | 4/15/2022 | 887 | 894,199 | ||||||||
Total | 31,599,710 | |||||||||||
Credit Cards 0.47% | ||||||||||||
Perimeter Master Note Business Trust 2019-2A A† | 4.23% | 5/15/2024 | 2,831 | 2,837,738 | ||||||||
Synchrony Credit Card Master Note Trust 2017-2 B | 2.82% | 10/15/2025 | 1,844 | 1,871,115 | ||||||||
World Financial Network Credit Card Master Trust 2016-A | 2.03% | 4/15/2025 | 4,424 | 4,424,265 | ||||||||
World Financial Network Credit Card Master Trust 2017-C M | 2.66% | 8/15/2024 | 3,684 | 3,691,858 | ||||||||
Total | 12,824,976 | |||||||||||
Other 4.53% | ||||||||||||
Access Point Funding I LLC 2017-A† | 3.06% | 4/15/2029 | 110 | 109,593 | ||||||||
ALM VII Ltd. 2012-7A A2R2† | 3.851% (3 Mo. LIBOR +1.85% | )# | 7/15/2029 | 5,883 | 5,882,496 | |||||||
AMMC CLO XIV Ltd. 2014-14A A2LR† | 3.64% (3 Mo. LIBOR +1.70% | )# | 7/25/2029 | 2,350 | 2,335,682 |
See Notes to Financial Statements. | 189 |
Schedule of Investments (continued)
INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Apex Credit CLO Ltd. 2016-1A B1R† | 3.786% (3 Mo. LIBOR + 1.85% | )# | 10/27/2028 | $ | 796 | $ | 796,978 | |||||
Apex Credit CLO Ltd. 2017-1A B† | 3.886% (3 Mo. LIBOR + 1.95% | )# | 4/24/2029 | 876 | 876,407 | |||||||
Apidos CLO XVI 2013-16A CR† | 4.966% (3 Mo. LIBOR + 3.00% | )# | 1/19/2025 | 750 | 752,450 | |||||||
Avery Point IV CLO Ltd. 2014-1A BR† | 3.54% (3 Mo. LIBOR + 1.60% | )# | 4/25/2026 | 1,294 | 1,295,534 | |||||||
Avery Point V CLO Ltd. 2014-5A AR† | 2.982% (3 Mo. LIBOR + .98% | )# | 7/17/2026 | 550 | 550,232 | |||||||
BlueMountain CLO Ltd. 2013-1A A2R2† | 3.716% (3 Mo. LIBOR + 1.75% | )# | 1/20/2029 | 1,308 | 1,303,277 | |||||||
BlueMountain CLO Ltd. 2016-1A BR† | 3.316% (3 Mo. LIBOR + 1.35% | )# | 4/20/2027 | 4,939 | 4,864,532 | |||||||
Bowman Park CLO Ltd. 2014-1A AR† | 3.09% (3 Mo. LIBOR + 1.18% | )# | 11/23/2025 | 1,671 | 1,672,137 | |||||||
BSPRT Issuer Ltd. 2018-FL4 A† | 2.815% (1 Mo. LIBOR + 1.05% | )# | 9/15/2035 | 3,888 | 3,884,794 | |||||||
Cedar Funding VI CLO Ltd. 2016-6A BR† | 3.566% (3 Mo. LIBOR + 1.60% | )# | 10/20/2028 | 2,500 | 2,476,563 | |||||||
Cent CLO Ltd. 2013-19A A1A† | 3.258% (3 Mo. LIBOR + 1.33% | )# | 10/29/2025 | 1,273 | 1,275,258 | |||||||
Conn’s Receivables Funding LLC 2017-B C† | 5.95% | 11/15/2022 | 3,959 | 3,989,060 | ||||||||
Diamond Resorts Owner Trust 2016-1 A† | 3.08% | 11/20/2028 | 164 | 164,822 | ||||||||
DRB Prime Student Loan Trust 2015-D A2 | 3.20% | 1/25/2040 | 1,105 | 1,118,080 | ||||||||
Galaxy XXI CLO Ltd. 2015-21A AR† | 2.986% (3 Mo. LIBOR + 1.02% | )# | 4/20/2031 | 1,012 | 1,000,868 | |||||||
Halcyon Loan Advisors Funding Ltd. 2015-2A CR† | 4.09% (3 Mo. LIBOR + 2.15% | )# | 7/25/2027 | 895 | 892,003 | |||||||
Hardee’s Funding LLC 2018-1A A23† | 5.71% | 6/20/2048 | 3,106 | 3,345,931 | ||||||||
Hardee’s Funding LLC 2018-1A A2II† | 4.959% | 6/20/2048 | 4,537 | 4,591,525 | ||||||||
HPS Loan Management 10-2016 Ltd. A2R† | 3.716% (3 Mo. LIBOR +1.75% | )# | 1/20/2028 | 1,979 | 1,970,093 | |||||||
ICG US CLO Ltd. 2015-2A AR† | 2.851% (3 Mo. LIBOR + .85% | )# | 1/16/2028 | 4,946 | 4,928,572 | |||||||
Jamestown CLO IX Ltd. 2016-9A BR† | 4.616% (3 Mo. LIBOR + 2.65% | )# | 10/20/2028 | 3,600 | 3,593,450 | |||||||
Jamestown CLO VII Ltd. 2015-7A A2R† | 3.24% (3 Mo. LIBOR + 1.30% | )# | 7/25/2027 | 2,039 | 2,011,963 | |||||||
KKR CLO Ltd.18 B† | 3.703% (3 Mo. LIBOR + 1.70% | )# | 7/18/2030 | 3,722 | 3,657,171 |
190 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
MidOcean Credit CLO VI 2016-6A BR† | 3.866% (3 Mo. LIBOR + 1.90% | )# | 1/20/2029 | $ | 1,493 | $ | 1,492,852 | |||||
Mountain Hawk III CLO Ltd. 2014-3A AR† | 3.203% (3 Mo. LIBOR + 1.20% | )# | 4/18/2025 | 1,451 | 1,451,790 | |||||||
Mountain View CLO X Ltd. 2015-10A BR† | 3.351% (3 Mo. LIBOR + 1.35% | )# | 10/13/2027 | 2,400 | 2,379,492 | |||||||
Northwoods Capital Corp./NorthwoodsCapital Ltd.2019-20A C†(a) | Zero Coupon | #(b) | 1/25/2030 | 2,539 | 2,538,528 | |||||||
Northwoods Capital Corp./NorthwoodsCapital Ltd.2019-20A D†(a) | Zero Coupon | #(b) | 1/25/2030 | 2,939 | 2,938,936 | |||||||
Octagon Investment Partners 30 Ltd. 2017-1A A2† | 3.666% (3 Mo. LIBOR + 1.70% | )# | 3/17/2030 | 4,300 | 4,267,870 | |||||||
OHA Loan Funding Ltd. 2015-1A CR2†(a) | 4.50% | #(b) | 11/15/2032 | 1,396 | 1,396,000 | |||||||
OHA Loan Funding Ltd. 2016-1A B1† | 3.766% (3 Mo. LIBOR + 1.80% | )# | 1/20/2028 | 4,500 | 4,484,425 | |||||||
OneMain Financial Issuance Trust 2016-1A A† | 3.66% | 2/20/2029 | 189 | 189,990 | ||||||||
Palmer Square Loan Funding Ltd. 2017-1A B† | 3.701% (3 Mo. LIBOR + 1.70% | )# | 10/15/2025 | 2,079 | 2,063,829 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A1† | 2.601% (3 Mo. LIBOR + .60% | )# | 4/15/2026 | 3,299 | 3,286,204 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A2† | 3.051% (3 Mo. LIBOR + 1.05% | )# | 4/15/2026 | 1,633 | 1,610,698 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A B† | 3.401% (3 Mo. LIBOR + 1.40% | )# | 4/15/2026 | 1,237 | 1,199,795 | |||||||
Palmer Square Loan Funding Ltd. 2018-5A A2† | 3.366% (3 Mo. LIBOR + 1.40% | )# | 1/20/2027 | 957 | 941,085 | |||||||
Planet Fitness Master Issuer LLC 2019-1A A2†(a) | 3.858% | 12/5/2049 | 2,578 | 2,591,039 | ||||||||
Regatta VI Funding Ltd. 2016-1A CR† | 4.016% (3 Mo. LIBOR + 2.05% | )# | 7/20/2028 | 1,857 | 1,817,449 | |||||||
Regatta XVI Funding Ltd. 2019-2A C†(a) | Zero Coupon | #(b) | 1/15/2033 | 1,214 | 1,214,000 | |||||||
Regatta XVI Funding Ltd. 2019-2A D†(a) | Zero Coupon | #(b) | 1/15/2033 | 1,325 | 1,325,000 | |||||||
Salem Fields CLO Ltd. 2016-2A A2R† | 3.64% (3 Mo. LIBOR + 1.70% | )# | 10/25/2028 | 2,008 | 2,009,695 | |||||||
SCF Equipment Leasing LLC 2017-2A A† | 3.41% | 12/20/2023 | 840 | 849,708 | ||||||||
Seneca Park CLO Ltd. 2014-1A AR† | 3.122% (3 Mo. LIBOR + 1.12% | )# | 7/17/2026 | 491 | 491,444 | |||||||
Shackleton CLO Ltd. 2019-14A A2† | 4.178% (3 Mo. LIBOR + 1.90% | )# | 7/20/2030 | 6,782 | 6,718,381 | |||||||
Sound Point CLO XV Ltd. 2017-1A C† | 4.434% (3 Mo. LIBOR + 2.50% | )# | 1/23/2029 | 2,180 | 2,181,637 |
See Notes to Financial Statements. | 191 |
Schedule of Investments (continued)
INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Sound Point CLO XVII 2017-3A A2† | 3.566% (3 Mo. LIBOR + 1.60% | )# | 10/20/2030 | $ | 7,273 | $ | 7,092,320 | |||||
Thacher Park CLO Ltd. 2014-1A AR† | 3.126% (3 Mo. LIBOR + 1.16% | )# | 10/20/2026 | 1,612 | 1,613,683 | |||||||
Venture XXIV CLO Ltd. 2016-24A B† | 4.016% (3 Mo. LIBOR + 2.05% | )# | 10/20/2028 | 5,000 | 5,005,719 | |||||||
Total | 122,491,040 | |||||||||||
Total Asset-Backed Securities (cost $166,726,667) | 166,915,726 | |||||||||||
Shares (000) | ||||||||||||
COMMON STOCKS 0.01% | ||||||||||||
Electric: Power 0.00% | ||||||||||||
Eneva SA*(c) | BRL | 3 | 26,760 | |||||||||
Oil 0.01% | ||||||||||||
Chaparral Energy, Inc. Class A* | 77 | 83,112 | ||||||||||
Dommo Energia SA*(c) | BRL | 32 | 76,616 | |||||||||
Templar Energy LLC Class A Units | 97 | 12,131 | ||||||||||
Total | 171,859 | |||||||||||
Total Common Stocks (cost $3,332,109) | 198,619 | |||||||||||
Principal Amount (000) | ||||||||||||
CORPORATE BONDS 76.23% | ||||||||||||
Aerospace/Defense 1.38% | ||||||||||||
BAE Systems Finance, Inc.† | 7.50% | 7/1/2027 | $ | 930 | $ | 1,202,365 | ||||||
BBA US Holdings, Inc.† | 4.00% | 3/1/2028 | 3,333 | 3,363,164 | ||||||||
Bombardier, Inc. (Canada)†(d) | 6.125% | 1/15/2023 | 5,398 | 5,486,527 | ||||||||
Bombardier, Inc. (Canada)†(d) | 7.50% | 3/15/2025 | 2,432 | 2,468,480 | ||||||||
Bombardier, Inc. (Canada)†(d) | 8.75% | 12/1/2021 | 1,000 | 1,084,750 | ||||||||
Embraer Netherlands Finance BV (Netherlands)(d) | 5.05% | 6/15/2025 | 1,628 | 1,784,231 | ||||||||
Embraer Overseas Ltd.† | 5.696% | 9/16/2023 | 2,375 | 2,610,517 | ||||||||
L3Harris Technologies, Inc.† | 4.40% | 6/15/2028 | 8,841 | 9,886,072 | ||||||||
Litton Industries, Inc. | 7.75% | 3/15/2026 | 3,130 | 3,978,920 | ||||||||
Lockheed Martin Corp. | 7.75% | 5/1/2026 | 900 | 1,157,665 | ||||||||
Lockheed Martin Tactical Systems, Inc. | 7.625% | 6/15/2025 | 590 | 731,731 | ||||||||
Northrop Grumman Systems Corp. | 7.75% | 2/15/2031 | 1,512 | 2,193,044 | ||||||||
Northrop Grumman Systems Corp. | 7.875% | 3/1/2026 | 1,127 | 1,450,013 | ||||||||
Total | 37,397,479 |
192 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Air Transportation 0.70% | ||||||||||||
Air Canada 2015-2 Class B | ||||||||||||
Pass-Through Trust (Canada)†(d) | 5.00% | 6/15/2025 | $ | 2,097 | $ | 2,186,013 | ||||||
American Airlines 2013-1 Class B | ||||||||||||
Pass-Through Trust† | 5.625% | 7/15/2022 | 4,870 | 4,974,973 | ||||||||
American Airlines 2013-2 Class B | ||||||||||||
Pass-Through Trust† | 5.60% | 1/15/2022 | 4,838 | 4,918,445 | ||||||||
American Airlines 2014-1 Class B | ||||||||||||
Pass-Through Trust | 4.375% | 4/1/2024 | 6,500 | 6,724,957 | ||||||||
Total | 18,804,388 | |||||||||||
Apparel 0.26% | ||||||||||||
PVH Corp. | 7.75% | 11/15/2023 | 5,967 | 6,925,986 | ||||||||
Auto Parts: Original Equipment 0.82% | ||||||||||||
American Axle & Manufacturing, Inc. | 6.50% | 4/1/2027 | 3,875 | 3,904,159 | ||||||||
IHO Verwaltungs GmbH PIK 5.50% (Germany)†(d) | 4.75% | 9/15/2026 | 3,000 | 3,052,883 | ||||||||
Tenneco, Inc. | 5.00% | 7/15/2026 | 4,000 | 3,441,100 | ||||||||
Titan International, Inc. | 6.50% | 11/30/2023 | 2,919 | 2,423,982 | ||||||||
ZF North America Capital, Inc.† | 4.00% | 4/29/2020 | 2,000 | 2,009,327 | ||||||||
ZF North America Capital, Inc.† | 4.50% | 4/29/2022 | 1,000 | 1,032,295 | ||||||||
ZF North America Capital, Inc.† | 4.75% | 4/29/2025 | 5,917 | 6,189,037 | ||||||||
Total | 22,052,783 | |||||||||||
Automotive 1.73% | ||||||||||||
Ford Motor Co. | 7.45% | 7/16/2031 | 14,088 | 16,371,077 | ||||||||
Ford Motor Credit Co. LLC | 5.113% | 5/3/2029 | 2,000 | 2,025,908 | ||||||||
General Motors Co. | 6.75% | 4/1/2046 | 17,530 | 20,416,778 | ||||||||
General Motors Financial Co., Inc. | 4.25% | 5/15/2023 | 636 | 667,100 | ||||||||
Nissan Motor Acceptance Corp.† | 2.639% (3 Mo. LIBOR + .52% | )# | 3/15/2021 | 1,750 | 1,751,028 | |||||||
Nissan Motor Acceptance Corp.† | 2.794% (3 Mo. LIBOR + .69% | )# | 9/28/2022 | 3,000 | 2,994,856 | |||||||
Wabash National Corp.† | 5.50% | 10/1/2025 | 2,500 | 2,482,288 | ||||||||
Total | 46,709,035 | |||||||||||
Banks: Regional 8.31% | ||||||||||||
Banco Mercantil del Norte SA† | 7.625% (10 Yr Treasury Constant Maturity Rate + 5.35% | )# | – | (e) | 2,000 | 2,110,200 | ||||||
Bank of America Corp. | 2.749% (3 Mo. LIBOR + .65% | )# | 10/1/2021 | 5,000 | 5,018,967 | |||||||
Bank of America Corp. | 3.824% (3 Mo. LIBOR + 1.58% | )# | 1/20/2028 | 8,949 | 9,648,417 |
See Notes to Financial Statements. | 193 |
Schedule of Investments (continued)
INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Bank of America Corp. | 4.45% | 3/3/2026 | $ | 9,494 | $ | 10,429,932 | ||||||
Bank of Ireland Group plc (Ireland)(d) | 4.125% (5 Yr Treasury Constant Maturity Rate + 2.50% | )# | 9/19/2027 | 12,794 | 12,818,718 | |||||||
Bank of Montreal (Canada)(d) | 3.803% (5 Yr. Swap rate + 1.43% | )# | 12/15/2032 | 3,570 | 3,719,940 | |||||||
Barclays Bank plc (United Kingdom)†(d) | 10.179% | 6/12/2021 | 2,840 | 3,166,374 | ||||||||
BBVA Bancomer SA† | 5.125% (5 Yr Treasury Constant Maturity Rate + 2.65% | )# | 1/18/2033 | 4,300 | 4,246,357 | |||||||
BBVA USA | 3.875% | 4/10/2025 | 735 | 773,748 | ||||||||
CIT Group, Inc. | 5.80% (3 Mo. LIBOR + 3.97% | )# | – | (e) | 619 | 633,172 | ||||||
Citigroup, Inc. | 3.668% (3 Mo. LIBOR + 1.39% | )# | 7/24/2028 | 5,426 | 5,766,027 | |||||||
Citigroup, Inc. | 3.887% (3 Mo. LIBOR + 1.56% | )# | 1/10/2028 | 12,568 | 13,522,370 | |||||||
Citigroup, Inc. | 4.60% | 3/9/2026 | 2,161 | 2,379,674 | ||||||||
Citigroup, Inc. | 5.95% (3 Mo. LIBOR + 3.91% | )# | – | (e) | 1,077 | 1,173,235 | ||||||
Citizens Financial Group, Inc.† | 4.15% | 9/28/2022 | 2,000 | 2,076,994 | ||||||||
Danske Bank A/S (Denmark)†(d) | 4.375% | 6/12/2028 | 875 | 938,620 | ||||||||
Danske Bank A/S (Denmark)†(d) | 5.375% | 1/12/2024 | 12,000 | 13,191,255 | ||||||||
Discover Bank | 4.682% (5 Yr. Swap rate + 1.73% | )# | 8/9/2028 | 7,750 | 8,136,880 | |||||||
Goldman Sachs Group, Inc. (The) | 6.75% | 10/1/2037 | 11,263 | 15,488,950 | ||||||||
Huntington Bancshares, Inc. | 5.70% (3 Mo. LIBOR + 2.88% | )# | – | (e) | 1,834 | 1,899,501 | ||||||
Lloyds Bank plc (United Kingdom)†(d) | 6.50% | 9/14/2020 | 5,029 | 5,190,452 | ||||||||
Macquarie Bank Ltd. (Australia)†(d) | 4.875% | 6/10/2025 | 1,850 | 1,994,571 | ||||||||
Macquarie Bank Ltd. (Australia)†(d) | 6.625% | 4/7/2021 | 4,261 | 4,502,076 | ||||||||
Macquarie Bank Ltd. (United Kingdom)†(d) | 6.125% (5 Yr. Swap rate + 3.703% | )# | – | (e) | 1,150 | 1,188,410 | ||||||
Macquarie Group Ltd. (Australia)†(d) | 4.654% (3 Mo. LIBOR + 1.73% | )# | 3/27/2029 | 8,682 | 9,625,562 | |||||||
Morgan Stanley | 3.875% | 1/27/2026 | 7,343 | 7,918,586 | ||||||||
National Australia Bank Ltd. (Australia)†(d) | 3.933% (5 Yr Treasury Constant Maturity Rate + 1.88% | )# | 8/2/2034 | 6,000 | 6,138,574 | |||||||
Popular, Inc. | 6.125% | 9/14/2023 | 1,950 | 2,097,059 | ||||||||
Provident Funding Associates LP/PFG Finance Corp.† | 6.375% | 6/15/2025 | 3,276 | 3,235,427 | ||||||||
Royal Bank of Scotland Group plc (United Kingdom)(d) | 3.875% | 9/12/2023 | 5,950 | 6,191,809 |
194 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Santander UK plc (United Kingdom)(d) | 7.95% | 10/26/2029 | $ | 5,770 | $ | 7,392,184 | ||||||
Standard Chartered plc (United Kingdom)†(d) | 4.247% (3 Mo. LIBOR + 1.15% | )# | 1/20/2023 | 2,276 | 2,353,173 | |||||||
Turkiye Vakiflar Bankasi TAO (Turkey)†(d) | 5.625% | 5/30/2022 | 1,109 | 1,101,836 | ||||||||
Turkiye Vakiflar Bankasi TAO (Turkey)†(d) | 5.75% | 1/30/2023 | 1,832 | 1,798,337 | ||||||||
UBS AG | 7.625% | 8/17/2022 | 8,750 | 9,875,294 | ||||||||
UBS AG (Switzerland)(d) | 5.125% | 5/15/2024 | 13,800 | 14,879,188 | ||||||||
Webster Financial Corp. | 4.10% | 3/25/2029 | 4,986 | 5,321,408 | ||||||||
Wells Fargo Capital X | 5.95% | 12/1/2086 | 8,224 | 10,267,214 | ||||||||
Westpac Banking Corp. (Australia)(d) | 4.11% (5 Yr Treasury Constant Maturity Rate + 2.00% | )# | 7/24/2034 | 3,061 | 3,176,802 | |||||||
Westpac Banking Corp. (Australia)(d) | 4.322% (5 Yr. Swap rate + 2.24% | )# | 11/23/2031 | 3,197 | 3,363,563 | |||||||
Total | 224,750,856 | |||||||||||
Beverages 2.15% | ||||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. | 4.70% | 2/1/2036 | 30,835 | 35,897,432 | ||||||||
Anheuser-Busch InBev Worldwide, Inc. | 8.20% | 1/15/2039 | 245 | 388,411 | ||||||||
Bacardi Ltd.† | 4.70% | 5/15/2028 | 10,673 | 11,606,222 | ||||||||
Becle SAB de CV (Mexico)†(d) | 3.75% | 5/13/2025 | 5,050 | 5,192,386 | ||||||||
Keurig Dr Pepper, Inc. | 4.417% | 5/25/2025 | 4,715 | 5,146,831 | ||||||||
Total | 58,231,282 | |||||||||||
Building Materials 1.02% | ||||||||||||
Boral Finance Pty Ltd. (Australia)†(d) | 3.00% | 11/1/2022 | 987 | 991,486 | ||||||||
CPG Merger Sub LLC† | 8.00% | 10/1/2021 | 1,464 | 1,463,414 | ||||||||
CRH America Finance, Inc.† | 3.95% | 4/4/2028 | 7,213 | 7,791,999 | ||||||||
Griffon Corp. | 5.25% | 3/1/2022 | 2,220 | 2,244,316 | ||||||||
Martin Marietta Materials, Inc. | 2.549% (3 Mo. LIBOR + .65% | )# | 5/22/2020 | 1,950 | 1,952,761 | |||||||
Owens Corning, Inc. | 4.30% | 7/15/2047 | 4,981 | 4,729,629 | ||||||||
Owens Corning, Inc. | 7.00% | 12/1/2036 | 3,747 | 4,621,593 | ||||||||
Vulcan Materials Co. | 2.557% (3 Mo. LIBOR + .65% | )# | 3/1/2021 | 3,900 | 3,911,617 | |||||||
Total | 27,706,815 | |||||||||||
Business Services 0.78% | ||||||||||||
Ashtead Capital, Inc.† | 4.25% | 11/1/2029 | 1,917 | 1,940,963 | ||||||||
Ashtead Capital, Inc.† | 5.625% | 10/1/2024 | 609 | 627,827 | ||||||||
Capitol Investment Merger Sub 2 LLC† | 10.00% | 8/1/2024 | 800 | 800,332 |
See Notes to Financial Statements. | 195 |
Schedule of Investments (continued)
INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Business Services (continued) | ||||||||||||
Global Payments, Inc. | 3.20% | 8/15/2029 | $ | 4,772 | $ | 4,854,847 | ||||||
IHS Markit Ltd. (United Kingdom)(d) | 3.625% | 5/1/2024 | 606 | 632,585 | ||||||||
IHS Markit Ltd. (United Kingdom)†(d) | 4.00% | 3/1/2026 | 4,836 | 5,146,387 | ||||||||
IHS Markit Ltd. (United Kingdom)(d) | 4.25% | 5/1/2029 | 2,848 | 3,072,622 | ||||||||
Red de Carreteras de Occidente S.A.P.I.B. de CV†(c) | 9.00% | 6/10/2028 | MXN | 31,250 | 1,636,396 | |||||||
Refinitiv US Holdings, Inc.† | 8.25% | 11/15/2026 | $ | 1,033 | 1,158,277 | |||||||
Sotera Health Topco, Inc. PIK 8.875%† | 8.125% | 11/1/2021 | 1,215 | 1,212,570 | ||||||||
Total | 21,082,806 | |||||||||||
Chemicals 0.60% | ||||||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(d) | 3.00% | 7/19/2020 | 7,350 | 7,377,157 | ||||||||
NOVA Chemicals Corp. (Canada)†(d) | 5.25% | 8/1/2023 | 965 | 974,640 | ||||||||
Phosagro OAO Via Phosagro Bond Funding DAC (Ireland)†(d) | 3.949% | 4/24/2023 | 4,600 | 4,743,658 | ||||||||
Syngenta Finance NV (Netherlands)†(d) | 4.441% | 4/24/2023 | 1,332 | 1,389,109 | ||||||||
Yingde Gases Investment Ltd. (Hong Kong)†(d) | 6.25% | 1/19/2023 | 1,800 | 1,857,623 | ||||||||
Total | 16,342,187 | |||||||||||
Computer Hardware 0.99% | ||||||||||||
Dell International LLC/EMC Corp.† | 6.02% | 6/15/2026 | 6,965 | 7,965,060 | ||||||||
Dell International LLC/EMC Corp.† | 8.35% | 7/15/2046 | 9,220 | 12,381,765 | ||||||||
Leidos Holdings, Inc. | 5.95% | 12/1/2040 | 1,325 | 1,477,406 | ||||||||
Leidos, Inc. | 7.125% | 7/1/2032 | 4,309 | 5,021,482 | ||||||||
Total | 26,845,713 | |||||||||||
Computer Service 0.10% | ||||||||||||
Sophia LP/Sophia Finance, Inc.† | 9.00% | 9/30/2023 | 2,500 | 2,576,038 | ||||||||
Computer Software 0.31% | ||||||||||||
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Ho† | 10.00% | 11/30/2024 | 1,115 | 1,202,795 | ||||||||
Solera LLC/Solera Finance, Inc.† | 10.50% | 3/1/2024 | 3,550 | 3,705,277 | ||||||||
TIBCO Software, Inc.† | 11.375% | 12/1/2021 | 3,400 | 3,512,625 | ||||||||
Total | 8,420,697 | |||||||||||
Construction/Homebuilding 0.29% | ||||||||||||
Century Communities, Inc. | 5.875% | 7/15/2025 | 2,953 | 3,050,818 | ||||||||
D.R. Horton, Inc. | 2.50% | 10/15/2024 | 2,034 | 2,034,894 | ||||||||
William Lyon Homes, Inc. | 7.00% | 8/15/2022 | 368 | 369,150 | ||||||||
Williams Scotsman International, Inc.† | 7.875% | 12/15/2022 | 2,158 | 2,255,783 | ||||||||
Total | 7,710,645 |
196 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Containers 0.19% | ||||||||||||
Mauser Packaging Solutions Holding Co.† | 7.25% | 4/15/2025 | $ | 2,892 | $ | 2,747,371 | ||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA | 5.75% | 10/15/2020 | 2,371 | 2,377,217 | ||||||||
Total | 5,124,588 | |||||||||||
Drugs 2.55% | ||||||||||||
AbbVie, Inc.† | 4.25% | 11/21/2049 | 2,651 | 2,796,342 | ||||||||
AbbVie, Inc. | 4.70% | 5/14/2045 | 1,890 | 2,100,272 | ||||||||
AbbVie, Inc. | 4.875% | 11/14/2048 | 2,018 | 2,326,156 | ||||||||
Bayer Corp.† | 6.65% | 2/15/2028 | 2,915 | 3,586,819 | ||||||||
Bayer US Finance II LLC† | 3.875% | 12/15/2023 | 5,288 | 5,549,983 | ||||||||
Bayer US Finance II LLC† | 4.375% | 12/15/2028 | 5,000 | 5,471,111 | ||||||||
Cigna Corp.† | 6.125% | 11/15/2041 | 3,305 | 4,277,261 | ||||||||
CVS Health Corp. | 4.30% | 3/25/2028 | 23,462 | 25,607,394 | ||||||||
CVS Health Corp. | 4.78% | 3/25/2038 | 11,790 | 13,432,458 | ||||||||
CVS Health Corp. | 5.05% | 3/25/2048 | 3,215 | 3,807,768 | ||||||||
Total | 68,955,564 | |||||||||||
Electric: Power 6.75% | ||||||||||||
Acwa Power Management & Investments One Ltd. (Saudi Arabia)†(d) | 5.95% | 12/15/2039 | 2,200 | 2,337,500 | ||||||||
Adani Transmission Ltd. (India)†(d) | 4.00% | 8/3/2026 | 2,200 | 2,265,044 | ||||||||
Appalachian Power Co. | 7.00% | 4/1/2038 | 2,230 | 3,224,798 | ||||||||
Ausgrid Finance Pty Ltd. (Australia)†(d) | 4.35% | 8/1/2028 | 7,542 | 8,283,856 | ||||||||
Calpine Corp. | 5.50% | 2/1/2024 | 3,885 | 3,962,855 | ||||||||
Cleco Corporate Holdings LLC | 4.973% | 5/1/2046 | 4,676 | 5,307,365 | ||||||||
Cleco Power LLC | 6.00% | 12/1/2040 | 4,904 | 6,246,845 | ||||||||
Cleveland Electric Illuminating Co. (The)† | 3.50% | 4/1/2028 | 2,361 | 2,471,016 | ||||||||
Dominion Energy, Inc. | 7.00% | 6/15/2038 | 4,000 | 5,603,014 | ||||||||
DPL, Inc.† | 4.35% | 4/15/2029 | 13,282 | 12,446,034 | ||||||||
Duquesne Light Holdings, Inc. | 6.25% | 8/15/2035 | 2,650 | 3,232,417 | ||||||||
Duquesne Light Holdings, Inc.† | 6.40% | 9/15/2020 | 1,170 | 1,205,509 | ||||||||
El Paso Electric Co. | 5.00% | 12/1/2044 | 4,995 | 5,928,255 | ||||||||
El Paso Electric Co. | 6.00% | 5/15/2035 | 425 | 532,669 | ||||||||
Electricite de France SA (France)†(d) | 5.00% | 9/21/2048 | 1,599 | 1,912,481 | ||||||||
Emera, Inc. (Canada)(d) | 6.75% (3 Mo. LIBOR + 5.44% | )# | 6/15/2076 | 2,500 | 2,816,300 | |||||||
Enel Finance International NV (Netherlands)†(d) | 2.75% | 4/6/2023 | 5,440 | 5,485,988 | ||||||||
Exelon Generation Co. LLC | 5.60% | 6/15/2042 | 2,950 | 3,442,526 | ||||||||
Exelon Generation Co. LLC | 5.75% | 10/1/2041 | 3,736 | 4,387,185 |
See Notes to Financial Statements. | 197 |
Schedule of Investments (continued)
INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Power (continued) | ||||||||||||
Exelon Generation Co. LLC | 6.25% | 10/1/2039 | $ | 3,483 | $ | 4,320,922 | ||||||
FirstEnergy Transmission LLC† | 4.35% | 1/15/2025 | 1,000 | 1,079,776 | ||||||||
FirstEnergy Transmission LLC† | 4.55% | 4/1/2049 | 7,235 | 8,362,797 | ||||||||
Florida Power & Light Co. | 2.308% (3 Mo. LIBOR + .40% | )# | 5/6/2022 | 2,000 | 2,000,062 | |||||||
Infraestructura Energetica Nova SAB de CV (Mexico)†(d) | 4.875% | 1/14/2048 | 1,954 | 1,863,012 | ||||||||
Interstate Power & Light Co. | 3.50% | 9/30/2049 | 2,754 | 2,759,455 | ||||||||
Interstate Power & Light Co. | 3.60% | 4/1/2029 | 2,181 | 2,339,467 | ||||||||
Interstate Power & Light Co. | 4.70% | 10/15/2043 | 200 | 232,586 | ||||||||
Metropolitan Edison Co.† | 4.00% | 4/15/2025 | 680 | 723,861 | ||||||||
Minejesa Capital BV (Netherlands)†(d) | 5.625% | 8/10/2037 | 1,800 | 1,943,420 | ||||||||
Mississippi Power Co. | 4.25% | 3/15/2042 | 3,605 | 3,921,132 | ||||||||
New York State Electric & Gas Corp.† | 3.30% | 9/15/2049 | 1,790 | 1,751,822 | ||||||||
NextEra Energy Capital Holdings, Inc. | 2.63% (3 Mo. LIBOR + .72% | )# | 2/25/2022 | 5,000 | 5,041,627 | |||||||
NRG Energy, Inc.† | 4.45% | 6/15/2029 | 9,587 | 10,122,855 | ||||||||
Oglethorpe Power Corp. | 5.05% | 10/1/2048 | 3,138 | 3,780,245 | ||||||||
Oncor Electric Delivery Co. LLC | 7.50% | 9/1/2038 | 299 | 475,124 | ||||||||
Origin Energy Finance Ltd. (Australia)†(d) | 5.45% | 10/14/2021 | 4,289 | 4,521,005 | ||||||||
PPL WEM Ltd./Western Power Distribution Ltd. (United Kingdom)†(d) | 5.375% | 5/1/2021 | 2,560 | 2,640,571 | ||||||||
PSEG Power LLC | 8.625% | 4/15/2031 | 8,787 | 12,381,395 | ||||||||
Public Service Co. of New Mexico | 3.85% | 8/1/2025 | 295 | 307,525 | ||||||||
Puget Energy, Inc. | 3.65% | 5/15/2025 | 4,587 | 4,760,506 | ||||||||
SCANA Corp. | 4.125% | 2/1/2022 | 5,135 | 5,260,950 | ||||||||
SCANA Corp. | 4.75% | 5/15/2021 | 2,460 | 2,516,905 | ||||||||
SCANA Corp. | 6.25% | 4/1/2020 | 628 | 634,437 | ||||||||
TransAlta Corp. (Canada)(d) | 4.50% | 11/15/2022 | 8,736 | 9,009,804 | ||||||||
Virginia Electric & Power Co. | 8.875% | 11/15/2038 | 974 | 1,648,958 | ||||||||
Vistra Operations Co. LLC† | 4.30% | 7/15/2029 | 6,669 | 6,883,400 | ||||||||
Total | 182,375,276 | |||||||||||
Electrical Equipment 1.04% | ||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 3.875% | 1/15/2027 | 11,892 | 12,150,279 | ||||||||
Broadcom, Inc.† | 3.625% | 10/15/2024 | 5,577 | 5,736,154 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(d) | 4.625% | 6/1/2023 | 9,482 | 10,114,237 | ||||||||
Total | 28,000,670 |
198 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electronics 0.68% | ||||||||||||
Allegion plc (Ireland)(d) | 3.50% | 10/1/2029 | $ | 1,745 | $ | 1,783,932 | ||||||
Itron, Inc.† | 5.00% | 1/15/2026 | 2,428 | 2,518,206 | ||||||||
PerkinElmer, Inc. | 3.30% | 9/15/2029 | 6,636 | 6,654,162 | ||||||||
Trimble, Inc. | 4.90% | 6/15/2028 | 6,726 | 7,403,653 | ||||||||
Total | 18,359,953 | |||||||||||
Engineering & Contracting Services 0.11% | ||||||||||||
Brand Industrial Services, Inc.† | 8.50% | 7/15/2025 | 3,087 | 3,017,512 | ||||||||
Entertainment 0.35% | ||||||||||||
Eldorado Resorts, Inc. | 6.00% | 9/15/2026 | 1,625 | 1,791,845 | ||||||||
Enterprise Development Authority (The)† | 12.00% | 7/15/2024 | 1,024 | 1,165,225 | ||||||||
Mohegan Gaming & Entertainment† | 7.875% | 10/15/2024 | 2,045 | 1,989,611 | ||||||||
Motion Bondco DAC (Ireland)†(d) | 6.625% | 11/15/2027 | 714 | 738,098 | ||||||||
Scientific Games International, Inc. | 6.625% | 5/15/2021 | 2,493 | 2,534,508 | ||||||||
Scientific Games International, Inc. | 10.00% | 12/1/2022 | 1,141 | 1,172,378 | ||||||||
Total | 9,391,665 | |||||||||||
Environmental Services 0.18% | ||||||||||||
Waste Pro USA, Inc.† | 5.50% | 2/15/2026 | 4,664 | 4,826,412 | ||||||||
Financial Services 3.70% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(d) | 3.50% | 1/15/2025 | 7,107 | 7,322,455 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(d) | 3.65% | 7/21/2027 | 5,000 | 5,155,281 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(d) | 4.875% | 1/16/2024 | 2,674 | 2,899,937 | ||||||||
Affiliated Managers Group, Inc. | 3.50% | 8/1/2025 | 541 | 564,255 | ||||||||
Affiliated Managers Group, Inc. | 4.25% | 2/15/2024 | 605 | 645,571 | ||||||||
Air Lease Corp. | 3.625% | 4/1/2027 | 6,981 | 7,240,309 | ||||||||
Aircastle Ltd. | 4.25% | 6/15/2026 | 9,806 | 10,305,958 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(d) | 5.125% | 10/1/2023 | 3,587 | 3,866,122 | ||||||||
Brightsphere Investment Group, Inc. | 4.80% | 7/27/2026 | 3,933 | 4,088,418 | ||||||||
Discover Financial Services | 3.85% | 11/21/2022 | 1,950 | 2,043,641 | ||||||||
Discover Financial Services | 4.10% | 2/9/2027 | 4,115 | 4,415,485 | ||||||||
E*TRADE Financial Corp. | 3.80% | 8/24/2027 | 1,448 | 1,504,450 | ||||||||
E*TRADE Financial Corp. | 4.50% | 6/20/2028 | 2,713 | 2,939,645 | ||||||||
GE Capital International Funding Co. Unlimited Co. (Ireland)(d) | 4.418% | 11/15/2035 | 7,730 | 8,331,219 |
See Notes to Financial Statements. | 199 |
Schedule of Investments (continued)
INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Financial Services (continued) | ||||||||||||
Global Aircraft Leasing Co. Ltd. PIK 7.25%† | 6.50% | 9/15/2024 | $ | 2,491 | $ | 2,554,022 | ||||||
Nationstar Mortgage Holdings, Inc.† | 9.125% | 7/15/2026 | 4,054 | 4,484,737 | ||||||||
Navient Corp. | 6.75% | 6/25/2025 | 7,825 | 8,470,562 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.50% | 3/15/2027 | 4,123 | 4,411,288 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 5,679 | 5,901,824 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(d) | 4.50% | 3/15/2023 | 1,379 | 1,448,109 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(d) | 5.50% | 2/15/2024 | 8,146 | 8,925,165 | ||||||||
SURA Asset Management SA (Colombia)†(d) | 4.375% | 4/11/2027 | 2,285 | 2,424,037 | ||||||||
Total | 99,942,490 | |||||||||||
Food 0.35% | ||||||||||||
Chobani LLC/Chobani Finance Corp., Inc.† | 7.50% | 4/15/2025 | 3,094 | 2,939,269 | ||||||||
Smithfield Foods, Inc.† | 3.35% | 2/1/2022 | 975 | 980,854 | ||||||||
Smithfield Foods, Inc.† | 5.20% | 4/1/2029 | 5,000 | 5,521,691 | ||||||||
Total | 9,441,814 | |||||||||||
Health Care Products 0.17% | ||||||||||||
Kinetic Concepts, Inc./KCI USA, Inc.† | 12.50% | 11/1/2021 | 414 | 431,761 | ||||||||
Zimmer Biomet Holdings, Inc. | 5.75% | 11/30/2039 | 3,372 | 4,065,544 | ||||||||
Total | 4,497,305 | |||||||||||
Health Care Services 3.19% | ||||||||||||
Centene Corp.†(a) | 4.625% | 12/15/2029 | 7,143 | 7,509,079 | ||||||||
Centene Corp.† | 5.375% | 6/1/2026 | 3,240 | 3,446,631 | ||||||||
CommonSpirit Health | 3.347% | 10/1/2029 | 9,471 | 9,528,522 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 4.75% | 10/15/2024 | 5,640 | 6,096,783 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 5.875% | 1/31/2022 | 7,513 | 8,034,229 | ||||||||
HCA, Inc. | 5.125% | 6/15/2039 | 15,213 | 16,871,613 | ||||||||
Mount Sinai Hospitals Group, Inc. | 3.737% | 7/1/2049 | 1,400 | 1,427,443 | ||||||||
New York and Presbyterian Hospital (The) | 3.954% | – | (e) | 6,705 | 6,891,871 | |||||||
Northwell Healthcare, Inc. | 3.979% | 11/1/2046 | 3,786 | 3,981,347 | ||||||||
Rede D’or Finance Sarl (Luxembourg)†(d) | 4.95% | 1/17/2028 | 1,096 | 1,115,561 | ||||||||
Universal Health Services, Inc.† | 4.75% | 8/1/2022 | 14,038 | 14,222,151 | ||||||||
Universal Health Services, Inc.† | 5.00% | 6/1/2026 | 6,807 | 7,200,768 | ||||||||
Total | 86,325,998 | |||||||||||
Household Equipment/Products 0.20% | ||||||||||||
Newell Brands, Inc. | 3.85% | 4/1/2023 | 2,219 | 2,290,107 | ||||||||
Newell Brands, Inc. | 5.50% | 4/1/2046 | 3,000 | 3,126,114 | ||||||||
Total | 5,416,221 |
200 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Insurance 3.01% | ||||||||||||
Aon Corp. | 8.205% | 1/1/2027 | $ | 5,545 | $ | 7,130,315 | ||||||
Assurant, Inc. | 3.70% | 2/22/2030 | 5,881 | 5,974,768 | ||||||||
AXIS Specialty Finance LLC | 3.90% | 7/15/2029 | 4,933 | 5,180,792 | ||||||||
Berkshire Hathaway Finance Corp. | 4.25% | 1/15/2049 | 850 | 1,010,509 | ||||||||
CNO Financial Group, Inc. | 5.25% | 5/30/2025 | 7,366 | 8,180,495 | ||||||||
Fidelity National Financial, Inc. | 4.50% | 8/15/2028 | 5,808 | 6,285,424 | ||||||||
Global Atlantic Fin Co.† | 4.40% | 10/15/2029 | 6,675 | 6,629,648 | ||||||||
Hanover Insurance Group, Inc. (The) | 4.50% | 4/15/2026 | 4,460 | 4,827,617 | ||||||||
Lincoln National Corp. | 6.30% | 10/9/2037 | 2,578 | 3,421,513 | ||||||||
Lincoln National Corp. | 7.00% | 6/15/2040 | 2,518 | 3,660,432 | ||||||||
Protective Life Corp. | 8.45% | 10/15/2039 | 5,103 | 7,789,589 | ||||||||
Radian Group, Inc. | 4.875% | 3/15/2027 | 4,375 | 4,595,270 | ||||||||
Selective Insurance Group, Inc. | 5.375% | 3/1/2049 | 3,386 | 4,018,219 | ||||||||
Teachers Insurance & Annuity Association of America† | 4.90% | 9/15/2044 | 7,365 | 9,190,292 | ||||||||
Unum Group | 5.75% | 8/15/2042 | 3,162 | 3,552,968 | ||||||||
Total | 81,447,851 | |||||||||||
Leasing 0.35% | ||||||||||||
GATX Corp. | 4.55% | 11/7/2028 | 4,845 | 5,321,179 | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.† | 3.95% | 3/10/2025 | 1,091 | 1,155,915 | ||||||||
Penske Truck Leasing Co., LP/PTL Finance Corp.† | 3.45% | 7/1/2024 | 3,000 | 3,114,322 | ||||||||
Total | 9,591,416 | |||||||||||
Leisure 0.93% | ||||||||||||
Carnival plc | 7.875% | 6/1/2027 | 5,500 | 7,189,743 | ||||||||
Royal Caribbean Cruises Ltd. | 3.70% | 3/15/2028 | 1,088 | 1,119,410 | ||||||||
Royal Caribbean Cruises Ltd. | 5.25% | 11/15/2022 | 3,894 | 4,221,679 | ||||||||
Royal Caribbean Cruises Ltd. | 7.50% | 10/15/2027 | 7,396 | 9,477,717 | ||||||||
Silversea Cruise Finance Ltd.† | 7.25% | 2/1/2025 | 3,039 | 3,233,238 | ||||||||
Total | 25,241,787 | |||||||||||
Lodging 0.42% | ||||||||||||
Las Vegas Sands Corp. | 3.90% | 8/8/2029 | 10,029 | 10,406,592 | ||||||||
Studio City Co. Ltd. (Macau)†(d) | 7.25% | 11/30/2021 | 913 | 933,040 | ||||||||
Total | 11,339,632 | |||||||||||
Machinery: Agricultural 1.06% | ||||||||||||
BAT Capital Corp. | 3.557% | 8/15/2027 | 774 | 789,193 | ||||||||
BAT Capital Corp. | 4.39% | 8/15/2037 | 15,975 | 15,826,053 | ||||||||
Imperial Brands Finance plc (United Kingdom)†(d) | 3.125% | 7/26/2024 | 3,000 | 3,014,005 |
See Notes to Financial Statements. | 201 |
Schedule of Investments (continued)
INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Machinery: Agricultural (continued) | ||||||||||||
Imperial Brands Finance plc (United Kingdom)†(d) | 3.875% | 7/26/2029 | $ | 6,841 | $ | 6,844,379 | ||||||
MHP Lux SA (Luxembourg)†(d) | 6.95% | 4/3/2026 | 2,000 | 2,055,240 | ||||||||
Total | 28,528,870 | |||||||||||
Machinery: Industrial/Specialty 1.60% | ||||||||||||
CNH Industrial Capital LLC | 4.375% | 4/5/2022 | 9,059 | 9,530,720 | ||||||||
CNH Industrial Capital LLC | 4.875% | 4/1/2021 | 2,925 | 3,026,907 | ||||||||
Kennametal, Inc. | 4.625% | 6/15/2028 | 3,818 | 4,087,957 | ||||||||
nVent Finance Sarl (Luxembourg)(d) | 4.55% | 4/15/2028 | 10,246 | 10,583,944 | ||||||||
Roper Technologies, Inc. | 3.85% | 12/15/2025 | 3,990 | 4,294,789 | ||||||||
Westinghouse Air Brake Technologies Corp. | 4.95% | 9/15/2028 | 10,504 | 11,679,831 | ||||||||
Total | 43,204,148 | |||||||||||
Manufacturing 0.93% | ||||||||||||
Gates Global LLC/Gates Global Co.† | 6.00% | 7/15/2022 | 716 | 716,179 | ||||||||
General Electric Co. | 2.271% (3 Mo. LIBOR + .38% | )# | 5/5/2026 | 2,674 | 2,509,468 | |||||||
General Electric Co. | 3.10% | 1/9/2023 | 610 | 623,220 | ||||||||
General Electric Co. | 3.375% | 3/11/2024 | 297 | 307,683 | ||||||||
General Electric Co. | 3.45% | 5/15/2024 | 492 | 509,512 | ||||||||
General Electric Co. | 5.00% (3 Mo. LIBOR + 3.33% | )# | – | (e) | 13,297 | 13,027,470 | ||||||
Pentair Finance Sarl (Luxembourg)(d) | 2.65% | 12/1/2019 | 3,855 | 3,855,000 | ||||||||
Pentair Finance Sarl (Luxembourg)(d) | 4.50% | 7/1/2029 | 3,439 | 3,611,055 | ||||||||
Total | 25,159,587 | |||||||||||
Media 2.18% | ||||||||||||
Charter Communications Operating LLC/Charter | ||||||||||||
Communications Operating Capital | 6.484% | 10/23/2045 | 1,515 | 1,879,889 | ||||||||
Cox Communications, Inc.† | 4.50% | 6/30/2043 | 1,435 | 1,531,958 | ||||||||
Cox Communications, Inc.† | 4.70% | 12/15/2042 | 410 | 448,754 | ||||||||
Cox Communications, Inc.† | 8.375% | 3/1/2039 | 7,166 | 10,861,438 | ||||||||
GCI LLC | 6.875% | 4/15/2025 | 2,900 | 3,035,328 | ||||||||
NBCUniversal Enterprise, Inc.† | 5.25% | – | (e) | 15,188 | 15,648,956 | |||||||
Time Warner Cable LLC | 7.30% | 7/1/2038 | 14,865 | 19,082,262 | ||||||||
Time Warner Entertainment Co. LP | 8.375% | 7/15/2033 | 4,675 | 6,544,086 | ||||||||
Total | 59,032,671 | |||||||||||
Metal Fabricating 0.07% | ||||||||||||
Valmont Industries, Inc. | 5.25% | 10/1/2054 | 1,946 | 1,998,097 |
202 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Metals & Minerals: Miscellaneous 2.28% | ||||||||||||
Anglo American Capital plc (United Kingdom)†(d) | 4.50% | 3/15/2028 | $ | 3,500 | $ | 3,726,033 | ||||||
Anglo American Capital plc (United Kingdom)†(d) | 4.75% | 4/10/2027 | 6,235 | 6,788,681 | ||||||||
Barrick International Barbados Corp. (Barbados)†(d) | 6.35% | 10/15/2036 | 2,799 | 3,591,465 | ||||||||
Barrick North America Finance LLC | 7.50% | 9/15/2038 | 1,810 | 2,535,726 | ||||||||
Freeport-McMoRan, Inc. | 5.25% | 9/1/2029 | 2,250 | 2,320,369 | ||||||||
Freeport-McMoRan, Inc. | 5.45% | 3/15/2043 | 8,000 | 7,700,800 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(d) | 4.25% | 10/25/2022 | 660 | 690,845 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(d) | 5.55% | 10/25/2042 | 5,774 | 6,253,635 | ||||||||
Glencore Funding LLC† | 3.00% | 10/27/2022 | 836 | 844,770 | ||||||||
Glencore Funding LLC† | 4.125% | 5/30/2023 | 1,599 | 1,670,102 | ||||||||
Hudbay Minerals, Inc. (Canada)†(d) | 7.25% | 1/15/2023 | 181 | 186,053 | ||||||||
Joseph T Ryerson & Son, Inc.† | 11.00% | 5/15/2022 | 982 | 1,040,422 | ||||||||
Kinross Gold Corp.(Canada)(d) | 4.50% | 7/15/2027 | 5,828 | 6,104,845 | ||||||||
MMC Norilsk Nickel OJSC via MMC Finance DAC (Ireland)†(d) | 4.10% | 4/11/2023 | 2,300 | 2,377,337 | ||||||||
Newmont Goldcorp Corp. | 3.70% | 3/15/2023 | 9,259 | 9,632,475 | ||||||||
Southern Copper Corp. (Peru)(d) | 5.25% | 11/8/2042 | 3,885 | 4,385,842 | ||||||||
Vedanta Resources Ltd. (India)†(d) | 6.125% | 8/9/2024 | 2,000 | 1,793,830 | ||||||||
Total | 61,643,230 | |||||||||||
Natural Gas 0.57% | ||||||||||||
National Fuel Gas Co. | 3.75% | 3/1/2023 | 6,919 | 7,152,864 | ||||||||
National Fuel Gas Co. | 3.95% | 9/15/2027 | 2,687 | 2,744,558 | ||||||||
National Fuel Gas Co. | 4.90% | 12/1/2021 | 3,887 | 4,050,897 | ||||||||
Southern Star Central Corp.† | 5.125% | 7/15/2022 | 1,531 | 1,550,615 | ||||||||
Total | 15,498,934 | |||||||||||
Oil 6.92% | ||||||||||||
Afren plc (United Kingdom)†(d)(f) | 6.625% | 12/9/2020 | 976 | 4,782 | ||||||||
Afren plc (United Kingdom)†(d)(f) | 10.25% | 4/8/2019 | 2,049 | 17,255 | ||||||||
Antero Resources Corp. | 5.125% | 12/1/2022 | 232 | 189,080 | ||||||||
Apache Corp. | 5.10% | 9/1/2040 | 11,206 | 10,946,531 | ||||||||
Berry Petroleum Co. LLC† | 7.00% | 2/15/2026 | 5,441 | 4,718,177 | ||||||||
Callon Petroleum Co. | 6.125% | 10/1/2024 | 1,000 | 952,500 | ||||||||
Callon Petroleum Co. | 6.375% | 7/1/2026 | 3,250 | 3,039,879 | ||||||||
Canadian Natural Resources Ltd. (Canada)(d) | 7.20% | 1/15/2032 | 6,558 | 8,797,720 | ||||||||
Carrizo Oil & Gas, Inc. | 6.25% | 4/15/2023 | 2,500 | 2,412,475 | ||||||||
Carrizo Oil & Gas, Inc. | 8.25% | 7/15/2025 | 761 | 747,998 | ||||||||
Centennial Resource Production LLC† | 6.875% | 4/1/2027 | 5,000 | 4,887,162 | ||||||||
Chaparral Energy, Inc.† | 8.75% | 7/15/2023 | 4,170 | 1,681,553 |
See Notes to Financial Statements. | 203 |
Schedule of Investments (continued)
INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil (continued) | ||||||||||||
Cimarex Energy Co. | 4.375% | 3/15/2029 | $ | 4,986 | $ | 5,180,537 | ||||||
Continental Resources, Inc. | 4.90% | 6/1/2044 | 4,988 | 5,074,755 | ||||||||
Continental Resources, Inc. | 5.00% | 9/15/2022 | 10,000 | 10,060,537 | ||||||||
Endeavor Energy Resources LP/EER Finance, Inc.† | 5.75% | 1/30/2028 | 2,812 | 2,949,739 | ||||||||
Eni SpA (Italy)†(d) | 5.70% | 10/1/2040 | 11,398 | 13,978,974 | ||||||||
Helmerich & Payne, Inc. | 4.65% | 3/15/2025 | 12,536 | 13,632,782 | ||||||||
Hess Corp. | 5.60% | 2/15/2041 | 3,848 | 4,392,533 | ||||||||
Hess Corp. | 5.80% | 4/1/2047 | 4,402 | 5,227,164 | ||||||||
HighPoint Operating Corp. | 7.00% | 10/15/2022 | 1,119 | 1,024,234 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.† | 6.25% | 11/1/2028 | 9,284 | 7,836,416 | ||||||||
KazMunayGas National Co. JSC (Kazakhstan)†(d) | 6.375% | 10/24/2048 | 1,800 | 2,283,759 | ||||||||
Laredo Petroleum, Inc. | 5.625% | 1/15/2022 | 3,623 | 3,345,543 | ||||||||
Marathon Petroleum Corp. | 5.375% | 10/1/2022 | 2,000 | 2,022,028 | ||||||||
MEG Energy Corp. (Canada)†(d) | 7.00% | 3/31/2024 | 5,500 | 5,407,187 | ||||||||
Motiva Enterprises LLC† | 5.75% | 1/15/2020 | 7,377 | 7,405,397 | ||||||||
Oasis Petroleum, Inc. | 6.875% | 3/15/2022 | 5,276 | 4,942,952 | ||||||||
Occidental Petroleum Corp. | 7.875% | 9/15/2031 | 6,505 | 8,673,104 | ||||||||
OGX Austria GmbH (Brazil)†(f) | 8.50% | 6/1/2018 | 1,800 | 36 | ||||||||
Parsley Energy LLC/Parsley Finance Corp.† | 6.25% | 6/1/2024 | 2,000 | 2,080,830 | ||||||||
QEP Resources, Inc. | 5.375% | 10/1/2022 | 2,000 | 1,960,624 | ||||||||
QEP Resources, Inc. | 6.875% | 3/1/2021 | 1,988 | 2,021,995 | ||||||||
Range Resources Corp. | 5.00% | 8/15/2022 | 1,882 | 1,787,900 | ||||||||
Range Resources Corp. | 5.00% | 3/15/2023 | 5,204 | 4,533,933 | ||||||||
Range Resources Corp. | 5.75% | 6/1/2021 | 1,907 | 1,907,763 | ||||||||
Seven Generations Energy Ltd. (Canada)†(d) | 6.875% | 6/30/2023 | 2,545 | 2,616,044 | ||||||||
SM Energy Co. | 6.125% | 11/15/2022 | 1,000 | 977,812 | ||||||||
SM Energy Co. | 6.625% | 1/15/2027 | 4,750 | 4,333,532 | ||||||||
SRC Energy, Inc. | 6.25% | 12/1/2025 | 4,000 | 3,919,960 | ||||||||
Suncor Energy Ventures Corp. (Canada)†(d) | 4.50% | 4/1/2022 | 155 | 159,925 | ||||||||
Tapstone Energy LLC/Tapstone Energy Finance Corp.† | 9.75% | 6/1/2022 | 4,967 | 1,291,420 | ||||||||
Valero Energy Corp. | 7.50% | 4/15/2032 | 275 | 373,443 | ||||||||
Valero Energy Corp. | 10.50% | 3/15/2039 | 7,619 | 12,929,560 | ||||||||
Viper Energy Partners LP† | 5.375% | 11/1/2027 | 2,500 | 2,606,212 | ||||||||
YPF SA (Argentina)†(d) | 6.95% | 7/21/2027 | 2,325 | 1,779,433 | ||||||||
Total | 187,113,175 | |||||||||||
Oil: Crude Producers 4.81% | ||||||||||||
Cheniere Corpus Christi Holdings LLC† | 3.70% | 11/15/2029 | 2,500 | 2,527,189 | ||||||||
Cheniere Corpus Christi Holdings LLC | 5.125% | 6/30/2027 | 3,832 | 4,207,593 |
204 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil: Crude Producers (continued) | ||||||||||||
Cheniere Corpus Christi Holdings LLC | 7.00% | 6/30/2024 | $ | 4,896 | $ | 5,629,617 | ||||||
Enbridge, Inc. (Canada)(d) | 6.00% (3 Mo. LIBOR + 3.89% | )# | 1/15/2077 | 4,462 | 4,697,460 | |||||||
Energy Transfer Operating LP | 6.125% | 12/15/2045 | 8,700 | 9,821,281 | ||||||||
Energy Transfer Operating LP | 8.25% | 11/15/2029 | 3,202 | 4,063,845 | ||||||||
Energy Transfer Operating LP | 9.00% | 11/1/2024 | 2,110 | 2,549,152 | ||||||||
Florida Gas Transmission Co. LLC† | 3.875% | 7/15/2022 | 2,805 | 2,894,005 | ||||||||
Gulfstream Natural Gas System LLC† | 4.60% | 9/15/2025 | 2,190 | 2,370,238 | ||||||||
IFM US Colonial Pipeline 2 LLC† | 6.45% | 5/1/2021 | 6,020 | 6,232,424 | ||||||||
Midwest Connector Capital Co. LLC† | 3.90% | 4/1/2024 | 5,803 | 6,063,314 | ||||||||
Mplx LP | 3.202% (3 Mo. LIBOR + 1.10% | )# | 9/9/2022 | 8,000 | 8,029,234 | |||||||
Mplx LP† | 5.25% | 1/15/2025 | 8,379 | 8,798,254 | ||||||||
Mplx LP† | 6.25% | 10/15/2022 | 1,952 | 1,984,593 | ||||||||
Mplx LP | 6.875% (3 Mo. LIBOR + 4.65% | )# | – | (e) | 3,600 | 3,618,000 | ||||||
NGPL PipeCo LLC† | 4.875% | 8/15/2027 | 7,987 | 8,477,384 | ||||||||
Sabal Trail Transmission LLC† | 4.246% | 5/1/2028 | 2,429 | 2,643,518 | ||||||||
Sabine Pass Liquefaction LLC | 5.625% | 4/15/2023 | 10,183 | 11,064,930 | ||||||||
Sabine Pass Liquefaction LLC | 5.75% | 5/15/2024 | 6,000 | 6,682,860 | ||||||||
Sabine Pass Liquefaction LLC | 5.875% | 6/30/2026 | 8,398 | 9,612,889 | ||||||||
SemGroup Corp. | 6.375% | 3/15/2025 | 5,000 | 5,227,075 | ||||||||
Spectra Energy Partners LP | 2.827% (3 Mo. LIBOR + .70% | )# | 6/5/2020 | 4,051 | 4,060,101 | |||||||
Texas Eastern Transmission LP† | 4.125% | 12/1/2020 | 1,950 | 1,976,307 | ||||||||
Williams Cos., Inc. (The) | 8.75% | 3/15/2032 | 4,908 | 6,854,884 | ||||||||
Total | 130,086,147 | |||||||||||
Oil: Integrated Domestic 1.19% | ||||||||||||
Baker Hughes a GE Co. LLC/Baker | ||||||||||||
Hughes Co-Obligor, Inc. | 4.08% | 12/15/2047 | 3,972 | 4,059,912 | ||||||||
Halliburton Co. | 7.45% | 9/15/2039 | 4,134 | 5,892,357 | ||||||||
National Oilwell Varco, Inc. | 3.60% | 12/1/2029 | 4,632 | 4,527,625 | ||||||||
National Oilwell Varco, Inc. | 3.95% | 12/1/2042 | 5,494 | 4,995,844 | ||||||||
Patterson-UTI Energy, Inc. | 3.95% | 2/1/2028 | 11,622 | 10,912,575 | ||||||||
SESI LLC | 7.125% | 12/15/2021 | 2,296 | 1,716,260 | ||||||||
Total | 32,104,573 |
See Notes to Financial Statements. | 205 |
Schedule of Investments (continued)
INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Paper & Forest Products 0.24% | ||||||||||||
International Paper Co. | 7.30% | 11/15/2039 | $ | 4,664 | $ | 6,493,744 | ||||||
Real Estate Investment Trusts 3.56% | ||||||||||||
American Homes 4 Rent LP | 4.25% | 2/15/2028 | 5,564 | 5,972,891 | ||||||||
Brixmor Operating Partnership LP | 3.85% | 2/1/2025 | 5,662 | 5,932,168 | ||||||||
China Evergrande Group (China)(d) | 10.00% | 4/11/2023 | 2,000 | 1,872,388 | ||||||||
Country Garden Holdings Co. Ltd. (China)(d) | 4.75% | 1/17/2023 | 875 | 882,912 | ||||||||
Country Garden Holdings Co. Ltd. (China)(d) | 4.75% | 9/28/2023 | 3,325 | 3,338,465 | ||||||||
EPR Properties | 4.50% | 4/1/2025 | 1,947 | 2,064,974 | ||||||||
EPR Properties | 4.95% | 4/15/2028 | 10,890 | 11,951,875 | ||||||||
Equinix, Inc. | 5.375% | 5/15/2027 | 5,454 | 5,924,544 | ||||||||
Equinix, Inc. | 5.875% | 1/15/2026 | 4,304 | 4,572,236 | ||||||||
GEO Group, Inc. (The) | 6.00% | 4/15/2026 | 5,000 | 3,975,125 | ||||||||
Healthcare Trust of America Holdings LP | 3.10% | 2/15/2030 | 3,682 | 3,666,671 | ||||||||
Hudson Pacific Properties LP | 4.65% | 4/1/2029 | 4,000 | 4,411,616 | ||||||||
Hunt Cos., Inc.† | 6.25% | 2/15/2026 | 2,647 | 2,626,678 | ||||||||
Kilroy Realty LP | 4.375% | 10/1/2025 | 2,358 | 2,553,589 | ||||||||
SL Green Operating Partnership LP | 3.25% | 10/15/2022 | 2,088 | 2,133,262 | ||||||||
SL Green Realty Corp. | 4.50% | 12/1/2022 | 1,590 | 1,673,804 | ||||||||
Spirit Realty LP | 3.40% | 1/15/2030 | 3,540 | 3,555,941 | ||||||||
Spirit Realty LP | 4.00% | 7/15/2029 | 1,636 | 1,731,253 | ||||||||
VEREIT Operating Partnership LP | 4.625% | 11/1/2025 | 1,850 | 2,023,200 | ||||||||
VEREIT Operating Partnership LP | 4.875% | 6/1/2026 | 11,880 | 13,193,562 | ||||||||
WEA Finance LLC† | 3.50% | 6/15/2029 | 4,750 | 4,927,923 | ||||||||
WeWork Cos., Inc.† | 7.875% | 5/1/2025 | 3,238 | 2,323,233 | ||||||||
Weyerhaeuser Co. | 8.50% | 1/15/2025 | 3,940 | 4,976,356 | ||||||||
Total | 96,284,666 | |||||||||||
Retail 0.53% | ||||||||||||
Dollar Tree, Inc. | 4.20% | 5/15/2028 | 7,270 | 7,782,319 | ||||||||
McDonald’s Corp. | 6.30% | 10/15/2037 | 712 | 984,103 | ||||||||
McDonald’s Corp. | 6.30% | 3/1/2038 | 2,506 | 3,457,042 | ||||||||
Yum! Brands, Inc. | 6.875% | 11/15/2037 | 1,949 | 2,218,810 | ||||||||
Total | 14,442,274 | |||||||||||
Savings & Loan 0.21% | ||||||||||||
People’s United Financial, Inc. | 3.65% | 12/6/2022 | 5,613 | 5,805,390 | ||||||||
Technology 2.15% | ||||||||||||
Alibaba Group Holding Ltd.(China)(d) | 3.40% | 12/6/2027 | 5,000 | 5,197,003 |
206 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Technology (continued) | ||||||||||||
Baidu, Inc. (China)(d) | 3.625% | 7/6/2027 | $ | 4,500 | $ | 4,665,356 | ||||||
Baidu, Inc. (China)(d) | 3.875% | 9/29/2023 | 9,000 | 9,371,058 | ||||||||
Netflix, Inc.(c) | 3.625% | 5/15/2027 | EUR | 5,900 | 6,919,277 | |||||||
Prosus NV (Netherlands)†(d) | 6.00% | 7/18/2020 | $ | 8,333 | 8,514,409 | |||||||
Tencent Holdings Ltd. (China)†(d) | 3.595% | 1/19/2028 | 18,700 | 19,472,915 | ||||||||
Weibo Corp. (China)(d) | 3.50% | 7/5/2024 | 4,000 | 4,070,847 | ||||||||
Total | 58,210,865 | |||||||||||
Telecommunications 3.45% | ||||||||||||
AT&T, Inc. | 3.312% (3 Mo. LIBOR + 1.18% | )# | 6/12/2024 | 12,000 | 12,211,016 | |||||||
AT&T, Inc. | 5.35% | 9/1/2040 | 889 | 1,065,078 | ||||||||
AT&T, Inc. | 6.00% | 8/15/2040 | 23,671 | 30,017,370 | ||||||||
AT&T, Inc. | 6.25% | 3/29/2041 | 12,794 | 16,543,907 | ||||||||
Oztel Holdings SPC Ltd. (United Arab Emirates)†(d) | 6.625% | 4/24/2028 | 1,975 | 2,068,812 | ||||||||
T-Mobile USA, Inc. | 6.375% | 3/1/2025 | 1,696 | 1,763,840 | ||||||||
U.S. Cellular Corp. | 6.70% | 12/15/2033 | 2,459 | 2,685,259 | ||||||||
Verizon Communications, Inc. | 3.01% (3 Mo. LIBOR + 1.10% | )# | 5/15/2025 | 26,351 | 26,859,421 | |||||||
Total | 93,214,703 | |||||||||||
Transportation: Miscellaneous 0.87% | ||||||||||||
Burlington Northern Santa Fe LLC | 5.75% | 5/1/2040 | 3,399 | 4,629,865 | ||||||||
Burlington Northern Santa Fe LLC | 6.15% | 5/1/2037 | 2,449 | 3,452,975 | ||||||||
Canadian Pacific Railway Co. (Canada)(d) | 7.125% | 10/15/2031 | 1,292 | 1,817,376 | ||||||||
Canadian Pacific Railway Co. (Canada)(d) | 9.45% | 8/1/2021 | 500 | 557,988 | ||||||||
CSX Transportation, Inc. | 7.875% | 5/15/2043 | 511 | 792,001 | ||||||||
FedEx Corp. | 4.95% | 10/17/2048 | 2,594 | 2,876,086 | ||||||||
Kansas City Southern | 4.20% | 11/15/2069 | 4,675 | 4,822,426 | ||||||||
Navios South American Logistics, Inc./Navios Logistics Finance US, Inc. (Uruguay)†(d) | 7.25% | 5/1/2022 | 973 | 952,627 | ||||||||
Norfolk Southern Corp. | 5.59% | 5/17/2025 | 2,991 | 3,490,319 | ||||||||
Total | 23,391,663 | |||||||||||
Total Corporate Bonds (cost $1,979,484,397) | 2,061,065,601 | |||||||||||
FLOATING RATE LOANS(g)1.40% | ||||||||||||
Beverages 0.17% | ||||||||||||
Keurig Dr Pepper Inc. Term Loan | 2.763% (3 Mo. LIBOR + .95% | ) | 2/8/2023 | 4,742 | 4,682,901 | (h) |
See Notes to Financial Statements. | 207 |
Schedule of Investments (continued)
INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Diversified Media 0.12% | ||||||||||||
AP NMT Acquisition BV USD 1st LienTerm Loan (Netherlands)(d) | 7.835% (3 Mo. LIBOR + 5.75% | ) | 8/13/2021 | $ | 2,135 | $ | 2,144,778 | |||||
AP NMT Acquisition BV USD 2nd LienTerm Loan (Netherlands)(d) | 11.089% (3 Mo. LIBOR + 9.00% | ) | 8/13/2022 | 1,069 | 1,078,262 | |||||||
Total | 3,223,040 | |||||||||||
Drugs 0.19% | ||||||||||||
NVA Holdings, Inc. Term Loan B3 | 6.50% (3 Mo. LIBOR + 2.75% | ) | 2/2/2025 | 5,095 | 5,094,554 | |||||||
Electric: Power 0.24% | ||||||||||||
Pacific Gas & Electric Company DIP Delayed Draw Term Loan | 2.25% | 12/31/2020 | 147 | 147,735 | (h) | |||||||
Pacific Gas & Electric Company DIP Term Loan | 4.02% (1 Mo. LIBOR + 2.25% | ) | 12/31/2020 | 441 | 443,205 | (h) | ||||||
Pacific Gas & Electric Company Revolver | – | (i) | 4/27/2022 | 5,984 | 5,807,025 | |||||||
Total | 6,397,965 | |||||||||||
Entertainment 0.06% | ||||||||||||
Caesars Entertainment Operating Company Exit Term Loan | 3.702% (1 Mo. LIBOR + 2.00% | ) | 10/7/2024 | 1,657 | 1,660,598 | |||||||
Gaming/Leisure 0.04% | ||||||||||||
Eldorado Resorts, Inc. Term Loan | 4.00% (1 Mo. LIBOR + 2.25%) - 4.06% | 4/17/2024 | 1,124 | 1,125,276 | ||||||||
Leisure 0.07% | ||||||||||||
Hayward Industries, Inc. 1st Lien Term Loan | – | (i) | 8/4/2024 | 2,000 | 1,970,630 | |||||||
Lodging 0.24% | ||||||||||||
Wyndham Hotels & Resorts, Inc. Term Loan B | 3.452% (1 Mo. LIBOR + 1.75% | ) | 5/30/2025 | 6,467 | 6,504,966 | |||||||
Metal Fabricating 0.05% | ||||||||||||
Doncasters Finance US LLC 2nd Lien Term Loan | 10.354% (3 Mo. LIBOR + 8.25% | ) | 10/9/2020 | 959 | 265,053 | |||||||
Doncasters Finance US LLC USD Term Loan | 5.604% (3 Mo. LIBOR + 3.5% | ) | 4/9/2020 | 1,383 | 989,652 | |||||||
Total | 1,254,705 |
208 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Miscellaneous 0.04% | ||||||||||||
UTEX Industries Inc. 1st Lien Term loan 2014 | 5.702% (1 Mo. LIBOR + 4.00% | ) | 5/22/2021 | $ | 716 | $ | 513,572 | |||||
UTEX Industries Inc. 2nd Lien Term Loan 2014 | 8.952% (1 Mo. LIBOR + 7.25% | ) | 5/22/2022 | 1,275 | 612,000 | |||||||
Total | 1,125,572 | |||||||||||
Retail 0.18% | ||||||||||||
Panera Bread Company Term Loan A | 3.563% (1 Mo. LIBOR + 1.75% | ) | 7/18/2022 | 4,851 | 4,743,820 | |||||||
Total Floating Rate Loans (cost $39,773,397) | 37,784,027 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS 0.64% | ||||||||||||
Bahamas 0.24% | ||||||||||||
Commonwealth of Bahamas†(d) | 6.00% | 11/21/2028 | 1,809 | 1,979,222 | ||||||||
Commonwealth of Bahamas†(d) | 6.95% | 11/20/2029 | 4,000 | 4,520,000 | ||||||||
Total | 6,499,222 | |||||||||||
Bermuda 0.40% | ||||||||||||
Government of Bermuda† | 3.717% | 1/25/2027 | 10,439 | 10,912,487 | ||||||||
Total Foreign Government Obligations (cost $17,041,581) | 17,411,709 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 0.43% | ||||||||||||
Federal Home Loan Mortgage Corp. 1020 S IO(j) | 900.95% | #(k) | 12/15/2020 | – | (l) | 35 | ||||||
Federal Home Loan Mortgage Corp. 1032 O IO(j) | 544.714% | 12/15/2020 | – | (l) | 46 | |||||||
Federal Home Loan Mortgage Corp. 1046 I IO(j) | 1009.00% | 2/15/2021 | – | (l) | 4 | |||||||
Federal Home Loan Mortgage Corp. 1058 I IO(j) | 1008.50% | 4/15/2021 | – | (l) | 15 | |||||||
Federal Home Loan Mortgage Corp. 1059 U IO(j) | 409.00% | 4/15/2021 | – | (l) | 25 | |||||||
Federal Home Loan Mortgage Corp. 1066 S IO(j) | 1195.607% | 4/15/2021 | – | (l) | 99 | |||||||
Federal Home Loan Mortgage Corp. 1082 D IO(j) | 1007.78% | 5/15/2021 | – | (l) | 26 | |||||||
Federal Home Loan Mortgage Corp. 1095 A PO | Zero Coupon | 6/15/2021 | – | (l) | 141 | |||||||
Federal Home Loan Mortgage Corp. 1137 M IO(j) | 1185.497% | 9/15/2021 | – | (l) | 53 | |||||||
Federal Home Loan Mortgage Corp. 1148 F PO | Zero Coupon | 10/15/2021 | – | (l) | 105 | |||||||
Federal Home Loan Mortgage Corp. 1180 G IO(j) | 1008.40% | 11/15/2021 | – | (l) | 85 | |||||||
Federal Home Loan Mortgage Corp. 1200 IB IO(j) | 1007.00% | 2/15/2022 | – | (l) | 23 | |||||||
Federal Home Loan Mortgage Corp. 1241 X IO(j) | 982.654% | 4/15/2022 | – | (l) | 22 | |||||||
Federal Home Loan Mortgage Corp. 1363 B PO | Zero Coupon | 8/15/2022 | 8 | 8,072 | ||||||||
Federal Home Loan Mortgage Corp. 1372 C PO | Zero Coupon | 9/15/2022 | 1 | 723 | ||||||||
Federal Home Loan Mortgage Corp. 141 A PO | Zero Coupon | 7/1/2022 | – | (l) | 57 | |||||||
Federal National Mortgage Assoc. 133 1 PO | Zero Coupon | 4/25/2022 | – | (l) | 191 | |||||||
Federal National Mortgage Assoc. 1991-158 E IO(j) | 1008.00% | #(k) | 12/25/2021 | – | (l) | 68 |
See Notes to Financial Statements. | 209 |
Schedule of Investments (continued)
INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | ||||||||||||
Federal National Mortgage Assoc. 94 2 IO(j) | 9.50% | 8/25/2021 | $ | – | (l) | $ | 26 | |||||
Government National Mortgage Assoc. 2013-48 IO(j) | 0.623% | #(k) | 7/16/2054 | 14,431 | 584,355 | |||||||
Government National Mortgage Assoc. 2017-41 AS | 2.60% | 6/16/2057 | 4,886 | 4,920,071 | ||||||||
Government National Mortgage Assoc. 2017-86 AS | 2.75% | 2/16/2058 | 1,995 | 2,019,306 | ||||||||
Government National Mortgage Assoc. 2017-89 AB | 2.60% | 7/16/2058 | 1,670 | 1,680,521 | ||||||||
Government National Mortgage Assoc. 2017-90 AS | 2.70% | 7/16/2057 | 2,295 | 2,319,596 | ||||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $11,345,567) | 11,533,665 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGH 0.26% | ||||||||||||
Federal Home Loan Mortgage Corp. (cost $7,083,380) | 4.00% | 10/1/2049 | 6,531 | 7,077,353 | ||||||||
MUNICIPAL BONDS 0.52% | ||||||||||||
Miscellaneous | ||||||||||||
Illinois | 5.10% | 6/1/2033 | 1,935 | 2,084,227 | ||||||||
Illinois | 5.52% | 4/1/2038 | 660 | 721,512 | ||||||||
North Texas Tollway Auth | 8.41% | 2/1/2030 | 1,950 | 2,574,098 | ||||||||
North Texas Tollway Authority | 8.91% | 2/1/2030 | 7,500 | 7,586,325 | ||||||||
State of Illinois | 4.95% | 6/1/2023 | 1,130 | 1,181,831 | ||||||||
Total Municipal Bonds (cost $13,353,368) | 14,147,993 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 1.68% | ||||||||||||
BBCMS Mortgage Trust 2019-BWAY C† | 3.41% (1 Mo. LIBOR + 1.61% | )# | 11/25/2034 | 3,950 | 3,929,876 | |||||||
BX Commercial Mortgage Trust 2019-XL D† | 3.215% (1 Mo. LIBOR + 1.45% | )# | 10/15/2036 | 7,030 | 7,043,619 | |||||||
BX Commercial Mortgage Trust 2019-XL E† | 3.565% (1 Mo. LIBOR + 1.80% | )# | 10/15/2036 | 5,950 | 5,963,678 | |||||||
BX Commercial Mortgage Trust 2019-XL F† | 3.765% (1 Mo. LIBOR + 2.00% | )# | 10/15/2036 | 6,615 | 6,632,460 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 C | 4.584% | #(k) | 7/10/2050 | 1,776 | 1,855,211 | |||||||
Commercial Mortgage Pass-Through Certificates 2016-COR1 AM | 3.494% | 10/10/2049 | 1,254 | 1,313,104 | ||||||||
GS Mortgage Securities Trust 2013-G1 A2 IO(j) | 0.33% | #(k) | 11/10/2048 | 30,000 | 378,900 | |||||||
GS Mortgage Securities Trust 2013-GC12 XA IO(j) | 1.557% | #(k) | 6/10/2046 | 21,866 | 887,207 | |||||||
GS Mortgage Securities Trust 2013-GC12 XB IO(j) | 0.655% | #(k) | 6/10/2046 | 47,400 | 828,547 | |||||||
GS Mortgage Securities Trust 2015-GC32 C | 4.557% | #(k) | 7/10/2048 | 1,022 | 1,086,245 | |||||||
Hudsons Bay Simon JV Trust 2015-HB10 XB10 IO†(j) | 0.723% | #(k) | 8/5/2034 | 16,028 | 493,342 | |||||||
Hudsons Bay Simon JV Trust 2015-HB7 XB7 IO†(j) | 0.665% | #(k) | 8/5/2034 | 18,308 | 248,440 |
210 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 1.68% | ||||||||||||
JPMorgan Chase Commercial Mortgage SecuritiesTrust 2014-C19 XA IO(j) | 0.909% | #(k) | 4/15/2047 | $ | 3,423 | $ | 75,017 | |||||
JPMorgan Chase Commercial Mortgage SecuritiesTrust 2014-C19 XB IO(j) | 0.441% | #(k) | 4/15/2047 | 1,896 | 27,234 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C30 C | 4.41% | #(k) | 7/15/2048 | 1,674 | 1,723,619 | |||||||
Merrill Lynch Mortgage Investors Trust 2006-AF2 AF1 | 6.25% | 10/25/2036 | 686 | 575,683 | ||||||||
PFP Ltd. 2019-6 C†(a) | 4.014% (1 Mo. LIBOR + 2.10% | )# | 4/14/2037 | 4,576 | 4,584,959 | |||||||
Sequoia Mortgage Trust 2012-4 A3 | 2.069% | #(k) | 9/25/2042 | 293 | 289,797 | |||||||
VMC Finance LLC 2019-FL3 A† | 2.863% (1 Mo. LIBOR + 1.10% | )# | 9/15/2036 | 2,844 | 2,847,361 | |||||||
Wells Fargo Commercial Mortgage Trust 2013-LC12 D† | 4.42% | #(k) | 7/15/2046 | 2,256 | 2,009,624 | |||||||
Wells Fargo Commercial Mortgage Trust 2017-C41 AS | 3.785% | #(k) | 11/15/2050 | 2,089 | 2,247,474 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C20 XA IO(j) | 1.124% | #(k) | 5/15/2047 | 10,367 | 354,069 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C20 XB IO(j) | 0.734% | #(k) | 5/15/2047 | 2,617 | 66,229 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $44,916,483) | 45,461,695 | |||||||||||
Dividend Rate | Shares (000) | |||||||||||
PREFERRED STOCK 0.00% | ||||||||||||
Oil | ||||||||||||
Templar Energy LLC (cost $867,377) | Zero Coupon | 92 | – | (m) | ||||||||
Interest Rate | Principal Amount (000) | |||||||||||
U.S. TREASURY OBLIGATIONS 6.09% | ||||||||||||
U.S. Treasury Bond | 2.25% | 8/15/2049 | $ | 8,004 | 8,076,536 | |||||||
U.S. Treasury Bond | 2.75% | 11/15/2047 | 1,446 | 1,609,014 | ||||||||
U.S. Treasury Bond | 3.625% | 8/15/2043 | 1,821 | 2,306,019 | ||||||||
U.S. Treasury Note | 1.50% | 11/30/2024 | 113,136 | 112,453,206 | ||||||||
U.S. Treasury Note | 1.75% | 11/15/2029 | 35,225 | 35,139,001 | ||||||||
U.S. Treasury Note | 2.875% | 11/15/2021 | 4,974 | 5,090,870 | ||||||||
Total U.S. Treasury Obligations (cost $163,837,587) | 164,674,646 | |||||||||||
Total Long-Term Investments (cost $2,447,761,913) | 2,526,271,034 |
See Notes to Financial Statements. | 211 |
Schedule of Investments (continued)
INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
SHORT-TERM INVESTMENTS 6.84% | ||||||||||||
COMMERCIAL PAPER 4.82% | ||||||||||||
Chemicals 0.34% | ||||||||||||
CABOT Corp. | 1.876% | 12/2/2019 | $ | 600 | $ | 600,000 | ||||||
FMC Corp. | 2.133% | 12/27/2019 | 8,500 | 8,487,604 | ||||||||
Total | 9,087,604 | |||||||||||
Drugs 0.40% | ||||||||||||
Mylan NV | 2.15% | 12/2/2019 | 8,750 | 8,750,000 | ||||||||
Mylan NV | 2.182% | 12/6/2019 | 2,019 | 2,018,518 | ||||||||
Total | 10,768,518 | |||||||||||
Electric: Power 0.18% | ||||||||||||
Hawaiian Electric Industries, Inc. | 2.069% | 12/4/2019 | 4,500 | 4,499,490 | ||||||||
Hawaiian Electric Industries, Inc. | 2.153% | 12/23/2019 | 464 | 463,426 | ||||||||
Total | 4,962,916 | |||||||||||
Electrical Equipment 0.13% | ||||||||||||
Broadcom, Inc. | 2.224% | 12/5/2019 | 996 | 995,818 | ||||||||
Broadcom, Inc. | 2.228% | 1/7/2020 | 2,520 | 2,514,481 | ||||||||
Total | 3,510,299 | |||||||||||
Electronics 0.22% | ||||||||||||
JABIL, Inc. | 2.345% | 2/24/2020 | 6,000 | 5,967,800 | (n) | |||||||
Financial Services 0.77% | ||||||||||||
Syngenta Wilmington Inc. | 2.334% | 12/10/2019 | 1,114 | 1,113,152 | ||||||||
Syngenta Wilmington Inc. | 2.334% | 12/10/2019 | 12,000 | 11,993,867 | ||||||||
Syngenta Wilmington Inc. | 2.337% | 12/11/2019 | 508 | 508,072 | ||||||||
Syngenta Wilmington Inc. | 2.337% | 12/27/2019 | 2,215 | 2,211,805 | ||||||||
Syngenta Wilmington Inc. | 2.338% | 12/17/2019 | 2,311 | 2,308,533 | ||||||||
Syngenta Wilmington Inc. | 2.492% | 12/13/2019 | 500 | 499,626 | ||||||||
Syngenta Wilmington Inc. | 2.492% | 12/16/2019 | 1,307 | 1,306,058 | ||||||||
Syngenta Wilmington Inc. | 2.854% | 12/16/2019 | 800 | 799,129 | ||||||||
Total | 20,740,242 | |||||||||||
Food 0.19% | ||||||||||||
Kroger Co. | 2.028% | 12/2/2019 | 5,000 | 5,000,000 | ||||||||
Health Care Products 0.35% | ||||||||||||
Boston Scientific Corp. | 1.927% | 12/3/2019 | 9,500 | 9,499,499 |
212 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Household Equipment/Products 0.49% | ||||||||||||
Newell Rubbermaid, Inc. | 2.435% | 12/9/2019 | $ | 1,386 | $ | 1,385,353 | ||||||
Newell Rubbermaid, Inc. | 2.436% | 12/5/2019 | 2,055 | 2,054,589 | ||||||||
Newell Rubbermaid, Inc. | 2.436% | 12/6/2019 | 911 | 910,757 | ||||||||
Newell Rubbermaid, Inc. | 2.436% | 12/10/2019 | 1,143 | 1,142,390 | ||||||||
Newell Rubbermaid, Inc. | 2.437% | 12/16/2019 | 1,794 | 1,792,326 | ||||||||
Newell Rubbermaid, Inc. | 2.437% | 12/17/2019 | 5,820 | 5,814,180 | ||||||||
Total | 13,099,595 | |||||||||||
Leisure 0.21% | ||||||||||||
Royal Caribbean Cruise Ltd. | 1.978% | 12/2/2019 | 3,003 | 3,003,000 | ||||||||
Royal Caribbean Cruise Ltd. | 2.189% | 1/9/2020 | 1,390 | 1,386,846 | ||||||||
Royal Caribbean Cruise Ltd. | 2.189% | 1/14/2020 | 1,390 | 1,386,430 | ||||||||
Total | 5,776,276 | |||||||||||
Machinery: Agricultural 0.26% | ||||||||||||
BAT International Finance plc | 2.05% | 12/4/2019 | 2,030 | 2,029,772 | ||||||||
BAT International Finance plc | 2.082% | 12/23/2019 | 5,000 | 4,994,021 | ||||||||
Total | 7,023,793 | |||||||||||
Manufacturing 0.33% | ||||||||||||
Pentair Finance Sarl | 2.079% | 12/2/2019 | 9,000 | 9,000,000 | ||||||||
Media 0.04% | ||||||||||||
Viacom, Inc. | 2.079% | 12/2/2019 | 1,155 | 1,155,000 | ||||||||
Natural Gas 0.08% | ||||||||||||
National Fuel Gas Co. | 2.132% | 12/3/2019 | 100 | 99,994 | ||||||||
National Fuel Gas Co. | 2.132% | 12/4/2019 | 100 | 99,988 | ||||||||
National Fuel Gas Co. | 2.132% | 12/9/2019 | 217 | 216,911 | ||||||||
National Fuel Gas Co. | 2.133% | 12/11/2019 | 369 | 368,806 | ||||||||
National Fuel Gas Co. | 2.133% | 12/18/2019 | 231 | 230,785 | ||||||||
ONEOK, Inc. | 1.927% | 12/3/2019 | 1,102 | 1,101,942 | ||||||||
Total | 2,118,426 | |||||||||||
Oil 0.02% | ||||||||||||
Encana Corp. | 2.238% | 1/14/2020 | 250 | 249,343 | ||||||||
Encana Corp. | 2.29% | 1/10/2020 | 250 | 249,391 | ||||||||
Total | 498,734 | |||||||||||
Oil: Crude Producers 0.71% | ||||||||||||
Enable Midstream Partners LP | 2.27% | 1/27/2020 | 1,848 | 1,841,590 | ||||||||
Energy Transfer Partners | 2.028% | 12/2/2019 | 2,000 | 2,000,000 | ||||||||
Energy Transfer Partners | 2.079% | 12/2/2019 | 11,000 | 11,000,000 |
See Notes to Financial Statements. | 213 |
Schedule of Investments (continued)
INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil: Crude Producers (continued) | ||||||||||||
Energy Transfer Partners | 2.079% | 12/4/2019 | $ | 2,000 | $ | 1,999,772 | ||||||
Energy Transfer Partners | 2.079% | 12/4/2019 | 2,320 | 2,319,736 | ||||||||
Total | 19,161,098 | |||||||||||
Retail 0.10% | ||||||||||||
AutoNation, Inc. | 1.988% | 12/2/2019 | 1,328 | 1,328,190 | ||||||||
AutoNation, Inc. | 1.988% | 12/3/2019 | 831 | 830,735 | ||||||||
Canadian Tire Corp Ltd. | 1.927% | 12/2/2019 | 404 | 404,000 | ||||||||
Canadian Tire Corp Ltd. | 2.079% | 12/2/2019 | 250 | 250,000 | ||||||||
Total | 2,812,925 | |||||||||||
Total Commercial Paper (cost $130,175,364) | 130,182,725 | |||||||||||
FOREIGN BOND 1.27% | ||||||||||||
Japan | ||||||||||||
Japan Treasury Discount Bill (cost $35,111,640) | Zero Coupon | 1/8/2020 | JPY | 3,750,000 | 34,277,700 | |||||||
REPURCHASE AGREEMENT 0.75% | ||||||||||||
Repurchase Agreement dated 11/29/2019, 0.85% due 12/2/2019 with Fixed Income Clearing Corp. collateralized by $20,910,000 of U.S. Treasury Note at 1.125% due 9/30/2021 value: $20,740,169; proceeds: $20,333,004 (cost $20,331,564) | $ | 20,332 | 20,331,564 | |||||||||
Total Short-Term Investments (cost $185,618,568) | 184,791,989 | |||||||||||
Total Investments in Securities 100.27% (cost $2,633,380,481) | 2,711,063,023 | |||||||||||
Less Unfunded Loan Commitments (0.01%) (cost $(147,000) | (147,735 | ) | ||||||||||
Net Investments 100.26% (cost $2,633,233,481) | 2,710,915,288 | |||||||||||
Liabilities in Excess of Cash, Foreign Cash and Other Assets(o)(0.26%) | (7,145,469 | ) | ||||||||||
Net Assets 100.00% | $ | 2,703,769,819 |
BRL | Brazilian real. | |
EUR | euro. | |
JPY | Japanese yen. | |
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. At November 30, 2019, the total value of Rule 144A securities was $864,736,198, which represents 31.98% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at November 30, 2019. | |
* | Non-income producing security. | |
(a) | Securities purchased on a when-issued basis. (See Note 2(i)) |
214 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INCOME FUNDNovember 30, 2019
(b) | Variable Rate is Fixed to Float: Rate remains fixed until designated future date. | |
(c) | Investment in non-U.S. dollar denominated securities. | |
(d) | Foreign security traded in U.S. dollars. | |
(e) | Security is perpetual in nature and has no stated maturity. | |
(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 November 30, 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) | 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) | 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. | |
(n) | Level 3 Investment as described in Note 2(t) in the Notes to Financials. Security fair valued by the Pricing Committee. | |
(o) | 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 Buy – Protection at November 30, 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 | $8,769,224 | $397,992 | $(505,768) | $(107,776) |
* | The Referenced Index is for the Credit Default Swaps on Indexes, which is comprised of a basket of commercial mortgage-backed securities. | |
(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. | |
(3) | Total unrealized appreciation on Credit Default Swaps on Indexes amounted to $0. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $(505,768). | |
(4) | Includes upfront payments paid. |
See Notes to Financial Statements. | 215 |
Schedule of Investments (continued)
INCOME FUNDNovember 30, 2019
Open Forward Foreign Currency Exchange Contracts at November 30, 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 | State Street Bank and Trust | 12/9/2019 | 6,266,000 | $ | 6,961,103 | $ | 6,906,347 | $ | 54,756 | ||||||||||
Japanese yen | Sell | Bank of America | 1/8/2020 | 3,739,000,000 | 35,224,636 | 34,272,080 | 952,556 | |||||||||||||
Mexican peso | Sell | BNP Paribas S.A. | 2/14/2020 | 33,000,000 | 1,696,847 | 1,669,105 | 27,742 | |||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 1,035,054 |
Open Futures Contracts at November 30, 2019:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | |||||||||||||
Euro-Schatz | December 2019 | 76 | Short | EUR | (8,558,605) | EUR | (8,510,480) | $ | 53,025 | ||||||||||
U.S. 10-Year Treasury Note | March 2020 | 55 | Short | $ | (7,124,982) | $ | (7,114,766) | 10,216 | |||||||||||
U.S. 10-Year Ultra Treasury Note | March 2020 | 1,035 | Short | (147,350,393) | (147,196,406) | 153,987 | |||||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 217,228 | |||||||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | |||||||||||||
U.S. 2-Year Treasury Note | March 2020 | 1,121 | Long | $ | 241,682,634 | $ | 241,671,837 | $ | (10,797 | ) | |||||||||
U.S. 5-Year Treasury Note | March 2020 | 1,396 | Long | 166,191,943 | 166,080,375 | (111,568 | ) | ||||||||||||
U.S. Long Bond | March 2020 | 187 | Long | 29,908,662 | 29,727,156 | (181,506 | ) | ||||||||||||
U.S. Ultra Treasury Bond | March 2020 | 328 | Long | 61,742,835 | $ | 61,571,750 | (171,085 | ) | |||||||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (474,956 | ) |
216 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INCOME FUNDNovember 30, 2019
The following is a summary of the inputs used as of November 30, 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 | $ | – | $ | 166,915,726 | $ | – | $ | 166,915,726 | ||||||||
Common Stocks | ||||||||||||||||
Oil | 83,112 | 88,747 | – | 171,859 | ||||||||||||
Remaining Industries | – | 26,760 | – | 26,760 | ||||||||||||
Corporate Bonds | – | 2,061,065,601 | – | 2,061,065,601 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Beverages | – | – | 4,682,901 | 4,682,901 | ||||||||||||
Electric: Power | – | 5,807,025 | 590,940 | 6,397,965 | ||||||||||||
Less Unfunded Commitments | – | – | (147,735 | ) | (147,735 | ) | ||||||||||
Remaining Industries | – | 26,703,161 | – | 26,703,161 | ||||||||||||
Foreign Government Obligations | – | 17,411,709 | – | 17,411,709 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 11,533,665 | – | 11,533,665 | ||||||||||||
Government Sponsored Enterprises Pass-Through | – | 7,077,353 | – | 7,077,353 | ||||||||||||
Municipal Bonds | – | 14,147,993 | – | 14,147,993 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 45,461,695 | – | 45,461,695 | ||||||||||||
Preferred Stock | – | – | – | – | ||||||||||||
U.S. Treasury Obligations | – | 164,674,646 | – | 164,674,646 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | – | 124,214,925 | 5,967,800 | 130,182,725 | ||||||||||||
Foreign Bond | – | 34,277,700 | – | 34,277,700 | ||||||||||||
Repurchase Agreement | – | 20,331,564 | – | 20,331,564 | ||||||||||||
Total | $ | 83,112 | $ | 2,699,738,270 | $ | 11,093,906 | $ | 2,710,915,288 | ||||||||
Other Financial Instruments | ||||||||||||||||
Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | – | $ | – | $ | – | ||||||||
Liabilities | – | (107,776 | ) | – | (107,776 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 1,035,054 | – | 1,035,054 | ||||||||||||
Liabilities | – | – | – | – | ||||||||||||
Futures Contracts | ||||||||||||||||
Assets | 217,228 | – | – | 217,228 | ||||||||||||
Liabilities | (474,956 | ) | – | – | (474,956 | ) | ||||||||||
Total | $ | (257,728 | ) | $ | 927,278 | $ | – | $ | 669,550 |
(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. |
See Notes to Financial Statements. | 217 |
Schedule of Investments (concluded)
INCOME FUNDNovember 30, 2019
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
Investment Type | Commercial Paper | Floating Rate Loans | Preferred Stock | |||||||||
Balance as of December 1, 2018 | $ | – | $ | – | $ | – | ||||||
Accrued Discounts (Premiums) | – | 114 | – | |||||||||
Realized Gain (Loss) | – | 207 | – | |||||||||
Change in Unrealized Appreciation (Depreciation) | – | (55,189 | ) | (276,047 | ) | |||||||
Purchases | 5,967,800 | 6,294,795 | 21,221 | |||||||||
Sales | – | (1,113,821 | ) | – | ||||||||
Transfers into Level 3 | – | – | 254,826 | |||||||||
Transfers out of Level 3 | – | – | – | |||||||||
Balance as of November 30, 2019 | $ | 5,967,800 | $ | 5,126,106 | $ | – | ||||||
Change in unrealized appreciation/depreciation for the year ended November 30, 2019, related to Level 3 investments held at November 30, 2019 | $ | – | $ | (55,189 | ) | $ | (276,047 | ) |
218 | See Notes to Financial Statements. |
Schedule of Investments
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 97.24% | ||||||||||||
ASSET-BACKED SECURITIES 24.89% | ||||||||||||
Automobiles 9.14% | ||||||||||||
ACC Trust 2018-1 A† | 3.70% | 12/21/2020 | $ | 88 | $ | 87,951 | ||||||
ACC Trust 2019-1 A† | 3.75% | 5/20/2022 | 507 | 510,290 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-1 D | 3.59% | 2/8/2022 | 899 | 908,379 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-2 C | 2.87% | 11/8/2021 | 1,170 | 1,172,861 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-3 B | 1.80% | 10/8/2021 | 299 | 298,805 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-2 C | 2.97% | 3/20/2023 | 1,456 | 1,473,046 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-3 B | 2.24% | 6/19/2023 | 649 | 649,985 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-4 A3 | 2.04% | 7/18/2022 | 1,270 | 1,270,071 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-4 B | 2.36% | 12/19/2022 | 816 | 818,520 | ||||||||
Arivo Acceptance Auto Loan Receivables Trust 2019-1 A† | 2.99% | 7/15/2024 | 892 | 892,031 | ||||||||
Avid Automobile Receivables Trust 2018-1 A† | 2.84% | 8/15/2023 | 277 | 277,745 | ||||||||
Avis Budget Rental Car Funding AESOP LLC 2015-2A† | 2.63% | 12/20/2021 | 283 | 284,160 | ||||||||
Bank of The West Auto Trust 2017-1 A3† | 2.11% | 1/15/2023 | 1,470 | 1,470,605 | ||||||||
Bank of The West Auto Trust 2017-1 A4† | 2.33% | 9/15/2023 | 506 | 506,468 | ||||||||
California Republic Auto Receivables Trust 2015-3 A4 | 2.13% | 5/17/2021 | 55 | 55,457 | ||||||||
California Republic Auto Receivables Trust 2015-4 A4† | 2.58% | 6/15/2021 | 67 | 67,091 | ||||||||
California Republic Auto Receivables Trust 2015-4 B† | 3.73% | 11/15/2021 | 417 | 418,838 | ||||||||
California Republic Auto Receivables Trust 2016-1 A4 | 2.24% | 10/15/2021 | 327 | 327,386 | ||||||||
California Republic Auto Receivables Trust 2016-2 A4 | 1.83% | 12/15/2021 | 113 | 113,141 | ||||||||
California Republic Auto Receivables Trust 2018-1 A3 | 3.14% | 8/15/2022 | 1,862 | 1,871,872 | ||||||||
Capital Auto Receivables Asset Trust 2016-2 B | 2.11% | 3/22/2021 | 41 | 41,053 | ||||||||
Capital Auto Receivables Asset Trust 2017-1 A3† | 2.02% | 8/20/2021 | 193 | 193,221 | ||||||||
Capital Auto Receivables Asset Trust 2017-1 A4† | 2.22% | 3/21/2022 | 334 | 334,453 |
See Notes to Financial Statements. | 219 |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Capital Auto Receivables Asset Trust 2018-2 A3† | 3.27% | 6/20/2023 | $ | 1,703 | $ | 1,718,063 | ||||||
CarMax Auto Owner Trust 2016-4 A3 | 1.40% | 8/15/2021 | 131 | 130,631 | ||||||||
CarMax Auto Owner Trust 2016-4 A4 | 1.60% | 6/15/2022 | 331 | 329,910 | ||||||||
CarMax Auto Owner Trust 2017-3 A3 | 1.97% | 4/15/2022 | 2,464 | 2,464,675 | ||||||||
CarMax Auto Owner Trust 2017-3 A4 | 2.22% | 11/15/2022 | 794 | 796,734 | ||||||||
CarMax Auto Owner Trust 2017-3 B | 2.44% | 2/15/2023 | 373 | 375,127 | ||||||||
CarMax Auto Owner Trust 2017-3 C | 2.72% | 5/15/2023 | 454 | 456,753 | ||||||||
CarMax Auto Owner Trust 2017-4 A3 | 2.11% | 10/17/2022 | 2,198 | 2,200,006 | ||||||||
CarMax Auto Owner Trust 2019-3 A2A | 2.21% | 12/15/2022 | 2,990 | 2,996,695 | ||||||||
Carvana Auto Receivables Trust 2019-2A C† | 3.00% | 6/17/2024 | 591 | 594,093 | ||||||||
Chesapeake Funding II LLC 2017-2A A1† | 1.99% | 5/15/2029 | 666 | 666,025 | ||||||||
Chesapeake Funding II LLC 2017-3A A1† | 1.91% | 8/15/2029 | 1,531 | 1,529,901 | ||||||||
Chesapeake Funding II LLC 2017-4A A1† | 2.12% | 11/15/2029 | 1,279 | 1,279,142 | ||||||||
CPS Auto Receivables Trust 2016-B D† | 6.58% | 3/15/2022 | 220 | 227,778 | ||||||||
CPS Auto Receivables Trust 2017-C B† | 2.30% | 7/15/2021 | – | (a) | 32 | |||||||
CPS Auto Receivables Trust 2017-D† | 3.73% | 9/15/2023 | 229 | 232,568 | ||||||||
CPS Auto Receivables Trust 2017-D B† | 2.43% | 1/18/2022 | 69 | 69,266 | ||||||||
CPS Auto Receivables Trust 2018-B C† | 3.58% | 3/15/2023 | 408 | 413,034 | ||||||||
CPS Auto Receivables Trust 2019-A C† | 3.89% | 12/16/2024 | 110 | 112,880 | ||||||||
CPS Auto Receivables Trust 2019-C† | 2.84% | 6/16/2025 | 181 | 182,230 | ||||||||
CPS Auto Receivables Trust 2019-C D† | 3.17% | 6/16/2025 | 181 | 182,626 | ||||||||
CPS Auto Receivables Trust 2019-D B† | 2.35% | 11/15/2023 | 551 | 550,101 | ||||||||
CPS Auto Receivables Trust 2019-D C† | 2.54% | 8/15/2024 | 667 | 665,291 | ||||||||
Drive Auto Receivables Trust 2015-DA D† | 4.59% | 1/17/2023 | 554 | 555,174 | ||||||||
Drive Auto Receivables Trust 2016-BA D† | 4.53% | 8/15/2023 | 681 | 689,604 | ||||||||
Drive Auto Receivables Trust 2016-CA D† | 4.18% | 3/15/2024 | 475 | 480,900 | ||||||||
Drive Auto Receivables Trust 2017-2 C | 2.75% | 9/15/2023 | 134 | 134,391 | ||||||||
Drive Auto Receivables Trust 2017-2 D | 3.49% | 9/15/2023 | 3,913 | 3,947,886 | ||||||||
Drive Auto Receivables Trust 2017-BA D† | 3.72% | 10/17/2022 | 551 | 553,568 | ||||||||
Drive Auto Receivables Trust 2018-3 C | 3.72% | 9/16/2024 | 2,439 | 2,461,504 | ||||||||
Drive Auto Receivables Trust 2018-4 B | 3.36% | 10/17/2022 | 1,031 | 1,033,018 | ||||||||
Drive Auto Receivables Trust 2018-4 C | 3.66% | 11/15/2024 | 2,468 | 2,493,764 | ||||||||
Drive Auto Receivables Trust 2018-4 D | 4.09% | 1/15/2026 | 701 | 719,025 | ||||||||
Drive Auto Receivables Trust 2019-2 B | 3.17% | 11/15/2023 | 638 | 645,692 | ||||||||
Drive Auto Receivables Trust 2019-2 C | 3.42% | 6/16/2025 | 1,238 | 1,266,562 | ||||||||
Drive Auto Receivables Trust 2019-2 D | 3.69% | 8/17/2026 | 717 | 734,467 | ||||||||
Drive Auto Receivables Trust 2019-3 A2A | 2.63% | 9/15/2022 | 1,907 | 1,910,914 | ||||||||
Drive Auto Receivables Trust 2019-4 C | 2.51% | 11/17/2025 | 1,289 | 1,291,494 |
220 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Drive Auto Receivables Trust 2019-4 D | 2.70% | 2/16/2027 | $ | 1,080 | $ | 1,079,006 | ||||||
Exeter Automobile Receivables Trust 2017-3A B† | 2.81% | 9/15/2022 | 1,005 | 1,008,415 | ||||||||
Exeter Automobile Receivables Trust 2019-4A B† | 2.30% | 12/15/2023 | 885 | 883,523 | ||||||||
First Investors Auto Owner Trust 2018-1A B† | 3.51% | 5/15/2023 | 265 | 268,176 | ||||||||
First Investors Auto Owner Trust 2018-2A C† | 4.03% | 1/15/2025 | 318 | 328,486 | ||||||||
First Investors Auto Owner Trust 2018-2A D† | 4.28% | 1/15/2025 | 202 | 209,499 | ||||||||
Flagship Credit Auto Trust 2017-4 A† | 2.07% | 4/15/2022 | 286 | 285,673 | ||||||||
Flagship Credit Auto Trust 2018-3 A† | 3.07% | 2/15/2023 | 3,095 | 3,110,369 | ||||||||
Ford Credit Auto Owner Trust 2015-1 A† | 2.12% | 7/15/2026 | 6,384 | 6,385,323 | ||||||||
Ford Credit Auto Owner Trust 2016-2 A† | 2.03% | 12/15/2027 | 1,082 | 1,082,228 | ||||||||
Ford Credit Auto Owner Trust 2017-2 A† | 2.36% | 3/15/2029 | 1,417 | 1,429,433 | ||||||||
Ford Credit Auto Owner Trust 2018-2 A† | 3.47% | 1/15/2030 | 3,076 | 3,208,406 | ||||||||
Ford Credit Auto Owner Trust 2019-C A2A | 1.88% | 7/15/2022 | 1,744 | 1,744,625 | ||||||||
GM Financial Automobile Leasing Trust 2017 2 B | 2.43% | 6/21/2021 | 215 | 215,105 | ||||||||
GM Financial Consumer Automobile Receivables Trust 2019-1 B | 3.37% | 8/16/2024 | 416 | 429,889 | ||||||||
Hyundai Auto Receivables Trust 2019-B A2 | 1.93% | 7/15/2022 | 951 | 952,027 | ||||||||
Prestige Auto Receivables Trust 2019-1A D† | 3.01% | 8/15/2025 | 241 | 243,671 | ||||||||
Santander Drive Auto Receivables Trust 2016-1 D | 4.02% | 4/15/2022 | 282 | 284,289 | ||||||||
Santander Drive Auto Receivables Trust 2017-2 C | 2.79% | 8/15/2022 | 1,135 | 1,137,227 | ||||||||
Santander Drive Auto Receivables Trust 2017-2 D | 3.49% | 7/17/2023 | 2,007 | 2,030,305 | ||||||||
Santander Drive Auto Receivables Trust 2017-3 C | 2.76% | 12/15/2022 | 417 | 418,536 | ||||||||
Santander Drive Auto Receivables Trust 2018-3 A3 | 3.03% | 2/15/2022 | 230 | 230,233 | ||||||||
Santander Drive Auto Receivables Trust 2018-4 C | 3.56% | 7/15/2024 | 1,127 | 1,144,147 | ||||||||
Santander Drive Auto Receivables Trust 2018-5 B | 3.52% | 12/15/2022 | 1,801 | 1,813,103 | ||||||||
Santander Drive Auto Receivables Trust 2018-5 C | 3.81% | 12/16/2024 | 1,668 | 1,693,745 | ||||||||
Santander Drive Auto Receivables Trust 2019-3 C | 2.49% | 10/15/2025 | 1,483 | 1,486,364 | ||||||||
Santander Retail Auto Lease Trust 2019-B D† | 3.31% | 6/20/2024 | 1,010 | 1,016,070 | ||||||||
TCF Auto Receivables Owner Trust 2015-2A B† | 3.00% | 9/15/2021 | 127 | 127,460 | ||||||||
TCF Auto Receivables Owner Trust 2015-2A C† | 3.75% | 12/15/2021 | 136 | 136,076 | ||||||||
TCF Auto Receivables Owner Trust 2015-2A D† | 4.24% | 8/15/2022 | 2,369 | 2,370,937 | ||||||||
TCF Auto Receivables Owner Trust 2016-1A A4† | 2.03% | 2/15/2022 | 584 | 583,760 | ||||||||
TCF Auto Receivables Owner Trust 2016-1A B† | 2.32% | 6/15/2022 | 622 | 621,652 | ||||||||
TCF Auto Receivables Owner Trust 2016-1A C† | 2.51% | 9/15/2022 | 172 | 171,777 | ||||||||
TCF Auto Receivables Owner Trust 2016-PT1A A† | 1.93% | 6/15/2022 | 294 | 293,892 | ||||||||
Toyota Auto Receivables Owner Trust 2016-D A3 | 1.23% | 10/15/2020 | 5 | 4,952 | ||||||||
Westlake Automobile Receivables Trust 2018-3A A2A† | 2.98% | 1/18/2022 | 1,539 | 1,541,871 |
See Notes to Financial Statements. | 221 |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Westlake Automobile Receivables Trust 2019-2A A2A† | 2.57% | 2/15/2023 | $ | 2,825 | $ | 2,835,397 | ||||||
Westlake Automobile Receivables Trust 2019-2A D† | 3.20% | 11/15/2024 | 1,216 | 1,234,038 | ||||||||
Westlake Automobile Receivables Trust 2019-3A B† | 2.41% | 10/15/2024 | 1,145 | 1,146,551 | ||||||||
Westlake Automobile Receivables Trust 2019-3A C† | 2.49% | 10/15/2024 | 1,114 | 1,116,750 | ||||||||
World Omni Auto Receivables Trust 2018-D A4 | 3.44% | 12/16/2024 | 842 | 873,804 | ||||||||
World Omni Automobile Lease Securitization Trust 2017-A B | 2.48% | 8/15/2022 | 77 | 77,024 | ||||||||
World Omni Select Auto Trust 2018-1A B† | 3.68% | 7/15/2023 | 340 | 345,466 | ||||||||
World Omni Select Auto Trust 2018-1A D† | 4.13% | 1/15/2025 | 1,242 | 1,277,438 | ||||||||
World Omni Select Auto Trust 2019-A C | 2.38% | 12/15/2025 | 282 | 280,956 | ||||||||
World Omni Select Auto Trust 2019-A D | 2.59% | 12/15/2025 | 628 | 625,454 | ||||||||
Total | 100,918,081 | |||||||||||
Credit Cards 3.96% | ||||||||||||
American Express Credit Account Master Trust 2017-3 A | 1.77% | 11/15/2022 | 1,480 | 1,479,499 | ||||||||
Barclays Dryrock Issuance Trust 2017-2 A | 2.065% (1 Mo. LIBOR + .30% | )# | 5/15/2023 | 4,767 | 4,771,595 | |||||||
Capital One Multi-Asset Execution Trust 2017-A1 | 2.00% | 1/17/2023 | 401 | 401,130 | ||||||||
Citibank Credit Card Issuance Trust 2014-A1 | 2.88% | 1/23/2023 | 1,198 | 1,212,076 | ||||||||
Continental Credit Card 2016-1A C† | 11.33% | 1/15/2025 | 126 | 130,472 | (b) | |||||||
Discover Card Execution Note Trust 2019-A3 A | 1.89% | 10/15/2024 | 1,481 | 1,482,735 | ||||||||
First National Master Note Trust 2017-2 A | 2.205% (1 Mo. LIBOR + .44% | )# | 10/16/2023 | 2,550 | 2,553,693 | |||||||
Golden Credit Card Trust 2018-4A A† | 3.44% | 10/15/2025 | 2,703 | 2,839,840 | ||||||||
Master Credit Card Trust 2019-1A B† | 3.57% | 7/21/2022 | 231 | 233,663 | ||||||||
Master Credit Card Trust II Series 2018-1A A† | 2.212% (1 Mo. LIBOR + .49% | )# | 7/21/2024 | 1,254 | 1,254,030 | |||||||
Perimeter Master Note Business Trust 2019-1A A† | 4.31% | 12/15/2022 | 2,543 | 2,557,355 | (b) | |||||||
Perimeter Master Note Business Trust 2019-1A B† | 6.02% | 12/15/2022 | 500 | 507,702 | (b) | |||||||
Synchrony Credit Card Master Note Trust 2015-1 A | 2.37% | 3/15/2023 | 550 | 550,482 | ||||||||
Synchrony Credit Card Master Note Trust 2015-1 B | 2.64% | 3/15/2023 | 5,076 | 5,078,940 | ||||||||
Synchrony Credit Card Master Note Trust 2016-2 A | 2.21% | 5/15/2024 | 3,905 | 3,922,481 | ||||||||
Synchrony Credit Card Master Note Trust 2016-2 B | 2.55% | 5/15/2024 | 693 | 696,887 | ||||||||
Synchrony Credit Card Master Note Trust 2017-1 B | 2.19% | 6/15/2023 | 4,413 | 4,411,829 | ||||||||
Synchrony Credit Card Master Note Trust 2017-2 B | 2.82% | 10/15/2025 | 999 | 1,013,690 | ||||||||
World Financial Network Credit Card Master Trust 2015-B A | 2.55% | 6/17/2024 | 1,112 | 1,115,810 |
222 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Credit Cards (continued) | ||||||||||||
World Financial Network Credit Card Master Trust 2016-A | 2.03% | 4/15/2025 | $ | 2,704 | $ | 2,704,162 | ||||||
World Financial Network Credit Card Master Trust 2018-C A | 3.55% | 8/15/2025 | 3,881 | 3,985,768 | ||||||||
World Financial Network Credit Card Master Trust 2018-C M | 3.95% | 8/15/2025 | 743 | 764,490 | ||||||||
Total | 43,668,329 | |||||||||||
Home Equity 0.00% | ||||||||||||
New Century Home Equity Loan Trust 2005-A A6 | 4.679% | 8/25/2035 | 48 | 48,435 | ||||||||
Other 11.79% | ||||||||||||
Ally Master Owner Trust 2018-4 A | 3.30% | 7/17/2023 | 7,204 | 7,350,012 | ||||||||
ALM VII Ltd. 2012-7A A1A2† | 3.171% (3 Mo. LIBOR + 1.17% | )# | 7/15/2029 | 1,250 | 1,249,334 | |||||||
Ammc Clo Ltd. 2016-19A CR† | 4.551% (3 Mo. LIBOR + 2.55% | )# | 10/16/2028 | 750 | 742,556 | |||||||
Amur Equipment Finance Receivables VI LLC 2018-2A A2† | 3.89% | 7/20/2022 | 1,488 | 1,513,111 | ||||||||
Amur Equipment Finance Receivables VII LLC 2019-1A A2† | 2.63% | 6/20/2024 | 1,297 | 1,305,419 | ||||||||
Anchorage Capital CLO 3-R Ltd. 2014-3RA A† | 2.986% (3 Mo. LIBOR + 1.05% | )# | 1/28/2031 | 970 | 965,640 | |||||||
Anchorage Capital CLO 4-R Ltd. 2014-4RA A† | 2.986% (3 Mo. LIBOR + 1.05% | )# | 1/28/2031 | 1,212 | 1,206,448 | |||||||
Apex Credit CLO Ltd. 2016-1A AS1R† | 3.236% (3 Mo. LIBOR + 1.30% | )# | 10/27/2028 | 1,536 | 1,536,630 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. 2018-FL1 A† | 2.915% (1 Mo. LIBOR + 1.15% | )# | 6/15/2028 | 1,020 | 1,021,132 | |||||||
Ares XLI Clo Ltd. 2016-41A AR† | 3.201% (3 Mo. LIBOR + 1.20% | )# | 1/15/2029 | 2,500 | 2,498,223 | |||||||
Ascentium Equipment Receivables 2019-1A A2† | 2.84% | 6/10/2022 | 1,889 | 1,901,150 | ||||||||
Ascentium Equipment Receivables Trust 2017-1A A3† | 2.29% | 6/10/2021 | 220 | 220,605 | ||||||||
Avery Point V CLO Ltd. 2014-5A AR† | 2.982% (3 Mo. LIBOR + .98% | )# | 7/17/2026 | 321 | 321,272 | |||||||
Benefit Street Partners CLO IV Ltd. 2014-IVA A1RR† | 3.216% (3 Mo. LIBOR + 1.25% | )# | 1/20/2029 | 1,000 | 1,000,034 | |||||||
Benefit Street Partners CLO IV Ltd. 2014-IVA A2RR† | 3.716% (3 Mo. LIBOR + 1.75% | )# | 1/20/2029 | 1,000 | 1,000,337 | |||||||
BlueMountain CLO Ltd. 2012-2A AR2† | 2.949% (3 Mo. LIBOR + 1.05% | )# | 11/20/2028 | 2,293 | 2,291,598 |
See Notes to Financial Statements. | 223 |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Carlyle Global Market Strategies CLO Ltd. 2013-2A AR† | 2.893% (3 Mo. LIBOR + .89% | )# | 1/18/2029 | $ | 938 | $ | 930,993 | |||||
Colombia Cent CLO Ltd. 2018-27A A2A† | 3.54% (3 Mo. LIBOR + 1.60% | )# | 10/25/2028 | 281 | 278,711 | |||||||
Colony American Finance Ltd. 2018-1 A† | 3.804% | 6/15/2051 | 1,456 | 1,507,499 | ||||||||
Conn’s Receivables Funding LLC 2018-A† | 3.25% | 1/15/2023 | 158 | 158,324 | ||||||||
Conn’s Receivables Funding LLC 2019-B A† | 2.66% | 6/17/2024 | 1,409 | 1,410,794 | ||||||||
Diamond Resorts Owner Trust 2016-1 A† | 3.08% | 11/20/2028 | 60 | 60,637 | ||||||||
Diamond Resorts Owner Trust 2018-1 A† | 3.70% | 1/21/2031 | 1,486 | 1,514,467 | ||||||||
Diamond Resorts Owner Trust 2018-1 B† | 4.19% | 1/21/2031 | 889 | 909,883 | ||||||||
DLL LLC 2018-1 A3† | 3.10% | 4/18/2022 | 3,362 | 3,383,253 | ||||||||
DLL LLC 2018-1 A4† | 3.27% | 4/17/2026 | 2,007 | 2,054,471 | ||||||||
DLL Securitization Trust 2017-A A3† | 2.14% | 12/15/2021 | 737 | 736,960 | ||||||||
DLL Securitization Trust 2017-A A4† | 2.43% | 11/17/2025 | 1,233 | 1,239,226 | ||||||||
DRB Prime Student Loan Trust 2015-D A2 | 3.20% | 1/25/2040 | 35 | 35,879 | ||||||||
Dryden XXV Senior Loan Fund 2012-25A BRR† | 3.336% (3 Mo. LIBOR + 1.35% | )# | 10/15/2027 | 1,865 | 1,849,004 | |||||||
Elm CLO Ltd. 2014-1A BRR† | 3.752% (3 Mo. LIBOR + 1.75% | )# | 1/17/2029 | 2,500 | 2,500,968 | |||||||
Engs Commercial Finance Trust 2016-1A A2† | 2.63% | 2/22/2022 | 83 | 83,488 | ||||||||
ENVA LLC 2019-A A† | 3.96% | 6/22/2026 | 500 | 500,032 | ||||||||
Fairstone Financial Issuance Trust I 2019-1A A†(c) | 3.948% | 3/21/2033 | CAD | 503 | 381,406 | |||||||
Fairstone Financial Issuance Trust I 2019-1A B†(c) | 5.084% | 3/21/2033 | CAD | 226 | 171,483 | (b) | ||||||
Fairstone Financial Issuance Trust I 2019-1A C†(c) | 6.299% | 3/21/2033 | CAD | 426 | 322,680 | (b) | ||||||
Fairstone Financial Issuance Trust I 2019-1A D†(c) | 7.257% | 3/21/2033 | CAD | 252 | 191,114 | (b) | ||||||
Ford Credit Floorplan Master Owner Trust 2015-2 A1 | 1.98% | 1/15/2022 | 499 | 498,987 | ||||||||
Ford Credit Floorplan Master Owner Trust 2017-2 A1 | 2.16% | 9/15/2022 | 2,028 | 2,030,557 | ||||||||
Ford Credit Floorplan Master Owner Trust 2019-1 A | 2.84% | 3/15/2024 | 3,754 | 3,814,454 | ||||||||
Ford Credit Floorplan Master Owner Trust 2019-2 A | 3.06% | 4/15/2026 | 2,482 | 2,568,848 | ||||||||
FREED ABS TRUST 2018-2 A† | 3.99% | 10/20/2025 | 1,377 | 1,387,376 | ||||||||
Greystone Commercial Real Estate Notes Ltd. 2018-HC1 A† | 3.315% (1 Mo. LIBOR + 1.55% | )# | 9/15/2028 | 2,699 | 2,692,521 | |||||||
Greystone Commercial Real Estate Notes Ltd. 2018-HC1 AS† | 3.915% (1 Mo. LIBOR + 2.15% | )# | 9/15/2028 | 824 | 821,893 | |||||||
Halcyon Loan Advisors Funding Ltd. 2015-2A AR† | 3.02% (3 Mo. LIBOR + 1.08% | )# | 7/25/2027 | 963 | 963,584 |
224 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Halcyon Loan Advisors Funding Ltd. 2015-2A BR† | 3.59% (3 Mo. LIBOR + 1.65% | )# | 7/25/2027 | $ | 667 | $ | 664,471 | |||||
Hyundai Floorplan Master Owner Trust 2019-1 A† | 2.68% | 4/15/2024 | 2,664 | 2,700,544 | ||||||||
Jamestown CLO VII Ltd. 2015-7A A1R† | 2.77% (3 Mo. LIBOR + .83% | )# | 7/25/2027 | 1,642 | 1,637,647 | |||||||
Jamestown CLO VII Ltd. 2015-7A A2R† | 3.24% (3 Mo. LIBOR + 1.30% | )# | 7/25/2027 | 944 | 931,483 | |||||||
KREF Ltd. 2018-FL1 A† | 2.863% (1 Mo. LIBOR + 1.10% | )# | 6/15/2036 | 490 | 490,245 | |||||||
LCM XXIV Ltd. 24A A† | 3.276% (3 Mo. LIBOR + 1.31% | )# | 3/20/2030 | 1,808 | 1,808,464 | |||||||
LMREC, Inc. 2019-CRE3 A† | 3.567% (1 Mo. LIBOR + 1.40% | )# | 12/22/2035 | 2,938 | 2,943,092 | |||||||
Madison Park Funding XVI Ltd. 2015-16A A2R† | 3.866% (3 Mo. LIBOR + 1.90% | )# | 4/20/2026 | 340 | 341,002 | |||||||
Magnetite XVIII Ltd. 2016-18A AR† | 2.99% (3 Mo. LIBOR + 1.08% | )# | 11/15/2028 | 1,663 | 1,656,799 | |||||||
Mercedes-Benz Master Owner Trust 2019-BA A† | 2.61% | 5/15/2024 | 2,181 | 2,213,020 | ||||||||
Mountain Hawk III CLO Ltd. 2014-3A AR† | 3.203% (3 Mo. LIBOR + 1.20% | )# | 4/18/2025 | 912 | 912,554 | |||||||
Mountain View CLO X Ltd. 2015-10A AR† | 2.821% (3 Mo. LIBOR + .82% | )# | 10/13/2027 | 605 | 603,119 | |||||||
MVW Owner Trust 2017-1A A† | 2.42% | 12/20/2034 | 172 | 172,380 | ||||||||
N-Star REL CDO VIII Ltd. 2006-8A B† | 2.94% (1 Mo. LIBOR + .42% | )# | 2/1/2041 | 1,600 | 1,551,987 | |||||||
NextGear Floorplan Master Owner Trust 2017-1A A2† | 2.54% | 4/18/2022 | 2,071 | 2,073,684 | ||||||||
NextGear Floorplan Master Owner Trust 2018-2A A2† | 3.69% | 10/15/2023 | 1,846 | 1,899,229 | ||||||||
NextGear Floorplan Master Owner Trust 2018-2A B† | 4.01% | 10/15/2023 | 736 | 754,944 | ||||||||
Nissan Master Owner Trust Receivables 2017-B A | 2.195% (1 Mo. LIBOR + .43% | )# | 4/18/2022 | 1,684 | 1,685,292 | |||||||
Northwoods Capital Corp./Northwoods Capital Ltd. 2019-20A A1†(d) | Zero Coupon (3 Mo. LIBOR + 1.32% | )# | 1/25/2030 | 417 | 417,000 | |||||||
Northwoods Capital Corp./Northwoods Capital Ltd. 2019-20A B†(d) | Zero Coupon (3 Mo. LIBOR + 2.00% | )# | 1/25/2030 | 676 | 676,000 | |||||||
Oaktree CLO 2014-1A A1R† | 3.195% (3 Mo. LIBOR + 1.29% | )# | 5/13/2029 | 719 | 719,575 | |||||||
Oaktree CLO Ltd. 2015-1A A1R† | 2.836% (3 Mo. LIBOR + .87% | )# | 10/20/2027 | 769 | 766,758 | |||||||
OCP CLO Ltd. 2015-10A A2AR† | 3.236% (3 Mo. LIBOR + 1.30% | )# | 10/26/2027 | 645 | 640,453 |
See Notes to Financial Statements. | 225 |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
OCP CLO Ltd. 2016-12A A1R† | 3.123% (3 Mo. LIBOR + 1.12% | )# | 10/18/2028 | $ | 1,499 | $ | 1,499,613 | |||||
OCP CLO Ltd. 2016-12A A2R† | 3.603% (3 Mo. LIBOR + 1.60% | )# | 10/18/2028 | 1,103 | 1,103,736 | |||||||
OneMain Financial Issuance Trust 2018-2A A† | 3.57% | 3/14/2033 | 210 | 217,649 | ||||||||
Orange Lake Timeshare Trust 2019-A† | 3.06% | 4/9/2038 | 406 | 409,697 | ||||||||
Orec Ltd. 2018-CRE1 A† | 2.945% (1 Mo. LIBOR + 1.18% | )# | 6/15/2036 | 2,675 | 2,675,141 | |||||||
OZLM VIII Ltd. 2014-8A A1RR† | 3.172% (3 Mo. LIBOR + 1.17% | )# | 10/17/2029 | 718 | 715,225 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A1† | 2.601% (3 Mo. LIBOR + .60% | )# | 4/15/2026 | 1,739 | 1,732,076 | |||||||
Palmer Square Loan Funding Ltd. 2018-5A A1† | 2.816% (3 Mo. LIBOR + .85% | )# | 1/20/2027 | 2,254 | 2,247,824 | |||||||
Palmer Square Loan Funding Ltd. 2018-5A A2† | 3.366% (3 Mo. LIBOR + 1.40% | )# | 1/20/2027 | 667 | 655,908 | |||||||
Parallel Ltd. 2015-1A AR† | 2.816% (3 Mo. LIBOR + .85% | )# | 7/20/2027 | 2,674 | 2,667,913 | |||||||
PFS Financing Corp. 2018-A A† | 2.165% (1 Mo. LIBOR + .40% | )# | 2/17/2022 | 593 | 592,799 | |||||||
PFS Financing Corp. 2018-B A† | 2.89% | 2/15/2023 | 2,372 | 2,394,097 | ||||||||
Planet Fitness Master Issuer LLC 2018-1A A2II† | 4.666% | 9/5/2048 | 648 | 678,152 | ||||||||
Ready Capital Mortgage Financing LLC 2018-FL2 A† | 2.558% (1 Mo. LIBOR + .85% | )# | 6/25/2035 | 1,026 | 1,026,113 | |||||||
Regatta VI Funding Ltd. 2016-1A AR† | 3.046% (3 Mo. LIBOR + 1.08% | )# | 7/20/2028 | 1,410 | 1,410,532 | |||||||
Salem Fields CLO Ltd. 2016-2A A2R† | 3.64% (3 Mo. LIBOR + 1.70% | )# | 10/25/2028 | 1,227 | 1,228,035 | |||||||
SCF Equipment Leasing LLC 2018-1A A2† | 3.63% | 10/20/2024 | 1,688 | 1,710,803 | ||||||||
SCF Equipment Leasing LLC 2019-1A A1† | 3.04% | 3/20/2023 | 1,052 | 1,055,582 | ||||||||
SCF Equipment Leasing LLC 2019-1A A2† | 3.23% | 10/20/2024 | 1,907 | 1,923,249 | ||||||||
SCF Equipment Leasing LLC 2019-2A A1† | 2.22% | 6/20/2024 | 1,361 | 1,362,767 | ||||||||
SCF Equipment Leasing LLC 2019-2A A2† | 2.47% | 4/20/2026 | 2,107 | 2,109,334 | ||||||||
Seneca Park CLO Ltd. 2014-1A AR† | 3.122% (3 Mo. LIBOR + 1.12% | )# | 7/17/2026 | 246 | 245,722 | |||||||
SLM Private Education Loan Trust 2010-A 2A† | 5.015% (1 Mo. LIBOR + 3.25% | )# | 5/16/2044 | 11 | 10,615 | |||||||
SLM Student Loan Trust 2011-1 A1 | 2.228% (1 Mo. LIBOR + .52% | )# | 3/25/2026 | 22 | 22,388 | |||||||
SoFi Professional Loan Program LLC 2017-C A2A† | 1.75% | 7/25/2040 | 11 | 10,639 | ||||||||
SoFi Professional Loan Program LLC 2017-E A2A† | 1.86% | 11/26/2040 | 671 | 670,693 | ||||||||
Thacher Park CLO Ltd. 2014-1A AR† | 3.126% (3 Mo. LIBOR + 1.16% | )# | 10/20/2026 | 1,881 | 1,882,630 |
226 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Towd Point Asset Trust 2018-SL1 A† | 2.308% (1 Mo. LIBOR + .60% | )# | 1/25/2046 | $ | 1,760 | $ | 1,736,290 | |||||
Towd Point Mortgage Trust 2019-HY2 A1† | 2.708% (1 Mo. LIBOR + 1.00% | )# | 5/25/2058 | 1,456 | 1,463,844 | |||||||
TPG Real Estate Finance Issuer Ltd. 2018-FL2 A† | 2.893% (1 Mo. LIBOR + 1.13% | )# | 11/15/2037 | 1,622 | 1,622,811 | |||||||
West CLO Ltd. 2014-2A A1AR† | 2.871% (3 Mo. LIBOR + .87% | )# | 1/16/2027 | 2,188 | 2,184,498 | |||||||
WhiteHorse VIII Ltd. 2014-1A BR† | 3.359% (3 Mo. LIBOR + 1.45% | )# | 5/1/2026 | 1,501 | 1,501,367 | |||||||
Total | 130,150,477 | |||||||||||
Total Asset-Backed Securities(cost $272,717,312) | 274,785,322 | |||||||||||
Shares (000) | ||||||||||||
COMMON STOCKS 0.00% | ||||||||||||
Electric: Power 0.00% | ||||||||||||
Eneva SA*(c) | BRL | – | (a) | 3,334 | ||||||||
Oil 0.00% | ||||||||||||
Dommo Energia SA*(c) | BRL | 4 | 9,738 | |||||||||
Templar Energy LLC Class A Units | 10 | 1,289 | ||||||||||
Total | 11,027 | |||||||||||
Total Common Stocks (cost $121,647) | 14,361 | |||||||||||
Principal Amount (000) | ||||||||||||
CONVERTIBLE BOND 0.08% | ||||||||||||
Real Estate Investment Trusts | ||||||||||||
VEREIT, Inc. (cost $877,315) | 3.75% | 12/15/2020 | $ | 870 | 882,898 | |||||||
CORPORATE BONDS 40.57% | ||||||||||||
Aerospace/Defense 0.52% | ||||||||||||
Arconic, Inc. | 5.40% | 4/15/2021 | 197 | 203,118 | ||||||||
Arconic, Inc. | 5.125% | 10/1/2024 | 603 | 657,731 | ||||||||
Bombardier, Inc. (Canada)†(e) | 6.00% | 10/15/2022 | 648 | 651,240 | ||||||||
Bombardier, Inc. (Canada)†(e) | 6.125% | 1/15/2023 | 2,387 | 2,426,147 |
See Notes to Financial Statements. | 227 |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Aerospace/Defense (continued) | ||||||||||||
Bombardier, Inc. (Canada)†(e) | 8.75% | 12/1/2021 | $ | 1,383 | $ | 1,500,209 | ||||||
Embraer Overseas Ltd.† | 5.696% | 9/16/2023 | 306 | 336,345 | ||||||||
Total | 5,774,790 | |||||||||||
Air Transportation 0.24% | ||||||||||||
Air Canada 2015-1 Class B Pass-Through Trust (Canada)†(e) | 3.875% | 9/15/2024 | 276 | 278,977 | ||||||||
Air Canada 2015-2 Class B Pass-Through Trust (Canada)†(e) | 5.00% | 6/15/2025 | 161 | 167,347 | ||||||||
American Airlines 2013-1 Class B Pass-Through Trust† | 5.625% | 7/15/2022 | 245 | 250,303 | ||||||||
American Airlines 2014-1 Class B Pass-Through Trust | 4.375% | 4/1/2024 | 1,071 | 1,107,749 | ||||||||
Continental Airlines Pass-Through Trust 2012-1 Class B | 6.25% | 10/11/2021 | 37 | 37,608 | ||||||||
United Airlines 2014-1 Class B Pass-Through Trust | 4.75% | 10/11/2023 | 163 | 168,462 | ||||||||
US Airways 2012-2 Class B Pass-Through Trust | 6.75% | 12/3/2022 | 25 | 26,433 | ||||||||
US Airways 2013-1 Class B Pass-Through Trust | 5.375% | 5/15/2023 | 573 | 598,363 | ||||||||
Total | 2,635,242 | |||||||||||
Auto Parts: Original Equipment 0.35% | ||||||||||||
Nexteer Automotive Group Ltd.† | 5.875% | 11/15/2021 | 1,200 | 1,220,986 | ||||||||
Titan International, Inc. | 6.50% | 11/30/2023 | 437 | 362,891 | ||||||||
ZF North America Capital, Inc.† | 4.00% | 4/29/2020 | 669 | 672,120 | ||||||||
ZF North America Capital, Inc.† | 4.50% | 4/29/2022 | 150 | 154,844 | ||||||||
ZF North America Capital, Inc.† | 4.75% | 4/29/2025 | 1,423 | 1,488,423 | ||||||||
Total | 3,899,264 | |||||||||||
Automotive 1.56% | ||||||||||||
Daimler Finance North America LLC† | 2.452% (3 Mo. LIBOR + .55% | )# | 5/4/2021 | 500 | 500,789 | |||||||
Daimler Finance North America LLC† | 2.55% | 8/15/2022 | 576 | 579,970 | ||||||||
Ford Motor Credit Co. LLC | 2.979% | 8/3/2022 | 300 | 299,085 | ||||||||
Ford Motor Credit Co. LLC | 3.065% (3 Mo. LIBOR + .93% | )# | 9/24/2020 | 968 | 969,163 | |||||||
Ford Motor Credit Co. LLC | 3.219% | 1/9/2022 | 475 | 476,380 | ||||||||
Ford Motor Credit Co. LLC | 3.339% | 3/28/2022 | 200 | 201,229 | ||||||||
Ford Motor Credit Co. LLC | 5.584% | 3/18/2024 | 845 | 904,485 | ||||||||
Ford Motor Credit Co. LLC | 5.875% | 8/2/2021 | 3,072 | 3,216,646 | ||||||||
General Motors Financial Co., Inc. | 3.15% | 6/30/2022 | 166 | 168,860 |
228 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Shares (000) | Fair Value | ||||||||
Automotive (continued) | ||||||||||||
General Motors Financial Co., Inc. | 3.70% | 5/9/2023 | $ | 557 | $ | 573,361 | ||||||
General Motors Financial Co., Inc. | 3.95% | 4/13/2024 | 1,117 | 1,161,339 | ||||||||
General Motors Financial Co., Inc. | 4.20% | 3/1/2021 | 2,300 | 2,349,021 | ||||||||
General Motors Financial Co., Inc. | 4.25% | 5/15/2023 | 280 | 293,692 | ||||||||
General Motors Financial Co., Inc. | 5.10% | 1/17/2024 | 1,801 | 1,947,231 | ||||||||
Hyundai Capital America† | 3.00% | 6/20/2022 | 213 | 215,065 | ||||||||
Hyundai Capital America† | 3.25% | 9/20/2022 | 636 | 646,928 | ||||||||
Hyundai Capital America† | 3.45% | 3/12/2021 | 280 | 283,695 | ||||||||
Hyundai Capital Services, Inc. (South Korea)†(e) | 3.00% | 8/29/2022 | 1,074 | 1,082,923 | ||||||||
Nissan Motor Acceptance Corp.† | 2.794% (3 Mo. LIBOR + .69% | )# | 9/28/2022 | 550 | 549,057 | |||||||
Volkswagen Group of America Finance LLC† | 4.25% | 11/13/2023 | 787 | 839,060 | ||||||||
Total | 17,257,979 | |||||||||||
Banks: Regional 5.12% | ||||||||||||
ABN AMRO Bank NV (Netherlands)(e) | 6.25% | 4/27/2022 | 2,533 | 2,734,317 | ||||||||
AIB Group plc (Ireland)†(e) | 4.263% (3 Mo. LIBOR + 1.87% | )# | 4/10/2025 | 712 | 751,935 | |||||||
AIB Group plc (Ireland)†(e) | 4.75% | 10/12/2023 | 665 | 711,052 | ||||||||
Akbank T.A.S. (Turkey)†(e) | 5.00% | 10/24/2022 | 600 | 600,181 | ||||||||
ASB Bank Ltd. (New Zealand)†(e) | 3.75% | 6/14/2023 | 1,018 | 1,066,273 | ||||||||
Associated Bank NA | 3.50% | 8/13/2021 | 995 | 1,012,648 | ||||||||
Banco de Credito del Peru (Peru)†(e) | 2.70% | 1/11/2025 | 374 | 372,597 | ||||||||
Bank of America Corp. | 2.456% (3 Mo. LIBOR + .87% | )# | 10/22/2025 | 909 | 912,270 | |||||||
Bank of America Corp. | 4.00% | 1/22/2025 | 1,007 | 1,072,091 | ||||||||
Bank of Ireland Group plc (Ireland)†(e) | 4.50% | 11/25/2023 | 912 | 969,210 | ||||||||
Barclays Bank plc (United Kingdom)†(e) | 10.179% | 6/12/2021 | 2,148 | 2,394,849 | ||||||||
BBVA Bancomer SA† | 6.50% | 3/10/2021 | 205 | 214,686 | ||||||||
CIT Group, Inc. | 4.75% | 2/16/2024 | 96 | 102,720 | ||||||||
Citigroup, Inc. | 2.626% (3 Mo. LIBOR + .69% | )# | 10/27/2022 | 1,324 | 1,334,118 | |||||||
Citigroup, Inc. | 3.352% (3 Mo. LIBOR + .90% | )# | 4/24/2025 | 1,130 | 1,171,780 | |||||||
Citigroup, Inc. | 4.05% | 7/30/2022 | 812 | 848,231 | ||||||||
Danske Bank A/S (Denmark)†(e) | 2.75% | 9/17/2020 | 1,008 | 1,012,340 | ||||||||
Danske Bank A/S (Denmark)†(e) | 3.001% (3 Mo. LIBOR + 1.25% | )# | 9/20/2022 | 718 | 722,880 | |||||||
Danske Bank A/S (Denmark)†(e) | 5.00% | 1/12/2022 | 1,109 | 1,164,295 | ||||||||
Danske Bank A/S (Denmark)†(e) | 5.375% | 1/12/2024 | 364 | 400,135 | ||||||||
Discover Bank | 3.35% | 2/6/2023 | 477 | 491,734 | ||||||||
Goldman Sachs Group, Inc. (The) | 2.707% (3 Mo. LIBOR + .78 | )# | 10/31/2022 | 691 | 695,702 |
See Notes to Financial Statements. | 229 |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Goldman Sachs Group, Inc. (The) | 2.908% (3 Mo. LIBOR + 1.05% | )# | 6/5/2023 | $ | 1,507 | $ | 1,529,596 | |||||
Goldman Sachs Group, Inc. (The) | 3.272% (3 Mo. LIBOR + 1.20% | )# | 9/29/2025 | 563 | 582,854 | |||||||
ING Bank NV (Netherlands)†(e) | 5.80% | 9/25/2023 | 559 | 620,180 | ||||||||
Intesa Sanpaolo SpA (Italy)†(e) | 6.50% | 2/24/2021 | 2,138 | 2,235,222 | ||||||||
Lloyds Bank plc (United Kingdom)†(e) | 6.50% | 9/14/2020 | 3,451 | 3,561,792 | ||||||||
Macquarie Bank Ltd. (Australia)†(e) | 6.625% | 4/7/2021 | 294 | 310,634 | ||||||||
Macquarie Group Ltd. (Australia)†(e) | 3.189% (3 Mo. LIBOR + 1.02% | )# | 11/28/2023 | 871 | 890,371 | |||||||
Macquarie Group Ltd. (Australia)†(e) | 4.15% (3 Mo. LIBOR + 1.33% | )# | 3/27/2024 | 1,393 | 1,465,572 | |||||||
Manufacturers & Traders Trust Co. | 2.906% (1 Mo. LIBOR + 1.22% | )# | 12/28/2020 | 346 | 346,211 | |||||||
Morgan Stanley | 2.72% (SOFR + 1.15% | )# | 7/22/2025 | 638 | 645,869 | |||||||
Morgan Stanley | 4.10% | 5/22/2023 | 404 | 427,053 | ||||||||
NBK SPC Ltd. (United Arab Emirates)†(e) | 2.75% | 5/30/2022 | 960 | 968,591 | ||||||||
Nordea Bank Abp (Finland)†(e) | 4.25% | 9/21/2022 | 505 | 528,678 | ||||||||
Nordea Bank Abp (Finland)†(e) | 4.875% | 5/13/2021 | 1,768 | 1,831,898 | ||||||||
Popular, Inc. | 6.125% | 9/14/2023 | 504 | 542,009 | ||||||||
Royal Bank of Scotland Group plc (United Kingdom)(e) | 6.125% | 12/15/2022 | 435 | 472,294 | ||||||||
Santander UK Group Holdings plc(United Kingdom)(e) | 3.373% (3 Mo. LIBOR + 1.08% | )# | 1/5/2024 | 1,011 | 1,027,732 | |||||||
Standard Chartered Bank Hong Kong Ltd.(Hong Kong)(e) | 5.875% | 6/24/2020 | 555 | 564,768 | ||||||||
Standard Chartered plc (United Kingdom)†(e) | 4.247% (3 Mo. LIBOR + 1.15% | )# | 1/20/2023 | 1,578 | 1,631,506 | |||||||
Swedbank AB (Sweden)†(e) | 2.80% | 3/14/2022 | 837 | 846,036 | ||||||||
Synovus Financial Corp. | 3.125% | 11/1/2022 | 1,470 | 1,487,162 | ||||||||
Toronto-Dominion Bank (The) (Canada)(e) | 2.437% (3 Mo. LIBOR + .53 | )# | 12/1/2022 | 892 | 894,856 | |||||||
Turkiye Halk Bankasi AS (Turkey)†(e) | 3.875% | 2/5/2020 | 218 | 216,478 | ||||||||
Turkiye Vakiflar Bankasi TAO (Turkey)†(e) | 5.625% | 5/30/2022 | 1,267 | 1,258,815 | ||||||||
Turkiye Vakiflar Bankasi TAO (Turkey)†(e) | 5.75% | 1/30/2023 | 364 | 357,311 | ||||||||
UBS AG | 7.625% | 8/17/2022 | 4,406 | 4,972,634 | ||||||||
UBS AG (Switzerland)(e) | 5.125% | 5/15/2024 | 1,839 | 1,982,813 | ||||||||
UBS Group AG (Switzerland)†(e) | 3.13% (3 Mo. LIBOR + 1.22% | )# | 5/23/2023 | 1,085 | 1,099,818 | |||||||
Wells Fargo & Co. | 2.406% (3 Mo. LIBOR + .83% | )# | 10/30/2025 | 1,356 | 1,353,702 |
230 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Zions Bancorp N.A. | 3.35% | 3/4/2022 | $ | 1,046 | $ | 1,070,214 | ||||||
Total | 56,478,713 | |||||||||||
Beverages 0.08% | ||||||||||||
Keurig Dr Pepper, Inc. | 3.20% | 11/15/2021 | 880 | 893,451 | ||||||||
Building Materials 0.82% | ||||||||||||
Boral Finance Pty Ltd. (Australia)†(e) | 3.00% | 11/1/2022 | 412 | 413,873 | ||||||||
CPG Merger Sub LLC† | 8.00% | 10/1/2021 | 887 | 886,645 | ||||||||
Griffon Corp. | 5.25% | 3/1/2022 | 1,961 | 1,982,479 | ||||||||
Holcim US Finance Sarl & Cie SCS (Luxembourg)†(e) | 6.00% | 12/30/2019 | 4,248 | 4,259,263 | ||||||||
Martin Marietta Materials, Inc. | 2.549% (3 Mo. LIBOR + .65% | )# | 5/22/2020 | 230 | 230,326 | |||||||
Owens Corning | 4.20% | 12/1/2024 | 1,254 | 1,322,161 | ||||||||
Total | 9,094,747 | |||||||||||
Business Services 0.55% | ||||||||||||
Adani Ports & Special Economic Zone Ltd. (India)†(e) | 3.375% | 7/24/2024 | 500 | 505,519 | ||||||||
Adani Ports & Special Economic Zone Ltd. (India)†(e) | 3.95% | 1/19/2022 | 500 | 511,588 | ||||||||
Ashtead Capital, Inc.† | 5.625% | 10/1/2024 | 810 | 835,041 | ||||||||
Capitol Investment Merger Sub 2 LLC† | 10.00% | 8/1/2024 | 194 | 194,081 | ||||||||
Equifax, Inc. | 2.78% (3 Mo. LIBOR + .87% | )# | 8/15/2021 | 1,872 | 1,877,992 | |||||||
IHS Markit Ltd. (United Kingdom)(e) | 3.625% | 5/1/2024 | 348 | 363,267 | ||||||||
IHS Markit Ltd. (United Kingdom)(e) | 4.125% | 8/1/2023 | 172 | 182,248 | ||||||||
Laureate Education, Inc.† | 8.25% | 5/1/2025 | 213 | 230,570 | ||||||||
Refinitiv US Holdings, Inc.† | 8.25% | 11/15/2026 | 436 | 488,876 | ||||||||
Sotera Health Topco, Inc. PIK 8.875%† | 8.125% | 11/1/2021 | 888 | 886,224 | ||||||||
Total | 6,075,406 | |||||||||||
Chemicals 0.51% | ||||||||||||
Blue Cube Spinco LLC | 9.75% | 10/15/2023 | 177 | 192,928 | ||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(e) | 3.00% | 7/19/2020 | 200 | 200,739 | ||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(e) | 3.50% | 7/19/2022 | 600 | 609,329 | ||||||||
DuPont de Nemours, Inc. | 4.205% | 11/15/2023 | 350 | 373,979 | ||||||||
Equate Petrochemical BV (Netherlands)†(e) | 3.00% | 3/3/2022 | 200 | 200,773 | ||||||||
NOVA Chemicals Corp. (Canada)†(e) | 5.25% | 8/1/2023 | 495 | 499,945 | ||||||||
Nutrien Ltd. (Canada)(e) | 3.375% | 3/15/2025 | 765 | 792,919 | ||||||||
SABIC Capital II BV (Netherlands)†(e) | 4.00% | 10/10/2023 | 695 | 731,623 | ||||||||
Syngenta Finance NV (Netherlands)†(e) | 3.698% | 4/24/2020 | 700 | 702,190 | ||||||||
Syngenta Finance NV (Netherlands)†(e) | 3.933% | 4/23/2021 | 1,026 | 1,044,175 |
See Notes to Financial Statements. | 231 |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Chemicals (continued) | ||||||||||||
Syngenta Finance NV (Netherlands)†(e) | 4.441% | 4/24/2023 | $ | 250 | $ | 260,719 | ||||||
Total | 5,609,319 | |||||||||||
Computer Hardware 0.55% | ||||||||||||
Dell International LLC/EMC Corp.† | 4.00% | 7/15/2024 | 184 | 192,181 | ||||||||
Dell International LLC/EMC Corp.† | 5.45% | 6/15/2023 | 3,739 | 4,056,035 | ||||||||
Hewlett Packard Enterprise Co. | 2.807% (3 Mo. LIBOR + .68% | )# | 3/12/2021 | 1,098 | 1,102,691 | |||||||
HT Global IT Solutions Holdings Ltd. (Mauritius)†(e) | 7.00% | 7/14/2021 | 700 | 722,925 | ||||||||
Total | 6,073,832 | |||||||||||
Computer Software 0.73% | ||||||||||||
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Ho† | 10.00% | 11/30/2024 | 1,001 | 1,079,819 | ||||||||
Infor US, Inc. | 6.50% | 5/15/2022 | 303 | 309,452 | ||||||||
Informatica LLC† | 7.125% | 7/15/2023 | 1,075 | 1,095,145 | ||||||||
RP Crown Parent LLC† | 7.375% | 10/15/2024 | 477 | 495,085 | ||||||||
Solera LLC/Solera Finance, Inc.† | 10.50% | 3/1/2024 | 1,751 | 1,827,589 | ||||||||
Sophia LP/Sophia Finance, Inc.† | 9.00% | 9/30/2023 | 1,245 | 1,282,867 | ||||||||
TIBCO Software, Inc.† | 11.375% | 12/1/2021 | 1,883 | 1,945,374 | ||||||||
Total | 8,035,331 | |||||||||||
Construction/Homebuilding 0.53% | ||||||||||||
D.R. Horton, Inc. | 2.50% | 10/15/2024 | 858 | 858,377 | ||||||||
D.R. Horton, Inc. | 4.375% | 9/15/2022 | 330 | 346,026 | ||||||||
D.R. Horton, Inc. | 4.75% | 2/15/2023 | 152 | 162,562 | ||||||||
D.R. Horton, Inc. | 5.75% | 8/15/2023 | 1,592 | 1,757,359 | ||||||||
M/I Homes, Inc. | 6.75% | 1/15/2021 | 2,026 | 2,039,473 | ||||||||
William Lyon Homes, Inc. | 7.00% | 8/15/2022 | 141 | 141,441 | ||||||||
Williams Scotsman International, Inc.† | 7.875% | 12/15/2022 | 488 | 510,112 | ||||||||
Total | 5,815,350 | |||||||||||
Containers 0.28% | ||||||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA | 5.75% | 10/15/2020 | 3,108 | 3,115,543 | ||||||||
Drugs 1.49% | ||||||||||||
AbbVie, Inc.† | 2.60% | 11/21/2024 | 1,679 | 1,688,522 | ||||||||
AbbVie, Inc. | 3.75% | 11/14/2023 | 778 | 818,273 | ||||||||
Bayer US Finance II LLC† | 2.75% | 7/15/2021 | 1,014 | 1,018,393 |
232 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Drugs (continued) | ||||||||||||
Bayer US Finance II LLC† | 3.129% (3 Mo. LIBOR + 1.01% | )# | 12/15/2023 | $ | 1,125 | $ | 1,130,779 | |||||
Bayer US Finance II LLC† | 3.875% | 12/15/2023 | 3,870 | 4,061,732 | ||||||||
Cardinal Health, Inc. | 3.079% | 6/15/2024 | 1,722 | 1,761,184 | ||||||||
Cardinal Health, Inc. | 3.50% | 11/15/2024 | 1,505 | 1,568,062 | ||||||||
Cigna Corp. | 2.489% (3 Mo. LIBOR + .35% | )# | 3/17/2020 | 153 | 153,090 | |||||||
Cigna Corp. | 3.75% | 7/15/2023 | 2,054 | 2,148,509 | ||||||||
CVS Health Corp. | 4.00% | 12/5/2023 | 431 | 455,900 | ||||||||
Elanco Animal Health, Inc. | 3.912% | 8/27/2021 | 464 | 475,833 | ||||||||
Elanco Animal Health, Inc. | 4.272% | 8/28/2023 | 1,070 | 1,120,438 | ||||||||
Total | 16,400,715 | |||||||||||
Electric: Power 3.08% | ||||||||||||
AES Corp. (The) | 4.875% | 5/15/2023 | 573 | 584,454 | ||||||||
Ausgrid Finance Pty Ltd. (Australia)†(e) | 3.85% | 5/1/2023 | 2,235 | 2,325,976 | ||||||||
CenterPoint Energy, Inc. | 2.50% | 9/1/2024 | 584 | 584,486 | ||||||||
Comision Federal de Electricidad (Mexico)†(e) | 4.875% | 5/26/2021 | 396 | 409,028 | ||||||||
Comision Federal de Electricidad (Mexico)†(e) | 4.875% | 1/15/2024 | 1,397 | 1,493,274 | ||||||||
Dominion Energy, Inc. | 2.715% | 8/15/2021 | 552 | 555,685 | ||||||||
Dominion Energy, Inc. | 3.071% | 8/15/2024 | 2,196 | 2,251,757 | ||||||||
Dominion Energy, Inc. | 4.104% | 4/1/2021 | 1,445 | 1,479,021 | ||||||||
DTE Energy Co. | 2.529% | 10/1/2024 | 1,687 | 1,689,112 | ||||||||
Duquesne Light Holdings, Inc.† | 5.90% | 12/1/2021 | 353 | 375,556 | ||||||||
Duquesne Light Holdings, Inc.† | 6.40% | 9/15/2020 | 572 | 589,360 | ||||||||
Enel Finance International NV (Netherlands)†(e) | 2.65% | 9/10/2024 | 877 | 877,910 | ||||||||
Enel Finance International NV (Netherlands)†(e) | 2.75% | 4/6/2023 | 1,010 | 1,018,538 | ||||||||
Enel Finance International NV (Netherlands)†(e) | 2.875% | 5/25/2022 | 2,250 | 2,273,839 | ||||||||
Enel Finance International NV (Netherlands)†(e) | 4.25% | 9/14/2023 | 472 | 499,509 | ||||||||
Evergy, Inc. | 2.45% | 9/15/2024 | 368 | 368,586 | ||||||||
FirstEnergy Transmission LLC† | 4.35% | 1/15/2025 | 405 | 437,309 | ||||||||
Georgia Power Co. | 2.20% | 9/15/2024 | 733 | 729,837 | ||||||||
Jersey Central Power & Light Co.† | 4.70% | 4/1/2024 | 491 | 534,187 | ||||||||
NextEra Energy Capital Holdings, Inc. | 2.382% (3 Mo. LIBOR + .48% | )# | 5/4/2021 | 653 | 654,174 | |||||||
NRG Energy, Inc.† | 3.75% | 6/15/2024 | 953 | 982,918 | ||||||||
Origin Energy Finance Ltd. (Australia)†(e) | 5.45% | 10/14/2021 | 2,207 | 2,326,384 | ||||||||
PNM Resources, Inc. | 3.25% | 3/9/2021 | 546 | 552,903 | ||||||||
PPL Capital Funding, Inc. | 3.50% | 12/1/2022 | 430 | 443,806 | ||||||||
PPL WEM Ltd./Western Power Distribution Ltd. (United Kingdom)†(e) | 5.375% | 5/1/2021 | 1,181 | 1,218,169 |
See Notes to Financial Statements. | 233 |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Power (continued) | ||||||||||||
Puget Energy, Inc. | 5.625% | 7/15/2022 | $ | 490 | $ | 524,178 | ||||||
Puget Energy, Inc. | 6.00% | 9/1/2021 | 729 | 775,241 | ||||||||
San Diego Gas & Electric Co. | 1.914% | 2/1/2022 | 194 | 190,692 | ||||||||
SCANA Corp. | 4.125% | 2/1/2022 | 481 | 492,798 | ||||||||
SCANA Corp. | 4.75% | 5/15/2021 | 781 | 799,066 | ||||||||
SCANA Corp. | 6.25% | 4/1/2020 | 346 | 349,547 | ||||||||
Sempra Energy | 2.501% (3 Mo. LIBOR + .50% | )# | 1/15/2021 | 716 | 716,033 | |||||||
Sempra Energy | 4.05% | 12/1/2023 | 465 | 493,711 | ||||||||
TransAlta Corp. (Canada)(e) | 4.50% | 11/15/2022 | 1,861 | 1,919,328 | ||||||||
Vistra Operations Co. LLC† | 3.55% | 7/15/2024 | 2,469 | 2,492,936 | ||||||||
Total | 34,009,308 | |||||||||||
Electrical Equipment 0.97% | ||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 2.65% | 1/15/2023 | 296 | 296,487 | ||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 3.00% | 1/15/2022 | 2,124 | 2,148,380 | ||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 3.625% | 1/15/2024 | 1,095 | 1,127,172 | ||||||||
Broadcom, Inc.† | 3.125% | 10/15/2022 | 1,249 | 1,270,429 | ||||||||
Broadcom, Inc.† | 3.625% | 10/15/2024 | 2,754 | 2,832,593 | ||||||||
KLA Corp. | 4.65% | 11/1/2024 | 348 | 382,506 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(e) | 3.875% | 9/1/2022 | 1,500 | 1,552,850 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(e) | 4.625% | 6/1/2023 | 797 | 850,142 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(e) | 4.875% | 3/1/2024 | 247 | 268,369 | ||||||||
Total | 10,728,928 | |||||||||||
Electronics 0.11% | ||||||||||||
Trimble, Inc. | 4.15% | 6/15/2023 | 944 | 992,595 | ||||||||
Trimble, Inc. | 4.75% | 12/1/2024 | 247 | 267,732 | ||||||||
Total | 1,260,327 | |||||||||||
Energy Equipment & Services 0.06% | ||||||||||||
Greenko Mauritius Ltd. (India)†(e) | 6.25% | 2/21/2023 | 695 | 712,504 | ||||||||
Entertainment 0.35% | ||||||||||||
Eldorado Resorts, Inc. | 7.00% | 8/1/2023 | 500 | 523,958 | ||||||||
Enterprise Development Authority (The)† | 12.00% | 7/15/2024 | 443 | 504,096 | ||||||||
Scientific Games International, Inc. | 6.25% | 9/1/2020 | 674 | 675,517 | ||||||||
Scientific Games International, Inc. | 6.625% | 5/15/2021 | 1,149 | 1,168,131 | ||||||||
Scientific Games International, Inc. | 10.00% | 12/1/2022 | 925 | 950,437 | ||||||||
Total | 3,822,139 |
234 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Financial Services 2.53% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(e) | 3.50% | 5/26/2022 | $ | 273 | $ | 280,552 | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(e) | 4.875% | 1/16/2024 | 272 | 294,982 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(e) | 5.00% | 10/1/2021 | 390 | 408,849 | ||||||||
Air Lease Corp. | 4.25% | 2/1/2024 | 591 | 631,592 | ||||||||
Aircastle Ltd. | 4.40% | 9/25/2023 | 1,323 | 1,403,141 | ||||||||
Aircastle Ltd. | 5.00% | 4/1/2023 | 1,479 | 1,586,693 | ||||||||
Aircastle Ltd. | 5.50% | 2/15/2022 | 1,298 | 1,380,905 | ||||||||
Aircastle Ltd. | 7.625% | 4/15/2020 | 530 | 540,411 | ||||||||
Ally Financial, Inc. | 3.875% | 5/21/2024 | 431 | 449,139 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(e) | 5.125% | 10/1/2023 | 1,021 | 1,100,449 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(e) | 5.25% | 5/15/2024 | 740 | 806,241 | ||||||||
GE Capital International Funding Co. Unlimited Co. (Ireland)(e) | 2.342% | 11/15/2020 | 304 | 303,763 | ||||||||
Global Aircraft Leasing Co. Ltd. PIK 7.25%† | 6.50% | 9/15/2024 | 655 | 671,572 | ||||||||
International Lease Finance Corp. | 8.25% | 12/15/2020 | 2,944 | 3,125,985 | ||||||||
International Lease Finance Corp. | 8.625% | 1/15/2022 | 2,533 | 2,858,480 | ||||||||
Jefferies Financial Group, Inc. | 5.50% | 10/18/2023 | 1,938 | 2,115,650 | ||||||||
Jefferies Group LLC | 6.875% | 4/15/2021 | 2,140 | 2,264,381 | ||||||||
Muthoot Finance Ltd. (India)†(e) | 6.125% | 10/31/2022 | 500 | 515,875 | ||||||||
Nationstar Mortgage Holdings, Inc.† | 8.125% | 7/15/2023 | 2,048 | 2,196,460 | ||||||||
Navient Corp. | 5.875% | 3/25/2021 | 511 | 529,626 | ||||||||
Navient Corp. | 6.625% | 7/26/2021 | 915 | 971,968 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(e) | 3.625% | 3/15/2021 | 348 | 352,402 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(e) | 4.50% | 3/15/2023 | 1,721 | 1,807,248 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(e) | 5.25% | 8/15/2022 | 333 | 354,616 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(e) | 5.50% | 2/15/2024 | 850 | 931,302 | ||||||||
Total | 27,882,282 | |||||||||||
Food 0.22% | ||||||||||||
General Mills, Inc. | 3.012% (3 Mo. LIBOR + 1.01% | )# | 10/17/2023 | 377 | 382,406 | |||||||
Ingles Markets, Inc. | 5.75% | 6/15/2023 | 485 | 495,908 | ||||||||
JBS USA LUX SA/JBS USA Finance, Inc.† | 5.875% | 7/15/2024 | 457 | 471,738 | ||||||||
Smithfield Foods, Inc.† | 2.65% | 10/3/2021 | 26 | 25,824 | ||||||||
Smithfield Foods, Inc.† | 2.70% | 1/31/2020 | 386 | 385,994 | ||||||||
Smithfield Foods, Inc.† | 3.35% | 2/1/2022 | 629 | 632,777 | ||||||||
Total | 2,394,647 |
See Notes to Financial Statements. | 235 |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Health Care Products 0.07% | ||||||||||||
Becton Dickinson & Co. | 2.979% (3 Mo. LIBOR + .88% | )# | 12/29/2020 | $ | 671 | $ | 671,427 | |||||
Kinetic Concepts, Inc./KCI USA, Inc.† | 12.50% | 11/1/2021 | 129 | 134,534 | ||||||||
Total | 805,961 | |||||||||||
Health Care Services 1.21% | ||||||||||||
Acadia Healthcare Co., Inc. | 5.125% | 7/1/2022 | 1,812 | 1,826,156 | ||||||||
Acadia Healthcare Co., Inc. | 5.625% | 2/15/2023 | 129 | 131,740 | ||||||||
Acadia Healthcare Co., Inc. | 6.125% | 3/15/2021 | 1,796 | 1,800,490 | ||||||||
CommonSpirit Health | 2.76% | 10/1/2024 | 627 | 633,769 | ||||||||
Eagle Holding Co. II LLC PIK 8.375%† | 7.625% | 5/15/2022 | 474 | 481,107 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 4.125% | 10/15/2020 | 123 | 124,378 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 5.875% | 1/31/2022 | 3,051 | 3,262,669 | ||||||||
Fresenius Medical Care US Finance, Inc.† | 5.75% | 2/15/2021 | 535 | 555,557 | ||||||||
HCA, Inc. | 5.00% | 3/15/2024 | 1,319 | 1,433,520 | ||||||||
Universal Health Services, Inc.† | 4.75% | 8/1/2022 | 3,104 | 3,144,718 | ||||||||
Total | 13,394,104 | |||||||||||
Household Equipment/Products 0.54% | ||||||||||||
Newell Brands, Inc. | 3.85% | 4/1/2023 | 3,422 | 3,531,656 | ||||||||
Newell Brands, Inc. | 4.70% | 8/15/2020 | 143 | 145,296 | ||||||||
Reckitt Benckiser Treasury Services plc (United Kingdom)†(e) | 2.695% (3 Mo. LIBOR + .56% | )# | 6/24/2022 | 2,225 | 2,230,209 | |||||||
Total | 5,907,161 | |||||||||||
Insurance 0.23% | ||||||||||||
Assurant, Inc. | 4.20% | 9/27/2023 | 988 | 1,028,275 | ||||||||
AXA Equitable Holdings, Inc. | 3.90% | 4/20/2023 | 1,084 | 1,135,697 | ||||||||
CNO Financial Group, Inc. | 5.25% | 5/30/2025 | 286 | 317,625 | ||||||||
Peachtree Corners Funding Trust† | 3.976% | 2/15/2025 | 104 | 109,480 | ||||||||
Total | 2,591,077 | |||||||||||
Investment Management Companies 0.05% | ||||||||||||
MDGH - GMTN BV (Netherlands)†(e) | 2.50% | 11/7/2024 | 572 | 575,003 | ||||||||
Leasing 0.35% | ||||||||||||
Aviation Capital Group LLC† | 2.875% | 1/20/2022 | 199 | 199,614 | ||||||||
Aviation Capital Group LLC† | 3.875% | 5/1/2023 | 706 | 727,647 | ||||||||
DAE Funding LLC (United Arab Emirates)†(e) | 4.00% | 8/1/2020 | 397 | 400,627 | ||||||||
GATX Corp. | 4.35% | 2/15/2024 | 507 | 542,388 | ||||||||
Penske Truck Leasing Co., LP/PTL Finance Corp.† | 2.70% | 11/1/2024 | 680 | 684,419 | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.† | 3.45% | 7/1/2024 | 1,119 | 1,161,642 |
236 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Leasing (continued) | ||||||||||||
Penske Truck Leasing Co., LP/PTL Finance Corp.† | 3.90% | 2/1/2024 | $ | 144 | $ | 151,634 | ||||||
Total | 3,867,971 | |||||||||||
Leisure 0.55% | ||||||||||||
LTF Merger Sub, Inc.† | 8.50% | 6/15/2023 | 3,364 | 3,457,906 | ||||||||
NCL Corp. Ltd.† | 4.75% | 12/15/2021 | 334 | 338,926 | ||||||||
Royal Caribbean Cruises Ltd. | 5.25% | 11/15/2022 | 1,107 | 1,200,154 | ||||||||
Silversea Cruise Finance Ltd.† | 7.25% | 2/1/2025 | 1,049 | 1,116,047 | ||||||||
Total | 6,113,033 | |||||||||||
Lodging 0.33% | ||||||||||||
Boyd Gaming Corp. | 6.875% | 5/15/2023 | 4 | 4,137 | ||||||||
Las Vegas Sands Corp. | 2.90% | 6/25/2025 | 436 | 435,927 | ||||||||
Las Vegas Sands Corp. | 3.20% | 8/8/2024 | 2,237 | 2,278,880 | ||||||||
Studio City Co. Ltd. (Macau)†(e) | 7.25% | 11/30/2021 | 481 | 491,558 | ||||||||
Wyndham Destinations, Inc. | 5.625% | 3/1/2021 | 398 | 413,084 | ||||||||
Total | 3,623,586 | |||||||||||
Machinery: Agricultural 0.88% | ||||||||||||
Altria Group, Inc. | 3.80% | 2/14/2024 | 500 | 525,634 | ||||||||
Altria Group, Inc. | 4.00% | 1/31/2024 | 333 | 352,378 | ||||||||
BAT Capital Corp. | 2.789% | 9/6/2024 | 650 | 650,940 | ||||||||
BAT Capital Corp. | 3.222% | 8/15/2024 | 3,118 | 3,175,267 | ||||||||
Imperial Brands Finance plc (United Kingdom)†(e) | 3.125% | 7/26/2024 | 1,590 | 1,597,423 | ||||||||
Reynolds American, Inc. | 4.85% | 9/15/2023 | 945 | 1,022,636 | ||||||||
Viterra, Inc. (Canada)†(e) | 5.95% | 8/1/2020 | 2,351 | 2,406,131 | ||||||||
Total | 9,730,409 | |||||||||||
Machinery: Industrial/Specialty 0.77% | ||||||||||||
CNH Industrial Capital LLC | 4.20% | 1/15/2024 | 900 | 955,084 | ||||||||
CNH Industrial Capital LLC | 4.375% | 11/6/2020 | 289 | 295,046 | ||||||||
CNH Industrial Capital LLC | 4.375% | 4/5/2022 | 1,563 | 1,644,388 | ||||||||
CNH Industrial Capital LLC | 4.875% | 4/1/2021 | 1,170 | 1,210,763 | ||||||||
CNH Industrial NV (United Kingdom)(e) | 4.50% | 8/15/2023 | 1,303 | 1,386,007 | ||||||||
Flowserve Corp. | 4.00% | 11/15/2023 | 313 | 320,730 | ||||||||
Nvent Finance Sarl (Luxembourg)(e) | 3.95% | 4/15/2023 | 1,308 | 1,332,116 | ||||||||
Westinghouse Air Brake Technologies Corp. | 3.419% (3 Mo. LIBOR + 1.30% | )# | 9/15/2021 | 386 | 386,071 | |||||||
Westinghouse Air Brake Technologies Corp. | 4.40% | 3/15/2024 | 871 | 924,324 | ||||||||
Total | 8,454,529 |
See Notes to Financial Statements. | 237 |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Manufacturing 0.60% | ||||||||||||
Gates Global LLC/Gates Global Co.† | 6.00% | 7/15/2022 | $ | 1,241 | $ | 1,241,310 | ||||||
General Electric Co. | 3.10% | 1/9/2023 | 492 | 502,663 | ||||||||
General Electric Co. | 3.375% | 3/11/2024 | 225 | 233,093 | ||||||||
General Electric Co. | 3.45% | 5/15/2024 | 947 | 980,707 | ||||||||
General Electric Co. | 4.65% | 10/17/2021 | 1,775 | 1,854,429 | ||||||||
Pentair Finance Sarl (Luxembourg)(e) | 2.65% | 12/1/2019 | 1,821 | 1,821,000 | ||||||||
Total | 6,633,202 | |||||||||||
Media 0.71% | ||||||||||||
Altice Financing SA (Luxembourg)†(e) | 6.625% | 2/15/2023 | 1,025 | 1,050,615 | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 3.559% (3 Mo. LIBOR + 1.65% | )# | 2/1/2024 | 173 | 178,025 | |||||||
Cox Communications, Inc.† | 2.95% | 6/30/2023 | 1,817 | 1,850,560 | ||||||||
Cox Communications, Inc.† | 3.25% | 12/15/2022 | 82 | 84,334 | ||||||||
Globo Comunicacao e Participacoes SA (Brazil)†(e) | 4.875% | 4/11/2022 | 250 | 258,828 | ||||||||
NBCUniversal Enterprise, Inc.† | 5.25% | – | (f) | 4,080 | 4,203,828 | |||||||
Virgin Media Finance plc (United Kingdom)†(e) | 6.00% | 10/15/2024 | 200 | 206,333 | ||||||||
Total | 7,832,523 | |||||||||||
Metal Fabricating 0.02% | ||||||||||||
Zekelman Industries, Inc.† | 9.875% | 6/15/2023 | 169 | 178,401 | ||||||||
Metals & Minerals: Miscellaneous 1.65% | ||||||||||||
Anglo American Capital plc (United Kingdom)†(e) | 3.625% | 9/11/2024 | 2,050 | 2,119,874 | ||||||||
Anglo American Capital plc (United Kingdom)†(e) | 3.75% | 4/10/2022 | 2,310 | 2,374,926 | ||||||||
Anglo American Capital plc (United Kingdom)†(e) | 4.125% | 4/15/2021 | 200 | 204,452 | ||||||||
Anglo American Capital plc (United Kingdom)†(e) | 4.125% | 9/27/2022 | 1,807 | 1,883,976 | ||||||||
Century Aluminum Co.† | 7.50% | 6/1/2021 | 348 | 338,569 | ||||||||
Freeport-McMoRan, Inc. | 4.55% | 11/14/2024 | 720 | 758,491 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(e) | 4.25% | 10/25/2022 | 2,388 | 2,499,603 | ||||||||
Glencore Funding LLC† | 3.00% | 10/27/2022 | 225 | 227,360 | ||||||||
Glencore Funding LLC† | 4.125% | 5/30/2023 | 1,890 | 1,974,042 | ||||||||
Glencore Funding LLC† | 4.125% | 3/12/2024 | 939 | 985,678 | ||||||||
Glencore Funding LLC† | 4.625% | 4/29/2024 | 484 | 517,790 | ||||||||
Hecla Mining Co. | 6.875% | 5/1/2021 | 339 | 336,373 | ||||||||
Hudbay Minerals, Inc. (Canada)†(e) | 7.25% | 1/15/2023 | 273 | 280,621 | ||||||||
Indonesia Asahan Aluminium Persero PT (Indonesia)†(e) | 5.23% | 11/15/2021 | 403 | 423,148 | ||||||||
Joseph T Ryerson & Son, Inc.† | 11.00% | 5/15/2022 | 513 | 543,520 | ||||||||
Kinross Gold Corp. (Canada)(e) | 5.125% | 9/1/2021 | 257 | 267,858 |
238 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Metals & Minerals: Miscellaneous (continued) | ||||||||||||
Kinross Gold Corp. (Canada)(e) | 5.95% | 3/15/2024 | $ | 1,044 | $ | 1,159,096 | ||||||
Newmont Goldcorp Corp. | 3.70% | 3/15/2023 | 937 | 974,795 | ||||||||
Novelis Corp.† | 6.25% | 8/15/2024 | 277 | 291,966 | ||||||||
Total | 18,162,138 | |||||||||||
Natural Gas 0.37% | ||||||||||||
National Fuel Gas Co. | 3.75% | 3/1/2023 | 515 | 532,407 | ||||||||
National Fuel Gas Co. | 4.90% | 12/1/2021 | 682 | 710,757 | ||||||||
ONEOK, Inc. | 7.50% | 9/1/2023 | 1,313 | 1,533,863 | ||||||||
Southern Star Central Corp.† | 5.125% | 7/15/2022 | 1,086 | 1,099,914 | ||||||||
WGL Holdings, Inc. | 2.682% (3 Mo. LIBOR + .55% | )# | 3/12/2020 | 250 | 249,843 | |||||||
Total | 4,126,784 | |||||||||||
Oil 4.84% | ||||||||||||
Afren plc (United Kingdom)†(e)(g) | 6.625% | 12/9/2020 | 195 | 956 | ||||||||
Afren plc (United Kingdom)†(e)(g) | 10.25% | 4/8/2019 | 195 | 1,643 | ||||||||
Afren plc (United Kingdom)†(e)(g) | 11.50% | 2/1/2016 | 390 | 3,287 | ||||||||
American Energy- Permian Basin LLC† | 12.00% | 10/1/2024 | 279 | 174,375 | ||||||||
Antero Resources Corp. | 5.125% | 12/1/2022 | 2,570 | 2,094,550 | ||||||||
Callon Petroleum Co. | 6.125% | 10/1/2024 | 192 | 182,880 | ||||||||
Carrizo Oil & Gas, Inc. | 6.25% | 4/15/2023 | 2,360 | 2,277,376 | ||||||||
Chaparral Energy, Inc.† | 8.75% | 7/15/2023 | 1,580 | 637,135 | ||||||||
Cimarex Energy Co. | 4.375% | 6/1/2024 | 479 | 501,754 | ||||||||
CNOOC Curtis Funding No 1 Pty Ltd. (Australia)†(e) | 4.50% | 10/3/2023 | 1,530 | 1,639,397 | ||||||||
Concho Resources, Inc. | 4.375% | 1/15/2025 | 1,181 | 1,221,102 | ||||||||
Continental Resources, Inc. | 3.80% | 6/1/2024 | 226 | 231,835 | ||||||||
Continental Resources, Inc. | 4.50% | 4/15/2023 | 2,377 | 2,478,812 | ||||||||
Continental Resources, Inc. | 5.00% | 9/15/2022 | 3,723 | 3,745,538 | ||||||||
Diamondback Energy, Inc. | 4.75% | 11/1/2024 | 872 | 905,912 | ||||||||
Diamondback Energy, Inc. | 5.375% | 5/31/2025 | 1,916 | 2,019,598 | ||||||||
Energen Corp. | 4.625% | 9/1/2021 | 615 | 631,002 | ||||||||
Eni SpA (Italy)†(e) | 4.00% | 9/12/2023 | 1,327 | 1,398,434 | ||||||||
Eni SpA (Italy)†(e) | 4.15% | 10/1/2020 | 600 | 609,872 | ||||||||
Equinor ASA (Norway)†(e) | 7.875% | 12/9/2022 | 1,000 | 1,158,707 | ||||||||
Gazprom PJSC Via Gaz Capital SA (Luxembourg)†(e) | 6.51% | 3/7/2022 | 700 | 761,659 | ||||||||
Gulfport Energy Corp. | 6.625% | 5/1/2023 | 654 | 493,973 | ||||||||
Harvest Operations Corp. (Canada)†(e) | 4.20% | 6/1/2023 | 250 | 265,842 | ||||||||
Helmerich & Payne, Inc. | 4.65% | 3/15/2025 | 98 | 106,574 | ||||||||
Hess Corp. | 3.50% | 7/15/2024 | 437 | 447,646 |
See Notes to Financial Statements. | 239 |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil (continued) | ||||||||||||
HighPoint Operating Corp. | 7.00% | 10/15/2022 | $ | 133 | $ | 121,736 | ||||||
Husky Energy, Inc. (Canada)(e) | 4.00% | 4/15/2024 | 1,002 | 1,050,565 | ||||||||
KazMunayGas National Co. JSC (Kazakhstan)†(e) | 3.875% | 4/19/2022 | 375 | 386,667 | ||||||||
Laredo Petroleum, Inc. | 5.625% | 1/15/2022 | 1,274 | 1,176,435 | ||||||||
Lukoil International Finance BV (Netherlands)†(e) | 6.125% | 11/9/2020 | 200 | 207,423 | ||||||||
Marathon Petroleum Corp. | 5.375% | 10/1/2022 | 938 | 948,331 | ||||||||
Matador Resources Co. | 5.875% | 9/15/2026 | 1,728 | 1,710,798 | ||||||||
Medco Straits Services Pte Ltd. (Singapore)†(e) | 8.50% | 8/17/2022 | 200 | 212,405 | ||||||||
Montage Resources Corp. | 8.875% | 7/15/2023 | 961 | 785,608 | ||||||||
Motiva Enterprises LLC† | 5.75% | 1/15/2020 | 2,096 | 2,104,068 | ||||||||
Murphy Oil Corp. | 6.875% | 8/15/2024 | 327 | 343,069 | ||||||||
Oasis Petroleum, Inc. | 6.875% | 3/15/2022 | 4,529 | 4,243,107 | ||||||||
Occidental Petroleum Corp. | 2.70% | 8/15/2022 | 678 | 683,691 | ||||||||
Occidental Petroleum Corp. | 2.90% | 8/15/2024 | 1,052 | 1,058,957 | ||||||||
Occidental Petroleum Corp. | 6.95% | 7/1/2024 | 913 | 1,066,576 | ||||||||
OGX Austria GmbH (Brazil)†(e)(g) | 8.50% | 6/1/2018 | 225 | 4 | ||||||||
Parsley Energy LLC/Parsley Finance Corp.† | 6.25% | 6/1/2024 | 1,419 | 1,476,349 | ||||||||
Phillips 66 | 2.517% (3 Mo. LIBOR + .60% | )# | 2/26/2021 | 362 | 362,004 | |||||||
QEP Resources, Inc. | 6.875% | 3/1/2021 | 118 | 120,018 | ||||||||
Range Resources Corp. | 5.00% | 8/15/2022 | 1,914 | 1,818,300 | ||||||||
Range Resources Corp. | 5.00% | 3/15/2023 | 558 | 486,152 | ||||||||
Range Resources Corp. | 5.75% | 6/1/2021 | 1,005 | 1,005,402 | ||||||||
Range Resources Corp. | 5.875% | 7/1/2022 | 216 | 208,507 | ||||||||
Reliance Holdings USA, Inc.† | 5.40% | 2/14/2022 | 1,600 | 1,694,816 | ||||||||
Saudi Arabian Oil Co. (Saudi Arabia)†(e) | 2.75% | 4/16/2022 | 359 | 362,276 | ||||||||
Saudi Arabian Oil Co. (Saudi Arabia)†(e) | 2.875% | 4/16/2024 | 503 | 509,722 | ||||||||
Seven Generations Energy Ltd. (Canada)†(e) | 6.75% | 5/1/2023 | 1,713 | 1,767,242 | ||||||||
Seven Generations Energy Ltd. (Canada)†(e) | 6.875% | 6/30/2023 | 1,343 | 1,380,490 | ||||||||
Sinopec Group Overseas Development 2018 Ltd. (China)†(e) | 2.50% | 11/12/2024 | 630 | 629,073 | ||||||||
SM Energy Co. | 6.125% | 11/15/2022 | 757 | 740,204 | ||||||||
Suncor Energy Ventures Corp. (Canada)†(e) | 9.40% | 9/1/2021 | 125 | 138,181 | ||||||||
Transocean Sentry Ltd.† | 5.375% | 5/15/2023 | 406 | 407,011 | ||||||||
WPX Energy, Inc. | 5.25% | 9/15/2024 | 227 | 232,552 | ||||||||
Total | 53,427,598 |
240 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil: Crude Producers 2.83% | ||||||||||||
Cheniere Corpus Christi Holdings LLC | 5.875% | 3/31/2025 | $ | 993 | $ | 1,112,359 | ||||||
Cheniere Corpus Christi Holdings LLC | 7.00% | 6/30/2024 | 1,129 | 1,298,169 | ||||||||
Enable Oklahoma Intrastate Transmission LLC† | 6.25% | 3/15/2020 | 1,937 | 1,958,049 | ||||||||
Energy Transfer Operating LP | 4.25% | 3/15/2023 | 2,099 | 2,183,012 | ||||||||
Energy Transfer Operating LP | 5.875% | 1/15/2024 | 1,976 | 2,177,430 | ||||||||
Florida Gas Transmission Co. LLC† | 3.875% | 7/15/2022 | 440 | 453,962 | ||||||||
Midwest Connector Capital Co. LLC† | 3.625% | 4/1/2022 | 875 | 897,346 | ||||||||
Midwest Connector Capital Co. LLC† | 3.90% | 4/1/2024 | 618 | 645,722 | ||||||||
Mplx LP | 3.202% (3 Mo. LIBOR + 1.10% | )# | 9/9/2022 | 2,546 | 2,555,304 | |||||||
Mplx LP† | 6.25% | 10/15/2022 | 982 | 998,397 | ||||||||
MPLX LP† | 6.375% | 5/1/2024 | 3,251 | 3,402,885 | ||||||||
NGPL PipeCo LLC† | 4.375% | 8/15/2022 | 1,608 | 1,665,663 | ||||||||
Sabine Pass Liquefaction LLC | 5.625% | 4/15/2023 | 6,397 | 6,951,032 | ||||||||
Sabine Pass Liquefaction LLC | 5.75% | 5/15/2024 | 694 | 772,984 | ||||||||
SemGroup Corp. | 6.375% | 3/15/2025 | 1,358 | 1,419,674 | ||||||||
SemGroup Corp./Rose Rock Finance Corp. | 5.625% | 11/15/2023 | 429 | 440,976 | ||||||||
Spectra Energy Partners LP | 4.60% | 6/15/2021 | 297 | 305,680 | ||||||||
Texas Eastern Transmission LP† | 2.80% | 10/15/2022 | 223 | 224,829 | ||||||||
Texas Eastern Transmission LP† | 4.125% | 12/1/2020 | 500 | 506,745 | ||||||||
Texas Gas Transmission LLC† | 4.50% | 2/1/2021 | 729 | 740,803 | ||||||||
Williams Cos, Inc. (The) | 4.50% | 11/15/2023 | 272 | 289,201 | ||||||||
Williams Cos., Inc. (The) | 7.875% | 9/1/2021 | 192 | 209,815 | ||||||||
Total | 31,210,037 | |||||||||||
Oil: Integrated Domestic 0.49% | ||||||||||||
National Oilwell Varco, Inc. | 2.60% | 12/1/2022 | 1,009 | 1,019,782 | ||||||||
Oceaneering International, Inc. | 4.65% | 11/15/2024 | 576 | 515,520 | ||||||||
Schlumberger Holdings Corp.† | 3.75% | 5/1/2024 | 1,816 | 1,912,791 | ||||||||
SESI LLC | 7.125% | 12/15/2021 | 1,880 | 1,405,300 | ||||||||
TechnipFMC plc (United Kingdom)(e) | 3.45% | 10/1/2022 | 513 | 521,104 | ||||||||
Total | 5,374,497 | |||||||||||
Real Estate Investment Trusts 1.25% | ||||||||||||
Brandywine Operating Partnership LP | 4.10% | 10/1/2024 | 92 | 97,247 | ||||||||
Brixmor Operating Partnership LP | 3.25% | 9/15/2023 | 1,080 | 1,117,959 | ||||||||
Brixmor Operating Partnership LP | 3.65% | 6/15/2024 | 424 | 441,462 | ||||||||
China Overseas Finance Cayman V Ltd. | 3.95% | 11/15/2022 | 400 | 412,747 | ||||||||
CyrusOne LP/CyrusOne Finance Corp. | 2.90% | 11/15/2024 | 262 | 263,087 | ||||||||
EPR Properties | 5.25% | 7/15/2023 | 172 | 184,688 |
See Notes to Financial Statements. | 241 |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Real Estate Investment Trusts (continued) | ||||||||||||
Equinix, Inc. | 5.375% | 5/15/2027 | $ | 2,465 | $ | 2,677,668 | ||||||
Equinix, Inc. | 5.875% | 1/15/2026 | 1,728 | 1,835,693 | ||||||||
Highwoods Realty LP | 3.20% | 6/15/2021 | 155 | 156,806 | ||||||||
Highwoods Realty LP | 3.625% | 1/15/2023 | 1,080 | 1,117,352 | ||||||||
SITE Centers Corp. | 4.625% | 7/15/2022 | 154 | 160,678 | ||||||||
SL Green Operating Partnership LP | 3.25% | 10/15/2022 | 1,103 | 1,126,910 | ||||||||
SL Green Realty Corp. | 4.50% | 12/1/2022 | 1,530 | 1,610,642 | ||||||||
Vereit Operating Partnership LP | 4.125% | 6/1/2021 | 329 | 337,188 | ||||||||
Vereit Operating Partnership LP | 4.60% | 2/6/2024 | 1,688 | 1,818,627 | ||||||||
Welltower, Inc. | 3.625% | 3/15/2024 | 250 | 262,905 | ||||||||
Welltower, Inc. | 4.50% | 1/15/2024 | 138 | 149,112 | ||||||||
Total | 13,770,771 | |||||||||||
Retail 0.12% | ||||||||||||
Asbury Automotive Group, Inc. | 6.00% | 12/15/2024 | 102 | 105,442 | ||||||||
Dollar Tree, Inc. | 3.70% | 5/15/2023 | 334 | 347,151 | ||||||||
Dollar Tree, Inc. | 4.00% | 5/15/2025 | 270 | 285,009 | ||||||||
Walgreens Boots Alliance, Inc. | 3.80% | 11/18/2024 | 614 | 635,235 | ||||||||
Total | 1,372,837 | |||||||||||
Savings & Loan 0.03% | ||||||||||||
People’s United Financial, Inc. | 3.65% | 12/6/2022 | 370 | 382,682 | ||||||||
Steel 0.35% | ||||||||||||
POSCO (South Korea)†(e) | 2.375% | 11/12/2022 | 450 | 448,057 | ||||||||
Steel Dynamics, Inc. | 4.125% | 9/15/2025 | 2,194 | 2,244,276 | ||||||||
Steel Dynamics, Inc. | 5.50% | 10/1/2024 | 1,081 | 1,117,359 | ||||||||
Total | 3,809,692 | |||||||||||
Technology 0.83% | ||||||||||||
Alibaba Group Holding Ltd. (China)(e) | 2.80% | 6/6/2023 | 278 | 281,655 | ||||||||
Baidu, Inc. (China)(e) | 3.875% | 9/29/2023 | 2,248 | 2,340,682 | ||||||||
Baidu, Inc. (China)(e) | 4.375% | 5/14/2024 | 2,393 | 2,551,297 | ||||||||
Prosus NV (Netherlands)†(e) | 6.00% | 7/18/2020 | 1,825 | 1,864,730 | ||||||||
Tencent Holdings Ltd. (China)†(e) | 3.28% | 4/11/2024 | 1,411 | 1,450,955 | ||||||||
VeriSign, Inc. | 4.625% | 5/1/2023 | 109 | 111,043 | ||||||||
Weibo Corp. (China)(e) | 3.50% | 7/5/2024 | 500 | 508,856 | ||||||||
Total | 9,109,218 |
242 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Telecommunications 0.65% | ||||||||||||
AT&T, Inc. | 3.312% (3 Mo. LIBOR + 1.18% | )# | 6/12/2024 | $ | 5,102 | $ | 5,191,717 | |||||
British Telecommunications plc (United Kingdom)(e) | 4.50% | 12/4/2023 | 1,107 | 1,190,832 | ||||||||
CommScope, Inc.† | 5.50% | 3/1/2024 | 574 | 597,672 | ||||||||
GTH Finance BV (Netherlands)†(e) | 6.25% | 4/26/2020 | 200 | 201,236 | ||||||||
Total | 7,181,457 | |||||||||||
Transportation: Miscellaneous 0.16% | ||||||||||||
Pelabuhan Indonesia III Persero PT (Indonesia)†(e) | 4.50% | 5/2/2023 | 622 | 655,750 | ||||||||
Watco Cos. LLC/Watco Finance Corp.† | 6.375% | 4/1/2023 | 819 | 834,696 | ||||||||
XPO Logistics, Inc.† | 6.50% | 6/15/2022 | 320 | 328,273 | ||||||||
Total | 1,818,719 | |||||||||||
Wholesale 0.04% | ||||||||||||
H&E Equipment Services, Inc. | 5.625% | 9/1/2025 | 442 | 465,941 | ||||||||
Total Corporate Bonds (cost $443,034,072) | 447,889,148 | |||||||||||
FLOATING RATE LOANS(h)2.63% | ||||||||||||
Aerospace/Defense 0.14% | ||||||||||||
TransDigm, Inc. 2018 Term Loan F | 4.202% (1 Mo. LIBOR + 2.50% | ) | 6/9/2023 | 1,542 | 1,544,379 | |||||||
Air Transportation 0.13% | ||||||||||||
American Airlines, Inc. 2017 Incremental Term Loan | 3.765% (1 Mo. LIBOR + 2.00% | ) | 12/14/2023 | 288 | 287,990 | |||||||
American Airlines, Inc. Repriced TL B due 2023 | 3.702% (1 Mo. LIBOR + 2.00% | ) | 4/28/2023 | 1,153 | 1,154,605 | |||||||
Total | 1,442,595 | |||||||||||
Computer Hardware 0.00% | ||||||||||||
Dell International LLC 2019 Term Loan B | 3.71% (1 Mo. LIBOR + 2.00% | ) | 9/19/2025 | 9 | 8,733 | |||||||
Computer Software 0.06% | ||||||||||||
Infor (US), Inc. Term Loan B6 | 4.854% (3 Mo. LIBOR + 2.75% | ) | 2/1/2022 | 278 | 278,353 | |||||||
Sophia, L.P. 2017 Term Loan B | 5.354% (3 Mo. LIBOR + 3.25% | ) | 9/30/2022 | 335 | 335,783 | |||||||
Total | 614,136 | |||||||||||
Drugs 0.11% | ||||||||||||
NVA Holdings, Inc. Term Loan B3 | 6.50% (3 Mo. LIBOR + 2.75% | ) | 2/2/2025 | 1,254 | 1,253,742 |
See Notes to Financial Statements. | 243 |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Electric: Power 0.42% | ||||||||||||
AES Corporation 2018 Term Loan | 3.659% (3 Mo. LIBOR + 1.75% | ) | 5/31/2022 | $ | 45 | $ | 44,858 | |||||
Pacific Gas & Electric Company DIP Delayed Draw Term Loan | 2.25% | 12/31/2020 | 220 | 221,100 | ||||||||
Pacific Gas & Electric Company DIP Term Loan | 4.02% (1 Mo. LIBOR + 2.25% | ) | 12/31/2020 | 661 | 664,305 | |||||||
Pacific Gas & Electric Company Revolver | – | (i) | 4/27/2022 | 3,834 | 3,720,506 | |||||||
Total | 4,650,769 | |||||||||||
Electrical Equipment 0.17% | ||||||||||||
Marvell Technology Group Ltd 2018 Term Loan A | 3.155% (1 Mo. LIBOR + 1.38% | ) | 6/7/2021 | 1,888 | 1,886,084 | |||||||
Entertainment 0.02% | ||||||||||||
GLP Financing, LLC Incremental Term Loan A | 3.30% (1 Mo. LIBOR + 1.50% | ) | 4/28/2021 | 219 | 218,006 | |||||||
Financial Services 0.09% | ||||||||||||
Delos Finance Sarl 2018 Term Loan B (Luxembourg)(e) | 3.854% (3 Mo. LIBOR + 1.75% | ) | 10/6/2023 | 630 | 632,845 | |||||||
Flying Fortress Inc. 2018 Term Loan B | 3.854% (3 Mo. LIBOR + 1.75% | ) | 10/30/2022 | 327 | 328,763 | |||||||
Total | 961,608 | |||||||||||
Government 0.05% | ||||||||||||
Seminole Tribe of Florida 2018 Term Loan | 3.452% (1 Mo. LIBOR + 1.75% | ) | 7/8/2024 | 535 | 538,229 | |||||||
Insurance 0.02% | ||||||||||||
FHC Health Systems, Inc. 2014 Term Loan | 6.104% (3 Mo. LIBOR + 4.00% | ) | 12/23/2021 | 185 | 184,911 | |||||||
Investment Management Companies 0.15% | ||||||||||||
Broadcom Inc. 2019 1st Lien Term Loan A3 | – | (i) | 11/4/2022 | 1,136 | 1,133,319 | |||||||
RPI Finance Trust Term Loan A4 | 3.202% (1 Mo. LIBOR + 1.50% | ) | 5/4/2022 | 548 | 542,386 | |||||||
Total | 1,675,705 | |||||||||||
Media 0.35% | ||||||||||||
AP NMT Acquisition BV USD 1st Lien Term Loan (Netherlands)(e) | 7.835% (3 Mo. LIBOR + 5.75% | ) | 8/13/2021 | 908 | 912,320 | |||||||
AP NMT Acquisition BV USD 2nd Lien Term Loan (Netherlands)(e) | 11.089% (3 Mo. LIBOR + 9.00% | ) | 8/13/2022 | 456 | 460,176 | |||||||
Charter Communications Operating, LLC 2017 Term Loan A2 | 3.20% (3 Mo. LIBOR + 1.50% | ) | 3/31/2023 | 2,422 | 2,425,162 | |||||||
Total | 3,797,658 |
244 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Metal Fabricating 0.00% | ||||||||||||
Doncasters Finance US LLC 2nd Lien Term Loan | 10.354% (3 Mo. LIBOR + 8.25% | ) | 10/9/2020 | $ | 141 | $ | 39,071 | |||||
Miscellaneous 0.02% | ||||||||||||
Utex Industries, Inc. 1st Lien Term loan 2014 | 5.702% (1 Mo. LIBOR + 4.00% | ) | 5/22/2021 | 259 | 185,761 | |||||||
Utex Industries, Inc. 2nd Lien Term Loan 2014 | 8.952% (1 Mo. LIBOR + 7.25% | ) | 5/22/2022 | 111 | 53,280 | |||||||
Total | 239,041 | |||||||||||
Oil 0.03% | ||||||||||||
Petroleos Mexicanos 2015 Term Loan (Mexico)(e) | 2.74% (1 Mo. LIBOR + .85% | ) | 2/14/2020 | 305 | 305,000 | |||||||
Oil: Crude Producers 0.12% | ||||||||||||
ONEOK Partners, L.P. Term Loan A | 2.715% (1 Wk. LIBOR + 1.13% | ) | 11/19/2021 | 1,335 | 1,335,841 | |||||||
Real Estate Investment Trusts 0.25% | ||||||||||||
Hudson Pacific Properties, L.P. 2015 Delayed Draw Term Loan | 3.031% (1 Mo. LIBOR + 1.25% | ) | 4/1/2022 | 652 | 648,825 | |||||||
Invitation Homes Operating Partnership LP Term Loan A | 3.408% (1 Mo. LIBOR + 1.70% | ) | 2/6/2022 | 2,149 | 2,116,765 | |||||||
Total | 2,765,590 | |||||||||||
Retail 0.18% | ||||||||||||
Comfort Holding, LLC 1st Lien Term Loan | 6.452% (1 Mo. LIBOR + 4.75% | ) | 2/5/2024 | 330 | 326,730 | |||||||
Panera Bread Company Term Loan A | 3.563% (1 Mo. LIBOR + 1.75% | ) | 7/18/2022 | 1,679 | 1,641,853 | |||||||
Total | 1,968,583 | |||||||||||
Technology 0.05% | ||||||||||||
Uber Technologies, Inc. 2018 Incremental Term Loan | 5.202% (1 Mo. LIBOR + 3.50% | ) | 7/13/2023 | 566 | 554,000 | |||||||
Telecommunications 0.22% | ||||||||||||
CenturyLink, Inc. 2017 Term Loan A | 4.452% (1 Mo. LIBOR + 2.75% | ) | 11/1/2022 | 2,427 | 2,437,947 | |||||||
Wholesale 0.05% | ||||||||||||
Core &Main LP 2017 Term Loan B | 4.44% (2 Mo. LIBOR + 2.75%) - 4.66% | 8/1/2024 | 576 | 570,234 | ||||||||
Total Floating Rate Loans (cost $29,212,401) | 28,991,862 |
See Notes to Financial Statements. | 245 |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
FOREIGN GOVERNMENT OBLIGATIONS 0.41% | ||||||||||||
Bermuda 0.10% | ||||||||||||
Government of Bermuda† | 4.138% | 1/3/2023 | $ | 600 | $ | 627,255 | ||||||
Government of Bermuda† | 4.854% | 2/6/2024 | 447 | 487,189 | ||||||||
Total | 1,114,444 | |||||||||||
Indonesia 0.11% | ||||||||||||
Perusahaan Penerbit SBSN (Indonesia)†(e) | 3.40% | 3/29/2022 | 745 | 761,547 | ||||||||
Perusahaan Penerbit SBSN (Indonesia)†(e) | 3.75% | 3/1/2023 | 405 | 420,327 | ||||||||
Total | 1,181,874 | |||||||||||
Romania 0.15% | ||||||||||||
Republic of Romania†(e) | 4.875% | 1/22/2024 | 920 | 1,006,697 | ||||||||
Republic of Romania†(e) | 6.75% | 2/7/2022 | 572 | 625,234 | ||||||||
Total | 1,631,931 | |||||||||||
Sri Lanka 0.05% | ||||||||||||
Republic of Sri Lanka†(e) | 5.75% | 4/18/2023 | 620 | 604,980 | ||||||||
Total Foreign Government Obligations (cost $4,453,899) | 4,533,229 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 1.27% | ||||||||||||
Federal Home Loan Mortgage Corp. K061 X1 IO | 0.304% | #(j) | 11/25/2026 | 15,341 | 188,119 | |||||||
Federal Home Loan Mortgage Corp. Q001 XA IO | 2.231% | #(j) | 2/25/2032 | 1,375 | 182,772 | |||||||
Government National Mortgage Assoc. 2013-162 A | 2.75% | #(j) | 9/16/2046 | 72 | 72,428 | |||||||
Government National Mortgage Assoc. 2013-171 IO | 0.889% | #(j) | 6/16/2054 | 5,468 | 211,173 | |||||||
Government National Mortgage Assoc. 2013-193 IO | 0.905% | #(j) | 1/16/2055 | 2,228 | 85,416 | |||||||
Government National Mortgage Assoc. 2014-112 A | 3.00% | #(j) | 1/16/2048 | 266 | 270,561 | |||||||
Government National Mortgage Assoc. 2014-135 AS | 2.30% | 2/16/2047 | 359 | 358,760 | ||||||||
Government National Mortgage Assoc. 2014-15 IO | 0.774% | #(j) | 8/16/2054 | 5,079 | 193,999 | |||||||
Government National Mortgage Assoc. 2014-64 IO | 1.041% | #(j) | 12/16/2054 | 21,586 | 1,000,461 | |||||||
Government National Mortgage Assoc. 2014-70 A | 2.50% | 3/16/2049 | 21 | 20,753 | ||||||||
Government National Mortgage Assoc. 2014-78 A | 2.20% | 4/16/2047 | 62 | 62,100 | ||||||||
Government National Mortgage Assoc. 2015-19 AD | 2.90% | 10/16/2055 | 198 | 199,686 | ||||||||
Government National Mortgage Assoc. 2015-33 AS | 2.90% | #(j) | 5/16/2054 | 292 | 296,146 | |||||||
Government National Mortgage Assoc. 2015-41 AD | 2.90% | #(j) | 8/16/2055 | 144 | 145,749 | |||||||
Government National Mortgage Assoc. 2017-100 AS | 2.75% | 2/16/2058 | 1,013 | 1,025,871 | ||||||||
Government National Mortgage Assoc. 2017-44 AD | 2.65% | 11/17/2048 | 1,256 | 1,267,289 | ||||||||
Government National Mortgage Assoc. 2017-61 A | 2.60% | 8/16/2058 | 961 | 966,912 | ||||||||
Government National Mortgage Assoc. 2017-71 AS | 2.70% | 4/16/2057 | 1,073 | 1,084,333 | ||||||||
Government National Mortgage Assoc. 2017-72 AM | 2.60% | 9/16/2051 | 663 | 667,252 | ||||||||
Government National Mortgage Assoc. 2017-74 AS | 2.60% | 10/16/2057 | 666 | 670,351 |
246 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | ||||||||||||
Government National Mortgage Assoc. 2017-76 AS | 2.65% | 11/16/2050 | $ | 1,327 | $ | 1,338,514 | ||||||
Government National Mortgage Assoc. 2017-89 AB | 2.60% | 7/16/2058 | 1,041 | 1,048,025 | ||||||||
Government National Mortgage Assoc. 2017-90 AS | 2.70% | 7/16/2057 | 1,429 | 1,444,093 | ||||||||
Government National Mortgage Assoc. 2017-92 AS | 2.75% | 6/16/2058 | 1,197 | 1,211,479 | ||||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $15,011,386) | 14,012,242 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 0.45% | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.137% (12 Mo. LIBOR + 1.64% | )# | 11/1/2043 | 814 | 837,570 | |||||||
Federal Home Loan Mortgage Corp. | 4.255% (12 Mo. LIBOR + 1.79% | )# | 12/1/2036 | 145 | 152,454 | |||||||
Federal Home Loan Mortgage Corp. | 4.276% (12 Mo. LIBOR + 1.96% | )# | 2/1/2037 | 129 | 137,297 | |||||||
Federal Home Loan Mortgage Corp. | 4.289% (12 Mo. LIBOR + 1.72% | )# | 4/1/2037 | 49 | 51,017 | |||||||
Federal Home Loan Mortgage Corp. | 4.478% (12 Mo. LIBOR + 1.78% | )# | 10/1/2038 | 35 | 37,343 | |||||||
Federal Home Loan Mortgage Corp. | 4.541% (12 Mo. LIBOR + 1.79% | )# | 5/1/2036 | 44 | 46,449 | |||||||
Federal Home Loan Mortgage Corp. | 4.605% (12 Mo. LIBOR + 1.94% | )# | 9/1/2036 | 144 | 152,318 | |||||||
Federal Home Loan Mortgage Corp. | 4.756% (12 Mo. LIBOR + 1.66% | )# | 2/1/2038 | 155 | 162,704 | |||||||
Federal National Mortgage Assoc. | 2.657% (12 Mo. LIBOR + 1.60% | )# | 12/1/2045 | 254 | 258,343 | |||||||
Federal National Mortgage Assoc. | 2.71% (12 Mo. LIBOR + 1.60% | )# | 12/1/2045 | �� | 821 | 834,737 | ||||||
Federal National Mortgage Assoc. | 2.832% (12 Mo. LIBOR + 1.60% | )# | 10/1/2045 | 295 | 300,729 | |||||||
Federal National Mortgage Assoc. | 3.984% (12 Mo. LIBOR + 1.18% | )# | 6/1/2038 | 168 | 173,740 | |||||||
Federal National Mortgage Assoc. | 4.067% (12 Mo. LIBOR + 1.51% | )# | 10/1/2035 | 145 | 151,408 | |||||||
Federal National Mortgage Assoc. | 4.128% (12 Mo. LIBOR + 1.80% | )# | 10/1/2040 | 34 | 35,528 | |||||||
Federal National Mortgage Assoc. | 4.233% (12 Mo. LIBOR + 1.81% | )# | 12/1/2040 | 150 | 157,535 | |||||||
Federal National Mortgage Assoc. | 4.251% (12 Mo. LIBOR + 1.53% | )# | 3/1/2039 | 84 | 88,020 | |||||||
Federal National Mortgage Assoc. | 4.295% (12 Mo. LIBOR + 1.66% | )# | 9/1/2038 | 106 | 110,939 |
See Notes to Financial Statements. | 247 |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued) | ||||||||||||
Federal National Mortgage Assoc. | 4.387% (12 Mo. LIBOR + 1.62% | )# | 8/1/2037 | $ | 11 | $ | 11,481 | |||||
Federal National Mortgage Assoc. | 4.40% (12 Mo. LIBOR + 1.81% | )# | 12/1/2040 | 81 | 85,457 | |||||||
Federal National Mortgage Assoc. | 4.406% (12 Mo. LIBOR + 1.78% | )# | 3/1/2042 | 864 | 904,407 | |||||||
Federal National Mortgage Assoc. | 4.543% (12 Mo. LIBOR + 1.68% | )# | 8/1/2038 | 29 | 30,006 | |||||||
Federal National Mortgage Assoc. | 4.686% (1 Yr Treasury Constant Maturity Rate + 2.22% | )# | 3/1/2038 | 37 | 38,914 | |||||||
Federal National Mortgage Assoc. | 4.724% (12 Mo. LIBOR + 1.82% | )# | 4/1/2040 | 72 | 76,172 | |||||||
Federal National Mortgage Assoc. | 4.733% (1 Yr Treasury Constant Maturity Rate + 2.19% | )# | 1/1/2038 | 105 | 110,933 | |||||||
Federal National Mortgage Assoc. | 4.812% (12 Mo. LIBOR + 1.90% | )# | 12/1/2038 | 53 | 55,808 | |||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $5,018,072) | 5,001,309 | |||||||||||
MUNICIPAL BONDS 0.19% | ||||||||||||
Miscellaneous | ||||||||||||
IL State GO | 6.20% | 7/1/2021 | 200 | 207,772 | ||||||||
State of Illinois | 4.95% | 6/1/2023 | 1,003 | 1,048,590 | ||||||||
State of Illinois | 6.125% | 7/1/2021 | 770 | 797,813 | ||||||||
Total Municipal Bonds (cost $2,037,601) | 2,054,175 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 25.75% | ||||||||||||
Americold LLC 2010-ARTA A1† | 3.847% | 1/14/2029 | 223 | 224,395 | ||||||||
AOA Mortgage Trust 2015-1177 A† | 2.957% | 12/13/2029 | 310 | 312,054 | ||||||||
AREIT Trust 2018-CRE2 A† | 2.743% (1 Mo. LIBOR + .98% | )# | 11/14/2035 | 1,198 | 1,195,100 | |||||||
Atrium Hotel Portfolio Trust 2017-ATRM B† | 3.265% (1 Mo. LIBOR + 1.50% | )# | 12/15/2036 | 842 | 841,593 | |||||||
Atrium Hotel Portfolio Trust 2018-ATRM A† | 2.715% (1 Mo. LIBOR + .95% | )# | 6/15/2035 | 1,258 | 1,259,919 | |||||||
Atrium Hotel Portfolio Trust 2018-ATRM B† | 3.195% (1 Mo. LIBOR + 1.43% | )# | 6/15/2035 | 907 | 908,417 | |||||||
Atrium Hotel Portfolio Trust 2018-ATRM C† | 3.415% (1 Mo. LIBOR + 1.65% | )# | 6/15/2035 | 288 | 288,458 | |||||||
Aventura Mall Trust 2013-AVM D† | 3.867% | #(j) | 12/5/2032 | 500 | 504,305 | |||||||
BAMLL Trust 2011-FSHN A† | 4.42% | 7/11/2033 | 1,500 | 1,535,815 | ||||||||
Bancorp Commercial Mortgage Trust (The) 2018-CR3 A† | 2.615% (1 Mo. LIBOR + .85% | )# | 1/15/2033 | 687 | 686,582 |
248 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
BB-UBS Trust 2012-TFT A† | 2.892% | 6/5/2030 | $ | 2,574 | $ | 2,573,639 | ||||||
BB-UBS Trust 2012-TFT B† | 3.584% | #(j) | 6/5/2030 | 2,149 | 2,137,761 | |||||||
BB-UBS Trust 2012-TFT C† | 3.584% | #(j) | 6/5/2030 | 3,000 | 2,980,112 | |||||||
BBCMS Mortgage Trust 2018-TALL A† | 2.487% (1 Mo. LIBOR + .72% | )# | 3/15/2037 | 5,850 | 5,832,750 | |||||||
BBCMS Mortgage Trust 2018-TALL E† | 4.202% (1 Mo. LIBOR + 2.44% | )# | 3/15/2037 | 2,468 | 2,472,922 | |||||||
BBCMS Trust 2013-TYSN C† | 3.821% | 9/5/2032 | 260 | 261,452 | ||||||||
BBCMS Trust 2015-STP XB IO† | 0.286% | #(j) | 9/10/2028 | 88,000 | 108,240 | |||||||
BBCMS Trust 2015-VFM A1† | 2.466% | 3/10/2036 | 347 | 349,556 | ||||||||
BBCMS Trust 2015-VFM X IO† | 0.53% | #(j) | 3/12/2036 | 93,570 | 1,571,978 | |||||||
BBCMS Trust 2018-BXH A† | 2.765% (1 Mo. LIBOR + 1.00% | )# | 10/15/2037 | 1,492 | 1,491,051 | |||||||
BDS 2018-FL1 A† | 2.613% (1 Mo. LIBOR + .85% | )# | 1/15/2035 | 666 | 666,460 | |||||||
Benchmark Mortgage Trust 2019-B12 TCA† | 3.555% | #(j) | 8/15/2052 | 2,708 | 2,776,512 | (b) | ||||||
Benchmark Mortgage Trust 2019-B12 TCB† | 3.555% | #(j) | 8/15/2052 | 2,998 | 3,009,842 | (b) | ||||||
BWAY Mortgage Trust 2013-1515 XB IO† | 0.534% | #(j) | 3/10/2033 | 47,800 | 973,595 | |||||||
BX Commercial Mortgage Trust 2018-BIOA A† | 2.436% (1 Mo. LIBOR + .67% | )# | 3/15/2037 | 4,024 | 4,018,452 | |||||||
BX Commercial Mortgage Trust 2019-XL A† | 2.685% (1 Mo. LIBOR + .92% | )# | 10/15/2036 | 10,000 | 10,021,940 | |||||||
BX Trust 2017-APPL D† | 3.815% (1 Mo. LIBOR + 2.05% | )# | 7/15/2034 | 638 | 638,720 | |||||||
BX Trust 2017-APPL E† | 4.915% (1 Mo. LIBOR + 3.15% | )# | 7/15/2034 | 928 | 931,621 | |||||||
BX Trust 2017-SLCT D† | 3.815% (1 Mo. LIBOR + 2.05% | )# | 7/15/2034 | 1,357 | 1,358,275 | |||||||
BX Trust 2017-SLCT E† | 4.915% (1 Mo. LIBOR + 3.15% | )# | 7/15/2034 | 1,190 | 1,194,386 | |||||||
BX Trust 2018-BILT A† | 2.565% (1 Mo. LIBOR + ..80% | )# | 5/15/2030 | 857 | 854,515 | |||||||
BX Trust 2018-BILT D† | 3.535% (1 Mo. LIBOR + 1.77% | )# | 5/15/2030 | 357 | 356,895 | |||||||
BX Trust 2018-GW A† | 2.565% (1 Mo. LIBOR + ..80% | )# | 5/15/2035 | 667 | 665,487 | |||||||
BX Trust 2018-GW D† | 3.535% (1 Mo. LIBOR + 1.77% | )# | 5/15/2035 | 487 | 488,073 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI A† | 3.531% | 10/15/2034 | 2,300 | 2,388,403 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI B† | 3.835% | 10/15/2034 | 3,445 | 3,579,954 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI C IO† | 0.968% | #(j) | 10/15/2034 | 13,222 | 290,130 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI D† | 4.499% | #(j) | 10/15/2034 | 4,188 | 4,382,433 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI D IO† | 0.538% | #(j) | 10/15/2034 | 8,470 | 94,800 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI E† | 4.499% | #(j) | 10/15/2034 | 3,890 | 4,032,807 | |||||||
CCRESG Commercial Mortgage Trust 2016-HEAT B IO | 0.885% | #(j) | 12/10/2054 | 3,677 | 161,321 | |||||||
CFCRE Commercial Mortgage Trust 2011-C2 AJ† | 5.933% | #(j) | 12/15/2047 | 204 | 213,683 | |||||||
CFCRE Commercial Mortgage Trust 2016-C4 XA IO | 1.872% | #(j) | 5/10/2058 | 1,005 | 86,079 | |||||||
CFCRE Commercial Mortgage Trust 2016-C6 XA IO | 1.306% | #(j) | 11/10/2049 | 2,784 | 179,209 | |||||||
CFCRE Commercial Mortgage Trust 2018-TAN A† | 4.236% | 2/15/2033 | 3,500 | 3,709,591 |
See Notes to Financial Statements. | 249 |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
CGBAM Commercial Mortgage Trust 2015-SMRT B† | 3.213% | 4/10/2028 | $ | 1,488 | $ | 1,488,875 | ||||||
CGBAM Commercial Mortgage Trust 2015-SMRT C† | 3.516% | 4/10/2028 | 366 | 366,309 | ||||||||
CGRBS Commercial Mortgage Trust 2013-VN05 A† | 3.369% | 3/13/2035 | 1,000 | 1,039,618 | ||||||||
Cherrywood SB Commercial Mortgage Loan Trust 2016-1A AFX† | 3.73% | 3/25/2049 | 60 | 59,958 | ||||||||
CHT Mortgage Trust 2017-CSMO B† | 3.165% (1 Mo. LIBOR + 1.40% | )# | 11/15/2036 | 500 | 501,023 | |||||||
CHT Mortgage Trust 2017-CSMO D† | 4.015% (1 Mo. LIBOR + 2.25% | )# | 11/15/2036 | 300 | 300,892 | |||||||
Citigroup Commercial Mortgage Trust 2013-375P A IO | 0.495% | #(j) | 6/10/2048 | 5,890 | 108,473 | |||||||
Citigroup Commercial Mortgage Trust 2013-375P C† | 3.635% | #(j) | 5/10/2035 | 4,150 | 4,248,184 | |||||||
Citigroup Commercial Mortgage Trust 2013-GC15 A4 | 4.371% | #(j) | 9/10/2046 | 2,000 | 2,148,093 | |||||||
Citigroup Commercial Mortgage Trust 2014-GC19 A3 | 3.753% | 3/10/2047 | 308 | 325,509 | ||||||||
Citigroup Commercial Mortgage Trust 2014-GC23 XB IO | 0.309% | #(j) | 7/10/2047 | 3,452 | 35,871 | |||||||
Citigroup Mortgage Loan Trust 2013-2 5A1† | 1.963% | #(j) | 7/25/2036 | 105 | 104,192 | |||||||
CityLine Commercial Mortgage Trust 2016-CLNE A† | 2.871% | #(j) | 11/10/2031 | 1,525 | 1,554,894 | |||||||
Commercial Mortgage Pass-Through Certificates 2010-C1 C† | 6.129% | #(j) | 7/10/2046 | 100 | 102,370 | |||||||
Commercial Mortgage Pass-Through Certificates 2012-CR3 B† | 3.922% | 10/15/2045 | 617 | 629,735 | ||||||||
Commercial Mortgage Pass-Through Certificates 2012-CR4 XA IO | 1.854% | #(j) | 10/15/2045 | 4,386 | 164,559 | |||||||
Commercial Mortgage Pass-Through Certificates 2012-LTRT A1† | 2.15% | 10/5/2030 | 482 | 480,321 | ||||||||
Commercial Mortgage Pass-Through Certificates 2012-LTRT A2† | 3.40% | 10/5/2030 | 1,080 | 1,097,119 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-CR7 A4 | 3.213% | 3/10/2046 | 1,113 | 1,145,166 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-CR7 XA IO | 1.358% | #(j) | 3/10/2046 | 5,451 | 170,119 | |||||||
Commercial Mortgage Pass-Through Certificates 2013-CR8 XA IO | 0.542% | #(j) | 6/10/2046 | 13,775 | 168,475 | |||||||
Commercial Mortgage Pass-Through Certificates 2013-CR9 A4 | 4.373% | #(j) | 7/10/2045 | 1,138 | 1,211,957 | |||||||
Commercial Mortgage Pass-Through Certificates 2013-GAM A2† | 3.367% | 2/10/2028 | 100 | 100,648 |
250 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Commercial Mortgage Pass-Through Certificates 2013-SFS A1† | 1.873% | 4/12/2035 | $ | 376 | $ | 374,962 | ||||||
Commercial Mortgage Pass-Through Certificates 2013-WWP D† | 3.898% | 3/10/2031 | 965 | 1,020,153 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-CR18 A5 | 3.828% | 7/15/2047 | 1,457 | 1,549,739 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-CR19 A4 | 3.532% | 8/10/2047 | 695 | 730,085 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-CR19 XA IO | 1.191% | #(j) | 8/10/2047 | 2,651 | 103,829 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-FL5 B† | 3.30% (1 Mo. LIBOR + 2.15% | )# | 10/15/2031 | 39 | 39,470 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-LC15 A3 | 3.727% | 4/10/2047 | 1,991 | 2,103,107 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-LC15 A4 | 4.006% | 4/10/2047 | 410 | 437,984 | ||||||||
Commercial Mortgage Pass-Through Certificates 2015-CR23 CMC† | 3.807% | #(j) | 5/10/2048 | 1,300 | 1,302,532 | |||||||
Commercial Mortgage Pass-Through Certificates 2016-COR1 A2 | 2.499% | 10/10/2049 | 227 | 228,090 | ||||||||
Commercial Mortgage Pass-Through Certificates 2016-GCT C IO | 1.545% | #(j) | 8/10/2049 | 947 | 68,719 | |||||||
Commercial Mortgage Pass-Through Certificates 2016-GCT E† | 3.577% | #(j) | 8/10/2029 | 3,000 | 2,995,001 | |||||||
Commercial Mortgage Pass-Through Certificates 2016-GCT XA IO† | 0.784% | 8/10/2029 | 101,318 | 1,013,687 | ||||||||
Commercial Mortgage Trust 2006-GG7 AM | 5.807% | #(j) | 7/10/2038 | 383 | 385,678 | |||||||
Credit Suisse Commercial Mortgage Securities Corp. 2019-SKLZ A IO† | 0.697% | #(j) | 9/15/2037 | 40,000 | 1,070,980 | |||||||
Credit Suisse Mortgage Capital Certificates 2016-NXSR XB IO | 0.255% | #(j) | 12/15/2049 | 20,135 | 310,254 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-HD A† | 2.715% (1 Mo. LIBOR + .95% | )# | 2/15/2031 | 831 | 830,729 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-HD B† | 3.115% (1 Mo. LIBOR + 1.35% | )# | 2/15/2031 | 349 | 348,649 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-HD D† | 4.265% (1 Mo. LIBOR + 2.50% | )# | 2/15/2031 | 353 | 352,165 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-HD E† | 5.415% (1 Mo. LIBOR + 3.65% | )# | 2/15/2031 | 513 | 512,010 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-LSTK A† | 2.761% | 4/5/2033 | 3,465 | 3,475,182 |
See Notes to Financial Statements. | 251 |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Credit Suisse Mortgage Capital Certificates 2017-LSTK B† | 3.03% | 4/5/2033 | $ | 350 | $ | 351,212 | ||||||
Credit Suisse Mortgage Capital Certificates 2017-LSTK C† | 3.229% | 4/5/2033 | 250 | 249,894 | ||||||||
Credit Suisse Mortgage Capital Certificates 2017-LSTK D† | 3.442% | #(j) | 4/5/2033 | 275 | 274,709 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-MOON A† | 3.197% | 7/10/2034 | 1,308 | 1,343,011 | ||||||||
Credit Suisse Mortgage Capital Certificates 2017-MOON B† | 3.303% | #(j) | 7/10/2034 | 200 | 203,950 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-MOON C† | 3.303% | #(j) | 7/10/2034 | 2,388 | 2,418,349 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-MOON D† | 3.303% | #(j) | 7/10/2034 | 150 | 150,602 | |||||||
Credit Suisse Mortgage Capital Certificates Trust 2017-PFHP A† | 2.715% (1 Mo. LIBOR + .95% | )# | 12/15/2030 | 502 | 502,213 | |||||||
Credit Suisse Mortgage Capital Certificates Trust 2017-PFHP C† | 3.365% (1 Mo. LIBOR + 1.60% | )# | 12/15/2030 | 400 | 399,826 | |||||||
CSAIL Commercial Mortgage Trust 2015-C2 XB IO† | 0.124% | #(j) | 6/15/2057 | 82,732 | 220,894 | |||||||
CSAIL Commercial Mortgage Trust 2015-C4 A2 IO | 1.628% | #(j) | 8/10/2049 | 9,729 | 784,185 | |||||||
CSAIL Commercial Mortgage Trust 2 016-C7 XA IO | 1.114% | #(j) | 11/15/2049 | 4,443 | 230,471 | |||||||
DBGS Mortgage Trust 2018-BIOD A† | 2.568% (1 Mo. LIBOR + .80% | )# | 5/15/2035 | 1,561 | 1,556,588 | |||||||
DBUBS Mortgage Trust 2011-LC2A A1† | 3.527% | 7/10/2044 | 110 | 110,927 | ||||||||
DBUBS Mortgage Trust 2011-LC2A B† | 4.998% | #(j) | 7/10/2044 | 175 | 181,083 | |||||||
DBWF Mortgage Trust 2015-LCM A1† | 2.998% | 6/10/2034 | 375 | 378,956 | ||||||||
DBWF Mortgage Trust 2015-LCM XA IO† | 0.537% | #(j) | 6/10/2034 | 751 | 11,176 | |||||||
DBWF Mortgage Trust 2016-85T XA IO† | 0.116% | #(j) | 12/10/2036 | 61,529 | 211,660 | |||||||
DBWF Mortgage Trust 2018-AMXP A† | 3.873% | #(j) | 5/5/2035 | 6,000 | 6,225,296 | |||||||
DBWF Mortgage Trust 2018-AMXP B† | 4.122% | #(j) | 5/5/2035 | 1,500 | 1,557,788 | |||||||
DBWF Mortgage Trust 2018-AMXP C† | 3.956% | #(j) | 5/5/2035 | 1,000 | 1,016,965 | |||||||
Federal Home Loan Mortgage Corp. 2015-K721 B† | 3.681% | #(j) | 11/25/2047 | 3,624 | 3,726,209 | |||||||
Fontainebleau Miami Beach Trust 2019-FBLU A†(d) | 3.144% | 12/10/2036 | 761 | 784,739 | ||||||||
Fontainebleau Miami Beach Trust 2019-FBLU B†(d) | 3.447% | 12/10/2036 | 335 | 345,627 | ||||||||
GS Mortgage Securities Corp Trust 2017-SLP A† | 3.419% | 10/10/2032 | 1,300 | 1,338,346 | ||||||||
GS Mortgage Securities Corp. II 2012-BWTR A† | 2.954% | 11/5/2034 | 2,000 | 2,046,603 | ||||||||
GS Mortgage Securities Corp. II 2012-TMSQ A† | 3.007% | 12/10/2030 | 1,300 | 1,327,862 | ||||||||
GS Mortgage Securities Corp. II 2013-KING A† | 2.706% | 12/10/2027 | 3,506 | 3,504,131 |
252 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
GS Mortgage Securities Corp. II 2013-KING C† | 3.55% | #(j) | 12/10/2027 | $ | 700 | $ | 699,471 | |||||
GS Mortgage Securities Corp. Trust 2012-ALOH A† | 3.551% | 4/10/2034 | 1,785 | 1,831,573 | ||||||||
GS Mortgage Securities Corp. Trust 2012-ALOH C† | 4.267% | #(j) | 4/10/2034 | 115 | 118,448 | |||||||
GS Mortgage Securities Corp. Trust 2016-RENT C† | 4.202% | #(j) | 2/10/2029 | 252 | 254,771 | |||||||
GS Mortgage Securities Corp. Trust 2017-GPTX A† | 2.856% | 5/10/2034 | 1,159 | 1,159,208 | ||||||||
GS Mortgage Securities Corp. Trust 2017-GPTX B† | 3.104% | 5/10/2034 | 1,060 | 1,057,738 | ||||||||
GS Mortgage Securities Corp. Trust 2017-STAY A† | 2.615% (1 Mo. LIBOR + .85% | )# | 7/15/2032 | 888 | 888,302 | |||||||
GS Mortgage Securities Corp. Trust 2017-STAY B† | 2.865% (1 Mo. LIBOR + 1.10% | )# | 7/15/2032 | 313 | 313,462 | |||||||
GS Mortgage Securities Corp. Trust 2017-STAY C† | 3.115% (1 Mo. LIBOR + 1.35% | )# | 7/15/2032 | 225 | 225,050 | |||||||
GS Mortgage Securities Corp. Trust 2017-STAY D† | 3.715% (1 Mo. LIBOR + 1.95% | )# | 7/15/2032 | 531 | 530,322 | |||||||
GS Mortgage Securities Corp. Trust 2018-RIVR A† | 2.715% (1 Mo. LIBOR + .95% | )# | 7/15/2035 | 1,687 | 1,691,129 | |||||||
GS Mortgage Securities Corp. Trust 2019-70P A† | 2.765% (1 Mo. LIBOR + 1.00% | )# | 10/15/2036 | 2,982 | 2,985,950 | |||||||
GS Mortgage Securities Corp. Trust 2019-70P B† | 3.085% (1 Mo. LIBOR + 1.32% | )# | 10/15/2036 | 657 | 657,408 | |||||||
GS Mortgage Securities Trust 2010-C2 A1† | 3.849% | 12/10/2043 | 29 | 29,479 | ||||||||
GS Mortgage Securities Trust 2012-GCJ7 B | 4.74% | 5/10/2045 | 259 | 269,952 | ||||||||
GS Mortgage Securities Trust 2012-GCJ9 XA IO | 2.107% | #(j) | 11/10/2045 | 1,414 | 66,254 | |||||||
GS Mortgage Securities Trust 2013 GC12 B | 3.777% | #(j) | 6/10/2046 | 1,000 | 1,031,178 | |||||||
GS Mortgage Securities Trust 2013-G1 A2† | 3.557% | #(j) | 4/10/2031 | 2,584 | 2,634,625 | |||||||
GS Mortgage Securities Trust 2013-GC12 XA IO | 1.557% | #(j) | 6/10/2046 | 18,887 | 766,358 | |||||||
GS Mortgage Securities Trust 2015-GS1 XA IO | 0.934% | #(j) | 11/10/2048 | 1,062 | 43,218 | |||||||
GS Mortgage Securities Trust 2016-GS4 225A† | 2.636% | 11/10/2029 | 317 | 318,289 | (b) | |||||||
GS Mortgage Securities Trust 2016-GS4 225C† | 3.778% | 11/10/2029 | 553 | 561,324 | (b) | |||||||
Hilton Orlando Trust 2018-ORL A† | 2.535% (1 Mo. LIBOR + .77% | )# | 12/15/2034 | 1,462 | 1,463,460 | |||||||
Hilton Orlando Trust 2018-ORL D† | 3.465% (1 Mo. LIBOR + 1.70% | )# | 12/15/2034 | 664 | 664,934 | |||||||
HMH Trust 2017-NSS A† | 3.062% | 7/5/2031 | 974 | 988,460 | ||||||||
HMH Trust 2017-NSS B† | 3.343% | 7/5/2031 | 629 | 640,111 | ||||||||
HMH Trust 2017-NSS C† | 3.787% | 7/5/2031 | 469 | 474,223 | ||||||||
HMH Trust 2017-NSS D† | 4.723% | 7/5/2031 | 618 | 630,917 | ||||||||
Hudsons Bay Simon JV Trust 2015-HB7 A7† | 3.914% | 8/5/2034 | 2,366 | 2,415,951 | ||||||||
Hudsons Bay Simon JV Trust 2015-HB7 B7† | 4.666% | 8/5/2034 | 1,200 | 1,211,371 | ||||||||
Hudsons Bay Simon JV Trust 2015-HB7 D7† | 5.331% | #(j) | 8/5/2034 | 559 | 537,000 |
See Notes to Financial Statements. | 253 |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Hudsons Bay Simon JV Trust 2015-HBFL CFL† | 4.79% (1 Mo. LIBOR + 2.80% | )# | 8/5/2034 | $ | 1,961 | $ | 1,960,808 | |||||
Irvine Core Office Trust 2013-IRV A1† | 2.068% | 5/15/2048 | 932 | 929,610 | ||||||||
Irvine Core Office Trust 2013-IRV A2† | 3.279% | #(j) | 5/15/2048 | 732 | 757,787 | |||||||
JPMorgan Chase Commercial Mortgage Securities Corp. 2018 AON XA IO† | 0.639% | #(j) | 7/5/2031 | 129,394 | 2,322,273 | |||||||
JPMorgan Chase Commercial Mortgage Securities Corp. 2018 AON XB IO† | 0.308% | #(j) | 7/5/2031 | 50,413 | 357,116 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2012-C6 B | 4.819% | #(j) | 5/15/2045 | 253 | 264,906 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2012-C8 A3 | 2.829% | 10/15/2045 | 933 | 948,862 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2012-WLDN A† | 3.905% | 5/5/2030 | 5,942 | 6,100,376 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2012-WLDN B† | 4.488% | #(j) | 5/5/2030 | 1,254 | 1,296,811 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C10 XA IO | 1.12% | #(j) | 12/15/2047 | 8,346 | 226,026 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C12 XA IO | 0.601% | #(j) | 7/15/2045 | 4,767 | 65,569 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C14 A4 | 4.133% | #(j) | 8/15/2046 | 2,000 | 2,131,607 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2013-LC11 XA IO | 1.399% | #(j) | 4/15/2046 | 1,342 | 48,369 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C18 A5 | 4.079% | 2/15/2047 | 3,000 | 3,215,644 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 A2 | 3.046% | 4/15/2047 | 4 | 4,398 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XA IO | 0.909% | #(j) | 4/15/2047 | 1,793 | 39,303 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XB IO | 0.441% | #(j) | 4/15/2047 | 1,000 | 14,364 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C24 XA IO | 1.079% | #(j) | 11/15/2047 | 2,634 | 81,797 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY A† | 3.429% | 6/10/2027 | 5,000 | 5,030,848 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY XA IO† | 0.503% | #(j) | 6/10/2027 | 2,906 | 87 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY XB IO† | 0.16% | #(j) | 6/10/2027 | 1,292 | 13 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C28 A2 IO | 0.873% | #(j) | 12/15/2049 | 4,013 | 129,261 |
254 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 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-C29 XA IO | 0.901% | #(j) | 5/15/2048 | $ | 2,535 | $ | 60,497 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-UES D† | 3.742% | #(j) | 9/5/2032 | 2,025 | 2,031,731 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI B† | 3.201% | 10/5/2031 | 357 | 360,678 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI C IO† | 0.791% | #(j) | 10/5/2031 | 1,432 | 13,504 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI D† | 4.143% | #(j) | 10/5/2031 | 731 | 743,630 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI D IO | 1.22% | #(j) | 9/15/2050 | 8,330 | 501,792 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI E† | 4.143% | #(j) | 10/5/2031 | 138 | 139,406 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI XA IO† | 1.345% | #(j) | 10/5/2031 | 2,367 | 39,411 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK A† | 3.392% | 6/5/2032 | 1,482 | 1,512,563 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK B† | 3.795% | 6/5/2032 | 608 | 620,577 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK C† | 4.171% | #(j) | 6/5/2032 | 452 | 460,921 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK X IO† | 0.661% | #(j) | 6/5/2032 | 32,692 | 414,724 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018 WPT XBFX IO† | 0.555% | #(j) | 7/5/2033 | 95,152 | 1,377,801 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ A† | 2.765% (1 Mo. LIBOR + 1.00% | )# | 6/15/2032 | 775 | 776,015 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ B† | 3.065% (1 Mo. LIBOR + 1.30% | )# | 6/15/2032 | 1,151 | 1,152,971 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ C† | 3.365% (1 Mo. LIBOR + 1.60% | )# | 6/15/2032 | 927 | 929,092 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ E† | 4.765% (1 Mo. LIBOR + 3.00% | )# | 6/15/2035 | 147 | 147,691 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC A† | 2.965% (1 Mo. LIBOR + 1.20% | )# | 4/15/2031 | 1,658 | 1,661,599 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC B† | 3.665% (1 Mo. LIBOR + 1.90% | )# | 4/15/2031 | 449 | 449,893 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC C† | 4.065% (1 Mo. LIBOR + 2.30% | )# | 4/15/2031 | 332 | 332,945 |
See Notes to Financial Statements. | 255 |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 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-PTC D† | 4.885% (1 Mo. LIBOR + 3.12% | )# | 4/15/2031 | $ | 174 | $ | 174,626 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT AFL† | 2.724% (1 Mo. LIBOR + .95% | )# | 7/5/2033 | 931 | 929,479 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT BFX† | 4.549% | 7/5/2033 | 839 | 897,052 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT CFL† | 3.424% (1 Mo. LIBOR + 1.65% | )# | 7/5/2033 | 323 | 322,506 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT DFL† | 4.024% (1 Mo. LIBOR + 2.25% | )# | 7/5/2033 | 323 | 322,666 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT DFX† | 5.35% | 7/5/2033 | 1,281 | 1,374,674 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2019-ICON A† | 3.884% | 1/5/2034 | 1,309 | 1,387,173 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2019-ICON XA IO† | 1.996% | #(j) | 3/10/2049 | 1,419 | 85,859 | |||||||
Ladder Capital Commercial Mortgage Securities LLC 2014-PKMD B† | 2.952% | #(j) | 11/14/2027 | 410 | 409,581 | |||||||
LMREC, Inc. 2015-CRE1 AR† | 2.696% (1 Mo. LIBOR + .98 | )# | 2/22/2032 | 423 | 422,688 | |||||||
LMREC, Inc. 2015-CRE1 BR | 4.072% | 2/22/2032 | 381 | 380,792 | ||||||||
LSTAR Commercial Mortgage Trust 2016-4 XB IO† | 0.756% | #(j) | 3/10/2049 | 19,753 | 731,059 | |||||||
LSTAR Commercial Mortgage Trust 2017-5 A1† | 2.417% | 3/10/2050 | 316 | 316,454 | ||||||||
LSTAR Commercial Mortgage Trust 2017-5 A2† | 2.776% | 3/10/2050 | 800 | 805,797 | ||||||||
LSTAR Commercial Mortgage Trust 2017-5 A3† | 4.50% | 3/10/2050 | 2,100 | 2,224,457 | ||||||||
Madison Avenue Trust 2013-650M B† | 4.169% | #(j) | 10/12/2032 | 1,423 | 1,433,734 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-CKSV A2† | 3.277% | 10/15/2030 | 2,090 | 2,112,857 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-CKSV A2 IO | 0.796% | #(j) | 7/15/2050 | 7,037 | 160,933 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11 A4 | 4.299% | #(j) | 8/15/2046 | 1,736 | 1,849,596 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 A4 | 2.918% | 2/15/2046 | 500 | 510,761 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 A4 IO | 1.557% | #(j) | 11/15/2049 | 4,811 | 342,954 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8 B | 3.696% | #(j) | 12/15/2048 | 1,000 | 1,021,401 | |||||||
Morgan Stanley Capital Barclays Bank Trust 2016-MART C† | 2.817% | 9/13/2031 | 500 | 499,557 |
256 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Morgan Stanley Capital Barclays Bank Trust 2016-MART XCP IO† | Zero Coupon | #(j) | 9/13/2031 | $ | 188,074 | $ | 1,881 | |||||
Morgan Stanley Capital I Trust 2012-C4 XA IO† | 2.254% | #(j) | 3/15/2045 | 12,935 | 467,737 | |||||||
Morgan Stanley Capital I Trust 2012-STAR A1† | 2.084% | 8/5/2034 | 504 | 502,166 | ||||||||
Morgan Stanley Capital I Trust 2014-CPT A† | 3.35% | 7/13/2029 | 200 | 203,432 | ||||||||
Morgan Stanley Capital I Trust 2014-CPT XA IO† | 0.188% | #(j) | 7/13/2029 | 60,000 | 102,600 | |||||||
Morgan Stanley Capital I Trust 2014-MP A† | 3.469% | 8/11/2033 | 100 | 102,150 | ||||||||
Morgan Stanley Capital I Trust 2016-UB11 XA IO | 1.761% | #(j) | 8/15/2049 | 4,391 | 331,534 | |||||||
Motel 6 Trust 2017-MTL6 F† | 6.015% (1 Mo. LIBOR + 4.25% | )# | 8/15/2034 | 985 | 994,347 | |||||||
MSCG Trust 2015-ALDR A1† | 2.612% | 6/7/2035 | 395 | 395,466 | ||||||||
MSCG Trust 2016-SNR A† | 3.46% | #(j) | 11/15/2034 | 106 | 106,652 | |||||||
MSCG Trust 2016-SNR B† | 4.181% | 11/15/2034 | 512 | 518,742 | ||||||||
MSCG Trust 2016-SNR C† | 5.205% | 11/15/2034 | 329 | 336,552 | ||||||||
Natixis Commercial Mortgage Securities Trust 2018-285M A† | 3.917% | #(j) | 11/15/2032 | 1,890 | 1,963,194 | |||||||
PFP Ltd. 2019-6 A† | 2.964% (1 Mo. LIBOR + 1.05% | )# | 4/14/2037 | 1,316 | 1,328,406 | |||||||
Prima Capital CRE Securitization 2015-5A C† | 4.50% | 12/24/2050 | 2,204 | 2,199,741 | ||||||||
Prima Capital CRE Securitization Ltd. 2013-3A A† | 2.214% | 10/24/2035 | 309 | 309,609 | (b) | |||||||
RBS Commercial Funding, Inc. Trust 2013-GSP A† | 3.961% | #(j) | 1/15/2032 | 592 | 624,413 | |||||||
ReadyCap Commercial Mortgage Trust 2018-4 A† | 3.39% | 2/27/2051 | 1,446 | 1,464,374 | ||||||||
ReadyCap Commercial Mortgage Trust 2019-6 A† | 2.832% | 10/25/2052 | 1,033 | 1,037,753 | ||||||||
RETL 2019-RVP C† | 3.865% (1 Mo. LIBOR + 2.10% | )# | 3/15/2036 | 550 | 552,759 | |||||||
Shelter Growth CRE Issuer Ltd. 2018-FL1 A† | 2.765% (1 Mo. LIBOR + 1.00% | )# | 1/15/2035 | 431 | 431,983 | |||||||
SLIDE 2018-FUN A† | 2.665% (1 Mo. LIBOR + .90% | )# | 6/15/2031 | 1,467 | 1,466,858 | |||||||
SLIDE 2018-FUN B† | 3.015% (1 Mo. LIBOR + 1.25% | )# | 6/15/2031 | 325 | 324,686 | |||||||
SLIDE 2018-FUN B IO† | 0.976% | #(j) | 12/15/2020 | 34,883 | 349,801 | (b) | ||||||
SLIDE 2018-FUN C† | 3.315% (1 Mo. LIBOR + 1.55% | )# | 6/15/2031 | 263 | 263,801 | |||||||
SLIDE 2018-FUN D† | 3.615% (1 Mo. LIBOR + 1.85% | )# | 6/15/2031 | 426 | 427,421 | |||||||
Stonemont Portfolio Trust 2017-MONT F† | 5.324% (1 Mo. LIBOR + 3.60% | )# | 8/20/2030 | 1,589 | 1,594,681 | |||||||
Structured Asset Securities Corp. 2006-3H 1A3 | 5.75% | 12/25/2035 | 53 | 55,037 | ||||||||
UBS-BAMLL Trust 2012-WRM A† | 3.663% | 6/10/2030 | 1,250 | 1,282,926 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2012-C2 A4 | 3.525% | 5/10/2063 | 625 | 643,935 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2012-C3 A4 | 3.091% | 8/10/2049 | 973 | 993,445 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2012-C3 A4 IO† | 1.088% | #(j) | 3/10/2046 | 9,889 | 241,801 |
See Notes to Financial Statements. | 257 |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 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 A4 | 2.792% | 12/10/2045 | $ | 1,208 | $ | 1,224,124 | ||||||
UBS-Barclays Commercial Mortgage Trust 2012-C4 A5 | 2.85% | 12/10/2045 | 1,000 | 1,017,547 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2013 C6 A4 | 3.244% | 4/10/2046 | 2,300 | 2,370,147 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2013-C5 AS† | 3.347% | 3/10/2046 | 4,200 | 4,312,759 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2013-C5 B† | 3.649% | #(j) | 3/10/2046 | 635 | 649,859 | |||||||
UBS-Barclays Commercial Mortgage Trust 2013-C6 XA IO† | 1.264% | #(j) | 4/10/2046 | 17,298 | 529,930 | |||||||
VNDO Mortgage Trust 2012-6AVE A† | 2.996% | 11/15/2030 | 9,000 | 9,191,785 | ||||||||
Vornado DP LLC Trust 2010-VNO A1† | 2.97% | 9/13/2028 | 50 | 49,696 | ||||||||
Wells Fargo Commercial Mortgage Trust 2010-C1 C† | 5.783% | #(j) | 11/15/2043 | 520 | 530,942 | |||||||
Wells Fargo Commercial Mortgage Trust 2010-C1 C IO | 0.10% | #(j) | 6/15/2048 | 58,000 | 147,314 | |||||||
Wells Fargo Commercial Mortgage Trust 2013-LC12 A4 | 4.218% | #(j) | 7/15/2046 | 2,498 | 2,659,526 | |||||||
Wells Fargo Commercial Mortgage Trust 2014 LC16 A4 | 3.548% | 8/15/2050 | 1,170 | 1,227,324 | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-C29 XA IO | 0.806% | #(j) | 6/15/2048 | 3,698 | 109,157 | |||||||
Wells Fargo Commercial Mortgage Trust 2015-NXS4 A2A IO | 1.908% | #(j) | 8/15/2049 | 1,717 | 162,182 | |||||||
Wells Fargo Commercial Mortgage Trust 2016-LC24 XB IO | 1.16% | #(j) | 10/15/2049 | 7,057 | 437,461 | |||||||
Wells Fargo Commercial Mortgage Trust 2018-C44 A2 | 4.178% | 5/15/2051 | 675 | 716,563 | ||||||||
Wells Fargo Commercial Mortgage Trust 2018-C47 A2 | 4.361% | 9/15/2061 | 878 | 948,214 | ||||||||
West Town Mall Trust 2017-KNOX A† | 3.823% | 7/5/2030 | 1,620 | 1,660,848 | ||||||||
West Town Mall Trust 2017-KNOX B† | 4.322% | 7/5/2030 | 679 | 699,746 | ||||||||
West Town Mall Trust 2017-KNOX B IO† | 0.521% | #(j) | 7/5/2030 | 34,983 | 306,416 | |||||||
West Town Mall Trust 2017-KNOX C† | 4.491% | #(j) | 7/5/2030 | 500 | 512,231 | |||||||
West Town Mall Trust 2017-KNOX D† | 4.491% | #(j) | 7/5/2030 | 625 | 635,744 | |||||||
WF-RBS Commercial Mortgage Trust 2011-C2 A4† | 4.869% | #(j) | 2/15/2044 | 140 | 143,107 | |||||||
WF-RBS Commercial Mortgage Trust 2011-C2 A4 IO† | 1.503% | #(j) | 6/15/2045 | 10,427 | 264,660 |
258 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
WF-RBS Commercial Mortgage Trust 2012-C10 A3 | 2.875% | 12/15/2045 | $ | 275 | $ | 280,089 | ||||||
WF-RBS Commercial Mortgage Trust 2012-C7 A2 | 3.431% | 6/15/2045 | 790 | 811,656 | ||||||||
WF-RBS Commercial Mortgage Trust 2012-C7 B | 4.903% | #(j) | 6/15/2045 | 300 | 312,822 | |||||||
WF-RBS Commercial Mortgage Trust 2012-C9 A3 | 2.87% | 11/15/2045 | 176 | 179,369 | ||||||||
WF-RBS Commercial Mortgage Trust 2013-C11 AS | 3.311% | 3/15/2045 | 1,166 | 1,200,475 | ||||||||
WF-RBS Commercial Mortgage Trust 2013-C13 XA IO† | 1.335% | #(j) | 5/15/2045 | 9,632 | 330,325 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C20 XA IO | 1.124% | #(j) | 5/15/2047 | 5,420 | 185,113 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C20 XB IO | 0.734% | #(j) | 5/15/2047 | 1,368 | 34,620 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C21 XB IO | 0.795% | #(j) | 8/15/2047 | 15,000 | 437,663 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities(cost $281,339,874) | 284,297,084 | |||||||||||
Dividend Rate | Shares (000) | |||||||||||
PREFERRED STOCK 0.00% | ||||||||||||
Energy: Exploration & Production | ||||||||||||
Templar Energy LLC (cost $140,791) | Zero Coupon | 15 | – | (b) | ||||||||
Interest Rate | Principal Amount (000) | |||||||||||
U.S. TREASURY OBLIGATION 1.00% | ||||||||||||
U.S. Treasury Note (cost $11,051,210) | 1.50% | 11/30/2021 | $ | 11,072 | 11,047,780 | |||||||
Total Long-Term Investments(cost $1,065,015,580) | 1,073,509,410 | |||||||||||
SHORT-TERM INVESTMENTS 1.54% | ||||||||||||
COMMERCIAL PAPER 0.43% | ||||||||||||
Automotive | ||||||||||||
Ford Motor Credit Co. LLC (cost $4,765,510) | 3.91% | 12/4/2019 | 4,767 | 4,766,007 |
See Notes to Financial Statements. | 259 |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Investments | Principal Amount (000) | Fair Value | ||||||
REPURCHASE AGREEMENT 1.11% | ||||||||
Repurchase Agreement dated 11/29/2019, 0.85% due 12/2/2019 with Fixed Income Clearing Corp. collateralized by $12,465,000 of U.S. Treasury Note at 2.00% due 10/31/2021; value: $12,563,336; proceeds: $12,314,753 (cost $12,313,880) | $ | 12,314 | $ | 12,313,880 | ||||
Total Short-Term Investments(cost $17,079,390) | 17,079,887 | |||||||
Total Investments in Securities 98.78% (cost $1,082,094,970) | 1,090,589,297 | |||||||
Less Unfunded Loan Commitments (0.02)% (cost $220,000) | (221,100 | ) | ||||||
Net Investments 98.76% (cost $1,081,874,970) | 1,090,368,197 | |||||||
Cash, Foreign Cash and Other Assets in Excess of Liabilities(k)1.24% | 13,722,694 | |||||||
Net Assets 100.00% | $ | 1,104,090,891 |
BRL | Brazilian real. | |
CAD | Canadian dollar. | |
EUR | euro. | |
IO | Interest Only. | |
LIBOR | London Interbank Offered Rate. | |
PIK | Payment-in-kind. | |
SOFR | Secured Over Night Financing Rate. | |
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. At November 30, 2019, the total value of Rule 144A securities was $611,817,092, which represents 55.41% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at November 30, 2019. | |
* | Non-income producing security. | |
(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) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(e) | Foreign security traded in U.S. dollars. | |
(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 November 30, 2019. | |
(i) | Interest rate to be determined. | |
(j) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(k) | 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: |
260 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Centrally Cleared Interest Rate Swap Contracts at November 30, 2019(1):
Periodic | Periodic | |||||||||||
Payments | Payments | |||||||||||
to be Made | to be Received | |||||||||||
By The Fund | By The Fund | Termination | Notional | Notional | Unrealized | |||||||
Central Clearingparty* | (Quarterly) | (Quarterly) | Date | Amount | Value | Appreciation | ||||||
Credit Suisse | 3-Month USD LIBOR Index | 2.3497% | 4/1/2021 | $100,874,480 | $101,731,057 | $856,577 |
* Central clearinghouse: Chicago Mercantile Exchange (CME)
Periodic | Periodic | |||||||||||
Payments | Payments | |||||||||||
to be Made | to be Received | |||||||||||
By The Fund | By The Fund | Termination | Notional | Notional | Unrealized | |||||||
Central Clearingparty* | (Quarterly) | (Quarterly) | Date | Amount | Value | Depreciation | ||||||
Credit Suisse | 2.4045% | 3-Month USD LIBOR Index | 4/1/2029 | $17,000,000 | $15,928,315 | $(1,071,685) |
* Central clearinghouse: Chicago Mercantile Exchange (CME)
Open Consumer Price Index (“CPI”) Centrally Cleared Swaps at November 30, 2019:
Payments to be | Payments to be | |||||||||||||||||
Made By | Received By | |||||||||||||||||
Swap | The Fund at | The Fund at | Termination | Notional | Fair | Unrealized | ||||||||||||
Counterparty | Termination Date | Termination Date | Date | Amount | Value | Appreciation | ||||||||||||
Bank of America | CPI Urban Consumer NSA | 2.054% | 12/5/2022 | $ | 10,000,000 | $ | 10,147,436 | $ | 147,436 | |||||||||
Credit Suisse | 1.570% | CPI Urban Consumer NSA | 1/10/2021 | 100,000,000 | 100,000,440 | 440 | ||||||||||||
Credit Suisse | 1.7315% | CPI Urban Consumer NSA | 8/24/2026 | 10,000,000 | 10,104,775 | 104,775 | ||||||||||||
Credit Suisse | 1.7925% | CPI Urban Consumer NSA | 7/18/2026 | 35,000,000 | 35,226,939 | 226,939 | ||||||||||||
Credit Suisse | 1.876% | CPI Urban Consumer NSA | 10/24/2039 | 5,000,000 | 5,023,739 | 23,739 | ||||||||||||
Credit Suisse | 1.9775% | CPI Urban Consumer NSA | 12/14/2019 | 30,000,000 | 30,052,709 | 52,709 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.685% | 8/7/2024 | 15,000,000 | 15,021,540 | 21,540 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.689% | 8/8/2024 | 20,000,000 | 20,031,948 | 31,948 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.817% | 1/4/2026 | 25,000,000 | 25,220,158 | 220,158 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.828% | 6/28/2025 | 15,000,000 | 15,130,393 | 130,393 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.835% | 8/2/2024 | 20,000,000 | 20,185,163 | 185,163 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.8425% | 1/4/2026 | 10,000,000 | 10,106,358 | 106,358 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.847% | 1/3/2026 | 25,000,000 | 25,276,767 | 276,767 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.847% | 9/24/2029 | 10,000,000 | 10,023,021 | 23,021 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.8475% | 1/7/2026 | 10,000,000 | 10,107,452 | 107,452 |
See Notes to Financial Statements. | 261 |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Payments to be | Payments to be | |||||||||||||||||
Made By | Received By | |||||||||||||||||
Swap | The Fund at | The Fund at | Termination | Notional | Fair | Unrealized | ||||||||||||
Counterparty | Termination Date | Termination Date | Date | Amount | Value | Appreciation | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.857% | 8/2/2024 | $ | 10,000,000 | $ | 10,103,693 | $ | 103,693 | |||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.8755% | 12/28/2025 | 15,000,000 | 15,196,079 | 196,079 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.8913% | 12/27/2025 | 15,000,000 | 15,212,205 | 212,205 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.8975% | 4/3/2021 | 20,000,000 | 20,044,617 | 44,617 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.8975% | 12/27/2025 | 15,000,000 | 15,218,958 | 218,958 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.918% | 12/19/2024 | 20,000,000 | 20,296,697 | 296,697 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.924% | 4/10/2022 | 10,000,000 | 10,060,386 | 60,386 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.933% | 4/1/2026 | 10,000,000 | 10,118,746 | 118,746 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.9351% | 6/9/2022 | 10,000,000 | 10,054,865 | 54,865 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.936% | 12/19/2024 | 20,000,000 | 20,318,878 | 318,878 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.941% | 11/27/2034 | 10,000,000 | 10,071,236 | 71,236 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.950% | 2/13/2026 | 10,000,000 | 10,153,292 | 153,292 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.9525% | 12/21/2025 | 15,000,000 | 15,272,690 | 272,690 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.954% | 2/1/2026 | 10,000,000 | 10,167,257 | 167,257 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.9725% | 12/14/2024 | 15,000,000 | 15,268,285 | 268,285 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.978% | 6/17/2039 | 5,000,000 | 5,086,270 | 86,270 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.9975% | 12/13/2024 | 20,000,000 | 20,387,110 | 387,110 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.020% | 1/10/2029 | 20,000,000 | 20,477,194 | 477,194 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.026% | 11/20/2020 | 30,000,000 | 30,223,780 | 223,780 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.028% | 1/15/2029 | 5,000,000 | 5,121,619 | 121,619 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.032% | 11/30/2023 | 30,000,000 | 30,567,661 | 567,661 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.033% | 1/11/2029 | 20,000,000 | 20,502,833 | 502,833 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.0363% | 11/21/2022 | 10,000,000 | 10,125,647 | 125,647 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.050% | 12/11/2024 | 30,000,000 | 30,674,348 | 674,348 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.055% | 11/6/2020 | 40,000,000 | 40,313,005 | 313,005 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.065% | 11/8/2020 | 40,000,000 | 40,321,344 | 321,344 |
262 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Payments to be | Payments to be | |||||||||||||||||
Made By | Received By | |||||||||||||||||
Swap | The Fund at | The Fund at | Termination | Notional | Fair | Unrealized | ||||||||||||
Counterparty | Termination Date | Termination Date | Date | Amount | Value | Appreciation | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.090% | 11/2/2020 | $ | 30,000,000 | $ | 30,254,080 | $ | 254,080 | |||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.092% | 12/6/2024 | 15,000,000 | 15,371,477 | 371,477 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.210% | 10/17/2020 | 30,000,000 | 30,327,677 | 327,677 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.250% | 3/21/2024 | 10,000,000 | 10,332,659 | 332,659 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.275% | 4/18/2024 | 50,000,000 | 51,815,552 | 1,815,552 | ||||||||||||
Credit Suisse | CPI Urban Consumer NSA | 2.2775% | 2/16/2028 | 15,000,000 | 15,739,567 | 739,567 | ||||||||||||
Unrealized Appreciation on CPI Centrally Cleared Swaps | $ | 11,858,545 |
Open Consumer Price Index (“CPI”) Centrally Cleared Swaps at November 30, 2019:
Payments to be | Payments to be | |||||||||||||||||
Made By | Received By | |||||||||||||||||
Swap | The Fund at | The Fund at | Termination | Notional | Fair | Unrealized | ||||||||||||
Counterparty | Termination Date | Termination Date | Date | Amount | Value | Depreciation | ||||||||||||
Credit Suisse | 1.615% | CPI Urban Consumer NSA | 1/11/2021 | $ | 140,000,000 | $ | 139,890,048 | $ | (109,952 | ) | ||||||||
Credit Suisse | 1.615% | CPI Urban Consumer NSA | 9/23/2022 | 30,000,000 | 29,968,859. | (31,141 | ) | |||||||||||
Credit Suisse | 1.700% | CPI Urban Consumer NSA | 2/4/2021 | 40,000,000 | 39,960,444 | (39,556 | ) | |||||||||||
Credit Suisse | 1.748% | CPI Urban Consumer NSA | 11/8/2024 | 15,000,000 | 14,951,712. | (48,288 | ) | |||||||||||
Credit Suisse | 1.756% | CPI Urban Consumer NSA | 11/15/2024 | 10,000,000 | 9,964,617 | (35,383 | ) | |||||||||||
Credit Suisse | 1.770% | CPI Urban Consumer NSA | 9/23/2027 | 25,000,000 | 24,966,263. | (33,737 | ) | |||||||||||
Credit Suisse | 1.844% | CPI Urban Consumer NSA | 3/4/2021 | 30,000,000 | 29,936,194 | (63,806 | ) | |||||||||||
Credit Suisse | 1.9175% | CPI Urban Consumer NSA | 6/14/2029 | 10,000,000 | 9,900,044 | (99,956 | ) | |||||||||||
Credit Suisse | 2.0075% | CPI Urban Consumer NSA | 4/28/2020 | 30,000,000 | 29,955,823 | (44,177 | ) | |||||||||||
Credit Suisse | 2.030% | CPI Urban Consumer NSA | 5/3/2022 | 15,000,000 | 14,796,426 | (203,574 | ) | |||||||||||
Credit Suisse | 2.035% | CPI Urban Consumer NSA | 5/2/2021 | 10,000,000 | 9,904,658 | (95,342 | ) | |||||||||||
Credit Suisse | 2.065% | CPI Urban Consumer NSA | 1/9/2039 | 5,000,000 | 4,811,510 | (188,490 | ) | |||||||||||
Credit Suisse | 2.075% | CPI Urban Consumer NSA | 1/8/2021 | 20,000,000 | 19,866,974 | (133,026 | ) | |||||||||||
Credit Suisse | 2.107% | CPI Urban Consumer NSA | 2/21/2031 | 5,000,000 | 4,857,541 | (142,459 | ) | |||||||||||
Credit Suisse | 2.110% | CPI Urban Consumer NSA | 2/19/2031 | 5,000,000 | 4,854,601 | (145,399 | ) | |||||||||||
Credit Suisse | 2.119% | CPI Urban Consumer NSA | 4/12/2022 | 25,000,000 | 24,534,379 | (465,621 | ) |
See Notes to Financial Statements. | 263 |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Payments to be | Payments to be | |||||||||||||||||
Made By | Received By | |||||||||||||||||
Swap | The Fund at | The Fund at | Termination | Notional | Fair | Unrealized | ||||||||||||
Counterparty | Termination Date | Termination Date | Date | Amount | Value | Depreciation | ||||||||||||
Credit Suisse | 2.119% | CPI Urban Consumer NSA | 2/11/2031 | $ | 15,000,000 | $ | 14,534,227 | $ | (465,773 | ) | ||||||||
Credit Suisse | 2.1275% | CPI Urban Consumer NSA | 11/14/2024 | 60,000,000 | 58,530,331 | (1,469,669 | ) | |||||||||||
Credit Suisse | 2.140% | CPI Urban Consumer NSA | 7/20/2029 | 5,000,000 | 4,836,486 | (163,514 | ) | |||||||||||
Credit Suisse | 2.1438% | CPI Urban Consumer NSA | 12/14/2026 | 10,000,000 | 9,673,395 | (326,605 | ) | |||||||||||
Credit Suisse | 2.158% | CPI Urban Consumer NSA | 3/25/2029 | 5,000,000 | 4,835,758 | (164,242 | ) | |||||||||||
Credit Suisse | 2.207% | CPI Urban Consumer NSA | 1/8/2027 | 10,000,000 | 9,614,256 | (385,744 | ) | |||||||||||
Credit Suisse | 2.269% | CPI Urban Consumer NSA | 10/30/2030 | 10,000,000 | 9,473,593 | (526,407 | ) | |||||||||||
Credit Suisse | 2.285% | CPI Urban Consumer NSA | 5/31/2028 | 10,000,000 | 9,485,200 | (514,800 | ) | |||||||||||
Credit Suisse | 2.310% | CPI Urban Consumer NSA | 6/1/2028 | 10,000,000 | 9,458,739 | (541,261 | ) | |||||||||||
Credit Suisse | 2.335% | CPI Urban Consumer NSA | 11/17/2036 | 8,000,000 | 7,263,044 | (736,956 | ) | |||||||||||
Credit Suisse | 2.335% | CPI Urban Consumer NSA | 11/21/2036 | 10,000,000 | 9,077,207 | (922,793 | ) | |||||||||||
Credit Suisse | 2.339% | CPI Urban Consumer NSA | 3/14/2029 | 10,000,000 | 9,357,937 | (642,063 | ) | |||||||||||
Credit Suisse | 2.340% | CPI Urban Consumer NSA | 3/23/2032 | 5,000,000 | 4,633,460 | (366,540 | ) | |||||||||||
Credit Suisse | 2.341% | CPI Urban Consumer NSA | 8/27/2028 | 10,000,000 | 9,405,479 | (594,521 | ) | |||||||||||
Credit Suisse | 2.3425% | CPI Urban Consumer NSA | 9/11/2028 | 10,000,000 | 9,407,370 | (592,630 | ) | |||||||||||
Credit Suisse | 2.344% | CPI Urban Consumer NSA | 3/15/2029 | 5,000,000 | 4,675,200 | (324,800 | ) | |||||||||||
Credit Suisse | 2.345% | CPI Urban Consumer NSA | 8/14/2028 | 10,000,000 | 9,400,629 | (599,371 | ) | |||||||||||
Credit Suisse | 2.3525% | CPI Urban Consumer NSA | 6/6/2028 | 10,000,000 | 9,412,461 | (587,539 | ) | |||||||||||
Credit Suisse | 2.354% | CPI Urban Consumer NSA | 3/6/2032 | 5,000,000 | 4,630,476 | (369,524 | ) | |||||||||||
Credit Suisse | 2.355% | CPI Urban Consumer NSA | 3/8/2032 | 10,000,000 | 9,255,104 | (744,896 | ) | |||||||||||
Credit Suisse | 2.358% | CPI Urban Consumer NSA | 7/25/2028 | 10,000,000 | 9,389,548 | (610,452 | ) | |||||||||||
Credit Suisse | 2.3625% | CPI Urban Consumer NSA | 3/21/2032 | 5,000,000 | 4,615,631 | (384,369 | ) | |||||||||||
Credit Suisse | 2.3625% | CPI Urban Consumer NSA | 1/23/2033 | 5,000,000 | 4,625,114 | (374,886 | ) | |||||||||||
Credit Suisse | 2.3625% | CPI Urban Consumer NSA | 1/25/2033 | 5,000,000 | 4,624,911 | (375,089 | ) | |||||||||||
Credit Suisse | 2.365% | CPI Urban Consumer NSA | 1/30/2038 | 10,000,000 | 8,986,684 | (1,013,316 | ) | |||||||||||
Credit Suisse | 2.370% | CPI Urban Consumer NSA | 4/18/2030 | 25,000,000 | 23,295,414 | (1,704,586 | ) |
264 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Payments to be | Payments to be | |||||||||||||||||
Made By | Received By | |||||||||||||||||
Swap | The Fund at | The Fund at | Termination | Notional | Fair | Unrealized | ||||||||||||
Counterparty | Termination Date | Termination Date | Date | Amount | Value | Depreciation | ||||||||||||
Credit Suisse | 2.370% | CPI Urban Consumer NSA | 2/28/2038 | $ | 5,000,000 | $ | 4,487,313 | $ | (512,687 | ) | ||||||||
Credit Suisse | 2.3745% | CPI Urban Consumer NSA | 8/9/2028 | 10,000,000 | 9,368,549 | (631,451 | ) | |||||||||||
Credit Suisse | 2.379% | CPI Urban Consumer NSA | 9/21/2028 | 15,000,000 | 14,056,642 | (943,358 | ) | |||||||||||
Credit Suisse | 2.380% | CPI Urban Consumer NSA | 7/6/2028 | 10,000,000 | 9,376,302 | (623,698 | ) | |||||||||||
Credit Suisse | 2.380% | CPI Urban Consumer NSA | 7/17/2028 | 15,000,000 | 14,055,126 | (944,874 | ) | |||||||||||
Credit Suisse | 2.383% | CPI Urban Consumer NSA | 6/13/2028 | 40,000,000 | 37,511,324 | (2,488,676 | ) | |||||||||||
Credit Suisse | 2.384% | CPI Urban Consumer NSA | 10/1/2028 | 10,000,000 | 9,369,390 | (630,610 | ) | |||||||||||
Credit Suisse | 2.3845% | CPI Urban Consumer NSA | 8/6/2028 | 25,000,000 | 23,395,483 | (1,604,517 | ) | |||||||||||
Credit Suisse | 2.390% | CPI Urban Consumer NSA | 6/14/2028 | 45,000,000 | 42,164,950 | (2,835,050 | ) | |||||||||||
Credit Suisse | 2.390% | CPI Urban Consumer NSA | 8/3/2028 | 10,000,000 | 9,351,350 | (648,650 | ) | |||||||||||
Credit Suisse | 2.393% | CPI Urban Consumer NSA | 5/11/2028 | 10,000,000 | 9,353,930 | (646,070 | ) | |||||||||||
Credit Suisse | 2.3938% | CPI Urban Consumer NSA | 9/26/2028 | 10,000,000 | 9,356,733 | (643,267 | ) | |||||||||||
Credit Suisse | 2.3963% | CPI Urban Consumer NSA | 10/9/2028 | 10,000,000 | 9,358,050 | (641,950 | ) | |||||||||||
Credit Suisse | 2.400% | CPI Urban Consumer NSA | 4/26/2030 | 10,000,000 | 9,275,872 | (724,128 | ) | |||||||||||
Credit Suisse | 2.4075% | CPI Urban Consumer NSA | 5/21/2028 | 5,000,000 | 4,673,153 | (326,847 | ) | |||||||||||
Credit Suisse | 2.5475% | CPI Urban Consumer NSA | 4/20/2021 | 8,000,000 | 7,180,438 | (819,562 | ) | |||||||||||
Credit Suisse | 2.6725% | CPI Urban Consumer NSA | 1/28/2021 | 15,000,000 | 13,460,168 | (1,539,832 | ) | |||||||||||
Credit Suisse | 2.7875% | CPI Urban Consumer NSA | 6/8/2026 | 5,000,000 | 3,958,763 | (1,041,237 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.405% | 10/9/2021 | 25,000,000 | 24,929,262 | (70,738 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.445% | 2/3/2021 | 15,000,000 | 14,662,954 | (337,046 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.485% | 1/14/2021 | 20,000,000 | 19,603,002 | (396,998 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.628% | 8/21/2024 | 10,000,000 | 9,980,305 | (19,695 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.6675% | 6/30/2026 | 7,000,000 | 6,855,714 | (144,286 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.730% | 10/9/2029 | 5,000,000 | 4,951,295 | (48,705 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.755% | 9/6/2029 | 15,000,000 | 14,888,056 | (111,944 | ) | |||||||||||
Credit Suisse | CPI Urban Consumer NSA | 1.790% | 4/27/2024 | 30,000,000 | 29,766,919 | (233,081 | ) | |||||||||||
Unrealized Depreciation on CPI Centrally Cleared Swaps | $ | (36,991,210 | ) |
See Notes to Financial Statements. | 265 |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Open Consumer Price Index (“CPI”) OTC Swaps at November 30, 2019:
Payments to be | Payments to be | |||||||||||||||||
Made By | Received By | |||||||||||||||||
Swap | The Fund at | The Fund at | Termination | Notional | Fair | Unrealized | ||||||||||||
Counterparty | Termination Date | Termination Date | Date | Amount | Value | Appreciation | ||||||||||||
Bank of America | 1.676% | CPI Urban Consumer NSA | 8/4/2026 | $ | 15,000,000 | $ | 15,266,105 | $ | 266,105 | |||||||||
Bank of America | 1.7395% | CPI Urban Consumer NSA | 8/23/2026 | 40,000,000 | 40,389,768 | 389,768 | ||||||||||||
Bank of America | 1.7465% | CPI Urban Consumer NSA | 8/22/2026 | 20,000,000 | 20,182,342 | 182,342 | ||||||||||||
Bank of America | 1.769% | CPI Urban Consumer NSA | 7/22/2026 | 35,000,000 | 35,300,456 | 300,456 | ||||||||||||
Bank of America | 1.9625% | CPI Urban Consumer NSA | 12/13/2019 | 30,000,000 | 30,054,349 | 54,349 | ||||||||||||
Bank of America | 2.0375% | CPI Urban Consumer NSA | 1/10/2020 | 20,000,000 | 20,057,852 | 57,852 | ||||||||||||
Bank of America | CPI Urban Consumer NSA | 1.930% | 9/7/2022 | 25,000,000 | 25,075,292 | 75,292 | ||||||||||||
Bank of America | CPI Urban Consumer NSA | 1.936% | 5/22/2022 | 10,000,000 | 10,065,716 | 65,716 | ||||||||||||
Bank of America | CPI Urban Consumer NSA | 2.0688% | 11/10/2022 | 15,000,000 | 15,189,299 | 189,299 | ||||||||||||
Bank of America | CPI Urban Consumer NSA | 2.140% | 2/10/2022 | 30,000,000 | 30,464,714 | 464,714 | ||||||||||||
Bank of America | CPI Urban Consumer NSA | 2.194% | 1/19/2022 | 30,000,000 | 30,538,055 | 538,055 | ||||||||||||
Bank of America | CPI Urban Consumer NSA | 2.195% | 2/24/2022 | 25,000,000 | 25,476,542 | 476,542 | ||||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 1.7625% | 12/4/2019 | 20,000,000 | 20,242,083 | 242,083 | ||||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 2.150% | 2/10/2023 | 30,000,000 | 30,631,625 | 631,625 | ||||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 2.193% | 1/19/2022 | 40,000,000 | 40,715,285 | 715,285 | ||||||||||||
Deutsche Bank AG | 1.6975% | CPI Urban Consumer NSA | 9/2/2022 | 10,000,000 | 10,007,917 | 7,917 | ||||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 1.720% | 12/5/2019 | 20,000,000 | 20,193,206 | 193,206 | ||||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 2.105% | 7/10/2025 | 10,000,000 | 10,360,669 | 360,669 | ||||||||||||
Goldman Sachs | 1.5675% | CPI Urban Consumer NSA | 3/2/2024 | 8,000,000 | 8,180,558 | 180,558 | ||||||||||||
Goldman Sachs | 1.649% | CPI Urban Consumer NSA | 3/4/2024 | 5,000,000 | 5,077,843 | 77,843 | ||||||||||||
Goldman Sachs | CPI Urban Consumer NSA | 1.988% | 5/25/2023 | 10,000,000 | 10,120,777 | 120,777 | ||||||||||||
Goldman Sachs | CPI Urban Consumer NSA | 2.0625% | 12/8/2024 | 15,000,000 | 15,739,876 | 739,876 | ||||||||||||
Goldman Sachs | CPI Urban Consumer NSA | 2.3125% | 9/30/2024 | 30,000,000 | 32,464,755 | 2,464,755 | ||||||||||||
Unrealized Appreciation on CPI OTC Swaps | $ | 8,795,084 |
266 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Open Consumer Price Index (“CPI”) OTC Swaps at November 30, 2019:
Payments to be | Payments to be | |||||||||||||||||
Made By | Received By | |||||||||||||||||
Swap | The Fund at | The Fund at | Termination | Notional | Fair | Unrealized | ||||||||||||
Counterparty | Termination Date | Termination Date | Date | Amount | Value | Depreciation | ||||||||||||
Bank of America | 2.080% | CPI Urban Consumer NSA | 4/22/2025 | $ | 10,000,000 | $ | 9,685,126 | $ | (314,874 | ) | ||||||||
Bank of America | 2.100% | CPI Urban Consumer NSA | 4/26/2025 | 10,000,000 | 9,722,897 | (277,103 | ) | |||||||||||
Bank of America | 2.100% | CPI Urban Consumer NSA | 6/30/2042 | 5,000,000 | 4,748,572 | (251,428 | ) | |||||||||||
Bank of America | 2.1425% | CPI Urban Consumer NSA | 11/22/2024 | 20,000,000 | 19,477,005 | (522,995 | ) | |||||||||||
Bank of America | 2.1438% | CPI Urban Consumer NSA | 7/24/2029 | 10,000,000 | 9,670,181 | (329,819 | ) | |||||||||||
Bank of America | 2.1475% | CPI Urban Consumer NSA | 7/31/2029 | 10,000,000 | 9,668,992 | (331,008 | ) | |||||||||||
Bank of America | 2.213% | CPI Urban Consumer NSA | 10/25/2032 | 5,000,000 | 4,774,956 | (225,044 | ) | |||||||||||
Bank of America | 2.275% | CPI Urban Consumer NSA | 1/6/2026 | 20,000,000 | 19,119,820 | (880,180 | ) | |||||||||||
Bank of America | 2.2975% | CPI Urban Consumer NSA | 4/5/2029 | 5,000,000 | 4,700,185 | (299,815 | ) | |||||||||||
Bank of America | 2.3013% | CPI Urban Consumer NSA | 3/28/2029 | 5,000,000 | 4,698,921 | (301,079 | ) | |||||||||||
Bank of America | 2.345% | CPI Urban Consumer NSA | 2/13/2029 | 30,000,000 | 28,110,166 | (1,889,834 | ) | |||||||||||
Bank of America | 2.3475% | CPI Urban Consumer NSA | 3/10/2032 | 5,000,000 | 4,633,064 | (366,936 | ) | |||||||||||
Bank of America | 2.360% | CPI Urban Consumer NSA | 2/8/2029 | 10,000,000 | 9,351,105 | (648,895 | ) | |||||||||||
Bank of America | 2.360% | CPI Urban Consumer NSA | 2/15/2029 | 10,000,000 | 9,349,194 | (650,806 | ) | |||||||||||
Bank of America | 2.3625% | CPI Urban Consumer NSA | 2/1/2038 | 5,000,000 | 4,495,678 | (504,322 | ) | |||||||||||
Bank of America | 2.3663% | CPI Urban Consumer NSA | 2/20/2038 | 5,000,000 | 4,491,146 | (508,854 | ) | |||||||||||
Bank of America | 2.370% | CPI Urban Consumer NSA | 1/26/2029 | 5,000,000 | 4,669,352 | (330,648 | ) | |||||||||||
Bank of America | 2.370% | CPI Urban Consumer NSA | 2/27/2029 | 10,000,000 | 9,332,363 | (667,637 | ) | |||||||||||
Bank of America | 2.3763% | CPI Urban Consumer NSA | 2/26/2038 | 5,000,000 | 4,479,839 | (520,161 | ) | |||||||||||
Bank of America | 2.380% | CPI Urban Consumer NSA | 1/13/2029 | 10,000,000 | 9,321,100 | (678,900 | ) | |||||||||||
Bank of America | 2.380% | CPI Urban Consumer NSA | 1/18/2029 | 10,000,000 | 9,323,222 | (676,778 | ) | |||||||||||
Bank of America | 2.3975% | CPI Urban Consumer NSA | 1/24/2029 | 10,000,000 | 9,300,824 | (699,176 | ) | |||||||||||
Bank of America | 2.3975% | CPI Urban Consumer NSA | 2/12/2033 | 5,000,000 | 4,593,414 | (406,586 | ) | |||||||||||
Bank of America | 2.409% | CPI Urban Consumer NSA | 2/6/2038 | 5,000,000 | 4,441,200 | (558,800 | ) | |||||||||||
Bank of America | 2.445% | CPI Urban Consumer NSA | 4/24/2023 | 40,000,000 | 36,520,846 | (3,479,154 | ) |
See Notes to Financial Statements. | 267 |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Payments to be | Payments to be | |||||||||||||||||
Made By | Received By | |||||||||||||||||
Swap | The Fund at | The Fund at | Termination | Notional | Fair | Unrealized | ||||||||||||
Counterparty | Termination Date | Termination Date | Date | Amount | Value | Depreciation | ||||||||||||
Bank of America | 2.460% | CPI Urban Consumer NSA | 4/23/2023 | $ | 30,000,000 | $ | 27,347,720 | $ | (2,652,280 | ) | ||||||||
Bank of America | 2.590% | CPI Urban Consumer NSA | 6/26/2023 | 40,000,000 | 35,806,434 | (4,193,566 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.385% | 2/9/2021 | 10,000,000 | 9,738,892 | (261,108 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.4025% | 1/21/2021 | 10,000,000 | 9,755,990 | (244,010 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.4625% | 1/19/2021 | 20,000,000 | 19,577,393 | (422,607 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.5125% | 11/9/2020 | 10,000,000 | 9,838,649 | (161,351 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.523% | 12/16/2020 | 20,000,000 | 19,650,458 | (349,542 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.540% | 8/20/2021 | 20,000,000 | 19,754,142 | (245,858 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.580% | 8/6/2020 | 25,000,000 | 24,707,917 | (292,083 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.645% | 10/1/2025 | 15,000,000 | 14,840,313 | (159,687 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.780% | 6/23/2022 | 15,000,000 | 14,960,489 | (39,511 | ) | |||||||||||
Bank of America | CPI Urban Consumer NSA | 1.813% | 3/31/2026 | 5,000,000 | 4,980,902 | (19,098 | ) | |||||||||||
Barclays Bank plc | 1.874% | CPI Urban Consumer NSA | 4/11/2026 | 10,000,000 | 9,984,969 | (15,031 | ) | |||||||||||
Barclays Bank plc | 1.944% | CPI Urban Consumer NSA | 3/22/2041 | 5,000,000 | 4,974,116 | (25,884 | ) | |||||||||||
Barclays Bank plc | 1.960% | CPI Urban Consumer NSA | 2/5/2025 | 10,000,000 | 9,695,539 | (304,461 | ) | |||||||||||
Barclays Bank plc | 2.0325% | CPI Urban Consumer NSA | 11/14/2021 | 35,000,000 | 34,748,825 | (251,175 | ) | |||||||||||
Barclays Bank plc | 2.0875% | CPI Urban Consumer NSA | 12/1/2024 | 10,000,000 | 9,782,518 | (217,482 | ) | |||||||||||
Barclays Bank plc | 2.1275% | CPI Urban Consumer NSA | 6/22/2025 | 10,000,000 | 9,619,565 | (380,435 | ) | |||||||||||
Barclays Bank plc | 2.1575% | CPI Urban Consumer NSA | 12/2/2024 | 10,000,000 | 9,721,491 | (278,509 | ) | |||||||||||
Barclays Bank plc | 2.159% | CPI Urban Consumer NSA | 11/25/2024 | 15,000,000 | 14,584,289 | (415,711 | ) | |||||||||||
Barclays Bank plc | 2.205% | CPI Urban Consumer NSA | 12/9/2024 | 15,000,000 | 14,516,614 | (483,386 | ) | |||||||||||
Barclays Bank plc | 2.207% | CPI Urban Consumer NSA | 1/11/2025 | 20,000,000 | 19,333,485 | (666,515 | ) | |||||||||||
Barclays Bank plc | 2.2225% | CPI Urban Consumer NSA | 12/30/2023 | 30,000,000 | 29,081,306 | (918,694 | ) | |||||||||||
Barclays Bank plc | 2.2275% | CPI Urban Consumer NSA | 12/5/2024 | 15,000,000 | 14,490,132 | (509,868 | ) | |||||||||||
Barclays Bank plc | 2.354% | CPI Urban Consumer NSA | 12/23/2031 | 10,000,000 | 9,275,333 | (724,667 | ) | |||||||||||
Barclays Bank plc | 2.3925% | CPI Urban Consumer NSA | 12/13/2031 | 5,000,000 | 4,606,596 | (393,404 | ) |
268 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Payments to be | Payments to be | |||||||||||||||||
Made By | Received By | |||||||||||||||||
Swap | The Fund at | The Fund at | Termination | Notional | Fair | Unrealized | ||||||||||||
Counterparty | Termination Date | Termination Date | Date | Amount | Value | Depreciation | ||||||||||||
Barclays Bank plc | 2.4095% | CPI Urban Consumer NSA | 2/1/2032 | $ | 10,000,000 | $ | 9,181,175 | $ | (818,825 | ) | ||||||||
Barclays Bank plc | 2.529% | CPI Urban Consumer NSA | 7/8/2022 | 30,000,000 | 27,334,701 | (2,665,299 | ) | |||||||||||
Barclays Bank plc | 2.7425% | CPI Urban Consumer NSA | 9/14/2024 | 15,000,000 | 12,620,508 | (2,379,492 | ) | |||||||||||
Barclays Bank plc | 2.945% | CPI Urban Consumer NSA | 3/5/2038 | 15,000,000 | 9,437,052 | (5,562,948 | ) | |||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 1.210% | 2/11/2021 | 20,000,000 | 19,293,121 | (706,879 | ) | |||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 1.2625% | 2/17/2021 | 10,000,000 | 9,668,302 | (331,698 | ) | |||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 1.363% | 1/26/2021 | 15,000,000 | 14,603,500 | (396,500 | ) | |||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 1.500% | 7/29/2021 | 15,000,000 | 14,679,754 | (320,246 | ) | |||||||||||
Barclays Bank plc | CPI Urban Consumer NSA | 1.562% | 10/22/2022 | 10,000,000 | 9,867,077 | (132,923 | ) | |||||||||||
Credit Suisse | 2.560% | CPI Urban Consumer NSA | 6/27/2020 | 5,000,000 | 4,502,917 | (497,083 | ) | |||||||||||
Credit Suisse | 2.6713% | CPI Urban Consumer NSA | 4/11/2022 | 30,000,000 | 26,544,210 | (3,455,790 | ) | |||||||||||
Credit Suisse | 2.864% | CPI Urban Consumer NSA | 3/22/2032 | 8,000,000 | 5,758,751 | (2,241,249 | ) | |||||||||||
Deutsche Bank AG | 1.962% | CPI Urban Consumer NSA | 5/26/2036 | 5,000,000 | 4,980,160 | (19,840 | ) | |||||||||||
Deutsche Bank AG | 2.059% | CPI Urban Consumer NSA | 5/21/2025 | 20,000,000 | 19,386,213 | (613,787 | ) | |||||||||||
Deutsche Bank AG | 2.385% | CPI Urban Consumer NSA | 1/24/2021 | 7,000,000 | 6,413,213 | (586,787 | ) | |||||||||||
Deutsche Bank AG | 2.4375% | CPI Urban Consumer NSA | 6/7/2021 | 20,000,000 | 18,372,451 | (1,627,549 | ) | |||||||||||
Deutsche Bank AG | 2.440% | CPI Urban Consumer NSA | 4/11/2020 | 8,000,000 | 7,383,109 | (616,891 | ) | |||||||||||
Deutsche Bank AG | 2.465% | CPI Urban Consumer NSA | 11/30/2031 | 5,000,000 | 4,123,825 | (876,175 | ) | |||||||||||
Deutsche Bank AG | 2.500% | CPI Urban Consumer NSA | 9/4/2021 | 10,000,000 | 9,057,165 | (942,835 | ) | |||||||||||
Deutsche Bank AG | 2.505% | CPI Urban Consumer NSA | 12/7/2031 | 5,000,000 | 4,074,706 | (925,294 | ) | |||||||||||
Deutsche Bank AG | 2.5175% | CPI Urban Consumer NSA | 4/17/2026 | 15,000,000 | 13,197,362 | (1,802,638 | ) | |||||||||||
Deutsche Bank AG | 2.6075% | CPI Urban Consumer NSA | 6/13/2020 | 5,000,000 | 4,488,224 | (511,776 | ) | |||||||||||
Deutsche Bank AG | 2.615% | CPI Urban Consumer NSA | 1/4/2020 | 15,000,000 | 13,744,224 | (1,255,776 | ) | |||||||||||
Deutsche Bank AG | 2.640% | CPI Urban Consumer NSA | 12/17/2020 | 15,000,000 | 13,455,154 | (1,544,846 | ) | |||||||||||
Deutsche Bank AG | 2.695% | CPI Urban Consumer NSA | 10/29/2021 | 9,000,000 | 7,941,205 | (1,058,795 | ) | |||||||||||
Deutsche Bank AG | 2.710% | CPI Urban Consumer NSA | 10/11/2020 | 15,000,000 | 13,468,388 | (1,531,612 | ) |
See Notes to Financial Statements. | 269 |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Payments to be | Payments to be | |||||||||||||||||
Made By | Received By | |||||||||||||||||
Swap | The Fund at | The Fund at | Termination | Notional | Fair | Unrealized | ||||||||||||
Counterparty | Termination Date | Termination Date | Date | Amount | Value | Depreciation | ||||||||||||
Deutsche Bank AG | 2.730% | CPI Urban Consumer NSA | 2/4/2021 | $ | 15,000,000 | $ | 13,346,684 | $ | (1,653,316 | ) | ||||||||
Deutsche Bank AG | 2.730% | CPI Urban Consumer NSA | 10/25/2021 | 15,000,000 | 13,188,093 | (1,811,907 | ) | |||||||||||
Deutsche Bank AG | 2.745% | CPI Urban Consumer NSA | 3/20/2022 | 30,000,000 | 26,360,387 | (3,639,613 | ) | |||||||||||
Deutsche Bank AG | 2.7475% | CPI Urban Consumer NSA | 2/26/2022 | 30,000,000 | 26,350,436 | (3,649,564 | ) | |||||||||||
Deutsche Bank AG | 2.750% | CPI Urban Consumer NSA | 3/30/2032 | 6,000,000 | 4,508,688 | (1,491,312 | ) | |||||||||||
Deutsche Bank AG | 2.7525% | CPI Urban Consumer NSA | 8/2/2021 | 8,000,000 | 6,878,332 | (1,121,668 | ) | |||||||||||
Deutsche Bank AG | 2.779% | CPI Urban Consumer NSA | 3/12/2022 | 25,000,000 | 21,876,495 | (3,123,505 | ) | |||||||||||
Deutsche Bank AG | 3.010% | CPI Urban Consumer NSA | 2/15/2033 | 15,000,000 | 10,283,085 | (4,716,915 | ) | |||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 1.386% | 1/20/2021 | 10,000,000 | 9,748,673 | (251,327 | ) | |||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 1.618% | 8/25/2023 | 15,000,000 | 14,873,193 | (126,807 | ) | |||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 1.650% | 1/20/2026 | 10,000,000 | 9,829,867 | (170,133 | ) | |||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 1.667% | 4/20/2023 | 20,000,000 | 19,681,997 | (318,003 | ) | |||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 1.6725% | 4/20/2023 | 20,000,000 | 19,690,124 | (309,876 | ) | |||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 1.7725% | 4/27/2023 | 35,000,000 | 34,693,611 | (306,389 | ) | |||||||||||
Deutsche Bank AG | CPI Urban Consumer NSA | 1.811% | 6/4/2020 | 20,000,000 | 19,933,879 | (66,121 | ) | |||||||||||
Goldman Sachs | 2.183% | CPI Urban Consumer NSA | 3/20/2022 | 20,000,000 | 19,583,895 | (416,105 | ) | |||||||||||
Goldman Sachs | 2.230% | CPI Urban Consumer NSA | 12/14/2024 | 10,000,000 | 9,653,442 | (346,558 | ) | |||||||||||
Goldman Sachs | 2.317% | CPI Urban Consumer NSA | 3/16/2029 | 5,000,000 | 4,693,022 | (306,978 | ) | |||||||||||
Goldman Sachs | 2.350% | CPI Urban Consumer NSA | 12/16/2036 | 10,000,000 | 9,032,675 | (967,325 | ) | |||||||||||
Goldman Sachs | 2.363% | CPI Urban Consumer NSA | 6/21/2027 | 20,000,000 | 18,869,442 | (1,130,558 | ) | |||||||||||
Goldman Sachs | 2.370% | CPI Urban Consumer NSA | 5/16/2028 | 10,000,000 | 9,382,507 | (617,493 | ) | |||||||||||
Goldman Sachs | 2.372% | CPI Urban Consumer NSA | 5/3/2030 | 5,000,000 | 4,656,352 | (343,648 | ) | |||||||||||
Goldman Sachs | 2.3775% | CPI Urban Consumer NSA | 4/17/2030 | 5,000,000 | 4,654,247 | (345,753 | ) | |||||||||||
Goldman Sachs | 2.380% | CPI Urban Consumer NSA | 12/8/2031 | 10,000,000 | 9,237,114 | (762,886 | ) | |||||||||||
Goldman Sachs | 2.387% | CPI Urban Consumer NSA | 5/24/2028 | 5,000,000 | 4,684,676 | (315,324 | ) | |||||||||||
Goldman Sachs | 2.390% | CPI Urban Consumer NSA | 2/7/2032 | 5,000,000 | 4,606,189 | (393,811 | ) |
270 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Payments to be | Payments to be | |||||||||||||||||
Made By | Received By | |||||||||||||||||
Swap | The Fund at | The Fund at | Termination | Notional | Fair | Unrealized | ||||||||||||
Counterparty | Termination Date | Termination Date | Date | Amount | Value | Depreciation | ||||||||||||
Goldman Sachs | 2.4475% | CPI Urban Consumer NSA | 4/24/2023 | $ | 30,000,000 | $ | 27,382,809 | $ | (2,617,191 | ) | ||||||||
Goldman Sachs | 2.497% | CPI Urban Consumer NSA | 5/2/2021 | 30,000,000 | 27,367,363 | (2,632,637 | ) | |||||||||||
Goldman Sachs | 2.5375% | CPI Urban Consumer NSA | 4/17/2021 | 8,000,000 | 7,191,982 | (808,018 | ) | |||||||||||
Goldman Sachs | 2.675% | CPI Urban Consumer NSA | 12/13/2020 | 15,000,000 | 13,405,148 | (1,594,852 | ) | |||||||||||
Goldman Sachs | 2.7725% | CPI Urban Consumer NSA | 4/3/2023 | 20,000,000 | 17,233,058 | (2,766,942 | ) | |||||||||||
Goldman Sachs | 2.945% | CPI Urban Consumer NSA | 1/16/2038 | 15,000,000 | 9,361,569 | (5,638,431 | ) | |||||||||||
Goldman Sachs | 2.980% | CPI Urban Consumer NSA | 2/7/2033 | 10,000,000 | 6,932,976 | (3,067,024 | ) | |||||||||||
J.P. Morgan | 1.950% | CPI Urban Consumer NSA | 10/14/2026 | 10,000,000 | 9,892,679 | (107,321 | ) | |||||||||||
J.P. Morgan | 2.074% | CPI Urban Consumer NSA | 11/21/2023 | 35,000,000 | 33,290,941 | (1,709,059 | ) | |||||||||||
J.P. Morgan | 2.1525% | CPI Urban Consumer NSA | 11/21/2024 | 25,000,000 | 24,325,678 | (674,322 | ) | |||||||||||
J.P. Morgan | 2.4975% | CPI Urban Consumer NSA | 4/26/2020 | 9,000,000 | 8,251,952 | (748,048 | ) | |||||||||||
J.P. Morgan | 2.5275% | CPI Urban Consumer NSA | 5/9/2021 | 10,000,000 | 8,984,075 | (1,015,925 | ) | |||||||||||
J.P. Morgan | 2.549% | CPI Urban Consumer NSA | 7/23/2023 | 30,000,000 | 26,961,121 | (3,038,879 | ) | |||||||||||
J.P. Morgan | 2.6075% | CPI Urban Consumer NSA | 6/3/2020 | 5,000,000 | 4,495,309 | (504,691 | ) | |||||||||||
J.P. Morgan | 2.680% | CPI Urban Consumer NSA | 2/28/2021 | 20,000,000 | 17,982,068 | (2,017,932 | ) | |||||||||||
J.P. Morgan | 2.7175% | CPI Urban Consumer NSA | 5/13/2020 | 12,000,000 | 10,700,635 | (1,299,365 | ) | |||||||||||
J.P. Morgan | 2.730% | CPI Urban Consumer NSA | 9/20/2021 | 15,000,000 | 13,233,082 | (1,766,918 | ) | |||||||||||
J.P. Morgan | 2.7563% | CPI Urban Consumer NSA | 3/25/2022 | 30,000,000 | 26,321,218 | (3,678,782 | ) | |||||||||||
J.P. Morgan | 2.810% | CPI Urban Consumer NSA | 3/28/2032 | 7,000,000 | 5,144,652 | (1,855,348 | ) | |||||||||||
J.P. Morgan | 2.815% | CPI Urban Consumer NSA | 5/4/2020 | 4,000,000 | 3,532,169 | (467,831 | ) | |||||||||||
J.P. Morgan | 2.815% | CPI Urban Consumer NSA | 4/5/2032 | 5,000,000 | 3,665,528 | (1,334,472 | ) | |||||||||||
J.P. Morgan | 2.955% | CPI Urban Consumer NSA | 7/15/2026 | 5,000,000 | 3,773,732 | (1,226,268 | ) | |||||||||||
J.P. Morgan | CPI Urban Consumer NSA | 1.5625% | 1/11/2021 | 10,000,000 | 9,842,645 | (157,355 | ) | |||||||||||
J.P. Morgan | CPI Urban Consumer NSA | 1.645% | 8/27/2023 | 5,000,000 | 4,971,639 | (28,361 | ) | |||||||||||
Merrill Lynch International Bank Ltd. | 2.820% | CPI Urban Consumer NSA | 5/4/2020 | 4,000,000 | 3,529,936 | (470,064 | ) |
See Notes to Financial Statements. | 271 |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
Payments to be | Payments to be | |||||||||||||||||
Made By | Received By | |||||||||||||||||
Swap | The Fund at | The Fund at | Termination | Notional | Fair | Unrealized | ||||||||||||
Counterparty | Termination Date | Termination Date | Date | Amount | Value | Depreciation | ||||||||||||
Merrill Lynch International Bank Ltd. | 2.825% | CPI Urban Consumer NSA | 7/22/2023 | $ | 5,000,000 | $ | 4,105,571 | $ | (894,429 | ) | ||||||||
Wells Fargo | 2.410% | CPI Urban Consumer NSA | 6/20/2021 | 10,000,000 | 9,080,732 | (919,268 | ) | |||||||||||
Wells Fargo | 2.560% | CPI Urban Consumer NSA | 5/2/2021 | 10,000,000 | 8,958,078 | (1,041,922 | ) | |||||||||||
Wells Fargo | 2.645% | CPI Urban Consumer NSA | 12/27/2020 | 15,000,000 | 13,448,214 | (1,551,786 | ) | |||||||||||
Wells Fargo | 2.7325% | CPI Urban Consumer NSA | 2/19/2021 | 20,000,000 | 17,868,119 | (2,131,881 | ) | |||||||||||
Wells Fargo | 2.745% | CPI Urban Consumer NSA | 2/21/2022 | 25,000,000 | 21,957,051 | (3,042,949 | ) | |||||||||||
Unrealized Depreciation on CPI OTC Swaps | $ | (143,881,454 | ) |
Open Forward Foreign Currency Exchange Contracts at November 30, 2019:
Forward | ||||||||||||||||||||||
Foreign | U.S. $ | |||||||||||||||||||||
Currency | Cost on | U.S. $ | ||||||||||||||||||||
Exchange | Transaction | Expiration | Foreign | Origination | Current | Unrealized | ||||||||||||||||
Contracts | Type | Counterparty | Date | Currency | Date | Value | Appreciation | |||||||||||||||
euro | Buy | State Street Bank and Trust | 12/9/2019 | 258,000 | $ | 283,921 | $ | 284,366 | $ | 445 | ||||||||||||
Canadian dollar | Sell | State Street Bank and Trust | 12/13/2019 | 1,500,000 | 1,129,720 | 1,129,332 | 388 | |||||||||||||||
euro | Sell | J.P. Morgan | 12/9/2019 | 300,000 | 333,519 | 330,658 | 2,861 | |||||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 3,694 | ||||||||||||||||||||
Forward | ||||||||||||||||||||||
Foreign | U.S. $ | |||||||||||||||||||||
Currency | Cost on | U.S. $ | ||||||||||||||||||||
Exchange | Transaction | Expiration | Foreign | Origination | Current | Unrealized | ||||||||||||||||
Contracts | Type | Counterparty | Date | Currency | Date | Value | Depreciation | |||||||||||||||
euro | Buy | State Street Bank and Trust | 12/9/2019 | 42,000 | $ | 46,535 | $ | 46,292 | $ | (243 | ) |
Open Futures Contracts at November 30, 2019:
Notional | Notional | Unrealized | ||||||||||||||||
Type | Expiration | Contracts | Position | Amount | Value | Appreciation | ||||||||||||
U.S. 5-Year Treasury Note | March 2020 | 494 | Short | $ | (58,871,268) | $ | (58,770,562) | $ | 100,706 | |||||||||
Notional | Notional | Unrealized | ||||||||||||||||
Type | Expiration | Contracts | Position | Amount | Value | Depreciation | ||||||||||||
U.S. 10-Year Treasury Note | March 2020 | 446 | Long | $ | 57,875,712 | $ | 57,694,281 | $ | (181,431 | ) | ||||||||
U.S. 2-Year Treasury Note | March 2020 | 2,158 | Long | 465,270,412 | 465,234,455 | (35,957 | ) | |||||||||||
U.S. Long Bond | March 2020 | 310 | Long | 49,581,205 | 49,280,313 | (300,892 | ) | |||||||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (518,280 | ) |
272 | See Notes to Financial Statements. |
Schedule of Investments (continued)
INFLATION FOCUSED FUNDNovember 30, 2019
The following is a summary of the inputs used as of November 30, 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 | ||||||||||||||||
Credit Cards | $ | – | $ | 40,472,800 | $ | 3,195,529 | $ | 43,668,329 | ||||||||
Other | – | 129,465,200 | 685,277 | 130,150,477 | ||||||||||||
Remaining Industries | – | 100,966,516 | – | 100,966,516 | ||||||||||||
Common Stocks | – | 14,361 | – | 14,361 | ||||||||||||
Convertible Bond | – | 882,898 | – | 882,898 | ||||||||||||
Corporate Bonds | – | 447,889,148 | – | 447,889,148 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Electric: Power | – | 3,765,364 | 885,405 | 4,650,769 | ||||||||||||
Electrical Equipment | – | – | 1,886,084 | 1,886,084 | ||||||||||||
Entertainment | – | – | 218,006 | 218,006 | ||||||||||||
Investment Management Companies | – | 542,386 | 1,133,319 | 1,675,705 | ||||||||||||
Oil | – | – | 305,000 | 305,000 | ||||||||||||
Oil: Crude Producers | – | – | 1,335,841 | 1,335,841 | ||||||||||||
Real Estate Investment Trusts | – | – | 2,765,590 | 2,765,590 | ||||||||||||
Remaining Industries | – | 16,154,867 | – | 16,154,867 | ||||||||||||
Less Unfunded Commitments | – | – | (221,100 | ) | (221,100 | ) | ||||||||||
Foreign Government Obligations | – | 4,533,229 | – | 4,533,229 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 14,012,242 | – | 14,012,242 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 5,001,309 | – | 5,001,309 | ||||||||||||
Municipal Bonds | – | 2,054,175 | – | 2,054,175 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 276,971,707 | 7,325,377 | 284,297,084 | ||||||||||||
Preferred Stock | – | – | – | – | ||||||||||||
U.S. Treasury Obligation | – | 11,047,780 | – | 11,047,780 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | – | 4,766,007 | – | 4,766,007 | ||||||||||||
Repurchase Agreement | – | 12,313,880 | – | 12,313,880 | ||||||||||||
Total | $ | – | $ | 1,070,853,869 | $ | 19,514,328 | $ | 1,090,368,197 |
See Notes to Financial Statements. | 273 |
Schedule of Investments (concluded)
INFLATION FOCUSED FUNDNovember 30, 2019
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Centrally Cleared CPI Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 11,858,545 | $ | – | $ | 11,858,545 | ||||||||
Liabilities | – | (36,991,210 | ) | – | (36,991,210 | ) | ||||||||||
Centrally Cleared Interest Rate Swap Contracts | ||||||||||||||||
Assets | – | 856,577 | – | 856,577 | ||||||||||||
Liabilities | – | (1,071,685 | ) | – | (1,071,685 | ) | ||||||||||
OTC CPI Swap Contracts | ||||||||||||||||
Assets | – | 8,795,084 | – | 8,795,084 | ||||||||||||
Liabilities | – | (143,881,454 | ) | – | (143,881,454 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 3,694 | – | 3,694 | ||||||||||||
Liabilities | – | (243 | ) | – | (243 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 100,706 | – | – | 100,706 | ||||||||||||
Liabilities | (518,280 | ) | – | – | (518,280 | ) | ||||||||||
Total | $ | (417,574 | ) | $ | (160,430,692 | ) | $ | – | $ | (160,848,266 | ) |
(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. |
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
Non-Agency | ||||||||||||||||
Commercial | ||||||||||||||||
Asset- | Mortgage- | |||||||||||||||
Backed | Floating | Backed | Preferred | |||||||||||||
Investment Type | Securities | Rate Loans | Securities | Stock | ||||||||||||
Balance as of December 1, 2018 | $ | 718,000 | $ | 8,209,361 | $ | 3,045,460 | $ | – | ||||||||
Accrued Discounts (Premiums) | (638 | ) | 14,477 | (358,833 | ) | – | ||||||||||
Realized Gain (Loss) | – | 1,094 | (2,653 | ) | – | |||||||||||
Change in Unrealized Appreciation (Depreciation) | 28,505 | (3,999 | ) | 77,226 | (44,807 | ) | ||||||||||
Purchases | 3,852,939 | 4,162,512 | 5,735,336 | 3,444 | ||||||||||||
Sales | – | (4,209,659 | ) | (790,008 | ) | – | ||||||||||
Transfers into Level 3 | – | 134,359 | – | 41,363 | ||||||||||||
Transfers out of Level 3 | (718,000 | ) | – | (381,151 | ) | – | ||||||||||
Balance as of November 30, 2019 | $ | 3,880,806 | 8,308,145 | $ | 7,325,377 | $ | – | |||||||||
Change in unrealized appreciation/depreciation for the year ended November 30, 2019, related to Level 3 investments held at November 30, 2019 | $ | 28,505 | $ | (5,715 | ) | $ | 77,226 | $ | (44,807 | ) |
274 | See Notes to Financial Statements. |
Schedule of Investments
SHORT DURATION CORE BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 96.47% | ||||||||||||
ASSET-BACKED SECURITIES 31.16% | ||||||||||||
Automobiles 19.75% | ||||||||||||
ACC Trust 2018-1 A† | 3.70% | 12/21/2020 | $ | 7 | $ | 6,714 | ||||||
American Credit Acceptance Receivables Trust 2019-2 B† | 3.05% | 5/12/2023 | 35 | 35,269 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-1 D | 3.59% | 2/8/2022 | 279 | 281,911 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-3 B | 2.24% | 6/19/2023 | 255 | 255,387 | ||||||||
Americredit Automobile Receivables Trust 2018-1 C | 3.50% | 1/18/2024 | 254 | 261,139 | ||||||||
Arivo Acceptance Auto Loan Receivables Trust 2019-1 A† | 2.99% | 7/15/2024 | 89 | 89,203 | ||||||||
Avid Automobile Receivables Trust 2019-1 A† | 2.62% | 2/15/2024 | 97 | 96,878 | ||||||||
Avid Automobile Receivables Trust 2019-1 B† | 2.82% | 7/15/2026 | 500 | 500,213 | ||||||||
Bank of The West Auto Trust 2017-1 A3† | 2.11% | 1/15/2023 | 80 | 80,186 | ||||||||
California Republic Auto Receivables Trust 2015-3 B | 2.70% | 9/15/2021 | 50 | 50,047 | ||||||||
California Republic Auto Receivables Trust 2017-1 B | 2.91% | 12/15/2022 | 39 | 39,195 | ||||||||
Capital One Prime Auto Receivables Trust 2019-1 A2 | 2.58% | 4/15/2022 | 128 | 128,607 | ||||||||
CarMax Auto Owner Trust 2016-4 A3 | 1.40% | 8/15/2021 | 7 | 6,584 | ||||||||
CarMax Auto Owner Trust 2018-3 A2A | 2.88% | 10/15/2021 | 81 | 80,698 | ||||||||
Carmax Auto Owner Trust 2019-4 B | 2.32% | 7/15/2025 | 104 | 104,118 | ||||||||
CarMax Auto Owner Trust 2019-4 C | 2.60% | 9/15/2025 | 105 | 105,246 | ||||||||
Carvana Auto Receivables Trust 2019-3A A2† | 2.42% | 4/15/2022 | 108 | 108,089 | ||||||||
Chesapeake Funding II LLC 2017-2A A1† | 1.99% | 5/15/2029 | 192 | 192,073 | ||||||||
Chesapeake Funding II LLC 2017-3A A1† | 1.91% | 8/15/2029 | 41 | 40,689 | ||||||||
Chesapeake Funding II LLC 2018-2A A2† | 2.135% (1 Mo. LIBOR + .37% | )# | 8/15/2030 | 75 | 75,043 | |||||||
Chrysler Capital Auto Receivables Trust 2016-B 2016-BA D† | 3.51% | 9/15/2023 | 132 | 133,951 | ||||||||
CPS Auto Receivables Trust 2016-C D† | 5.92% | 6/15/2022 | 100 | 102,103 | ||||||||
CPS Auto Receivables Trust 2017-C D† | 3.79% | 6/15/2023 | 200 | 203,193 | ||||||||
CPS Auto Receivables Trust 2019-A C† | 3.89% | 12/16/2024 | 100 | 102,618 | ||||||||
CPS Auto Receivables Trust 2019-D B† | 2.35% | 11/15/2023 | 267 | 266,564 | ||||||||
CPS Auto Receivables Trust 2019-D C† | 2.54% | 8/15/2024 | 267 | 266,316 | ||||||||
CPS Auto Trust 2017-A D† | 4.61% | 12/15/2022 | 250 | 255,909 |
See Notes to Financial Statements. | 275 |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Drive Auto Receivables Trust 2016-BA D† | 4.53% | 8/15/2023 | $ | 23 | $ | 23,061 | ||||||
Drive Auto Receivables Trust 2017-1 D | 3.84% | 3/15/2023 | 110 | 111,199 | ||||||||
Drive Auto Receivables Trust 2018-2 D | 4.14% | 8/15/2024 | 274 | 280,212 | ||||||||
Drive Auto Receivables Trust 2018-3 B | 3.37% | 9/15/2022 | 4 | 3,833 | ||||||||
Drive Auto Receivables Trust 2018-3 C | 3.72% | 9/16/2024 | 18 | 18,166 | ||||||||
Drive Auto Receivables Trust 2018-4 D | 4.09% | 1/15/2026 | 228 | 233,863 | ||||||||
Drive Auto Receivables Trust 2019-3 A2A | 2.63% | 9/15/2022 | 30 | 30,550 | ||||||||
Drive Auto Receivables Trust 2019-4 C | 2.51% | 11/17/2025 | 75 | 75,145 | ||||||||
Drive Auto Receivables Trust 2019-4 D | 2.70% | 2/16/2027 | 109 | 108,900 | ||||||||
Exeter Automobile Receivables Trust 2017-3A B† | 2.81% | 9/15/2022 | 33 | 32,786 | ||||||||
Exeter Automobile Receivables Trust 2017-3A C† | 3.68% | 7/17/2023 | 267 | 271,661 | ||||||||
Exeter Automobile Receivables Trust 2019-4A B† | 2.30% | 12/15/2023 | 265 | 264,558 | ||||||||
Fifth Third Auto Trust 2019-1 A2A | 2.66% | 5/16/2022 | 252 | 252,880 | ||||||||
Fifth Third Auto Trust 2019-1 A4 | 2.69% | 11/16/2026 | 11 | 11,219 | ||||||||
First Investors Auto Owner Trust 2017-3A A2† | 2.41% | 12/15/2022 | 10 | 9,585 | ||||||||
First Investors Auto Owner Trust 2018-2A A1† | 3.23% | 12/15/2022 | 91 | 91,690 | ||||||||
First Investors Auto Owner Trust 2019-2A A† | 2.21% | 9/16/2024 | 105 | 104,804 | ||||||||
First Investors Auto Owner Trust 2019-2A C† | 2.71% | 12/15/2025 | 104 | 104,127 | ||||||||
Flagship Credit Auto Trust 2016-2 B† | 3.84% | 9/15/2022 | 67 | 67,703 | ||||||||
Flagship Credit Auto Trust 2017-3 B† | 2.59% | 7/15/2022 | 10 | 10,013 | ||||||||
Flagship Credit Auto Trust 2017-4 A† | 2.07% | 4/15/2022 | 2 | 1,831 | ||||||||
Flagship Credit Auto Trust 2018-3 B† | 3.59% | 12/16/2024 | 35 | 35,632 | ||||||||
Flagship Credit Auto Trust 2019-1 B† | 3.39% | 1/16/2024 | 70 | 71,392 | ||||||||
Ford Credit Auto Owner Trust 2016-A C | 2.19% | 7/15/2022 | 50 | 50,000 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 A3† | 3.24% | 9/15/2022 | 97 | 97,357 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 B† | 3.53% | 4/17/2023 | 100 | 101,074 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 C† | 3.68% | 8/15/2023 | 100 | 101,608 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 E† | 5.56% | 1/16/2024 | 100 | 104,162 | ||||||||
GM Financial Automobile Leasing Trust 2019-2 A2A | 2.67% | 6/21/2021 | 34 | 33,718 | ||||||||
GM Financial Automobile Leasing Trust 2019-2 A3 | 2.67% | 3/21/2022 | 18 | 18,134 | ||||||||
GM Financial Consumer Automobile Receivables Trust 2019-1 A2 | 2.99% | 3/16/2022 | 28 | 28,539 |
276 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
GM Financial Consumer Automobile Receivables Trust 2019-1 B | 3.37% | 8/16/2024 | $ | 43 | $ | 44,436 | ||||||
Santander Drive Auto Receivables Trust 2016-1 D | 4.02% | 4/15/2022 | 65 | 65,528 | ||||||||
Santander Drive Auto Receivables Trust 2017-1 D | 3.17% | 4/17/2023 | 250 | 252,350 | ||||||||
Santander Drive Auto Receivables Trust 2017-2 C | 2.79% | 8/15/2022 | 5 | 5,250 | ||||||||
Santander Drive Auto Receivables Trust 2017-2 D | 3.49% | 7/17/2023 | 150 | 151,742 | ||||||||
Santander Drive Auto Receivables Trust 2018-1 D | 3.32% | 3/15/2024 | 310 | 313,855 | ||||||||
Santander Drive Auto Receivables Trust 2018-4 C | 3.56% | 7/15/2024 | 285 | 289,336 | ||||||||
TCF Auto Receivables Owner Trust 2016-1A D† | 3.50% | 7/17/2023 | 52 | 52,187 | ||||||||
TCF Auto Receivables Owner Trust 2016-PT1A B† | 2.92% | 10/17/2022 | 23 | 23,137 | ||||||||
TCF Auto Receivables Owner Trust 2016-PT1A D† | 4.20% | 4/15/2024 | 52 | 52,741 | ||||||||
Westlake Automobile Receivables Trust 2018-3A A2A† | 2.98% | 1/18/2022 | 41 | 41,269 | ||||||||
Westlake Automobile Receivables Trust 2018-3A B† | 3.32% | 10/16/2023 | 275 | 277,466 | ||||||||
Westlake Automobile Receivables Trust 2019-1A C† | 3.45% | 3/15/2024 | 200 | 202,775 | ||||||||
Westlake Automobile Receivables Trust 2019-2A A2A† | 2.57% | 2/15/2023 | 44 | 44,162 | ||||||||
Westlake Automobile Receivables Trust 2019-3A A2† | 2.15% | 2/15/2023 | 209 | 209,256 | ||||||||
Westlake Automobile Receivables Trust 2019-3A B† | 2.41% | 10/15/2024 | 104 | 104,141 | ||||||||
Westlake Automobile Receivables Trust 2019-3A C† | 2.49% | 10/15/2024 | 104 | 104,257 | ||||||||
Total | 8,851,233 | |||||||||||
Credit Cards 2.46% | ||||||||||||
American Express Credit Account Master Trust 2017-2 A | 2.215% (1 Mo. LIBOR + .45% | )# | 9/16/2024 | 71 | 71,172 | |||||||
Capital One Multi-Asset Execution Trust 2016-A7 | 2.275% (1 Mo. LIBOR + .51% | )# | 9/16/2024 | 71 | 71,258 | |||||||
Capital One Multi-Asset Execution Trust 2017-A1 | 2.00% | 1/17/2023 | 165 | 165,053 | ||||||||
Chase Issuance Trust 2014-A2 | 2.77% | 3/15/2023 | 10 | 10,124 | ||||||||
Continental Credit Card 2016-1A C† | 11.33% | 1/15/2025 | 100 | 103,549 | (a) | |||||||
Discover Card Execution Note Trust 2019-A3 A | 1.89% | 10/15/2024 | 285 | 285,334 | ||||||||
Master Credit Card Trust 2019-1A B† | 3.57% | 7/21/2022 | 100 | 101,153 | ||||||||
Perimeter Master Note Business Trust 2019-1A A† | 4.31% | 12/15/2022 | 100 | 100,565 | (a) | |||||||
Synchrony Credit Card Master Note Trust 2015-1 B | 2.64% | 3/15/2023 | 100 | 100,058 | ||||||||
World Financial Network Credit Card Master Trust 2016-A | 2.03% | 4/15/2025 | 48 | 48,003 | ||||||||
World Financial Network Credit Card Master Trust 2017-C M | 2.66% | 8/15/2024 | 48 | 48,102 | ||||||||
Total | 1,104,371 |
See Notes to Financial Statements. | 277 |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other 8.95% | ||||||||||||
Access Point Funding I LLC 2017-A† | 3.06% | 4/15/2029 | $ | 14 | $ | 13,679 | ||||||
Ammc Clo 19 Ltd. 2016-19A AR† | 3.141% (3 Mo. LIBOR + 1.14% | )# | 10/16/2028 | 250 | 249,860 | |||||||
Amur Equipment Finance Receivables VII LLC 2019-1A C† | 3.09% | 3/20/2025 | 100 | 100,740 | ||||||||
Apex Credit CLO Ltd. 2016-1A AS1R† | 3.236% (3 Mo. LIBOR + 1.30% | )# | 10/27/2028 | 100 | 100,053 | |||||||
Ascentium Equipment Receivables Trust 2017-1A A3† | 2.29% | 6/10/2021 | 1 | 965 | ||||||||
Benefit Street Partners CLO IV Ltd. 2014-IVA A1RR† | 3.216% (3 Mo. LIBOR + 1.25% | )# | 1/20/2029 | 250 | 250,008 | |||||||
Benefit Street Partners CLO XI 2017-11A A2A† | 3.751% (3 Mo. LIBOR + 1.75% | )# | 4/15/2029 | 250 | 247,372 | |||||||
Conn’s Receivables Funding LLC 2018-A† | 3.25% | 1/15/2023 | 19 | 19,331 | ||||||||
Diamond Resorts Owner Trust 2016-1 A† | 3.08% | 11/20/2028 | 18 | 18,375 | ||||||||
Diamond Resorts Owner Trust 2018-1 B† | 4.19% | 1/21/2031 | 54 | 54,911 | ||||||||
Elm CLO Ltd. 2014-1A ARR† | 3.172% (3 Mo. LIBOR + 1.17% | )# | 1/17/2029 | 250 | 249,822 | |||||||
Fairstone Financial Issuance Trust I 2019-1A B†(b) | 5.084% | 3/21/2033 | CAD | 150 | 113,816 | (a) | ||||||
Ford Credit Floorplan Master Owner Trust 2015-2 A1 | 1.98% | 1/15/2022 | 191 | 190,995 | ||||||||
Jamestown CLO IX Ltd. 2016-9A A2R† | 3.816% (3 Mo. LIBOR + 1.85% | )# | 10/20/2028 | 250 | 249,430 | |||||||
LCM XXII Ltd. 22A A1R† | 3.126% (3 Mo. LIBOR + 1.16% | )# | 10/20/2028 | 250 | 250,060 | |||||||
Massachusetts Educational Financing Authority 2008-1 A1 | 2.89% (3 Mo. LIBOR + .95% | )# | 4/25/2038 | 110 | 110,054 | |||||||
Mercedes-Benz Master Owner Trust 2018-BA A† | 2.105% (1 Mo. LIBOR + .34% | )# | 5/15/2023 | 100 | 100,033 | |||||||
Mountain Hawk III CLO Ltd. 2014-3A AR† | 3.203% (3 Mo. LIBOR + 1.20% | )# | 4/18/2025 | 104 | 103,699 | |||||||
OneMain Financial Issuance Trust 2016-1A A† | 3.66% | 2/20/2029 | 21 | 21,133 | ||||||||
OneMain Financial Issuance Trust 2019-1A B† | 3.79% | 2/14/2031 | 100 | 102,805 | ||||||||
Orange Lake Timeshare Trust 2015-AA A† | 2.88% | 9/8/2027 | 12 | 12,421 | ||||||||
Parallel Ltd. 2017-1A A1† | 3.276% (3 Mo. LIBOR+ 1.31% | )# | 7/20/2029 | 250 | 249,617 | |||||||
PFS Financing Corp. 2018-B A† | 2.89% | 2/15/2023 | 100 | 100,932 | ||||||||
SCF Equipment Leasing LLC 2017-2A A† | 3.41% | 12/20/2023 | 47 | 47,101 | ||||||||
SCF Equipment Leasing LLC 2018-1A A2† | 3.63% | 10/20/2024 | 56 | 57,179 | ||||||||
SCF Equipment Leasing LLC 2019-1A C† | 3.92% | 11/20/2026 | 100 | 102,833 | ||||||||
SCF Equipment Leasing LLC 2019-2A A1† | 2.22% | 6/20/2024 | 93 | 93,022 | ||||||||
SCF Equipment Leasing LLC 2019-2A B† | 2.76% | 8/20/2026 | 100 | 100,117 | ||||||||
SCF Equipment Leasing LLC 2019-2A C† | 3.11% | 6/21/2027 | 100 | 100,114 |
278 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Sierra Timeshare Receivables Funding LLC 2016-1A A† | 3.08% | 3/21/2033 | $ | 43 | $ | 43,585 | ||||||
SMB Private Education Loan Trust 2018-B A1† | 2.085% (1 Mo. LIBOR + .32% | )# | 12/16/2024 | 18 | 18,429 | |||||||
SoFi Professional Loan Program LLC 2017-E A2A† | 1.86% | 11/26/2040 | 149 | 148,518 | ||||||||
SoFi Professional Loan Program LLC 2017-F A1FX† | 2.05% | 1/25/2041 | 67 | 66,918 | ||||||||
TAL Advantage VI LLC 2017-1A A† | 4.50% | 4/20/2042 | 74 | 75,086 | ||||||||
Textainer Marine Containers VII Ltd. 2018-1A A† | 4.11% | 7/20/2043 | 181 | 182,539 | ||||||||
Towd Point Asset Trust 2018-SL1 A† | 2.308% (1 Mo. LIBOR + .60% | )# | 1/25/2046 | 65 | 64,498 | |||||||
Total | 4,010,050 | |||||||||||
Total Asset-Backed Securities (cost $13,933,855) | 13,965,654 | |||||||||||
CORPORATE BONDS 27.24% | ||||||||||||
Automotive 1.66% | ||||||||||||
Ford Motor Credit Co. LLC | 5.875% | 8/2/2021 | 200 | 209,417 | ||||||||
General Motors Financial Co., Inc. | 3.15% | 6/30/2022 | 90 | 91,550 | ||||||||
General Motors Financial Co., Inc. | 3.55% | 7/8/2022 | 46 | 47,233 | ||||||||
General Motors Financial Co., Inc. | 4.20% | 3/1/2021 | 40 | 40,853 | ||||||||
General Motors Financial Co., Inc. | 5.10% | 1/17/2024 | 153 | 165,423 | ||||||||
Hyundai Capital America | 2.952% (3 Mo. LIBOR + .82% | )# | 3/12/2021 | 90 | 90,207 | |||||||
Hyundai Capital America† | 3.45% | 3/12/2021 | 25 | 25,330 | ||||||||
Nissan Motor Acceptance Corp.† | 2.55% | 3/8/2021 | 75 | 75,178 | ||||||||
Total | 745,191 | |||||||||||
Banks: Regional 6.70% | ||||||||||||
Associated Bank NA | 3.50% | 8/13/2021 | 7 | 7,124 | ||||||||
Bank of America Corp. | 3.004% (3 Mo. LIBOR + .79% | )# | 12/20/2023 | 500 | 510,748 | |||||||
Barclays Bank plc (United Kingdom)†(c) | 10.179% | 6/12/2021 | 80 | 89,194 | ||||||||
Citibank NA | 2.499% (3 Mo. LIBOR + .60% | )# | 5/20/2022 | 250 | 250,878 | |||||||
Danske Bank A/S (Denmark)†(c) | 2.75% | 9/17/2020 | 200 | 200,861 | ||||||||
Danske Bank A/S (Denmark)†(c) | 5.00% | 1/12/2022 | 200 | 209,972 | ||||||||
Goldman Sachs Group, Inc. (The) | 2.908% (3 Mo. LIBOR + 1.05% | )# | 6/5/2023 | 425 | 431,372 | |||||||
Goldman Sachs Group, Inc. (The) | 3.046% (3 Mo. LIBOR + 1.11% | )# | 4/26/2022 | 75 | 75,818 | |||||||
Goldman Sachs Group, Inc. (The) | 5.75% | 1/24/2022 | 25 | 26,842 | ||||||||
HSBC USA, Inc. | 9.30% | 6/1/2021 | 27 | 29,641 | ||||||||
JPMorgan Chase & Co. | 3.875% | 9/10/2024 | 200 | 212,620 | ||||||||
Lloyds Bank plc (United Kingdom)†(c) | 6.50% | 9/14/2020 | 200 | 206,421 |
See Notes to Financial Statements. | 279 |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Macquarie Bank Ltd. (Australia)†(c) | 6.625% | 4/7/2021 | $ | 40 | $ | 42,263 | ||||||
Morgan Stanley | 2.72% (SOFR + 1.15% | )# | 7/22/2025 | 211 | 213,602 | |||||||
Morgan Stanley | 2.883% (3 Mo. LIBOR + .93% | )# | 7/22/2022 | 150 | 151,397 | |||||||
Morgan Stanley | 4.875% | 11/1/2022 | 29 | 31,094 | ||||||||
Toronto-Dominion Bank (The) (Canada)(c) | 2.437% (3 Mo. LIBOR + .53 | )# | 12/1/2022 | 33 | 33,106 | |||||||
UBS AG | 7.625% | 8/17/2022 | 250 | 282,151 | ||||||||
Total | 3,005,104 | |||||||||||
Beverages 0.01% | ||||||||||||
Keurig Dr Pepper, Inc. | 3.20% | 11/15/2021 | 6 | 6,092 | ||||||||
Building Materials 0.19% | ||||||||||||
Holcim US Finance Sarl & Cie SCS (Luxembourg)†(c) | 6.00% | 12/30/2019 | 6 | 6,016 | ||||||||
Johnson Controls International plc | 5.00% | 3/30/2020 | 5 | 5,048 | ||||||||
Martin Marietta Materials, Inc. | 2.549% (3 Mo. LIBOR + .65% | )# | 5/22/2020 | 38 | 38,054 | |||||||
Vulcan Materials Co. | 2.557% (3 Mo. LIBOR + .65% | )# | 3/1/2021 | 21 | 21,062 | |||||||
Vulcan Materials Co. | 2.719% (3 Mo. LIBOR + .60% | )# | 6/15/2020 | 17 | 17,025 | |||||||
Total | 87,205 | |||||||||||
Business Services 0.03% | ||||||||||||
Equifax, Inc. | 2.78% (3 Mo. LIBOR + .87% | )# | 8/15/2021 | 10 | 10,032 | |||||||
IHS Markit Ltd. (United Kingdom)(c) | 3.625% | 5/1/2024 | 5 | 5,219 | ||||||||
Total | 15,251 | |||||||||||
Chemicals 0.01% | ||||||||||||
Celanese US Holdings LLC | 5.875% | 6/15/2021 | 4 | 4,207 | ||||||||
Computer Hardware 0.76% | ||||||||||||
Dell International LLC/EMC Corp.† | 5.45% | 6/15/2023 | 252 | 273,367 | ||||||||
Hewlett Packard Enterprise Co. | 2.763% (3 Mo. LIBOR + .72% | )# | 10/5/2021 | 25 | 25,004 | |||||||
Hewlett Packard Enterprise Co. | 2.807% (3 Mo. LIBOR + .68% | )# | 3/12/2021 | 44 | 44,188 | |||||||
Total | 342,559 | |||||||||||
Construction/Homebuilding 0.07% | ||||||||||||
D.R. Horton, Inc. | 2.50% | 10/15/2024 | 31 | 31,014 | ||||||||
Drugs 1.12% | ||||||||||||
AstraZeneca plc (United Kingdom)(c) | 2.569% (3 Mo. LIBOR + .67% | )# | 8/17/2023 | 40 | 40,082 | |||||||
AstraZeneca plc (United Kingdom)(c) | 2.754% (3 Mo. LIBOR + .62% | )# | 6/10/2022 | 60 | 60,220 |
280 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Drugs (continued) | ||||||||||||
Bayer US Finance II LLC† | 2.75% | 7/15/2021 | $ | 4 | $ | 4,017 | ||||||
Bayer US Finance II LLC† | 3.875% | 12/15/2023 | 200 | 209,909 | ||||||||
Cardinal Health, Inc. | 2.889% (3 Mo. LIBOR+ .77% | )# | 6/15/2022 | 42 | 42,127 | |||||||
Cardinal Health, Inc. | 3.50% | 11/15/2024 | 33 | 34,383 | ||||||||
Express Scripts Holding Co. | 2.664% (3 Mo. LIBOR + .75% | )# | 11/30/2020 | 43 | 43,006 | |||||||
Zoetis, Inc. | 2.339% (3 Mo. LIBOR + .44% | )# | 8/20/2021 | 68 | 68,087 | |||||||
Total | 501,831 | |||||||||||
Electric: Power 1.48% | ||||||||||||
Ausgrid Finance Pty Ltd. (Australia)†(c) | 3.85% | 5/1/2023 | 56 | 58,279 | ||||||||
Dominion Energy, Inc. | 2.715% | 8/15/2021 | 8 | 8,053 | ||||||||
Dominion Energy, Inc. | 3.071% | 8/15/2024 | 21 | 21,533 | ||||||||
Dominion Energy, Inc. | 4.104% | 4/1/2021 | 5 | 5,118 | ||||||||
Duquesne Light Holdings, Inc.† | 6.40% | 9/15/2020 | 37 | 38,123 | ||||||||
Entergy Corp. | 5.125% | 9/15/2020 | 75 | 76,191 | ||||||||
Evergy, Inc. | 2.45% | 9/15/2024 | 13 | 13,021 | ||||||||
Florida Power & Light Co. | 2.308% (3 Mo. LIBOR + .40% | )# | 5/6/2022 | 30 | 30,001 | |||||||
Georgia Power Co. | 2.20% | 9/15/2024 | 26 | 25,888 | ||||||||
Jersey Central Power & Light Co.† | 4.70% | 4/1/2024 | 36 | 39,166 | ||||||||
PNM Resources, Inc. | 3.25% | 3/9/2021 | 10 | 10,126 | ||||||||
PPL WEM Ltd./Western Power Distribution Ltd. (United Kingdom)†(c) | 5.375% | 5/1/2021 | 27 | 27,850 | ||||||||
Puget Energy, Inc. | 5.625% | 7/15/2022 | 70 | 74,883 | ||||||||
Puget Energy, Inc. | 6.50% | 12/15/2020 | 137 | 143,138 | ||||||||
San Diego Gas & Electric Co. | 1.914% | 2/1/2022 | 13 | 12,291 | ||||||||
SCANA Corp. | 4.125% | 2/1/2022 | 1 | 1,025 | ||||||||
SCANA Corp. | 4.75% | 5/15/2021 | 13 | 13,301 | ||||||||
SCANA Corp. | 6.25% | 4/1/2020 | 13 | 13,133 | ||||||||
Sempra Energy | 2.501% (3 Mo. LIBOR + .50% | )# | 1/15/2021 | 20 | 20,001 | |||||||
TransAlta Corp. (Canada)(c) | 4.50% | 11/15/2022 | 2 | 2,063 | ||||||||
Vistra Operations Co. LLC† | 3.55% | 7/15/2024 | 30 | 30,291 | ||||||||
Total | 663,475 | |||||||||||
Electrical Equipment 0.82% | ||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 2.65% | 1/15/2023 | 24 | 24,040 | ||||||||
Broadcom, Inc.† | 3.125% | 10/15/2022 | 26 | 26,446 | ||||||||
Broadcom, Inc.† | 3.625% | 10/15/2024 | 274 | 281,819 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(c) | 4.875% | 3/1/2024 | 20 | 21,730 | ||||||||
QUALCOMM, Inc. | 2.449% (3 Mo. LIBOR + .55% | )# | 5/20/2020 | 13 | 13,017 | |||||||
Total | 367,052 |
See Notes to Financial Statements. | 281 |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electronics 0.01% | ||||||||||||
Trimble, Inc. | 4.15% | 6/15/2023 | $ | 5 | $ | 5,257 | ||||||
Financial Services 2.66% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(c) | 3.50% | 5/26/2022 | 200 | 205,533 | ||||||||
Aircastle Ltd. | 4.40% | 9/25/2023 | 232 | 246,053 | ||||||||
Aircastle Ltd. | 5.00% | 4/1/2023 | 40 | 42,913 | ||||||||
Aircastle Ltd. | 5.50% | 2/15/2022 | 5 | 5,319 | ||||||||
Aircastle Ltd. | 7.625% | 4/15/2020 | 4 | 4,078 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(c) | 5.125% | 10/1/2023 | 260 | 280,232 | ||||||||
E*TRADE Financial Corp. | 2.95% | 8/24/2022 | 5 | 5,069 | ||||||||
International Lease Finance Corp. | 8.25% | 12/15/2020 | 61 | 64,771 | ||||||||
International Lease Finance Corp. | 8.625% | 1/15/2022 | 16 | 18,056 | ||||||||
Jefferies Financial Group, Inc. | 5.50% | 10/18/2023 | 220 | 240,167 | ||||||||
Jefferies Group LLC | 6.875% | 4/15/2021 | 30 | 31,744 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(c) | 4.50% | 3/15/2023 | 46 | 48,305 | ||||||||
Total | 1,192,240 | |||||||||||
Food 0.27% | ||||||||||||
Conagra Brands, Inc. | 2.703% (3 Mo. LIBOR + .75% | )# | 10/22/2020 | 25 | 25,003 | |||||||
Kraft Heinz Foods Co. | 2.471% (3 Mo. LIBOR + .57% | )# | 2/10/2021 | 21 | 21,019 | |||||||
Smithfield Foods, Inc.† | 2.65% | 10/3/2021 | 76 | 75,486 | ||||||||
Total | 121,508 | |||||||||||
Health Care Products 0.03% | ||||||||||||
Becton Dickinson & Co. | 2.979% (3 Mo. LIBOR + .88% | )# | 12/29/2020 | 11 | 11,007 | |||||||
Health Care Services 0.22% | ||||||||||||
CommonSpirit Health | 2.76% | 10/1/2024 | 11 | 11,119 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 4.75% | 10/15/2024 | 5 | 5,405 | ||||||||
HCA, Inc. | 5.00% | 3/15/2024 | 75 | 81,512 | ||||||||
Total | 98,036 | |||||||||||
Household Equipment/Products 0.13% | ||||||||||||
Newell Brands, Inc. | 3.85% | 4/1/2023 | 55 | 56,763 | ||||||||
Insurance 0.18% | ||||||||||||
Lincoln National Corp. | 4.20% | 3/15/2022 | 75 | 78,382 | ||||||||
Leasing 0.60% | ||||||||||||
Penske Truck Leasing Co., LP/PTL Finance Corp.† | 3.45% | 7/1/2024 | 28 | 29,067 | ||||||||
Penske Truck Leasing Co., LP/PTL Finance Corp.† | 3.90% | 2/1/2024 | 226 | 237,981 | ||||||||
Total | 267,048 |
282 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Leisure 0.28% | ||||||||||||
Royal Caribbean Cruises Ltd. | 5.25% | 11/15/2022 | $ | 115 | $ | 124,677 | ||||||
Lodging 0.34% | ||||||||||||
Las Vegas Sands Corp. | 3.20% | 8/8/2024 | 150 | 152,808 | ||||||||
Machinery: Agricultural 0.76% | ||||||||||||
BAT Capital Corp. | 2.789% | 9/6/2024 | 22 | 22,032 | ||||||||
BAT Capital Corp. | 3.222% | 8/15/2024 | 238 | 242,371 | ||||||||
Philip Morris International, Inc. | 3.25% | 11/10/2024 | 39 | 40,927 | ||||||||
Reynolds American, Inc. | 4.85% | 9/15/2023 | 34 | 36,794 | ||||||||
Total | 342,124 | |||||||||||
Machinery: Industrial/Specialty 0.38% | ||||||||||||
CNH Industrial Capital LLC | 4.875% | 4/1/2021 | 2 | 2,070 | ||||||||
CNH Industrial NV (United Kingdom)(c) | 4.50% | 8/15/2023 | 150 | 159,556 | ||||||||
Westinghouse Air Brake Technologies Corp. | 4.40% | 3/15/2024 | 10 | 10,612 | ||||||||
Total | 172,238 | |||||||||||
Manufacturing 0.30% | ||||||||||||
General Electric Co. | 2.801% (3 Mo. LIBOR + .80% | )# | 4/15/2020 | 35 | 35,050 | |||||||
General Electric Co. | 3.10% | 1/9/2023 | 1 | 1,022 | ||||||||
General Electric Co. | 3.45% | 5/15/2024 | 53 | 54,887 | ||||||||
Pentair Finance Sarl (Luxembourg)(c) | 3.15% | 9/15/2022 | 45 | 45,280 | ||||||||
Total | 136,239 | |||||||||||
Media 0.71% | ||||||||||||
Cox Communications, Inc.† | 2.95% | 6/30/2023 | 195 | 198,602 | ||||||||
Cox Communications, Inc.† | 3.15% | 8/15/2024 | 15 | 15,463 | ||||||||
NBCUniversal Enterprise, Inc.† | 5.25% | – | (d) | 100 | 103,035 | |||||||
Total | 317,100 | |||||||||||
Metals & Minerals: Miscellaneous 0.91% | ||||||||||||
Anglo American Capital plc (United Kingdom)†(c) | 3.75% | 4/10/2022 | 200 | 205,621 | ||||||||
Glencore Funding LLC† | 4.125% | 5/30/2023 | 46 | 48,046 | ||||||||
Glencore Funding LLC† | 4.625% | 4/29/2024 | 135 | 144,425 | ||||||||
Southern Copper Corp. (Peru)(c) | 5.375% | 4/16/2020 | 9 | 9,089 | ||||||||
Total | 407,181 | |||||||||||
Natural Gas 0.06% | ||||||||||||
WGL Holdings, Inc. | 2.682% (3 Mo. LIBOR + .55% | )# | 3/12/2020 | 25 | 24,984 |
See Notes to Financial Statements. | 283 |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil 1.60% | ||||||||||||
Concho Resources, Inc. | 4.375% | 1/15/2025 | $ | 17 | $ | 17,577 | ||||||
Continental Resources, Inc. | 4.50% | 4/15/2023 | 15 | 15,642 | ||||||||
Continental Resources, Inc. | 5.00% | 9/15/2022 | 159 | 159,963 | ||||||||
Motiva Enterprises LLC† | 5.75% | 1/15/2020 | 49 | 49,189 | ||||||||
Occidental Petroleum Corp. | 2.70% | 8/15/2022 | 12 | 12,101 | ||||||||
Occidental Petroleum Corp. | 2.90% | 8/15/2024 | 65 | 65,430 | ||||||||
Occidental Petroleum Corp. | 3.36% (3 Mo. LIBOR + 1.45% | )# | 8/15/2022 | 45 | 45,273 | |||||||
Phillips 66 | 2.517% (3 Mo. LIBOR + .60% | )# | 2/26/2021 | 100 | 100,001 | |||||||
Saudi Arabian Oil Co. (Saudi Arabia)†(c) | 2.75% | 4/16/2022 | 200 | 201,825 | ||||||||
Suncor Energy Ventures Corp. (Canada)†(c) | 9.40% | 9/1/2021 | 25 | 27,636 | ||||||||
Woodside Finance Ltd. (Australia)†(c) | 4.60% | 5/10/2021 | 20 | 20,507 | ||||||||
Total | 715,144 | |||||||||||
Oil: Crude Producers 2.42% | ||||||||||||
Cheniere Corpus Christi Holdings LLC | 5.875% | 3/31/2025 | 39 | 43,688 | ||||||||
Colonial Pipeline Co.† | 3.50% | 10/15/2020 | 15 | 15,122 | ||||||||
Energy Transfer Operating LP | 5.875% | 1/15/2024 | 200 | 220,388 | ||||||||
Energy Transfer Operating LP | 7.60% | 2/1/2024 | 25 | 28,897 | ||||||||
Energy Transfer Partners LP/Regency Energy Finance Corp. | 5.00% | 10/1/2022 | 45 | 47,660 | ||||||||
Midwest Connector Capital Co. LLC† | 3.625% | 4/1/2022 | 11 | 11,281 | ||||||||
Mplx LP | 3.202% (3 Mo. LIBOR + 1.10% | )# | 9/9/2022 | 66 | 66,241 | |||||||
MPLX LP† | 3.50% | 12/1/2022 | 50 | 51,211 | ||||||||
Mplx LP† | 5.25% | 1/15/2025 | 75 | 78,753 | ||||||||
Mplx LP† | 6.25% | 10/15/2022 | 52 | 52,868 | ||||||||
Sabine Pass Liquefaction LLC | 5.625% | 4/15/2023 | 350 | 380,313 | ||||||||
Spectra Energy Partners LP | 4.60% | 6/15/2021 | 20 | 20,584 | ||||||||
Sunoco Logistics Partners Operations LP | 4.40% | 4/1/2021 | 5 | 5,116 | ||||||||
Texas Eastern Transmission LP† | 2.80% | 10/15/2022 | 50 | 50,410 | ||||||||
Texas Eastern Transmission LP† | 4.125% | 12/1/2020 | 10 | 10,135 | ||||||||
Williams Cos., Inc. (The) | 7.875% | 9/1/2021 | 1 | 1,093 | ||||||||
Total | 1,083,760 | |||||||||||
Oil: Integrated Domestic 0.40% | ||||||||||||
National Oilwell Varco, Inc. | 2.60% | 12/1/2022 | 16 | 16,171 | ||||||||
Schlumberger Holdings Corp.† | 3.75% | 5/1/2024 | 155 | 163,261 | ||||||||
Total | 179,432 |
284 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Real Estate Investment Trusts 1.34% | ||||||||||||
Brixmor Operating Partnership LP | 2.959% (3 Mo. LIBOR + 1.05% | )# | 2/1/2022 | $ | 25 | $ | 24,987 | |||||
Equinix, Inc. | 5.875% | 1/15/2026 | 206 | 218,838 | ||||||||
Healthcare Realty Trust, Inc. | 3.75% | 4/15/2023 | 15 | 15,449 | ||||||||
Healthcare Trust of America Holdings LP | 3.70% | 4/15/2023 | 50 | 51,882 | ||||||||
Highwoods Realty LP | 3.625% | 1/15/2023 | 38 | 39,314 | ||||||||
SL Green Operating Partnership LP | 3.25% | 10/15/2022 | 19 | 19,412 | ||||||||
Vereit Operating Partnership LP | 4.60% | 2/6/2024 | 214 | 230,561 | ||||||||
Total | 600,443 | |||||||||||
Retail 0.15% | ||||||||||||
Dollar Tree, Inc. | 2.702% (3 Mo. LIBOR + .70% | )# | 4/17/2020 | 68 | 68,008 | |||||||
Telecommunications 0.55% | ||||||||||||
AT&T, Inc. | 3.312% (3 Mo. LIBOR + 1.18% | )# | 6/12/2024 | 244 | 248,291 | |||||||
Transportation: Miscellaneous 0.09% | ||||||||||||
Canadian Pacific Railway Co. (Canada)(c) | 9.45% | 8/1/2021 | 35 | 39,059 | ||||||||
Total Corporate Bonds (cost $12,103,153) | 12,210,710 | |||||||||||
FLOATING RATE LOAN(e)0.01% | ||||||||||||
Investment Management Companies | ||||||||||||
RPI Finance Trust Term Loan A4 (cost $3,525) | 3.202% (1 Mo. LIBOR + 1.50% | ) | 5/4/2022 | 4 | 3,482 | |||||||
FOREIGN GOVERNMENT OBLIGATION 0.52% | ||||||||||||
Japan | ||||||||||||
Japan Bank for International Corp.(c) (cost $227,396) | 2.50% | 5/23/2024 | 228 | 233,137 | ||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 0.24% | ||||||||||||
Financial: Miscellaneous | ||||||||||||
Federal Home Loan Mortgage Corp. 2013-K712 B† | 3.281% | #(f) | 5/25/2045 | 8 | 7,578 | |||||||
Federal Home Loan Mortgage Corp. 2013-K713 B† | 3.259% | #(f) | 4/25/2046 | 20 | 20,010 | |||||||
Government National Mortgage Assoc. 2014-112 A | 3.00% | #(f) | 1/16/2048 | 16 | 16,234 | |||||||
Government National Mortgage Assoc. 2017-100 AS | 2.75% | 2/16/2058 | 6 | 5,812 | ||||||||
Government National Mortgage Assoc. 2017-168 AS | 2.70% | 8/16/2058 | 20 | 20,571 | ||||||||
Government National Mortgage Assoc. 2017-69 AS | 2.75% | 2/16/2058 | 14 | 14,455 | ||||||||
Government National Mortgage Assoc. 2017-71 AS | 2.70% | 4/16/2057 | 14 | 14,280 | ||||||||
See Notes to Financial Statements. | 285 |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Financial: Miscellaneous (continued) | ||||||||||||
Government National Mortgage Assoc. 2017-86 AS | 2.75% | 2/16/2058 | $ | 6 | $ | 5,819 | ||||||
Government National Mortgage Assoc. 2017-89 AB | 2.60% | 7/16/2058 | 5 | 4,843 | ||||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $108,142) | 109,602 | |||||||||||
MUNICIPAL BOND 0.02% | ||||||||||||
Miscellaneous | ||||||||||||
State of Illinois (cost $9,783) | 4.95% | 6/1/2023 | 10 | 10,039 | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 20.30% | ||||||||||||
Atrium Hotel Portfolio Trust 2017-ATRM A† | 2.695% (1 Mo. LIBOR + .93% | )# | 12/15/2036 | 350 | 349,804 | |||||||
BAMLL Commercial Mortgage Securities Trust 2013-WBRK A† | 3.652% | #(f) | 3/10/2037 | 230 | 239,834 | |||||||
Bancorp Commercial Mortgage Trust (The) 2018-CR3 A† | 2.615% (1 Mo. LIBOR + .85% | )# | 1/15/2033 | 6 | 6,071 | |||||||
Bancorp Commercial Mortgage Trust 2019-CRE6 A† | 2.971% (1 Mo. LIBOR + 1.05% | )# | 9/15/2036 | 379 | 379,385 | |||||||
BB-UBS Trust 2012-SHOW A† | 3.43% | 11/5/2036 | 300 | 313,879 | ||||||||
BBCMS Trust 2015-STP A† | 3.323% | 9/10/2028 | 55 | 55,246 | ||||||||
BDS 2018-FL2 A† | 2.713% (1 Mo. LIBOR+ .95% | )# | 8/15/2035 | 345 | 346,009 | |||||||
BX Commercial Mortgage Trust 2018-BIOA A† | 2.436% (1 Mo. LIBOR + .67% | )# | 3/15/2037 | 45 | 44,938 | |||||||
BX Commercial Mortgage Trust 2019-XL A† | 2.685% (1 Mo. LIBOR + .92% | )# | 10/15/2036 | 200 | 200,439 | |||||||
BX Commercial Mortgage Trust 2019-XL B† | 2.845% (1 Mo. LIBOR + 1.08% | )# | 10/15/2036 | 100 | 100,188 | |||||||
BX Commercial Mortgage Trust 2019-XL C† | 3.015% (1 Mo. LIBOR + 1.25% | )# | 10/15/2036 | 100 | 100,160 | |||||||
BX Commercial Mortgage Trust 2019-XL D† | 3.215% (1 Mo. LIBOR + 1.45% | )# | 10/15/2036 | 100 | 100,194 | |||||||
BX Commercial Mortgage Trust 2019-XL E† | 3.565% (1 Mo. LIBOR + 1.80% | )# | 10/15/2036 | 100 | 100,230 | |||||||
BX Commercial Mortgage Trust 2019-XL F† | 3.765% (1 Mo. LIBOR + 2.00% | )# | 10/15/2036 | 100 | 100,264 | |||||||
BX Trust 2017-APPL D† | 3.815% (1 Mo. LIBOR + 2.05% | )# | 7/15/2034 | 13 | 12,774 | |||||||
BX Trust 2017-SLCT C† | 3.165% (1 Mo. LIBOR + 1.40% | )# | 7/15/2034 | 20 | 19,764 | |||||||
BX Trust 2017-SLCT D† | 3.815% (1 Mo. LIBOR + 2.05% | )# | 7/15/2034 | 13 | 12,758 | |||||||
BX Trust 2018-GW A† | 2.565% (1 Mo. LIBOR + .80% | )# | 5/15/2035 | 24 | 23,946 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI A† | 3.531% | 10/15/2034 | 195 | 202,495 |
286 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUNDNovember 30, 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 | $ | 80,016 | ||||||
Caesars Palace Las Vegas Trust 2017-VICI C† | 4.138% | 10/15/2034 | 50 | 52,220 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI D† | 4.499% | #(f) | 10/15/2034 | 95 | 99,410 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI D IO† | 0.538% | #(f) | 10/15/2034 | 1,000 | 11,192 | |||||||
CFCRE Commercial Mortgage Trust 2018-TAN A† | 4.236% | 2/15/2033 | 78 | 82,671 | ||||||||
CHT Mortgage Trust 2017-CSMO C† | 3.265% (1 Mo. LIBOR + 1.50% | )# | 11/15/2036 | 300 | 300,618 | |||||||
Citigroup Commercial Mortgage Trust 2012-GC8 A4 | 3.024% | 9/10/2045 | 137 | 139,797 | ||||||||
Citigroup Commercial Mortgage Trust 2015-GC27 AAB | 2.944% | 2/10/2048 | 10 | 10,194 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-CR8 A5 | 3.612% | #(f) | 6/10/2046 | 124 | 129,792 | |||||||
Commercial Mortgage Pass-Through Certificates 2013-CR9 A4 | 4.373% | #(f) | 7/10/2045 | 96 | 102,239 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-277P A† | 3.732% | #(f) | 8/10/2049 | 100 | 106,180 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-LC15 A4 | 4.006% | 4/10/2047 | 75 | 80,119 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-UBS3 A4 | 3.819% | 6/10/2047 | 107 | 113,632 | ||||||||
Commercial Mortgage Pass-Through Certificates 2016-GCT B† | 3.086% | 8/10/2029 | 214 | 215,177 | ||||||||
Credit Suisse Mortgage Capital Certificates 2017-LSTK A† | 2.761% | 4/5/2033 | 241 | 241,825 | ||||||||
Great Wolf Trust 2017-WOLF D† | 3.865% (1 Mo. LIBOR + 2.10% | )# | 9/15/2034 | 20 | 20,019 | |||||||
GS Mortgage Securities Corp. II 2012-TMSQ A† | 3.007% | 12/10/2030 | 100 | 102,143 | ||||||||
GS Mortgage Securities Corp. Trust 2019-70P XCP IO† | 0.506% | #(f) | 10/15/2036 | 21,863 | 144,267 | |||||||
GS Mortgage Securities Corp. Trust 2019-BOCA A† | 2.965% (1 Mo. LIBOR + 1.20% | )# | 6/15/2038 | 100 | 100,197 | |||||||
GS Mortgage Securities Corp. Trust 2019-BOCA B† | 3.265% (1 Mo. LIBOR + 1.50% | )# | 6/15/2038 | 100 | 100,199 | |||||||
GS Mortgage Securities Corp. Trust 2019-SMP A† | 2.915% (1 Mo. LIBOR + 1.15% | )# | 8/15/2032 | 385 | 385,475 | |||||||
GS Mortgage Securities Corp. Trust 2019-SMP B† | 3.265% (1 Mo. LIBOR + 1.50% | )# | 8/15/2032 | 185 | 185,582 | |||||||
GS Mortgage Securities Corp. Trust 2019-SMP XCP IO† | 0.587% | #(f) | 8/15/2032 | 10,131 | 74,612 |
See Notes to Financial Statements. | 287 |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Hilton Orlando Trust 2018-ORL A† | 2.535% (1 Mo. LIBOR + .77% | )# | 12/15/2034 | $ | 28 | $ | 28,028 | |||||
HMH Trust 2017-NSS C† | 3.787% | 7/5/2031 | 28 | 28,312 | ||||||||
Hudsons Bay Simon JV Trust 2015-HB7 A7† | 3.914% | 8/5/2034 | 100 | 102,111 | ||||||||
JPMBB Commercial Mortgage Securities Trust 2014-C26 A4 | 3.494% | 1/15/2048 | 75 | 79,112 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Corp. 2018-AON A† | 4.128% | 7/5/2031 | 135 | 143,727 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Corp. 2018-AON D† | 4.767% | #(f) | 7/5/2031 | 46 | 48,553 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C14 A4 | 4.133% | #(f) | 8/15/2046 | 10 | 10,658 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C22 A4 | 3.801% | 9/15/2047 | 100 | 106,591 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-UES B† | 3.387% | 9/5/2032 | 225 | 225,914 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI A† | 2.798% | 10/5/2031 | 66 | 66,558 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI C† | 3.554% | 10/5/2031 | 239 | 241,705 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI D† | 4.143% | #(f) | 10/5/2031 | 24 | 24,415 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-FL11 D† | 3.905% (1 Mo. LIBOR + 2.14% | )# | 10/15/2032 | 34 | 34,050 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ A† | 2.765% (1 Mo. LIBOR + 1.00% | )# | 6/15/2032 | 26 | 25,867 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ B† | 3.065% (1 Mo. LIBOR + 1.30% | )# | 6/15/2032 | 9 | 9,239 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ C† | 3.365% (1 Mo. LIBOR + 1.60% | )# | 6/15/2032 | 9 | 9,245 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ D† | 3.865% (1 Mo. LIBOR + 2.10% | )# | 6/15/2032 | 13 | 12,978 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN† | 2.934% (1 Mo. LIBOR + 1.27% | )# | 11/15/2035 | 12 | 12,024 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN B† | 3.264% (1 Mo. LIBOR + 1.60% | )# | 11/15/2035 | 12 | 12,024 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN C† | 3.614% (1 Mo. LIBOR + 1.95% | )# | 11/15/2035 | 12 | 12,023 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN D† | 3.914% (1 Mo. LIBOR + 2.25% | )# | 11/15/2035 | 12 | 12,023 |
288 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUNDNovember 30, 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 AFL† | 2.724% (1 Mo. LIBOR + .95% | )# | 7/5/2033 | $ | 10 | $ | 9,984 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT AFX† | 4.248% | 7/5/2033 | 19 | 20,273 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT CFL† | 3.424% (1 Mo. LIBOR + 1.65% | )# | 7/5/2033 | 12 | 11,982 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-CKSV A2† | 3.277% | 10/15/2030 | 100 | 101,094 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14 A5 | 4.064% | 2/15/2047 | 40 | 42,740 | ||||||||
Morgan Stanley Capital Barclays Bank Trust 2016-MART A† | 2.20% | 9/13/2031 | 95 | 94,912 | ||||||||
Morgan Stanley Capital I Trust 2011-C2 A4† | 4.661% | 6/15/2044 | 100 | 102,508 | ||||||||
Morgan Stanley Capital I Trust 2012-C4 AS | 3.773% | 3/15/2045 | 25 | 25,719 | ||||||||
Motel 6 Trust 2017-MTL6 C† | 3.165% (1 Mo. LIBOR + 1.40% | )# | 8/15/2034 | 8 | 8,060 | |||||||
Motel 6 Trust 2017-MTL6 D† | 3.915% (1 Mo. LIBOR + 2.15% | )# | 8/15/2034 | 18 | 17,755 | |||||||
MSCG Trust 2015-ALDR A1† | 2.612% | 6/7/2035 | 43 | 43,339 | ||||||||
MSCG Trust 2016-SNR A† | 3.46% | #(f) | 11/15/2034 | 2 | 2,138 | |||||||
ReadyCap Commercial Mortgage Trust 2018-4 A† | 3.39% | 2/27/2051 | 25 | 25,537 | ||||||||
RETL 2019-RVP C† | 3.865% (1 Mo. LIBOR + 2.10% | )# | 3/15/2036 | 50 | 50,251 | |||||||
Shelter Growth CRE Issuer Ltd. 2018-FL1 A† | 2.765% (1 Mo. LIBOR + 1.00% | )# | 1/15/2035 | 20 | 19,830 | |||||||
SLIDE 2018-FUN A† | 2.665% (1 Mo. LIBOR + .90% | )# | 6/15/2031 | 10 | 9,689 | |||||||
SLIDE 2018-FUN B† | 3.015% (1 Mo. LIBOR + 1.25% | )# | 6/15/2031 | 10 | 9,692 | |||||||
SLIDE 2018-FUN C† | 3.315% (1 Mo. LIBOR + 1.55% | )# | 6/15/2031 | 10 | 9,699 | |||||||
Stonemont Portfolio Trust 2017-MONT D† | 3.774% (1 Mo. LIBOR + 2.05% | )# | 8/20/2030 | 17 | 17,451 | |||||||
UBS-BAMLL Trust 2012-WRM A† | 3.663% | 6/10/2030 | 100 | 102,634 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2012-C2 A4 | 3.525% | 5/10/2063 | 45 | 46,746 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2012-C3 A4 | 3.091% | 8/10/2049 | 41 | 42,104 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2012-C4 A5 | 2.85% | 12/10/2045 | 50 | 50,877 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2013 C6 A4 | 3.244% | 4/10/2046 | 82 | 84,501 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2013-C5 A4 | 3.185% | 3/10/2046 | 20 | 20,546 | ||||||||
UBS-Citigroup Commercial Mortgage Trust 2011-C1 A3 | 3.595% | 1/10/2045 | 9 | 9,148 |
See Notes to Financial Statements. | 289 |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
VMC Finance LLC 2019-FL3 A† | 2.863% (1 Mo. LIBOR + 1.10% | )# | 9/15/2036 | $ | 399 | $ | 399,578 | |||||
VNDO Mortgage Trust 2012-6AVE C† | 3.448% | #(f) | 11/15/2030 | 309 | 315,634 | |||||||
Wells Fargo Commercial Mortgage Trust 2014 LC16 A4 | 3.548% | 8/15/2050 | 22 | 23,078 | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-C26 ASB | 2.991% | 2/15/2048 | 10 | 10,226 | ||||||||
Wells Fargo Commercial Mortgage Trust 2017-RC1 A2 | 3.118% | 1/15/2060 | 115 | 116,947 | ||||||||
Wells Fargo Commercial Mortgage Trust 2018-C48 A2 | 4.224% | 1/15/2052 | 25 | 26,781 | ||||||||
West Town Mall Trust 2017-KNOX C† | 4.491% | #(f) | 7/5/2030 | 15 | 15,367 | |||||||
West Town Mall Trust 2017-KNOX D† | 4.491% | #(f) | 7/5/2030 | 15 | 15,258 | |||||||
WF-RBS Commercial Mortgage Trust 2011-C2 A4† | 4.869% | #(f) | 2/15/2044 | 37 | 38,162 | |||||||
WF-RBS Commercial Mortgage Trust 2012-C10 A3 | 2.875% | 12/15/2045 | 10 | 10,185 | ||||||||
WF-RBS Commercial Mortgage Trust 2012-C7 B | 4.903% | #(f) | 6/15/2045 | 25 | 26,068 | |||||||
WF-RBS Commercial Mortgage Trust 2012-C9 A3 | 2.87% | 11/15/2045 | 22 | 22,199 | ||||||||
WF-RBS Commercial Mortgage Trust 2013-C18 A4 | 3.896% | 12/15/2046 | 24 | 25,510 | ||||||||
WF-RBS Commercial Mortgage Trust 2014-C19 A5 | 4.101% | 3/15/2047 | 87 | 93,341 | ||||||||
WF-RBS Commercial Mortgage Trust 2014-C22 A4 | 3.995% | 5/15/2047 | 140 | 149,861 | ||||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $9,002,134) | 9,098,515 | |||||||||||
U.S. TREASURY OBLIGATIONS 16.98% | ||||||||||||
U.S. Treasury Inflation Indexed Note(g) | 0.625% | 4/15/2023 | 801 | 808,852 | ||||||||
U.S. Treasury Note | 1.50% | 11/30/2021 | 5,974 | 5,960,932 | ||||||||
U.S. Treasury Note | 2.50% | 1/31/2021 | 834 | 841,656 | ||||||||
Total U.S. Treasury Obligations (cost $7,589,920) | 7,611,440 | |||||||||||
Total Long- Term Investments (cost $42,977,908) | 43,242,579 | |||||||||||
SHORT-TERM INVESTMENTS 3.94% | ||||||||||||
COMMERCIAL PAPER 0.23% | ||||||||||||
Automotive | ||||||||||||
Ford Motor Credit Co. LLC (cost $104,967) | 3.91% | 12/4/2019 | 105 | 104,978 |
290 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
CORPORATE BONDS 0.17% | ||||||||||||
Automotive | ||||||||||||
Ford Motor Credit Co. LLC (cost $75,041) | 3.065% (3 Mo. LIBOR + .93% | )# | 9/24/2020 | $ | 75 | $ | 75,090 | |||||
REPURCHASE AGREEMENT 3.54% | ||||||||||||
Repurchase Agreement dated 11/29/2019, 0.85% due 12/2/2019 with Fixed Income Clearing Corp. collateralized by $1,600,000 of U.S. Treasury Note at 2.125% due 08/15/2021 value: $1,621,635; proceeds: $1,588,441 (cost $1,588,329) | 1,588 | 1,588,329 | ||||||||||
Total Short-Term Investments (cost $1,768,337) | 1,768,397 | |||||||||||
Total Investments in Securities 100.41%(cost $44,746,245) | 45,010,976 | |||||||||||
Liabilities in Excess of Cash, Foreign Cash and Other Assets(h)(0.41%) | (184,522 | ) | ||||||||||
Net Assets 100.00% | $ | 44,826,454 |
CAD | Canadian dollar. | |
IO | Interest Only. | |
LIBOR | London Interbank Offered Rate. | |
SOFR | Secured Over Night Financing 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. At November 30, 2019, the total value of Rule 144A securities was $20,691,204, which represents 46.16% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at November 30, 2019. | |
(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) | Foreign security traded in U.S. dollars. | |
(d) | Security is perpetual in nature and has no stated maturity. | |
(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 November 30, 2019. | |
(f) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(g) | 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. | |
(h) | 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: |
See Notes to Financial Statements. | 291 |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUNDNovember 30, 2019
Credit Default Swaps on Indexes - Sell Protection at November 30, 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 at Fair Value(4) | ||||||||||||||||||
Markit CMBX. NA.A.6 | Morgan Stanley | 2.00% | 5/11/2063 | $ | 78,000 | $ | 78,907 | $ | (4,024) | $ | 4,931 | $ | 907 | |||||||||||||
Markit CMBX. NA.AA.6 | Morgan Stanley | 1.50% | 5/11/2063 | 160,000 | 163,493 | (1,261) | 4,754 | 3,493 | ||||||||||||||||||
$ | (5,285) | $ | 9,685 | $ | 4,400 |
* | The Referenced Index is for the Credit Default Swaps on Indexes, which is comprised of a basket of commercial mortgage-backed securities. | |
(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. | |
(3) | Total unrealized appreciation on Credit Default Swaps on Indexes amounted to $9,685. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $0. | |
(4) | Includes upfront payments received. |
Open Forward Foreign Currency Exchange Contracts at November 30, 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 | Barclays Bank plc | 12/13/2019 | 151,000 | $ | 113,725 | $ | 113,686 | $39 |
Open Futures Contracts at November 30, 2019: ’
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | ||||||||||||||||
U.S. 5-Year Treasury Note | March 2020 | 12 | Short | $ | (1,430,135) | $ | (1,427,625) | $ | 2,510 | |||||||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | ||||||||||||||||
5-Year Canadian Bond | March 2020 | 1 | Short | CAD | (121,148) | CAD | (121,340) | $ | (144 | ) | ||||||||||||
U.S. 2-Year Treasury Note | March 2020 | 9 | Long | $ | 1,940,310 | $ | 1,940,274 | (36 | ) | |||||||||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (180 | ) |
292 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION CORE BOND FUNDNovember 30, 2019
The following is a summary of the inputs used as of November 30, 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 | ||||||||||||||||
Credit Cards | $ | – | $ | 900,257 | $ | 204,114 | $ | 1,104,371 | ||||||||
Other | – | 3,896,234 | 113,816 | 4,010,050 | ||||||||||||
Remaining Industries | – | 8,851,233 | – | 8,851,233 | ||||||||||||
Corporate Bonds | – | 12,210,710 | – | 12,210,710 | ||||||||||||
Floating Rate Loan | – | 3,482 | – | 3,482 | ||||||||||||
Foreign Government Obligation | – | 233,137 | – | 233,137 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 109,602 | – | 109,602 | ||||||||||||
Municipal Bond | – | 10,039 | – | 10,039 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 9,098,515 | – | 9,098,515 | ||||||||||||
U.S. Treasury Obligations | – | 7,611,440 | – | 7,611,440 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | – | 104,978 | – | 104,978 | ||||||||||||
Corporate Bonds | – | 75,090 | – | 75,090 | ||||||||||||
Repurchase Agreement | – | 1,588,329 | – | 1,588,329 | ||||||||||||
Total | $ | – | $ | 44,693,046 | $ | 317,930 | $ | 45,010,976 | ||||||||
Other Financial Instruments | ||||||||||||||||
Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 4,400 | $ | – | $ | 4,400 | ||||||||
Liabilities | – | – | – | – | ||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 39 | – | 39 | ||||||||||||
Liabilities | – | – | – | – | ||||||||||||
Futures Contracts | ||||||||||||||||
Assets | 2,510 | – | – | 2,510 | ||||||||||||
Liabilities | (180 | ) | – | – | (180 | ) | ||||||||||
Total | $ | 2,330 | $ | 4,439 | $ | – | $ | 6,769 |
(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. |
See Notes to Financial Statements. | 293 |
Schedule of Investments (concluded)
SHORT DURATION CORE BOND FUNDNovember 30, 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 | $ | – | ||
Accrued Discounts (Premiums) | (547 | ) | ||
Realized Gain (Loss) | – | |||
Change in Unrealized Appreciation (Depreciation) | 385 | |||
Purchases | 318,092 | |||
Sales | – | |||
Transfers into Level 3 | – | |||
Transfers out of Level 3 | – | |||
Balance as of November 30, 2019 | $ | 317,930 | ||
Change in unrealized appreciation/depreciation for the year ended November 30, 2019 related to Level 3 investments held at November 30, 2019 | $ | 385 |
294 | See Notes to Financial Statements. |
Schedule of Investments
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 96.62% | ||||||||||||
ASSET-BACKED SECURITIES 25.14% | ||||||||||||
Automobiles 8.39% | ||||||||||||
ACC Trust 2018-1 A† | 3.70% | 12/21/2020 | $ | 2,829 | $ | 2,831,227 | ||||||
ACC Trust 2019-1 A† | 3.75% | 5/20/2022 | 17,270 | 17,369,147 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-1 D | 3.59% | 2/8/2022 | 32,574 | 32,913,835 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-2 C | 2.87% | 11/8/2021 | 1,934 | 1,938,859 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-3 B | 1.80% | 10/8/2021 | 10,096 | 10,092,376 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-2 B | 2.40% | 5/18/2022 | 31,699 | 31,746,225 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-2 C | 2.97% | 3/20/2023 | 49,146 | 49,721,382 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-3 B | 2.24% | 6/19/2023 | 22,616 | 22,650,313 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-4 A3 | 2.04% | 7/18/2022 | 47,611 | 47,616,988 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-4 B | 2.36% | 12/19/2022 | 30,598 | 30,692,493 | ||||||||
AmeriCredit Automobile Receivables Trust 2019-1 A2A | 2.93% | 6/20/2022 | 14,706 | 14,761,410 | ||||||||
AmeriCredit Automobile Receivables Trust 2019-1 A2B | 2.023% (1 Mo. LIBOR + .26% | )# | 6/20/2022 | 14,706 | 14,707,732 | |||||||
AmeriCredit Automobile Receivables Trust 2019-1 B | 3.13% | 2/18/2025 | 28,000 | 28,581,605 | ||||||||
AmeriCredit Automobile Receivables Trust 2019-1 C | 3.36% | 2/18/2025 | 37,000 | 38,088,163 | ||||||||
Arivo Acceptance Auto Loan Receivables Trust 2019-1 A† | 2.99% | 7/15/2024 | 39,605 | 39,606,178 | ||||||||
Avid Automobile Receivables Trust 2018-1 A† | 2.84% | 8/15/2023 | 3,305 | 3,309,298 | ||||||||
Avis Budget Rental Car Funding AESOP LLC 2015-2A† | 2.63% | 12/20/2021 | 11,729 | 11,777,061 | ||||||||
Bank of The West Auto Trust 2017-1 A3† | 2.11% | 1/15/2023 | 57,256 | 57,261,395 | ||||||||
Bank of The West Auto Trust 2017-1 A4† | 2.33% | 9/15/2023 | 18,282 | 18,298,922 | ||||||||
California Republic Auto Receivables Trust 2015-3 A4 | 2.13% | 5/17/2021 | 2,488 | 2,487,954 | ||||||||
California Republic Auto Receivables Trust 2015-4 A4† | 2.58% | 6/15/2021 | 3,463 | 3,465,072 |
See Notes to Financial Statements. | 295 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
California Republic Auto Receivables Trust 2015-4 B† | 3.73% | 11/15/2021 | $ | 20,140 | $ | 20,228,771 | ||||||
California Republic Auto Receivables Trust 2016-1 A4 | 2.24% | 10/15/2021 | 2,090 | 2,090,735 | ||||||||
California Republic Auto Receivables Trust 2016-2 A4 | 1.83% | 12/15/2021 | 7,784 | 7,777,056 | ||||||||
California Republic Auto Receivables Trust 2018-1 A3 | 3.14% | 8/15/2022 | 53,488 | 53,771,572 | ||||||||
Capital Auto Receivables Asset Trust 2015-3 D | 3.34% | 3/22/2021 | 10,854 | 10,860,924 | ||||||||
Capital Auto Receivables Asset Trust 2016-2 B | 2.11% | 3/22/2021 | 1,390 | 1,390,375 | ||||||||
Capital Auto Receivables Asset Trust 2017-1 A3† | 2.02% | 8/20/2021 | 7,198 | 7,197,404 | ||||||||
Capital Auto Receivables Asset Trust 2017-1 A4† | 2.22% | 3/21/2022 | 12,437 | 12,453,856 | ||||||||
Capital Auto Receivables Asset Trust 2018-2 A2† | 3.02% | 2/22/2021 | 40,084 | 40,155,355 | ||||||||
Capital Auto Receivables Asset Trust 2018-2 A3† | 3.27% | 6/20/2023 | 45,016 | 45,414,162 | ||||||||
Capital One Prime Auto Receivables Trust 2019-1 A2 | 2.58% | 4/15/2022 | 35,753 | 35,922,491 | ||||||||
CarMax Auto Owner Trust 2015-4 D | 3.00% | 5/16/2022 | 3,116 | 3,117,076 | ||||||||
CarMax Auto Owner Trust 2016-3 A3 | 1.39% | 5/17/2021 | 5,926 | 5,927,171 | ||||||||
CarMax Auto Owner Trust 2016-3 A4 | 1.60% | 1/18/2022 | 21,321 | 21,259,883 | ||||||||
CarMax Auto Owner Trust 2016-4 A3 | 1.40% | 8/15/2021 | 6,257 | 6,247,922 | ||||||||
CarMax Auto Owner Trust 2016-4 A4 | 1.60% | 6/15/2022 | 18,529 | 18,467,958 | ||||||||
CarMax Auto Owner Trust 2017-3 A3 | 1.97% | 4/15/2022 | 79,429 | 79,446,835 | ||||||||
CarMax Auto Owner Trust 2017-3 A4 | 2.22% | 11/15/2022 | 27,897 | 27,993,055 | ||||||||
CarMax Auto Owner Trust 2017-3 B | 2.44% | 2/15/2023 | 12,944 | 13,017,825 | ||||||||
CarMax Auto Owner Trust 2017-3 C | 2.72% | 5/15/2023 | 15,857 | 15,953,154 | ||||||||
CarMax Auto Owner Trust 2017-4 A3 | 2.11% | 10/17/2022 | 76,071 | 76,148,125 | ||||||||
CarMax Auto Owner Trust 2019-3 A2A | 2.21% | 12/15/2022 | 124,560 | 124,838,915 | ||||||||
Carvana Auto Receivables Trust 2019-2A C† | 3.00% | 6/17/2024 | 23,649 | 23,772,781 | ||||||||
Chesapeake Funding II LLC 2017-2A A1† | 1.99% | 5/15/2029 | 20,860 | 20,847,270 | ||||||||
Chesapeake Funding II LLC 2017-3A A1† | 1.91% | 8/15/2029 | 48,488 | 48,446,196 | ||||||||
Chesapeake Funding II LLC 2017-4A A1† | 2.12% | 11/15/2029 | 55,171 | 55,161,776 | ||||||||
Chesapeake Funding II LLC 2019-1A A1† | 2.94% | 4/15/2031 | 18,732 | 18,973,440 | ||||||||
CPS Auto Receivables Trust 2016-B D† | 6.58% | 3/15/2022 | 13,845 | 14,334,493 | ||||||||
CPS Auto Receivables Trust 2017-C B† | 2.30% | 7/15/2021 | 1 | 1,065 | ||||||||
CPS Auto Receivables Trust 2017-D† | 3.73% | 9/15/2023 | 8,345 | 8,475,022 | ||||||||
CPS Auto Receivables Trust 2017-D B† | 2.43% | 1/18/2022 | 2,474 | 2,474,896 | ||||||||
CPS Auto Receivables Trust 2018-B A† | 2.72% | 9/15/2021 | 1,317 | 1,317,659 | ||||||||
CPS Auto Receivables Trust 2018-B B† | 3.23% | 7/15/2022 | 11,465 | 11,511,761 | ||||||||
CPS Auto Receivables Trust 2018-B C† | 3.58% | 3/15/2023 | 12,992 | 13,152,298 | ||||||||
CPS Auto Receivables Trust 2019-A C† | 3.89% | 12/16/2024 | 3,685 | 3,781,481 |
296 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
CPS Auto Receivables Trust 2019-C† | 2.84% | 6/16/2025 | $ | 7,419 | $ | 7,469,414 | ||||||
CPS Auto Receivables Trust 2019-C D† | 3.17% | 6/16/2025 | 7,419 | 7,485,645 | ||||||||
CPS Auto Receivables Trust 2019-D B† | 2.35% | 11/15/2023 | 26,690 | 26,646,455 | ||||||||
CPS Auto Receivables Trust 2019-D C† | 2.54% | 8/15/2024 | 32,337 | 32,254,153 | ||||||||
Drive Auto Receivables Trust 2015-DA D† | 4.59% | 1/17/2023 | 25,252 | 25,317,627 | ||||||||
Drive Auto Receivables Trust 2016-BA D† | 4.53% | 8/15/2023 | 46,813 | 47,390,713 | ||||||||
Drive Auto Receivables Trust 2016-CA D† | 4.18% | 3/15/2024 | 21,092 | 21,371,179 | ||||||||
Drive Auto Receivables Trust 2017-1 D | 3.84% | 3/15/2023 | 3,410 | 3,447,165 | ||||||||
Drive Auto Receivables Trust 2017-2 C | 2.75% | 9/15/2023 | 4,748 | 4,749,479 | ||||||||
Drive Auto Receivables Trust 2017-2 D | 3.49% | 9/15/2023 | 137,019 | 138,240,565 | ||||||||
Drive Auto Receivables Trust 2017-3 C | 2.80% | 7/15/2022 | 2,030 | 2,031,654 | ||||||||
Drive Auto Receivables Trust 2017-AA D† | 4.16% | 5/15/2024 | 14,904 | 15,135,805 | ||||||||
Drive Auto Receivables Trust 2017-BA D† | 3.72% | 10/17/2022 | 24,986 | 25,104,662 | ||||||||
Drive Auto Receivables Trust 2018-3 B | 3.37% | 9/15/2022 | 15,809 | 15,835,099 | ||||||||
Drive Auto Receivables Trust 2018-3 C | 3.72% | 9/16/2024 | 68,935 | 69,571,036 | ||||||||
Drive Auto Receivables Trust 2018-4 B | 3.36% | 10/17/2022 | 27,685 | 27,739,697 | ||||||||
Drive Auto Receivables Trust 2018-4 C | 3.66% | 11/15/2024 | 66,556 | 67,250,791 | ||||||||
Drive Auto Receivables Trust 2018-4 D | 4.09% | 1/15/2026 | 45,962 | 47,143,858 | ||||||||
Drive Auto Receivables Trust 2018-5 C | 3.99% | 1/15/2025 | 46,539 | 47,794,743 | ||||||||
Drive Auto Receivables Trust 2019-2 B | 3.17% | 11/15/2023 | 22,380 | 22,649,831 | ||||||||
Drive Auto Receivables Trust 2019-2 C | 3.42% | 6/16/2025 | 43,447 | 44,449,379 | ||||||||
Drive Auto Receivables Trust 2019-2 D | 3.69% | 8/17/2026 | 27,276 | 27,940,487 | ||||||||
Drive Auto Receivables Trust 2019-3 A2A | 2.63% | 9/15/2022 | 74,896 | 75,048,037 | ||||||||
Drive Auto Receivables Trust 2019-4 C | 2.51% | 11/17/2025 | 60,721 | 60,838,483 | ||||||||
Drive Auto Receivables Trust 2019-4 D | 2.70% | 2/16/2027 | 50,871 | 50,824,178 | ||||||||
Exeter Automobile Receivables Trust 2017-3A B† | 2.81% | 9/15/2022 | 36,828 | 36,945,757 | ||||||||
Exeter Automobile Receivables Trust 2019-4A B† | 2.30% | 12/15/2023 | 43,025 | 42,953,200 | ||||||||
Fifth Third Auto Trust 2019-1 A2A | 2.66% | 5/16/2022 | 106,624 | 107,069,630 | ||||||||
Fifth Third Auto Trust 2019-1 A3 | 2.64% | 12/15/2023 | 87,251 | 88,487,024 | ||||||||
Fifth Third Auto Trust 2019-1 A4 | 2.69% | 11/16/2026 | 28,213 | 28,775,158 | ||||||||
First Investors Auto Owner Trust 2018-1A B† | 3.51% | 5/15/2023 | 8,540 | 8,642,343 | ||||||||
First Investors Auto Owner Trust 2018-2A C† | 4.03% | 1/15/2025 | 8,643 | 8,927,999 | ||||||||
First Investors Auto Owner Trust 2018-2A D† | 4.28% | 1/15/2025 | 5,505 | 5,709,380 | ||||||||
Flagship Credit Auto Trust 2017-3 A† | 1.88% | 10/15/2021 | 3,077 | 3,075,761 | ||||||||
Flagship Credit Auto Trust 2017-3 B† | 2.59% | 7/15/2022 | 24,950 | 24,981,280 | ||||||||
Flagship Credit Auto Trust 2017-4 A† | 2.07% | 4/15/2022 | 10,728 | 10,719,863 | ||||||||
Flagship Credit Auto Trust 2019-1 A† | 3.11% | 8/15/2023 | 37,602 | 37,992,371 | ||||||||
Ford Credit Auto Owner Trust 2015-1 A† | 2.12% | 7/15/2026 | 307,744 | 307,807,765 |
See Notes to Financial Statements. | 297 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Ford Credit Auto Owner Trust 2016-2 A† | 2.03% | 12/15/2027 | $ | 39,189 | $ | 39,197,253 | ||||||
Ford Credit Auto Owner Trust 2017-2 A† | 2.36% | 3/15/2029 | 38,244 | 38,579,572 | ||||||||
Ford Credit Auto Owner Trust 2018-2 A† | 3.47% | 1/15/2030 | 78,661 | 82,046,955 | ||||||||
Ford Credit Auto Owner Trust 2019-A A2A | 2.78% | 2/15/2022 | 48,108 | 48,293,181 | ||||||||
Ford Credit Auto Owner Trust 2019-C A2A | 1.88% | 7/15/2022 | 85,596 | 85,626,689 | ||||||||
GM Financial Automobile Leasing Trust 2017 2 B | 2.43% | 6/21/2021 | 10,391 | 10,396,069 | ||||||||
GM Financial Automobile Leasing Trust 2019-2 A2A | 2.67% | 6/21/2021 | 84,856 | 85,107,022 | ||||||||
GM Financial Automobile Leasing Trust 2019-2 A3 | 2.67% | 3/21/2022 | 46,349 | 46,695,385 | ||||||||
GM Financial Consumer Automobile Receivables Trust 2019-1 B | 3.37% | 8/16/2024 | 13,645 | 14,100,552 | ||||||||
Honda Auto Receivables Owner Trust 2019-1 A3 | 2.83% | 3/20/2023 | 57,166 | 58,092,672 | ||||||||
Honda Auto Receivables Owner Trust 2019-1 A4 | 2.90% | 6/18/2024 | 11,166 | 11,454,480 | ||||||||
Honda Auto Receivables Owner Trust 2019-3 A4 | 1.85% | 8/15/2025 | 8,564 | 8,550,135 | ||||||||
Hyundai Auto Receivables Trust 2019-B A2 | 1.93% | 7/15/2022 | 45,935 | 45,984,628 | ||||||||
Nissan Auto Receivables Owner Trust 2016-B A3 | 1.32% | 1/15/2021 | 2,090 | 2,089,683 | ||||||||
Prestige Auto Receivables Trust 2019-1A D† | 3.01% | 8/15/2025 | 9,845 | 9,954,100 | ||||||||
Santander Drive Auto Receivables Trust 2015-5 D | 3.65% | 12/15/2021 | 16,812 | 16,867,681 | ||||||||
Santander Drive Auto Receivables Trust 2016-1 D | 4.02% | 4/15/2022 | 18,954 | 19,107,838 | ||||||||
Santander Drive Auto Receivables Trust 2017-1 D | 3.17% | 4/17/2023 | 9,536 | 9,625,624 | ||||||||
Santander Drive Auto Receivables Trust 2017-2 C | 2.79% | 8/15/2022 | 38,637 | 38,717,564 | ||||||||
Santander Drive Auto Receivables Trust 2017-2 D | 3.49% | 7/17/2023 | 68,158 | 68,949,430 | ||||||||
Santander Drive Auto Receivables Trust 2017-3 C | 2.76% | 12/15/2022 | 15,068 | 15,123,513 | ||||||||
Santander Drive Auto Receivables Trust 2018-1 C | 2.96% | 3/15/2024 | 37,842 | 38,078,429 | ||||||||
Santander Drive Auto Receivables Trust 2018-3 A3 | 3.03% | 2/15/2022 | 6,611 | 6,613,925 | ||||||||
Santander Drive Auto Receivables Trust 2018-3 B | 3.29% | 10/17/2022 | 45,961 | 46,130,899 | ||||||||
Santander Drive Auto Receivables Trust 2018-4 C | 3.56% | 7/15/2024 | 30,572 | 31,037,132 | ||||||||
Santander Drive Auto Receivables Trust 2018-5 B | 3.52% | 12/15/2022 | 47,601 | 47,920,898 | ||||||||
Santander Drive Auto Receivables Trust 2018-5 C | 3.81% | 12/16/2024 | 44,093 | 44,773,558 | ||||||||
Santander Drive Auto Receivables Trust 2019-3 C | 2.49% | 10/15/2025 | 66,714 | 66,865,321 | ||||||||
Santander Retail Auto Lease Trust 2019-B D† | 3.31% | 6/20/2024 | 41,342 | 41,590,445 | ||||||||
TCF Auto Receivables Owner Trust 2015-2A B† | 3.00% | 9/15/2021 | 6,198 | 6,199,286 | ||||||||
TCF Auto Receivables Owner Trust 2015-2A C† | 3.75% | 12/15/2021 | 6,591 | 6,594,698 | ||||||||
TCF Auto Receivables Owner Trust 2016-1A A4† | 2.03% | 2/15/2022 | 31,893 | 31,870,364 | ||||||||
TCF Auto Receivables Owner Trust 2016-1A C† | 2.51% | 9/15/2022 | 5,943 | 5,935,310 | ||||||||
TCF Auto Receivables Owner Trust 2016-PT1A A† | 1.93% | 6/15/2022 | 12,122 | 12,116,677 | ||||||||
Toyota Auto Receivables Owner Trust 2016-D A3 | 1.23% | 10/15/2020 | 184 | 184,289 | ||||||||
Westlake Automobile Receivables Trust 2018-2A C† | 3.50% | 1/16/2024 | 5,149 | 5,199,345 | ||||||||
Westlake Automobile Receivables Trust 2018-3A A2A† | 2.98% | 1/18/2022 | 41,709 | 41,800,424 |
298 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Westlake Automobile Receivables Trust 2019-1 2019-1A B† | 3.26% | 10/17/2022 | $ | 21,268 | $ | 21,464,452 | ||||||
Westlake Automobile Receivables Trust 2019-1A C† | 3.45% | 3/15/2024 | 11,100 | 11,254,020 | ||||||||
Westlake Automobile Receivables Trust 2019-2A A2A† | 2.57% | 2/15/2023 | 110,152 | 110,557,403 | ||||||||
Westlake Automobile Receivables Trust 2019-2A D† | 3.20% | 11/15/2024 | 47,426 | 48,129,522 | ||||||||
Westlake Automobile Receivables Trust 2019-3A B† | 2.41% | 10/15/2024 | 54,950 | 55,024,457 | ||||||||
Westlake Automobile Receivables Trust 2019-3A C† | 2.49% | 10/15/2024 | 62,191 | 62,344,550 | ||||||||
World Omni Auto Receivables Trust 2017-A A3 | 1.93% | 9/15/2022 | 14,754 | 14,749,694 | ||||||||
World Omni Auto Receivables Trust 2018-D A4 | 3.44% | 12/16/2024 | 22,044 | 22,876,635 | ||||||||
World Omni Automobile Lease Securitization Trust 2017-A B | 2.48% | 8/15/2022 | 3,709 | 3,710,133 | ||||||||
World Omni Automobile Lease Securitization Trust 2019-A A2 | 2.89% | 11/15/2021 | 81,704 | 82,146,405 | ||||||||
World Omni Select Auto Trust 2018-1A B† | 3.68% | 7/15/2023 | 10,171 | 10,334,503 | ||||||||
World Omni Select Auto Trust 2018-1A D† | 4.13% | 1/15/2025 | 33,345 | 34,296,440 | ||||||||
World Omni Select Auto Trust 2019-A C | 2.38% | 12/15/2025 | 13,418 | 13,368,331 | ||||||||
World Omni Select Auto Trust 2019-A D | 2.59% | 12/15/2025 | 29,934 | 29,812,630 | ||||||||
Total | 4,665,206,260 | |||||||||||
Credit Cards 5.64% | ||||||||||||
American Express Credit Account Master Trust 2017-3 A | 1.77% | 11/15/2022 | 52,543 | 52,525,209 | ||||||||
American Express Credit Account Master Trust 2017-6 A | 2.04% | 5/15/2023 | 120,724 | 120,954,679 | ||||||||
American Express Credit Account Master Trust 2019-1 A | 2.87% | 10/15/2024 | 116,127 | 119,067,742 | ||||||||
American Express Credit Account Master Trust 2019-1 B | 3.07% | 10/15/2024 | 32,359 | 33,118,401 | ||||||||
American Express Credit Account Master Trust 2019-3 B | 2.20% | 4/15/2025 | 12,714 | 12,770,687 | ||||||||
BA Credit Card Trust 2017-A2 | 1.84% | 1/17/2023 | 130,482 | 130,426,089 | ||||||||
Barclays Dryrock Issuance Trust 2017-1 A | 2.095% (1 Mo. LIBOR + .33% | )# | 3/15/2023 | 101,590 | 101,678,881 | |||||||
Barclays Dryrock Issuance Trust 2017-2 A | 2.065% (1 Mo. LIBOR + .30% | )# | 5/15/2023 | 168,102 | 168,264,034 | |||||||
Barclays Dryrock Issuance Trust 2018-1 A | 2.095% (1 Mo. LIBOR + .33% | )# | 7/15/2024 | 25,054 | 25,063,982 | |||||||
Capital One Multi-Asset Execution Trust 2017-A1 | 2.00% | 1/17/2023 | 14,265 | 14,269,613 | ||||||||
Capital One Multi-Asset Execution Trust 2017-A4 | 1.99% | 7/17/2023 | 178,623 | 178,850,244 | ||||||||
Capital One Multi-Asset Execution Trust 2019-A1 | 2.84% | 12/15/2024 | 158,746 | 162,259,811 |
See Notes to Financial Statements. | 299 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Credit Cards (continued) | ||||||||||||
Chase Issuance Trust 2018-A1 | 1.965% (1 Mo. LIBOR + .20% | )# | 4/17/2023 | $ | 148,171 | $ | 148,283,180 | |||||
Citibank Credit Card Issuance Trust 2017-A3 | 1.92% | 4/7/2022 | 18,149 | 18,149,290 | ||||||||
Citibank Credit Card Issuance Trust 2017-A8 | 1.86% | 8/8/2022 | 134,319 | 134,302,344 | ||||||||
Continental Credit Card 2016-1A C† | 11.33% | 1/15/2025 | 4,347 | 4,501,269 | (a) | |||||||
Discover Card Execution Note Trust 2015-A2 A | 1.90% | 10/17/2022 | 9,583 | 9,582,670 | ||||||||
Discover Card Execution Note Trust 2017-A6 | 1.88% | 2/15/2023 | 125,489 | 125,613,084 | ||||||||
Discover Card Execution Note Trust 2018-A2 | 2.095% (1 Mo. LIBOR + .33% | )# | 8/15/2025 | 5,100 | 5,095,658 | |||||||
Discover Card Execution Note Trust 2019-A1 | 3.04% | 7/15/2024 | 25,946 | 26,622,340 | ||||||||
First National Master Note Trust 2017-2 A | 2.205% (1 Mo. LIBOR + .44% | )# | 10/16/2023 | 123,149 | 123,327,344 | |||||||
Golden Credit Card Trust 2018-1A A† | 2.62% | 1/15/2023 | 114,501 | 115,360,490 | ||||||||
Golden Credit Card Trust 2018-4A A† | 3.44% | 10/15/2025 | 62,508 | 65,672,474 | ||||||||
Master Credit Card Trust 2019-1A B† | 3.57% | 7/21/2022 | 7,742 | 7,831,256 | ||||||||
Master Credit Card Trust II Series 2018-1A A† | 2.212% (1 Mo. LIBOR + .49% | )# | 7/21/2024 | 149,590 | 149,593,620 | |||||||
Perimeter Master Note Business Trust 2019-1A A† | 4.31% | 12/15/2022 | 99,892 | 100,455,890 | (a) | |||||||
Perimeter Master Note Business Trust 2019-1A B† | 6.02% | 12/15/2022 | 14,959 | 15,189,443 | (a) | |||||||
Synchrony Credit Card Master Note Trust 2015-1 A | 2.37% | 3/15/2023 | 18,713 | 18,729,389 | ||||||||
Synchrony Credit Card Master Note Trust 2015-1 B | 2.64% | 3/15/2023 | 9,594 | 9,599,556 | ||||||||
Synchrony Credit Card Master Note Trust 2016-2 A | 2.21% | 5/15/2024 | 134,727 | 135,330,119 | ||||||||
Synchrony Credit Card Master Note Trust 2016-2 B | 2.55% | 5/15/2024 | 42,808 | 43,048,358 | ||||||||
Synchrony Credit Card Master Note Trust 2017-1 A | 1.93% | 6/15/2023 | 66,569 | 66,572,575 | ||||||||
Synchrony Credit Card Master Note Trust 2017-1 B | 2.19% | 6/15/2023 | 33,423 | 33,413,941 | ||||||||
Synchrony Credit Card Master Note Trust 2017-2 B | 2.82% | 10/15/2025 | 36,807 | 37,348,232 | ||||||||
World Financial Network Credit Card Master Trust 2015-B A | 2.55% | 6/17/2024 | 37,818 | 37,947,580 | ||||||||
World Financial Network Credit Card Master Trust 2016-A | 2.03% | 4/15/2025 | 193,189 | 193,200,591 | ||||||||
World Financial Network Credit Card Master Trust 2017-A | 2.12% | 3/15/2024 | 110,156 | 110,139,532 | ||||||||
World Financial Network Credit Card Master Trust 2017-C A | 2.31% | 8/15/2024 | 49,120 | 49,227,475 | ||||||||
World Financial Network Credit Card Master Trust 2018-C A | 3.55% | 8/15/2025 | 95,554 | 98,133,499 | ||||||||
World Financial Network Credit Card Master Trust 2018-C M | 3.95% | 8/15/2025 | 19,966 | 20,543,487 | ||||||||
World Financial Network Credit Card Master Trust 2019-A | 3.14% | 12/15/2025 | 77,700 | 79,494,248 |
300 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Credit Cards (continued) | ||||||||||||
World Financial Network Credit Card Master Trust 2019-A M | 3.61% | 12/15/2025 | $ | 29,519 | $ | 30,273,270 | ||||||
Total | 3,131,831,576 | |||||||||||
Home Equity 0.00% | ||||||||||||
Meritage Mortgage Loan Trust 2004-2 M3 | 2.683% (1 Mo. LIBOR + .98% | )# | 1/25/2035 | 36 | 34,326 | |||||||
Other 11.11% | ||||||||||||
A10 Bridge Asset Financing LLC 2019-B A1† | 3.085% | 8/15/2040 | 123,600 | 123,905,650 | ||||||||
Access Point Funding I LLC 2017-A† | 3.06% | 4/15/2029 | 1,971 | 1,971,081 | ||||||||
Ally Master Owner Trust 2018-2 A | 3.29% | 5/15/2023 | 1,893 | 1,929,358 | ||||||||
ALM VII Ltd. 2012-7A A1A2† | 3.171% (3 Mo. LIBOR + 1.17% | )# | 7/15/2029 | 48,750 | 48,724,011 | |||||||
Ammc Clo 19 Ltd. 2016-19A AR† | 3.141% (3 Mo. LIBOR + 1.14% | )# | 10/16/2028 | 83,984 | 83,937,382 | |||||||
Ammc Clo 19 Ltd. 2016-19A BR† | 3.801% (3 Mo. LIBOR + 1.80% | )# | 10/16/2028 | 31,604 | 31,603,114 | |||||||
Ammc Clo Ltd. 2016-19A CR† | 4.551% (3 Mo. LIBOR + 2.55% | )# | 10/16/2028 | 13,000 | 12,870,970 | |||||||
Amur Equipment Finance Receivables VI LLC 2018-2A A2† | 3.89% | 7/20/2022 | 38,976 | 39,631,006 | ||||||||
Amur Equipment Finance Receivables VII LLC 2019-1A A2† | 2.63% | 6/20/2024 | 54,339 | 54,691,714 | ||||||||
Anchorage Capital CLO 3-R Ltd. 2014-3RA A† | 2.986% (3 Mo. LIBOR + 1.05% | )# | 1/28/2031 | 34,008 | 33,855,127 | |||||||
Anchorage Capital CLO 4-R Ltd. 2014-4RA A† | 2.986% (3 Mo. LIBOR + 1.05% | )# | 1/28/2031 | 42,636 | 42,440,684 | |||||||
Apex Credit CLO Ltd. 2016-1A AS1R† | 3.236% (3 Mo. LIBOR + 1.30% | )# | 10/27/2028 | 73,025 | 73,063,315 | |||||||
Apex Credit CLO Ltd. 2016-1A B1R† | 3.786% (3 Mo. LIBOR + 1.85% | )# | 10/27/2028 | 16,704 | 16,724,524 | |||||||
Apex Credit CLO Ltd. 2017-1A B† | 3.886% (3 Mo. LIBOR + 1.95% | )# | 4/24/2029 | 18,374 | 18,382,540 | |||||||
Aqua Finance Trust 2019-A 2019-A A† | 3.14% | 7/16/2040 | 79,151 | 79,466,070 | ||||||||
Arbor Realty Collateralized Loan Obligation Ltd. 2017-FL3 A† | 2.755% (1 Mo. LIBOR + .99% | )# | 12/15/2027 | 47,836 | 47,850,882 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. 2017-FL2 A† | 2.755% (1 Mo. LIBOR + .99% | )# | 8/15/2027 | 18,704 | 18,719,210 | |||||||
Arbor Realty Commercial Real Estate Notes Ltd. 2018-FL1 A† | 2.915% (1 Mo. LIBOR + 1.15% | )# | 6/15/2028 | 35,293 | 35,332,158 |
See Notes to Financial Statements. | 301 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Arbor Realty Commercial Real Estate Notes Ltd. 2019-FL1 A† | 2.915% (1 Mo. LIBOR + 1.15% | )# | 5/15/2037 | $ | 77,912 | $ | 77,950,956 | |||||
Ares XLI Clo Ltd. 2016-41A AR† | 3.201% (3 Mo. LIBOR + 1.20% | )# | 1/15/2029 | 93,370 | 93,303,633 | |||||||
Ascentium Equipment Receivables 2019-1A A2† | 2.84% | 6/10/2022 | 70,278 | 70,730,042 | ||||||||
Ascentium Equipment Receivables Trust 2017-1A A3† | 2.29% | 6/10/2021 | 7,445 | 7,451,347 | ||||||||
Atrium IX-9A AR† | 3.149% (3 Mo. LIBOR + 1.24% | )# | 5/28/2030 | 22,050 | 22,038,827 | |||||||
Avery Point V CLO Ltd. 2014-5A AR† | 2.982% (3 Mo. LIBOR + .98% | )# | 7/17/2026 | 31,746 | 31,745,810 | |||||||
B2R Mortgage Trust 2015-2 A† | 3.336% | 11/15/2048 | 7,136 | 7,162,721 | ||||||||
Bain Capital Credit CLO 2017-1 2017-1A A1† | 3.216% (3 Mo. LIBOR + 1.25% | )# | 7/20/2030 | 18,921 | 18,933,317 | |||||||
BDS Ltd. 2019-FL3 A† | 3.163% (1 Mo. LIBOR + 1.40% | )# | 1/15/2036 | 44,031 | 44,125,887 | |||||||
Benefit Street Partners CLO IV Ltd. 2014-IVA A1RR† | 3.216% (3 Mo. LIBOR + 1.25% | )# | 1/20/2029 | 38,900 | 38,901,311 | |||||||
Benefit Street Partners CLO IV Ltd. 2014-IVA A2RR† | 3.716% (3 Mo. LIBOR + 1.75% | )# | 1/20/2029 | 26,500 | 26,508,941 | |||||||
BlueMountain CLO Ltd. 2012-2A AR2† | 2.949% (3 Mo. LIBOR + 1.05% | )# | 11/20/2028 | 52,910 | 52,877,640 | |||||||
BlueMountain CLO Ltd. 2013-1A A1R2† | 3.196% (3 Mo. LIBOR + 1.23% | )# | 1/20/2029 | 74,000 | 73,942,791 | |||||||
BlueMountain CLO Ltd. 2013-1A A2R2† | 3.716% (3 Mo. LIBOR + 1.75% | )# | 1/20/2029 | 27,442 | 27,342,910 | |||||||
Bowman Park CLO Ltd. 2014-1A AR† | 3.09% (3 Mo. LIBOR + 1.18% | )# | 11/23/2025 | 33,725 | 33,746,764 | |||||||
Bristol Park CLO Ltd. 2016-1A A† | 3.421% (3 Mo. LIBOR + 1.42% | )# | 4/15/2029 | 28,535 | 28,565,938 | |||||||
BSPRT Issuer, Ltd. 2019 FL5 A | 3.064% | 5/15/2029 | 48,248 | 48,272,187 | ||||||||
Carlyle Global Market Strategies CLO Ltd. 2013-2A AR† | 2.893% (3 Mo. LIBOR + .89% | )# | 1/18/2029 | 32,350 | 32,108,333 | |||||||
Cent CLO Ltd. 2013-19A A1A† | 3.258% (3 Mo. LIBOR + 1.33% | )# | 10/29/2025 | 9,771 | 9,785,150 | |||||||
Colombia Cent CLO Ltd. 2018-27A A2A† | 3.54% (3 Mo. LIBOR + 1.60% | )# | 10/25/2028 | 7,358 | 7,298,070 | |||||||
Colony American Finance Ltd. 2018-1 A† | 3.804% | 6/15/2051 | 41,680 | 43,161,681 | ||||||||
Conn’s Receivables Funding LLC 2018-A† | 3.25% | 1/15/2023 | 4,274 | 4,290,988 | ||||||||
Conn’s Receivables Funding LLC 2019-B A† | 2.66% | 6/17/2024 | 69,179 | 69,267,065 | ||||||||
Diamond Resorts Owner Trust 2016-1 A† | 3.08% | 11/20/2028 | 3,265 | 3,286,329 | ||||||||
Diamond Resorts Owner Trust 2018-1 A† | 3.70% | 1/21/2031 | 40,189 | 40,962,280 | ||||||||
Diamond Resorts Owner Trust 2018-1 B† | 4.19% | 1/21/2031 | 24,014 | 24,564,635 | ||||||||
DLL LLC 2018-1 A2† | 2.81% | 11/17/2020 | 617 | 616,955 |
302 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
DLL LLC 2018-1 A3† | 3.10% | 4/18/2022 | $ | 107,668 | $ | 108,348,612 | ||||||
DLL LLC 2018-1 A4† | 3.27% | 4/17/2026 | 64,285 | 65,805,507 | ||||||||
DLL Securitization Trust 2017-A A3† | 2.14% | 12/15/2021 | 25,189 | 25,198,356 | ||||||||
DLL Securitization Trust 2017-A A4† | 2.43% | 11/17/2025 | 32,826 | 32,991,745 | ||||||||
DRB Prime Student Loan Trust 2015-D A2 | 3.20% | 1/25/2040 | 1,858 | 1,879,951 | ||||||||
Dryden 30 Senior Loan Fund 2013-30A AR† | 2.73% (3 Mo. LIBOR + .82% | )# | 11/15/2028 | 37,500 | 37,331,250 | |||||||
Dryden XXV Senior Loan Fund 2012-25A BRR† | 3.336% (3 Mo. LIBOR + 1.35% | )# | 10/15/2027 | 36,320 | 36,008,491 | |||||||
Elm CLO Ltd. 2014-1A ARR† | 3.172% (3 Mo. LIBOR + 1.17% | )# | 1/17/2029 | 23,117 | 23,100,494 | |||||||
Elm CLO Ltd. 2014-1A BRR† | 3.752% (3 Mo. LIBOR + 1.75% | )# | 1/17/2029 | 13,718 | 13,722,810 | |||||||
Engs Commercial Finance Trust 2016-1A A2† | 2.63% | 2/22/2022 | 4,660 | 4,664,361 | ||||||||
ENVA LLC 2019-A A† | 3.96% | 6/22/2026 | 19,500 | 19,501,264 | ||||||||
Fairstone Financial Issuance Trust I 2019-1A A†(b) | 3.948% | 3/21/2033 | CAD | 17,751 | 13,459,917 | |||||||
Fairstone Financial Issuance Trust I 2019-1A B†(b) | 5.084% | 3/21/2033 | CAD | 7,974 | 6,050,467 | (a) | ||||||
Fairstone Financial Issuance Trust I 2019-1A C†(b) | 6.299% | 3/21/2033 | CAD | 15,035 | 11,388,478 | (a) | ||||||
Fairstone Financial Issuance Trust I 2019-1A D†(b) | 7.257% | 3/21/2033 | CAD | 8,879 | 6,733,749 | (a) | ||||||
Ford Credit Floorplan Master Owner Trust 2017-2 A1 | 2.16% | 9/15/2022 | $ | 74,609 | 74,703,082 | |||||||
Ford Credit Floorplan Master Owner Trust 2019-1 A | 2.84% | 3/15/2024 | 137,580 | 139,795,588 | ||||||||
Ford Credit Floorplan Master Owner Trust 2019-2 A | 3.06% | 4/15/2026 | 92,215 | 95,441,714 | ||||||||
FREED ABS TRUST 2018-2 A† | 3.99% | 10/20/2025 | 36,066 | 36,333,059 | ||||||||
GPMT Ltd. 2019-FL2 A† | 3.065% (1 Mo. LIBOR + 1.30% | )# | 2/22/2036 | 37,750 | 37,761,797 | |||||||
Grand Avenue CRE 2019-FL1 A† | 2.885% (1 Mo. LIBOR + 1.12% | )# | 6/15/2037 | 120,644 | 120,752,580 | |||||||
Grand Avenue CRE 2019-FL1 AS† | 3.265% (1 Mo. LIBOR + 1.50% | )# | 6/15/2037 | 43,369 | 43,382,553 | |||||||
Great American Auto Leasing, Inc. 2019-1 A4† | 3.21% | 2/18/2025 | 17,040 | 17,501,523 | ||||||||
Greystone Commercial Real Estate Notes Ltd. 2018-HC1 A† | 3.315% (1 Mo. LIBOR + 1.55% | )# | 9/15/2028 | 72,464 | 72,290,036 | |||||||
Greystone Commercial Real Estate Notes Ltd. 2018-HC1 AS† | 3.915% (1 Mo. LIBOR + 2.15% | )# | 9/15/2028 | 22,123 | 22,066,429 | |||||||
Greywolf CLO IV Ltd. 2019-1A A2† | 3.952% (3 Mo. LIBOR + 1.95% | )# | 4/17/2030 | 33,591 | 33,645,911 | |||||||
Halcyon Loan Advisors Funding 2017-2 Ltd. 2017-2A A2† | 3.702% (3 Mo. LIBOR + 1.70% | )# | 1/17/2030 | 23,027 | 22,773,703 | |||||||
Halcyon Loan Advisors Funding Ltd. 2015-2A AR† | 3.02% (3 Mo. LIBOR + 1.08% | )# | 7/25/2027 | 25,237 | 25,241,011 |
See Notes to Financial Statements. | 303 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Halcyon Loan Advisors Funding Ltd. 2015-2A BR† | 3.59% (3 Mo. LIBOR + 1.65% | )# | 7/25/2027 | $ | 17,477 | $ | 17,410,741 | |||||
HPS Loan Management 10-2016 Ltd. A2R† | 3.716% (3 Mo. LIBOR +1.75% | )# | 1/20/2028 | 40,584 | 40,401,352 | |||||||
Hyundai Floorplan Master Owner Trust 2019-1 A† | 2.68% | 4/15/2024 | 104,777 | 106,214,310 | ||||||||
Jamestown CLO IX Ltd. 2016-9A A1AR† | 3.136% (3 Mo. LIBOR + 1.17% | )# | 10/20/2028 | 39,750 | 39,751,773 | |||||||
Jamestown CLO IX Ltd. 2016-9A A2R† | 3.816% (3 Mo. LIBOR + 1.85% | )# | 10/20/2028 | 24,850 | 24,793,354 | |||||||
Jamestown CLO VII Ltd. 2015-7A A1R† | 2.77% (3 Mo. LIBOR + .83% | )# | 7/25/2027 | 13,330 | 13,294,333 | |||||||
Jamestown CLO VII Ltd. 2015-7A A2R† | 3.24% (3 Mo. LIBOR + 1.30% | )# | 7/25/2027 | 35,299 | 34,830,946 | |||||||
JFIN CLO Ltd. 2014-1A B1R† | 3.416% (3 Mo. LIBOR + 1.45% | )# | 4/21/2025 | 9,750 | 9,741,974 | |||||||
KKR CLO Ltd. 16 A2R† | 3.766% (3 Mo. LIBOR + 1.80% | )# | 1/20/2029 | 22,750 | 22,675,175 | |||||||
KREF Ltd. 2018-FL1 A† | 2.863% (1 Mo. LIBOR + 1.10% | )# | 6/15/2036 | 13,341 | 13,347,671 | |||||||
KVK CLO Ltd. 2016-1A B† | 4.251% (3 Mo. LIBOR + 2.25% | )# | 1/15/2029 | 7,875 | 7,878,151 | |||||||
LCM XXII Ltd. 22A A1R† | 3.126% (3 Mo. LIBOR + 1.16% | )# | 10/20/2028 | 11,750 | 11,752,798 | |||||||
LMREC, Inc. 2015-CRE1 AR† | 2.696% (1 Mo. LIBOR + .98% | )# | 2/22/2032 | 13,705 | 13,687,968 | |||||||
LMREC, Inc. 2015-CRE1 BR | 4.072% | 2/22/2032 | 12,355 | 12,348,265 | ||||||||
LMREC, Inc. 2019-CRE3 A† | 3.567% (1 Mo. LIBOR + 1.40% | )# | 12/22/2035 | 105,572 | 105,754,977 | |||||||
LoanCore Issuer Ltd. 2019-CRE2 A† | 2.895% (1 Mo. LIBOR + 1.13% | )# | 5/15/2036 | 115,182 | 115,268,386 | |||||||
M360 LLC 2018-CRE1 A† | 4.395% | 7/24/2028 | 43,139 | 43,352,061 | ||||||||
M360 LLC 2019-CRE2 A† | 3.165% (1 Mo. LIBOR + 1.40% | )# | 9/15/2034 | 85,455 | 85,593,916 | |||||||
M360 LLC 2019-CRE2 B† | 4.015% (1 Mo. LIBOR + 2.25% | )# | 9/15/2034 | 10,311 | 10,328,996 | |||||||
Madison Park Funding XI Ltd. 2013-11A AR† | 3.094% (3 Mo. LIBOR + 1.16% | )# | 7/23/2029 | 7,639 | 7,633,135 | |||||||
Madison Park Funding XVI Ltd. 2015-16A A2R† | 3.866% (3 Mo. LIBOR + 1.90% | )# | 4/20/2026 | 13,623 | 13,663,150 | |||||||
Magnetite VII Ltd. 2012-7A A1R2† | 2.801% (3 Mo. LIBOR + .80% | )# | 1/15/2028 | 50,000 | 49,800,610 | |||||||
Magnetite XVIII Ltd. 2016-18A AR† | 2.99% (3 Mo. LIBOR + 1.08% | )# | 11/15/2028 | 6,653 | 6,628,193 | |||||||
Mercedes-Benz Master Owner Trust 2019-BA A† | 2.61% | 5/15/2024 | 83,702 | 84,930,871 | ||||||||
Mercer Field II CLO Ltd. 2017-1A A1† | 3.331% (3 Mo. LIBOR + 1.33% | )# | 4/15/2029 | 14,994 | 14,988,001 | |||||||
MidOcean Credit CLO VI 2016-6A BR† | 3.866% (3 Mo. LIBOR + 1.90% | )# | 1/20/2029 | 31,307 | 31,303,904 | |||||||
Mountain Hawk III CLO Ltd. 2014-3A AR† | 3.203% (3 Mo. LIBOR + 1.20% | )# | 4/18/2025 | 31,698 | 31,711,250 |
304 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Mountain View CLO XIV Ltd. 2019-1A A1† | 3.441% (3 Mo. LIBOR + 1.44% | )# | 4/15/2029 | $ | 42,715 | $ | 42,732,594 | |||||
MVW Owner Trust 2017-1A A† | 2.42% | 12/20/2034 | 5,928 | 5,956,838 | ||||||||
Navient Private Education Refi Loan Trust 2019-A A1† | 3.03% | 1/15/2043 | 39,078 | 39,306,637 | ||||||||
NextGear Floorplan Master Owner Trust 2017-1A A2† | 2.54% | 4/18/2022 | 70,279 | 70,370,089 | ||||||||
NextGear Floorplan Master Owner Trust 2018-2A A2† | 3.69% | 10/15/2023 | 48,361 | 49,755,489 | ||||||||
NextGear Floorplan Master Owner Trust 2018-2A B† | 4.01% | 10/15/2023 | 19,277 | 19,773,176 | ||||||||
Nissan Master Owner Trust Receivables 2019-A A | 2.325% (1 Mo. LIBOR + .56% | )# | 2/15/2024 | 85,000 | 85,295,443 | |||||||
NorthStar Real Estate CDO VIII Ltd. 2006-8A A2† | 2.485% (1 Mo. LIBOR + .36% | )# | 2/1/2041 | 3,901 | 3,937,592 | |||||||
Northwoods Capital Corp./Northwoods Capital Ltd. 2019-20A A1†(c) | Zero Coupon | (d) | 1/25/2030 | 19,083 | 19,083,000 | |||||||
Northwoods Capital Corp./Northwoods Capital Ltd. 2019-20A B†(c) | Zero Coupon | (d) | 1/25/2030 | 31,574 | 31,574,000 | |||||||
Oaktree CLO 2014-1A A1R† | 3.195% (3 Mo. LIBOR + 1.29% | )# | 5/13/2029 | 26,733 | 26,754,386 | |||||||
Oaktree CLO 2014-1A A2R† | 3.755% (3 Mo. LIBOR + 1.85% | )# | 5/13/2029 | 17,750 | 17,765,604 | |||||||
Oaktree CLO Ltd. 2015-1A A1R† | 2.836% (3 Mo. LIBOR + .87% | )# | 10/20/2027 | 24,533 | 24,461,489 | |||||||
OCP CLO Ltd. 2015-10A A2AR† | 3.236% (3 Mo. LIBOR + 1.30% | )# | 10/26/2027 | 24,351 | 24,179,323 | |||||||
OCP CLO Ltd. 2015-9A A2R† | 3.351% (3 Mo. LIBOR + 1.35% | )# | 7/15/2027 | 25,719 | 25,521,434 | |||||||
OCP CLO Ltd. 2016-12A A1R† | 3.123% (3 Mo. LIBOR + 1.12% | )# | 10/18/2028 | 38,344 | 38,359,687 | |||||||
OCP CLO Ltd. 2016-12A A2R† | 3.603% (3 Mo. LIBOR + 1.60% | )# | 10/18/2028 | 28,451 | 28,469,988 | |||||||
OHA Loan Funding 2015-1 Ltd. 2015-1A BR† | 3.71% (3 Mo. LIBOR + 1.80% | )# | 8/15/2029 | 8,600 | 8,577,834 | |||||||
OHA Loan Funding Ltd. 2015-1A AR† | 3.32% (3 Mo. LIBOR + 1.41% | )# | 8/15/2029 | 72,754 | 72,838,170 | |||||||
OneMain Financial Issuance Trust 2016-1A A† | 3.66% | 2/20/2029 | 7,712 | 7,734,414 | ||||||||
OneMain Financial Issuance Trust 2018-2A A† | 3.57% | 3/14/2033 | 7,689 | 7,969,073 | ||||||||
OneMain Financial Issuance Trust 2019-1A A† | 3.48% | 2/14/2031 | 83,586 | 84,954,328 | ||||||||
OneMain Financial Issuance Trust 2019-1A B† | 3.79% | 2/14/2031 | 18,443 | 18,960,378 | ||||||||
Orange Lake Timeshare Trust 2019-A† | 3.06% | 4/9/2038 | 15,661 | 15,822,306 | ||||||||
Orec Ltd. 2018-CRE1 A† | 2.945% (1 Mo. LIBOR + 1.18% | )# | 6/15/2036 | 84,853 | 84,857,480 |
See Notes to Financial Statements. | 305 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
OZLM Funding III Ltd. 2013-3A A1RR† | 3.05% (3 Mo. LIBOR + 1.18% | )# | 1/22/2029 | $ | 69,153 | $ | 69,091,491 | |||||
OZLM Funding III Ltd. 2013-3A A2AR† | 3.82% (3 Mo. LIBOR + 1.95% | )# | 1/22/2029 | 23,550 | 23,555,433 | |||||||
OZLM VIII Ltd. 2014-8A A1RR† | 3.172% (3 Mo. LIBOR + 1.17% | )# | 10/17/2029 | 19,539 | 19,463,470 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A1† | 2.601% (3 Mo. LIBOR + .60% | )# | 4/15/2026 | 58,648 | 58,421,042 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A2† | 3.051% (3 Mo. LIBOR + 1.05% | )# | 4/15/2026 | 29,189 | 28,790,363 | |||||||
Palmer Square Loan Funding Ltd. 2018-5A A1† | 2.816% (3 Mo. LIBOR + .85% | )# | 1/20/2027 | 61,856 | 61,682,266 | |||||||
Palmer Square Loan Funding Ltd. 2018-5A A2† | 3.366% (3 Mo. LIBOR + 1.40% | )# | 1/20/2027 | 18,310 | 18,005,499 | |||||||
Parallel Ltd. 2015-1A AR† | 2.816% (3 Mo. LIBOR + .85% | )# | 7/20/2027 | 38,833 | 38,744,604 | |||||||
PFS Financing Corp. 2018-A A† | 2.165% (1 Mo. LIBOR + .40% | )# | 2/15/2022 | 20,037 | 20,030,193 | |||||||
PFS Financing Corp. 2018-B A† | 2.89% | 2/15/2023 | 80,262 | 81,009,705 | ||||||||
Planet Fitness Master Issuer LLC 2018-1A A2II† | 4.666% | 9/5/2048 | 26,538 | 27,753,486 | ||||||||
Ready Capital Mortgage Financing LLC 2018-FL2 A† | 2.558% (1 Mo. LIBOR + .85% | )# | 6/25/2035 | 18,311 | 18,316,965 | |||||||
Recette CLO Ltd. 2015-1A AR† | 2.886% (3 Mo. LIBOR + .92% | )# | 10/20/2027 | 7,620 | 7,622,429 | |||||||
Regatta VI Funding Ltd. 2016-1A AR† | 3.046% (3 Mo. LIBOR + 1.08% | )# | 7/20/2028 | 37,010 | 37,023,971 | |||||||
Salem Fields CLO Ltd. 2016-2A A1R† | 3.09% (3 Mo. LIBOR + 1.15% | )# | 10/25/2028 | 5,450 | 5,415,995 | |||||||
Salem Fields CLO Ltd. 2016-2A A2R† | 3.64% (3 Mo. LIBOR + 1.70% | )# | 10/25/2028 | 30,313 | 30,338,581 | |||||||
SCF Equipment Leasing LLC 2017-2A A† | 3.41% | 12/20/2023 | 16,211 | 16,405,394 | ||||||||
SCF Equipment Leasing LLC 2018-1A A2† | 3.63% | 10/20/2024 | 53,274 | 53,984,062 | ||||||||
SCF Equipment Leasing LLC 2019-1A A1† | 3.04% | 3/20/2023 | 38,679 | 38,807,879 | ||||||||
SCF Equipment Leasing LLC 2019-1A A2† | 3.23% | 10/20/2024 | 70,120 | 70,717,464 | ||||||||
SCF Equipment Leasing LLC 2019-2A A1† | 2.22% | 6/20/2024 | 65,383 | 65,452,827 | ||||||||
SCF Equipment Leasing LLC 2019-2A A2† | 2.47% | 4/20/2026 | 101,195 | 101,307,094 | ||||||||
Seneca Park CLO Ltd. 2014-1A AR† | 3.122% (3 Mo. LIBOR + 1.12% | )# | 7/17/2026 | 7,742 | 7,748,434 | |||||||
Shackleton CLO Ltd. 2016-9A B† | 3.866% (3 Mo. LIBOR + 1.90% | )# | 10/20/2028 | 15,000 | 15,000,700 | |||||||
SLC Student Loan Trust 2008-1 A4A | 3.719% (3 Mo. LIBOR + 1.60% | )# | 12/15/2032 | 25,823 | 26,260,239 |
306 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Other (continued) | ||||||||||||
SLM Private Education Loan Trust 2010-A 2A† | 5.015% (1 Mo. LIBOR + 3.25% | )# | 5/16/2044 | $ | 505 | $ | 506,049 | |||||
SLM Student Loan Trust 2011-1 A1 | 2.228% (1 Mo. LIBOR + .52% | )# | 3/25/2026 | 1,464 | 1,464,573 | |||||||
SoFi Consumer Loan Program LLC 2016-2A A† | 3.09% | 10/27/2025 | 1,057 | 1,061,310 | ||||||||
SoFi Professional Loan Program LLC 2017-C A2A† | 1.75% | 7/25/2040 | 362 | 361,423 | ||||||||
SoFi Professional Loan Program LLC 2017-E A2A† | 1.86% | 11/26/2040 | 24,708 | 24,680,814 | ||||||||
SoFi Professional Loan Program LLC 2017-F A1FX† | 2.05% | 1/25/2041 | 7,921 | 7,918,469 | ||||||||
SoFi Professional Loan Program LLC 2018-A A2A† | 2.39% | 2/25/2042 | 19,778 | 19,791,316 | ||||||||
Sound Point CLO III-R Ltd. 2013-2RA B† | 3.451% (3 Mo. LIBOR + 1.45% | )# | 4/15/2029 | 10,000 | 9,756,391 | |||||||
Sound Point CLO XI Ltd. 2016-1A AR† | 3.066% (3 Mo. LIBOR + 1.10% | )# | 7/20/2028 | 43,040 | 43,076,532 | |||||||
Sound Point CLO XII Ltd. 2016-2A BR† | 3.766% (3 Mo. LIBOR + 1.80% | )# | 10/20/2028 | 13,099 | 13,081,843 | |||||||
Sound Point Clo XV Ltd. 2017-1A AR† | 3.084% (3 Mo. LIBOR + 1.15% | )# | 1/23/2029 | 67,816 | 67,739,795 | |||||||
Sound Point Clo XV Ltd. 2017-1A B† | 3.684% (3 Mo. LIBOR + 1.75% | )# | 1/23/2029 | 18,414 | 18,371,438 | |||||||
Textainer Marine Containers VII Ltd. 2018-1A A† | 4.11% | 7/20/2043 | 13,108 | 13,234,044 | ||||||||
Thacher Park CLO Ltd. 2014-1A AR† | 3.126% (3 Mo. LIBOR + 1.16% | )# | 10/20/2026 | 33,831 | 33,860,441 | |||||||
Towd Point Asset Trust 2018-SL1 A† | 2.308% (1 Mo. LIBOR + .60% | )# | 1/25/2046 | 68,830 | 67,901,078 | |||||||
Towd Point Mortgage Trust 2019-HY2 A1† | 2.708% (1 Mo. LIBOR + 1.00% | )# | 5/25/2058 | 57,322 | 57,631,155 | |||||||
TPG Real Estate Finance Issuer Ltd. 2018-FL2 A† | 2.893% (1 Mo. LIBOR + 1.13% | )# | 11/15/2037 | 76,177 | 76,215,088 | |||||||
TRTX 2019-FL3 Issuer Ltd. 2019-FL3 A† | 2.973% (1 Mo. LIBOR + 1.15% | )# | 10/15/2034 | 17,600 | 17,605,280 | |||||||
Wells Fargo Dealer Floorplan Master Note Trust 2015-2 A | 2.374% (1 Mo. LIBOR + .65% | )# | 1/20/2022 | 14,610 | 14,614,535 | |||||||
Westgate Resorts LLC 2016-1A A† | 3.50% | 12/20/2028 | 13,010 | 13,058,849 | ||||||||
WhiteHorse VIII Ltd. 2014-1A BR† | 3.359% (3 Mo. LIBOR + 1.45% | )# | 5/1/2026 | 55,578 | 55,591,589 | |||||||
Total | 6,174,484,353 | |||||||||||
Total Asset-Backed Securities (cost $13,893,455,286) | 13,971,556,515 |
See Notes to Financial Statements. | 307 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Interest | Maturity | Shares | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
COMMON STOCKS 0.01% | ||||||||||||
Electric: Power 0.00% | ||||||||||||
Eneva SA*(b) | BRL | 52 | $ | 462,354 | ||||||||
Oil 0.01% | ||||||||||||
Chaparral Energy, Inc. Class A* | 1,906 | 2,058,498 | ||||||||||
Dommo Energia SA*(b) | BRL | 549 | 1,321,936 | |||||||||
Templar Energy LLC Class A Units | 178 | 22,206 | ||||||||||
Total | 3,402,640 | |||||||||||
Total Common Stocks (cost $58,789,844) | 3,864,994 | |||||||||||
Principal | ||||||||||||
Amount | ||||||||||||
(000) | ||||||||||||
CONVERTIBLE BOND 0.05% | ||||||||||||
Real Estate Investment Trusts | ||||||||||||
VEREIT, Inc. (cost $29,564,514) | 3.75% | 12/15/2020 | $ | 29,318 | 29,752,659 | |||||||
CORPORATE BONDS 36.98% | ||||||||||||
Aerospace/Defense 0.42% | ||||||||||||
Arconic, Inc. | 5.40% | 4/15/2021 | 8,926 | 9,203,199 | ||||||||
Arconic, Inc. | 5.125% | 10/1/2024 | 29,283 | 31,940,871 | ||||||||
Bombardier, Inc. (Canada)†(e) | 6.00% | 10/15/2022 | 21,499 | 21,606,495 | ||||||||
Bombardier, Inc. (Canada)†(e) | 6.125% | 1/15/2023 | 78,435 | 79,721,334 | ||||||||
Bombardier, Inc. (Canada)†(e) | 8.75% | 12/1/2021 | 69,129 | 74,987,683 | ||||||||
Embraer Overseas Ltd.† | 5.696% | 9/16/2023 | 11,757 | 12,922,883 | ||||||||
Total | 230,382,465 | |||||||||||
Air Transportation 0.14% | ||||||||||||
Air Canada 2015-1 Class B Pass-Through Trust (Canada)†(e) | 3.875% | 9/15/2024 | 9,106 | 9,220,430 | ||||||||
Air Canada 2015-2 Class B Pass-Through Trust (Canada)†(e) | 5.00% | 6/15/2025 | 5,430 | 5,659,020 | ||||||||
American Airlines 2011-1 Class A Pass-Through Trust | 5.25% | 7/31/2022 | 4,359 | 4,480,747 | ||||||||
American Airlines 2013-1 Class B Pass-Through Trust† | 5.625% | 7/15/2022 | 8,435 | 8,617,067 | ||||||||
American Airlines 2013-2 Class B Pass-Through Trust† | 5.60% | 1/15/2022 | 17,699 | 17,991,680 | ||||||||
American Airlines 2014-1 Class B Pass-Through Trust | 4.375% | 4/1/2024 | 14,909 | 15,424,245 |
308 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Air Transportation (continued) | ||||||||||||
Continental Airlines Pass-Through Trust 2012-1 Class B | 6.25% | 10/11/2021 | $ | 2,522 | $ | 2,550,111 | ||||||
United Airlines 2014-1 Class B Pass-Through Trust | 4.75% | 10/11/2023 | 5,515 | 5,686,967 | ||||||||
US Airways 2012-2 Class B Pass-Through Trust | 6.75% | 12/3/2022 | 7,546 | 7,934,439 | ||||||||
Total | 77,564,706 | |||||||||||
Auto Parts: Original Equipment 0.30% | ||||||||||||
IHO Verwaltungs GmbH PIK 5.50% (Germany)†(e) | 4.75% | 9/15/2026 | 16,763 | 17,058,490 | ||||||||
Nexteer Automotive Group Ltd.† | 5.875% | 11/15/2021 | 19,774 | 20,119,810 | ||||||||
Titan International, Inc. | 6.50% | 11/30/2023 | 14,031 | 11,651,553 | ||||||||
ZF North America Capital, Inc.† | 4.00% | 4/29/2020 | 30,095 | 30,235,353 | ||||||||
ZF North America Capital, Inc.† | 4.50% | 4/29/2022 | 24,916 | 25,720,659 | ||||||||
ZF North America Capital, Inc.† | 4.75% | 4/29/2025 | 60,030 | 62,789,909 | ||||||||
Total | 167,575,774 | |||||||||||
Automotive 1.80% | ||||||||||||
BMW Finance NV (Netherlands)†(e) | 2.691% (3 Mo. LIBOR + .79% | )# | 8/12/2022 | 30,457 | 30,685,526 | |||||||
Daimler Finance North America LLC† | 2.331% (3 Mo. LIBOR + .43% | )# | 2/12/2021 | 9,077 | 9,080,473 | |||||||
Daimler Finance North America LLC† | 2.349% (3 Mo. LIBOR + .45% | )# | 2/22/2021 | 3,000 | 3,003,186 | |||||||
Daimler Finance North America LLC† | 2.452% (3 Mo. LIBOR + .55% | )# | 5/4/2021 | 23,350 | 23,386,866 | |||||||
Daimler Finance North America LLC† | 2.55% | 8/15/2022 | 25,714 | 25,891,241 | ||||||||
Daimler Finance North America LLC† | 2.561% (3 Mo. LIBOR + .67% | )# | 11/5/2021 | 1,000 | 1,004,277 | |||||||
Daimler Finance North America LLC† | 2.742% (3 Mo. LIBOR + .84% | )# | 5/4/2023 | 2,670 | 2,681,568 | |||||||
Daimler Finance North America LLC† | 2.81% (3 Mo. LIBOR + .90% | )# | 2/15/2022 | 19,030 | 19,164,960 | |||||||
Daimler Finance North America LLC† | 3.35% | 2/22/2023 | 3,850 | 3,968,561 | ||||||||
Daimler Finance North America LLC† | 3.65% | 2/22/2024 | 10,350 | 10,843,069 | ||||||||
Ford Motor Credit Co. LLC | 2.979% | 8/3/2022 | 21,161 | 21,096,477 | ||||||||
Ford Motor Credit Co. LLC | 2.982% (3 Mo. LIBOR + 1.08% | )# | 8/3/2022 | 31,901 | 31,388,084 | |||||||
Ford Motor Credit Co. LLC | 3.065% (3 Mo. LIBOR + .93% | )# | 9/24/2020 | 33,368 | 33,408,100 | |||||||
Ford Motor Credit Co. LLC | 3.096% | 5/4/2023 | 6,483 | 6,410,363 | ||||||||
Ford Motor Credit Co. LLC | 3.219% | 1/9/2022 | 15,768 | 15,813,815 | ||||||||
Ford Motor Credit Co. LLC | 3.336% | 3/18/2021 | 10,000 | 10,055,438 | ||||||||
Ford Motor Credit Co. LLC | 3.339% | 3/28/2022 | 25,368 | 25,523,909 | ||||||||
Ford Motor Credit Co. LLC | 3.81% | 1/9/2024 | 10,000 | 10,012,705 |
See Notes to Financial Statements. | 309 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Automotive (continued) | ||||||||||||
Ford Motor Credit Co. LLC | 5.584% | 3/18/2024 | $ | 80,845 | $ | 86,536,192 | ||||||
Ford Motor Credit Co. LLC | 5.596% | 1/7/2022 | 17,541 | 18,443,011 | ||||||||
Ford Motor Credit Co. LLC | 5.875% | 8/2/2021 | 48,692 | 50,984,676 | ||||||||
General Motors Financial Co., Inc. | 3.15% | 6/30/2022 | 57,254 | 58,240,235 | ||||||||
General Motors Financial Co., Inc. | 3.55% | 7/8/2022 | 14,081 | 14,458,559 | ||||||||
General Motors Financial Co., Inc. | 3.70% | 5/9/2023 | 17,096 | 17,598,163 | ||||||||
General Motors Financial Co., Inc. | 3.95% | 4/13/2024 | 31,758 | 33,018,635 | ||||||||
General Motors Financial Co., Inc. | 4.20% | 3/1/2021 | 56,815 | 58,025,925 | ||||||||
General Motors Financial Co., Inc. | 4.25% | 5/15/2023 | 13,110 | 13,751,066 | ||||||||
General Motors Financial Co., Inc. | 5.10% | 1/17/2024 | 95,239 | 102,971,862 | ||||||||
Harley-Davidson Financial Services, Inc.† | 2.847% (3 Mo. LIBOR + .94% | )# | 3/2/2021 | 4,825 | 4,855,164 | |||||||
Harley-Davidson Financial Services, Inc.† | 3.55% | 5/21/2021 | 1,000 | 1,018,748 | ||||||||
Hyundai Capital America | 2.952% (3 Mo. LIBOR + .82% | )# | 3/12/2021 | 2,732 | 2,738,276 | |||||||
Hyundai Capital America† | 3.00% | 6/20/2022 | 8,450 | 8,531,935 | ||||||||
Hyundai Capital America† | 3.25% | 9/20/2022 | 23,225 | 23,624,055 | ||||||||
Hyundai Capital America† | 3.45% | 3/12/2021 | 20,366 | 20,634,769 | ||||||||
Hyundai Capital Services, Inc. (South Korea)†(e) | 3.00% | 8/29/2022 | 38,997 | 39,320,980 | ||||||||
Nissan Motor Acceptance Corp.† | 2.55% | 3/8/2021 | 1,165 | 1,167,769 | ||||||||
Nissan Motor Acceptance Corp.† | 2.60% | 9/28/2022 | 25,830 | 25,970,944 | ||||||||
Nissan Motor Acceptance Corp.† | 2.639% (3 Mo. LIBOR + .52% | )# | 3/15/2021 | 5,410 | 5,413,179 | |||||||
Nissan Motor Acceptance Corp.† | 2.65% | 7/13/2022 | 10,430 | 10,462,525 | ||||||||
Nissan Motor Acceptance Corp.† | 2.651% (3 Mo. LIBOR + .65% | )# | 7/13/2022 | 7,240 | 7,228,749 | |||||||
Nissan Motor Acceptance Corp.† | 2.794% (3 Mo. LIBOR + .69% | )# | 9/28/2022 | 48,013 | 47,930,679 | |||||||
Nissan Motor Acceptance Corp.† | 2.891% (3 Mo. LIBOR + .89% | )# | 1/13/2022 | 5,955 | 5,982,922 | |||||||
Nissan Motor Acceptance Corp.† | 3.875% | 9/21/2023 | 5,008 | 5,230,719 | ||||||||
Volkswagen Group of America Finance LLC† | 2.675% (3 Mo. LIBOR + .77% | )# | 11/13/2020 | 5,060 | 5,080,693 | |||||||
Volkswagen Group of America Finance LLC† | 2.841% (3 Mo. LIBOR + .94% | )# | 11/12/2021 | 750 | 756,297 | |||||||
Volkswagen Group of America Finance LLC† | 2.972% (3 Mo. LIBOR + .86% | )# | 9/24/2021 | 1,000 | 1,006,624 | |||||||
Volkswagen Group of America Finance LLC† | 4.25% | 11/13/2023 | 43,234 | 46,093,908 | ||||||||
Total | 1,000,495,877 |
310 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Banks: Regional 6.04% | ||||||||||||
ABN AMRO Bank NV (Netherlands)(e) | 6.25% | 4/27/2022 | $ | 64,981 | $ | 70,145,531 | ||||||
AIB Group plc (Ireland)†(e) | 4.263% (3 Mo. LIBOR + 1.87% | )# | 4/10/2025 | 25,833 | 27,281,931 | |||||||
AIB Group plc (Ireland)†(e) | 4.75% | 10/12/2023 | 22,919 | 24,506,170 | ||||||||
Akbank T.A.S. (Turkey)†(e) | 5.00% | 10/24/2022 | 20,000 | 20,006,020 | ||||||||
ASB Bank Ltd. (New Zealand)†(e) | 3.75% | 6/14/2023 | 31,956 | 33,471,354 | ||||||||
Associated Bank NA | 3.50% | 8/13/2021 | 27,007 | 27,486,007 | ||||||||
Banco de Credito del Peru (Peru)†(e) | 2.70% | 1/11/2025 | 17,552 | 17,486,180 | ||||||||
Bank of America Corp. | 2.456% (3 Mo. LIBOR + .87% | )# | 10/22/2025 | 43,624 | 43,780,935 | |||||||
Bank of America Corp. | 2.936% (3 Mo. LIBOR + 1.00% | )# | 4/24/2023 | 11,026 | 11,156,937 | |||||||
Bank of America Corp. | 3.004% (3 Mo. LIBOR + .79% | )# | 12/20/2023 | 145,834 | 148,968,721 | |||||||
Bank of America Corp. | 3.146% (3 Mo. LIBOR + 1.18% | )# | 10/21/2022 | 9,363 | 9,497,947 | |||||||
Bank of America Corp. | 4.00% | 1/22/2025 | 4,930 | 5,248,671 | ||||||||
Bank of America Corp. | 4.20% | 8/26/2024 | 72,450 | 77,664,710 | ||||||||
Bank of Ireland Group plc (Ireland)†(e) | 4.50% | 11/25/2023 | 30,413 | 32,320,808 | ||||||||
Barclays Bank plc (United Kingdom)(e) | 2.444% (3 Mo. LIBOR + .46% | )# | 1/11/2021 | 5,000 | 4,999,625 | |||||||
Barclays Bank plc (United Kingdom)†(e) | 10.179% | 6/12/2021 | 86,748 | 96,717,102 | ||||||||
BBVA Bancomer SA† | 6.50% | 3/10/2021 | 13,469 | 14,105,410 | �� | |||||||
BBVA Bancomer SA† | 6.75% | 9/30/2022 | 15,298 | 16,583,032 | ||||||||
BBVA USA | 2.868% (3 Mo. LIBOR + .73% | )# | 6/11/2021 | 4,225 | 4,232,940 | |||||||
BBVA USA | 2.875% | 6/29/2022 | 8,785 | 8,918,907 | ||||||||
Capital One NA | 2.724% (3 Mo. LIBOR + .82% | )# | 8/8/2022 | 3,400 | 3,421,978 | |||||||
Capital One NA | 3.086% (3 Mo. LIBOR + 1.15% | )# | 1/30/2023 | 4,797 | 4,850,735 | |||||||
CIT Group, Inc. | 4.125% | 3/9/2021 | 18,321 | 18,705,741 | ||||||||
CIT Group, Inc. | 4.75% | 2/16/2024 | 27,174 | 29,076,180 | ||||||||
CIT Group, Inc. | 5.00% | 8/15/2022 | 3,109 | 3,316,659 | ||||||||
Citigroup, Inc. | 2.626% (3 Mo. LIBOR + .69% | )# | 10/27/2022 | 71,031 | 71,573,837 | |||||||
Citigroup, Inc. | 2.876% (3 Mo. LIBOR +.95% | )# | 7/24/2023 | 70,824 | 71,911,094 | |||||||
Citigroup, Inc. | 2.886% (3 Mo. LIBOR + .95% | )# | 7/24/2023 | 6,500 | 6,556,057 | |||||||
Citigroup, Inc. | 2.90% (3 Mo. LIBOR + .96% | )# | 4/25/2022 | 37,124 | 37,669,988 | |||||||
Citigroup, Inc. | 3.337% (3 Mo. LIBOR + 1.43% | )# | 9/1/2023 | 5,250 | 5,362,964 | |||||||
Citigroup, Inc. | 3.352% (3 Mo. LIBOR + .90% | )# | 4/24/2025 | 42,016 | 43,569,470 | |||||||
Citigroup, Inc. | 4.05% | 7/30/2022 | 30,148 | 31,493,185 | ||||||||
Citizens Bank NA/Providence RI | 2.629% (3 Mo. LIBOR + .72% | )# | 2/14/2022 | 9,950 | 10,004,977 | |||||||
Citizens Bank NA/Providence RI | 2.727% (3 Mo. LIBOR + .81% | )# | 5/26/2022 | 12,775 | 12,880,959 | |||||||
Citizens Bank NA/Providence RI | 3.054% (3 Mo. LIBOR + .95% | )# | 3/29/2023 | 22,245 | 22,502,975 |
See Notes to Financial Statements. | 311 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Citizens Financial Group, Inc.† | 4.15% | 9/28/2022 | $ | 9,700 | $ | 10,073,419 | ||||||
Danske Bank A/S (Denmark)†(e) | 2.75% | 9/17/2020 | 43,848 | 44,036,793 | ||||||||
Danske Bank A/S (Denmark)†(e) | 3.001% (3 Mo. LIBOR + 1.25% | )# | 9/20/2022 | 33,730 | 33,959,253 | |||||||
Danske Bank A/S (Denmark)†(e) | 5.00% | 1/12/2022 | 36,546 | 38,368,183 | ||||||||
Danske Bank A/S (Denmark)†(e) | 5.375% | 1/12/2024 | 37,947 | 41,714,045 | ||||||||
Discover Bank | 3.35% | 2/6/2023 | 26,689 | 27,513,377 | ||||||||
Goldman Sachs Group, Inc. (The) | 2.66% (3 Mo. LIBOR + .75% | )# | 2/23/2023 | 29,901 | 30,082,535 | |||||||
Goldman Sachs Group, Inc. (The) | 2.707% (3 Mo. LIBOR + .78% | )# | 10/31/2022 | 117,930 | 118,732,424 | |||||||
Goldman Sachs Group, Inc. (The) | 2.908% (3 Mo. LIBOR + 1.05% | )# | 6/5/2023 | 51,426 | 52,197,078 | |||||||
Goldman Sachs Group, Inc. (The) | 2.936% (3 Mo. LIBOR + 1.00% | )# | 7/24/2023 | 10,753 | 10,860,163 | |||||||
Goldman Sachs Group, Inc. (The) | 3.046% (3 Mo. LIBOR + 1.11% | )# | 4/26/2022 | 57,938 | 58,569,735 | |||||||
Goldman Sachs Group, Inc. (The) | 3.20% | 2/23/2023 | 4,000 | 4,115,645 | ||||||||
Goldman Sachs Group, Inc. (The) | 3.272% (3 Mo. LIBOR + 1.20% | )# | 9/29/2025 | 23,029 | 23,841,117 | |||||||
Goldman Sachs Group, Inc. (The) | 5.25% | 7/27/2021 | 29,945 | 31,469,351 | ||||||||
Goldman Sachs Group, Inc. (The) | 5.75% | 1/24/2022 | 18,050 | 19,379,646 | ||||||||
Huntington Bancshares Inc/OH | 2.625% | 8/6/2024 | 7,015 | 7,108,677 | ||||||||
ING Bank NV (Netherlands)†(e) | 5.80% | 9/25/2023 | 18,400 | 20,413,794 | ||||||||
ING Groep NV (Netherlands)(e) | 3.254% (3 Mo. LIBOR + 1.15% | )# | 3/29/2022 | 4,050 | 4,101,684 | |||||||
Intesa Sanpaolo SpA (Italy)†(e) | 6.50% | 2/24/2021 | 77,183 | 80,692,767 | ||||||||
JPMorgan Chase & Co. | 2.824% (3 Mo. LIBOR + .89% | )# | 7/23/2024 | 33,034 | 33,324,294 | |||||||
JPMorgan Chase & Co. | 3.166% (3 Mo. LIBOR + 1.23% | )# | 10/24/2023 | 65,125 | 66,290,332 | |||||||
JPMorgan Chase & Co. | 3.875% | 9/10/2024 | 58,078 | 61,742,756 | ||||||||
Lloyds Bank plc (United Kingdom)†(e) | 6.50% | 9/14/2020 | 90,296 | 93,194,884 | ||||||||
M&T Bank Corp. | 2.616% (3 Mo. LIBOR + .68% | )# | 7/26/2023 | 3,599 | 3,615,031 | |||||||
Macquarie Bank Ltd. (Australia)†(e) | 6.625% | 4/7/2021 | 24,042 | 25,402,232 | ||||||||
Macquarie Group Ltd. (Australia)†(e) | 3.189% (3 Mo. LIBOR + 1.02% | )# | 11/28/2023 | 27,716 | 28,332,404 | |||||||
Macquarie Group Ltd. (Australia)†(e) | 4.15% (3 Mo. LIBOR + 1.33% | )# | 3/27/2024 | 45,822 | 48,209,218 | |||||||
Manufacturers & Traders Trust Co. | 2.547% (3 Mo. LIBOR + .64% | )# | 12/1/2021 | 15,000 | 15,016,532 | |||||||
Manufacturers & Traders Trust Co. | 2.906% (1 Mo. LIBOR + 1.22% | )# | 12/28/2020 | 12,384 | 12,391,554 |
312 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Morgan Stanley | 2.72% (SOFR + 1.15% | )# | 7/22/2025 | $ | 26,393 | $ | 26,718,514 | |||||
Morgan Stanley | 2.883% (3 Mo. LIBOR + .93% | )# | 7/22/2022 | 3,070 | 3,098,593 | |||||||
Morgan Stanley | 3.146% (3 Mo. LIBOR + 1.18% | )# | 1/20/2022 | 47,070 | 47,567,983 | |||||||
Morgan Stanley | 3.336% (3 Mo. LIBOR + 1.14% | )# | 10/24/2023 | 54,290 | 55,498,415 | |||||||
Morgan Stanley | 3.70% | 10/23/2024 | 15,500 | 16,423,701 | ||||||||
Morgan Stanley | 4.10% | 5/22/2023 | 19,365 | 20,469,996 | ||||||||
Morgan Stanley | 4.875% | 11/1/2022 | 74,477 | 79,855,790 | ||||||||
NBK SPC Ltd. (United Arab Emirates)†(e) | 2.75% | 5/30/2022 | 32,710 | 33,002,722 | ||||||||
Nordea Bank Abp (Finland)†(e) | 4.25% | 9/21/2022 | 18,035 | 18,880,608 | ||||||||
Nordea Bank Abp (Finland)†(e) | 4.875% | 5/13/2021 | 62,259 | 64,509,136 | ||||||||
People’s United Bank NA | 4.00% | 7/15/2024 | 5,725 | 5,957,691 | ||||||||
Popular, Inc. | 6.125% | 9/14/2023 | 13,517 | 14,536,385 | ||||||||
Royal Bank of Scotland Group plc (United Kingdom)(e) | 6.125% | 12/15/2022 | 14,683 | 15,941,828 | ||||||||
Santander UK Group Holdings plc (United Kingdom)(e) | 3.373% (3 Mo. LIBOR + 1.08% | )# | 1/5/2024 | 36,966 | 37,577,775 | |||||||
Standard Chartered Bank Hong Kong Ltd. (Hong Kong)(e) | 5.875% | 6/24/2020 | 30,122 | 30,652,128 | ||||||||
Standard Chartered PLC†(e) | 2.744% (3 Mo. LIBOR + 1.20% | )# | 9/10/2022 | 9,213 | 9,252,090 | |||||||
Standard Chartered plc (United Kingdom)†(e) | 4.247% (3 Mo. LIBOR + 1.15% | )# | 1/20/2023 | 41,630 | 43,041,559 | |||||||
SunTrust Bank/Atlanta GA | 2.492% (3 Mo. LIBOR + .59% | )# | 8/2/2022 | 2,300 | 2,307,231 | |||||||
Swedbank AB (Sweden)†(e) | 2.80% | 3/14/2022 | 30,591 | 30,921,262 | ||||||||
Swedbank AB (Sweden)†(e) | 2.819% (3 Mo. LIBOR + .70% | )# | 3/14/2022 | 1,300 | 1,302,218 | |||||||
Synovus Financial Corp. | 3.125% | 11/1/2022 | 1,985 | 2,008,175 | ||||||||
Toronto-Dominion Bank (The) (Canada)(e) | 2.437% (3 Mo. LIBOR + .53% | )# | 12/1/2022 | 43,322 | 43,460,722 | |||||||
Turkiye Halk Bankasi AS (Turkey)†(e) | 3.875% | 2/5/2020 | 9,282 | 9,217,193 | ||||||||
Turkiye Vakiflar Bankasi TAO (Turkey)†(e) | 5.625% | 5/30/2022 | 33,879 | 33,660,142 | ||||||||
Turkiye Vakiflar Bankasi TAO (Turkey)†(e) | 5.75% | 1/30/2023 | 17,943 | 17,613,297 | ||||||||
UBS AG | 7.625% | 8/17/2022 | 137,626 | 155,325,392 | ||||||||
UBS AG (Switzerland)(e) | 5.125% | 5/15/2024 | 30,095 | 32,448,489 | ||||||||
UBS Group AG (Switzerland)†(e) | 3.13% (3 Mo. LIBOR + 1.22% | )# | 5/23/2023 | 83,348 | 84,486,294 | |||||||
UBS Group Funding Switzerland AG (Switzerland)†(e) | 2.65% | 2/1/2022 | 32,085 | 32,387,479 | ||||||||
UBS Group Funding Switzerland AG (Switzerland)†(e) | 2.859% (3 Mo. LIBOR + .95% | )# | 8/15/2023 | 10,282 | 10,413,143 | |||||||
UBS Group Funding Switzerland AG (Switzerland)†(e) | 3.491% | 5/23/2023 | 28,338 | 29,119,267 |
See Notes to Financial Statements. | 313 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Wells Fargo & Co. | 2.406% (3 Mo. LIBOR + .83% | )# | 10/30/2025 | $ | 65,466 | $ | 65,355,072 | |||||
Wells Fargo & Co. | 2.831% (3 Mo. LIBOR + .93% | )# | 2/11/2022 | 8,742 | 8,805,634 | |||||||
Wells Fargo & Co. | 3.046% (3 Mo. LIBOR + 1.11% | )# | 1/24/2023 | 28,976 | 29,368,376 | |||||||
Wells Fargo & Co. | 3.157% (3 Mo. LIBOR + 1.23% | )# | 10/31/2023 | 38,483 | 39,161,663 | |||||||
Wells Fargo & Co. | 3.75% | 1/24/2024 | 27,382 | 28,941,834 | ||||||||
Wells Fargo & Co. | 4.125% | 8/15/2023 | 4,847 | 5,139,932 | ||||||||
Wells Fargo & Co. | 4.48% | 1/16/2024 | 18,747 | 20,282,463 | ||||||||
Zions Bancorp N.A. | 3.35% | 3/4/2022 | 36,198 | 37,035,950 | ||||||||
Total | 3,353,970,802 | |||||||||||
Beverages 0.08% | ||||||||||||
Bacardi Ltd.† | 4.45% | 5/15/2025 | 2,400 | 2,568,487 | ||||||||
Constellation Brands, Inc. | 2.61% (3 Mo. LIBOR + .70% | )# | 11/15/2021 | 906 | 906,023 | |||||||
Constellation Brands, Inc. | 4.75% | 11/15/2024 | 14,512 | 16,083,947 | ||||||||
Keurig Dr Pepper, Inc. | 3.20% | 11/15/2021 | 25,234 | 25,619,710 | ||||||||
Keurig Dr Pepper, Inc. | 2.70% | 11/15/2022 | 775 | 781,768 | ||||||||
Total | 45,959,935 | |||||||||||
Building Materials 0.43% | ||||||||||||
Boral Finance Pty Ltd. (Australia)†(e) | 3.00% | 11/1/2022 | 15,785 | 15,856,753 | ||||||||
CPG Merger Sub LLC† | 8.00% | 10/1/2021 | 30,597 | 30,584,761 | ||||||||
Griffon Corp. | 5.25% | 3/1/2022 | 44,403 | 44,889,346 | ||||||||
Holcim US Finance Sarl & Cie SCS (Luxembourg)†(e) | 6.00% | 12/30/2019 | 71,442 | 71,631,419 | ||||||||
Johnson Controls International plc | 5.00% | 3/30/2020 | 225 | 227,143 | ||||||||
Martin Marietta Materials, Inc. | 4.25% | 7/2/2024 | 4,950 | 5,302,864 | ||||||||
Owens Corning | 4.20% | 12/1/2024 | 43,137 | 45,481,717 | ||||||||
Vulcan Materials Co. | 2.557% (3 Mo. LIBOR + .65% | )# | 3/1/2021 | 27,104 | 27,184,733 | |||||||
Total | 241,158,736 | |||||||||||
Business Services 0.27% | ||||||||||||
Adani Ports & Special Economic Zone Ltd. (India)†(e) | 3.375% | 7/24/2024 | 30,600 | 30,937,791 | ||||||||
Adani Ports & Special Economic Zone Ltd. (India)†(e) | 3.95% | 1/19/2022 | 4,495 | 4,599,173 | ||||||||
Ashtead Capital, Inc.† | 5.625% | 10/1/2024 | 15,631 | 16,114,232 | ||||||||
Capitol Investment Merger Sub 2 LLC† | 10.00% | 8/1/2024 | 8,118 | 8,121,369 | ||||||||
IHS Markit Ltd. (United Kingdom)(e) | 3.625% | 5/1/2024 | 12,813 | 13,375,106 | ||||||||
IHS Markit Ltd. (United Kingdom)(e) | 4.125% | 8/1/2023 | 23,405 | 24,799,470 | ||||||||
Laureate Education, Inc.† | 8.25% | 5/1/2025 | 8,414 | 9,108,071 | ||||||||
Refinitiv US Holdings, Inc.† | 8.25% | 11/15/2026 | 21,171 | 23,738,513 | ||||||||
Sotera Health Topco, Inc. PIK 8.875%† | 8.125% | 11/1/2021 | 17,628 | 17,592,744 | ||||||||
Total | 148,386,469 |
314 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Chemicals 0.50% | ||||||||||||
Blue Cube Spinco LLC | 9.75% | 10/15/2023 | $ | 8,311 | $ | 9,058,907 | ||||||
Celanese US Holdings LLC | 4.625% | 11/15/2022 | 13,901 | 14,711,125 | ||||||||
Celanese US Holdings LLC | 5.875% | 6/15/2021 | 48,400 | 50,909,364 | ||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(e) | 3.00% | 7/19/2020 | 20,930 | 21,007,333 | ||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(e) | 3.50% | 7/19/2022 | 19,800 | 20,107,855 | ||||||||
DuPont de Nemours, Inc. | 4.205% | 11/15/2023 | 19,017 | 20,319,883 | ||||||||
Equate Petrochemical BV (Netherlands)†(e) | 3.00% | 3/3/2022 | 11,400 | 11,444,061 | ||||||||
Mosaic Co. (The) | 3.25% | 11/15/2022 | 6,000 | 6,134,435 | ||||||||
Mosaic Co. (The) | 4.25% | 11/15/2023 | 6,400 | 6,826,061 | ||||||||
NOVA Chemicals Corp. (Canada)†(e) | 5.25% | 8/1/2023 | 21,657 | 21,873,353 | ||||||||
Nutrien Ltd. (Canada)(e) | 3.00% | 4/1/2025 | 11,625 | 11,836,035 | ||||||||
Nutrien Ltd. (Canada)(e) | 3.375% | 3/15/2025 | 6,978 | 7,232,667 | ||||||||
SABIC Capital II BV (Netherlands)†(e) | 4.00% | 10/10/2023 | 18,560 | 19,538,019 | ||||||||
Syngenta Finance NV (Netherlands)†(e) | 3.698% | 4/24/2020 | 21,687 | 21,754,844 | ||||||||
Syngenta Finance NV (Netherlands)†(e) | 3.933% | 4/23/2021 | 26,837 | 27,312,402 | ||||||||
Syngenta Finance NV (Netherlands)†(e) | 4.441% | 4/24/2023 | 9,425 | 9,829,094 | ||||||||
Total | 279,895,438 | |||||||||||
Computer Hardware 0.60% | ||||||||||||
Dell International LLC/EMC Corp.† | 4.00% | 7/15/2024 | 23,850 | 24,910,393 | ||||||||
Dell International LLC/EMC Corp.† | 5.45% | 6/15/2023 | 167,010 | 181,171,013 | ||||||||
Dell International LLC/EMC Corp.† | 5.875% | 6/15/2021 | 12,635 | 12,840,319 | ||||||||
Dell International LLC/EMC Corp.† | 7.125% | 6/15/2024 | 6,922 | 7,328,668 | ||||||||
Hewlett Packard Enterprise Co. | 2.763% (3 Mo. LIBOR + .72% | )# | 10/5/2021 | 60,895 | 60,903,502 | |||||||
Hewlett Packard Enterprise Co. | 2.807% (3 Mo. LIBOR + .68% | )# | 3/12/2021 | 36,963 | 37,120,911 | |||||||
HT Global IT Solutions Holdings Ltd. (Mauritius)†(e) | 7.00% | 7/14/2021 | 9,770 | 10,089,967 | ||||||||
Total | 334,364,773 | |||||||||||
Computer Software 0.60% | ||||||||||||
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Ho† | 10.00% | 11/30/2024 | 50,287 | 54,246,598 | ||||||||
Infor US, Inc. | 6.50% | 5/15/2022 | 10,132 | 10,347,741 | ||||||||
Informatica LLC† | 7.125% | 7/15/2023 | 31,619 | 32,211,540 | ||||||||
RP Crown Parent LLC† | 7.375% | 10/15/2024 | 16,607 | 17,236,654 | ||||||||
Solera LLC/Solera Finance, Inc.† | 10.50% | 3/1/2024 | 81,960 | 85,544,930 | ||||||||
Sophia LP/Sophia Finance, Inc.† | 9.00% | 9/30/2023 | 51,847 | 53,423,927 | ||||||||
TIBCO Software, Inc.† | 11.375% | 12/1/2021 | 79,672 | 82,311,135 | ||||||||
Total | 335,322,525 |
See Notes to Financial Statements. | 315 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Construction/Homebuilding 0.20% | ||||||||||||
D.R. Horton, Inc. | 2.50% | 10/15/2024 | $ | 41,685 | $ | 41,703,317 | ||||||
D.R. Horton, Inc. | 4.375% | 9/15/2022 | 9,273 | 9,723,342 | ||||||||
D.R. Horton, Inc. | 4.75% | 2/15/2023 | 4,048 | 4,329,285 | ||||||||
D.R. Horton, Inc. | 5.75% | 8/15/2023 | 26,036 | 28,740,327 | ||||||||
M/I Homes, Inc. | 6.75% | 1/15/2021 | 13,024 | 13,110,610 | ||||||||
William Lyon Homes, Inc. | 7.00% | 8/15/2022 | 4,059 | 4,071,684 | ||||||||
Williams Scotsman International, Inc.†(c) | 7.875% | 12/15/2022 | 10,212 | 10,674,726 | ||||||||
Total | 112,353,291 | |||||||||||
Containers 0.18% | ||||||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA | 5.75% | 10/15/2020 | 97,616 | 97,855,442 | ||||||||
Drugs 1.79% | ||||||||||||
AbbVie, Inc.† | 2.545% (3 Mo. LIBOR + .65% | )# | 11/21/2022 | 70,697 | 70,984,728 | |||||||
AbbVie, Inc.† | 2.60% | 11/21/2024 | 111,689 | 112,322,403 | ||||||||
AbbVie, Inc. | 3.75% | 11/14/2023 | 16,123 | 16,957,600 | ||||||||
AstraZeneca plc (United Kingdom)(e) | 2.569% (3 Mo. LIBOR + .67% | )# | 8/17/2023 | 24,263 | 24,312,448 | |||||||
AstraZeneca plc (United Kingdom)(e) | 2.754% (3 Mo. LIBOR + .62% | )# | 6/10/2022 | 11,437 | 11,478,960 | |||||||
Bayer US Finance II LLC† | 2.736% (3 Mo. LIBOR + .63% | )# | 6/25/2021 | 70,981 | 71,218,594 | |||||||
Bayer US Finance II LLC† | 2.75% | 7/15/2021 | 18,595 | 18,675,567 | ||||||||
Bayer US Finance II LLC† | 3.129% (3 Mo. LIBOR + 1.01% | )# | 12/15/2023 | 80,636 | 81,050,225 | |||||||
Bayer US Finance II LLC† | 3.875% | 12/15/2023 | 154,613 | 162,272,996 | ||||||||
Cardinal Health, Inc. | 2.889% (3 Mo. LIBOR+ .77% | )# | 6/15/2022 | 69,195 | 69,403,368 | |||||||
Cardinal Health, Inc. | 3.079% | 6/15/2024 | 65,863 | 67,361,712 | ||||||||
Cardinal Health, Inc. | 3.20% | 6/15/2022 | 6,000 | 6,134,589 | ||||||||
Cardinal Health, Inc. | 3.50% | 11/15/2024 | 37,187 | 38,745,192 | ||||||||
Cigna Corp. | 2.489% (3 Mo. LIBOR + .35% | )# | 3/17/2020 | 4,425 | 4,427,595 | |||||||
Cigna Corp. | 2.789% (3 Mo. LIBOR + .65% | )# | 9/17/2021 | 33,609 | 33,616,685 | |||||||
Cigna Corp. | 2.891% (3 Mo. LIBOR + .89% | )# | 7/15/2023 | 42,491 | 42,678,677 | |||||||
Cigna Corp.† | 3.25% | 4/15/2025 | 18,623 | 19,189,365 | ||||||||
Cigna Corp.† | 3.50% | 6/15/2024 | 32,018 | 33,288,662 | ||||||||
Cigna Corp. | 3.75% | 7/15/2023 | 38,010 | 39,758,927 | ||||||||
CVS Health Corp. | 2.822% (3 Mo. LIBOR + .72% | )# | 3/9/2021 | 10,227 | 10,277,821 | |||||||
CVS Health Corp. | 4.00% | 12/5/2023 | 17,659 | 18,679,220 | ||||||||
Elanco Animal Health, Inc. | 3.912% | 8/27/2021 | 10,724 | 10,997,480 | ||||||||
Elanco Animal Health, Inc. | 4.272% | 8/28/2023 | 26,357 | 27,599,434 | ||||||||
Zoetis, Inc. | 2.339% (3 Mo. LIBOR + .44% | )# | 8/20/2021 | 1,425 | 1,426,831 | |||||||
Total | 992,859,079 |
316 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Power 2.61% | ||||||||||||
AES Corp. (The) | 4.875% | 5/15/2023 | $ | 20,236 | $ | 20,640,518 | ||||||
Alliant Energy Finance LLC† | 3.75% | 6/15/2023 | 745 | 777,506 | ||||||||
Ausgrid Finance Pty Ltd. (Australia)†(e) | 3.85% | 5/1/2023 | 74,602 | 77,638,677 | ||||||||
Avangrid, Inc. | 3.15% | 12/1/2024 | 11,044 | 11,392,258 | ||||||||
CenterPoint Energy, Inc. | 2.50% | 9/1/2024 | 19,201 | 19,216,980 | ||||||||
Comision Federal de Electricidad (Mexico)†(e) | 4.875% | 1/15/2024 | 23,733 | 25,368,560 | ||||||||
Comision Federal de Electricidad (Mexico)†(e) | 4.875% | 5/26/2021 | 69,872 | 72,170,789 | ||||||||
Dominion Energy, Inc. | 2.715% | 8/15/2021 | 21,986 | 22,132,780 | ||||||||
Dominion Energy, Inc. | 3.071% | 8/15/2024 | 69,140 | 70,895,488 | ||||||||
Dominion Energy, Inc. | 4.104% | 4/1/2021 | 57,101 | 58,445,393 | ||||||||
DPL, Inc. | 7.25% | 10/15/2021 | 12,335 | 12,864,171 | ||||||||
DTE Energy Co. | 2.529% | 10/1/2024 | 64,222 | 64,302,409 | ||||||||
DTE Energy Co. | 3.30% | 6/15/2022 | 1,010 | 1,034,145 | ||||||||
DTE Energy Co. | 3.50% | 6/1/2024 | 4,445 | 4,625,340 | ||||||||
Duquesne Light Holdings, Inc.† | 5.90% | 12/1/2021 | 37,493 | 39,888,728 | ||||||||
Duquesne Light Holdings, Inc.† | 6.40% | 9/15/2020 | 27,314 | 28,142,963 | ||||||||
Enel Finance International NV (Netherlands)†(e) | 2.65% | 9/10/2024 | 41,257 | 41,299,784 | ||||||||
Enel Finance International NV (Netherlands)†(e) | 2.75% | 4/6/2023 | 37,000 | 37,312,783 | ||||||||
Enel Finance International NV (Netherlands)†(e) | 2.875% | 5/25/2022 | 90,277 | 91,233,473 | ||||||||
Enel Finance International NV (Netherlands)†(e) | 4.25% | 9/14/2023 | 36,631 | 38,765,897 | ||||||||
Evergy, Inc. | 2.45% | 9/15/2024 | 36,076 | 36,133,396 | ||||||||
FirstEnergy Transmission LLC† | 4.35% | 1/15/2025 | 28,198 | 30,447,530 | ||||||||
Florida Power & Light Co. | 2.308% (3 Mo. LIBOR + .40% | )# | 5/6/2022 | 77,566 | 77,568,391 | |||||||
Georgia Power Co. | 2.20% | 9/15/2024 | 6,862 | 6,832,389 | ||||||||
IPALCO Enterprises, Inc. | 3.70% | 9/1/2024 | 1,089 | 1,131,951 | ||||||||
Jersey Central Power & Light Co.† | 4.70% | 4/1/2024 | 56,165 | 61,105,155 | ||||||||
NextEra Energy Capital Holdings, Inc. | 2.382% (3 Mo. LIBOR + .48% | )# | 5/4/2021 | 3,000 | 3,005,394 | |||||||
NextEra Energy Capital Holdings, Inc. | 2.63% (3 Mo. LIBOR + .72% | )# | 2/25/2022 | 8,025 | 8,091,811 | |||||||
NRG Energy, Inc.† | 3.75% | 6/15/2024 | 45,133 | 46,549,897 | ||||||||
Origin Energy Finance Ltd. (Australia)†(e) | 5.45% | 10/14/2021 | 18,162 | 19,144,439 | ||||||||
PNM Resources, Inc. | 3.25% | 3/9/2021 | 18,627 | 18,862,490 | ||||||||
PPL Capital Funding, Inc. | 3.40% | 6/1/2023 | 13,785 | 14,182,908 | ||||||||
PPL Capital Funding, Inc. | 3.50% | 12/1/2022 | 6,667 | 6,881,056 | ||||||||
PPL Capital Funding, Inc. | 3.95% | 3/15/2024 | 21,203 | 22,330,337 | ||||||||
PPL WEM Ltd./Western Power Distribution Ltd. (United Kingdom)†(e) | 5.375% | 5/1/2021 | 66,546 | 68,640,392 | ||||||||
PSEG Power LLC | 4.15% | 9/15/2021 | 1,165 | 1,195,842 |
See Notes to Financial Statements. | 317 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Power (continued) | ||||||||||||
Puget Energy, Inc. | 5.625% | 7/15/2022 | $ | 19,449 | $ | 20,805,600 | ||||||
Puget Energy, Inc. | 6.00% | 9/1/2021 | 34,081 | 36,242,794 | ||||||||
SCANA Corp. | 4.125% | 2/1/2022 | 16,222 | 16,619,890 | ||||||||
SCANA Corp. | 4.75% | 5/15/2021 | 30,538 | 31,244,409 | ||||||||
SCANA Corp. | 6.25% | 4/1/2020 | 15,162 | 15,317,417 | ||||||||
Sempra Energy | 2.501% (3 Mo. LIBOR + .50% | )# | 1/15/2021 | 10,794 | 10,794,497 | |||||||
Sempra Energy | 2.569% (3 Mo. LIBOR + .45% | )# | 3/15/2021 | 30,947 | 30,949,111 | |||||||
TransAlta Corp. (Canada)(e) | 4.50% | 11/15/2022 | 20,321 | 20,957,902 | ||||||||
Vistra Operations Co. LLC† | 3.55% | 7/15/2024 | 106,076 | 107,104,368 | ||||||||
Total | 1,450,288,008 | |||||||||||
Electrical Equipment 0.93% | ||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 2.65% | 1/15/2023 | 16,659 | 16,686,394 | ||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 3.00% | 1/15/2022 | 49,711 | 50,281,602 | ||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 3.625% | 1/15/2024 | 71,174 | 73,265,182 | ||||||||
Broadcom, Inc.† | 3.125% | 10/15/2022 | 38,689 | 39,352,796 | ||||||||
Broadcom, Inc.† | 3.625% | 10/15/2024 | 153,059 | 157,426,949 | ||||||||
KLA Corp. | 4.65% | 11/1/2024 | 28,262 | 31,064,338 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(e) | 3.875% | 9/1/2022 | 23,662 | 24,495,684 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(e) | 4.125% | 6/1/2021 | 75,390 | 77,287,776 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(e) | 4.625% | 6/1/2023 | 29,043 | 30,979,518 | ||||||||
NXP BV/NXP Funding LLC (Netherlands)†(e) | 4.875% | 3/1/2024 | 15,418 | 16,751,875 | ||||||||
Total | 517,592,114 | |||||||||||
Electronics 0.08% | ||||||||||||
Trimble, Inc. | 4.15% | 6/15/2023 | 30,689 | 32,268,797 | ||||||||
Trimble, Inc. | 4.75% | 12/1/2024 | 9,077 | 9,838,876 | ||||||||
Total | 42,107,673 | |||||||||||
Energy Equipment & Services 0.06% | ||||||||||||
Greenko Mauritius Ltd. (India)†(e) | 6.25% | 2/21/2023 | 30,255 | 31,016,979 | ||||||||
Entertainment 0.21% | ||||||||||||
Eldorado Resorts, Inc. | 7.00% | 8/1/2023 | 8,846 | 9,269,856 | ||||||||
Enterprise Development Authority (The)† | 12.00% | 7/15/2024 | 22,106 | 25,154,749 | ||||||||
Scientific Games International, Inc. | 6.25% | 9/1/2020 | 24,837 | 24,892,883 | ||||||||
Scientific Games International, Inc. | 6.625% | 5/15/2021 | 26,158 | 26,593,531 | ||||||||
Scientific Games International, Inc. | 10.00% | 12/1/2022 | 32,155 | 33,039,263 | ||||||||
Total | 118,950,282 |
318 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Financial Services 2.15% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(e) | 3.50% | 1/15/2025 | $ | 18,805 | $ | 19,375,090 | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(e) | 3.50% | 5/26/2022 | 8,657 | 8,896,491 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(e) | 4.45% | 12/16/2021 | 6,884 | 7,171,296 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(e) | 4.875% | 1/16/2024 | 8,989 | 9,748,517 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(e) | 5.00% | 10/1/2021 | 4,810 | 5,042,473 | ||||||||
Air Lease Corp. | 4.25% | 2/1/2024 | 27,682 | 29,583,319 | ||||||||
Aircastle Ltd. | 4.125% | 5/1/2024 | 10,456 | 10,938,911 | ||||||||
Aircastle Ltd. | 4.40% | 9/25/2023 | 44,457 | 47,149,985 | ||||||||
Aircastle Ltd. | 5.00% | 4/1/2023 | 19,704 | 21,138,738 | ||||||||
Aircastle Ltd. | 5.50% | 2/15/2022 | 38,028 | 40,456,895 | ||||||||
Aircastle Ltd. | 7.625% | 4/15/2020 | 15,193 | 15,491,444 | ||||||||
Ally Financial, Inc. | 3.875% | 5/21/2024 | 16,265 | 16,949,513 | ||||||||
American Express Co. | 2.569% (3 Mo. LIBOR + .65% | )# | 2/27/2023 | 8,000 | 8,031,844 | |||||||
Avolon Holdings Funding Ltd. (Ireland)†(e) | 5.125% | 10/1/2023 | 61,037 | 65,786,594 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(e) | 5.25% | 5/15/2024 | 45,647 | 49,733,091 | ||||||||
Avolon Holdings Funding Ltd. (Ireland)†(e) | 5.50% | 1/15/2023 | 7,782 | 8,389,113 | ||||||||
Capital One Financial Corp. | 2.656% (3 Mo. LIBOR + .72% | )# | 1/30/2023 | 18,423 | 18,457,271 | |||||||
Capital One Financial Corp. | 3.052% (3 Mo. LIBOR + .95% | )# | 3/9/2022 | 22,035 | 22,263,218 | |||||||
Capital One Financial Corp. | 3.90% | 1/29/2024 | 5,000 | 5,281,711 | ||||||||
Discover Financial Services | 3.85% | 11/21/2022 | 13,841 | 14,505,656 | ||||||||
Discover Financial Services | 5.20% | 4/27/2022 | 35,645 | 38,011,148 | ||||||||
E*TRADE Financial Corp. | 2.95% | 8/24/2022 | 24,782 | 25,124,572 | ||||||||
GE Capital International Funding Co. Unlimited Co. (Ireland)(e) | 2.342% | 11/15/2020 | 20,271 | 20,255,167 | ||||||||
Global Aircraft Leasing Co. Ltd. PIK 7.25%† | 6.50% | 9/15/2024 | 28,514 | 29,235,404 | ||||||||
International Lease Finance Corp. | 8.25% | 12/15/2020 | 95,118 | 100,997,764 | ||||||||
International Lease Finance Corp. | 8.625% | 1/15/2022 | 57,816 | 65,245,124 | ||||||||
Jefferies Financial Group, Inc. | 5.50% | 10/18/2023 | 58,920 | 64,321,014 | ||||||||
Jefferies Group LLC | 6.875% | 4/15/2021 | 18,250 | 19,310,725 | ||||||||
Muthoot Finance Ltd. (India)†(e) | 6.125% | 10/31/2022 | 25,082 | 25,878,354 | ||||||||
Nationstar Mortgage Holdings, Inc.† | 8.125% | 7/15/2023 | 62,392 | 66,914,796 | ||||||||
Navient Corp. | 5.00% | 10/26/2020 | 43,636 | 44,576,901 | ||||||||
Navient Corp. | 5.875% | 3/25/2021 | 16,713 | 17,322,189 | ||||||||
Navient Corp. | 6.625% | 7/26/2021 | 60,898 | 64,689,509 |
See Notes to Financial Statements. | 319 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Financial Services (continued) | ||||||||||||
Nuveen Finance LLC† | 4.125% | 11/1/2024 | $ | 625 | $ | 676,150 | ||||||
Park Aerospace Holdings Ltd. (Ireland)†(e) | 3.625% | 3/15/2021 | 11,530 | 11,675,855 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(e) | 4.50% | 3/15/2023 | 54,138 | 56,851,126 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(e) | 5.25% | 8/15/2022 | 23,251 | 24,760,269 | ||||||||
Park Aerospace Holdings Ltd. (Ireland)†(e) | 5.50% | 2/15/2024 | 84,580 | 92,670,077 | ||||||||
Total | 1,192,907,314 | |||||||||||
Food 0.33% | ||||||||||||
Campbell Soup Co. | 2.749% (3 Mo. LIBOR + .63% | )# | 3/15/2021 | 14,766 | 14,803,321 | |||||||
Conagra Brands, Inc. | 2.703% (3 Mo. LIBOR + .75% | )# | 10/22/2020 | 5,036 | 5,036,583 | |||||||
General Mills, Inc. | 2.541% (3 Mo. LIBOR + .54% | )# | 4/16/2021 | 5,926 | 5,946,389 | |||||||
General Mills, Inc. | 3.012% (3 Mo. LIBOR + 1.01% | )# | 10/17/2023 | 31,668 | 32,122,135 | |||||||
Ingles Markets, Inc.(c) | 5.75% | 6/15/2023 | 27,070 | 27,678,804 | ||||||||
JBS USA LUX SA/JBS USA Finance, Inc.† | 5.875% | 7/15/2024 | 26,610 | 27,468,172 | ||||||||
Kraft Heinz Foods Co. | 2.471% (3 Mo. LIBOR + .57% | )# | 2/10/2021 | 10,239 | 10,248,023 | |||||||
Kraft Heinz Foods Co. | 2.721% (3 Mo. LIBOR + .82% | )# | 8/10/2022 | 2,300 | 2,308,106 | |||||||
Smithfield Foods, Inc.† | 2.65% | 10/3/2021 | 18,690 | 18,563,621 | ||||||||
Smithfield Foods, Inc.† | 2.70% | 1/31/2020 | 14,607 | 14,606,784 | ||||||||
Smithfield Foods, Inc.† | 3.35% | 2/1/2022 | 22,803 | 22,939,913 | ||||||||
Total | 181,721,851 | |||||||||||
Health Care Products 0.20% | ||||||||||||
Becton Dickinson & Co. | 2.979% (3 Mo. LIBOR + .88% | )# | 12/29/2020 | 26,712 | 26,729,007 | |||||||
Becton Dickinson and Co. | 3.142% (3 Mo. LIBOR + 1.03% | )# | 6/6/2022 | 43,521 | 43,976,635 | |||||||
Fresenius US Finance II, Inc.† | 4.25% | 2/1/2021 | 30,922 | 31,561,885 | ||||||||
Kinetic Concepts, Inc./KCI USA, Inc.† | 12.50% | 11/1/2021 | 3,481 | 3,630,335 | ||||||||
Zimmer Biomet Holdings, Inc. | 2.914% (3 Mo. LIBOR + .75% | )# | 3/19/2021 | 2,000 | 2,000,386 | |||||||
Total | 107,898,248 | |||||||||||
Health Care Services 0.63% | ||||||||||||
Acadia Healthcare Co., Inc. | 5.125% | 7/1/2022 | 5,607 | 5,650,802 | ||||||||
Acadia Healthcare Co., Inc. | 5.625% | 2/15/2023 | 9,454 | 9,654,803 | ||||||||
Acadia Healthcare Co., Inc. | 6.125% | 3/15/2021 | 15,207 | 15,245,017 | ||||||||
Anthem, Inc. | 3.35% | 12/1/2024 | 3,725 | 3,884,876 | ||||||||
Anthem, Inc. | 3.50% | 8/15/2024 | 2,065 | 2,162,448 | ||||||||
CommonSpirit Health | 2.76% | 10/1/2024 | 32,146 | 32,493,040 | ||||||||
Eagle Holding Co. II LLC PIK 8.375%† | 7.625% | 5/15/2022 | 18,376 | 18,651,511 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 4.125% | 10/15/2020 | 16,485 | 16,669,699 | ||||||||
Fresenius Medical Care US Finance II, Inc.† | 4.75% | 10/15/2024 | 13,246 | 14,318,793 |
320 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Health Care Services (continued) | ||||||||||||
Fresenius Medical Care US Finance II, Inc.† | 5.875% | 1/31/2022 | $ | 35,710 | $ | 38,187,451 | ||||||
Fresenius Medical Care US Finance, Inc.† | 5.75% | 2/15/2021 | 10,822 | 11,237,826 | ||||||||
HCA, Inc. | 5.00% | 3/15/2024 | 103,924 | 112,947,055 | ||||||||
Universal Health Services, Inc.† | 4.75% | 8/1/2022 | 65,120 | 65,974,244 | ||||||||
Universal Health Services, Inc.† | 5.00% | 6/1/2026 | 1,000 | 1,057,848 | ||||||||
Total | 348,135,413 | |||||||||||
Household Equipment/Products 0.49% | ||||||||||||
Newell Brands, Inc. | 3.85% | 4/1/2023 | 136,660 | 141,039,189 | ||||||||
Newell Brands, Inc. | 4.70% | 8/15/2020 | 4,882 | 4,960,384 | ||||||||
Reckitt Benckiser Treasury Services plc(United Kingdom)†(e) | 2.695% (3 Mo. LIBOR + .56% | )# | 6/24/2022 | 126,732 | 127,028,677 | |||||||
Total | 273,028,250 | |||||||||||
Household Furnishings 0.00% | ||||||||||||
Leggett & Platt, Inc. | 3.40% | 8/15/2022 | 1,397 | 1,424,913 | ||||||||
Insurance 0.15% | ||||||||||||
Allstate Corp. (The) | 2.734% (3 Mo. LIBOR + .63% | )# | 3/29/2023 | 7,788 | 7,813,556 | |||||||
Assurant, Inc. | 3.363% (3 Mo. LIBOR + 1.25% | )# | 3/26/2021 | 133 | 133,012 | |||||||
Assurant, Inc. | 4.20% | 9/27/2023 | 27,456 | 28,575,227 | ||||||||
AXA Equitable Holdings, Inc. | 3.90% | 4/20/2023 | 13,685 | 14,337,651 | ||||||||
Brown & Brown, Inc. | 4.20% | 9/15/2024 | 1,967 | 2,092,096 | ||||||||
CNA Financial Corp. | 7.25% | 11/15/2023 | 3,990 | 4,655,147 | ||||||||
CNO Financial Group, Inc. | 5.25% | 5/30/2025 | 13,477 | 14,967,219 | ||||||||
Fidelity National Financial, Inc. | 5.50% | 9/1/2022 | 1,135 | 1,232,132 | ||||||||
Old Republic International Corp. | 4.875% | 10/1/2024 | 2,545 | 2,791,208 | ||||||||
Peachtree Corners Funding Trust† | 3.976% | 2/15/2025 | 487 | 512,662 | ||||||||
Unum Group | 4.00% | 3/15/2024 | 1,161 | 1,225,710 | ||||||||
Willis North America, Inc. | 3.60% | 5/15/2024 | 6,125 | 6,395,956 | ||||||||
Total | 84,731,576 | |||||||||||
Investment Management Companies 0.05% | ||||||||||||
MDGH - GMTN BV (Netherlands)†(e) | 2.50% | 11/7/2024 | 27,674 | 27,819,289 | ||||||||
Leasing 0.39% | ||||||||||||
Aviation Capital Group LLC† | 2.875% | 1/20/2022 | 9,372 | 9,400,903 | ||||||||
Aviation Capital Group LLC† | 3.875% | 5/1/2023 | 42,592 | 43,897,932 | ||||||||
DAE Funding LLC (United Arab Emirates)†(e) | 4.00% | 8/1/2020 | 14,012 | 14,140,035 | ||||||||
GATX Corp. | 2.611% (3 Mo. LIBOR + .72% | )# | 11/5/2021 | 1,100 | 1,104,230 | |||||||
GATX Corp. | 4.35% | 2/15/2024 | 20,040 | 21,438,758 |
See Notes to Financial Statements. | 321 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Leasing (continued) | ||||||||||||
Penske Truck Leasing Co. Lp / PTL Finance Corp.† | 2.70% | 3/14/2023 | $ | 3,500 | $ | 3,529,598 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.† | 4.125% | 8/1/2023 | 8,429 | 8,911,189 | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.† | 4.25% | 1/17/2023 | 2,500 | 2,641,153 | ||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.† | 4.875% | 7/11/2022 | 3,005 | 3,200,803 | ||||||||
Penske Truck Leasing Co., LP/PTL Finance Corp.† | 2.70% | 11/1/2024 | 47,611 | 47,920,376 | ||||||||
Penske Truck Leasing Co., LP/PTL Finance Corp.† | 3.45% | 7/1/2024 | 52,219 | 54,208,923 | ||||||||
Penske Truck Leasing Co., LP/PTL Finance Corp.† | 3.90% | 2/1/2024 | 6,692 | 7,046,766 | ||||||||
Total | 217,440,666 | |||||||||||
Leisure 0.30% | ||||||||||||
LTF Merger Sub, Inc.† | 8.50% | 6/15/2023 | 53,346 | 54,835,154 | ||||||||
NCL Corp. Ltd.† | 4.75% | 12/15/2021 | 11,341 | 11,508,280 | ||||||||
Royal Caribbean Cruises Ltd. | 5.25% | 11/15/2022 | 57,280 | 62,100,096 | ||||||||
Silversea Cruise Finance Ltd.† | 7.25% | 2/1/2025 | 37,054 | 39,422,306 | ||||||||
Total | 167,865,836 | |||||||||||
Lodging 0.35% | ||||||||||||
Boyd Gaming Corp. | 6.875% | 5/15/2023 | 2,066 | 2,137,029 | ||||||||
Las Vegas Sands Corp. | 2.90% | 6/25/2025 | 21,531 | 21,527,378 | ||||||||
Las Vegas Sands Corp. | 3.20% | 8/8/2024 | 146,747 | 149,494,331 | ||||||||
Studio City Co. Ltd. (Macau)†(e) | 7.25% | 11/30/2021 | 7,152 | 7,308,986 | ||||||||
Studio City Co., Ltd. (Macau)(e) | 7.25% | 11/30/2021 | 1,722 | 1,759,798 | ||||||||
Wyndham Destinations, Inc. | 5.625% | 3/1/2021 | 11,538 | 11,975,290 | ||||||||
Total | 194,202,812 | |||||||||||
Machinery: Agricultural 1.00% | ||||||||||||
Altria Group, Inc. | 3.49% | 2/14/2022 | 8,162 | 8,383,516 | ||||||||
Altria Group, Inc. | 3.80% | 2/14/2024 | 26,248 | 27,593,670 | ||||||||
Altria Group, Inc. | 4.00% | 1/31/2024 | 18,749 | 19,840,070 | ||||||||
BAT Capital Corp. | 2.499% (3 Mo. LIBOR + .59% | )# | 8/14/2020 | 13,753 | 13,782,992 | |||||||
BAT Capital Corp. | 2.764% | 8/15/2022 | 29,569 | 29,892,935 | ||||||||
BAT Capital Corp. | 2.789% | 9/6/2024 | 44,372 | 44,436,190 | ||||||||
BAT Capital Corp. | 2.79% (3 Mo. LIBOR + .88% | )# | 8/15/2022 | 11,194 | 11,253,049 | |||||||
BAT Capital Corp. | 3.222% | 8/15/2024 | 108,372 | 110,362,416 | ||||||||
BAT International Finance plc (United Kingdom)†(e) | 3.25% | 6/7/2022 | 3,400 | 3,475,174 | ||||||||
Imperial Brands Finance plc (United Kingdom)†(e) | 3.125% | 7/26/2024 | 146,947 | 147,632,994 | ||||||||
Imperial Brands Finance plc (United Kingdom)†(e) | 3.75% | 7/21/2022 | 12,867 | 13,252,094 | ||||||||
Imperial Tobacco Finance plc (United Kingdom)†(e) | 3.50% | 2/11/2023 | 16,877 | 17,240,972 | ||||||||
Reynolds American, Inc. | 4.85% | 9/15/2023 | 27,405 | 29,656,434 | ||||||||
Viterra, Inc. (Canada)†(e) | 5.95% | 8/1/2020 | 77,507 | 79,324,548 | ||||||||
Total | 556,127,054 |
322 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Machinery: Industrial/Specialty 0.67% | ||||||||||||
CNH Industrial Capital LLC | 4.20% | 1/15/2024 | $ | 46,438 | $ | 49,280,207 | ||||||
CNH Industrial Capital LLC | 4.375% | 4/5/2022 | 49,678 | 52,264,833 | ||||||||
CNH Industrial Capital LLC | 4.375% | 11/6/2020 | 8,198 | 8,369,502 | ||||||||
CNH Industrial Capital LLC | 4.875% | 4/1/2021 | 36,642 | 37,918,607 | ||||||||
CNH Industrial NV (United Kingdom)(e) | 4.50% | 8/15/2023 | 82,664 | 87,930,110 | ||||||||
Flowserve Corp. | 4.00% | 11/15/2023 | 6,810 | 6,978,180 | ||||||||
Nvent Finance Sarl (Luxembourg)(e) | 3.95% | 4/15/2023 | 42,334 | 43,114,544 | ||||||||
Wabtec Corp. | 4.375% | 8/15/2023 | 22,563 | 23,679,877 | ||||||||
Welbilt, Inc. | 9.50% | 2/15/2024 | 1,050 | 1,116,061 | ||||||||
Westinghouse Air Brake Technologies Corp. | 3.419% (3 Mo. LIBOR + 1.30% | )# | 9/15/2021 | 13,869 | 13,871,540 | |||||||
Westinghouse Air Brake Technologies Corp. | 4.40% | 3/15/2024 | 45,095 | 47,855,769 | ||||||||
Total | 372,379,230 | |||||||||||
Machinery: Oil Well Equipment & Services 0.02% | ||||||||||||
Caterpillar Financial Services Corp. | 2.42% (3 Mo. LIBOR + .51% | )# | 5/15/2023 | 12,300 | 12,333,184 | |||||||
Manufacturing 0.23% | ||||||||||||
Gates Global LLC/Gates Global Co.† | 6.00% | 7/15/2022 | 47,685 | 47,696,921 | ||||||||
General Electric Co. | 3.001% (3 Mo. LIBOR + 1.00% | )# | 4/15/2023 | 1,458 | 1,458,100 | |||||||
General Electric Co. | 3.10% | 1/9/2023 | 12,940 | 13,220,444 | ||||||||
General Electric Co. | 3.375% | 3/11/2024 | 6,079 | 6,297,662 | ||||||||
General Electric Co. | 3.45% | 5/15/2024 | 31,824 | 32,956,722 | ||||||||
General Electric Co. | 4.65% | 10/17/2021 | 15,694 | 16,396,281 | ||||||||
Ingersoll-Rand Finance SA (Luxembourg)(e) | 3.55% | 11/1/2024 | 4,896 | 5,137,446 | ||||||||
Ingersoll-Rand Global Holding Co., Ltd. | 4.25% | 6/15/2023 | 1,500 | 1,601,548 | ||||||||
Total | 124,765,124 | |||||||||||
Media 0.66% | ||||||||||||
Altice Financing SA (Luxembourg)†(e) | 6.625% | 2/15/2023 | 82,411 | 84,470,451 | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 3.559% (3 Mo. LIBOR + 1.65% | )# | 2/1/2024 | 49,235 | 50,665,229 | |||||||
Cox Communications, Inc.† | 2.95% | 6/30/2023 | 73,063 | 74,412,484 | ||||||||
Cox Communications, Inc.† | 3.15% | 8/15/2024 | 10,890 | 11,226,556 | ||||||||
Cox Communications, Inc.† | 3.25% | 12/15/2022 | 4,655 | 4,787,471 | ||||||||
Cox Communications, Inc.† | 3.85% | 2/1/2025 | 2,399 | 2,541,040 | ||||||||
Globo Comunicacao e Participacoes SA (Brazil)†(e) | 4.875% | 4/11/2022 | 18,425 | 19,075,624 | ||||||||
NBCUniversal Enterprise, Inc.† | 5.25% | – | (f) | 112,207 | 115,612,482 | |||||||
Virgin Media Finance plc (United Kingdom)†(e) | 6.00% | 10/15/2024 | 5,461 | 5,633,922 | ||||||||
Total | 368,425,259 |
See Notes to Financial Statements. | 323 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Metal Fabricating 0.01% | ||||||||||||
Zekelman Industries, Inc.† | 9.875% | 6/15/2023 | $ | 5,675 | $ | 5,990,672 | ||||||
Metals & Minerals: Miscellaneous 1.25% | ||||||||||||
Anglo American Capital plc (United Kingdom)†(e) | 3.625% | 9/11/2024 | 94,875 | 98,108,814 | ||||||||
Anglo American Capital plc (United Kingdom)†(e) | 3.75% | 4/10/2022 | 29,295 | 30,118,379 | ||||||||
Anglo American Capital plc (United Kingdom)†(e) | 4.125% | 4/15/2021 | 37,543 | 38,378,610 | ||||||||
Anglo American Capital plc (United Kingdom)†(e) | 4.125% | 9/27/2022 | 56,763 | 59,181,032 | ||||||||
Century Aluminum Co.† | 7.50% | 6/1/2021 | 16,824 | 16,368,070 | ||||||||
Freeport-McMoRan, Inc. | 4.55% | 11/14/2024 | 39,014 | 41,099,688 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(e) | 4.25% | 10/25/2022 | 61,531 | 64,406,654 | ||||||||
Glencore Funding LLC† | 3.00% | 10/27/2022 | 28,636 | 28,936,409 | ||||||||
Glencore Funding LLC† | 4.125% | 5/30/2023 | 51,135 | 53,408,794 | ||||||||
Glencore Funding LLC† | 4.125% | 3/12/2024 | 33,108 | 34,753,797 | ||||||||
Glencore Funding LLC† | 4.625% | 4/29/2024 | 19,547 | 20,911,674 | ||||||||
Hecla Mining Co. | 6.875% | 5/1/2021 | 19,472 | 19,321,092 | ||||||||
Hudbay Minerals, Inc. (Canada)†(e) | 7.25% | 1/15/2023 | 9,668 | 9,937,882 | ||||||||
Indonesia Asahan Aluminium Persero PT (Indonesia)†(e) | 5.23% | 11/15/2021 | 34,905 | 36,650,076 | ||||||||
Joseph T Ryerson & Son, Inc.† | 11.00% | 5/15/2022 | 23,275 | 24,659,700 | ||||||||
Kinross Gold Corp. (Canada)(e) | 5.125% | 9/1/2021 | 8,280 | 8,629,830 | ||||||||
Kinross Gold Corp. (Canada)(e) | 5.95% | 3/15/2024 | 34,549 | 38,357,855 | ||||||||
Newmont Goldcorp Corp. | 3.70% | 3/15/2023 | 48,382 | 50,333,559 | ||||||||
Novelis Corp.† | 6.25% | 8/15/2024 | 14,604 | 15,393,054 | ||||||||
Teck Resources Ltd. (Canada)(e) | 4.50% | 1/15/2021 | 5,000 | 5,076,998 | ||||||||
Total | 694,031,967 | |||||||||||
Natural Gas 0.20% | ||||||||||||
Dominion Energy Gas Holdings LLC | 3.60% | 12/15/2024 | 500 | 525,735 | ||||||||
National Fuel Gas Co. | 3.75% | 3/1/2023 | 19,522 | 20,181,848 | ||||||||
National Fuel Gas Co. | 4.90% | 12/1/2021 | 21,911 | 22,834,888 | ||||||||
National Fuel Gas Co. | 7.395% | 3/30/2023 | 4,000 | 4,561,735 | ||||||||
Southern Star Central Corp.† | 5.125% | 7/15/2022 | 42,242 | 42,783,205 | ||||||||
WGL Holdings, Inc. | 2.682% (3 Mo. LIBOR + .55% | )# | 3/12/2020 | 18,571 | 18,559,394 | |||||||
Total | 109,446,805 | |||||||||||
Oil 4.12% | ||||||||||||
Afren plc (United Kingdom)†(e)(g) | 6.625% | 12/9/2020 | 8,099 | 39,687 | ||||||||
Afren plc (United Kingdom)†(e)(g) | 10.25% | 4/8/2019 | 11,027 | 92,847 | ||||||||
Afren plc (United Kingdom)†(e)(g) | 11.50% | 2/1/2016 | 16,833 | 141,735 | ||||||||
American Energy- Permian Basin LLC† | 12.00% | 10/1/2024 | 13,077 | 8,173,125 |
324 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil (continued) | ||||||||||||
Antero Resources Corp. | 5.125% | 12/1/2022 | $ | 16,132 | $ | 13,147,580 | ||||||
BP Capital Markets America, Inc. | 3.79% | 2/6/2024 | 1,500 | 1,593,237 | ||||||||
Callon Petroleum Co. | 6.125% | 10/1/2024 | 7,393 | 7,041,833 | ||||||||
Canadian Natural Resources Ltd. (Canada)(e) | 3.80% | 4/15/2024 | 20,026 | 21,092,449 | ||||||||
Canadian Natural Resources Ltd. (Canada)(e) | 3.90% | 2/1/2025 | 15,174 | 16,097,518 | ||||||||
Carrizo Oil & Gas, Inc. | 6.25% | 4/15/2023 | 56,034 | 54,072,250 | ||||||||
Cimarex Energy Co. | 4.375% | 6/1/2024 | 49,550 | 51,903,826 | ||||||||
CNOOC Curtis Funding No 1 Pty Ltd. (Australia)†(e) | 4.50% | 10/3/2023 | 101,925 | 109,212,738 | ||||||||
Concho Resources, Inc. | 4.375% | 1/15/2025 | 44,090 | 45,587,119 | ||||||||
Continental Resources, Inc. | 3.80% | 6/1/2024 | 43,768 | 44,897,942 | ||||||||
Continental Resources, Inc. | 4.50% | 4/15/2023 | 74,734 | 77,935,007 | ||||||||
Continental Resources, Inc. | 5.00% | 9/15/2022 | 163,673 | 164,663,824 | ||||||||
Diamondback Energy, Inc. | 4.75% | 11/1/2024 | 28,858 | 29,980,288 | ||||||||
Diamondback Energy, Inc. | 5.375% | 5/31/2025 | 98,342 | 103,659,352 | ||||||||
Energen Corp. | 4.625% | 9/1/2021 | 21,448 | 22,006,077 | ||||||||
Eni SpA (Italy)†(e) | 4.00% | 9/12/2023 | 83,098 | 87,571,235 | ||||||||
Eni SpA (Italy)†(e) | 4.15% | 10/1/2020 | 35,369 | 35,950,964 | ||||||||
EQT Corp. | 2.50% | 10/1/2020 | 5,500 | 5,492,643 | ||||||||
EQT Corp. | 2.869% (3 Mo. LIBOR + .77% | )# | 10/1/2020 | 32,742 | 32,663,863 | |||||||
Equinor ASA (Norway)†(e) | 7.875% | 12/9/2022 | 11,000 | 12,745,773 | ||||||||
Gazprom PJSC Via Gaz Capital SA (Luxembourg)†(e) | 6.51% | 3/7/2022 | 22,562 | 24,549,374 | ||||||||
Gulfport Energy Corp. | 6.625% | 5/1/2023 | 29,329 | 22,152,487 | ||||||||
Harvest Operations Corp. (Canada)†(e) | 4.20% | 6/1/2023 | 8,250 | 8,772,788 | ||||||||
Helmerich & Payne, Inc. | 4.65% | 3/15/2025 | 24,941 | 27,123,104 | ||||||||
Hess Corp. | 3.50% | 7/15/2024 | 8,930 | 9,147,552 | ||||||||
HighPoint Operating Corp. | 7.00% | 10/15/2022 | 5,560 | 5,089,135 | ||||||||
Husky Energy, Inc. (Canada)(e) | 4.00% | 4/15/2024 | 44,672 | 46,837,160 | ||||||||
KazMunayGas National Co. JSC (Kazakhstan)†(e) | 3.875% | 4/19/2022 | 17,742 | 18,293,971 | ||||||||
Laredo Petroleum, Inc. | 5.625% | 1/15/2022 | 43,600 | 40,261,025 | ||||||||
Lukoil International Finance BV (Netherlands)†(e) | 6.125% | 11/9/2020 | 27,352 | 28,367,169 | ||||||||
Marathon Petroleum Corp. | 5.375% | 10/1/2022 | 34,350 | 34,728,323 | ||||||||
Matador Resources Co. | 5.875% | 9/15/2026 | 58,190 | 57,610,719 | ||||||||
Medco Straits Services Pte Ltd. (Singapore)†(e) | 8.50% | 8/17/2022 | 3,985 | 4,232,169 | ||||||||
Montage Resources Corp. | 8.875% | 7/15/2023 | 27,332 | 22,343,637 | ||||||||
Motiva Enterprises LLC† | 5.75% | 1/15/2020 | 44,822 | 44,994,535 | ||||||||
Murphy Oil Corp. | 6.875% | 8/15/2024 | 33,028 | 34,650,996 | ||||||||
Oasis Petroleum, Inc. | 6.875% | 3/15/2022 | 93,293 | 87,403,879 | ||||||||
Occidental Petroleum Corp. | 2.60% | 4/15/2022 | 2,000 | 2,008,327 |
See Notes to Financial Statements. | 325 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Occidental Petroleum Corp. | 2.70% | 8/15/2022 | $ | 58,087 | $ | 58,574,543 | ||||||
Occidental Petroleum Corp. | 2.90% | 8/15/2024 | 65,681 | 66,115,359 | ||||||||
Occidental Petroleum Corp. | 3.155% (3 Mo. LIBOR + 1.25% | )# | 8/13/2021 | 62,279 | 62,650,160 | |||||||
Occidental Petroleum Corp. | 3.36% (3 Mo. LIBOR + 1.45% | )# | 8/15/2022 | 81,323 | 81,816,654 | |||||||
Occidental Petroleum Corp. | 4.85% | 3/15/2021 | 3,500 | 3,608,390 | ||||||||
Occidental Petroleum Corp. | 6.95% | 7/1/2024 | 48,261 | 56,378,996 | ||||||||
OGX Austria GmbH (Brazil)†(g) | 8.50% | 6/1/2018 | 31,150 | 623 | ||||||||
Parsley Energy LLC/Parsley Finance Corp.† | 6.25% | 6/1/2024 | 41,672 | 43,356,174 | ||||||||
QEP Resources, Inc. | 6.875% | 3/1/2021 | 16,336 | 16,615,346 | ||||||||
Range Resources Corp. | 5.00% | 8/15/2022 | 69,006 | 65,555,700 | ||||||||
Range Resources Corp. | 5.00% | 3/15/2023 | 22,732 | 19,805,028 | ||||||||
Range Resources Corp. | 5.75% | 6/1/2021 | 43,262 | 43,279,305 | ||||||||
Range Resources Corp. | 5.875% | 7/1/2022 | 7,447 | 7,188,678 | ||||||||
Reliance Holdings USA, Inc.† | 5.40% | 2/14/2022 | 75,150 | 79,603,412 | ||||||||
Saudi Arabian Oil Co. (Saudi Arabia)†(e) | 2.75% | 4/16/2022 | 12,347 | 12,459,669 | ||||||||
Saudi Arabian Oil Co. (Saudi Arabia)†(e) | 2.875% | 4/16/2024 | 18,690 | 18,939,788 | ||||||||
Seven Generations Energy Ltd. (Canada)†(e) | 6.75% | 5/1/2023 | 22,022 | 22,719,327 | ||||||||
Seven Generations Energy Ltd. (Canada)†(e) | 6.875% | 6/30/2023 | 57,019 | 58,610,685 | ||||||||
Sinopec Group Overseas Development 2018 Ltd. (China)†(e) | 2.50% | 11/12/2024 | 31,115 | 31,069,209 | ||||||||
SM Energy Co. | 6.125% | 11/15/2022 | 49,258 | 48,165,063 | ||||||||
Suncor Energy Ventures Corp. (Canada)†(e) | 9.40% | 9/1/2021 | 3,351 | 3,704,356 | ||||||||
Transocean Sentry Ltd.† | 5.375% | 5/15/2023 | 15,592 | 15,630,824 | ||||||||
WPX Energy, Inc. | 5.25% | 9/15/2024 | 7,559 | 7,743,893 | ||||||||
Total | 2,287,920,444 | |||||||||||
Oil: Crude Producers 2.73% | ||||||||||||
Cheniere Corpus Christi Holdings LLC | 5.875% | 3/31/2025 | 88,395 | 99,020,079 | ||||||||
Cheniere Corpus Christi Holdings LLC | 7.00% | 6/30/2024 | 53,090 | 61,045,006 | ||||||||
El Paso Pipeline Partners Operating Co. LLC | 4.30% | 5/1/2024 | 10,384 | 11,051,760 | ||||||||
Enable Oklahoma Intrastate Transmission LLC† | 6.25% | 3/15/2020 | 6,010 | 6,075,311 | ||||||||
Energy Transfer Operating LP | 4.25% | 3/15/2023 | 56,857 | 59,132,686 | ||||||||
Energy Transfer Operating LP | 5.875% | 1/15/2024 | 81,892 | 90,239,926 | ||||||||
Energy Transfer Operating LP | 7.50% | 10/15/2020 | 19,744 | 20,615,148 | ||||||||
Energy Transfer Operating LP | 7.60% | 2/1/2024 | 1,207 | 1,395,169 | ||||||||
Energy Transfer Partners LP/Regency Energy Finance Corp. | 5.00% | 10/1/2022 | 6,421 | 6,800,616 | ||||||||
Energy Transfer Partners LP/Regency Energy Finance Corp. | 5.75% | 9/1/2020 | 975 | 991,426 | ||||||||
Florida Gas Transmission Co. LLC† | 3.875% | 7/15/2022 | 3,629 | 3,744,151 |
326 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil: Crude Producers (continued) | ||||||||||||
Kinder Morgan Energy Partners LP | 4.25% | 9/1/2024 | $ | 6,100 | $ | 6,510,968 | ||||||
Kinder Morgan Inc/DE | 3.281% (3 Mo. LIBOR + 1.28% | )# | 1/15/2023 | 11,796 | 11,936,772 | |||||||
Midwest Connector Capital Co. LLC† | 3.625% | 4/1/2022 | 30,586 | 31,367,109 | ||||||||
Midwest Connector Capital Co. LLC† | 3.90% | 4/1/2024 | 76,183 | 79,600,453 | ||||||||
Mplx LP | 3.002% (3 Mo. LIBOR + .90% | )# | 9/9/2021 | 57,196 | 57,396,510 | |||||||
Mplx LP | 3.202% (3 Mo. LIBOR + 1.10% | )# | 9/9/2022 | 155,920 | 156,489,766 | |||||||
Mplx LP† | 3.50% | 12/1/2022 | 2,009 | 2,057,647 | ||||||||
Mplx LP | 4.50% | 7/15/2023 | 2,700 | 2,863,063 | ||||||||
Mplx LP† | 5.25% | 1/15/2025 | 80,353 | 84,373,562 | ||||||||
Mplx LP† | 6.25% | 10/15/2022 | 38,109 | 38,745,316 | ||||||||
Mplx LP† | 6.375% | 5/1/2024 | 73,585 | 77,022,857 | ||||||||
NGPL PipeCo LLC† | 4.375% | 8/15/2022 | 72,392 | 74,987,983 | ||||||||
Rose Rock Midstream LP/Rose Rock Finance Corp. | 5.625% | 7/15/2022 | 20,240 | 20,461,385 | ||||||||
Sabine Pass Liquefaction LLC | 5.625% | 4/15/2023 | 139,928 | 152,046,902 | ||||||||
Sabine Pass Liquefaction LLC | 5.75% | 5/15/2024 | 181,987 | 202,698,942 | ||||||||
SemGroup Corp. | 7.25% | 3/15/2026 | 37,125 | 40,838,428 | ||||||||
SemGroup Corp./Rose Rock Finance Corp. | 5.625% | 11/15/2023 | 20,541 | 21,114,402 | ||||||||
Spectra Energy Partners LP | 4.60% | 6/15/2021 | 11,937 | 12,285,854 | ||||||||
Sunoco Logistics Partners Operations LP | 3.45% | 1/15/2023 | 1,564 | 1,588,003 | ||||||||
Texas Eastern Transmission LP† | 2.80% | 10/15/2022 | 15,626 | 15,754,166 | ||||||||
Texas Eastern Transmission LP† | 4.125% | 12/1/2020 | 18,339 | 18,586,407 | ||||||||
Texas Gas Transmission LLC† | 4.50% | 2/1/2021 | 22,284 | 22,644,790 | ||||||||
Williams Cos, Inc. (The) | 4.50% | 11/15/2023 | 20,731 | 22,042,018 | ||||||||
Williams Cos., Inc. (The) | 7.875% | 9/1/2021 | 5,034 | 5,501,098 | ||||||||
Total | 1,519,025,679 | |||||||||||
Oil: Integrated Domestic 0.32% | ||||||||||||
National Oilwell Varco, Inc. | 2.60% | 12/1/2022 | 35,420 | 35,798,478 | ||||||||
Oceaneering International, Inc. | 4.65% | 11/15/2024 | 23,125 | 20,696,875 | ||||||||
Schlumberger Holdings Corp.† | 3.75% | 5/1/2024 | 84,608 | 89,117,545 | ||||||||
SESI LLC | 7.125% | 12/15/2021 | 42,146 | 31,504,135 | ||||||||
TechnipFMC plc (United Kingdom)(e) | 3.45% | 10/1/2022 | 2,514 | 2,553,716 | ||||||||
Total | 179,670,749 | |||||||||||
Real Estate Investment Trusts 1.29% | ||||||||||||
Brandywine Operating Partnership LP | 4.10% | 10/1/2024 | 5,554 | 5,870,756 | ||||||||
Brixmor Operating Partnership LP | 2.959% (3 Mo. LIBOR + 1.05% | )# | 2/1/2022 | 1,115 | 1,114,419 | |||||||
Brixmor Operating Partnership LP | 3.25% | 9/15/2023 | 28,683 | 29,691,113 | ||||||||
Brixmor Operating Partnership LP | 3.65% | 6/15/2024 | 16,576 | 17,258,678 |
See Notes to Financial Statements. | 327 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Real Estate Investment Trusts (continued) | ||||||||||||
China Overseas Finance Cayman V Ltd. | 3.95% | 11/15/2022 | $ | 26,225 | $ | 27,060,729 | ||||||
CyrusOne LP/CyrusOne Finance Corp.(c) | 2.90% | 11/15/2024 | 12,918 | 12,971,610 | ||||||||
Duke Realty LP | 3.75% | 12/1/2024 | 1,318 | 1,395,764 | ||||||||
EPR Properties | 4.50% | 4/1/2025 | 1,200 | 1,272,711 | ||||||||
EPR Properties | 5.25% | 7/15/2023 | 22,593 | 24,259,642 | ||||||||
Equinix, Inc. | 5.375% | 5/15/2027 | 94,244 | 102,374,901 | ||||||||
Equinix, Inc. | 5.875% | 1/15/2026 | 94,831 | 100,741,105 | ||||||||
Essex Portfolio LP | 3.375% | 1/15/2023 | 2,250 | 2,314,124 | ||||||||
HCP, Inc. | 3.875% | 8/15/2024 | 3,937 | 4,198,280 | ||||||||
Healthcare Trust of America Holdings LP | 3.70% | 4/15/2023 | 14,879 | 15,439,095 | ||||||||
Highwoods Realty LP | 3.20% | 6/15/2021 | 4,257 | 4,306,608 | ||||||||
Highwoods Realty LP | 3.625% | 1/15/2023 | 23,502 | 24,314,820 | ||||||||
Kilroy Realty LP | 3.45% | 12/15/2024 | 25,738 | 26,696,328 | ||||||||
Kilroy Realty LP | 4.375% | 10/1/2025 | 4,750 | 5,143,998 | ||||||||
Regency Centers LP | 3.75% | 6/15/2024 | 2,362 | 2,472,632 | ||||||||
SITE Centers Corp. | 4.625% | 7/15/2022 | 7,730 | 8,065,206 | ||||||||
SL Green Operating Partnership LP | 3.25% | 10/15/2022 | 37,574 | 38,388,508 | ||||||||
SL Green Realty Corp. | 4.50% | 12/1/2022 | 42,222 | 44,447,406 | ||||||||
Vereit Operating Partnership LP | 4.125% | 6/1/2021 | 12,830 | 13,149,300 | ||||||||
Vereit Operating Partnership LP | 4.60% | 2/6/2024 | 83,638 | 90,110,381 | ||||||||
VEREIT Operating Partnership LP | 4.625% | 11/1/2025 | 43,766 | 47,863,451 | ||||||||
WEA Finance LLC / Westfield UK & Europe Finance plc† | 3.75% | 9/17/2024 | 48,489 | 51,112,540 | ||||||||
Welltower, Inc. | 3.625% | 3/15/2024 | 6,000 | 6,309,718 | ||||||||
Welltower, Inc. | 4.50% | 1/15/2024 | 7,879 | 8,513,400 | ||||||||
Total | 716,857,223 | |||||||||||
Retail 0.12% | ||||||||||||
Asbury Automotive Group, Inc. | 6.00% | 12/15/2024 | 717 | 741,191 | ||||||||
Dollar Tree, Inc. | 3.70% | 5/15/2023 | 15,368 | 15,973,101 | ||||||||
Dollar Tree, Inc. | 4.00% | 5/15/2025 | 17,145 | 18,098,095 | ||||||||
McDonald’s Corp. | 2.366% (3 Mo. LIBOR + .43% | )# | 10/28/2021 | 2,000 | 2,007,700 | |||||||
Walgreens Boots Alliance, Inc. | 3.80% | 11/18/2024 | 29,730 | 30,758,212 | ||||||||
Total | 67,578,299 | |||||||||||
Savings & Loan 0.06% | ||||||||||||
People’s United Financial, Inc. | 3.65% | 12/6/2022 | 34,249 | 35,422,908 |
328 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Steel 0.17% | ||||||||||||
ArcelorMittal (Luxembourg)(e) | 5.50% | 3/1/2021 | $ | 14,464 | $ | 15,014,383 | ||||||
POSCO (South Korea)†(e) | 2.375% | 11/12/2022 | 22,050 | 21,954,797 | ||||||||
Steel Dynamics, Inc. | 4.125% | 9/15/2025 | 27,496 | 28,126,071 | ||||||||
Steel Dynamics, Inc. | 5.00% | 12/15/2026 | 16,497 | 17,563,489 | ||||||||
Steel Dynamics, Inc. | 5.50% | 10/1/2024 | 11,710 | 12,103,866 | ||||||||
Total | 94,762,606 | |||||||||||
Technology 0.85% | ||||||||||||
Alibaba Group Holding Ltd. (China)(e) | 2.80% | 6/6/2023 | 15,890 | 16,098,901 | ||||||||
Baidu, Inc. (China)(e)(k) | 3.875% | 9/29/2023 | 115,889 | 120,666,953 | ||||||||
Baidu, Inc. (China)(e) | 4.125% | 6/30/2025 | 11,735 | 12,493,525 | ||||||||
Baidu, Inc. (China)(e) | 4.375% | 5/14/2024 | 113,484 | 120,990,967 | ||||||||
eBay, Inc. | 2.806% (3 Mo. LIBOR + .87% | )# | 1/30/2023 | 8,045 | 8,112,064 | |||||||
Prosus NV (Netherlands)†(e) | 6.00% | 7/18/2020 | 71,238 | 72,788,851 | ||||||||
Tencent Holdings Ltd. (China)†(e) | 3.28% | 4/11/2024 | 60,870 | 62,593,665 | ||||||||
VeriSign, Inc. | 4.625% | 5/1/2023 | 5,744 | 5,851,642 | ||||||||
Weibo Corp. (China)(e) | 3.50% | 7/5/2024 | 51,550 | 52,463,033 | ||||||||
Total | 472,059,601 | |||||||||||
Telecommunications 0.81% | ||||||||||||
AT&T, Inc. | 2.657% (3 Mo. LIBOR + .75% | )# | 6/1/2021 | 7,720 | 7,771,271 | |||||||
AT&T, Inc. | 3.312% (3 Mo. LIBOR + 1.18% | )# | 6/12/2024 | 306,041 | 311,422,636 | |||||||
AT&T, Inc. | 4.05% | 12/15/2023 | 7,000 | 7,466,532 | ||||||||
British Telecommunications plc (United Kingdom)(e) | 4.50% | 12/4/2023 | 34,280 | 36,876,002 | ||||||||
CommScope, Inc.† | 5.50% | 3/1/2024 | 19,456 | 20,258,365 | ||||||||
GTH Finance BV (Netherlands)†(e) | 6.25% | 4/26/2020 | 9,400 | 9,458,073 | ||||||||
Level 3 Financing, Inc. | 5.375% | 1/15/2024 | 6,034 | 6,149,642 | ||||||||
T-Mobile USA, Inc. | 6.375% | 3/1/2025 | 27,955 | 29,073,200 | ||||||||
Verizon Communications, Inc. | 3.01% (3 Mo. LIBOR + 1.10% | )# | 5/15/2025 | 20,090 | 20,477,620 | |||||||
Total | 448,953,341 | |||||||||||
Transportation: Miscellaneous 0.14% | ||||||||||||
Huntington Ingalls Industries, Inc.† | 5.00% | 11/15/2025 | 7,833 | 8,227,901 | ||||||||
Pelabuhan Indonesia III Persero PT (Indonesia)†(e) | 4.50% | 5/2/2023 | 20,485 | 21,596,516 | ||||||||
Ryder System, Inc. | 3.65% | 3/18/2024 | 22,085 | 23,125,783 | ||||||||
Watco Cos. LLC/Watco Finance Corp.† | 6.375% | 4/1/2023 | 13,534 | 13,793,379 | ||||||||
XPO Logistics, Inc.† | 6.50% | 6/15/2022 | 11,197 | 11,486,476 | ||||||||
Total | 78,230,055 |
See Notes to Financial Statements. | 329 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Wholesale 0.05% | ||||||||||||
H&E Equipment Services, Inc. | 5.625% | 9/1/2025 | $ | 26,022 | $ | 27,431,482 | ||||||
Total Corporate Bonds (cost $20,316,582,719) | 20,546,688,218 | |||||||||||
FLOATING RATE LOANS(h)4.15% | ||||||||||||
Aerospace/Defense 0.17% | ||||||||||||
TransDigm, Inc. 2018 Term Loan F | 4.202% (3 Mo. LIBOR + 2.50% | ) | 6/9/2023 | 82,385 | 82,519,270 | |||||||
Wesco Aircraft Hardware Corp. Tranche B Term Loan | 4.21% (1 Mo. LIBOR + 2.50% | ) | 2/28/2021 | 13,835 | 13,843,422 | |||||||
Total | 96,362,692 | |||||||||||
Air Transportation 0.38% | ||||||||||||
Air Canada | 3.483% (1 Mo. LIBOR + 1.75% | ) | 10/6/2023 | 3,973 | 3,993,855 | |||||||
American Airlines, Inc. 2017 Incremental Term Loan | 3.765% (1 Mo. LIBOR + 2.00% | ) | 12/14/2023 | 10,857 | 10,873,622 | |||||||
American Airlines, Inc. New 2017 Replacement Term Loan | 3.758% (1 Mo. LIBOR + 2.00% | ) | 10/12/2021 | 121,833 | 122,031,098 | |||||||
American Airlines, Inc. Repriced TL B due 2023 | 3.702% (1 Mo. LIBOR + 2.00% | ) | 4/28/2023 | 43,176 | 43,243,505 | |||||||
United AirLines, Inc. Refinanced Term Loan | 3.452% (1 Mo. LIBOR + 1.75% | ) | 4/1/2024 | 28,064 | 28,204,361 | |||||||
Total | 208,346,441 | |||||||||||
Beverages 0.32% | ||||||||||||
Constellation Brands, Inc. Term Loan | 3.149% (3 Mo. LIBOR + 1.25% | ) | 9/14/2021 | 40,788 | 40,685,743 | (i) | ||||||
Keurig Dr Pepper Inc. Term Loan | 2.763% (3 Mo. LIBOR + .95% | ) | 2/8/2023 | 136,274 | 134,570,894 | (i) | ||||||
Total | 175,256,637 | |||||||||||
Business Services 0.01% | ||||||||||||
Financial & Risk US Holdings, Inc. Initial Dollar Term Loan | – | (d) | 10/1/2025 | 4,695 | 4,729,642 | |||||||
Chemicals 0.23% | ||||||||||||
LyondellBasell Industries Delayed Draw Term Loan (Netherlands)(e) | 0.125% | 12/31/2019 | 129,823 | 127,794,919 | (i) | |||||||
Computer Hardware 0.00% | ||||||||||||
Dell International LLC 2019 Term Loan B | 3.71% (1 Mo. LIBOR + 2.00% | ) | 9/19/2025 | 312 | 313,853 |
330 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Computer Software 0.10% | ||||||||||||
Infor (US), Inc. Term Loan B6 | 4.854% (3 Mo. LIBOR + 2.75% | ) | 2/1/2022 | $ | 13,081 | $ | 13,120,643 | |||||
Sophia, L.P. 2017 Term Loan B | 5.354% (3 Mo. LIBOR + 3.25% | ) | 9/30/2022 | 40,020 | 40,098,372 | |||||||
Total | 53,219,015 | |||||||||||
Drugs 0.20% | ||||||||||||
NVA Holdings, Inc. | – | (d) | 2/2/2025 | 5,130 | 5,133,018 | |||||||
NVA Holdings, Inc. Term Loan B3 | 6.50% (3 Mo. LIBOR + 2.75% | ) | 2/2/2025 | 103,891 | 103,891,466 | |||||||
Total | 109,024,484 | |||||||||||
Electric: Power 0.51% | ||||||||||||
AES Corporation 2018 Term Loan BAES Corporation AES CorporationAES Corporation 2018 Term Loan B | 3.659% (3 Mo. LIBOR + 1.75% | ) | 5/31/2022 | 1,509 | 1,511,338 | |||||||
FirstEnergy Corp. | – | (d) | 10/19/2020 | 28,175 | 28,157,097 | (i) | ||||||
FirstEnergy Corp. | 2.25% (1 Wk. LIBOR + .65% | ) | 9/11/2021 | 60,944 | 60,867,571 | (i) | ||||||
Pacific Gas & Electric Company DIP Delayed Draw Term Loan | 2.25% | 12/31/2020 | 7,347 | 7,383,735 | (i) | |||||||
Pacific Gas & Electric Company DIP Term Loan | 4.02% (1 Mo. LIBOR + 2.25% | ) | 12/31/2020 | 22,042 | 22,152,210 | (i) | ||||||
Pacific Gas & Electric Company Revolver | – | (d) | 4/27/2022 | 165,224 | 160,335,759 | |||||||
Total | 280,407,710 | |||||||||||
Electrical Equipment 0.15% | ||||||||||||
Analog Devices, Inc. | 2.702% (1 Mo. LIBOR + 1.00% | ) | 3/10/2022 | 32,805 | 32,599,909 | (i) | ||||||
Marvell Technology Group Ltd 2018 Term Loan A | 3.155% (3 Mo. LIBOR + 1.38% | ) | 6/4/2021 | 53,248 | 53,181,662 | (i) | ||||||
Total | 85,781,571 | |||||||||||
Entertainment 0.32% | ||||||||||||
Caesars Entertainment Operating Company Exit Term Loan | 3.702% (3 Mo. LIBOR + 2.00% | ) | 10/7/2024 | 64,896 | 65,056,346 | |||||||
Eldorado Resorts, Inc. Term Loan | 4.00% (1 Mo. LIBOR + 2.25%) - 4.06% | 4/17/2024 | 30,732 | 30,757,874 | ||||||||
GLP Financing, LLC Incremental Term Loan A | 3.19% (1 Mo. LIBOR + 1.50% | ) | 4/28/2021 | 20,553 | 20,501,777 | (i) | ||||||
Stars Group Holdings B.V. (The) 2018 USD Incremental Term Loan (Netherlands) | 5.604% (3 Mo. LIBOR + 3.50% | ) | 7/10/2025 | 61,928 | 62,265,781 | |||||||
Total | 178,581,778 |
See Notes to Financial Statements. | 331 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Financial Services 0.08% | ||||||||||||
Delos Finance Sarl 2018 Term Loan B (Luxembourg) | ||||||||||||
Delos Finance Sarl 2018 Term Loan B (Luxembourg)(e) | 3.854% (3 Mo. LIBOR + 1.75% | ) | 10/6/2023 | $ | 32,300 | $ | 32,452,502 | |||||
Flying Fortress Inc.Flying Fortress Inc. 2018 Term Loan B | 3.854% (3 Mo. LIBOR + 1.75% | ) | 10/30/2022 | 12,258 | 12,309,863 | |||||||
Total | 44,762,365 | |||||||||||
Government 0.06% | ||||||||||||
Seminole Tribe of Florida 2018 Term Loan BSeminole Tribe of Florida 2018 Term Loan B | 3.452% (3 Mo. LIBOR + 1.75% | ) | 7/8/2024 | 33,203 | 33,419,173 | |||||||
Insurance 0.02% | ||||||||||||
FHC Health Systems, Inc. 2014 Term Loan | 6.104% (3 Mo. LIBOR + 4.00% | ) | 12/23/2021 | 12,697 | 12,708,962 | |||||||
Investment Management Companies 0.15% | ||||||||||||
Broadcom Inc. 2019 1st Lien Term Loan A3 | – | (d) | 11/4/2022 | 55,282 | 55,144,106 | (i) | ||||||
RPI Finance Trust Term Loan A4 | 3.202% (1 Mo. LIBOR + 1.50% | ) | 5/4/2022 | 29,493 | 29,198,036 | |||||||
Total | 84,342,142 | |||||||||||
Leisure 0.05% | ||||||||||||
Life Time Fitness Inc 2017 Term Loan B | 4.452% (3 Mo. LIBOR + 2.75%) - 4.659% | 6/10/2022 | 26,458 | 26,504,993 | ||||||||
Lodging 0.02% | ||||||||||||
Hilton Grand Vacations Borrower LLC | 3.452% (3 Mo. LIBOR + 1.75% | ) | 11/28/2023 | 10,450 | 10,463,063 | (i) | ||||||
Media 0.28% | ||||||||||||
AP NMT Acquisition BV USD 1st Lien Term Loan (Netherlands) | 7.835% (3 Mo. LIBOR + 5.75% | ) | 8/13/2021 | 49,037 | 49,269,737 | |||||||
AP NMT Acquisition BV USD 2nd Lien Term Loan (Netherlands) | 11.089% (3 Mo. LIBOR + 9.00% | ) | 8/13/2022 | 24,921 | 25,147,932 | |||||||
Charter Communications Operating, LLC 2017 Term Loan A2 | 3.20% (3 Mo. LIBOR + 1.50% | ) | 3/31/2023 | 82,719 | 82,839,937 | |||||||
Total | 157,257,606 | |||||||||||
Metal Fabricating 0.00% | ||||||||||||
Doncasters Finance US LLC 2nd Lien Term Loan | 10.354% (3 Mo. LIBOR + 8.25% | ) | 10/9/2020 | 4,552 | 1,257,394 |
332 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Miscellaneous 0.02% | ||||||||||||
UTEX Industries Inc. 1st Lien Term loan 2014 | 5.702% (3 Mo. LIBOR + 4.00% | ) | 5/22/2021 | $ | 9,454 | $ | 6,783,524 | |||||
UTEX Industries Inc. 2nd Lien Term Loan 2014 | 8.952% (1 Mo. LIBOR + 7.25% | ) | 5/22/2022 | 3,938 | 1,890,240 | |||||||
Total | 8,673,764 | |||||||||||
Oil 0.02% | ||||||||||||
Petroleos Mexicanos 2015 Term Loan (Mexico)(e) | 2.74% (1 Mo. LIBOR + .85% | ) | 2/14/2020 | 12,268 | 12,268,000 | (i) | ||||||
Oil: Crude Producers 0.19% | ||||||||||||
Energy Transfer Operating, L.P. | – | (d) | 10/17/2022 | 54,000 | 53,730,000 | (i) | ||||||
ONEOK Partners, L.P.ONEOK Partners, L.P. Term Loan A | 2.715% (1 Wk. LIBOR + 1.13% | ) | 11/19/2021 | 52,445 | 52,478,040 | (i) | ||||||
Total | 106,208,040 | |||||||||||
Real Estate Investment Trusts 0.44% | ||||||||||||
Crown Castle International Corporation Term Loan | 2.835% (1 Mo. LIBOR + 1.13% | ) | 1/21/2022 | 106,650 | 106,490,136 | |||||||
Hudson Pacific Properties, L.P. 2015 Delayed Draw Term Loan | 3.031% (3 Mo. LIBOR + 1.25% | ) | 4/1/2022 | 22,396 | 22,284,475 | (i) | ||||||
Invitation Homes Operating Partnership LP Term Loan A | 3.408% (3 Mo. LIBOR + 1.70% | ) | 2/6/2022 | 71,209 | 70,140,865 | (i) | ||||||
MGM Growth Prop. Operating Partnership LP 2016 Term Loan A | 3.452% (3 Mo. LIBOR + 1.75% | ) | 6/14/2023 | 18,660 | 18,659,698 | (i) | ||||||
MGM Growth Properties Operating Partnership LP Delayed Draw Term Loan | 3.452% (3 Mo. LIBOR + 1.75% | ) | 6/14/2023 | 16,828 | 16,806,958 | (i) | ||||||
SL Green Realty Corp. | 2.802% (3 Mo. LIBOR + 1.10% | ) | 3/31/2023 | 12,677 | 12,613,313 | |||||||
Total | 246,995,445 | |||||||||||
Retail 0.27% | ||||||||||||
Bloomin’ Brands, Inc. | 3.34% (3 Wk. LIBOR + 1.75% | ) | 11/30/2022 | 9,885 | 9,897,773 | (i) | ||||||
Comfort Holding, LLC 1st Lien Term Loan | 6.452% (1 Mo. LIBOR + 4.75% | ) | 2/5/2024 | 11,548 | 11,432,995 | |||||||
Panera Bread Company Term Loan A | 3.563% (1 Mo. LIBOR + 1.75% | ) | 7/18/2022 | 133,364 | 130,405,469 | |||||||
Total | 151,736,237 | |||||||||||
Technology 0.04% | ||||||||||||
Uber Technologies, Inc. 2018 Incremental Term Loan | 5.202% (1 Mo. LIBOR + 3.50% | ) | 7/13/2023 | 20,711 | 20,274,841 |
See Notes to Financial Statements. | 333 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Telecommunications 0.08% | ||||||||||||
CenturyLink, Inc. 2017 Term Loan A | 4.452% (3 Mo. LIBOR + 2.75% | ) | 11/1/2022 | $ | 44,978 | $ | 45,182,902 | |||||
Wholesale 0.04% | ||||||||||||
Core & Main LP 2017 Term Loan B | 4.44% (3 Mo. LIBOR + 2.75%) - 4.66% | 8/1/2024 | 22,353 | 22,115,987 | ||||||||
Total Floating Rate Loans (cost $2,316,033,942) | 2,303,989,656 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS 0.66% | ||||||||||||
Bahamas 0.03% | ||||||||||||
Commonwealth of Bahamas† | 5.75% | 1/16/2024 | 16,477 | 17,424,427 | ||||||||
Bermuda 0.12% | ||||||||||||
Government of Bermuda† | 4.138% | 1/3/2023 | 23,018 | 24,063,593 | ||||||||
Government of Bermuda† | 4.854% | 2/6/2024 | 37,693 | 41,081,908 | ||||||||
Total | 65,145,501 | |||||||||||
Costa Rica 0.00% | ||||||||||||
Costa Rica Government†(e) | 4.25% | 1/26/2023 | 1,500 | 1,487,498 | ||||||||
Indonesia 0.27% | ||||||||||||
Perusahaan Penerbit SBSN (Indonesia)†(e) | 3.40% | 3/29/2022 | 62,502 | 63,890,169 | ||||||||
Perusahaan Penerbit SBSN (Indonesia)†(e) | 3.75% | 3/1/2023 | 13,995 | 14,524,641 | ||||||||
Republic of Indonesia†(e) | 3.70% | 1/8/2022 | 10,939 | 11,248,499 | ||||||||
Republic of Indonesia(e) | 4.45% | 2/11/2024 | 25,000 | 26,931,765 | ||||||||
Republic of Indonesia†(e) | 5.875% | 1/15/2024 | 28,250 | 31,933,763 | ||||||||
Total | 148,528,837 | |||||||||||
Romania 0.18% | ||||||||||||
Republic of Romania†(e) | 4.875% | 1/22/2024 | 57,986 | 63,450,369 | ||||||||
Republic of Romania†(e) | 6.75% | 2/7/2022 | 34,718 | 37,949,065 | ||||||||
Total | 101,399,434 | |||||||||||
South Korea 0.02% | ||||||||||||
Export-Import Bank of Korea(e) | 2.631% (3 Mo. LIBOR + .53% | )# | 6/25/2022 | 12,500 | 12,535,790 | |||||||
Sri Lanka 0.04% | ||||||||||||
Republic of Sri Lanka†(e) | 5.75% | 4/18/2023 | 21,860 | 21,330,444 | ||||||||
Total Foreign Government Obligations (cost $361,726,885) | 367,851,931 |
334 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 2.12% | ||||||||||||
Federal Home Loan Mortgage Corp. 2013-K712 B† | 3.281% | #(j) | 5/25/2045 | $ | 5,000 | $ | 4,992,533 | |||||
Federal Home Loan Mortgage Corp. 2013-K713 B† | 3.259% | #(j) | 4/25/2046 | 30,870 | 30,885,904 | |||||||
Federal Home Loan Mortgage Corp. K061 X1 IO | 0.304% | #(j) | 11/25/2026 | 569,563 | 6,984,435 | |||||||
Federal Home Loan Mortgage Corp. K722 X1 IO | 1.44% | #(j) | 3/25/2023 | 192,356 | 6,692,769 | |||||||
Government National Mortgage Assoc. 2013-162 A | 2.75% | #(j) | 9/16/2046 | 6,915 | 7,001,384 | |||||||
Government National Mortgage Assoc. 2013-171 IO | 0.889% | #(j) | 6/16/2054 | 32,809 | 1,267,041 | |||||||
Government National Mortgage Assoc. 2013-193 IO | 0.905% | #(j) | 1/16/2055 | 81,813 | 3,136,875 | |||||||
Government National Mortgage Assoc. 2014-109 A | 2.325% | 1/16/2046 | 24,983 | 24,955,546 | ||||||||
Government National Mortgage Assoc. 2014-112 A | 3.00% | #(j) | 1/16/2048 | 15,129 | 15,405,752 | |||||||
Government National Mortgage Assoc. 2014-135 AS | 2.30% | 2/16/2047 | 10,859 | 10,845,465 | ||||||||
Government National Mortgage Assoc. 2014-15 IO | 0.774% | #(j) | 8/16/2054 | 38,090 | 1,454,994 | |||||||
Government National Mortgage Assoc. 2014-164 AK | 2.90% | #(j) | 3/16/2055 | 11,746 | 11,926,092 | |||||||
Government National Mortgage Assoc. 2014-172 A | 3.05% | #(j) | 1/16/2049 | 7,347 | 7,490,217 | |||||||
Government National Mortgage Assoc. 2014-186 AP | 2.80% | 4/16/2050 | 36,034 | 36,602,119 | ||||||||
Government National Mortgage Assoc. 2014-64 A | 2.20% | 2/16/2045 | 4,154 | 4,145,028 | ||||||||
Government National Mortgage Assoc. 2014-64 IO | 1.041% | #(j) | 12/16/2054 | 27,522 | 1,275,588 | |||||||
Government National Mortgage Assoc. 2014-70 A | 2.50% | 3/16/2049 | 3,995 | 4,005,317 | ||||||||
Government National Mortgage Assoc. 2014-78 A | 2.20% | 4/16/2047 | 2,362 | 2,357,448 | ||||||||
Government National Mortgage Assoc. 2014-78 IO | 0.391% | #(j) | 3/16/2056 | 35,849 | 814,618 | |||||||
Government National Mortgage Assoc. 2015-19 AD | 2.90% | 10/16/2055 | 19,556 | 19,768,937 | ||||||||
Government National Mortgage Assoc. 2015-22 AS | 2.90% | 1/16/2049 | 29,187 | 29,588,135 | ||||||||
Government National Mortgage Assoc. 2015-33 AS | 2.90% | #(j) | 5/16/2054 | 24,320 | 24,639,869 | |||||||
Government National Mortgage Assoc. 2015-41 AD | 2.90% | #(j) | 8/16/2055 | 11,487 | 11,601,893 | |||||||
Government National Mortgage Assoc. 2015-48 AS | 2.90% | #(j) | 2/16/2049 | 13,736 | 13,931,115 | |||||||
Government National Mortgage Assoc. 2017 20 AS | 2.50% | 2/16/2057 | 46,058 | 46,140,612 | ||||||||
Government National Mortgage Assoc. 2017 23 AB | 2.60% | 12/16/2057 | 30,355 | 30,542,038 | ||||||||
Government National Mortgage Assoc. 2017-100 AS | 2.75% | 2/16/2058 | 35,784 | 36,221,277 | ||||||||
Government National Mortgage Assoc. 2017-22 GA | 2.60% | #(j) | 8/16/2051 | 20,472 | 20,613,459 | |||||||
Government National Mortgage Assoc. 2017-28 AB | 2.50% | 10/16/2051 | 54,450 | 54,531,126 | ||||||||
Government National Mortgage Assoc. 2017-41 AS | 2.60% | 6/16/2057 | 57,387 | 57,789,010 | ||||||||
Government National Mortgage Assoc. 2017-44 AD | 2.65% | 11/17/2048 | 44,696 | 45,106,288 | ||||||||
Government National Mortgage Assoc. 2017-51 AS | 2.75% | 4/16/2058 | 67,514 | 68,334,959 | ||||||||
Government National Mortgage Assoc. 2017-53 B | 2.75% | 3/16/2050 | 66,859 | 67,687,205 | ||||||||
Government National Mortgage Assoc. 2017-54 AD | 2.75% | 1/16/2057 | 63,613 | 64,390,542 | ||||||||
Government National Mortgage Assoc. 2017-61 A | 2.60% | 8/16/2058 | 45,046 | 45,332,696 | ||||||||
Government National Mortgage Assoc. 2017-69 AS | 2.75% | 2/16/2058 | 54,504 | 55,186,023 | ||||||||
Government National Mortgage Assoc. 2017-71 AS | 2.70% | 4/16/2057 | 45,493 | 45,988,460 | ||||||||
Government National Mortgage Assoc. 2017-72 AM | 2.60% | 9/16/2051 | 22,354 | 22,498,134 |
See Notes to Financial Statements. | 335 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 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 | $ | 22,442 | $ | 22,602,601 | ||||||
Government National Mortgage Assoc. 2017-76 AS | 2.65% | 11/16/2050 | 44,725 | 45,116,970 | ||||||||
Government National Mortgage Assoc. 2017-86 AS | 2.75% | 2/16/2058 | 42,238 | 42,760,405 | ||||||||
Government National Mortgage Assoc. 2017-89 AB | 2.60% | 7/16/2058 | 35,472 | 35,700,666 | ||||||||
Government National Mortgage Assoc. 2017-90 AS | 2.70% | 7/16/2057 | 48,757 | 49,272,128 | ||||||||
Government National Mortgage Assoc. 2017-92 AS | 2.75% | 6/16/2058 | 39,710 | 40,193,005 | ||||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations (cost $1,169,106,174) | 1,177,776,678 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 0.56% | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.137% (12 Mo. LIBOR + 1.64% | )# | 11/1/2043 | 2,216 | 2,280,142 | |||||||
Federal Home Loan Mortgage Corp. | 3.646% (12 Mo. LIBOR + 1.89% | )# | 12/1/2040 | 5,408 | 5,666,492 | |||||||
Federal Home Loan Mortgage Corp. | 4.222% (12 Mo. LIBOR + 1.90% | )# | 12/1/2040 | 1,248 | 1,314,658 | |||||||
Federal Home Loan Mortgage Corp. | 4.255% (12 Mo. LIBOR + 1.79% | )# | 12/1/2036 | 10,936 | 11,525,356 | |||||||
Federal Home Loan Mortgage Corp. | 4.276% (12 Mo. LIBOR + 1.96% | )# | 2/1/2037 | 5,262 | 5,583,709 | |||||||
Federal Home Loan Mortgage Corp. | 4.289% (12 Mo. LIBOR + 1.72% | )# | 4/1/2037 | 6,589 | 6,924,198 | |||||||
Federal Home Loan Mortgage Corp. | 4.324% (12 Mo. LIBOR + 1.81% | )# | 6/1/2041 | 2,797 | 2,956,081 | |||||||
Federal Home Loan Mortgage Corp. | 4.412% (12 Mo. LIBOR + 1.88% | )# | 9/1/2035 | 3,019 | 3,187,104 | |||||||
Federal Home Loan Mortgage Corp. | 4.431% (12 Mo. LIBOR + 1.78% | )# | 5/1/2037 | 2,941 | 3,105,008 | |||||||
Federal Home Loan Mortgage Corp. | 4.478% (12 Mo. LIBOR + 1.78% | )# | 10/1/2038 | 4,169 | 4,398,754 | |||||||
Federal Home Loan Mortgage Corp. | 4.541% (12 Mo. LIBOR + 1.79% | )# | 5/1/2036 | 3,653 | 3,842,045 | |||||||
Federal Home Loan Mortgage Corp. | 4.605% (12 Mo. LIBOR + 1.94% | )# | 9/1/2036 | 10,829 | 11,459,705 | |||||||
Federal Home Loan Mortgage Corp. | 4.756% (12 Mo. LIBOR + 1.66% | )# | 2/1/2038 | 3,311 | 3,476,832 | |||||||
Federal Home Loan Mortgage Corp. | 4.767% (12 Mo. LIBOR + 1.84% | )# | 6/1/2042 | 9,192 | 9,629,389 | |||||||
Federal Home Loan Mortgage Corp. | 4.772% (1 Yr Treasury Constant Maturity Rate + 2.51% | )# | 12/1/2035 | 4,733 | 5,053,071 | |||||||
Federal National Mortgage Assoc. | 2.657% (12 Mo. LIBOR + 1.60% | )# | 12/1/2045 | 12,011 | 12,202,482 |
336 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued) | ||||||||||||
Federal National Mortgage Assoc. | 2.71% (12 Mo. LIBOR + 1.60% | )# | 12/1/2045 | $ | 9,995 | $ | 10,163,915 | |||||
Federal National Mortgage Assoc. | 2.832% (12 Mo. LIBOR + 1.60% | )# | 10/1/2045 | 13,729 | 13,984,108 | |||||||
Federal National Mortgage Assoc. | 2.926% (12 Mo. LIBOR + 1.72% | )# | 6/1/2042 | 9,256 | 9,448,175 | |||||||
Federal National Mortgage Assoc. | 2.943% (12 Mo. LIBOR + 1.74% | )# | 5/1/2042 | 17,852 | 18,227,755 | |||||||
Federal National Mortgage Assoc. | 3.601% (12 Mo. LIBOR + 1.79% | )# | 1/1/2041 | 4,079 | 4,255,349 | (a) | ||||||
Federal National Mortgage Assoc. | 3.684% (12 Mo. LIBOR + 1.82% | )# | 1/1/2042 | 9,770 | 10,158,318 | |||||||
Federal National Mortgage Assoc. | 3.884% (12 Mo. LIBOR + 1.47% | )# | 12/1/2035 | 10,417 | 10,832,116 | |||||||
Federal National Mortgage Assoc. | 3.984% (12 Mo. LIBOR + 1.18% | )# | 6/1/2038 | 2,098 | 2,168,306 | |||||||
Federal National Mortgage Assoc. | 4.017% (12 Mo. LIBOR + 1.80% | )# | 11/1/2040 | 9,809 | 10,314,229 | |||||||
Federal National Mortgage Assoc. | 4.067% (12 Mo. LIBOR + 1.51% | )# | 10/1/2035 | 7,308 | 7,627,477 | |||||||
Federal National Mortgage Assoc. | 4.101% (12 Mo. LIBOR + 1.53% | )# | 2/1/2036 | 4,913 | 5,132,102 | |||||||
Federal National Mortgage Assoc. | 4.128% (12 Mo. LIBOR + 1.80% | )# | 10/1/2040 | 1,434 | 1,503,042 | |||||||
Federal National Mortgage Assoc. | 4.178% (12 Mo. LIBOR + 1.84% | )# | 7/1/2040 | 2,266 | 2,385,260 | |||||||
Federal National Mortgage Assoc. | 4.192% (12 Mo. LIBOR + 1.57% | )# | 11/1/2036 | 2,669 | 2,796,200 | |||||||
Federal National Mortgage Assoc. | 4.233% (12 Mo. LIBOR + 1.81% | )# | 12/1/2040 | 6,784 | 7,136,852 | |||||||
Federal National Mortgage Assoc. | 4.251% (12 Mo. LIBOR + 1.53% | )# | 3/1/2039 | 4,287 | 4,477,413 | |||||||
Federal National Mortgage Assoc. | 4.294% (12 Mo. LIBOR + 1.59% | )# | 8/1/2034 | 9,224 | 9,645,269 | |||||||
Federal National Mortgage Assoc. | 4.295% (12 Mo. LIBOR + 1.66% | )# | 9/1/2038 | 4,351 | 4,568,795 | |||||||
Federal National Mortgage Assoc. | 4.324% (12 Mo. LIBOR + 1.62% | )# | 3/1/2038 | 5,784 | 6,070,030 | |||||||
Federal National Mortgage Assoc. | 4.374% | # | 1/1/2038 - 4/1/2038 | 9,383 | 9,833,414 | |||||||
Federal National Mortgage Assoc. | 4.387% (12 Mo. LIBOR + 1.62% | )# | 8/1/2037 | 5,915 | 6,181,393 |
See Notes to Financial Statements. | 337 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued) | ||||||||||||
Federal National Mortgage Assoc. | 4.40% (12 Mo. LIBOR + 1.81% | )# | 12/1/2040 | $ | 3,561 | $ | 3,742,987 | |||||
Federal National Mortgage Assoc. | 4.406% (12 Mo. LIBOR + 1.78% | )# | 3/1/2042 | 7,385 | 7,734,534 | |||||||
Federal National Mortgage Assoc. | 4.427% (12 Mo. LIBOR + 1.66% | )# | 9/1/2036 | 3,520 | 3,679,753 | |||||||
Federal National Mortgage Assoc. | 4.537% (12 Mo. LIBOR + 1.79% | )# | 1/1/2041 | 8,986 | 9,441,143 | |||||||
Federal National Mortgage Assoc. | 4.543% (12 Mo. LIBOR + 1.68% | )# | 8/1/2038 | 2,113 | 2,222,191 | |||||||
Federal National Mortgage Assoc. | 4.546% (12 Mo. LIBOR + 1.66% | )# | 12/1/2036 | 3,887 | 4,074,409 | |||||||
Federal National Mortgage Assoc. | 4.557% (12 Mo. LIBOR + 1.73% | )# | 10/1/2036 | 5,441 | 5,728,877 | |||||||
Federal National Mortgage Assoc. | 4.56% (12 Mo. LIBOR + 1.75% | )# | 11/1/2038 | 6,414 | 6,740,280 | |||||||
Federal National Mortgage Assoc. | 4.674% (12 Mo. LIBOR + 1.81% | )# | 8/1/2041 | 4,034 | 4,237,690 | |||||||
Federal National Mortgage Assoc. | 4.686% (1 Yr Treasury Constant Maturity Rate + 2.22% | )# | 3/1/2038 | 2,708 | 2,870,781 | |||||||
Federal National Mortgage Assoc. | 4.688% (12 Mo. LIBOR + 1.78% | )# | 10/1/2036 | 4,019 | 4,240,968 | |||||||
Federal National Mortgage Assoc. | 4.724% (12 Mo. LIBOR + 1.82% | )# | 4/1/2040 | 2,590 | 2,740,776 | |||||||
Federal National Mortgage Assoc. | 4.733% (1 Yr Treasury Constant Maturity Rate + 2.19% | )# | 1/1/2038 | 2,840 | 3,000,309 | |||||||
Federal National Mortgage Assoc. | 4.812% (12 Mo. LIBOR + 1.90% | )# | 12/1/2038 | 3,151 | 3,345,597 | |||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $313,810,150) | 313,314,839 | |||||||||||
MUNICIPAL BONDS 0.16% | ||||||||||||
Miscellaneous | ||||||||||||
IL State GO | 6.20% | 7/1/2021 | 116 | 120,508 | ||||||||
New Jersey Econ Dev Auth (AGM) | Zero Coupon | 2/15/2020 | 8,075 | 8,040,035 | ||||||||
New Jersey Transp Tr Fnd Auth | 5.00% | 12/15/2019 | 6,900 | 6,908,211 | ||||||||
State of Illinois | 4.95% | 6/1/2023 | 64,014 | 66,939,098 | ||||||||
State of Illinois | 6.125% | 7/1/2021 | 9,035 | 9,361,344 | ||||||||
Total Municipal Bonds (cost $90,549,579) | 91,369,196 |
338 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 24.11% | ||||||||||||
1211 Avenue of the Americas Trust 2015-1211 XA IO† | 0.38% | #(j) | 8/10/2035 | $ | 214,200 | $ | 3,185,197 | |||||
A10 Bridge Asset Financing LLC 2015-AA A1† | 3.30% | 5/15/2036 | 44,618 | 44,695,474 | ||||||||
AD Mortgage Trust 2017-330M A† | 3.294% | #(j) | 8/15/2034 | 3,560 | 3,658,491 | |||||||
Americold LLC 2010-ARTA A1† | 3.847% | 1/14/2029 | 10,254 | 10,335,930 | ||||||||
AOA Mortgage Trust 2015-1177 A† | 2.957% | 12/13/2029 | 24,596 | 24,758,978 | ||||||||
AREIT Trust 2018-CRE2 A† | 2.743% (1 Mo. LIBOR + .98% | )# | 11/14/2035 | 58,659 | 58,514,292 | |||||||
Atrium Hotel Portfolio Trust 2017-ATRM A† | 2.695% (1 Mo. LIBOR + .93% | )# | 12/15/2036 | 19,170 | 19,159,271 | |||||||
Atrium Hotel Portfolio Trust 2017-ATRM B† | 3.265% (1 Mo. LIBOR + 1.50% | )# | 12/15/2036 | 31,196 | 31,180,917 | |||||||
Atrium Hotel Portfolio Trust 2018-ATRM A† | 2.715% (1 Mo. LIBOR + .95% | )# | 6/15/2035 | 51,559 | 51,637,669 | |||||||
Atrium Hotel Portfolio Trust 2018-ATRM B† | 3.195% (1 Mo. LIBOR + 1.43% | )# | 6/15/2035 | 28,355 | 28,399,310 | |||||||
Atrium Hotel Portfolio Trust 2018-ATRM C† | 3.415% (1 Mo. LIBOR + 1.65% | )# | 6/15/2035 | 9,012 | 9,026,318 | |||||||
Aventura Mall Trust 2013-AVM A† | 3.867% | #(j) | 12/5/2032 | 43,213 | 43,585,335 | |||||||
Aventura Mall Trust 2013-AVM D† | 3.867% | #(j) | 12/5/2032 | 11,000 | 11,094,705 | |||||||
BAMLL Commercial Mortgage Securities Trust 2019-AHT B† | 3.365% (1 Mo. LIBOR + 1.60% | )# | 3/15/2034 | 10,221 | 10,279,907 | |||||||
BAMLL Commercial Mortgage Securities Trust 2019-RLJ A† | 2.815% (1 Mo. LIBOR + 1.05% | )# | 4/15/2036 | 9,729 | 9,739,369 | |||||||
BAMLL Trust 2011-FSHN A† | 4.42% | 7/11/2033 | 34,912 | 35,745,573 | ||||||||
Banc of America Commercial Mortgage Trust 2016-UB10 XA IO | 2.126% | #(j) | 7/15/2049 | 86,271 | 6,847,368 | |||||||
Bancorp Commercial Mortgage Trust (The) 2018-CR3 A† | 2.615% (1 Mo. LIBOR + .85% | )# | 1/15/2033 | 22,690 | 22,678,436 | |||||||
Bancorp Commercial Mortgage Trust 2017-CRE2 A† | 2.615% (1 Mo. LIBOR + .85% | )# | 8/15/2032 | 858 | 858,036 | |||||||
Bancorp Commercial Mortgage Trust 2019-CRE5 A† | 2.765% (1 Mo. LIBOR + 1.00% | )# | 3/15/2036 | 53,103 | 53,132,260 | |||||||
Bancorp Commercial Mortgage Trust 2019-CRE6 A† | 2.971% (1 Mo. LIBOR + 1.05% | )# | 9/15/2036 | 78,600 | 78,692,547 | |||||||
BB-UBS Trust 2012-SHOW A† | 3.43% | 11/5/2036 | 39,264 | 41,080,486 | ||||||||
BB-UBS Trust 2012-TFT A† | 2.892% | 6/5/2030 | 71,213 | 71,203,009 | ||||||||
BB-UBS Trust 2012-TFT B† | 3.584% | #(j) | 6/5/2030 | 7,850 | 7,808,945 | |||||||
BB-UBS Trust 2012-TFT C† | 3.584% | #(j) | 6/5/2030 | 14,354 | 14,258,843 | |||||||
BBCMS Mortgage Trust 2017-DELC A† | 2.615% (1 Mo. LIBOR + .85% | )# | 8/15/2036 | 43,788 | 43,721,061 | |||||||
BBCMS Mortgage Trust 2018-TALL A† | 2.487% (1 Mo. LIBOR + .72% | )# | 3/15/2037 | 43,684 | 43,555,185 |
See Notes to Financial Statements. | 339 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
BBCMS Mortgage Trust 2018-TALL E† | 4.202% (1 Mo. LIBOR + 2.44% | )# | 3/15/2037 | $ | 49,994 | $ | 50,093,708 | |||||
BBCMS Mortgage Trust 2019-BWAY A† | 2.756% (1 Mo. LIBOR + .96% | )# | 11/25/2034 | 58,210 | 57,891,230 | |||||||
BBCMS Mortgage Trust 2019-BWAY B† | 3.11% (1 Mo. LIBOR + 1.31% | )# | 11/25/2034 | 26,273 | 26,136,809 | |||||||
BBCMS Mortgage Trust 2019-BWAY C† | 3.41% (1 Mo. LIBOR + 1.61% | )# | 11/25/2034 | 10,000 | 9,949,054 | |||||||
BBCMS Trust 2013-TYSN C† | 3.821% | 9/5/2032 | 5,475 | 5,505,574 | ||||||||
BBCMS Trust 2015-MSQ A† | 3.593% | 9/15/2032 | 19,174 | 19,778,244 | ||||||||
BBCMS Trust 2015-STP A† | 3.323% | 9/10/2028 | 6,443 | 6,486,477 | ||||||||
BBCMS Trust 2015-STP B† | 3.927% | 9/10/2028 | 11,400 | 11,501,217 | ||||||||
BBCMS Trust 2015-STP C† | 4.427% | #(j) | 9/10/2028 | 23,900 | 24,111,070 | |||||||
BBCMS Trust 2015-STP XA IO† | 1.104% | #(j) | 9/10/2028 | 184,769 | 975,581 | |||||||
BBCMS Trust 2015-VFM A1† | 2.466% | 3/10/2036 | 26,434 | 26,614,522 | ||||||||
BBCMS Trust 2018-BXH A† | 2.765% (1 Mo. LIBOR + 1.00% | )# | 10/15/2037 | 12,519 | 12,508,816 | |||||||
BDS 2018-FL1 A† | 2.613% (1 Mo. LIBOR + .85% | )# | 1/15/2035 | 16,180 | 16,200,094 | |||||||
BDS 2018-FL2 A† | 2.713% (1 Mo. LIBOR+ .95% | )# | 8/15/2035 | 9,601 | 9,619,059 | |||||||
BENCHMARK 2018-B3 Mortgage Trust 2018-B3 A3 | 3.746% | 4/10/2051 | 5,000 | 5,321,887 | ||||||||
Benchmark Mortgage Trust 2019-B12 TCC† | 3.555% | #(j) | 8/15/2052 | 5,525 | 5,408,914 | (a) | ||||||
BHP Trust 2019-BXHP 2019-BXHP A† | 2.74% (1 Mo. LIBOR + .98% | )# | 8/15/2036 | 147,811 | 147,247,825 | |||||||
BHP Trust 2019-BXHP 2019-BXHP B† | 3.089% (1 Mo. LIBOR + 1.32% | )# | 8/15/2036 | 42,561 | 42,414,203 | |||||||
BHP Trust 2019-BXHP E† | 4.333% (1 Mo. LIBOR + 2.57% | )# | 8/15/2036 | 40,350 | 40,287,236 | |||||||
BWAY 2013-1515 Mortgage Trust 2013-1515 A1† | 2.809% | 3/10/2033 | 8,422 | 8,552,249 | ||||||||
BWAY Mortgage Trust 2013-1515 XB IO† | 0.534% | #(j) | 3/10/2033 | 103,040 | 2,098,729 | |||||||
BWAY Mortgage Trust 2015-1740 A† | 2.917% | 1/10/2035 | 9,488 | 9,653,978 | ||||||||
BX Commercial Mortgage Trust 2018-BIOA A† | 2.436% (1 Mo. LIBOR + .67% | )# | 3/15/2037 | 118,269 | 118,105,943 | |||||||
BX Commercial Mortgage Trust 2019-XL A† | 2.685% (1 Mo. LIBOR + .92% | )# | 10/15/2036 | 512,400 | 513,524,206 | |||||||
BX Commercial Mortgage Trust 2019-XL B† | 2.845% (1 Mo. LIBOR + 1.08% | )# | 10/15/2036 | 47,300 | 47,389,038 | |||||||
BX Commercial Mortgage Trust 2019-XL C† | 3.015% (1 Mo. LIBOR + 1.25% | )# | 10/15/2036 | 12,600 | 12,620,105 | |||||||
BX Trust 2017-APPL D† | 3.815% (1 Mo. LIBOR + 2.05% | )# | 7/15/2034 | 21,454 | 21,495,288 | |||||||
BX Trust 2017-APPL E† | 4.915% (1 Mo. LIBOR + 3.15% | )# | 7/15/2034 | 32,923 | 33,044,388 | |||||||
BX Trust 2017-SLCT C† | 3.165% (1 Mo. LIBOR + 1.40% | )# | 7/15/2034 | 12,458 | 12,465,732 |
340 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
BX Trust 2017-SLCT D† | 3.815% (1 Mo. LIBOR + 2.05% | )# | 7/15/2034 | $ | 74,720 | $ | 74,765,515 | |||||
BX Trust 2017-SLCT E† | 4.915% (1 Mo. LIBOR + 3.15% | )# | 7/15/2034 | 56,002 | 56,208,646 | |||||||
BX Trust 2018-BILT A† | 2.565% (1 Mo. LIBOR + .80% | )# | 5/15/2030 | 41,628 | 41,507,287 | |||||||
BX Trust 2018-BILT D† | 3.535% (1 Mo. LIBOR + 1.77% | )# | 5/15/2030 | 11,427 | 11,423,631 | |||||||
BX Trust 2018-GW A† | 2.565% (1 Mo. LIBOR + .80% | )# | 5/15/2035 | 21,579 | 21,530,059 | |||||||
BX Trust 2018-GW D† | 3.535% (1 Mo. LIBOR + 1.77% | )# | 5/15/2035 | 15,601 | 15,635,388 | |||||||
BX Trust 2019-RP 2019-RP B† | 3.26% (1 Mo. LIBOR + 1.50% | )# | 6/15/2034 | 21,850 | 21,778,207 | |||||||
BXP Trust 2017-CQHP A† | 2.615% (1 Mo. LIBOR + .85% | )# | 11/15/2034 | 41,359 | 41,262,423 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI A† | 3.531% | 10/15/2034 | 189,618 | 196,906,157 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI B† | 3.835% | 10/15/2034 | 94,705 | 98,414,974 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI C† | 4.138% | 10/15/2034 | 55,141 | 57,588,759 | ||||||||
Caesars Palace Las Vegas Trust 2017-VICI C IO† | 0.968% | #(j) | 10/15/2034 | 495,108 | 10,864,155 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI D† | 4.499% | #(j) | 10/15/2034 | 28,230 | 29,540,612 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI D IO† | 0.538% | #(j) | 10/15/2034 | 314,538 | 3,520,467 | |||||||
Caesars Palace Las Vegas Trust 2017-VICI E† | 4.499% | #(j) | 10/15/2034 | 95,392 | 98,893,974 | |||||||
Cantor Commercial Real Estate Lending 2019-CF1 65A | 4.411% | 5/15/2052 | 5,498 | 5,814,820 | ||||||||
CCRESG Commercial Mortgage Trust 2016-HEAT B IO | 0.885% | #(j) | 12/10/2054 | 146,031 | 6,406,195 | |||||||
CF Trust 2019-BOSS A1† | 4.953% (1 Mo. LIBOR + 3.25% | )# | 12/15/2021 | 63,488 | 63,574,858 | (a) | ||||||
CF Trust 2019-MF1 2019-MF1 A† | 2.815% (1 Mo. LIBOR + 1.05% | )# | 8/21/2032 | 49,351 | 49,527,919 | |||||||
CF Trust 2019-MF1 2019-MF1 B† | 3.115% (1 Mo. LIBOR + 1.35% | )# | 8/21/2032 | 9,204 | 9,236,674 | |||||||
CF Trust 2019-MF1 2019-MF1 C† | 3.415% (1 Mo. LIBOR + 1.65% | )# | 8/21/2032 | 12,746 | 12,790,738 | |||||||
CFCRE Commercial Mortgage Trust 2011-C2 AJ† | 5.933% | #(j) | 12/15/2047 | 8,307 | 8,701,293 | |||||||
CFCRE Commercial Mortgage Trust 2016-C4 XA IO | 1.872% | #(j) | 5/10/2058 | 69,022 | 5,911,899 | |||||||
CFCRE Commercial Mortgage Trust 2016-C6 XA IO | 1.306% | #(j) | 11/10/2049 | 156,586 | 10,080,360 | |||||||
CFCRE Commercial Mortgage Trust 2018-TAN A† | 4.236% | 2/15/2033 | 40,657 | 43,091,671 | ||||||||
CGBAM Commercial Mortgage Trust 2015-SMRT B† | 3.213% | 4/10/2028 | 22,707 | 22,720,347 | ||||||||
CGBAM Commercial Mortgage Trust 2015-SMRT C† | 3.516% | 4/10/2028 | 15,195 | 15,207,843 | ||||||||
CGBAM Commercial Mortgage Trust 2015-SMRT D† | 3.768% | 4/10/2028 | 5,200 | 5,205,497 | ||||||||
Cherrywood SB Commercial Mortgage Loan Trust 2016-1A AFX† | 3.73% | 3/25/2049 | 4,254 | 4,257,014 | ||||||||
CHT Mortgage Trust 2017-CSMO A† | 2.695% (1 Mo. LIBOR + 0.93% | )# | 11/15/2036 | 92,398 | 92,554,910 | |||||||
CHT Mortgage Trust 2017-CSMO B† | 3.165% (1 Mo. LIBOR + 1.40% | )# | 11/15/2036 | 32,200 | 32,265,881 |
See Notes to Financial Statements. | 341 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
CHT Mortgage Trust 2017-CSMO D† | 4.015% (1 Mo. LIBOR + 2.25% | )# | 11/15/2036 | $ | 28,625 | $ | 28,710,065 | |||||
Citigroup Commercial Mortgage Trust 2012-GC8 A4 | 3.024% | 9/10/2045 | 32,833 | 33,569,766 | ||||||||
Citigroup Commercial Mortgage Trust 2012-GC8 XB IO† | 0.227% | #(j) | 9/10/2045 | 218,445 | 975,901 | |||||||
Citigroup Commercial Mortgage Trust 2013-375P A† | 3.251% | 5/10/2035 | 14,500 | 14,956,867 | ||||||||
Citigroup Commercial Mortgage Trust 2013-375P A IO | 0.495% | #(j) | 6/10/2048 | 242,875 | 4,473,020 | |||||||
Citigroup Commercial Mortgage Trust 2013-375P B† | 3.635% | #(j) | 5/10/2035 | 23,000 | 23,695,085 | |||||||
Citigroup Commercial Mortgage Trust 2013-GC11 XA IO | 1.534% | #(j) | 4/10/2046 | 361,848 | 13,904,871 | |||||||
Citigroup Commercial Mortgage Trust 2013-GC15 A4 | 4.371% | #(j) | 9/10/2046 | 13,315 | 14,300,930 | |||||||
Citigroup Commercial Mortgage Trust 2014-GC19 A3 | 3.753% | 3/10/2047 | 4,716 | 4,985,266 | ||||||||
Citigroup Commercial Mortgage Trust 2014-GC19 A4 | 4.023% | 3/10/2047 | 12,490 | 13,339,427 | ||||||||
Citigroup Commercial Mortgage Trust 2014-GC21 XA IO | 1.345% | #(j) | 5/10/2047 | 186,057 | 8,252,211 | |||||||
Citigroup Commercial Mortgage Trust 2014-GC23 XB IO | 0.309% | #(j) | 7/10/2047 | 120,131 | 1,248,329 | |||||||
Citigroup Commercial Mortgage Trust 2015-GC27 AAB | 2.944% | 2/10/2048 | 9,186 | 9,364,255 | ||||||||
Citigroup Commercial Mortgage Trust 2015-GC27 XA IO | 1.512% | #(j) | 2/10/2048 | 120,613 | 6,594,265 | |||||||
Citigroup Commercial Mortgage Trust 2015-GC35 XA IO | 1.005% | #(j) | 11/10/2048 | 177,688 | 6,062,537 | |||||||
Citigroup Commercial Mortgage Trust 2016-GC36 XA IO | 1.435% | #(j) | 2/10/2049 | 99,568 | 6,172,809 | |||||||
Citigroup Commercial Mortgage Trust 2016-GC37 XA IO | 1.922% | #(j) | 4/10/2049 | 66,749 | 5,813,537 | |||||||
Citigroup Mortgage Loan Trust 2013-2 5A1† | 1.963% | #(j) | 7/25/2036 | 2,140 | 2,128,635 | |||||||
CityLine Commercial Mortgage Trust 2016-CLNE A† | 2.871% | #(j) | 11/10/2031 | 16,235 | 16,553,250 | |||||||
COMM 2014-UBS3 Mortgage Trust 2014-UBS3 A3 | 3.546% | 6/10/2047 | 5,767 | 6,053,923 | ||||||||
COMM 2015-CCRE25 Mortgage Trust 2015-CR25 A3 | 3.505% | 8/10/2048 | 40,356 | 42,496,840 | ||||||||
Commercial Mortgage Pass-Through Certificates 2010-C1 C† | 6.129% | #(j) | 7/10/2046 | 17,961 | 18,386,658 |
342 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Commercial Mortgage Pass-Through Certificates 2010-C1 D† | 6.264% | #(j) | 7/10/2046 | $ | 12,446 | $ | 12,660,457 | |||||
Commercial Mortgage Pass-Through Certificates 2012-CR3 AM† | 3.416% | 10/15/2045 | 7,449 | 7,623,894 | ||||||||
Commercial Mortgage Pass-Through Certificates 2012-CR4 XA IO | 1.854% | #(j) | 10/15/2045 | 208,330 | 7,815,919 | |||||||
Commercial Mortgage Pass-Through Certificates 2012-CR5 AM† | 3.223% | 12/10/2045 | 22,028 | 22,579,819 | ||||||||
Commercial Mortgage Pass-Through Certificates 2012-LC4 XA IO† | 2.288% | #(j) | 12/10/2044 | 61,479 | 2,160,573 | |||||||
Commercial Mortgage Pass-Through Certificates 2012-LTRT A1† | 2.15% | 10/5/2030 | 15,287 | 15,220,056 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-CR10 A4 | 4.21% | #(j) | 8/10/2046 | 9,960 | 10,654,830 | |||||||
Commercial Mortgage Pass-Through Certificates 2013-CR12 A3 | 3.765% | 10/10/2046 | 17,392 | 18,257,440 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-CR6 A4 | 3.101% | 3/10/2046 | 4,850 | 4,983,300 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-CR7 A4 | 3.213% | 3/10/2046 | 24,910 | 25,635,676 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-CR7 XA IO | 1.358% | #(j) | 3/10/2046 | 161,476 | 5,039,409 | |||||||
Commercial Mortgage Pass-Through Certificates 2013-CR8 A5 | 3.612% | #(j) | 6/10/2046 | 20,290 | 21,186,493 | |||||||
Commercial Mortgage Pass-Through Certificates 2013-CR8 XA IO | 0.542% | #(j) | 6/10/2046 | 429,680 | 5,255,200 | |||||||
Commercial Mortgage Pass-Through Certificates 2013-CR9 A4 | 4.373% | #(j) | 7/10/2045 | 34,885 | 37,152,134 | |||||||
Commercial Mortgage Pass-Through Certificates 2013-GAM A2† | 3.367% | 2/10/2028 | 15,413 | 15,512,835 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-SFS A1† | 1.873% | 4/12/2035 | 14,971 | 14,922,644 | ||||||||
Commercial Mortgage Pass-Through Certificates 2013-WWP XB IO† | 0.389% | #(j) | 3/10/2031 | 265,903 | 2,405,066 | |||||||
Commercial Mortgage Pass-Through Certificates 2014 CR17 A4 | 3.70% | 5/10/2047 | 60,470 | 63,830,959 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-277P A† | 3.732% | #(j) | 8/10/2049 | 16,960 | 18,008,203 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-CR16 A4 | 4.051% | 4/10/2047 | 22,071 | 23,582,613 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-CR17 A5 | 3.977% | 5/10/2047 | 7,751 | 8,281,270 |
See Notes to Financial Statements. | 343 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Commercial Mortgage Pass-Through Certificates 2014-CR18 A5 | 3.828% | 7/15/2047 | $ | 25,645 | $ | 27,277,421 | ||||||
Commercial Mortgage Pass-Through Certificates 2014-CR19 A4 | 3.532% | 8/10/2047 | 18,366 | 19,293,152 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-CR19 A5 | 3.796% | 8/10/2047 | 10,150 | 10,813,041 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-CR19 XA IO | 1.191% | #(j) | 8/10/2047 | 86,055 | 3,370,370 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-CR21 XA IO | 1.016% | #(j) | 12/10/2047 | 108,002 | 3,914,648 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-FL5 B† | 3.30% (1 Mo. LIBOR + 2.15% | )# | 10/15/2031 | 724 | 723,551 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-LC15 A3 | 3.727% | 4/10/2047 | 72,777 | 76,873,826 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-LC15 A3 IO† | 0.817% | #(j) | 7/10/2050 | 178,627 | 4,581,663 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-LC15 A4 | 4.006% | 4/10/2047 | 18,061 | 19,293,725 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-LC17 XA IO | 0.925% | #(j) | 10/10/2047 | 114,076 | 3,338,566 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-UBS3 A4 | 3.819% | 6/10/2047 | 13,342 | 14,169,005 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-UBS5 XA IO | 1.03% | #(j) | 9/10/2047 | 204,061 | 6,584,540 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-CR23 CMC† | 3.807% | #(j) | 5/10/2048 | 8,800 | 8,817,142 | |||||||
Commercial Mortgage Pass-Through Certificates 2016-COR1 A2 | 2.499% | 10/10/2049 | 14,521 | 14,590,721 | ||||||||
Commercial Mortgage Pass-Through Certificates 2016-DC2 ASB | 3.55% | 2/10/2049 | 5,260 | 5,487,206 | ||||||||
Commercial Mortgage Pass-Through Certificates 2016-GCT C IO | 1.545% | #(j) | 8/10/2049 | 118,274 | 8,586,952 | |||||||
Commercial Mortgage Pass-Through Certificates 2016-GCT D† | 3.577% | #(j) | 8/10/2029 | 7,193 | 7,239,407 | |||||||
Commercial Mortgage Pass-Through Certificates 2016-GCT E† | 3.577% | #(j) | 8/10/2029 | 6,850 | 6,838,587 | |||||||
Commercial Mortgage Pass-Through Certificates 2017-PANW D† | 4.343% | #(j) | 10/10/2029 | 18,022 | 18,735,862 | |||||||
Commercial Mortgage Trust 2006-GG7 AM | 5.807% | #(j) | 7/10/2038 | 12,206 | 12,288,663 | |||||||
Credit Suisse Commercial Mortgage Securities Corp. 2019-SKLZ A† | 3.015% (1 Mo. LIBOR + 1.25% | )# | 1/15/2034 | 8,300 | 8,321,668 |
344 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Credit Suisse Commercial Mortgage Securities Corp.2019-SKLZ A IO† | 0.697% | #(j) | 9/15/2037 | $ | 115,519 | $ | 3,092,962 | |||||
Credit Suisse Commercial Mortgage Securities Corp. 2019-SKLZ B† | 3.665% (1 Mo. LIBOR + 1.90% | )# | 1/15/2034 | 33,700 | 33,823,288 | |||||||
Credit Suisse Commercial Mortgage Securities Corp. 2019-SKLZ C† | 4.515% (1 Mo. LIBOR + 2.75% | )# | 1/15/2034 | 21,900 | 22,041,623 | |||||||
Credit Suisse Commercial Mortgage Securities Corp. 2019-SKLZ D† | 5.365% (1 Mo. LIBOR + 3.60% | )# | 1/15/2034 | 6,000 | 6,055,432 | |||||||
Credit Suisse Mortgage Capital Certificates 2011-2R 4A1† | 1.933% (1 Mo. LIBOR + .11% | )# | 2/27/2037 | 1,630 | 1,613,538 | |||||||
Credit Suisse Mortgage Capital Certificates 2012-7R 2A1† | 4.386% | #(j) | 6/26/2036 | 207 | 207,030 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-HD A† | 2.715% (1 Mo. LIBOR + .95% | )# | 2/15/2031 | 37,217 | 37,204,878 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-HD B† | 3.115% (1 Mo. LIBOR + 1.35% | )# | 2/15/2031 | 12,038 | 12,025,897 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-HD C† | 3.465% (1 Mo. LIBOR + 1.70% | )# | 2/15/2031 | 6,721 | 6,709,559 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-HD D† | 4.265% (1 Mo. LIBOR + 2.50% | )# | 2/15/2031 | 12,130 | 12,101,293 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-HD E† | 5.415% (1 Mo. LIBOR + 3.65% | )# | 2/15/2031 | 17,624 | 17,590,330 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-LSTK A† | 2.761% | 4/5/2033 | 64,601 | 64,790,601 | ||||||||
Credit Suisse Mortgage Capital Certificates 2017-LSTK B† | 3.03% | 4/5/2033 | 13,175 | 13,220,628 | ||||||||
Credit Suisse Mortgage Capital Certificates 2017-LSTK C† | 3.229% | 4/5/2033 | 8,450 | 8,446,411 | ||||||||
Credit Suisse Mortgage Capital Certificates 2017-LSTK D† | 3.442% | #(j) | 4/5/2033 | 9,850 | 9,839,593 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-MOON A† | 3.197% | 7/10/2034 | 45,816 | 47,042,339 | ||||||||
Credit Suisse Mortgage Capital Certificates 2017-MOON B† | 3.303% | #(j) | 7/10/2034 | 8,250 | 8,412,929 | |||||||
Credit Suisse Mortgage Capital Certificates 2017-MOON D† | 3.303% | #(j) | 7/10/2034 | 9,093 | 9,129,316 | |||||||
Credit Suisse Mortgage Capital Certificates 2019-ICE4 A† | 2.745% (1 Mo. LIBOR + .98% | )# | 5/15/2036 | 97,265 | 97,507,686 | |||||||
Credit Suisse Mortgage Capital Certificates 2019-ICE4 B† | 2.995% (1 Mo. LIBOR + 1.23% | )# | 5/15/2036 | 98,596 | 98,873,656 | |||||||
Credit Suisse Mortgage Capital Certificates 2019-ICE4 C† | 3.195% (1 Mo. LIBOR + 1.43% | )# | 5/15/2036 | 105,392 | 105,645,352 |
See Notes to Financial Statements. | 345 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Credit Suisse Mortgage Capital Certificates 2019-ICE4 C IO | 2.062% | #(j) | 1/15/2049 | $ | 161,128 | $ | 14,019,524 | |||||
Credit Suisse Mortgage Capital Certificates Trust 2017-PFHP A† | 2.715% (1 Mo. LIBOR + .95% | )# | 12/15/2030 | 18,561 | 18,568,881 | |||||||
Credit Suisse Mortgage Capital Certificates Trust 2017-PFHP C† | 3.365% (1 Mo. LIBOR + 1.60% | )# | 12/15/2030 | 14,832 | 14,825,539 | |||||||
CSAIL Commercial Mortgage Trust 2015-C2 ASB | 3.224% | 6/15/2057 | 16,706 | 17,159,137 | ||||||||
CSAIL Commercial Mortgage Trust 2015-C4 A2 | 3.157% | 11/15/2048 | 13,828 | 13,872,384 | ||||||||
CSAIL Commercial Mortgage Trust 2015-C4 A2 IO | 1.628% | #(j) | 8/10/2049 | 194,438 | 15,672,245 | |||||||
CSAIL Commercial Mortgage Trust 2016-C7 XA IO | 1.114% | #(j) | 11/15/2049 | 219,097 | 11,364,847 | |||||||
CSAIL Commercial Mortgage Trust 2018-C14 A2 | 4.261% | 11/15/2051 | 46,551 | 49,878,233 | ||||||||
CSMC 2014-USA OA LLC 2014-USA A1† | 3.304% | 9/15/2037 | 12,000 | 12,272,462 | ||||||||
DBGS Mortgage Trust 2018 5BP A† | 2.41% (1 Mo. LIBOR + .65% | )# | 6/15/2033 | 38,755 | 38,669,367 | |||||||
DBGS Mortgage Trust 2018-BIOD A† | 2.568% (1 Mo. LIBOR + .80% | )# | 5/15/2035 | 49,317 | 49,173,200 | |||||||
DBUBS Mortgage Trust 2011-LC2A A1† | 3.527% | 7/10/2044 | 4,848 | 4,875,499 | ||||||||
DBUBS Mortgage Trust 2011-LC2A A4† | 4.537% | 7/10/2044 | 17,793 | 18,216,931 | ||||||||
DBUBS Mortgage Trust 2011-LC2A B† | 4.998% | #(j) | 7/10/2044 | 6,825 | 7,062,227 | |||||||
DBUBS Mortgage Trust 2011-LC3A PM4† | 5.268% | #(j) | 5/10/2044 | 9,200 | 9,411,922 | |||||||
DBWF Mortgage Trust 2015-LCM A1† | 2.998% | 6/10/2034 | 15,583 | 15,734,807 | ||||||||
DBWF Mortgage Trust 2015-LCM XA IO† | 0.537% | #(j) | 6/10/2034 | 30,793 | 458,504 | |||||||
DBWF Mortgage Trust 2018-AMXP A† | 3.873% | #(j) | 5/5/2035 | 303,200 | 314,584,978 | |||||||
DBWF Mortgage Trust 2018-AMXP B† | 4.122% | #(j) | 5/5/2035 | 53,868 | 55,943,265 | |||||||
DBWF Mortgage Trust 2018-AMXP C† | 3.956% | #(j) | 5/5/2035 | 49,438 | 50,276,716 | |||||||
DBWF Mortgage Trust 2018-AMXP D† | 3.917% | #(j) | 5/5/2035 | 6,780 | 6,868,308 | |||||||
DBWF Mortgage Trust 2018-GLKS A† | 2.763% (1 Mo. LIBOR + 1.03% | )# | 11/19/2035 | 75,649 | 75,843,373 | |||||||
DBWF Mortgage Trust 2018-GLKS B† | 3.083% (1 Mo. LIBOR + 1.35% | )# | 11/19/2035 | 12,250 | 12,275,759 | |||||||
DBWF Mortgage Trust 2018-GLKS D† | 4.133% (1 Mo. LIBOR + 2.40% | )# | 11/19/2035 | 34,200 | 34,396,889 | |||||||
Exantas Capital Corp., Ltd. 2019-RSO7 A† | 2.763% (1 Mo. LIBOR + 1.00% | )# | 4/15/2036 | 38,940 | 38,905,568 | |||||||
Exantas Capital Corp., Ltd. 2019-RSO7 AS† | 3.263% (1 Mo. LIBOR + 1.50% | )# | 4/15/2036 | 38,900 | 38,964,185 | |||||||
Fontainebleau Miami Beach Trust 2019-FBLU 2019-FBLU XA†(c) | 0.774% | #(j) | 12/10/2036 | 367,400 | 11,294,427 | |||||||
Fontainebleau Miami Beach Trust 2019-FBLU A†(c) | 3.144% | 12/10/2036 | 37,609 | 38,761,293 | ||||||||
Fontainebleau Miami Beach Trust 2019-FBLU B†(c) | 3.447% | 12/10/2036 | 16,564 | 17,071,882 |
346 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
GRACE Mortgage Trust 2014-GRCE A† | 3.369% | 6/10/2028 | $ | 37,238 | $ | 37,730,551 | ||||||
Great Wolf Trust 2017-WOLF D† | 3.865% (1 Mo. LIBOR + 2.10% | )# | 9/15/2034 | 65,917 | 65,981,256 | |||||||
Great Wolf Trust 2017-WOLF E† | 4.865% (1 Mo. LIBOR + 3.10% | )# | 9/15/2034 | 76,090 | 76,225,486 | |||||||
Great Wolf Trust 2017-WOLF F† | 5.835% (1 Mo. LIBOR + 4.07% | )# | 9/15/2034 | 15,289 | 15,327,744 | |||||||
GS Mortgage Securities Corp Trust 2017-SLP A† | 3.419% | 10/10/2032 | 12,601 | 12,972,692 | ||||||||
GS Mortgage Securities Corp. II 2012-BWTR A† | 2.954% | 11/5/2034 | 9,225 | 9,439,957 | ||||||||
GS Mortgage Securities Corp. II 2012-TMSQ A† | 3.007% | 12/10/2030 | 43,122 | 44,046,217 | ||||||||
GS Mortgage Securities Corp. II 2012-TMSQ C† | 3.573% | #(j) | 12/10/2030 | 14,494 | 14,795,510 | |||||||
GS Mortgage Securities Corp. II 2013-KING A† | 2.706% | 12/10/2027 | 33,825 | 33,806,689 | ||||||||
GS Mortgage Securities Corp. II 2013-KING B† | 3.241% | 12/10/2027 | 28,300 | 28,280,170 | ||||||||
GS Mortgage Securities Corp. II 2013-KING C† | 3.55% | #(j) | 12/10/2027 | 22,300 | 22,283,139 | |||||||
GS Mortgage Securities Corp. II 2013-KING E† | 3.55% | #(j) | 12/10/2027 | 3,000 | 2,997,103 | |||||||
GS Mortgage Securities Corp. Trust 2012-ALOH A† | 3.551% | 4/10/2034 | 66,194 | 67,920,944 | ||||||||
GS Mortgage Securities Corp. Trust 2012-ALOH B† | 4.049% | 4/10/2034 | 10,750 | 11,055,597 | ||||||||
GS Mortgage Securities Corp. Trust 2012-ALOH C† | 4.267% | #(j) | 4/10/2034 | 6,779 | 6,982,233 | |||||||
GS Mortgage Securities Corp. Trust 2016-RENT C† | 4.202% | #(j) | 2/10/2029 | 13,648 | 13,798,076 | |||||||
GS Mortgage Securities Corp. Trust 2017-GPTX A† | 2.856% | 5/10/2034 | 42,391 | 42,398,323 | ||||||||
GS Mortgage Securities Corp. Trust 2017-GPTX B† | 3.104% | 5/10/2034 | 31,294 | 31,227,206 | ||||||||
GS Mortgage Securities Corp. Trust 2017-STAY A† | 2.615% (1 Mo. LIBOR + .85% | )# | 7/15/2032 | 35,859 | 35,871,536 | |||||||
GS Mortgage Securities Corp. Trust 2017-STAY B† | 2.865% (1 Mo. LIBOR + 1.10% | )# | 7/15/2032 | 16,811 | 16,835,830 | |||||||
GS Mortgage Securities Corp. Trust 2017-STAY C† | 3.115% (1 Mo. LIBOR + 1.35% | )# | 7/15/2032 | 15,428 | 15,431,456 | |||||||
GS Mortgage Securities Corp. Trust 2017-STAY D† | 3.715% (1 Mo. LIBOR + 1.95% | )# | 7/15/2032 | 19,051 | 19,026,685 | |||||||
GS Mortgage Securities Corp. Trust 2018-RIVR A† | 2.715% (1 Mo. LIBOR + .95% | )# | 7/15/2035 | 47,683 | 47,799,714 | |||||||
GS Mortgage Securities Corp. Trust 2019-70P A† | 2.765% (1 Mo. LIBOR + 1.00% | )# | 10/15/2036 | 143,294 | 143,483,764 | |||||||
GS Mortgage Securities Corp. Trust 2019-70P B† | 3.085% (1 Mo. LIBOR + 1.32% | )# | 10/15/2036 | 31,548 | 31,590,759 | |||||||
GS Mortgage Securities Corp. Trust 2019-BOCA A† | 2.965% (1 Mo. LIBOR + 1.20% | )# | 6/15/2038 | 96,564 | 96,754,328 | |||||||
GS Mortgage Securities Corp. Trust 2019-BOCA A IO† | 2.123% | #(j) | 1/10/2045 | 173,013 | 5,143,701 | |||||||
GS Mortgage Securities Corp. Trust 2019-BOCA B† | 3.265% (1 Mo. LIBOR + 1.50% | )# | 6/15/2038 | 18,875 | 18,912,539 |
See Notes to Financial Statements. | 347 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
GS Mortgage Securities Corp. Trust 2019-SMP A† | 2.915% (1 Mo. LIBOR + 1.15% | )# | 8/15/2032 | $ | 22,000 | $ | 22,027,117 | |||||
GS Mortgage Securities Trust 2010-C2 A1† | 3.849% | 12/10/2043 | 1,422 | 1,429,711 | ||||||||
GS Mortgage Securities Trust 2011-GC5 B† | 5.556% | #(j) | 8/10/2044 | 39,535 | 41,172,851 | |||||||
GS Mortgage Securities Trust 2012-GC6 B† | 5.84% | #(j) | 1/10/2045 | 14,812 | 15,712,875 | |||||||
GS Mortgage Securities Trust 2012-GCJ7 B | 4.74% | 5/10/2045 | 11,331 | 11,810,143 | ||||||||
GS Mortgage Securities Trust 2012-GCJ9 XA IO | 2.107% | #(j) | 11/10/2045 | 88,020 | 4,123,993 | |||||||
GS Mortgage Securities Trust 2012-GCJ9 XB IO† | 0.44% | #(j) | 11/10/2045 | 90,229 | 891,792 | |||||||
GS Mortgage Securities Trust 2013 GC12 B | 3.777% | #(j) | 6/10/2046 | 5,809 | 5,990,381 | |||||||
GS Mortgage Securities Trust 2013-G1 A1† | 2.059% | 4/10/2031 | 8,625 | 8,605,677 | ||||||||
GS Mortgage Securities Trust 2013-GC12 XA IO | 1.557% | #(j) | 6/10/2046 | 439,563 | 17,835,410 | |||||||
GS Mortgage Securities Trust 2013-GC14 A5 | 4.243% | 8/10/2046 | 16,691 | 17,838,593 | ||||||||
GS Mortgage Securities Trust 2014-GC18 A4 | 4.074% | 1/10/2047 | 13,702 | 14,658,150 | ||||||||
GS Mortgage Securities Trust 2014-GC22 A5 | 3.862% | 6/10/2047 | 25,948 | 27,686,140 | ||||||||
GS Mortgage Securities Trust 2014-GC26 XA IO | 1.124% | #(j) | 11/10/2047 | 90,628 | 3,679,127 | |||||||
GS Mortgage Securities Trust 2015-GS1 XA IO | 0.934% | #(j) | 11/10/2048 | 93,606 | 3,808,609 | |||||||
GS Mortgage Securities Trust 2016-GS2 XA IO | 1.803% | #(j) | 5/10/2049 | 221,059 | 16,742,906 | |||||||
GS Mortgage Securities Trust 2016-GS4 225A† | 2.636% | 11/10/2029 | 12,237 | 12,286,756 | (a) | |||||||
GS Mortgage Securities Trust 2016-GS4 225C† | 3.778% | 11/10/2029 | 21,308 | 21,628,745 | (a) | |||||||
GS Mortgage Securities Trust 2016-GS4 225D† | 4.766% | 11/10/2029 | 28,888 | 29,641,352 | (a) | |||||||
Hawaii Hotel Trust 2019-MAUI A† | 2.915% (1 Mo. LIBOR + 1.15% | )# | 5/15/2038 | 106,236 | 106,541,004 | |||||||
Hawaii Hotel Trust 2019-MAUI B† | 3.215% (1 Mo. LIBOR + 1.45% | )# | 5/15/2038 | 35,079 | 35,180,171 | |||||||
Hilton Orlando Trust 2018-ORL A† | 2.535% (1 Mo. LIBOR + .77% | )# | 12/15/2034 | 32,401 | 32,433,349 | |||||||
Hilton Orlando Trust 2018-ORL D† | 3.465% (1 Mo. LIBOR + 1.70% | )# | 12/15/2034 | 22,717 | 22,748,945 | |||||||
Hilton USA Trust 2016-SFP B† | 3.323% | 11/5/2035 | 4,745 | 4,744,625 | ||||||||
HMH Trust 2017-NSS A† | 3.062% | 7/5/2031 | 33,687 | 34,187,107 | ||||||||
HMH Trust 2017-NSS B† | 3.343% | 7/5/2031 | 21,685 | 22,068,050 | ||||||||
HMH Trust 2017-NSS C† | 3.787% | 7/5/2031 | 16,116 | 16,295,487 | ||||||||
HMH Trust 2017-NSS D† | 4.723% | 7/5/2031 | 21,309 | 21,754,399 | ||||||||
HMH Trust 2017-NSS D IO† | 1.417% | #(j) | 8/5/2034 | 171,661 | 5,393,589 | |||||||
Hudsons Bay Simon JV Trust 2015-HB10 XA10 IO† | 1.474% | #(j) | 8/5/2034 | 150,785 | 10,235,286 | |||||||
Hudsons Bay Simon JV Trust 2015-HB7 A7† | 3.914% | 8/5/2034 | 65,851 | 67,241,259 | ||||||||
Hudsons Bay Simon JV Trust 2015-HB7 B7† | 4.666% | 8/5/2034 | 5,000 | 5,047,380 | ||||||||
Hudsons Bay Simon JV Trust 2015-HB7 D7† | 5.331% | #(j) | 8/5/2034 | 5,000 | 4,803,216 | |||||||
IMT Trust 2017-APTS AFX† | 3.478% | 6/15/2034 | 1,380 | 1,443,698 |
348 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Irvine Core Office Trust 2013-IRV A1† | 2.068% | 5/15/2048 | $ | 27,128 | $ | 27,061,221 | ||||||
Irvine Core Office Trust 2013-IRV A2† | 3.279% | #(j) | 5/15/2048 | 40,462 | 41,887,677 | |||||||
Irvine Core Office Trust 2013-IRV XA IO† | 1.211% | #(j) | 5/15/2048 | 55,280 | 1,059,246 | |||||||
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2019-MARG A† | 2.865% (1 Mo. LIBOR + 1.10% | )# | 5/15/2034 | 48,269 | 48,404,636 | |||||||
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2019-MARG B† | 3.165% (1 Mo. LIBOR + 1.40% | )# | 5/15/2034 | 11,000 | 11,030,690 | |||||||
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2019-MARG C† | 3.475% (1 Mo. LIBOR + 1.71% | )# | 5/15/2034 | 7,900 | 7,921,883 | |||||||
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2019-MARG D† | 3.875% (1 Mo. LIBOR + 2.11% | )# | 5/15/2034 | 11,950 | 11,982,743 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2019-UES A† | 3.81% | 5/5/2032 | 6,710 | 7,113,703 | ||||||||
JPMBB Commercial Mortgage Securities Trust 2014-C26 A4 | 3.494% | 1/15/2048 | 10,100 | 10,653,972 | ||||||||
JPMBB Commercial Mortgage Securities Trust 2015-C27 A3A2† | 2.92% | 2/15/2048 | 47,373 | 48,702,068 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust | 3.75% | 9/15/2029 | 69,956 | 70,087,021 | (a) | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust | 4.65% | 9/15/2029 | 15,299 | 15,327,369 | (a) | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust | 5.35% | 9/15/2029 | 11,384 | 11,405,098 | (a) | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust | 6.35% | 9/15/2029 | 14,048 | 14,074,011 | (a) | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust | 7.35% | 9/15/2029 | 8,338 | 8,353,422 | (a) | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2010-C1 A2† | 4.608% | 6/15/2043 | 1,529 | 1,530,577 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2010-C2 B† | 5.075% | #(j) | 11/15/2043 | 1,710 | 1,737,084 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2012-C6 B | 4.819% | #(j) | 5/15/2045 | 9,466 | 9,911,455 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust2012-WLDN A† | 3.905% | 5/5/2030 | 73,691 | 75,659,738 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust2013-C10 XA IO | 1.12% | #(j) | 12/15/2047 | 258,737 | 7,006,811 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust2013-C12 XA IO | 0.601% | #(j) | 7/15/2045 | 140,605 | 1,933,896 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C14 A4 | 4.133% | #(j) | 8/15/2046 | 37,840 | 40,330,008 |
See Notes to Financial Statements. | 349 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C14 A4 IO | 1.108% | #(j) | 1/15/2048 | $ | 161,884 | $ | 6,275,030 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust 2013-LC11 XA IO | 1.399% | #(j) | 4/15/2046 | 97,424 | 3,511,115 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C18 A5 | 4.079% | 2/15/2047 | 20,800 | 22,295,129 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 A2 | 3.046% | 4/15/2047 | 362 | 363,847 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XA IO | 0.909% | #(j) | 4/15/2047 | 65,479 | 1,434,935 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XB IO | 0.441% | #(j) | 4/15/2047 | 34,361 | 493,565 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C22 A4 | 3.801% | 9/15/2047 | 36,541 | 38,949,607 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C24 XA IO | 1.079% | #(j) | 11/15/2047 | 100,224 | 3,112,486 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C25 XA IO | 1.007% | #(j) | 11/15/2047 | 176,236 | 6,212,362 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY A† | 3.429% | 6/10/2027 | 163,798 | 164,808,669 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY B† | 3.771% | 6/10/2027 | 20,772 | 20,694,147 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY C† | 3.931% | #(j) | 6/10/2027 | 14,352 | 13,547,807 | (a) | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY D† | 3.931% | #(j) | 6/10/2027 | 25,795 | 17,857,851 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY XA IO† | 0.503% | #(j) | 6/10/2027 | 102,274 | 3,068 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-DSTY XB IO† | 0.16% | #(j) | 6/10/2027 | 45,476 | 455 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C28 A2 | 2.773% | 10/15/2048 | 1,168 | 1,167,832 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C28 A2 IO | 0.873% | #(j) | 12/15/2049 | 169,272 | 5,451,717 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C29 XA IO | 0.901% | #(j) | 5/15/2048 | 91,463 | 2,182,823 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C30 XA IO | 0.671% | #(j) | 7/15/2048 | 132,037 | 3,350,491 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C31 A2 | 3.008% | 8/15/2048 | 5,000 | 5,011,689 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-C32 ASB | 3.358% | 11/15/2048 | 15,275 | 15,826,867 |
350 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 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-UES B† | 3.387% | 9/5/2032 | $ | 12,900 | $ | 12,952,426 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-UES C† | 3.742% | #(j) | 9/5/2032 | 10,800 | 10,851,996 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2015-UES XA IO† | 0.809% | #(j) | 9/5/2032 | 242,750 | 595,951 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI A† | 2.798% | 10/5/2031 | 60,038 | 60,545,381 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI B† | 3.201% | 10/5/2031 | 12,036 | 12,160,014 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI C† | 3.554% | 10/5/2031 | 15,357 | 15,541,122 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI C IO† | 0.791% | #(j) | 10/5/2031 | 77,997 | 735,512 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI D† | 4.143% | #(j) | 10/5/2031 | 29,748 | 30,261,992 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI D IO | 1.22% | #(j) | 9/15/2050 | 293,091 | 17,655,449 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI E† | 4.143% | #(j) | 10/5/2031 | 9,726 | 9,825,079 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2016-WIKI XA IO† | 1.345% | #(j) | 10/5/2031 | 131,129 | 2,183,298 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-C5 A2 | 3.33% | 3/15/2050 | 12,683 | 12,823,259 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-JP7 A3 | 3.379% | 9/15/2050 | 10,000 | 10,440,836 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK A† | 3.392% | 6/5/2032 | 51,308 | 52,366,058 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK B† | 3.795% | 6/5/2032 | 21,137 | 21,574,248 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2017-MARK C† | 4.171% | #(j) | 6/5/2032 | 15,721 | 16,031,285 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-BCON A† | 3.735% | 1/5/2031 | 27,681 | 28,833,083 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ A† | 2.765% (1 Mo. LIBOR + 1.00% | )# | 6/15/2032 | 130,879 | 131,077,202 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ B† | 3.065% (1 Mo. LIBOR + 1.30% | )# | 6/15/2032 | 33,885 | 33,937,814 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ C† | 3.365% (1 Mo. LIBOR + 1.60% | )# | 6/15/2032 | 26,494 | 26,552,603 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ D† | 3.865% (1 Mo. LIBOR + 2.10% | )# | 6/15/2032 | 4,597 | 4,620,057 |
See Notes to Financial Statements. | 351 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 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 E† | 4.765% (1 Mo. LIBOR + 3.00% | )# | 6/15/2035 | $ | 6,710 | $ | 6,756,614 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN† | 2.934% (1 Mo. LIBOR + 1.27% | )# | 11/15/2035 | 38,730 | 38,806,879 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN B† | 3.264% (1 Mo. LIBOR + 1.60% | )# | 11/15/2035 | 10,053 | 10,072,754 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN C† | 3.614% (1 Mo. LIBOR + 1.95% | )# | 11/15/2035 | 8,746 | 8,763,098 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN D† | 3.914% (1 Mo. LIBOR + 2.25% | )# | 11/15/2035 | 4,900 | 4,909,482 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC A† | 2.965% (1 Mo. LIBOR + 1.20% | )# | 4/15/2031 | 53,048 | 53,163,157 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC B† | 3.665% (1 Mo. LIBOR + 1.90% | )# | 4/15/2031 | 14,359 | 14,387,549 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC C† | 4.065% (1 Mo. LIBOR + 2.30% | )# | 4/15/2031 | 10,608 | 10,638,195 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-PTC D† | 4.885% (1 Mo. LIBOR + 3.12% | )# | 4/15/2031 | 5,572 | 5,592,034 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT AFL† | 2.724% (1 Mo. LIBOR + .95% | )# | 7/5/2033 | 32,310 | 32,257,212 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT AFX† | 4.248% | 7/5/2033 | 101,017 | 107,782,735 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT BFX† | 4.549% | 7/5/2033 | 23,661 | 25,298,142 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT CFL† | 3.424% (1 Mo. LIBOR + 1.65% | )# | 7/5/2033 | 9,118 | 9,104,064 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT CFX† | 4.95% | 7/5/2033 | 31,569 | 33,799,318 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT DFL† | 4.024% (1 Mo. LIBOR + 2.25% | )# | 7/5/2033 | 9,118 | 9,108,582 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT DFX† | 5.35% | 7/5/2033 | 36,128 | 38,769,896 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT XAFX IO† | 1.295% | #(j) | 7/5/2033 | 155,900 | 5,921,082 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2019-ICON A† | 3.884% | 1/5/2034 | 48,806 | 51,720,694 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2019-ICON B† | 4.235% | 1/5/2034 | 13,737 | 14,553,939 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2019-ICON C† | 4.536% | 1/5/2034 | 13,000 | 13,770,380 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2019-ICON D† | 5.038% | 1/5/2034 | 13,262 | 14,017,669 |
352 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2019-ICON XA IO† | 1.996% | #(j) | 3/10/2049 | $ | 98,871 | $ | 5,982,072 | |||||
Key Commercial Mortgage Securities Trust 2019-S2 2019-S2 A1† | 2.656% | 6/15/2052 | 16,483 | 16,567,985 | ||||||||
Key Commercial Mortgage Securities Trust 2019-S2 2019-S2 X† | 1.725% | #(j) | 6/15/2052 | 132,581 | 13,586,201 | |||||||
Ladder Capital Commercial Mortgage Securities LLC 2014-909 A† | 3.388% | 5/15/2031 | 7,200 | 7,306,848 | ||||||||
Ladder Capital Commercial Mortgage Securities LLC 2014-PKMD A† | 2.952% | #(j) | 11/14/2027 | 190,968 | 190,780,049 | |||||||
Ladder Capital Commercial Mortgage Securities LLC 2014-PKMD B† | 2.952% | #(j) | 11/14/2027 | 16,023 | 16,006,637 | |||||||
Ladder Capital Commercial Mortgage Trust 2013-GCP A1† | 3.575% | 2/15/2036 | 8,000 | 8,387,028 | ||||||||
LoanCore Issuer Ltd. 2019-CRE3 A† | 2.815% (1 Mo. LIBOR + 1.05% | )# | 4/15/2034 | 122,235 | 122,257,919 | |||||||
LoanCore Issuer Ltd. 2019-CRE3 AS† | 3.135% (1 Mo. LIBOR + 1.37% | )# | 4/15/2034 | 24,298 | 24,310,149 | |||||||
LSTAR Commercial Mortgage Trust 2017-5 A1† | 2.417% | 3/10/2050 | 11,270 | 11,297,411 | ||||||||
LSTAR Commercial Mortgage Trust 2017-5 A2† | 2.776% | 3/10/2050 | 28,000 | 28,202,894 | ||||||||
LSTAR Commercial Mortgage Trust 2017-5 A3† | 4.50% | 3/10/2050 | 72,650 | 76,955,602 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-CKSV A1† | 2.117% | 10/15/2030 | 10,056 | 10,003,549 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-CKSV A2† | 3.277% | 10/15/2030 | 15,315 | 15,482,491 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 A4 | 2.918% | 2/15/2046 | 5,280 | 5,393,635 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 A4 IO | 1.557% | #(j) | 11/15/2049 | 269,926 | 19,240,306 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8 A4 | 3.134% | 12/15/2048 | 9,470 | 9,730,525 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9 XA IO | 1.194% | #(j) | 5/15/2046 | 205,261 | 6,110,827 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9 XB IO† | 0.404% | #(j) | 5/15/2046 | 107,177 | 1,208,959 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17 2014-C17 A4 | 3.443% | 8/15/2047 | 11,485 | 12,012,429 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19 XA IO | 1.152% | #(j) | 12/15/2047 | 115,912 | 4,566,414 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24 ASB | 3.479% | 5/15/2048 | 16,231 | 16,834,968 |
See Notes to Financial Statements. | 353 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 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-C29 XA IO | 1.763% | #(j) | 5/15/2049 | $ | 129,428 | $ | 9,821,971 | |||||
Morgan Stanley Capital Barclays Bank Trust 2016-MART A† | 2.20% | 9/13/2031 | 5,681 | 5,675,760 | ||||||||
Morgan Stanley Capital Barclays Bank Trust 2016-MART B† | 2.48% | 9/13/2031 | 11,590 | 11,576,178 | ||||||||
Morgan Stanley Capital Barclays Bank Trust 2016-MART C† | 2.817% | 9/13/2031 | 25,000 | 24,977,850 | ||||||||
Morgan Stanley Capital I Trust 2011-C2 A4† | 4.661% | 6/15/2044 | 7,537 | 7,726,007 | ||||||||
Morgan Stanley Capital I Trust 2012-C4 AS | 3.773% | 3/15/2045 | 11,384 | 11,710,801 | ||||||||
Morgan Stanley Capital I Trust 2012-C4 XA IO† | 2.254% | #(j) | 3/15/2045 | 176,817 | 6,394,009 | |||||||
Morgan Stanley Capital I Trust 2012-STAR A1† | 2.084% | 8/5/2034 | 14,653 | 14,594,202 | ||||||||
Morgan Stanley Capital I Trust 2012-STAR A2† | 3.201% | 8/5/2034 | 9,421 | 9,670,848 | ||||||||
Morgan Stanley Capital I Trust 2012-STAR B† | 3.451% | 8/5/2034 | 1,267 | 1,299,539 | ||||||||
Morgan Stanley Capital I Trust 2014-CPT A† | 3.35% | 7/13/2029 | 19,300 | 19,631,213 | ||||||||
Morgan Stanley Capital I Trust 2014-CPT A IO | 1.132% | #(j) | 8/15/2049 | 121,223 | 7,153,029 | |||||||
Morgan Stanley Capital I Trust 2014-CPT XA IO† | 0.188% | #(j) | 7/13/2029 | 260,000 | 444,600 | |||||||
Morgan Stanley Capital I Trust 2014-MP A† | 3.469% | 8/11/2033 | 8,445 | 8,626,526 | ||||||||
Morgan Stanley Capital I Trust 2015-420 A† | 3.727% | 10/12/2050 | 24,959 | 26,198,431 | ||||||||
Morgan Stanley Capital I Trust 2015-UBS8 ASB | 3.626% | 12/15/2048 | 9,549 | 10,004,894 | ||||||||
Morgan Stanley Capital I Trust 2016-UB11 XA IO | 1.761% | #(j) | 8/15/2049 | 85,666 | 6,468,593 | |||||||
Motel 6 Trust 2017-MTL6 C† | 3.165% (1 Mo. LIBOR + 1.40% | )# | 8/15/2034 | 27,806 | 27,833,883 | |||||||
Motel 6 Trust 2017-MTL6 D† | 3.915% (1 Mo. LIBOR + 2.15% | )# | 8/15/2034 | 116,642 | 116,920,118 | |||||||
Motel 6 Trust 2017-MTL6 E† | 5.015% (1 Mo. LIBOR + 3.25% | )# | 8/15/2034 | 113,923 | 114,502,564 | |||||||
Motel 6 Trust 2017-MTL6 F† | 6.015% (1 Mo. LIBOR + 4.25% | )# | 8/15/2034 | 33,354 | 33,654,244 | |||||||
MSCG Trust 2015-ALDR A1† | 2.612% | 6/7/2035 | 19,505 | 19,539,773 | ||||||||
MSCG Trust 2016-SNR A† | 3.46% | #(j) | 11/15/2034 | 4,647 | 4,669,644 | |||||||
MSCG Trust 2016-SNR B† | 4.181% | 11/15/2034 | 22,587 | 22,897,870 | ||||||||
MSCG Trust 2016-SNR C† | 5.205% | 11/15/2034 | 14,521 | 14,856,102 | ||||||||
Natixis Commercial Mortgage Securities Trust 2018-285M A† | 3.917% | #(j) | 11/15/2032 | 68,091 | 70,727,953 | |||||||
Natixis Commercial Mortgage Securities Trust 2018-285M B† | 3.917% | #(j) | 11/15/2032 | 17,029 | 17,639,435 | |||||||
New Orleans Hotel Trust 2019-HNLA A† | 2.754% (1 Mo. LIBOR + .99% | )# | 4/15/2032 | 87,212 | 87,141,515 |
354 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
New Orleans Hotel Trust 2019-HNLA D† | 3.804% (1 Mo. LIBOR + 2.04% | )# | 4/15/2032 | $ | 15,495 | $ | 15,533,353 | |||||
New Orleans Hotel Trust 2019-HNLA E† | 4.454% (1 Mo. LIBOR + 2.69% | )# | 4/15/2032 | 5,000 | 5,027,975 | |||||||
New Orleans Hotel Trust 2019-HNLA F† | 5.454% (1 Mo. LIBOR + 3.69% | )# | 4/15/2032 | 3,000 | 3,019,937 | |||||||
Palisades Center Trust 2016-PLSD A† | 2.713% | 4/13/2033 | 6,735 | 6,742,146 | ||||||||
Palisades Center Trust 2016-PLSD C† | 3.998% | 4/13/2033 | 40,040 | 39,142,680 | ||||||||
Palisades Center Trust 2016-PLSD D† | 4.737% | 4/13/2033 | 34,072 | 32,977,887 | ||||||||
PFP 2019-6 Ltd. 2019-6 AS†(c) | 3.364% (1 Mo. LIBOR + 1.45% | )# | 4/14/2037 | 35,400 | 35,453,171 | |||||||
PFP Ltd. 2019-5 A† | 2.733% (1 Mo. LIBOR + .97% | )# | 4/14/2036 | 95,536 | 95,655,586 | |||||||
PFP Ltd. 2019-6 A†(c) | 2.964% (1 Mo. LIBOR + 1.05% | )# | 4/14/2037 | 64,665 | 65,299,409 | |||||||
PFP Ltd. 2019-6 B†(c) | 3.614% (1 Mo. LIBOR + 1.70% | )# | 4/14/2037 | 36,005 | 36,060,066 | |||||||
Prima Capital CRE Securitization 2015-5A C† | 4.50% | 12/24/2050 | 74,807 | 74,659,962 | ||||||||
Prima Capital CRE Securitization 2019-VII Ltd. 2019-7A A† | 2.25% | 12/25/2050 | 83,692 | 83,547,152 | (a) | |||||||
Prima Capital CRE Securitization Ltd. 2013-3A A† | 2.214% | 10/24/2035 | 9,347 | 9,365,681 | (a) | |||||||
Prima Capital CRE Securitization Ltd. 2013-3A C† | 5.00% | 10/24/2035 | 35,011 | 34,302,017 | ||||||||
Prima Capital CRE Securitization Ltd. 2015-4A MR-A† | 2.55% | 8/24/2049 | 76,235 | 76,231,234 | ||||||||
RBS Commercial Funding, Inc. Trust 2013-SMV A† | 3.26% | 3/11/2031 | 57,896 | 59,400,497 | ||||||||
Ready Capital Mortgage Financing LLC 2019-FL3 A† | 2.708% (1 Mo. LIBOR + 1.00% | )# | 3/25/2034 | 71,768 | 71,945,626 | |||||||
Ready Capital Mortgage Trust 2019-5 A† | 3.777% | 2/25/2052 | 13,345 | 13,704,116 | ||||||||
ReadyCap Commercial Mortgage Trust 2015-2 A† | 3.804% | 6/25/2055 | 8,907 | 9,172,528 | ||||||||
ReadyCap Commercial Mortgage Trust 2018-4 A† | 3.39% | 2/27/2051 | 22,453 | 22,730,991 | ||||||||
ReadyCap Commercial Mortgage Trust 2019-6 A† | 2.832% | 10/25/2052 | 50,004 | 50,222,051 | ||||||||
RETL 2019-RVP A† | 2.915% (1 Mo. LIBOR + 1.15% | )# | 3/15/2036 | 37,905 | 37,968,854 | |||||||
RETL 2019-RVP C† | 3.865% (1 Mo. LIBOR + 2.10% | )# | 3/15/2036 | 19,830 | 19,929,475 | |||||||
Shelter Growth CRE Issuer Ltd. 2018-FL1 A† | 2.765% (1 Mo. LIBOR + 1.00% | )# | 1/15/2035 | 12,167 | 12,190,014 | |||||||
Shelter Growth CRE Issuer Ltd. 2019-FL2 A† | 2.865% (1 Mo. LIBOR + 1.10% | )# | 5/15/2036 | 72,996 | 73,085,945 | |||||||
Shelter Growth CRE Issuer Ltd. 2019-FL2 AS† | 3.215% (1 Mo. LIBOR + 1.45% | )# | 5/15/2036 | 22,965 | 23,000,014 | |||||||
Shops at Crystals Trust 2016-CSTL XA IO† | 0.73% | #(j) | 7/5/2036 | 112,000 | 4,054,400 | |||||||
SLIDE 2018-FUN A† | 2.665% (1 Mo. LIBOR + .90% | )# | 6/15/2031 | 56,223 | 56,233,765 | |||||||
SLIDE 2018-FUN B† | 3.015% (1 Mo. LIBOR + 1.25% | )# | 6/15/2031 | 8,719 | 8,723,880 | |||||||
SLIDE 2018-FUN C† | 3.315% (1 Mo. LIBOR + 1.55% | )# | 6/15/2031 | 7,080 | 7,088,694 |
See Notes to Financial Statements. | 355 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
SLIDE 2018-FUN D† | 3.615% (1 Mo. LIBOR + 1.85% | )# | 6/15/2031 | $ | 11,454 | $ | 11,485,954 | |||||
Stonemont Portfolio Trust 2017-MONT A† | 2.574% (1 Mo. LIBOR + .85% | )# | 8/20/2030 | 5,032 | 5,031,703 | |||||||
Stonemont Portfolio Trust 2017-MONT D† | 3.774% (1 Mo. LIBOR + 2.05% | )# | 8/20/2030 | 59,201 | 59,273,256 | |||||||
Stonemont Portfolio Trust 2017-MONT E† | 4.474% (1 Mo. LIBOR + 2.75% | )# | 8/20/2030 | 92,598 | 92,836,161 | |||||||
Stonemont Portfolio Trust 2017-MONT F† | 5.324% (1 Mo. LIBOR + 3.60% | )# | 8/20/2030 | 50,921 | 51,111,154 | |||||||
Structured Asset Securities Corp. 2006-3H 1A2 | 5.75% | 12/25/2035 | 5,799 | 5,990,824 | ||||||||
Structured Asset Securities Corp. 2006-3H 1A3 | 5.75% | 12/25/2035 | 3,517 | 3,639,574 | ||||||||
UBS Commercial Mortgage Trust 2017-C6 XA IO | 1.176% | #(j) | 12/15/2050 | 376,593 | 24,638,985 | |||||||
UBS-BAMLL Trust 2012-WRM D† | 4.379% | #(j) | 6/10/2030 | 6,900 | 6,796,779 | |||||||
UBS-Barclays Commercial Mortgage Trust 2012-C2 A4 | 3.525% | 5/10/2063 | 71,467 | 73,632,421 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2012-C2 BEC† | 4.975% | #(j) | 5/10/2063 | 8,100 | 8,380,787 | |||||||
UBS-Barclays Commercial Mortgage Trust 2012-C2 XA IO† | 1.467% | #(j) | 5/10/2063 | 83,237 | 2,371,124 | |||||||
UBS-Barclays Commercial Mortgage Trust 2012-C3 A4 | 3.091% | 8/10/2049 | 13,930 | 14,222,250 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2012-C3 A4 IO† | 1.088% | #(j) | 3/10/2046 | 334,118 | 8,169,858 | |||||||
UBS-Barclays Commercial Mortgage Trust 2012-C4 A4 | 2.792% | 12/10/2045 | 34,991 | 35,458,053 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2012-C4 A5 | 2.85% | 12/10/2045 | 23,671 | 24,086,365 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2013-C5 A4 | 3.185% | 3/10/2046 | 87,463 | 89,849,158 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2013-C5 AS† | 3.347% | 3/10/2046 | 23,805 | 24,444,355 | ||||||||
UBS-Barclays Commercial Mortgage Trust 2013-C5 B† | 3.649% | #(j) | 3/10/2046 | 12,000 | 12,278,076 | |||||||
UBS-Barclays Commercial Mortgage Trust 2013-C6 XA IO† | 1.264% | #(j) | 4/10/2046 | 409,535 | 12,546,092 | |||||||
UBS-Citigroup Commercial Mortgage Trust 2011-C1 AS† | 5.154% | 1/10/2045 | 4,900 | 5,128,993 | ||||||||
VMC Finance LLC 2019-FL3 A† | 2.863% (1 Mo. LIBOR + 1.10% | )# | 9/15/2036 | 164,948 | 165,153,853 | |||||||
VNDO Mortgage Trust 2012-6AVE A† | 2.996% | 11/15/2030 | 14,400 | 14,706,855 | ||||||||
Vornado DP LLC Trust 2010-VNO A1† | 2.97% | 9/13/2028 | 3,474 | 3,478,694 |
356 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Vornado DP LLC Trust 2010-VNO A2FX† | 4.004% | 9/13/2028 | $ | 14,787 | $ | 14,856,833 | ||||||
Vornado DP LLC Trust 2010-VNO C† | 5.28% | 9/13/2028 | 6,120 | 6,170,730 | ||||||||
Waikiki Beach Hotel Trust 2019-WBM A† | 2.815% (1 Mo. LIBOR + 1.05% | )# | 12/15/2033 | 80,900 | 81,092,089 | |||||||
Waikiki Beach Hotel Trust 2019-WBM B† | 2.995% (1 Mo. LIBOR + 1.23% | )# | 12/15/2033 | 31,700 | 31,755,979 | |||||||
Waikiki Beach Hotel Trust 2019-WBM C† | 3.245% (1 Mo. LIBOR + 1.48% | )# | 12/15/2033 | 22,200 | 22,253,340 | |||||||
Waikiki Beach Hotel Trust 2019-WBM D† | 3.795% (1 Mo. LIBOR + 2.03% | )# | 12/15/2033 | 31,000 | 31,137,473 | |||||||
Waikiki Beach Hotel Trust 2019-WBM E† | 4.445% (1 Mo. LIBOR + 2.68% | )# | 12/15/2033 | 12,800 | 12,784,707 | |||||||
WaMu Mortgage Pass-Through Certificates Trust 2005-AR18 1A1 | 4.226% | #(j) | 1/25/2036 | 2,894 | 2,937,148 | |||||||
Wells Fargo Commercial Mortgage Trust 2010-C1 A2† | 4.393% | 11/15/2043 | 5,420 | 5,480,269 | ||||||||
Wells Fargo Commercial Mortgage Trust 2013-120B 2013-120B A† | 2.80% | #(j) | 3/18/2028 | 17,000 | 16,986,735 | |||||||
Wells Fargo Commercial Mortgage Trust 2013-LC12 A4 | 4.218% | #(j) | 7/15/2046 | 22,226 | 23,663,182 | |||||||
Wells Fargo Commercial Mortgage Trust 2014-LC16 A5 | 3.817% | 8/15/2050 | 13,277 | 14,121,616 | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-C26 ASB | 2.991% | 2/15/2048 | 19,200 | 19,633,688 | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-C29 ASB | 3.40% | 6/15/2048 | 10,749 | 11,126,477 | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-C29 XA IO | 0.806% | #(j) | 6/15/2048 | 144,650 | 4,270,318 | |||||||
Wells Fargo Commercial Mortgage Trust 2015-NXS4 A2A | 3.075% | 12/15/2048 | 9,888 | 9,937,177 | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-NXS4 A2A IO | 1.908% | #(j) | 8/15/2049 | 195,192 | 18,440,624 | |||||||
Wells Fargo Commercial Mortgage Trust 2015-NXS4 A2B | 4.75% | #(j) | 12/15/2048 | 66,103 | 67,495,103 | |||||||
Wells Fargo Commercial Mortgage Trust 2015-P2 A2B | 4.898% | #(j) | 12/15/2048 | 82,108 | 84,176,363 | |||||||
Wells Fargo Commercial Mortgage Trust 2015-SG1 ASB | 3.556% | 9/15/2048 | 9,675 | 10,032,215 | ||||||||
Wells Fargo Commercial Mortgage Trust 2015-SG1 XA IO | 0.856% | #(j) | 9/15/2048 | 160,784 | 5,313,263 | |||||||
Wells Fargo Commercial Mortgage Trust 2016-C34 XA IO | 2.302% | #(j) | 6/15/2049 | 150,565 | 13,796,070 |
See Notes to Financial Statements. | 357 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Wells Fargo Commercial Mortgage Trust 2017-SMP A† | 2.515% (1 Mo. LIBOR + .75% | )# | 12/15/2034 | $ | 22,721 | $ | 22,680,950 | |||||
Wells Fargo Commercial Mortgage Trust 2017-SMP B† | 2.765% (1 Mo. LIBOR + 1.00% | )# | 12/15/2034 | 16,322 | 16,293,378 | |||||||
Wells Fargo Commercial Mortgage Trust 2018-C44 A2 | 4.178% | 5/15/2051 | 25,197 | 26,748,505 | ||||||||
Wells Fargo Commercial Mortgage Trust 2018-C47 A2 | 4.361% | 9/15/2061 | 22,988 | 24,826,350 | ||||||||
Wells Fargo Commercial Mortgage Trust 2018-C48 A2 | 4.224% | 1/15/2052 | 15,302 | 16,391,954 | ||||||||
West Town Mall Trust 2017-KNOX A† | 3.823% | 7/5/2030 | 56,515 | 57,940,525 | ||||||||
West Town Mall Trust 2017-KNOX B† | 4.322% | 7/5/2030 | 23,788 | 24,514,819 | ||||||||
West Town Mall Trust 2017-KNOX C† | 4.491% | #(j) | 7/5/2030 | 17,640 | 18,071,517 | |||||||
West Town Mall Trust 2017-KNOX D† | 4.491% | #(j) | 7/5/2030 | 21,720 | 22,093,384 | |||||||
WF-RBS Commercial Mortgage Trust 2011-C2 A4† | 4.869% | #(j) | 2/15/2044 | 11,595 | 11,845,434 | |||||||
WF-RBS Commercial Mortgage Trust 2011-C2 A4 IO† | 1.503% | #(j) | 6/15/2045 | 323,148 | 8,202,100 | |||||||
WF-RBS Commercial Mortgage Trust 2011-C5 A3 | 3.526% | 11/15/2044 | 7,543 | 7,551,445 | ||||||||
WF-RBS Commercial Mortgage Trust 2012-C10 A3 | 2.875% | 12/15/2045 | 28,068 | 28,587,452 | ||||||||
WF-RBS Commercial Mortgage Trust 2012-C10 XA IO† | 1.694% | #(j) | 12/15/2045 | 52,588 | 2,099,217 | |||||||
WF-RBS Commercial Mortgage Trust 2012-C6 AS | 3.835% | 4/15/2045 | 5,000 | 5,155,857 | ||||||||
WF-RBS Commercial Mortgage Trust 2012-C7 A2 | 3.431% | 6/15/2045 | 5,393 | 5,540,836 | ||||||||
WF-RBS Commercial Mortgage Trust 2012-C7 A2 IO† | 1.975% | #(j) | 8/15/2045 | 48,550 | 1,837,432 | |||||||
WF-RBS Commercial Mortgage Trust 2012-C7 B | 4.903% | #(j) | 6/15/2045 | 17,378 | 18,120,757 | |||||||
WF-RBS Commercial Mortgage Trust 2012-C9 A3 | 2.87% | 11/15/2045 | 17,064 | 17,361,521 | ||||||||
WF-RBS Commercial Mortgage Trust 2012-C9 C | 4.543% | #(j) | 11/15/2045 | 9,180 | 9,469,892 | |||||||
WF-RBS Commercial Mortgage Trust 2013-C11 AS | 3.311% | 3/15/2045 | 5,000 | 5,147,834 | ||||||||
WF-RBS Commercial Mortgage Trust 2013-C12 AS | 3.56% | 3/15/2048 | 26,441 | 27,333,511 | ||||||||
WF-RBS Commercial Mortgage Trust 2013-C13 XA IO† | 1.335% | #(j) | 5/15/2045 | 240,614 | 8,251,785 | |||||||
WF-RBS Commercial Mortgage Trust 2013-C15 A3 | 3.881% | 8/15/2046 | 3,347 | 3,513,435 | ||||||||
WF-RBS Commercial Mortgage Trust 2014-C19 A4 | 3.829% | 3/15/2047 | 18,050 | 19,121,520 | ||||||||
WF-RBS Commercial Mortgage Trust 2014-C19 A5 | 4.101% | 3/15/2047 | 5,583 | 5,990,203 | ||||||||
WF-RBS Commercial Mortgage Trust 2014-C20 XA IO | 1.124% | #(j) | 5/15/2047 | 200,812 | 6,858,468 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C20 XB IO | 0.734% | #(j) | 5/15/2047 | 50,603 | 1,280,615 |
358 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
WF-RBS Commercial Mortgage Trust | ||||||||||||
2014-C21 XB IO | 0.795% | #(j) | 8/15/2047 | $ | 77,369 | $ | 2,257,419 | |||||
WF-RBS Commercial Mortgage Trust 2014-C22 A4 | 3.488% | 9/15/2057 | 22,760 | 23,953,848 | ||||||||
WF-RBS Commercial Mortgage Trust 2014-C22 A4 | 3.995% | 5/15/2047 | 5,350 | 5,726,851 | ||||||||
WF-RBS Commercial Mortgage Trust 2014-C22 XA IO | 0.958% | #(j) | 9/15/2057 | 88,089 | 2,750,822 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C22 XB IO | 0.494% | #(j) | 9/15/2057 | 37,769 | 725,737 | |||||||
WFLD Mortgage Trust 2014-MONT A† | 3.88% | #(j) | 8/10/2031 | 8,000 | 8,426,405 | |||||||
WFRBS Commercial Mortgage Trust 2014-C21 A4 | 3.41% | 8/15/2047 | 17,434 | 18,243,673 | ||||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $13,344,359,501) | 13,397,196,696 | |||||||||||
Dividend Rate | Shares (000) | |||||||||||
PREFERRED STOCK 0.00% | ||||||||||||
Energy: Exploration & Production | ||||||||||||
Templar Energy LLC (cost $4,795,109) | Zero Coupon | 509 | 1 | (a) | ||||||||
Interest Rate | Maturity Date | Principal Amount (000) | ||||||||||
U.S. TREASURY OBLIGATIONS 2.68% | ||||||||||||
U.S. Treasury Note | 1.50% | 11/30/2024 | $ | 540,454 | 537,192,274 | |||||||
U.S. Treasury Note | 1.50% | 11/30/2021 | 211,281 | 210,818,823 | ||||||||
U.S. Treasury Note | 2.50% | 1/31/2021 | 735,558 | 742,310,194 | ||||||||
Total U.S. Treasury Obligations (cost $1,487,780,758) | 1,490,321,291 | |||||||||||
Total Long- Term Investments (cost $53,386,554,461) | 53,693,682,674 | |||||||||||
SHORT-TERM INVESTMENTS 3.85% | ||||||||||||
COMMERCIAL PAPER 2.58% | ||||||||||||
Aerospace/Defense 0.24% | ||||||||||||
Boeing Co. | 2.333% | 10/29/2020 | 134,250 | 131,404,160 | ||||||||
Automotive 0.24% | ||||||||||||
Ford Motor Credit Co. LLC | 3.91% | 12/4/2019 | 131,905 | 131,877,520 | ||||||||
Chemicals 0.11% | ||||||||||||
FMC Corp. | 2.133% | 12/27/2019 | 59,000 | 58,913,959 |
See Notes to Financial Statements. | 359 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Drugs 0.07% | ||||||||||||
Mylan NV | 2.182% | 12/6/2019 | $ | 41,731 | $ | 41,721,031 | ||||||
Electric: Power 0.02% | ||||||||||||
Hawaiian Electric Industries, Inc. | 2.153% | 12/23/2019 | 9,536 | 9,524,207 | ||||||||
Electrical Equipment 0.13% | ||||||||||||
Broadcom, Inc. | 2.228% | 1/7/2020 | 52,107 | 51,992,885 | ||||||||
Broadcom, Inc. | 2.224% | 12/5/2019 | 21,004 | 21,000,167 | ||||||||
Total | 72,993,052 | |||||||||||
Electronics 0.10% | ||||||||||||
JABIL, Inc.(c) | 2.345% | 2/24/2020 | 54,250 | 53,958,858 | (a) | |||||||
Financial Services 0.33% | ||||||||||||
Syngenta Wilmington Inc. | 2.334% | 12/10/2019 | 13,000 | 12,993,356 | ||||||||
Syngenta Wilmington Inc. | 2.334% | 12/10/2019 | 22,886 | 22,874,582 | ||||||||
Syngenta Wilmington Inc. | 2.366% | 2/14/2020 | 5,500 | 5,472,719 | ||||||||
Syngenta Wilmington Inc. | 2.492% | 12/13/2019 | 7,989 | 7,983,374 | ||||||||
Syngenta Wilmington Inc. | 2.492% | 12/16/2019 | 26,963 | 26,937,201 | ||||||||
Syngenta Wilmington Inc. | 2.338% | 12/17/2019 | 47,689 | 47,643,550 | ||||||||
Syngenta Wilmington Inc. | 2.337% | 12/27/2019 | 46,785 | 46,709,931 | ||||||||
Syngenta Wilmington Inc. | 2.337% | 12/11/2019 | 10,492 | 10,485,603 | ||||||||
Total | 181,100,316 | |||||||||||
Food 0.05% | ||||||||||||
Kroger Co. | 2.028% | 12/2/2019 | 29,500 | 29,500,000 | ||||||||
Household Equipment/Products 0.41% | ||||||||||||
Newell Rubbermaid, Inc. | 2.437% | 12/16/2019 | 36,956 | 36,921,508 | ||||||||
Newell Rubbermaid, Inc. | 2.437% | 12/17/2019 | 33,430 | 33,396,570 | ||||||||
Newell Rubbermaid, Inc. | 2.436% | 12/6/2019 | 18,839 | 18,833,976 | ||||||||
Newell Rubbermaid, Inc. | 2.436% | 12/3/2019 | 18,000 | 17,998,800 | ||||||||
Newell Rubbermaid, Inc. | 2.436% | 12/4/2019 | 25,000 | 24,996,667 | ||||||||
Newell Rubbermaid, Inc. | 2.436% | 12/5/2019 | 42,445 | 42,436,511 | ||||||||
Newell Rubbermaid, Inc. | 2.436% | 12/10/2019 | 23,607 | 23,594,409 | ||||||||
Newell Rubbermaid, Inc. | 2.435% | 12/9/2019 | 28,614 | 28,600,647 | ||||||||
Total | 226,779,088 | |||||||||||
Leisure 0.21% | ||||||||||||
Royal Caribbean Cruise Ltd. | 2.189% | 1/14/2020 | 28,610 | 28,536,528 | ||||||||
Royal Caribbean Cruise Ltd. | 1.978% | 12/2/2019 | 61,747 | 61,747,000 | ||||||||
Royal Caribbean Cruise Ltd. | 2.189% | 1/9/2020 | 28,610 | 28,545,071 | ||||||||
Total | 118,828,599 |
360 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
Machinery: Agricultural 0.12% | ||||||||||||
BAT International Finance plc | 2.05% | 12/5/2019 | $ | 15,000 | $ | 14,997,475 | ||||||
BAT International Finance plc | 2.05% | 12/4/2019 | 41,970 | 41,965,290 | ||||||||
BAT International Finance plc | 2.062% | 12/13/2019 | 1,856 | 1,854,849 | ||||||||
BAT International Finance plc | 2.081% | 12/5/2019 | 10,000 | 9,998,292 | ||||||||
Total | 68,815,906 | |||||||||||
Manufacturing 0.04% | ||||||||||||
Pentair Finance Sarl | 2.079% | 12/2/2019 | 21,000 | 21,000,000 | ||||||||
Media 0.04% | ||||||||||||
Viacom, Inc. | 2.079% | 12/2/2019 | 23,736 | 23,736,000 | ||||||||
Natural Gas 0.08% | ||||||||||||
ONEOK, Inc. | 1.927% | 12/3/2019 | 22,398 | 22,396,818 | ||||||||
National Fuel Gas Co. | 2.133% | 12/11/2019 | 7,631 | 7,626,994 | ||||||||
National Fuel Gas Co. | 2.133% | 12/18/2019 | 4,769 | 4,764,549 | ||||||||
National Fuel Gas Co. | 2.132% | 12/4/2019 | 682 | 681,920 | ||||||||
National Fuel Gas Co. | 2.132% | 12/5/2019 | 6,200 | 6,198,915 | ||||||||
National Fuel Gas Co. | 2.132% | 12/9/2019 | 4,483 | 4,481,170 | ||||||||
National Fuel Gas Co. | 2.132% | 12/3/2019 | 975 | 974,943 | ||||||||
Total | 47,125,309 | |||||||||||
Oil 0.02% | ||||||||||||
Encana Corp. | 2.29% | 1/10/2020 | 3,750 | 3,740,859 | ||||||||
Encana Corp. | 2.238% | 1/14/2020 | 4,750 | 4,737,518 | ||||||||
Total | 8,478,377 | |||||||||||
Oil: Crude Producers 0.29% | ||||||||||||
Energy Transfer Partners | 2.079% | 12/2/2019 | 9,000 | 9,000,000 | ||||||||
Energy Transfer Partners | 2.028% | 12/2/2019 | 49,350 | 49,350,000 | ||||||||
Energy Transfer Partners | 2.079% | 12/4/2019 | 65,680 | 65,672,520 | ||||||||
Enable Midstream Partners LP | 2.27% | 1/27/2020 | 38,152 | 38,019,655 | ||||||||
Total | 162,042,175 | |||||||||||
Retail 0.08% | ||||||||||||
Walgreens Boots Alliance, Inc. | 2.344% | 2/3/2020 | 2,500 | 2,491,186 | ||||||||
AutoNation, Inc. | 1.988% | 12/2/2019 | 27,422 | 27,421,810 | ||||||||
AutoNation, Inc. | 1.988% | 12/3/2019 | 17,169 | 17,168,286 | ||||||||
Total | 47,081,282 | |||||||||||
Total Commercial Paper (cost $1,434,849,947) | 1,434,879,839 |
See Notes to Financial Statements. | 361 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Principal | ||||||||||||
Interest | Maturity | Amount | Fair | |||||||||
Investments | Rate | Date | (000) | Value | ||||||||
CORPORATE BONDS 0.10% | ||||||||||||
Banks: Regional 0.00% | ||||||||||||
Goldman Sachs Group, Inc. (The) | 3.269% (3 Mo. LIBOR + 1.15% | )# | 3/15/2020 | $ | 1,105 | $ | 1,106,873 | |||||
Building Materials 0.00% | ||||||||||||
Martin Marietta Materials, Inc. | 2.549% (3 Mo. LIBOR + .65% | )# | 5/22/2020 | 1,045 | 1,046,479 | |||||||
Drugs 0.00% | ||||||||||||
Actavis Funding SCS (Luxembourg)(e) | 3.387% (3 Mo. LIBOR + 1.26% | )# | 3/12/2020 | 1,500 | 1,504,483 | |||||||
Electric: Power 0.01% | ||||||||||||
Mississippi Power Co.(c) | 2.75% (3 Mo. LIBOR + .65% | )# | 3/27/2020 | 2,857 | 2,858,081 | |||||||
Financial Services 0.00% | ||||||||||||
Huarong Finance 2017 Co. Ltd. (Hong Kong)(e) | 3.375% | 1/24/2020 | 1,269 | 1,271,830 | ||||||||
Food 0.01% | ||||||||||||
Campbell Soup Co. | 2.619% (3 Mo. LIBOR + .50% | )# | 3/16/2020 | 4,050 | 4,052,070 | |||||||
Investment Management Companies 0.02% | ||||||||||||
Huarong Finance II Co. Ltd. (Hong Kong)(e) | 4.50% | 1/16/2020 | 9,893 | 9,912,291 | ||||||||
Manufacturing 0.01% | ||||||||||||
General Electric Co. | 2.514% (3 Mo. LIBOR + .41% | )# | 3/28/2020 | 2,804 | 2,799,009 | |||||||
General Electric Co. | 2.801% (3 Mo. LIBOR + .80% | )# | 4/15/2020 | 550 | 550,788 | |||||||
Total | 3,349,797 | |||||||||||
Oil: Crude Producers 0.04% | ||||||||||||
Enbridge, Inc. (Canada)(e) | 2.41% (3 Mo. LIBOR + .40% | )# | 1/10/2020 | 1,800 | 1,800,823 | |||||||
Spectra Energy Partners LP | 2.827% (3 Mo. LIBOR + .70% | )# | 6/5/2020 | 21,660 | 21,708,662 | |||||||
Total | 23,509,485 | |||||||||||
Retail 0.01% | ||||||||||||
Dollar Tree, Inc. | 2.702% (3 Mo. LIBOR + .70% | )# | 4/17/2020 | 6,652 | 6,652,812 | |||||||
Total Corporate Bonds (cost $55,251,694) | 55,264,201 | |||||||||||
U.S. TREASURY OBLIGATIONS 0.92% | ||||||||||||
U.S. Treasury Bill | Zero Coupon | 12/26/2019 | 126,066 | 125,936,782 | ||||||||
U.S. Treasury Bill | Zero Coupon | 3/26/2020 | 386,504 | 384,590,268 | ||||||||
Total U.S. Treasury Obligations (cost $509,551,407) | 510,527,050 |
362 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Principal | ||||||||
Amount | Fair | |||||||
Investments | (000) | Value | ||||||
REPURCHASE AGREEMENT 0.25% | ||||||||
Repurchase Agreement dated 11/29/2019, 0.85% due 12/2/2019 with Fixed Income Clearing Corp. collateralized by $135,360,000 of U.S. Treasury Note at 1.75% due 7/31/2021; $3,660,000 of U.S. Treasury Note at 1.125% due 7/31/2021; value: $139,917,135; proceeds: $137,181,016 (cost $137,171,299) | $ | 137,171 | $ | 137,171,299 | ||||
Total Short-Term Investments (cost $2,136,824,347) | 2,137,842,389 | |||||||
Total Investments in Securities 100.48% (cost $55,523,378,808) | 55,831,525,063 | |||||||
Less Unfunded Loan Commitments (0.24%) (cost $137,197,136) | (135,178,654 | ) | ||||||
Net Investments 100.23% (cost $55,386,181,672) | 55,696,346,409 | |||||||
Liabilities in Excess of Cash, Foreign Cash and Other Assets(i)(0.23%) | (130,144,137 | ) | ||||||
Net Assets 100.00% | $ | 55,566,202,272 |
BRL | Brazilian real. | |
CAD | Canadian dollar. | |
AGM | Insured by - Assured Guaranty Municipal Corporation. | |
IO | Interest Only. | |
LIBOR | London Interbank Offered Rate. | |
PIK | Payment-in-kind. | |
SOFR | Secured Over Night Financing Rate. | |
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. At November 30, 2019, the total value of Rule 144A securities was $28,046,790,120, which represents 50.47% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at November 30, 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) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(d) | Interest rate to be determined. | |
(e) | Foreign security traded in U.S. dollars. | |
(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 November 30, 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. | |
(j) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(k) | Security has been fully/partially segregated to cover margin requirements for open futures contracts as of November 30, 2019 | |
(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: |
See Notes to Financial Statements. | 363 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Credit Default Swaps on Indexes – Sell Protection at November 30, 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 at Fair Value(4) | ||||||||||||||||||||
Markit CMBX. NA.A.6 | Credit Suisse | 2.00% | 5/11/2063 | $ | 30,000,000 | $ | 30,348,750 | $ | (1,197,083 | ) | $ | 1,545,833 | $ | 348,750 | ||||||||||||||
Markit CMBX. NA.AA.6 | Credit Suisse | 1.50% | 5/11/2063 | 27,000,000 | 27,589,528 | (332,228 | ) | 921,756 | 589,528 | |||||||||||||||||||
Markit CMBX. NA.A.6 | Deutsche Bank | 2.00% | 5/11/2063 | 45,000,000 | 45,523,124 | (1,795,625 | ) | 2,318,749 | 523,124 | |||||||||||||||||||
Markit CMBX. NA.AA.6 | Deutsche Bank | 1.50% | 5/11/2063 | 3,000,000 | 3,065,503 | (36,914 | ) | 102,417 | 65,503 | |||||||||||||||||||
Markit CMBX. NA.A.6 | Morgan Stanley | 2.00% | 5/11/2063 | 75,000,000 | 75,871,874 | (2,992,709 | ) | 3,864,583 | 871,874 | |||||||||||||||||||
Markit CMBX. NA.AA.6 | Morgan Stanley | 1.50% | 5/11/2063 | 15,000,000 | 15,327,516 | (184,571 | ) | 512,087 | 327,516 | |||||||||||||||||||
$ | (6,539,130 | ) | $ | 9,265,425 | $ | 2,726,295 |
* | The Referenced Index is for the Credit Default Swaps on Indexes, which is comprised of a basket of commercial mortgage-backed securities. | |
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities. | |
(2) | Upfront payments received are presented net of amortization. (See Note 2(q)). | |
(3) | Total unrealized appreciation on Credit Default Swaps on Indexes amounted to $9,265,425. Total unrealized depreciation on Credit Default Swaps on Indexes amounted to $0. | |
(4) | Includes upfront payments received. |
364 | See Notes to Financial Statements. |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
Open Forward Foreign Currency Exchange Contracts at November 30, 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 | Buy | State Street Bank and Trust | 12/9/2019 | 8,883,000 | $ | 9,775,448 | $ | 9,790,789 | $ | 15,341 | ||||||||||
Canadian dollar | Sell | State Street Bank and Trust | 12/13/2019 | 50,000,000 | 37,657,336 | 37,644,413 | 12,923 | |||||||||||||
euro | Sell | J.P. Morgan | 12/9/2019 | 10,000,000 | 11,117,306 | 11,021,939 | 95,367 | |||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 123,631 |
Forward Foreign Currency Exchange Contracts | Transaction Type | Counterparty | Expiration Date | Foreign Currency | U.S. $ Cost on Origination Date | U.S. $ Current Value | Unrealized Depreciation | |||||||||||||
euro | Buy | State Street Bank and Trust | 12/9/2019 | 1,117,000 | $ | 1,237,622 | $ | 1,231,151 | $(6,471 | ) |
Open Futures Contracts at November 30, 2019:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | |||||||||||||
U.S. 5-Year Treasury Note | March 2020 | 2,857 | Short | $ | (340,401,922 | ) | $ | (339,893,719 | ) | $508,203 | |||||||||
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | |||||||||||||
U.S. 2-Year Treasury Note | March 2020 | 37,627 | Long | $ | 8,111,932,283 | $ | 8,111,852,089 | $(80,194 | ) |
See Notes to Financial Statements. | 365 |
Schedule of Investments (continued)
SHORT DURATION INCOME FUNDNovember 30, 2019
The following is a summary of the inputs used as of November 30, 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 | ||||||||||||||||
Credit Cards | $ | – | $ | 3,011,684,974 | $ | 120,146,602 | $ | 3,131,831,576 | ||||||||
Other | – | 6,150,311,659 | 24,172,694 | 6,174,484,353 | ||||||||||||
Remaining Industries | – | 4,665,240,586 | – | 4,665,240,586 | ||||||||||||
Common Stocks | ||||||||||||||||
Electric: Power | – | 462,354 | – | 462,354 | ||||||||||||
Oil | 2,058,498 | 1,344,142 | – | 3,402,640 | ||||||||||||
Convertible Bond | – | 29,752,659 | – | 29,752,659 | ||||||||||||
Corporate Bonds | – | 20,546,688,218 | – | 20,546,688,218 | ||||||||||||
Floating Rate Loans | ||||||||||||||||
Beverages | – | – | 175,256,637 | 175,256,637 | ||||||||||||
Chemicals | – | – | 127,794,919 | 127,794,919 | ||||||||||||
Electric: Power | – | 161,847,097 | 118,560,613 | 280,407,710 | ||||||||||||
Electrical Equipment | – | – | 85,781,571 | 85,781,571 | ||||||||||||
Entertainment | – | 158,080,001 | 20,501,777 | 178,581,778 | ||||||||||||
Investment Management Companies | – | 29,198,036 | 55,144,106 | 84,342,142 | ||||||||||||
Lodging | – | – | 10,463,063 | 10,463,063 | ||||||||||||
Oil | – | – | 12,268,000 | 12,268,000 | ||||||||||||
Oil: Crude Producers | – | – | 106,208,040 | 106,208,040 | ||||||||||||
Real Estate Investment Trusts | – | 119,103,449 | 127,891,996 | 246,995,445 | ||||||||||||
Retail | – | 141,838,464 | 9,897,773 | 151,736,237 | ||||||||||||
Remaining Industries | – | 844,154,114 | – | 844,154,114 | ||||||||||||
Less Unfunded Commitments | – | – | (135,178,654 | ) | (135,178,654 | ) | ||||||||||
Foreign Government Obligations | – | 367,851,931 | – | 367,851,931 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 1,177,776,678 | – | 1,177,776,678 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 309,059,490 | 4,255,349 | 313,314,839 | ||||||||||||
Municipal Bonds | – | 91,369,196 | – | 91,369,196 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 13,038,948,510 | 358,248,186 | 13,397,196,696 | ||||||||||||
Preferred Stock | – | – | 1 | 1 | ||||||||||||
U.S. Treasury Obligations | – | 1,490,321,291 | – | 1,490,321,291 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | – | 1,380,920,981 | 53,958,858 | 1,434,879,839 | ||||||||||||
Corporate Bonds | – | 55,264,201 | – | 55,264,201 | ||||||||||||
Repurchase Agreement | – | 137,171,299 | – | 137,171,299 | ||||||||||||
U.S. Treasury Obligations | – | 510,527,050 | – | 510,527,050 | ||||||||||||
Total | $ | 2,058,498 | $ | 54,418,916,380 | $ | 1,275,371,531 | $ | 55,696,346,409 |
366 | See Notes to Financial Statements. |
Schedule of Investments (concluded)
SHORT DURATION INCOME FUNDNovember 30, 2019
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Credit Default Swap Contracts | ||||||||||||||||
Assets | $ | – | $ | 2,726,295 | $ | – | $ | 2,726,295 | ||||||||
Liabilities | – | – | – | – | ||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | – | 123,631 | – | 123,631 | ||||||||||||
Liabilities | – | (6,471 | ) | – | (6,471 | ) | ||||||||||
Futures Contracts | ||||||||||||||||
Assets | 508,203 | – | – | 508,203 | ||||||||||||
Liabilities | (80,194 | ) | – | – | (80,194 | ) | ||||||||||
Total | $ | 428,009 | $ | 2,843,455 | $ | – | $ | 3,271,464 |
(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. |
The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:
Investment Type | Commercial Paper | Asset- Backed Securities | Floating Rate Loans | Government Sponsored Enterprises Pass- Throughs | Non-Agency Commercial Mortgage- Backed Securities | Preferred Stock | ||||||||||||||||||
Balance as of December 1, 2018 | $ | – | $ | 62,579,000 | $ | 304,351,921 | $ | – | $ | 85,069,053 | $ | – | ||||||||||||
Accrued Discounts (Premiums) | – | (21,844 | ) | 513,045 | (9,543 | ) | 53,172 | – | ||||||||||||||||
Realized Gain (Loss) | – | – | 62,668 | (149,585 | ) | – | – | |||||||||||||||||
Change in Unrealized Appreciation (Depreciation) | – | 1,024,136 | (2,430,718 | ) | 174,307 | 1,621,638 | (1,526,069 | ) | ||||||||||||||||
Purchases | 53,958,858 | 143,317,004 | 631,022,324 | – | 272,601,297 | 117,317 | ||||||||||||||||||
Sales | – | – | (228,308,697 | ) | (2,601,233 | ) | (2,767,170 | ) | – | |||||||||||||||
Transfers into Level 3 | – | – | 9,379,298 | 6,841,403 | 14,030,100 | 1,408,753 | ||||||||||||||||||
Transfers out of Level 3 | – | (62,579,000 | ) | – | – | (12,359,904 | ) | – | ||||||||||||||||
Balance as of November 30, 2019 | $ | 53,958,858 | $ | 144,319,296 | $ | 714,589,841 | $ | 4,255,349 | $ | 358,248,186 | $ | 1 | ||||||||||||
Change in unrealized appreciation / depreciation for the year ended November 30, 2019, related to Level 3 investments held at November 30, 2019 | $ | – | $ | 1,024,136 | $ | (4,572,246 | ) | $ | 174,307 | $ | 1,626,537 | $ | (1,526,069 | ) |
See Notes to Financial Statements. | 367 |
Schedule of Investments
TOTAL RETURN FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 104.26% | ||||||||||||
ASSET-BACKED SECURITIES 17.44% | ||||||||||||
Automobiles 7.95% | ||||||||||||
ACC Trust 2018-1 B† | 4.82% | 5/20/2021 | $ | 1,922 | $ | 1,933,896 | ||||||
ACC Trust 2018-1 C† | 6.81% | 2/21/2023 | 1,490 | 1,528,026 | ||||||||
ACC Trust 2019-1 B† | 4.47% | 10/20/2022 | 3,041 | 3,098,588 | ||||||||
ACC Trust 2019-1 C† | 6.41% | 2/20/2024 | 1,000 | 1,025,027 | ||||||||
American Credit Acceptance Receivables Trust 2016-2 C† | 6.09% | 5/12/2022 | 824 | 825,064 | ||||||||
American Credit Acceptance Receivables Trust 2018-4 A† | 3.38% | 12/13/2021 | 2,507 | 2,510,679 | ||||||||
American Credit Acceptance Receivables Trust 2019-2 B† | 3.05% | 5/12/2023 | 7,113 | 7,167,767 | ||||||||
AmeriCredit Automobile Receivables Trust 2018-2 A2A | 2.86% | 11/18/2021 | 6,593 | 6,602,537 | ||||||||
AmeriCredit Automobile Receivables Trust 2018-3 A2A | 3.11% | 1/18/2022 | 2,392 | 2,399,283 | ||||||||
AmeriCredit Automobile Receivables Trust 2018-3 A2B | 2.013% (1 Mo. LIBOR + .25% | )# | 1/18/2022 | 2,392 | 2,392,039 | |||||||
AmeriCredit Automobile Receivables Trust 2019-1 A2A | 2.93% | 6/20/2022 | 4,390 | 4,407,019 | ||||||||
AmeriCredit Automobile Receivables Trust 2019-1 A2B | 2.023% (1 Mo. LIBOR + .26% | )# | 6/20/2022 | 4,853 | 4,853,552 | |||||||
Avid Automobile Receivables Trust 2019-1 A† | 2.62% | 2/15/2024 | 6,013 | 6,014,194 | ||||||||
Avid Automobile Receivables Trust 2019-1 B† | 2.82% | 7/15/2026 | 1,747 | 1,747,743 | ||||||||
Avid Automobile Receivables Trust 2019-1 C† | 3.14% | 7/15/2026 | 760 | 760,137 | ||||||||
BMW Vehicle Lease Trust 2019-1 A2 | 2.79% | 3/22/2021 | 6,125 | 6,144,200 | ||||||||
California Republic Auto Receivables Trust 2015-3 B | 2.70% | 9/15/2021 | 750 | 750,705 | ||||||||
California Republic Auto Receivables Trust 2016-2 A4 | 1.83% | 12/15/2021 | 1,416 | 1,414,621 | ||||||||
California Republic Auto Receivables Trust 2017-1 B | 2.91% | 12/15/2022 | 1,716 | 1,724,572 | ||||||||
California Republic Auto Receivables Trust 2018-1 A2 | 2.86% | 3/15/2021 | 100 | 100,093 | ||||||||
Capital Auto Receivables Asset Trust 2018-1 A3† | 2.79% | 1/20/2022 | 9,118 | 9,142,567 | ||||||||
Capital Auto Receivables Asset Trust 2018-2 C† | 3.69% | 12/20/2023 | 4,810 | 4,883,939 | ||||||||
CarMax Auto Owner Trust 2016-3 A3 | 1.39% | 5/17/2021 | 449 | 448,765 | ||||||||
CarMax Auto Owner Trust 2018-3 A2A | 2.88% | 10/15/2021 | 2,264 | 2,268,987 | ||||||||
CarMax Auto Owner Trust 2019-4 C | 2.60% | 9/15/2025 | 2,121 | 2,125,974 |
368 | See Notes to Financial Statements. |
Schedule of Investments (continued)
TOTAL RETURN FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Carvana Auto Receivables Trust 2019-1A E† | 5.64% | 1/15/2026 | $ | 1,200 | $ | 1,242,937 | ||||||
Chesapeake Funding II LLC 2017-2A A1† | 1.99% | 5/15/2029 | 1,978 | 1,977,181 | ||||||||
Chesapeake Funding II LLC 2017-3A A1† | 1.91% | 8/15/2029 | 4,545 | 4,540,877 | ||||||||
Chrysler Capital Auto Receivables Trust 2016-AA C† | 3.25% | 6/15/2022 | 505 | 505,400 | ||||||||
CPS Auto Receivables Trust 2016-B D† | 6.58% | 3/15/2022 | 1,010 | 1,045,709 | ||||||||
CPS Auto Receivables Trust 2018-A B† | 2.77% | 4/18/2022 | 1,127 | 1,128,933 | ||||||||
CPS Auto Receivables Trust 2018-A C† | 3.05% | 12/15/2023 | 1,277 | 1,284,187 | ||||||||
CPS Auto Receivables Trust 2018-B D† | 4.26% | 3/15/2024 | 2,879 | 2,969,866 | ||||||||
CPS Auto Trust 2018-C A† | 2.87% | 9/15/2021 | 1,131 | 1,132,434 | ||||||||
CPS Auto Trust 2018-C B† | 3.43% | 7/15/2022 | 2,173 | 2,185,790 | ||||||||
Credit Acceptance Auto Loan Trust 2019-3A B† | 2.86% | 1/16/2029 | 11,750 | 11,782,871 | ||||||||
Drive Auto Receivables Trust 2015-DA D† | 4.59% | 1/17/2023 | 2,310 | 2,315,659 | ||||||||
Drive Auto Receivables Trust 2016-BA D† | 4.53% | 8/15/2023 | 4,954 | 5,015,433 | ||||||||
Drive Auto Receivables Trust 2016-CA D† | 4.18% | 3/15/2024 | 1,734 | 1,756,549 | ||||||||
Drive Auto Receivables Trust 2017-1 E | 5.17% | 9/16/2024 | 5,859 | 6,047,801 | ||||||||
Drive Auto Receivables Trust 2017-3 C | 2.80% | 7/15/2022 | 2,789 | 2,791,509 | ||||||||
Drive Auto Receivables Trust 2017-AA D† | 4.16% | 5/15/2024 | 2,964 | 3,010,100 | ||||||||
Drive Auto Receivables Trust 2017-BA E† | 5.30% | 7/15/2024 | 25,156 | 25,959,618 | ||||||||
Drive Auto Receivables Trust 2018-3 B | 3.37% | 9/15/2022 | 1,485 | 1,487,740 | ||||||||
Drive Auto Receivables Trust 2019-2 A2A | 2.93% | 3/15/2022 | 3,878 | 3,883,264 | ||||||||
Drive Auto Receivables Trust 2019-3 A2A | 2.63% | 9/15/2022 | 5,994 | 6,006,165 | ||||||||
Enterprise Fleet Financing LLC 2017-1 A2† | 2.13% | 7/20/2022 | 336 | 335,858 | ||||||||
Enterprise Fleet Financing LLC 2018-1 A2† | 2.87% | 10/20/2023 | 1,912 | 1,920,969 | ||||||||
First Investors Auto Owner Trust 2017-3A A2† | 2.41% | 12/15/2022 | 3,766 | 3,768,672 | ||||||||
First Investors Auto Owner Trust 2018-2A A1† | 3.23% | 12/15/2022 | 2,469 | 2,480,319 | ||||||||
First Investors Auto Owner Trust 2019-2A C† | 2.71% | 12/15/2025 | 4,539 | 4,544,528 | ||||||||
Flagship Credit Auto Trust 2017-3 A† | 1.88% | 10/15/2021 | 273 | 272,901 | ||||||||
Flagship Credit Auto Trust 2017-3 B† | 2.59% | 7/15/2022 | 2,205 | 2,207,764 | ||||||||
Flagship Credit Auto Trust 2017-4 A† | 2.07% | 4/15/2022 | 966 | 965,061 | ||||||||
Flagship Credit Auto Trust 2018-1 A† | 2.59% | 6/15/2022 | 1,830 | 1,831,597 | ||||||||
Flagship Credit Auto Trust 2018-3 A† | 3.07% | 2/15/2023 | 7,858 | 7,898,446 | ||||||||
Flagship Credit Auto Trust 2018-3 B† | 3.59% | 12/16/2024 | 4,766 | 4,852,132 | ||||||||
Ford Credit Auto Owner Trust 2015-1 A† | 2.12% | 7/15/2026 | 20,101 | 20,105,165 | ||||||||
Foursight Capital Automobile Receivables Trust 2016-1 A2† | 2.87% | 10/15/2021 | 202 | 201,683 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 A3† | 3.24% | 9/15/2022 | 5,022 | 5,042,123 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 B† | 3.53% | 4/17/2023 | 1,758 | 1,776,888 |
See Notes to Financial Statements. | 369 |
Schedule of Investments (continued)
TOTAL RETURN FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Foursight Capital Automobile Receivables Trust 2018-1 C† | 3.68% | 8/15/2023 | $ | 962 | $ | 977,466 | ||||||
Honda Auto Receivables Owner Trust 2019-1 A2 | 2.75% | 9/20/2021 | 13,467 | 13,525,780 | ||||||||
Mercedes-Benz Auto Lease Trust 2018-B A2 | 3.04% | 12/15/2020 | 7,349 | 7,361,228 | ||||||||
Mercedes-Benz Auto Receivables Trust 2016-1 A3 | 1.26% | 2/16/2021 | 206 | 205,897 | ||||||||
Santander Drive Auto Receivables Trust 2015-4 E† | 4.54% | 11/15/2022 | 21,300 | 21,401,022 | ||||||||
Santander Drive Auto Receivables Trust 2016-1 E | 5.02% | 6/15/2023 | 14,124 | 14,265,559 | ||||||||
Santander Drive Auto Receivables Trust 2016-2 E | 4.38% | 9/15/2023 | 17,024 | 17,279,057 | ||||||||
Santander Drive Auto Receivables Trust 2017-3 C | 2.76% | 12/15/2022 | 1,349 | 1,353,970 | ||||||||
TCF Auto Receivables Owner Trust 2016-PT1A B† | 2.92% | 10/17/2022 | 4,025 | 4,049,051 | ||||||||
Westlake Automobile Receivables Trust 2018-1A B† | 2.67% | 5/17/2021 | 2,381 | 2,382,557 | ||||||||
Westlake Automobile Receivables Trust 2019-2A D† | 3.20% | 11/15/2024 | 3,794 | 3,850,281 | ||||||||
Wheels SPV 2 LLC 2018-1A A2† | 3.06% | 4/20/2027 | 2,342 | 2,354,805 | ||||||||
World Omni Automobile Lease Securitization Trust 2018-A A3 | 2.83% | 7/15/2021 | 9,690 | 9,726,914 | ||||||||
World Omni Select Auto Trust 2018-1A A2† | 3.24% | 4/15/2022 | 3,129 | 3,136,531 | ||||||||
Total | 324,414,221 | |||||||||||
Credit Cards 1.31% | ||||||||||||
American Express Credit Account Master Trust 2017-1 A | 1.93% | 9/15/2022 | 9,783 | 9,781,908 | ||||||||
Genesis Sales Finance Master Trust 2019-AA A† | 4.68% | 8/20/2023 | 4,127 | 4,211,986 | ||||||||
Genesis Sales Finance Master Trust Series 2019-AA B† | 5.42% | 8/20/2023 | 1,150 | 1,171,000 | ||||||||
Genesis Sales Finance Master Trust Series 2019-AA C† | 6.88% | 8/20/2023 | 1,700 | 1,728,185 | ||||||||
Perimeter Master Note Business Trust 2019-1A A† | 4.31% | 12/15/2022 | 8,007 | 8,052,200 | (a) | |||||||
Perimeter Master Note Business Trust 2019-1A B† | 6.02% | 12/15/2022 | 1,199 | 1,217,471 | (a) | |||||||
Perimeter Master Note Business Trust 2019-1A C† | 8.06% | 12/15/2022 | 2,250 | 2,293,695 | (a) | |||||||
Synchrony Credit Card Master Note Trust 2015-1 A | 2.37% | 3/15/2023 | 18,651 | 18,667,335 | ||||||||
World Financial Network Credit Card Master Trust 2017-C M | 2.66% | 8/15/2024 | 6,515 | 6,528,896 | ||||||||
Total | 53,652,676 | |||||||||||
Home Equity 0.01% | ||||||||||||
New Century Home Equity Loan Trust 2005-A A6 | 4.679% | 8/25/2035 | 271 | 271,981 | ||||||||
Other 8.17% | ||||||||||||
Access Point Funding I LLC 2017-A† | 3.06% | 4/15/2029 | 194 | 193,798 | ||||||||
ALM VII Ltd. 2012-7A A2R2† | 3.851% (3 Mo. LIBOR + 1.85% | )# | 7/15/2029 | 9,692 | 9,691,169 |
370 | See Notes to Financial Statements. |
Schedule of Investments (continued)
TOTAL RETURN FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Apidos CLO XVI 2013-16A CR† | 4.966% (3 Mo. LIBOR + 3.00% | )# | 1/19/2025 | $ | 1,250 | $ | 1,254,083 | |||||
Ares XXIX CLO Ltd. 2014-1A A1R† | 3.192% (3 Mo. LIBOR + 1.19% | )# | 4/17/2026 | 1,923 | 1,926,856 | |||||||
Ascentium Equipment Receivables Trust 2016-2A B† | 2.50% | 9/12/2022 | 562 | 562,013 | ||||||||
Ascentium Equipment Receivables Trust 2017-1A A3† | 2.29% | 6/10/2021 | 591 | 591,821 | ||||||||
Avery Point IV CLO Ltd. 2014-1A BR† | 3.54% (3 Mo. LIBOR + 1.60% | )# | 4/25/2026 | 2,019 | 2,021,393 | |||||||
Avery Point VII CLO Ltd. 2015-7A BR† | 3.751% (3 Mo. LIBOR + 1.75% | )# | 1/15/2028 | 4,900 | 4,890,579 | |||||||
Avery Point VII CLO Ltd. 2015-7A CR† | 4.451% (3 Mo. LIBOR + 2.45% | )# | 1/15/2028 | 2,600 | 2,602,660 | |||||||
Benefit Street Partners CLO IV Ltd. 2014-IVA A1RR† | 3.216% (3 Mo. LIBOR + 1.25% | )# | 1/20/2029 | 11,000 | 11,000,371 | |||||||
BSPRT Issuer Ltd. 2018-FL4 A† | 2.815% (1 Mo. LIBOR + 1.05% | )# | 9/15/2035 | 5,961 | 5,956,351 | |||||||
Cedar Funding VI CLO Ltd. 2016-6A BR† | 3.566% (3 Mo. LIBOR + 1.60% | )# | 10/20/2028 | 3,950 | 3,912,970 | |||||||
CIFC Funding Ltd. 2017-1A A† | 3.326% (3 Mo. LIBOR + 1.36% | )# | 4/23/2029 | 6,653 | 6,661,759 | |||||||
Clear Creek CLO 2015-1A DR† | 4.916% (3 Mo. LIBOR + 2.95% | )# | 10/20/2030 | 2,226 | 2,096,905 | |||||||
Conn’s Receivables Funding LLC 2017-B C† | 5.95% | 11/15/2022 | 6,987 | 7,040,196 | ||||||||
Diamond Resorts Owner Trust 2016-1 A† | 3.08% | 11/20/2028 | 275 | 276,540 | ||||||||
Diamond Resorts Owner Trust 2017-1A B† | 4.11% | 10/22/2029 | 1,957 | 1,995,510 | ||||||||
DLL LLC 2018-ST2 A2† | 3.14% | 10/20/2020 | 3,322 | 3,326,142 | ||||||||
DRB Prime Student Loan Trust 2015-D A2† | 3.20% | 1/25/2040 | 3,656 | 3,699,781 | ||||||||
Elm CLO Ltd. 2014-1A ARR† | 3.172% (3 Mo. LIBOR + 1.17% | )# | 1/17/2029 | 2,283 | 2,281,370 | |||||||
Fairstone Financial Issuance Trust I 2019-1A A†(b) | 3.948% | 3/21/2033 | CAD | 1,446 | 1,096,447 | |||||||
Fairstone Financial Issuance Trust I 2019-1A B†(b) | 5.084% | 3/21/2033 | CAD | 650 | 493,203 | (a) | ||||||
Fairstone Financial Issuance Trust I 2019-1A C†(b) | 6.299% | 3/21/2033 | CAD | 1,218 | 922,592 | (a) | ||||||
Fairstone Financial Issuance Trust I 2019-1A D†(b) | 7.257% | 3/21/2033 | CAD | 719 | 545,283 | (a) | ||||||
Ford Credit Floorplan Master Owner Trust 2015-5 A1 | 2.42% | 8/15/2022 | $ | 8,100 | 8,121,423 | |||||||
Galaxy XXI CLO Ltd. 2015-21A AR† | 2.986% (3 Mo. LIBOR + 1.02% | )# | 4/20/2031 | 1,970 | 1,948,330 | |||||||
Halcyon Loan Advisors Funding Ltd. 2015-2A CR† | 4.09% (3 Mo. LIBOR + 2.15% | )# | 7/25/2027 | 1,496 | 1,490,991 |
See Notes to Financial Statements. | 371 |
Schedule of Investments (continued)
TOTAL RETURN FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Hardee’s Funding LLC 2018-1A A23† | 5.71% | 6/20/2048 | $ | 4,783 | $ | 5,152,187 | ||||||
Hardee’s Funding LLC 2018-1A A2II† | 4.959% | 6/20/2048 | 7,753 | 7,845,567 | ||||||||
ICG US CLO Ltd. 2015-2A AR† | 2.851% (3 Mo. LIBOR + .85% | )# | 1/16/2028 | 8,495 | 8,465,066 | |||||||
Jamestown CLO IX Ltd. 2016-9A BR† | 4.616% (3 Mo. LIBOR + 2.65% | )# | 10/20/2028 | 5,000 | 4,990,902 | |||||||
Jamestown CLO VII Ltd. 2015-7A CR† | 4.54% (3 Mo. LIBOR + 2.60% | )# | 7/25/2027 | 4,459 | 4,404,408 | |||||||
JFIN CLO Ltd. 2014-1A B1R† | 3.416% (3 Mo. LIBOR + 1.45% | )# | 4/21/2025 | 4,500 | 4,496,296 | |||||||
KKR CLO Ltd. 18 D† | 5.603% (3 Mo. LIBOR + 3.60% | )# | 7/18/2030 | 918 | 901,811 | |||||||
KVK CLO Ltd. 2016-1A C† | 5.151% (3 Mo. LIBOR + 3.15% | )# | 1/15/2029 | 4,936 | 4,937,845 | |||||||
Longtrain Leasing III LLC 2015-1A A2† | 4.06% | 1/15/2045 | 4,975 | 5,160,771 | ||||||||
Massachusetts Educational Financing Authority 2008-1 A1 | 2.89% (3 Mo. LIBOR + .95% | )# | 4/25/2038 | 2,832 | 2,831,140 | |||||||
ME Funding LLC 2019-1 A2† | 6.448% | 7/30/2049 | 5,017 | 5,218,102 | ||||||||
Mountain View CLO X Ltd. 2015-10A BR† | 3.351% (3 Mo. LIBOR + 1.35% | )# | 10/13/2027 | 4,300 | 4,263,257 | |||||||
Navient Private Education Refi Loan Trust 2018-DA A2A† | 4.00% | 12/15/2059 | 3,732 | 3,885,275 | ||||||||
Northwoods Capital Corp./Northwoods Capital Ltd. 2019-20A C†(c) | Zero Coupon | #(d) | 1/25/2030 | 3,838 | 3,838,018 | |||||||
Northwoods Capital Corp./Northwoods Capital Ltd. 2019-20A D†(c) | Zero Coupon | #(d) | 1/25/2030 | 4,443 | 4,443,398 | |||||||
OHA Loan Funding Ltd. 2015-1A CR2†(c) | Zero Coupon | #(d) | 11/15/2032 | 2,120 | 2,120,000 | |||||||
OHA Loan Funding Ltd. 2016-1A B1† | 3.766% (3 Mo. LIBOR + 1.80% | )# | 1/20/2028 | 12,625 | 12,581,304 | |||||||
OneMain Financial Issuance Trust 2016-1A A† | 3.66% | 2/20/2029 | 418 | 419,076 | ||||||||
Orec Ltd. 2018-CRE1 A† | 2.945% (1 Mo. LIBOR + 1.18% | )# | 6/15/2036 | 6,539 | 6,539,345 | |||||||
Palmer Square Loan Funding Ltd. 2017-1A B† | 3.701% (3 Mo. LIBOR + 1.70% | )# | 10/15/2025 | 3,500 | 3,474,459 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A1† | 2.601% (3 Mo. LIBOR + .60% | )# | 4/15/2026 | 5,525 | 5,503,417 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A A2† | 3.051% (3 Mo. LIBOR + 1.05% | )# | 4/15/2026 | 2,878 | 2,838,695 | |||||||
Palmer Square Loan Funding Ltd. 2018-1A B† | 3.401% (3 Mo. LIBOR + 1.40% | )# | 4/15/2026 | 2,179 | 2,113,463 |
372 | See Notes to Financial Statements. |
Schedule of Investments (continued)
TOTAL RETURN FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Palmer Square Loan Funding Ltd. 2018-5A A2† | 3.366% (3 Mo. LIBOR + 1.40% | )# | 1/20/2027 | $ | 1,618 | $ | 1,591,092 | |||||
Pennsylvania Higher Education Assistance Agency 2006-1 B | 2.21% (3 Mo. LIBOR + .27% | )# | 4/25/2038 | 1,681 | 1,571,533 | |||||||
PFS Financing Corp. 2018-B† | 3.08% | 2/15/2023 | 3,180 | 3,193,956 | ||||||||
Planet Fitness Master Issuer LLC 2019-1A A2†(c) | 3.858% | 12/5/2049 | 3,919 | 3,938,822 | ||||||||
Regatta VI Funding Ltd. 2016-1A CR† | 4.016% (3 Mo. LIBOR + 2.05% | )# | 7/20/2028 | 3,106 | 3,039,847 | |||||||
Regatta XVI Funding Ltd. 2019-2A C†(c) | Zero Coupon | #(d) | 1/15/2033 | 1,846 | 1,846,000 | |||||||
Regatta XVI Funding Ltd. 2019-2A D†(c) | Zero Coupon | #(d) | 1/15/2033 | 2,013 | 2,013,000 | |||||||
SCF Equipment Leasing LLC 2017-2A A† | 3.41% | 12/20/2023 | 1,487 | 1,504,888 | ||||||||
SCF Equipment Leasing LLC 2018-1A A2† | 3.63% | 10/20/2024 | 5,025 | 5,092,383 | ||||||||
SCF Equipment Leasing LLC 2019-1A C† | 3.92% | 11/20/2026 | 13,901 | 14,294,794 | ||||||||
SCF Equipment Leasing LLC 2019-2A B† | 2.76% | 8/20/2026 | 9,263 | 9,273,841 | ||||||||
SCF Equipment Leasing LLC 2019-2A C† | 3.11% | 6/21/2027 | 6,718 | 6,725,658 | ||||||||
Shackleton CLO Ltd. 2016-9A B† | 3.866% (3 Mo. LIBOR + 1.90% | )# | 10/20/2028 | 3,333 | 3,333,156 | |||||||
Shackleton CLO Ltd. 2019-14A A2† | 4.178% (3 Mo. LIBOR + 1.90% | )# | 7/20/2030 | 11,147 | 11,042,436 | |||||||
SLC Student Loan Trust 2008-1 A4A | 3.719% (3 Mo. LIBOR + 1.60% | )# | 12/15/2032 | 8,197 | 8,335,196 | |||||||
SLM Private Education Loan Trust 2010-A 2A† | 5.015% (1 Mo. LIBOR + 3.25% | )# | 5/16/2044 | 29 | 29,125 | |||||||
Sound Point CLO XI Ltd. 2016-1A AR† | 3.066% (3 Mo. LIBOR + 1.10% | )# | 7/20/2028 | 3,749 | 3,752,182 | |||||||
Sound Point CLO XII Ltd. 2016-2A CR† | 4.566% (3 Mo. LIBOR + 2.60% | )# | 10/20/2028 | 5,210 | 5,216,377 | |||||||
Sound Point CLO XV Ltd. 2017-1A C† | 4.434% (3 Mo. LIBOR + 2.50% | )# | 1/23/2029 | 3,701 | 3,703,779 | |||||||
Sound Point CLO XVII 2017-3A A2† | 3.566% (3 Mo. LIBOR + 1.60% | )# | 10/20/2030 | 11,685 | 11,394,715 | |||||||
Textainer Marine Containers VII Ltd. 2019-1A A† | 3.96% | 4/20/2044 | 4,049 | 4,105,636 | ||||||||
Towd Point Asset Trust 2018-SL1 A† | 2.308% (1 Mo. LIBOR + .60% | )# | 1/25/2046 | 5,231 | 5,160,497 | |||||||
Towd Point Mortgage Trust 2019-HY2 A1† | 2.708% (1 Mo. LIBOR + 1.00% | )# | 5/25/2058 | 4,619 | 4,644,138 | |||||||
TPG Real Estate Finance Issuer Ltd. 2018-FL2 A† | 2.893% (1 Mo. LIBOR + 1.13% | )# | 11/15/2037 | 6,669 | 6,672,334 | |||||||
Tralee CLO III Ltd. 2014-3A AR† | 2.996% (3 Mo. LIBOR + 1.03% | )# | 10/20/2027 | 10,067 | 10,054,203 |
See Notes to Financial Statements. | 373 |
Schedule of Investments (continued)
TOTAL RETURN FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
Voya CLO Ltd. 2019-1A D† | 5.301% (3 Mo. LIBOR + 3.30% | )# | 4/15/2029 | $ | 1,048 | $ | 1,043,995 | |||||
Westgate Resorts LLC 2018-1A A† | 3.38% | 12/20/2031 | 2,194 | 2,219,550 | ||||||||
Wingstop Funding LLC 2018-1 A2† | 4.97% | 12/5/2048 | 5,371 | 5,494,167 | ||||||||
Total | 333,311,638 | |||||||||||
Total Asset-Backed Securities (cost $709,245,285) | 711,650,516 | |||||||||||
Shares (000) | ||||||||||||
COMMON STOCKS 0.00% | ||||||||||||
Electric: Power 0.00% | ||||||||||||
Eneva SA*(b) | BRL | 3 | 25,640 | |||||||||
Oil 0.00% | ||||||||||||
Dommo Energia SA*(b) | BRL | 30 | 73,400 | |||||||||
Total Common Stocks (cost $139,928) | 99,040 | |||||||||||
Principal Amount (000) | ||||||||||||
CORPORATE BONDS 26.89% | ||||||||||||
Aerospace/Defense 0.27% | ||||||||||||
BBA US Holdings, Inc.† | 4.00% | 3/1/2028 | $ | 2,981 | 3,007,978 | |||||||
Kratos Defense & Security Solutions, Inc.† | 6.50% | 11/30/2025 | 1,827 | 1,941,946 | ||||||||
TransDigm, Inc. | 6.375% | 6/15/2026 | 5,779 | 6,086,919 | ||||||||
Total | 11,036,843 | |||||||||||
Apparel 0.07% | ||||||||||||
PVH Corp. | 7.75% | 11/15/2023 | 2,290 | 2,658,037 | ||||||||
Auto Parts: Original Equipment 0.18% | ||||||||||||
Panther BF Aggregator 2 LP/Panther Finance Co., Inc.† | 8.50% | 5/15/2027 | 3,848 | 3,939,486 | ||||||||
ZF North America Capital, Inc.† | 4.75% | 4/29/2025 | 3,370 | 3,524,938 | ||||||||
Total | 7,464,424 | |||||||||||
Automotive 0.80% | ||||||||||||
Aston Martin Capital Holdings Ltd. (Jersey)†(e) | 6.50% | 4/15/2022 | 1,797 | 1,639,716 | ||||||||
Ford Motor Co. | 7.45% | 7/16/2031 | 10,643 | 12,367,787 | ||||||||
General Motors Co. | 6.60% | 4/1/2036 | 10,296 | 11,982,726 | ||||||||
Tesla, Inc.† | 5.30% | 8/15/2025 | 6,904 | 6,636,401 | ||||||||
Total | 32,626,630 |
374 | See Notes to Financial Statements. |
Schedule of Investments (continued)
TOTAL RETURN FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional 5.51% | ||||||||||||
Akbank T.A.S. (Turkey)†(e) | 5.00% | 10/24/2022 | $ | 2,455 | $ | 2,455,739 | ||||||
Banco de Credito e Inversiones SA (Chile)†(e) | 3.50% | 10/12/2027 | 3,725 | 3,800,704 | ||||||||
Bank of America Corp. | 3.593% (3 Mo. LIBOR + 1.37% | )#(d) | 7/21/2028 | 26,980 | 28,642,755 | |||||||
Bank of America Corp. | 3.95% | 4/21/2025 | 2,775 | 2,951,823 | ||||||||
Bank of America Corp. | 4.00% | 1/22/2025 | 4,554 | 4,848,366 | ||||||||
Bank of America Corp. | 4.45% | 3/3/2026 | 2,000 | 2,197,163 | ||||||||
Citigroup, Inc. | 3.887% (3 Mo. LIBOR + 1.56% | )#(d) | 1/10/2028 | 12,592 | 13,548,193 | |||||||
Citigroup, Inc. | 3.98% (3 Mo. LIBOR + 1.34% | )#(d) | 3/20/2030 | 8,361 | 9,116,673 | |||||||
Citigroup, Inc. | 4.45% | 9/29/2027 | 4,060 | 4,471,366 | ||||||||
Goldman Sachs Group, Inc. (The) | 6.25% | 2/1/2041 | 3,848 | 5,401,098 | ||||||||
JPMorgan Chase & Co. | 3.54% | #(d) | 5/1/2028 | 3,733 | 3,960,644 | |||||||
JPMorgan Chase & Co. | 3.782% (3 Mo. LIBOR + 1.34% | )#(d) | 2/1/2028 | 27,001 | 29,045,530 | |||||||
Macquarie Group Ltd. (Australia)†(e) | 4.654% (3 Mo. LIBOR + 1.73% | )# | 3/27/2029 | 9,640 | 10,687,678 | |||||||
Morgan Stanley | 3.625% | 1/20/2027 | 9,466 | 10,099,059 | ||||||||
Morgan Stanley | 3.875% | 1/27/2026 | 6,664 | 7,186,363 | ||||||||
Morgan Stanley | 4.00% | 7/23/2025 | 13,805 | 14,933,174 | ||||||||
Morgan Stanley | 7.25% | 4/1/2032 | 523 | 745,823 | ||||||||
Popular, Inc. | 6.125% | 9/14/2023 | 683 | 734,508 | ||||||||
Santander UK plc (United Kingdom)(e) | 7.95% | 10/26/2029 | 4,693 | 6,012,395 | ||||||||
Toronto-Dominion Bank (The) (Canada)(e) | 3.625% (5 Yr. Swap rate + 2.21% | )#(d) | 9/15/2031 | 19,023 | 19,859,318 | |||||||
Turkiye Garanti Bankasi AS (Turkey)†(e) | 5.875% | 3/16/2023 | 1,100 | 1,125,062 | ||||||||
UBS AG | 7.625% | 8/17/2022 | 8,638 | 9,748,890 | ||||||||
UBS AG (Switzerland)(e) | 5.125% | 5/15/2024 | 9,363 | 10,095,205 | ||||||||
Wells Fargo Bank NA | 5.85% | 2/1/2037 | 9,276 | 12,353,350 | ||||||||
Wells Fargo Bank NA | 6.60% | 1/15/2038 | 7,573 | 10,896,848 | ||||||||
Total | 224,917,727 | |||||||||||
Beverages 0.40% | ||||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. | 4.70% | 2/1/2036 | 12,281 | 14,297,272 | ||||||||
Becle SAB de CV (Mexico)†(e) | 3.75% | 5/13/2025 | 1,900 | 1,953,571 | ||||||||
Total | 16,250,843 |
See Notes to Financial Statements. | 375 |
Schedule of Investments (continued)
TOTAL RETURN FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Biotechnology Research & Production 0.09% | ||||||||||||
Gilead Sciences, Inc. | 4.60% | 9/1/2035 | $ | 3,242 | $ | 3,871,831 | ||||||
Business Services 0.35% | ||||||||||||
Adani Ports & Special Economic Zone Ltd. (India)†(e) | 4.00% | 7/30/2027 | 2,055 | 2,091,428 | ||||||||
Ahern Rentals, Inc.† | 7.375% | 5/15/2023 | 4,095 | 3,206,037 | ||||||||
Ashtead Capital, Inc.† | 4.25% | 11/1/2029 | 2,948 | 2,984,850 | ||||||||
PayPal Holdings, Inc. | 2.85% | 10/1/2029 | 4,020 | 4,019,620 | ||||||||
United Rentals North America, Inc. | 4.875% | 1/15/2028 | 1,908 | 1,995,587 | ||||||||
Total | 14,297,522 | |||||||||||
Chemicals 0.71% | ||||||||||||
CF Industries, Inc. | 4.95% | 6/1/2043 | 3,986 | 4,076,084 | ||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(e) | 3.50% | 7/19/2022 | 4,000 | 4,062,193 | ||||||||
CNAC HK Finbridge Co. Ltd. (Hong Kong)(e) | 4.125% | 7/19/2027 | 8,550 | 9,013,104 | ||||||||
Orbia Advance Corp. SAB de CV (Mexico)†(e) | 4.875% | 9/19/2022 | 1,364 | 1,432,625 | ||||||||
Phosagro OAO Via Phosagro Bond Funding DAC (Ireland)†(e) | 3.949% | 4/24/2023 | 6,720 | 6,929,865 | ||||||||
Syngenta Finance NV (Netherlands)†(e) | 4.441% | 4/24/2023 | 1,200 | 1,251,450 | ||||||||
Tronox, Inc.† | 6.50% | 4/15/2026 | 2,055 | 2,075,601 | ||||||||
Total | 28,840,922 | |||||||||||
Coal 0.19% | ||||||||||||
Indika Energy Capital III Pte Ltd. (Singapore)†(e) | 5.875% | 11/9/2024 | 4,200 | 4,032,134 | ||||||||
Warrior Met Coal, Inc.† | 8.00% | 11/1/2024 | 3,800 | 3,845,087 | ||||||||
Total | 7,877,221 | |||||||||||
Computer Hardware 0.36% | ||||||||||||
Dell International LLC/EMC Corp.† | 5.45% | 6/15/2023 | 1,752 | 1,900,554 | ||||||||
Dell International LLC/EMC Corp.† | 6.02% | 6/15/2026 | 863 | 986,913 | ||||||||
Dell International LLC/EMC Corp.† | 8.35% | 7/15/2046 | 7,347 | 9,866,467 | ||||||||
Diebold Nixdorf, Inc. | 8.50% | 4/15/2024 | 2,128 | 1,829,218 | ||||||||
Total | 14,583,152 | |||||||||||
Computer Software 0.12% | ||||||||||||
Oracle Corp. | 6.125% | 7/8/2039 | 3,346 | 4,767,271 | ||||||||
Construction/Homebuilding 0.30% | ||||||||||||
Century Communities, Inc.† | 6.75% | 6/1/2027 | 3,686 | 3,915,721 | ||||||||
Toll Brothers Finance Corp. | 4.35% | 2/15/2028 | 3,884 | 4,043,137 | ||||||||
TRI Pointe Group, Inc. | 5.25% | 6/1/2027 | 2,171 | 2,258,594 | ||||||||
Williams Scotsman International, Inc.† | 6.875% | 8/15/2023 | 1,763 | 1,857,470 | ||||||||
Total | 12,074,922 |
376 | See Notes to Financial Statements. |
Schedule of Investments (continued)
TOTAL RETURN FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Containers 0.09% | ||||||||||||
Mauser Packaging Solutions Holding Co.† | 7.25% | 4/15/2025 | $ | 4,046 | $ | 3,843,659 | ||||||
Diversified 0.02% | ||||||||||||
KOC Holding AS (Turkey)†(e) | 5.25% | 3/15/2023 | 625 | 636,728 | ||||||||
Drugs 0.31% | ||||||||||||
Bausch Health Americas, Inc.† | 9.25% | 4/1/2026 | 1,729 | 1,983,569 | ||||||||
Bayer Corp.† | 6.65% | 2/15/2028 | 1,881 | 2,314,514 | ||||||||
CVS Health Corp. | 5.05% | 3/25/2048 | 7,125 | 8,438,677 | ||||||||
Total | 12,736,760 | |||||||||||
Electric: Integrated 0.04% | ||||||||||||
Empresas Publicas de Medellin ESP (Colombia)†(e) | 4.25% | 7/18/2029 | 1,770 | 1,828,140 | ||||||||
Electric: Power 2.03% | ||||||||||||
Ausgrid Finance Pty Ltd. (Australia)†(e) | 4.35% | 8/1/2028 | 7,038 | 7,730,281 | ||||||||
Berkshire Hathaway Energy Co. | 3.80% | 7/15/2048 | 7,378 | 8,027,730 | ||||||||
Calpine Corp. | 5.75% | 1/15/2025 | 1,956 | 1,990,230 | ||||||||
Cleco Corporate Holdings LLC† | 3.375% | 9/15/2029 | 3,100 | 3,099,370 | ||||||||
Cleco Corporate Holdings LLC | 4.973% | 5/1/2046 | 2,736 | 3,105,422 | ||||||||
Dominion Energy South Carolina, Inc. | 6.05% | 1/15/2038 | 3,664 | 5,014,417 | ||||||||
Dominion Energy South Carolina, Inc. | 6.625% | 2/1/2032 | 1,709 | 2,325,593 | ||||||||
El Paso Electric Co. | 5.00% | 12/1/2044 | 2,392 | 2,838,916 | ||||||||
Electricite de France SA (France)†(e) | 5.00% | 9/21/2048 | 3,796 | 4,540,200 | ||||||||
Emirates Semb Corp., Water & Power Co. PJSC (United Arab Emirates)†(e) | 4.45% | 8/1/2035 | 1,845 | 2,029,500 | ||||||||
Entergy Arkansas LLC | 4.20% | 4/1/2049 | 4,712 | 5,616,001 | ||||||||
Entergy Louisiana LLC | 4.00% | 3/15/2033 | 7,846 | 8,970,977 | ||||||||
Exelon Generation Co. LLC | 5.60% | 6/15/2042 | 564 | 658,164 | ||||||||
Exelon Generation Co. LLC | 5.75% | 10/1/2041 | 4,219 | 4,954,371 | ||||||||
FirstEnergy Transmission LLC† | 4.55% | 4/1/2049 | 5,238 | 6,054,503 | ||||||||
Massachusetts Electric Co.† | 4.004% | 8/15/2046 | 3,105 | 3,410,485 | ||||||||
Minejesa Capital BV (Netherlands)†(e) | 4.625% | 8/10/2030 | 1,800 | 1,855,872 | ||||||||
Pennsylvania Electric Co.† | 3.60% | 6/1/2029 | 3,906 | 4,157,958 | ||||||||
PSEG Power LLC | 8.625% | 4/15/2031 | 2,322 | 3,271,833 | ||||||||
Vistra Operations Co. LLC† | 4.30% | 7/15/2029 | 2,913 | 3,006,649 | ||||||||
Total | 82,658,472 | |||||||||||
Electrical Equipment 0.45% | ||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 3.625% | 1/15/2024 | 1,596 | 1,642,892 | ||||||||
Broadcom, Inc.† | 3.625% | 10/15/2024 | 16,284 | 16,748,708 | ||||||||
Total | 18,391,600 |
See Notes to Financial Statements. | 377 |
Schedule of Investments (continued)
TOTAL RETURN FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electronics 0.15% | ||||||||||||
PerkinElmer, Inc. | 3.30% | 9/15/2029 | $ | 6,048 | $ | 6,064,553 | ||||||
Trimble, Inc. | 4.90% | 6/15/2028 | 124 | 136,493 | ||||||||
Total | 6,201,046 | |||||||||||
Energy Equipment & Services 0.09% | ||||||||||||
Enviva Partners LP/Enviva Partners Finance Corp.†(c) | 6.50% | 1/15/2026 | 3,720 | 3,875,124 | ||||||||
Engineering & Contracting Services 0.12% | ||||||||||||
China Railway Resources Huitung Ltd. (Hong Kong)(e) | 3.85% | 2/5/2023 | 2,849 | 2,952,416 | ||||||||
Promontoria Holding 264 BV†(b) | 6.75% | 8/15/2023 | EUR | 2,000 | 1,988,749 | |||||||
Total | 4,941,165 | |||||||||||
Entertainment 0.15% | ||||||||||||
Penn National Gaming, Inc.† | 5.625% | 1/15/2027 | $ | 3,891 | 4,047,992 | |||||||
Stars Group Holdings BV/Stars Group US Co-Borrower LLC (Netherlands)†(e) | 7.00% | 7/15/2026 | 1,844 | 1,995,803 | ||||||||
Total | 6,043,795 | |||||||||||
Financial Services 1.44% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(e) | 3.50% | 1/15/2025 | 10,075 | 10,380,433 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(e) | 3.875% | 1/23/2028 | 6,006 | 6,243,279 | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)(e) | 4.875% | 1/16/2024 | 2,348 | 2,546,392 | ||||||||
Affiliated Managers Group, Inc. | 3.50% | 8/1/2025 | 3,039 | 3,169,633 | ||||||||
Affiliated Managers Group, Inc. | 4.25% | 2/15/2024 | 1,612 | 1,720,099 | ||||||||
Ally Financial, Inc. | 8.00% | 11/1/2031 | 1,523 | 2,103,682 | ||||||||
Brightsphere Investment Group, Inc. | 4.80% | 7/27/2026 | 3,066 | 3,187,157 | ||||||||
GE Capital International Funding Co. Unlimited Co. (Ireland)(e) | 4.418% | 11/15/2035 | 6,034 | 6,503,308 | ||||||||
Global Aircraft Leasing Co. Ltd. PIK 7.25%† | 6.50% | 9/15/2024 | 6,154 | 6,309,696 | ||||||||
International Lease Finance Corp. | 5.875% | 8/15/2022 | 1,071 | 1,168,693 | ||||||||
Navient Corp. | 6.75% | 6/25/2025 | 1,929 | 2,088,143 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.50% | 3/15/2027 | 3,612 | 3,864,558 | ||||||||
Neuberger Berman Group LLC/Neuberger Berman Finance Corp.† | 4.875% | 4/15/2045 | 4,780 | 4,967,550 | ||||||||
SURA Asset Management SA (Colombia)†(e) | 4.375% | 4/11/2027 | 4,400 | 4,667,729 | ||||||||
Total | 58,920,352 |
378 | See Notes to Financial Statements. |
Schedule of Investments (continued)
TOTAL RETURN FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Food 0.43% | ||||||||||||
Arcor SAIC (Argentina)†(e) | 6.00% | 7/6/2023 | $ | 2,538 | $ | 2,317,829 | ||||||
Chobani LLC/Chobani Finance Corp., Inc.† | 7.50% | 4/15/2025 | 4,208 | 3,997,558 | ||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.† | 6.50% | 4/15/2029 | 7,041 | 7,817,957 | ||||||||
Minerva Luxembourg SA (Luxembourg)†(e) | 5.875% | 1/19/2028 | 3,261 | 3,315,124 | ||||||||
Total | 17,448,468 | |||||||||||
Foreign Government 0.12% | ||||||||||||
CBB International Sukuk Co. 6 Spc (Bahrain)†(e) | 5.25% | 3/20/2025 | 4,450 | 4,748,671 | ||||||||
Health Care Services 0.54% | ||||||||||||
Acadia Healthcare Co., Inc. | 6.50% | 3/1/2024 | 1,795 | 1,872,032 | ||||||||
Centene Corp.†(c) | 4.625% | 12/15/2029 | 4,078 | 4,286,998 | ||||||||
CommonSpirit Health | 3.347% | 10/1/2029 | 5,581 | 5,614,896 | ||||||||
HCA, Inc. | 5.25% | 6/15/2026 | 2,455 | 2,746,710 | ||||||||
Providence St. Joseph Health Obligated Group | 2.532% | 10/1/2029 | 1,413 | 1,397,468 | ||||||||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc.† | 9.75% | 12/1/2026 | 1,760 | 1,940,444 | ||||||||
Surgery Center Holdings, Inc.† | 10.00% | 4/15/2027 | 2,065 | 2,174,130 | ||||||||
Tenet Healthcare Corp.† | 6.25% | 2/1/2027 | 1,883 | 2,017,164 | ||||||||
Total | 22,049,842 | |||||||||||
Insurance 0.45% | ||||||||||||
HUB International Ltd.† | 7.00% | 5/1/2026 | 3,852 | 3,958,026 | ||||||||
Radian Group, Inc. | 4.875% | 3/15/2027 | 3,968 | 4,167,779 | ||||||||
Teachers Insurance & Annuity Association of America† | 4.90% | 9/15/2044 | 8,180 | 10,207,276 | ||||||||
Total | 18,333,081 | |||||||||||
Investment Management Companies 0.02% | ||||||||||||
Grupo de Inversiones Suramericana SA (Colombia)†(e) | 5.50% | 4/29/2026 | 750 | 826,614 | ||||||||
Leisure 0.38% | ||||||||||||
Carnival plc | 7.875% | 6/1/2027 | 3,957 | 5,172,693 | ||||||||
Royal Caribbean Cruises Ltd. | 3.70% | 3/15/2028 | 10,029 | 10,318,537 | ||||||||
Total | 15,491,230 | |||||||||||
Lodging 0.15% | �� | |||||||||||
Wyndham Destinations, Inc. | 5.75% | 4/1/2027 | 5,616 | 6,095,312 |
See Notes to Financial Statements. | 379 |
Schedule of Investments (continued)
TOTAL RETURN FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Machinery: Agricultural 0.47% | ||||||||||||
BAT Capital Corp. | 4.39% | 8/15/2037 | $ | 12,695 | $ | 12,576,634 | ||||||
MHP Lux SA (Luxembourg)†(e) | 6.25% | 9/19/2029 | 4,250 | 4,026,140 | ||||||||
MHP Lux SA (Luxembourg)†(e) | 6.95% | 4/3/2026 | 2,460 | 2,527,945 | ||||||||
Total | 19,130,719 | |||||||||||
Machinery: Industrial/Specialty 0.45% | ||||||||||||
Kennametal, Inc. | 4.625% | 6/15/2028 | 3,687 | 3,947,694 | ||||||||
nVent Finance Sarl (Luxembourg)(e) | 4.55% | 4/15/2028 | 13,974 | 14,434,905 | ||||||||
Total | 18,382,599 | |||||||||||
Manufacturing 0.11% | ||||||||||||
General Electric Co. | 2.271% (3 Mo. LIBOR + .38% | )# | 5/5/2026 | 4,575 | 4,293,499 | |||||||
General Electric Co. | 6.15% | 8/7/2037 | 192 | 239,773 | ||||||||
Total | 4,533,272 | |||||||||||
Media 1.06% | ||||||||||||
AMC Networks, Inc. | 4.75% | 8/1/2025 | 1,901 | 1,891,495 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp.† | 5.00% | 2/1/2028 | 3,839 | 4,050,241 | ||||||||
Cox Communications, Inc.† | 4.50% | 6/30/2043 | 3,215 | 3,432,227 | ||||||||
Cox Communications, Inc.† | 4.70% | 12/15/2042 | 2,680 | 2,933,321 | ||||||||
Cox Communications, Inc.† | 8.375% | 3/1/2039 | 5,603 | 8,492,413 | ||||||||
DISH DBS Corp. | 7.75% | 7/1/2026 | 3,947 | 4,097,430 | ||||||||
Gray Television, Inc.† | 7.00% | 5/15/2027 | 1,793 | 1,989,912 | ||||||||
Scripps Escrow, Inc.† | 5.875% | 7/15/2027 | 3,962 | 4,078,919 | ||||||||
Time Warner Cable LLC | 7.30% | 7/1/2038 | 2,442 | 3,134,805 | ||||||||
Time Warner Entertainment Co. LP | 8.375% | 7/15/2033 | 4,078 | 5,708,403 | ||||||||
VTR Finance BV (Chile)†(e) | 6.875% | 1/15/2024 | 3,496 | 3,589,221 | ||||||||
Total | 43,398,387 | |||||||||||
Metals & Minerals: Miscellaneous 1.06% | ||||||||||||
Anglo American Capital plc (United Kingdom)†(e) | 4.00% | 9/11/2027 | 10,010 | 10,424,776 | ||||||||
Anglo American Capital plc (United Kingdom)†(e) | 4.75% | 4/10/2027 | 10,543 | 11,479,241 | ||||||||
Barrick North America Finance LLC | 7.50% | 9/15/2038 | 711 | 996,078 | ||||||||
Corp. Nacional del Cobre de Chile (Chile)†(e) | 4.50% | 9/16/2025 | 4,400 | 4,776,693 | ||||||||
Freeport-McMoRan, Inc. | 3.875% | 3/15/2023 | 1,984 | 2,029,434 | ||||||||
Glencore Finance Canada Ltd. (Canada)†(e) | 5.55% | 10/25/2042 | 7,522 | 8,146,838 | ||||||||
Kinross Gold Corp. (Canada)(e) | 5.95% | 3/15/2024 | 1,969 | 2,186,072 | ||||||||
MMC Norilsk Nickel OJSC via MMC Finance DAC (Ireland)†(e) | 4.10% | 4/11/2023 | 3,200 | 3,307,600 | ||||||||
Total | 43,346,732 |
380 | See Notes to Financial Statements. |
Schedule of Investments (continued)
TOTAL RETURN FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Natural Gas 0.22% | ||||||||||||
Dominion Energy Gas Holdings LLC | 4.60% | 12/15/2044 | $ | 7,932 | $ | 8,807,763 | ||||||
Oil 2.54% | ||||||||||||
Afren plc (United Kingdom)†(e)(f) | 10.25% | 4/8/2019 | 2,537 | 21,363 | ||||||||
Berry Petroleum Co. LLC† | 7.00% | 2/15/2026 | 2,998 | 2,599,723 | ||||||||
Centennial Resource Production LLC† | 6.875% | 4/1/2027 | 6,035 | 5,898,805 | ||||||||
Ecopetrol SA (Colombia)(e) | 4.125% | 1/16/2025 | 9,365 | 9,790,311 | ||||||||
Ecopetrol SA (Colombia)(e) | 5.875% | 5/28/2045 | 1,866 | 2,142,980 | ||||||||
Eni SpA (Italy)†(e) | 5.70% | 10/1/2040 | 12,550 | 15,391,834 | ||||||||
Equinor ASA (Norway)(e) | 7.15% | 11/15/2025 | 4,060 | 5,078,922 | ||||||||
Gazprom OAO via Gaz Capital SA (Luxembourg)†(e) | 4.95% | 2/6/2028 | 1,300 | 1,437,203 | ||||||||
MEG Energy Corp. (Canada)†(e) | 7.00% | 3/31/2024 | 6,330 | 6,223,181 | ||||||||
Oasis Petroleum, Inc. | 6.875% | 3/15/2022 | 4,947 | 4,634,721 | ||||||||
OGX Austria GmbH (Brazil)†(e)(f) | 8.50% | 6/1/2018 | 1,730 | 35 | ||||||||
Pertamina Persero PT (Indonesia)†(e) | 4.70% | 7/30/2049 | 800 | 840,799 | ||||||||
Pertamina Persero PT (Indonesia)†(e) | 5.625% | 5/20/2043 | 1,500 | 1,732,467 | ||||||||
Petrobras Global Finance BV (Netherlands)†(e) | 5.093% | 1/15/2030 | 4,536 | 4,754,862 | ||||||||
Petrobras Global Finance BV (Netherlands)(e) | 7.25% | 3/17/2044 | 5,436 | 6,487,513 | ||||||||
Petroleos Mexicanos (Mexico)(e) | 4.50% | 1/23/2026 | 6,372 | 6,238,522 | ||||||||
Petroleos Mexicanos (Mexico)(e) | 5.35% | 2/12/2028 | 8,650 | 8,422,916 | ||||||||
QEP Resources, Inc. | 5.625% | 3/1/2026 | 2,337 | 2,126,612 | ||||||||
Saudi Arabian Oil Co. (Saudi Arabia)†(e) | 2.875% | 4/16/2024 | 6,400 | 6,485,535 | ||||||||
Sinopec Group Overseas Development Ltd.† | 4.375% | 10/17/2023 | 1,548 | 1,653,847 | ||||||||
SM Energy Co. | 6.75% | 9/15/2026 | 3,462 | 3,160,278 | ||||||||
Valero Energy Corp. | 10.50% | 3/15/2039 | 4,131 | 7,010,371 | ||||||||
YPF SA (Argentina)†(e) | 8.50% | 7/28/2025 | 1,787 | 1,475,017 | ||||||||
Total | 103,607,817 | |||||||||||
Oil: Crude Producers 0.54% | ||||||||||||
Abu Dhabi Crude Oil Pipeline LLC (United Arab Emirates)†(e) | 4.60% | 11/2/2047 | 2,240 | 2,566,424 | ||||||||
Buckeye Partners LP | 6.375% (3 Mo. LIBOR + 4.02% | )# | 1/22/2078 | 5,349 | 4,016,751 | |||||||
Cheniere Corpus Christi Holdings LLC† | 3.70% | 11/15/2029 | 2,461 | 2,487,765 | ||||||||
Northern Natural Gas Co.† | 4.30% | 1/15/2049 | 2,437 | 2,796,760 | ||||||||
Sabine Pass Liquefaction LLC | 5.875% | 6/30/2026 | 5,500 | 6,295,652 | ||||||||
Spectra Energy Partners LP | 2.827% (3 Mo. LIBOR + .70% | )# | 6/5/2020 | 3,990 | 3,998,964 | |||||||
Total | 22,162,316 |
See Notes to Financial Statements. | 381 |
Schedule of Investments (continued)
TOTAL RETURN FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil: Integrated Domestic 0.43% | ||||||||||||
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc. | 4.08% | 12/15/2047 | $ | 10,039 | $ | 10,261,193 | ||||||
Nine Energy Service, Inc.† | 8.75% | 11/1/2023 | 1,747 | 1,311,560 | ||||||||
Transocean Proteus Ltd.† | 6.25% | 12/1/2024 | 5,913 | 5,989,366 | ||||||||
Total | 17,562,119 | |||||||||||
Paper & Forest Products 0.10% | ||||||||||||
Fibria Overseas Finance Ltd. (Brazil)(e) | 4.00% | 1/14/2025 | 3,850 | 3,967,098 | ||||||||
Real Estate Investment Trusts 1.54% | ||||||||||||
China Evergrande Group (China)(e) | 10.00% | 4/11/2023 | 7,000 | 6,553,359 | ||||||||
Country Garden Holdings Co. Ltd. (China)(e) | 4.75% | 1/17/2023 | 1,483 | 1,496,409 | ||||||||
Country Garden Holdings Co. Ltd. (China)(e) | 4.75% | 9/28/2023 | 2,517 | 2,527,193 | ||||||||
EPR Properties | 4.50% | 6/1/2027 | 2,078 | 2,231,465 | ||||||||
EPR Properties | 4.75% | 12/15/2026 | 3,792 | 4,139,415 | ||||||||
EPR Properties | 4.95% | 4/15/2028 | 6,553 | 7,191,977 | ||||||||
Healthcare Trust of America Holdings LP | 3.10% | 2/15/2030 | 5,785 | 5,760,915 | ||||||||
Shimao Property Holdings Ltd. (Hong Kong)(e) | 4.75% | 7/3/2022 | 3,200 | 3,277,816 | ||||||||
Spirit Realty LP | 3.40% | 1/15/2030 | 5,551 | 5,575,996 | ||||||||
VEREIT Operating Partnership LP | 4.875% | 6/1/2026 | 15,872 | 17,626,955 | ||||||||
WEA Finance LLC† | 3.50% | 6/15/2029 | 6,228 | 6,461,286 | ||||||||
Total | 62,842,786 | |||||||||||
Retail 0.05% | ||||||||||||
IRB Holding Corp.† | 6.75% | 2/15/2026 | 2,013 | 2,106,801 | ||||||||
Retail: Specialty 0.16% | ||||||||||||
Coty, Inc.† | 6.50% | 4/15/2026 | 6,347 | 6,569,304 | ||||||||
Steel 0.05% | ||||||||||||
Cleveland-Cliffs, Inc. | 5.75% | 3/1/2025 | 2,073 | 2,075,591 | ||||||||
Technology 0.59% | ||||||||||||
Baidu, Inc. (China)(e) | 3.50% | 11/28/2022 | 3,350 | 3,438,330 | ||||||||
Match Group, Inc.† | 5.625% | 2/15/2029 | 1,858 | 1,967,339 | ||||||||
Myriad International Holdings BV (Netherlands)†(e) | 5.50% | 7/21/2025 | 5,300 | 5,912,107 | ||||||||
Netflix, Inc. | 6.375% | 5/15/2029 | 5,169 | 5,794,824 | ||||||||
Tencent Holdings Ltd. (China)†(e) | 3.595% | 1/19/2028 | 6,500 | 6,768,660 | ||||||||
Total | 23,881,260 |
382 | See Notes to Financial Statements. |
Schedule of Investments (continued)
TOTAL RETURN FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Telecommunications 0.67% | ||||||||||||
AT&T, Inc. | 6.25% | 3/29/2041 | $ | 8,647 | $ | 11,181,426 | ||||||
Intelsat Jackson Holdings SA (Luxembourg)(e) | 5.50% | 8/1/2023 | 4,221 | 3,364,981 | ||||||||
Ooredoo International Finance Ltd.† | 3.75% | 6/22/2026 | 1,800 | 1,894,500 | ||||||||
Sprint Capital Corp. | 6.875% | 11/15/2028 | 3,513 | 3,754,677 | ||||||||
Verizon Communications, Inc. | 3.01% (3 Mo. LIBOR + 1.10% | )# | 5/15/2025 | 3,016 | 3,074,191 | |||||||
ViaSat, Inc.† | 5.625% | 4/15/2027 | 3,751 | 3,999,504 | ||||||||
Total | 27,269,279 | |||||||||||
Toys 0.15% | ||||||||||||
Mattel, Inc.† | 6.75% | 12/31/2025 | 5,904 | 6,199,200 | ||||||||
Transportation: Miscellaneous 0.16% | ||||||||||||
Autoridad del Canal de Panama (Panama)†(e) | 4.95% | 7/29/2035 | 200 | 231,189 | ||||||||
Burlington Northern Santa Fe LLC | 5.75% | 5/1/2040 | 1,000 | 1,362,125 | ||||||||
Pelabuhan Indonesia III Persero PT (Indonesia)†(e) | 4.50% | 5/2/2023 | 1,500 | 1,581,390 | ||||||||
Rumo Luxembourg Sarl (Luxembourg)†(e) | 7.375% | 2/9/2024 | 3,163 | 3,401,538 | ||||||||
Total | 6,576,242 | |||||||||||
Utilities 0.21% | ||||||||||||
Aegea Finance Sarl (Brazil)†(e) | 5.75% | 10/10/2024 | 3,936 | 4,154,114 | ||||||||
Aqua America, Inc. | 3.566% | 5/1/2029 | 4,306 | 4,596,786 | ||||||||
Total | 8,750,900 | |||||||||||
Total Corporate Bonds (cost $1,043,178,208) | 1,097,507,589 | |||||||||||
FLOATING RATE LOANS(g)0.54% | ||||||||||||
Building Materials 0.20% | ||||||||||||
Airxcel, Inc. 2018 1st Lien Term Loan | 6.202% (1 Mo. LIBOR + 4.50% | ) | 4/28/2025 | 4,134 | 3,983,708 | |||||||
Forterra Finance, LLC 2017 Term Loan B | – | (h) | 10/25/2023 | 4,214 | 4,065,351 | |||||||
Total | 8,049,059 | |||||||||||
Computer Software 0.10% | ||||||||||||
Navicure, Inc. 2019 Term Loan B | – | (h) | 10/22/2026 | 4,089 | 4,085,177 | |||||||
Containers 0.09% | ||||||||||||
Proampac PG Borrower LLC 2016 1st Lien Term Loan | 5.336% (3 Mo. LIBOR + 3.50% | ) | 11/20/2023 | 3,850 | 3,704,859 | |||||||
Electric: Power 0.10% | ||||||||||||
Helix Gen Funding, LLC Term Loan B | 5.452% (3 Mo. LIBOR + 3.75% | ) | 6/3/2024 | 4,175 | 4,011,027 |
See Notes to Financial Statements. | 383 |
Schedule of Investments (continued)
TOTAL RETURN FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Transportation: Miscellaneous 0.05% | ||||||||||||
Gruden Acquisition, Inc. 2nd Lien Term Loan | 10.604% (3 Mo. LIBOR + 8.50% | ) | 8/18/2023 | $ | 2,238 | $ | 2,225,881 | |||||
Total Floating Rate Loans (cost $22,211,065) | 22,076,003 | |||||||||||
FOREIGN BOND 0.04% | ||||||||||||
Mexico | ||||||||||||
Red de Carreteras de Occidente S.A.P.I.B. de CV†(b) (cost $2,515,344) | 9.00% | 6/10/2028 | MXN | 31,250 | 1,636,396 | |||||||
FOREIGN GOVERNMENT OBLIGATIONS 3.24% | ||||||||||||
Angola 0.19% | ||||||||||||
Republic of Angola†(e) | 8.25% | 5/9/2028 | $ | 3,460 | 3,540,307 | |||||||
Republic of Angola†(e) | 9.50% | 11/12/2025 | 3,900 | 4,354,428 | ||||||||
Total | 7,894,735 | |||||||||||
Argentina 0.05% | ||||||||||||
Provincia de Mendoza†(e) | 8.375% | 5/19/2024 | 2,850 | 1,895,250 | ||||||||
Bahamas 0.13% | ||||||||||||
Commonwealth of Bahamas†(e) | 6.00% | 11/21/2028 | 2,750 | 3,008,768 | ||||||||
Commonwealth of Bahamas†(e) | 6.95% | 11/20/2029 | 1,943 | 2,195,590 | ||||||||
Total | 5,204,358 | |||||||||||
Bermuda 0.08% | ||||||||||||
Government of Bermuda†(e) | 3.717% | 1/25/2027 | 3,090 | 3,230,155 | ||||||||
Dominican Republic 0.12% | ||||||||||||
Dominican Republic†(e) | 6.40% | 6/5/2049 | 3,080 | 3,233,030 | ||||||||
Dominican Republic†(e) | 6.50% | 2/15/2048 | 1,500 | 1,586,152 | ||||||||
Total | 4,819,182 | |||||||||||
Egypt 0.18% | ||||||||||||
Arab Republic of Egypt†(e) | 4.55% | 11/20/2023 | 635 | 640,396 | ||||||||
Arab Republic of Egypt†(e) | 6.125% | 1/31/2022 | 1,065 | 1,104,948 | ||||||||
Arab Republic of Egypt†(e) | 6.588% | 2/21/2028 | 3,800 | 3,887,024 | ||||||||
Arab Republic of Egypt†(e) | 7.903% | 2/21/2048 | 1,560 | 1,576,506 | ||||||||
Total | 7,208,874 | |||||||||||
Ghana 0.12% | ||||||||||||
Republic of Ghana†(e) | 7.875% | 8/7/2023 | 1,535 | 1,667,072 | ||||||||
Republic of Ghana†(e) | 8.125% | 3/26/2032 | 3,470 | 3,429,446 | ||||||||
Total | 5,096,518 |
384 | See Notes to Financial Statements. |
Schedule of Investments (continued)
TOTAL RETURN FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Indonesia 0.26% | ||||||||||||
Republic of Indonesia(e) | 3.40% | 9/18/2029 | $ | 10,000 | $ | 10,418,603 | ||||||
Japan 0.99% | ||||||||||||
Japan Bank for International Corp.(e) | 2.125% | 2/10/2025 | 23,428 | 23,556,875 | ||||||||
Japan Bank for International Corp.(e) | 2.50% | 5/23/2024 | 16,562 | 16,935,120 | ||||||||
Total | 40,491,995 | |||||||||||
Kenya 0.15% | ||||||||||||
Republic of Kenya†(e) | 7.00% | 5/22/2027 | 5,650 | 5,915,296 | ||||||||
Latvia 0.05% | ||||||||||||
Republic of Latvia†(e) | 5.25% | 6/16/2021 | 2,047 | 2,145,778 | ||||||||
Lithuania 0.10% | ||||||||||||
Republic of Lithuania†(e) | 7.375% | 2/11/2020 | 4,078 | 4,119,840 | ||||||||
Mexico 0.23% | ||||||||||||
United Mexican States(e) | 3.75% | 1/11/2028 | 3,915 | 4,062,791 | ||||||||
United Mexican States(e) | 4.00% | 10/2/2023 | 5,095 | 5,385,135 | ||||||||
Total | 9,447,926 | |||||||||||
Nigeria 0.05% | ||||||||||||
Republic of Nigeria†(e) | 7.143% | 2/23/2030 | 2,000 | 1,991,750 | ||||||||
Qatar 0.21% | ||||||||||||
State of Qatar†(e) | 3.25% | 6/2/2026 | 5,701 | 6,002,754 | ||||||||
State of Qatar†(e) | 5.103% | 4/23/2048 | 2,100 | 2,692,735 | ||||||||
Total | 8,695,489 | |||||||||||
Romania 0.01% | ||||||||||||
Republic of Romania†(e) | 6.125% | 1/22/2044 | 320 | 414,160 | ||||||||
Sri Lanka 0.05% | ||||||||||||
Republic of Sri Lanka†(e) | 6.25% | 7/27/2021 | 1,000 | 1,005,000 | ||||||||
Republic of Sri Lanka†(e) | 6.85% | 11/3/2025 | 1,100 | 1,071,966 | ||||||||
Total | 2,076,966 | |||||||||||
Turkey 0.27% | ||||||||||||
Export Credit Bank of Turkey†(e) | 8.25% | 1/24/2024 | 2,650 | 2,862,835 | ||||||||
Republic of Turkey(e) | 3.25% | 3/23/2023 | 1,350 | 1,285,633 | ||||||||
Republic of Turkey(e) | 5.625% | 3/30/2021 | 4,141 | 4,261,499 | ||||||||
Republic of Turkey(e) | 5.75% | 3/22/2024 | 2,625 | 2,670,544 | ||||||||
Total | 11,080,511 | |||||||||||
Total Foreign Government Obligations (cost $129,548,273) | 132,147,386 |
See Notes to Financial Statements. | 385 |
Schedule of Investments (continued)
TOTAL RETURN FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 1.27% | ||||||||||||
Federal Home Loan Mortgage Corp. Q001 XA IO | 2.231% | #(i) | 2/25/2032 | $ | 17,113 | $ | 2,274,169 | |||||
Government National Mortgage Assoc. 2014-78 A | 2.20% | 4/16/2047 | 102 | 102,074 | ||||||||
Government National Mortgage Assoc. 2015-47 AE | 2.90% | #(i) | 11/16/2055 | 6,030 | 6,106,338 | |||||||
Government National Mortgage Assoc. 2015-48 AS | 2.90% | #(i) | 2/16/2049 | 5,186 | 5,259,936 | |||||||
Government National Mortgage Assoc. 2015-73 AC | 2.90% | #(i) | 2/16/2053 | 1,176 | 1,192,079 | |||||||
Government National Mortgage Assoc. 2017-168 AS | 2.70% | 8/16/2058 | 10,896 | 11,007,610 | ||||||||
Government National Mortgage Assoc. 2017-41 AS | 2.60% | 6/16/2057 | 8,409 | 8,467,762 | ||||||||
Government National Mortgage Assoc. 2017-69 AS | 2.75% | 2/16/2058 | 4,349 | 4,403,802 | ||||||||
Government National Mortgage Assoc. 2017-71 AS | 2.70% | 4/16/2057 | 2,870 | 2,900,756 | ||||||||
Government National Mortgage Assoc. 2017-86 AS | 2.75% | 2/16/2058 | 3,350 | 3,391,697 | ||||||||
Government National Mortgage Assoc. 2017-89 AB | 2.60% | 7/16/2058 | 2,807 | 2,825,407 | ||||||||
Government National Mortgage Assoc. 2017-90 AS | 2.70% | 7/16/2057 | 3,860 | 3,900,292 | ||||||||
Total Government Sponsored Enterprises Collateralized Mortgage Obligations(cost $51,222,498) | 51,831,922 | |||||||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 31.96% | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.00% | 10/1/2049 | 10,072 | 10,914,761 | ||||||||
Federal National Mortgage Assoc.(j) | 3.00% | TBA | 245,150 | 248,616,575 | ||||||||
Federal National Mortgage Assoc.(j) | 3.50% | TBA | 931,700 | 956,448,291 | ||||||||
Federal National Mortgage Assoc. | 4.00% | 1/1/2048 | 12,542 | 13,625,095 | ||||||||
Federal National Mortgage Assoc.(j) | 4.00% | TBA | 72,300 | 75,016,899 | ||||||||
Total Government Sponsored Enterprises Pass-Throughs (cost $1,301,028,493) | 1,304,621,621 | |||||||||||
MUNICIPAL BONDS 0.11% | ||||||||||||
Miscellaneous | ||||||||||||
North Texas Tollway Authority | 8.91% | 2/1/2030 | 2,875 | 2,908,091 | ||||||||
Pennsylvania | 5.35% | 5/1/2030 | 1,600 | 1,623,680 | ||||||||
Total Municipal Bonds (cost $4,518,409) | 4,531,771 | |||||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 4.85% | ||||||||||||
Atrium Hotel Portfolio Trust 2018-ATRM A† | 2.715% (1 Mo. LIBOR + .95% | )# | 6/15/2035 | 3,567 | 3,572,443 | |||||||
Bancorp Commercial Mortgage Trust (The) 2018-CR3 A† | 2.615% (1 Mo. LIBOR + .85% | )# | 1/15/2033 | 2,144 | 2,142,911 | |||||||
BBCMS Mortgage Trust 2019-BWAY A† | 2.756% (1 Mo. LIBOR + .96% | )# | 11/25/2034 | 4,168 | 4,145,175 | |||||||
BBCMS Mortgage Trust 2019-BWAY B† | 3.11% (1 Mo. LIBOR + 1.31% | )# | 11/25/2034 | 1,832 | 1,822,503 | |||||||
BX Trust 2018-GW A† | 2.565% (1 Mo. LIBOR + .80% | )# | 5/15/2035 | 9,610 | 9,588,205 |
386 | See Notes to Financial Statements. |
Schedule of Investments (continued)
TOTAL RETURN FUNDNovember 30, 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 A† | 3.531% | 10/15/2034 | $ | 10,391 | $ | 10,790,388 | ||||||
Caesars Palace Las Vegas Trust 2017-VICI B† | 3.835% | 10/15/2034 | 6,358 | 6,607,068 | ||||||||
CF Trust 2019-BOSS A1† | 4.953% (1 Mo. LIBOR + 3.25% | )# | 12/15/2021 | 4,660 | 4,666,375 | (a) | ||||||
Citigroup Commercial Mortgage Trust 2014-GC25 XB IO | 0.332% | #(i) | 10/10/2047 | 50,626 | 535,795 | |||||||
Citigroup Commercial Mortgage Trust 2016-GC36 D† | 2.85% | 2/10/2049 | 8,100 | 7,065,346 | ||||||||
Commercial Mortgage Pass-Through Certificates 2014-CR19 XA IO | 1.191% | #(i) | 8/10/2047 | 4,022 | 157,531 | |||||||
Commercial Mortgage Pass-Through Certificates 2014-UBS4 D† | 4.863% | #(i) | 8/10/2047 | 12,450 | 11,561,145 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-DC1 D† | 4.408% | #(i) | 2/10/2048 | 8,439 | 7,802,850 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 AM | 4.29% | #(i) | 7/10/2050 | 3,400 | 3,682,640 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 B | 4.584% | #(i) | 7/10/2050 | 1,570 | 1,681,689 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 C | 4.584% | #(i) | 7/10/2050 | 2,684 | 2,803,708 | |||||||
Commercial Mortgage Pass-Through Certificates 2015-PC1 D | 4.584% | #(i) | 7/10/2050 | 7,822 | 7,422,854 | |||||||
Commercial Mortgage Pass-Through Certificates 2016-COR1 AM | 3.494% | 10/10/2049 | 1,922 | 2,012,588 | ||||||||
Credit Suisse Mortgage Capital Certificates 2014-USA E† | 4.373% | 9/15/2037 | 3,000 | 2,854,651 | ||||||||
CSAIL Commercial Mortgage Trust 2019-C18 AS(c) | 3.321% | 12/15/2052 | 4,507 | 4,638,467 | ||||||||
DBWF Mortgage Trust 2018-GLKS A† | 2.763% (1 Mo. LIBOR + 1.03% | )# | 11/19/2035 | 6,411 | 6,427,472 | |||||||
GS Mortgage Securities Corp. Trust 2018-RIVR A† | 2.715% (1 Mo. LIBOR + .95% | )# | 7/15/2035 | 4,380 | 4,390,721 | |||||||
GS Mortgage Securities Trust 2014-GC26 C | 4.667% | #(i) | 11/10/2047 | 135 | 138,250 | |||||||
GS Mortgage Securities Trust 2015-GC32 C | 4.557% | #(i) | 7/10/2048 | 1,230 | 1,307,321 | |||||||
Hudsons Bay Simon JV Trust 2015-HB10 XB10 IO† | 0.723% | #(i) | 8/5/2034 | 19,156 | 589,622 | |||||||
Hudsons Bay Simon JV Trust 2015-HB7 B7† | 4.666% | 8/5/2034 | 4,226 | 4,266,046 | ||||||||
Hudsons Bay Simon JV Trust 2015-HB7 D7† | 5.331% | #(i) | 8/5/2034 | 3,741 | 3,593,286 | |||||||
Hudsons Bay Simon JV Trust 2015-HB7 XB7 IO† | 0.665% | #(i) | 8/5/2034 | 22,024 | 298,866 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XA IO | 0.909% | #(i) | 4/15/2047 | 2,880 | 63,120 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2014-C19 XB IO | 0.441% | #(i) | 4/15/2047 | 1,595 | 22,911 |
See Notes to Financial Statements. | 387 |
Schedule of Investments (continued)
TOTAL RETURN FUNDNovember 30, 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-C30 C | 4.41% | #(i) | 7/15/2048 | $ | 2,500 | $ | 2,574,103 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ A† | 2.765% (1 Mo. LIBOR + 1.00% | )# | 6/15/2032 | 9,747 | 9,762,080 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ B† | 3.065% (1 Mo. LIBOR + 1.30% | )# | 6/15/2032 | 7,306 | 7,316,932 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-LAQ D† | 3.865% (1 Mo. LIBOR + 2.10% | )# | 6/15/2032 | 4,869 | 4,892,588 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-MINN† | 2.934% (1 Mo. LIBOR + 1.27% | )# | 11/15/2035 | 3,436 | 3,442,820 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT AFL† | 2.724% (1 Mo. LIBOR + .95% | )# | 7/5/2033 | 2,472 | 2,467,961 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT BFL† | 3.024% (1 Mo. LIBOR + 1.25% | )# | 7/5/2033 | 7,410 | 7,398,239 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT BFX† | 4.549% | 7/5/2033 | 2,228 | 2,382,159 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2018-WPT CFX† | 4.95% | 7/5/2033 | 2,968 | 3,177,686 | ||||||||
Merrill Lynch Mortgage Investors Trust 2006-AF2 AF1 | 6.25% | 10/25/2036 | 643 | 539,415 | ||||||||
PFP Ltd. 2019-6 A†(c) | 2.964% (1 Mo. LIBOR + 1.05% | )# | 4/14/2037 | 4,767 | 4,813,263 | |||||||
ReadyCap Commercial Mortgage Trust 2019-6 A† | 2.832% | 10/25/2052 | 3,704 | 3,720,245 | ||||||||
Sequoia Mortgage Trust 2012-4 A3 | 2.069% | #(i) | 9/25/2042 | 263 | 260,817 | |||||||
SFAVE Commercial Mortgage Securities Trust 2015-5AVE A1† | 3.872% | #(i) | 1/5/2043 | 695 | 726,809 | |||||||
SFAVE Commercial Mortgage Securities Trust 2015-5AVE A2B† | 4.144% | #(i) | 1/5/2043 | 450 | 480,053 | |||||||
UBS-BAMLL Trust 2012-WRM E† | 4.379% | #(i) | 6/10/2030 | 3,905 | 3,792,025 | |||||||
Wells Fargo Commercial Mortgage Trust 2013-LC12 D† | 4.42% | #(i) | 7/15/2046 | 5,195 | 4,627,885 | |||||||
Wells Fargo Commercial Mortgage Trust 2015-C28 D | 4.244% | #(i) | 5/15/2048 | 7,460 | 7,072,935 | |||||||
Wells Fargo Commercial Mortgage Trust 2016-C35 C | 4.176% | #(i) | 7/15/2048 | 2,642 | 2,734,446 |
388 | See Notes to Financial Statements. |
Schedule of Investments (continued)
TOTAL RETURN FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||
Wells Fargo Commercial Mortgage Trust 2016-NXS5 E† | 5.038% | #(i) | 1/15/2059 | $ | 2,748 | $ | 2,758,251 | |||||
Wells Fargo Commercial Mortgage Trust 2017-C41 AS | 3.785% | #(i) | 11/15/2050 | 3,197 | 3,439,528 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C20 XA IO | 1.124% | #(i) | 5/15/2047 | 8,733 | 298,264 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C20 XB IO | 0.734% | #(i) | 5/15/2047 | 2,205 | 55,802 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C23 XA IO | 0.715% | #(i) | 10/15/2057 | 61,181 | 1,445,773 | |||||||
WF-RBS Commercial Mortgage Trust 2014-C23 XB IO | 0.307% | #(i) | 10/15/2057 | 100,000 | 1,245,700 | |||||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $190,912,137) | 198,077,726 | |||||||||||
U.S. TREASURY OBLIGATIONS 17.92% | ||||||||||||
U.S. Treasury Bond | 2.25% | 8/15/2049 | 118,556 | 119,630,414 | ||||||||
U.S. Treasury Bond | 2.75% | 11/15/2047 | 78,916 | 87,812,546 | ||||||||
U.S. Treasury Bond | 3.625% | 8/15/2043 | 54,109 | 68,520,806 | ||||||||
U.S. Treasury Inflation Indexed Note(k) | 0.625% | 4/15/2023 | 175,450 | 177,145,951 | ||||||||
U.S. Treasury Note(c) | 1.50% | 11/30/2021 | 45,801 | 45,700,810 | ||||||||
U.S. Treasury Note(c) | 1.50% | 11/30/2024 | 52,840 | 52,521,102 | ||||||||
U.S. Treasury Note | 1.75% | 11/15/2029 | 73,594 | 73,414,327 | ||||||||
U.S. Treasury Note | 2.50% | 1/31/2021 | 101,339 | 102,269,261 | ||||||||
U.S. Treasury Note | 2.875% | 10/31/2020 | 4,166 | 4,210,182 | ||||||||
Total U.S. Treasury Obligations (cost $711,018,256) | 731,225,399 | |||||||||||
Total Long-Term Investments (cost $4,165,537,896) | 4,255,405,369 | |||||||||||
SHORT-TERM INVESTMENTS 27.44% | ||||||||||||
FOREIGN GOVERNMENT OBLIGATION 9.69% | ||||||||||||
Japan | ||||||||||||
Japan Treasury Discount Bill(b) (cost $404,948,162) | Zero Coupon | 1/8/2020 | JPY | 43,249,350 | 395,330,194 | |||||||
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGH 5.07% | ||||||||||||
Federal Home Loan Bank Discount Notes (cost $207,084,753) | Zero Coupon | 12/6/2019 | $ | 207,141 | 207,104,866 | |||||||
U.S. TREASURY OBLIGATIONS 9.60% | ||||||||||||
U.S. Treasury Bill | Zero Coupon | 12/3/2019 | 380,000 | 379,983,322 | ||||||||
U.S. Treasury Bill | Zero Coupon | 1/30/2020 | 11,827 | 11,796,484 | ||||||||
Total U.S. Treasury Obligations (cost $391,764,844) | 391,779,806 |
See Notes to Financial Statements. | 389 |
Schedule of Investments (continued)
TOTAL RETURN FUNDNovember 30, 2019
Investments | Principal Amount (000) | Fair Value | ||||||
REPURCHASE AGREEMENTS 3.08% | ||||||||
Repurchase Agreement dated 11/29/2019, 0.85% due 12/2/2019 with Fixed Income Clearing Corp. collateralized by $11,060,000 of U.S. Treasury Note at 1.125% due 9/30/2021; value: $10,970,171; proceeds: $10,755,208 | $ | 10,754 | $ | 10,754,447 | ||||
Repurchase Agreement dated 11/29/2019, 1.45% due 12/2/2019 with JPMorgan Chase & Co. collateralized by $56,933,000 of U.S. Treasury Note at 2.375% due 8/15/2024; value: $59,219,409; proceeds: $58,007,008 | 58,000 | 58,000,000 | ||||||
Repurchase Agreement dated 11/29/2019, 1.61% due 12/2/2019 with Toronto Dominion Grand Cayman collateralized by $57,755,000 of U.S. Treasury Note at 2.25% due 4/30/2021; value: $58,320,452; proceeds: $57,007,648 | 57,000 | 57,000,000 | ||||||
Total Repurchase Agreements (cost $125,754,447) | 125,754,447 | |||||||
Total Short-Term Investments (cost $1,129,552,206) | 1,119,969,313 | |||||||
Total Investments in Securities 131.70% (cost $5,295,090,102) | 5,375,374,682 | |||||||
Liabilities in Excess of Foreign Cash and Other Assets(l)(31.70%) | (1,293,806,731 | ) | ||||||
Net Assets 100.00% | $ | 4,081,567,951 |
BRL | Brazilian real. | |
CAD | Canadian dollar. | |
EUR | euro. | |
JPY | Japanese yen. | |
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. At November 30, 2019, the total value of Rule 144A securities was $1,172,949,038, which represents 28.74% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at November 30, 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) | Securities purchased on a when-issued basis (See Note 2(i)). | |
(d) | Variable Rate is Fixed to Float: Rate remains fixed until designated future date. | |
(e) | Foreign security traded in U.S. dollars. | |
(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 November 30, 2019. | |
(h) | Interest rate to be determined. | |
(i) | Interest rate is based on the weighted average interest rates of the underlying mortgages within the mortgage pool. | |
(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) | 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. | |
(l) | Liabilities in Excess of Foreign Cash and Other Assets include net unrealized appreciation/depreciation on forward foreign currency exchange contracts, futures contracts and swaps as follows: |
390 | See Notes to Financial Statements. |
Schedule of Investments (continued)
TOTAL RETURN FUNDNovember 30, 2019
Centrally Cleared Interest Rate Swap Contracts at November 30, 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 | 1.8902% | 6/7/2021 | $ | 200,000,000 | $ | 200,659,014 | $ | 659,014 | ||||||||||
Credit Suisse | 3-Month USD LIBOR Index | 2.3497% | 4/1/2021 | $ | 284,374,331 | $ | 286,789,098 | 2,414,767 | |||||||||||
Total | $ | 3,073,781 |
* | Central clearinghouse: Chicago Mercantile Exchange (CME). |
Centrally Cleared Interest Rate Swap Contracts at November 30, 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 Depreciation | |||||||||||||
Credit Suisse | 2.4045% | 3-Month USD LIBOR Index | 4/1/2029 | $ | 19,020,000 | $ | 17,820,974 | $ | (1,199,026 | ) |
* | Central clearinghouse: Chicago Mercantile Exchange (CME). |
Open Forward Foreign Currency Exchange Contracts at November 30, 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 | State Street Bank and Trust | 12/13/2019 | 4,000,000 | $ | 3,012,587 | $ | 3,011,553 | $ | 1,034 | |||||||||||
euro | Sell | State Street Bank and Trust | 12/9/2019 | 1,741,000 | 1,934,134 | 1,918,920 | 15,214 | ||||||||||||||
Japanese yen | Sell | Bank of America | 1/8/2020 | 43,018,000,000 | 405,267,020 | 394,307,663 | 10,959,357 | ||||||||||||||
Mexican peso | Sell | BNP Paribas S.A. | 2/14/2020 | 33,000,000 | 1,696,847 | 1,669,105 | 27,742 | ||||||||||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $ | 11,003,347 |
Open Futures Contracts at November 30, 2019:
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Appreciation | |||||||||||||
U.S. 2-Year Treasury Note | March 2020 | 330 | Short | $ | (71,155,665 | ) | $ | (71,143,360 | ) | $ | 12,305 | ||||||||
U.S. 10-Year Ultra Treasury Note | March 2020 | 527 | Short | (75,080,125 | ) | (74,949,282 | ) | 130,843 | |||||||||||
Total Unrealized Appreciation on Open Futures Contracts | $ | 143,148 |
See Notes to Financial Statements. | 391 |
Schedule of Investments (continued)
TOTAL RETURN FUNDNovember 30, 2019
Type | Expiration | Contracts | Position | Notional Amount | Notional Value | Unrealized Depreciation | |||||||||||||
U.S. 5-Year Treasury Note | March 2020 | 1,919 | Long | $ | 228,454,398 | $ | 228,301,032 | $ | (153,366 | ) | |||||||||
U.S. Long Bond | March 2020 | 999 | Long | 159,779,431 | 158,809,782 | (969,649 | ) | ||||||||||||
U.S. Ultra Treasury Bond | March 2020 | 108 | Long | 20,325,284 | 20,273,625 | (51,659 | ) | ||||||||||||
Total Unrealized Depreciation on Open Futures Contracts | $ | (1,174,674 | ) |
The following is a summary of the inputs used as of November 30, 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 | ||||||||||||||||
Credit Cards | $ | – | $ | 42,089,310 | $ | 11,563,366 | $ | 53,652,676 | ||||||||
Other | – | 331,350,560 | 1,961,078 | 333,311,638 | ||||||||||||
Remaining Industries | – | 324,686,202 | – | 324,686,202 | ||||||||||||
Common Stocks | – | 99,040 | – | 99,040 | ||||||||||||
Corporate Bonds | – | 1,097,507,589 | – | 1,097,507,589 | ||||||||||||
Floating Rate Loans | – | 22,076,003 | – | 22,076,003 | ||||||||||||
Foreign Bond | – | 1,636,396 | – | 1,636,396 | ||||||||||||
Foreign Government Obligations | – | 132,147,386 | – | 132,147,386 | ||||||||||||
Government Sponsored Enterprises Collateralized Mortgage Obligations | – | 51,831,922 | – | 51,831,922 | ||||||||||||
Government Sponsored Enterprises Pass-Throughs | – | 1,304,621,621 | – | 1,304,621,621 | ||||||||||||
Municipal Bonds | – | 4,531,771 | – | 4,531,771 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 193,411,351 | 4,666,375 | 198,077,726 | ||||||||||||
U.S. Treasury Obligations | – | 731,225,399 | – | 731,225,399 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Foreign Government Obligation | – | 395,330,194 | – | 395,330,194 | ||||||||||||
Government Sponsored Enterprises Pass-Through | – | 207,104,866 | – | 207,104,866 | ||||||||||||
U.S. Treasury Obligations | – | 391,779,806 | – | 391,779,806 | ||||||||||||
Repurchase Agreements | – | 125,754,447 | – | 125,754,447 | ||||||||||||
Total | $ | – | $ | 5,357,183,863 | $ | 18,190,819 | $ | 5,375,374,682 | ||||||||
Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Assets | $ | – | $ | 11,003,347 | $ | – | $ | 11,003,347 | ||||||||
Liabilities | – | – | – | – | ||||||||||||
Futures Contracts | ||||||||||||||||
Assets | 143,148 | – | – | 143,148 | ||||||||||||
Liabilities | (1,174,674 | ) | – | – | (1,174,674 | ) | ||||||||||
Centrally Cleared Interest Rate Swaps Contracts | ||||||||||||||||
Assets | – | 3,073,781 | – | 3,073,781 | ||||||||||||
Liabilities | – | (1,199,026 | ) | – | (1,199,026 | ) | ||||||||||
Total | $ | (1,031,526 | ) | $ | 12,878,102 | $ | – | $ | 11,846,576 |
(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. |
392 | See Notes to Financial Statements. |
Schedule of Investments (concluded)
TOTAL RETURN FUNDNovember 30, 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 | Non-Agency Commercial Mortgage- Backed Securities | ||||||
Balance as of December 1, 2018 | $ | 3,749,000 | $ | – | ||||
Accrued Discounts (Premiums) | (522 | ) | – | |||||
Realized Gain (Loss) | – | – | ||||||
Change in Unrealized Appreciation (Depreciation) | 124,596 | 6,375 | ||||||
Purchases | 13,400,370 | 4,660,000 | ||||||
Sales | – | – | ||||||
Transfers into Level 3 | – | – | ||||||
Transfers out of Level 3 | (3,749,000 | ) | – | |||||
Balance as of November 30, 2019 | $ | 13,524,444 | $ | 4,666,375 | ||||
Change in unrealized appreciation/depreciation for the year ended November 30, 2019, related to Level 3 investments held at November 30, 2019 | $ | 124,596 | $ | 6,375 |
See Notes to Financial Statements. | 393 |
Schedule of Investments
ULTRA SHORT BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
LONG-TERM INVESTMENTS 67.65% | ||||||||||||
ASSET-BACKED SECURITIES 22.60% | ||||||||||||
Automobiles 13.32% | ||||||||||||
ACC Trust 2018-1 A† | 3.70% | 12/21/2020 | $ | 305 | $ | 304,808 | ||||||
ACC Trust 2019-1 A† | 3.75% | 5/20/2022 | 9,178 | 9,230,409 | ||||||||
American Credit Acceptance Receivables Trust 2016-3 C† | 4.26% | 8/12/2022 | 2,784 | 2,796,310 | ||||||||
American Credit Acceptance Receivables Trust 2018-1 C† | 3.55% | 4/10/2024 | 3,519 | 3,534,287 | ||||||||
American Credit Acceptance Receivables Trust 2019-1 B† | 3.32% | 4/12/2023 | 11,520 | 11,638,177 | ||||||||
AmeriCredit Automobile Receivables 2015-4 D | 3.72% | 12/8/2021 | 21,398 | 21,542,847 | ||||||||
AmeriCredit Automobile Receivables Trust 2015-3 C | 2.73% | 3/8/2021 | 292 | 291,548 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-3 B | 1.80% | 10/8/2021 | 500 | 499,396 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-3 C | 2.24% | 4/8/2022 | 2,481 | 2,482,430 | ||||||||
AmeriCredit Automobile Receivables Trust 2016-3 D | 2.71% | 9/8/2022 | 6,489 | 6,530,709 | ||||||||
Americredit Automobile Receivables Trust 2016-4 B | 1.83% | 12/8/2021 | 1,362 | 1,361,264 | ||||||||
AmeriCredit Automobile Receivables Trust 2017-4 A3 | 2.04% | 7/18/2022 | 6,003 | 6,003,487 | ||||||||
AmeriCredit Automobile Receivables Trust 2018-2 A2A | 2.86% | 11/18/2021 | 11,027 | 11,043,508 | ||||||||
AmeriCredit Automobile Receivables Trust 2018-3 A2A | 3.11% | 1/18/2022 | 7,692 | 7,714,328 | ||||||||
AmeriCredit Automobile Receivables Trust 2018-3 A2B | 2.013% (1 Mo. LIBOR + .25% | )# | 1/18/2022 | 7,692 | 7,691,037 | |||||||
AmeriCredit Automobile Receivables Trust 2019-1 A2A | 2.93% | 6/20/2022 | 19,441 | 19,514,584 | ||||||||
AmeriCredit Automobile Receivables Trust 2019-1 A2B | 2.023% (1 Mo. LIBOR + .26% | )# | 6/20/2022 | 21,486 | 21,489,467 | |||||||
AmeriCredit Automobile Receivables Trust 2019-3 A2A | 2.17% | 1/18/2023 | 33,489 | 33,528,440 | ||||||||
Avid Automobile Receivables Trust 2018-1 A† | 2.84% | 8/15/2023 | 706 | 707,008 |
394 | See Notes to Financial Statements. |
Schedule of Investments (continued)
ULTRA SHORT BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
BMW Vehicle Lease Trust 2019-1 A2 | 2.79% | 3/22/2021 | $ | 54,351 | $ | 54,517,385 | ||||||
California Republic Auto Receivables Trust 2015-4 A4† | 2.58% | 6/15/2021 | 710 | 710,612 | ||||||||
California Republic Auto Receivables Trust 2016-2 A4 | 1.83% | 12/15/2021 | 155 | 155,216 | ||||||||
California Republic Auto Receivables Trust 2017-1 A4 | 2.28% | 6/15/2022 | 8,898 | 8,904,681 | ||||||||
California Republic Auto Receivables Trust 2018-1 A2 | 2.86% | 3/15/2021 | 159 | 159,082 | ||||||||
Capital Auto Receivables Asset Trust 2015-3 D | 3.34% | 3/22/2021 | 1,320 | 1,321,124 | ||||||||
Capital Auto Receivables Asset Trust 2015-4 D | 3.62% | 5/20/2021 | 1,028 | 1,029,299 | ||||||||
Capital Auto Receivables Asset Trust 2016-2 B | 2.11% | 3/22/2021 | 495 | 494,620 | ||||||||
Capital Auto Receivables Asset Trust 2017-1 A3† | 2.02% | 8/20/2021 | 2,372 | 2,372,152 | ||||||||
Capital Auto Receivables Asset Trust 2018-1 A3† | 2.79% | 1/20/2022 | 19,344 | 19,397,385 | ||||||||
Capital Auto Receivables Asset Trust 2018-1 A4† | 2.93% | 6/20/2022 | 13,907 | 14,023,756 | ||||||||
Capital Auto Receivables Asset Trust 2018-2 A2† | 3.02% | 2/22/2021 | 10,859 | 10,878,589 | ||||||||
Capital Auto Receivables Asset Trust 2018-2 A3† | 3.27% | 6/20/2023 | 12,196 | 12,303,872 | ||||||||
Capital Auto Receivables Asset Trust 2018-2 B† | 3.48% | 10/20/2023 | 5,648 | 5,721,466 | ||||||||
Capital One Prime Auto Receivables Trust 2019-1 A2 | 2.58% | 4/15/2022 | 114,502 | 115,044,808 | ||||||||
Capital One Prime Auto Receivables Trust 2019-2 A2 | 2.06% | 9/15/2022 | 95,682 | 95,766,640 | ||||||||
CarMax Auto Owner Trust 2016-1 D | 3.11% | 8/15/2022 | 6,389 | 6,400,758 | ||||||||
CarMax Auto Owner Trust 2016-3 A3 | 1.39% | 5/17/2021 | 48 | 48,220 | ||||||||
CarMax Auto Owner Trust 2016-4 A3 | 1.40% | 8/15/2021 | 1,231 | 1,228,884 | ||||||||
CarMax Auto Owner Trust 2016-4 A4 | 1.60% | 6/15/2022 | 17,638 | 17,579,893 | ||||||||
Carvana Auto Receivables Trust 2019-3A A2† | 2.42% | 4/15/2022 | 52,172 | 52,215,125 | ||||||||
Chesapeake Funding II LLC 2017-2A A1† | 1.99% | 5/15/2029 | 2,025 | 2,023,366 | ||||||||
Chesapeake Funding II LLC 2017-2A A2† | 2.215% (1 Mo. LIBOR + .45% | )# | 5/15/2029 | 1,104 | 1,105,024 | |||||||
Chesapeake Funding II LLC 2017-3A A1† | 1.91% | 8/15/2029 | 753 | 752,744 | ||||||||
Chesapeake Funding II LLC 2017-3A A2† | 2.105% (1 Mo. LIBOR + .34% | )# | 8/15/2029 | 11,073 | 11,069,351 | |||||||
Chesapeake Funding II LLC 2017-4A A1† | 2.12% | 11/15/2029 | 23,245 | 23,241,034 | ||||||||
Chesapeake Funding II LLC 2017-4A A2† | 2.105% (1 Mo. LIBOR + .34% | )# | 11/15/2029 | 4,320 | 4,321,928 | |||||||
Chesapeake Funding II LLC 2018-3A A2† | 2.245% (1 Mo. LIBOR + .48% | )# | 1/15/2031 | 69,055 | 69,120,491 |
See Notes to Financial Statements. | 395 |
Schedule of Investments (continued)
ULTRA SHORT BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
CPS Auto Receivables Trust 2014-C D† | 4.83% | 8/17/2020 | $ | 5,977 | $ | 5,981,872 | ||||||
CPS Auto Receivables Trust 2016-C C† | 3.27% | 6/15/2022 | 2,869 | 2,872,673 | ||||||||
CPS Auto Receivables Trust 2016-C D† | 5.92% | 6/15/2022 | 5,325 | 5,436,999 | ||||||||
CPS Auto Receivables Trust 2017-C B† | 2.30% | 7/15/2021 | – | (a) | 134 | |||||||
CPS Auto Receivables Trust 2017-D B† | 2.43% | 1/18/2022 | 1,367 | 1,367,094 | ||||||||
CPS Auto Receivables Trust 2018-A B† | 2.77% | 4/18/2022 | 1,200 | 1,202,456 | ||||||||
CPS Auto Receivables Trust 2018-B A† | 2.72% | 9/15/2021 | 1,058 | 1,058,707 | ||||||||
CPS Auto Receivables Trust 2018-B B† | 3.23% | 7/15/2022 | 1,135 | 1,139,629 | ||||||||
CPS Auto Receivables Trust 2019-A† | 3.18% | 6/15/2022 | 17,504 | 17,573,643 | ||||||||
CPS Auto Trust 2017-A C† | 3.31% | 12/15/2022 | 10,449 | 10,480,416 | ||||||||
CPS Auto Trust 2018-C A† | 2.87% | 9/15/2021 | 2,000 | 2,001,633 | ||||||||
CPS Auto Trust 2018-C B† | 3.43% | 7/15/2022 | 3,840 | 3,862,601 | ||||||||
Drive Auto Receivables Trust 2016-BA D† | 4.53% | 8/15/2023 | 7,197 | 7,285,843 | ||||||||
Drive Auto Receivables Trust 2016-CA D† | 4.18% | 3/15/2024 | 17,515 | 17,746,714 | ||||||||
Drive Auto Receivables Trust 2017-1 C | 2.84% | 4/15/2022 | 785 | 784,806 | ||||||||
Drive Auto Receivables Trust 2017-2 C | 2.75% | 9/15/2023 | 1,218 | 1,218,383 | ||||||||
Drive Auto Receivables Trust 2017-3 C | 2.80% | 7/15/2022 | 539 | 539,180 | ||||||||
Drive Auto Receivables Trust 2017-AA C† | 2.98% | 1/18/2022 | 768 | 768,892 | ||||||||
Drive Auto Receivables Trust 2017-AA D† | 4.16% | 5/15/2024 | 16,792 | 17,053,169 | ||||||||
Drive Auto Receivables Trust 2017-BA D† | 3.72% | 10/17/2022 | 7,104 | 7,138,225 | ||||||||
Drive Auto Receivables Trust 2018-2 C | 3.63% | 8/15/2024 | 12,993 | 13,068,910 | ||||||||
Drive Auto Receivables Trust 2018-3 B | 3.37% | 9/15/2022 | 13,641 | 13,663,447 | ||||||||
Drive Auto Receivables Trust 2018-3 C | 3.72% | 9/16/2024 | 8,689 | 8,769,170 | ||||||||
Drive Auto Receivables Trust 2018-4 B | 3.36% | 10/17/2022 | 8,403 | 8,420,042 | ||||||||
Drive Auto Receivables Trust 2018-4 C | 3.66% | 11/15/2024 | 4,697 | 4,746,033 | ||||||||
Drive Auto Receivables Trust 2018-5 B | 3.68% | 7/15/2023 | 39,891 | 40,398,573 | ||||||||
Drive Auto Receivables Trust 2019-2 A2A | 2.93% | 3/15/2022 | 17,251 | 17,275,250 | ||||||||
Drive Auto Receivables Trust 2019-3 A2A | 2.63% | 9/15/2022 | 26,121 | 26,173,864 | ||||||||
Drive Auto Receivables Trust 2019-4 A2A | 2.32% | 6/15/2022 | 69,860 | 69,960,298 | ||||||||
Drive Auto Receivables Trust 2019-4 A3 | 2.16% | 5/15/2023 | 44,367 | 44,365,452 | ||||||||
Drive Auto Receivables Trust 2019-4 B | 2.23% | 1/16/2024 | 36,764 | 36,735,508 | ||||||||
Enterprise Fleet Financing LLC 2017-1 A2† | 2.13% | 7/20/2022 | 194 | 193,545 | ||||||||
Enterprise Fleet Financing LLC 2017-2 A2† | 1.97% | 1/20/2023 | 506 | 505,902 | ||||||||
Enterprise Fleet Financing LLC 2018-1 A2† | 2.87% | 10/20/2023 | 8,553 | 8,593,998 | ||||||||
Exeter Automobile Receivables Trust 2016-3A C† | 4.22% | 6/15/2022 | 3,825 | 3,867,513 | ||||||||
Exeter Automobile Receivables Trust 2017-1A C† | 3.95% | 12/15/2022 | 960 | 970,709 |
396 | See Notes to Financial Statements. |
Schedule of Investments (continued)
ULTRA SHORT BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Exeter Automobile Receivables Trust 2019-3A A† | 2.59% | 9/15/2022 | $ | 72,944 | $ | 73,105,286 | ||||||
Fifth Third Auto Trust 2019-1 A2A | 2.66% | 5/16/2022 | 37,042 | 37,196,621 | ||||||||
First Investors Auto Owner Trust 2016-2A A2† | 1.87% | 11/15/2021 | 11 | 11,254 | ||||||||
First Investors Auto Owner Trust 2018-2A A1† | 3.23% | 12/15/2022 | 7,698 | 7,733,585 | ||||||||
First Investors Auto Owner Trust 2019-1A A† | 2.89% | 3/15/2024 | 26,684 | 26,898,751 | ||||||||
First Investors Auto Owner Trust 2019-2A A† | 2.21% | 9/16/2024 | 48,870 | 48,887,936 | ||||||||
Flagship Credit Auto Trust 2016-1 B† | 3.91% | 6/15/2022 | 1,374 | 1,377,569 | ||||||||
Flagship Credit Auto Trust 2017-3 A† | 1.88% | 10/15/2021 | 384 | 384,128 | ||||||||
Flagship Credit Auto Trust 2017-4 A† | 2.07% | 4/15/2022 | 520 | 519,704 | ||||||||
Flagship Credit Auto Trust 2018-2 A† | 2.97% | 10/17/2022 | 10,986 | 11,026,026 | ||||||||
Flagship Credit Auto Trust 2018-3 A† | 3.07% | 2/15/2023 | 17,512 | 17,601,593 | ||||||||
Ford Credit Auto Lease Trust 2018-A A3 | 2.93% | 6/15/2021 | 48,660 | 48,816,530 | ||||||||
Ford Credit Auto Owner Trust 2015-1 A† | 2.12% | 7/15/2026 | 124,736 | 124,761,845 | ||||||||
Ford Credit Auto Owner Trust 2019-A A2A | 2.78% | 2/15/2022 | 17,576 | 17,643,805 | ||||||||
Ford Credit Auto Owner Trust 2019-C A2A | 1.88% | 7/15/2022 | 31,357 | 31,368,242 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-1 A3† | 3.24% | 9/15/2022 | 5,279 | 5,300,119 | ||||||||
Foursight Capital Automobile Receivables Trust 2018-2 A2† | 3.32% | 4/15/2022 | 11,213 | 11,248,328 | ||||||||
GM Financial Automobile Leasing Trust 2017 2 B | 2.43% | 6/21/2021 | 3,787 | 3,788,847 | ||||||||
GM Financial Automobile Leasing Trust 2019-1 A2A | 2.91% | 4/20/2021 | 12,514 | 12,556,336 | ||||||||
GM Financial Automobile Leasing Trust 2019-2 A2A | 2.67% | 6/21/2021 | 30,765 | 30,856,229 | ||||||||
GM Financial Automobile Leasing Trust 2019-2 A3 | 2.67% | 3/21/2022 | 16,101 | 16,221,329 | ||||||||
GM Financial Automobile Leasing Trust 2019-3 A2A | 2.09% | 10/20/2021 | 92,037 | 92,086,332 | ||||||||
GM Financial Consumer Automobile Receivables Trust 2017-3A A3† | 1.97% | 5/16/2022 | 25,373 | 25,372,294 | ||||||||
GM Financial Consumer Automobile Receivables Trust 2019-1 A2 | 2.99% | 3/16/2022 | 28,764 | 28,848,096 | ||||||||
Honda Auto Receivables Owner Trust 2017-3 A3 | 1.79% | 9/20/2021 | 5,840 | 5,836,708 | ||||||||
Honda Auto Receivables Owner Trust 2019-1 A2 | 2.75% | 9/20/2021 | 57,841 | 58,092,751 |
See Notes to Financial Statements. | 397 |
Schedule of Investments (continued)
ULTRA SHORT BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
Hyundai Auto Lease Securitization Trust 2018-A A3† | 2.81% | 4/15/2021 | $ | 65,889 | $ | 66,101,578 | ||||||
Hyundai Auto Receivables Trust 2019-B A2 | 1.93% | 7/15/2022 | 16,743 | 16,761,089 | ||||||||
Mercedes-Benz Auto Lease Trust 2019-B A2 | 2.01% | 12/15/2021 | 27,502 | 27,525,062 | ||||||||
Nissan Auto Receivables Owner Trust 2016-B A3 | 1.32% | 1/15/2021 | 11 | 11,187 | ||||||||
Nissan Auto Receivables Owner Trust 2017-C A3 | 2.12% | 4/18/2022 | 31,646 | 31,679,935 | ||||||||
Prestige Auto Receivables Trust 2019-1A A2† | 2.44% | 7/15/2022 | 35,587 | 35,640,658 | ||||||||
Prestige Auto Receivables Trust 2019-1A A3† | 2.45% | 5/15/2023 | 29,320 | 29,423,634 | ||||||||
Santander Drive Auto Receivables Trust 2015-4 D | 3.53% | 8/16/2021 | 24,883 | 24,931,556 | ||||||||
Santander Drive Auto Receivables Trust 2015-4 E† | 4.54% | 11/15/2022 | 40,950 | 41,144,218 | ||||||||
Santander Drive Auto Receivables Trust 2015-5 D | 3.65% | 12/15/2021 | 11,765 | 11,803,590 | ||||||||
Santander Drive Auto Receivables Trust 2016-1 E | 5.02% | 6/15/2023 | 38,076 | 38,457,621 | ||||||||
Santander Drive Auto Receivables Trust 2016-2 D | 3.39% | 4/15/2022 | 1,160 | 1,169,641 | ||||||||
Santander Drive Auto Receivables Trust 2016-2 E | 4.38% | 9/15/2023 | 13,300 | 13,499,263 | ||||||||
Santander Drive Auto Receivables Trust 2016-3 C | 2.46% | 3/15/2022 | 2,640 | 2,642,888 | ||||||||
Santander Drive Auto Receivables Trust 2016-3 D | 2.80% | 8/15/2022 | 11,898 | 11,973,005 | ||||||||
Santander Drive Auto Receivables Trust 2018-1 B | 2.63% | 7/15/2022 | 33,841 | 33,874,611 | ||||||||
Santander Drive Auto Receivables Trust 2018-2 B | 3.03% | 9/15/2022 | 20,343 | 20,387,771 | ||||||||
Santander Drive Auto Receivables Trust 2018-2 C | 3.35% | 7/17/2023 | 42,429 | 42,858,407 | ||||||||
Santander Drive Auto Receivables Trust 2018-3 C | 3.51% | 8/15/2023 | 42,656 | 43,147,372 | ||||||||
Santander Drive Auto Receivables Trust 2018-4 B | 3.27% | 1/17/2023 | 46,221 | 46,441,104 | ||||||||
Santander Drive Auto Receivables Trust 2018-5 B | 3.52% | 12/15/2022 | 12,616 | 12,700,785 | ||||||||
TCF Auto Receivables Owner Trust 2016-PT1A A† | 1.93% | 6/15/2022 | 240 | 239,824 | ||||||||
Toyota Auto Receivables Owner Trust 2016-D A3 | 1.23% | 10/15/2020 | 89 | 88,978 | ||||||||
Toyota Auto Receivables Owner Trust 2018-A A3 | 2.35% | 5/16/2022 | 7,448 | 7,469,462 | ||||||||
USAA Auto Owner Trust 2019-1 A2 | 2.26% | 2/15/2022 | 39,555 | 39,622,580 | ||||||||
Westlake Automobile Receivables Trust 2016-3A D† | 3.58% | 1/18/2022 | 21,565 | 21,611,736 | ||||||||
Westlake Automobile Receivables Trust 2018-1A C† | 2.92% | 5/15/2023 | 2,745 | 2,753,398 | ||||||||
Westlake Automobile Receivables Trust 2018-2A C† | 3.50% | 1/16/2024 | 5,383 | 5,435,633 | ||||||||
Westlake Automobile Receivables Trust 2018-3A A2A† | 2.98% | 1/18/2022 | 8,550 | 8,568,975 | ||||||||
Westlake Automobile Receivables Trust 2018-3A B† | 3.32% | 10/16/2023 | 23,532 | 23,743,016 | ||||||||
Westlake Automobile Receivables Trust 2019-1A A2A† | 3.06% | 5/16/2022 | 46,295 | 46,486,506 | ||||||||
Westlake Automobile Receivables Trust 2019-2A A2A† | 2.57% | 2/15/2023 | 43,480 | 43,640,024 | ||||||||
Westlake Automobile Receivables Trust 2019-3A A2† | 2.15% | 2/15/2023 | 76,952 | 77,046,128 | ||||||||
Wheels SPV 2 LLC 2018-1A A2† | 3.06% | 4/20/2027 | 4,291 | 4,315,372 | ||||||||
World Omni Automobile Lease Securitization Trust 2017-A B | 2.48% | 8/15/2022 | 1,353 | 1,353,413 | ||||||||
World Omni Automobile Lease Securitization Trust 2018-A A3 | 2.83% | 7/15/2021 | 17,031 | 17,095,880 |
398 | See Notes to Financial Statements. |
Schedule of Investments (continued)
ULTRA SHORT BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automobiles (continued) | ||||||||||||
World Omni Select Auto Trust 2018-1A A2† | 3.24% | 4/15/2022 | $ | 9,755 | $ | 9,779,728 | ||||||
World Omni Select Auto Trust 2018-1A A3† | 3.46% | 3/15/2023 | 39,410 | 39,736,126 | ||||||||
Total | 2,741,734,830 | |||||||||||
Credit Cards 5.28% | ||||||||||||
American Express Credit Account Master Trust 2017-1 A | 1.93% | 9/15/2022 | 46,674 | 46,668,791 | ||||||||
American Express Credit Account Master Trust 2017-2 A | 2.215% (1 Mo. LIBOR + .45% | )# | 9/16/2024 | 17,324 | 17,406,213 | |||||||
American Express Credit Account Master Trust 2017-3 A | 1.77% | 11/15/2022 | 19,097 | 19,090,534 | ||||||||
American Express Credit Account Master Trust 2018-1 A | 2.67% | 10/17/2022 | 9,618 | 9,639,040 | ||||||||
BA Credit Card Trust 2017-A1 | 1.95% | 8/15/2022 | 9,020 | 9,021,526 | ||||||||
BA Credit Card Trust 2017-A2 | 1.84% | 1/17/2023 | 68,435 | 68,405,676 | ||||||||
Barclays Dryrock Issuance Trust 2017-1 A | 2.095% (1 Mo. LIBOR + .33% | )# | 3/15/2023 | 616 | 616,539 | |||||||
Barclays Dryrock Issuance Trust 2017-2 A | 2.065% (1 Mo. LIBOR + .30% | )# | 5/15/2023 | 16,646 | 16,662,045 | |||||||
Barclays Dryrock Issuance Trust 2018-1 A | 2.095% (1 Mo. LIBOR + .33% | )# | 7/15/2024 | 8,533 | 8,536,400 | |||||||
Capital One Multi-Asset Execution Trust 2016-A7 | 2.275% (1 Mo. LIBOR + .51% | )# | 9/16/2024 | 13,141 | 13,218,983 | |||||||
Capital One Multi-Asset Execution Trust 2017-A1 | 2.00% | 1/17/2023 | 46,182 | 46,196,935 | ||||||||
Capital One Multi-Asset Execution Trust 2017-A4 | 1.99% | 7/17/2023 | 86,277 | 86,386,762 | ||||||||
Chase Issuance Trust 2018-A1 | 1.965% (1 Mo. LIBOR + .20% | )# | 4/17/2023 | 12,755 | 12,764,657 | |||||||
Citibank Credit Card Issuance Trust 2014-A1 | 2.88% | 1/23/2023 | 9,819 | 9,934,367 | ||||||||
Citibank Credit Card Issuance Trust 2017-A3 | 1.92% | 4/7/2022 | 65,640 | 65,641,050 | ||||||||
Discover Card Execution Note Trust 2015-A2 A | 1.90% | 10/17/2022 | 14,699 | 14,698,494 | ||||||||
Discover Card Execution Note Trust 2017-A1 | 2.255% (1 Mo. LIBOR + .49% | )# | 7/15/2024 | 47,116 | 47,377,744 | |||||||
Discover Card Execution Note Trust 2017-A6 | 1.88% | 2/15/2023 | 39,045 | 39,083,608 | ||||||||
First National Master Note Trust 2017-2 A | 2.205% (1 Mo. LIBOR + .44% | )# | 10/16/2023 | 3,500 | 3,505,069 | |||||||
First National Master Note Trust 2018-1 A | 2.225% (1 Mo. LIBOR + .46% | )# | 10/15/2024 | 32,938 | 32,924,446 | |||||||
Golden Credit Card Trust 2017-2A A† | 1.98% | 4/15/2022 | 23,339 | 23,337,121 |
See Notes to Financial Statements. | 399 |
Schedule of Investments (continued)
ULTRA SHORT BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Credit Cards (continued) | ||||||||||||
Golden Credit Card Trust 2019-1A A† | 2.215% (1 Mo. LIBOR + .45% | )# | 12/15/2022 | $ | 49,831 | $ | 49,994,266 | |||||
Gracechurch Card Funding plc 2018-1 A† | 2.165% (1 Mo. LIBOR + .40% | )# | 7/15/2022 | 19,202 | 19,180,165 | |||||||
Master Credit Card Trust 2019-1A A† | 2.202% (1 Mo. LIBOR + .48% | )# | 7/21/2022 | 34,629 | 34,694,532 | |||||||
Master Credit Card Trust II 2017-1A A† | 2.26% | 7/21/2021 | 53,055 | 53,069,208 | ||||||||
Master Credit Card Trust II 2017-1A B† | 2.56% | 7/21/2021 | 932 | 932,276 | ||||||||
Master Credit Card Trust II 2018-3A B† | 3.40% | 1/21/2022 | 9,053 | 9,114,691 | ||||||||
Synchrony Credit Card Master Note Trust 2015-1 A | 2.37% | 3/15/2023 | 31,270 | 31,297,386 | ||||||||
Synchrony Credit Card Master Note Trust 2015-1 B | 2.64% | 3/15/2023 | 30,707 | 30,725,191 | ||||||||
Synchrony Credit Card Master Note Trust 2015-4 A | 2.38% | 9/15/2023 | 26,086 | 26,170,592 | ||||||||
Synchrony Credit Card Master Note Trust 2018-1 C | 3.36% | 3/15/2024 | 15,400 | 15,517,610 | ||||||||
Trillium Credit Card Trust II 2019-2A A† | 3.038% | 1/26/2024 | 80,000 | 80,922,112 | ||||||||
World Financial Network Credit Card Master Trust 2015-B A | 2.55% | 6/17/2024 | 5,045 | 5,062,286 | ||||||||
World Financial Network Credit Card Master Trust 2017-C A | 2.31% | 8/15/2024 | 107,821 | 108,056,912 | ||||||||
World Financial Network Credit Card Master Trust 2018-A | 3.07% | 12/16/2024 | 30,616 | 30,980,958 | ||||||||
Total | 1,086,834,185 | |||||||||||
Other 4.00% | ||||||||||||
Access Point Funding I LLC 2017-A† | 3.06% | 4/15/2029 | 438 | 437,714 | ||||||||
Ally Master Owner Trust 2018-2 A | 3.29% | 5/15/2023 | 15,340 | 15,634,632 | ||||||||
Amur Equipment Finance Receivables VI LLC 2018-2A A2† | 3.89% | 7/20/2022 | 10,131 | 10,301,655 | ||||||||
Amur Equipment Finance Receivables VII LLC 2019-1A A2† | 2.63% | 6/20/2024 | 18,822 | 18,944,174 | ||||||||
Ascentium Equipment Receivables Trust 2017-1A A3† | 2.29% | 6/10/2021 | 4,539 | 4,542,927 | ||||||||
BMW Floorplan Master Owner Trust 2018-1 A1† | 3.15% | 5/15/2023 | 15,670 | 15,936,594 | ||||||||
CCG Receivables Trust 2018-1 A2† | 2.50% | 6/16/2025 | 1,052 | 1,053,930 | ||||||||
Conn’s Receivables Funding LLC 2018-A† | 3.25% | 1/15/2023 | 9,073 | 9,109,336 | ||||||||
Conn’s Receivables Funding LLC 2019-A† | 3.40% | 10/16/2023 | 28,153 | 28,380,723 | ||||||||
Conn’s Receivables Funding LLC 2019-B A† | 2.66% | 6/17/2024 | 25,343 | 25,375,262 | ||||||||
Dell Equipment Finance Trust 2018-1 A2A† | 2.97% | 10/22/2020 | 9,832 | 9,849,360 | ||||||||
DLL LLC 2018-1 A2† | 2.81% | 11/17/2020 | 1,371 | 1,371,380 | ||||||||
DLL LLC 2018-1 A3† | 3.10% | 4/18/2022 | 23,109 | 23,255,081 |
400 | See Notes to Financial Statements. |
Schedule of Investments (continued)
ULTRA SHORT BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
DLL LLC 2018-ST2 A2† | 3.14% | 10/20/2020 | $ | 10,358 | $ | 10,371,751 | ||||||
DLL LLC 2019-MT3 A2† | 2.13% | 1/20/2022 | 49,857 | 49,866,063 | ||||||||
DLL Securitization Trust 2017-A A3† | 2.14% | 12/15/2021 | 17,696 | 17,703,122 | ||||||||
Engs Commercial Finance Trust 2016-1A A2† | 2.63% | 2/22/2022 | 46 | 45,641 | ||||||||
Ford Credit Floorplan Master Owner Trust 2015-2 A1 | 1.98% | 1/15/2022 | 11,437 | 11,436,698 | ||||||||
Ford Credit Floorplan Master Owner Trust 2015-5 A1 | 2.42% | 8/15/2022 | 39,334 | 39,438,031 | ||||||||
Ford Credit Floorplan Master Owner Trust 2017-2 A1 | 2.16% | 9/15/2022 | 38,517 | 38,565,570 | ||||||||
Ford Credit Floorplan Master Owner Trust A 2017-1 A1 | 2.07% | 5/15/2022 | 72,938 | 72,949,692 | ||||||||
FREED ABS TRUST 2018-1 A† | 3.61% | 7/18/2024 | 4,518 | 4,540,357 | ||||||||
FREED ABS TRUST 2018-2 A† | 3.99% | 10/20/2025 | 9,434 | 9,504,362 | ||||||||
GMF Floorplan Owner Revolving Trust 2017-1 B† | 2.58% | 1/18/2022 | 22,234 | 22,239,512 | ||||||||
GMF Floorplan Owner Revolving Trust 2017-2 A1† | 2.13% | 7/15/2022 | 25,509 | 25,521,081 | ||||||||
GMF Floorplan Owner Revolving Trust 2018-1 A† | 2.065% (1 Mo. LIBOR + .30% | )# | 3/15/2022 | 27,768 | 27,775,531 | |||||||
Marlette Funding Trust 2018-3 A† | 3.20% | 9/15/2028 | 9,947 | 9,972,353 | ||||||||
Marlette Funding Trust 2018-4A A† | 3.71% | 12/15/2028 | 11,171 | 11,269,252 | ||||||||
Mercedes-Benz Master Owner Trust 2018-BA A† | 2.105% (1 Mo. LIBOR + .34% | )# | 5/15/2023 | 20,435 | 20,441,656 | |||||||
MMAF Equipment Finance LLC 2014-AA A4† | 1.59% | 2/8/2022 | 2,191 | 2,188,475 | ||||||||
Navient Private Education Refi Loan Trust 2019-A A1† | 3.03% | 1/15/2043 | 13,930 | 14,011,742 | ||||||||
Navistar Financial Dealer Note Master Owner Trust II 2018-1 A† | 2.338% (1 Mo. LIBOR + .63% | )# | 9/25/2023 | 33,008 | 33,053,211 | |||||||
NextGear Floorplan Master Owner Trust 2017-1A A2† | 2.54% | 4/18/2022 | 13,038 | 13,054,899 | ||||||||
NextGear Floorplan Master Owner Trust 2018-2A A1† | 2.365% (1 Mo. LIBOR + .60% | )# | 10/15/2023 | 14,116 | 14,148,436 | |||||||
Nissan Master Owner Trust Receivables 2017-B A | 2.195% (1 Mo. LIBOR + .43% | )# | 4/18/2022 | 45,559 | 45,593,962 | |||||||
OneMain Financial Issuance Trust 2016-1A A† | 3.66% | 2/20/2029 | 1,488 | 1,492,443 | ||||||||
PFS Financing Corp. 2017-D A† | 2.40% | 10/17/2022 | 13,043 | 13,072,075 | ||||||||
PFS Financing Corp. 2018-A A† | 2.165% (1 Mo. LIBOR + .40% | )# | 2/17/2022 | 26,700 | 26,690,930 | |||||||
PFS Financing Corp. 2018-A B† | 2.365% (1 Mo. LIBOR + .60% | )# | 2/17/2022 | 6,000 | 5,990,027 |
See Notes to Financial Statements. | 401 |
Schedule of Investments (continued)
ULTRA SHORT BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Other (continued) | ||||||||||||
SCF Equipment Leasing LLC 2018-1A A2† | 3.63% | 10/20/2024 | $ | 6,444 | $ | 6,529,869 | ||||||
SCF Equipment Leasing LLC 2019-1A A1† | 3.04% | 3/20/2023 | 13,788 | 13,833,655 | ||||||||
SCF Equipment Leasing LLC 2019-2A A1† | 2.22% | 6/20/2024 | 23,738 | 23,763,312 | ||||||||
SMB Private Education Loan Trust 2018-B A1† | 2.085% (1 Mo. LIBOR + .32% | )# | 12/16/2024 | 4,607 | 4,605,081 | |||||||
SoFi Consumer Loan Program LLC 2016-2A A† | 3.09% | 10/27/2025 | 667 | 669,542 | ||||||||
SoFi Professional Loan Program LLC 2017-C A2A† | 1.75% | 7/25/2040 | 78 | 78,221 | ||||||||
SoFi Professional Loan Program LLC 2017-E A2A† | 1.86% | 11/26/2040 | 824 | 822,943 | ||||||||
SoFi Professional Loan Program LLC 2017-F A1FX† | 2.05% | 1/25/2041 | 2,073 | 2,071,759 | ||||||||
SoFi Professional Loan Program LLC 2018-A A2A† | 2.39% | 2/25/2042 | 4,974 | 4,976,861 | ||||||||
SoFi Professional Loan Program Trust 2018-B A1FX† | 2.64% | 8/25/2047 | 7,105 | 7,115,285 | ||||||||
Springleaf Funding Trust 2016-AA A† | 2.90% | 11/15/2029 | 5,815 | 5,818,449 | ||||||||
Verizon Owner Trust 2017-1A B† | 2.45% | 9/20/2021 | 5,164 | 5,173,917 | ||||||||
Wells Fargo Dealer Floorplan Master Note Trust 2015-2 A | 2.374% (1 Mo. LIBOR + .65% | )# | 1/20/2022 | 39,621 | 39,633,298 | |||||||
Westgate Resorts LLC 2018-1A A† | 3.38% | 12/20/2031 | 2,410 | 2,438,379 | ||||||||
Total | 822,660,211 | |||||||||||
Total Asset-Backed Securities (cost $4,632,976,977) | 4,651,229,226 | |||||||||||
CORPORATE BONDS 45.05% | ||||||||||||
Aerospace/Defense 0.07% | ||||||||||||
L3Harris Technologies, Inc. | 2.416% (3 Mo. LIBOR + .48% | )# | 4/30/2020 | 12,323 | 12,330,343 | |||||||
United Technologies Corp. | 2.554% (3 Mo. LIBOR + .65% | )# | 8/16/2021 | 3,243 | 3,243,451 | |||||||
Total | 15,573,794 | |||||||||||
Automotive 5.66% | ||||||||||||
American Honda Finance Corp. | 2.488% (3 Mo. LIBOR + .35% | )# | 6/11/2021 | 22,992 | 23,060,263 | |||||||
American Honda Finance Corp. | 2.64% (3 Mo. LIBOR + .54% | )# | 6/27/2022 | 69,124 | 69,435,901 | |||||||
BMW Finance NV (Netherlands)†(b) | 2.691% (3 Mo. LIBOR + .79% | )# | 8/12/2022 | 45,887 | 46,231,300 | |||||||
BMW US Capital LLC† | 2.401% (3 Mo. LIBOR + .50% | )# | 8/13/2021 | 56,220 | 56,376,945 | |||||||
BMW US Capital LLC† | 2.411% (3 Mo. LIBOR + .41% | )# | 4/12/2021 | 77,657 | 77,801,175 | |||||||
BMW US Capital LLC† | 2.423% (3 Mo. LIBOR + .38% | )# | 4/6/2020 | 2,351 | 2,354,232 | |||||||
BMW US Capital LLC† | 2.531% (3 Mo. LIBOR + .53% | )# | 4/14/2022 | 48,940 | 49,039,352 | |||||||
BMW US Capital LLC† | 2.683% (3 Mo. LIBOR + .64 | )# | 4/6/2022 | 9,237 | 9,269,965 | |||||||
Daimler Finance North America LLC† | 2.292% (3 Mo. LIBOR + .39% | )# | 5/4/2020 | 33,492 | 33,524,763 |
402 | See Notes to Financial Statements. |
Schedule of Investments (continued)
ULTRA SHORT BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automotive (continued) | ||||||||||||
Daimler Finance North America LLC† | 2.331% (3 Mo. LIBOR + .43% | )# | 2/12/2021 | $ | 53,126 | $ | 53,146,325 | |||||
Daimler Finance North America LLC† | 2.349% (3 Mo. LIBOR + .45% | )# | 2/22/2021 | 7,754 | 7,762,234 | |||||||
Daimler Finance North America LLC† | 2.421% (3 Mo. LIBOR + .53% | )# | 5/5/2020 | 14,403 | 14,418,652 | |||||||
Daimler Finance North America LLC† | 2.452% (3 Mo. LIBOR + .55% | )# | 5/4/2021 | 10,073 | 10,088,904 | |||||||
Daimler Finance North America LLC† | 2.561% (3 Mo. LIBOR + .67% | )# | 11/5/2021 | 92,015 | 92,408,570 | |||||||
Daimler Finance North America LLC† | 2.673% (3 Mo. LIBOR + .63% | )# | 1/6/2020 | 34,835 | 34,857,149 | |||||||
Daimler Finance North America LLC† | 2.779% (3 Mo. LIBOR + .88% | )# | 2/22/2022 | 16,285 | 16,396,550 | |||||||
Daimler Finance North America LLC† | 2.81% (3 Mo. LIBOR + .90% | )# | 2/15/2022 | 60,036 | 60,461,774 | |||||||
Ford Motor Credit Co. LLC | 2.332% (3 Mo. LIBOR + .43% | )# | 11/2/2020 | 5,384 | 5,354,688 | |||||||
Ford Motor Credit Co. LLC | 2.853% (3 Mo. LIBOR + .81% | )# | 4/5/2021 | 14,800 | 14,726,723 | |||||||
Ford Motor Credit Co. LLC | 2.881% (3 Mo. LIBOR + .88% | )# | 10/12/2021 | 33,232 | 32,824,215 | |||||||
Ford Motor Credit Co. LLC | 3.012% (3 Mo. LIBOR + 1.00% | )# | 1/9/2020 | 39,494 | 39,524,680 | |||||||
General Motors Co. | 2.694% (3 Mo. LIBOR + .80% | )# | 8/7/2020 | 5,000 | 5,010,027 | |||||||
General Motors Financial Co., Inc. | 2.916% (3 Mo. LIBOR + .93% | )# | 4/13/2020 | 49,955 | 50,058,215 | |||||||
General Motors Financial Co., Inc. | 3.536% (3 Mo. LIBOR + 1.55% | )# | 1/14/2022 | 9,375 | 9,471,762 | |||||||
General Motors Financial Co., Inc. | 3.561% (3 Mo. LIBOR + 1.56% | )# | 1/15/2020 | 7,891 | 7,904,251 | |||||||
Harley-Davidson Financial Services, Inc.† | 2.395% (3 Mo. LIBOR + .50% | )# | 5/21/2020 | 19,633 | 19,644,653 | |||||||
Nissan Motor Acceptance Corp.† | 2.391% (3 Mo. LIBOR + .39% | )# | 7/13/2020 | 6,832 | 6,837,637 | |||||||
Nissan Motor Acceptance Corp.† | 2.494% (3 Mo. LIBOR + .39% | )# | 9/28/2020 | 21,120 | 21,126,875 | |||||||
Nissan Motor Acceptance Corp.† | 2.581% (3 Mo. LIBOR + .58% | )# | 1/13/2020 | 6,389 | 6,392,994 | |||||||
Nissan Motor Acceptance Corp.† | 2.639% (3 Mo. LIBOR + .52% | )# | 3/15/2021 | 32,286 | 32,304,974 | |||||||
Nissan Motor Acceptance Corp.† | 2.789% (3 Mo. LIBOR + .63% | )# | 9/21/2021 | 53,995 | 54,078,099 | |||||||
Nissan Motor Acceptance Corp.† | 2.891% (3 Mo. LIBOR + .89% | )# | 1/13/2022 | 17,979 | 18,063,300 |
See Notes to Financial Statements. | 403 |
Schedule of Investments (continued)
ULTRA SHORT BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Automotive (continued) | ||||||||||||
Toyota Motor Credit Corp. | 2.567% (3 Mo. LIBOR + .54% | )# | 1/8/2021 | $ | 23,434 | $ | 23,558,751 | |||||
Volkswagen Group of America Finance LLC† | 2.675% (3 Mo. LIBOR + .77% | )# | 11/13/2020 | 130,558 | 131,091,909 | |||||||
Volkswagen Group of America Finance LLC† | 2.841% 3 Mo. LIBOR + .94% | )# | 11/12/2021 | 3,115 | 3,141,152 | |||||||
Volkswagen Group of America Finance LLC† | 2.972% (3 Mo. LIBOR + .86 | )# | 9/24/2021 | 27,861 | 28,045,550 | |||||||
Total | 1,165,794,509 | |||||||||||
Banks: Regional 26.66% | ||||||||||||
ABN AMRO Bank NV (Netherlands)†(b) | 2.376% (3 Mo. LIBOR + .41% | )# | 1/19/2021 | 9,800 | 9,820,230 | |||||||
ABN AMRO Bank NV (Netherlands)†(b) | 2.489% (3 Mo. LIBOR + .57% | )# | 8/27/2021 | 28,480 | 28,598,110 | |||||||
Australia & New Zealand Banking Group Ltd. (Australia)†(b) | 2.221% (3 Mo. LIBOR + .32% | )# | 11/9/2020 | 9,405 | 9,422,957 | |||||||
Australia & New Zealand Banking Group Ltd. (Australia)†(b) | 2.364% (3 Mo. LIBOR + .46% | )# | 5/17/2021 | 11,750 | 11,796,233 | |||||||
Australia & New Zealand Banking Group Ltd. (Australia)†(b) | 2.385% (3 Mo. LIBOR + .49 | )# | 11/21/2022 | 22,988 | 23,049,689 | |||||||
Bank of America Corp. | 2.626% (3 Mo. LIBOR + .66% | )# | 7/21/2021 | 203,989 | 204,593,356 | |||||||
Bank of America Corp. | 2.749% (3 Mo. LIBOR + .65% | )# | 10/1/2021 | 68,188 | 68,446,670 | |||||||
Bank of America NA | 2.256% (3 Mo. LIBOR + .32% | )# | 7/26/2021 | 78,101 | 78,151,238 | |||||||
Bank of America NA | 2.26% (3 Mo. LIBOR + .35% | )# | 5/24/2021 | 130,473 | 130,571,900 | |||||||
Bank of Montreal (Canada)(b) | 2.353% (3 Mo. LIBOR + .40% | )# | 1/22/2021 | 47,041 | 47,157,035 | |||||||
Bank of Montreal (Canada)(b) | 2.534% (3 Mo. LIBOR + .40 | )# | 9/10/2021 | 45,993 | 46,111,182 | |||||||
Bank of New York Mellon (The) | 2.413% (3 Mo. LIBOR + .28% | )# | 6/4/2021 | 45,966 | 46,019,857 | |||||||
Bank of Nova Scotia (The) (Canada)(b) | 2.391% (3 Mo. LIBOR + .39% | )# | 7/14/2020 | 31,350 | 31,420,282 | |||||||
Bank of Nova Scotia (The) (Canada)(b) | 2.406% (3 Mo. LIBOR + .44% | )# | 4/20/2021 | 28,611 | 28,721,645 | |||||||
BB&T Corp. | 2.689% (3 Mo. LIBOR + .57% | )# | 6/15/2020 | 31,283 | 31,364,011 | |||||||
BB&T Corp. | 2.716% (3 Mo. LIBOR + .72% | )# | 1/15/2020 | 8,685 | 8,687,346 | |||||||
BBVA USA | 2.868% (3 Mo. LIBOR + .73% | )# | 6/11/2021 | 35,630 | 35,696,960 | |||||||
BNP Paribas SA (France)†(b) | 2.284% (3 Mo. LIBOR + .39% | )# | 8/7/2021 | 45,926 | 46,022,402 | |||||||
Branch Banking & Trust Co. | 2.127% (3 Mo. LIBOR + .22% | )# | 6/1/2020 | 10,000 | 10,005,974 | |||||||
Canadian Imperial Bank of Commerce (Canada)(b) | 2.217% (3 Mo. LIBOR + .32% | )# | 2/2/2021 | 1,130 | 1,131,933 |
404 | See Notes to Financial Statements. |
Schedule of Investments (continued)
ULTRA SHORT BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Canadian Imperial Bank of Commerce (Canada)(b) | 2.353% (3 Mo. LIBOR + .31% | )# | 10/5/2020 | $ | 37,856 | $ | 37,945,482 | |||||
Citibank NA | 2.266% (3 Mo. LIBOR + .30% | )# | 10/20/2020 | 10,750 | 10,767,690 | |||||||
Citibank NA | 2.433% (3 Mo. LIBOR + .53% | )# | 2/19/2022 | 70,177 | 70,362,920 | |||||||
Citibank NA | 2.499% (3 Mo. LIBOR + .60% | )# | 5/20/2022 | 45,174 | 45,332,593 | |||||||
Citibank NA | 2.504% (3 Mo. LIBOR + .57% | )# | 7/23/2021 | 63,154 | 63,502,575 | |||||||
Citibank NA | 2.632% (3 Mo. LIBOR + .50% | )# | 6/12/2020 | 3,045 | 3,052,612 | |||||||
Citigroup, Inc. | 2.80% (3 Mo. LIBOR + .79% | )# | 1/10/2020 | 194,785 | 194,807,443 | |||||||
Citigroup, Inc. | 3.092% (3 Mo. LIBOR + 1.19% | )# | 8/2/2021 | 19,884 | 20,179,535 | |||||||
Citigroup, Inc. | 3.172% (3 Mo. LIBOR + 1.07% | )# | 12/8/2021 | 2,264 | 2,297,249 | |||||||
Citigroup, Inc. | 3.246% (3 Mo. LIBOR + 1.31% | )# | 10/26/2020 | 14,314 | 14,463,393 | |||||||
Citigroup, Inc. | 3.484% (3 Mo. LIBOR + 1.38% | )# | 3/30/2021 | 52,653 | 53,420,668 | |||||||
Citizens Bank NA/Providence RI | 2.447% (3 Mo. LIBOR + .54% | )# | 3/2/2020 | 12,516 | 12,525,667 | |||||||
Citizens Bank NA/Providence RI | 2.487% (3 Mo. LIBOR + .57% | )# | 5/26/2020 | 2,000 | 2,004,200 | |||||||
Citizens Bank NA/Providence RI | 2.629% (3 Mo. LIBOR + .72% | )# | 2/14/2022 | 32,248 | 32,426,181 | |||||||
Citizens Bank NA/Providence RI | 2.727% (3 Mo. LIBOR + .81% | )# | 5/26/2022 | 2,778 | 2,801,041 | |||||||
Commonwealth Bank of Australia (Australia)†(b) | 2.545% (3 Mo. LIBOR + .40% | )# | 9/18/2020 | 7,000 | 7,017,303 | |||||||
Credit Agricole Corporate & Investment Bank SA (France)(b) | 2.714% (3 Mo. LIBOR + .63% | )# | 10/3/2021 | 32,902 | 32,999,130 | |||||||
Danske Bank A/S (Denmark)†(b) | 2.417% (3 Mo. LIBOR + .51% | )# | 3/2/2020 | 3,000 | 3,001,852 | |||||||
Danske Bank A/S (Denmark)(b) | 2.417% (3 Mo. LIBOR + .51% | )# | 3/2/2020 | 14,404 | 14,412,891 | |||||||
DNB Bank ASA (Norway)†(b) | 2.527% (3 Mo. LIBOR + .62 | )# | 12/2/2022 | 45,731 | 45,878,689 | |||||||
Federation des Caisses Desjardins du Quebec (Canada)†(b) | 2.266% (3 Mo. LIBOR + .33% | )# | 10/30/2020 | 19,378 | 19,415,048 | |||||||
Fifth Third Bank | 2.376% (3 Mo. LIBOR + .44% | )# | 7/26/2021 | 25,887 | 25,992,260 | |||||||
Goldman Sachs Group, Inc. (The) | 2.707% (3 Mo. LIBOR + .78 | )# | 10/31/2022 | 55,263 | 55,639,023 | |||||||
Goldman Sachs Group, Inc. (The) | 2.83% (3 Mo. LIBOR + .73% | )# | 12/27/2020 | 29,906 | 29,925,952 | |||||||
Goldman Sachs Group, Inc. (The) | 2.927% (3 Mo. LIBOR + .80% | )# | 12/13/2019 | 58,343 | 58,357,387 |
See Notes to Financial Statements. | 405 |
Schedule of Investments (continued)
ULTRA SHORT BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Goldman Sachs Group, Inc. (The) | 3.046% (3 Mo. LIBOR + 1.11% | )# | 4/26/2022 | $ | 109,330 | $ | 110,522,094 | |||||
Goldman Sachs Group, Inc. (The) | 3.094% (3 Mo. LIBOR + 1.16% | )# | 4/23/2020 | 245,872 | 246,688,403 | |||||||
Goldman Sachs Group, Inc. (The) | 3.30% (3 Mo. LIBOR + 1.36% | )# | 4/23/2021 | 36,110 | 36,635,983 | |||||||
Goldman Sachs Group, Inc. (The) | 3.68% (3 Mo. LIBOR + 1.77% | )# | 2/25/2021 | 18,443 | 18,781,491 | |||||||
HSBC Holdings plc (United Kingdom)(b) | 2.504% (3 Mo. LIBOR + .60% | )# | 5/18/2021 | 60,010 | 60,088,667 | |||||||
HSBC Holdings plc (United Kingdom)(b) | 2.782% (3 Mo. LIBOR + .65% | )# | 9/11/2021 | 70,500 | 70,707,376 | |||||||
HSBC Holdings plc (United Kingdom)(b) | 3.57% (3 Mo. LIBOR + 1.66% | )# | 5/25/2021 | 1,200 | 1,222,254 | |||||||
Huntington National Bank (The) | 2.441% (3 Mo. LIBOR + .55% | )# | 2/5/2021 | 47,000 | 47,188,671 | |||||||
Huntington National Bank (The) | 2.644% (3 Mo. LIBOR + .51% | )# | 3/10/2020 | 30,421 | 30,459,780 | |||||||
ING Bank NV (Netherlands)†(b) | 2.874% (3 Mo. LIBOR + .97% | )# | 8/17/2020 | 1,700 | 1,710,567 | |||||||
ING Groep NV (Netherlands)(b) | 3.254% (3 Mo. LIBOR + 1.15 | )# | 3/29/2022 | 30,425 | 30,813,266 | |||||||
JPMorgan Chase & Co. | 2.587% (3 Mo. LIBOR + .68% | )# | 6/1/2021 | 140,134 | 140,435,254 | |||||||
JPMorgan Chase & Co. | 2.652% (3 Mo. LIBOR + .55% | )# | 3/9/2021 | 165,747 | 165,963,764 | |||||||
JPMorgan Chase & Co. | 3.387% (3 Mo. LIBOR + 1.48% | )# | 3/1/2021 | 55,106 | 55,919,462 | |||||||
JPMorgan Chase Bank NA | 2.273% (3 Mo. LIBOR + .37% | )# | 2/19/2021 | 93,584 | 93,639,487 | |||||||
JPMorgan Chase Bank NA | 2.276% (3 Mo. LIBOR + .34% | )# | 4/26/2021 | 24,750 | 24,769,427 | |||||||
KeyBank NA | 2.569% (3 Mo. LIBOR + .66% | )# | 2/1/2022 | 62,787 | 63,242,190 | |||||||
KeyBank NA | 2.709% (3 Mo. LIBOR + .81% | )# | 11/22/2021 | 4,428 | 4,473,930 | |||||||
Lloyds Bank plc (United Kingdom)(b) | 2.384% (3 Mo. LIBOR + .49% | )# | 5/7/2021 | 19,757 | 19,795,627 | |||||||
Lloyds Banking Group plc (United Kingdom)(b) | 2.959% (3 Mo. LIBOR + .80% | )# | 6/21/2021 | 9,492 | 9,552,866 | |||||||
Macquarie Bank Ltd. (Australia)†(b) | 2.357% (3 Mo. LIBOR + .45 | )# | 11/24/2021 | 91,604 | 91,630,597 | |||||||
Macquarie Bank Ltd. (Australia)†(b) | 2.358% (3 Mo. LIBOR + .45% | )# | 8/6/2021 | 68,896 | 68,977,514 | |||||||
Manufacturers & Traders Trust Co. | 2.21% (3 Mo. LIBOR + .27% | )# | 1/25/2021 | 17,447 | 17,462,115 | |||||||
Manufacturers & Traders Trust Co. | 2.547% (3 Mo. LIBOR + .64% | )# | 12/1/2021 | 35,540 | 35,579,170 |
406 | See Notes to Financial Statements. |
Schedule of Investments (continued)
ULTRA SHORT BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Manufacturers & Traders Trust Co. | 2.906% (1 Mo. LIBOR + 1.22% | )# | 12/28/2020 | $ | 40,097 | $ | 40,121,458 | |||||
Mitsubishi UFJ Financial Group, Inc. (Japan)(b) | 2.586% (3 Mo. LIBOR + .65% | )# | 7/26/2021 | 19,196 | 19,294,201 | |||||||
Morgan Stanley | 2.451% (3 Mo. LIBOR + .55% | )# | 2/10/2021 | 288,581 | 288,811,579 | |||||||
Morgan Stanley | 2.883% (3 Mo. LIBOR + .93% | )# | 7/22/2022 | 29,866 | 30,144,164 | |||||||
Morgan Stanley | 3.076% (3 Mo. LIBOR + 1.14% | )# | 1/27/2020 | 15,105 | 15,127,413 | |||||||
Morgan Stanley | 3.099% (3 Mo. LIBOR + .98% | )# | 6/16/2020 | 17,995 | 18,076,827 | |||||||
Morgan Stanley | 3.146% (3 Mo. LIBOR + 1.18% | )# | 1/20/2022 | 201,404 | 203,534,778 | |||||||
Morgan Stanley | 3.366% (3 Mo. LIBOR + 1.40% | )# | 4/21/2021 | 6,937 | 7,045,711 | |||||||
MUFG Union Bank NA | 2.702% (3 Mo. LIBOR + .60% | )# | 3/7/2022 | 46,977 | 47,069,303 | |||||||
National Australia Bank Ltd. (Australia)†(b) | 2.351% (3 Mo. LIBOR + .35% | )# | 1/12/2021 | 51,851 | 51,924,543 | |||||||
National Australia Bank Ltd. (Australia)†(b) | 2.736% (3 Mo. LIBOR + .58% | )# | 9/20/2021 | 4,611 | 4,640,046 | |||||||
PNC Bank NA | 2.203% (3 Mo. LIBOR + .25% | )# | 1/22/2021 | 3,500 | 3,509,049 | |||||||
PNC Bank NA | 2.403% (3 Mo. LIBOR + .45% | )# | 7/22/2022 | 87,342 | 87,499,650 | |||||||
PNC Bank NA | 2.444% (3 Mo. LIBOR + .31% | )# | 6/10/2021 | 45,977 | 46,023,518 | |||||||
PNC Bank NA | 2.482% (3 Mo. LIBOR + .35% | )# | 3/12/2021 | 70,467 | 70,535,183 | |||||||
Regions Bank/Birmingham AL | 2.405% (3 Mo. LIBOR + .50% | )# | 8/13/2021 | 52,991 | 53,014,024 | |||||||
Regions Bank/Birmingham AL | 2.479% (3 Mo. LIBOR + .38% | )# | 4/1/2021 | 17,288 | 17,304,047 | |||||||
Royal Bank of Canada (Canada)(b) | 2.176% (3 Mo. LIBOR + .24% | )# | 10/26/2020 | 2,822 | 2,826,879 | |||||||
Royal Bank of Canada (Canada)(b) | 2.34% (3 Mo. LIBOR + .40% | )# | 1/25/2021 | 70,329 | 70,520,584 | |||||||
Royal Bank of Canada (Canada)(b) | 2.377% (3 Mo. LIBOR + .35% | )# | 7/8/2021 | 46,102 | 46,192,236 | |||||||
Royal Bank of Canada (Canada)(b) | 2.398% (3 Mo. LIBOR + .47% | )# | 4/29/2022 | 23,500 | 23,577,890 | |||||||
Santander UK plc (United Kingdom)(b) | 2.527% (3 Mo. LIBOR + .62% | )# | 6/1/2021 | 14,250 | 14,308,017 | |||||||
Santander UK plc (United Kingdom)(b) | 2.202% (3 Mo. LIBOR + .30% | )# | 11/3/2020 | 10,000 | 10,008,362 | |||||||
Standard Chartered PLC (United Kingdom)†(b) | 3.334% (3 Mo. LIBOR + 1.20 | )# | 9/10/2022 | 27,596 | 27,810,835 | |||||||
Sumitomo Mitsui Banking Corp. (Japan)(b) | 2.371% (3 Mo. LIBOR + .37% | )# | 10/16/2020 | 47,074 | 47,195,629 | |||||||
SunTrust Bank | 2.436% (3 Mo. LIBOR + .50% | )# | 10/26/2021 | 14,608 | 14,632,162 | |||||||
SunTrust Bank | 2.494% (3 Mo. LIBOR + .59% | )# | 5/17/2022 | 57,542 | 57,831,467 |
See Notes to Financial Statements. | 407 |
Schedule of Investments (continued)
ULTRA SHORT BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Banks: Regional (continued) | ||||||||||||
Toronto-Dominion Bank (The) (Canada)(b) | 2.18% (3 Mo. LIBOR + .24% | )# | 1/25/2021 | $ | 15,549 | $ | 15,569,773 | |||||
Toronto-Dominion Bank (The) (Canada)(b) | 2.399% (3 Mo. LIBOR + .26% | )# | 9/17/2020 | 29,054 | 29,104,435 | |||||||
Toronto-Dominion Bank (The) (Canada)(b) | 2.409% (3 Mo. LIBOR + .27 | )# | 3/17/2021 | 91,813 | 91,940,720 | |||||||
Toronto-Dominion Bank (The) (Canada)(b) | 2.437% (3 Mo. LIBOR + .53 | )# | 12/1/2022 | 46,038 | 46,185,419 | |||||||
Toronto-Dominion Bank (The) (Canada)(b) | 2.70% (3 Mo. LIBOR + .30% | )# | 7/30/2021 | 64,287 | 64,131,155 | |||||||
Toronto-Dominion Bank (The) (Canada)(b) | 3.049% (3 Mo. LIBOR + .93% | )# | 12/14/2020 | 32,917 | 33,191,644 | |||||||
UBS AG (United Kingdom)†(b) | 2.387% (3 Mo. LIBOR + .48% | )# | 12/1/2020 | 34,139 | 34,231,517 | |||||||
UBS AG (United Kingdom)†(b) | 2.682% (3 Mo. LIBOR + .58% | )# | 6/8/2020 | 22,190 | 22,239,364 | |||||||
UBS Group AG (Switzerland)†(b) | 3.439% (3 Mo. LIBOR + 1.53 | )# | 2/1/2022 | 27,670 | 28,320,957 | |||||||
UBS Group AG (Switzerland)†(b) | 3.575% (3 Mo. LIBOR + 1.44% | )# | 9/24/2020 | 4,687 | 4,738,107 | |||||||
US Bank NA/Cincinnati OH | 2.185% (3 Mo. LIBOR + .29% | )# | 5/21/2021 | 24,000 | 24,009,581 | |||||||
Wells Fargo & Co. | 2.616% (3 Mo. LIBOR + .68% | )# | 1/30/2020 | 73,561 | 73,646,092 | |||||||
Wells Fargo & Co. | 2.831% (3 Mo. LIBOR + .93% | )# | 2/11/2022 | 149,618 | 150,707,078 | |||||||
Wells Fargo & Co. | 2.833% (3 Mo. LIBOR + .88% | )# | 7/22/2020 | 143,936 | 144,656,388 | |||||||
Wells Fargo & Co. | 3.473% (3 Mo. LIBOR + 1.34% | )# | 3/4/2021 | 28,181 | 28,567,339 | |||||||
Wells Fargo Bank NA | 2.311% (3 Mo. LIBOR + .31% | )# | 1/15/2021 | 2,340 | 2,345,102 | |||||||
Wells Fargo Bank NA | 2.434% (3 Mo. LIBOR + .50% | )# | 7/23/2021 | 84,066 | 84,218,307 | |||||||
Wells Fargo Bank NA | 2.463% (3 Mo. LIBOR + .51% | )# | 10/22/2021 | 37,974 | 38,116,555 | |||||||
Wells Fargo Bank NA | 2.539% (3 Mo. LIBOR + .62 | )# | 5/27/2022 | 5,693 | 5,718,730 | |||||||
Wells Fargo Bank NA | 2.798% (3 Mo. LIBOR + .66 | )# | 9/9/2022 | 45,775 | 45,994,550 | |||||||
Total | 5,487,790,117 | |||||||||||
Beverages 0.31% | ||||||||||||
Constellation Brands, Inc. | 2.61% (3 Mo. LIBOR + .70% | )# | 11/15/2021 | 63,019 | 63,020,567 | |||||||
Building Materials 0.69% | ||||||||||||
Martin Marietta Materials, Inc. | 2.549% (3 Mo. LIBOR + .65% | )# | 5/22/2020 | 45,836 | 45,900,893 | |||||||
Martin Marietta Materials, Inc. | 2.656% (3 Mo. LIBOR + .50% | )# | 12/20/2019 | 39,088 | 39,091,209 |
408 | See Notes to Financial Statements. |
Schedule of Investments (continued)
ULTRA SHORT BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Building Materials (continued) | ||||||||||||
Vulcan Materials Co. | 2.557% (3 Mo. LIBOR + .65% | )# | 3/1/2021 | $ | 39,636 | $ | 39,754,062 | |||||
Vulcan Materials Co. | 2.719% (3 Mo. LIBOR + .60% | )# | 6/15/2020 | 16,724 | 16,749,015 | |||||||
Total | 141,495,179 | |||||||||||
Chemicals 0.18% | ||||||||||||
Albemarle Corp.† | 2.941% (3 Mo. LIBOR + 1.5 | )# | 11/15/2022 | 18,321 | 18,333,192 | |||||||
DuPont de Nemours, Inc. | 2.62% (3 Mo. LIBOR + .71% | )# | 11/15/2020 | 18,771 | 18,861,004 | |||||||
Total | 37,194,196 | |||||||||||
Computer Hardware 0.16% | ||||||||||||
International Business Machines Corp. | 2.305% (3 Mo. LIBOR + .40% | )# | 5/13/2021 | 32,322 | 32,457,894 | |||||||
Drugs 1.68% | ||||||||||||
AbbVie, Inc.† | 2.245% (3 Mo. LIBOR + .35 | )# | 5/21/2021 | 55,064 | 55,123,793 | |||||||
AbbVie, Inc.† | 2.355% (3 Mo. LIBOR + .46 | )# | 11/19/2021 | 62,175 | 62,300,647 | |||||||
AbbVie, Inc.† | 2.545% (3 Mo. LIBOR + .65 | )# | 11/21/2022 | 44,300 | 44,480,295 | |||||||
Bayer US Finance II LLC† | 2.736% (3 Mo. LIBOR + .63% | )# | 6/25/2021 | 9,468 | 9,499,692 | |||||||
Bristol-Myers Squibb Co.† | 2.104% (3 Mo. LIBOR + .20% | )# | 11/16/2020 | 13,868 | 13,878,731 | |||||||
Cigna Corp. | 2.489% (3 Mo. LIBOR + .35% | )# | 3/17/2020 | 74,717 | 74,760,811 | |||||||
Cigna Corp. | 2.789% (3 Mo. LIBOR + .65% | )# | 9/17/2021 | 68,124 | 68,139,578 | |||||||
CVS Health Corp. | 2.732% (3 Mo. LIBOR + .63% | )# | 3/9/2020 | 3,622 | 3,627,272 | |||||||
CVS Health Corp. | 2.822% (3 Mo. LIBOR + .72% | )# | 3/9/2021 | 3,375 | 3,391,772 | |||||||
Express Scripts Holding Co. | 2.664% (3 Mo. LIBOR + .75% | )# | 11/30/2020 | 10,304 | 10,305,533 | |||||||
Total | 345,508,124 | |||||||||||
Electric: Power 1.13% | ||||||||||||
Florida Power & Light Co. | 2.308% (3 Mo. LIBOR + .40% | )# | 5/6/2022 | 101,372 | 101,375,125 | |||||||
Mississippi Power Co. | 2.75% (3 Mo. LIBOR + .65% | )# | 3/27/2020 | 2,488 | 2,488,941 | |||||||
NextEra Energy Capital Holdings, Inc. | 2.464% (3 Mo. LIBOR + .55% | )# | 8/28/2021 | 47,466 | 47,480,002 | |||||||
Sempra Energy | 2.501% (3 Mo. LIBOR + .50% | )# | 1/15/2021 | 35,585 | 35,586,639 | |||||||
Southern Power Co.† | 2.706% (3 Mo. LIBOR + .55% | )# | 12/20/2020 | 45,750 | 45,762,679 | |||||||
Total | 232,693,386 | |||||||||||
Electrical Equipment 0.05% | ||||||||||||
QUALCOMM, Inc. | 2.449% (3 Mo. LIBOR + .55% | )# | 5/20/2020 | 9,589 | 9,601,438 | |||||||
Electronics 0.32% | ||||||||||||
Honeywell International, Inc. | 2.274% (3 Mo. LIBOR + .37% | )# | 8/8/2022 | 36,733 | 36,894,815 |
See Notes to Financial Statements. | 409 |
Schedule of Investments (continued)
ULTRA SHORT BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electronics (continued) | ||||||||||||
Tyco Electronics Group SA (Luxembourg)(b) | 2.577% (3 Mo. LIBOR + .45% | )# | 6/5/2020 | $ | 28,184 | $ | 28,221,301 | |||||
Total | 65,116,116 | |||||||||||
Financial Services 0.76% | ||||||||||||
AIG Global Funding† | 2.603% (3 Mo. LIBOR + .65% | )# | 1/22/2021 | 32,931 | 33,044,417 | |||||||
American Express Co. | 2.266% (3 Mo. LIBOR + .33% | )# | 10/30/2020 | 4,702 | 4,711,086 | |||||||
American Express Co. | 2.491% (3 Mo. LIBOR + .60% | )# | 11/5/2021 | 23,482 | 23,624,857 | |||||||
American Express Co. | 2.519% (3 Mo. LIBOR + .62% | )# | 5/20/2022 | 45,206 | 45,487,308 | |||||||
American Express Credit Corp. | 3.169% (3 Mo. LIBOR + 1.05% | )# | 9/14/2020 | 9,379 | 9,443,652 | |||||||
Capital One Financial Corp. | 2.661% (3 Mo. LIBOR + .76% | )# | 5/12/2020 | 10,205 | 10,228,330 | |||||||
GE Capital International Funding Co. Unlimited Co. (Ireland)(b) | 2.342% | 11/15/2020 | 5,885 | 5,880,403 | ||||||||
TD Ameritrade Holding Corp. | 2.339% (3 Mo. LIBOR + .43% | )# | 11/1/2021 | 23,482 | 23,544,932 | |||||||
Total | 155,964,985 | |||||||||||
Food 0.47% | ||||||||||||
Campbell Soup Co. | 2.619% (3 Mo. LIBOR + .50% | )# | 3/16/2020 | 30,325 | 30,340,504 | |||||||
Conagra Brands, Inc. | 2.512% (3 Mo. LIBOR + .50% | )# | 10/9/2020 | 10,045 | 10,059,383 | |||||||
Conagra Brands, Inc. | 2.703% (3 Mo. LIBOR + .75% | )# | 10/22/2020 | 32,968 | 32,971,818 | |||||||
General Mills, Inc. | 2.541% (3 Mo. LIBOR + .54% | )# | 4/16/2021 | 23,084 | 23,163,422 | |||||||
Total | 96,535,127 | |||||||||||
Health Care Products 0.41% | ||||||||||||
Becton Dickinson & Co. | 2.979% (3 Mo. LIBOR + .88% | )# | 12/29/2020 | 9,293 | 9,298,917 | |||||||
Becton Dickinson and Co. | 3.142% (3 Mo. LIBOR + 1.03 | )# | 6/6/2022 | 5,971 | 6,033,512 | |||||||
Zimmer Biomet Holdings, Inc. | 2.914% (3 Mo. LIBOR + .75% | )# | 3/19/2021 | 69,115 | 69,128,347 | |||||||
Total | 84,460,776 | |||||||||||
Insurance 1.96% | ||||||||||||
Assurant, Inc. | 3.363% (3 Mo. LIBOR + 1.25% | )# | 3/26/2021 | 1,657 | 1,657,153 | |||||||
Jackson National Life Global Funding† | 2.301% (3 Mo. LIBOR + .30% | )# | 10/15/2020 | 78,156 | 78,256,583 | |||||||
Jackson National Life Global Funding† | 2.429% (3 Mo. LIBOR + .31% | )# | 3/16/2021 | 46,734 | 46,798,973 | |||||||
Jackson National Life Global Funding† | 2.618% (3 Mo. LIBOR + .48% | )# | 6/11/2021 | 2,388 | 2,396,737 | |||||||
Marsh & McLennan Cos, Inc. | 3.304% (3 Mo. LIBOR + 1.20% | )# | 12/29/2021 | 28,125 | 28,141,659 |
410 | See Notes to Financial Statements. |
Schedule of Investments (continued)
ULTRA SHORT BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Insurance (continued) | ||||||||||||
Metropolitan Life Global Funding I† | 2.257% (3 Mo. LIBOR + .23% | )# | 1/8/2021 | $ | 77,190 | $ | 77,254,260 | |||||
New York Life Global Funding† | 2.228% (3 Mo. LIBOR + .32% | )# | 8/6/2021 | 28,524 | 28,612,583 | |||||||
New York Life Global Funding† | 2.441% (3 Mo. LIBOR + .44% | )# | 7/12/2022 | 36,787 | 36,891,527 | |||||||
Principal Life Global Funding II† | 2.381% (3 Mo. LIBOR + .40 | )# | 10/6/2021 | 69,057 | 69,741,894 | |||||||
Protective Life Global Funding† | 2.624% (3 Mo. LIBOR + .52% | )# | 6/28/2021 | 33,345 | 33,491,628 | |||||||
Total | 403,242,997 | |||||||||||
Leasing 0.12% | ||||||||||||
Aviation Capital Group LLC† | 2.606% (3 Mo. LIBOR + .67% | )# | 7/30/2021 | 9,570 | 9,553,929 | |||||||
Aviation Capital Group LLC† | 2.857% (3 Mo. LIBOR + .95 | )# | 6/1/2021 | 9,600 | 9,631,239 | |||||||
GATX Corp. | 2.611% (3 Mo. LIBOR + .72 | )# | 11/5/2021 | 4,952 | 4,971,041 | |||||||
Total | 24,156,209 | |||||||||||
Lodging 0.23% | ||||||||||||
Marriott International, Inc. | 2.507% (3 Mo. LIBOR + .60% | )# | 12/1/2020 | 46,980 | 47,177,543 | |||||||
Machinery: Agricultural 0.45% | ||||||||||||
BAT Capital Corp. | 2.499% (3 Mo. LIBOR + .59% | )# | 8/14/2020 | 10,231 | 10,253,311 | |||||||
BAT Capital Corp. | 2.79% (3 Mo. LIBOR + .88% | )# | 8/15/2022 | 81,609 | 82,039,492 | |||||||
Total | 92,292,803 | |||||||||||
Machinery: Industrial/Specialty 0.26% | ||||||||||||
John Deere Capital Corp. | 2.502% (3 Mo. LIBOR + .40% | )# | 6/7/2021 | 18,421 | 18,489,455 | |||||||
John Deere Capital Corp. | 2.622% (3 Mo. LIBOR + .49 | )# | 6/13/2022 | 22,951 | 23,048,656 | |||||||
Westinghouse Air Brake Technologies Corp. | 3.419% (3 Mo. LIBOR + 1.30% | )# | 9/15/2021 | 11,255 | 11,257,062 | |||||||
Total | 52,795,173 | |||||||||||
Machinery: Oil Well Equipment & Services 0.45% | ||||||||||||
Caterpillar Financial Services Corp. | 2.294% (3 Mo. LIBOR + .39% | )# | 5/17/2021 | 46,220 | 46,337,960 | |||||||
Caterpillar Financial Services Corp. | 2.412% (3 Mo. LIBOR + .30 | )# | 3/8/2021 | 45,874 | 45,938,304 | |||||||
Total | 92,276,264 | |||||||||||
Manufacturing 0.50% | ||||||||||||
General Electric Co. | 2.514% (3 Mo. LIBOR + .41% | )# | 3/28/2020 | 14,608 | 14,581,998 | |||||||
General Electric Co. | 2.632% (3 Mo. LIBOR + .62% | )# | 1/9/2020 | 60,583 | 60,586,669 | |||||||
General Electric Co. | 2.801% (3 Mo. LIBOR + .80% | )# | 4/15/2020 | 12,627 | 12,645,095 |
See Notes to Financial Statements. | 411 |
Schedule of Investments (continued)
ULTRA SHORT BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Manufacturing (continued) | ||||||||||||
Textron, Inc. | 2.451% (3 Mo. LIBOR + .55% | )# | 11/10/2020 | $ | 15,450 | $ | 15,450,282 | |||||
Total | 103,264,044 | |||||||||||
Media 0.74% | ||||||||||||
Comcast Corp. | 2.429% (3 Mo. LIBOR + .33% | )# | 10/1/2020 | 22,980 | 23,032,100 | |||||||
Comcast Corp. | 2.539% (3 Mo. LIBOR + .44% | )# | 10/1/2021 | 11,357 | 11,415,267 | |||||||
NBCUniversal Enterprise, Inc.† | 2.499% (3 Mo. LIBOR + .40% | )# | 4/1/2021 | 84,826 | 85,146,980 | |||||||
Walt Disney Co. (The) | 2.157% (3 Mo. LIBOR + .25 | )# | 9/1/2021 | 13,762 | 13,801,415 | |||||||
Walt Disney Co. (The) | 2.297% (3 Mo. LIBOR + .39 | )# | 9/1/2022 | 18,349 | 18,461,974 | |||||||
Total | 151,857,736 | |||||||||||
Natural Gas 0.39% | ||||||||||||
Dominion Energy Gas Holdings LLC | 2.719% (3 Mo. LIBOR + .60% | )# | 6/15/2021 | 52,836 | 53,057,163 | |||||||
WGL Holdings, Inc. | 2.682% (3 Mo. LIBOR + .55% | )# | 3/12/2020 | 28,459 | 28,441,215 | |||||||
Total | 81,498,378 | |||||||||||
Oil 0.28% | ||||||||||||
BP Capital Markets plc (United Kingdom)(b) | 2.16% (3 Mo. LIBOR + .25% | )# | 11/24/2020 | 27,845 | 27,889,845 | |||||||
Phillips 66 | 2.517% (3 Mo. LIBOR + .60% | )# | 2/26/2021 | 17,524 | 17,524,181 | |||||||
Phillips 66† | 2.751% (3 Mo. LIBOR + .75% | )# | 4/15/2020 | 12,957 | 12,961,578 | |||||||
Total | 58,375,604 | |||||||||||
Oil: Crude Producers 0.09% | ||||||||||||
MPLX LP | 3.002% (3 Mo. LIBOR + .90 | )# | 9/9/2021 | 18,346 | 18,410,315 | |||||||
Real Estate Investment Trusts 0.10% | ||||||||||||
AvalonBay Communities, Inc. | 2.431% (3 Mo. LIBOR + .43% | )# | 1/15/2021 | 4,787 | 4,788,400 | |||||||
SL Green Operating Partnership LP | 2.884% (3 Mo. LIBOR + .98% | )# | 8/16/2021 | 16,698 | 16,699,920 | |||||||
Total | 21,488,320 | |||||||||||
Retail 0.70% | ||||||||||||
Dollar Tree, Inc. | 2.702% (3 Mo. LIBOR + .70% | )# | 4/17/2020 | 143,596 | 143,613,523 | |||||||
Telecommunications 0.23% | ||||||||||||
AT&T Inc | 2.651% (3 Mo. LIBOR + .65% | )# | 1/15/2020 | 3,967 | 3,970,692 | |||||||
AT&T, Inc. | 2.951% (3 Mo. LIBOR + .95 | )# | 7/15/2021 | 4,600 | 4,649,086 | |||||||
AT&T, Inc. | 3.034% (3 Mo. LIBOR + .93% | )# | 6/30/2020 | 38,654 | 38,837,180 | |||||||
Total | 47,456,958 | |||||||||||
Total Corporate Bonds (cost $9,254,416,812) | 9,271,112,075 | |||||||||||
Total Long-Term Investments (cost $13,887,393,789) | 13,922,341,301 |
412 | See Notes to Financial Statements. |
Schedule of Investments (continued)
ULTRA SHORT BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
SHORT-TERM INVESTMENTS 32.89% | ||||||||||||
COMMERCIAL PAPER 30.72% | ||||||||||||
Aerospace/Defense 1.40% | ||||||||||||
Boeing Co. | 2.248% | 2/26/2020 | $ | 191,160 | $ | 190,187,410 | ||||||
Boeing Co. | 2.28% | 3/4/2020 | 99,000 | 98,454,312 | ||||||||
Total | 288,641,722 | |||||||||||
Apparel 1.13% | ||||||||||||
PVH Corp. | 2.112% | 12/11/2019 | 45,691 | 45,667,241 | ||||||||
PVH Corp. | 2.112% | 12/18/2019 | 10,000 | 9,990,756 | ||||||||
PVH Corp. | 2.112% | 12/19/2019 | 39,500 | 39,461,202 | ||||||||
PVH Corp. | 2.152% | 12/4/2019 | 22,772 | 22,769,318 | ||||||||
PVH Corp. | 2.152% | 12/4/2019 | 23,002 | 22,999,291 | ||||||||
PVH Corp. | 2.152% | 12/5/2019 | 22,999 | 22,994,937 | ||||||||
PVH Corp. | 2.152% | 12/6/2019 | 22,990 | 22,984,584 | ||||||||
PVH Corp. | 2.152% | 12/9/2019 | 45,982 | 45,963,045 | ||||||||
Total | 232,830,374 | |||||||||||
Automotive 0.68% | ||||||||||||
General Motors Finance Co., Inc. | 2.028% | 12/2/2019 | 3,500 | 3,500,000 | ||||||||
General Motors Finance Co., Inc. | 2.24% | 1/10/2020 | 27,631 | 27,565,146 | ||||||||
General Motors Finance Co., Inc. | 2.242% | 2/12/2020 | 22,960 | 22,832,524 | ||||||||
General Motors Finance Co., Inc. | 2.429% | 1/31/2020 | 60,068 | 59,790,381 | ||||||||
General Motors Finance Co., Inc. | 2.475% | 2/28/2020 | 9,241 | 9,178,000 | ||||||||
Hyundai Capital America | 2.35% | 12/11/2019 | 17,335 | 17,325,033 | ||||||||
Total | 140,191,084 | |||||||||||
Beverages 0.74% | ||||||||||||
Constellation Brands, Inc. | 2.031% | 12/9/2019 | 16,567 | 16,560,557 | ||||||||
Constellation Brands, Inc. | 2.035% | 1/22/2020 | 18,359 | 18,306,983 | ||||||||
Constellation Brands, Inc. | 2.035% | 1/24/2020 | 5,518 | 5,501,753 | ||||||||
Constellation Brands, Inc. | 2.036% | 1/29/2020 | 20,197 | 20,106,755 | ||||||||
Constellation Brands, Inc. | 2.087% | 1/15/2020 | 16,338 | 16,297,064 | ||||||||
Keurig Dr Pepper Inc. | 2.269% | 12/6/2019 | 75,000 | 74,981,416 | ||||||||
Total | 151,754,528 | |||||||||||
Building Materials 0.38% | ||||||||||||
CRH America Finance, Inc. | 2.301% | 12/5/2019 | 59,736 | 59,724,750 | ||||||||
CRH America Finance, Inc. | 2.312% | 12/6/2019 | 18,456 | 18,451,345 | ||||||||
Total | 78,176,095 | |||||||||||
See Notes to Financial Statements. | 413 |
Schedule of Investments (continued)
ULTRA SHORT BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Business Services 0.08% | ||||||||||||
Experian Finance plc | 2.038% | 2/18/2020 | $ | 17,351 | $ | 17,272,999 | ||||||
Chemicals 2.11% | ||||||||||||
Dow Chemical Co. | 2.253% | 12/31/2019 | 46,153 | 46,070,835 | ||||||||
DuPont de Nemours, Inc. | 2.138% | 1/3/2020 | 26,940 | 26,889,712 | ||||||||
DuPont de Nemours, Inc. | 2.138% | 1/2/2020 | 27,732 | 27,681,851 | ||||||||
DuPont de Nemours, Inc. | 2.138% | 1/2/2020 | 23,110 | 23,068,210 | ||||||||
DuPont de Nemours, Inc. | 2.241% | 12/20/2019 | 23,076 | 23,050,616 | ||||||||
EI du Pont de Nemours & Co. | 2.054% | 12/26/2019 | 46,065 | 46,002,966 | ||||||||
EI du Pont de Nemours & Co. | 2.086% | 12/31/2019 | 9,210 | 9,194,791 | ||||||||
FMC Corp. | 2.133% | 12/27/2019 | 81,000 | 80,881,875 | ||||||||
FMC Corp. | 2.133% | 12/27/2019 | 30,000 | 29,956,250 | ||||||||
FMC Corp. | 2.133% | 12/27/2019 | 45,685 | 45,618,376 | ||||||||
FMC Corp. | 2.204% | 12/27/2019 | 48,000 | 47,927,667 | ||||||||
Sherwin Williams Co. | 2.051% | 12/23/2019 | 27,326 | 27,293,801 | (c) | |||||||
Total | 433,636,950 | |||||||||||
Drugs 1.76% | ||||||||||||
Cigna Corp. | 2.175% | 2/26/2020 | 87,282 | 86,852,165 | ||||||||
Cigna Corp. | 2.243% | 1/17/2020 | 29,048 | 28,966,343 | ||||||||
Cigna Corp. | 2.254% | 1/17/2020 | 48,500 | 48,363,041 | ||||||||
Cigna Corp. | 2.292% | 12/5/2019 | 36,857 | 36,850,089 | ||||||||
Mylan Inc. | 2.15% | 12/2/2019 | 6,000 | 6,000,000 | ||||||||
Mylan Inc. | 2.182% | 12/2/2019 | 49,448 | 49,448,000 | ||||||||
Mylan Inc. | 2.213% | 12/13/2019 | 78,958 | 78,905,405 | ||||||||
Mylan NV | 2.183% | 12/6/2019 | 27,588 | 27,581,410 | ||||||||
Total | 362,966,453 | |||||||||||
Electric: Power 2.52% | ||||||||||||
Black Hills Corp. | 2.015% | 1/22/2020 | 18,368 | 18,316,478 | ||||||||
Black Hills Corp. | 2.025% | 1/23/2020 | 27,586 | 27,506,706 | ||||||||
Enel Finance America LLC | 2.117% | 1/23/2020 | 38,980 | 38,862,887 | ||||||||
Enel Finance America LLC | 2.117% | 1/23/2020 | 40,463 | 40,341,431 | ||||||||
Entergy Corp. | 1.987% | 2/10/2020 | 65,000 | 64,725,317 | ||||||||
Entergy Corp. | 2.038% | 2/14/2020 | 21,152 | 21,057,173 | ||||||||
Entergy Corp. | 2.141% | 1/28/2020 | 24,750 | 24,667,706 | ||||||||
Entergy Corp. | 2.254% | 1/10/2020 | 55,845 | 55,711,297 | ||||||||
Entergy Corp. | 2.274% | 1/17/2020 | 32,000 | 31,908,818 | ||||||||
Entergy Corp. | 2.285% | 12/13/2019 | 34,291 | 34,267,530 | ||||||||
Entergy Corp. | 2.292% | 12/4/2019 | 27,103 | 27,099,612 |
414 | See Notes to Financial Statements. |
Schedule of Investments (continued)
ULTRA SHORT BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Electric: Power (continued) | ||||||||||||
Entergy Corp. | 2.293% | 12/9/2019 | $ | 18,428 | $ | 18,419,938 | ||||||
Entergy Corp. | 2.332% | 12/3/2019 | 13,365 | 13,364,150 | ||||||||
Hawaiian Electric Industries Inc. | 2.049% | 12/2/2019 | 19,738 | 19,738,000 | ||||||||
Hawaiian Electric Industries, Inc. | 2.153% | 12/23/2019 | 40,000 | 39,950,533 | ||||||||
Public Service Enterprise Group Inc. | 2.086% | 1/23/2020 | 22,958 | 22,890,019 | ||||||||
Public Service Enterprise Group Inc. | 2.089% | 2/20/2020 | 20,662 | 20,567,964 | ||||||||
Total | 519,395,559 | |||||||||||
Electrical Equipment 1.22% | ||||||||||||
Broadcom, Inc. | 2.224% | 12/5/2019 | 42,750 | 42,742,198 | ||||||||
Broadcom, Inc. | 2.228% | 1/7/2020 | 82,000 | 81,820,420 | ||||||||
Broadcom, Inc. | 2.228% | 1/9/2020 | 45,774 | 45,668,185 | ||||||||
Broadcom, Inc. | 2.229% | 1/21/2020 | 80,951 | 80,704,774 | ||||||||
Total | 250,935,577 | |||||||||||
Electronics 1.33% | ||||||||||||
Arrow Electronics, Inc. | 2.133% | 12/26/2019 | 40,500 | 40,443,300 | ||||||||
Arrow Electronics, Inc. | 2.153% | 12/23/2019 | 18,137 | 18,114,571 | ||||||||
Arrow Electronics, Inc. | 2.215% | 12/2/2019 | 36,842 | 36,842,000 | ||||||||
JABIL, Inc. | 2.344% | 2/18/2020 | 68,646 | 68,303,914 | (c) | |||||||
JABIL, Inc. | 2.345% | 2/24/2020 | 59,475 | 59,155,817 | (c) | |||||||
JABIL, Inc. | 2.345% | 2/28/2020 | 50,509 | 50,225,027 | (c) | |||||||
Total | 273,084,629 | |||||||||||
Financial Services 0.45% | ||||||||||||
Syngenta Wilmington Inc. | 2.659% | 2/14/2020 | 92,368 | 91,909,723 | ||||||||
Food 0.74% | ||||||||||||
Campbell Soup Co. | 2.131% | 2/6/2020 | 50,000 | 49,814,850 | ||||||||
Campbell Soup Co. | 2.181% | 1/22/2020 | 31,316 | 31,221,060 | ||||||||
Campbell Soup Co. | 2.316% | 2/3/2020 | 21,200 | 21,125,259 | ||||||||
Campbell Soup Co. | 2.366% | 1/15/2020 | 23,092 | 23,026,521 | ||||||||
Mondelez International, Inc. | 1.987% | 2/21/2020 | 27,552 | 27,424,903 | ||||||||
Total | 152,612,593 | |||||||||||
Health Care Products 0.98% | ||||||||||||
Boston Scientific Corp. | 2.088% | 2/4/2020 | 20,229 | 20,156,489 | ||||||||
Boston Scientific Corp. | 2.088% | 2/7/2020 | 45,980 | 45,807,000 | ||||||||
Boston Scientific Corp. | 2.119% | 1/31/2020 | 12,887 | 12,843,835 | ||||||||
Boston Scientific Corp. | 2.222% | 1/24/2020 | 22,796 | 22,722,838 | ||||||||
Boston Scientific Corp. | 2.232% | 1/13/2020 | 34,193 | 34,105,637 |
See Notes to Financial Statements. | 415 |
Schedule of Investments (continued)
ULTRA SHORT BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Health Care Products (continued) | ||||||||||||
Boston Scientific Corp. | 2.232% | 1/17/2020 | $ | 18,000 | $ | 17,949,630 | ||||||
Boston Scientific Corp. | 2.294% | 1/10/2020 | 10,750 | 10,723,797 | ||||||||
Boston Scientific Corp. | 2.331% | 12/6/2019 | 36,922 | 36,912,605 | ||||||||
Total | 201,221,831 | |||||||||||
Health Care Services 0.55% | ||||||||||||
Humana Inc. | 2.088% | 1/30/2020 | 46,004 | 45,835,955 | ||||||||
Humana Inc. | 2.089% | 2/14/2020 | 36,785 | 36,614,582 | ||||||||
Humana Inc. | 2.345% | 1/14/2020 | 29,750 | 29,668,270 | ||||||||
Total | 112,118,807 | |||||||||||
Leasing 1.41% | ||||||||||||
Aviation Capital Group LLC | 2.031% | 12/13/2019 | 8,000 | 7,995,111 | ||||||||
Aviation Capital Group LLC | 2.033% | 1/10/2020 | 27,544 | 27,484,321 | ||||||||
Aviation Capital Group LLC | 2.051% | 12/3/2019 | 32,209 | 32,207,193 | ||||||||
Aviation Capital Group LLC | 2.062% | 12/6/2019 | 45,791 | 45,780,671 | ||||||||
Aviation Capital Group LLC | 2.063% | 1/6/2020 | 10,000 | 9,980,264 | ||||||||
Aviation Capital Group LLC | 2.074% | 1/16/2020 | 69,500 | 69,322,775 | ||||||||
Aviation Capital Group LLC | 2.082% | 12/6/2019 | 22,787 | 22,781,810 | ||||||||
Aviation Capital Group LLC | 2.115% | 1/15/2020 | 75,000 | 74,809,333 | ||||||||
Total | 290,361,478 | |||||||||||
Leisure 1.29% | ||||||||||||
Royal Caribbean Cruise Ltd. | 2.086% | 1/27/2020 | 91,812 | 91,519,222 | ||||||||
Royal Caribbean Cruise Ltd. | 2.138% | 1/22/2020 | 13,801 | 13,759,942 | ||||||||
Royal Caribbean Cruise Ltd. | 2.139% | 1/17/2020 | 22,802 | 22,740,815 | ||||||||
Royal Caribbean Cruise Ltd. | 2.19% | 1/17/2020 | 63,516 | 63,341,508 | ||||||||
Royal Caribbean Cruise Ltd. | 2.221% | 1/14/2020 | 31,568 | 31,485,800 | ||||||||
Royal Caribbean Cruise Ltd. | 2.292% | 1/14/2020 | 13,816 | 13,778,869 | ||||||||
Royal Caribbean Cruise Ltd. | 2.293% | 1/6/2020 | 28,311 | 28,249,070 | ||||||||
Total | 264,875,226 | |||||||||||
Lodging 1.28% | ||||||||||||
Marriott International, Inc. | 2.265% | 1/8/2020 | 96,000 | 95,780,960 | ||||||||
Marriott International, Inc. | 2.293% | 12/10/2019 | 33,861 | 33,844,069 | ||||||||
Marriott International, Inc. | 2.32% | 1/27/2020 | 64,750 | 64,521,361 | ||||||||
Marriott International, Inc. | 2.352% | 1/28/2020 | 46,074 | 45,906,214 | ||||||||
Marriott International, Inc. | 2.352% | 1/29/2020 | 23,037 | 22,962,521 | ||||||||
Total | 263,015,125 |
416 | See Notes to Financial Statements. |
Schedule of Investments (continued)
ULTRA SHORT BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Machinery: Agricultural 1.13% | ||||||||||||
BAT International Finance plc | 2.031% | 12/9/2019 | $ | 36,573 | $ | 36,558,777 | ||||||
BAT International Finance plc | 2.031% | 12/4/2019 | 40,000 | 39,995,556 | ||||||||
BAT International Finance plc | 2.031% | 12/6/2019 | 36,827 | 36,818,816 | ||||||||
BAT International Finance plc | 2.031% | 12/3/2019 | 36,852 | 36,849,952 | ||||||||
BAT International Finance plc | 2.032% | 12/5/2019 | 13,820 | 13,817,697 | ||||||||
BAT International Finance plc | 2.032% | 12/6/2019 | 36,852 | 36,843,811 | ||||||||
BAT International Finance plc | 2.082% | 12/23/2019 | 32,141 | 32,102,565 | ||||||||
Total | 232,987,174 | |||||||||||
Machinery: Industrial/Specialty 0.27% | ||||||||||||
CNH Industrial Capital LLC | 2.688% | 4/17/2020 | 18,433 | 18,278,306 | ||||||||
CNH Industrial Capital LLC | 2.312% | 1/8/2020 | 18,421 | 18,378,023 | ||||||||
CNH Industrial Capital LLC | 2.313% | 1/14/2020 | 19,480 | 19,427,182 | ||||||||
Total | 56,083,511 | |||||||||||
Manufacturing 0.09% | ||||||||||||
Pentair Finance Sarl | 2.235% | 12/4/2019 | 18,198 | 18,195,776 | ||||||||
Media 0.09% | ||||||||||||
Viacom, Inc. | 2.031% | 12/2/2019 | 10,000 | 10,000,000 | ||||||||
Viacom, Inc. | 2.079% | 12/2/2019 | 9,284 | 9,284,000 | ||||||||
Total | 19,284,000 | |||||||||||
Natural Gas 0.17% | ||||||||||||
SPIRE, Inc. | 2.249% | 12/2/2019 | 35,000 | 35,000,000 | ||||||||
Oil 2.27% | ||||||||||||
Encana Corp. | 2.238% | 1/16/2020 | 20,203 | 20,147,442 | ||||||||
Encana Corp. | 2.238% | 1/14/2020 | 11,955 | 11,923,585 | ||||||||
Encana Corp. | 2.238% | 1/15/2020 | 4,598 | 4,585,637 | (c) | |||||||
Encana Corp. | 2.238% | 1/21/2020 | 18,136 | 18,080,584 | ||||||||
Encana Corp. | 2.24% | 1/29/2020 | 40,404 | 40,273,374 | ||||||||
Encana Corp. | 2.24% | 1/30/2020 | 26,000 | 25,914,430 | ||||||||
Encana Corp. | 2.32% | 1/2/2020 | 34,779 | 34,710,717 | ||||||||
Encana Corp. | 2.409% | 12/3/2019 | 13,000 | 12,999,144 | ||||||||
Encana Corp. | 2.442% | 12/19/2019 | 16,636 | 16,617,146 | ||||||||
Encana Corp. | 2.464% | 12/19/2019 | 32,329 | 32,292,055 | ||||||||
Encana Corp. | 2.495% | 12/19/2019 | 13,852 | 13,835,974 | ||||||||
Encana Corp. | 2.516% | 12/19/2019 | 36,500 | 36,457,427 | ||||||||
Encana Corp. | 2.524% | 12/4/2019 | 13,621 | 13,619,123 | ||||||||
Encana Corp. | 2.566% | 12/5/2019 | 25,000 | 24,994,750 |
See Notes to Financial Statements. | 417 |
Schedule of Investments (continued)
ULTRA SHORT BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Oil (continued) | ||||||||||||
Eni Finance USA, Inc. | 2.076% | 1/17/2020 | $ | 15,357 | $ | 15,317,448 | ||||||
Eni Finance USA, Inc. | 2.076% | 1/24/2020 | 22,991 | 22,922,203 | ||||||||
Eni Finance USA, Inc. | 2.077% | 1/27/2020 | 22,991 | 22,918,294 | ||||||||
Eni Finance USA, Inc. | 2.078% | 2/11/2020 | 22,960 | 22,867,677 | ||||||||
Eni Finance USA, Inc. | 2.089% | 2/18/2020 | 13,165 | 13,106,062 | ||||||||
Eni Finance USA, Inc. | 2.089% | 2/21/2020 | 22,953 | 22,845,953 | ||||||||
Eni Finance USA, Inc. | 2.089% | 2/20/2020 | 23,328 | 23,220,188 | ||||||||
Eni Finance USA, Inc. | 2.356% | 12/2/2019 | 18,401 | 18,400,677 | ||||||||
Total | 468,049,890 | |||||||||||
Oil: Crude Producers 1.34% | ||||||||||||
Energy Transfer Partners | 2.079% | 12/4/2019 | 65,750 | 65,742,512 | ||||||||
Energy Transfer Partners | 2.079% | 12/3/2019 | 49,000 | 48,997,210 | ||||||||
Energy Transfer Partners | 2.079% | 12/3/2019 | 64,051 | 64,047,353 | ||||||||
Energy Transfer Partners | 2.079% | 12/4/2019 | 82,438 | 82,428,611 | ||||||||
TransCanada PipeLines Ltd. | 2.145% | 3/23/2020 | 15,000 | 14,903,591 | ||||||||
Total | 276,119,277 | |||||||||||
Oil: Integrated Domestic 0.66% | ||||||||||||
FMC Technologies Inc. | 2.345% | 12/3/2019 | 20,242 | 20,240,707 | ||||||||
FMC Technologies Inc. | 2.345% | 12/5/2019 | 18,401 | 18,397,473 | ||||||||
FMC Technologies Inc. | 2.346% | 12/12/2019 | 46,030 | 46,000,592 | ||||||||
FMC Technologies Inc. | 2.346% | 12/13/2019 | 23,935 | 23,918,179 | ||||||||
FMC Technologies Inc. | 2.445% | 12/6/2019 | 27,422 | 27,414,687 | ||||||||
Total | 135,971,638 | |||||||||||
Real Estate Investment Trusts 0.80% | ||||||||||||
Crown Castle International Corp. | 2.123% | 12/9/2019 | 114,812 | 114,765,342 | ||||||||
Ventas Realty LP | 2.026% | 1/24/2020 | 49,121 | 48,977,089 | ||||||||
Total | 163,742,431 | |||||||||||
Retail 0.93% | ||||||||||||
Canadian Tire Corp., Ltd. | 2.114% | 12/6/2019 | 34,900 | 34,891,934 | ||||||||
Canadian Tire Corp., Ltd. | 2.291% | 12/6/2019 | 18,448 | 18,443,388 | ||||||||
Canadian Tire Corp., Ltd. | 2.295% | 12/18/2019 | 20,000 | 19,980,000 | ||||||||
Walgreens Boots Alliance, Inc. | 2.412% | 2/11/2020 | 22,811 | 22,719,707 | ||||||||
Walgreens Boots Alliance, Inc. | 2.412% | 2/11/2020 | 23,036 | 22,943,806 | ||||||||
Walgreens Boots Alliance, Inc. | 2.138% | 3/30/2020 | 26,710 | 26,527,427 | ||||||||
Walgreens Boots Alliance, Inc. | 2.152% | 4/24/2020 | 36,842 | 36,534,805 | ||||||||
Walgreens Boots Alliance, Inc. | 2.297% | 2/21/2020 | 3,682 | 3,665,015 |
418 | See Notes to Financial Statements. |
Schedule of Investments (continued)
ULTRA SHORT BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Retail (continued) | ||||||||||||
Walgreens Boots Alliance, Inc. | 2.408% | 4/23/2020 | $ | 5,000 | $ | 4,958,613 | ||||||
Total | 190,664,695 | |||||||||||
Telecommunications 2.24% | ||||||||||||
AT&T, Inc. | 2.453% | 12/2/2019 | 51,001 | 51,001,000 | ||||||||
AT&T, Inc. | 2.454% | 12/6/2019 | 46,055 | 46,042,718 | ||||||||
Bell Canada, Inc. | 2.309% | 2/26/2020 | 45,879 | 45,649,659 | ||||||||
Bell Canada, Inc. | 2.255% | 1/10/2020 | 46,119 | 46,008,583 | ||||||||
Motorola Solutions Inc. | 2.391% | 12/27/2019 | 17,276 | 17,247,806 | ||||||||
Motorola Solutions Inc. | 2.47% | 12/3/2019 | 10,166 | 10,165,314 | ||||||||
Motorola Solutions Inc. | 2.491% | 12/3/2019 | 9,242 | 9,241,371 | ||||||||
Motorola Solutions Inc. | 2.525% | 12/26/2019 | 13,863 | 13,840,080 | ||||||||
Motorola Solutions Inc. | 2.576% | 12/18/2019 | 19,394 | 19,372,193 | ||||||||
Motorola Solutions Inc. | 2.597% | 12/11/2019 | 15,702 | 15,691,990 | ||||||||
Rogers Communications Inc. | 2.005% | 1/9/2020 | 86,142 | 85,962,873 | ||||||||
Rogers Communications Inc. | 2.015% | 1/9/2020 | 45,826 | 45,730,224 | ||||||||
TELUS Corp. | 2.059% | 2/4/2020 | 9,210 | 9,176,987 | ||||||||
Vodafone Group plc | 2.335% | 12/2/2019 | 46,002 | 46,002,000 | ||||||||
Total | 461,132,798 | |||||||||||
Transportation: Miscellaneous 0.68% | ||||||||||||
Canadian Pacific | 2.252% | 12/19/2019 | 18,448 | 18,428,250 | ||||||||
Huntington Ingalls Industries, Inc. | 2.08% | 12/2/2019 | 20,000 | 20,000,000 | ||||||||
Huntington Ingalls Industries, Inc. | 2.08% | 12/3/2019 | 10,000 | 9,999,431 | ||||||||
Huntington Ingalls Industries, Inc. | 2.08% | 12/4/2019 | 31,905 | 31,901,366 | ||||||||
Huntington Ingalls Industries, Inc. | 2.10% | 12/5/2019 | 9,000 | 8,998,447 | ||||||||
Huntington Ingalls Industries, Inc. | 2.10% | 12/2/2019 | 18,139 | 18,139,000 | ||||||||
Huntington Ingalls Industries, Inc. | 2.10% | 12/4/2019 | 32,134 | 32,130,305 | ||||||||
Total | 139,596,799 | |||||||||||
Total Commercial Paper (cost $6,321,389,157) | 6,321,828,742 | |||||||||||
CORPORATE BONDS 0.15% | ||||||||||||
Banks: Regional 0.01% | ||||||||||||
Goldman Sachs Group, Inc. (The) | 3.319% (3 Mo. LIBOR + 1.20 | )# | 9/15/2020 | 2,764 | 2,785,871 | |||||||
Food 0.02% | ||||||||||||
Smithfield Foods, Inc.† | 2.70% | 1/31/2020 | 3,817 | 3,816,944 | ||||||||
Leasing 0.02% | ||||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.† | 3.05% | 1/9/2020 | 3,676 | 3,679,019 | ||||||||
See Notes to Financial Statements. | 419 |
Schedule of Investments (continued)
ULTRA SHORT BOND FUNDNovember 30, 2019
Investments | Interest Rate | Maturity Date | Principal Amount (000) | Fair Value | ||||||||
Manufacturing 0.03% | ||||||||||||
General Electric Co. | 2.50% | 3/28/2020 | $ | 2,808 | $ | 2,808,842 | ||||||
Pentair Finance Sarl (Luxembourg)(b) | 2.65% | 12/1/2019 | 3,750 | 3,750,000 | ||||||||
Total | 6,558,842 | |||||||||||
Oil: Crude Producers 0.07% | ||||||||||||
Enbridge, Inc. (Canada)(b) | 2.41% (3 Mo. LIBOR + .40 | )# | 1/10/2020 | 13,998 | 14,004,400 | |||||||
Total Corporate Bonds (cost $30,826,303) | 30,845,076 | |||||||||||
REPURCHASE AGREEMENT 0.15% | ||||||||||||
Repurchase Agreement dated 11/29/2019, 0.85% due 12/2/2019 with Fixed Income Clearing Corp. collateralized by $31,345,000 of U.S. Treasury Note at 1.125% due 9/30/2021; value: $31,090,416; proceeds: $30,480,256(cost $30,478,097) | 30,478 | 30,478,097 | ||||||||||
U.S. TREASURY OBLIGATION 1.87% | ||||||||||||
Government | ||||||||||||
U.S. Treasury Bill (cost $386,471,252) | Zero Coupon | 12/26/2019 | 386,906 | 386,509,421 | ||||||||
Total Short-Term Investments (cost $6,769,164,809) | 6,769,661,336 | |||||||||||
Total Investments in Securities 100.54% (cost $20,656,558,598) | 20,692,002,637 | |||||||||||
Liabilities in Excess of Cash and Other Assets (0.54%) | (112,154,010 | ) | ||||||||||
Net Assets 100.00% | $ | 20,579,848,627 |
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. At November 30, 2019, the total value of Rule 144A securities was $4,220,886,845, which represents 20.51% of net assets. | |
# | Variable rate security. The interest rate represents the rate in effect at November 30, 2019. | |
(a) | Amount is less than $1,000. | |
(b) | Foreign security traded in U.S. dollars. | |
(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. |
420 | See Notes to Financial Statements. |
Schedule of Investments (concluded)
ULTRA SHORT BOND FUNDNovember 30, 2019
The following is a summary of the inputs used as of November 30, 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 | $ | – | $ | 4,651,229,226 | $ | – | $ | 4,651,229,226 | ||||||||
Corporate Bonds | – | 9,271,112,075 | – | 9,271,112,075 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | – | 6,112,264,546 | 209,564,196 | 6,321,828,742 | ||||||||||||
Corporate Bonds | – | 30,845,076 | – | 30,845,076 | ||||||||||||
Repurchase Agreement | – | 30,478,097 | – | 30,478,097 | ||||||||||||
U.S. Treasury Obligation | – | 386,509,421 | – | 386,509,421 | ||||||||||||
Total | $ | – | $ | 20,482,438,441 | $ | 209,564,196 | $ | 20,692,002,637 |
(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. |
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 | $ | – | ||
Accrued Discounts (Premiums) | 8,253 | |||
Realized Gain (Loss) | – | |||
Change in Unrealized Appreciation (Depreciation) | – | |||
Purchases | 209,555,943 | |||
Sales | – | |||
Transfers into Level 3 | – | |||
Transfers out of Level 3 | ||||
Balance as of November 30, 2019 | $ | 209,564,196 | ||
Change in unrealized appreciation/depreciation for year ended November 30, 2019, related to Level 3 investments held at November 30, 2019 | $ | – |
See Notes to Financial Statements. | 421 |
Statements of Assets and Liabilities
November 30, 2019
Convertible Fund | Core Fixed Income Fund | Core Plus Bond Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in securities, at cost | $ | 626,767,966 | $ | 1,993,934,007 | $ | 256,045,006 | ||||||
Investments in securities, at fair value | $ | 689,882,917 | $ | 2,024,818,714 | $ | 257,797,568 | ||||||
Cash | 178 | 50 | 15 | |||||||||
Deposits with brokers for futures collateral | – | 1,349,847 | 227,196 | |||||||||
Deposits with brokers for swaps collateral | – | 991,359 | 11,392 | |||||||||
Foreign cash, at value (cost $0, $0, $3,975, $0, $0, $177,068, $116,403 and $14,454, respectively) | – | – | 3,982 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | – | 47,941,706 | 276,178 | |||||||||
Interest and dividends | 2,330,327 | 5,735,303 | 1,102,772 | |||||||||
Capital shares sold | 265,367 | 6,135,398 | 1,362,482 | |||||||||
Variation margin for futures contracts | – | – | – | |||||||||
From advisor (See Note 3) | – | 11,946 | 53,855 | |||||||||
Variation margin for centrally cleared swap agreements | – | 54,828 | 748 | |||||||||
Total return swap, at fair value | – | – | – | |||||||||
Unrealized appreciation on forward foreign currency exchange contracts | 179,346 | 650,402 | 438,272 | |||||||||
Unrealized appreciation on CPI swaps | – | – | – | |||||||||
Unrealized appreciation on unfunded commitments | – | – | – | |||||||||
Prepaid expenses and other assets | 81,854 | 118,376 | 125,336 | |||||||||
Total assets | 692,739,989 | 2,087,807,929 | 261,399,796 | |||||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Investment securities purchased | 601,026 | 596,917,419 | 60,162,060 | |||||||||
Capital shares reacquired | 900,582 | 843,471 | 176,226 | |||||||||
Management fee | 394,139 | 278,123 | 43,703 | |||||||||
12b-1 distribution plan | 29,476 | 153,263 | 19,396 | |||||||||
Variation margin on futures contracts | – | 151,790 | 5,370 | |||||||||
Trustees’ fees | 76,752 | 120,930 | 1,380 | |||||||||
Fund administration | 22,522 | 48,279 | 6,243 | |||||||||
Offering costs | – | – | – | |||||||||
Variation margin for centrally cleared swap agreements | – | – | – | |||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 73,966 | – | 128 | |||||||||
Unrealized depreciation on CPI swaps | – | – | �� | – | ||||||||
Credit default swap agreements payable, at fair value (including upfront payments of $0, $0, $32,405, $0, $0, $186,319, $397,992 and $0, respectively) | – | – | 6,410 | |||||||||
Foreign currency overdraft | 39 | 4,481 | – | |||||||||
Unrealized depreciation on unfunded commitments | – | – | 310 | |||||||||
Distributions payable | – | 2,550,246 | 465,465 | |||||||||
Accrued expenses | 177,883 | 471,044 | 91,587 | |||||||||
Total liabilities | 2,276,385 | 601,539,046 | 60,978,278 | |||||||||
Commitments and contingent liabilities | ||||||||||||
NET ASSETS | $ | 690,463,604 | $ | 1,486,268,883 | $ | 200,421,518 |
422 | See Notes to Financial Statements. |
Corporate Bond Fund | Floating Rate Fund | High Yield Fund | Income Fund | Inflation Focused Fund | ||||||||||||||
$ | 7,435,789 | $ | 9,767,948,244 | $ | 7,007,610,848 | $ | 2,633,233,481 | $ | 1,081,874,970 | |||||||||
$ | 7,815,065 | $ | 9,536,537,867 | $ | 7,121,161,035 | $ | 2,710,915,288 | $ | 1,090,368,197 | |||||||||
19,004 | 479 | 1,738,441 | 138 | 54,008 | ||||||||||||||
12,054 | 1,447,902 | 5,280,484 | 6,155,368 | 2,944,816 | ||||||||||||||
– | 310,000 | 2,077,508 | 60,000 | 146,184,713 | ||||||||||||||
– | – | 392,371 | 117,823 | 14,392 | ||||||||||||||
27,878 | 332,979,238 | 15,123,067 | 118,085,001 | 16,145,924 | ||||||||||||||
81,404 | 41,463,838 | 101,887,623 | 28,579,006 | 7,967,567 | ||||||||||||||
18,179 | 59,405,929 | 36,173,524 | 15,047,258 | 4,317,309 | ||||||||||||||
1,750 | 388,810 | 1,386,066 | – | – | ||||||||||||||
19,594 | – | – | – | – | ||||||||||||||
– | – | 1,512,287 | – | – | ||||||||||||||
– | 1,352,802 | – | – | – | ||||||||||||||
– | 394,322 | 927,394 | 1,035,054 | 3,694 | ||||||||||||||
– | – | – | – | 8,795,084 | ||||||||||||||
– | – | – | 735 | 1,100 | ||||||||||||||
71,094 | 229,503 | 209,914 | 158,788 | 88,217 | ||||||||||||||
8,066,022 | 9,974,510,690 | 7,287,869,714 | 2,880,154,459 | 1,276,885,021 | ||||||||||||||
98,184 | 494,100,919 | 185,739,431 | 160,304,267 | 20,348,317 | ||||||||||||||
1,471 | 20,830,713 | 9,954,801 | 3,262,379 | 1,856,556 | ||||||||||||||
2,567 | 3,543,398 | 3,000,014 | 832,174 | 276,582 | ||||||||||||||
827 | 2,274,049 | 806,054 | 447,974 | 147,202 | ||||||||||||||
– | – | – | 2,179,677 | 773,852 | ||||||||||||||
244 | 877,582 | 483,648 | 409,185 | 90,796 | ||||||||||||||
257 | 311,316 | 230,138 | 87,597 | 36,878 | ||||||||||||||
17,198 | – | – | – | – | ||||||||||||||
– | – | – | – | 1,330,309 | ||||||||||||||
– | 92,295 | 3,159,236 | – | 243 | ||||||||||||||
– | – | – | – | 143,881,454 | ||||||||||||||
– | – | 8,584 | 107,776 | – | ||||||||||||||
– | 4,391 | – | – | – | ||||||||||||||
– | 184,136 | 31,096 | – | – | ||||||||||||||
18,254 | 38,129,206 | 27,457,695 | 8,167,380 | 3,664,802 | ||||||||||||||
51,466 | 4,389,043 | 1,796,418 | 586,231 | 387,139 | ||||||||||||||
190,468 | 564,737,048 | 232,667,115 | 176,384,640 | 172,794,130 | ||||||||||||||
$ | 7,875,554 | $ | 9,409,773,642 | $ | 7,055,202,599 | $ | 2,703,769,819 | $ | 1,104,090,891 |
See Notes to Financial Statements. | 423 |
Statements of Assets and Liabilities (continued)
November 30, 2019
Convertible Fund | Core Fixed Income Fund | Core Plus Bond Fund | ||||||||||
COMPOSITION OF NET ASSETS: | ||||||||||||
Paid-in capital | $ | 579,729,471 | $ | 1,472,572,112 | $ | 198,258,023 | ||||||
Total distributable earnings (loss) | 110,734,133 | 13,696,771 | 2,163,495 | |||||||||
Net Assets | $ | 690,463,604 | $ | 1,486,268,883 | $ | 200,421,518 | ||||||
Net assets by class: | ||||||||||||
Class A Shares | $ | 143,293,533 | $ | 492,702,448 | $ | 24,428,603 | ||||||
Class C Shares | $ | 41,278,000 | $ | 42,376,305 | $ | 3,991,662 | ||||||
Class F Shares | $ | 173,878,351 | $ | 214,720,033 | $ | 157,901,438 | ||||||
Class F3 Shares | $ | 8,030,093 | $ | 307,972,224 | $ | 11,267 | ||||||
Class I Shares | $ | 307,307,562 | $ | 364,811,553 | $ | 13,781,658 | ||||||
Class P Shares | $ | 70,442 | $ | 109.18 | – | |||||||
Class R2 Shares | $ | 55,787 | $ | 531,966 | $ | 29,222 | ||||||
Class R3 Shares | $ | 10,420,422 | $ | 11,736,181 | $ | 187,808 | ||||||
Class R4 Shares | $ | 87,604 | $ | 7,553,338 | $ | 29,633 | ||||||
Class R5 Shares | $ | 843,471 | $ | 1,369,603 | $ | 30,094 | ||||||
Class R6 Shares | $ | 5,198,339 | $ | 42,495,123 | $ | 30,133 | ||||||
Outstanding shares by class (unlimited number of authorized shares of beneficial interest): | ||||||||||||
Class A Shares | 10,129,592 | 44,385,293 | 1,587,368 | |||||||||
Class C Shares | 2,938,169 | 3,834,573 | 259,301 | |||||||||
Class F Shares | 12,289,358 | 19,347,206 | 10,268,211 | |||||||||
Class F3 Shares | 563,727 | 27,746,108 | 731.76 | |||||||||
Class I Shares | 21,591,113 | 32,877,066 | 895,619 | |||||||||
Class P Shares | 4,901 | 9.67 | – | |||||||||
Class R2 Shares | 3,882 | 47,912 | 1,899 | |||||||||
Class R3 Shares | 740,071 | 1,057,055 | 12,206 | |||||||||
Class R4 Shares | 6,195 | 680,585 | 1,926 | |||||||||
Class R5 Shares | 59,281 | 123,383 | 1,956 | |||||||||
Class R6 Shares | 364,820 | 3,829,762 | 1,958 | |||||||||
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | ||||||||||||
Class A Shares-Net asset value | $14.15 | $11.10 | $15.39 | |||||||||
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%) | $14.48 | $11.36 | $15.74 | |||||||||
Class C Shares-Net asset value | $14.05 | $11.05 | $15.39 | |||||||||
Class F Shares-Net asset value | $14.15 | $11.10 | $15.38 | |||||||||
Class F3 Shares-Net asset value | $14.24 | $11.10 | $15.40 | |||||||||
Class I Shares-Net asset value | $14.23 | $11.10 | $15.39 | |||||||||
Class P Shares-Net asset value | $14.37 | $11.29 | – | |||||||||
Class R2 Shares-Net asset value | $14.37 | $11.10 | $15.39 | |||||||||
Class R3 Shares-Net asset value | $14.08 | $11.10 | $15.39 | |||||||||
Class R4 Shares-Net asset value | $14.14 | $11.10 | $15.39 | |||||||||
Class R5 Shares-Net asset value | $14.23 | $11.10 | $15.39 | |||||||||
Class R6 Shares-Net asset value | $14.25 | $11.10 | $15.39 |
424 | See Notes to Financial Statements. |
Corporate Bond Fund | Floating Rate Fund | High Yield Fund | Income Fund | Inflation Focused Fund | ||||||||||||||
$ | 7,727,445 | $ | 10,340,581,784 | $ | 7,211,071,242 | $ | 2,686,871,059 | $ | 1,396,850,165 | |||||||||
148,109 | (930,808,142 | ) | (155,868,643 | ) | 16,898,760 | (292,759,274 | ) | |||||||||||
$ | 7,875,554 | $ | 9,409,773,642 | $ | 7,055,202,599 | $ | 2,703,769,819 | $ | 1,104,090,891 | |||||||||
$ | 768,689 | $ | 2,462,683,920 | $ | 1,218,731,331 | $ | 1,054,889,056 | $ | 109,625,871 | |||||||||
$ | 596,968 | $ | 1,141,084,627 | $ | 376,681,705 | $ | 161,999,857 | $ | 28,655,095 | |||||||||
$ | 2,764,324 | $ | 4,007,180,935 | $ | 2,144,680,388 | $ | 591,491,644 | $ | 285,296,845 | |||||||||
$ | 1,717,500 | $ | 147,358,651 | $ | 555,794,811 | $ | 586,821,750 | $ | 10,645,155 | |||||||||
$ | 171,214 | $ | 1,475,395,415 | $ | 1,610,252,776 | $ | 184,515,314 | $ | 631,036,826 | |||||||||
– | – | $ | 50,657 | – | – | |||||||||||||
$ | 28,115 | $ | 1,471,339 | $ | 11,283,661 | $ | 1,285,432 | $ | 51,154 | |||||||||
$ | 54,309 | $ | 52,956,699 | $ | 117,517,125 | $ | 55,317,461 | $ | 104,213 | |||||||||
$ | 28,373 | $ | 5,240,063 | $ | 109,350,886 | $ | 9,217,661 | $ | 3,174,086 | |||||||||
$ | 28,562 | $ | 6,661,015 | $ | 289,988,080 | $ | 6,099,067 | $ | 334,466 | |||||||||
$ | 1,717,500 | $ | 109,740,978 | $ | 620,871,179 | $ | 52,132,577 | $ | 35,167,180 | |||||||||
75,113 | 281,964,457 | 165,324,715 | 363,216,970 | 9,760,525 | ||||||||||||||
58,342 | 130,555,200 | 51,366,258 | 55,517,563 | 2,548,018 | ||||||||||||||
269,616 | 459,287,161 | 291,309,535 | 203,604,593 | 25,376,613 | ||||||||||||||
167,817 | 16,850,489 | 75,030,346 | 202,078,199 | 948,049 | ||||||||||||||
16,735 | 168,833,457 | 217,510,638 | 63,512,513 | 56,157,871 | ||||||||||||||
– | – | 6,775 | – | – | ||||||||||||||
2,747 | 168,307 | 1,521,793 | 439,035 | 4,560 | ||||||||||||||
5,307 | 6,060,862 | 15,850,777 | 18,987,642 | 9,277 | ||||||||||||||
2,773 | 600,019 | 14,837,349 | 3,174,141 | 282,545 | ||||||||||||||
2,790 | 761,566 | 39,183,891 | 2,099,103 | 29,784 | ||||||||||||||
167,817 | 12,552,537 | 83,828,046 | 17,955,482 | 3,131,256 | ||||||||||||||
$10.23 | $8.73 | $7.37 | $2.90 | $11.23 | ||||||||||||||
$10.47 | $8.93 | $7.54 | $2.97 | $11.49 | ||||||||||||||
$10.23 | $8.74 | $7.33 | $2.92 | $11.25 | ||||||||||||||
$10.25 | $8.72 | $7.36 | $2.91 | $11.24 | ||||||||||||||
$10.23 | $8.75 | $7.41 | $2.90 | $11.23 | ||||||||||||||
$10.23 | $8.74 | $7.40 | $2.91 | $11.24 | ||||||||||||||
– | – | $7.48 | – | – | ||||||||||||||
$10.23 | $8.74 | $7.41 | $2.93 | $11.22 | ||||||||||||||
$10.23 | $8.74 | $7.41 | $2.91 | $11.23 | ||||||||||||||
$10.23 | $8.73 | $7.37 | $2.90 | $11.23 | ||||||||||||||
$10.24 | $8.75 | $7.40 | $2.91 | $11.23 | ||||||||||||||
$10.23 | $8.74 | $7.41 | $2.90 | $11.23 |
See Notes to Financial Statements. | 425 |
Statements of Assets and Liabilities (continued)
November 30, 2019
Short Duration Core Bond Fund | Short Duration Income Fund | |||||||
ASSETS: | ||||||||
Investments in securities, at cost | $ | 44,746,245 | $ | 55,386,181,672 | ||||
Investments in securities, at fair value | $ | 45,010,976 | $ | 55,696,346,409 | ||||
Cash | 21,009 | 34,684,254 | ||||||
Deposits with brokers for futures collateral | 6,351 | 20,250,764 | ||||||
Deposits with brokers for swaps collateral | – | – | ||||||
Foreign cash, at value (cost $1,442, $509,994, $41,407 and $0, respectively) | 1,436 | 507,794 | ||||||
Receivables: | ||||||||
Investment securities sold | 5,556,730 | 954,363,129 | ||||||
Capital shares sold | 187,629 | 307,157,064 | ||||||
Interest and dividends | 193,565 | 318,949,820 | ||||||
From advisor (See Note 3) | 27,317 | – | ||||||
Variation margin for futures contracts | 1,721 | – | ||||||
Variation margin for centrally cleared swap agreements | – | – | ||||||
Unrealized appreciation on forward foreign currency exchange contracts | 39 | 123,631 | ||||||
Credit default swap agreements receivable, at fair value (including upfront payments of $5,285, $6,539,130, $0 and $0, respectively) | 4,400 | 2,726,295 | ||||||
Prepaid expenses and other assets | 75,016 | 1,265,595 | ||||||
Total assets | 51,086,189 | 57,336,374,755 | ||||||
LIABILITIES: | ||||||||
Payables: | ||||||||
Investment securities purchased | 6,003,507 | 1,483,930,526 | ||||||
Capital shares reacquired | 65,946 | 79,397,542 | ||||||
Variation margin on futures contracts | – | 17,603,826 | ||||||
Management fee | 10,935 | 11,417,705 | ||||||
12b-1 distribution plan | 5,410 | 10,897,293 | ||||||
Trustees’ fees | 489 | 3,486,903 | ||||||
Fund administration | 1,458 | 1,807,107 | ||||||
Offering costs | 15,676 | – | ||||||
To bank | – | – | ||||||
Unrealized depreciation on forward foreign currency exchange contracts | – | 6,471 | ||||||
Unrealized depreciation on unfunded commitments | – | 2,018,482 | ||||||
Distributions payable | 100,941 | 150,819,498 | ||||||
Accrued expenses | 55,373 | 8,787,130 | ||||||
Total liabilities | 6,259,735 | 1,770,172,483 | ||||||
Commitments and contingent liabilities | ||||||||
NET ASSETS | $ | 44,826,454 | $ | 55,566,202,272 | ||||
COMPOSITION OF NET ASSETS: | ||||||||
Paid-in capital | $ | 44,818,955 | $ | 58,747,886,922 | ||||
Total distributable earnings (loss) | 7,499 | (3,181,684,650 | ) | |||||
Net Assets | $ | 44,826,454 | $ | 55,566,202,272 |
426 | See Notes to Financial Statements. |
Total Return Fund | Ultra Short Bond Fund | |||||
$ | 5,295,090,102 | $ | 20,656,558,598 | |||
$ | 5,375,374,682 | $ | 20,692,002,637 | |||
– | 28,497,005 | |||||
3,862,638 | – | |||||
1,608,165 | – | |||||
41,224 | – | |||||
105,563,399 | 226,000 | |||||
14,132,760 | 216,360,928 | |||||
20,549,999 | 36,214,571 | |||||
13,298 | 1,356,274 | |||||
– | – | |||||
120,088 | – | |||||
11,003,347 | – | |||||
– | – | |||||
135,288 | 1,480,336 | |||||
5,532,404,888 | 20,976,137,751 | |||||
1,436,833,698 | 315,019,759 | |||||
3,623,296 | 37,865,023 | |||||
305,993 | – | |||||
934,632 | 3,312,281 | |||||
428,323 | 1,889,698 | |||||
281,909 | 340,717 | |||||
133,674 | 662,456 | |||||
– | – | |||||
6,908 | – | |||||
– | – | |||||
– | – | |||||
7,309,829 | 34,282,309 | |||||
978,675 | 2,916,881 | |||||
1,450,836,937 | 396,289,124 | |||||
$ | 4,081,567,951 | $ | 20,579,848,627 | |||
$ | 4,079,771,098 | $ | 20,538,555,526 | |||
1,796,853 | 41,293,101 | |||||
$ | 4,081,567,951 | $ | 20,579,848,627 |
See Notes to Financial Statements. | 427 |
Statements of Assets and Liabilities (concluded)
November 30, 2019
Short Duration Core Bond Fund | Short Duration Income Fund | |||||||
Net assets by class: | ||||||||
Class A Shares | $ | 8,031,917 | $ | 11,693,022,120 | ||||
Class A1 Shares | – | – | ||||||
Class C Shares | $ | 2,238,483 | $ | 4,914,970,008 | ||||
Class F Shares | $ | 29,006,882 | $ | 23,128,476,757 | ||||
Class F3 Shares | $ | 1,612,138 | $ | 4,087,351,400 | ||||
Class I Shares | $ | 1,820,803 | $ | 10,281,838,701 | ||||
Class P Shares | – | – | ||||||
Class R2 Shares | $ | 26,403 | $ | 18,030,749 | ||||
Class R3 Shares | $ | 75,674 | $ | 367,327,522 | ||||
Class R4 Shares | $ | 26,645 | $ | 147,771,530 | ||||
Class R5 Shares | $ | 26,818 | $ | 70,274,339 | ||||
Class R6 Shares | $ | 1,960,691 | $ | 857,139,146 | ||||
Outstanding shares by class (unlimited number of authorized shares of beneficial interest): | ||||||||
Class A Shares | 812,025 | 2,778,125,817 | ||||||
Class A1 Shares | – | – | ||||||
Class C Shares | 226,366 | 1,160,586,952 | ||||||
Class F Shares | 2,933,790 | 5,498,634,619 | ||||||
Class F3 Shares | 163,019 | 969,900,700 | ||||||
Class I Shares | 184,023 | 2,445,046,214 | ||||||
Class P Shares | – | – | ||||||
Class R2 Shares | 2,670 | 4,282,253 | ||||||
Class R3 Shares | 7,652 | 87,187,822 | ||||||
Class R4 Shares | 2,694 | 35,045,909 | ||||||
Class R5 Shares | 2,712 | 16,726,912 | ||||||
Class R6 Shares | 198,275 | 203,747,469 | ||||||
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | ||||||||
Class A Shares-Net asset value | $9.89 | $4.21 | ||||||
Class A Shares-Maximum offering price (Net asset value plus sales charge of 2.25%)* | $10.12 | $4.31 | ||||||
Class A1 Shares-Net asset value | – | – | ||||||
Class A1 Shares-Maximum offering price (Net asset value plus sales charge of 1.50%) | – | – | ||||||
Class C Shares-Net asset value | $9.89 | $4.23 | ||||||
Class F Shares-Net asset value | $9.89 | $4.21 | ||||||
Class F3 Shares-Net asset value | $9.89 | $4.21 | ||||||
Class I Shares-Net asset value | $9.89 | $4.21 | ||||||
Class P Shares-Net asset value | – | – | ||||||
Class R2 Shares-Net asset value | $9.89 | $4.21 | ||||||
Class R3 Shares-Net asset value | $9.89 | $4.21 | ||||||
Class R4 Shares-Net asset value | $9.89 | $4.22 | ||||||
Class R5 Shares-Net asset value | $9.89 | $4.20 | ||||||
Class R6 Shares-Net asset value | $9.89 | $4.21 |
* | Sales charge not applicable to Ultra Short Bond Fund. |
428 | See Notes to Financial Statements. |
Total Return Fund | Ultra Short Bond Fund | |||||
$ | 1,275,715,058 | $ | 11,938,002,741 | |||
– | $ | 2,860,125 | ||||
$ | 118,447,141 | – | ||||
$ | 960,498,266 | $ | 6,539,664,603 | |||
$ | 664,783,281 | $ | 282,582,149 | |||
$ | 405,217,845 | $ | 1,803,798,319 | |||
$ | 528,053 | – | ||||
$ | 3,500,932 | – | ||||
$ | 93,652,141 | – | ||||
$ | 66,840,079 | – | ||||
$ | 127,807,026 | $ | 1,368,770 | |||
$ | 364,578,129 | $ | 11,571,920 | |||
121,666,725 | 1,190,528,300 | |||||
– | 285,149 | |||||
11,306,689 | – | |||||
91,611,469 | 652,057,565 | |||||
63,375,081 | 28,173,868 | |||||
38,575,344 | 179,913,351 | |||||
50,124 | – | |||||
333,975 | – | |||||
8,934,405 | – | |||||
6,374,495 | – | |||||
12,186,612 | 136,484 | |||||
34,739,751 | 1,153,503 | |||||
$10.49 | $10.03 | |||||
$10.73 | – | |||||
– | $10.03 | |||||
– | $10.18 | |||||
$10.48 | – | |||||
$10.48 | $10.03 | |||||
$10.49 | $10.03 | |||||
$10.50 | $10.03 | |||||
$10.53 | – | |||||
$10.48 | – | |||||
$10.48 | – | |||||
$10.49 | – | |||||
$10.49 | $10.03 | |||||
$10.49 | $10.03 |
See Notes to Financial Statements. | 429 |
For the Year Ended November 30, 2019
Convertible Fund | Core Fixed Income Fund | Core Plus Bond Fund | ||||||||||
Investment income: | ||||||||||||
Dividends (net of foreign withholding taxes of $14,076, $0, $0, $0, $0, $70,986, $0 and $0, respectively) | $ | 4,238,729 | $ | – | $ | – | ||||||
Interest and other (net of foreign withholding taxes of $0, $0, $889, $28, $0, $0, $3,095 and $148, respectively) | 15,791,352 | 36,713,099 | 2,507,122 | |||||||||
Total investment income | 20,030,081 | 36,713,099 | 2,507,122 | |||||||||
Expenses: | ||||||||||||
Management fee | 5,271,333 | 2,932,642 | 210,610 | |||||||||
12b-1 distribution plan-Class A | 272,701 | 892,477 | 26,317 | |||||||||
12b-1 distribution plan-Class C | 342,114 | 343,592 | 13,170 | |||||||||
12b-1 distribution plan-Class F | 169,549 | 161,876 | 56,081 | |||||||||
12b-1 distribution plan-Class P | 294 | – | – | |||||||||
12b-1 distribution plan-Class R2 | 406 | 3,499 | 169 | |||||||||
12b-1 distribution plan-Class R3 | 46,129 | 60,969 | 202 | |||||||||
12b-1 distribution plan-Class R4 | 193 | 15,413 | 71 | |||||||||
Shareholder servicing | 327,386 | 929,255 | 86,876 | |||||||||
Fund administration | 301,219 | 501,456 | 30,087 | |||||||||
Reports to shareholders | 102,826 | 289,179 | 8,685 | |||||||||
Registration | 195,502 | 263,677 | 183,004 | |||||||||
Professional | 67,590 | 59,226 | 52,727 | |||||||||
Trustees’ fees | 24,562 | 37,680 | 1,514 | |||||||||
Custody | 23,849 | 25,403 | 17,374 | |||||||||
Interest paid from Interfund Lending (See Note 11) | – | – | – | |||||||||
Other | 151,333 | 217,616 | 19,302 | |||||||||
Gross expenses | 7,296,986 | 6,733,960 | 706,189 | |||||||||
Expense reductions (See Note 9) | (13,290 | ) | (29,570 | ) | (2,274 | ) | ||||||
Fees waived and expenses reimbursed (See Note 3) | – | – | (246,873 | ) | ||||||||
Shareholder servicing reimbursed-Class I (See Note 3) | – | (109,266 | ) | – | ||||||||
Net expenses | 7,283,696 | 6,595,124 | 457,042 | |||||||||
Net investment income | 12,746,385 | 30,117,975 | 2,050,080 |
430 | See Notes to Financial Statements. |
Corporate Bond Fund | Floating Rate Fund | High Yield Fund | Income Fund | Inflation Focused Fund | ||||||||||||||
$ | – | $ | 3,214,879 | $ | 1,917,792 | $ | 193,146 | $ | 3,445 | |||||||||
255,144 | 731,157,609 | 425,637,632 | 100,381,220 | 44,581,430 | ||||||||||||||
255,144 | 734,372,488 | 427,555,424 | 100,574,366 | 44,584,875 | ||||||||||||||
26,729 | 52,503,812 | 35,258,335 | 8,899,224 | 3,665,132 | ||||||||||||||
1,083 | 5,775,265 | 2,339,036 | 1,848,746 | 265,155 | ||||||||||||||
2,721 | 11,775,650 | 3,235,630 | 1,361,678 | 325,775 | ||||||||||||||
2,283 | 5,044,547 | 2,082,290 | 500,328 | 352,466 | ||||||||||||||
– | – | 536 | – | – | ||||||||||||||
160 | 9,571 | 77,014 | 8,647 | 721 | ||||||||||||||
255 | 268,453 | 560,717 | 259,850 | 508 | ||||||||||||||
67 | 30,819 | 255,847 | 18,138 | 6,344 | ||||||||||||||
1,778 | 8,912,071 | 5,916,095 | 1,770,791 | 932,226 | ||||||||||||||
2,673 | 4,622,561 | 2,700,667 | 936,760 | 488,684 | ||||||||||||||
3,682 | 2,044,162 | 1,455,262 | 533,676 | 223,322 | ||||||||||||||
163,198 | 819,164 | 413,486 | 291,866 | 222,912 | ||||||||||||||
59,503 | 345,928 | 164,312 | 115,350 | 107,406 | ||||||||||||||
200 | 380,577 | 209,981 | 70,771 | 39,188 | ||||||||||||||
4,579 | 156,374 | 148,824 | 58,326 | 72,518 | ||||||||||||||
– | – | 3,691 | – | – | ||||||||||||||
12,856 | 1,002,975 | 679,578 | 295,794 | 207,883 | ||||||||||||||
281,767 | 93,691,929 | 55,501,301 | 16,969,945 | 6,910,240 | ||||||||||||||
(116 | ) | (389,559 | ) | (171,510 | ) | (62,050 | ) | (33,169 | ) | |||||||||
(245,237 | ) | – | – | – | – | |||||||||||||
– | – | – | – | – | ||||||||||||||
36,414 | 93,302,370 | 55,329,791 | 16,907,895 | 6,877,071 | ||||||||||||||
218,730 | 641,070,118 | 372,225,633 | 83,666,471 | 37,707,804 |
See Notes to Financial Statements. | 431 |
Statements of Operations (continued)
For the Year Ended November 30, 2019
Convertible Fund | Core Fixed Income Fund | Core Plus Bond Fund | ||||||||||
Net realized and unrealized gain (loss): | ||||||||||||
Net realized gain (loss) on investments | $ | 56,947,905 | $ | 32,907,299 | $ | 229,582 | ||||||
Net realized gain (loss) on futures contracts | – | 10,755,934 | 328,939 | |||||||||
Net realized gain on foreign currency exchange contracts | 826,603 | – | 6,544 | |||||||||
Net realized gain (loss) on swap contracts | – | (1,932,602 | ) | (47,188 | ) | |||||||
Net realized gain on foreign currency related transactions | 98,571 | 26,805 | 7,735 | |||||||||
Net change in unrealized appreciation/depreciation on investments | 40,306,152 | 40,011,448 | 1,982,413 | |||||||||
Net change in unrealized appreciation/depreciation on futures contracts | – | (325,992 | ) | (21,968 | ) | |||||||
Net change in unrealized appreciation/depreciation on foreign currency exchange contracts | (251,996 | ) | 650,402 | 432,756 | ||||||||
Net change in unrealized appreciation/depreciation on swap contracts | – | 1,151,654 | 77,931 | |||||||||
Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies | 4,000 | 59 | 176 | |||||||||
Net change in unrealized appreciation/depreciation on unfunded commitments | – | – | (310 | ) | ||||||||
Net realized and unrealized gain (loss) | 97,931,235 | 83,245,007 | 2,996,610 | |||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 110,677,620 | $ | 113,362,982 | $ | 5,046,690 |
432 | See Notes to Financial Statements. |
Corporate Bond Fund | Floating Rate Fund | High Yield Fund | Income Fund | Inflation Focused Fund | ||||||||||||||
$ | 48,327 | $ | (352,381,950 | ) | $ | (165,271,744 | ) | $ | 16,975,978 | $ | (738,762 | ) | ||||||
(50,805 | ) | (11,213,814 | ) | (27,313,112 | ) | 10,537,240 | 8,537,355 | |||||||||||
– | 2,150,976 | 18,242,365 | 415,672 | 59,311 | ||||||||||||||
– | (10,273,559 | ) | 10,038,782 | (55,501 | ) | (4,840,168 | ) | |||||||||||
– | 1,686,485 | 748,320 | 40,023 | 16,844 | ||||||||||||||
646,915 | 33,367,933 | 402,275,660 | 167,556,462 | 28,423,431 | ||||||||||||||
6,095 | 1,117,414 | 3,118,767 | 162,995 | (227,190 | ) | |||||||||||||
– | (650,572 | ) | (7,328,333 | ) | 738,100 | (46,190 | ) | |||||||||||
– | 8,849,080 | 822,286 | (53,370 | ) | (54,593,353 | ) | ||||||||||||
– | 97,932 | 249,954 | 8,005 | 895 | ||||||||||||||
– | (49,569 | ) | (27,794 | ) | 735 | 1,100 | ||||||||||||
650,532 | (327,299,644 | ) | 235,555,151 | 196,326,339 | (23,406,727 | ) | ||||||||||||
$ | 869,262 | $ | 313,770,474 | $ | 607,780,784 | $ | 279,992,810 | $ | 14,301,077 |
See Notes to Financial Statements. | 433 |
Statements of Operations (concluded)
For the Year Ended November 30, 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, $28,239, $15,042 and $0, respectively) | 705,590 | 1,698,890,489 | ||||||
Interest earned from Interfund Lending (See Note 11) | – | – | ||||||
Total investment income | 705,590 | 1,699,007,806 | ||||||
Expenses: | ||||||||
Management fee | 70,655 | 122,164,326 | ||||||
12b-1 distribution plan-Class A | 13,334 | 19,514,221 | ||||||
12b-1 distribution plan-Class A1 | – | – | ||||||
12b-1 distribution plan-Class C | 16,949 | 39,976,407 | ||||||
12b-1 distribution plan-Class F | 11,078 | 19,598,342 | ||||||
12b-1 distribution plan-Class P | – | – | ||||||
12b-1 distribution plan-Class R2 | 155 | 116,376 | ||||||
12b-1 distribution plan-Class R3 | 326 | 1,707,306 | ||||||
12b-1 distribution plan-Class R4 | 65 | 318,823 | ||||||
Shareholder servicing | 15,199 | 32,839,284 | ||||||
Fund administration | 9,421 | 19,306,292 | ||||||
Reports to shareholders | 6,225 | 7,119,309 | ||||||
Registration | 170,460 | 3,141,817 | ||||||
Trustees’ fees | 558 | 1,431,346 | ||||||
Professional | 59,554 | 907,463 | ||||||
Custody | 6,626 | 514,813 | ||||||
Other | 14,398 | 2,424,053 | ||||||
Gross expenses | 395,003 | 271,080,178 | ||||||
Expense reductions (See Note 9) | (663 | ) | (1,479,619 | ) | ||||
Fees waived and expenses reimbursed (See Note 3) | (259,573 | ) | – | |||||
Shareholder servicing reimbursed-Class I (See Note 3) | – | – | ||||||
Net expenses | 134,767 | 269,600,559 | ||||||
Net investment income | 570,823 | 1,429,407,247 | ||||||
Net realized and unrealized gain: | ||||||||
Net realized gain on investments | 62,820 | 33,992,165 | ||||||
Net realized gain (loss) on futures contracts | (40,754 | ) | 35,280,889 | |||||
Net realized gain (loss) on foreign currency exchange contracts | (1,209 | ) | 2,196,240 | |||||
Net realized gain (loss) on swap contracts | 4,137 | 3,876,466 | ||||||
Net realized gain on foreign currency related transactions | 1,157 | 673,485 | ||||||
Net change in unrealized appreciation/depreciation on investments | 344,033 | 1,002,876,122 | ||||||
Net change in unrealized appreciation/depreciation on futures contracts | 3,512 | 2,060,809 | ||||||
Net change in unrealized appreciation/depreciation on foreign currency exchange contracts | 39 | (1,721,864 | ) | |||||
Net change in unrealized appreciation/depreciation on swap contracts | 5,736 | 7,058,269 | ||||||
Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies | (6 | ) | 34,145 | |||||
Net change in unrealized appreciation/depreciation on unfunded commitments | – | (2,018,482 | ) | |||||
Net realized and unrealized gain | 379,465 | 1,084,308,244 | ||||||
Net Increase in Net Assets Resulting From Operations | $ | 950,288 | $ | 2,513,715,491 |
434 | See Notes to Financial Statements. |
Total Return Fund | Ultra Short Bond Fund | |||||
$ | – | $ | – | |||
129,592,129 | 479,521,117 | |||||
– | 1,226 | |||||
129,592,129 | 479,522,343 | |||||
10,776,093 | 33,955,614 | |||||
2,425,050 | 13,380,572 | |||||
– | 348 | |||||
988,339 | – | |||||
919,636 | 6,281,676 | |||||
2,674 | – | |||||
26,925 | – | |||||
507,190 | – | |||||
163,411 | – | |||||
3,555,366 | 9,382,645 | |||||
1,539,918 | 6,791,123 | |||||
855,566 | 1,841,975 | |||||
312,058 | 3,207,092 | |||||
118,377 | 457,941 | |||||
115,898 | 305,699 | |||||
55,233 | 225,214 | |||||
411,349 | 447,882 | |||||
22,773,083 | 76,277,781 | |||||
(100,986 | ) | (554,395 | ) | |||
– | (11,327,153 | ) | ||||
(162,048 | ) | – | ||||
22,510,049 | 64,396,233 | |||||
107,082,080 | 415,126,110 | |||||
66,998,290 | 5,710,197 | |||||
38,537,089 | – | |||||
178,060 | – | |||||
(3,955,295 | ) | – | ||||
150,629 | – | |||||
129,416,465 | 47,636,182 | |||||
(1,117,313 | ) | – | ||||
10,810,728 | – | |||||
1,874,755 | – | |||||
96,055 | – | |||||
– | – | |||||
242,989,463 | 53,346,379 | |||||
$ | 350,071,543 | $ | 468,472,489 |
See Notes to Financial Statements. | 435 |
Statements of Changes in Net Assets
Convertible Fund | ||||||||
For the | For the | |||||||
Year Ended | Year Ended | |||||||
INCREASE (DECREASE) IN NET ASSETS | November 30, 2019 | November 30, 2018 | ||||||
Operations: | ||||||||
Net investment income | $ | 12,746,385 | $ | 12,000,877 | ||||
Net realized gain (loss) on investments, futures contracts, forward currency exchange contracts, swaps and foreign currency related transactions | 57,873,079 | 50,680,908 | ||||||
Net change in unrealized appreciation/depreciation on investments, futures contracts, foreign currency exchange contracts, swaps, unfunded commitments and translation of assets and liabilities denominated in foreign currencies | 40,058,156 | (55,234,356 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 110,677,620 | 7,447,429 | ||||||
Distributions to shareholders: | ||||||||
Class A | (9,371,011 | ) | (2,624,703 | ) | ||||
Class B | – | (1,783 | ) | |||||
Class C | (2,485,800 | ) | (594,213 | ) | ||||
Class F | (12,802,328 | ) | (3,646,644 | ) | ||||
Class F3 | (482,582 | ) | (104,731 | ) | ||||
Class I | (31,944,314 | ) | (12,062,635 | ) | ||||
Class P | (3,996 | ) | (1,030 | ) | ||||
Class R2 | (4,539 | ) | (1,708 | ) | ||||
Class R3 | (585,569 | ) | (104,746 | ) | ||||
Class R4 | (4,651 | ) | (1,218 | ) | ||||
Class R5 | (15,158 | ) | (28,853 | ) | ||||
Class R6 | (206,498 | ) | (101,827 | ) | ||||
Total distributions to shareholders | (57,906,446 | ) | (19,274,091 | ) | ||||
Capital share transactions (Net of share conversions) (See Note 14): | ||||||||
Net proceeds from sales of shares | 156,151,752 | 276,106,262 | ||||||
Reinvestment of distributions | 54,218,320 | 18,145,176 | ||||||
Cost of shares reacquired | (435,234,388 | ) | (294,467,421 | ) | ||||
Net increase (decrease) in net assets resulting from capital share transactions | (224,864,316 | ) | (215,983 | ) | ||||
Net increase (decrease) in net assets | (172,093,142 | ) | (12,042,645 | ) | ||||
NET ASSETS: | ||||||||
Beginning of year | $ | 862,556,746 | $ | 874,599,391 | ||||
End of year | $ | 690,463,604 | $ | 862,556,746 |
436 | See Notes to Financial Statements. |
Core Fixed Income Fund | Core Plus Bond Fund | |||||||||||||
For the | For the | For the | For the | |||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||
November 30, 2019 | November 30, 2018 | November 30, 2019 | November 30, 2018 | |||||||||||
$ | 30,117,975 | $ | 29,221,001 | $ | 2,050,080 | $ | 429,276 | |||||||
41,757,436 | (36,266,131 | ) | 525,612 | (180,866 | ) | |||||||||
41,487,571 | (11,958,381 | ) | 2,470,998 | (403,136 | ) | |||||||||
113,362,982 | (19,003,511 | ) | 5,046,690 | (154,726 | ) | |||||||||
(11,693,909 | ) | (12,753,891 | ) | (415,631 | ) | (240,578 | ) | |||||||
– | (1,973 | ) | – | – | ||||||||||
(857,422 | ) | (1,246,459 | ) | (37,889 | ) | (22,046 | ) | |||||||
(4,327,241 | ) | (4,644,715 | ) | (1,743,310 | ) | (235,682 | ) | |||||||
(7,657,290 | ) | (9,267,783 | ) | (382 | ) | (412 | ) | |||||||
(7,578,862 | ) | (6,271,470 | ) | (129,005 | ) | (4,315 | ) | |||||||
(3 | ) | (3 | ) | – | – | |||||||||
(13,255 | ) | (20,385 | ) | (823 | ) | (900 | ) | |||||||
(286,489 | ) | (352,636 | ) | (1,223 | ) | (940 | ) | |||||||
(158,495 | ) | (226,732 | ) | (933 | ) | (1,003 | ) | |||||||
(31,630 | ) | (26,092 | ) | (1,013 | ) | (1,076 | ) | |||||||
(1,310,716 | ) | (1,350,793 | ) | (1,020 | ) | (1,088 | ) | |||||||
(33,915,312 | ) | (36,162,932 | ) | (2,331,229 | ) | (508,040 | ) | |||||||
629,086,713 | 304,093,118 | 207,572,060 | 1,623,846 | |||||||||||
33,590,628 | 35,209,250 | 2,309,637 | 507,409 | |||||||||||
(328,770,791 | ) | (491,488,670 | ) | (25,088,598 | ) | (1,824,448 | ) | |||||||
333,906,550 | (152,186,302 | ) | 184,793,099 | 306,807 | ||||||||||
413,354,220 | (207,352,745 | ) | 187,508,560 | (355,959 | ) | |||||||||
$ | 1,072,914,663 | $ | 1,280,267,408 | $ | 12,912,958 | $ | 13,268,917 | |||||||
$ | 1,486,268,883 | $ | 1,072,914,663 | $ | 200,421,518 | $ | 12,912,958 |
See Notes to Financial Statements. | 437 |
Statements of Changes in Net Assets (continued)
Corporate Bond Fund | ||||||||
For the | For the | |||||||
Year Ended | Year Ended | |||||||
INCREASE (DECREASE) IN NET ASSETS | November 30, 2019 | November 30, 2018 | ||||||
Operations: | ||||||||
Net investment income | $ | 218,730 | $ | 206,236 | ||||
Net realized gain (loss) on investments, futures contracts, foreign currency exchange contracts, swaps and foreign currency related transactions | (2,478 | ) | (95,352 | ) | ||||
Net change in unrealized appreciation/depreciation on investments, futures contracts, foreign currency exchange contracts, swaps, unfunded commitments and translation of assets and liabilities denominated in foreign currencies | 653,010 | (329,184 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 869,262 | (218,300 | ) | |||||
Distributions to shareholders: | ||||||||
Class A | (21,318 | ) | (14,990 | ) | ||||
Class B | – | – | ||||||
Class C | (10,073 | ) | (3,124 | ) | ||||
Class F | (90,520 | ) | (101,250 | ) | ||||
Class F3 | (67,533 | ) | (68,931 | ) | ||||
Class I | (6,511 | ) | (9,961 | ) | ||||
Class P | – | – | ||||||
Class R2 | (932 | ) | (962 | ) | ||||
Class R3 | (1,837 | ) | (1,577 | ) | ||||
Class R4 | (1,032 | ) | (1,054 | ) | ||||
Class R5 | (1,105 | ) | (1,120 | ) | ||||
Class R6 | (67,533 | ) | (68,930 | ) | ||||
Class T | – | – | ||||||
Total distributions to shareholders | (268,394 | ) | (271,899 | ) | ||||
Capital share transactions (See Note 14): | ||||||||
Net proceeds from sales of shares | 2,018,353 | 1,241,911 | ||||||
Reinvestment of distributions | 267,482 | 271,145 | ||||||
Cost of shares reacquired | (218,963 | ) | (2,105,393 | ) | ||||
Net increase (decrease) in net assets resulting from capital share transactions | 2,066,872 | (592,337 | ) | |||||
Net increase (decrease) in net assets | 2,667,740 | (1,082,536 | ) | |||||
NET ASSETS: | ||||||||
Beginning of year | $ | 5,207,814 | $ | 6,290,350 | ||||
End of year | $ | 7,875,554 | $ | 5,207,814 |
438 | See Notes to Financial Statements. |
Floating Rate Fund | High Yield Fund | |||||||||||||
For the | For the | For the | For the | |||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||
November 30, 2019 | November 30, 2018 | November 30, 2019 | November 30, 2018 | |||||||||||
$ | 641,070,118 | $ | 690,592,557 | $ | 372,225,633 | $ | 378,980,729 | |||||||
(370,031,862 | ) | (19,423,828 | ) | (163,555,389 | ) | 1,096,792 | ||||||||
42,732,218 | (336,617,877 | ) | 399,110,540 | (521,563,321 | ) | |||||||||
313,770,474 | 334,550,852 | 607,780,784 | (141,485,800 | ) | ||||||||||
(161,150,166 | ) | (182,692,462 | ) | (66,093,458 | ) | (77,925,306 | ) | |||||||
– | – | – | (14,882 | ) | ||||||||||
(69,856,818 | ) | (70,222,262 | ) | (19,749,053 | ) | (24,303,373 | ) | |||||||
(286,378,688 | ) | (302,725,744 | ) | (119,680,368 | ) | (120,825,979 | ) | |||||||
(11,512,512 | ) | (13,400,545 | ) | (31,111,656 | ) | (30,616,750 | ) | |||||||
(106,129,358 | ) | (111,978,828 | ) | (89,496,359 | ) | (90,809,058 | ) | |||||||
– | – | (6,664 | ) | (24,421 | ) | |||||||||
(82,687 | ) | (63,553 | ) | (680,771 | ) | (849,236 | ) | |||||||
(2,835,779 | ) | (2,289,907 | ) | (6,014,467 | ) | (5,631,290 | ) | |||||||
(687,668 | ) | (351,841 | ) | (5,741,538 | ) | (4,646,769 | ) | |||||||
(922,146 | ) | (816,520 | ) | (16,166,403 | ) | (16,072,658 | ) | |||||||
(5,537,812 | ) | (2,624,032 | ) | (32,664,889 | ) | (25,728,534 | ) | |||||||
– | (324 | ) | – | (376 | ) | |||||||||
(645,093,634 | ) | (687,166,018 | ) | (387,405,626 | ) | (397,448,632 | ) | |||||||
3,570,661,363 | 8,184,859,014 | 2,821,984,363 | 2,977,604,675 | |||||||||||
529,246,438 | 557,322,288 | 357,413,419 | 368,519,986 | |||||||||||
(9,289,849,382 | ) | (5,491,466,098 | ) | (2,814,889,794 | ) | (3,436,725,945 | ) | |||||||
(5,189,941,581 | ) | 3,250,715,204 | 364,507,988 | (90,601,284 | ) | |||||||||
(5,521,264,741 | ) | 2,898,100,038 | 584,883,146 | (629,535,716 | ) | |||||||||
$ | 14,931,038,383 | $ | 12,032,938,345 | $ | 6,470,319,453 | $ | 7,099,855,169 | |||||||
$ | 9,409,773,642 | $ | 14,931,038,383 | $ | 7,055,202,599 | $ | 6,470,319,453 |
See Notes to Financial Statements. | 439 |
Statements of Changes in Net Assets (continued)
Income Fund | ||||||||
For the | For the | |||||||
Year Ended | Year Ended | |||||||
INCREASE (DECREASE) IN NET ASSETS | November 30, 2019 | November 30, 2018 | ||||||
Operations: | ||||||||
Net investment income | $ | 83,666,471 | $ | 76,091,103 | ||||
Net realized gain (loss) on investments, futures contracts, foreign currency exchange contracts, swaps and foreign currency related transactions | 27,913,412 | (16,244,123 | ) | |||||
Net change in unrealized appreciation/depreciation on investments, futures contracts, foreign currency exchange contracts, swaps, unfunded commitments and translation of assets and liabilities denominated in foreign currencies | 168,412,927 | (117,453,722 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 279,992,810 | (57,606,742 | ) | |||||
Distributions to shareholders: | ||||||||
Class A | (36,797,636 | ) | (35,790,758 | ) | ||||
Class B | – | (6,796 | ) | |||||
Class C | (5,650,769 | ) | (6,848,475 | ) | ||||
Class F | (20,314,667 | ) | (19,066,758 | ) | ||||
Class F3 | (20,065,736 | ) | (15,488,182 | ) | ||||
Class I | (6,977,787 | ) | (7,833,592 | ) | ||||
Class R2 | (52,202 | ) | (71,068 | ) | ||||
Class R3 | (1,919,349 | ) | (1,960,870 | ) | ||||
Class R4 | (283,781 | ) | (182,381 | ) | ||||
Class R5 | (212,668 | ) | (215,284 | ) | ||||
Class R6 | (1,849,550 | ) | (1,483,888 | ) | ||||
Class T | – | – | ||||||
Total distributions to shareholders | (94,124,145 | ) | (88,948,052 | ) | ||||
Capital share transactions (Net of share conversions) (See Note 14): | ||||||||
Net proceeds from sales of shares | 939,236,411 | 759,398,133 | ||||||
Reinvestment of distributions | 85,523,334 | 79,689,649 | ||||||
Cost of shares reacquired | (600,189,975 | ) | (739,334,763 | ) | ||||
Net increase (decrease) in net assets resulting from capital share transactions | 424,569,770 | 99,753,019 | ||||||
Net increase (decrease) in net assets | 610,438,435 | (46,801,775 | ) | |||||
NET ASSETS: | ||||||||
Beginning of year | $ | 2,093,331,384 | $ | 2,140,133,159 | ||||
End of year | $ | 2,703,769,819 | $ | 2,093,331,384 |
440 | See Notes to Financial Statements. |
Inflation Focused Fund | Short Duration Core Bond Fund | |||||||||||||
For the | For the | For the | For the | |||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||
November 30, 2019 | November 30, 2018 | November 30, 2019 | November 30, 2018 | |||||||||||
$ | 37,707,804 | $ | 34,721,039 | $ | 570,823 | $ | 215,062 | |||||||
3,034,580 | (10,821,733 | ) | 26,151 | (40,114 | ) | |||||||||
(26,441,307 | ) | (14,583,449 | ) | 353,314 | (64,014 | ) | ||||||||
14,301,077 | 9,315,857 | 950,288 | 110,934 | |||||||||||
(5,285,461 | ) | (7,083,363 | ) | (200,838 | ) | (81,958 | ) | |||||||
– | – | – | – | |||||||||||
(1,298,256 | ) | (1,499,530 | ) | (44,208 | ) | (21,906 | ) | |||||||
(14,368,742 | ) | (16,911,221 | ) | (330,986 | ) | (86,836 | ) | |||||||
(772,004 | ) | (700,819 | ) | (51,583 | ) | (51,147 | ) | |||||||
(26,185,147 | ) | (23,512,050 | ) | (10,034 | ) | (2,250 | ) | |||||||
(4,322 | ) | (8,991 | ) | (682 | ) | (674 | ) | |||||||
(3,739 | ) | (5,898 | ) | (1,775 | ) | (760 | ) | |||||||
(99,905 | ) | (49,564 | ) | (778 | ) | (765 | ) | |||||||
(11,141 | ) | (4,110 | ) | (847 | ) | (829 | ) | |||||||
(2,149,253 | ) | (1,763,239 | ) | (61,079 | ) | (52,985 | ) | |||||||
– | (244 | ) | – | – | ||||||||||
(50,177,970 | ) | (51,539,029 | ) | (702,810 | ) | (300,110 | ) | |||||||
417,555,081 | 822,331,919 | 38,685,094 | 6,151,614 | |||||||||||
42,657,456 | 45,030,234 | 668,641 | 296,402 | |||||||||||
(770,779,338 | ) | (489,757,257 | ) | (7,352,233 | ) | (1,333,751 | ) | |||||||
(310,566,801 | ) | 377,604,896 | 32,001,502 | 5,114,265 | ||||||||||
(346,443,694 | ) | 335,381,724 | 32,248,980 | 4,925,089 | ||||||||||
$ | 1,450,534,585 | $ | 1,115,152,861 | $ | 12,577,474 | $ | 7,652,385 | |||||||
$ | 1,104,090,891 | $ | 1,450,534,585 | $ | 44,826,454 | $ | 12,577,474 |
See Notes to Financial Statements. | 441 |
Statements of Changes in Net Assets (concluded)
Short Duration Income Fund | ||||||||
For the | For the | |||||||
Year Ended | Year Ended | |||||||
INCREASE (DECREASE) IN NET ASSETS | November 30, 2019 | November 30, 2018 | ||||||
Operations: | ||||||||
Net investment income | $ | 1,429,407,247 | $ | 1,094,486,472 | ||||
Net realized gain (loss) on investments, futures contracts, forward currency exchange contracts, swaps and foreign currency related transactions | 76,019,245 | (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 | 1,008,288,999 | (605,099,402 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 2,513,715,491 | 392,308,437 | ||||||
Distributions to shareholders: | ||||||||
Class A | (355,634,926 | ) | (363,495,008 | ) | ||||
Class A1 | – | – | ||||||
Class B | – | (22,448 | ) | |||||
Class C | (147,892,825 | ) | (174,572,094 | ) | ||||
Class F | (732,369,032 | ) | (587,998,014 | ) | ||||
Class F3 | (153,416,971 | ) | (103,474,314 | ) | ||||
Class I | (339,966,468 | ) | (279,774,438 | ) | ||||
Class P | – | – | ||||||
Class R2 | (635,981 | ) | (801,279 | ) | ||||
Class R3 | (11,498,655 | ) | (10,578,147 | ) | ||||
Class R4 | (4,599,910 | ) | (3,422,926 | ) | ||||
Class R5 | (2,399,799 | ) | (1,394,009 | ) | ||||
Class R6 | (28,485,527 | ) | (18,399,562 | ) | ||||
Class T | – | (245 | ) | |||||
Total distributions to shareholders | (1,776,900,094 | ) | (1,543,932,484 | ) | ||||
Capital share transactions (See Note 14): | ||||||||
Net proceeds from sales of shares | 28,819,433,977 | 18,963,750,231 | ||||||
Reinvestment of distributions | 1,523,647,699 | 1,328,550,979 | ||||||
Cost of shares reacquired | (17,060,665,166 | ) | (20,065,675,820 | ) | ||||
Net increase in net assets resulting from capital share transactions | 13,282,416,510 | 226,625,390 | ||||||
Net increase (decrease) in net assets | 14,019,231,907 | (924,998,657 | ) | |||||
NET ASSETS: | ||||||||
Beginning of year | $ | 41,546,970,365 | $ | 42,471,969,022 | ||||
End of year | $ | 55,566,202,272 | $ | 41,546,970,365 |
442 | See Notes to Financial Statements. |
Total Return Fund | Ultra Short Bond Fund | |||||||||||||
For the | For the | For the | For the | |||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||
November 30, 2019 | November 30, 2018 | November 30, 2019 | November 30, 2018 | |||||||||||
$ | 107,082,080 | $ | 106,114,481 | $ | 415,126,110 | $ | 132,737,323 | |||||||
101,908,773 | (104,694,908 | ) | 5,710,197 | 301,251 | ||||||||||
141,080,690 | (63,872,504 | ) | 47,636,182 | (12,199,808 | ) | |||||||||
350,071,543 | (62,452,931 | ) | 468,472,489 | 120,838,766 | ||||||||||
(36,252,910 | ) | (39,057,947 | ) | (214,086,151 | ) | (76,825,237 | ) | |||||||
– | – | (2,348 | ) | – | ||||||||||
– | (6,057 | ) | – | – | ||||||||||
(2,898,671 | ) | (3,785,191 | ) | – | – | |||||||||
(28,340,648 | ) | (29,412,805 | ) | (155,362,125 | ) | (41,339,616 | ) | |||||||
(20,118,504 | ) | (22,589,621 | ) | (7,088,120 | ) | (3,216,832 | ) | |||||||
(13,107,788 | ) | (13,566,154 | ) | (38,280,816 | ) | (11,563,824 | ) | |||||||
(16,381 | ) | (16,486 | ) | – | – | |||||||||
(118,121 | ) | (164,614 | ) | – | – | |||||||||
(2,751,323 | ) | (3,448,996 | ) | – | – | |||||||||
(1,924,268 | ) | (2,141,936 | ) | – | – | |||||||||
(3,614,427 | ) | (2,960,527 | ) | (47,969 | ) | (8,858 | ) | |||||||
(9,605,134 | ) | (6,865,814 | ) | (218,680 | ) | (80,076 | ) | |||||||
– | (196 | ) | – | – | ||||||||||
(118,748,175 | ) | (124,016,344 | ) | (415,086,209 | ) | (133,034,443 | ) | |||||||
1,396,158,215 | 1,138,605,464 | 22,914,822,713 | 16,496,397,363 | |||||||||||
107,792,937 | 110,682,893 | 394,939,651 | 131,090,203 | |||||||||||
(1,240,621,889 | ) | (1,245,991,281 | ) | (15,647,192,291 | ) | (6,020,090,865 | ) | |||||||
263,329,263 | 3,297,076 | 7,662,570,073 | 10,607,396,701 | |||||||||||
494,652,631 | (183,172,199 | ) | 7,715,956,353 | 10,595,201,024 | ||||||||||
$ | 3,586,915,320 | $ | 3,770,087,519 | $ | 12,863,892,274 | $ | 2,268,691,250 | |||||||
$ | 4,081,567,951 | $ | 3,586,915,320 | $ | 20,579,848,627 | $ | 12,863,892,274 |
See Notes to Financial Statements. | 443 |
CONVERTIBLE FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Distributions to | ||||||||||||||||||||||||||||
Investment Operations: | shareholders from: | |||||||||||||||||||||||||||
Net | Total | |||||||||||||||||||||||||||
Net | realized | from | ||||||||||||||||||||||||||
asset | Net | and | invest- | |||||||||||||||||||||||||
value, | invest- | unrealized | ment | Net | Net | Total | ||||||||||||||||||||||
beginning | ment | gain | opera- | investment | realized | distri- | ||||||||||||||||||||||
of period | income(a) | (loss) | tions | income | gain | butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
11/30/2019 | $13.16 | $0.21 | $ | 1.70 | $ | 1.91 | $(0.53 | ) | $(0.39 | ) | $(0.92 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||
Class C | ||||||||||||||||||||||||||||
11/30/2019 | 13.08 | 0.12 | 1.69 | 1.81 | (0.45 | ) | (0.39 | ) | (0.84 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||
Class F | ||||||||||||||||||||||||||||
11/30/2019 | 13.17 | 0.22 | 1.69 | 1.91 | (0.54 | ) | (0.39 | ) | (0.93 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
11/30/2019 | 13.25 | 0.24 | 1.70 | 1.94 | (0.56 | ) | (0.39 | ) | (0.95 | ) | ||||||||||||||||||
11/30/2018 | 13.39 | 0.20 | (0.04 | ) | 0.16 | (0.30 | ) | – | (0.30 | ) | ||||||||||||||||||
4/4/2017 to 11/30/2017(c) | 17.35 | 0.16 | (4.01 | ) | (3.85 | ) | (0.11 | ) | – | (0.11 | ) | |||||||||||||||||
Class I | ||||||||||||||||||||||||||||
11/30/2019 | 13.24 | 0.24 | 1.70 | 1.94 | (0.56 | ) | (0.39 | ) | (0.95 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||
Class P | ||||||||||||||||||||||||||||
11/30/2019 | 13.36 | 0.18 | 1.72 | 1.90 | (0.50 | ) | (0.39 | ) | (0.89 | ) | ||||||||||||||||||
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 | ) |
444 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||||||
Total | ||||||||||||||||||||||||||
expenses | ||||||||||||||||||||||||||
after | ||||||||||||||||||||||||||
Net | waivers | Net | Net | |||||||||||||||||||||||
asset | and/or | invest- | assets, | Portfolio | ||||||||||||||||||||||
value, | Total | reimburse- | Total | ment | end of | turnover | ||||||||||||||||||||
end of | return(b) | ments | expenses | income | period | rate | ||||||||||||||||||||
period | (%) | (%) | (%) | (%) | (000) | (%) | ||||||||||||||||||||
$14.15 | 15.80 | 1.06 | 1.06 | 1.59 | $143,294 | 161 | ||||||||||||||||||||
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 | |||||||||||||||||||
14.05 | 15.00 | 1.70 | 1.70 | 0.94 | 41,278 | 161 | ||||||||||||||||||||
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 | |||||||||||||||||||
14.15 | 15.92 | 0.96 | 0.96 | 1.69 | 173,878 | 161 | ||||||||||||||||||||
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 | |||||||||||||||||||
14.24 | 16.02 | 0.83 | 0.83 | 1.81 | 8,030 | 161 | ||||||||||||||||||||
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 | ||||||||||||||||
14.23 | 15.94 | 0.86 | 0.86 | 1.82 | 307,308 | 161 | ||||||||||||||||||||
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 | |||||||||||||||||||
14.37 | 15.43 | 1.31 | 1.31 | 1.33 | 70 | 161 | ||||||||||||||||||||
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 |
See Notes to Financial Statements. | 445 |
Financial Highlights (continued)
CONVERTIBLE FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Distributions to | ||||||||||||||||||||||||||||
Investment Operations: | shareholders from: | |||||||||||||||||||||||||||
Net | Total | |||||||||||||||||||||||||||
Net | realized | from | ||||||||||||||||||||||||||
asset | Net | and | invest- | |||||||||||||||||||||||||
value, | invest- | unrealized | ment | Net | Net | Total | ||||||||||||||||||||||
beginning | ment | gain | opera- | investment | realized | distri- | ||||||||||||||||||||||
of period | income(a) | (loss) | tions | income | gain | butions | ||||||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
11/30/2019 | $13.35 | $0.17 | $ 1.71 | $ 1.88 | $(0.47 | ) | $(0.39 | ) | $(0.86 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
11/30/2019 | 13.11 | 0.17 | 1.68 | 1.85 | (0.49 | ) | (0.39 | ) | (0.88 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
11/30/2019 | 13.16 | 0.20 | 1.70 | 1.90 | (0.53 | ) | (0.39 | ) | (0.92 | ) | ||||||||||||||||||
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(f) | 12.11 | 0.08 | (1.00 | ) | (0.92 | ) | (0.05 | ) | – | (0.05 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
11/30/2019 | 13.24 | 0.23 | 1.71 | 1.94 | (0.56 | ) | (0.39 | ) | (0.95 | ) | ||||||||||||||||||
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(f) | 12.16 | 0.09 | (1.00 | ) | (0.91 | ) | (0.06 | ) | – | (0.06 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
11/30/2019 | 13.25 | 0.24 | 1.71 | 1.95 | (0.56 | ) | (0.39 | ) | (0.95 | ) | ||||||||||||||||||
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(f) | 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) | Commenced on April 4, 2017. |
(d) | Not annualized. |
(e) | Annualized. |
(f) | Commenced on June 30, 2015. |
446 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||||||
Total | ||||||||||||||||||||||||||
expenses | ||||||||||||||||||||||||||
after | ||||||||||||||||||||||||||
Net | waivers | Net | Net | |||||||||||||||||||||||
asset | and/or | invest- | assets, | Portfolio | ||||||||||||||||||||||
value, | Total | reimburse- | Total | ment | end of | turnover | ||||||||||||||||||||
end of | return(b) | ments | expenses | income | period | rate | ||||||||||||||||||||
period | (%) | (%) | (%) | (%) | (000) | (%) | ||||||||||||||||||||
$14.37 | 15.27 | 1.45 | 1.45 | 1.23 | $ | 56 | 161 | |||||||||||||||||||
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 | |||||||||||||||||||
14.08 | 15.37 | 1.36 | 1.36 | 1.28 | 10,420 | 161 | ||||||||||||||||||||
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 | |||||||||||||||||||
14.14 | 15.68 | 1.11 | 1.11 | 1.53 | 88 | 161 | ||||||||||||||||||||
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 | ||||||||||||||||
14.23 | 16.03 | 0.86 | 0.87 | 1.70 | 843 | 161 | ||||||||||||||||||||
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 | ||||||||||||||||
14.25 | 16.01 | 0.83 | 0.83 | 1.77 | 5,198 | 161 | ||||||||||||||||||||
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. | 447 |
Financial Highlights (continued)
CORE FIXED INCOME FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Distributions to | ||||||||||||||||||||||||||||
Investment Operations: | shareholders from: | |||||||||||||||||||||||||||
Net | Total | |||||||||||||||||||||||||||
Net | realized | from | ||||||||||||||||||||||||||
asset | Net | and | invest- | |||||||||||||||||||||||||
value, | invest- | unrealized | ment | Net | Net | Total | ||||||||||||||||||||||
beginning | ment | gain | opera- | investment | realized | distri- | ||||||||||||||||||||||
of period | income(a) | (loss) | tions | income | gain | butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
11/30/2019 | $10.38 | $0.25 | $ | 0.76 | $ | 1.01 | $(0.29 | ) | $ | – | $(0.29 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
11/30/2019 | 10.34 | 0.18 | 0.75 | 0.93 | (0.22 | ) | – | (0.22 | ) | |||||||||||||||||||
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 | ) | |||||||||||||||||
Class F | ||||||||||||||||||||||||||||
11/30/2019 | 10.38 | 0.26 | 0.76 | 1.02 | (0.30 | ) | – | (0.30 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
11/30/2019 | 10.38 | 0.28 | 0.76 | 1.04 | (0.32 | ) | – | (0.32 | ) | |||||||||||||||||||
11/30/2018 | 10.87 | 0.28 | (0.43 | ) | (0.15 | ) | (0.34 | ) | – | (0.34 | ) | |||||||||||||||||
4/4/2017 to 11/30/2017(c) | 10.84 | 0.15 | 0.06 | 0.21 | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
11/30/2019 | 10.38 | 0.27 | 0.76 | 1.03 | (0.31 | ) | – | (0.31 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||
Class P | ||||||||||||||||||||||||||||
11/30/2019 | 10.52 | 0.32 | 0.78 | 1.10 | (0.33 | ) | – | (0.33 | ) | |||||||||||||||||||
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 | ) |
448 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||||||
Total | ||||||||||||||||||||||||||
expenses | ||||||||||||||||||||||||||
after | ||||||||||||||||||||||||||
Net | waivers | Net | Net | |||||||||||||||||||||||
asset | and/or | invest- | assets, | Portfolio | ||||||||||||||||||||||
value, | Total | reimburse- | Total | ment | end of | turnover | ||||||||||||||||||||
end of | return(b) | ments | expenses | income | period | rate | ||||||||||||||||||||
period | (%) | (%) | (%) | (%) | (000) | (%) | ||||||||||||||||||||
$ | 11.10 | 9.79 | 0.64 | 0.64 | 2.30 | $ | 492,702 | 836 | ||||||||||||||||||
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 | ||||||||||||||||||||
11.05 | 9.05 | 1.25 | 1.25 | 1.70 | 42,376 | 836 | ||||||||||||||||||||
10.34 | (2.18 | ) | 1.25 | 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 | |||||||||||||||||||
11.10 | 9.89 | 0.54 | 0.54 | 2.37 | 214,720 | 836 | ||||||||||||||||||||
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 | ||||||||||||||||||||
11.10 | 10.09 | 0.35 | 0.35 | 2.58 | 307,972 | 836 | ||||||||||||||||||||
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 | ||||||||||||||||
11.10 | 10.04 | 0.40 | 0.44 | 2.50 | 364,812 | 836 | ||||||||||||||||||||
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 | ||||||||||||||||||||
11.29 | 10.57 | – | – | 2.99 | – | (f) | 836 | |||||||||||||||||||
10.52 | (0.68 | ) | – | – | 3.23 | – | (f) | 615 | ||||||||||||||||||
11.00 | 3.76 | 0.86 | 1.05 | 1.46 | – | (f) | 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 |
See Notes to Financial Statements. | 449 |
Financial Highlights (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 | ||||||||||||||||||||||||||||
11/30/2019 | $10.38 | $0.21 | $ 0.75 | $ 0.96 | $(0.24 | ) | $ – | $(0.24 | ) | |||||||||||||||||||
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 | ) | |||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
11/30/2019 | 10.38 | 0.22 | 0.75 | 0.97 | (0.25 | ) | – | (0.25 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
11/30/2019 | 10.38 | 0.24 | 0.76 | 1.00 | (0.28 | ) | – | (0.28 | ) | |||||||||||||||||||
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(g) | 10.93 | 0.08 | (0.04 | ) | 0.04 | (0.11 | ) | – | (0.11 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
11/30/2019 | 10.38 | 0.27 | 0.76 | 1.03 | (0.31 | ) | – | (0.31 | ) | |||||||||||||||||||
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(g) | 10.93 | 0.09 | (0.04 | ) | 0.05 | (0.12 | ) | – | (0.12 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
11/30/2019 | 10.38 | 0.28 | 0.76 | 1.04 | (0.32 | ) | – | (0.32 | ) | |||||||||||||||||||
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(g) | 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) | Commenced on April 4, 2017. |
(d) | Not annualized. |
(e) | Annualized. |
(f) | Amount is less than $1,000. |
(g) | Commenced on June 30, 2015. |
450 | 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 (%) | ||||||||||||||||||||
$ 11.10 | 9.35 | 1.04 | 1.04 | 1.93 | $ 532 | 836 | ||||||||||||||||||||
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 | |||||||||||||||||||
11.10 | 9.46 | 0.94 | 0.94 | 2.02 | 11,736 | 836 | ||||||||||||||||||||
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 | |||||||||||||||||||
11.10 | 9.73 | 0.69 | 0.69 | 2.25 | 7,553 | 836 | ||||||||||||||||||||
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 | ||||||||||||||||
11.10 | 10.01 | 0.44 | 0.44 | 2.50 | 1,370 | 836 | ||||||||||||||||||||
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 | ||||||||||||||||
11.10 | 10.10 | 0.35 | 0.35 | 2.60 | 42,495 | 836 | ||||||||||||||||||||
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. | 451 |
Financial Highlights (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 | ||||||||||||||||||||||||||||
11/30/2019 | $ 14.41 | $0.42 | $ 1.06 | $ 1.48 | $(0.50 | ) | $ – | $(0.50 | ) | |||||||||||||||||||
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(c) | 15.00 | 0.43 | 0.14 | 0.57 | (0.54 | ) | – | (0.54 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
11/30/2019 | 14.42 | 0.31 | 1.06 | 1.37 | (0.40 | ) | – | (0.40 | ) | |||||||||||||||||||
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(c) | 15.00 | 0.31 | 0.15 | 0.46 | (0.42 | ) | – | (0.42 | ) | |||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
11/30/2019 | 14.41 | 0.41 | 1.07 | 1.48 | (0.51 | ) | – | (0.51 | ) | |||||||||||||||||||
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(c) | 15.00 | 0.45 | 0.13 | 0.58 | (0.55 | ) | – | (0.55 | ) | |||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
11/30/2019 | 14.42 | 0.47 | 1.04 | 1.51 | (0.53 | ) | – | (0.53 | ) | |||||||||||||||||||
11/30/2018 | 15.15 | 0.52 | (0.65 | ) | (0.13 | ) | (0.60 | ) | – | (0.60 | ) | |||||||||||||||||
4/4/2017 to 11/30/2017(f) | 15.08 | 0.30 | 0.12 | 0.42 | (0.35 | ) | – | (0.35 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
11/30/2019 | 14.41 | 0.40 | 1.11 | 1.51 | (0.53 | ) | – | (0.53 | ) | |||||||||||||||||||
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(c) | 15.00 | 0.46 | 0.14 | 0.60 | (0.57 | ) | – | (0.57 | ) | |||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
11/30/2019 | 14.41 | 0.37 | 1.05 | 1.42 | (0.44 | ) | – | (0.44 | ) | |||||||||||||||||||
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(c) | 15.00 | 0.37 | 0.14 | 0.51 | (0.48 | ) | – | (0.48 | ) | |||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
11/30/2019 | 14.41 | 0.37 | 1.07 | 1.44 | (0.46 | ) | – | (0.46 | ) | |||||||||||||||||||
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(c) | 15.00 | 0.39 | 0.13 | 0.52 | (0.49 | ) | – | (0.49 | ) | |||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
11/30/2019 | 14.41 | 0.43 | 1.04 | 1.47 | (0.49 | ) | – | (0.49 | ) | |||||||||||||||||||
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(c) | 15.00 | 0.42 | 0.14 | 0.56 | (0.53 | ) | – | (0.53 | ) |
452 | 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 (%) | ||||||||||||||||||||
$ 15.39 | 10.39 | 0.68 | 1.12 | 2.74 | $24,429 | 598 | ||||||||||||||||||||
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 | ||||||||||||||||
15.39 | 9.63 | 1.32 | 1.70 | 2.03 | 3,992 | 598 | ||||||||||||||||||||
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 | ||||||||||||||||
15.38 | 10.41 | 0.58 | 0.89 | 2.71 | 157,901 | 598 | ||||||||||||||||||||
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 | ||||||||||||||||
15.40 | 10.63 | 0.46 | 0.98 | 3.11 | 11 | 598 | ||||||||||||||||||||
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 | ||||||||||||||||
15.39 | 10.61 | 0.47 | 0.70 | 2.62 | 13,782 | 598 | ||||||||||||||||||||
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 | ||||||||||||||||
15.39 | 9.97 | 1.08 | 1.67 | 2.49 | 29 | 598 | ||||||||||||||||||||
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 | ||||||||||||||||
15.39 | 10.09 | 0.95 | 1.47 | 2.43 | 188 | 598 | ||||||||||||||||||||
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 | ||||||||||||||||
15.39 | 10.35 | 0.73 | 1.31 | 2.84 | 30 | 598 | ||||||||||||||||||||
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 |
See Notes to Financial Statements. | 453 |
Financial Highlights (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 R5 | ||||||||||||||||||||||||||||
11/30/2019 | $14.41 | $0.47 | $ 1.04 | $ 1.51 | $(0.53 | ) | $ – | $(0.53 | ) | |||||||||||||||||||
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(c) | 15.00 | 0.46 | 0.14 | 0.60 | (0.57 | ) | – | (0.57 | ) | |||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
11/30/2019 | 14.41 | 0.47 | 1.04 | 1.51 | (0.53 | ) | – | (0.53 | ) | |||||||||||||||||||
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(c) | 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) | Commenced on December 2, 2015. |
(d) | Not annualized. |
(e) | Annualized. |
(f) | Commenced on April 4, 2017. |
454 | 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 (%) | ||||||||||||||||||||
$15.39 | 10.63 | 0.48 | 1.06 | 3.10 | $30 | 598 | ||||||||||||||||||||
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 | ||||||||||||||||
15.39 | 10.65 | 0.46 | 1.00 | 3.11 | 30 | 598 | ||||||||||||||||||||
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. | 455 |
Financial Highlights (continued)
CORPORATE BOND FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
11/30/2019 | $ | 9.32 | $ | 0.31 | $ | 0.99 | $ | 1.30 | $ | (0.39 | ) | $ | – | $ | (0.39 | ) | ||||||||||||
11/30/2018 | 10.06 | 0.31 | (0.64 | ) | (0.33 | ) | (0.40 | ) | (0.01 | ) | (0.41 | ) | ||||||||||||||||
4/19/2017 to 11/30/2017(c) | 10.00 | 0.17 | 0.13 | 0.30 | (0.24 | ) | – | (0.24 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
11/30/2019 | 9.32 | 0.24 | 0.99 | 1.23 | (0.32 | ) | – | (0.32 | ) | |||||||||||||||||||
11/30/2018 | 10.06 | 0.23 | (0.63 | ) | (0.40 | ) | (0.33 | ) | (0.01 | ) | (0.34 | ) | ||||||||||||||||
4/19/2017 to 11/30/2017(c) | 10.00 | 0.13 | 0.12 | 0.25 | (0.19 | ) | – | (0.19 | ) | |||||||||||||||||||
Class F | ||||||||||||||||||||||||||||
11/30/2019 | 9.34 | 0.32 | 0.99 | 1.31 | (0.40 | ) | – | (0.40 | ) | |||||||||||||||||||
11/30/2018 | 10.08 | 0.31 | (0.63 | ) | (0.32 | ) | (0.41 | ) | (0.01 | ) | (0.42 | ) | ||||||||||||||||
4/19/2017 to 11/30/2017(c) | 10.00 | 0.18 | 0.14 | 0.32 | (0.24 | ) | – | (0.24 | ) | |||||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
11/30/2019 | 9.32 | 0.34 | 0.98 | 1.32 | (0.41 | ) | – | (0.41 | ) | |||||||||||||||||||
11/30/2018 | 10.06 | 0.34 | (0.64 | ) | (0.30 | ) | (0.43 | ) | (0.01 | ) | (0.44 | ) | ||||||||||||||||
4/19/2017 to 11/30/2017(c) | 10.00 | 0.19 | 0.13 | 0.32 | (0.26 | ) | – | (0.26 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
11/30/2019 | 9.32 | 0.33 | 0.98 | 1.31 | (0.40 | ) | – | (0.40 | ) | |||||||||||||||||||
11/30/2018 | 10.06 | 0.32 | (0.63 | ) | (0.31 | ) | (0.42 | ) | (0.01 | ) | (0.43 | ) | ||||||||||||||||
4/19/2017 to 11/30/2017(c) | 10.00 | 0.19 | 0.12 | 0.31 | (0.25 | ) | – | (0.25 | ) | |||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
11/30/2019 | 9.32 | 0.27 | 0.99 | 1.26 | (0.35 | ) | – | (0.35 | ) | |||||||||||||||||||
11/30/2018 | 10.06 | 0.27 | (0.64 | ) | (0.37 | ) | (0.36 | ) | (0.01 | ) | (0.37 | ) | ||||||||||||||||
4/19/2017 to 11/30/2017(c) | 10.00 | 0.15 | 0.12 | 0.27 | (0.21 | ) | – | (0.21 | ) | |||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
11/30/2019 | 9.32 | 0.28 | 0.99 | 1.27 | (0.36 | ) | – | (0.36 | ) | |||||||||||||||||||
11/30/2018 | 10.06 | 0.28 | (0.64 | ) | (0.36 | ) | (0.37 | ) | (0.01 | ) | (0.38 | ) | ||||||||||||||||
4/19/2017 to 11/30/2017(c) | 10.00 | 0.15 | 0.13 | 0.28 | (0.22 | ) | – | (0.22 | ) | |||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
11/30/2019 | 9.32 | 0.30 | 0.99 | 1.29 | (0.38 | ) | – | (0.38 | ) | |||||||||||||||||||
11/30/2018 | 10.06 | 0.30 | (0.63 | ) | (0.33 | ) | (0.40 | ) | (0.01 | ) | (0.41 | ) | ||||||||||||||||
4/19/2017 to 11/30/2017(c) | 10.00 | 0.17 | 0.13 | 0.30 | (0.24 | ) | – | (0.24 | ) |
456 | 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 (%) | ||||||||||||||||||||
$ | 10.23 | 14.12 | 0.68 | 4.25 | 3.12 | $ | 769 | 54 | ||||||||||||||||||
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 | ||||||||||||||||
10.23 | 13.38 | 1.33 | 4.78 | 2.43 | 597 | 54 | ||||||||||||||||||||
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 | ||||||||||||||||
10.25 | 14.20 | 0.58 | 4.20 | 3.22 | 2,764 | 54 | ||||||||||||||||||||
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 | ||||||||||||||||
10.23 | 14.42 | 0.41 | 4.15 | 3.42 | 1,718 | 54 | ||||||||||||||||||||
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 | ||||||||||||||||
10.23 | 14.34 | 0.48 | 4.17 | 3.35 | 171 | 54 | ||||||||||||||||||||
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 | ||||||||||||||||
10.23 | 13.66 | 1.08 | 4.78 | 2.74 | 28 | 54 | ||||||||||||||||||||
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 | ||||||||||||||||
10.23 | 13.77 | 0.98 | 4.68 | 2.85 | 54 | 54 | ||||||||||||||||||||
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 | ||||||||||||||||
10.23 | 14.06 | 0.73 | 4.42 | 3.09 | 28 | 54 | ||||||||||||||||||||
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 |
See Notes to Financial Statements. | 457 |
Financial Highlights (continued)
CORPORATE BOND FUND
Per Share Operating Performance: | ||||||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net invest- ment income(a) | Net realized and unrealized gain (loss) | Total from invest- ment opera- tions | Net investment income | Net realized gain | Total distri- butions | ||||||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
11/30/2019 | $ | 9.32 | $ | 0.33 | $ | 0.99 | $ | 1.32 | $ | (0.40 | ) | $ | – | $ | (0.40 | ) | ||||||||||||
11/30/2018 | 10.06 | 0.33 | (0.64 | ) | (0.31 | ) | (0.42 | ) | (0.01 | ) | (0.43 | ) | ||||||||||||||||
4/19/2017 to 11/30/2017(c) | 10.00 | 0.19 | 0.12 | 0.31 | (0.25 | ) | – | (0.25 | ) | |||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
11/30/2019 | 9.32 | 0.34 | 0.98 | 1.32 | (0.41 | ) | – | (0.41 | ) | |||||||||||||||||||
11/30/2018 | 10.06 | 0.34 | (0.64 | ) | (0.30 | ) | (0.43 | ) | (0.01 | ) | (0.44 | ) | ||||||||||||||||
4/19/2017 to 11/30/2017(c) | 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) | Commenced on April 19, 2017. |
(d) | Not annualized. |
(e) | Annualized. |
458 | 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 (%) | ||||||||||||||||||||
$ | 10.24 | 14.45 | 0.48 | 4.17 | 3.34 | $ | 29 | 54 | ||||||||||||||||||
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 | ||||||||||||||||
10.23 | 14.42 | 0.41 | 4.15 | 3.42 | 1,718 | 54 | ||||||||||||||||||||
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. | 459 |
Financial Highlights (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 asset value, end of period | |||||||||||||||||||
Class A | ||||||||||||||||||||||||
11/30/2019 | $8.97 | $0.49 | $(0.24 | ) | $ 0.25 | $(0.49 | ) | $8.73 | ||||||||||||||||
11/30/2018 | 9.18 | 0.46 | (0.21 | ) | 0.25 | (0.46 | ) | 8.97 | ||||||||||||||||
11/30/2017 | 9.17 | 0.41 | 0.01 | 0.42 | (0.41 | ) | 9.18 | |||||||||||||||||
11/30/2016 | 8.89 | 0.41 | 0.28 | 0.69 | (0.41 | ) | 9.17 | |||||||||||||||||
11/30/2015 | 9.30 | 0.40 | (0.41 | ) | (0.01 | ) | (0.40 | ) | 8.89 | |||||||||||||||
Class C | ||||||||||||||||||||||||
11/30/2019 | 8.98 | 0.44 | (0.24 | ) | 0.20 | (0.44 | ) | 8.74 | ||||||||||||||||
11/30/2018 | 9.18 | 0.40 | (0.20 | ) | 0.20 | (0.40 | ) | 8.98 | ||||||||||||||||
11/30/2017 | 9.17 | 0.35 | 0.01 | 0.36 | (0.35 | ) | 9.18 | |||||||||||||||||
11/30/2016 | 8.89 | 0.35 | 0.28 | 0.63 | (0.35 | ) | 9.17 | |||||||||||||||||
11/30/2015 | 9.31 | 0.34 | (0.42 | ) | (0.08 | ) | (0.34 | ) | 8.89 | |||||||||||||||
Class F | ||||||||||||||||||||||||
11/30/2019 | 8.96 | 0.50 | (0.24 | ) | 0.26 | (0.50 | ) | 8.72 | ||||||||||||||||
11/30/2018 | 9.17 | 0.47 | (0.21 | ) | 0.26 | (0.47 | ) | 8.96 | ||||||||||||||||
11/30/2017 | 9.16 | 0.42 | 0.01 | 0.43 | (0.42 | ) | 9.17 | |||||||||||||||||
11/30/2016 | 8.88 | 0.42 | 0.28 | 0.70 | (0.42 | ) | 9.16 | |||||||||||||||||
11/30/2015 | 9.29 | 0.41 | (0.41 | ) | – | (0.41 | ) | 8.88 | ||||||||||||||||
Class F3 | ||||||||||||||||||||||||
11/30/2019 | 8.98 | 0.52 | (0.23 | ) | 0.29 | (0.52 | ) | 8.75 | ||||||||||||||||
11/30/2018 | 9.19 | 0.49 | (0.22 | ) | 0.27 | (0.48 | ) | 8.98 | ||||||||||||||||
4/4/2017 to 11/30/2017(c) | 9.23 | 0.28 | (0.04 | ) | 0.24 | (0.28 | ) | 9.19 | ||||||||||||||||
Class I | ||||||||||||||||||||||||
11/30/2019 | 8.97 | 0.51 | (0.23 | ) | 0.28 | (0.51 | ) | 8.74 | ||||||||||||||||
11/30/2018 | 9.18 | 0.48 | (0.21 | ) | 0.27 | (0.48 | ) | 8.97 | ||||||||||||||||
11/30/2017 | 9.17 | 0.42 | 0.02 | 0.44 | (0.43 | ) | 9.18 | |||||||||||||||||
11/30/2016 | 8.89 | 0.43 | 0.28 | 0.71 | (0.43 | ) | 9.17 | |||||||||||||||||
11/30/2015 | 9.31 | 0.42 | (0.42 | ) | – | (0.42 | ) | 8.89 | ||||||||||||||||
Class R2 | ||||||||||||||||||||||||
11/30/2019 | 8.98 | 0.46 | (0.24 | ) | 0.22 | (0.46 | ) | 8.74 | ||||||||||||||||
11/30/2018 | 9.19 | 0.43 | (0.22 | ) | 0.21 | (0.42 | ) | 8.98 | ||||||||||||||||
11/30/2017 | 9.18 | 0.37 | 0.01 | 0.38 | (0.37 | ) | 9.19 | |||||||||||||||||
11/30/2016 | 8.90 | 0.37 | 0.28 | 0.65 | (0.37 | ) | 9.18 | |||||||||||||||||
11/30/2015 | 9.31 | 0.36 | (0.41 | ) | (0.05 | ) | (0.36 | ) | 8.90 |
460 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||
Total return(b) (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||
2.90 | 0.81 | 5.56 | $2,462,684 | 58 | ||||||||||||||
2.74 | 0.79 | 5.05 | 3,653,385 | 68 | ||||||||||||||
4.65 | 0.79 | 4.43 | 3,530,233 | 81 | ||||||||||||||
7.95 | 0.80 | 4.56 | 3,003,142 | 78 | ||||||||||||||
(0.14 | ) | 0.80 | 4.35 | 2,365,305 | 77 | |||||||||||||
2.37 | 1.45 | 4.93 | 1,141,085 | 58 | ||||||||||||||
2.10 | 1.43 | 4.42 | 1,627,126 | 68 | ||||||||||||||
3.98 | 1.44 | 3.80 | 1,587,964 | 81 | ||||||||||||||
7.29 | 1.43 | 3.95 | 1,547,969 | 78 | ||||||||||||||
(0.88 | ) | 1.44 | 3.72 | 1,479,103 | 77 | |||||||||||||
3.00 | 0.71 | 5.65 | 4,007,181 | 58 | ||||||||||||||
2.84 | 0.69 | 5.17 | 6,725,819 | 68 | ||||||||||||||
4.75 | 0.69 | 4.52 | 4,877,793 | 81 | ||||||||||||||
8.06 | 0.70 | 4.64 | 3,564,772 | 78 | ||||||||||||||
(0.05 | ) | 0.70 | 4.45 | 2,073,567 | 77 | |||||||||||||
3.17 | 0.54 | 5.83 | 147,359 | 58 | ||||||||||||||
3.00 | 0.53 | 5.29 | 277,822 | 68 | ||||||||||||||
2.67 | (d) | 0.54 | (e) | 4.68 | (e) | 203,910 | 81 | |||||||||||
3.22 | 0.61 | 5.75 | 1,475,395 | 58 | ||||||||||||||
2.94 | 0.59 | 5.27 | 2,462,923 | 68 | ||||||||||||||
4.85 | 0.60 | 4.61 | 1,744,687 | 81 | ||||||||||||||
8.16 | 0.60 | 4.75 | 605,018 | 78 | ||||||||||||||
(0.05 | ) | 0.60 | 4.54 | 366,250 | 77 | |||||||||||||
2.50 | 1.21 | 5.16 | 1,471 | 58 | ||||||||||||||
2.35 | 1.19 | 4.68 | 1,579 | 68 | ||||||||||||||
4.24 | 1.20 | 4.04 | 1,254 | 81 | ||||||||||||||
7.53 | 1.20 | 4.16 | 751 | 78 | ||||||||||||||
(0.53 | ) | 1.20 | 3.95 | 452 | 77 |
See Notes to Financial Statements. | 461 |
Financial Highlights (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 asset value, end of period | |||||||||||||||||||
Class R3 | ||||||||||||||||||||||||
11/30/2019 | $8.97 | $0.47 | $(0.23 | ) | $ 0.24 | $(0.47 | ) | $8.74 | ||||||||||||||||
11/30/2018 | 9.18 | 0.44 | (0.22 | ) | 0.22 | (0.43 | ) | 8.97 | ||||||||||||||||
11/30/2017 | 9.17 | 0.38 | 0.01 | 0.39 | (0.38 | ) | 9.18 | |||||||||||||||||
11/30/2016 | 8.89 | 0.38 | 0.28 | 0.66 | (0.38 | ) | 9.17 | |||||||||||||||||
11/30/2015 | 9.31 | 0.37 | (0.42 | ) | (0.05 | ) | (0.37 | ) | 8.89 | |||||||||||||||
Class R4 | ||||||||||||||||||||||||
11/30/2019 | 8.97 | 0.49 | (0.24 | ) | 0.25 | (0.49 | ) | 8.73 | ||||||||||||||||
11/30/2018 | 9.18 | 0.47 | (0.22 | ) | 0.25 | (0.46 | ) | 8.97 | ||||||||||||||||
11/30/2017 | 9.17 | 0.40 | 0.01 | 0.41 | (0.40 | ) | 9.18 | |||||||||||||||||
11/30/2016 | 8.89 | 0.41 | 0.28 | 0.69 | (0.41 | ) | 9.17 | |||||||||||||||||
6/30/2015 to 11/30/2015(f) | 9.21 | 0.17 | (0.32 | ) | (0.15 | ) | (0.17 | ) | 8.89 | |||||||||||||||
Class R5 | ||||||||||||||||||||||||
11/30/2019 | 8.98 | 0.51 | (0.23 | ) | 0.28 | (0.51 | ) | 8.75 | ||||||||||||||||
11/30/2018 | 9.19 | 0.51 | (0.24 | ) | 0.27 | (0.48 | ) | 8.98 | ||||||||||||||||
11/30/2017 | 9.18 | 0.43 | 0.01 | 0.44 | (0.43 | ) | 9.19 | |||||||||||||||||
11/30/2016 | 8.90 | 0.43 | 0.28 | 0.71 | (0.43 | ) | 9.18 | |||||||||||||||||
6/30/2015 to 11/30/2015(f) | 9.22 | 0.18 | (0.32 | ) | (0.14 | ) | (0.18 | ) | 8.90 | |||||||||||||||
Class R6 | ||||||||||||||||||||||||
11/30/2019 | 8.98 | 0.51 | (0.23 | ) | 0.28 | (0.52 | ) | 8.74 | ||||||||||||||||
11/30/2018 | 9.19 | 0.49 | (0.22 | ) | 0.27 | (0.48 | ) | 8.98 | ||||||||||||||||
11/30/2017 | 9.18 | 0.43 | 0.01 | 0.44 | (0.43 | ) | 9.19 | |||||||||||||||||
11/30/2016 | 8.90 | 0.44 | 0.27 | 0.71 | (0.43 | ) | 9.18 | |||||||||||||||||
6/30/2015 to 11/30/2015(f) | 9.22 | 0.17 | (0.31 | ) | (0.14 | ) | (0.18 | ) | 8.90 |
(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) | Commenced on April 4, 2017. |
(d) | Not annualized. |
(e) | Annualized. |
(f) | Commenced on June 30, 2015. |
462 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||
Total return(b) (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||
2.71 | 1.12 | 5.26 | $ | 52,957 | 58 | |||||||||||||
2.45 | 1.09 | 4.78 | 52,978 | 68 | ||||||||||||||
4.35 | 1.10 | 4.15 | 43,115 | 81 | ||||||||||||||
7.64 | 1.10 | 4.28 | 34,215 | 78 | ||||||||||||||
(0.54 | ) | 1.10 | 4.06 | 26,232 | 77 | |||||||||||||
2.85 | 0.86 | 5.54 | 5,240 | 58 | ||||||||||||||
2.70 | 0.85 | 5.16 | 21,747 | 68 | ||||||||||||||
4.60 | 0.84 | 4.37 | 5,134 | 81 | ||||||||||||||
7.90 | 0.85 | 4.45 | 2,302 | 78 | ||||||||||||||
(1.69 | )(d) | 0.81 | (e) | 4.36 | (e) | 10 | 77 | |||||||||||
3.23 | 0.62 | 5.79 | 6,661 | 58 | ||||||||||||||
2.96 | 0.60 | 5.62 | 44,385 | 68 | ||||||||||||||
4.87 | 0.60 | 4.65 | 2,542 | 81 | ||||||||||||||
8.18 | 0.60 | 4.77 | 303 | 78 | ||||||||||||||
(1.57 | )(d) | 0.56 | (e) | 4.62 | (e) | 10 | 77 | |||||||||||
3.16 | 0.55 | 5.77 | 109,741 | 58 | ||||||||||||||
3.01 | 0.53 | 5.35 | 63,275 | 68 | ||||||||||||||
4.93 | 0.54 | 4.70 | 36,295 | 81 | ||||||||||||||
8.24 | 0.54 | 4.84 | 12,047 | 78 | ||||||||||||||
(1.56 | )(d) | 0.56 | (e) | 4.61 | (e) | 8,144 | 77 |
See Notes to Financial Statements. | 463 |
Financial Highlights (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 | ||||||||||||||||||||||||||||
11/30/2019 | $7.13 | $0.40 | $ 0.25 | $ 0.65 | $(0.41 | ) | $ – | $(0.41 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||
Class C | ||||||||||||||||||||||||||||
11/30/2019 | 7.09 | 0.35 | 0.26 | 0.61 | (0.37 | ) | – | (0.37 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||
Class F | ||||||||||||||||||||||||||||
11/30/2019 | 7.12 | 0.40 | 0.26 | 0.66 | (0.42 | ) | – | (0.42 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
11/30/2019 | 7.16 | 0.42 | 0.27 | 0.69 | (0.44 | ) | – | (0.44 | ) | |||||||||||||||||||
11/30/2018 | 7.75 | 0.43 | (0.56 | ) | (0.13 | ) | (0.46 | ) | – | (0.46 | ) | |||||||||||||||||
4/4/2017 to 11/30/2017(c) | 7.65 | 0.28 | 0.12 | 0.40 | (0.30 | ) | – | (0.30 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
11/30/2019 | 7.16 | 0.41 | 0.26 | 0.67 | (0.43 | ) | – | (0.43 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||
Class P | ||||||||||||||||||||||||||||
11/30/2019 | 7.23 | 0.39 | 0.26 | 0.65 | (0.40 | ) | – | (0.40 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||
464 | 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 (%) | ||||||||||||||||||||
$7.37 | 9.37 | 0.91 | 0.91 | 5.42 | $ | 1,218,731 | 86 | |||||||||||||||||||
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 | |||||||||||||||||||
7.33 | 8.72 | 1.53 | 1.53 | 4.81 | 376,682 | 86 | ||||||||||||||||||||
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 | |||||||||||||||||||
7.36 | 9.48 | 0.81 | 0.81 | 5.52 | 2,144,680 | 86 | ||||||||||||||||||||
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 | |||||||||||||||||||
7.41 | 9.82 | 0.62 | 0.62 | 5.72 | 555,795 | 86 | ||||||||||||||||||||
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 | ||||||||||||||||
7.40 | 9.57 | 0.71 | 0.71 | 5.61 | 1,610,253 | 86 | ||||||||||||||||||||
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 | |||||||||||||||||||
7.48 | 9.20 | 1.15 | 1.15 | 5.36 | 51 | 86 | ||||||||||||||||||||
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 | |||||||||||||||||||
See Notes to Financial Statements. | 465 |
Financial Highlights (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 | ||||||||||||||||||||||||||||
11/30/2019 | $7.17 | $0.37 | $ 0.26 | $ 0.63 | $(0.39 | ) | $ – | $(0.39 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
11/30/2019 | 7.17 | 0.38 | 0.25 | 0.63 | (0.39 | ) | – | (0.39 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
11/30/2019 | 7.12 | 0.39 | 0.27 | 0.66 | (0.41 | ) | – | (0.41 | ) | |||||||||||||||||||
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(f) | 7.54 | 0.16 | (0.43 | ) | (0.27 | ) | (0.17 | ) | – | (0.17 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
11/30/2019 | 7.15 | 0.41 | 0.27 | 0.68 | (0.43 | ) | – | (0.43 | ) | |||||||||||||||||||
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(f) | 7.57 | 0.17 | (0.43 | ) | (0.26 | ) | (0.18 | ) | – | (0.18 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
11/30/2019 | 7.16 | 0.42 | 0.27 | 0.69 | (0.44 | ) | – | (0.44 | ) | |||||||||||||||||||
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(f) | 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) | Commenced on April 4, 2017. |
(d) | Not annualized. |
(e) | Annualized. |
(f) | Commenced on June 30, 2015. |
466 | 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 (%) | ||||||||||||||||||||
$7.41 | 8.93 | 1.30 | 1.30 | 5.05 | $ | 11,284 | 86 | |||||||||||||||||||
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 | |||||||||||||||||||
7.41 | 9.03 | 1.21 | 1.21 | 5.14 | 117,517 | 86 | ||||||||||||||||||||
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 | |||||||||||||||||||
7.37 | 9.48 | 0.96 | 0.96 | 5.38 | 109,351 | 86 | ||||||||||||||||||||
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 | ||||||||||||||||
7.40 | 9.73 | 0.71 | 0.71 | 5.64 | 289,988 | 86 | ||||||||||||||||||||
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 | ||||||||||||||||
7.41 | 9.82 | 0.62 | 0.62 | 5.71 | 620,871 | 86 | ||||||||||||||||||||
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. | 467 |
Financial Highlights (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 | ||||||||||||||||||||||||||||
11/30/2019 | $2.67 | $0.10 | $ 0.24 | $ 0.34 | $(0.11 | ) | $ – | $(0.11 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||
Class C | ||||||||||||||||||||||||||||
11/30/2019 | 2.69 | 0.08 | 0.25 | 0.33 | (0.10 | ) | – | (0.10 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||
Class F | ||||||||||||||||||||||||||||
11/30/2019 | 2.67 | 0.10 | 0.26 | 0.36 | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
11/30/2019 | 2.67 | 0.11 | 0.24 | 0.35 | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||||
11/30/2018 | 2.86 | 0.10 | (0.17 | ) | (0.07 | ) | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||
4/4/2017 to 11/30/2017(c) | 2.82 | 0.06 | 0.05 | 0.11 | (0.07 | ) | – | (0.07 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
11/30/2019 | 2.67 | 0.10 | 0.26 | 0.36 | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
11/30/2019 | 2.70 | 0.09 | 0.24 | 0.33 | (0.10 | ) | – | (0.10 | ) | |||||||||||||||||||
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 | ) |
468 | 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 (%) | ||||||||||||||||||||
$2.90 | 13.02 | 0.77 | 0.77 | 3.53 | $ | 1,054,889 | 108 | |||||||||||||||||||
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 | 12.26 | 1.38 | 1.38 | 2.93 | 162,000 | 108 | ||||||||||||||||||||
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 | |||||||||||||||||||
2.91 | 13.09 | 0.67 | 0.67 | 3.61 | 591,492 | 108 | ||||||||||||||||||||
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 | |||||||||||||||||||
2.90 | 13.33 | 0.49 | 0.49 | 3.79 | 586,822 | 108 | ||||||||||||||||||||
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 | ||||||||||||||||
2.91 | 13.63 | 0.57 | 0.57 | 3.73 | 184,515 | 108 | ||||||||||||||||||||
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 | |||||||||||||||||||
2.93 | 12.47 | 1.17 | 1.17 | 3.17 | 1,285 | 108 | ||||||||||||||||||||
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 | |||||||||||||||||||
See Notes to Financial Statements. | 469 |
Financial Highlights (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 R3 | ||||||||||||||||||||||||||||
11/30/2019 | $2.68 | $0.09 | $ 0.24 | $ 0.33 | $(0.10 | ) | $ – | $(0.10 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
11/30/2019 | 2.67 | 0.10 | 0.24 | 0.34 | (0.11 | ) | – | (0.11 | ) | |||||||||||||||||||
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(f) | 2.81 | 0.04 | (0.09 | ) | (0.05 | ) | (0.05 | ) | – | (0.05 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
11/30/2019 | 2.68 | 0.11 | 0.24 | 0.35 | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||||
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(f) | 2.81 | 0.05 | (0.10 | ) | (0.05 | ) | (0.05 | ) | – | (0.05 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
11/30/2019 | 2.67 | 0.11 | 0.24 | 0.35 | (0.12 | ) | – | (0.12 | ) | |||||||||||||||||||
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(f) | 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) | Commenced on April 4, 2017. |
(d) | Not annualized. |
(e) | Annualized. |
(f) | Commenced on June 30, 2015. |
470 | 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 (%) | ||||||||||||||||||||
$2.91 | 12.65 | 1.07 | 1.07 | 3.24 | $ | 55,317 | 108 | |||||||||||||||||||
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 | |||||||||||||||||||
2.90 | 12.97 | 0.82 | 0.82 | 3.46 | 9,218 | 108 | ||||||||||||||||||||
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 | ||||||||||||||||
2.91 | 13.21 | 0.57 | 0.57 | 3.73 | 6,099 | 108 | ||||||||||||||||||||
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 | ||||||||||||||||
2.90 | 13.34 | 0.49 | 0.49 | 3.81 | 52,133 | 108 | ||||||||||||||||||||
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. | 471 |
Financial Highlights (continued)
INFLATION FOCUSED FUND
Per Share Operating Performance: | ||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||
Net asset value, beginning of period | Net investment income(a) | Net realized and unrealized gain (loss) | Total from investment operations | Net investment income | Net asset value, end of period | |||||||||||||||||||
Class A | ||||||||||||||||||||||||
11/30/2019 | $11.55 | $0.34 | $(0.21 | ) | $ 0.13 | $(0.45 | ) | $11.23 | ||||||||||||||||
11/30/2018 | 11.88 | 0.29 | (0.17 | ) | 0.12 | (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 | |||||||||||||||
Class C | ||||||||||||||||||||||||
11/30/2019 | 11.57 | 0.27 | (0.21 | ) | 0.06 | (0.38 | ) | 11.25 | ||||||||||||||||
11/30/2018 | 11.90 | 0.22 | (0.18 | ) | 0.04 | (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 | |||||||||||||||
Class F | ||||||||||||||||||||||||
11/30/2019 | 11.57 | 0.35 | (0.21 | ) | 0.14 | (0.47 | ) | 11.24 | ||||||||||||||||
11/30/2018 | 11.89 | 0.31 | (0.17 | ) | 0.14 | (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 | |||||||||||||||
Class F3 | ||||||||||||||||||||||||
11/30/2019 | 11.55 | 0.37 | (0.21 | ) | 0.16 | (0.48 | ) | 11.23 | ||||||||||||||||
11/30/2018 | 11.88 | 0.33 | (0.18 | ) | 0.15 | (0.48 | ) | 11.55 | ||||||||||||||||
4/4/2017 to 11/30/2017(c) | 12.17 | 0.19 | (0.15 | ) | 0.04 | (0.33 | ) | 11.88 | ||||||||||||||||
Class I | ||||||||||||||||||||||||
11/30/2019 | 11.56 | 0.36 | (0.20 | ) | 0.16 | (0.48 | ) | 11.24 | ||||||||||||||||
11/30/2018 | 11.89 | 0.32 | (0.18 | ) | 0.14 | (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 | |||||||||||||||
Class R2 | ||||||||||||||||||||||||
11/30/2019 | 11.55 | 0.30 | (0.22 | ) | 0.08 | (0.41 | ) | 11.22 | ||||||||||||||||
11/30/2018 | 11.87 | 0.24 | (0.16 | ) | 0.08 | (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 |
472 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||
Total return(b) (%) | Total expenses after waivers and/or reim- bursements (%) | Total expenses (%) | Net investment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | |||||||||||||||||
1.19 | 0.69 | 0.69 | 2.97 | $ | 109,626 | 43 | ||||||||||||||||
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 | ||||||||||||||||
0.55 | 1.33 | 1.33 | 2.33 | 28,655 | 43 | |||||||||||||||||
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 | ||||||||||||||||
1.20 | 0.59 | 0.59 | 3.06 | 285,297 | 43 | |||||||||||||||||
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 | ||||||||||||||||
1.46 | 0.42 | 0.42 | 3.24 | 10,645 | 43 | |||||||||||||||||
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 | |||||||||||||
1.39 | 0.49 | 0.49 | 3.16 | 631,037 | 43 | |||||||||||||||||
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 | ||||||||||||||||
0.70 | 1.08 | 1.08 | 2.59 | 51 | 43 | |||||||||||||||||
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 | ||||||||||||||||
See Notes to Financial Statements. | 473 |
Financial Highlights (continued)
INFLATION FOCUSED FUND
Per Share Operating Performance: | ||||||||||||||||||||||||
Investment operations: | Distributions to shareholders from: | |||||||||||||||||||||||
Net asset value, beginning of period | Net investment income(a) | Net realized and unrealized gain (loss) | Total from investment operations | Net investment income | Net asset value, end of period | |||||||||||||||||||
Class R3 | ||||||||||||||||||||||||
11/30/2019 | $11.56 | $0.30 | $(0.21 | ) | $ 0.09 | $(0.42 | ) | $11.23 | ||||||||||||||||
11/30/2018 | 11.88 | 0.26 | (0.17 | ) | 0.09 | (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 | |||||||||||||||
Class R4 | ||||||||||||||||||||||||
11/30/2019 | 11.56 | 0.33 | (0.21 | ) | 0.12 | (0.45 | ) | 11.23 | ||||||||||||||||
11/30/2018 | 11.88 | 0.30 | (0.18 | ) | 0.12 | (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(f) | 12.87 | 0.11 | (0.50 | ) | (0.39 | ) | (0.21 | ) | 12.27 | |||||||||||||||
Class R5 | ||||||||||||||||||||||||
11/30/2019 | 11.55 | 0.36 | (0.20 | ) | 0.16 | (0.48 | ) | 11.23 | ||||||||||||||||
11/30/2018 | 11.88 | 0.33 | (0.19 | ) | 0.14 | (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(f) | 12.87 | 0.12 | (0.50 | ) | (0.38 | ) | (0.22 | ) | 12.27 | |||||||||||||||
Class R6 | ||||||||||||||||||||||||
11/30/2019 | 11.56 | 0.37 | (0.21 | ) | 0.16 | (0.49 | ) | 11.23 | ||||||||||||||||
11/30/2018 | 11.88 | 0.33 | (0.17 | ) | 0.16 | (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(f) | 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) | Commenced on April 4, 2017. |
(d) | Not annualized. |
(e) | Annualized. |
(f) | Commenced on June 30, 2015. |
474 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||||||
Total return(b) (%) | Total expenses after waivers and/or reim- bursements (%) | Total expenses (%) | Net investment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | |||||||||||||||||
0.80 | 0.99 | 0.99 | 2.66 | $ | 104 | 43 | ||||||||||||||||
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 | ||||||||||||||||
1.05 | 0.74 | 0.74 | 2.91 | 3,174 | 43 | |||||||||||||||||
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 | |||||||||||||
1.39 | 0.49 | 0.49 | 3.17 | 334 | 43 | |||||||||||||||||
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 | |||||||||||||
1.37 | 0.42 | 0.42 | 3.25 | 35,167 | 43 | |||||||||||||||||
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. | 475 |
Financial Highlights (continued)
SHORT DURATION CORE BOND FUND
Per Share Operating Performance: | ||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||
Net asset value, beginning of period | Net investment income(a) | Net realized and unrealized gain (loss) | Total from investment operations | Net invest- ment income | ||||||||||||||||
Class A | ||||||||||||||||||||
11/30/2019 | $ 9.72 | $0.24 | $ 0.23 | $0.47 | $(0.30 | ) | ||||||||||||||
11/30/2018 | 9.92 | 0.22 | (0.12 | ) | 0.10 | (0.30 | ) | |||||||||||||
4/19/2017 to 11/30/2017(c) | 10.00 | 0.09 | (0.02 | ) | 0.07 | (0.15 | ) | |||||||||||||
Class C | ||||||||||||||||||||
11/30/2019 | 9.72 | 0.17 | 0.23 | 0.40 | (0.23 | ) | ||||||||||||||
11/30/2018 | 9.92 | 0.14 | (0.11 | ) | 0.03 | (0.23 | ) | |||||||||||||
4/19/2017 to 11/30/2017(c) | 10.00 | 0.04 | (0.02 | ) | 0.02 | (0.10 | ) | |||||||||||||
Class F | ||||||||||||||||||||
11/30/2019 | 9.72 | 0.24 | 0.24 | 0.48 | (0.31 | ) | ||||||||||||||
11/30/2018 | 9.92 | 0.23 | (0.12 | ) | 0.11 | (0.31 | ) | |||||||||||||
4/19/2017 to 11/30/2017(c) | 10.00 | 0.09 | (0.01 | ) | 0.08 | (0.16 | ) | |||||||||||||
Class F3 | ||||||||||||||||||||
11/30/2019 | 9.72 | 0.27 | 0.22 | 0.49 | (0.32 | ) | ||||||||||||||
11/30/2018 | 9.92 | 0.24 | (0.11 | ) | 0.13 | (0.33 | ) | |||||||||||||
4/19/2017 to 11/30/2017(c) | 10.00 | 0.11 | (0.02 | ) | 0.09 | (0.17 | ) | |||||||||||||
Class I | ||||||||||||||||||||
11/30/2019 | 9.71 | 0.24 | 0.26 | 0.50 | (0.32 | ) | ||||||||||||||
11/30/2018 | 9.92 | 0.24 | (0.13 | ) | 0.11 | (0.32 | ) | |||||||||||||
4/19/2017 to 11/30/2017(c) | 10.00 | 0.10 | (0.02 | ) | 0.08 | (0.16 | ) | |||||||||||||
Class R2 | ||||||||||||||||||||
11/30/2019 | 9.72 | 0.20 | 0.23 | 0.43 | (0.26 | ) | ||||||||||||||
11/30/2018 | 9.92 | 0.18 | (0.12 | ) | 0.06 | (0.26 | ) | |||||||||||||
4/19/2017 to 11/30/2017(c) | 10.00 | 0.06 | (0.01 | ) | 0.05 | (0.13 | ) | |||||||||||||
Class R3 | ||||||||||||||||||||
11/30/2019 | 9.72 | 0.21 | 0.23 | 0.44 | (0.27 | ) | ||||||||||||||
11/30/2018 | 9.92 | 0.19 | (0.12 | ) | 0.07 | (0.27 | ) | |||||||||||||
4/19/2017 to 11/30/2017(c) | 10.00 | 0.07 | (0.02 | ) | 0.05 | (0.13 | ) | |||||||||||||
Class R4 | ||||||||||||||||||||
11/30/2019 | 9.72 | 0.24 | 0.22 | 0.46 | (0.29 | ) | ||||||||||||||
11/30/2018 | 9.92 | 0.21 | (0.11 | ) | 0.10 | (0.30 | ) | |||||||||||||
4/19/2017 to 11/30/2017(c) | 10.00 | 0.08 | (0.01 | ) | 0.07 | (0.15 | ) |
476 | 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 investment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$9.89 | 4.87 | 0.60 | 1.81 | 2.47 | $ | 8,032 | 136 | |||||||||||||||||||
9.72 | 1.04 | 0.60 | 3.11 | 2.21 | 3,844 | 177 | ||||||||||||||||||||
9.92 | 0.70 | (d) | 0.60 | (e) | 3.42 | (e) | 1.43 | (e) | 1,775 | 216 | ||||||||||||||||
9.89 | 4.15 | 1.29 | 2.54 | 1.77 | 2,238 | 136 | ||||||||||||||||||||
9.72 | 0.27 | 1.39 | 3.88 | 1.42 | 1,083 | 177 | ||||||||||||||||||||
9.92 | 0.22 | (d) | 1.37 | (e) | 4.11 | (e) | 0.70 | (e) | 806 | 216 | ||||||||||||||||
9.89 | 4.97 | 0.50 | 1.46 | 2.40 | 29,007 | 136 | ||||||||||||||||||||
9.72 | 1.14 | 0.50 | 3.00 | 2.32 | 4,212 | 177 | ||||||||||||||||||||
9.92 | 0.77 | (d) | 0.50 | (e) | 3.37 | (e) | 1.52 | (e) | 1,894 | 216 | ||||||||||||||||
9.89 | 5.13 | 0.36 | 1.64 | 2.72 | 1,612 | 136 | ||||||||||||||||||||
9.72 | 1.34 | 0.32 | 2.87 | 2.47 | 1,533 | 177 | ||||||||||||||||||||
9.92 | 0.89 | (d) | 0.30 | (e) | 3.25 | (e) | 1.71 | (e) | 1,513 | 216 | ||||||||||||||||
9.89 | 5.18 | 0.40 | 1.35 | 2.49 | 1,821 | 136 | ||||||||||||||||||||
9.71 | 1.14 | 0.40 | 2.88 | 2.42 | 127 | 177 | ||||||||||||||||||||
9.92 | 0.83 | (d) | 0.40 | (e) | 3.35 | (e) | 1.61 | (e) | 50 | 216 | ||||||||||||||||
9.89 | 4.46 | 1.00 | 2.29 | 2.07 | 26 | 136 | ||||||||||||||||||||
9.72 | 0.65 | 1.00 | 3.47 | 1.79 | 25 | 177 | ||||||||||||||||||||
9.92 | 0.47 | (d) | 1.00 | (e) | 3.94 | (e) | 1.00 | (e) | 25 | 216 | ||||||||||||||||
9.89 | 4.56 | 0.90 | 2.14 | 2.17 | 76 | 136 | ||||||||||||||||||||
9.72 | 0.75 | 0.90 | 3.42 | 1.92 | 49 | 177 | ||||||||||||||||||||
9.92 | 0.53 | (d) | 0.90 | (e) | 3.84 | (e) | 1.09 | (e) | 25 | 216 | ||||||||||||||||
9.89 | 4.82 | 0.65 | 1.95 | 2.42 | 27 | 136 | ||||||||||||||||||||
9.72 | 1.00 | 0.65 | 3.13 | 2.14 | 25 | 177 | ||||||||||||||||||||
9.92 | 0.68 | (d) | 0.65 | (e) | 3.56 | (e) | 1.35 | (e) | 25 | 216 | ||||||||||||||||
See Notes to Financial Statements. | 477 |
Financial Highlights (continued)
SHORT DURATION CORE BOND FUND
Per Share Operating Performance: | ||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||
Net asset value, beginning of period | Net investment income(a) | Net realized and unrealized gain (loss) | Total from investment operations | Net invest- ment income | ||||||||||||||||
Class R5 | ||||||||||||||||||||
11/30/2019 | $ 9.72 | $0.26 | $ 0.23 | $0.49 | $(0.32 | ) | ||||||||||||||
11/30/2018 | 9.92 | 0.23 | (0.11 | ) | 0.12 | (0.32 | ) | |||||||||||||
4/19/2017 to 11/30/2017(c) | 10.00 | 0.10 | (0.02 | ) | 0.08 | (0.16 | ) | |||||||||||||
Class R6 | ||||||||||||||||||||
11/30/2019 | 9.72 | 0.27 | 0.22 | 0.49 | (0.32 | ) | ||||||||||||||
11/30/2018 | 9.92 | 0.24 | (0.11 | ) | 0.13 | (0.33 | ) | |||||||||||||
4/19/2017 to 11/30/2017(c) | 10.00 | 0.11 | (0.02 | ) | 0.09 | (0.17 | ) |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for Classes A and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(c) | Commenced on April 19, 2017. |
(d) | Not annualized. |
(e) | Annualized. |
478 | 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 investment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||||||||
$9.89 | 5.08 | 0.40 | 1.69 | 2.67 | $ | 27 | 136 | |||||||||||||||||||
9.72 | 1.25 | 0.40 | 2.88 | 2.39 | 26 | 177 | ||||||||||||||||||||
9.92 | 0.83 | (d) | 0.40 | (e) | 3.34 | (e) | 1.60 | (e) | 25 | 216 | ||||||||||||||||
9.89 | 5.13 | 0.36 | 1.63 | 2.72 | 1,961 | 136 | ||||||||||||||||||||
9.72 | 1.34 | 0.32 | 2.87 | 2.48 | 1,653 | 177 | ||||||||||||||||||||
9.92 | 0.89 | (d) | 0.30 | (e) | 3.25 | (e) | 1.71 | (e) | 1,513 | 216 | ||||||||||||||||
See Notes to Financial Statements. | 479 |
Financial Highlights (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 asset value, end of period | |||||||||||||||||||
Class A | ||||||||||||||||||||||||
11/30/2019 | $4.14 | $0.12 | $ 0.10 | $ 0.22 | $(0.15 | ) | $4.21 | |||||||||||||||||
11/30/2018 | 4.26 | 0.11 | (0.07 | ) | 0.04 | (0.16 | ) | 4.14 | ||||||||||||||||
11/30/2017 | 4.31 | 0.09 | 0.02 | 0.11 | (0.16 | ) | 4.26 | |||||||||||||||||
11/30/2016 | 4.35 | 0.11 | 0.02 | 0.13 | (0.17 | ) | 4.31 | |||||||||||||||||
11/30/2015 | 4.50 | 0.10 | (0.08 | ) | 0.02 | (0.17 | ) | 4.35 | ||||||||||||||||
Class C | ||||||||||||||||||||||||
11/30/2019 | 4.17 | 0.10 | 0.09 | 0.19 | (0.13 | ) | 4.23 | |||||||||||||||||
11/30/2018 | 4.29 | 0.09 | (0.08 | ) | 0.01 | (0.13 | ) | 4.17 | ||||||||||||||||
11/30/2017 | 4.34 | 0.07 | 0.01 | 0.08 | (0.13 | ) | 4.29 | |||||||||||||||||
11/30/2016 | 4.38 | 0.08 | 0.02 | 0.10 | (0.14 | ) | 4.34 | |||||||||||||||||
11/30/2015 | 4.53 | 0.07 | (0.08 | ) | (0.01 | ) | (0.14 | ) | 4.38 | |||||||||||||||
Class F | ||||||||||||||||||||||||
11/30/2019 | 4.14 | 0.13 | 0.10 | 0.23 | (0.16 | ) | 4.21 | |||||||||||||||||
11/30/2018 | 4.26 | 0.12 | (0.08 | ) | 0.04 | (0.16 | ) | 4.14 | ||||||||||||||||
11/30/2017 | 4.31 | 0.10 | 0.01 | 0.11 | (0.16 | ) | 4.26 | |||||||||||||||||
11/30/2016 | 4.35 | 0.11 | 0.02 | 0.13 | (0.17 | ) | 4.31 | |||||||||||||||||
11/30/2015 | 4.50 | 0.11 | (0.08 | ) | 0.03 | (0.18 | ) | 4.35 | ||||||||||||||||
Class F3 | ||||||||||||||||||||||||
11/30/2019 | 4.14 | 0.13 | 0.10 | 0.23 | (0.16 | ) | 4.21 | |||||||||||||||||
11/30/2018 | 4.26 | 0.12 | (0.07 | ) | 0.05 | (0.17 | ) | 4.14 | ||||||||||||||||
4/4/2017 to 11/30/2017(c) | 4.30 | 0.07 | – | 0.07 | (0.11 | ) | 4.26 | |||||||||||||||||
Class I | ||||||||||||||||||||||||
11/30/2019 | 4.14 | 0.13 | 0.10 | 0.23 | (0.16 | ) | 4.21 | |||||||||||||||||
11/30/2018 | 4.25 | 0.12 | (0.06 | ) | 0.06 | (0.17 | ) | 4.14 | ||||||||||||||||
11/30/2017 | 4.31 | 0.10 | 0.01 | 0.11 | (0.17 | ) | 4.25 | |||||||||||||||||
11/30/2016 | 4.35 | 0.12 | 0.02 | 0.14 | (0.18 | ) | 4.31 | |||||||||||||||||
11/30/2015 | 4.50 | 0.11 | (0.08 | ) | 0.03 | (0.18 | ) | 4.35 | ||||||||||||||||
Class R2 | ||||||||||||||||||||||||
11/30/2019 | 4.14 | 0.11 | 0.10 | 0.21 | (0.14 | ) | 4.21 | |||||||||||||||||
11/30/2018 | 4.26 | 0.10 | (0.08 | ) | 0.02 | (0.14 | ) | 4.14 | ||||||||||||||||
11/30/2017 | 4.31 | 0.08 | 0.01 | 0.09 | (0.14 | ) | 4.26 | |||||||||||||||||
11/30/2016 | 4.35 | 0.09 | 0.02 | 0.11 | (0.15 | ) | 4.31 | |||||||||||||||||
11/30/2015 | 4.50 | 0.08 | (0.08 | ) | – | (0.15 | ) | 4.35 |
480 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||
Total return(b) (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||
5.48 | 0.60 | 2.92 | $ | 11,693,022 | 57 | |||||||||||||
0.96 | 0.59 | 2.70 | 8,735,221 | 71 | ||||||||||||||
2.55 | 0.59 | 2.19 | 10,697,423 | 67 | ||||||||||||||
3.06 | 0.60 | 2.49 | 11,099,295 | 50 | ||||||||||||||
0.46 | 0.60 | 2.29 | 11,609,287 | 59 | ||||||||||||||
4.57 | 1.22 | 2.31 | 4,914,970 | 57 | ||||||||||||||
0.35 | 1.23 | 2.07 | 4,912,225 | 71 | ||||||||||||||
1.91 | 1.23 | 1.55 | 6,129,077 | 67 | ||||||||||||||
2.42 | 1.23 | 1.86 | 6,759,399 | 50 | ||||||||||||||
(0.16 | ) | 1.25 | 1.65 | 7,143,036 | 59 | |||||||||||||
5.58 | 0.50 | 3.02 | 23,128,477 | 57 | ||||||||||||||
1.06 | 0.49 | 2.80 | 15,833,169 | 71 | ||||||||||||||
2.65 | 0.49 | 2.28 | 14,906,190 | 67 | ||||||||||||||
3.15 | 0.50 | 2.58 | 12,884,113 | 50 | ||||||||||||||
0.57 | 0.50 | 2.39 | 11,321,563 | 59 | ||||||||||||||
5.75 | 0.34 | 3.19 | 4,087,351 | 57 | ||||||||||||||
1.22 | 0.32 | 2.95 | 3,709,795 | 71 | ||||||||||||||
1.62 | (d) | 0.33 | (e) | 2.55 | (e) | 2,914,992 | 67 | |||||||||||
5.44 | 0.40 | 3.12 | 10,281,839 | 57 | ||||||||||||||
1.40 | 0.39 | 2.90 | 7,315,707 | 71 | ||||||||||||||
2.51 | 0.39 | 2.37 | 7,091,069 | 67 | ||||||||||||||
3.26 | 0.39 | 2.68 | 5,771,458 | 50 | ||||||||||||||
0.66 | 0.40 | 2.48 | 4,487,861 | 59 | ||||||||||||||
5.07 | 1.00 | 2.55 | 18,031 | 57 | ||||||||||||||
0.56 | 0.99 | 2.30 | 20,433 | 71 | ||||||||||||||
2.14 | 0.99 | 1.79 | 27,492 | 67 | ||||||||||||||
2.66 | 1.00 | 2.09 | 28,476 | 50 | ||||||||||||||
0.07 | 1.00 | 1.90 | 21,602 | 59 | ||||||||||||||
See Notes to Financial Statements. | 481 |
Financial Highlights (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 asset value, end of period | |||||||||||||||||||
Class R3 | ||||||||||||||||||||||||
11/30/2019 | $4.14 | $0.11 | $ 0.10 | $ 0.21 | $(0.14 | ) | $4.21 | |||||||||||||||||
11/30/2018 | 4.26 | 0.10 | (0.07 | ) | 0.03 | (0.15 | ) | 4.14 | ||||||||||||||||
11/30/2017 | 4.31 | 0.08 | 0.02 | 0.10 | (0.15 | ) | 4.26 | |||||||||||||||||
11/30/2016 | 4.35 | 0.10 | 0.02 | 0.12 | (0.16 | ) | 4.31 | |||||||||||||||||
11/30/2015 | 4.50 | 0.09 | (0.08 | ) | 0.01 | (0.16 | ) | 4.35 | ||||||||||||||||
Class R4 | ||||||||||||||||||||||||
11/30/2019 | 4.15 | 0.12 | 0.10 | 0.22 | (0.15 | ) | 4.22 | |||||||||||||||||
11/30/2018 | 4.27 | 0.11 | (0.07 | ) | 0.04 | (0.16 | ) | 4.15 | ||||||||||||||||
11/30/2017 | 4.32 | 0.09 | 0.02 | 0.11 | (0.16 | ) | 4.27 | |||||||||||||||||
11/30/2016 | 4.36 | 0.10 | 0.03 | 0.13 | (0.17 | ) | 4.32 | |||||||||||||||||
6/30/2015 to 11/30/2015(f) | 4.44 | 0.04 | (0.05 | ) | (0.01 | ) | (0.07 | ) | 4.36 | |||||||||||||||
Class R5 | ||||||||||||||||||||||||
11/30/2019 | 4.13 | 0.13 | 0.10 | 0.23 | (0.16 | ) | 4.20 | |||||||||||||||||
11/30/2018 | 4.25 | 0.12 | (0.07 | ) | 0.05 | (0.17 | ) | 4.13 | ||||||||||||||||
11/30/2017 | 4.30 | 0.10 | 0.02 | 0.12 | (0.17 | ) | 4.25 | |||||||||||||||||
11/30/2016 | 4.35 | 0.11 | 0.02 | 0.13 | (0.18 | ) | 4.30 | |||||||||||||||||
6/30/2015 to 11/30/2015(f) | 4.43 | 0.05 | (0.06 | ) | (0.01 | ) | (0.07 | ) | 4.35 | |||||||||||||||
Class R6 | ||||||||||||||||||||||||
11/30/2019 | 4.14 | 0.13 | 0.10 | 0.23 | (0.16 | ) | 4.21 | |||||||||||||||||
11/30/2018 | 4.26 | 0.13 | (0.08 | ) | 0.05 | (0.17 | ) | 4.14 | ||||||||||||||||
11/30/2017 | 4.31 | 0.11 | 0.01 | 0.12 | (0.17 | ) | 4.26 | |||||||||||||||||
11/30/2016 | 4.35 | 0.12 | 0.02 | 0.14 | (0.18 | ) | 4.31 | |||||||||||||||||
6/30/2015 to 11/30/2015(f) | 4.43 | 0.05 | (0.05 | ) | – | (0.08 | ) | 4.35 |
(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) | Commenced on April 4, 2017. |
(d) | Not annualized. |
(e) | Annualized. |
(f) | Commenced on June 30, 2015. |
482 | See Notes to Financial Statements. |
Ratios to Average Net Assets: | Supplemental Data: | |||||||||||||||||
Total return(b) (%) | Total expenses (%) | Net invest- ment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | ||||||||||||||
5.17 | 0.90 | 2.64 | $ | 367,328 | 57 | |||||||||||||
0.67 | 0.89 | 2.41 | 318,477 | 71 | ||||||||||||||
2.25 | 0.89 | 1.90 | 311,784 | 67 | ||||||||||||||
2.77 | 0.89 | 2.20 | 279,118 | 50 | ||||||||||||||
0.17 | 0.90 | 2.00 | 214,469 | 59 | ||||||||||||||
5.43 | 0.65 | 2.88 | 147,772 | 57 | ||||||||||||||
0.93 | 0.64 | 2.68 | 105,445 | 71 | ||||||||||||||
2.50 | 0.64 | 2.15 | 76,006 | 67 | ||||||||||||||
3.00 | 0.65 | 2.35 | 30,700 | 50 | ||||||||||||||
(0.23 | )(d) | 0.64 | (e) | 2.40 | (e) | 197 | 59 | |||||||||||
5.70 | 0.40 | 3.14 | 70,274 | 57 | ||||||||||||||
1.16 | 0.39 | 2.94 | 45,264 | 71 | ||||||||||||||
2.76 | 0.39 | 2.39 | 24,140 | 67 | ||||||||||||||
3.03 | 0.40 | 2.64 | 10,791 | 50 | ||||||||||||||
(0.14 | )(d) | 0.40 | (e) | 2.46 | (e) | 118 | 59 | |||||||||||
5.76 | 0.34 | 3.19 | 857,139 | 57 | ||||||||||||||
1.23 | 0.33 | 3.00 | 551,235 | 71 | ||||||||||||||
2.82 | 0.33 | 2.46 | 289,557 | 67 | ||||||||||||||
3.34 | 0.33 | 2.77 | 174,247 | 50 | ||||||||||||||
(0.10 | )(d) | 0.35 | (e) | 2.57 | (e) | 223,498 | 59 | |||||||||||
See Notes to Financial Statements. | 483 |
Financial Highlights (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 | ||||||||||||||||||||||||||||
11/30/2019 | $ 9.86 | $0.28 | $ 0.66 | $ 0.94 | $(0.31 | ) | $ – | $(0.31 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||
Class C | ||||||||||||||||||||||||||||
11/30/2019 | 9.85 | 0.21 | 0.66 | 0.87 | (0.24 | ) | – | (0.24 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||
Class F | ||||||||||||||||||||||||||||
11/30/2019 | 9.86 | 0.29 | 0.65 | 0.94 | (0.32 | ) | – | (0.32 | ) | |||||||||||||||||||
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 | ) | |||||||||||||||||
Class F3 | ||||||||||||||||||||||||||||
11/30/2019 | 9.87 | 0.31 | 0.65 | 0.96 | (0.34 | ) | – | (0.34 | ) | |||||||||||||||||||
11/30/2018 | 10.36 | 0.31 | (0.44 | ) | (0.13 | ) | (0.36 | ) | – | (0.36 | ) | |||||||||||||||||
4/4/2017 to 11/30/2017(c) | 10.33 | 0.18 | 0.05 | 0.23 | (0.20 | ) | – | (0.20 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
11/30/2019 | 9.88 | 0.30 | 0.65 | 0.95 | (0.33 | ) | – | (0.33 | ) | |||||||||||||||||||
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 | ) | |||||||||||||||||
Class P | ||||||||||||||||||||||||||||
11/30/2019 | 9.91 | 0.25 | 0.65 | 0.90 | (0.28 | ) | – | (0.28 | ) | |||||||||||||||||||
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 | ) |
484 | 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 (%) | ||||||||||||||||||||
$10.49 | 9.62 | 0.68 | 0.68 | 2.68 | $ | 1,275,715 | 736 | |||||||||||||||||||
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 | |||||||||||||||||||
10.48 | 8.95 | 1.30 | 1.30 | 2.08 | 118,447 | 736 | ||||||||||||||||||||
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 | |||||||||||||||||||
10.48 | 9.62 | 0.58 | 0.58 | 2.78 | 960,498 | 736 | ||||||||||||||||||||
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 | |||||||||||||||||||
10.49 | 9.83 | 0.38 | 0.38 | 2.98 | 664,783 | 736 | ||||||||||||||||||||
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 | ||||||||||||||||
10.50 | 9.76 | 0.44 | 0.48 | 2.93 | 405,218 | 736 | ||||||||||||||||||||
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 | ||||||||||||||||||||
10.53 | 9.21 | 0.93 | 0.93 | 2.45 | 528 | 736 | ||||||||||||||||||||
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 | |||||||||||||||||||
See Notes to Financial Statements. | 485 |
Financial Highlights (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 | ||||||||||||||||||||||||||||
11/30/2019 | $ 9.86 | $0.24 | $ 0.65 | $ 0.89 | $(0.27 | ) | $ – | $(0.27 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
11/30/2019 | 9.86 | 0.25 | 0.65 | 0.90 | (0.28 | ) | – | (0.28 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
11/30/2019 | 9.86 | 0.27 | 0.66 | 0.93 | (0.30 | ) | – | (0.30 | ) | |||||||||||||||||||
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(f) | 10.41 | 0.10 | (0.10 | ) | – | (0.12 | ) | – | (0.12 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
11/30/2019 | 9.86 | 0.30 | 0.66 | 0.96 | (0.33 | ) | – | (0.33 | ) | |||||||||||||||||||
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(f) | 10.43 | 0.10 | (0.10 | ) | – | (0.13 | ) | – | (0.13 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
11/30/2019 | 9.87 | 0.31 | 0.65 | 0.96 | (0.34 | ) | – | (0.34 | ) | |||||||||||||||||||
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(f) | 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) | Commenced on April 4, 2017. |
(d) | Not annualized. |
(e) | Annualized. |
(f) | Commenced on June 30, 2015. |
486 | 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 (%) | ||||||||||||||||||||
$10.48 | 9.08 | 1.08 | 1.08 | 2.31 | $ | 3,501 | 736 | |||||||||||||||||||
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 | |||||||||||||||||||
10.48 | 9.19 | 0.98 | 0.98 | 2.40 | 93,652 | 736 | ||||||||||||||||||||
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 | |||||||||||||||||||
10.49 | 9.56 | 0.73 | 0.73 | 2.64 | 66,840 | 736 | ||||||||||||||||||||
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 | ||||||||||||||||
10.49 | 9.84 | 0.49 | 0.49 | 2.88 | 127,807 | 736 | ||||||||||||||||||||
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 | ||||||||||||||||
10.49 | 9.84 | 0.38 | 0.38 | 2.97 | 364,578 | 736 | ||||||||||||||||||||
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. | 487 |
Financial Highlights (concluded)
ULTRA SHORT BOND FUND
Per Share Operating Performance: | ||||||||||||||||||||||||
Investment Operations: | Distributions to shareholders from: | |||||||||||||||||||||||
Net asset value, beginning of period | Net investment income(a) | Net realized and unrealized gain (loss) | Total from investment operations | Net investment income | Net asset value, end of period | |||||||||||||||||||
Class A | ||||||||||||||||||||||||
11/30/2019 | $10.00 | $0.24 | $ 0.03 | $0.27 | $(0.24 | ) | $10.03 | |||||||||||||||||
11/30/2018 | 10.01 | 0.21 | (0.02 | ) | 0.19 | (0.20 | ) | 10.00 | ||||||||||||||||
11/30/2017 | 10.00 | 0.13 | – | 0.13 | (0.12 | ) | 10.01 | |||||||||||||||||
10/12/2016 to 11/30/2016(c) | 10.00 | 0.01 | 0.01 | 0.02 | (0.02 | ) | 10.00 | |||||||||||||||||
Class A1 | ||||||||||||||||||||||||
7/31/2019 to 11/30/2019(f) | 10.02 | 0.05 | 0.03 | 0.08 | (0.07 | ) | 10.03 | |||||||||||||||||
Class F | ||||||||||||||||||||||||
11/30/2019 | 10.00 | 0.25 | 0.03 | 0.28 | (0.25 | ) | 10.03 | |||||||||||||||||
11/30/2018 | 10.01 | 0.22 | (0.02 | ) | 0.20 | (0.21 | ) | 10.00 | ||||||||||||||||
11/30/2017 | 10.00 | 0.13 | – | 0.13 | (0.12 | ) | 10.01 | |||||||||||||||||
10/12/2016 to 11/30/2016(c) | 10.00 | 0.01 | 0.01 | 0.02 | (0.02 | ) | 10.00 | |||||||||||||||||
Class F3 | ||||||||||||||||||||||||
11/30/2019 | 10.00 | 0.26 | 0.03 | 0.29 | (0.26 | ) | 10.03 | |||||||||||||||||
11/30/2018 | 10.01 | 0.23 | (0.02 | ) | 0.21 | (0.22 | ) | 10.00 | ||||||||||||||||
4/4/2017 to 11/30/2017(g) | 10.01 | 0.10 | – | 0.10 | (0.10 | ) | 10.01 | |||||||||||||||||
Class I | ||||||||||||||||||||||||
11/30/2019 | 9.99 | 0.26 | 0.04 | 0.30 | (0.26 | ) | 10.03 | |||||||||||||||||
11/30/2018 | 10.01 | 0.23 | (0.03 | ) | 0.20 | (0.22 | ) | 9.99 | ||||||||||||||||
11/30/2017 | 10.00 | 0.15 | – | 0.15 | (0.14 | ) | 10.01 | |||||||||||||||||
10/12/2016 to 11/30/2016(c) | 10.00 | 0.01 | 0.01 | 0.02 | (0.02 | ) | 10.00 | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||
11/30/2019 | 10.00 | 0.26 | 0.03 | 0.29 | (0.26 | ) | 10.03 | |||||||||||||||||
11/30/2018 | 10.01 | 0.23 | (0.02 | ) | 0.21 | (0.22 | ) | 10.00 | ||||||||||||||||
11/30/2017 | 10.00 | 0.14 | 0.01 | 0.15 | (0.14 | ) | 10.01 | |||||||||||||||||
10/12/2016 to 11/30/2016(c) | 10.00 | 0.01 | 0.01 | 0.02 | (0.02 | ) | 10.00 | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||
11/30/2019 | 10.00 | 0.26 | 0.03 | 0.29 | (0.26 | ) | 10.03 | |||||||||||||||||
11/30/2018 | 10.01 | 0.24 | (0.03 | ) | 0.21 | (0.22 | ) | 10.00 | ||||||||||||||||
11/30/2017 | 10.00 | 0.14 | 0.01 | 0.15 | (0.14 | ) | 10.01 | |||||||||||||||||
10/12/2016 to 11/30/2016(c) | 10.00 | 0.01 | 0.01 | 0.02 | (0.02 | ) | 10.00 |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for Classes A and A1 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) | Commenced on October 12, 2016. |
(d) | Not annualized. |
(e) | Annualized. |
(f) | Commenced on July 31, 2019. |
(g) | Commenced on April 4, 2017. |
488 | 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 investment income (%) | Net assets, end of period (000) | Portfolio turnover rate (%) | |||||||||||||||||
2.87 | 0.41 | 0.48 | 2.39 | $ | 11,938,003 | 46 | ||||||||||||||||
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 | |||||||||||||
0.79 | (d) | 0.48 | (e) | 0.55 | (e) | 1.56 | (e) | 2,860 | 46 | |||||||||||||
2.82 | 0.36 | 0.43 | 2.47 | 6,539,665 | 46 | |||||||||||||||||
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 | |||||||||||||
2.97 | 0.22 | 0.29 | 2.62 | 282,582 | 46 | |||||||||||||||||
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 | |||||||||||||
3.03 | 0.26 | 0.33 | 2.56 | 1,803,798 | 46 | |||||||||||||||||
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 | |||||||||||||
2.94 | 0.26 | 0.33 | 2.63 | 1,369 | 46 | |||||||||||||||||
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 | |||||||||||||
2.96 | 0.22 | 0.29 | 2.55 | 11,572 | 46 | |||||||||||||||||
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. | 489 |
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 fourteen funds as November 30, 2019. This report covers the following twelve funds (separately, a “Fund” and collectively, the “Funds”) and their respective active share classes at November 30, 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, A1, 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. Ultra Short Bond Fund’s Class A1 shares commenced operations on July 31, 2019.
Convertible Fund’s investment objective is to seek current income and the opportunity for capital appreciation to produce a high total return. Corporate Bond Fund’s investment objective is to seek current income. Each of Core Fixed Income Fund’s, Core Plus Bond Fund’s and Total Return Fund’s investment objective is to seek income and capital appreciation to produce a high total return. Floating Rate Fund’s investment objective is to seek a high level of current income. High Yield Fund’s investment objective is to seek a high current income and the opportunity for capital appreciation to produce a high total return. Each of Income Fund’s and Short Duration Income Fund’s investment objective is to seek a high level of income consistent with preservation of capital. Inflation Focused Fund’s primary investment objective is to provide investment returns that exceed the rate of inflation in the U.S. economy over a full economic cycle. As a secondary objective, the Fund seeks current income. Each of Short Duration Core Bond Fund’s and Ultra Short Bond Fund’s investment objective is to seek current income consistent with the preservation of capital.
Each class of shares has different expenses and dividends. A front-end sales charge is normally added to the net asset value (“NAV”) for Class A and A1 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 A1 shares purchased without a sales charge and redeemed before the first day of the month in which the eighteenth month anniversary of the purchase falls (subject to certain exceptions as set forth in each Fund’s
490
Notes to Financial Statements (continued)
prospectus); and Class C shares redeemed before the first anniversary of purchase. Class C shares automatically convert into 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. 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”), each Fund’s 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. |
491
Notes to Financial Statements (continued)
Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value. | |
(b) | Security Transactions–Security transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method. Realized and unrealized gains (losses) are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
(c) | Investment Income–Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis as earned. Discounts are accreted and premiums are amortized using the effective interest method and are included in Interest and other income on the Statements of Operations. Withholding taxes on foreign dividends have been provided for in accordance with the applicable country’s tax rules and rates. Investment income is allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
(d) | Income Taxes–It is the policy of each Fund to meet the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all taxable income and capital gains to its shareholders. Therefore, no income tax provision is required. |
Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s filed U.S. federal tax returns remains open for the fiscal years ended November 30, 2016 through November 30, 2019. 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, A1, 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 |
492
Notes to Financial Statements (continued)
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. | |
(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. |
493
Notes to Financial Statements (continued)
(k) | Mortgage Dollar Rolls–Each Fund may enter into mortgage dollar rolls in which a Fund sells mortgage-backed securities for delivery in the current month and simultaneously contracts with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. During the roll period, each Fund loses the right to receive principal (including prepayments of principal) and interest paid on the securities sold. |
(l) | Commercial Paper–Each Fund may purchase commercial paper. Commercial paper consists of unsecured promissory notes issued by corporations to finance short-term credit needs. Commercial paper is issued in bearer form with maturities generally not exceeding nine months. Commercial paper obligations may include variable amount master demand notes. |
(m) | Repurchase Agreements–Each Fund may enter into repurchase agreements with respect to securities. A repurchase agreement is a transaction in which a Fund acquires a security and simultaneously commits to resell that security to the seller (a bank or securities dealer) at an agreed-upon price on an agreed-upon date. Each Fund requires at all times that the repurchase agreement be collateralized by cash, or by securities of the U.S. Government, its agencies, its instrumentalities, or U.S. Government sponsored enterprises having a value equal to, or in excess of, the value of the repurchase agreement (including accrued interest). If the seller of the agreement defaults on its obligation to repurchase the underlying securities at a time when the fair value of these securities has declined, a Fund may incur a loss upon disposition of the securities. |
(n) | Reverse Repurchase Agreements–Each Fund may enter into reverse repurchase agreements. In a reverse repurchase agreement, a Fund sells a security to a securities dealer or bank for cash and also agrees to repurchase the same security later at a set price. Reverse repurchase agreements expose the Fund to credit risk (that is, the risk that the counterparty will fail to resell the security to the Fund). Engaging in reverse repurchase agreements also may involve the use of leverage, in that the Fund may reinvest the cash it receives in additional securities. Reverse repurchase agreements involve the risk that the market value of the securities to be repurchased by the Fund may decline below the repurchase price. |
For the fiscal year ended November 30, 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 |
494
Notes to Financial Statements (continued)
reference to a base lending rate plus a spread. These base lending rates are generally the prime rate offered by a designated U.S. bank or London InterBank Offered Rate (“LIBOR”). | |
The loans in which each Fund invests may be subject to some restrictions on resale. For example, each Fund may be contractually obligated to receive approval from the Agent and/or Borrower prior to the sale of these investments. Each Fund generally has no right to enforce compliance with the terms of the loan agreement with the Borrower. As a result, each Fund assumes the credit risk of the Borrower, the selling participant and any other persons interpositioned between each Fund and the Borrower (“Intermediate Participants”). In the event that the Borrower, selling participant or Intermediate Participants become insolvent or enter into bankruptcy, each Fund may incur certain costs and delays in realizing payment or may suffer a loss of principal and/or interest. | |
Unfunded commitments represent the remaining obligation of each Fund to the Borrower. At any point in time, up to the maturity date of the issue, the Borrower may demand the unfunded portion. Until demanded by the Borrower, unfunded commitments are not recognized as an asset on the Statement of Assets and Liabilities. Unrealized appreciation/depreciation on unfunded commitments presented on the Statement of Assets and Liabilities represents mark to market of the unfunded portion of the Fund’s floating rate notes. As of November 30, 2019, the following Funds had unfunded loan commitments: |
Core Plus Bond Fund | Floating Rate Fund | High Yield Fund | Income Fund | Inflation Focused Fund | Short Duration Income Fund | |||||||||||||||||||
Bleriot US Bidco Inc. Delayed Draw Term Loan. | $ | – | $ | 2,188,683 | $ | 790,636 | $ | – | $ | – | $ | – | ||||||||||||
Heartland Dental, LLC Delayed Draw Term Loan | – | 657,868 | – | – | – | – | ||||||||||||||||||
LyondellBasell Industries N.V. Delayed Draw Term Loan A | – | – | – | – | – | 129,822,750 | ||||||||||||||||||
Mavis Tire Express Services Corp. 1st Lien Delayed Draw Term Loan | 6,092 | 3,230,298 | 950,379 | – | – | – | ||||||||||||||||||
MED ParentCo LP 1st Lien Delayed Draw Term Loan | – | 5,251,950 | – | – | – | – | ||||||||||||||||||
NMN Holdings III Corp. 1st Delayed Draw Term Loan | – | 1,681,155 | – | – | – | – | ||||||||||||||||||
Pacific Gas and Electric Company DIP Delayed Draw Term Loan | – | – | – | – | 220,000 | 7,347,000 | ||||||||||||||||||
PG&E Corp. DIP Delayed Draw Term Loan | – | – | 2,151,000 | 147,000 | – | – | ||||||||||||||||||
United PF Holdings, LLC 2019 Delayed Draw Term Loan | – | 1,270,645 | 753,499 | – | – | – | ||||||||||||||||||
Total | $ | 6,092 | $ | 14,280,599 | $ | 4,645,514 | $ | 147,000 | $ | 220,000 | $ | 137,169,750 |
(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 |
495
Notes to Financial Statements (continued)
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 swap 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 (“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 |
496
Notes to Financial Statements (continued)
amounts received from the settlement of buy protection credit default swap agreements entered into by a Fund for the same referenced entity or entities. | |
Entering into credit default swaps involves credit and market risk. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates, and that Lord Abbett does not correctly predict the creditworthiness of the issuers of the reference obligation on which the credit default swap is based. For the centrally cleared credit default swaps, there was minimal counterparty risk to the Fund, since such credit default swaps entered into were traded through a central clearinghouse, which guarantees against default. | |
(r) | 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. |
(s) | 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. |
(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 |
497
Notes to Financial Statements (continued)
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 November 30, 2019 and, if applicable, Level 3 rollforwards for the fiscal year 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. 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 | Total Return Fund | |||||
First $1 billion | .50% | First $4 billion | .28% | |||
Over $1 billion | .45% | Next $11 billion | .26% | |||
Over $15 billion | .25% |
498
Notes to Financial Statements (continued)
High Yield Fund | Ultra Short Bond Fund | .20% | ||||
First $1 billion | .60% | |||||
Next $1 billion | .55% | |||||
Over $2 billion | .50% |
For the fiscal year ended November 30, 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 | .23% | |
Core Plus Bond Fund | .00% | |
Corporate Bond Fund | .00% | |
Floating Rate Fund | .46% | |
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 | .13% |
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, A1, 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 |
** | Class A1 shares: Effective July 31, 2019 through March 31, 2021. |
For the period ended November 30, 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, A1, 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
499
Notes to Financial Statements (continued)
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 A1 | Class C(1) | Class F(2) | Class P | Class R2 | Class R3 | Class R4 | ||||||||
Service | .15% | .25% | (4) | .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. |
(4) | Class A1 is only for 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 fiscal year ended November 30, 2019:
Distributor Commissions | Dealers’ Concessions | |||||||
Convertible Fund | $ | 13,347 | $ | 82,777 | ||||
Core Fixed Income Fund | 81,112 | 478,009 | ||||||
Core Plus Bond Fund | 9,881 | 63,168 | ||||||
Corporate Bond Fund | 331 | 2,424 | ||||||
Floating Rate Fund | 187,203 | 1,126,987 | ||||||
High Yield Fund | 100,333 | 668,484 | ||||||
Income Fund | 230,301 | 1,311,784 | ||||||
Inflation Focused Fund | 3,361 | 18,140 | ||||||
Short Duration Core Bond Fund | 1,685 | 10,097 | ||||||
Short Duration Income Fund | 1,341,024 | 8,706,115 | ||||||
Total Return Fund | 192,327 | 1,177,269 | ||||||
Ultra Short Bond Fund | – | – |
Distributor received the following amount of CDSCs for the fiscal year ended November 30, 2019:
Class A | Class A1 | Class C | ||||||||||
Convertible Fund | $ | 9,417 | $ | – | $ | 3,589 | ||||||
Core Fixed Income Fund | 2,170 | – | 2,061 | |||||||||
Core Plus Bond Fund | – | – | 73 | |||||||||
Corporate Bond Fund | – | – | – | |||||||||
Floating Rate Fund | 454,664 | – | 206,385 | |||||||||
High Yield Fund | 14,736 | – | 34,151 | |||||||||
Income Fund | 10,366 | – | 9,235 | |||||||||
Inflation Focused Fund | 9,322 | – | 5,365 | |||||||||
Short Duration Core Bond Fund | – | – | – | |||||||||
Short Duration Income Fund | 724,368 | – | 423,911 | |||||||||
Total Return Fund | 9,668 | – | 6,524 | |||||||||
Ultra Short Bond Fund | 1,173 | – | – |
500
Notes to Financial Statements (continued)
Other Related Parties
As of November 30, 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 | 22.95% | 8.36% | 5.80% | 10.32% | 0.72% | |||||
Lord Abbett Multi-Asset Income Fund | 17.76% | 1.76% | 3.02% | 8.82% | 1.29% |
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 fiscal year ended November 30, 2019 and fiscal year ended November 30, 2018 were as follows:
Convertible Fund | Core Fixed Income Fund | |||||||||||||||
Year Ended 11/30/2019 | Year Ended 11/30/2018 | Year Ended 11/30/2019 | Year Ended 11/30/2018 | |||||||||||||
Distributions paid from: | ||||||||||||||||
Ordinary income | $ | 33,166,231 | $ | 19,274,091 | $ | 33,915,312 | $ | 36,162,932 | ||||||||
Net long-term capital gains | 24,740,215 | – | – | – | ||||||||||||
Total distributions paid | $ | 57,906,446 | $ | 19,274,091 | $ | 33,915,312 | $ | 36,162,932 | ||||||||
Core Plus Bond Fund | Corporate Bond Fund | |||||||||||||||
Year Ended 11/30/2019 | Year Ended 11/30/2018 | Year Ended 11/30/2019 | Year Ended 11/30/2018 | |||||||||||||
Distributions paid from: | ||||||||||||||||
Ordinary income | $ | 2,331,229 | $ | 508,040 | $ | 268,394 | $ | 271,899 | ||||||||
Total distributions paid | $ | 2,331,229 | $ | 508,040 | $ | 268,394 | $ | 271,899 |
501
Notes to Financial Statements (continued)
Floating Rate Fund | High Yield Fund | |||||||||||||||
Year Ended 11/30/2019 | Year Ended 11/30/2018 | Year Ended 11/30/2019 | Year Ended 11/30/2018 | |||||||||||||
Distributions paid from: | ||||||||||||||||
Ordinary income | $ | 645,093,634 | $ | 687,166,018 | $ | 387,405,626 | $ | 397,448,632 | ||||||||
Total distributions paid | $ | 645,093,634 | $ | 687,166,018 | $ | 387,405,626 | $ | 397,448,632 | ||||||||
Income Fund | Inflation Focused Fund | |||||||||||||||
Year Ended 11/30/2019 | Year Ended 11/30/2018 | Year Ended 11/30/2019 | Year Ended 11/30/2018 | |||||||||||||
Distributions paid from: | ||||||||||||||||
Ordinary income | $ | 94,124,145 | $ | 88,948,052 | $ | 50,177,970 | $ | 51,539,029 | ||||||||
Total distributions paid | $ | 94,124,145 | $ | 88,948,052 | $ | 50,177,970 | $ | 51,539,029 | ||||||||
Short Duration Core Bond Fund | Short Duration Income Fund | |||||||||||||||
Year Ended 11/30/2019 | Year Ended 11/30/2018 | Year Ended 11/30/2019 | Year Ended 11/30/2018 | |||||||||||||
Distributions paid from: | ||||||||||||||||
Ordinary income | $ | 702,810 | $ | 300,110 | $ | 1,776,900,094 | $ | 1,543,932,484 | ||||||||
Total distributions paid | $ | 702,810 | $ | 300,110 | $ | 1,776,900,094 | $ | 1,543,932,484 | ||||||||
Total Return Fund | Ultra Short Bond Fund | |||||||||||||||
Year Ended 11/30/2019 | Year Ended 11/30/2018 | Year Ended 11/30/2019 | Year Ended 11/30/2018 | |||||||||||||
Distributions paid from: | ||||||||||||||||
Ordinary income | $ | 118,748,175 | $ | 124,016,344 | $ | 413,980,782 | $ | 133,034,443 | ||||||||
Net long-term capital gains | – | – | 1,105,427 | – | ||||||||||||
Total distributions paid | $ | 118,748,175 | $ | 124,016,344 | $ | 415,086,209 | $ | 133,034,443 |
Subsequent to the Funds’ fiscal year ended November 30, 2019, distributions were paid on December 18, 2019 to shareholders of record on December 17, 2019. The approximate amounts were as follows:
��
Net Investment Income | Short-Term Capital Gain | Long-Term Capital Gain | ||||
Convertible Fund | $3,560,000 | $20,071,000 | $24,952,000 | |||
Core Plus Bond Fund | – | 977,000 | 316,000 |
As of November 30, 2019, the components of accumulated gains or losses on a tax-basis were as follows:
Convertible Fund | Core Fixed Income Fund | |||||||
Undistributed ordinary income – net | $ | 25,284,204 | $ | 240,757 | ||||
Undistributed long-term capital gains | 24,948,934 | – | ||||||
Total undistributed earnings | 50,233,138 | 240,757 | ||||||
Capital loss carryforwards* | – | (10,743,568 | ) | |||||
Temporary differences | (76,751 | ) | (120,930 | ) | ||||
Unrealized gains (losses) – net | 60,577,746 | 24,320,512 | ||||||
Total accumulated gains (losses) – net | $ | 110,734,133 | $ | 13,696,771 |
502
Notes to Financial Statements (continued)
Core Plus Bond Fund | Corporate Bond Fund | |||||||
Undistributed ordinary income – net | $ | 995,704 | $ | 4,867 | ||||
Undistributed long-term capital gains | 315,087 | – | ||||||
Total undistributed earnings | 1,310,791 | 4,867 | ||||||
Capital loss carryforwards* | – | (171,014 | ) | |||||
Temporary differences | (677,716 | ) | (244 | ) | ||||
Unrealized gains (losses) – net | 1,530,420 | 314,500 | ||||||
Total accumulated gains (losses) – net | $ | 2,163,495 | $ | 148,109 | ||||
Floating Rate Fund | High Yield Fund | |||||||
Capital loss carryforwards* | $ | (666,094,302 | ) | $ | (217,891,731 | ) | ||
Temporary differences | (26,089,930 | ) | (27,941,344 | ) | ||||
Unrealized gains (losses) – net | (238,623,910 | ) | 89,964,432 | |||||
Total accumulated gains (losses) – net | $ | (930,808,142 | ) | $ | (155,868,643 | ) | ||
Income Fund | Inflation Focused Fund | |||||||
Capital loss carryforwards* | $ | (29,629,213 | ) | $ | (101,420,947 | ) | ||
Temporary differences | (5,775,288 | ) | (505,003 | ) | ||||
Unrealized gains (losses) – net | 52,303,261 | (190,833,324 | ) | |||||
Total accumulated gains (losses) – net | $ | 16,898,760 | $ | (292,759,274 | ) | |||
Short Duration Core Bond Fund | Short Duration Income Fund | |||||||
Undistributed ordinary income – net | $ | 7,505 | $ | – | ||||
Total undistributed earnings | 7,505 | – | ||||||
Capital loss carryforwards* | (157,192 | ) | (2,409,425,806 | ) | ||||
Temporary differences | (490 | ) | (22,284,124 | ) | ||||
Unrealized gains (losses) – net | 157,676 | (749,974,720 | ) | |||||
Total accumulated gains (losses) – net | $ | 7,499 | $ | (3,181,684,650 | ) | |||
Total Return Fund | Ultra Short Bond Fund | |||||||
Undistributed ordinary income – net | $ | – | $ | 6,189,779 | ||||
Total undistributed earnings | – | 6,189,779 | ||||||
Capital loss carryforwards* | (55,681,902 | ) | – | |||||
Temporary differences | (2,376,084 | ) | (340,717 | ) | ||||
Unrealized gains (losses) – net | 59,854,839 | 35,444,039 | ||||||
Total accumulated gains (losses) – net | $ | 1,796,853 | $ | 41,293,101 |
* | The capital losses will carry forward indefinitely. |
At each Fund’s election, certain losses incurred within the taxable year (“Qualified Late-Year Losses”) are deemed to arise on the first business day of the Fund’s next taxable year. The following Fund incurred and will elect to defer post-October capital losses during fiscal 2019 as follows:
Core Plus Bond Fund | $676,336 |
503
Notes to Financial Statements (continued)
As of November 30, 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 | |||||||
Tax cost | $ | 629,409,997 | $ | 2,001,984,298 | ||||
Gross unrealized gain | 64,976,849 | 26,236,714 | ||||||
Gross unrealized loss | (4,398,549 | ) | (1,916,261 | ) | ||||
Net unrealized security gain | $ | 60,578,300 | $ | 24,320,453 | ||||
Core Plus Bond Fund | Corporate Bond Fund | |||||||
Tax cost | $ | 256,728,878 | $ | 7,502,879 | ||||
Gross unrealized gain | 2,194,977 | 325,749 | ||||||
Gross unrealized loss | (664,354 | ) | (11,249 | ) | ||||
Net unrealized security gain | $ | 1,530,623 | $ | 314,500 | ||||
Floating Rate Fund | High Yield Fund | |||||||
Tax cost | $ | 9,776,879,220 | $ | 7,031,353,807 | ||||
Gross unrealized gain | 60,644,832 | 280,366,180 | ||||||
Gross unrealized loss | (299,122,761 | ) | (190,627,409 | ) | ||||
Net unrealized security gain (loss) | $ | (238,477,929 | ) | $ | 89,738,771 | |||
Income Fund | Inflation Focused Fund | |||||||
Tax cost | $ | 2,658,884,961 | $ | 1,120,354,293 | ||||
Gross unrealized gain | 80,681,696 | 37,574,313 | ||||||
Gross unrealized loss | (28,379,076 | ) | (228,407,576 | ) | ||||
Net unrealized security gain (loss) | $ | 52,302,620 | $ | (190,833,263 | ) | |||
Short Duration Core Bond Fund | Short Duration Income Fund | |||||||
Tax cost | $ | 44,865,348 | $ | 56,454,111,055 | ||||
Gross unrealized gain | 186,896 | – | ||||||
Gross unrealized loss | (29,214 | ) | (749,972,534 | ) | ||||
Net unrealized security gain (loss) | $ | 157,682 | $ | (749,972,534 | ) | |||
Total Return Fund | Ultra Short Bond Fund | |||||||
Tax cost | $ | 5,327,365,361 | $ | 20,656,558,598 | ||||
Gross unrealized gain | 85,749,607 | 37,026,248 | ||||||
Gross unrealized loss | (25,893,708 | ) | (1,582,209 | ) | ||||
Net unrealized security gain | $ | 59,855,899 | $ | 35,444,039 |
The difference between book-basis and tax-basis unrealized gains (losses) is primarily attributable to the tax treatment of certain securities, certain distributions, forward currency contracts, futures, swaps, amortization of premium and wash sales.
Permanent items identified during the fiscal year ended November 30, 2019 have been reclassified among the components of net assets based on their tax basis treatment as follows:
Total Distributable Earnings (Loss) | Paid-in Capital | |||||||
Convertible Fund | $ | (576,000 | ) | $ | 576,000 | |||
High Yield Fund | 3,504,821 | (3,504,821 | ) |
The permanent differences are primarily attributable to the tax treatment of certain securities and certain distributions.
504
Notes to Financial Statements (continued)
5. | PORTFOLIO SECURITIES TRANSACTIONS |
Purchases and sales of investment securities (excluding short-term investments) for the fiscal year ended November 30, 2019 were as follows:
U.S. Government Purchases | Purchases | U.S. Government Sales | Sales | |||||||||||||
Convertible Fund | $ | – | $ | 1,114,672,866 | $ | – | $ | 1,341,616,852 | ||||||||
Core Fixed Income Fund | 11,245,813,748 | 526,544,643 | 11,014,760,017 | 551,413,167 | ||||||||||||
Core Plus Bond Fund | 558,620,914 | 150,973,100 | 486,552,730 | 27,156,344 | ||||||||||||
Corporate Bond Fund | 1,314,432 | 3,763,770 | 1,426,874 | 1,984,733 | ||||||||||||
Floating Rate Fund | – | 6,389,350,780 | – | 11,886,268,702 | ||||||||||||
High Yield Fund | – | 6,142,698,406 | – | 5,691,711,412 | ||||||||||||
Income Fund | 1,396,152,653 | 1,322,140,726 | 1,322,965,449 | 1,049,632,764 | ||||||||||||
Inflation Focused Fund | 62,620,885 | 443,367,941 | 68,280,158 | 775,190,792 | ||||||||||||
Short Duration Core Bond Fund | 29,592,329 | 32,859,443 | 23,962,313 | 7,556,220 | ||||||||||||
Short Duration Income Fund | 6,693,476,657 | 32,295,749,836 | 5,707,031,061 | 20,806,853,759 | ||||||||||||
Total Return Fund | 29,210,474,662 | 1,721,451,723 | 29,073,866,215 | 1,959,147,512 | ||||||||||||
Ultra Short Bond Fund | – | 10,791,043,288 | – | 5,094,919,009 |
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 fiscal year ended November 30, 2019, the following Funds engaged in cross-trades:
Fund | Purchases | Sales | Gain/(Loss | ) | ||||||||
Convertible Fund | $ | – | $ | 488,840 | $ | 121,645 | ||||||
Core Fixed Income | 47,877 | – | – | |||||||||
Core Plus Bond | 163,529 | 210,506 | 2,381 | |||||||||
Floating Rate Fund | – | 42,466,539 | (1,211,693 | ) | ||||||||
High Yield Fund | 6,099,925 | 106,046,785 | 3,132,989 | |||||||||
Income Fund | 5,244,770 | 3,573,364 | 35,445 | |||||||||
Inflation Focused Fund | 7,307,652 | 24,366,434 | 41,567 | |||||||||
Short Duration Income Fund | 348,525,376 | 872,050 | 16,050 | |||||||||
Total Return Fund | 8,500,847 | 8,079,970 | (6,149 | ) | ||||||||
Ultra Short Bond | 4,171,417 | 46,225,549 | 282,549 |
6. | DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES |
Each Fund except for Ultra Short Bond Fund entered into forward foreign currency exchange contracts for the fiscal year ended November 30, 2019 (as described in note 2(g)). 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
505
Notes to Financial Statements (continued)
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 fiscal year ended November 30, 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 fiscal year ended November 30, 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 fiscal year ended November 30, 2019 (as described in note 2(q)) for investment purposes, to economically hedge credit risk or for speculative purposes. Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying security in the event of a defined credit event, such as payment default or bankruptcy. Under a credit default swap one party acts as a guarantor by receiving the fixed periodic payment in exchange for the commitment to purchase the underlying security at par if the defined credit event occurs. Upon the occurrence of a defined credit event, the difference between the value of the reference obligation and the swap’s notional amount is recorded as realized gain or loss on swap transactions in the Statements of Operations. Each Fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. For the centrally cleared credit default swaps, there is minimal counterparty credit risk to the Funds since these credit default swaps are traded through a central clearinghouse. As a counterparty to all centrally cleared credit default swaps, the clearinghouse guarantees credit default swaps against default.
Floating Rate Fund entered into total return swaps on indexes for the fiscal year ended November 30, 2019 (as described in note 2(s)) 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 entered into interest rate swaps for the fiscal year ended November 30, 2019 (as described in note 2(r)) 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
506
Notes to Financial Statements (continued)
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 November 30, 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) | $ | 179,346 | ||||||||||||||
Liability Derivatives | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(2) | $ | 73,966 | ||||||||||||||
Core Fixed Income Fund | ||||||||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | ||||||||||||||
Centrally Cleared Interest Rate Swap Contracts(3) | $ | 1,151,654 | – | |||||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 650,402 | |||||||||||||
Futures Contracts(4) | $ | 28,125 | – | |||||||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts(4) | $ | 344,144 | – | |||||||||||||
Core Plus Bond Fund | ||||||||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | |||||||||||||
Centrally Cleared Interest Rate Swap Contracts(3) | $ | 23,361 | – | – | ||||||||||||
Credit Default Swap Contracts(5) | – | – | $ | 4,184 | ||||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 438,272 | – | ||||||||||||
Futures Contracts(4) | $ | 698 | – | – | ||||||||||||
Liability Derivatives | ||||||||||||||||
Credit Default Swap Contracts(5) | – | – | $ | 10,594 | ||||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 128 | – | ||||||||||||
Futures Contracts(4) | $ | 26,265 | – | – |
507
Notes to Financial Statements (continued)
Corporate Bond Fund | ||||||||||||||||
Asset Derivatives | Interest Rate Contracts | |||||||||||||||
Futures Contracts(4) | $ | 3,751 | ||||||||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts(4) | $ | 1,437 | ||||||||||||||
Floating Rate Fund | ||||||||||||||||
Asset Derivatives | Equity Contracts | Interest Rate Contracts | Foreign Currency Contracts | |||||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | – | $ | 394,322 | ||||||||||||
Futures Contracts(4) | – | $ | 265,578 | – | ||||||||||||
Total Return Swap Contracts(6) | $ | 1,352,802 | – | – | ||||||||||||
Liability Derivatives | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | – | $ | 92,295 | ||||||||||||
Futures Contracts(4) | – | $ | 56,983 | – | ||||||||||||
High Yield Fund | ||||||||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | |||||||||||||
Centrally Cleared Credit Default Swap Contracts(3) | – | – | $ | 51,076 | ||||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 927,394 | – | ||||||||||||
Futures Contracts(4) | $ | 3,061,168 | – | – | ||||||||||||
Liability Derivatives | ||||||||||||||||
Credit Default Swap Contracts(5) | – | – | $ | 8,584 | ||||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 3,159,236 | – | ||||||||||||
Futures Contracts(4) | $ | 1,095,498 | – | – | ||||||||||||
Income Fund | ||||||||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | |||||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 1,035,054 | – | ||||||||||||
Futures Contracts(4) | $ | 217,228 | – | – | ||||||||||||
Liability Derivatives | ||||||||||||||||
Credit Default Swap Contracts(5) | – | – | $ | 107,776 | ||||||||||||
Futures Contracts(4) | $ | 474,956 | – | – |
508
Notes to Financial Statements (continued)
Inflation Focused Fund | ||||||||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | Inflation Linked Contracts | |||||||||||||
Centrally Cleared CPI Swap Contracts(3) | – | – | $ | 11,858,545 | ||||||||||||
Centrally Cleared Interest Rate Swap Contracts(3) | $ | 856,577 | – | – | ||||||||||||
CPI Swap Contracts(7) | – | – | $ | 8,795,084 | ||||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 3,694 | – | ||||||||||||
Futures Contracts(4) | $ | 100,706 | – | – | ||||||||||||
Liability Derivatives | ||||||||||||||||
Centrally Cleared CPI Swap Contracts(3) | – | – | $ | 36,991,210 | ||||||||||||
Centrally Cleared Interest Rate Swap Contracts(3) | $ | 1,071,685 | – | – | ||||||||||||
CPI Swap Contracts(8) | – | – | $ | 143,881,454 | ||||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 243 | – | ||||||||||||
Futures Contracts(4) | $ | 518,280 | – | – | ||||||||||||
Short Duration Core Bond Fund | ||||||||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | |||||||||||||
Credit Default Swap Contracts(5) | – | – | $ | 4,400 | ||||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 39 | – | ||||||||||||
Futures Contracts(4) | $ | 2,510 | – | – | ||||||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts(4) | $ | 180 | – | – | ||||||||||||
Short Duration Income Fund | ||||||||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | |||||||||||||
Credit Default Swap Contracts(5) | – | – | $ | 2,726,295 | ||||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 123,631 | – | ||||||||||||
Futures Contracts(4) | $ | 508,203 | – | – | ||||||||||||
Liability Derivatives | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 6,471 | – | ||||||||||||
Futures Contracts(4) | $ | 80,194 | – | – |
509
Notes to Financial Statements (continued)
Total Return Fund | ||||||||||||||||
Asset Derivatives | Interest Rate Contracts | Foreign Currency Contracts | ||||||||||||||
Centrally Cleared Interest Rate Swap Contracts(3) | $ | 3,073,781 | – | |||||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 11,003,347 | |||||||||||||
Futures Contracts(4) | $ | 143,148 | – | |||||||||||||
Liability Derivatives | ||||||||||||||||
Centrally Cleared Interest Rate Swap Contracts(3) | $ | 1,199,026 | – | |||||||||||||
Futures Contracts(4) | $ | 1,174,674 | – |
(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 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/payable, at fair value. |
(6) | Statements of Assets and Liabilities location: Total return swap, at fair value. |
(7) | Statements of Assets and Liabilities location: Unrealized appreciation on CPI swaps. |
(8) | Statements of Assets and Liabilities location: Unrealized depreciation on CPI swaps. |
Transactions in derivative investments for the fiscal year ended November 30, 2019 were as Follows:
Convertible Fund | ||||||||||||||||
Foreign Currency Contracts | ||||||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(1) | $ | 826,603 | ||||||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(2) | $ | (251,996 | ) | |||||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(3) | $ | 22,644,854 |
510
Notes to Financial Statements (continued)
Core Fixed Income Fund | ||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | |||||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||
Interest Rate Swap Contracts(4) | $ | (1,932,602 | ) | – | ||||||||||||
Futures Contracts(5) | $ | 10,755,934 | – | |||||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
Interest Rate Swap Contracts(6) | $ | 1,151,654 | – | |||||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 650,402 | |||||||||||||
Futures Contracts(7) | $ | (325,992 | ) | – | ||||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||||||
Interest Rate Swap Contracts(3) | $ | 126,082,294 | – | |||||||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 8,951,350 | |||||||||||||
Futures Contracts(8) | 1,719 | – | ||||||||||||||
Core Plus Bond Fund | ||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | ||||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||
Credit Default Swaps Contracts(4) | – | – | $ | (17,360 | ) | |||||||||||
Interest Rate Swap Contracts(4) | $ | (29,828 | ) | – | – | |||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 6,544 | – | ||||||||||||
Futures Contracts(5) | $ | 328,939 | – | – | ||||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
Credit Default Swap Contracts(6) | – | – | $ | 54,570 | ||||||||||||
Interest Rate Swap Contracts(6) | $ | 23,361 | – | – | ||||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 432,756 | – | ||||||||||||
Futures Contracts(7) | $ | (21,968 | ) | – | – | |||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||||||
Credit Default Swap Contracts(3) | – | – | $ | 1,568,462 | ||||||||||||
Interest Rate Swap Contracts(3) | $ | 2,135,392 | – | – | ||||||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 2,728,711 | – | ||||||||||||
Futures Contracts(8) | 103 | – | – |
511
Notes to Financial Statements (continued)
Corporate Bond Fund | ||||||||||||||||
Interest Rate Contracts | ||||||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||
Futures Contracts(5) | $ | (50,805 | ) | |||||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
Futures Contracts(7) | $ | 6,095 | ||||||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||||||
Futures Contracts(8) | 29 | |||||||||||||||
Floating Rate Fund | ||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Equity Contracts | Credit Contracts | |||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||
Credit Default Swaps Contracts(4) | – | – | – | $ | 332,163 | |||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 2,150,976 | – | – | |||||||||||
Futures Contracts(5) | $ | (11,213,814 | ) | – | – | – | ||||||||||
Total Return Swap Contracts(4) | $ | – | – | $ | (10,605,722 | ) | – | |||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
Credit Default Swap Contracts(6) | – | – | – | $ | 2,027,045 | |||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | (650,572 | ) | – | – | ||||||||||
Futures Contracts(7) | $ | 1,117,414 | – | – | – | |||||||||||
Total Return Swap Contracts(6) | – | – | $ | 6,822,035 | – | |||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||||||
Credit Default Swap Contracts(3) | – | – | – | $ | 90,263,695 | |||||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 83,732,762 | – | – | |||||||||||
Futures Contracts(8) | 3,326 | – | – | – | ||||||||||||
Total Return Swap Contracts(3) | – | – | $ | 185,230,770 | – |
512
Notes to Financial Statements (continued)
High Yield Fund | ||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Equity Contracts | Credit Contracts | |||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||
Credit Default SwapContracts(4) | – | – | – | $ | 11,569,450 | |||||||||||
Forward Foreign CurrencyExchange Contracts(1) | – | $ | 18,242,365 | – | – | |||||||||||
Futures Contracts(5) | $ | (27,313,112 | ) | – | – | – | ||||||||||
Total Return SwapContracts(4) | – | – | $ | (1,530,668 | ) | – | ||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
Credit Default SwapContracts(6) | – | – | – | $ | 793,941 | |||||||||||
Forward Foreign CurrencyExchange Contracts(2) | – | $ | (7,328,333 | ) | – | – | ||||||||||
Futures Contracts(7) | $ | 3,118,767 | – | – | – | |||||||||||
Total Return SwapContracts(6) | $ | 28,345 | – | – | – | |||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||||||
Credit Default SwapContracts(3) | – | – | – | $ | 125,859,805 | |||||||||||
Forward Foreign CurrencyExchange Contracts(3) | – | $ | 282,987,755 | – | – | |||||||||||
Futures Contracts(8) | 14,747 | – | – | – | ||||||||||||
Total Return SwapContracts(3) | – | $ | 8,660,846 | – | – |
513
Notes to Financial Statements (continued)
Income Fund | ||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | ||||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||
Credit Default Swap Contracts(4) | – | – | $ | (55,501 | ) | |||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 415,672 | – | ||||||||||||
Futures Contracts(5) | $ | 10,537,240 | – | – | ||||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
Credit Default Swap Contracts(6) | – | – | $ | (53,370 | ) | |||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 738,100 | – | ||||||||||||
Futures Contracts(7) | $ | 162,995 | – | – | ||||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||||||
Credit Default Swap Contracts(3) | – | – | $ | 8,877,000 | ||||||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 14,986,873 | – | ||||||||||||
Futures Contracts(8) | 4,994 | – | – | |||||||||||||
Inflation Focused Fund | ||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Inflation Linked Contracts | ||||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||
CPI Swap Contracts(4) | – | – | $ | (4,840,168 | ) | |||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 59,311 | – | ||||||||||||
Futures Contracts(5) | $ | 8,537,355 | – | – | ||||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
CPI Swap Contracts(6) | – | – | $ | (54,378,245 | ) | |||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | (46,190 | ) | – | |||||||||||
Futures Contracts(7) | $ | (227,190 | ) | – | – | |||||||||||
Interest Rate Swap Contracts(6) | $ | (215,108 | ) | – | – | |||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||||||
CPI Swap Contracts(3) | – | – | $ | 4,256,000,000 | ||||||||||||
Interest Rate Swap Contracts(6) | $ | 83,528,486 | – | – | ||||||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 1,407,270 | – | ||||||||||||
Futures Contracts(8) | 4,066 | – | – |
514
Notes to Financial Statements (continued)
Short Duration Core Bond Fund | ||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | ||||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||
Credit Default Swap Contracts(4) | – | – | $ | 4,137 | ||||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | (1,209 | ) | – | |||||||||||
Futures Contracts(5) | $ | (40,754 | ) | – | – | |||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
Credit Default Swap Contracts(6) | – | – | $ | 5,736 | ||||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 39 | – | ||||||||||||
Futures Contracts(7) | $ | 3,512 | – | – | ||||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||||||
Credit Default Swaps(3) | – | – | $ | 238,000 | ||||||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 78,545 | – | ||||||||||||
Futures Contracts(8) | 22 | – | – | |||||||||||||
Short Duration Income Fund | ||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | ||||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||
Credit Default Swaps Contracts(4) | – | – | $ | 3,876,466 | ||||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 2,196,240 | – | ||||||||||||
Futures Contracts(5) | $ | 35,280,889 | – | – | ||||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
Credit Default Swaps Contracts(6) | – | – | $ | 7,058,269 | ||||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | (1,721,864 | ) | – | |||||||||||
Futures Contracts(7) | $ | 2,060,809 | – | – | ||||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||||||
Credit Default Swaps Contracts(3) | – | – | $ | 195,000,000 | ||||||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 49,588,962 | – | ||||||||||||
Futures Contracts(8) | 34,755 | – | – |
515
Notes to Financial Statements (continued)
Total Return Fund | ||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | |||||||||||||||
Net Realized Gain (Loss) | ||||||||||||||||
Interest Rate Swap Contracts(4) | $ | (3,955,295 | ) | – | ||||||||||||
Forward Foreign Currency Exchange Contracts(1) | – | $ | 178,060 | |||||||||||||
Futures Contracts(5) | $ | 38,537,089 | – | |||||||||||||
Net Change in Unrealized Appreciation/Depreciation | ||||||||||||||||
Interest Rate Swap Contracts(6) | $ | 1,874,755 | – | |||||||||||||
Forward Foreign Currency Exchange Contracts(2) | – | $ | 10,810,728 | |||||||||||||
Futures Contracts(7) | $ | (1,117,313 | ) | – | ||||||||||||
Average Number of Contracts/Notional Amounts* | ||||||||||||||||
Centrally Cleared Interest Rate Swap Contracts(3) | $ | 321,196,075 | – | |||||||||||||
Forward Foreign Currency Exchange Contracts(3) | – | $ | 72,749,536 | |||||||||||||
Futures Contracts(8) | 5,215 | – |
* | Calculated based on the number of contracts or notional amounts for the fiscal year ended November 30, 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. |
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 a 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:
516
Notes to Financial Statements (continued)
Convertible Fund | ||||||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | |||||||||
Forward Foreign Currency Exchange Contracts | $ | 179,346 | $ | – | $ | 179,346 | ||||||
Repurchase Agreement | 20,126,096 | – | 20,126,096 | |||||||||
Total | $ | 20,305,442 | $ | – | $ | 20,305,442 |
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) | |||||||||||||||
Barclays Bank plc | $ | 89,521 | $ | – | $ | – | $ | – | $ | 89,521 | ||||||||||
Fixed Income Clearing Corp. | 20,126,096 | – | – | (20,126,096 | ) | – | ||||||||||||||
State Street Bank and Trust | 89,825 | – | – | – | 89,825 | |||||||||||||||
Total | $ | 20,305,442 | $ | – | $ | – | $ | (20,126,096 | ) | $ | 179,346 |
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | |||||||||
Forward Foreign Currency Exchange Contracts | $ | 73,966 | $ | – | $ | 73,966 | ||||||
Total | $ | 73,966 | $ | – | $ | 73,966 |
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) | |||||||||||||||
Bank of America | $ | 73,966 | $ | – | $ | – | $ | – | $ | 73,966 | ||||||||||
Total | $ | 73,966 | $ | – | $ | – | $ | – | $ | 73,966 |
Core Fixed Income Fund | ||||||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | |||||||||
Forward Foreign Currency Exchange Contracts | $ | 650,402 | $ | – | $ | 650,402 | ||||||
Repurchase Agreements | 28,927,863 | – | 28,927,863 | |||||||||
Total | $ | 29,578,265 | $ | – | $ | 29,578,265 |
517
Notes to Financial Statements (continued)
Core Fixed Income 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) | |||||||||||||||
Fixed Income Clearing Corp. | $ | 10,927,863 | $ | – | $ | – | $ | (10,927,863 | ) | $ | – | |||||||||
J.P. Morgan | 650,402 | – | – | – | 650,402 | |||||||||||||||
JPMorgan Chase & Co. | 12,000,000 | – | – | (12,000,000 | ) | – | ||||||||||||||
Toronto Dominion Grand Cayman | 6,000,000 | – | – | (6,000,000 | ) | – | ||||||||||||||
Total | $ | 29,578,265 | $ | – | $ | – | $ | (28,927,863 | ) | $ | 650,402 |
Core Plus Income Fund | ||||||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | |||||||||
Credit Default Swap Contracts | $ | 4,184 | $ | – | $ | 4,184 | ||||||
Forward Foreign Currency Exchange Contracts | 438,272 | – | 438,272 | |||||||||
Repurchase Agreement | 8,508,146 | – | 8,508,146 | |||||||||
Total | $ | 8,950,602 | $ | – | $ | 8,950,602 |
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 | Securities Collateral Received(a) | Net Amount(b) | |||||||||||||||
Barclays Bank plc | $ | 438,149 | $ | – | $ | – | $ | – | $ | 438,149 | ||||||||||
Fixed Income Clearing Corp. | 8,508,146 | – | – | (8,508,146 | ) | – | ||||||||||||||
Morgan Stanley | 4,184 | (4,184 | ) | – | – | – | ||||||||||||||
Toronto Dominion Bank | 123 | (123 | ) | – | – | – | ||||||||||||||
Total | $ | 8,950,602 | $ | (4,307 | ) | $ | – | $ | (8,508,146 | ) | $ | 438,149 |
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | |||||||||
Credit Default Swap Contracts | $ | 10,594 | $ | – | $ | 10,594 | ||||||
Forward Foreign Currency Exchange Contracts | 128 | – | 128 | |||||||||
Total | $ | 10,722 | $ | – | $ | 10,722 |
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) | |||||||||||||||
Morgan Stanley | $ | 10,594 | $ | (4,184 | ) | $ | – | $ | – | $ | 6,410 | |||||||||
Toronto Dominion Grand Cayman | 128 | (123 | ) | – | – | 5 | ||||||||||||||
Total | $ | 10,722 | $ | (4,307 | ) | $ | – | $ | – | $ | 6,415 |
518
Notes to Financial Statements (continued)
Corporate Bond Fund | ||||||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | |||||||||
Repurchase Agreement | $ | 398,524 | $ | – | $ | 398,524 | ||||||
Total | $ | 398,524 | $ | – | $ | 398,524 |
Net Amounts of Assets Presented in | Amounts Not Offset in the Statement of Assets and Liabilities | |||||||||||||||||||
Counterparty | the Statement of Assets and Liabilities | Financial Instruments | Cash Collateral Received(a) | Securities Collateral Received(a) | Net Amount(b) | |||||||||||||||
Fixed Income Clearing Corp. | $ | 398,524 | $ | – | $ | – | $ | (398,524 | ) | $ | – | |||||||||
Total | $ | 398,524 | $ | – | $ | – | $ | (398,524 | ) | $ | – |
Floating Rate Fund | ||||||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | |||||||||
Forward Foreign Currency Exchange Contracts | $ | 394,322 | $ | – | $ | 394,322 | ||||||
Total Return Swap Contracts | 1,352,802 | – | 1,352,802 | |||||||||
Repurchase Agreements | 575,246,428 | – | 575,246,428 | |||||||||
Total | $ | 576,993,552 | $ | – | $ | 576,993,552 |
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) | |||||||||||||||
Barclays Bank plc | $ | 1,031,812 | $ | – | $ | (50,000 | ) | $ | – | $ | 981,812 | |||||||||
Fixed Income Clearing Corp. | 123,246,428 | – | – | (123,246,428 | ) | – | ||||||||||||||
J.P. Morgan | 320,990 | (26,785 | ) | – | – | 294,205 | ||||||||||||||
JPMorgan Chase & Co. | 279,000,000 | – | – | (279,000,000 | ) | – | ||||||||||||||
State Street Bank and Trust | 394,322 | (30,404 | ) | – | (363,918 | ) | – | |||||||||||||
Toronto Dominion Grand Cayman | 173,000,000 | – | – | (173,000,000 | ) | – | ||||||||||||||
Total | $ | 576,993,552 | $ | (57,189 | ) | $ | (50,000 | ) | $ | (575,610,346 | ) | $ | 1,276,017 |
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | |||||||||
Forward Foreign Currency Exchange Contracts | $ | 92,295 | $ | – | $ | 92,295 | ||||||
Total | $ | 92,295 | $ | – | $ | 92,295 |
519
Notes to Financial Statements (continued)
Floating Rate Fund | ||||||||||||||||||||
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) | |||||||||||||||
J.P. Morgan | $ | 26,785 | $ | (26,785 | ) | $ | – | $ | – | $ | – | |||||||||
Morgan Stanley | 35,106 | – | – | – | 35,106 | |||||||||||||||
Street Bank and Trust | 30,404 | (30,404 | ) | – | – | – | ||||||||||||||
Total | $ | 92,295 | $ | (57,189 | ) | $ | – | $ | – | $ | 35,106 |
High Yield Fund | ||||||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | |||||||||
Forward Foreign Currency Exchange Contracts | $ | 927,394 | $ | – | $ | 927,394 | ||||||
Repurchase Agreement | 102,533,222 | – | 102,533,222 | |||||||||
Total | $ | 103,460,616 | $ | – | $ | 103,460,616 |
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) | |||||||||||||||
Barclays Bank plc | $ | 3,499 | $ | – | $ | – | $ | – | $ | 3,499 | ||||||||||
Fixed Income Clearing Corp. | 102,533,222 | – | – | (102,533,222 | ) | – | ||||||||||||||
Morgan Stanley | 155,313 | (15,971 | ) | – | – | �� | 139,342 | |||||||||||||
State Street Bank and Trust | 729,327 | (729,327 | ) | – | – | – | ||||||||||||||
Toronto Dominion Bank | 39,255 | (5,021 | ) | – | – | 34,234 | ||||||||||||||
Total | $ | 103,460,616 | $ | (750,319 | ) | $ | – | $ | (102,533,222 | ) | $ | 177,075 |
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | |||||||||
Credit Default Swap Contracts | $ | 8,584 | $ | – | $ | 8,584 | ||||||
Forward Foreign Currency Exchange Contracts | 3,159,236 | – | 3,159,236 | |||||||||
Total | $ | 3,167,820 | $ | – | $ | 3,167,820 |
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) | |||||||||||||||
J.P. Morgan | $ | 31,779 | $ | – | $ | (30,000 | ) | $ | – | $ | 1,779 | |||||||||
Morgan Stanley | 15,971 | (15,971 | ) | – | – | – | ||||||||||||||
State Street Bank and Trust | 3,068,103 | (729,327 | ) | (2,150,000 | ) | – | 188,776 | |||||||||||||
Toronto Dominion Grand Cayman | 5,021 | (5,021 | ) | – | – | – | ||||||||||||||
UBS AG | 46,946 | – | – | – | 46,946 | |||||||||||||||
Total | $ | 3,167,820 | $ | (750,319 | ) | $ | (2,180,000 | ) | $ | – | $ | 237,501 |
520
Notes to Financial Statements (continued)
Income Fund | ||||||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | |||||||||
Forward Foreign Currency Exchange Contracts | $ | 1,035,054 | $ | – | $ | 1,035,054 | ||||||
Repurchase Agreement | 20,331,564 | – | 20,331,564 | |||||||||
Total | $ | 21,366,618 | $ | – | $ | 21,366,618 |
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) | |||||||||||||||
Bank of America | $ | 952,556 | $ | – | $ | (952,556 | ) | $ | – | $ | – | |||||||||
BNP Paribas S.A. | 27,742 | – | – | – | 27,742 | |||||||||||||||
Fixed Income Clearing Corp. | 20,331,564 | – | – | (20,331,564 | ) | – | ||||||||||||||
State Street Bank and Trust | 54,756 | – | – | – | 54,756 | |||||||||||||||
Total | $ | 21,366,618 | $ | – | $ | (952,556 | ) | $ | (20,331,564 | ) | $ | 82,498 |
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | |||||||||
Credit Default Swap Contracts | $ | 107,776 | $ | – | $ | 107,776 | ||||||
Total | $ | 107,776 | $ | – | $ | 107,776 |
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) | ||||||||||||||
Morgan Stanley | $ | 107,776 | $ | – | $ | (60,000 | ) | $ | – | $ | 47,776 | |||||||||
Total | $ | 107,776 | $ | – | $ | (60,000 | ) | $ | – | $ | 47,776 |
Inflation Focused Fund | ||||||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | |||||||||
Consumer Price Index (“CPI”) Swap Contracts | $ | 8,795,084 | $ | – | $ | 8,795,084 | ||||||
Forward Foreign Currency Exchange Contracts | 3,694 | – | 3,694 | |||||||||
Repurchase Agreement | 12,313,880 | – | 12,313,880 | |||||||||
Total | $ | 21,112,658 | $ | – | $ | 21,112,658 |
521
Notes to Financial Statements (continued)
Inflation Focused 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) | |||||||||||||||
Bank of America | $ | 3,060,490 | $ | (3,060,490 | ) | $ | – | $ | – | $ | – | |||||||||
Barclays Bank plc | 1,588,993 | (1,588,993 | ) | – | – | – | ||||||||||||||
Deutsche Bank AG | 561,792 | (561,792 | ) | – | – | – | ||||||||||||||
Fixed Income Clearing Corp. | 12,313,880 | – | – | (12,313,880 | ) | – | ||||||||||||||
Goldman Sachs | 3,583,809 | (3,583,809 | ) | – | – | – | ||||||||||||||
J.P. Morgan | 2,861 | (2,861 | ) | – | – | – | ||||||||||||||
State Street Bank and Trust | 833 | (243 | ) | – | – | 590 | ||||||||||||||
Total | $ | 21,112,658 | $ | (8,798,188 | ) | $ | – | $ | (12,313,880 | ) | $ | 590 |
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | |||||||||
Consumer Price Index (“CPI”) Swap Contracts | $ | 143,881,454 | $ | – | $ | 143,881,454 | ||||||
Forward Foreign Currency Exchange Contracts | 243 | – | 243 | |||||||||
Total | $ | 143,881,697 | $ | – | $ | 143,881,697 |
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) | |||||||||||||||
Bank of America | $ | 25,361,533 | $ | (3,060,490 | ) | $ | (22,301,043 | ) | $ | – | $ | – | ||||||||
Barclays Bank plc | 18,900,032 | (1,588,993 | ) | (17,040,000 | ) | – | 271,039 | |||||||||||||
Credit Suisse | 6,194,122 | – | (6,000,000 | ) | – | 194,122 | ||||||||||||||
Deutsche Bank AG | 36,671,057 | (561,792 | ) | (36,030,000 | ) | – | 79,265 | |||||||||||||
Goldman Sachs | 25,071,534 | (3,583,809 | ) | (21,040,000 | ) | – | 447,725 | |||||||||||||
J.P. Morgan | 21,630,877 | (2,861 | ) | (21,590,000 | ) | – | 38,016 | |||||||||||||
Merrill Lynch | 1,364,493 | – | (388,957 | ) | – | 975,536 | ||||||||||||||
State Street Bank and Trust | 243 | (243 | ) | – | – | – | ||||||||||||||
Wells Fargo | 8,687,806 | – | (8,660,000 | ) | – | 27,806 | ||||||||||||||
Total | $ | 143,881,697 | $ | (8,798,188 | ) | $ | (133,050,000 | ) | $ | – | $ | 2,033,509 |
Short Duration Core Bond Fund | ||||||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | |||||||||
Credit Default Swap Contracts | $ | 4,400 | $ | – | $ | 4,400 | ||||||
Forward Foreign Currency Exchange Contracts | 39 | – | 39 | |||||||||
Repurchase Agreement | 1,588,329 | – | 1,588,329 | |||||||||
Total | $ | 1,592,768 | $ | – | $ | 1,592,768 |
522
Notes to Financial Statements (continued)
Short Duration Core Bond 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) | |||||||||||||||
Barclays Bank plc | $ | 39 | $ | – | $ | – | $ | – | $ | 39 | ||||||||||
Fixed Income Clearing Corp. | 1,588,329 | – | – | (1,588,329 | ) | – | ||||||||||||||
Morgan Stanley | 4,400 | – | – | – | 4,400 | |||||||||||||||
Total | $ | 1,592,768 | $ | – | $ | – | $ | (1,588,329 | ) | $ | 4,439 |
Short Duration Income Fund | ||||||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | |||||||||
Credit Default Swap Contracts | $ | 2,726,295 | $ | – | $ | 2,726,295 | ||||||
Forward Foreign Currency Exchange Contracts | 123,631 | – | 123,631 | |||||||||
Repurchase Agreement | 137,171,299 | – | 137,171,299 | |||||||||
Total | $ | 140,021,225 | $ | – | $ | 140,021,225 |
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) | |||||||||||||||
Credit Suisse | $ | 938,278 | $ | – | $ | (790,000 | ) | $ | – | $ | 148,278 | |||||||||
Deutsche Bank | 588,627 | – | (500,000 | ) | – | 88,627 | ||||||||||||||
Fixed Income Clearing Corp. | 137,171,299 | – | – | (137,171,299 | ) | – | ||||||||||||||
J.P. Morgan | 95,367 | – | – | – | 95,367 | |||||||||||||||
Morgan Stanley | 1,199,390 | – | (1,150,000 | ) | – | 49,390 | ||||||||||||||
State Street Bank and Trust | 28,264 | (6,471 | ) | – | – | 21,793 | ||||||||||||||
Total | $ | 140,021,225 | $ | (6,471 | ) | $ | (2,440,000 | ) | $ | (137,171,299 | ) | $ | 403,455 |
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | |||||||||
Forward Foreign Currency Exchange Contracts | $ | 6,471 | $ | – | $ | 6,471 | ||||||
Total | $ | 6,471 | $ | – | $ | 6,471 |
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) | |||||||||||||||
State Street Bank and Trust | $ | 6,471 | $ | (6,471 | ) | $ | – | $ | – | $ | – | |||||||||
Total | $ | 6,471 | $ | (6,471 | ) | $ | – | $ | – | $ | – |
523
Notes to Financial Statements (continued)
Total Return Fund | ||||||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | |||||||||
Forward Foreign Currency Exchange Contracts | $ | 11,003,347 | $ | – | $ | 11,003,347 | ||||||
Repurchase Agreements | 125,754,447 | – | 125,754,447 | |||||||||
Total | $ | 136,757,794 | $ | – | $ | 136,757,794 |
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) | |||||||||||||||
Bank of America | $ | 10,959,357 | $ | – | $ | (10,959,357 | ) | $ | – | $ | – | |||||||||
BNP Paribas S.A. | 27,742 | – | – | – | 27,742 | |||||||||||||||
Fixed Income Clearing Corp. | 10,754,447 | – | – | (10,754,447 | ) | – | ||||||||||||||
JPMorgan Chase & Co. | 58,000,000 | – | – | (58,000,000 | ) | – | ||||||||||||||
State Street Bank and Trust | 16,248 | – | – | – | 16,248 | |||||||||||||||
Toronto Dominion Grand Cayman | 57,000,000 | – | – | (57,000,000 | ) | – | ||||||||||||||
Total | $ | 136,757,794 | $ | – | $ | (10,959,357 | ) | $ | (125,754,447 | ) | $ | 43,990 |
Ultra Short Bond Fund | ||||||||||||
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | |||||||||
Repurchase Agreement | $ | 30,478,097 | $ | – | $ | 30,478,097 | ||||||
Total | $ | 30,478,097 | $ | – | $ | 30,478,097 |
Net Amounts of Assets Presented in | Amounts Not Offset in the Statement of Assets and Liabilities | |||||||||||||||||||
Counterparty | the Statement of Assets and Liabilities | Financial Instruments | Cash Collateral Received(a) | Securities Collateral Received(a) | Net Amount(b) | |||||||||||||||
Fixed Income Clearing Corp. | $ | 30,478,097 | $ | – | $ | – | $ | (30,478,097 | ) | $ | – | |||||||||
Total | $ | 30,478,097 | $ | – | $ | – | $ | (30,478,097 | ) | $ | – |
(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 November 30, 2019. |
(c) | Net amount represents the amount owed by the Fund to the counterparty as of November 30, 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.
524
Notes to Financial Statements (continued)
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 |
For the period ended December 20, 2018, the Funds, except Ultra Short Bond Fund, and certain other funds managed by Lord Abbett (collectively, the “Participating Funds”) entered into a syndicated line of credit facility with various lenders for $1.06 billion (the “Syndicated Facility”), whereas State Street Bank and Trust Company (“SSB”) participates as a lender and as agent for the lenders. The Participating Funds are subject to graduated borrowing limits of one-third of Fund net assets (if Fund net assets are less than $750 million), $250 million, $300 million, $350 million, or $1 billion, based on past borrowings and likelihood of future borrowings, among other factors.
For the period December 21, 2018 through August 7, 2019, the Participating Funds entered into a Syndicated Facility with various lenders for $1.1 billion whereas SSB participated as a lender and as agent for the lenders. The Participating Funds were subject to graduated borrowing limits of one-third of Fund net assets (if Fund net assets are less than $750 million), $250 million, $300 million, $350 million, or $1 billion, based on past borrowings and likelihood of future borrowings, among other factors.
Effective August 8, 2019, the Participating Funds entered into a Syndicated Facility with various lenders for $1.17 billion whereas SSB participates as a lender and as agent for the lenders. The Participating Funds are subject to graduated borrowing limits of one-third of Fund net assets (if net assets are less than $750 million), $250 million, $300 million, $500 million, or $1 billion, based on past borrowings and likelihood of future borrowings, among other factors.
For the period ended August 7, 2019, the Participating Funds entered into 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 net assets.
Effective August 8, 2019, the Participating Funds entered into a Bilateral Facility with SSB for $330 million ($250 million committed and $80 million uncommitted). Under the Bilateral Facility, the Participating Funds are subject to graduated borrowing limits of one-third of Fund net assets (if net assets are less than $750 million), $250 million, $300 million, or $330 million, based on past borrowings and likelihood of future borrowings, among other factors.
The Facilities are to be used for temporary or emergency purposes as an additional source of liquidity to satisfy redemptions.
For the fiscal year ended November 30, 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
525
Notes to Financial Statements (continued)
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 fiscal year ended November 30, 2019, Ultra Short Bond Fund participated as a lender in the Interfund Lending Program. For the period in which the loan was outstanding, the average amount loaned, interest rate and interest income were as follows:
Fund | Average Loan | Average Interest Rate | Interest Income* | ||||||||
Ultra Short Bond Fund | $ | 18,494,966 | 2.420% | 1,226 |
* | Statement of Operations location: Interest earned from Interfund Lending. |
During the fiscal year ended November 30, 2019, High Yield Fund participated as a borrower in the Interfund Lending Program. The average amount borrowed, interest rate and interest expense were as follows:
Fund | Average Loan | Average Interest Rate | Interest Expense* | ||||||||
High Yield Fund | $ | 29,737,040 | 2.308% | $3,691 |
* | Statement of Operations location: Interest paid from Interfund Lending. |
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.
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.
526
Notes to Financial Statements (continued)
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 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
527
Notes to Financial Statements (continued)
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 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 | Year Ended November 30, 2019 | Year Ended November 30, 2018 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 3,380,102 | $ | 44,939,579 | 4,958,401 | $ | 67,270,445 | ||||||||||
Converted from Class B* | – | – | 6,235 | 82,233 | ||||||||||||
Converted from Class C** | 287,550 | 3,900,648 | 584,452 | 7,978,508 | ||||||||||||
Reinvestment of distributions | 730,593 | 8,876,988 | 183,983 | 2,459,369 | ||||||||||||
Shares reacquired | (4,385,388 | ) | (57,902,914 | ) | (4,390,057 | ) | (58,751,103 | ) | ||||||||
Increase (decrease) | 12,857 | $ | (185,699 | ) | 1,343,014 | $ | 19,039,452 | |||||||||
Class B Shares | ||||||||||||||||
Reinvestment of distributions | – | $ | – | 136 | $ | 1,783 | ||||||||||
Shares reacquired | – | – | (8,987 | ) | (119,656 | ) | ||||||||||
Converted to Class A* | – | – | (6,207 | ) | (82,233 | ) | ||||||||||
Decrease | – | $ | – | (15,058 | ) | $ | (200,106 | ) |
528
Notes to Financial Statements (continued)
Convertible Fund | Year Ended November 30, 2019 | Year Ended November 30, 2018 | ||||||||||||||
Class C Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 776,634 | $ | 10,111,279 | 948,417 | $ | 12,778,141 | ||||||||||
Reinvestment of distributions | 166,030 | 1,992,370 | 37,463 | 492,527 | ||||||||||||
Shares reacquired | (667,099 | ) | (8,678,358 | ) | (663,701 | ) | (8,858,508 | ) | ||||||||
Converted to Class A** | (289,373 | ) | (3,900,648 | ) | (588,322 | ) | (7,978,508 | ) | ||||||||
Decrease | (13,808 | ) | $ | (475,357 | ) | (266,143 | ) | $ | (3,566,348 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 5,383,567 | $ | 70,660,540 | 9,171,694 | $ | 124,133,676 | ||||||||||
Reinvestment of distributions | 848,918 | 10,315,562 | 216,930 | 2,903,036 | ||||||||||||
Shares reacquired | (9,233,441 | ) | (119,017,322 | ) | (5,281,534 | ) | (70,983,367 | ) | ||||||||
Increase (decrease) | (3,000,956 | ) | $ | (38,041,220 | ) | 4,107,090 | $ | 56,053,345 | ||||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 170,372 | $ | 2,307,163 | 310,996 | $ | 4,212,635 | ||||||||||
Reinvestment of distributions | 39,345 | 482,581 | 7,769 | 104,716 | ||||||||||||
Shares reacquired | (146,880 | ) | (1,956,194 | ) | (107,907 | ) | (1,461,940 | ) | ||||||||
Increase | 62,837 | $ | 833,550 | 210,858 | $ | 2,855,411 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 1,190,978 | $ | 15,911,357 | 3,321,079 | $ | 45,643,567 | ||||||||||
Reinvestment of distributions | 2,610,245 | 31,865,489 | 899,257 | 12,055,156 | ||||||||||||
Shares reacquired | (17,658,952 | ) | (236,940,945 | ) | (10,128,381 | ) | (137,396,647 | ) | ||||||||
Decrease | (13,857,729 | ) | $ | (189,164,099 | ) | (5,908,045 | ) | $ | (79,697,924 | ) | ||||||
Class P Shares | ||||||||||||||||
Shares sold | 304 | $ | 3,993 | 195 | $ | 2,649 | ||||||||||
Reinvestment of distributions | 324 | 3,996 | 76 | 1,030 | ||||||||||||
Shares reacquired | (123 | ) | (1,716 | ) | (31 | ) | (421 | ) | ||||||||
Increase | 505 | $ | 6,273 | 240 | $ | 3,258 | ||||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 361 | $ | 4,777 | 477 | $ | 6,575 | ||||||||||
Reinvestment of distributions | 219 | 2,695 | 48 | 653 | ||||||||||||
Shares reacquired | (1,978 | ) | (27,376 | ) | (4,081 | ) | (55,686 | ) | ||||||||
Decrease | (1,398 | ) | $ | (19,904 | ) | (3,556 | ) | $ | (48,458 | ) | ||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 273,665 | $ | 3,617,998 | 407,658 | $ | 5,512,069 | ||||||||||
Reinvestment of distributions | 48,486 | 585,569 | 7,881 | 104,745 | ||||||||||||
Shares reacquired | (234,211 | ) | (3,092,642 | ) | (184,023 | ) | (2,495,122 | ) | ||||||||
Increase | 87,940 | $ | 1,110,925 | 231,516 | $ | 3,121,692 | ||||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 940 | $ | 12,053 | 3,645 | $ | 48,407 | ||||||||||
Reinvestment of distributions | 382 | 4,651 | 44 | 600 | ||||||||||||
Shares reacquired | (5 | ) | (67 | ) | (3,237 | ) | (42,346 | ) | ||||||||
Increase | 1,317 | $ | 16,637 | 452 | $ | 6,661 |
529
Notes to Financial Statements (continued)
Year Ended | Year Ended | |||||||||||||||
Convertible Fund | November 30, 2019 | November 30, 2018 | ||||||||||||||
Class R5 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 56,284 | $ | 766,633 | 512,510 | $ | 6,864,120 | ||||||||||
Reinvestment of distributions | 1,195 | 15,159 | 225 | 3,013 | ||||||||||||
Shares reacquired | (9,567 | ) | (132,229 | ) | (511,764 | ) | (6,817,312 | ) | ||||||||
Increase | 47,912 | $ | 649,563 | 971 | $ | 49,821 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 575,835 | $ | 7,816,380 | 713,762 | $ | 9,633,978 | ||||||||||
Reinvestment of distributions | 5,938 | 73,260 | 1,377 | 18,548 | ||||||||||||
Shares reacquired | (560,976 | ) | (7,484,625 | ) | (563,195 | ) | (7,485,313 | ) | ||||||||
Increase | 20,797 | $ | 405,015 | 151,944 | $ | 2,167,213 | ||||||||||
Year Ended | Year Ended | |||||||||||||||
Core Fixed Income Fund | November 30, 2019 | November 30, 2018 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 13,446,637 | $ | 145,715,697 | 7,493,147 | $ | 79,496,080 | ||||||||||
Converted from Class B* | – | – | 15,391 | 164,798 | ||||||||||||
Converted from Class C** | 517,732 | 5,654,420 | 490,948 | 5,183,375 | ||||||||||||
Reinvestment of distributions | 1,057,364 | 11,480,965 | 1,164,110 | 12,299,760 | ||||||||||||
Shares reacquired | (9,740,012 | ) | (105,040,390 | ) | (12,409,034 | ) | (131,502,217 | ) | ||||||||
Increase (decrease) | 5,281,721 | $ | 57,810,692 | (3,245,438 | ) | $ | (34,358,204 | ) | ||||||||
Class B Shares | ||||||||||||||||
Shares sold | – | $ | – | 8 | $ | 177 | ||||||||||
Reinvestment of distributions | – | – | 142 | 1,522 | ||||||||||||
Shares reacquired | – | – | (49,544 | ) | (531,533 | ) | ||||||||||
Converted to Class A* | – | – | (15,436 | ) | (164,798 | ) | ||||||||||
Decrease | – | $ | – | (64,830 | ) | $ | (694,632 | ) | ||||||||
Class C Shares | ||||||||||||||||
Shares sold | 1,211,352 | $ | 13,072,088 | 313,212 | $ | 3,319,667 | ||||||||||
Reinvestment of distributions | 73,164 | 789,392 | 106,761 | 1,124,116 | ||||||||||||
Shares reacquired | (975,933 | ) | (10,462,492 | ) | (2,016,288 | ) | (21,238,948 | ) | ||||||||
Converted to Class A** | (520,055 | ) | (5,654,420 | ) | (492,834 | ) | (5,183,375 | ) | ||||||||
Decrease | (211,472 | ) | $ | (2,255,432 | ) | (2,089,149 | ) | $ | (21,978,540 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 12,643,085 | $ | 137,421,753 | 6,115,076 | $ | 64,735,065 | ||||||||||
Reinvestment of distributions | 397,651 | 4,324,960 | 419,343 | 4,432,326 | ||||||||||||
Shares reacquired | (6,092,920 | ) | (65,671,544 | ) | (12,175,316 | ) | (129,058,705 | ) | ||||||||
Increase (decrease) | 6,947,816 | $ | 76,075,169 | (5,640,897 | ) | $ | (59,891,314 | ) | ||||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 9,506,089 | $ | 103,466,230 | 9,872,752 | $ | 104,801,511 | ||||||||||
Reinvestment of distributions | 705,629 | 7,666,672 | 877,421 | 9,280,165 | ||||||||||||
Shares reacquired | (5,354,933 | ) | (57,807,087 | ) | (15,554,262 | ) | (164,110,209 | ) | ||||||||
Increase (decrease) | 4,856,785 | $ | 53,325,815 | (4,804,089 | ) | $ | (50,028,533 | ) |
530
Notes to Financial Statements (continued)
Year Ended | Year Ended | |||||||||||||||
Core Fixed Income Fund | November 30, 2019 | November 30, 2018 | ||||||||||||||
Class I Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 20,337,463 | $ | 220,447,076 | 4,003,386 | $ | 42,450,113 | ||||||||||
Reinvestment of distributions | 695,964 | 7,588,962 | 585,704 | 6,183,641 | ||||||||||||
Shares reacquired | (6,930,188 | ) | (74,570,651 | ) | (3,309,805 | ) | (34,923,506 | ) | ||||||||
Increase | 14,103,239 | $ | 153,465,387 | 1,279,285 | $ | 13,710,248 | ||||||||||
Class P Shares | ||||||||||||||||
Reinvestment of distributions | 0.30 | $ | 3 | 0.30 | $ | 3 | ||||||||||
Increase | 0.30 | $ | 3 | 0.30 | $ | 3 | ||||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 13,633 | $ | 146,754 | 11,053 | $ | 117,679 | ||||||||||
Reinvestment of distributions | 921 | 9,991 | 1,024 | 10,827 | ||||||||||||
Shares reacquired | (27,533 | ) | (296,455 | ) | (38,692 | ) | (410,041 | ) | ||||||||
Decrease | (12,979 | ) | $ | (139,710 | ) | (26,615 | ) | $ | (281,535 | ) | ||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 261,718 | $ | 2,829,426 | 311,838 | $ | 3,321,381 | ||||||||||
Reinvestment of distributions | 26,359 | 285,769 | 33,158 | 350,546 | ||||||||||||
Shares reacquired | (383,202 | ) | (4,166,104 | ) | (623,681 | ) | (6,647,507 | ) | ||||||||
Decrease | (95,125 | ) | $ | (1,050,909 | ) | (278,685 | ) | $ | (2,975,580 | ) | ||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 320,116 | $ | 3,488,702 | 342,287 | $ | 3,644,357 | ||||||||||
Reinvestment of distributions | 11,325 | 123,023 | 16,911 | 178,429 | ||||||||||||
Shares reacquired | (440,489 | ) | (4,659,324 | ) | (171,822 | ) | (1,817,861 | ) | ||||||||
Increase (decrease) | (109,048 | ) | $ | (1,047,599 | ) | 187,376 | $ | 2,004,925 | ||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 57,228 | $ | 616,677 | 22,510 | $ | 241,212 | ||||||||||
Reinvestment of distributions | 2,786 | 30,335 | 2,353 | 24,847 | ||||||||||||
Shares reacquired | (14,719 | ) | (158,174 | ) | (20,538 | ) | (218,911 | ) | ||||||||
Increase | 45,295 | $ | 488,838 | 4,325 | $ | 47,148 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 174,446 | $ | 1,882,310 | 186,167 | $ | 1,965,876 | ||||||||||
Reinvestment of distributions | 118,949 | 1,290,556 | 125,284 | 1,323,068 | ||||||||||||
Shares reacquired | (539,460 | ) | (5,938,570 | ) | (96,874 | ) | (1,029,232 | ) | ||||||||
Increase (decrease) | (246,065 | ) | $ | (2,765,704 | ) | 214,577 | $ | 2,259,712 | ||||||||
Year Ended | Year Ended | |||||||||||||||
Core Plus Bond Fund | November 30, 2019 | November 30, 2018 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,770,749 | $ | 26,913,154 | 22,078 | $ | 328,196 | ||||||||||
Converted from Class C** | 197 | 3,010 | – | – | ||||||||||||
Reinvestment of distributions | 25,678 | 389,024 | 16,301 | 239,857 | ||||||||||||
Shares reacquired | (645,204 | ) | (9,845,313 | ) | (24,532 | ) | (361,159 | ) | ||||||||
Increase | 1,151,420 | $ | 17,459,875 | 13,847 | $ | 206,894 |
531
Notes to Financial Statements (continued)
Year Ended | Year Ended | |||||||||||||||
Core Plus Bond Fund | November 30, 2019 | November 30, 2018 | ||||||||||||||
Class C Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 236,500 | $ | 3,619,270 | 21,145 | $ | 317,754 | ||||||||||
Reinvestment of distributions | 2,477 | 37,708 | 1,498 | 22,057 | ||||||||||||
Shares reacquired | (21,276 | ) | (323,124 | ) | (21,320 | ) | (315,979 | ) | ||||||||
Converted to Class A** | (197 | ) | (3,010 | ) | – | – | ||||||||||
Increase | 217,504 | $ | 3,330,844 | 1,323 | $ | 23,832 | ||||||||||
Class F Shares | ||||||||||||||||
Shares sold | 10,688,352 | $ | 162,612,579 | 65,950 | $ | 977,614 | ||||||||||
Reinvestment of distributions | 114,354 | 1,746,622 | 16,016 | 235,763 | ||||||||||||
Shares reacquired | (935,082 | ) | (14,129,084 | ) | (78,339 | ) | (1,147,310 | ) | ||||||||
Increase | 9,867,624 | $ | 150,230,117 | 3,627 | $ | 66,067 | ||||||||||
Class F3 Shares | ||||||||||||||||
Reinvestment of distributions | 25.36 | $ | 382 | 27.98 | $ | 412 | ||||||||||
Increase | 25.36 | $ | 382 | 27.98 | $ | 412 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 931,015 | $ | 14,268,793 | – | $ | – | ||||||||||
Reinvestment of distributions | 8,498 | 130,891 | 293 | 4,315 | ||||||||||||
Shares reacquired | (51,399 | ) | (791,054 | ) | – | – | ||||||||||
Increase | 888,114 | $ | 13,608,630 | 293 | $ | 4,315 | ||||||||||
Class R2 Shares | ||||||||||||||||
Reinvestment of distributions | 55 | $ | 823 | 61 | $ | 899 | ||||||||||
Increase | 55 | $ | 823 | 61 | $ | 899 | ||||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 10,245 | $ | 157,963 | 19 | $ | 282 | ||||||||||
Reinvestment of distributions | 81 | 1,223 | 63 | 939 | ||||||||||||
Increase | 10,326 | $ | 159,186 | 82 | $ | 1,221 | ||||||||||
Class R4 Shares | ||||||||||||||||
Reinvestment of distributions | 62 | $ | 932 | 68 | $ | 1,002 | ||||||||||
Increase | 62 | $ | 932 | 68 | $ | 1,002 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 12 | $ | 188 | – | $ | – | ||||||||||
Reinvestment of distributions | 67 | 1,012 | 73 | 1,076 | ||||||||||||
Shares reacquired | (1 | ) | (22 | ) | – | – | ||||||||||
Increase | 78 | $ | 1,178 | 73 | $ | 1,076 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 7 | $ | 113 | – | $ | – | ||||||||||
Reinvestment of distributions | 68 | 1,020 | 74 | 1,089 | ||||||||||||
Shares reacquired | – | (1 | ) | – | – | |||||||||||
Increase | 75 | $ | 1,132 | 74 | $ | 1,089 |
532
Notes to Financial Statements (continued)
Year Ended | Year Ended | |||||||||||||||
Corporate Bond Fund | November 30, 2019 | November 30, 2018 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 43,727 | $ | 435,388 | 7,203 | $ | 71,189 | ||||||||||
Reinvestment of distributions | 2,035 | 20,286 | 1,446 | 13,991 | ||||||||||||
Shares reacquired | (10,166 | ) | (102,147 | ) | – | – | ||||||||||
Increase | 35,596 | $ | 353,527 | 8,649 | $ | 85,180 | ||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 59,311 | $ | 586,150 | 577 | $ | 5,544 | ||||||||||
Reinvestment of distributions | 1,008 | 10,077 | 321 | 3,115 | ||||||||||||
Shares reacquired | (9,609 | ) | (95,172 | ) | (3,379 | ) | (32,330 | ) | ||||||||
Increase (decrease) | 50,710 | $ | 501,055 | (2,481 | ) | $ | (23,671 | ) | ||||||||
Class F Shares | ||||||||||||||||
Shares sold | 101,519 | $ | 985,202 | 82,564 | $ | 823,187 | ||||||||||
Reinvestment of distributions | 9,100 | 90,635 | 10,417 | 101,435 | ||||||||||||
Shares reacquired | (1,712 | ) | (16,642 | ) | (191,555 | ) | (1,844,216 | ) | ||||||||
Increase (decrease) | 108,907 | $ | 1,059,195 | (98,574 | ) | $ | (919,594 | ) | ||||||||
Class F3 Shares | ||||||||||||||||
Reinvestment of distributions | 6,825 | $ | 67,533 | 7,120 | $ | 68,931 | ||||||||||
Increase | 6,825 | $ | 67,533 | 7,120 | $ | 68,931 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 1,024 | $ | 10,000 | 33,188 | $ | 332,200 | ||||||||||
Reinvestment of distributions | 658 | 6,512 | 1,036 | 10,028 | ||||||||||||
Shares reacquired | (414 | ) | (4,089 | ) | (23,883 | ) | (228,819 | ) | ||||||||
Increase | 1,268 | $ | 12,423 | 10,341 | $ | 113,409 | ||||||||||
Class R2 Shares | ||||||||||||||||
Reinvestment of distributions | 94 | $ | 932 | 99 | $ | 962 | ||||||||||
Increase | 94 | $ | 932 | 99 | $ | 962 | ||||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 162 | $ | 1,613 | 1,030 | $ | 9,791 | ||||||||||
Reinvestment of distributions | 186 | 1,837 | 163 | 1,577 | ||||||||||||
Shares reacquired | (92 | ) | (913 | ) | (3 | ) | (28 | ) | ||||||||
Increase | 256 | $ | 2,537 | 1,190 | $ | 11,340 | ||||||||||
Class R4 Shares | ||||||||||||||||
Reinvestment of distributions | 105 | $ | 1,032 | 109 | $ | 1,055 | ||||||||||
Increase | 105 | $ | 1,032 | 109 | $ | 1,055 | ||||||||||
Class R5 Shares | ||||||||||||||||
Reinvestment of distributions | 111 | $ | 1,105 | 116 | $ | 1,121 | ||||||||||
Increase | 111 | $ | 1,105 | 116 | $ | 1,121 | ||||||||||
Class R6 Shares | ||||||||||||||||
Reinvestment of distributions | 6,824 | $ | 67,533 | 7,121 | $ | 68,930 | ||||||||||
Increase | 6,824 | $ | 67,533 | 7,121 | $ | 68,930 |
533
Notes to Financial Statements (continued)
Year Ended | Year Ended | |||||||||||||||
Floating Rate Fund | November 30, 2019 | November 30, 2018 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 71,093,915 | $ | 628,734,776 | 184,880,037 | $ | 1,694,591,518 | ||||||||||
Converted from Class C** | 11,955,245 | 104,944,846 | 911,003 | 8,351,831 | ||||||||||||
Reinvestment of distributions | 16,185,471 | 143,121,758 | 17,787,230 | 162,693,938 | ||||||||||||
Shares reacquired | (224,591,289 | ) | (1,985,829,941 | ) | (180,950,567 | ) | (1,655,138,345 | ) | ||||||||
Increase (decrease) | (125,356,658 | ) | $ | (1,109,028,561 | ) | 22,627,703 | $ | 210,498,942 | ||||||||
Class C Shares | ||||||||||||||||
Shares sold | 17,637,541 | $ | 156,181,318 | 44,049,642 | $ | 403,830,624 | ||||||||||
Reinvestment of distributions | 6,618,067 | 58,569,035 | 6,427,720 | 58,845,019 | ||||||||||||
Shares reacquired | (63,033,257 | ) | (557,631,435 | ) | (41,204,843 | ) | (377,686,396 | ) | ||||||||
Converted to Class A** | (11,944,589 | ) | (104,944,846 | ) | (910,100 | ) | (8,351,831 | ) | ||||||||
Increase (decrease) | (50,722,238 | ) | $ | (447,825,928 | ) | 8,362,419 | $ | 76,637,416 | ||||||||
Class F Shares | ||||||||||||||||
Shares sold | 220,685,099 | $ | 1,950,134,984 | 450,271,758 | $ | 4,123,068,036 | ||||||||||
Reinvestment of distributions | 24,368,961 | 215,248,628 | 24,284,961 | 221,770,570 | ||||||||||||
Shares reacquired | (536,393,659 | ) | (4,737,043,160 | ) | (256,002,568 | ) | (2,338,124,136 | ) | ||||||||
Increase (decrease) | (291,339,599 | ) | $ | (2,571,659,548 | ) | 218,554,151 | $ | 2,006,714,470 | ||||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 5,147,282 | $ | 45,605,095 | 22,133,180 | $ | 202,986,317 | ||||||||||
Reinvestment of distributions | 1,279,349 | 11,328,106 | 1,407,320 | 12,887,155 | ||||||||||||
Shares reacquired | (20,509,702 | ) | (181,802,864 | ) | (14,799,048 | ) | (135,522,128 | ) | ||||||||
Increase (decrease) | (14,083,071 | ) | $ | (124,869,663 | ) | 8,741,452 | $ | 80,351,344 | ||||||||
Class I Shares | ||||||||||||||||
Shares sold | 77,807,348 | $ | 688,236,564 | 177,660,305 | $ | 1,629,132,153 | ||||||||||
Reinvestment of distributions | 10,313,401 | 91,241,569 | 10,412,064 | 95,227,660 | ||||||||||||
Shares reacquired | (193,724,649 | ) | (1,712,915,920 | ) | (103,642,822 | ) | (947,344,961 | ) | ||||||||
Increase (decrease) | (105,603,900 | ) | $ | (933,437,787 | ) | 84,429,547 | $ | 777,014,852 | ||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 52,713 | $ | 468,047 | 51,447 | $ | 472,323 | ||||||||||
Reinvestment of distributions | 9,330 | 82,601 | 6,919 | 63,341 | ||||||||||||
Shares reacquired | (69,582 | ) | (617,389 | ) | (19,080 | ) | (175,340 | ) | ||||||||
Increase (decrease) | (7,539 | ) | $ | (66,741 | ) | 39,286 | $ | 360,324 | ||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 1,630,508 | $ | 14,434,509 | 2,119,336 | $ | 19,438,280 | ||||||||||
Reinvestment of distributions | 320,478 | 2,834,383 | 249,946 | 2,286,427 | ||||||||||||
Shares reacquired | (1,794,076 | ) | (15,883,215 | ) | (1,161,358 | ) | (10,645,174 | ) | ||||||||
Increase | 156,910 | $ | 1,385,677 | 1,207,924 | $ | 11,079,533 | ||||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 257,763 | $ | 2,277,377 | 2,210,230 | $ | 20,079,038 | ||||||||||
Reinvestment of distributions | 67,265 | 595,143 | 28,408 | 259,089 | ||||||||||||
Shares reacquired | (2,149,385 | ) | (19,112,739 | ) | (373,585 | ) | (3,417,762 | ) | ||||||||
Increase (decrease) | (1,824,357 | ) | $ | (16,240,219 | ) | 1,865,053 | $ | 16,920,365 |
534
Notes to Financial Statements (continued)
Year Ended | Year Ended | |||||||||||||||
Floating Rate Fund | November 30, 2019 | November 30, 2018 | ||||||||||||||
Class R5 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 496,801 | $ | 4,385,344 | 4,940,517 | $ | 45,261,714 | ||||||||||
Reinvestment of distributions | 104,370 | 922,160 | 89,569 | 815,943 | ||||||||||||
Shares reacquired | (4,780,827 | ) | (42,624,321 | ) | (365,378 | ) | (3,329,608 | ) | ||||||||
Increase (decrease) | (4,179,656 | ) | $ | (37,316,817 | ) | 4,664,708 | $ | 42,748,049 | ||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 9,035,899 | $ | 80,203,349 | 5,013,399 | $ | 45,999,011 | ||||||||||
Reinvestment of distributions | 599,501 | 5,303,055 | 270,227 | 2,472,857 | ||||||||||||
Shares reacquired | (4,130,056 | ) | (36,388,398 | ) | (2,187,207 | ) | (20,071,864 | ) | ||||||||
Increase | 5,505,344 | $ | 49,118,006 | 3,096,419 | $ | 28,400,004 | ||||||||||
Class T Shares(a) | ||||||||||||||||
Reinvestment of distributions | – | $ | – | 32 | $ | 289 | ||||||||||
Shares reacquired | – | – | (1,135 | ) | (10,384 | ) | ||||||||||
Decrease | – | $ | – | (1,103 | ) | $ | (10,095 | ) | ||||||||
Year Ended | Year Ended | |||||||||||||||
High Yield Fund | November 30, 2019 | November 30, 2018 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 62,967,746 | $ | 460,592,829 | 56,952,927 | $ | 429,357,280 | ||||||||||
Converted from Class B* | – | – | 37,386 | 285,523 | ||||||||||||
Converted from Class C** | 2,360,581 | 17,382,737 | 1,171,433 | 8,711,840 | ||||||||||||
Reinvestment of distributions | 8,226,264 | 60,178,641 | 9,505,625 | 71,027,904 | ||||||||||||
Shares reacquired | (66,293,981 | ) | (482,818,916 | ) | (114,086,674 | ) | (855,653,391 | ) | ||||||||
Increase (decrease) | 7,260,610 | $ | 55,335,291 | (46,419,303 | ) | $ | (346,270,844 | ) | ||||||||
Class B Shares | ||||||||||||||||
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 | ) | ||||||||||
Decrease | – | $ | – | (193,988 | ) | $ | (1,473,324 | ) | ||||||||
Class C Shares | ||||||||||||||||
Shares sold | 9,398,541 | $ | 68,423,732 | 8,803,775 | $ | 66,001,511 | ||||||||||
Reinvestment of distributions | 2,499,350 | 18,170,022 | 3,004,778 | 22,323,347 | ||||||||||||
Shares reacquired | (16,062,382 | ) | (116,098,476 | ) | (20,002,173 | ) | (148,819,063 | ) | ||||||||
Converted to Class A** | (2,373,302 | ) | (17,382,737 | ) | (1,177,768 | ) | (8,711,840 | ) | ||||||||
Decrease | (6,537,793 | ) | $ | (46,887,459 | ) | (9,371,388 | ) | $ | (69,206,045 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 124,070,817 | $ | 905,994,686 | 152,913,311 | $ | 1,147,729,989 | ||||||||||
Reinvestment of distributions | 15,249,592 | 111,372,088 | 14,713,299 | 109,584,370 | ||||||||||||
Shares reacquired | (140,648,843 | ) | (1,022,390,271 | ) | (136,190,449 | ) | (1,018,883,928 | ) | ||||||||
Increase (decrease) | (1,328,434 | ) | $ | (5,023,497 | ) | 31,436,161 | $ | 238,430,431 |
535
Notes to Financial Statements (continued)
Year Ended | Year Ended | |||||||||||||||
High Yield Fund | November 30, 2019 | November 30, 2018 | ||||||||||||||
Class F3 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 17,459,626 | $ | 128,641,229 | 27,817,923 | $ | 210,870,059 | ||||||||||
Reinvestment of distributions | 4,230,341 | 31,093,261 | 4,090,892 | 30,651,707 | ||||||||||||
Shares reacquired | (17,552,708 | ) | (128,530,990 | ) | (19,042,108 | ) | (142,942,554 | ) | ||||||||
Increase | 4,137,259 | $ | 31,203,500 | 12,866,707 | $ | 98,579,212 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 114,039,964 | $ | 831,618,319 | 84,019,546 | $ | 630,169,302 | ||||||||||
Reinvestment of distributions | 10,835,125 | 79,552,754 | 11,445,781 | 85,845,611 | ||||||||||||
Shares reacquired | (104,703,296 | ) | (764,465,569 | ) | (120,938,037 | ) | (908,517,320 | ) | ||||||||
Increase (decrease) | 20,171,793 | $ | 146,705,504 | (25,472,710 | ) | $ | (192,502,407 | ) | ||||||||
Class P Shares | ||||||||||||||||
Shares sold | 1,605 | $ | 11,843 | 5,593 | $ | 42,530 | ||||||||||
Reinvestment of distributions | 894 | 6,531 | 3,222 | 24,421 | ||||||||||||
Shares reacquired | (41,771 | ) | (306,054 | ) | (23,919 | ) | (179,148 | ) | ||||||||
Decrease | (39,272 | ) | $ | (287,680 | ) | (15,104 | ) | $ | (112,197 | ) | ||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 437,718 | $ | 3,208,812 | 1,028,078 | $ | 7,760,024 | ||||||||||
Reinvestment of distributions | 64,843 | 476,871 | 58,259 | 436,240 | ||||||||||||
Shares reacquired | (994,679 | ) | (7,297,686 | ) | (985,674 | ) | (7,386,039 | ) | ||||||||
Increase (decrease) | (492,118 | ) | $ | (3,612,003 | ) | 100,663 | $ | 810,225 | ||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 3,650,463 | $ | 26,810,076 | 5,617,157 | $ | 42,616,962 | ||||||||||
Reinvestment of distributions | 816,778 | 6,007,177 | 750,134 | 5,623,395 | ||||||||||||
Shares reacquired | (3,620,326 | ) | (26,470,612 | ) | (3,102,294 | ) | (23,413,742 | ) | ||||||||
Increase | 846,915 | $ | 6,346,641 | 3,264,997 | $ | 24,826,615 | ||||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 6,913,063 | $ | 50,443,910 | 7,527,250 | $ | 56,393,253 | ||||||||||
Reinvestment of distributions | 593,104 | 4,338,246 | 464,404 | 3,457,198 | ||||||||||||
Shares reacquired | (5,515,523 | ) | (40,246,420 | ) | (3,933,420 | ) | (29,477,678 | ) | ||||||||
Increase | 1,990,644 | $ | 14,535,736 | 4,058,234 | $ | 30,372,773 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 8,495,542 | $ | 62,241,741 | 9,349,094 | $ | 70,574,128 | ||||||||||
Reinvestment of distributions | 2,137,981 | 15,702,566 | 2,068,168 | 15,487,341 | ||||||||||||
Shares reacquired | (8,662,088 | ) | (63,269,293 | ) | (8,394,015 | ) | (63,120,695 | ) | ||||||||
Increase | 1,971,435 | $ | 14,675,014 | 3,023,247 | $ | 22,940,774 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 38,794,072 | $ | 283,997,186 | 41,950,505 | $ | 316,089,622 | ||||||||||
Reinvestment of distributions | 4,147,997 | 30,515,262 | 3,209,711 | 24,046,066 | ||||||||||||
Shares reacquired | (22,106,060 | ) | (162,995,507 | ) | (31,408,318 | ) | (237,122,384 | ) | ||||||||
Increase | 20,836,009 | $ | 151,516,941 | 13,751,898 | $ | 103,013,304 |
536
Notes to Financial Statements (continued)
Year Ended | Year Ended | |||||||||||||||
High Yield Fund | November 30, 2019 | November 30, 2018 | ||||||||||||||
Class T Shares(a) | Shares | Amount | Shares | Amount | ||||||||||||
Reinvestment of distributions | – | $ | – | 45 | $ | 339 | ||||||||||
Shares reacquired | – | – | (1,365 | ) | (10,140 | ) | ||||||||||
Decrease | – | $ | – | (1,320 | ) | $ | (9,801 | ) | ||||||||
Year Ended | Year Ended | |||||||||||||||
Income Fund | November 30, 2019 | November 30, 2018 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 98,023,982 | $ | 277,028,827 | 58,386,339 | $ | 162,605,140 | ||||||||||
Converted from Class B* | – | – | 79,053 | 222,715 | ||||||||||||
Converted from Class C** | 5,894,004 | 16,817,727 | 5,148,902 | 14,208,842 | ||||||||||||
Reinvestment of distributions | 11,755,404 | 33,207,931 | 11,376,379 | 31,479,528 | ||||||||||||
Shares reacquired | (65,246,316 | ) | (182,553,594 | ) | (83,435,604 | ) | (231,651,303 | ) | ||||||||
Increase (decrease) | 50,427,074 | $ | 144,500,891 | (8,444,931 | ) | $ | (23,135,078 | ) | ||||||||
Class B Shares | ||||||||||||||||
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 | ) | ||||||||||
Decrease | – | $ | – | (365,956 | ) | $ | (1,037,720 | ) | ||||||||
Class C Shares | ||||||||||||||||
Shares sold | 10,183,437 | $ | 28,882,144 | 5,655,449 | $ | 15,876,877 | ||||||||||
Reinvestment of distributions | 1,786,404 | 5,063,548 | 2,196,393 | 6,117,013 | ||||||||||||
Shares reacquired | (12,652,754 | ) | (35,610,624 | ) | (20,804,511 | ) | (57,969,839 | ) | ||||||||
Converted to Class A** | (5,870,433 | ) | (16,817,727 | ) | (5,112,489 | ) | (14,208,842 | ) | ||||||||
Decrease | (6,553,346 | ) | $ | (18,482,659 | ) | (18,065,158 | ) | $ | (50,184,791 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 99,037,414 | $ | 279,145,118 | 70,620,550 | $ | 196,541,531 | ||||||||||
Reinvestment of distributions | 6,216,656 | 17,587,072 | 5,885,482 | 16,286,169 | ||||||||||||
Shares reacquired | (64,117,105 | ) | (179,142,612 | ) | (72,980,869 | ) | (201,966,979 | ) | ||||||||
Increase | 41,136,965 | $ | 117,589,578 | 3,525,163 | $ | 10,860,721 | ||||||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 83,016,918 | $ | 234,739,423 | 82,893,254 | $ | 230,715,818 | ||||||||||
Reinvestment of distributions | 7,106,128 | 20,098,014 | 5,624,793 | 15,526,040 | ||||||||||||
Shares reacquired | (35,632,274 | ) | (99,681,863 | ) | (36,860,866 | ) | (101,598,485 | ) | ||||||||
Increase | 54,490,772 | $ | 155,155,574 | 51,657,181 | $ | 144,643,373 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 25,564,565 | $ | 71,973,720 | 34,271,721 | $ | 95,289,832 | ||||||||||
Reinvestment of distributions | 2,306,089 | 6,514,106 | 2,711,058 | 7,494,161 | ||||||||||||
Shares reacquired | (26,318,084 | ) | (73,003,040 | ) | (33,414,790 | ) | (92,030,658 | ) | ||||||||
Increase | 1,552,570 | $ | 5,484,786 | 3,567,989 | $ | 10,753,335 |
537
Notes to Financial Statements (continued)
Year Ended | Year Ended | |||||||||||||||
Income Fund | November 30, 2019 | November 30, 2018 | ||||||||||||||
Class R2 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 224,930 | $ | 635,745 | 295,604 | $ | 832,982 | ||||||||||
Reinvestment of distributions | 11,732 | 33,390 | 10,115 | 28,179 | ||||||||||||
Shares reacquired | (415,961 | ) | (1,174,558 | ) | (383,705 | ) | (1,070,448 | ) | ||||||||
Decrease | (179,299 | ) | $ | (505,423 | ) | (77,986 | ) | $ | (209,287 | ) | ||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 4,264,569 | $ | 12,123,816 | 3,739,793 | $ | 10,449,186 | ||||||||||
Reinvestment of distributions | 677,775 | 1,918,352 | 706,009 | 1,959,187 | ||||||||||||
Shares reacquired | (4,597,785 | ) | (12,940,045 | ) | (4,280,804 | ) | (11,922,884 | ) | ||||||||
Increase | 344,559 | $ | 1,102,123 | 164,998 | $ | 485,489 | ||||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 2,476,705 | $ | 7,009,434 | 1,298,213 | $ | 3,614,269 | ||||||||||
Reinvestment of distributions | 37,763 | 106,855 | 28,404 | 78,487 | ||||||||||||
Shares reacquired | (1,345,240 | ) | (3,821,868 | ) | (410,539 | ) | (1,133,723 | ) | ||||||||
Increase | 1,169,228 | $ | 3,294,421 | 916,078 | $ | 2,559,033 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 975,132 | $ | 2,719,140 | 565,077 | $ | 1,584,244 | ||||||||||
Reinvestment of distributions | 14,984 | 42,580 | 3,780 | 10,477 | ||||||||||||
Shares reacquired | (403,960 | ) | (1,113,327 | ) | (4,620,801 | ) | (13,201,457 | ) | ||||||||
Increase (decrease) | 586,156 | $ | 1,648,393 | (4,051,944 | ) | $ | (11,606,736 | ) | ||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 8,891,812 | $ | 24,979,044 | 14,857,384 | $ | 41,887,579 | ||||||||||
Reinvestment of distributions | 336,871 | 951,486 | 254,966 | 704,332 | ||||||||||||
Shares reacquired | (3,981,375 | ) | (11,148,444 | ) | (9,298,274 | ) | (25,967,231 | ) | ||||||||
Increase | 5,247,308 | $ | 14,782,086 | 5,814,076 | $ | 16,624,680 | ||||||||||
Year Ended | Year Ended | |||||||||||||||
Inflation Focused Fund | November 30, 2019 | November 30, 2018 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 2,374,818 | $ | 27,086,004 | 8,443,244 | $ | 100,211,978 | ||||||||||
Converted from Class C** | 222,503 | 2,514,965 | 7,203 | 85,250 | ||||||||||||
Reinvestment of distributions | 423,946 | 4,828,843 | 555,770 | 6,573,668 | ||||||||||||
Shares reacquired | (8,069,830 | ) | (92,078,651 | ) | (9,294,434 | ) | (109,929,769 | ) | ||||||||
Decrease | (5,048,563 | ) | $ | (57,648,839 | ) | (288,217 | ) | $ | (3,058,873 | ) | ||||||
Class C Shares | ||||||||||||||||
Shares sold | 404,877 | $ | 4,627,281 | 1,519,719 | $ | 18,051,216 | ||||||||||
Reinvestment of distributions | 96,652 | 1,102,430 | 109,146 | 1,292,269 | ||||||||||||
Shares reacquired | (2,004,018 | ) | (22,860,512 | ) | (1,339,695 | ) | (15,896,198 | ) | ||||||||
Converted to Class A** | (222,285 | ) | (2,514,965 | ) | (7,192 | ) | (85,250 | ) | ||||||||
Increase (decrease) | (1,724,774 | ) | $ | (19,645,766 | ) | 281,978 | $ | 3,362,037 |
538
Notes to Financial Statements (continued)
Inflation Focused Fund | Year Ended November 30, 2019 | Year Ended November 30, 2018 | ||||||||||||||
Class F Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 11,512,226 | $ | 131,430,383 | 29,474,651 | $ | 349,876,275 | ||||||||||
Reinvestment of distributions | 893,105 | 10,183,481 | 996,795 | 11,789,000 | ||||||||||||
Shares reacquired | (29,312,958 | ) | (334,869,648 | ) | (15,798,804 | ) | (186,626,286 | ) | ||||||||
Increase (decrease) | (16,907,627 | ) | $ | (193,255,784 | ) | 14,672,642 | $ | 175,038,989 | ||||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 204,770 | $ | 2,333,326 | 1,007,517 | $ | 11,916,848 | ||||||||||
Reinvestment of distributions | 67,809 | 772,375 | 59,493 | 702,399 | ||||||||||||
Shares reacquired | (1,280,643 | ) | (14,546,978 | ) | (241,292 | ) | (2,847,545 | ) | ||||||||
Increase (decrease) | (1,008,064 | ) | $ | (11,441,277 | ) | 825,718 | $ | 9,771,702 | ||||||||
Class I Shares | ||||||||||||||||
Shares sold | 20,320,768 | $ | 231,581,765 | 26,132,211 | $ | 310,027,649 | ||||||||||
Reinvestment of distributions | 2,092,467 | 23,811,670 | 1,938,388 | 22,916,434 | ||||||||||||
Shares reacquired | (23,466,872 | ) | (267,050,389 | ) | (13,895,267 | ) | (164,020,560 | ) | ||||||||
Increase (decrease) | (1,053,637 | ) | $ | (11,656,954 | ) | 14,175,332 | $ | 168,923,523 | ||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 1,832 | $ | 20,918 | 17,540 | $ | 209,089 | ||||||||||
Reinvestment of distributions | 37 | 428 | 91 | 1,068 | ||||||||||||
Shares reacquired | (14,712 | ) | (168,025 | ) | (24,290 | ) | (288,529 | ) | ||||||||
Decrease | (12,843 | ) | $ | (146,679 | ) | (6,659 | ) | $ | (78,372 | ) | ||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 2,231 | $ | 25,498 | 4,485 | $ | 53,229 | ||||||||||
Reinvestment of distributions | 327 | 3,717 | 497 | 5,878 | ||||||||||||
Shares reacquired | (2,883 | ) | (32,958 | ) | (10,099 | ) | (118,986 | ) | ||||||||
Decrease | (325 | ) | $ | (3,743 | ) | (5,117 | ) | $ | (59,879 | ) | ||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 153,145 | $ | 1,745,572 | 132,376 | $ | 1,569,810 | ||||||||||
Reinvestment of distributions | 2,121 | 24,085 | 728 | 8,576 | ||||||||||||
Shares reacquired | (46,267 | ) | (526,892 | ) | (21,387 | ) | (252,308 | ) | ||||||||
Increase | 108,999 | $ | 1,242,765 | 111,717 | $ | 1,326,078 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 19,257 | $ | 219,006 | 10,026 | $ | 119,301 | ||||||||||
Reinvestment of distributions | 658 | 7,474 | 347 | 4,098 | ||||||||||||
Shares reacquired | (2,580 | ) | (29,553 | ) | (721 | ) | (8,553 | ) | ||||||||
Increase | 17,335 | $ | 196,927 | 9,652 | $ | 114,846 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 1,616,264 | $ | 18,485,328 | 2,557,248 | $ | 30,296,524 | ||||||||||
Reinvestment of distributions | 168,576 | 1,922,953 | 147,038 | 1,736,623 | ||||||||||||
Shares reacquired | (3,374,373 | ) | (38,615,732 | ) | (824,175 | ) | (9,758,242 | ) | ||||||||
Increase (decrease) | (1,589,533 | ) | $ | (18,207,451 | ) | 1,880,111 | $ | 22,274,905 |
539
Notes to Financial Statements (continued)
Inflation Focused Fund | Year Ended November 30, 2019 | Year Ended November 30, 2018 | ||||||||||||||
Class T Shares(a) | Shares | Amount | Shares | Amount | ||||||||||||
Reinvestment of distributions | – | $ | – | 19 | $ | 221 | ||||||||||
Shares reacquired | – | – | (868 | ) | (10,281 | ) | ||||||||||
Decrease | – | $ | – | (849 | ) | $ | (10,060 | ) | ||||||||
Short Duration Core Bond Fund | Year Ended November 30, 2019 | Year Ended November 30, 2018 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 719,341 | $ | 7,069,433 | 272,183 | $ | 2,664,534 | ||||||||||
Reinvestment of distributions | 17,613 | 173,725 | 7,965 | 77,938 | ||||||||||||
Shares reacquired | (320,487 | ) | (3,161,215 | ) | (63,511 | ) | (622,151 | ) | ||||||||
Increase | 416,467 | $ | 4,081,943 | 216,637 | $ | 2,120,321 | ||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 228,459 | $ | 2,239,353 | 69,579 | $ | 681,277 | ||||||||||
Reinvestment of distributions | 4,234 | 41,722 | 2,241 | 21,934 | ||||||||||||
Shares reacquired | (117,731 | ) | (1,157,059 | ) | (41,718 | ) | (408,142 | ) | ||||||||
Increase | 114,962 | $ | 1,124,016 | 30,102 | $ | 295,069 | ||||||||||
Class F Shares | ||||||||||||||||
Shares sold | 2,749,602 | $ | 27,208,019 | 264,676 | $ | 2,587,143 | ||||||||||
Reinvestment of distributions | 33,645 | 332,116 | 8,905 | 87,094 | ||||||||||||
Shares reacquired | (282,982 | ) | (2,792,510 | ) | (31,027 | ) | (303,278 | ) | ||||||||
Increase | 2,500,265 | $ | 24,747,625 | 242,554 | $ | 2,370,959 | ||||||||||
Class F3 Shares | ||||||||||||||||
Reinvestment of distributions | 5,238 | $ | 51,583 | 5,224 | $ | 51,147 | ||||||||||
Increase | 5,238 | $ | 51,583 | 5,224 | $ | 51,147 | ||||||||||
Class I Shares | ||||||||||||||||
Shares sold | 183,146 | $ | 1,813,583 | 7,742 | $ | 75,609 | ||||||||||
Reinvestment of distributions | 446 | 4,397 | 233 | 2,276 | ||||||||||||
Shares reacquired | (12,626 | ) | (125,000 | ) | – | – | ||||||||||
Increase | 170,966 | $ | 1,692,980 | 7,975 | $ | 77,885 | ||||||||||
Class R2 Shares | ||||||||||||||||
Reinvestment of distributions | 69 | $ | 682 | 69 | $ | 674 | ||||||||||
Increase | 69 | $ | 682 | 69 | $ | 674 | ||||||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 2,414 | $ | 23,692 | 2,474 | $ | 24,068 | ||||||||||
Reinvestment of distributions | 180 | 1,776 | 78 | 760 | ||||||||||||
Shares reacquired | (23 | ) | (231 | ) | (4 | ) | (38 | ) | ||||||||
Increase | 2,571 | $ | 25,237 | 2,548 | $ | 24,790 | ||||||||||
Class R4 Shares | ||||||||||||||||
Reinvestment of distributions | 79 | $ | 778 | 78 | $ | 765 | ||||||||||
Increase | 79 | $ | 778 | 78 | $ | 765 |
540
Notes to Financial Statements (continued)
Short Duration Core Bond Fund | Year Ended November 30, 2019 | Year Ended November 30, 2018 | ||||||||||||||
Class R5 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Reinvestment of distributions | 86 | $ | 847 | 85 | $ | 829 | ||||||||||
Increase | 86 | $ | 847 | 85 | $ | 829 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 33,693 | $ | 331,014 | 12,164 | $ | 118,983 | ||||||||||
Reinvestment of distributions | 6,195 | 61,015 | 5,413 | 52,985 | ||||||||||||
Shares reacquired | (11,732 | ) | (116,218 | ) | (15 | ) | (142 | ) | ||||||||
Increase | 28,156 | $ | 275,811 | 17,562 | $ | 171,826 | ||||||||||
Short Duration Income Fund | Year Ended November 30, 2019 | Year Ended November 30, 2018 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,290,639,337 | $ | 5,414,214,410 | 667,762,368 | $ | 2,802,958,459 | ||||||||||
Converted from Class B* | – | – | 59,292 | 249,970 | ||||||||||||
Converted from Class C** | 81,508,762 | 342,852,795 | 6,035,542 | 25,272,242 | ||||||||||||
Reinvestment of distributions | 74,296,427 | 311,726,579 | 75,901,941 | 318,062,573 | ||||||||||||
Shares reacquired | (778,427,132 | ) | (3,258,328,098 | ) | (1,151,523,105 | ) | (4,835,416,843 | ) | ||||||||
Increase (decrease) | 668,017,394 | $ | 2,810,465,686 | (401,763,962 | ) | $ | (1,688,873,599 | ) | ||||||||
Class B Shares | ||||||||||||||||
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 | ) | ||||||||||
Decrease | – | $ | – | (992,052 | ) | $ | (4,196,472 | ) | ||||||||
Class C Shares | ||||||||||||||||
Shares sold | 301,265,976 | $ | 1,272,523,044 | 136,863,211 | $ | 578,114,083 | ||||||||||
Reinvestment of distributions | 30,370,862 | 128,183,273 | 35,931,011 | 151,497,904 | ||||||||||||
Shares reacquired | (269,443,339 | ) | (1,134,903,163 | ) | (417,777,796 | ) | (1,763,706,968 | ) | ||||||||
Converted to Class A** | (80,935,552 | ) | (342,852,795 | ) | (5,993,632 | ) | (25,272,242 | ) | ||||||||
Decrease | (18,742,053 | ) | $ | (77,049,641 | ) | (250,977,206 | ) | $ | (1,059,367,223 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 3,310,108,194 | $ | 13,859,257,167 | 1,967,142,189 | $ | 8,240,558,082 | ||||||||||
Reinvestment of distributions | 141,667,839 | 594,302,066 | 111,988,053 | 468,547,606 | ||||||||||||
Shares reacquired | (1,780,569,570 | ) | (7,451,778,582 | ) | (1,754,258,042 | ) | (7,356,767,071 | ) | ||||||||
Increase | 1,671,206,463 | $ | 7,001,780,651 | 324,872,200 | $ | 1,352,338,617 | ||||||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 427,458,779 | $ | 1,792,397,913 | 616,487,879 | $ | 2,575,263,060 | ||||||||||
Reinvestment of distributions | 34,771,018 | 146,079,050 | 24,607,671 | 103,170,928 | ||||||||||||
Shares reacquired | (387,407,057 | ) | (1,624,448,184 | ) | (429,819,150 | ) | (1,810,618,400 | ) | ||||||||
Increase | 74,822,740 | $ | 314,028,779 | 211,276,400 | $ | 867,815,588 |
541
Notes to Financial Statements (continued)
Short Duration Income Fund | Year Ended November 30, 2019 | Year Ended November 30, 2018 | ||||||||||||||
Class I Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,381,442,656 | $ | 5,783,103,197 | 1,001,993,649 | $ | 4,193,420,029 | ||||||||||
Reinvestment of distributions | 71,452,245 | 299,610,838 | 61,035,539 | 255,413,537 | ||||||||||||
Shares reacquired | (776,693,161 | ) | (3,249,907,411 | ) | (960,880,261 | ) | (4,027,023,856 | ) | ||||||||
Increase | 676,201,740 | $ | 2,832,806,624 | 102,148,927 | $ | 421,809,710 | ||||||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 1,603,053 | $ | 6,716,686 | 2,216,188 | $ | 9,288,411 | ||||||||||
Reinvestment of distributions | 67,202 | 282,095 | 52,408 | 219,478 | ||||||||||||
Shares reacquired | (2,322,152 | ) | (9,738,947 | ) | (3,787,859 | ) | (15,896,102 | ) | ||||||||
Decrease | (651,897 | ) | $ | (2,740,166 | ) | (1,519,263 | ) | $ | (6,388,213 | ) | ||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 24,543,057 | $ | 102,947,490 | 22,105,896 | $ | 92,661,329 | ||||||||||
Reinvestment of distributions | 2,735,458 | 11,488,709 | 2,519,826 | 10,563,054 | ||||||||||||
Shares reacquired | (16,950,221 | ) | (71,034,286 | ) | (20,905,906 | ) | (87,972,540 | ) | ||||||||
Increase | 10,328,294 | $ | 43,401,913 | 3,719,816 | $ | 15,251,843 | ||||||||||
Class R4 Shares | ||||||||||||||||
Shares sold | 20,215,862 | $ | 84,882,640 | 15,152,818 | $ | 63,678,097 | ||||||||||
Reinvestment of distributions | 815,561 | 3,430,362 | 526,247 | 2,205,376 | ||||||||||||
Shares reacquired | (11,412,310 | ) | (47,884,951 | ) | (8,067,425 | ) | (33,913,929 | ) | ||||||||
Increase | 9,619,113 | $ | 40,428,051 | 7,611,640 | $ | 31,969,544 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 9,480,133 | $ | 39,509,006 | 7,946,782 | $ | 33,249,576 | ||||||||||
Reinvestment of distributions | 543,546 | 2,276,977 | 329,805 | 1,376,939 | ||||||||||||
Shares reacquired | (4,250,641 | ) | (17,753,617 | ) | (3,000,523 | ) | (12,561,968 | ) | ||||||||
Increase | 5,773,038 | $ | 24,032,366 | 5,276,064 | $ | 22,064,547 | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 110,743,219 | $ | 463,882,424 | 89,191,701 | $ | 374,556,791 | ||||||||||
Reinvestment of distributions | 6,259,479 | 26,267,750 | 4,179,697 | 17,477,967 | ||||||||||||
Shares reacquired | (46,480,501 | ) | (194,887,927 | ) | (28,159,616 | ) | (117,823,872 | ) | ||||||||
Increase | 70,522,197 | $ | 295,262,247 | 65,211,782 | $ | 274,210,886 | ||||||||||
Class T Shares(a) | ||||||||||||||||
Reinvestment of distributions | – | $ | – | 52 | $ | 221 | ||||||||||
Shares reacquired | – | – | (2,406 | ) | (10,059 | ) | ||||||||||
Decrease | – | $ | – | (2,354 | ) | $ | (9,838 | ) | ||||||||
Total Return Fund | Year Ended November 30, 2019 | Year Ended November 30, 2018 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 28,453,454 | $ | 292,329,750 | 25,027,826 | $ | 253,021,559 | ||||||||||
Converted from Class B* | – | – | 13,404 | 137,041 | ||||||||||||
Converted from Class C** | 906,629 | 9,381,534 | 1,077,289 | 10,817,894 | ||||||||||||
Reinvestment of distributions | 3,087,279 | 31,774,001 | 3,341,091 | 33,603,577 | ||||||||||||
Shares reacquired | (27,428,117 | ) | (280,902,876 | ) | (35,389,029 | ) | (356,760,242 | ) | ||||||||
Increase (decrease) | 5,019,245 | $ | 52,582,409 | (5,929,419 | ) | $ | (59,180,171 | ) |
542
Notes to Financial Statements (continued)
Total Return Fund | Year Ended November 30, 2019 | Year Ended November 30, 2018 | ||||||||||||||
Class B Shares | Shares | Amount | Shares | Amount | ||||||||||||
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 | ) | ||||||||||
Decrease | – | $ | – | (170,304 | ) | $ | (1,739,906 | ) | ||||||||
Class C Shares | ||||||||||||||||
Shares sold | 2,236,460 | $ | 22,925,179 | 1,441,299 | $ | 14,635,239 | ||||||||||
Reinvestment of distributions | 232,205 | 2,383,806 | 309,531 | 3,111,959 | ||||||||||||
Shares reacquired | (2,813,638 | ) | (28,700,040 | ) | (4,564,827 | ) | (46,016,002 | ) | ||||||||
Converted to Class A** | (907,506 | ) | (9,381,534 | ) | (1,078,362 | ) | (10,817,894 | ) | ||||||||
Decrease | (1,252,479 | ) | $ | (12,772,589 | ) | (3,892,359 | ) | $ | (39,086,698 | ) | ||||||
Class F Shares | ||||||||||||||||
Shares sold | 39,382,395 | $ | 400,736,424 | 28,102,861 | $ | 284,934,639 | ||||||||||
Reinvestment of distributions | 2,443,740 | 25,154,669 | 2,505,327 | 25,196,371 | ||||||||||||
Shares reacquired | (33,605,273 | ) | (343,257,330 | ) | (34,271,603 | ) | (345,655,517 | ) | ||||||||
Increase (decrease) | 8,220,862 | $ | 82,633,763 | (3,663,415 | ) | $ | (35,524,507 | ) | ||||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 18,520,199 | $ | 190,631,033 | 23,411,356 | $ | 236,879,870 | ||||||||||
Reinvestment of distributions | 1,956,052 | 20,133,747 | 2,248,874 | 22,616,091 | ||||||||||||
Shares reacquired | (21,174,120 | ) | (214,960,565 | ) | (17,678,371 | ) | (177,363,504 | ) | ||||||||
Increase (decrease) | (697,869 | ) | $ | (4,195,785 | ) | 7,981,859 | $ | 82,132,457 | ||||||||
Class I Shares | ||||||||||||||||
Shares sold | 16,315,957 | $ | 166,443,829 | 12,388,782 | $ | 125,821,390 | ||||||||||
Reinvestment of distributions | 1,170,152 | 12,068,583 | 1,200,033 | 12,089,693 | ||||||||||||
Shares reacquired | (17,030,256 | ) | (174,595,448 | ) | (12,121,965 | ) | (122,199,015 | ) | ||||||||
Increase | 455,853 | $ | 3,916,964 | 1,466,850 | $ | 15,712,068 | ||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 8,040 | $ | 82,306 | 4,446 | $ | 44,891 | ||||||||||
Reinvestment of distributions | 1,585 | 16,377 | 1,631 | 16,482 | ||||||||||||
Shares reacquired | (15,532 | ) | (162,441 | ) | (12,463 | ) | (128,278 | ) | ||||||||
Decrease | (5,907 | ) | $ | (63,758 | ) | (6,386 | ) | $ | (66,905 | ) | ||||||
Class R2 Shares | ||||||||||||||||
Shares sold | 166,335 | $ | 1,708,675 | 114,095 | $ | 1,153,560 | ||||||||||
Reinvestment of distributions | 6,516 | 66,836 | 10,265 | 103,416 | ||||||||||||
Shares reacquired | (335,774 | ) | (3,465,662 | ) | (414,240 | ) | (4,217,682 | ) | ||||||||
Decrease | (162,923 | ) | $ | (1,690,151 | ) | (289,880 | ) | $ | (2,960,706 | ) | ||||||
Class R3 Shares | ||||||||||||||||
Shares sold | 2,833,235 | $ | 29,121,245 | 4,341,811 | $ | 44,046,467 | ||||||||||
Reinvestment of distributions | 266,867 | 2,741,351 | 339,091 | 3,411,273 | ||||||||||||
Shares reacquired | (5,058,118 | ) | (51,831,876 | ) | (6,651,005 | ) | (67,169,075 | ) | ||||||||
Decrease | (1,958,016 | ) | $ | (19,969,280 | ) | (1,970,103 | ) | $ | (19,711,335 | ) |
543
Notes to Financial Statements (continued)
Total Return Fund | Year Ended November 30, 2019 | Year Ended November 30, 2018 | ||||||||||||||
Class R4 Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 2,499,726 | $ | 25,679,417 | 2,535,815 | $ | 25,613,855 | ||||||||||
Reinvestment of distributions | 88,314 | 908,673 | 99,086 | 996,244 | ||||||||||||
Shares reacquired | (2,618,246 | ) | (26,854,254 | ) | (2,887,059 | ) | (29,112,361 | ) | ||||||||
Decrease | (30,206 | ) | $ | (266,164 | ) | (252,158 | ) | $ | (2,502,262 | ) | ||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 6,024,758 | $ | 61,358,520 | 1,955,935 | $ | 19,705,498 | ||||||||||
Reinvestment of distributions | 336,104 | 3,464,793 | 284,968 | 2,866,907 | ||||||||||||
Shares reacquired | (2,862,390 | ) | (29,299,938 | ) | (2,423,137 | ) | (24,489,740 | ) | ||||||||
Increase (decrease) | 3,498,472 | $ | 35,523,375 | (182,234 | ) | $ | (1,917,335 | ) | ||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 19,966,360 | $ | 205,141,837 | 13,158,956 | $ | 132,727,299 | ||||||||||
Reinvestment of distributions | 879,963 | 9,080,101 | 662,838 | 6,665,184 | ||||||||||||
Shares reacquired | (8,419,104 | ) | (86,591,459 | ) | (7,075,386 | ) | (71,240,411 | ) | ||||||||
Increase | 12,427,219 | $ | 127,630,479 | 6,746,408 | $ | 68,152,072 | ||||||||||
Class T Shares(a) | ||||||||||||||||
Reinvestment of distributions | – | $ | – | 17 | $ | 175 | ||||||||||
Shares reacquired | – | – | (986 | ) | (9,871 | ) | ||||||||||
Decrease | – | $ | – | (969 | ) | $ | (9,696 | ) | ||||||||
Ultra Short Bond Fund | Year Ended November 30, 2019 | Year Ended November 30, 2018 | ||||||||||||||
Class A Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,222,953,437 | $ | 12,249,578,533 | 861,733,618 | $ | 8,621,105,383 | ||||||||||
Reinvestment of distributions | 21,270,615 | 213,080,533 | 7,680,213 | 76,812,945 | ||||||||||||
Shares reacquired | (722,825,975 | ) | (7,239,365,798 | ) | (355,186,792 | ) | (3,553,351,477 | ) | ||||||||
Increase | 521,398,077 | $ | 5,223,293,268 | 514,227,039 | $ | 5,144,566,851 | ||||||||||
Class A1 Shares(b) | ||||||||||||||||
Shares sold | 309,873 | $ | 3,108,026 | – | $ | – | ||||||||||
Reinvestment of distributions | 250 | 2,506 | – | – | ||||||||||||
Shares reacquired | (24,974 | ) | (250,492 | ) | – | – | ||||||||||
Increase | 285,149 | $ | 2,860,040 | – | $ | – | ||||||||||
Class F Shares | ||||||||||||||||
Shares sold | 854,172,263 | $ | 8,551,937,256 | 598,730,801 | $ | 5,990,800,285 | ||||||||||
Reinvestment of distributions | 14,244,586 | 142,718,388 | 3,986,567 | 39,884,877 | ||||||||||||
Shares reacquired | (676,824,218 | ) | (6,780,019,196 | ) | (197,436,695 | ) | (1,975,571,007 | ) | ||||||||
Increase | 191,592,631 | $ | 1,914,636,448 | 405,280,673 | $ | 4,055,114,155 | ||||||||||
Class F3 Shares | ||||||||||||||||
Shares sold | 22,937,209 | $ | 229,711,010 | 31,540,628 | $ | 315,657,944 | ||||||||||
Reinvestment of distributions | 698,882 | 7,002,112 | 323,874 | 3,240,930 | ||||||||||||
Shares reacquired | (22,639,586 | ) | (226,743,314 | ) | (9,692,360 | ) | (97,000,840 | ) | ||||||||
Increase | 996,505 | $ | 9,969,808 | 22,172,142 | $ | 221,898,034 |
544
Notes to Financial Statements (concluded)
Ultra Short Bond Fund | Year Ended November 30, 2019 | Year Ended November 30, 2018 | ||||||||||||||
Class I Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 185,650,909 | $ | 1,858,623,346 | 155,429,131 | $ | 1,554,545,144 | ||||||||||
Reinvestment of distributions | 3,181,789 | 31,868,407 | 1,105,994 | 11,061,608 | ||||||||||||
Shares reacquired | (138,173,064 | ) | (1,382,801,483 | ) | (38,790,372 | ) | (387,980,624 | ) | ||||||||
Increase | 50,659,634 | $ | 507,690,270 | 117,744,753 | $ | 1,177,626,128 | ||||||||||
Class R5 Shares | ||||||||||||||||
Shares sold | 108,474 | $ | 1,086,918 | 144,255 | $ | 1,442,554 | ||||||||||
Reinvestment of distributions | 4,789 | 47,991 | 886 | 8,869 | ||||||||||||
Shares reacquired | (148,401 | ) | (1,488,208 | ) | (2,706 | ) | (26,446 | ) | ||||||||
Increase (decrease) | (35,138 | ) | $ | (353,299 | ) | 142,435 | $ | 1,424,977 | ||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 2,073,695 | $ | 20,777,624 | 1,283,451 | $ | 12,846,053 | ||||||||||
Reinvestment of distributions | 21,924 | 219,714 | 8,091 | 80,974 | ||||||||||||
Shares reacquired | (1,649,720 | ) | (16,523,800 | ) | (615,270 | ) | (6,160,471 | ) | ||||||||
Increase | 445,899 | $ | 4,473,538 | 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 July 24, 2018. |
(b) | Commenced on July 31, 2019. |
545
Report of Independent Registered Public Accounting Firm
To the shareholders and the Board of Trustees of Lord Abbett Investment Trust
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of 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, twelve of the funds constituting the Lord Abbett Investment Trust (the “Trust”), as of November 30, 2019, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended for the Trust, except for Lord Abbett Core Plus Bond Fund for which the period is the three years ended November 30, 2019 and the period from December 2, 2015 (commencement of operations) to November 30, 2016, Lord Abbett Corporate Bond Fund and Lord Abbett Short Duration Core Bond Fund, for which the period is the two years ended November 30, 2019 and the period from April 19, 2017 (commencement of operations) to November 30, 2017, and Lord Abbett Ultra Short Bond Fund for which the period is the three years ended November 30, 2019 and the period from October 12, 2016 (commencement of operations) to November 30, 2016, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the twelve funds constituting the Trust as of November 30, 2019, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, except for Lord Abbett Core Plus Bond Fund for which the period is the three years ended November 30, 2019 and the period from December 2, 2015 (commencement of operations) to November 30, 2016, Lord Abbett Corporate Bond Fund and Lord Abbett Short Duration Core Bond Fund, for which the period is the two years ended November 30, 2019 and the period from April 19, 2017 (commencement of operations) to November 30, 2017, and Lord Abbett Ultra Short Bond Fund for which the period is the three years ended November 30, 2019 and the period from October 12, 2016 (commencement of operations) to November 30, 2016, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Trust’s financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
546
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of November 30, 2019, by correspondence with the custodian, brokers and selling or agent banks; when replies were not received from brokers and selling or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
DELOITTE & TOUCHE LLP
New York, New York
January 28, 2020
We have served as the auditor of one or more Lord Abbett Family of Funds’ investment companies since 1932.
547
Supplemental Proxy Information (unaudited)
A joint special meeting of shareholders of each Fund was held on August 26, 2019. The joint special meeting was held for the purpose of electing members of each Fund’s Board of Trustees. Shareholders elected the following ten (10) Trustees at the joint special meeting:
• | Eric C. Fast |
• | Evelyn E. Guernsey |
• | Julie A. Hill |
• | Kathleen M. Lutito |
• | James M. McTaggart |
• | Charles O. Prince |
• | Karla M. Rabusch |
• | Mark A. Schmid |
• | Douglas B. Sieg |
• | James L.L. Tullis |
The results of the proxy solicitation on the preceding matter were as follows:
Lord Abbett Investment Trust
Nominee Votes | Votes For | Votes Withheld |
Eric C. Fast | 15,643,505,972.201 | 210,392,282.209 |
Evelyn E. Guernsey | 15,641,065,356.699 | 212,832,897.741 |
Julie A. Hill | 15,643,850,403.794 | 210,047,850.616 |
Kathleen M. Lutito | 15,660,153,950.675 | 193,744,303.755 |
James M. McTaggart | 15,633,589,967.945 | 220,308,286.465 |
Charles O. Prince | 15,630,650,593.598 | 223,247,660.822 |
Karla M. Rabusch | 15,641,844,350.984 | 212,053,903.446 |
Mark A. Schmid | 15,647,960,480.331 | 205,937,774.089 |
Douglas B. Sieg | 15,644,544,968.564 | 209,353,285.847 |
James L.L. Tullis | 15,576,986,992.318 | 276,911,262.072 |
548
Basic Information About Management
The Board is responsible for the management of the business and affairs of the Trust in accordance with the laws of the State of Delaware. The Board elects officers who are responsible for the day-to-day operations of each Fund and who execute policies authorized by the Board. The Board also approves an investment adviser to each Fund and continues to monitor the cost and quality of the services the investment adviser provides, and annually considers whether to renew the contract with the investment adviser. Generally, each Trustee holds office until his/her successor is elected and qualified or until his/her earlier resignation or removal, as provided in the Trust’s organizational documents.
Lord Abbett, a Delaware limited liability company, is each Fund’s investment adviser. Designated Lord Abbett personnel are responsible for the day-to-day management of the Funds.
Interested Trustees
Mr. Sieg is affiliated with Lord Abbett and is an “interested person” of the Trust as defined in the Act. Mr. Sieg is director/trustee of each of the 12 investment companies in the Lord Abbett Family of Funds, which consist of 57 investment portfolios. Mr. Sieg is an officer of the Lord Abbett Family of Funds.
Name, Address and Year of Birth | Current Position and Length of Service with the Trust | Principal Occupation and Other Directorships During the Past Five Years | ||
Douglas B. Sieg Lord, Abbett & Co. LLC 90 Hudson Street Jersey City, NJ 07302 (1969) | Trustee since 2016; President and Chief Executive Officer since 2018 | Principal Occupation:Managing Partner (since 2018) and was formerly Head of Client Services, joined Lord Abbett in 1994.
Other Directorships:None. |
Independent Directors
The following Independent Trustees also are directors/trustees of each of the 12 investment companies in the Lord Abbett Family of Funds, which consist of 57 investment portfolios.
Name, Address and Year of Birth | Current Position and Length of Service with the Trust | Principal Occupation and Other Directorships During the Past Five Years | ||
Eric C. Fast Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1949) | Trustee since 2014 | Principal Occupation:Chief Executive Officer of Crane Co., an industrial products company (2001–2014).
Other Directorships:Currently serves as director of Automatic Data Processing, Inc. (since 2007) and Regions Financial Corporation (since 2010). Previously served as a director of Crane Co. (1999–2014). | ||
Evelyn E. Guernsey Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1955) | Trustee since 2011 | Principal Occupation:None.
Other Directorships:None. |
549
Basic Information About Management (continued)
Name, Address and Year of Birth | Current Position and Length of Service with the Trust | Principal Occupation and Other Directorships During the Past Five Years | ||
Julie A. Hill Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1946) | Trustee since 2004 | Principal Occupation:Owner and CEO of The HillCompany, a business consulting firm (since 1998).
Other Directorships:Currently serves as director ofAnthem, Inc., a health benefits company (since 1994). | ||
Kathleen M. Lutito Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1963) | Trustee since 2017 | Principal Occupation:President and Chief InvestmentOfficer of CenturyLink Investment ManagementCompany (since 2006).
Other Directorships:None. | ||
James M. McTaggart Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1947) | Trustee since 2012 | Principal Occupation:Independent managementadvisor and consultant (since 2012). Other Directorships:Blyth, Inc., a home productscompany (2004–2015). | ||
Charles O. Prince Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1950) | Trustee since 2019 | Principal Occupation:None. Formerly Chairman andChief Executive Officer, Citigroup, Inc.
Other Directorships:Currently serves as director ofJohnson & Johnson (2006–Present). Previously servedas director of Xerox Corporation (2008–2018). | ||
Karla M. Rabusch Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1959) | Trustee since 2017 | Principal Occupation:President and Director ofWells Fargo Funds Management, LLC (2003–2017);President of Wells Fargo Funds (2003–2016).
Other Directorships:None. | ||
Mark A. Schmid Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1959) | Trustee since 2016 | Principal Occupation:Vice President and ChiefInvestment Officer of the University of Chicago(since 2009).
Other Directorships:None. | ||
James L.L. Tullis Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1947) | Trustee since 2006; Chairman since 2017 | Principal Occupation:Chairman of Tullis HealthInvestors – FL LLC (since 2018); CEO of Tullis-Dickerson and Co. Inc., a venture capital managementfirm (1990–2016).
Other Directorships:Currently serves as director ofCrane Co. (since 1998), Alphatec Spine, Inc. (since2018), and electroCore, Inc. (since 2018). |
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Basic Information About Management (continued)
Officers
None of the officers listed below have received compensation from the Trust. All of the officers of the Trust also may be officers of the other Lord Abbett Funds and maintain offices at 90 Hudson Street, Jersey City, NJ 07302. Unless otherwise indicated, the position(s) and title(s) listed under the “Principal Occupation During the Past Five Years” column indicate each officer’s position(s) and title(s) with Lord Abbett. Each officer serves for an indefinite term (i.e., until his or her death, resignation, retirement, or removal).
Name and Year of Birth | Current Position with the Trust | Length of Service of Current Position | Principal Occupation During the Past Five Years | |||
Douglas B. Sieg (1969) | President and Chief Executive Officer | Elected as President and Chief Executive Officer in 2018 | Managing Partner of Lord Abbett (since 2018) and was formerly Head of Client Services, joined Lord Abbett in 1994. | |||
Jackson C. Chan (1964) | AML Compliance Officer | Elected in 2018 | Deputy Chief Compliance Officer and Director of Regulatory Affairs, joined Lord Abbett in 2014. | |||
Pamela P. Chen (1978) | Vice President, Assistant Secretary and Privacy Officer | Elected as Vice President and Assistant Secretary in 2018 and Privacy Officer in 2019 | Associate General Counsel, joined Lord Abbett in 2017 and was formerly Special Counsel at Schulte, Roth & Zabel LLP (2005–2017). | |||
John T. Fitzgerald (1975) | Vice President and Assistant Secretary | Elected in 2018 | Deputy General Counsel, joined Lord Abbett in 2018 and was formerly Deputy Head of U.S. Funds Legal, Executive Director and Assistant General Counsel at JPMorgan Chase (2005–2018). | |||
Vito A. Fronda (1969) | Treasurer | Elected in 2018 | Partner and Director of Fund Treasury and Tax, joined Lord Abbett in 2003. | |||
Bernard J. Grzelak (1971) | Chief Financial Officer and Vice President | Elected in 2017 | Partner and Chief Operating Officer, Global Funds and Risk, joined Lord Abbett in 2003. | |||
Linda Y. Kim (1980) | Vice President and Assistant Secretary | Elected in 2016 | Counsel, joined Lord Abbett in 2015 and was formerly an Associate at Stroock & Stroock & Lavan LLP (2007–2015). | |||
Joseph M. McGill (1962) | Chief Compliance Officer | Elected in 2014 | Partner and Chief Compliance Officer, joined Lord Abbett in 2014. |
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Basic Information About Management (concluded)
Name and Year of Birth | Current Position with the Trust | Length of Service of Current Position | Principal Occupation During the Past Five Years | |||
Amanda S. Ryan (1978) | Vice President andAssistant Secretary | Elected in 2018 | Counsel, joined LordAbbett in 2016 and wasformerly a Director andCorporate Counsel atPGIM Investments(2012–2016). | |||
Lawrence B. Stoller (1963) | Vice President, Secretaryand Chief Legal Officer | Elected as VicePresident andSecretary in 2007and Chief LegalOfficer in 2019 | Partner and GeneralCounsel, joined LordAbbett in 2007. |
Please call 888–522–2388 for a copy of the statement of additional information, which contains further information about the Trust’s Trustees. It is available free upon request.
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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. 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.
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Tax Information (unaudited)
The percentages below reflect the portion of ordinary income distributions that are eligible for the corporate received deduction (DRD) and qualified dividend income (QDI) for individual shareholders.
Fund Name | DRD | QDI | ||
Convertible Fund | 16% | 17% | ||
High Yield Fund | 1% | 1% |
For foreign shareholders, the percentages below reflect the portion of net investment income distributions that represent interest-related dividends:
Fund Name | ||||
Convertible Fund | 79% | |||
Core Fixed Income Fund | 100% | |||
Core Plus Bond Fund | 99% | |||
Corporate Bond Fund | 100% | |||
Floating Rate Fund | 99% | |||
High Yield Fund | 99% | |||
Income Fund | 100% | |||
Inflation Focused Fund | 100% | |||
Short Duration Core Bond Fund | 100% | |||
Short Duration Income Fund | 100% | |||
Total Return Fund | 99% | |||
Ultra Short Bond Fund | 100% |
Additionally, of the distributions paid to shareholders during the fiscal year ended November 30, 2019, the following amounts represent capital gains:
Fund Name | Short-term | Long-term | ||
Convertible Fund | $ – | $24,740,215 | ||
Ultra Short Bond Fund | 4,680,061 | 1,105,427 |
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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-2 (01/20) |
Item 2: | Code of Ethics. |
(a) | In accordance with applicable requirements, the Registrant adopted a Sarbanes-Oxley Code of Ethics on June 19, 2003 that applies to the principal executive officer and senior financial officers of the Registrant (“Code of Ethics”). The Code of Ethics was in effect during the fiscal year ended November 30, 2019 (the “Period”). |
(b) | Not applicable. |
(c) | The Registrant has not amended the Code of Ethics as described in Form N-CSR during the Period. |
(d) | The Registrant has not granted any waiver, including an implicit waiver, from a provision of the Code of Ethics as described in Form N-CSR during the Period. |
(e) | Not applicable. |
(f) | See Item 12(a)(1) concerning the filing of the Code of Ethics. |
Item 3: | Audit Committee Financial Expert. |
The Registrant’s board of trustees has determined that each of the following independent trustees who are members of the audit committee is an audit committee financial expert: Evelyn E. Guernsey, Karla M. Rabusch and Mark A. Schmid. Each of these persons is independent within the meaning of the Form N-CSR.
Item 4: | Principal Accountant Fees and Services. |
In response to sections (a), (b), (c) and (d) of Item 4, the aggregate fees billed to the Registrant for the fiscal years ended November 30, 2019 and 2018 by the Registrant’s principal accounting firm, Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu and their respective affiliates (collectively, “Deloitte”) were as follows:
Fiscal year ended: | ||||
2019 | 2018 | |||
Audit Fees {a} | $847,400 | $838,800 | ||
Audit-Related Fees | - 0 - | - 0 - | ||
Total audit and audit-related fees | 847,400 | 838,800 | ||
Tax Fees {b} | 101,546 | 169,718 | ||
All Other Fees | - 0 - | - 0 - | ||
Total Fees | $948,946 | $1,008,518 |
{a} Consists of fees for audits of the Registrant’s annual financial statements.
{b} Fees for the fiscal year ended November 30, 2019 and 2018 consist of fees for preparing the U.S. Income Tax Return for Regulated Investment Companies, New Jersey Corporation Business Tax Return, New Jersey Annual Report Form, U.S. Return of Excise Tax on Undistributed Income of Investment Companies, IRS Forms 1099-MISC and 1096 Annual Summary and Transmittal of U.S. Information Returns.
(e) (1) Pursuant to Rule 2-01(c) (7) of Regulation S-X, the Registrant’s Audit Committee has adopted pre-approval policies and procedures. Such policies and procedures generally provide that the Audit Committee must pre-approve:
· | any audit, audit-related, tax, and other services to be provided to the Lord Abbett Funds, including the Registrant, and |
· | any audit-related, tax, and other services to be provided to the Registrant’s investment adviser and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to one or more Funds comprising the Registrant if the engagement relates directly to operations and financial reporting of a Fund, by the independent auditor to assure that the provision of such services does not impair the auditor’s independence. |
The Audit Committee has delegated pre-approval authority to its Chairman, subject to a fee limit of $10,000 per event, and not to exceed $25,000 annually. The Chairman will report any pre-approval decisions to the Audit Committee at its next scheduled meeting. Unless a type of service to be provided by the independent auditor has received general pre-approval, it must be pre-approved by the Audit Committee. Any proposed services exceeding pre-approved cost levels will require specific pre-approval by the Audit Committee.
(e) (2) The Registrant’s Audit Committee has approved 100% of the services described in this Item 4 (b) through (d).
(f) Not applicable.
(g) The aggregate non-audit fees billed by Deloitte for services rendered to the Registrant are shown above in the response to Item 4 (a), (b), (c) and (d) as “All Other Fees”.
The aggregate non-audit fees billed by Deloitte for services rendered to the Registrant’s investment adviser, Lord, Abbett & Co. LLC (“Lord Abbett”), for the fiscal years ended November 30, 2019 and 2018 were:
Fiscal year ended: | ||||
2019 | 2018 | |||
All Other Fees {a} | $215,383 | $200,339 |
{a} Consist of fees for Independent Services Auditors’ Report on Controls Placed in Operation and Tests of Operating Effectiveness related to Lord Abbett’s Asset Management Services (“SOC-1 Report”).
The aggregate non-audit fees billed by Deloitte for services rendered to entities under the common control of Lord Abbett for the fiscal years ended November 30, 2019 and 2018 were:
Fiscal year ended: | ||||
2019 | 2018 | |||
All Other Fees | $ - 0 - | $ - 0- |
(h) The Registrant’s Audit Committee has considered the provision of non-audit services that were rendered to the Registrant’s investment adviser, and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant, that were not pre-approved pursuant to Rule 2-01 (c)(7)(ii) of Regulation S-X and has determined that the provision of such services is compatible with maintaining Deloitte’s independence.
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) | The Lord Abbett Family of Funds Sarbanes Oxley Code of Ethics for the Principal Executive Officer and Senior Financial Officers is attached hereto as part of Ex-99. CODEETH. |
(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: January 28, 2020 | ||
By: | /s/ Bernard J. Grzelak | |
Bernard J. Grzelak | ||
Chief Financial Officer and Vice President | ||
Date: January 28, 2020 |
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: January 28, 2020 | ||
By: | /s/ Bernard J. Grzelak | |
Bernard J. Grzelak | ||
Chief Financial Officer and Vice President | ||
Date: January 28, 2020 |